<PAGE> 1
AMERICAN SKANDIA LIFE ASSURANCE CORPORATION
VARIABLE ACCOUNT B
PRESIDENT'S LETTER
AUGUST, 1996
Dear Investor:
The outstanding performance of the financial markets in 1995 has basically
continued -- despite a brief period of uncertainty -- in the first half of 1996.
Some sectors of the market, primarily technology, experienced more volatility
than the market in general. Please review this report for a detailed analysis of
each fund available through American Skandia.
At the time this report is being compiled, the 1996 Presidential election is
beginning to start in earnest. The issues are being framed, the differences
highlighted. In a bold move, Candidate Bob Dole put forward a supply side
economic plan and selected former Secretary Kemp as his running mate. President
Clinton has chosen to emphasize fiscal responsibility and balanced budgets.
Either way, there appears to be a healthy environment in the future for the
financial markets.
At American Skandia, we continue to improve your choices of investment options.
In May of this year we opened two new sub-accounts:
Robertson Stephens Value+Growth is managed by Robertson Stephens Investment
Management, L.P., which was established in 1978 and manages over $2.8
billion in assets for individual and institutional investors.
Montgomery Emerging Markets is managed by Montgomery Asset Management,
L.P., which was established in 1972, manages over $7.2 billion in assets,
and is the second largest manager of emerging market securities.
Our plans are to expand your investment options further in the second half of
the year, particularly with an objective of adding more funds managed in a value
style. Look for developments in the coming months.
Our goal, of course, and the goal of your financial advisor is to give you the
choices that enable you to reach your retirement investment objective. Your
overwhelming response, over $1 billion in new sales in the first six months,
over $5 billion under management, is a good sign that we are on the right track.
/s/ GORDON C. BORONOW
- -------------------------
Gordon C. Boronow
<PAGE> 2
CONTENTS
I. American Skandia Trust
II. The Alger American Fund
III. Neuberger & Berman Advisors Management Trust
IV. Montgomery Funds III
<PAGE> 3
AMERICAN
SKANDIA
TRUST
---------------------------------------------------------------------------
SEMI-ANNUAL REPORT
---------------------------------------------------------------------------
JUNE 30, 1996
(UNAUDITED)
<PAGE> 4
<PAGE> 5
AMERICAN SKANDIA TRUST
SCHEDULES OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
SELIGMAN HENDERSON INTERNATIONAL EQUITY PORTFOLIO
LORD ABBETT GROWTH AND INCOME PORTFOLIO
JANCAP GROWTH PORTFOLIO
AST MONEY MARKET PORTFOLIO
FEDERATED UTILITY INCOME PORTFOLIO
AST PHOENIX BALANCED ASSET PORTFOLIO
FEDERATED HIGH YIELD PORTFOLIO
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
PIMCO TOTAL RETURN BOND PORTFOLIO
INVESCO EQUITY INCOME PORTFOLIO
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
BERGER CAPITAL GROWTH PORTFOLIO
SELIGMAN HENDERSON INTERNATIONAL SMALL CAP PORTFOLIO
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
PIMCO LIMITED MATURITY BOND PORTFOLIO
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
<PAGE> 6
SELIGMAN HENDERSON INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
FOREIGN STOCKS -- 95.6%
ARGENTINA -- 0.6%
YPF SA [ADR]..................... 80,000 $ 1,800,000
------------
AUSTRALIA -- 3.3%
Broken Hill Proprietary Co.
Ltd. .......................... 181,270 2,503,273
News Corp. Ltd. ................. 500,794 2,837,951
Western Mining Corp. Ltd. ....... 370,000 2,646,388
Westpac Banking Corp. Ltd. ...... 590,000 2,610,784
------------
10,598,396
------------
FRANCE -- 9.9%
Accor SA......................... 29,441 4,122,347
AXA SA........................... 79,994 4,380,761
Carrefour Supermarch SA.......... 5,967 3,346,654
Carrefour Supermarch Rights*..... 5,967 1,650,118
Cie Generale des Eaux............ 45,716 5,112,055
Roussel-Uclaf.................... 19,414 4,662,743
Societe Generale................. 39,696 4,369,409
Societe Nationale Elf
Aquitaine SA................... 62,755 4,620,494
------------
32,264,581
------------
GERMANY -- 6.3%
Adidas AG........................ 35,712 2,976,783
Bayer AG......................... 140,400 4,944,377
Deutsche Bank AG................. 92,485 4,385,222
Lufthansa AG..................... 27,212 3,856,495
Siemens AG....................... 82,700 4,436,845
------------
20,599,722
------------
HONG KONG -- 4.7%
Citic Pacific Ltd. .............. 850,000 3,437,117
Guangdong Investment Ltd. ....... 5,300,000 3,355,080
HSBC Holdings PLC................ 202,000 3,053,291
Sun Hung Kai Properties Ltd. .... 330,000 3,336,025
Swire Pacific Ltd. Cl-A.......... 265,000 2,268,103
------------
15,449,616
------------
INDIA -- 1.6%
Gujarat Ambuja Cement [GDR]*..... 210,001 2,467,512
Hindalco Industries Ltd.
[GDR]*......................... 75,000 2,840,625
------------
5,308,137
------------
INDONESIA -- 0.8%
PT Telekomunikasi Indonesia...... 7,000 10,606
PT Telekomunikasi
Indonesia [ADR]................ 90,000 2,677,500
------------
2,688,106
------------
ITALY -- 2.0%
Istituto Nazionale Delle
Assicurazioni.................. 3,209,396 4,788,736
Olivetti & Co. SPA Cl-C*......... 2,993,742 1,616,707
------------
6,405,443
------------
JAPAN -- 26.0%
Alps Electric Co. Ltd. .......... 181,000 2,201,061
Aoyama Trading Co. Ltd. ......... 46,700 1,225,464
CSK Corp. ....................... 145,000 4,322,026
Denny's Japan Co. Ltd. .......... 38,000 1,351,559
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
East Japan Railway Co. .......... 1,092 $ 5,741,062
Hokkai Can Ltd. ................. 152,000 1,202,158
Joshin Denki..................... 107,000 1,545,762
Kao Corp. ....................... 202,000 2,733,474
Mitsubishi Materials Corp. ...... 838,000 4,566,590
Mitsui Marine & Fire Insurance... 554,000 4,411,941
Mitsui O.S.K. Lines Ltd.*........ 1,343,000 4,641,620
Nippon Oil Co. Ltd. ............. 203,000 1,379,071
Nippon Telegraph & Telephone
Corp. ......................... 1,105 8,203,895
Nippon TV Network................ 8,410 2,614,428
Nomura Securities Co. Ltd. ...... 117,000 2,289,293
Pioneer Electronic Corp. ........ 387,000 9,235,348
Sankyo Co. Ltd. ................. 26,000 998,446
Sumitomo Metal Industries........ 1,364,000 4,190,400
Sumitomo Sitix Corp. ............ 36,000 796,562
Sumitomo Trust & Banking......... 323,000 4,429,917
Tokyo Steel Manufacturing........ 67,000 1,317,089
Toshiba Corp. ................... 1,086,000 7,745,085
Toyo Ink Manufacturing........... 243,000 1,395,300
Tsubaki Nakashima Co. Ltd. ...... 102,000 1,268,355
Tsutsumi Jewelry Co. Ltd. ....... 21,000 1,017,647
Yamaha Corp. .................... 235,000 3,889,092
------------
84,712,645
------------
KOREA -- 0.7%
Samsung Electronics Co. [GDR].... 13,347 334,141
Samsung Electronics Co. [GDS].... 72,290 1,787,862
------------
2,122,003
------------
MALAYSIA -- 2.1%
Malayan Banking BHD.............. 226,500 2,178,758
Proton Perusahaan Otomobil BHD... 453,000 2,469,258
United Engineers Ltd. ........... 322,000 2,232,705
------------
6,880,721
------------
MEXICO -- 0.5%
Grupo Carso SA [ADR]*............ 110,000 1,558,590
------------
NETHERLANDS -- 4.2%
DSM NV........................... 38,222 3,800,451
Elsevier NV...................... 316,849 4,813,978
ING Groep NV..................... 174,235 5,202,418
------------
13,816,847
------------
NORWAY -- 1.3%
Norsk Hydro AS................... 88,719 4,347,027
------------
PHILIPPINES -- 0.7%
SM Prime Holdings, Inc. ......... 8,940,000 2,321,191
------------
SINGAPORE -- 2.3%
DBS Land Ltd. ................... 830,000 2,847,059
United Industrial Corp. Ltd. .... 2,170,000 2,214,599
United Overseas Bank Ltd. ....... 240,860 2,304,472
------------
7,366,130
------------
SPAIN -- 2.7%
Banco Santander SA............... 92,591 4,326,750
Iberdrola SA..................... 440,135 4,522,759
------------
8,849,509
------------
</TABLE>
2
<PAGE> 7
SELIGMAN HENDERSON INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
SWEDEN -- 2.7%
Ericsson, (L.M.) Telephone
Co. Cl-B....................... 218,752 $ 4,723,952
Stora Kopparbergs Cl-B........... 301,899 3,989,212
-------------
8,713,164
-------------
SWITZERLAND -- 7.1%
ABB AG........................... 3,867 4,788,127
CS Holding AG.................... 20,905 1,989,837
Nestle SA........................ 4,000 4,572,068
Sandoz AG........................ 4,226 4,837,151
SMH Neuenberg AG................. 16,985 2,656,029
Zurich Versicherungs............. 15,943 4,348,555
-------------
23,191,767
-------------
TAIWAN -- 1.1%
Taiwan Fund, Inc.**.............. 300,000 3,412,500
-------------
THAILAND -- 1.2%
Land and House PLC............... 150,000 1,891,626
Siam Commercial Bank Co. Ltd. ... 135,000 1,957,832
-------------
3,849,458
-------------
UNITED KINGDOM -- 13.8%
B.A.T. Industries PLC............ 470,000 3,657,332
British Airports Authorities
PLC............................ 350,000 2,544,150
British Petroleum Co. PLC........ 333,500 2,924,075
Caradon PLC...................... 680,000 2,281,348
Central European Growth Fund
PLC**.......................... 1,680,000 1,689,576
Central European Growth Fund PLC
Warrants*...................... 258,000 54,098
FKI Babcock PLC.................. 962,500 2,541,432
Granada Group PLC................ 307,000 4,110,309
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
Matthew Clark PLC................ 210,000 $ 2,508,271
Rentokil Group PLC............... 515,800 3,276,676
Reuters Holdings PLC............. 220,000 2,661,883
Rolls-Royce PLC.................. 705,000 2,452,821
Royal Bank of Scotland PLC....... 370,000 2,833,201
Siebe PLC........................ 295,000 4,187,907
Tesco PLC........................ 781,500 3,568,659
WPP Group PLC.................... 1,100,000 3,673,330
-------------
44,965,068
-------------
TOTAL INVESTMENTS
(COST $281,031,242) -- 95.6%....... 311,220,621
OTHER ASSETS LESS
LIABILITIES -- 4.4%................ 14,402,823
-------------
NET ASSETS -- 100.0%................. $ 325,623,444
=============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell DEM $ 6,800,000 1.5194 08/96 $ (9,683)
Sell FRF 10,500,000 5.1502 08/96 (35,820)
Buy JPN 485,477 109.3700 07/96 2,274
Buy JPN 10,000,000 107.7000 08/96 (85,260)
Sell JPN 487,260 109.2700 07/96 232
Sell JPN 26,000,000 103.3300 08/96 1,268,822
Sell MEX 22,248 7.6300 07/96 (145)
Sell UK 547,172 0.6485 07/96 (3,950)
----------
$1,136,470
==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
** Closed-end funds.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
3
<PAGE> 8
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 89.2%
AEROSPACE -- 0.7%
Boeing Co. .................... 30,000 $ 2,613,750
------------
AUTOMOBILE MANUFACTURERS -- 1.8%
General Motors Corp. .......... 125,000 6,546,875
------------
CHEMICALS -- 2.4%
Dow Chemical Co. .............. 75,000 5,700,000
Hanna, (M.A.) Co. ............. 150,000 3,131,250
------------
8,831,250
------------
CLOTHING & APPAREL -- 1.0%
V.F. Corp. .................... 60,000 3,577,500
------------
COMPUTER HARDWARE -- 4.2%
EMC Corp.*..................... 225,000 4,190,625
International Business Machines
Corp. ....................... 48,600 4,811,400
Seagate Technology, Inc.*...... 150,000 6,750,000
------------
15,752,025
------------
CONSUMER PRODUCTS &
SERVICES -- 4.3%
American Brands, Inc. ......... 150,000 6,806,250
Tambrands, Inc. ............... 75,400 3,081,975
Whirlpool Corp. ............... 123,400 6,123,725
------------
16,011,950
------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 6.7%
AMP, Inc. ..................... 75,000 3,009,375
Emerson Electric Co. .......... 120,000 10,845,000
Hewlett-Packard Co. ........... 50,000 4,981,250
National Service Industries,
Inc. ........................ 120,000 4,695,000
Texas Instruments, Inc. ....... 30,000 1,496,250
------------
25,026,875
------------
ENVIRONMENTAL SERVICES -- 2.5%
Browning-Ferris Industries,
Inc. ........................ 150,000 4,350,000
WMX Technologies, Inc. ........ 150,000 4,912,500
------------
9,262,500
------------
FINANCIAL-BANK & TRUST -- 7.3%
Bank of Boston Corp. .......... 110,000 5,445,000
BankAmerica Corp. ............. 60,000 4,545,000
Chase Manhattan Corp. ......... 120,000 8,475,000
Comerica, Inc. ................ 90,000 4,016,250
Great Western Financial
Corp. ....................... 200,000 4,775,000
------------
27,256,250
------------
FOOD -- 6.8%
Conagra, Inc. ................. 180,000 8,167,500
CPC International, Inc. ....... 7,100 511,200
Hershey Foods Corp. ........... 45,000 3,301,875
Pioneer Hi-Bred International,
Inc. ........................ 90,000 4,758,750
Sara Lee Corp. ................ 90,000 2,913,750
Supervalu, Inc. ............... 180,000 5,670,000
------------
25,323,075
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
INDUSTRIAL PRODUCTS -- 3.0%
Cooper Tire & Rubber Co. ...... 81,900 $ 1,822,275
Corning, Inc. ................. 135,900 5,215,162
Snap-On, Inc. ................. 90,000 4,263,750
------------
11,301,187
------------
INSURANCE -- 7.6%
Aetna Life & Casualty Co. ..... 110,000 7,865,000
CHUBB Corp. ................... 160,000 7,980,000
Cigna Corp. ................... 30,000 3,536,250
Lincoln National Corp. ........ 90,000 4,162,500
Transamerica Corp. ............ 60,000 4,860,000
------------
28,403,750
------------
MACHINERY & EQUIPMENT -- 2.4%
Deere & Co. ................... 150,000 6,000,000
Goulds Pumps, Inc. ............ 120,000 3,075,000
------------
9,075,000
------------
MEDICAL SUPPLIES &
EQUIPMENT -- 1.9%
Malincrodt Group, Inc. ........ 180,000 6,997,500
------------
OFFICE EQUIPMENT -- 2.4%
Harris Corp. .................. 90,000 5,490,000
Moore Corp. Ltd. .............. 180,000 3,397,500
------------
8,887,500
------------
OIL & GAS -- 9.9%
Chevron Corp. ................. 75,000 4,425,000
Coastal Corp. ................. 77,800 3,248,150
Consolidated Natural Gas
Co. ......................... 115,000 6,008,750
Mobil Corp. ................... 60,000 6,727,500
Schlumberger Ltd. ............. 45,000 3,791,250
Sonat, Inc. ................... 150,000 6,750,000
Total SA [ADR]................. 160,000 5,940,000
------------
36,890,650
------------
PAPER & FOREST PRODUCTS -- 4.9%
International Paper Co. ....... 120,000 4,425,000
James River Corp. of
Virginia..................... 240,000 6,330,000
Kimberly-Clark Corp. .......... 50,000 3,862,500
Westvaco Corp. ................ 120,000 3,585,000
------------
18,202,500
------------
PHARMACEUTICALS -- 4.5%
Merck & Co., Inc. ............. 30,000 1,938,750
Smithkline Beecham PLC [ADR]... 120,000 6,525,000
Warner-Lambert Co. ............ 150,000 8,250,000
------------
16,713,750
------------
PRINTING & PUBLISHING -- 1.1%
Deluxe Corp. .................. 120,000 4,260,000
------------
RESTAURANTS -- 1.2%
Brinker International, Inc.*... 300,000 4,500,000
------------
</TABLE>
4
<PAGE> 9
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
RETAIL & MERCHANDISING -- 4.1%
May Department Stores Co. ..... 90,000 $ 3,937,500
Payless Shoesource, Inc.*...... 150,000 4,762,500
Sears Roebuck & Co. ........... 60,000 2,917,500
Toys 'R' Us, Inc.*............. 120,000 3,420,000
------------
15,037,500
------------
TELECOMMUNICATIONS -- 4.0%
AT&T Corp. .................... 90,000 5,580,000
Lucent Technologies, Inc. ..... 40,000 1,515,000
MCI Communications Corp. ...... 300,000 7,687,500
------------
14,782,500
------------
UTILITIES -- 4.5%
Central & South West Corp. .... 180,000 5,220,000
Cinergy Corp. ................. 210,000 6,720,000
Ohio Edison Co. ............... 225,000 4,921,875
------------
16,861,875
------------
TOTAL COMMON STOCK
(COST $299,705,451).............. 332,115,762
------------
PREFERRED STOCK -- 2.4%
INDUSTRIAL PRODUCTS -- 1.2%
Sonoco Products Co.
$2.25 [CVT].................. 75,000 4,518,750
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
OIL & GAS -- 1.2%
Atlantic Richfield Co. 9.01%
[CVT]........................ 180,000 $ 4,387,500
------------
TOTAL PREFERRED STOCK
(COST $8,591,249)................ 8,906,250
------------
SHORT TERM INVESTMENTS -- 7.4%
Temporary Investment
Cash Fund.................... 13,766,124 13,766,124
Temporary Investment Fund...... 13,766,124 13,766,124
------------
(COST $27,532,248)........... 27,532,248
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 2.2%
U.S. Treasury Bonds
7.875%
(COST $8,267,658)..... 02/15/21 $7,500 8,219,527
------------
TOTAL INVESTMENTS -- 101.2%
(COST $344,096,606).................. 376,773,787
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (1.2%)............... (4,640,901)
------------
NET ASSETS -- 100.0%................... $372,132,886
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
5
<PAGE> 10
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 92.6%
AEROSPACE -- 5.5%
Boeing Co. ...................... 275,800 $ 24,029,075
McDonnell Douglas Corp. ......... 107,100 5,194,350
Textron, Inc. ................... 56,850 4,540,894
------------
33,764,319
------------
AIRLINES -- 2.5%
AMR Corp.*....................... 57,825 5,262,075
Trans World Airlines, Inc.*...... 482,700 6,878,475
UAL Corp.*....................... 54,200 2,913,250
------------
15,053,800
------------
BEVERAGES -- 5.4%
Coca-Cola Co. ................... 297,200 14,525,650
Coca-Cola Enterprises, Inc. ..... 151,850 5,257,806
Pepsico, Inc. ................... 370,700 13,113,512
------------
32,896,968
------------
CHEMICALS -- 7.3%
Cytec Industries, Inc.*.......... 212,525 18,170,887
Monsanto Co. .................... 537,125 17,456,563
Praxair, Inc. ................... 206,900 8,741,525
------------
44,368,975
------------
CLOTHING & APPAREL -- 2.2%
Designer Holdings Ltd.*.......... 49,350 1,313,944
Gucci Group NV................... 185,950 11,993,775
St. John Knits, Inc. ............ 7,375 329,109
------------
13,636,828
------------
COMPUTER SERVICES & SOFTWARE -- 11.6%
Cisco Systems, Inc.*............. 283,950 16,078,669
Edify Corp.*..................... 13,875 367,688
First Data Corp. ................ 252,500 20,105,313
Microsoft Corp.*................. 195,225 23,451,403
Oracle Systems Corp. ............ 36,750 1,449,328
Parametric Technology Corp. ..... 71,025 3,080,709
Remedy Corp.*.................... 29,150 2,127,950
Sapient Corp.*................... 80,300 3,392,675
Shiva Corp.*..................... 6,800 544,000
------------
70,597,735
------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 2.7%
Diebold, Inc. ................... 73,650 3,553,613
General Electric Co. ............ 151,225 13,080,963
------------
16,634,576
------------
ENTERTAINMENT & LEISURE -- 0.8%
Trump Hotels & Casino
Resorts, Inc.*................. 164,000 4,674,000
------------
FINANCIAL-BANK & TRUST -- 12.9%
Bank Plus Corp.*................. 670,609 5,867,829
Chase Manhattan Corp. ........... 281,450 19,877,406
Citicorp......................... 253,445 20,940,893
Wells Fargo & Co. ............... 134,083 32,029,077
------------
78,715,205
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FINANCIAL SERVICES -- 9.8%
Associates First Capital
Corp.*......................... 176,200 $ 6,629,525
Charles Schwab Corp. ............ 123,375 3,022,688
Federal Home Loan Mtge. Corp. ... 10,175 869,963
Federal National Mtge. Assoc. ... 360,860 12,088,810
First USA Paymentech, Inc.*...... 96,550 3,862,000
Merrill Lynch & Co., Inc. ....... 362,500 23,607,812
Morgan Stanley Group, Inc. ...... 105,500 5,182,688
Reuters Holdings PLC [ADR]....... 22,725 1,647,562
Student Loan Marketing Assoc. ... 40,325 2,984,050
------------
59,895,098
------------
HEALTHCARE SERVICES -- 1.4%
Oxford Health Plans, Inc. ....... 207,075 8,515,959
------------
HOTELS & MOTELS -- 1.5%
HFS, Inc.*....................... 131,250 9,187,500
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.2%
Medtronic, Inc. ................. 26,525 1,485,400
------------
METALS & MINING -- 1.7%
Potash Corp. of
Saskatchewan, Inc. ............ 154,175 10,214,094
------------
MISCELLANEOUS -- 2.2%
Flightsafety International,
Inc. .......................... 248,325 13,471,631
------------
OFFICE EQUIPMENT -- 1.9%
Alco Standard Corp. ............. 49,750 2,251,188
Danka Business Systems PLC
[ADR].......................... 322,725 9,439,706
------------
11,690,894
------------
PHARMACEUTICALS -- 9.8%
Amgen, Inc.*..................... 225,025 12,151,350
Centocor, Inc.*.................. 277,525 8,291,059
Lilly, (Eli) & Co. .............. 331,050 21,518,250
Pfizer, Inc. .................... 249,975 17,841,966
------------
59,802,625
------------
PRINTING & PUBLISHING -- 1.7%
Gartner Group, Inc. Cl-A*........ 289,800 10,613,925
------------
RESTAURANTS -- 0.5%
Lone Star Steakhouse & Saloon*... 7,775 293,506
Starbucks Corp.*................. 106,700 3,014,275
------------
3,307,781
------------
RETAIL & MERCHANDISING -- 5.4%
Fila Holding SPA [ADR]........... 209,375 18,058,594
Nike, Inc. Cl-B.................. 146,450 15,047,737
------------
33,106,331
------------
TELECOMMUNICATIONS -- 5.1%
Ascend Communications, Inc.*..... 303,525 17,073,281
MFS Communications Co., Inc. .... 27,800 1,045,975
U.S. Robotics Corp.*............. 146,925 12,562,086
U.S. Satellite Broadcasting
Co., Inc.*..................... 16,600 626,650
------------
31,307,992
------------
</TABLE>
6
<PAGE> 11
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
UTILITIES -- 0.5%
PECO Energy Co. ................. 107,800 $ 2,802,800
------------
TOTAL COMMON STOCK
(COST $444,629,038)................ 565,744,436
------------
PREFERRED STOCK -- 0.6%
FINANCIAL SERVICES
American Express 6.25% [CVT]
(COST $2,780,360).............. 56,000 3,675,000
------------
FOREIGN STOCK -- 1.3%
AUTOMOBILE MANUFACTURERS
Porsche AG -- (DEM)*
(COST $8,294,264).............. 13,419 8,048,223
------------
SHORT TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund... 35,111 35,111
Temporary Investment Fund........ 35,111 35,111
------------
(COST $70,222)................. 70,222
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- -------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 7.0%
American Express Co.
5.32%............... 07/01/96 $10,000 10,000,000
Federal Home Loan
Mtge Corp.
5.48%............... 07/01/96 5,000 5,000,000
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Ford Motor Credit Co.
5.49%............... 07/01/96 $27,900 $ 27,900,000
------------
TOTAL COMMERCIAL PAPER
(COST $42,900,000)................ 42,900,000
------------
TOTAL INVESTMENTS -- 101.5%
(COST $498,673,884)............... 620,437,881
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (1.5%)............ (9,413,656)
------------
NET ASSETS -- 100.0%................ $611,024,225
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy DEM $7,142,391 1.4701 08/96 $ (215,068)
Sell DEM 13,803,361 1.4436 08/96 655,976
----------
$ 440,908
==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
7
<PAGE> 12
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 35.2%
FEDERAL HOME LOAN BANK -- 6.1%
5.52%............... 07/01/96 $34,795 $ 34,795,000
------------
FEDERAL HOME LOAN MORTGAGE CORP. -- 16.2%
5.52%............... 07/01/96 12,660 12,660,000
5.25%............... 07/15/96 20,000 19,959,166
5.27%............... 07/22/96 15,000 14,953,887
5.28%............... 07/22/96 15,000 14,953,800
5.29%............... 07/25/96 10,000 9,964,733
5.28%............... 07/31/96 10,000 9,956,000
5.30%............... 08/12/96 10,000 9,938,167
------------
92,385,753
------------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 12.9%
5.25%............... 07/11/96 5,000 4,998,482
5.26%............... 07/12/96 9,115 9,100,350
5.22%............... 07/18/96 10,000 9,975,350
5.30%............... 08/06/96 7,500 7,460,250
5.30%............... 08/08/96 7,500 7,458,041
5.60%............... 11/01/96 6,000 5,996,684
5.45%............... 11/15/96 5,000 4,998,412
5.30%............... 12/26/96 14,000 13,985,368
5.55%............... 06/11/97 10,000 9,992,677
------------
73,965,614
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $201,146,367)............... 201,146,367
------------
U.S. TREASURY OBLIGATIONS -- 0.9%
U.S. TREASURY
BILLS -- 0.0%
4.85%............... 07/25/96 10 9,968
4.95%............... 07/25/96 283 282,066
------------
292,034
------------
U.S. TREASURY
NOTES -- 0.9%
7.50%............... 01/31/97 5,000 5,067,215
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $5,359,249)................. 5,359,249
------------
CERTIFICATES OF DEPOSIT -- 10.3%
Bank National de Paris
New York
5.38%............... 08/07/96 10,000 10,000,000
Bank of New York
Co., Inc.
5.55%............... 04/01/97 5,000 4,997,385
Canadian Imperial Bank
5.41%............... 08/26/96 10,000 10,000,000
National Bank of
Australia
5.75%............... 10/02/96 5,000 4,998,416
National Westminster
Bank New York
5.40%............... 08/20/96 10,000 10,000,138
Royal Bank of Canada
5.81%............... 05/13/97 4,000 3,999,668
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C>
Societe Generale New
York
5.65%............... 04/01/97 $15,000 $ 15,002,956
------------
TOTAL CERTIFICATES OF DEPOSIT
(COST $58,998,563)................ 58,998,563
------------
COMMERCIAL PAPER -- 51.6%
BEVERAGES -- 7.8%
Coca-Cola Co.
5.35%............... 08/08/96 10,000 9,943,528
Pepsico, Inc.
5.35%............... 08/12/96 15,000 14,906,375
Seagram, Joseph E. &
Sons, Inc.
5.40%............... 07/30/96 20,000 19,913,000
------------
44,762,903
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 4.8%
General Electric Co.
5.31%............... 07/03/96 7,500 7,497,788
Hewlett-Packard Co.
5.25%............... 08/30/96 20,000 19,825,000
------------
27,322,788
------------
ENTERTAINMENT & LEISURE -- 3.0%
Walt Disney Co.
5.25%............... 07/08/96 12,000 11,987,750
5.28%............... 08/05/96 5,000 4,974,333
------------
16,962,083
------------
FINANCIAL
SERVICES -- 20.1%
AIG Funding
5.33%............... 07/16/96 10,000 9,977,792
American Express Co.
5.32%............... 07/24/96 10,000 9,966,011
Cades Be
5.35%............... 08/21/96 20,000 19,848,417
Commerzbank
5.28%............... 07/15/96 10,000 9,979,467
Ford Motor Credit Co.
5.34%............... 07/16/96 20,000 19,955,500
General Electric
Capital Corp.
5.33%............... 07/09/96 10,000 9,988,156
National Australia
Funding, Inc.
5.36%............... 07/25/96 10,000 9,964,267
UBS Finance, Inc.
5.55%............... 07/01/96 25,000 25,000,000
------------
114,679,610
------------
FINANCIAL-BANK & TRUST -- 6.5%
Bayerische Landesbank [VR]
5.29%............... 01/15/97 5,000 4,998,286
Bayerische Vereinsbank
5.31%............... 07/03/96 17,000 16,994,985
</TABLE>
8
<PAGE> 13
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Chase Manhattan Corp.
5.40%............... 09/09/96 $10,000 $ 9,895,000
Comerica Bank of
Detroit, Michigan
5.70%............... 09/03/96 5,000 4,999,410
------------
36,887,681
------------
PHARMACEUTICALS -- 4.5%
Glaxo Wellcome PLC
5.30%............... 08/13/96 20,000 19,873,389
Lilly, (Eli) & Co.
5.35%............... 07/01/96 6,000 6,000,000
------------
25,873,389
------------
RETAIL & MERCHANDISING -- 1.4%
Toys 'R' Us, Inc.
5.30%............... 07/09/96 8,000 7,990,578
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
UTILITIES -- 3.5%
Southern Co.
5.40%............... 07/02/96 $20,000 $ 19,997,000
------------
TOTAL COMMERCIAL PAPER
(COST $294,476,032)............... 294,476,032
------------
TIME DEPOSITS -- 2.1%
FINANCIAL-BANK & TRUST
NationsBank Corp.
4.90%
(COST $11,996,525).... 02/05/97 12,000 11,996,525
------------
TOTAL INVESTMENTS -- 100.1%
(COST $571,976,736)............... 571,976,736
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.1%)............ (758,844)
------------
NET ASSETS -- 100.0%................ $571,217,892
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
9
<PAGE> 14
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 81.2%
AUTOMOBILE MANUFACTURERS -- 1.2%
Ford Motor Co. .................... 46,200 $ 1,495,725
------------
COMPUTER SERVICES & SOFTWARE -- 0.7%
Electronic Data Systems Corp. ..... 15,931 856,291
------------
FINANCIAL-BANK & TRUST -- 1.0%
Mellon Bank Corp. ................. 21,100 1,202,700
------------
FOOD -- 1.7%
Philip Morris Companies, Inc. ..... 20,400 2,121,600
------------
OIL & GAS -- 4.0%
Exxon Corp. ....................... 28,200 2,449,875
New Jersey Resources Corp. ........ 8,300 238,625
Panenergy Corp. ................... 28,500 936,938
Williams Companies, Inc. .......... 25,000 1,237,500
------------
4,862,938
------------
REAL ESTATE -- 1.9%
Meditrust Corp. [REIT]............. 68,000 2,269,500
------------
TELECOMMUNICATIONS -- 25.2%
Ameritech Corp. ................... 71,800 4,263,125
AT&T Corp. ........................ 80,600 4,997,200
BellSouth Corp. ................... 133,100 5,640,113
Cia de Telecomunicaciones de Chile
SA [ADR]......................... 13,300 1,305,063
GTE Corp. ......................... 113,700 5,088,075
MCI Communications Corp. .......... 124,600 3,192,875
Pacific Telesis Group.............. 72,000 2,430,000
SBC Communications, Inc. .......... 50,000 2,462,500
Telcomunicacoes Brasileras [ADR]... 18,400 1,281,100
------------
30,660,051
------------
UTILITIES -- 0.4%
American Water Works Co., Inc. .... 10,800 434,700
------------
UTILITIES -- ELECTRIC -- 39.0%
Cinergy Corp. ..................... 43,400 1,388,800
CMS Energy Corp. .................. 113,700 3,510,488
DPL, Inc. ......................... 131,600 3,207,750
DQE, Inc. ......................... 92,750 2,550,625
Duke Power Co. .................... 94,200 4,827,750
FPL Group, Inc. ................... 109,600 5,041,600
General Public Utilities Corp. .... 51,900 1,829,475
Illinova Corp. .................... 102,600 2,949,750
Korea Electric Power Corp. [ADR]... 53,000 1,285,250
National Power PLC [ADR]........... 78,300 1,908,563
NIPSCO Industries, Inc. ........... 67,200 2,704,800
Pacificorp......................... 87,400 1,944,650
PECO Energy Co. ................... 87,500 2,275,000
Pinnacle West Capital Co. ......... 115,800 3,517,425
Southern Co. ...................... 122,100 3,006,713
Teco Energy, Inc. ................. 101,900 2,572,975
Texas Utilities Co. ............... 69,800 2,983,950
------------
47,505,564
------------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
UTILITIES -- GAS -- 6.1%
Enron Corp. ....................... 61,900 $ 2,530,163
MCN Corp. ......................... 102,200 2,491,121
Pacific Enterprises................ 82,500 2,444,063
------------
7,465,347
------------
TOTAL COMMON STOCK
(COST $88,053,245)................... 98,874,416
------------
PREFERRED STOCK -- 10.3%
ENVIRONMENTAL SERVICES -- 1.2%
Browning-Ferris Industries, Inc.
7.25% [CVT]...................... 44,700 1,419,225
------------
FINANCIAL SERVICES -- 5.2%
Merrill Lynch & Co., Inc. [CVT]
6.00%............................ 30,200 668,175
7.25%............................ 11,200 634,200
$3.12............................ 38,100 2,057,400
Noram Financing 6.25% [CVT]........ 15,000 813,750
SunAmerica, Inc. $3.10 [CVT]....... 29,500 2,205,125
------------
6,378,650
------------
INDUSTRIAL PRODUCTS -- 1.0%
Coeur d'Arlene Mines Corp. [CVT]
7.00%............................ 58,600 1,157,350
------------
OIL & GAS -- 1.6%
Sun Co., Inc. $1.80 [CVT].......... 15,900 469,050
Wiliams Companies,
Inc. $3.50 [CVT]................. 19,500 1,547,813
------------
2,016,863
------------
PAPER & FOREST PRODUCTS -- 0.8%
International Paper Co. 5.25% [CVT]
144A............................. 10,000 445,540
International Paper Co. 5.25%
[CVT]............................ 11,200 492,800
------------
938,340
------------
TELECOMMUNICATIONS -- 0.5%
Salomon, Inc. 7.625% [CVT]......... 21,800 594,050
------------
TOTAL PREFERRED STOCK
(COST $12,009,261)................... 12,504,478
------------
<CAPTION>
PAR
MATURITY (000)
------- ------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 5.8%
COMPUTER HARDWARE -- 0.5%
3Com Corp. [CVT] 144A
10.25%................. 11/01/01 $ 420 649,950
------------
</TABLE>
10
<PAGE> 15
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C>
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.8%
Altera Corp. [CVT] 144A
5.75%.................. 06/15/02 $1,155 $ 1,157,887
Solectron Corp. [CVT]
144A
6.00%.................. 03/01/06 1,200 1,101,000
------------
2,258,887
------------
FINANCIAL SERVICES -- 1.1%
New World Infrastructure
[CVT] 144A
5.00%.................. 07/15/01 1,350 1,296,000
------------
PHARMACEUTICALS -- 1.0%
Alza Corp. [CVT]
5.00%.................. 05/01/06 1,200 1,167,000
------------
RETAIL & MERCHANDISING -- 1.0%
Federated Department
Stores, Inc. [CVT]
5.00%.................. 10/01/03 1,010 1,166,550
------------
SEMI-CONDUCTORS -- 0.4%
Analog Devices, Inc.
[CVT]
3.50%.................. 12/01/00 480 549,600
------------
TOTAL CORPORATE OBLIGATIONS
(COST $7,283,595)................. 7,087,987
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 4.4%
HSBC Securities, Inc.
5.30% dated 06/28/96,
repurchase price
$5,407,387
(Collateralized by U.S.
Treasury Note, par
value $5,555,000,
market value $5,559,453
due 04/30/01) (COST
$5,405,000)............ 07/01/96 $5,405 $ 5,405,000
------------
TOTAL INVESTMENTS -- 101.7%
(COST $112,751,101)............... 123,871,881
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.7%).................... (2,094,239)
------------
NET ASSETS -- 100.0%.................. $121,777,642
============
</TABLE>
- --------------------------------------------------------------------------------
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 3.8% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
11
<PAGE> 16
AST PHOENIX BALANCED ASSET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 58.1%
AEROSPACE -- 2.2%
Boeing Co. ........................ 35,000 $ 3,049,375
United Technologies Corp. ......... 25,000 2,875,000
----------
5,924,375
----------
AIRLINES -- 1.0%
AMR Corp.*......................... 30,000 2,730,000
----------
BEVERAGES -- 1.6%
Pepsico, Inc. ..................... 119,500 4,227,313
----------
BUSINESS SERVICES -- 1.5%
Equifax, Inc. ..................... 53,500 1,404,375
Manpower, Inc. .................... 67,900 2,665,075
----------
4,069,450
----------
CHEMICALS -- 0.9%
Monsanto Co. ...................... 75,000 2,437,500
----------
COMPUTER SERVICES & SOFTWARE -- 6.2%
Cisco Systems, Inc.*............... 47,100 2,667,037
Computer Associates
International, Inc. ............. 34,200 2,436,750
First Data Corp. .................. 40,600 3,232,775
HBO & Co. ......................... 50,400 3,414,600
Microsoft Corp.*................... 21,100 2,534,637
Netscape Communications Corp.*..... 34,900 2,172,525
----------
16,458,324
----------
COMPUTER HARDWARE -- 1.1%
Sun Microsystems, Inc.*............ 48,200 2,837,775
----------
CONGLOMERATES -- 1.1%
Procter & Gamble Co. .............. 32,000 2,900,000
----------
CONSTRUCTION -- 0.8%
Fluor Corp. ....................... 32,200 2,105,075
----------
CONSUMER PRODUCTS & SERVICES -- 1.6%
Corrections Corp. of America*...... 21,200 1,484,000
Gillette Co. ...................... 44,400 2,769,450
----------
4,253,450
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.5%
General Electric Co. .............. 20,000 1,730,000
Hewlett-Packard Co. ............... 35,100 3,496,837
Raychem Corp. ..................... 20,000 1,437,500
Waters Corp.*...................... 76,600 2,527,800
----------
9,192,137
----------
ENTERTAINMENT & LEISURE -- 0.5%
Walt Disney Co. ................... 21,600 1,358,100
----------
ENVIRONMENTAL SERVICES -- 0.3%
WMX Technologies, Inc. ............ 25,000 818,750
----------
FINANCIAL-BANK & TRUST -- 2.0%
Citicorp........................... 34,000 2,809,250
NationsBank Corp. ................. 31,200 2,577,900
----------
5,387,150
----------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
FINANCIAL SERVICES -- 1.7%
Donaldson, Lufkin & Jenrette,
Inc. ............................ 16,700 $ 517,700
Green Tree Financial Corp. ........ 41,200 1,287,500
SunAmerica, Inc. .................. 44,900 2,536,850
----------
4,342,050
----------
FOOD -- 1.1%
Philip Morris Companies, Inc. ..... 28,500 2,964,000
----------
HOTELS & MOTELS -- 2.1%
HFS, Inc.*......................... 41,800 2,926,000
Interstate Hotels Co.*............. 53,300 1,185,925
Marriott International, Inc. ...... 25,000 1,343,750
----------
5,455,675
----------
INSURANCE -- 2.0%
American International
Group, Inc. ..................... 25,000 2,465,625
Travelers Group, Inc. ............. 61,850 2,821,906
----------
5,287,531
----------
MACHINERY & EQUIPMENT -- 0.9%
Dover Corp. ....................... 52,800 2,435,400
----------
MEDICAL SUPPLIES & EQUIPMENT -- 2.8%
Guidant Corp. ..................... 54,800 2,698,900
Manor Care, Inc. .................. 36,500 1,437,188
Medtronic, Inc. ................... 58,100 3,253,600
----------
7,389,688
----------
OFFICE EQUIPMENT -- 1.1%
Xerox Corp. ....................... 54,300 2,905,050
----------
OIL & GAS -- 6.5%
Anadarko Petroleum Corp. .......... 24,000 1,392,000
Apache Corp. ...................... 41,700 1,370,888
Baker Hughes, Inc. ................ 73,000 2,399,875
Consolidated Natural Gas Co. ...... 20,400 1,065,900
Enron Corp. ....................... 69,800 2,203,075
Ensco International, Inc.*......... 44,400 1,443,000
Halliburton Co. ................... 50,500 2,802,750
Louisiana Land & Exploration
Co. ............................. 15,000 864,375
Schlumberger Ltd. ................. 36,800 3,100,400
Sonat, Inc. ....................... 11,900 535,500
----------
17,177,763
----------
PHARMACEUTICALS -- 5.6%
American Home Products Corp. ...... 50,000 3,006,250
Genzyme Corp.*..................... 20,000 1,005,000
Johnson & Johnson.................. 60,000 2,970,000
Lilly, (Eli) & Co. ................ 38,800 2,522,000
Merck & Co., Inc. ................. 40,000 2,585,000
Pfizer, Inc. ...................... 36,200 2,583,775
----------
14,672,025
----------
RETAIL & MERCHANDISING -- 5.6%
Autozone, Inc.*.................... 95,600 3,322,100
Federated Department Stores,
Inc.*............................ 75,000 2,559,375
</TABLE>
12
<PAGE> 17
AST PHOENIX BALANCED ASSET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Melville Corp. .................... 30,000 $ 1,215,000
Nike, Inc. Cl-B.................... 30,000 3,082,500
Petsmart, Inc.*.................... 34,000 1,623,500
Staples, Inc.*..................... 60,000 1,170,000
TJX Companies, Inc. ............... 50,000 1,687,500
------------
14,659,975
------------
SEMI-CONDUCTORS -- 0.7%
Intel Corp. ....................... 25,900 1,902,032
------------
TELECOMMUNICATIONS -- 3.7%
AT&T Corp. ........................ 50,800 3,149,600
McLeod, Inc. Cl-A*................. 77,000 1,848,000
Newbridge Networks Corp.*.......... 37,700 2,469,350
U.S. Robotics, Inc.*............... 25,400 2,171,700
------------
9,638,650
------------
TOTAL COMMON STOCK
(COST $141,844,129).................. 153,529,238
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- --------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 0.2%
TELECOMMUNICATIONS -- 0.1%
Rogers Communications,
Inc. Sr. Notes
9.125%.................. 01/15/06 $ 200 186,000
-------------
TRANSPORTATION -- 0.1%
Teekay Shipping Corp.
8.32%................... 02/01/08 330 310,200
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $529,275)....................... 496,200
-------------
MUNICIPAL OBLIGATIONS -- 2.0%
Kergen County, CA Pension
Obligation
7.26%................... 08/15/14 370 356,125
Long Beach, CA Pension
Obligation
6.87%................... 09/01/06 200 194,500
Miami Beach, FL Special
Obligation (Pension
Funding Project)
8.60%................... 09/01/21 780 835,575
Michigan Public Power
Agency Revenue (Belle
River Project)
5.25%................... 01/01/18 400 362,000
Newport News, VA General
Obligation
7.05%................... 01/15/25 1,000 922,500
Orange County, CA Pension
Obligation
7.62%................... 09/01/08 950 958,312
San Bernardino County, CA
Pension Obligation
6.87%................... 08/01/08 100 96,750
6.94%................... 08/01/09 270 261,900
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C>
South Carolina State
Public Service Authority
Revenue
5.00%................... 01/01/25 $ 305 $ 263,444
University of Miami, FL
Revenue [VR]
7.65%................... 04/01/20 905 883,506
Ventura County, CA Pension
Obligation
6.54%................... 11/01/05 235 226,188
-------------
TOTAL MUNICIPAL OBLIGATIONS
(COST $5,542,274)..................... 5,360,800
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.3%
FEDERAL HOME LOAN BANK -- 2.4%
5.27%................... 07/29/96 6,425 6,398,665
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 1.9%
7.50%................... 08/15/23 272 268,052
6.50%................... 10/15/23 737 686,873
6.50%................... 11/15/23 1,833 1,707,737
6.50%................... 12/15/23 2,331 2,171,043
6.50%................... 02/15/24 236 219,803
-------------
5,053,508
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $11,682,213).................... 11,452,173
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.3%
Airplanes Pass Through
Trust
10.875%................. 03/15/19 100 104,250
CS First Boston Mtge.
Securities Corp.
7.182%.................. 11/25/27 451 435,563
Donaldson Lufkin &
Jenrette Mtge.
Acceptance Corp.
7.58%................... 12/27/27 575 576,437
GE Capital Mtge. Services,
Inc.
7.25%................... 05/01/26 999 932,460
Green Tree Financial Corp.
7.60%................... 04/15/27 750 737,983
7.40%................... 06/15/27 860 853,012
Lehman Brothers Commercial
Conduit Mtge. Trust
7.184%.................. 01/25/05 350 340,594
Merrill Lynch Mtge.
Investors, Inc.
7.148%.................. 12/26/25 750 722,930
7.42%................... 04/25/28 1,050 1,032,937
Merrill Lynch Mtge.
Investors, Inc. Cl-B
7.645%.................. 06/15/21 241 240,924
Nationslink Funding Corp.
7.69%................... 12/20/05 800 799,500
</TABLE>
13
<PAGE> 18
AST PHOENIX BALANCED ASSET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C>
Residential Funding Mtge.
Securities Inc.
7.10%................... 01/25/26 $ 1,000 $ 932,969
7.25%................... 02/25/26 997 939,302
Resolution Trust Corp.
8.75%................... 05/25/24 350 358,258
6.90%................... 02/25/27 425 405,742
6.80%................... 05/25/27 970 925,536
7.15%................... 05/25/29 404 397,097
Securitized Asset Sales,
Inc.
6.807%.................. 11/28/23 982 881,048
Structured Asset
Securities Corp.
7.375%.................. 09/25/24 1,500 1,451,250
6.525%.................. 02/25/28 860 818,075
-------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS
(COST $14,235,546).................... 13,885,867
-------------
U.S. TREASURY OBLIGATIONS -- 17.1%
U.S. TREASURY BONDS -- 1.1%
6.25%................... 08/15/23 3,250 2,948,042
-------------
U.S. TREASURY NOTES -- 16.0%
4.75%................... 02/15/97 4,000 3,977,800
5.75%................... 09/30/97 10,000 9,982,300
5.125%.................. 04/30/98 2,500 2,461,099
5.125%.................. 12/31/98 3,300 3,218,985
6.375%.................. 05/15/99 4,450 4,460,502
5.50%................... 04/15/00 2,350 2,282,626
6.25%................... 02/15/03 3,200 3,147,072
7.25%................... 05/15/04 5,200 5,391,463
6.50%................... 08/15/05 2,100 2,071,461
6.875%.................. 05/15/06 4,040 4,084,197
6.00%................... 02/15/26 1,375 1,219,556
-------------
42,297,061
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $45,868,819).................... 45,245,103
-------------
SOVEREIGN ISSUES -- 2.3%
ARGENTINA -- 0.5%
Republic of Argentina
Disc. [FRB, BRB]
6.5625%................. 03/31/23 500 349,687
Republic of Argentina
[FRB, BRB]
6.3125%................. 03/31/05 644 502,734
Republic of Argentina Par
[STEP, BRB]
5.25%................... 03/31/23 750 411,563
-------------
1,263,984
-------------
BRAZIL -- 0.3%
Republic of Brazil
Capitalization [BRB]
8.00%................... 04/15/14 379 234,414
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C>
Republic of Brazil Disc.
[FRB, BRB]
6.50%................... 04/15/24 $ 350 $ 248,719
Republic of Brazil Par
Bond
5.00%................... 04/15/24 500 277,500
-------------
760,633
-------------
COLUMBIA -- 0.4%
Financiera Energy Nacional
144A
9.00%................... 11/08/99 390 399,750
Republic of Columbia
7.25%................... 02/15/03 250 235,937
7.25%................... 02/23/04 425 395,250
-------------
1,030,937
-------------
MEXICO -- 0.3%
United Mexican States Cl-A
[BRB]
6.25%................... 12/31/19 1,450 940,688
-------------
NETHERLANDS -- 0.2%
Asia Pulp & Paper Co.
11.75%.................. 10/01/05 500 516,250
-------------
PANAMA -- 0.3%
Republic of Panama
Interest Reduction Bond
3.50%................... 07/17/14 700 390,250
Republic of Panama Past
Due Interest Bond
6.75%................... 07/17/16 650 397,313
-------------
787,563
-------------
PHILIPPINES -- 0.3%
Philippines [BRB]
6.8125%................. 01/05/05 450 432,984
6.25%................... 12/01/17 500 398,750
-------------
831,734
-------------
TOTAL SOVEREIGN ISSUES
(COST $5,937,158)..................... 6,131,789
-------------
COMMERCIAL PAPER -- 10.4%
Allied-Signal, Inc.
5.40%................... 07/12/96 2,250 2,246,288
Exxon Imperial U.S., Inc.
5.35%................... 07/03/96 1,905 1,904,434
Greenwich Funding Corp.
5.38%................... 07/25/96 2,550 2,540,854
GTE North
5.35%................... 07/02/96 2,480 2,479,631
Heinz, (H.J.) Co.
5.34%................... 07/23/96 1,990 1,983,506
5.38%................... 07/30/96 3,500 3,484,831
Kimberly-Clark Corp.
5.33%................... 07/19/96 2,470 2,463,417
</TABLE>
14
<PAGE> 19
AST PHOENIX BALANCED ASSET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C>
McDonald's Corp.
5.30%................... 07/01/96 $ 6,000 $ 6,000,000
Receivables Capital Corp.
5.40%................... 07/19/96 1,500 1,495,950
Wal-Mart Stores, Inc.
5.30%................... 07/08/96 2,785 2,782,130
-------------
TOTAL COMMERCIAL PAPER
(COST $27,381,041).................... 27,381,041
-------------
<CAPTION>
VALUE
-------------
<S> <C>
TOTAL INVESTMENTS -- 99.7%
(COST $253,020,455)................... $ 263,482,211
OTHER ASSETS LESS LIABILITIES -- 0.3%... 776,002
-------------
NET ASSETS -- 100.0%.................... $ 264,258,213
=============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.2% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
15
<PAGE> 20
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 89.3%
AEROSPACE -- 0.6%
Tracor, Inc. Sr. Sub.
Notes
10.875%.............. 08/15/01 $ 650 $ 690,625
------------
AUTOMOTIVE PARTS -- 3.3%
Aftermarket Technology
Sr. Sub. Notes
12.00%............... 08/01/04 1,250 1,356,250
Exide Corp. Sr. Notes
10.00%............... 04/15/05 975 960,375
Fairfield Manufacturing
Co. Sr. Sub. Notes
11.375%.............. 07/01/01 500 507,500
Great Dane Holdings Sr.
Sub. Debs.
12.75%............... 08/01/01 500 482,500
JPS Automotive Products
Corp. Sr. Notes
11.125%.............. 06/15/01 250 257,500
Lear Seating Corp. Sub.
Notes
8.25%................ 02/01/02 550 526,625
------------
4,090,750
------------
BEVERAGES -- 0.7%
Dr. Pepper Bottling
Holding Co. Sr. Notes
[ZCB]
2.68%................ 02/15/03 1,000 825,000
------------
BROADCASTING -- 7.2%
Allbritton
Communications Sr.
Sub. Debs.
11.50%............... 08/15/04 500 512,500
Argyle Television, Inc.
Sr. Sub. Notes
9.75%................ 11/01/05 500 467,500
Australis Media Ltd.
Yankee Unit [STEP]
8.62%................ 05/15/03 350 208,250
Chancellor Broadcasting
Sr. Sub. Notes
12.50%............... 10/01/04 375 413,435
Granite Broadcasting
Corp. Sr. Sub. Notes
10.375%.............. 05/15/05 1,000 972,500
Heritage Media Corp.
Sr. Sub. Notes
8.75%................ 02/15/06 1,000 932,500
Lenfest Communications
Sr. Sub. Notes 144A
10.50%............... 06/15/06 300 302,250
NWCG Holding Corp. Sr.
Disc. Notes [ZCB]
13.20%............... 06/15/99 300 222,000
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
SCI Television, Inc.
Sr. Notes
11.00%............... 06/30/05 $ 1,150 $ 1,200,310
SFX Broadcasting Sr.
Sub. Notes 144A
10.75%............... 05/15/06 500 500,000
Sinclair Broadcasting
Group Sr. Sub. Notes
10.00%............... 12/15/03 650 622,370
10.00%............... 09/30/05 750 718,125
Sullivan Broadcasting
Sr. Sub. Notes
10.25%............... 12/15/05 600 576,000
13.25%............... 12/15/06 150 129,750
Young Broadcasting
Corp. Sr. Sub. Notes
11.75%............... 11/15/04 250 263,125
10.125%.............. 02/15/05 750 721,875
------------
8,762,490
------------
BUSINESS SERVICES -- 0.6%
Monarch Marking Systems
Sr. Notes
12.50%............... 07/01/03 700 743,750
------------
CHEMICALS -- 5.0%
Arcadian Partners L.P.
Sr. Notes Cl-B
10.75%............... 05/01/05 800 872,000
Crain Industries, Inc.
Sr. Sub. Notes
13.50%............... 08/15/05 700 745,500
Foamex L.P. Sr. Notes
11.25%............... 10/01/02 550 568,563
11.875%.............. 10/01/04 250 257,500
G-I Holdings Sr. Notes
[ZCB]
11.20%............... 10/01/98 671 541,832
Harris Chemical North
America Sr. Notes
[STEP]
10.25%............... 07/15/01 1,000 1,005,000
Polymer Group, Inc. Sr.
Notes
12.25%............... 07/15/02 600 645,000
RBX Corp. Sr. Sub.
Notes
11.25%............... 10/15/05 800 760,000
Texas Petrochemicals
Corp. Sr. Sub. Notes
144A
11.125%.............. 07/01/06 400 400,000
Uniroyal Technology Sr.
Notes
11.75%............... 06/01/03 425 384,625
------------
6,180,020
------------
</TABLE>
16
<PAGE> 21
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
CLOTHING & APPAREL -- 2.8%
Collins & Aikman
Products Sr. Sub.
Notes
11.50%............... 04/15/06 $ 850 $ 865,938
Dan River, Inc.
Sr. Sub. Notes
10.125%.............. 12/15/03 900 874,125
Westpoint Stevens, Inc.
Sr. Sub. Debs.
9.375%............... 12/15/05 1,750 1,706,250
------------
3,446,313
------------
COMPUTER SERVICES & SOFTWARE -- 0.9%
Alvey Systems, Inc. Sr.
Sub. Notes
11.375%.............. 01/31/03 1,025 1,050,625
------------
CONSUMER PRODUCTS & SERVICES -- 4.0%
Cabot Safety Corp. Sr.
Sub. Notes
12.50%............... 07/15/05 750 830,625
Herff Jones, Inc.
Sr. Sub. Notes
11.00%............... 08/15/05 550 569,250
Hosiery Corp. of
America, Inc. Sr.
Sub. Notes
13.75%............... 08/01/02 500 540,000
Playtex Family Products
Corp. Sr. Sub. Notes
9.00%................ 12/15/03 1,250 1,176,563
Revlon Consumer Products
Corp. Sr. Notes
9.375%............... 04/01/01 500 491,250
10.50%............... 02/15/03 625 630,469
Simmons Co. Sr. Sub.
Notes 144A
10.75%............... 04/15/06 500 497,500
Twin Laboratories, Inc.
Sr. Sub. Notes 144A
10.25%............... 05/15/06 175 178,938
------------
4,914,595
------------
CONTAINERS & PACKAGING -- 4.9%
Container Corp. of
America Sr. Notes
9.75%................ 04/01/03 250 245,625
11.25%............... 05/01/04 250 258,125
Owens Illinois, Inc.
Sr. Sub. Notes
9.95%................ 10/15/04 1,750 1,765,313
Packaging Resources,
Inc. Sr. Notes 144A
11.625%.............. 05/01/03 250 254,375
Plastic Container Sr. Notes
10.75%............... 04/01/01 850 852,125
Portola Packaging, Inc.
Sr. Notes
10.75%............... 10/01/05 425 428,188
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Riverwood International
Co. Sr. Notes
10.875%.............. 04/01/08 $ 1,200 $ 1,185,000
Stone Container Co. Sr.
Notes
9.875%............... 02/01/01 200 195,500
11.50%............... 10/01/04 500 508,125
Trans Ocean Container
Sr. Sub. Notes
12.25%............... 07/01/04 350 362,250
------------
6,054,626
------------
ENTERTAINMENT & LEISURE -- 3.5%
Affinity Group Sr.
Sub. Notes
11.50%............... 10/15/03 500 506,250
AMF Group, Inc. Sr.
Disc. Notes [STEP]
144A
6.02%................ 03/15/06 1,250 693,750
AMF Group, Inc. Sr.
Sub. Notes 144A
10.875%.............. 03/15/06 400 396,000
Cobblestone Golf Group
Sr. Notes 144A
11.50%............... 06/01/03 550 555,500
Premier Parks Sr. Notes
12.00%............... 08/15/03 600 639,000
Six Flags Theme Parks
Sr. Sub. Notes Cl-A
[STEP]
2.86%................ 06/15/05 1,800 1,534,500
------------
4,325,000
------------
ENVIRONMENTAL SERVICES -- 2.1%
Allied Waste Industries
Sr. Sub. Notes
12.00%............... 02/01/04 500 550,000
Envirosource, Inc. Sr.
Notes
9.75%................ 06/15/03 1,000 917,500
ICF Kaiser
International Sr.
Sub. Notes
13.00%............... 12/31/03 600 579,000
Mid-American Waste
Systems, Inc. Sr.
Sub. Notes
12.25%............... 02/15/03 900 585,000
------------
2,631,500
------------
EQUIPMENT SERVICES -- 1.3%
Coinmach Corp. Sr.
Notes
11.75%............... 11/15/05 781 822,003
Primeco, Inc. Sr. Sub.
Notes
12.75%............... 03/01/05 750 806,250
------------
1,628,253
------------
</TABLE>
17
<PAGE> 22
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
FARMING & AGRICULTURE -- 2.2%
Dimon, Inc. Sr. Notes
8.875%............... 06/01/06 $ 1,000 $ 1,006,250
Spreckels Industries,
Inc. Sr. Notes
11.50%............... 09/01/00 350 362,250
Viridian, Inc. Notes
9.75%................ 04/01/03 775 788,563
10.50%............... 03/31/14 500 520,000
------------
2,677,063
------------
FINANCIAL-BANK & TRUST -- 1.1%
First Nationwide
Holdings Sr. Notes
12.25%............... 05/15/01 750 811,875
12.50%............... 04/15/03 500 523,750
------------
1,335,625
------------
FINANCIAL SERVICES -- 0.9%
Mesa Operating Co. Sr.
Sub. Disc. Notes
[STEP]
5.68%................ 07/01/06 600 352,500
Mesa Operating Co. Sr.
Sub. Notes
10.625%.............. 07/01/06 700 712,250
------------
1,064,750
------------
FOOD -- 5.5%
Americold Corp. Sr.
Sub. Notes
12.875%.............. 05/01/08 450 461,250
Carr-Gottstein Foods
Co. Sr. Sub. Notes
12.00%............... 11/15/05 900 927,000
Curtice-Burns Foods,
Inc. Sr. Sub. Notes
12.25%............... 02/01/05 800 786,000
Flagstar Corp. Sr.
Notes
10.75%............... 09/15/01 375 329,063
10.875%.............. 12/01/02 775 672,313
11.25%............... 11/01/04 125 83,125
Keebler Corp. Sr. Sub.
Notes 144A
10.75%............... 07/01/06 350 361,375
PMI Acquisition Sr.
Sub. Notes
10.25%............... 09/01/03 750 738,750
Smith's Food & Drug Sr.
Sub. Notes
11.25%............... 05/15/07 800 812,000
Specialty Foods Corp.
Sr. Notes
11.125%.............. 10/01/02 400 381,000
11.25%............... 08/15/03 600 519,000
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Van de Kamps, Inc. Sr.
Sub. Notes
12.00%............... 09/15/05 650 693,875
------------
6,764,751
------------
HEALTHCARE SERVICES -- 2.1%
Genesis Health Ventures
Sr. Sub. Notes
9.75%................ 06/15/05 $ 500 $ 510,000
Icon Health & Fitness
Sr. Sub. Notes
13.00%............... 07/15/02 530 591,613
Tenet Healthcare Corp.
Sr. Sub. Notes
10.125%.............. 03/01/05 1,350 1,427,625
------------
2,529,238
------------
HOTELS & MOTELS -- 1.0%
Courtyard By Mariott
Sr. Notes
10.75%............... 02/01/08 950 933,375
Motels of America, Inc.
Sr. Sub. Notes Cl-B
12.00%............... 04/15/04 350 337,750
------------
1,271,125
------------
INDUSTRIAL PRODUCTS -- 2.7%
American Safety Razor
Co. Sr. Notes
9.875%............... 08/01/05 750 761,250
American Standard Debs.
11.375%.............. 05/15/04 250 270,938
Bar Technologies, Inc.
Units 144A
13.50%............... 04/01/01 300 306,000
Buckeye Cellulos Sr.
Sub. Notes
9.25%................ 09/15/08 1,000 994,490
Four M Corp. Sr. Notes
144A
12.00%............... 06/01/06 300 308,250
Ryerson Tull, Inc.
Notes
9.125%............... 07/15/06 700 703,500
------------
3,344,428
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.4%
Dade International,
Inc. Sr. Sub. Notes
144A
11.125%.............. 05/01/06 500 520,000
------------
METALS & MINING -- 2.5%
Acme Metals, Inc. Sr.
Disc. Notes [STEP]
7.37%................ 08/01/04 700 637,875
Armco, Inc. Sr. Notes
9.375%............... 11/01/00 250 247,188
Bayou Steel Corp. First
Mtge.
10.25%............... 03/01/01 500 471,250
</TABLE>
18
<PAGE> 23
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Geneva Steel Sr. Notes
9.50%................ 01/15/04 $ 125 $ 99,688
GS Technologies
Operating Corp. Sr.
Notes
12.00%............... 09/01/04 725 743,125
12.25%............... 10/01/05 250 256,875
Republic Engineered
Steel First Mtge.
9.875%............... 12/15/01 600 561,750
------------
3,017,751
------------
OFFICE EQUIPMENT -- 1.3%
Knoll, Inc. Sr. Sub.
Notes 144A
10.875%.............. 03/15/06 750 768,750
United Stationer Supply
Sr. Sub. Notes
12.75%............... 05/01/05 750 808,125
------------
1,576,875
------------
OIL & GAS -- 2.9%
Benton Oil & Gas Sr.
Notes 144A
11.625%.............. 05/01/03 400 414,000
Clark USA, Inc. Sr.
Notes
10.875%.............. 12/01/05 1,000 1,026,250
Falcon Drilling Co.,
Inc. Sr. Notes
9.75%................ 01/15/01 350 355,688
12.50%............... 03/15/05 300 334,875
Giant Industries Sr.
Sub. Notes
9.75%................ 11/15/03 550 541,750
H.S. Resources Sr. Sub.
Notes
9.875%............... 12/01/03 250 242,500
United Meridian Corp.
Sr. Sub. Notes
10.375%.............. 10/15/05 600 616,500
------------
3,531,563
------------
PAPER & FOREST PRODUCTS -- 1.0%
Repap New Brunswick Sr.
Notes
10.625%.............. 04/15/05 500 475,000
S.D. Warren Co. Sr.
Sub. Notes
12.00%............... 12/15/04 700 738,500
------------
1,213,500
------------
PRINTING & PUBLISHING -- 2.1%
Adams Outdoor
Advertising Sr. Notes
144A
10.75%............... 03/15/06 450 463,500
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Affiliated Newspaper
Investments Sr. Disc.
Notes [STEP]
5.55%................ 07/01/06 1,400 973,000
Garden State Newspapers
Sr. Sub. Notes
12.00%............... 07/01/04 $ 200 $ 211,500
Hollinger International
Publishing Co. Sr.
Sub. Notes
9.25%................ 02/01/06 1,000 921,250
------------
2,569,250
------------
REAL ESTATE -- 0.8%
Trizec Finance Ltd. Sr.
Notes
10.875%.............. 10/15/05 1,025 1,037,813
------------
RETAIL & MERCHANDISING -- 2.0%
Brylane L.P. Sr. Sub.
Notes Cl-B
10.00%............... 09/01/03 1,000 965,000
Pathmark Stores Sr.
Sub. Notes
9.625%............... 05/01/03 250 235,625
Ralph's Grocery Co. Sr.
Notes
10.45%............... 06/15/04 1,000 957,500
11.00%............... 06/15/05 325 299,813
------------
2,457,938
------------
TELECOMMUNICATIONS -- 18.5%
Arch Communications
Group Sr. Disc. Notes
[STEP]
4.47%................ 03/15/08 525 273,000
Bell Cablemedia PLC Sr.
Disc. Notes [STEP]
4.59%................ 07/15/04 850 602,438
Brooks Fiber Properties
Sr. Disc. Notes
[STEP] 144A
5.25%................ 03/01/06 500 267,500
Cablevision Systems
Corp. Sr. Sub. Notes
9.25%................ 11/01/05 1,250 1,168,750
9.875%............... 05/15/06 300 291,375
CAI Wireless Systems,
Inc. Sr. Notes
12.25%............... 09/15/02 500 525,000
Cellular Communications
International, Inc.
[ZCB]
12.17%............... 08/15/00 1,100 693,000
CF Cable TV, Inc. Sr.
Notes
11.625%.............. 02/15/05 500 549,375
</TABLE>
19
<PAGE> 24
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
Comcast U.K. Cable
Debs. [STEP]
4.52%................ 11/15/07 $ 2,150 $ 1,252,375
Continental Cablevision
Sr. Debs.
9.50%................ 08/01/13 500 542,500
CS Wireless Systems,
Inc. Units [STEP]
144A
11.375%.............. 03/01/06 500 260,000
Diamond Cable
Communications PLC
Sr. Disc. Notes
[STEP]
5.84%................ 09/30/04 250 178,125
5.79%................ 12/15/05 500 295,000
Echostar Sr. Disc.
Notes [STEP] 144A
6.39%................ 03/15/04 750 480,000
Fonorola, Inc. Sr.
Notes
12.50%............... 08/15/02 150 161,438
Insight Communications
Co. Sr. Sub. Notes
[STEP]
11.25%............... 03/01/00 800 820,000
Intermedia
Communications of
Florida, Inc. Sr.
Disc. Notes [STEP]
6.16%................ 05/15/06 750 423,750
International Cabletel,
Inc. Sr. Notes [STEP]
5.99%................ 10/15/03 500 363,750
4.57%................ 04/15/05 1,050 675,938
Millicom International
Cellular Sr. Disc.
Notes [STEP] 144A
6.55%................ 06/01/06 1,000 531,250
Mobilemedia
Communications Sr.
Sub. Notes
9.375%............... 11/01/07 300 268,500
Nextel Communications
Sr. Disc. Notes
[STEP]
5.16%................ 09/01/03 300 205,500
8.20%................ 08/15/04 725 433,187
Nextlink Communications
Sr. Notes 144A
12.50%............... 04/15/06 500 500,625
Paging Network, Inc.
Sr. Sub. Notes
10.125%.............. 08/01/07 500 493,750
Panamsat L.P. Sr. Sub.
Notes [STEP]
4.94%................ 08/01/03 1,400 1,225,000
Pegasus Media Notes
12.50%............... 07/01/05 600 645,000
Peoples Choice T.V.
Corp. Units [STEP]
6.79%................ 06/01/04 1,150 684,250
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
Pronet, Inc. Sr. Sub.
Notes
11.875%.............. 06/15/05 $ 500 $ 497,500
10.875%.............. 09/15/06 500 482,500
Rogers Cablesystems Sr.
Notes
10.00%............... 03/15/05 300 299,250
10.00%............... 12/01/07 100 98,125
11.00%............... 12/01/15 750 765,000
Teleport Communications
Sr. Disc. Notes
[STEP]
4.98%................ 07/01/07 1,200 698,580
Teleport Communications
Sr. Notes
9.875%............... 07/01/06 225 226,688
Telewest PLC Yankee
[STEP]
4.56%................ 10/01/07 2,375 1,413,125
UIH Australia Pacific
Sr. Disc. Notes
[STEP] 144A
6.81%................ 05/15/06 850 461,125
USA Mobile
Communications Sr.
Notes
9.50%................ 02/01/04 800 734,000
Vanguard Cellular
System Debs.
9.375%............... 04/15/06 1,150 1,118,375
Videotron Group Ltd.
Sr. Notes
10.625%.............. 02/15/05 500 524,375
Wireless One, Inc. Sr.
Notes
13.00%............... 10/15/03 500 527,500
------------
22,656,519
------------
TRANSPORTATION -- 4.0%
Ameritruck Distribution
Sr. Sub. Notes
12.25%............... 11/15/05 650 640,250
Gearbulk Holding Ltd.
Sr. Notes
11.25%............... 12/01/04 1,000 1,050,000
Omi Corp. Sr. Notes
10.25%............... 11/01/03 800 789,000
Sea Containers Ltd. Sr.
Notes
9.50%................ 07/01/03 625 625,000
12.50%............... 12/01/04 125 138,125
Stena AB Sr. Notes
10.50%............... 12/15/05 1,100 1,097,250
Trism, Inc. Sr. Sub.
Notes
10.75%............... 12/15/00 575 541,938
------------
4,881,563
------------
</TABLE>
20
<PAGE> 25
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
UTILITIES -- 1.4%
California Energy Disc.
Notes [STEP]
2.15%................ 01/15/04 $ 1,450 $ 1,392,000
El Paso Electric Co.
First Mtge. Cl-E
9.40%................ 05/01/11 375 377,726
------------
1,769,726
------------
TOTAL CORPORATE OBLIGATIONS
(COST $109,229,453)................ 109,563,025
------------
U.S. TREASURY OBLIGATIONS -- 2.0%
U.S. Treasury Notes
6.375%
(COST $2,455,966).... 08/15/02 2,500 2,481,375
------------
REPURCHASE AGREEMENT -- 5.4%
HSBC Securities, Inc.
5.30% dated 06/28/96,
repurchase price
$6,562,897
(Collateralized by
U.S. Treasury Note,
par value $6,740,000,
market value
$6,747,692 due on
04/30/01) (COST
$6,560,000).......... 07/01/96 6,560 6,560,000
------------
<CAPTION>
SHARES
-------
<S> <C> <C>
COMMON STOCK -- 0.1%
BROADCASTING -- 0.0%
Sullivan Broadcast Holdings
Co. ........................... 2,400 24,600
------------
CHEMICALS -- 0.0%
Uniroyal Technology Corp.
Warrants*...................... 2,500 3,750
------------
CONSUMER PRODUCTS & SERVICES -- 0.0%
Hosiery Corp. of America,
Inc. .......................... 400 2,000
------------
ENVIRONMENTAL SERVICES -- 0.0%
ICF Kaiser International, Inc.
Warrants*...................... 1,200 750
------------
HEALTHCARE SERVICES -- 0.0%
Icon Health & Fitness Warrants
144A*.......................... 250 6,250
------------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
PRINTING & PUBLISHING -- 0.0%
Affiliated Newspaper Investments,
Inc.*.......................... 1,000 $ 25,000
------------
RETAIL & MERCHANDISING -- 0.1%
Grand Union Co.*................. 7,069 45,065
------------
TELECOMMUNICATIONS -- 0.0%
Pegasus Media & Communications,
Inc. 144A...................... 50 30,000
Wireless One, Inc. Warrants*..... 1,500 9,000
------------
39,000
------------
TOTAL COMMON STOCK
(COST $418,079).................... 146,415
------------
PREFERRED STOCK -- 3.1%
BROADCASTING -- 0.6%
Chancellor Broadcasting Co.
12.25% [PIK] 144A.............. 7,500 768,750
------------
PRINTING & PUBLISHING -- 1.1%
K-III Communications Corp.
10.00% Cl-C [CVT] 144A......... 5,000 460,000
K-III Communications Corp.
11.625% Cl-B [CVT, PIK]........ 8,224 826,547
------------
1,286,547
------------
TELECOMMUNICATIONS -- 0.6%
Panamsat Corp.
12.75%......................... 205 233,283
Park Communications, Inc. Sr.
Notes
13.75% [PIK] 144A.............. 4,500 474,750
------------
708,033
------------
UTILITIES -- 0.8%
El Paso Electric Co.
11.40% [PIK]................... 9,500 1,002,250
------------
TOTAL PREFERRED STOCK
(COST $3,640,480).................. 3,765,580
------------
TOTAL INVESTMENTS -- 99.9%
(COST $122,303,978).............. 122,516,395
------------
OTHER ASSETS LESS
LIABILITIES -- 0.1%................ 156,115
------------
NET ASSETS -- 100.0%................. $122,672,510
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 9.1% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
21
<PAGE> 26
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCK -- 47.0%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ................. 1,000 $ 46,500
-----------
AEROSPACE -- 0.8%
Boeing Co. .......................... 2,500 217,813
Lockheed Martin Corp. ............... 1,100 92,400
McDonnell Douglas Corp. ............. 1,200 58,200
Northrop Grumman Corp. .............. 800 54,500
Raytheon Co. ........................ 1,400 72,275
Rockwell International Corp. ........ 1,600 91,600
United Technologies Corp. ........... 1,200 138,000
-----------
724,788
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*.............. 2,700 73,913
AMR Corp.*........................... 1,300 118,300
-----------
192,213
-----------
AUTOMOBILE MANUFACTURERS -- 0.6%
Ford Motor Co. ...................... 7,300 236,338
General Motors Corp. ................ 4,500 235,688
Honda Motor Co. Ltd. [ADR]........... 1,600 81,600
-----------
553,626
-----------
AUTOMOTIVE PARTS -- 0.3%
Arvin Industries, Inc. .............. 1,000 22,250
Echlin, Inc. ........................ 1,900 71,963
Genuine Parts Co. ................... 1,900 86,925
TRW, Inc. ........................... 900 80,888
-----------
262,026
-----------
BEVERAGES -- 1.5%
Anheuser-Busch Companies, Inc. ...... 2,200 165,000
Cadbury Schweppes PLC [ADR].......... 3,473 112,004
Coca-Cola Co. ....................... 13,500 659,813
Pepsico, Inc. ....................... 9,400 332,525
-----------
1,269,342
-----------
BROADCASTING -- 0.1%
Comcast Corp. Special Cl-A........... 1,700 31,450
TCA Cable T.V., Inc. ................ 1,600 48,400
-----------
79,850
-----------
BUILDING MATERIALS -- 0.0%
Calmat Co. .......................... 1,700 30,813
-----------
BUSINESS SERVICES -- 0.3%
Equifax, Inc. ....................... 3,900 102,375
Olsten Corp. ........................ 1,400 41,125
Paychex, Inc. ....................... 2,400 115,500
-----------
259,000
-----------
CHEMICALS -- 1.7%
AKZO Nobel NV [ADR].................. 1,000 59,750
Cabot Corp. ......................... 1,800 44,100
Dexter Corp. ........................ 1,300 38,675
Dow Chemical Co. .................... 1,600 121,600
Dupont, (E.I.) de Nemours & Co. ..... 3,200 253,200
FMC Corp.*........................... 900 58,725
Grace & Co., W.R. ................... 1,200 85,050
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Great Lakes Chemical Corp. .......... 1,000 $ 62,250
Hanna, (M.A.) Co. ................... 2,100 43,838
IMC Global, Inc. .................... 1,300 48,913
Loctite Corp. ....................... 800 37,200
Lubrizol Corp. ...................... 1,200 36,450
Monsanto Co. ........................ 5,000 162,500
Morton International, Inc. .......... 1,900 70,775
Olin Corp. .......................... 500 44,625
PPG Industries, Inc. ................ 2,100 102,375
Rohm & Haas Co. ..................... 900 56,475
Witco Corp. ......................... 3,400 116,875
-----------
1,443,376
-----------
CLOTHING & APPAREL -- 0.1%
Jones Apparel Group, Inc.*........... 1,700 83,513
-----------
COMPUTER SERVICES & SOFTWARE -- 1.8%
America Online, Inc.*................ 1,600 70,000
Autodesk, Inc. ...................... 600 17,925
Automatic Data Processing, Inc. ..... 2,200 84,975
BMC Software, Inc.*.................. 1,700 101,575
Cadence Design Systems, Inc.*........ 1,550 52,313
Ceridian Corp.*...................... 1,500 75,750
Cisco Systems, Inc.*................. 3,000 169,875
Computer Associates International,
Inc. .............................. 1,050 74,813
First Data Corp. .................... 1,500 119,438
Informix Corp.*...................... 4,500 101,250
Microsoft Corp. ..................... 3,200 384,400
Novell, Inc.*........................ 1,200 16,650
Oracle Systems Corp.*................ 3,500 138,031
Parametric Technology Corp.*......... 1,600 69,400
Storage Technology Corp.*............ 600 22,950
Structural Dynamics Research
Corp.*............................. 1,300 28,600
-----------
1,527,945
-----------
COMPUTER HARDWARE -- 1.0%
Bay Networks*........................ 1,900 48,925
Compaq Computer Corp.*............... 1,700 83,725
Dell Computer Corp.*................. 1,300 66,138
Digital Equipment Corp.*............. 800 36,000
International Business Machines
Corp. ............................. 3,100 306,900
Seagate Technology, Inc.*............ 1,800 81,000
Stratus Computer, Inc.*.............. 1,100 31,900
Sun Microsystems, Inc.*.............. 1,200 70,650
3Com Corp.*.......................... 2,148 98,271
-----------
823,509
-----------
CONGLOMERATES -- 0.4%
Procter & Gamble Co. ................ 4,000 362,500
-----------
CONSTRUCTION -- 0.0%
Granite Construction, Inc. .......... 800 18,400
Jacobs Engineering Group, Inc.*...... 1,000 26,375
-----------
44,775
-----------
CONSUMER PRODUCTS & SERVICES -- 0.7%
American Brands, Inc. ............... 1,500 68,063
Colgate-Palmolive Co. ............... 1,700 144,075
Cross, (A.T.) Co. Cl-A............... 800 14,200
CUC International, Inc.*............. 1,200 42,600
</TABLE>
22
<PAGE> 27
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Eastman Kodak Co. ................... 1,900 $ 147,725
Masco Corp. ......................... 2,400 72,600
Mattel, Inc. ........................ 1,900 54,388
National Presto Industries, Inc. .... 600 22,800
Tambrands, Inc. ..................... 1,500 61,313
-----------
627,764
-----------
CONTAINERS & PACKAGING -- 0.2%
Bemis Co., Inc. ..................... 1,500 52,500
Sealed Air Corp.*.................... 2,700 90,788
-----------
143,288
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.7%
Altera Corp.*........................ 1,400 53,200
Arrow Electronics, Inc.*............. 700 30,189
Diebold, Inc. ....................... 1,800 86,850
Emerson Electric Co. ................ 1,800 162,675
General Electric Co. ................ 10,100 873,597
Hewlett-Packard Co. ................. 3,100 308,839
Hitachi Ltd. [ADR]................... 1,600 150,000
Honeywell, Inc. ..................... 1,200 65,400
Hubbell, Inc. Cl-B................... 1,000 66,250
Linear Technology Corp. ............. 1,500 45,000
Molex, Inc. ......................... 2,800 88,900
Philips Electronics NV............... 3,600 117,450
Solectron Corp.*..................... 1,000 37,875
Stratacom, Inc. ..................... 700 39,375
Sundstrand Corp. .................... 2,200 80,575
Symbol Technologies, Inc.*........... 700 31,150
Teleflex, Inc. ...................... 600 28,650
Varian Associates, Inc. ............. 700 36,225
-----------
2,302,200
-----------
ENTERTAINMENT & LEISURE -- 0.8%
Brunswick Corp. ..................... 2,000 40,000
Callaway Golf Co. ................... 1,900 63,175
Circus Circus Enterprises*........... 2,400 98,400
Harley Davidson, Inc. ............... 1,000 41,125
Mirage Resorts, Inc.*................ 1,900 102,600
President Riverboat Casinos
Warrants*.......................... 883 662
Time Warner, Inc. ................... 2,900 113,825
Walt Disney Co. ..................... 4,264 268,099
-----------
727,886
-----------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries, Inc. .... 1,500 43,500
USA Waste Services, Inc.*............ 1,700 50,363
WMX Technologies, Inc. .............. 3,400 111,350
-----------
205,213
-----------
FINANCIAL-BANK & TRUST -- 3.4%
Australia and New Zealand Banking
Group Ltd. [ADR]................... 3,600 85,050
Banc One Corp. ...................... 2,800 95,200
Banco Bilbao Vizcaya [ADR]........... 3,000 120,375
Bancorp Hawaii, Inc. ................ 800 28,800
Chase Manhattan Corp. ............... 2,956 208,769
Citicorp............................. 3,300 272,664
City National Corp. ................. 1,800 28,350
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
CoreStates Financial Corp. .......... 2,000 $ 77,000
Crestar Financial Corp. ............. 1,300 69,388
Fifth Third Bancorp.................. 900 48,600
First Bank System, Inc. ............. 1,700 98,600
First Chicago NBD Corp. ............. 3,000 117,375
First Security Corp. ................ 3,150 75,600
First Tennessee National Corp. ...... 3,200 98,000
First Union Corp. ................... 2,200 133,925
Fleet Financial Group, Inc. ......... 2,500 108,750
J.P. Morgan & Co., Inc. ............. 1,800 152,325
Keycorp.............................. 2,600 100,750
Mellon Bank Corp. ................... 1,500 85,500
Mercantile Bankshares Corp. ......... 1,200 30,600
NationsBank Corp. ................... 2,300 190,039
Northern Trust Corp. ................ 1,900 109,725
Norwest Corp. ....................... 3,500 122,064
PNC Bank Corp. ...................... 2,420 71,995
Southtrust Corp. .................... 3,000 84,375
State Street Boston Corp. ........... 1,500 76,500
U.S. Bancorp......................... 2,352 84,966
Wells Fargo & Co. ................... 600 143,325
-----------
2,918,610
-----------
FINANCIAL SERVICES -- 1.3%
American Express Co. ................ 3,000 133,875
Bear Stearns Companies, Inc. ........ 2,000 47,250
Charles Schwab Corp. ................ 2,900 71,050
Comdicso, Inc. ...................... 1,600 42,600
Dean Witter Discover & Co. .......... 900 51,525
Federal Home Loan Mtge. Corp. ....... 1,500 128,250
Federal National Mtge. Assoc. ....... 6,000 201,000
Franklin Resources, Inc. ............ 1,900 115,900
Green Tree Financial Corp. .......... 900 28,125
Grupo Financiero Bancomer [ADR]
144A*.............................. 1,400 11,900
H & R Block, Inc. ................... 1,500 48,938
Household International, Inc. ....... 800 60,800
Merrill Lynch & Co., Inc. ........... 1,000 65,125
Morgan Stanley Group, Inc. .......... 900 44,213
Paine Webber Group, Inc. ............ 1,200 28,500
Salomon, Inc. ....................... 1,400 61,600
-----------
1,140,651
-----------
FOOD -- 1.9%
Archer-Daniels-Midland Co. .......... 3,150 60,244
Conagra, Inc. ....................... 2,100 95,288
CPC International, Inc. ............. 1,500 108,000
Dole Food Co. ....................... 1,000 43,000
Earthgrains Co. ..................... 148 4,847
General Mills, Inc. ................. 1,600 87,200
Heinz, (H.J.) Co. ................... 3,250 98,719
Hershey Foods Corp. ................. 800 58,700
IBP, Inc. ........................... 1,300 35,913
Kellogg Co. ......................... 1,200 87,900
McCormick & Co., Inc. ............... 1,400 30,975
Philip Morris Companies, Inc. ....... 5,100 530,400
Ralston-Purina Group................. 1,500 96,188
Sara Lee Corp. ...................... 3,800 123,025
</TABLE>
23
<PAGE> 28
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Smucker, (J.M.) Co. ................. 700 $ 13,738
Unilever PLC [ADR]................... 900 130,613
Universal Foods Corp. ............... 1,300 47,938
-----------
1,652,688
-----------
HEALTHCARE SERVICES -- 0.7%
Apria Healthcare Group, Inc.*........ 2,000 62,750
Columbia-HCA Healthcare Corp. ....... 2,964 158,204
Healthsouth Corp.*................... 2,500 90,000
Pacificare Health Systems, Inc.
Cl-A*.............................. 400 26,400
Pacificare Health Systems, Inc.
Cl-B*.............................. 900 60,975
U.S. Healthcare, Inc. ............... 900 49,500
United Healthcare Corp. ............. 1,400 70,700
Vencor, Inc.*........................ 2,200 67,100
-----------
585,629
-----------
HOTELS & MOTELS -- 0.2%
HFS, Inc.*........................... 2,200 154,000
ITT Corp.*........................... 900 59,625
-----------
213,625
-----------
INDUSTRIAL PRODUCTS -- 0.8%
Allied-Signal, Inc. ................. 2,600 148,525
Chris-Craft Industries, Inc.*........ 1,300 57,200
Cintas Corp. ........................ 1,800 96,300
Corning, Inc. ....................... 2,100 80,588
Danaher Corp. ....................... 1,100 47,850
Goodyear Tire & Rubber Co. .......... 1,200 57,900
Harsco Corp. ........................ 900 60,525
Springs Industries, Inc. Cl-A........ 1,500 75,750
Tomkins PLC [ADR].................... 6,000 91,500
-----------
716,138
-----------
INSURANCE -- 1.5%
Aetna Life & Casualty Co. ........... 800 57,200
AFLAC, Inc. ......................... 450 13,444
American Financial Group, Inc. ...... 1,200 36,150
American General Corp. .............. 3,000 109,125
American International Group,
Inc. .............................. 3,000 295,875
CHUBB Corp. ......................... 1,300 64,838
Cigna Corp. ......................... 500 58,938
General Re Corp. .................... 600 91,350
Hartford Steam Boiler Inspection &
Insurance Co. ..................... 800 39,300
Loews Corp. ......................... 1,400 110,425
Progressive Corp. ................... 800 37,000
Selective Insurance Group............ 1,000 32,500
Torchmark Corp. ..................... 1,400 61,250
Transatlantic Holdings, Inc. ........ 500 35,063
Travelers Group, Inc. ............... 3,150 143,719
UNUM Corp. .......................... 1,100 68,475
-----------
1,254,652
-----------
MACHINERY & EQUIPMENT -- 0.7%
Black & Decker Corp. ................ 1,300 50,213
Caterpillar, Inc. ................... 1,200 81,300
Deere & Co. ......................... 2,700 108,000
Duriron Co., Inc. ................... 2,900 69,600
Illinois Tool Works, Inc. ........... 900 60,863
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Sequa Corp. Cl-A*.................... 700 $ 30,188
Tecumseh Products Co. Cl-A........... 1,400 75,250
Thermo Electron Corp.*............... 4,050 168,581
-----------
643,995
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.4%
Baxter International, Inc............ 1,600 75,600
Becton Dickinson & Co. .............. 500 40,125
Boston Scientific Corp.*............. 1,000 45,000
Medtronic, Inc. ..................... 2,000 112,000
Stryker Corp. ....................... 3,400 77,350
-----------
350,075
-----------
METALS & MINING -- 0.5%
Aluminum Co. of America.............. 2,300 131,963
Barrick Gold Corp. .................. 3,300 89,513
Carpenter Technology Corp. .......... 2,600 83,200
Nucor Corp. ......................... 1,200 60,750
Placer Dome, Inc. ................... 2,500 59,688
-----------
425,114
-----------
MISCELLANEOUS -- 0.5%
Federal Signal Corp. ................ 1,400 32,900
Flightsafety International, Inc. .... 1,600 86,800
Gencorp, Inc. ....................... 2,800 42,350
Hanson PLC [ADR]..................... 2,700 38,475
Minnesota Mining & Manufacturing
Co. ............................... 3,200 220,800
Pall Corp. .......................... 1,200 28,950
U.S. Industries, Inc. [ADR]*......... 135 3,257
-----------
453,532
-----------
OFFICE EQUIPMENT -- 0.5%
Alco Standard Corp. ................. 1,700 76,925
Pitney Bowes, Inc. .................. 1,900 90,725
Viking Office Products, Inc.*........ 1,600 50,200
Wallace Computer Service, Inc. ...... 1,500 89,625
Xerox Corp. ......................... 1,800 96,300
-----------
403,775
-----------
OIL & GAS -- 5.1%
Amerada Hess Corp. .................. 4,700 252,039
Atlantic Richfield Co. .............. 1,200 142,200
Banco Frances del Rio de la Plata SA
[ADR].............................. 3,400 97,750
BJ Services Co.*..................... 3,300 115,914
British Petroleum Co. PLC [ADR]...... 800 85,500
Chevron Corp. ....................... 4,200 247,800
El Paso Natural Gas Co. ............. 700 26,950
Enron Corp. ......................... 2,100 85,839
Ensco International, Inc.*........... 800 26,000
Exxon Corp. ......................... 6,500 564,689
Global Marine, Inc. ................. 2,200 30,525
Halliburton Co. ..................... 800 44,400
Helmerich & Payne, Inc. ............. 900 32,963
MCN Corp. ........................... 2,400 58,500
Mobil Corp. ......................... 2,500 280,313
Murphy Oil Corp. .................... 1,000 45,375
National Fuel Gas Co. ............... 1,600 57,600
Noble Affiliates, Inc. .............. 2,600 98,150
Occidental Petroleum Corp. .......... 3,700 91,575
</TABLE>
24
<PAGE> 29
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Phillips Petroleum Co. .............. 1,800 $ 75,375
Repsol SA [ADR]...................... 3,000 104,250
Royal Dutch Petroleum Co. ........... 4,600 707,250
Schlumberger Ltd. ................... 1,700 143,225
Shell Transport & Trading Co.
[ADR].............................. 1,000 88,000
Societe National Elf Aquitaine
SA [ADR]........................... 2,000 73,500
Sonat, Inc. ......................... 1,300 58,500
Texaco, Inc. ........................ 2,000 167,750
Tidewater, Inc. ..................... 3,100 136,014
Tosco Corp. ......................... 800 40,200
Total SA [ADR]....................... 3,000 111,375
Unocal Corp. ........................ 2,300 77,625
USX Marathon Group................... 3,500 70,438
Valero Energy Corp. ................. 3,000 75,000
Washington Gas Light Co. ............ 2,200 48,400
-----------
4,360,984
-----------
PAPER & FOREST PRODUCTS -- 0.5%
Georgia Pacific Corp. ............... 900 63,900
International Paper Co. ............. 2,900 106,938
Kimberly-Clark Corp. ................ 2,300 177,675
Wausau Paper Mills Co. .............. 1,900 37,525
Weyerhaeuser Co. .................... 1,700 72,250
-----------
458,288
-----------
PERSONAL SERVICES -- 0.1%
Service Corp. International.......... 1,500 86,250
-----------
PHARMACEUTICALS -- 3.4%
Abbott Laboratories.................. 4,100 178,350
American Home Products Corp. ........ 4,000 240,500
Amgen, Inc.*......................... 1,600 86,400
Bristol-Meyers Squibb Co. ........... 3,300 297,000
Cardinal Health, Inc. ............... 1,300 93,763
Carter Wallace, Inc. ................ 3,900 57,038
Genzyme Corp.*....................... 600 30,150
International Flavors & Fragrances,
Inc. .............................. 1,300 61,913
Ivax Corp. .......................... 2,200 34,925
Johnson & Johnson.................... 7,000 346,500
Lilly, (Eli) & Co. .................. 2,900 188,500
McKesson Corp. ...................... 900 42,863
Merck & Co., Inc. ................... 6,900 445,913
Perrigo Co. ......................... 3,000 33,750
Pfizer, Inc. ........................ 3,800 271,225
Pharmacia & Upjohn, Inc. ............ 3,500 155,313
R.P. Scherer Corp.*.................. 1,000 45,375
Schering Plough Corp. ............... 1,900 119,225
Warner-Lambert Co. .................. 2,100 115,500
Watson Pharmaceuticals, Inc. ........ 1,300 49,238
-----------
2,893,441
-----------
PRINTING & PUBLISHING -- 0.5%
Banta Corp. ......................... 2,900 73,225
Belo, (A.H.) Corp. Cl-A.............. 1,300 48,425
Dun & Bradstreet Corp. .............. 1,500 93,750
Gannett Co., Inc. ................... 1,600 113,200
McGraw-Hill Co., Inc. ............... 2,400 109,800
-----------
438,400
-----------
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
RAILROADS -- 0.5%
Burlington Northern Santa Fe......... 800 $ 64,700
Conrail, Inc. ....................... 400 26,550
CSX Corp. ........................... 1,000 48,250
Kansas City Southern Industries,
Inc. .............................. 1,800 77,175
Norfolk Southern Corp. .............. 700 59,325
Union Pacific Corp. ................. 1,600 111,800
-----------
387,800
-----------
RESTAURANTS -- 0.5%
Brinker International, Inc.*......... 7,300 109,500
Cracker Barrel Old Country Store,
Inc. .............................. 1,800 43,650
Darden Restaurants, Inc. ............ 900 9,675
McDonald's Corp. .................... 4,400 205,700
Outback Steakhouse, Inc.*............ 1,600 55,175
-----------
423,700
-----------
RETAIL & MERCHANDISING -- 2.4%
Albertson's, Inc. ................... 3,000 124,125
Bed, Bath & Beyond, Inc.*............ 2,200 58,850
Circuit City Stores, Inc. ........... 900 32,513
Dayton-Hudson Corp. ................. 800 82,500
Fastenal Co. ........................ 800 34,800
Federated Department Stores, Inc.*... 1,400 47,775
Gap, Inc. ........................... 2,200 70,675
Home Depot, Inc. .................... 3,700 199,800
J.C. Penney Co., Inc. ............... 2,300 120,750
Kohls Corp.*......................... 2,800 102,550
Kroger Co.*.......................... 1,600 63,200
Lands' End, Inc.*.................... 1,800 44,550
May Department Stores Co. ........... 2,300 100,625
Meyer, (Fred), Inc.*................. 1,300 38,188
Micro Warehouse, Inc.*............... 800 16,000
Nike, Inc. Cl-B...................... 800 82,200
Payless Shoesource, Inc. ............ 672 21,336
Petrie Stores Corp. ................. 2,700 7,425
Price Costco., Inc.*................. 2,100 45,413
Revco D.S., Inc.*.................... 2,800 66,850
Staples, Inc.*....................... 2,400 46,800
Tandy Corp. ......................... 600 28,425
Tiffany & Co. ....................... 600 43,800
TJX Companies, Inc. ................. 900 30,375
Toys 'R' Us, Inc.*................... 2,420 68,970
Vons Companies, Inc.*................ 1,600 59,800
Wal-Mart Stores, Inc. ............... 14,200 360,325
Walgreen Co. ........................ 1,700 56,950
-----------
2,055,570
-----------
SEMI-CONDUCTORS -- 1.1%
Analog Devices, Inc.*................ 5,250 133,875
Applied Materials, Inc.*............. 1,100 33,550
Atmel Corp.*......................... 1,800 54,225
Intel Corp. ......................... 4,500 330,469
Maxim Integrated Products, Inc.*..... 1,300 35,506
Motorola, Inc. ...................... 4,000 251,500
Xilinx, Inc.*........................ 2,900 92,075
-----------
931,200
-----------
</TABLE>
25
<PAGE> 30
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
TELECOMMUNICATIONS -- 4.5%
ADC Telecommunications, Inc.*........ 1,400 $ 63,000
Airtouch Communications, Inc.*....... 4,300 121,475
Ameritech Corp. ..................... 3,100 184,064
AT&T Corp. .......................... 6,100 378,200
Bell Atlantic Corp. ................. 3,000 191,250
BellSouth Corp. ..................... 5,300 224,589
British Telecommunications
PLC [ADR].......................... 2,000 107,500
Century Telephone Enterprises,
Inc. .............................. 2,800 89,250
GTE Corp. ........................... 6,200 277,450
Hong Kong Telecommunications Ltd.
[ADR].............................. 9,000 162,000
MCI Communications Corp. ............ 4,700 120,438
Nextel Communications, Inc. Cl-A*.... 1,800 34,314
Nokia Corp. Cl-A [ADR]............... 1,800 66,600
Northern Telecom Ltd. ............... 1,700 92,438
NYNEX Corp. ......................... 3,200 152,000
Pacific Telesis Group................ 3,300 111,375
SBC Communications, Inc. ............ 4,500 221,625
Southern New England
Telecommunications Corp. .......... 2,400 100,800
Sprint Corp. ........................ 2,400 100,800
Telecomunicacoes Brasileiras SA
Telbras [ADR]...................... 2,000 139,250
Telefonaktiebolaget LM
Ericsson [ADR]..................... 4,800 103,200
Telefonica de Espana [ADR]........... 1,600 88,200
Telefonos de Mexico SA [ADR]......... 1,800 60,300
Telephone & Data Systems, Inc. ...... 2,000 90,000
Tellabs, Inc.*....................... 1,000 66,875
U.S. Robotics Corp.*................. 1,600 136,800
U.S. West Media Group, Inc.*......... 5,300 96,725
U.S. West, Inc. ..................... 1,600 51,000
Viacom, Inc. Cl-B*................... 3,400 132,175
Vodafone Group PLC [ADR]............. 2,000 73,750
Worldcom, Inc. ...................... 1,100 60,913
-----------
3,898,356
-----------
TRANSPORTATION -- 0.0%
Alexander & Baldwin, Inc. ........... 1,800 43,425
-----------
UTILITIES -- 2.5%
Allegheny Power System, Inc. ........ 2,100 64,838
Calenergy, Inc.*..................... 2,400 61,200
CMS Energy Corp. .................... 2,500 77,188
Duke Power Co. ...................... 3,100 158,875
Edison International................. 7,800 137,475
Empresa Nacional de Electridad SA
[ADR].............................. 1,900 118,988
Entergy Corp. ....................... 2,600 73,775
Florida Progress Corp. .............. 1,300 45,175
FPL Group, Inc. ..................... 2,200 101,200
Idaho Power Co. ..................... 2,600 80,925
Illinova Corp. ...................... 2,300 66,125
Ipalco Enterprises, Inc. ............ 2,400 63,000
Midamerican Energy Co. .............. 3,800 65,550
New York State Electric & Gas
Corp. ............................. 3,400 82,875
Niagara Mohawk Power Corp. .......... 4,600 35,650
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
NIPSCO Industries, Inc. ............. 2,300 $ 92,575
Pacific Gas & Electric Co. .......... 4,700 109,275
Portland General Corp. .............. 2,700 83,363
Potomac Electric Power Co. .......... 1,800 47,700
Scana Corp. ......................... 2,700 75,938
Southern Co. ........................ 6,000 147,750
Southwestern Public Service Co. ..... 2,100 68,513
Teco Energy, Inc. ................... 2,800 70,700
Texas Utilities Co. ................. 2,600 111,150
Unicom Corp. ........................ 3,500 97,563
-----------
2,137,366
-----------
TOTAL COMMON STOCK
(COST $36,885,598)..................... 40,583,391
-----------
PREFERRED STOCK -- 0.0%
INDUSTRIAL PRODUCTS
Teledyne, Inc.
$1.20 Cl-E
(COST $513)........................ 72 1,107
-----------
FOREIGN STOCK -- 10.8%
AEROSPACE -- 0.2%
Mitsubishi Heavy Industries
Ltd. -- (JPN)...................... 17,000 148,130
-----------
AIRLINES -- 0.2%
KLM Royal Dutch Airlines
NV -- (NETH)....................... 3,000 96,087
Singapore Airlines Ltd. -- (SNG)*.... 10,000 105,599
-----------
201,686
-----------
AUTOMOBILE MANUFACTURERS -- 0.3%
Man AG -- (DEM)...................... 1,000 250,888
-----------
BEVERAGES -- 0.3%
Lion Nathan Ltd. -- (NZD)............ 50,000 130,748
Louis Vuitton Moet
Hennessy -- (FRF).................. 660 156,718
-----------
287,466
-----------
BUILDING MATERIALS -- 0.1%
Malayan Cement BHD -- (MALA)......... 41,000 98,597
-----------
CHEMICALS -- 0.4%
AKZO Nobel -- (NETH)................. 400 47,985
BASF AG Ord. -- (DEM)................ 400 114,034
Bayer AG -- (DEM).................... 3,200 112,692
L'air Liquide -- (FRF)............... 600 106,066
-----------
380,777
-----------
CLOTHING & APPAREL -- 0.3%
Benetton Group SPA -- (ITL).......... 4,000 51,717
Kuraray Co. Ltd. -- (JPN)............ 16,000 179,940
-----------
231,657
-----------
COMPUTER SERVICES & SOFTWARE -- 0.2%
Getronics Geneue
Electric -- (NETH)................. 7,268 161,161
-----------
CONGLOMERATES -- 0.6%
BTR PLC -- (UK)...................... 27,000 106,309
Hutchison Whampoa Ltd. -- (HK)....... 48,000 301,996
</TABLE>
26
<PAGE> 31
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Lonrho PLC -- (UK)................... 22,000 $ 63,215
Valmet Corp. -- (FIM)*............... 4,000 67,833
-----------
539,353
-----------
CONSTRUCTION -- 0.1%
Societe Technip -- (FRF)............. 1,000 92,180
-----------
CONSUMER PRODUCTS & SERVICES -- 0.2%
Kao Corp. -- (JPN)................... 11,000 148,853
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Mitsubishi Electric Corp. -- (JPN)... 17,000 118,753
Sharp Corp. -- (JPN)................. 9,000 157,996
-----------
276,749
-----------
FINANCIAL-BANK & TRUST -- 2.0%
Banca Commerciale Italia -- (ITL)*... 30,000 60,337
Bank of Scotland -- (UK)............. 20,208 73,446
Bankgesellschaft Berlin
AG -- (DEM)........................ 545 116,125
Barclays PLC -- (UK)................. 15,000 180,094
Deutsche Bank AG -- (DEM)............ 1,600 75,865
Developmental Bank of Singapore
Ltd. -- (SNG)...................... 7,000 87,314
Holderbank Financiere Glarus
AG -- (SW)......................... 200 159,974
HSBC Holdings -- (UK)................ 10,000 156,563
ING Groep NV -- (NETH)............... 10,000 298,586
Kredietbank NV -- (BEL).............. 200 59,891
Oversea-Chinese Banking Corp.
Ltd. -- (SNG)...................... 10,000 116,938
Oversea-Chinese Banking Corp. Ltd.
Rights -- (SNG)*................... 1,000 0
Schweizerischer Bankverein -- (SW)... 600 118,541
Toronto Dominion Bank -- (CAN)....... 4,100 71,637
Union Bank of Switzerland -- (SW).... 100 97,984
Westpac Banking Corp.
Ltd. -- (AUD)...................... 10,000 44,251
-----------
1,717,546
-----------
FINANCIAL SERVICES -- 0.2%
Gemina SPA -- (ITL).................. 50,000 21,386
Mediobanca -- (ITL).................. 7,000 44,498
Societe Generale -- (FRF)............ 1,212 133,407
-----------
199,291
-----------
FOOD -- 0.5%
Danisco AS -- (DKK).................. 3,000 149,529
Eridania Beghin-Say -- (FRF)......... 400 62,698
Huhtamaki -- (FIM)................... 1,500 50,227
Nestle SA -- (SW).................... 150 171,453
-----------
433,907
-----------
INDUSTRIAL PRODUCTS -- 0.3%
Bridgestone Corp. -- (JPN)........... 8,000 152,876
Siemans AG -- (DEM)*................. 2,000 107,300
-----------
260,176
-----------
INSURANCE -- 0.2%
AXA SA -- (FRF)...................... 1,500 82,145
Ckag Colonia Konzern AG -- (DEM)*.... 150 119,854
-----------
201,999
-----------
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
MACHINERY & EQUIPMENT -- 0.3%
ABB AG -- (SW)....................... 80 $ 99,056
Sig Schweiz
Industries-Bearer -- (SW).......... 70 165,733
-----------
264,789
-----------
METALS & MINING -- 0.1%
Cra Ltd. -- (AUD).................... 3,000 46,121
Societe Generale de
Belgique -- (BEL).................. 1,000 75,903
-----------
122,024
-----------
MISCELLANEOUS -- 0.3%
Sime Darby BHD -- (MALA)............. 50,000 138,277
United Engineers Ltd. -- (MALA)...... 15,000 104,008
-----------
242,285
-----------
OFFICE EQUIPMENT -- 0.2%
Ricoh Corp. Ltd. -- (JPN)............ 13,000 137,881
-----------
OIL & GAS -- 0.2%
Societe Nationale Elf
Aquitaine -- (FRF)................. 1,100 80,990
Veba AG -- (DEM)..................... 2,500 133,007
-----------
213,997
-----------
PAPER & FOREST PRODUCTS -- 0.1%
Bobst SA -- (SW)..................... 60 86,626
Kimberly-Clark de Mexico
SA -- (MEX)........................ 2,000 36,431
-----------
123,057
-----------
PHARMACEUTICALS -- 1.0%
Astra AB Cl-B -- (SEK)............... 5,500 240,037
Ciba Geigy AG Cl-B -- (SW)........... 150 182,131
Gehe AG -- (DEM)..................... 125 84,999
Roussel-Uclaf -- (FRF)............... 500 120,087
Takeda Chemical
Industries -- (JPN)................ 10,000 177,380
-----------
804,634
-----------
PRINTING & PUBLISHING -- 0.5%
Dai Nippon Printing Co.
Ltd. -- (JPN)...................... 8,000 155,070
Elsevier NV -- (NETH)................ 12,000 182,319
Pearson PLC -- (UK).................. 5,600 57,754
-----------
395,143
-----------
REAL ESTATE -- 0.3%
Cheung Kong Holdings Ltd. -- (HK).... 22,000 158,452
DBS Land Ltd. -- (SNG)............... 25,000 85,755
Hopewell Holdings Ltd. -- (HK)....... 59,463 32,265
-----------
276,472
-----------
RETAIL & MERCHANDISING -- 0.5%
Carrefour Supermarch SA -- (FRF)..... 150 84,129
Carrefour Supermarch
Rights -- (FRF)*................... 150 41,481
Marui Co. Ltd. -- (JPN).............. 7,000 155,527
Pinault-Printemps Redoute
SA -- (FRF)........................ 50 17,512
Tesco PLC -- (UK).................... 25,174 114,955
-----------
413,604
-----------
</TABLE>
27
<PAGE> 32
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
TELECOMMUNICATIONS -- 0.7%
Telecom Italia Mobile -- (ITL)....... 75,000 $ 167,739
Telecom Italia SPA -- (ITL).......... 75,000 161,372
Telecomm Corp. of New Zealand
Ltd. -- (NZD)...................... 22,000 92,409
Telekom Malaysia BHD -- (MALA)....... 16,000 142,365
-----------
563,885
-----------
UTILITIES -- 0.2%
Electrabel SA -- (BEL)............... 300 64,142
Hong Kong Electric Holdings
Ltd. -- (HK)....................... 30,000 91,467
-----------
155,609
-----------
TOTAL FOREIGN STOCK
(COST $8,437,257)...................... 9,343,796
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- ------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 15.9%
AEROSPACE -- 1.1%
BE Aerospace Sr. Sub. Notes
144A
9.875%.................... 02/01/06 $ 125 123,750
Boeing Co. Notes
6.35%..................... 06/15/03 120 116,850
Coltec Industries Sr. Sub.
Notes
10.25%.................... 04/01/02 125 130,313
K&F Industries, Inc. Sub.
Debs.
13.75%.................... 08/01/01 125 129,687
Raytheon Co. Notes
6.50%..................... 07/15/05 350 336,437
UNC, Inc. Sr. Sub. Notes
11.00%.................... 06/01/06 125 127,187
-----------
964,224
-----------
AIRLINES -- 0.0%
Southwest Airlines Co. Debs.
9.25%..................... 02/15/98 25 26,000
-----------
AUTOMOBILE MANUFACTURERS -- 0.0%
Daimler-Benz Auto Grantor
Trust
3.90%..................... 10/15/98 38 38,037
-----------
BEVERAGES -- 0.4%
Coca-Cola Bottling Group Sr.
Sub. Notes
9.00%..................... 11/15/03 100 98,125
Dr. Pepper Bottling Holding
Co. Sr. Notes [ZCB]
11.625%................... 02/15/03 140 116,725
Texas Bottling Group, Inc.
Sr. Sub. Notes
9.00%..................... 11/15/03 100 98,625
-----------
313,475
-----------
BROADCASTING -- 0.4%
Chancellor Broadcasting Sr.
Sub. Notes
9.375%.................... 10/01/04 125 118,438
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
Sinclair Broadcasting Group
Sr. Sub. Notes
10.00%.................... 09/30/05 $ 100 $ 95,500
Young Broadcasting Corp. Sr.
Sub. Notes
10.125%................... 02/15/05 100 96,750
-----------
310,688
-----------
CHEMICALS -- 0.6%
Agricultural Minerals &
Chemicals, Inc. Sr. Notes
10.75%.................... 09/30/03 100 106,000
Arcadian Partners L.P. Sr.
Notes Cl-B
10.75%.................... 05/01/05 150 162,750
IMC Fertilizer Group
Debentures
9.45%..................... 12/15/11 100 102,250
Scotts Co. Sr. Sub. Notes
9.875%.................... 08/01/04 100 104,250
-----------
475,250
-----------
CLOTHING & APPAREL -- 0.6%
Collins & Aikman Products
Corp. Sr. Sub. Notes
11.50%.................... 04/15/06 125 125,938
Dan River, Inc. Sr. Sub.
Notes
10.125%................... 12/15/03 100 96,125
Dominion Textile USA, Inc.
Sr. Notes
9.25%..................... 04/01/06 125 121,094
Loehmann's Holdings Sr.
Notes
11.875%................... 05/15/03 125 129,219
-----------
472,376
-----------
COMPUTER HARDWARE -- 0.1%
International Business
Machines Corp. Notes
6.375%.................... 11/01/97 100 100,125
-----------
CONGLOMERATES -- 0.1%
Jordan Industries Sr. Notes
10.375%................... 08/01/03 125 119,531
-----------
CONSUMER PRODUCTS & SERVICES -- 0.4%
Herff Jones, Inc. Sr. Sub.
Notes Cl-B
11.00%.................... 08/15/05 125 131,094
Mafco, Inc. Sr. Sub. Notes
11.875%................... 11/15/02 100 105,875
Revlon Worldwide Corp. [ZCB]
11.29%.................... 03/15/98 125 104,219
-----------
341,188
-----------
CONTAINERS & PACKAGING -- 0.5%
Container Corp. of America
Sr. Notes
11.25%.................... 05/01/04 100 103,250
Owens Illinois, Inc. Debs.
11.00%.................... 12/01/03 125 134,375
</TABLE>
28
<PAGE> 33
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
Portola Packaging, Inc. Sr.
Notes
10.75%.................... 10/01/05 $ 100 $ 101,125
Riverwood International Co.
Sr. Notes
10.25%.................... 04/01/06 75 74,719
-----------
413,469
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.5%
Alpine Group, Inc. Sr. Notes
144A
12.25%.................... 07/15/03 100 100,875
Ametek, Inc. Sr. Notes
9.75%..................... 03/15/04 100 104,625
Westinghouse Electric Corp.
Debs.
8.875%.................... 06/01/01 200 205,500
-----------
411,000
-----------
ENTERTAINMENT & LEISURE -- 0.9%
Bally Park Place Funding
First Mtge.
9.25%..................... 03/15/04 100 106,250
GNF Corp. First Mtge.
10.625%................... 04/01/03 125 136,406
Grand Casinos, Inc. First
Mtge.
10.125%................... 12/01/03 125 128,906
President Riverboat Casinos
Sr. Notes
13.00%.................... 09/15/01 100 82,000
Six Flags Theme Parks Sr.
Sub. Notes [STEP]
1.81%..................... 06/15/05 50 42,562
Time Warner Entertainment
Debs.
7.25%..................... 09/01/08 100 93,750
Trump Atlantic City First
Mtge.
11.25%.................... 05/01/06 125 125,937
United Artists Theatre Pass
Through Trust 144A
9.30%..................... 07/01/15 100 95,250
-----------
811,061
-----------
EQUIPMENT SERVICES -- 0.2%
Coinmach Corp. Sr. Notes
11.75%.................... 11/15/05 125 131,250
-----------
FINANCIAL-BANK & TRUST -- 1.4%
Airplanes Pass Through Trust
10.875%................... 03/15/19 125 130,312
Aristar, Inc. Debs.
8.875%.................... 08/15/98 200 208,000
7.875%.................... 02/15/99 200 206,000
Banesto Delaware Sub. Notes
8.25%..................... 07/28/02 50 49,250
Bank of Nova Scotia Yankee
Sub. Notes
6.25%..................... 09/15/08 50 45,562
Coleman Holdings [ZCB]
9.25%..................... 05/27/98 125 104,844
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
CoreStates Home Equity Trust
6.65%..................... 05/15/09 $ 77 $ 75,337
Export-Import Korea Yankee
Notes
6.50%..................... 05/15/00 40 39,450
First Federal Financial
Notes
11.75%.................... 10/01/04 125 121,563
NationsBank Texas Sr. Notes
6.75%..................... 08/15/00 150 149,625
U.S. Bancorp Notes
6.72%..................... 06/01/98 100 100,875
-----------
1,230,818
-----------
FINANCIAL SERVICES -- 1.9%
Advanta Corp. Notes
7.07%..................... 09/15/97 235 237,162
Associates Corp. of North
America Sr. Notes
8.625%.................... 06/15/97 10 10,232
7.70%..................... 03/15/00 50 51,625
Chrysler Financial Corp.
Notes
8.46%..................... 01/19/00 200 210,500
Ciesco L.P. Notes
7.38%..................... 04/19/00 250 254,062
Commercial Credit Debs.
8.125%.................... 03/01/97 5 5,074
Ford Motor Credit Co. Notes
[VR]
9.45%..................... 05/20/97 50 51,456
General Motors Acceptance
Corp. Grantor Trust
6.30%..................... 06/15/99 31 30,960
General Motors Acceptance
Corp. Notes
7.75%..................... 04/15/97 50 50,705
8.375%.................... 05/01/97 10 10,196
H.F. Ahmanson & Co. Debs.
9.875%.................... 11/15/99 100 108,375
Household Finance Corp.
Notes
6.96%..................... 04/27/98 300 303,000
Lehman Brothers Holdings
Notes
7.625%.................... 06/15/97 65 65,867
Smith Barney Holdings Notes
6.625%.................... 06/01/00 200 199,000
-----------
1,588,214
-----------
HEALTHCARE SERVICES -- 0.4%
Regency Health Services Sr.
Sub. Notes
9.875%.................... 10/15/02 125 120,625
Tenet Healthcare Corp. Sr.
Notes
8.625%.................... 12/01/03 90 91,237
Wright Medical Technology,
Inc. Notes
10.75%.................... 07/01/00 125 122,344
-----------
334,206
-----------
</TABLE>
29
<PAGE> 34
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
INDUSTRIAL PRODUCTS -- 0.5%
American Safety Razor Co.
Sr. Notes
9.875%.................... 08/01/05 $ 150 $ 152,250
American Standard Debs.
11.375%................... 05/15/04 125 135,625
9.25%..................... 12/01/16 25 24,750
Synthetic Industries Debs.
12.75%.................... 12/01/02 125 132,344
-----------
444,969
-----------
INSURANCE -- 0.1%
New York Life Insurance
Notes
7.50%..................... 12/15/23 100 93,250
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
Dade International, Inc. Sr.
Sub. Notes
11.125%................... 05/01/06 100 104,000
-----------
METALS & MINING -- 0.2%
Freeport-McMoran Resources
Sr. Notes
7.00%..................... 02/15/08 150 138,938
-----------
MISCELLANEOUS -- 0.3%
Consolidated Cigar Sr. Sub.
Notes
10.50%.................... 03/01/03 125 130,313
Doane Products Co. Sr. Notes
10.625%................... 03/01/06 125 125,313
-----------
255,626
-----------
OIL & GAS -- 0.7%
Dual Drilling Co. Sr. Sub.
Notes
9.875%.................... 01/15/04 125 130,938
Gulf Canada Resources Ltd.
Sub. Debs.
9.625%.................... 07/01/05 100 99,500
Gulf Canada Resources Ltd.
Yankee Sr. Sub. Debs.
9.25%..................... 01/15/04 25 24,406
Petroleum Heat & Power Sub.
Notes
10.125%................... 04/01/03 100 93,750
Tenneco, Inc. Notes
8.00%..................... 11/15/99 55 56,856
7.875%.................... 10/01/02 150 154,688
-----------
560,138
-----------
PAPER & FOREST PRODUCTS -- 0.1%
Repap Wisconsin, Inc. Sr.
Notes
9.25%..................... 02/01/02 100 94,000
-----------
PHARMACEUTICALS -- 0.1%
Owens & Minor Sr. Sub. Notes
10.875%................... 06/01/06 125 127,188
-----------
REAL ESTATE -- 0.2%
B.F. Saul Sr. Notes
11.625%................... 04/01/02 100 102,875
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
HMC Acquisition Properties
Sr.
Notes 144A
9.00%..................... 12/15/07 $ 100 91,125
-----------
194,000
-----------
RESTAURANTS -- 0.1%
McDonald's Corp. Notes
6.625%.................... 09/01/05 100 $ 96,375
-----------
RETAIL & MERCHANDISING -- 0.6%
Federated Department Stores,
Inc. Sr. Notes
8.125%.................... 10/15/02 125 123,438
Ferrellgas L.P. Financial
Corp. Sr. Notes
10.00%.................... 08/01/01 100 103,500
Hills Stores Co. Sr. Notes
12.50%.................... 07/01/03 100 98,250
Michaels Stores Sr. Notes
10.875%................... 06/15/06 125 128,750
Wal-Mart Stores, Inc. Debs.
7.25%..................... 06/01/13 85 83,406
-----------
537,344
-----------
TELECOMMUNICATIONS -- 1.0%
Fundy Cable Ltd. Yankee Sr.
Notes
11.00%.................... 11/15/05 125 126,719
Paging Network, Inc. Sr.
Sub. Notes
8.875%.................... 02/01/06 125 114,688
Rogers Cablesystems Sr.
Notes 144A
10.00%.................... 03/15/05 125 124,688
TCI Communications, Inc. Sr.
Notes
8.65%..................... 09/15/04 200 204,000
United Telecommunications
Debs.
9.75%..................... 04/01/00 250 274,688
-----------
844,783
-----------
TRANSPORTATION -- 0.2%
Federal Express Notes
6.25%..................... 04/15/98 70 69,650
Sea Containers Ltd. Sr. Sub.
Notes
12.50%.................... 12/01/04 125 138,906
-----------
208,556
-----------
UTILITIES -- 2.2%
Commonwealth Edison Notes
7.00%..................... 02/15/97 50 50,313
9.00%..................... 10/15/99 250 262,188
Consumers Power Co. First
Mtge.
6.00%..................... 07/01/97 65 64,675
6.625%.................... 10/01/98 50 49,875
El Paso Electric Co. First
Mtge.
8.90%..................... 02/01/06 100 99,375
</TABLE>
30
<PAGE> 35
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
Florida Power & Light Notes
5.70%..................... 03/05/98 $ 200 $ 197,750
Gulf States Utilities First
Mtge.
5.375%.................... 02/01/97 128 127,520
Monongahela Power First
Mtge.
8.50%..................... 06/01/22 150 155,438
Pacific Gas & Electric Co.
First Mtge.
6.75%..................... 12/01/00 200 198,750
Potomac Capital Investment
Corp. Notes
6.19%..................... 04/28/97 250 249,410
Public Service Electric &
Gas First Mtge.
7.00%..................... 09/01/24 300 266,250
Southern California Edison
Notes
6.50%..................... 06/01/01 100 97,875
Wisconsin Electric Power Co.
First Mtge.
5.875%.................... 10/01/97 100 99,625
-----------
1,919,044
-----------
TOTAL CORPORATE OBLIGATIONS
(COST $13,704,470)................. 13,699,123
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9%
FEDERAL HOME LOAN MORTGAGE CORP. -- 0.0%
7.50%..................... 07/15/20 15 15,176
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 6.8%
9.50%..................... 10/15/09 24 25,677
10.00%.................... 11/15/09 33 36,387
11.50%.................... 06/15/10 51 57,402
12.00%.................... 09/15/13 1 1,622
12.00%.................... 01/15/14 7 7,584
10.50%.................... 08/15/15 13 14,826
11.50%.................... 09/15/15 99 111,577
11.50%.................... 11/15/15 37 41,996
8.00%..................... 05/15/16 30 30,612
8.50%..................... 06/15/16 35 36,272
9.00%..................... 07/15/16 17 17,692
8.00%..................... 12/15/16 52 52,612
8.00%..................... 02/15/17 101 101,837
8.00%..................... 05/15/17 64 64,101
9.00%..................... 05/15/17 87 90,989
8.00%..................... 06/15/17 28 28,471
9.50%..................... 11/15/18 5 5,075
9.50%..................... 03/15/19 17 18,264
9.50%..................... 01/15/20 9 9,346
9.50%..................... 06/15/20 14 15,109
8.50%..................... 07/15/20 500 514,065
8.00%..................... 06/15/22 159 160,974
8.00%..................... 09/15/22 34 34,697
8.00%..................... 07/15/23 83 84,202
7.00%..................... 09/15/23 380 364,633
6.50%..................... 02/15/24 718 668,617
6.50%..................... 04/15/24 89 82,447
6.50%..................... 05/15/24 888 827,396
7.50%..................... 06/15/24 89 87,432
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ -----------
<S> <C> <C>
7.00%..................... 12/15/25 $ 293 $ 280,737
7.50%..................... 04/15/26 145 143,011
7.50%..................... 05/15/26 1,092 1,076,632
8.00%..................... 06/15/26 808 815,070
-----------
5,907,364
-----------
TENNESSEE VALLEY AUTHORITY NOTES -- 0.1%
7.75%..................... 12/15/22 10 9,675
7.25%..................... 07/15/43 20 18,650
6.875%.................... 12/15/43 40 35,900
-----------
64,225
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $6,039,380)...................... 5,986,765
-----------
U.S. TREASURY OBLIGATIONS -- 9.8%
U.S. TREASURY BONDS -- 1.2%
11.625%................... 11/15/02 100 125,959
7.125%.................... 02/15/23 240 242,700
7.625%.................... 02/15/25 300 323,793
6.875%.................... 08/15/25 300 297,171
6.00%..................... 02/15/26 100 88,695
-----------
1,078,318
-----------
U.S. TREASURY NOTES -- 8.6%
6.50%..................... 09/30/96 80 80,245
7.25%..................... 11/30/96 240 241,714
6.125%.................... 05/15/98 100 100,087
6.00%..................... 05/31/98 450 449,167
5.125%.................... 12/31/98 50 48,773
6.375%.................... 05/15/99 1,950 1,954,602
6.75%..................... 05/31/99 460 465,525
6.875%.................... 03/31/00 250 253,952
6.25%..................... 05/31/00 100 99,446
6.125%.................... 09/30/00 150 148,359
5.625%.................... 11/30/00 275 266,489
5.625%.................... 02/28/01 1,300 1,257,295
5.75%..................... 08/15/03 965 919,423
7.50%..................... 02/15/05 250 263,077
5.875%.................... 11/15/05 425 400,562
5.625%.................... 02/15/06 500 463,955
-----------
7,412,671
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $8,490,278)...................... 8,490,989
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
--------
<S> <C> <C> <C>
FOREIGN BONDS -- 3.2%
AUSTRALIA -- 0.0%
Australian Government
9.50%.................. 08/15/03 20 16,320
-----------
BELGIUM -- 0.1%
Belgium Kingdom
Government
7.25%.................. 04/29/04 1,550 51,835
-----------
</TABLE>
31
<PAGE> 36
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- -------- -----------
<S> <C> <C> <C>
CANADA -- 0.2%
Canadian Government
8.50%.................. 04/01/02 105 $ 81,740
6.50%.................. 06/01/04 110 75,587
9.75%.................. 06/01/21 10 8,613
-----------
165,940
-----------
DENMARK -- 0.1%
Kingdom of Denmark
7.00%.................. 12/15/04 275 46,448
-----------
FRANCE -- 0.4%
France O.A.T.
8.50%.................. 11/25/02 1,146 252,262
8.25%.................. 02/27/04 264 57,230
8.50%.................. 04/25/23 50 11,077
French Treasury Bill
8.50%.................. 03/12/97 75 15,025
-----------
335,594
-----------
GERMANY -- 0.7%
Deutscheland Republic
8.50%.................. 08/21/00 375 274,554
8.375%................. 05/21/01 330 242,194
6.50%.................. 07/15/03 110 73,360
-----------
590,108
-----------
ITALY -- 0.3%
Italian Government
11.50%................. 03/01/03 275,000 201,051
8.50%.................. 08/01/04 45,000 28,450
-----------
229,501
-----------
JAPAN -- 1.0%
European Investment Bank
4.625%................. 02/26/03 43,000 432,968
International Bank
Recovery & Development
6.75%.................. 03/15/00 14,000 149,287
Japan Government
4.50%.................. 06/20/03 33,500 336,777
-----------
919,032
-----------
NETHERLANDS -- 0.1%
Netherlands Government
5.75%.................. 01/15/04 115 65,841
-----------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- -------- -----------
<S> <C> <C>
SPAIN -- 0.0%
Spanish Government
8.00%.................. 05/30/04 6,400 $ 47,611
-----------
UNITED KINGDOM -- 0.3%
United Kingdom Gilt
9.00%.................. 03/03/00 85 140,068
United Kingdom Treasury
8.00%.................. 06/10/03 75 118,966
-----------
259,034
-----------
TOTAL FOREIGN BONDS
(COST $2,618,179).................... 2,727,264
-----------
<CAPTION>
PAR
(000)
--------
<S> <C> <C>
COMMERCIAL PAPER -- 1.3%
Corporate Asset Funding
Co.
5.40%.................. 07/16/96 $ 280 279,370
Wal-Mart Stores, Inc.
5.30%.................. 07/01/96 808 808,000
-----------
TOTAL COMMERCIAL PAPER
(COST $1,087,370).................... 1,087,370
-----------
<CAPTION>
SHARES
--------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 4.7%
Temporary Investment Fund
(COST $4,025,169)................ 4,025,169 4,025,169
-----------
TOTAL INVESTMENTS -- 99.6%
(COST $81,288,214)................... 85,944,974
OTHER ASSETS LESS
LIABILITIES -- 0.4%.................. 357,294
-----------
NET ASSETS -- 100.0%................... $86,302,268
===========
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH DEPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy ITL $62,313 1,530.50 07/96 $(69)
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.6% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
32
<PAGE> 37
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 11.2%
AIRLINES -- 4.2%
American Airlines
Notes
10.19%.............. 05/26/15 $ 250 $ 294,200
AMR Corp. Notes
10.45%.............. 11/15/11 100 120,875
United Air Lines, Inc.
Notes
10.67%.............. 05/01/04 500 581,250
10.36%.............. 11/13/12 6,925 8,114,092
10.36%.............. 11/27/12 500 581,193
10.02%.............. 03/22/14 2,000 2,267,460
-------------
11,959,070
-------------
ENTERTAINMENT & LEISURE -- 1.3%
Time Warner, Inc.
Notes
7.45%............... 02/01/98 2,000 2,025,000
6.46%............... 08/15/00 437 438,639
7.975%.............. 08/15/04 262 262,000
8.11%............... 08/15/06 525 524,344
8.18%............... 08/15/07 525 525,000
-------------
3,774,983
-------------
FINANCIAL SERVICES -- 0.7%
General Motors
Acceptance Corp.
Notes
7.75%............... 07/18/96 2,000 2,001,940
-------------
OIL & GAS -- 0.3%
Arkla, Inc. Notes
9.20%............... 12/18/97 500 516,250
Occidental Petroleum
Corp. Sr. Notes
9.625%.............. 07/01/99 500 500,000
-------------
1,016,250
-------------
REAL ESTATE -- 1.7%
Spieker Properties
Notes
6.95%............... 12/15/02 5,000 4,787,500
-------------
TELECOMMUNICATIONS -- 1.9%
Cablevision Industries
Sr. Notes
10.75%.............. 01/30/02 5,000 5,337,500
-------------
UTILITIES -- 1.1%
Cleveland Electric
Illumination Co.
Notes
9.11%............... 07/22/96 250 250,312
8.75%............... 11/15/05 100 97,750
CMS Energy Corp. Notes
9.50%............... 10/01/97 150 153,750
Commonwealth Edison
Notes
6.50%............... 07/15/97 750 751,875
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C>
Illinois Power Co.
Notes
5.85%............... 10/01/96 $ 2,000 $ 1,997,500
-------------
3,251,187
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $32,206,012)................ 32,128,430
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 57.4%
FEDERAL HOME LOAN MORTGAGE CORP. -- 3.3%
5.30%............... 07/03/96 1,300 1,299,617
8.25%............... 08/01/17 704 716,829
7.00% [IO].......... 04/25/19 506 53,160
7.551%.............. 02/01/24 3,509 3,616,774
6.50% [TBA]......... 08/12/26 4,000 3,742,520
-------------
9,428,900
-------------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 11.0%
9.40%............... 07/25/03 366 383,669
6.25% [IO].......... 05/25/08 236 79,136
6.50% [IO].......... 06/25/14 2,643 184,378
6.90%............... 05/25/23 185 150,502
7.594%.............. 01/01/24 536 554,494
7.50%............... 04/01/24 4,238 4,184,848
7.00%............... 04/25/24 582 486,460
7.749%.............. 04/01/25 928 964,335
6.282%.............. 07/24/26 25,000 24,812,500
-------------
31,800,322
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 43.1%
7.00%............... 06/20/22 2,724 2,756,358
7.375%.............. 04/20/23 3,408 3,431,128
7.00%............... 09/20/23 7,731 7,783,800
7.00%............... 10/20/23 753 759,249
7.50%............... 12/20/23 465 456,381
7.25%............... 09/20/24 1,569 1,595,233
7.00%............... 10/20/24 4,137 4,190,972
6.50% [TBA]......... 08/19/26 80,000 74,350,400
7.00% [TBA]......... 08/19/26 30,000 28,725,000
-------------
124,048,521
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $163,369,227)............... 165,277,743
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.6%
Citicorp Mtge.
Securities, Inc.
7.49%............... 10/25/22 750 766,576
Collateralized Mtge.
Securities Corp.
7.985%.............. 05/01/17 515 509,652
Countrywide Adjustable
Rate Mtge.
7.7433%............. 03/25/24 1,084 1,108,437
7.87%............... 11/25/24 1,222 1,240,147
Guardian Adjustable
Rate Mtge.
6.8575%............. 12/25/19 91 56,448
</TABLE>
33
<PAGE> 38
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C>
Mortgage Capital Trust
VI
9.50%............... 02/01/18 $ 1,085 $ 1,105,783
Prudential-Bache CMO
Trust
8.40%............... 03/20/21 3,104 3,183,515
Resolution Trust Corp.
8.00%............... 09/25/21 578 579,001
Rothschild L.F. Mtge.
Trust
9.95%............... 08/01/17 3,047 3,244,984
Ryland Mtge.
Securities Corp.
7.8123%............. 09/25/23 1,493 1,515,711
-------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $13,048,392)................ 13,310,254
-------------
U.S. TREASURY OBLIGATIONS -- 55.6%
U.S. TREASURY BILLS -- 0.6%
4.95%#.............. 08/29/96 410 406,498
4.97%#.............. 08/29/96 75 74,359
5.145%#............. 10/17/96 375 369,034
5.115%#............. 10/24/96 160 157,315
5.07%#.............. 11/14/96 70 68,589
5.08%#.............. 11/14/96 215 210,667
5.09%#.............. 11/14/96 150 146,977
5.11%#.............. 11/14/96 75 73,488
5.12%#.............. 11/14/96 25 24,496
5.135%#............. 11/14/96 30 29,395
5.16%#.............. 11/14/96 75 73,488
-------------
1,634,306
-------------
U.S. TREASURY NOTES -- 55.0%
6.125%.............. 05/31/97 50,000 50,166,495
5.625%.............. 06/30/97 30,000 29,963,997
5.875%.............. 07/31/97 78,000 78,039,772
-------------
158,170,264
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $159,677,278)............... 159,804,570
-------------
SOVEREIGN ISSUES -- 2.4%
ARGENTINA -- 1.6%
Republic of Argentina
[FRB, BRB]
6.3125%............. 03/31/05 5,940 4,640,625
-------------
MEXICO -- 0.8%
United Mexican States
Cl-B [BRB]
6.25%............... 12/31/19 1,500 973,125
United Mexican States
Cl-C [BRB]
6.6093%............. 12/31/19 1,000 786,250
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C>
United Mexican States
Cl-D [BRB]
6.4531%............. 12/31/19 $ 500 $ 393,125
-------------
2,152,500
-------------
TOTAL SOVEREIGN ISSUES
(COST $6,543,410)................. 6,793,125
-------------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
----------
<S> <C> <C>
FOREIGN BONDS -- 1.0%
CANADA
Canadian Government
8.75%
(COST $2,737,528)... 12/01/05 3,500 2,758,849
-------------
<CAPTION>
PAR
(000)
----------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 5.4%
Caisse D'Amortissement
5.35%............... 08/19/96 $ 5,300 5,260,762
Commonwealth Bank of
Australia
5.27%............... 07/23/96 500 497,531
Dupont, (E.I.)
DeNemours & Co.
5.34%............... 07/24/96 1,400 1,395,224
Emerson Electric Co.
5.30%............... 07/02/96 2,100 2,099,691
General Electric
Capital Corp.
5.29%............... 09/16/96 700 691,693
Hewlett-Packard Co.
5.24%............... 08/29/96 500 495,402
Southwestern Public
Utilities
5.42%............... 07/22/96 3,600 3,588,618
Unilever Capital Corp.
5.25%............... 07/25/96 1,600 1,594,352
-------------
TOTAL COMMERCIAL PAPER
(COST $15,625,514)................ 15,623,273
-------------
OPTIONS -- (0.1%)
Written CME Put Option
on Eurodollar Futures,
Strike Price $93.00,
Expire 03/17/97............... 62,000 (15,500)
Written CME Put Option
on Eurodollar Futures,
Strike Price $93.50,
Expire 06/16/97............... 200,000 (185,000)
</TABLE>
34
<PAGE> 39
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
---------- -------------
<S> <C> <C>
CME Put Option on
Eurodollar Futures,
Strike Price $91.75,
Expire 12/16/96............... $ 100,000 $ 2,500
-------------
TOTAL OPTIONS
(COST ($238,031))................. (198,000)
-------------
<CAPTION>
SHARES
----------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 1.4%
Temporary Investment
Cash Fund..................... 1,966,010 1,966,010
Temporary Investment Fund....... 1,966,009 1,966,009
-------------
(COST $3,932,019)............. 3,932,019
-------------
TOTAL INVESTMENTS -- 138.9%
(COST $396,901,349)............... 399,430,263
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (38.9%)................. (111,784,932)
-------------
NET ASSETS -- 100.0%................ $ 287,645,331
=============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell CAN $2,196,193 1.3660 05/97 $ (16,115)
Buy DEM 492,514 1.5021 12/96 (978)
Buy DEM 2,521,014 1.5014 12/96 (5,011)
Buy DEM 4,742,424 1.4984 01/97 (9,255)
Sell DEM 2,656,735 1.4247 12/96 140,732
Sell DEM 525,706 1.4073 12/96 34,171
Sell DEM 4,966,105 1.4309 01/97 232,937
---------
$ 376,481
=========
</TABLE>
# Securities with an aggregate market value of $1,634,306 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at June 30, 1996:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
TYPE CONTRACTS (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (09/96) 50 $ 15,625
U.S. Treasury 10 Year Note (09/96) 456 401,625
U.S. Treasury 30 Year Bond (09/96) 129 68,531
Eurodollar (03/97) 200 (5,000)
--------
$480,781
========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
35
<PAGE> 40
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 69.1%
AEROSPACE -- 3.1%
Boeing Co. ....................... 20,000 $ 1,742,500
General Motors Corp. Cl-H......... 20,000 1,202,500
Lockheed Martin Corp. ............ 20,000 1,680,000
Northrop Grumman Corp. ........... 39,000 2,656,875
------------
7,281,875
------------
AIRLINES -- 0.4%
KLM Royal Dutch Airlines.......... 30,000 952,500
------------
AUTOMOBILE MANUFACTURERS -- 1.0%
Chrysler Corp. ................... 20,000 1,240,000
Ford Motor Co. ................... 30,000 971,250
------------
2,211,250
------------
AUTOMOTIVE PARTS -- 1.3%
Borg Warner Automotive, Inc. ..... 50,000 1,975,000
Eaton Corp. ...................... 20,000 1,172,500
------------
3,147,500
------------
BEVERAGES -- 1.2%
Anheuser-Busch Companies, Inc. ... 25,000 1,875,000
Coors (Adolph) Co. Cl-B........... 50,000 893,750
------------
2,768,750
------------
CHEMICALS -- 4.8%
Agrium, Inc. ..................... 210,000 2,752,969
Air Products & Chemicals, Inc. ... 25,000 1,443,750
Arco Chemical Co. ................ 20,000 1,040,000
General Chemical Group, Inc. ..... 60,000 1,215,000
Lawter International, Inc. ....... 100,000 1,250,000
Olin Corp. ....................... 40,000 3,570,000
------------
11,271,719
------------
COMPUTER SERVICES & SOFTWARE -- 0.8%
Reynolds & Reynolds Co. Cl-A...... 35,000 1,863,750
------------
COMPUTER HARDWARE -- 0.8%
International Business
Machines Corp. ................. 20,000 1,980,000
------------
CONSTRUCTION -- 1.2%
Fluor Corp. ...................... 24,000 1,569,000
Foster Wheeler Corp. ............. 30,000 1,346,250
------------
2,915,250
------------
CONSUMER PRODUCTS & SERVICES -- 0.8%
Jostens, Inc. .................... 30,000 592,500
Whitman Corp. .................... 50,000 1,206,250
------------
1,798,750
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.6%
Emerson Electric Co. ............. 25,000 2,259,375
General Electric Co. ............. 37,000 3,200,500
Honeywell, Inc. .................. 30,000 1,635,000
Polaroid Corp. ................... 30,000 1,368,750
------------
8,463,625
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 0.9%
Time Warner, Inc. ................ 25,000 $ 981,250
Walt Disney Co. .................. 20,000 1,257,500
------------
2,238,750
------------
FINANCIAL-BANK & TRUST -- 3.7%
Bank of New York Co., Inc. ....... 20,000 1,025,000
BankAmerica Corp. ................ 20,000 1,515,000
Chase Manhattan Corp. ............ 31,200 2,203,500
First Chicago NBD Corp. .......... 56,200 2,198,825
Mellon Bank Corp. ................ 30,000 1,710,000
------------
8,652,325
------------
FINANCIAL SERVICES -- 3.6%
American Express Co. ............. 20,000 892,500
Associates First Capital Corp.*... 100,000 3,762,500
Beneficial Corp. ................. 35,000 1,964,375
H & R Block, Inc. ................ 60,000 1,957,500
------------
8,576,875
------------
FOOD -- 2.2%
General Mills, Inc. .............. 25,000 1,362,500
Heinz, (H.J.) Co. ................ 33,000 1,002,375
Philip Morris Companies, Inc. .... 20,000 2,080,000
Quaker Oats Co. .................. 20,000 682,500
------------
5,127,375
------------
HOTELS & MOTELS -- 1.3%
Hilton Hotels Corp. .............. 28,000 3,150,000
------------
INDUSTRIAL PRODUCTS -- 1.7%
Albany International Corp. Cl-A... 80,000 1,810,000
Allied-Signal, Inc. .............. 40,000 2,285,000
------------
4,095,000
------------
INSURANCE -- 5.6%
Allmerica Financial Corp. ........ 60,000 1,785,000
Allmerica Property & Casualty
Companies, Inc. ................ 80,000 2,160,000
American States Financial
Corp.*.......................... 125,800 2,704,700
Ohio Casualty Corp. .............. 50,000 1,737,500
Travelers-Aetna Property Casualty
Corp. Cl-A*..................... 167,500 4,752,812
------------
13,140,012
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.3%
Becton Dickinson & Co............. 30,000 2,407,500
Novo Industries AS [ADR].......... 20,000 715,000
------------
3,122,500
------------
METALS & MINING -- 0.4%
Newmont Mining Corp. ............. 20,994 1,036,579
------------
OFFICE EQUIPMENT -- 1.0%
Xerox Corp. ...................... 45,000 2,407,500
------------
OIL & GAS -- 10.1%
Amoco Corp. ...................... 15,000 1,085,625
Atlantic Richfield Co. ........... 8,000 948,000
</TABLE>
36
<PAGE> 41
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Baker Hughes, Inc. ............... 52,500 $ 1,725,938
Burlington Resources, Inc. ....... 60,000 2,572,500
Chevron Corp. .................... 20,000 1,180,000
Dresser Industries, Inc. ......... 70,000 2,065,000
Exxon Corp. ...................... 12,000 1,042,500
Halliburton Co. .................. 35,000 1,942,500
Mobil Corp. ...................... 12,000 1,345,500
Parker & Parsley Petroleum Co. ... 20,000 555,000
Schlumberger Ltd. ................ 11,000 926,750
Sonat, Inc. ...................... 27,000 1,215,000
Tenneco, Inc. .................... 32,500 1,661,562
Union Pacific Resources Group,
Inc. ........................... 100,000 2,675,000
Unocal Corp. ..................... 40,000 1,350,000
USX Marathon Group................ 80,000 1,610,000
------------
23,900,875
------------
PAPER & FOREST PRODUCTS -- 0.4%
Champion International Corp. ..... 20,000 835,000
------------
PERSONAL SERVICES -- 0.8%
Service Corp. .................... 32,000 1,840,000
------------
PHARMACEUTICALS -- 3.1%
American Home Products Corp. ..... 30,000 1,803,750
Glaxo Wellcome PLC [ADR].......... 100,000 2,675,000
Pfizer, Inc. ..................... 15,000 1,070,625
Pharmacia & Upjohn, Inc. ......... 40,000 1,775,000
------------
7,324,375
------------
PRINTING & PUBLISHING -- 1.0%
Belo, (A.H.) Corp. Cl-A........... 25,000 931,250
R.R. Donnelley & Sons Co. ........ 40,000 1,395,000
------------
2,326,250
------------
RAILROADS -- 2.2%
Conrail, Inc. .................... 25,000 1,659,375
Kansas City Southern
Industries, Inc. ............... 40,000 1,715,000
Union Pacific Corp. .............. 25,000 1,746,875
------------
5,121,250
------------
REAL ESTATE -- 1.0%
Patriot American Hospitality,
Inc. ........................... 80,000 2,370,000
------------
RETAIL & MERCHANDISING -- 2.9%
Dayton-Hudson Corp. .............. 20,000 2,062,500
J.C. Penney Co., Inc. ............ 40,000 2,100,000
May Department Stores Co. ........ 35,000 1,531,250
Nordstrom, Inc. .................. 20,000 890,000
Payless Shoesource, Inc.*......... 5,600 177,800
------------
6,761,550
------------
SEMI-CONDUCTORS -- 0.6%
Intel Corp. ...................... 20,000 1,468,750
------------
TELECOMMUNICATIONS -- 5.8%
AT&T Corp. ....................... 40,000 2,480,000
Bell Atlantic Corp. .............. 15,000 956,250
GTE Corp. ........................ 30,000 1,342,500
Lucent Technologies, Inc. ........ 100,000 3,787,500
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
NYNEX Corp. ...................... 25,000 $ 1,187,500
SBC Communications, Inc. ......... 30,000 1,477,500
U.S. West, Inc. .................. 80,000 2,550,000
------------
13,781,250
------------
TRANSPORTATION -- 0.1%
Overseas Shipholding Group,
Inc. ........................... 17,000 308,125
------------
UTILITIES -- 0.4%
IES Industries, Inc. ............. 30,000 896,250
------------
TOTAL COMMON STOCK
(COST $138,233,124)................. 163,135,560
------------
PREFERRED STOCK -- 0.4%
METALS & MINING
Amax Gold, Inc. Cl-B*
(COST $996,575)................... 20,000 1,025,000
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- -------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 13.5%
AIRLINES -- 0.2%
Delta Air Lines, Inc.
9.30%.................. 01/02/11 $ 500 557,337
------------
BROADCASTING -- 2.6%
Allbritton Communications
Co. Sr. Sub. Debs.
11.50%................. 08/15/04 1,000 1,018,750
Benedek Broadcast Corp.
Sr. Notes
11.875%................ 03/01/05 1,000 1,058,750
Granite Broadcasting
Corp. Sr. Sub. Notes
10.375%................ 05/15/05 1,000 976,250
Lenfest Communications
Sr. Sub. Notes 144A
10.50%................. 06/15/06 1,000 1,006,250
SCI Television, Inc. Sr.
Notes
11.00%................. 06/30/05 1,000 1,045,000
SFX Broadcasting Sr. Sub.
Notes 144A
10.75%................. 05/15/06 1,000 997,500
------------
6,102,500
------------
BUILDING MATERIALS -- 0.6%
USG Corp. Debs.
8.75%.................. 03/01/17 1,517 1,460,113
------------
CHEMICALS -- 0.2%
Rexene Corp. Sr. Notes
11.75%................. 12/01/04 500 520,625
------------
ENTERTAINMENT & LEISURE -- 0.9%
Trump Atlantic City First
Mtge.
11.25%................. 05/01/06 1,000 1,007,500
</TABLE>
37
<PAGE> 42
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
United Artists Sr. Notes
11.50%................. 05/01/02 $ 1,000 $ 1,055,000
------------
2,062,500
------------
FINANCIAL SERVICES -- 0.8%
Donaldson Lufkin &
Jenrette, Inc.
5.625%................. 02/15/16 1,000 951,250
General Motors Acceptance
Corp. Notes
7.125%................. 06/01/99 500 506,250
Tembec Finance Corp. Sr.
Notes
9.875%................. 09/30/05 500 465,000
------------
1,922,500
------------
HEALTHCARE SERVICES -- 0.4%
Tenet Healthcare Corp.
Sr. Sub. Notes
10.125%................ 03/01/05 900 951,750
------------
INDUSTRIAL PRODUCTS -- 0.4%
Noble Drilling Corp.
9.125%................. 07/01/06 1,000 1,002,500
------------
METALS & MINING -- 0.4%
Freeport-McMoran Resource
Sr. Sub. Notes
8.75%.................. 02/15/04 1,000 1,008,750
------------
OIL & GAS -- 0.2%
Transtexas Gas Corp. Sr.
Notes
11.50%................. 06/15/02 500 501,250
------------
PAPER & FOREST PRODUCTS -- 0.7%
Repap New Brunswick Sr.
Notes
10.625%................ 04/15/05 500 468,750
S.D. Warren Co. Sr. Sub.
Notes
12.00%................. 12/15/04 1,000 1,060,000
------------
1,528,750
------------
RETAIL & MERCHANDISING -- 0.4%
Revco D.S., Inc. Sr.
Notes
9.125%................. 01/15/00 910 944,125
------------
TELECOMMUNICATIONS -- 5.1%
Arch Communications Group
Sr. Disc. Notes [STEP]
10.875%................ 03/15/08 1,000 528,750
Cablevision Industries
Debs. Cl-B
9.25%.................. 04/01/08 1,500 1,518,750
Centennial Cellular Sr.
Notes
8.875%................. 11/01/01 1,000 931,250
Comcast U.K. Cable [STEP]
4.59%.................. 11/15/07 1,000 582,500
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
Continental Cablevision
Sr. Sub. Debs.
11.00%................. 06/01/07 $ 1,500 $ 1,696,875
International Cabletel,
Inc. Sr. Notes [STEP]
5.63%.................. 02/01/06 2,000 1,122,500
Jones Intercable Sr. Sub.
Debs.
10.50%................. 03/01/08 250 260,937
Marcus Cable Co. Sr.
Disc. Notes [STEP]
5.24%.................. 12/15/05 900 558,000
MFS Communications Co.,
Inc. Sr. Disc. Notes
[STEP]
4.28%.................. 01/15/06 1,500 915,000
Rogers Cantel, Inc. Debs.
9.375%................. 06/01/08 1,000 981,250
UIH Australia Pacific Sr.
Disc. Notes [STEP] 144A
6.88%.................. 05/15/06 1,000 535,000
Vanguard Cellular Systems
Debs.
9.375%................. 04/15/06 1,000 977,500
Viacom, Inc. Sub. Debs.
8.00%.................. 07/07/06 1,500 1,383,750
------------
11,992,062
------------
TRANSPORTATION -- 0.2%
Teekay Shipping Corp.
First Mtge.
8.32%.................. 02/01/08 500 470,000
------------
UTILITIES -- 0.4%
Long Island
Lighting Debs.
9.00%.................. 11/01/22 1,000 917,500
TOTAL CORPORATE OBLIGATIONS
------------
(COST $32,780,576)................... 31,942,262
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.2%
FEDERAL HOME LOAN MORTGAGE CORP. -- 4.5%
7.50%.................. 07/01/09 718 722,205
6.50%.................. 06/01/10 892 863,463
6.50%.................. 10/01/10 1,879 1,818,623
6.50%.................. 11/01/10 1,901 1,840,154
6.50%.................. 04/01/11 2,980 2,884,737
7.00%.................. 04/01/24 946 911,081
7.00%.................. 07/01/24 841 810,256
8.00%.................. 12/01/24 825 832,552
------------
10,683,071
------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 0.7%
7.50%.................. 10/15/23 1,689 1,665,332
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $12,331,509)................... 12,348,403
------------
</TABLE>
38
<PAGE> 43
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
U.S. TREASURY NOTES -- 5.4%
5.375%................. 11/30/97 $ 3,000 $ 2,977,140
5.50%.................. 12/31/00 2,000 1,929,060
6.50%.................. 05/15/05 8,000 7,898,639
------------
TOTAL U.S. TREASURY NOTES
(COST $13,245,741)................... 12,804,839
------------
COMMERCIAL PAPER -- 5.6%
American Express Credit
Corp.
5.4541%................ 07/02/96 2,600 2,600,000
Chevron Oil Finance Co.
5.2576%................ 07/01/96 2,487 2,487,000
Ford Motor Credit Co.
5.327%................. 07/05/96 3,831 3,831,000
Hertz Corp.
5.3571%................ 07/03/96 4,330 4,330,000
------------
TOTAL COMMERCIAL PAPER
(COST $13,248,000)................... 13,248,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 1.0%
Temporary Investment Cash Fund.... 1,068,560 $ 1,068,560
Temporary Investment Fund......... 1,068,560 1,068,560
------------
(COST $2,137,120)............... 2,137,120
------------
TOTAL INVESTMENTS -- 100.2%
(COST $212,972,645)................. 236,641,184
LIABILITES IN EXCESS OF
OTHER ASSETS -- (0.2%).............. (501,652)
------------
NET ASSETS -- 100.0%.................. $236,139,532
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.1% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
39
<PAGE> 44
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 86.7%
AEROSPACE -- 0.7%
Remec, Inc.*................... 60,800 $ 1,079,200
------------
BROADCASTING -- 0.5%
SFX Broadcasting, Inc. Cl-A*... 18,700 729,300
------------
BUSINESS SERVICES -- 1.4%
Caribiner International,
Inc.*........................ 31,900 1,024,787
Whittman-Hart, Inc.*........... 29,285 1,054,260
------------
2,079,047
------------
COMPUTER SERVICES &
SOFTWARE -- 17.3%
Avant Corp.*................... 70,300 1,634,475
Broadvision, Inc.*............. 51,300 359,100
Check Point Software
Technologies Ltd............. 8,550 205,200
Computervision Corp.*.......... 87,000 870,000
CSG Systems International,
Inc.*........................ 27,750 721,500
Cybercash, Inc.*............... 9,150 500,962
Dendrite International,
Inc.*........................ 60,300 2,080,350
Farallon Communications*....... 31,050 457,987
Geoworks*...................... 39,150 1,389,825
GT Interactive Software
Corp.*....................... 15,350 257,112
HCIA, Inc.*.................... 34,500 2,173,500
HPR, Inc.*..................... 76,525 1,626,156
Integrated Systems, Inc.*...... 26,055 1,043,828
Network General Corp.*......... 121,000 2,601,500
Parametric Technology Corp.*... 28,000 1,214,500
PRI Automation, Inc.*.......... 55,800 1,701,900
Project Software & Development,
Inc.*........................ 33,175 1,555,078
Ross Systems, Inc.*............ 175,825 1,010,994
Scopus Technology, Inc.*....... 68,200 1,057,100
Siebel Systems, Inc. .......... 2,675 82,256
Sterling Commerce, Inc.*....... 29,075 1,079,409
Synopsys, Inc.*................ 25,000 993,750
Verity, Inc.*.................. 26,425 759,719
7th Level, Inc.*............... 18,000 231,750
------------
25,607,951
------------
COMPUTER HARDWARE -- 4.1%
Filenet Corp.*................. 32,500 1,186,250
Gandalf Technologies, Inc.*.... 174,900 1,399,200
Mylex Corp.*................... 53,725 953,619
PC Docs Group International,
Inc.*........................ 45,000 894,375
Radisys Corp.*................. 46,900 1,594,600
------------
6,028,044
------------
CONSUMER PRODUCTS &
SERVICES -- 5.2%
Authentic Fitness Corp. ....... 40,000 745,000
Empire of Carolina, Inc. ...... 47,375 568,500
Nautica Enterprises, Inc.*..... 60,000 1,725,000
Protection One, Inc. .......... 120,750 1,977,281
Quicksilver, Inc.*............. 31,000 930,000
Warnaco Group, Inc. Cl-A....... 70,000 1,802,500
------------
7,748,281
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
ELECTRONIC COMPONENTS &
EQUIPMENT -- 4.7%
Berg Electronics Corp.*........ 48,250 $ 1,145,937
Fore Systems, Inc.*............ 56,000 2,023,000
Mentor Graphics Corp.*......... 49,500 804,375
Plantronics, Inc.*............. 7,000 257,250
Sanmina Corp.*................. 33,850 913,950
Sawtek, Inc.*.................. 51,925 1,791,413
------------
6,935,925
------------
ENTERTAINMENT & LEISURE -- 3.2%
Anchor Gaming.................. 40,900 2,464,225
Golf Enterprises, Inc.*........ 30,000 352,500
Trump Hotels & Casino Resorts,
Inc. ........................ 65,725 1,873,163
------------
4,689,888
------------
ENVIRONMENTAL SERVICES -- 1.7%
United Waste Systems, Inc.*.... 80,000 2,580,000
------------
FINANCIAL-BANK & TRUST -- 0.9%
Banco Latinoamericano de
Exportaciones SA Cl-E........ 24,000 1,350,000
------------
FINANCIAL SERVICES -- 3.0%
Credit Acceptance Corp.*....... 20,075 421,575
First USA Paymentech, Inc. .... 22,900 916,000
Jayhawk Acceptance Corp.*...... 68,025 926,841
Olympic Financial Ltd.*........ 95,000 2,185,000
------------
4,449,416
------------
HEALTHCARE SERVICES -- 4.2%
Multicare Companies, Inc.*..... 74,000 1,406,000
Omnicare, Inc. ................ 93,800 2,485,700
Orthodontic Centers of America,
Inc.*........................ 52,000 1,378,000
Sunrise Assisted Living,
Inc.*........................ 39,900 957,600
------------
6,227,300
------------
HOTELS & MOTELS -- 1.1%
Doubletree Corp. .............. 45,000 1,597,500
------------
INDUSTRIAL PRODUCTS -- 2.2%
Harsco Corp. .................. 35,000 2,353,750
Strategic Distribution,
Inc.*........................ 115,825 912,122
------------
3,265,872
------------
INSURANCE -- 1.2%
Executive Risk, Inc. .......... 22,800 872,100
Reliastar Financial Corp. ..... 20,000 862,500
------------
1,734,600
------------
MACHINERY & EQUIPMENT -- 0.7%
Asyst Technologies, Inc.*...... 53,200 997,500
------------
MEDICAL SUPPLIES &
EQUIPMENT -- 5.1%
Express Scripts, Inc. Cl-A*.... 13,275 610,650
Gulf South Medical Supply,
Inc.*........................ 45,000 1,755,000
Heartport, Inc.*............... 21,225 642,056
Henry Schein, Inc.*............ 60,725 2,322,731
Sano Corp.*.................... 13,450 208,475
Sola International, Inc.*...... 33,000 948,750
</TABLE>
40
<PAGE> 45
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Ventritex, Inc.*............... 45,350 $ 776,619
Visible Genetics, Inc.*........ 25,925 252,769
------------
7,517,050
------------
OFFICE EQUIPMENT -- 1.0%
US Office Products Co. ........ 33,500 1,407,000
------------
OIL & GAS -- 1.3%
Falcon Drilling Co., Inc.*..... 50,000 1,356,250
Seitel, Inc.*.................. 18,700 511,913
------------
1,868,163
------------
PERSONAL SERVICES -- 0.6%
Sylvan Learning Systems,
Inc.*........................ 24,625 929,594
------------
PHARMACEUTICALS -- 7.1%
Cardinal Health, Inc. ......... 5,925 427,341
Genelabs Technologies, Inc.*... 271,000 1,761,500
NeXstar Pharmaceuticals,
Inc. ........................ 25,250 561,813
Paraxel International Corp.*... 36,400 1,756,300
Pharmaceutical Product
Development, Inc.*........... 16,200 542,700
Pharmaceutical Resources,
Inc.*........................ 35,900 179,500
Sequus Pharmaceuticals,
Inc.*........................ 102,450 2,037,795
Watson Pharmaceuticals,
Inc.*........................ 85,000 3,219,375
------------
10,486,324
------------
PRINTING & PUBLISHING -- 0.7%
World Color Press, Inc.*....... 41,900 1,063,213
------------
RETAIL & MERCHANDISING -- 6.1%
Consolidated Stores Corp.*..... 26,175 961,931
Corporate Express, Inc.*....... 31,000 1,240,000
Insight Enterprises, Inc. ..... 43,000 999,750
Kenneth Cole Productions,
Inc. Cl-A*................... 65,100 1,285,725
Officemax, Inc.*............... 21,840 521,430
Proffitt's, Inc. .............. 37,975 1,348,113
The Sports Authority, Inc.*.... 19,200 628,800
Williams-Sonoma, Inc.*......... 40,000 945,000
Wolverine World Wide, Inc. .... 35,325 1,148,063
------------
9,078,812
------------
SEMI-CONDUCTORS -- 1.5%
Speedfam International,
Inc. ........................ 65,250 1,060,313
Vitesse Semiconductor, Inc.*... 46,900 1,125,600
------------
2,185,913
------------
TELECOMMUNICATIONS -- 10.3%
Arch Communications Group,
Inc.*........................ 45,000 838,125
Ascend Communications, Inc.*... 14,700 826,875
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Cellular Communications
International, Inc.*......... 25,000 $ 843,750
Digital Microwave Corp.*....... 124,700 2,073,137
Inter-Tel, Inc.*............... 55,125 1,443,586
Intermedia Communications of
Florida, Inc.*............... 39,950 1,288,387
Intervoice, Inc.*.............. 53,225 1,057,847
LCI International, Inc. ....... 30,875 968,703
Omnipoint Corp.*............... 14,000 364,874
P-Com, Inc.*................... 78,600 2,475,900
Periphonics Corp.*............. 30,000 1,020,000
Trescom International, Inc.*... 20,550 205,500
Winstar Communications,
Inc.*........................ 70,925 1,768,692
------------
15,175,376
------------
TRANSPORTATION -- 0.9%
Celadon Group, Inc.*........... 14,150 109,663
Mark VII, Inc.*................ 36,425 733,053
Rural Metro Corp.*............. 14,800 506,900
------------
1,349,616
------------
TOTAL COMMON STOCK
(COST $102,998,858).............. 128,160,885
------------
FOREIGN STOCK -- 6.0%
BROADCASTING -- 1.0%
Flextech PLC -- (UK)*.......... 187,000 1,466,769
------------
BUILDING MATERIALS -- 1.1%
Hunter Douglas NV -- (NETH).... 23,356 1,596,160
------------
CONTAINERS & PACKAGING -- 0.6%
Hoya Corp. -- (JPN)............ 25,000 809,180
------------
RESTAURANTS -- 0.9%
J.D. Wetherspoon PLC -- (UK)... 89,533 1,397,584
------------
RETAIL & MERCHANDISING -- 1.1%
Next PLC -- (UK)............... 190,000 1,661,464
------------
TRANSPORTATION -- 1.3%
IHC Caland NV -- (NETH)........ 40,000 1,971,021
------------
TOTAL FOREIGN STOCK
(COST $6,917,480)................ 8,902,178
------------
</TABLE>
41
<PAGE> 46
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------ ------------
<S> <C> <C>
COMMERCIAL PAPER -- 11.6%
Amoco Corp.
5.30%................. 07/01/96 $5,756 $ 5,756,000
Bell South
Telecommunications
5.35%................. 07/03/96 1,363 1,362,595
Ford Motor Credit Co.
5.31%................. 07/01/96 5,000 5,000,000
Lubrizol Corp.
5.40%................. 07/02/96 5,105 5,104,234
------------
TOTAL COMMERCIAL PAPER
(COST $17,222,829)................... 17,222,829
------------
<CAPTION>
VALUE
------------
<S> <C> <C>
TOTAL INVESTMENTS -- 104.3%
(COST $127,139,167).................. $154,285,892
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (4.3%)............... (6,369,619)
------------
NET ASSETS -- 100.0%................... $147,916,273
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
42
<PAGE> 47
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
FOREIGN STOCK -- 96.8%
ARGENTINA -- 0.6%
Banco de Galicia Buenos Aires
SA [ADR]...................... 4,980 $ 128,858
Banco Frances del Rio de la
Plata SA [ADR]................ 4,243 121,986
Buenos Aires Embotelladora
SA [ADR]...................... 1,535 20,339
Compania Naviera Perez Companc
S.A.C.F.I.M.F.A............... 49,186 325,857
Enron Global Power & Pipelines
LLC........................... 1,356 32,883
Sociedad Comercial del Plata
[ADR]*........................ 1,640 52,283
Sociedad Comercial del Plata
SA*........................... 14,380 45,153
Telecom Argentina Stet SA Cl-B
[ADR]......................... 941 44,109
Telecom Argentina Stet-Fran Tel
SA Cl-B....................... 10,450 49,220
Telefonica de Argentina SA*..... 2,610 76,995
Telefonica de Argentina SA Cl-B
[ADR]......................... 20,200 598,425
Transportadora de Gas del Sur SA
Cl-B [ADR].................... 2,632 32,242
YPF SA*......................... 3,550 81,650
YPF SA [ADR].................... 16,340 367,650
------------
1,977,650
------------
AUSTRALIA -- 1.7%
Amcor Ltd....................... 45,000 305,942
Australian Gas Light Co. Ltd.... 124,945 519,499
Broken Hill Proprietary Co.
Ltd........................... 50,747 700,798
Burns Philip & Co. Ltd.......... 71,000 133,931
Coca-Cola Amatil Ltd............ 30,251 335,964
Fletcher Challange Forest
Ltd........................... 1,702 2,073
Howard Smith Ltd................ 50,929 316,230
Lend Lease Corp. Ltd............ 14,486 222,021
National Australia Bank Ltd..... 34,000 313,998
News Corp. Ltd.................. 60,228 341,306
Publishing & Broadcasting
Ltd........................... 64,300 283,015
Sydney Harbour Casino Holdings
Ltd.*......................... 182,000 251,765
Tabcorp Holdings Ltd............ 86,000 388,666
TNT Ltd......................... 99,000 111,271
Westpac Banking Corp. Ltd....... 71,000 314,179
WMC Ltd......................... 42,377 303,097
Woodside Petroleum Ltd.......... 63,000 378,307
------------
5,222,062
------------
AUSTRIA -- 0.1%
Creditanstalt-Bankverein........ 1,600 81,144
Energie Versorgung
Niederoesterreich AG.......... 624 86,334
Flughafen Wien AG............... 1,581 108,706
------------
276,184
------------
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
BELGIUM -- 0.9%
Generale de Banque SA........... 2,140 $ 743,768
Kredietbank NV.................. 5,200 1,557,175
U.C.B. SA....................... 306 573,078
------------
2,874,021
------------
BRAZIL -- 2.7%
Brazil Fund, Inc.**............. 29,290 699,299
Centrais Electrobras SA [ADR]... 44,628 617,830
Cesp-Cia Energetica de
Sao Paolo [ADS]*.............. 5,020 50,009
Companhia Energetica de Minas
Geras [ADR]................... 44,868 1,273,578
Lojas Americanas SA [ADR]*...... 23,000 454,710
Pao de Acucar [ADR]*............ 5,160 84,283
Telecomunicacoes Brasileiras
SA [ADR]...................... 55,389 3,856,459
Telecomunicacoes Brasileiras
SA [ADR] 144A................. 217 15,518
Uniao Siderurgicas de Minas
Gerais SA [ADS]............... 52,190 458,015
Usinas Siderurgicas de Minas
Gerais SA [ADR]*.............. 44,000 586,224
Usinas Siderurgicas de Minas
Gerais SA [ADR] 144A.......... 11,100 120,502
------------
8,216,427
------------
CANADA -- 0.3%
Alcan Aluminum Ltd. ............ 21,890 663,916
Royal Bank of Canada............ 7,140 170,785
------------
834,701
------------
CHILE -- 0.7%
A.F.P. Provida SA [ADR]......... 1,152 28,656
Chilectra Metropolitana SA
[ADR]......................... 4,136 227,575
Chilgener SA [ADR].............. 6,371 152,904
Cia de Telecomunicaciones de
Chile SA [ADR]................ 2,390 234,519
Compania Cervecerias Unidas SA
[ADR]......................... 3,628 85,258
Empresa Nacional Electridad SA
[ADR]......................... 14,096 303,064
Enersis SA [ADR]................ 8,471 262,601
Five Arrows Chile Fund Ltd.**... 89,390 261,019
Five Arrows Chile Investment
Trust**....................... 29,340 85,673
Genesis Chile Fund**............ 9,350 388,025
The Chile Fund**................ 9,294 227,703
------------
2,256,997
------------
CHINA -- 0.3%
Huaneng Power International,
Inc. [ADR]*................... 51,000 911,625
------------
CZECH REPUBLIC -- 0.1%
SPT Telecom AS*................. 1,360 166,107
------------
</TABLE>
43
<PAGE> 48
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
DENMARK -- 0.2%
Den Danske Bank................. 4,350 $ 291,812
Teledanmark AS Cl-B............. 2,030 101,743
Unidanmark AS Cl-A.............. 4,250 197,324
------------
590,879
------------
FINLAND -- 0.1%
Nokia AB Cl-A................... 10,224 377,685
------------
FRANCE -- 8.4%
Accor SA........................ 4,320 604,889
Alcatel Alsthom................. 2,720 237,506
Assurances Generales de
France........................ 7,533 204,216
AXA SA.......................... 1,900 104,051
Canal Plus*..................... 2,600 636,588
Carrefour Supermarch Rights*.... 2,565 709,327
Carrefour Supermarch SA......... 3,265 1,831,209
Castorama Duois Investisse...... 2,446 482,341
Charguers....................... 2,331 652,776
Cie de Gaz Petrole Warrants*.... 217 4,600
Compagnie de Saint Gobain....... 9,730 1,303,742
Compagnie Generale des Eaux..... 30,080 3,363,606
Credit Local de France Ord. .... 3,660 298,232
Credit Local de France
Reg'd. ....................... 1,928 157,289
Ecco SA......................... 4,864 1,224,963
Elf Aquitaine SA................ 13,570 999,125
GTM Entrepose SA................ 4,510 292,943
Guilbert SA..................... 3,243 473,007
Havas SA*....................... 2,940 240,707
Hermes International............ 362 95,743
L'Oreal......................... 1,070 355,619
Lapeyre SA...................... 8,105 475,226
Legrand SA...................... 1,275 228,117
Louis Vuitton Moet Hennessy..... 8,250 1,958,976
Pinault Printemps Redoute SA.... 6,423 2,249,630
Primagaz Cie.................... 3,462 384,435
Promodes........................ 790 227,992
Rexel SA........................ 2,025 559,995
Sanofi SA....................... 4,057 304,387
Schneider SA*................... 12,240 642,695
Societe Generale................ 2,050 225,647
Societe Television Francaise.... 15,610 1,785,006
Sodexho SA...................... 2,430 1,079,349
Total SA Cl-B................... 17,630 1,309,024
------------
25,702,958
------------
GERMANY -- 4.2%
Allianz AG Holding.............. 534 929,215
Altana AG....................... 216 168,044
Bayer AG........................ 52,880 1,862,241
Bilfinger & Berger Bau AG....... 880 370,959
Buderus AG...................... 527 222,154
Deutsche Bank AG................ 14,120 669,507
Fielmann AG Pfd. ............... 5,723 274,746
Gehe AG......................... 3,980 2,706,379
Hoechst AG...................... 9,020 304,898
Hornbach Baumarkt AG............ 1,300 58,562
Hornbach Holdings AG Pfd.*...... 3,920 337,709
Krones AG Hermann Kronseder
Maschinenfabrik Pfd. ......... 456 173,931
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Mannesmann AG................... 1,410 $ 485,887
Praktiker Bau Und
Heimwerkemaerkte.............. 3,779 98,166
Rhoen-Klinicum AG............... 5,760 746,232
SAP AG.......................... 2,110 311,102
Schering AG..................... 6,391 463,795
Siemens AG...................... 8,830 473,728
Veba AG......................... 29,195 1,553,252
Veba AG Warrants*............... 1,220 346,600
Volkswagen AG................... 619 230,609
Volkswagen AG Warrants*......... 370 41,609
------------
12,829,325
------------
HONG KONG -- 5.1%
Cathay Pacific Air*............. 322,000 590,711
Dao Heng Bank Group Ltd. ....... 200,000 772,560
First Pacific Co. Ltd. ......... 1,138,954 1,750,992
Guangdong Investment Ltd. ...... 863,000 546,308
Guangzhou Investment Co.
Ltd. ......................... 2,962,000 746,192
Guoco Group Ltd. ............... 248,000 1,182,249
Hong Kong Land Holdings Ltd. ... 936,582 2,107,310
Hopewell Holdings Ltd. ......... 2,512,000 1,363,013
Hutchison Whampoa Ltd. ......... 269,000 1,692,436
New World Developing Co.
Ltd. ......................... 315,141 1,461,606
Shanghai Petrochemical Co.
Ltd. Cl-H..................... 1,660,000 471,804
Swire Pacific Ltd. Cl-A......... 154,000 1,318,067
Wharf Holdings Ltd. ............ 392,000 1,402,803
Yizheng Chemical Fibre Co.
Ltd. Cl-H..................... 986,000 217,823
------------
15,623,874
------------
ITALY -- 2.0%
Assicurazioni Generali.......... 39,224 905,425
Banca Fideuram SPA.............. 312,340 677,138
Danieli & Co. Warrants*......... 875 686
Ente Nazionale Idrocarburi
SPA........................... 63,000 314,506
Finanziaria Autogrill SPA*...... 36,752 42,166
Industrie Natuzzi SPA [ADR]..... 5,660 290,075
Istituto Mobiliare Italiano
SPA........................... 29,000 242,393
Istituto Nazionale Delle
Assicurazioni................. 106,480 158,879
Italgas Ord. ................... 78,936 295,095
La Rinascente SPA............... 22,800 163,400
La Rinascente SPA Warrants*..... 1,140 929
Mediolanum SPA*................. 28,440 283,211
Rinascente Rights*.............. 22,800 0
Riunione Adriatica di Sicurta
SPA........................... 2,651 27,429
Sasib SPA....................... 39,177 78,027
Stet di Risp.................... 94,220 247,640
Stet Societa' Finanziaria
Telefonica SPA................ 233,480 789,752
Stet Warrants*.................. 1,000 20,243
Telecom Italia Mobile SPA....... 498,848 1,017,136
Telecom Italia SPA.............. 202,673 436,076
Unicem SPA*..................... 8,642 63,204
------------
6,053,410
------------
</TABLE>
44
<PAGE> 49
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
JAPAN -- 24.7%
Advantest Corp. ................ 6,400 $ 254,549
Alps Electric Co. Ltd. ......... 50,000 608,028
Amada Co. Ltd. ................. 109,000 1,176,008
Canon, Inc. .................... 127,000 2,647,527
Citizen Watch Co. Ltd. ......... 68,000 567,651
Daifuku Co. Ltd. ............... 18,000 276,493
Daiichi Pharma Co. Ltd. ........ 98,000 1,514,309
Dai Nippon Screen Mfg. Co.
Ltd. ......................... 88,000 785,298
Daiwa House Industry Co.
Ltd. ......................... 124,000 1,927,402
DDI Corp. ...................... 144 1,258,700
East Japan Railway Co. ......... 310 1,629,789
Fanuc Co. ...................... 26,000 1,036,482
Hitachi Ltd. ................... 165,000 1,538,813
Hitachi Zosen Corp. ............ 141,000 800,594
Honda Motor Co. ................ 11,000 285,636
Inax............................ 46,000 458,444
Ishihara Sangyo Kaisha Ltd.*.... 56,000 223,242
Ito-Yokado Co. Ltd. ............ 35,000 2,115,294
Kao Corp.*...................... 22,000 297,705
Kawada Industries............... 14,000 125,318
Kokuyo.......................... 50,000 1,385,206
Komatsu Ltd. ................... 135,000 1,333,090
Komori Corp. ................... 40,000 1,024,047
Kumagai Gumi Co. Ltd. .......... 88,000 354,028
Kuraray Co. Ltd. ............... 103,000 1,158,362
Kyocera Corp. .................. 41,000 2,905,276
Makita Corp. ................... 67,000 1,090,427
Matsushita Electric Industrial
Co. .......................... 111,000 2,070,403
Mauri Co. Ltd. ................. 76,000 1,688,580
Mitsubishi Electric Corp. ...... 65,000 855,811
Mitsubishi Heavy Industries
Ltd. ......................... 329,000 2,866,755
Mitsubishi Paper Mills Ltd. .... 64,000 400,841
Mitsui Fudosan.................. 171,000 2,313,980
Mitsui Petrochemical
Industries.................... 43,000 345,982
Murata Manufacturing Co.
Ltd. ......................... 42,000 1,593,673
National House Industrial....... 26,000 406,510
NEC Corp. ...................... 213,000 2,317,546
Nippon Hodo..................... 22,000 374,143
Nippon Steel Co. ............... 530,000 1,822,072
Nippon Telegraph & Telephone
Corp. ........................ 142 1,054,256
Nippondenso Co. Ltd. ........... 110,000 2,393,709
Nomura Securities Co. Ltd. ..... 109,000 2,132,760
Pioneer Electronic Corp. ....... 54,000 1,288,653
Sangetsu Co. Ltd. .............. 11,000 294,688
Sankyo Co. Ltd. ................ 80,000 2,077,352
Sega Enterprises................ 15,700 734,973
Sekisui Chemical Co. Ltd. ...... 115,000 1,408,979
Sekisui House Ltd. ............. 84,000 960,044
Seven Eleven Japan.............. 12,000 766,938
Sharp Corp. .................... 106,000 1,860,839
Shin-Etsu Chemical Co. ......... 65,450 1,256,697
Sony Corp. ..................... 29,400 1,938,137
Sumitomo Corp. ................. 164,000 1,460,510
Sumitomo Electric Industries.... 159,000 2,282,436
Sumitomo Forestry Co. .......... 58,000 864,405
TDK Corp. ...................... 30,000 1,793,911
Teijin Ltd. .................... 209,000 1,137,012
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Tokio Marine & Fire Insurance
Co. .......................... 47,000 $ 627,412
Tokyo Electron Ltd. ............ 17,000 495,840
Tokyo Steel Manufacturing....... 48,000 943,586
Toppan Printing Co. Ltd. ....... 79,000 1,155,710
UNY Co. Ltd.*................... 15,000 297,614
Yurtec Corp. ................... 21,000 370,577
------------
75,431,052
------------
KOREA -- 1.0%
Choung Bank Co. Ltd. ........... 21,300 266,686
Hanil Bank...................... 11,000 125,898
Hanil Securities Co.*........... 14,060 176,230
Kookmin Bank.................... 14,003 307,586
Korea Electric Power Corp. ..... 17,700 713,448
Pohang Iron & Steel Co. Ltd. ... 6,030 502,784
Samsung Electronics Co.*........ 4,252 354,950
Samsung Electronics Co. [GDR]... 9,049 225,216
Samsung Fire and Marine
Insurance*.................... 95 67,738
Seoul Bank*..................... 16,000 119,732
Shinhan Bank*................... 4,370 101,533
Yukong Ltd. .................... 7,755 229,051
------------
3,190,852
------------
MALAYSIA -- 3.4%
Affin Holdings BHD.............. 765,000 1,793,687
Affin Holdings Warrants*........ 86,600 83,650
Berjaya Sports Toto BHD......... 225,000 743,988
Commerce Asset Holdings BHD*.... 91,000 554,389
MBF Capital BHD................. 450,000 620,441
Multi-Purpose Holdings BHD...... 673,000 1,084,353
Renong BHD*..................... 79,000 29,764
Renong BHD Iculs*............... 582,000 928,401
Renong BHD Warrants*............ 49,375 22,560
Tanjong PLC*.................... 204,000 768,577
Technology Resources Industry
BHD*.......................... 600,000 2,092,184
United Engineers Ltd. .......... 234,000 1,622,525
------------
10,344,519
------------
MEXICO -- 1.8%
Cementos de Mexico SA
de CV [ADS]................... 65,090 453,026
Cemex SA [ADS].................. 50,068 348,473
Cemex SA Cl-B................... 67,925 268,078
Cifra SA de CV Cl-B [ADR]*...... 566,468 817,413
Fomento Economico Mexicano SA
Cl-B.......................... 46,409 132,930
Gruma SA Cl-B................... 86,348 400,055
Grupo Embotelladoras
de Mexico SA.................. 63,023 111,804
Grupo Embotelladoras de Mexico
SA Cl-B....................... 10,080 5,322
Grupo Financiero Banamex
SA Cl-B*...................... 114,200 238,168
Grupo Financiero Banamex
SA Cl-L....................... 4,184 7,953
Grupo Financiero Bancomer
Cl-B [GDR]*................... 2,330 20,539
</TABLE>
45
<PAGE> 50
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Grupo Financiero Bancomer
SA Cl-L*...................... 1,725 $ 572
Grupo Industrial Maseca SA
de CV Cl-B.................... 218,095 226,846
Grupo Modelo SA Cl-C............ 48,506 228,572
Grupo Televisia SA [GDR]*....... 13,570 417,278
Kimberly-Clark de Mexico
SA Cl-A....................... 15,464 281,683
Panamerica Beverages, Inc.
[ADR]......................... 10,270 459,583
Telefonos de Mexico SA
Cl-L [ADS].................... 30,454 1,020,209
------------
5,438,504
------------
NETHERLANDS -- 9.5%
ABN AMRO Holdings NV............ 26,893 1,445,063
AKZO Nobel...................... 1,902 228,169
CSM NV.......................... 35,474 1,702,219
Elsevier NV..................... 358,462 5,446,217
Fortis Amev NV.................. 34,793 998,051
Hagemeyer NV.................... 5,152 367,503
ING Groep NV.................... 77,962 2,327,838
Koninklijke Ahold NV............ 16,640 902,915
Koninklijke Nederland........... 11,749 445,231
Nutricia Verenigde Bedrijven
NV............................ 5,090 538,948
Otra NV*........................ 6,490 149,620
Polygram NV..................... 34,567 2,043,969
Royal Dutch Petroleum Co. ...... 33,876 5,238,290
Unilever NV..................... 10,900 1,579,339
Wolters Kluwer NV............... 49,737 5,657,303
------------
29,070,675
------------
NEW ZEALAND -- 0.6%
Air New Zealand Ltd. ........... 57,000 181,915
Carter Holt Harvey Ltd. ........ 101,000 230,837
Fernz Corp. Ltd. ............... 51,100 152,563
Fletcher Challenge Building*.... 18,250 35,698
Fletcher Challenge Energy*...... 18,250 40,333
Fletcher Challenge Forest....... 160,952 199,947
Fletcher Challenge Paper*....... 36,500 70,645
Telecom Corp. of
New Zealand Ltd. ............. 197,000 827,481
------------
1,739,419
------------
NORWAY -- 1.3%
Bergesen D.Y. AS Cl-A........... 5,170 107,541
Norsk Hydro AS.................. 46,840 2,295,052
Orkla AS Cl-A................... 30,000 1,580,869
Saga Petroleum AS Cl-B.......... 8,260 111,998
------------
4,095,460
------------
PERU -- 0.0%
Telefonica de Peru SA Cl-B*..... 26,690 53,675
------------
PORTUGAL -- 0.5%
Estabelecimentos Jeronimo
Martins & Filho............... 16,550 1,491,658
------------
SINGAPORE -- 2.2%
DBS Land Ltd. .................. 150,000 514,529
Developmental Bank of Singapore
Ltd. Cl-F..................... 41,000 511,410
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Far East-Levingston
Shipbuilding Ltd. ............ 52,000 $ 287,456
Fraser & Neave Ltd. ............ 23,000 237,987
Jurong Shipyard Ltd. ........... 39,000 197,626
Keppel Corp. Ltd. .............. 25,000 209,072
Neptune Orient Lines Ltd. ...... 69,000 72,374
Overseas Union Bank Ltd. Cl-F... 161,000 1,106,804
Sembawang Corp Ltd. ............ 44,000 218,285
Singapore Airlines Ltd. ........ 10,000 105,599
Singapore Land Ltd. ............ 161,000 1,089,688
Singapore Press Holdings
Ltd. ......................... 28,000 549,681
Total Access Communication
Ltd. ......................... 12,000 102,000
United Industrial Corp. Ltd. ... 219,000 223,501
United Overseas Bank Ltd. ...... 118,400 1,132,814
United Overseas Bank Ltd.
Warrants*..................... 27,092 107,523
------------
6,666,349
------------
SPAIN -- 2.6%
Argentaria SA................... 10,124 442,238
Banco Popular Espanol SA........ 5,190 926,308
Banco Santander SA.............. 16,946 791,882
Centros Comerciales
Continente SA................. 6,360 151,085
Centros Comerciales Pryca SA.... 14,319 358,059
Compania Sevillana de
Electricidad.................. 15,430 142,279
Empresa Nacional de
Electridad SA................. 31,068 1,939,777
Fomentos de Construcciones y
Contratas SA.................. 1,297 107,433
Gas Natural SDG................. 5,018 1,054,811
General de Aguas de Barcelona
SA............................ 4,037 150,161
Iberdrola SA.................... 71,783 737,631
Repsol SA....................... 36,188 1,259,807
Repsol SA [ADR]................. 110 3,823
------------
8,065,294
------------
SWEDEN -- 2.5%
ABB AB Cl-A..................... 5,550 589,204
Astra AB Cl-B................... 73,120 3,191,181
Atlas Copco AB Cl-B............. 34,500 643,433
Electrolux AB Cl-B.............. 22,740 1,145,259
Esselte......................... 5,800 118,682
Hennes & Mauritz AB Cl-B........ 8,710 808,929
Sandvik AB Cl-A................. 6,140 140,938
Sandvik AB Cl-B................. 36,000 831,785
Scribona AB Cl-B................ 5,500 57,725
Stora Kopparbergs Bergslags
Aktiebolag Cl-B............... 20,740 274,053
------------
7,801,189
------------
SWITZERLAND -- 3.9%
ABB AG.......................... 1,579 1,955,121
Ciba Geigy AG................... 1,139 1,389,358
CS Holding AG................... 5,630 535,890
Nestle SA....................... 2,278 2,603,793
Roche Holding AG................ 365 2,786,694
</TABLE>
46
<PAGE> 51
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Sandoz AG....................... 1,517 $ 1,736,384
Swiss Bank Corp. ............... 5,020 991,793
------------
11,999,033
------------
THAILAND -- 0.8%
Advanced Information
Services PLC.................. 18,200 269,683
Bangkok Bank PLC................ 69,800 946,254
Bank of Ayudhya PLC............. 37,900 209,103
Bank of Ayudhya PLC Rights*..... 9,475 28,005
Land and House PLC.............. 7,000 88,276
Siam Cement Co. PLC............. 3,000 147,310
Siam Commercial Bank PLC........ 34,300 497,434
Thai Farmer Bank PLC............ 30,200 330,861
------------
2,516,926
------------
UNITED KINGDOM -- 14.6%
Abbey National PLC.............. 245,000 2,058,696
Argos PLC....................... 137,749 1,596,085
Argyll Group PLC................ 215,660 1,162,326
Asda Group PLC.................. 632,450 1,144,408
BAA PLC......................... 27,440 199,461
British Gas PLC................. 126,210 352,854
British Petroleum Co. PLC....... 95,840 840,310
Cable & Wireless PLC............ 232,000 1,535,064
Cadbury Schweppes PLC........... 176,456 1,395,028
Caradon PLC..................... 315,700 1,059,149
Coats Viyella PLC............... 91,270 243,829
Compass Group PLC............... 97,000 887,393
East Midlands Electricity PLC... 48,385 391,541
Electrocomponents PLC........... 45,000 266,996
GKN PLC......................... 17,000 260,876
Glaxo Wellcome PLC.............. 152,000 2,045,695
Grand Metropolitan PLC.......... 275,300 1,825,841
Guinness PLC.................... 234,640 1,705,598
Heywood Williams Group PLC...... 32,010 118,329
Hillsdown Holdings PLC.......... 95,160 257,177
Kingfisher PLC.................. 208,950 2,099,788
Ladbroke Group PLC.............. 150,000 419,365
Laing, (John) PLC NV Cl-A....... 70,000 314,213
London Electricity PLC.......... 85,517 831,487
National Grid Group PLC......... 73,011 193,349
National Westminster Bank PLC... 379,670 3,632,585
Rank Organisation PLC........... 172,120 1,331,342
Reed International PLC.......... 199,370 3,335,065
Rolls-Royce PLC................. 78,140 271,863
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
RTZ Corp. PLC................... 103,600 $ 1,533,492
Sears PLC....................... 75,490 116,079
Shell Transport & Trading Co.
PLC........................... 176,000 2,577,823
Smith David Holdings PLC........ 145,900 616,386
Smithkline Beecham PLC.......... 329,220 3,520,618
Spring Ram Corp. PLC*........... 12,000 2,842
T & N Corp. PLC................. 181,680 395,061
Tesco PLC....................... 132,000 602,768
Tomkins PLC..................... 436,220 1,643,032
United News and Media PLC....... 166,470 1,802,176
------------
44,585,990
------------
TOTAL FOREIGN STOCK
(COST $267,815,129)............... 296,404,500
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000)
-------- --------
<S> <C> <C>
FOREIGN BONDS -- 0.0%
BELGIUM -- 0.0%
Kredietbank NV
5.75%.............. 11/30/03 900 36,012
------------
ITALY -- 0.0%
Danieli & Co.
7.25%.............. 01/01/00 5,250 3,240
------------
TOTAL FOREIGN BONDS
(COST $29,683)................... 39,252
------------
TOTAL INVESTMENTS -- 96.8%
(COST $267,844,812).............. 296,443,752
OTHER ASSETS LESS
LIABILITIES -- 3.2%.............. 9,705,793
------------
NET ASSETS -- 100.0%............... $306,149,545
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy FRF $ 101,048 5.1520 07/96 $205
Buy THB 24,261 25.3850 07/96 (1)
----
$204
====
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
** Closed-end funds.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.0% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
47
<PAGE> 52
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
FOREIGN BONDS -- 82.3%
AUSTRALIA -- 2.4%
New South Wales Treasury
Corp.
6.50%................... 05/01/06 2,500 $ 1,634,589
-----------
CANADA -- 2.2%
Canadian Government
7.50%................... 03/01/01 1,000 747,253
7.00%................... 12/01/06 1,100 765,457
-----------
1,512,710
-----------
DENMARK -- 7.6%
Kingdom of Denmark
9.00%................... 11/15/00 14,000 2,646,627
8.00%................... 03/15/06 14,750 2,618,462
-----------
5,265,089
-----------
FRANCE -- 1.8%
French O.A.T.
7.25%................... 04/25/06 6,000 1,230,081
-----------
GERMANY -- 13.9%
Deutsche Pfandbriefe
Hypobank
5.00%................... 02/22/01 3,400 2,178,719
Deutscheland Republic
6.50%................... 07/15/03 1,200 800,289
6.75%................... 07/15/04 1,200 806,129
6.00%................... 02/16/06 1,530 971,785
Federal National Mtge.
Assoc. Global Bond
5.00%................... 02/16/01 1,500 962,285
Frankfurter Hypo Bank
Central
5.75%................... 03/05/03 950 607,678
General Electric Capital
Corp.
7.25%................... 02/03/00 1,580 1,097,251
Inter-America Development
Bank
7.00%................... 06/08/05 1,100 739,313
Republic of Austria
8.00%................... 06/17/02 2,000 1,436,275
-----------
9,599,724
-----------
IRELAND -- 2.9%
Irish Government Treasury
8.00%................... 10/18/00 1,180 1,967,860
-----------
ITALY -- 14.3%
Eurofima
11.125%................. 02/02/00 800,000 562,884
European Bank
Reconstruction &
Development
9.75%................... 07/28/00 800,000 547,212
European Investment Bank
10.15%.................. 07/06/98 1,700,000 1,149,642
European Investment Bank
Sr. Notes
7.45%................... 02/04/99 1,000,000 644,835
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
Italian Government
8.50%................... 08/01/99 1,020,000 $ 667,456
9.50%................... 12/01/99 6,500,000 4,373,939
9.50%................... 02/01/01 1,000,000 673,436
10.50%.................. 09/01/05 1,720,000 1,208,290
-----------
9,827,694
-----------
JAPAN -- 14.3%
Asian Development Bank
3.125%.................. 06/29/05 288,000 2,613,514
Belgium Kingdom
6.875%.................. 07/09/01 60,000 662,430
Export-Import Bank of
Japan 4.375%............ 10/01/03 150,000 1,488,068
2.875%.................. 07/28/05 50,000 444,592
International Bank
Reconstruction &
Development Global Bond
5.25%................... 03/20/02 210,000 2,187,700
4.75%................... 12/20/04 50,000 513,452
Japan Development Bank
6.50%................... 09/20/01 180,000 1,967,747
-----------
9,877,503
-----------
NETHERLANDS -- 4.3%
Netherlands Government
7.75%................... 01/15/00 1,550 988,810
9.00%................... 01/15/01 2,500 1,675,515
8.25%................... 02/15/07 450 297,765
-----------
2,962,090
-----------
SPAIN -- 5.7%
Spanish Government
8.40%................... 04/30/01 150,000 1,181,908
10.30%.................. 06/15/02 322,500 2,734,861
-----------
3,916,769
-----------
SWEDEN -- 4.5%
Swedish Government
10.25%.................. 05/05/00 15,100 2,515,846
10.25%.................. 05/05/03 3,700 626,165
-----------
3,142,011
-----------
UNITED KINGDOM -- 8.4%
Abbey National Treasury
6.00%................... 08/10/99 995 1,494,246
Barclays PLC
6.50%................... 02/16/04 910 1,277,375
Deutsche Siedlungs Bank
Finance BV
7.50%................... 12/27/00 400 622,447
International Bank
Reconstruction &
Development Global Bond
9.25%................... 07/20/07 100 165,491
</TABLE>
48
<PAGE> 53
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C>
United Kingdom Treasury
7.00%................... 11/06/01 400 $ 610,992
9.75%................... 08/27/02 400 687,876
7.50%................... 12/07/06 600 905,713
-----------
5,764,140
-----------
TOTAL FOREIGN BONDS
(COST $56,792,618).................... 56,700,260
-----------
<CAPTION>
PAR
(000)
---------
<S> <C> <C>
SOVEREIGN ISSUES -- 4.4%
ARGENTINA -- 1.4%
Republic of Argentina
Bocon [FRN, PIK]
5.42%................... 01/04/01 $ 530 604,200
Republic of Argentina
[FRB, BRB]
6.3125%................. 03/31/05 119 93,406
Republic of Argentina Par
[STEP, BRB]
5.25%................... 03/31/23 500 275,313
-----------
972,919
-----------
BRAZIL -- 0.8%
Republic of Brazil
Capitalization [BRB]
4.50%................... 04/15/14 541 337,584
Republic of Brazil-IDU
[FRB, BRB]
6.375%.................. 01/01/01 233 217,969
-----------
555,553
-----------
MEXICO -- 0.3%
United Mexican States
Cl-A [BRB]
6.25%................... 12/31/19 270 176,006
-----------
PANAMA -- 0.4%
Republic of Panama [FRN]
6.6289%................. 05/10/02 277 259,616
-----------
PHILIPPINES -- 0.4%
Ce Casecnan Water & Energy
11.95%.................. 11/15/10 90 91,125
Central Bank Philippines
Cl-B [FRB]
5.00%................... 06/01/08 225 202,500
-----------
293,625
-----------
POLAND -- 0.4%
Republic of Poland Disc.
[FRN, BRB]
6.4375%................. 10/27/24 300 280,125
-----------
<CAPTION>
PAR
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C>
RUSSIA -- 0.2%
Russia Loan Participation
[STEP]*
2.56%................... 06/20/26 $ 300 $ 145,500
-----------
VENEZUELA -- 0.5%
Republic of Venezuela
[FRN, BRB]
6.625%.................. 12/18/07 500 355,313
-----------
TOTAL SOVEREIGN ISSUES
(COST $2,963,676)..................... 3,038,657
-----------
TOTAL INVESTMENTS -- 86.7%
(COST $59,756,294).................... 59,738,917
OTHER ASSETS LESS
LIABILITIES -- 13.3%.................. 9,185,831
-----------
NET ASSETS -- 100.0%.................... $68,924,748
===========
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------------
(Dollar Based)
<S> <C> <C> <C> <C> <C>
Buy AUD $ 789,100 1.2702 07/96 $ (2,505)
Buy DEM 500,000 1.5170 07/96 (787)
Sell ESP 713,664 128.4000 07/96 (1,660)
Sell ESP 648,749 129.8600 07/96 (8,903)
Buy ITL 400,000 1,535.2500 07/96 880
Buy JPN 275,000 106.0000 07/96 (7,456)
Buy JPN 500,000 109.0500 07/96 441
Buy JPN 2,353,052 106.2450 07/96 (58,506)
Buy JPN 250,000 107.0450 07/96 (4,380)
Sell NETH 614,378 1.7144 07/96 (4,124)
Sell SEK 822,988 6.7289 07/96 (12,863)
------------
$ (99,863)
============
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL PRINCIPAL UNREALIZED
IN LOCAL IN LOCAL EXPIRATION APPRECIATION
BUY CURRENCY SELL CURRENCY MONTH (DEPRECIATION)
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DEM 537,647 UK 230,059 07/96 $ (3,512)
DEM 705,780 UK 301,861 07/96 (4,390)
DEM 935,261 UK 397,400 08/96 (398)
DEM 1,014,377 IEP 419,034 07/96 (917)
DEM 896,832 SEK 3,974,579 07/96 (9,240)
JPN 220,514,410 DKK 12,196,594 07/96 (58,903)
JPN 99,719,850 ITL 1,444,940,627 07/96 (25,758)
JPN 25,000,000 ITL 359,625,000 07/96 (4,743)
JPN 126,067,333 ITL 1,804,565,627 07/96 (18,100)
JPN 46,020,021 SEK 2,792,901 07/96 1,057
NETH 1,053,290 SEK 4,159,338 07/96 (9,106)
----------
$ (134,010)
==========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
49
<PAGE> 54
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCK -- 87.2%
AEROSPACE -- 2.1%
Boeing Co. .......................... 11,000 $ 958,375
General Motors Corp. Cl-H............ 13,000 781,625
-----------
1,740,000
-----------
AIRLINES -- 0.8%
America West Airlines Cl-B*.......... 30,000 660,000
-----------
AUTOMOBILE MANUFACTURERS -- 0.9%
Chrysler Corp. ...................... 12,000 744,000
-----------
AUTOMOTIVE PARTS -- 0.8%
Lear Corp.*.......................... 20,000 705,000
-----------
BUSINESS SERVICES -- 2.9%
Accustaff, Inc.*..................... 32,000 872,000
Apac Teleservices, Inc.*............. 20,000 720,000
Robert Half International, Inc.*..... 30,000 836,250
-----------
2,428,250
-----------
CHEMICALS -- 1.2%
Praxair, Inc. ....................... 25,000 1,056,250
-----------
CLOTHING & APPAREL -- 2.9%
Gucci Group NV....................... 15,000 967,500
Jones Apparel Group, Inc.*........... 16,000 786,000
Tommy Hilfiger Corp.*................ 13,000 697,125
-----------
2,450,625
-----------
COMPUTER SERVICES & SOFTWARE -- 9.5%
Cisco Systems, Inc.*................. 18,000 1,019,250
Compuserve Corp.*.................... 25,000 528,125
Electronic Data Systems Corp. ....... 20,000 1,075,000
First Data Corp. .................... 8,999 716,545
HBO & Co. ........................... 16,000 1,084,000
HPR, Inc.*........................... 45,000 956,250
Microsoft Corp.*..................... 10,000 1,201,250
Sterling Commerce, Inc.*............. 25,000 928,125
Transition Systems, Inc.*............ 20,000 570,000
-----------
8,078,545
-----------
CONSUMER PRODUCTS & SERVICES -- 2.0%
CUC International, Inc.*............. 30,000 1,065,000
Eastman Kodak Co. ................... 8,500 660,875
-----------
1,725,875
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.9%
Input-Output, Inc.*.................. 26,000 841,750
Sanmina Corp.*....................... 27,000 729,000
Solectron Corp.*..................... 15,000 568,125
Waters Corp. *....................... 35,000 1,155,000
-----------
3,293,875
-----------
ENTERTAINMENT & LEISURE -- 2.8%
Mirage Resorts, Inc.*................ 17,000 918,000
Time Warner, Inc. ................... 15,000 588,750
Trump Hotels & Casino
Resorts, Inc.*..................... 30,000 855,000
-----------
2,361,750
-----------
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
FINANCIAL SERVICES -- 0.5%
First USA Paymentech, Inc.*.......... 10,000 $ 400,000
-----------
HEALTHCARE SERVICES -- 3.7%
Columbia-HCA Healthcare Corp. ....... 12,000 640,500
Healthsouth Corp.*................... 15,000 540,000
Omnicare, Inc. ...................... 44,000 1,166,000
Quintiles Transnational Corp.*....... 12,500 821,875
-----------
3,168,375
-----------
HOTELS & MOTELS -- 2.1%
HFS, Inc.*........................... 25,000 1,750,000
-----------
INSURANCE -- 0.9%
Conseco, Inc. ....................... 20,000 800,000
-----------
MACHINERY & EQUIPMENT -- 2.0%
Roper Industries, Inc. .............. 17,000 828,750
Thermo Electron Corp.*............... 21,000 874,125
-----------
1,702,875
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 12.0%
Amerisource Health Corp. Cl-A*....... 25,000 831,250
Baxter International, Inc. .......... 25,000 1,181,250
Boston Scientific Corp.*............. 20,000 900,000
Conmed Corp.*........................ 30,000 798,750
Guidant Corp. ....................... 20,000 985,000
Health Management Associates, Inc.
Cl-A*.............................. 30,000 607,500
IDEXX Laboratories, Inc.*............ 20,000 785,000
Luxottica Group SPA [ADR]............ 10,000 733,750
Nellcor Puritan Bennett, Inc.*....... 15,000 727,500
Phycor, Inc.*........................ 35,000 1,330,000
Total Renal Care Holdings, Inc.*..... 30,000 1,267,500
-----------
10,147,500
-----------
OFFICE EQUIPMENT -- 1.2%
Danka Business Systems PLC [ADR]..... 18,000 526,500
Viking Office Products, Inc.*........ 16,000 502,000
-----------
1,028,500
-----------
OIL & GAS -- 11.8%
Baker Hughes, Inc. .................. 25,000 821,875
BJ Services Co.*..................... 25,000 878,125
Dresser Industries, Inc. ............ 20,000 590,000
Falcon Drilling Co., Inc.*........... 40,000 1,085,000
Halliburton Co. ..................... 15,000 832,500
Petroleum Geo Services [ADR]*........ 25,000 709,375
Reading & Bates Corp.*............... 40,000 885,000
Schlumberger Ltd. ................... 12,000 1,011,000
Sonat Offshore Drilling Co. ......... 22,000 1,111,000
Tidewater, Inc. ..................... 30,000 1,316,250
Western Atlas, Inc.*................. 12,500 728,125
-----------
9,968,250
-----------
PHARMACEUTICALS -- 6.0%
Astra AB [ADR]....................... 14,000 612,500
Biochem Pharmaceuticals, Inc.*....... 15,000 562,500
Cardinal Health, Inc. ............... 15,000 1,081,875
Dura Pharmaceuticals, Inc.*.......... 20,000 1,120,000
</TABLE>
50
<PAGE> 55
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Elan Corp. PLC [ADR]*................ 7,500 $ 428,438
Lilly, (Eli) & Co. .................. 20,000 1,300,000
-----------
5,105,313
-----------
RETAIL & MERCHANDISING -- 7.6%
Autozone, Inc.*...................... 20,000 695,000
Federated Department Stores, Inc.*... 20,000 682,500
Fila Holding SPA [ADR]............... 7,000 603,750
Gap, Inc. ........................... 28,000 899,500
Home Depot, Inc. .................... 16,000 864,000
Nine West Group, Inc.*............... 17,000 869,125
Saks Holdings, Inc.*................. 35,000 1,194,375
Sunglass Hut International, Inc.*.... 25,000 609,375
-----------
6,417,625
-----------
SEMI-CONDUCTORS -- 4.0%
Adaptec, Inc.*....................... 12,000 568,500
Intel Corp. ......................... 20,000 1,468,750
MEMC Electronic Materials, Inc*...... 15,000 581,250
Microchip Technology, Inc.*.......... 30,000 742,500
-----------
3,361,000
-----------
TELECOMMUNICATIONS -- 3.9%
ECI Telecommunications Ltd. ......... 32,000 744,000
Intelcom Group, Inc.*................ 20,000 500,000
Panamsat Corp.*...................... 25,000 725,000
Worldcom, Inc.*...................... 25,000 1,384,375
-----------
3,353,375
-----------
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
TRANSPORTATION -- 1.7%
Atlas Air, Inc.*..................... 25,000 $ 1,437,500
-----------
TOTAL COMMON STOCK
(COST $63,230,880)..................... 73,884,483
-----------
SHORT TERM INVESTMENTS -- 0.1%
Temporary Investment
Cash Fund.......................... 38,024 38,024
Temporary Investment Fund............ 38,024 38,024
-----------
(COST $76,048)......................... 76,048
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------ -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 12.4%
U.S. Treasury Bills
4.88%.................. 07/11/96 $2,500 2,496,611
4.93%.................. 07/11/96 8,000 7,989,045
-----------
(COST $10,485,656)................... 10,485,656
-----------
TOTAL INVESTMENTS -- 99.7%
(COST $73,792,584)................... 84,446,187
OTHER ASSETS LESS
LIABILITIES -- 0.3%.................. 236,502
-----------
NET ASSETS -- 100.0%................... $84,682,689
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
51
<PAGE> 56
SELIGMAN HENDERSON INTERNATIONAL SMALL CAP PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
FOREIGN STOCK -- 98.0%
AUSTRALIA -- 1.5%
Futuris Corp. Ltd.*.............. 343,068 $ 393,680
QNI Ltd.*........................ 202,000 450,900
Skilled Engineering Pty Ltd.*.... 144,000 401,792
-----------
1,246,372
-----------
AUSTRIA -- 1.2%
Bau Holding AG................... 2,200 134,711
Bau Holding AG -- Vorzug......... 16,350 833,014
-----------
967,725
-----------
BELGIUM -- 1.1%
D'ieteren Trading NV*............ 6,650 911,745
-----------
DENMARK -- 1.2%
Danske Traelast Kompagni*........ 7,390 543,679
Danske Traelast Kompagni Rfd. ... 6,000 450,635
-----------
994,314
-----------
FINLAND -- 6.6%
KCI Konecranes International..... 50,000 1,220,566
Lassila & Tikanoja Oy*........... 23,800 1,439,620
Nokian Renkaat Oy*............... 56,250 826,312
Rauma Oy*........................ 33,400 665,980
Tamro AB......................... 210,800 1,265,984
-----------
5,418,462
-----------
FRANCE -- 7.2%
Assystem*........................ 11,600 1,353,533
Europeene D'extincteurs.......... 22,000 1,112,386
Montupet*........................ 4,463 585,855
Societe Virbac SA................ 9,000 1,265,436
Sylea............................ 14,208 1,580,478
-----------
5,897,688
-----------
GERMANY -- 7.7%
Gerry Weber International AG
Vorzug*........................ 7,300 381,658
Hornbach Baumarkt AG............. 26,000 1,171,248
Jean Pascale AG*................. 28,900 571,120
Kampa-Haus AG*................... 34,000 1,482,441
Moebel Walther AG Vorzug......... 25,000 1,134,421
Plettac AG*...................... 6,503 1,526,747
-----------
6,267,635
-----------
HONG KONG -- 2.6%
Jardine International
Motor Holdings*................ 468,000 574,381
Manhattan Card Co. Ltd.*......... 931,500 445,262
New Asia Realty & Trust
Co. Cl-A*...................... 182,000 587,817
South China Morning Post*........ 734,000 502,577
-----------
2,110,037
-----------
INDONESIA -- 1.2%
Darya Varia...................... 118,640 243,501
Mulia Industrindo*............... 373,200 553,424
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
Mulia Industrindo Rights*........ 93,480 $ 70,316
Sorini Corp.*.................... 16,000 87,342
-----------
954,583
-----------
ITALY -- 1.2%
Industria Machine Automatiche*... 140,000 987,332
-----------
JAPAN -- 25.7%
Aiya Co. Ltd..................... 29,000 458,718
Asahi Diamond Industry Co.
Ltd. .......................... 51,930 678,979
Asatsu, Inc. .................... 16,100 699,232
Danto Corp. ..................... 54,000 730,731
Enplas Corp. .................... 5,000 105,605
Fujitsu Business Systems......... 23,000 637,195
Glory Ltd. ...................... 22,000 730,182
Higashi Nihon House.............. 39,000 684,648
Hitachi Information Systems...... 1,000 14,721
Hitachi Medical Corp. ........... 34,000 606,199
Hokushin......................... 56,000 716,833
Horiba Instruments............... 46,000 643,504
Ichiyoshi Securities*............ 93,000 602,880
Iino Kaiun....................... 120,000 650,635
Kentucky Fried Chicken........... 35,000 684,831
Komatsu Seiren................... 27,000 320,929
Lintec........................... 17,000 293,773
Mitsubishi Cable Industries...... 49,000 331,535
Mitsui Home Co. Ltd. ............ 45,000 732,376
Nakayama Steel Works Ord.*....... 100,000 659,230
Namura Shipbuilding*............. 43,000 243,760
Nichicon......................... 50,000 726,890
Nippon Seiki..................... 45,000 744,720
Nissha Printing.................. 25,000 363,445
Nisshin Fire and Marine
Insurance*..................... 2,000 9,875
Nittetsu Mining.................. 66,000 675,871
Rengo Co. Ltd. .................. 92,000 647,710
Ryoyo Electro Corp. ............. 30,000 647,344
Sagami Chain Co. Ltd. ........... 25,000 486,879
Sanyo Special Steel Co. ......... 151,000 640,614
Sodick........................... 53,000 634,818
Sumitomo Sitix Corp. ............ 9,000 199,141
Toei............................. 37,000 307,854
Towa Pharmaceutical Co. Ltd. .... 10,000 316,357
Toyo Ink Manufacturing........... 113,000 648,843
Tsubakimoto Precision Products... 51,000 634,178
Tsudakoma........................ 95,000 673,174
Tsutsumi Jewelry Co. Ltd. ....... 16,000 775,350
Xebio Co. Ltd. .................. 18,000 676,419
-----------
21,035,978
-----------
MALAYSIA -- 1.6%
Asas Dunia BHD................... 59,000 234,108
Chemical Co. of Malaysia BHD*.... 72,000 230,862
Chemical Co. of Malaysia BHD
Warrants*...................... 10,000 4,605
Kentucky Fried Chicken BHD*...... 56,000 303,006
Malayan Cement BHD*.............. 127,000 305,411
Metacorp BHD*.................... 88,000 253,948
-----------
1,331,940
-----------
</TABLE>
52
<PAGE> 57
SELIGMAN HENDERSON INTERNATIONAL SMALL CAP PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
NETHERLANDS -- 2.6%
Otra NV*......................... 39,880 $ 919,390
Samas Groep NV................... 33,300 1,230,656
-----------
2,150,046
-----------
NORWAY -- 2.9%
Ekornes AS*...................... 89,400 1,315,496
Fokus Bank AS.................... 200,000 1,090,892
-----------
2,406,388
-----------
SINGAPORE -- 1.7%
Bukit Sembawang Estates Ltd...... 17,500 455,174
Comfort Group Ltd................ 348,000 345,287
Courts Ltd....................... 198,000 315,734
Want Want........................ 88,000 236,720
-----------
1,352,915
-----------
SWEDEN -- 10.7%
BT Industries AB*................ 77,900 1,199,928
Cardo AB*........................ 47,900 1,009,083
Finnveden AB Cl-B*............... 45,350 588,970
Forsheda Cl-B*................... 33,585 727,804
Hoganas AB Cl-B*................. 22,000 770,776
Iro AB*.......................... 106,600 1,094,671
Kalmar Industries*............... 39,775 840,922
Munksjo AB*...................... 120,000 942,328
PLM AB*.......................... 76,800 1,252,571
Rottneros AB*.................... 246,200 286,283
-----------
8,713,336
-----------
SWITZERLAND -- 2.6%
Bobst SA*........................ 550 794,073
Foto Laboratory SA............... 1,210 502,312
Lem Holding...................... 203 59,429
Sig Schweiz Industries*.......... 666 772,436
-----------
2,128,250
-----------
THAILAND -- 0.8%
Siam Makro Public Co. Ltd.*...... 55,000 281,773
Tipco Asphalt Co. Ltd.*.......... 54,000 319,212
-----------
600,985
-----------
UNITED KINGDOM -- 17.9%
Abacus Polar PLC*................ 125,000 392,184
Allied Leisure PLC............... 600,000 410,046
Ashtead Group PLC*............... 247,000 652,191
British Polythene Industries
PLC*........................... 55,000 631,300
BTG PLC.......................... 5,000 123,868
Capital Radio PLC*............... 84,500 858,348
CMG PLC*......................... 86,800 887,104
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
Cobham PLC*...................... 51,000 $ 503,402
David Brown Group PLC*........... 205,000 681,391
Dawson Group PLC*................ 100,000 296,662
Domnick Hunter Group PLC*........ 114,400 705,416
Druck Holdings PLC*.............. 3,300 177,499
F.I. Group PLC................... 46,100 275,670
Fairey Group PLC*................ 45,000 459,904
Frost Group PLC*................. 70,333 104,872
GWR Group PLC.................... 152,329 511,052
Hamleys PLC*..................... 36,000 212,478
IBC Group PLC*................... 140,000 682,789
ISA International PLC*........... 215,000 591,072
Parity PLC*...................... 170,000 691,797
Pet City Holdings PLC............ 60,000 384,884
Pizza Express PLC*............... 136,100 777,920
Polypipe PLC*.................... 201,300 634,700
Stoves PLC*...................... 87,900 349,508
Tilbury Douglas PLC*............. 66,000 520,759
Trifast PLC...................... 65,400 399,208
Trinity International
Holdings PLC*.................. 85,000 571,657
Visual Action Holdings PLC....... 110,000 392,960
Wace Group PLC*.................. 187,600 501,176
Wellington Holdings PLC*......... 55,000 231,505
-----------
14,613,322
-----------
TOTAL INVESTMENTS -- 98.0%
(COST $73,694,354)................. 80,089,053
OTHER ASSETS LESS
LIABILITIES -- 2.0%................ 1,668,455
-----------
NET ASSETS -- 100.0%................. $81,757,508
===========
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell DEM $1,000,000 1.5191 08/96 $ (1,424)
Sell FRF 600,000 5.1502 08/96 (2,047)
Buy FIM 333,561 4.6500 07/96 1,534
Buy UK 120,222 0.6485 07/96 868
Buy JPN 144,921 109.8200 07/96 681
Buy JPN 400,000 107.7025 08/96 (3,410)
Sell JPN 3,500,000 103.3275 08/96 170,803
Buy MALA 96,559 2.4950 07/96 (13)
---------
$ 166,992
=========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
53
<PAGE> 58
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCK -- 84.2%
CHEMICALS -- 4.3%
Applied Extrusion Technologies,
Inc.*.............................. 30,600 $ 390,150
Dupont, (E.I.) de Nemours & Co. ..... 3,200 253,200
FMC Corp.*........................... 6,000 391,500
Polymer Group, Inc.*................. 20,000 350,000
-----------
1,384,850
-----------
DIVERSIFIED METALS -- 4.4%
Century Aluminum Co.*................ 12,900 203,175
Freeport-McMoran Copper & Gold, Inc.
Cl-A............................... 11,100 331,612
Nucor Corp. ......................... 10,000 506,250
Reynolds Metals Co. ................. 7,100 370,088
-----------
1,411,125
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.5%
General Electric Co. ................ 2,000 173,000
-----------
ENERGY SERVICES -- 7.8%
BJ Services Co.*..................... 7,000 245,875
Petrolite Corp. ..................... 8,200 257,787
Camco International, Inc. ........... 4,800 162,600
Coflexip SA [ADR]*................... 14,600 253,675
Cooper Cameron Corp.*................ 9,400 411,250
Halliburton Co. ..................... 5,800 321,900
Schlumberger Ltd. ................... 3,000 252,750
TPC Corp.*........................... 54,400 394,400
Western Atlas, Inc.*................. 3,850 224,263
-----------
2,524,500
-----------
INTEGRATED PETROLEUM -- 25.4%
Atlantic Richfield Co. .............. 4,500 533,250
British Petroleum Co. PLC [ADR]...... 9,000 961,875
Mobil Corp. ......................... 20,600 2,309,775
Repsol SA [ADR]...................... 29,600 1,028,600
Royal Dutch Petroleum Co. ........... 5,500 845,625
Sun Co., Inc. ....................... 16,700 507,263
Total SA [ADR]....................... 25,000 928,125
Ultramar Corp. ...................... 9,200 266,800
USX-Marathon Group................... 40,500 815,063
-----------
8,196,376
-----------
PAPER & FOREST PRODUCTS -- 11.4%
Georgia Pacific Corp. ............... 8,500 603,500
International Paper Co. ............. 17,200 634,250
James River Corp. of Virginia........ 16,300 429,912
Jefferson Smurfit Corp.*............. 72,600 789,525
Kimberly-Clark Corp. ................ 11,600 896,100
Willamette Industries, Inc. ......... 5,500 327,250
-----------
3,680,537
-----------
PETROLEUM EXPLORATION &
PRODUCTION -- 12.2%
Barrett Resources Corp.*............. 10,100 300,475
Cross Timbers Oil Co. ............... 6,500 160,875
Flores & Rucks, Inc.*................ 12,500 431,250
HS Resources, Inc.*.................. 28,300 328,987
Louisiana Land & Exploration Co. .... 6,000 345,750
Noble Affiliates, Inc. .............. 7,900 298,225
Rutherford-Moran Oil Corp.*.......... 13,700 333,938
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
Union Texas Petroleum Holdings,
Inc. .............................. 52,700 $ 1,027,650
United Meridian Corp.*............... 19,800 712,800
-----------
3,939,950
-----------
PRECIOUS METALS -- 10.5%
Cambior, Inc. ....................... 35,400 473,475
Durban Roodepoort Deep Ltd. [ADR]*... 45,640 411,034
Golden Star Resources Ltd.*.......... 26,000 377,000
Newmont Mining Corp. ................ 6,100 301,187
Pegasus Gold, Inc.*.................. 30,900 378,525
Placer Dome, Inc. ................... 17,300 413,038
Santa Fe Pacific Gold Corp. ......... 33,800 477,425
TVX Gold, Inc.*...................... 80,900 586,525
-----------
3,418,209
-----------
RAILROADS -- 3.6%
Burlington Northern Santa Fe......... 8,000 647,000
Canadian National Railway Co. ....... 10,500 192,937
Conrail, Inc. ....................... 4,900 325,237
-----------
1,165,174
-----------
REAL ESTATE -- 2.8%
Apartment Investment & Management Co.
Cl-A [REIT]........................ 22,500 421,875
Reckson Associates Realty Corp.
[REIT]............................. 5,000 165,000
The Rouse Co. ....................... 12,200 315,675
-----------
902,550
-----------
SEMI-CONDUCTORS -- 0.4%
Intel Corp. ......................... 1,700 124,844
-----------
TELECOMMUNICATIONS -- 0.9%
Vodafone Group PLC [ADR]............. 7,800 287,625
-----------
TOTAL COMMON STOCK
(COST $25,489,247)..................... 27,208,740
-----------
FOREIGN STOCK -- 9.6%
DIVERSIFIED METALS -- 1.6%
Bougainville Copper Ltd. -- (AUD)*... 382,470 180,368
Lonrho PLC -- (UK)................... 112,600 323,548
-----------
503,916
-----------
PRECIOUS METALS -- 8.0%
Anglo American Platinum Corp.
Ltd. -- (ZAR)*..................... 39,400 246,250
Banro Resources Corp. Special
Warrants 144A -- (CAN)*............ 83,300 488,205
Barnato Exploration Ltd. -- (ZAR)*... 113,300 312,100
Golden Shamrock Mines
Ltd. -- (AUD)*..................... 137,200 122,933
Golden Shamrock Mines
Ltd. -- (CAN)*..................... 15,700 14,492
Hartebeestfontein Gold Mining Co.
Ltd. -- (ZAR)...................... 61,000 206,157
Highlands Gold Ltd. -- (AUD)......... 800,000 396,133
HJ Joel Gold Mining Co.
Ltd. -- (ZAR)...................... 271,268 244,895
Potgietersrust Platinums
Ltd. -- (ZAR)...................... 66,869 336,667
</TABLE>
54
<PAGE> 59
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
War Eagle Mining Co.,
Inc. -- (CAN)*..................... 118,000 $ 231,678
War Eagle Mining Co., Inc.
Warrants -- (CAN)*................. 59,000 0
-----------
2,599,510
-----------
TOTAL FOREIGN STOCK
(COST $3,135,862)...................... 3,103,426
-----------
SHORT TERM INVESTMENTS -- 2.7%
Temporary Investment Cash Fund
(COST $895,774).................... 895,774 895,774
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ----
<S> <C> <C>
COMMERCIAL PAPER -- 4.7%
Bell Atlantic Financial
Services, Inc.
5.32%....................... 07/02/96 $500 499,926
Corporate Asset Funding Co.
5.60%....................... 07/01/96 611 611,000
Ford Motor Credit Co.
5.43%....................... 07/18/96 400 398,974
-----------
TOTAL COMMERCIAL PAPER
(COST $1,509,900)......................... 1,509,900
-----------
<CAPTION>
VALUE
-----------
<S> <C>
TOTAL INVESTMENTS -- 101.2%
(COST $31,030,783)........................ $32,717,840
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (1.2%).................... (395,933)
-----------
NET ASSETS -- 100.0%........................ $32,321,907
===========
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH DEPRECIATION
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell ZAR $23,109 4.3500 07/96 $(160)
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
55
<PAGE> 60
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 5.0%
CONSUMER PRODUCTS & SERVICES -- 3.7%
First Brands Corp. Sr.
Sub. Notes
9.125%.................. 04/01/99 $ 7,000 $ 7,166,250
------------
UTILITIES -- 1.3%
CMS Energy Corp.
First Mtge.
9.50%................... 10/01/97 1,000 1,025,000
Texas Utilities Co.
First Mtge.
5.8593%................. 05/01/99 1,500 1,506,487
------------
2,531,487
------------
TOTAL CORPORATE OBLIGATIONS
(COST $9,652,795)..................... 9,697,737
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 71.2%
FEDERAL HOME LOAN MORTGAGE CORP. -- 2.6%
8.00% [TBA]............. 07/15/26 5,000 5,042,200
------------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 63.3%
5.21%................... 07/24/96 3,750 3,737,407
5.17%................... 07/30/96 5,400 5,377,268
6.12%................... 09/01/16 48 47,208
6.12%................... 10/01/16 806 799,543
6.12%................... 11/01/16 353 350,218
6.3729%................. 03/01/17 2,561 2,541,969
6.12%................... 03/01/18 140 138,737
6.133%.................. 03/01/18 468 463,892
6.12%................... 05/01/18 424 420,249
6.178%.................. 08/01/18 459 455,394
6.091%.................. 10/01/18 418 414,418
6.263%.................. 02/01/19 537 533,155
6.203%.................. 03/01/19 317 314,554
6.252%.................. 05/01/19 362 358,981
6.263%.................. 05/01/19 95 94,135
6.225%.................. 06/01/19 543 538,296
6.228%.................. 07/01/20 633 627,833
6.248%.................. 07/01/20 345 342,099
6.25%................... 09/01/20 248 246,415
6.194%.................. 04/01/21 255 253,056
6.245%.................. 05/01/21 200 198,480
7.50%................... 01/25/22 4,000 4,043,061
7.50%................... 10/01/22 26,967 26,629,438
6.154%.................. 04/01/24 1,000 992,236
7.50%................... 05/01/24 47,091 46,545,717
6.145%.................. 06/01/24 318 314,935
6.142%.................. 08/01/24 147 145,914
6.172%.................. 10/01/24 76 75,046
6.244%.................. 11/01/24 119 117,739
7.053%.................. 01/01/25 758 772,529
6.302%.................. 05/01/25 1,690 1,690,717
6.119%.................. 03/01/26 214 213,557
6.185%.................. 03/01/26 727 724,665
6.151%.................. 04/01/26 905 901,362
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C>
6.282% [TBA]............ 07/24/26 $12,500 $ 12,406,250
6.12%................... 11/01/26 27 26,759
6.124%.................. 07/01/27 505 500,897
6.124%.................. 10/01/27 883 875,750
6.124%.................. 12/01/27 3,681 3,648,873
6.124%.................. 03/01/28 625 619,739
6.149%.................. 08/01/28 541 536,228
6.113%.................. 02/01/31 3,380 3,349,992
6.092%.................. 06/01/31 358 355,556
------------
123,740,267
------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 5.3%
7.25%................... 07/20/17 360 366,408
7.25%................... 08/20/17 455 462,450
7.25%................... 09/20/17 396 403,066
7.00%................... 01/15/24 51 48,855
7.00%................... 02/15/24 60 57,110
7.00%................... 04/15/24 394 377,673
7.375%.................. 05/20/24 3,890 3,940,735
7.00%................... 06/15/24 61 58,630
7.25%................... 07/20/24 475 482,796
7.00%................... 07/15/25 456 437,830
7.00%................... 08/15/25 1,920 1,842,171
7.00% [TBA]............. 08/19/26 2,000 1,915,000
------------
10,392,724
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $142,027,990)................... 139,175,191
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.9%
Merrill Lynch Mtge.
Investors, Inc. Cl-B
7.6457%................. 06/15/21 1,447 1,448,706
Resolution Trust Corp.
7.4168%................. 07/25/28 10,000 10,112,932
------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS
(COST $11,628,212).................... 11,561,638
------------
U.S. TREASURY OBLIGATIONS -- 0.0%
U.S. Treasury Bills
4.985%#................. 08/29/96 25 24,786
5.10%#.................. 11/14/96 15 14,698
5.15%#.................. 11/14/96 10 9,798
5.155%#................. 11/14/96 20 19,597
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $68,923)........................ 68,879
------------
SOVEREIGN ISSUES -- 2.0%
ARGENTINA
Republic of Argentina
[FRB, BRB]
6.3125%
(COST $3,774,667)....... 03/31/05 4,950 3,867,188
------------
</TABLE>
56
<PAGE> 61
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
OPTIONS -- 0.0%
Written CME Put Option on
Eurodollar Futures,
Strike Price $93.00,
Expire 03/17/97
(COST ($16,942)).................. $43,000 $ (10,750)
------------
<CAPTION>
MATURITY
---------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 14.5%
AT&T Corp.
5.28%................... 07/01/96 5,800 5,800,000
5.25%................... 07/29/96 1,800 1,792,527
Canadian Treasury Bills
5.24%................... 07/23/96 3,400 3,388,931
5.25%................... 10/17/96 2,000 1,965,158
Commonwealth Bank of
Australia
5.28%................... 08/12/96 7,300 7,229,550
Dupont, (E.I.) de Nemours
& Co.
5.34%................... 07/24/96 3,000 2,989,765
Emerson Electric Co.
5.32%................... 07/08/96 2,200 2,197,724
Ford Motor Credit Co.
5.32%................... 07/05/96 700 699,586
General Electric Capital
Corp.
5.30%................... 08/06/96 1,200 1,193,489
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C>
Southwestern Public Utilities
5.42%................... 07/22/96 $ 1,000 $ 996,836
------------
TOTAL COMMERCIAL PAPER
(COST $28,282,848).................... 28,253,566
------------
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.2%
Temporary Investment Cash Fund.... 196,072 196,072
Temporary Investment Fund......... 196,072 196,072
------------
(COST $392,144)................... 392,144
------------
TOTAL INVESTMENTS -- 98.8%
(COST $195,810,637)................. 193,005,593
OTHER ASSETS LESS
LIABILITIES -- 1.2%................. 2,366,044
------------
NET ASSETS -- 100.0%.................. $195,371,637
============
</TABLE>
# Securities with an aggregate market value of $68,879 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at June 30, 1996:
<TABLE>
<CAPTION>
UNREALIZED
TYPE CONTRACTS APPRECIATION
- --------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 10 Year Note (9/96) 20 $39,375
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
57
<PAGE> 62
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ----------
<S> <C> <C>
COMMON STOCK -- 78.3%
AIRLINES -- 3.2%
Alaska Air Group, Inc. .............. 1,400 $ 38,325
AMR Corp.* .......................... 300 27,300
Continental Airlines Cl-B* .......... 400 24,700
Delta Air Lines, Inc. ............... 700 58,100
UAL Corp. ........................... 600 32,250
----------
180,675
----------
COMPUTER SERVICES & SOFTWARE -- 21.5%
Cadence Design Systems, Inc.* ....... 6,500 219,375
Cisco Systems, Inc.* ................ 5,400 305,775
Compuware Corp.* .................... 1,100 43,450
Microsoft Corp.* .................... 2,100 252,263
Oracle Systems Corp.* ............... 5,500 216,905
Parametric Technology Corp.* ........ 4,300 186,513
----------
1,224,281
----------
COMPUTER HARDWARE -- 15.4%
Cabletron Systems, Inc.* ............ 2,700 185,288
Compaq Computer Corp.* .............. 4,000 197,000
Dell Computer Corp.* ................ 3,800 193,324
Gateway 2000, Inc.* ................. 1,700 57,800
3Com Corp.* ......................... 5,400 247,050
----------
880,462
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Hewlett-Packard Co. ................. 200 19,925
----------
ENTERTAINMENT & LEISURE -- 2.9%
Mirage Resorts, Inc.* ............... 3,100 167,400
----------
FINANCIAL-BANK & TRUST -- 4.1%
BankAmerica Corp. ................... 600 45,450
Citicorp ............................ 500 41,312
Mellon Bank Corp. ................... 1,400 79,800
NationsBank Corp. ................... 500 41,313
Wells Fargo & Co. ................... 100 23,887
----------
231,762
FINANCIAL SERVICES -- 7.0%
Household International, Inc. ....... 3,000 228,000
Merrill Lynch & Co., Inc. ........... 2,600 169,325
----------
397,325
----------
<CAPTION>
SHARES VALUE
------- ----------
<S> <C> <C>
HEALTHCARE SERVICES -- 0.8%
Oxford Health Plans, Inc. ........... 600 $ 24,675
United Healthcare Corp. ............. 400 20,200
----------
44,875
----------
RETAIL & MERCHANDISING -- 9.6%
Comp USA, Inc. ...................... 6,500 221,813
Dayton-Hudson Corp. ................. 400 41,250
Gap, Inc. ........................... 2,400 77,100
Nike, Inc. Cl-B ..................... 1,800 184,950
Pep Boys-Manny Moe & Jack ........... 700 23,800
----------
548,913
----------
SEMI-CONDUCTORS -- 13.3%
Adaptec, Inc.* ...................... 3,800 180,025
Analog Devices, Inc.* ............... 500 12,750
Applied Materials, Inc.* ............ 500 15,250
Atmel Corp.* ........................ 500 15,063
Intel Corp. ......................... 3,200 235,000
LSI Logic Corp.* .................... 4,800 124,800
Xilinx, Inc.* ....................... 5,500 174,625
----------
757,513
----------
TELECOMMUNICATIONS -- 0.2%
Octel Communications Corp. .......... 500 9,875
----------
TOTAL COMMON STOCK
(COST $4,561,077) ..................... 4,463,006
----------
SHORT TERM INVESTMENTS -- 11.7%
Temporary Investment
Cash Fund.......................... 333,014 333,014
Temporary Investment Fund............ 333,014 333,014
----------
(COST $666,028).................... 666,028
----------
TOTAL INVESTMENTS -- 90.0%
(COST $5,227,105)...................... 5,129,034
OTHER ASSETS LESS LIABILITIES -- 10.0%... 570,305
----------
NET ASSETS -- 100.0%..................... $5,699,339
==========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
See Notes to Financial Statements.
58
<PAGE> 63
DEFINITION OF ABBREVIATIONS
- --------------------------------------------------------------------------------
THE FOLLOWING ABBREVIATIONS ARE USED THROUGHOUT THE SCHEDULES OF INVESTMENTS:
SECURITY DESCRIPTIONS:
- -----------------------
ADR-American Depository Receipt
ADS-American Depository Security
BRB-Brady Bond
CVT-Convertible Security
FRB-Floating Rate Bond (1)
FRN-Floating Rate Note (1)
GDR-Global Depository Receipt
GDS-Global Depository Security
IO-Interest Only Security
PIK-Payment in Kind Security
REIT-Real Estate Investment Trust
STEP-Stepped Coupon Security
TBA-To be Announced Security
VR- Variable Rate Security (1)
ZCB- Zero Coupon Bond-Rate shown is the effective yield at purchase date.
(1)-Rates shown for variable and floating rate securities are the coupon rates
as of June 30, 1996.
COUNTRIES/CURRENCIES:
- -----------------------
AUD-Australia/Australian Dollar
BEL-Belgium/Belgium Franc
CAN-Canada/Canadian Dollar
DEM-Germany/German Deutschemark
DKK-Denmark/Danish Krone
ESP-Spain/Spanish Peseta
FIM-Finland/Finnish Markka
FRF-France/French Franc
HK-Hong Kong/Hong Kong Dollar
IEP-Ireland/Irish Punt
ITL-Italy/Italian Lira
JPN-Japan/Japanese Yen
MALA-Malaysia/Malaysian Ringgit
MEX-Mexico/Mexican Peso
NETH-Netherlands/Netherland Guilder
NZD-New Zealand/New Zealand Dollar
SEK-Sweden/Swedish Kroner
SNG-Singapore/Singapore Dollar
SW-Switzerland/Swiss Franc
THB-Thailand/Thai Baht
UK-United Kingdom/British Pound
ZAR-South Africa/South African Rand
59
<PAGE> 64
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
SELIGMAN AST T. ROWE
HENDERSON LORD ABBETT AST FEDERATED PHOENIX PRICE
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY BALANCED FEDERATED ASSET
EQUITY INCOME GROWTH MARKET INCOME ASSET HIGH YIELD ALLOCATION
------------- ----------- -------- -------- --------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in
securities at
value (A)....... $311,221 $376,774 $620,438 $571,977 $123,872 $263,482 $122,516 $85,945
Cash in bank,
including
foreign currency
holdings........ 10,916 -- -- 1 1 5 6 31
Receivable for
securities
sold............ 4,603 286 496 -- 417 1,103 851 767
Receivable for
dividends and
interest........ 1,713 931 231 1,392 328 1,224 2,352 659
Receivable for
fund shares
sold............ -- -- -- -- -- 460 2,278 1,390
Deferred
organization
costs........... 13 -- -- -- -- -- -- --
Other assets...... 1 2 5 6 1 3 1 1
Unrealized
appreciation on
foreign currency
exchange
contracts and
futures......... 1,135 -- 441 -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------
TOTAL
ASSETS...... 329,602 377,993 621,611 573,376 124,619 266,277 128,004 88,793
-------- -------- -------- -------- -------- -------- -------- -------
LIABILITIES
Payable for
securities
purchased....... 3,304 5,110 8,442 -- 2,512 1,794 5,227 2,374
Payable for fund
shares
redeemed........ 382 438 1,545 -- 233 -- -- --
Unrealized
depreciation on
foreign currency
exchange
contracts and
futures......... -- -- -- -- -- -- -- 2
Advisory fee
payable......... 233 226 464 174 64 145 71 57
Shareholder
servicing fee
payable......... 26 30 52 39 10 21 9 7
Accrued
expenses........ 34 56 84 72 22 59 24 51
Dividends
payable......... -- -- -- 1,873 -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------
TOTAL
LIABILITIES... 3,979 5,860 10,587 2,158 2,841 2,019 5,331 2,491
-------- -------- -------- -------- -------- -------- -------- -------
NET ASSETS........... $325,623 $372,133 $611,024 $571,218 $121,778 $264,258 $122,673 $86,302
======== ======== ======== ======== ======== ======== ======== =======
COMPONENTS OF NET
ASSETS
Common stock
(unlimited number of
shares authorized,
$.001 par value per
share).............. $ 17 $ 24 $ 36 $ 571 $ 10 $ 22 $ 11 $ 7
Additional paid-in
capital............. 290,007 327,968 466,093 570,647 108,855 239,235 117,580 78,232
Undistributed net
investment income
(loss).............. 122 3,389 1,307 -- 1,640 3,494 4,129 1,082
Accumulated net
realized gain (loss)
on investments and
foreign currency
transactions........ 4,149 8,075 21,383 -- 152 11,045 741 2,326
Accumulated net
unrealized
appreciation
(depreciation) on
investments, foreign
currency
transactions, and
forward currency
contracts........... 31,328 32,677 122,205 -- 11,121 10,462 212 4,655
-------- -------- -------- -------- -------- -------- -------- -------
NET ASSETS........... $325,623 $372,133 $611,024 $571,218 $121,778 $264,258 $122,673 $86,302
======== ======== ======== ======== ======== ======== ======== =======
Shares of common
stock outstanding... 17,448 24,100 36,061 571,218 10,152 21,544 11,122 7,059
Net asset value,
offering and
redemption price per
share............... $ 18.66 $ 15.44 $ 16.94 $ 1.00 $ 12.00 $ 12.27 $ 11.03 $ 12.23
======== ======== ======== ======== ======== ======== ======== =======
(A) Investments at
cost................ $281,031 $344,097 $498,674 $571,977 $112,751 $253,020 $122,304 $81,288
======== ======== ======== ======== ======== ======== ======== =======
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
60
<PAGE> 65
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
PIMCO SELIGMAN T. ROWE
TOTAL INVESCO FOUNDERS T. ROWE PRICE T. ROWE PRICE BERGER HENDERSON PRICE
RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL INTERNATIONAL NATURAL
BOND INCOME APPRECIATION EQUITY BOND GROWTH SMALL CAP RESOURCES
-------- -------- ------------ ------------- ------------- ------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$399,430 $236,641 $154,286 $296,444 $59,739 $84,446 $80,089 $32,718
-- -- 251 9,475 4,855 -- 3,406 --
3,989 375 600 242 3 940 -- 23
4,193 1,127 25 1,087 1,585 31 150 47
13,041 -- -- -- 3,875 84 720 48
-- -- -- -- -- -- -- --
6 2 1 2 -- -- -- --
940 -- -- -- -- -- 165 --
-------- -------- -------- -------- ------- ------- ------- -------
421,599 238,145 155,163 307,250 70,057 85,501 84,530 32,836
-------- -------- -------- -------- ------- ------- ------- -------
133,750 1,502 6,960 687 818 737 2,669 479
-- 288 121 83 -- -- -- --
-- -- -- 5 234 -- -- --
141 123 111 242 41 53 61 22
22 37 12 24 5 7 6 3
41 55 43 59 34 21 36 10
-- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- ------- ------- -------
133,954 2,005 7,247 1,100 1,132 818 2,772 514
-------- -------- -------- -------- ------- ------- ------- -------
$287,645 $236,140 $147,916 $306,150 $68,925 $84,683 $81,758 $32,322
======== ======== ======== ======== ======= ======= ======= =======
$ 27 $ 18 $ 9 $ 27 $ 7 $ 6 $ 7 $ 3
289,812 205,070 119,408 274,937 68,309 73,287 74,676 29,459
6,343 3,029 (826) 1,975 2,609 46 508 127
(11,923) 4,355 2,178 617 (1,748) 691 6 1,046
3,386 23,668 27,147 28,594 (252) 10,653 6,561 1,687
-------- -------- -------- -------- ------- ------- ------- -------
$287,645 $236,140 $147,916 $306,150 $68,925 $84,683 $81,758 $32,322
======== ======== ======== ======== ======= ======= ======= =======
27,331 18,464 9,086 26,635 6,751 6,085 6,924 2,521
$ 10.52 $ 12.79 $ 16.28 $ 11.49 $ 10.21 $ 13.92 $ 11.81 $ 12.82
======== ======== ======== ======== ======= ======= ======= =======
$396,901 $212,973 $127,139 $267,845 $59,756 $73,793 $73,694 $31,031
======== ======== ======== ======== ======= ======= ======= =======
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------
PORTFOLIO
- ------------------------------
PIMCO ROBERTSON
LIMITED STEPHENS
MATURITY VALUE +
BOND GROWTH
---------- ---------
<S> <C> <C>
$193,006 $ 5,129
-- 1,531
14,852 20
1,075 2
5,636 254
-- --
-- --
14 --
-------- --------
214,583 6,936
-------- --------
19,063 1,233
-- --
-- --
100 3
15 --
33 1
-- --
-------- --------
19,211 1,237
-------- --------
$195,372 $ 5,699
======== ========
$ 19 $ 1
194,879 5,808
5,058 (2)
(1,819) (10)
(2,765) (98)
-------- --------
$195,372 $ 5,699
======== ========
18,774 586
$ 10.41 $ 9.73
======== ========
$195,811 $ 5,227
======== ========
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
61
<PAGE> 66
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------
SELIGMAN AST
HENDERSON LORD ABBETT AST FEDERATED PHOENIX
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY BALANCED FEDERATED
EQUITY INCOME GROWTH MARKET INCOME ASSET HIGH YIELD
------------- ----------- --------- --------- --------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest...................... $ 345 $ 759 $ 706 $10,679 $ 158 $ 3,669 $ 4,629
Dividends..................... 3,631 4,229 2,853 -- 2,074 996 14
------- ------- ------- ------- ------ ------- -------
Total Investment Income... 3,976 4,988 3,559 10,679 2,232 4,665 4,643
------- ------- ------- ------- ------ ------- -------
EXPENSES
Investment advisory fees...... 1,495 1,244 2,376 975 373 877 375
Shareholder servicing fees.... 149 166 264 195 56 129 50
Administration and accounting
fees........................ 129 139 183 153 56 117 50
Custodian fees................ 84 20 41 46 15 23 11
Professional fees............. 13 14 23 17 5 11 4
Trustees' fees and expenses... 4 5 8 6 2 4 1
Insurance fees................ 1 4 3 -- -- 2 1
Amortization of organization
costs....................... -- -- 1 -- -- -- --
Miscellaneous expenses........ 16 7 12 10 5 8 16
------- ------- ------- ------- ------ ------- -------
Total Expenses............ 1,891 1,599 2,911 1,402 512 1,171 508
Less: Advisory fee waivers
and expense
reimbursements.......... (168) -- -- (233) -- -- --
------- ------- ------- ------- ------ ------- -------
Net Expenses.............. 1,723 1,599 2,911 1,169 512 1,171 508
------- ------- ------- ------- ------ ------- -------
Net Investment Income (Loss)..... 2,253 3,389 648 9,510 1,720 3,494 4,135
------- ------- ------- ------- ------ ------- -------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Securities and foreign
exchange transactions... 4,058 8,101 22,238 -- 2,924 11,052 765
Futures contracts......... -- -- -- -- -- -- --
Option contracts.......... -- -- -- -- -- -- --
------- ------- ------- ------- ------ ------- -------
Net realized gain (loss) on
investments and foreign
currency transactions....... 4,058 8,101 22,238 -- 2,924 11,052 765
Net change in unrealized
appreciation (depreciation)
on investments, foreign
currency transactions, and
forward currency
contracts................... 11,929 8,666 49,728 -- (1) (5,817 ) (1,877)
------- ------- ------- ------- ------ ------- -------
Net Increase (Decrease) in Net
Assets resulting
from Operations............. $18,240 $20,156 $72,614 $ 9,510 $4,643 $ 8,729 $ 3,023
======= ======= ======= ======= ====== ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
62
<PAGE> 67
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
PIMCO SELIGMAN
T. ROWE TOTAL INVESCO FOUNDERS T. ROWE PRICE T. ROWE PRICE BERGER HENDERSON
PRICE ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL INTERNATIONAL
ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH SMALL CAP
----------- --------- ------- ------------ ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$1,066 $ 7,587 $2,392 $ 378 $ 510 $ 1,795 $ 278 $ 131
471 -- 1,669 128 3,261 -- 109 774
------ ------- ------- ------- ------- ------- ------ ------
1,537 7,587 4,061 506 3,771 1,795 387 905
------ ------- ------- ------- ------- ------- ------ ------
299 804 767 503 1,273 254 255 257
35 124 102 56 127 27 34 26
38 114 100 56 116 47 39 38
19 19 14 18 81 18 6 12
3 11 9 5 11 2 3 2
1 3 3 2 4 1 1 1
1 3 2 1 2 -- 1 1
-- -- 1 -- -- -- -- --
12 6 7 3 24 5 2 3
------ ------- ------- ------- ------- ------- ------ ------
408 1,084 1,005 644 1,638 354 341 340
-- -- -- -- -- -- -- --
------ ------- ------- ------- ------- ------- ------ ------
408 1,084 1,005 644 1,638 354 341 340
------ ------- ------- ------- ------- ------- ------ ------
1,129 6,503 3,056 (138) 2,133 1,441 46 565
------ ------- ------- ------- ------- ------- ------ ------
2,221 (9,224) 4,328 1,490 1,790 (811) 895 (2)
-- (2,013) -- -- -- -- -- --
-- (77) -- -- -- 188 -- --
------ ------- ------- ------- ------- ------- ------ ------
2,221 (11,314) 4,328 1,490 1,790 (623) 895 (2)
(493) (83) 6,169 13,792 17,020 (1,109) 5,757 6,545
------ ------- ------- ------- ------- ------- ------ ------
$2,857 $(4,894) $13,553 $15,144 $20,943 $ (291) $6,698 $7,108
====== ======= ======= ======= ======= ======= ====== ======
<CAPTION>
----------------------------------------
PORTFOLIO
----------------------------------------
T. ROWE PIMCO ROBERTSON
PRICE LIMITED STEPHENS
NATURAL MATURITY VALUE +
RESOURCES BOND GROWTH(1)
---------- ----------- ---------
<S> <C> <C> <C>
$ 85 $ 5,814 $ 3
190 -- 1
------ ------- -----
275 5,814 4
------ ------- -----
99 566 4
11 87 1
34 87 1
5 5 --
1 8 --
-- 2 --
-- 4 --
-- -- --
2 1 --
------ ------- -----
152 760 6
(3) -- --
------ ------- -----
149 760 6
------ ------- -----
126 5,054 (2)
------ ------- -----
1,049 (1,418) (10)
-- (272) --
-- -- --
------ ------- -----
1,049 (1,690) (10)
1,304 (3,253) (98)
------ ------- -----
$2,479 $ 111 $(110)
====== ======= =====
</TABLE>
- --------------------------------------------------------------------------------
63
<PAGE> 68
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
PORTFOLIO
-------------------------------------------------------------------------------------------------------------------------------
SELIGMAN HENDERSON LORD ABBETT
INTERNATIONAL EQUITY GROWTH AND INCOME JANCAP GROWTH
---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31,
(UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED) 1995
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)...... $ 2,253 $ 2,165 $ 3,389 $ 3,534 $ 648 $ 1,686
Net realized gain (loss) on
investments
and foreign currency
transactions.................... 4,058 8,916 8,101 7,136 22,238 38,435
Net change in unrealized
appreciation (depreciation) on
investments, foreign currency
transactions, and forward
currency contracts.............. 11,929 13,385 8,666 23,471 49,728 58,329
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations........ 18,240 24,466 20,156 34,141 72,614 98,450
-------- -------- -------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Dividends to shareholders from net
investment income............... (5,032) -- (3,534) (1,700) (753) (1,363)
Distributions to shareholders from
capital gains................... (5,923) (12,667) (7,139) (1,699) (24,162) --
-------- -------- -------- -------- -------- --------
Total Dividends and
Distributions
to Shareholders............. (10,955) (12,667) (10,673) (3,399) (24,915) (1,363)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold......... 66,978 105,273 85,883 170,735 191,668 135,311
Net asset value of shares issued
in
reinvestment of dividends and
distributions................... 10,955 12,667 10,673 3,399 24,915 1,363
Cost of shares redeemed........... (27,651) (99,733) (22,655) (8,177) (84,579) (48,085)
-------- -------- -------- -------- -------- --------
Increase in Net Assets from
Capital
Share Transactions............ 50,282 18,207 73,901 165,957 132,004 88,589
-------- -------- -------- -------- -------- --------
Total Increase in Net
Assets...................... 57,567 30,006 83,384 196,699 179,703 185,676
NET ASSETS
Beginning of Period............... 268,056 238,050 288,749 92,050 431,321 245,645
-------- -------- -------- -------- -------- --------
End of Period..................... $325,623 $268,056 $372,133 $288,749 $611,024 $431,321
======== ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold....................... 3,646 6,250 5,601 11,930 11,582 9,644
Shares issued in reinvestment of
dividends and distributions..... 610 823 707 276 1,569 119
Shares redeemed................... (1,534) (5,865) (1,486) (600) (5,104) (3,650)
-------- -------- -------- -------- -------- --------
Net Increase in Shares
Outstanding................... 2,722 1,208 4,822 11,606 8,047 6,113
======== ======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
64
<PAGE> 69
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
FEDERATED
AST MONEY MARKET FEDERATED UTILITY INCOME AST PHOENIX BALANCED ASSET HIGH YIELD
------------------------------ ------------------------------ ------------------------------ -------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED
JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996
(UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED)
------------- ------------ ------------- ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
$ 9,510 $ 17,992 $ 1,720 $ 4,023 $ 3,494 $ 5,210 $ 4,135
-- 156 2,924 358 11,052 9,100 765
-- -- (1) 16,069 (5,817) 18,547 (1,877)
--------- --------- -------- -------- -------- -------- --------
9,510 18,148 4,643 20,450 8,729 32,857 3,023
--------- --------- -------- -------- -------- -------- --------
(9,510) (17,992) (4,103) (3,376) (5,212) (3,867) (4,032)
(149) -- -- -- (8,816) -- --
--------- --------- -------- -------- -------- -------- --------
(9,659) (17,992) (4,103) (3,376) (14,028) (3,867) (4,032)
--------- --------- -------- -------- -------- -------- --------
672,540 674,956 27,804 43,009 10,438 92,940 52,333
9,360 17,896 4,103 3,376 14,028 3,867 4,032
(454,758) (637,371) (18,068) (27,265) (10,115) (16,215) (16,375)
--------- --------- -------- -------- -------- -------- --------
227,142 55,481 13,839 19,120 14,351 80,592 39,990
--------- --------- -------- -------- -------- -------- --------
226,993 55,637 14,379 36,194 9,052 109,582 38,981
344,225 288,588 107,399 71,205 255,206 145,624 83,692
--------- --------- -------- -------- -------- -------- --------
$ 571,218 $ 344,225 $ 121,778 $107,399 $ 264,258 $255,206 $ 122,673
========= ========= ======== ======== ======== ======== ========
672,540 674,956 2,334 4,009 855 7,580 4,732
9,360 17,896 351 344 1,158 367 368
(454,758) (637,371) (1,530) (2,569) (832) (1,473) (1,489)
--------- --------- -------- -------- -------- -------- --------
227,142 55,481 1,155 1,784 1,181 6,474 3,611
========= ========= ======== ======== ======== ======== ========
<CAPTION>
- -------------------------------
PORTFOLIO
- -------------------------------
FEDERATED HIGH YIELD
- -------------------------------
YEAR ENDED
DECEMBER 31,
1995
- ------------------------------
<S> <C>
$ 4,026
124
3,479
--------
7,629
--------
(1,210)
--
--------
(1,210)
--------
75,531
1,210
(20,776)
--------
55,965
--------
62,384
21,308
--------
$ 83,692
========
7,197
124
(2,008)
--------
5,313
========
</TABLE>
- --------------------------------------------------------------------------------
65
<PAGE> 70
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
PORTFOLIO
-------------------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE PIMCO TOTAL
ASSET ALLOCATION RETURN BOND INVESCO EQUITY INCOME
---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31,
(UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED) 1995
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)..... $ 1,129 $ 1,306 $ 6,503 $ 5,966 $ 3,056 $ 3,658
Net realized gain (loss) on
investments and foreign
currency transactions.......... 2,221 483 (11,314) 6,557 4,328 5,268
Net change in unrealized
appreciation (depreciation) on
investments, foreign currency
transactions, and forward
currency contracts............. (493) 5,440 (83) 4,574 6,169 19,246
------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations....... 2,857 7,229 (4,894) 17,097 13,553 28,172
------- ------- -------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Dividends to shareholders from
net investment income.......... (1,316) (525) (6,111) (1,271) (3,685) (1,056)
Distributions to shareholders
from capital gains............. (226) -- (6,703) -- (4,986) --
------- ------- -------- -------- -------- --------
Total Dividends and
Distributions to
Shareholders............... (1,542) (525) (12,814) (1,271) (8,671) (1,056)
------- ------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold........ 24,926 31,289 86,076 199,583 64,531 93,257
Net asset value of shares issued
in reinvestment of dividends
and distributions.............. 1,542 525 12,814 1,271 8,671 1,056
Cost of shares redeemed.......... (880) (2,582) (18,872) (37,838) (18,660) (9,914)
------- ------- -------- -------- -------- --------
Increase in Net Assets from
Capital Share Transactions... 25,588 29,232 80,018 163,016 54,542 84,399
------- ------- -------- -------- -------- --------
Total Increase in Net
Assets..................... 26,903 35,936 62,310 178,842 59,424 111,515
NET ASSETS
Beginning of Period.............. 59,399 23,463 225,335 46,493 176,716 65,201
------- ------- -------- -------- --------
End of Period.................... $86,302 $59,399 $287,645 $225,335 $236,140 $176,716
======= ======= ======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold...................... 2,060 2,775 8,014 18,460 5,132 8,188
Shares issued in reinvestment of
dividends and distributions.... 128 52 1,211 128 705 105
Shares redeemed.................. (73) (244) (1,759) (3,491) (1,506) (850)
------- ------- -------- -------- -------- --------
Net Increase in Shares
Outstanding.................. 2,115 2,583 7,466 15,097 4,331 7,443
======= ======= ======== ======== ======== ========
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Commenced operations on May 2, 1995.
See Notes to Financial Statements.
66
<PAGE> 71
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
----------------------------------------------------------------------------------------------------------------------------
BERGER
T. ROWE PRICE T. ROWE PRICE CAPITAL
FOUNDERS CAPITAL APPRECIATION INTERNATIONAL EQUITY INTERNATIONAL BOND GROWTH
------------------------------ ------------------------------ ------------------------------ -------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED
JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996
(UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED)
------------- ------------ ------------- ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (138) $ (151) $ 2,133 $ 1,454 $ 1,441 $ 1,705 $ 46
1,490 2,836 1,790 (908) (623) 13 895
13,792 10,589 17,020 15,141 (1,109) 1,290 5,757
-------- -------- -------- -------- ------- ------- --------
15,144 13,274 20,943 15,687 (291) 3,008 6,698
-------- -------- -------- -------- ------- ------- --------
(547) (280) (1,759) (121) (697) (263) (150)
(1,109) -- -- (249) (884) -- --
-------- -------- -------- -------- ------- ------- --------
(1,656) (280) (1,759) (370) (1,581) (263) (150)
-------- -------- -------- -------- ------- ------- --------
86,155 62,848 106,172 101,284 27,967 30,340 48,218
1,656 280 1,759 370 1,581 263 150
(43,843) (14,221) (16,632) (30,055) (4,353) (2,964) (16,212)
-------- -------- -------- -------- ------- ------- --------
43,968 48,907 91,299 71,599 25,195 27,639 32,156
-------- -------- -------- -------- ------- ------- --------
57,456 61,901 110,483 86,916 23,323 30,384 38,704
90,460 28,559 195,667 108,751 45,602 15,218 45,979
-------- -------- -------- -------- ------- ------- --------
$147,916 $ 90,460 $306,150 $195,667 $68,925 $45,602 $ 84,683
======== ======== ======== ======== ======= ======= ========
5,469 4,764 9,609 10,012 2,716 2,996 3,568
115 26 161 41 156 27 11
(2,848) (1,074) (1,500) (2,997) (422) (295) (1,201)
-------- -------- -------- -------- ------- ------- --------
2,736 3,716 8,270 7,056 2,450 2,728 2,378
======== ======== ======== ======== ======= ======= ========
<CAPTION>
----------------------------------------------
PORTFOLIO
----------------------------------------------
BERGER
CAPITAL SELIGMAN HENDERSON
GROWTH INTERNATIONAL SMALL CAP
------------- ------------------------------
SIX MONTHS
YEAR ENDED ENDED YEAR ENDED
DECEMBER 31, JUNE 30, 1996 DECEMBER 31,
1995 (UNAUDITED) 1995(1)
------------ ------------- ------------
<S> <C> <C> <C>
$ 150 $ 565 $ 72
(195) (2) 8
4,860 6,545 16
------- ------- -------
4,815 7,108 96
------- ------- -------
(3) (129) --
-- -- --
------- ------- -------
(3) (129) --
------- ------- -------
42,283 50,836 29,685
3 129 --
(4,149) (4,641) (1,326)
------- ------- -------
38,137 46,324 28,359
------- ------- -------
42,949 53,303 28,455
3,030 28,455 --
------- ------- -------
$45,979 $81,758 $ 28,455
======= ======= =======
3,773 4,573 2,884
-- 12 --
(370) (417) (128)
------- ------- -------
3,403 4,168 2,756
======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
67
<PAGE> 72
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE PIMCO LIMITED ROBERTSON STEPHENS
NATURAL RESOURCES MATURITY BOND VALUE + GROWTH
-------------------------------- -------------------------------- -------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED PERIOD ENDED
JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996
(UNAUDITED) 1995(1) (UNAUDITED) 1995(1) (UNAUDITED)(2)
------------- ------------ ------------- ------------ -------------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income
(loss)...................... $ 126 $ 30 $ 5,054 $ 765 $ (2)
Net realized gain (loss) on
investments and foreign
currency transactions....... 1,049 31 (1,690) 174 (10)
Net change in unrealized
appreciation (depreciation)
on investments, foreign
currency transactions, and
forward currency
contracts................... 1,304 383 (3,253) 488 (98)
------- ------ -------- -------- -------
Net Increase (Decrease) in
Net Assets from
Operations................ 2,479 444 111 1,427 (110)
------- ------ -------- -------- -------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Dividends to shareholders from
net investment income....... (29) -- (761) -- --
Distributions to shareholders
from
capital gains............... (34) -- (303) -- --
------- ------ -------- -------- -------
Total Dividends and
Distributions
to Shareholders........... (63) -- (1,064) -- --
------- ------ -------- -------- -------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold..... 29,362 9,686 53,615 166,622 6,053
Net asset value of shares
issued in reinvestment of
dividends and
distributions............... 63 -- 1,064 -- --
Cost of shares redeemed....... (8,781) (868) (20,294) (6,109) (244)
------- ------ -------- -------- -------
Increase in Net Assets from
Capital
Share Transactions........ 20,644 8,818 34,385 160,513 5,809
------- ------ -------- -------- -------
Total Increase in Net
Assets.................. 23,060 9,262 33,432 161,940 5,699
NET ASSETS
Beginning of Period........... 9,262 -- 161,940 -- --
------- ------ -------- -------- -------
End of Period................. $32,322 $9,262 $195,372 $161,940 $ 5,699
======= ====== ======== ======== =======
SHARES ISSUED AND REDEEMED
Shares sold................... 2,375 918 5,162 16,062 611
Shares issued in reinvestment
of dividends and
distributions............... 5 -- 102 -- --
Shares redeemed............... (693) (84) (1,955) (597) (25)
------- ------ -------- -------- -------
Net Increase in Shares
Outstanding............... 1,687 834 3,309 15,465 586
======= ====== ======== ======== =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on May 2, 1995.
(2) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
68
<PAGE> 73
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
---------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------
SELIGMAN HENDERSON INTERNATIONAL EQUITY
---------------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 ------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
------------- -------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value at Beginning of Period......... $ 18.20 $ 17.61 $ 17.34 $ 12.74 $ 13.90 $ 12.99
-------- -------- -------- ------- ------- -------
Increase (Decrease) from
Investment Operations
Net Investment Income (Loss)............... 0.13 0.14 0.10 0.14 (0.17) 0.01
Net Realized & Unrealized Gains
(Losses) on Investments and Foreign
Currency Transactions.................... 1.02 1.44 0.36 4.46 (0.99) 0.90
-------- -------- -------- ------- ------- -------
Total Increase (Decrease) From
Investment Operations............... 1.15 1.58 0.46 4.60 (1.16) 0.91
-------- -------- -------- ------- ------- -------
Less Dividends and Distributions
Dividends from Net Investment Income....... (0.32) -- (0.03) -- -- --
Distributions from Net Realized
Capital Gains............................ (0.37) (0.99) (0.16) -- -- --
-------- -------- -------- ------- ------- -------
Total Dividends and Distributions..... (0.69) (0.99) (0.19) -- -- --
-------- -------- -------- ------- ------- -------
Net Asset Value at End of Period............... $ 18.66 $ 18.20 $ 17.61 $ 17.34 $ 12.74 $ 13.90
======== ======== ======== ======= ======= =======
Total Return................................... 6.45% 10.00% 2.64% 36.11% (8.35%) 7.01%
Ratios/Supplemental Data
Net Assets at End of Period (in 000's)..... $325,623 $268,056 $238,050 $150,646 $24,998 $15,892
Ratios of Expenses to Average Net Assets:
After Advisory Fee Waiver and Expense
Reimbursement......................... 1.15%(1) 1.17% 1.22% 1.52% 2.50% 2.50%
Before Advisory Fee Waiver and Expense
Reimbursement......................... 1.26%(1) 1.27% 1.32% 1.52% 2.50% 2.82%
Ratios of Net Investment Income (Loss) to
Average Net Assets:
After Advisory Fee Waiver and Expense
Reimbursement......................... 1.51%(1) 0.88% 0.55% 0.28% (1.62%) 0.12%
Before Advisory Fee Waiver and Expense
Reimbursement......................... 1.40%(1) 0.78% 0.46% 0.28% (1.62%) (0.20%)
Portfolio Turnover Rate........................ 24.71% 58.62% 48.69% 31.69% 54.56% 58.74%
Average Commission Rate Paid+.................. $ 0.0150 -- -- -- -- --
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
See Notes to Financial Statements.
69
<PAGE> 74
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
LORD ABBETT GROWTH AND INCOME
-----------------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 -----------------------------------------
(UNAUDITED) 1995 1994 1993 1992(2)
------------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net Asset Value at Beginning of Period.................. $ 14.98 $ 12.00 $ 12.06 $ 10.70 $ 10.00
-------- -------- ------- ------- --------
Increase (Decrease) from
Investment Operations
Net Investment Income (Loss)........................ 0.13 0.16 0.20 0.11 0.07
Net Realized & Unrealized Gains
(Losses) on Investments and Foreign
Currency Transactions............................. 0.85 3.22 0.06 1.35 0.63
-------- -------- ------- ------- --------
Total Increase (Decrease) From
Investment Operations........................ 0.98 3.38 0.26 1.46 0.70
-------- -------- ------- ------- --------
Less Dividends and Distributions
Dividends from Net Investment Income................ (0.17) (0.20) (0.12) (0.04) --
Distributions from Net Realized
Capital Gains..................................... (0.35) (0.20) (0.20) (0.06) --
-------- -------- ------- ------- --------
Total Dividends and Distributions.............. (0.52) (0.40) (0.32) (0.10) --
-------- -------- ------- ------- --------
Net Asset Value at End of Period........................ $ 15.44 $ 14.98 $ 12.00 $ 12.06 $ 10.70
======== ======== ======= ======= ========
Total Return............................................ 6.61% 28.91% 2.22% 13.69% 7.00%
Ratios/Supplemental Data
Net Assets at End of Period (in 000's).............. $372,133 $288,749 $92,050 $48,385 $10,159
Ratios of Expenses to Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement.......................... 0.96%(1) 0.99% 1.06% 1.22% 0.99%(1)
Before Advisory Fee Waiver and
Expense Reimbursement.......................... 0.96%(1) 0.99% 1.06% 1.33% 1.75%(1)
Ratios of Net Investment Income (Loss) to
Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement.......................... 2.04%(1) 2.50% 2.45% 2.05% 2.49%(1)
Before Advisory Fee Waiver and
Expense Reimbursement.......................... 2.04%(1) 2.50% 2.45% 1.94% 1.73%(1)
Portfolio Turnover Rate................................. 21.36% 50.28% 60.47% 56.70% 34.29%
Average Commission Rate Paid+........................... $ 0.0663 -- -- -- --
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(2) Commenced operations on May 1, 1992.
(3) Commenced operations on November 6, 1992.
(4) Commenced operations on November 10, 1992.
See Notes to Financial Statements.
70
<PAGE> 75
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------
JANCAP GROWTH AST MONEY MARKET
---------------------------------------------------------------- ----------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1996 ---------------------------------------------- JUNE 30, 1996 ----------------------------------
(UNAUDITED) 1995 1994 1993 1992(3) (UNAUDITED) 1995 1994 1993
------------- -------- -------- -------- ------- ------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 15.40 $ 11.22 $ 11.78 $ 10.53 $ 10.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- ------- ------- ------- -------- -------- -------- -------- --------
0.01 0.06 0.06 0.03 (0.01) 0.0243 0.0494 0.0369 0.0252
2.35 4.18 (0.59) 1.22 0.54 0.0005 -- -- --
-------- ------- ------- ------- -------- -------- -------- -------- --------
2.36 4.24 (0.53) 1.25 0.53 0.0248 0.0494 0.0369 0.0252
-------- ------- ------- ------- -------- -------- -------- -------- --------
(0.02) (0.06) (0.03) -- -- (0.0243) (0.0494) (0.0367) (0.0252)
(0.80) -- -- -- -- (0.0005) -- (0.0002) --
-------- ------- ------- ------- -------- -------- -------- -------- --------
(0.82) (0.06) (0.03) -- -- (0.0248) (0.0494) (0.0369) (0.0252)
-------- ------- ------- ------- -------- -------- -------- -------- --------
$ 16.94 $ 15.40 $ 11.22 $ 11.78 $ 10.53 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======= ======= ======= ======== ======== ======== ======== ========
15.72% 37.98% (4.51%) 11.87% 5.30% N/A N/A N/A N/A
$ 611,024 $431,321 $245,645 $157,852 $15,218 $ 571,218 $344,225 $288,588 $114,074
1.10%(1) 1.12% 1.18% 1.22% 1.33%(1) 0.60%(1) 0.60% 0.64% 0.65%
1.10%(1) 1.12% 1.18% 1.22% 2.21%(1) 0.72%(1) 0.72% 0.76% 0.84%
0.25%(1) 0.51% 0.62% 0.35% (0.90%)(1) 4.88%(1) 5.38% 3.90% 2.53%
0.25%(1) 0.51% 0.62% 0.35% (1.78%)(1) 4.76%(1) 5.26% 3.78% 2.34%
65.51% 113.32% 93.92% 92.16% 1.52% N/A N/A N/A N/A
$ 0.0630 -- -- -- -- N/A -- -- --
<CAPTION>
- -----------------------
PORTFOLIO
- -----------------------
AST MONEY MARKET
- -----------------------
FOR THE YEAR ENDED
DECEMBER 31,
- -----------------------
1992(4)
--------
<S> <C>
$ 1.00
--------
0.0032
--
--------
0.0032
--------
(0.0032)
--
--------
(0.0032)
--------
$ 1.00
========
N/A
$ 4,294
0.65%(1)
1.15%(1)
2.43%(1)
1.93%(1)
N/A
--
</TABLE>
- --------------------------------------------------------------------------------
71
<PAGE> 76
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
--------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
FEDERATED UTILITY INCOME
--------------------------------------------------------
SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 ------------------------------------
(UNAUDITED) 1995 1994 1993(5)
------------- -------- ------- -------
<S> <C> <C> <C> <C>
Net Asset Value at Beginning of Period.................... $ 11.94 $ 9.87 $ 10.79 $ 10.00
--------- -------- ------- -------
Increase (Decrease) from
Investment Operations
Net Investment Income (Loss).......................... 0.15 0.40 0.46 0.17
Net Realized & Unrealized Gains
(Losses) on Investments and Foreign
Currency Transactions............................... 0.35 2.09 (1.20) 0.62
--------- -------- ------- -------
Total Increase (Decrease) From
Investment Operations.......................... 0.50 2.49 (0.74) 0.79
--------- -------- ------- -------
Less Dividends and Distributions
Dividends from Net Investment Income.................. (0.44) (0.42) (0.16) --
Distributions from Net Realized
Capital Gains....................................... -- -- (0.02) --
--------- -------- ------- -------
Total Dividends and Distributions................ (0.44) (0.42) (0.18) --
--------- -------- ------- -------
Net Asset Value at End of Period.......................... $ 12.00 $ 11.94 $ 9.87 $ 10.79
========= ======== ======= =======
Total Return.............................................. 4.31% 26.13% (6.95%) 7.90%
Ratios/Supplemental Data
Net Assets at End of Period (in 000's)................ $ 121,778 $107,399 $71,205 $57,643
Ratios of Expenses to Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement............................ 0.92%(1) 0.93% 0.99% 1.18%(1)
Before Advisory Fee Waiver and
Expense Reimbursement............................ 0.92%(1) 0.93% 0.99% 1.18%(1)
Ratios of Net Investment Income (Loss) to
Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement............................ 3.07%(1) 4.58% 5.11% 5.09%(1)
Before Advisory Fee Waiver and
Expense Reimbursement............................ 3.07%(1) 4.58% 5.11% 5.09%(1)
Portfolio Turnover Rate................................... 41.42% 70.94% 54.26% 5.30%
Average Commission Rate Paid+............................. $ 0.0488 -- -- --
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(5) Commenced operations on May 4, 1993.
(6) Commenced operations on January 4, 1994.
See Notes to Financial Statements.
72
<PAGE> 77
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE ASSET
ALLOCATION
-------------------------
FOR THE
AST PHOENIX BALANCED ASSET FEDERATED HIGH YIELD YEAR
------------------------------------------------ ------------------------------------- ENDED
SIX MONTHS FOR THE YEAR ENDED SIX MONTHS FOR THE YEAR ENDED SIX MONTHS DECEMBER
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED 31,
JUNE 30, 1996 ------------------------------ JUNE 30, 1996 ------------------- JUNE 30, 1996 -------
(UNAUDITED) 1995 1994 1993(5) (UNAUDITED) 1995 1994(6) (UNAUDITED) 1995
------------- -------- -------- ------- ------------- ------- ------- ------------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 12.53 $ 10.49 $ 10.57 $ 10.00 $ 11.14 $ 9.69 $ 10.00 $ 12.01 $ 9.94
-------- ------- ------- ------- -------- -------- -------- -------- --------
0.16 0.26 0.27 0.08 0.31 0.38 0.55 0.15 0.26
0.26 2.06 (0.26) 0.49 0.05 1.46 (0.86) 0.36 2.02
-------- ------- ------- ------- -------- -------- -------- -------- --------
0.42 2.32 0.01 0.57 0.36 1.84 (0.31) 0.51 2.28
-------- ------- ------- ------- -------- -------- -------- -------- --------
(0.25) (0.28) (0.07) -- (0.47) (0.39) -- (0.25) (0.21)
(0.43) -- (0.02) -- -- -- -- (0.04) --
-------- ------- ------- ------- -------- -------- -------- -------- --------
(0.68) (0.28) (0.09) -- (0.47) (0.39) -- (0.29) (0.21)
-------- ------- ------- ------- -------- -------- -------- -------- --------
$ 12.27 $ 12.53 $ 10.49 $ 10.57 $ 11.03 $ 11.14 $ 9.69 $ 12.23 $ 12.01
======== ======= ======= ======= ======== ======== ======== ======== ========
3.47% 22.60% 0.09% 5.70% 3.28% 19.57% (3.10%) 4.27% 23.36%
$ 264,258 $255,206 $145,624 $91,591 $ 122,673 $83,692 $21,308 $86,302 $59,399
0.91%(1) 0.94% 0.99% 1.13%(1) 1.01%(1) 1.11% 1.15%(1)) 1.16%(1) 1.25%
0.91%(1) 0.94% 0.99% 1.13%(1) 1.01%(1) 1.11% 1.34%(1)) 1.16%(1) 1.29%
2.71%(1) 3.28% 3.08% 2.53%(1) 8.27%(1) 8.72% 9.06%(1) 3.21%(1) 3.53%
2.71%(1) 3.28% 3.08% 2.53%(1) 8.27%(1) 8.72% 8.87%(1) 3.21%(1) 3.49%
91.99% 160.94% 86.50% 46.35% 25.94% 29.64% 40.55% 27.64% 17.62%
$ 0.0609 -- -- -- N/A -- -- $0.0359 --
<CAPTION>
- ----------------------------
PORTFOLIO
- ----------------------------
T. ROWE PRICE ASSET
ALLOCATION
-------------------
FOR THE YEAR ENDED
DECEMBER 31,
------------------
1994(6)
-------
<S> <C>
$ 10.00
--------
0.21
(0.27)
--------
(0.06)
--------
--
--
--------
--
--------
$ 9.94
========
(0.60%)
$23,463
1.25%(1)
1.47%(1)
3.64%(1)
3.42%(1)
31.62%
--
</TABLE>
- --------------------------------------------------------------------------------
73
<PAGE> 78
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
PIMCO TOTAL RETURN BOND INVESCO EQUITY INCOME
------------------------------------ ------------------------------------
SIX MONTHS FOR THE YEAR ENDED SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1996 ------------------- JUNE 30, 1996 -------------------
(UNAUDITED) 1995 1994(6) (UNAUDITED) 1995 1994(6)
------------- -------- ------- ------------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value at Beginning of Period... $ 11.34 $ 9.75 $ 10.00 $ 12.50 $ 9.75 $ 10.00
-------- -------- ------- -------- -------- -------
Increase (Decrease) from Investment
Operations
Net Investment Income (Loss)......... 0.21 0.25 0.26 0.15 0.25 0.16
Net Realized & Unrealized Gains
(Losses) on Investments and Foreign
Currency Transactions.............. (0.44) 1.55 (0.51) 0.71 2.65 (0.41)
-------- -------- ------- -------- -------- -------
Total Increase (Decrease) From
Investment Operations......... (0.23) 1.80 (0.25) 0.86 2.90 (0.25)
-------- -------- ------- -------- -------- -------
Less Dividends and Distributions
Dividends from Net Investment
Income............................. (0.28) (0.21) -- (0.24) (0.15) --
Distributions from Net Realized
Capital Gains...................... (0.31) -- -- (0.33) -- --
-------- -------- ------- -------- -------- -------
Total Dividends and
Distributions................. (0.59) (0.21) -- (0.57) (0.15) --
-------- -------- ------- -------- -------- -------
Net Asset Value at End of Period......... $ 10.52 $ 11.34 $ 9.75 $ 12.79 $ 12.50 $ 9.75
======== ======== ======= ======== ======== =======
Total Return............................. (2.07%) 18.78% (2.50%) 7.04% 30.07% (2.50%)
Ratios/Supplemental Data
Net Assets at End of Period (in
000's)............................. $ 287,645 $225,335 $46,493 $ 236,140 $176,716 $65,201
Ratios of Expenses to Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement........... 0.88%(1) 0.89% 1.02%(1) 0.98%(1) 0.98% 1.14%(1)
Before Advisory Fee Waiver and
Expense Reimbursement........... 0.88%(1) 0.89% 1.02%(1) 0.98%(1) 0.98% 1.14%(1)
Ratios of Net Investment Income (Loss) to
Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement........... 5.25%(1) 5.95% 5.57%(1) 2.99%(1) 3.34% 3.41%(1)
Before Advisory Fee Waiver and
Expense Reimbursement........... 5.25%(1) 5.95% 5.57%(1) 2.99%(1) 3.34% 3.41%(1)
Portfolio Turnover Rate.................. 318.44% 124.41% 139.25% 28.83% 89.48% 62.87%
Average Commission Rate Paid+............ N/A -- -- $ 0.0604 -- --
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(6) Commenced operations on January 4, 1994.
(7) Commenced operations on May 3, 1994.
See Notes to Financial Statements.
74
<PAGE> 79
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE T. ROWE PRICE
FOUNDERS CAPITAL APPRECIATION INTERNATIONAL EQUITY INTERNATIONAL BOND
------------------------------------- --------------------------------------- -------------------------------------
SIX MONTHS FOR THE YEAR ENDED SIX MONTHS FOR THE YEAR ENDED SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1996 ------------------- JUNE 30, 1996 --------------------- JUNE 30, 1996 -------------------
(UNAUDITED) 1995 1994(6) (UNAUDITED) 1995 1994(6) (UNAUDITED) 1995 1994(7)
------------- ------- ------- ------------- -------- -------- ------------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 14.25 $ 10.84 $ 10.00 $ 10.65 $ 9.62 $ 10.00 $ 10.60 $ 9.68 $ 10.00
-------- ------- ------- -------- -------- -------- ------- ------- -------
0.02 (0.04) 0.11 0.07 0.07 0.02 0.09 0.31 0.27
2.28 3.54 0.73 0.85 0.99 (0.40) (0.17) 0.75 (0.59)
-------- ------- ------- -------- -------- -------- ------- ------- -------
2.30 3.50 0.84 0.92 1.06 (0.38) (0.08) 1.06 (0.32)
-------- ------- ------- -------- -------- -------- ------- ------- -------
(0.09) (0.09) -- (0.08) (0.01) -- (0.14) (0.14) --
(0.18) -- -- -- (0.02) -- (0.17) -- --
-------- ------- ------- -------- -------- -------- ------- ------- -------
(0.27) (0.09) -- (0.08) (0.03) -- (0.31) (0.14) --
-------- ------- ------- -------- -------- -------- ------- ------- -------
$ 16.28 $ 14.25 $ 10.84 $ 11.49 $ 10.65 $ 9.62 $ 10.21 $ 10.60 $ 9.68
======== ======= ======= ======== ======== ======== ======= ======= =======
16.33% 32.56% 8.40% 8.68% 11.09% (3.80%) (0.73%) 11.10% (3.20%)
$ 147,916 $90,460 $28,559 $ 306,150 $195,667 $108,751 $68,925 $45,602 $15,218
1.15%(1) 1.22% 1.30%(1) 1.29%(1) 1.33% 1.75%(1) 1.29%(1) 1.53% 1.68%(1)
1.15%(1) 1.22% 1.55%(1) 1.29%(1) 1.33% 1.77%(1) 1.29%(1) 1.53% 1.68%(1)
(0.25%)(1) (0.28%) 2.59%(1) 1.68%(1) 1.03% 0.45%(1) 5.25%(1) 6.17% 7.03%(1)
(0.25%)(1) (0.28%) 2.34%(1) 1.68%(1) 1.03% 0.43%(1) 5.25%(1) 6.17% 7.03%(1)
46.57% 68.32% 197.93% 6.99% 17.11% 15.70% 120.27% 325.00% 163.27%
$ 0.0554 -- -- $ 0.0232 -- -- N/A -- --
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
75
<PAGE> 80
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
-----------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------
BERGER CAPITAL
GROWTH
------------------------------------------
SIX MONTHS FOR THE YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 ----------------------
(UNAUDITED) 1995 1994(8)
------------- ------- --------
<S> <C> <C> <C>
Net Asset Value at Beginning of Period................................ $ 12.40 $ 9.97 $10.00
------- ------- ------
Increase (Decrease) from
Investment Operations
Net Investment Income (Loss)...................................... -- 0.04 0.01
Net Realized & Unrealized Gains
(Losses) on Investments and Foreign
Currency Transactions........................................... 1.55 2.40 (0.04)
------- ------- ------
Total Increase (Decrease) From
Investment Operations...................................... 1.55 2.44 (0.03)
------- ------- ------
Less Dividends and Distributions
Dividends from Net Investment Income.............................. (0.03) (0.01) --
Distributions from Net Realized
Capital Gains................................................... -- -- --
------- ------- ------
Total Dividends and Distributions............................ (0.03) (0.01) --
------- ------- ------
Net Asset Value at End of Period...................................... $ 13.92 $ 12.40 $ 9.97
======= ======= ======
Total Return.......................................................... 12.54% 24.42% (0.30%)
Ratios/Supplemental Data
Net Assets at End of Period (in 000's)............................ $84,683 $45,979 $3,030
Ratios of Expenses to Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement........................................ 1.00%(1) 1.17% 1.25% 1)
Before Advisory Fee Waiver and
Expense Reimbursement........................................ 1.00%(1) 1.17% 1.70% 1)
Ratios of Net Investment Income (Loss) to
Average Net Assets:
After Advisory Fee Waiver and
Expense Reimbursement........................................ 0.14%(1) 0.70% 1.41% 1)
Before Advisory Fee Waiver and
Expense Reimbursement........................................ 0.14%(1) 0.70% 0.97% 1)
Portfolio Turnover Rate............................................... 58.88% 84.21% 5.36%
Average Commission Rate Paid+......................................... $0.0590 -- --
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(8) Commenced operations on October 20, 1994.
(9) Commenced operations on May 2, 1995.
(10) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
76
<PAGE> 81
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
SELIGMAN HENDERSON T. ROWE PRICE PIMCO LIMITED
INTERNATIONAL SMALL CAP NATURAL RESOURCES MATURITY BOND
---------------------------------- ---------------------------------- ----------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE YEAR ENDED ENDED FOR THE YEAR ENDED ENDED FOR THE YEAR ENDED
JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31, JUNE 30, 1996 DECEMBER 31,
(UNAUDITED) 1995(9) (UNAUDITED) 1995(9) (UNAUDITED) 1995(9)
------------- ------------------ ------------- ------------------ ------------- ------------------
<S> <C> <C> <C> <C> <C>
$ 10.33 $ 10.00 $ 11.11 $10.00 $ 10.47 $ 10.00
------- ------- ------- ------ -------- --------
0.08 0.03 0.03 0.04 0.27 0.05
1.43 0.30 1.72 1.07 (0.26) 0.42
------- ------- ------- ------ -------- --------
1.51 0.33 1.75 1.11 0.01 0.47
------- ------- ------- ------ -------- --------
(0.03) -- (0.02) -- (0.05) --
-- -- (0.02) -- (0.02) --
------- ------- ------- ------ -------- --------
(0.03) -- (0.04) -- (0.07) --
------- ------- ------- ------ -------- --------
$ 11.81 $ 10.33 $ 12.82 $11.11 $ 10.41 $ 10.47
======= ======== ======= ====== ======== ========
14.66% 3.30% 15.83% 11.10% 0.05% 4.70%
$81,758 $ 28,455 $32,322 $9,262 $195,372 $161,940
1.32%(1) 1.46%(1) 1.35%(1) 1.35%(1) 0.87%(1) 0.89%(1)
1.32%(1) 1.46%(1) 1.38%(1) 1.80%(1) 0.87%(1) 0.89%(1)
2.19%(1) 0.94%(1) 1.15%(1) 1.28%(1) 5.81%(1) 4.87%(1)
2.19%(1) 0.94%(1) 1.12%(1) 0.83%(1) 5.81%(1) 4.87%(1)
8.58% 3.52% 28.78% 2.32% 158.19% 204.85%
$0.0219 -- $0.0171 -- N/A --
<CAPTION>
------------------------
PORTFOLIO
------------------------
ROBERTSON & STEPHENS
VALUE + GROWTH
---------------------
PERIOD ENDED
JUNE 30, 1996(10)
(UNAUDITED)
---------------------
<S> <C>
$ 10.00
-------
--
(0.27)
-------
(0.27)
-------
--
--
-------
--
-------
$ 9.73
=======
(2.70%)
$ 5,699
1.33%(1)
1.33%(1)
(0.41%)(1)
(0.41%)(1)
3.42%
$0.0510
</TABLE>
- --------------------------------------------------------------------------------
77
<PAGE> 82
AMERICAN SKANDIA TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
American Skandia Trust (the "Trust"), was organized under the laws of the
Commonwealth of Massachusetts on October 31, 1988, as a "Massachusetts Business
Trust". The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company. The Trust operates as a
series company, issuing eighteen classes of shares of beneficial interest during
1996: Seligman Henderson International Equity Portfolio ("Henderson"), Lord
Abbett Growth and Income Portfolio ("Lord Abbett"), JanCap Growth Portfolio
("JanCap"), AST Money Market Portfolio ("Money Market"), Federated Utility
Income Portfolio ("Federated"), AST Phoenix Balanced Asset Portfolio
("Balanced"), Federated High Yield Portfolio ("High Yield"), T. Rowe Price Asset
Allocation Portfolio ("Asset Allocation"), PIMCO Total Return Bond Portfolio
("PIMCO"), INVESCO Equity Income Portfolio ("INVESCO"), Founders Capital
Appreciation Portfolio ("Founders"), T. Rowe Price International Equity
Portfolio ("T. Rowe"), T. Rowe Price International Bond Portfolio
("International Bond") (formerly, AST Scudder International Bond Portfolio),
Berger Capital Growth Portfolio ("Berger"), Seligman Henderson International
Small Cap Portfolio ("Small Cap"), T. Rowe Price Natural Resources Portfolio
("Natural Resources"), PIMCO Limited Maturity Bond Portfolio ("Limited
Maturity"), and Robertson Stephens Value + Growth Portfolio ("Robertson
Stephens") (collectively "the Portfolios").
The following is a summary of the Trust's significant accounting policies:
Security Valuation
All Portfolios, other than Money Market: Securities are valued at the close of
regular trading on each business day the New York Stock Exchange ("NYSE") is
open. Securities are valued at the last sale price on the securities exchange or
securities market on which such securities primarily are traded. Securities not
listed on an exchange or securities market, or securities on which there were no
transactions, are valued at the average of the most recent bid and asked prices.
Any securities or other assets for which recent market quotations are not
readily available are valued at fair value as determined in good faith by the
Board of Trustees.
Short-term obligations with less than sixty days remaining to maturity are
valued at amortized cost. Short-term obligations with more than sixty days
remaining to maturity are valued at current market value until the sixtieth day
prior to maturity, and thereafter are valued on an amortized cost basis based on
the value on such date.
Money Market: Securities are valued at amortized cost. The amortized cost method
values a security at its cost at the time of purchase and thereafter assumes a
constant amortization to maturity of any discount or premium.
Foreign Currency Translation and Foreign Currency Exchange Contracts
The Trust's investment valuations, other assets, and liabilities initially
expressed in foreign currencies are converted each business day into U.S.
dollars based upon current exchange rates determined prior to the close of the
NYSE. Purchases and sales of foreign investments and income and expenses are
converted into U.S. dollars based upon currency exchange rates prevailing on the
respective dates of such transactions. Gains and losses attributable to changes
in foreign currency exchange rates are recorded for financial statement purposes
as net realized gains and losses on investments and foreign currency
transactions.
A foreign currency exchange contract (FCEC) is a commitment to purchase or sell
a specified amount of foreign currency at the settlement date at a specified
rate. FCECs are used to hedge against foreign exchange rate risk arising from a
Portfolio's investment or anticipated investment in securities denominated in
foreign
78
<PAGE> 83
- --------------------------------------------------------------------------------
currencies. Risks may arise upon entering into FCECs from the potential
inability of counterparties to meet the terms of their contracts. Also, when
utilizing FCECs a Portfolio gives up the opportunity to profit from favorable
exchange rate movements during the term of the contract. FCECs are
marked-to-market daily at the applicable exchange rates and any gains or losses
are recorded as unrealized until the contract settlement date.
Futures and Options
Certain Portfolios, as permitted by the Trust's prospectus, may enter into
futures contracts and purchase and write both put and call options. Futures
contracts provide for the future sale by one party and purchase by another of a
specified amount of a financial instrument at an agreed upon price and date. Put
and call options give the holder the right to sell or purchase, respectively, a
specified amount of a security or currency at a specified price on a certain
date. For both futures and options, risks arise from possible illiquidity and
from movements in security values, interest rates or currency values.
Futures and purchased options are valued based on their quoted daily settlement
prices. The premium received for a written option is recorded as an asset with
an equal liability which is marked-to-market based on the option's quoted daily
settlement price. Fluctuations in the value of futures and options are recorded
as unrealized appreciation (depreciation) until terminated, at which time
realized gains (losses) are recognized.
Investment Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and
losses from security transactions are recognized on the FIFO cost basis.
Dividend income is recognized on the ex-dividend date. Interest income is
accrued daily. Gains or losses on premiums from expired options are recognized
on the date of expiration.
Dividends and Distributions to Shareholders
All Portfolios other than Money Market: Dividends and distributions arising from
net investment income and net short-term and long-term capital gains, if any,
are declared and paid annually.
Money Market: Dividends from net investment income are declared daily and paid
monthly, and capital gains, if any, are declared and paid annually.
Organization Costs
The Trust bears all costs in connection with its organization, including the
initial fees and expenses of registering and qualifying its shares for
distribution under federal and state securities regulations. All such costs are
being amortized on a straight-line basis over a period of five years from May 1,
1992.
Tax Matters
It is the Trust's policy to comply with the requirements of the Internal Revenue
Code pertaining to regulated investment companies and to distribute all of its
taxable income, as well as any net realized gains to its shareholders.
Therefore, no federal income tax provision has been made. Foreign taxes have
been provided for dividend and interest income earned on foreign investments in
accordance with the applicable country's tax rates and, to the extent
unrecoverable, are recorded as a reduction of investment income.
2. INVESTMENT MANAGEMENT AGREEMENTS,
INVESTMENT SUB-ADVISORY
AGREEMENTS AND TRANSACTIONS
WITH AFFILIATES
The Portfolios have entered into Investment Management Agreements with American
Skandia Investment Services, Inc. ("Investment Manager") which provide that the
Investment Manager will furnish each Portfolio with investment advice and
investment management
79
<PAGE> 84
- --------------------------------------------------------------------------------
and administrative services. The Investment Manager has engaged the following
entities as sub-advisors for their respective Portfolios: Seligman Henderson
Co., a joint venture between J. & W. Seligman & Co. Incorporated and Henderson
International, Inc. for Henderson and Small Cap, Lord Abbett & Co. for Lord
Abbett, Janus Capital Corporation for JanCap, J. P. Morgan Investment Management
Inc. for Money Market, Federated Investment Counseling for Federated and High
Yield, Phoenix Investment Counsel, Inc. for Balanced, T. Rowe Price Associates,
Inc. for Asset Allocation and Natural Resources, Pacific Investment Management
Co. for PIMCO and Limited Maturity, INVESCO Trust Co. for INVESCO, Founders
Asset Management, Inc. for Founders, Rowe Price-Fleming International, Inc., a
United Kingdom Corporation, for T. Rowe and International Bond, Berger
Associates, Inc. for Berger, and Robertson, Stephens & Company Investment
Management, L.P. for Robertson Stephens. The Investment Manager receives a fee
computed daily and paid monthly based on an annual rate of 1.00%, .75%, .90%,
.50%, .75%, .75%, .75%, .85%, .65%, .75%, .90%, 1.00%, .80%, .75%, 1.00%, .90%,
.65%, and 1.00% of the average daily net assets of the Henderson, Lord Abbett,
JanCap, Money Market, Federated, Balanced, High Yield, Asset Allocation, PIMCO,
INVESCO, Founders, T. Rowe, International Bond, Berger, Small Cap, Natural
Resources, Limited Maturity, and Robertson Stephens Portfolios, respectively.
The fees for Federated are at the rate of .60% for average daily net assets in
excess of $50,000,000 and for Balanced are at the rate of .65% for average daily
net assets in excess of $75,000,000. The Investment Manager is currently
voluntarily waiving .15% of its fee for Henderson on average daily net assets in
excess of $75,000,000, and .05% of its fee for Money Market.
The Investment Manager pays each sub-advisor a fee computed daily and payable
monthly based on an annual rate of 1.00%, .50%, .60%, .25%, .50%, .50%, .50%,
.50%, .30%, .50%, .65%, .75%, .40%, .55%, .60%, .60%, .30%, and .60% of the
average daily net assets of the Henderson, Lord Abbett, JanCap, Money Market,
Federated, Balanced, High Yield, Asset Allocation, PIMCO, INVESCO, Founders, T.
Rowe, International Bond, Berger, Small Cap, Natural Resources, Limited
Maturity, and Robertson Stephens Portfolios, respectively. The sub-advisors for
Henderson and Money Market are currently voluntarily waiving portions of the
fees payable to them by the Investment Manager. The annual rates of the fees
payable by the Investment Manager to the sub-advisors of all Portfolios, other
than International Bond, are reduced for Portfolio net assets in excess of
specified levels.
On April 12, 1996, the shareholders of the AST Scudder International Bond
Portfolio approved a new Investment Management Agreement which, effective May 1,
1996, reduced the Investment Manager's fee to an annual rate of .80% of the
Portfolio's average daily net assets from the previous annual rate of 1.00%.
Also on April 12, 1996, the Portfolio's shareholders approved a Sub-Advisory
Agreement under which Rowe Price-Fleming International, Inc., became sub-advisor
to the Portfolio, effective May 1, 1996, for a fee paid by the Investment
Manager at an annual rate of .40% of the Portfolio's average daily net assets.
Prior to May 1, 1996, Scudder, Stephens & Clark, Inc. served as sub-advisor for
an annual rate of .60% of the average daily net assets of the Portfolio.
Effective May 1, 1996, the name of the Portfolio was changed to the "T. Rowe
Price International Bond Portfolio."
The Investment Manager has agreed to reimburse each Portfolio for the amount, if
any, by which the total operating and management expenses (after fee waivers and
expense reimbursements) of the Portfolio for any fiscal year exceed the most
restrictive state blue sky expense limitation in effect from time to time, to
the extent required by such limitation. The Investment Management Agreement with
each Portfolio also provides that the Investment Manager will reimburse the
80
<PAGE> 85
- --------------------------------------------------------------------------------
Portfolio to prevent its expenses from exceeding a specific percentage limit.
During the six months ended June 30, 1996, the Investment Manager reimbursed
Money Market and Natural Resources for expenses pursuant to those provisions.
The Trust has entered into an agreement for the sale of shares with American
Skandia Life Assurance Corporation ("ASLAC") pursuant to which it will pay ASLAC
a shareholder servicing fee at an annual rate of .10% of each Portfolio's
average daily net assets.
Certain officers and/or Trustees of the Trust are also officers and/or directors
of the Investment Manager. During the six months ended June 30, 1996, the Trust
made no direct payments to its officers or interested Trustees.
3. PURCHASES AND SALES OF SECURITIES
The cost of security purchases and proceeds from the sales of securities,
excluding short-term obligations, during the six months ended June 30, 1996 were
($ in thousands): $117,577 and $71,066 for Henderson, $191,842 and $66,081 for
Lord Abbett, $423,041 and $325,164 for JanCap, $55,552 and $45,473 for
Federated, $278,460 and $203,368 for Balanced, $64,264 and $24,857 for High
Yield, $40,226 and $18,389 for Asset Allocation, $999,047 and $755,890 for
PIMCO, $119,361 and $56,071 for INVESCO, $89,348 and $47,062 for Founders,
$120,458 and $16,599 for T. Rowe, $79,074 and $59,411 for International Bond,
$111,799 and $34,753 for Berger, $53,558 and $4,111 for Small Cap, $27,877 and
$5,577 for Natural Resources, $364,423 and $254,856 for Limited Maturity and
$4,696 and $111 for Robertson Stephens.
4. TAX COST OF INVESTMENTS AND CAPITAL LOSS CARRYOVERS
At June 30, 1996, the net unrealized appreciation (depreciation) based on the
cost of investments for federal income tax purposes was as follows ($ in
thousands):
<TABLE>
<CAPTION>
TAX NET UNREALIZED
COST OF APPRECIATED DEPRECIATED APPRECIATION
INVESTMENTS SECURITIES SECURITIES (DEPRECIATION)
----------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
Henderson.............. $ 281,042 $ 39,371 $(8,054) $ 31,317
Lord Abbett............ 344,097 37,259 (4,582) 32,677
JanCap................. 498,676 130,760 (8,557) 122,203
Money Market........... 571,977 -- -- --
Federated.............. 112,871 12,258 (1,257) 11,001
Balanced............... 253,020 14,199 (3,737) 10,462
High Yield............. 122,304 2,420 (2,208) 212
Asset Allocation....... 81,288 6,248 (1,593) 4,655
PIMCO.................. 396,901 4,494 (1,108) 3,386
INVESCO................ 212,973 27,484 (3,816) 23,668
Founders............... 127,139 31,376 (4,229) 27,147
T. Rowe................ 268,147 34,915 (6,321) 28,594
International Bond..... 59,756 991 (1,243) (252)
Berger................. 73,793 12,126 (1,473) 10,653
Small Cap.............. 73,694 8,125 (1,564) 6,561
Natural Resources...... 31,031 2,419 (732) 1,687
Limited Maturity....... 195,811 289 (3,054) (2,765)
Robertson Stephens..... 5,227 73 (171) (98)
</TABLE>
At December 31, 1995, for federal income tax purposes, capital loss carryovers
which may be applied against future net taxable realized gains of each
succeeding year until the earlier of utilization or expiration in 2002 were ($
in thousands): $2,704 for Federated, $26 for High Yield and $9 for Berger.
Capital loss carryovers that expire in 2003 were ($ in thousands): $418 for T.
Rowe, $195 for Berger and $14 for Small Cap.
81
<PAGE> 86
- --------------------------------------------------------------------------------
5. OPTION AND FUTURES TRANSACTIONS
Option and futures transactions entered into during the six months ended June
30, 1996, are summarized as follows ($ in thousands):
<TABLE>
<CAPTION>
PIMCO INTERNATIONAL BOND
------------------------ ------------------------
NUMBER NUMBER
OF CONTRACTS PREMIUM OF CONTRACTS PREMIUM
------------ ------- ------------ -------
<S> <C> <C> <C>
WRITTEN PUT OPTION TRANSACTIONS
Balance at beginning
of period............ 80 $ 32 64 $ 71
Written............... 562 585 243 224
Expired............... (80) (32) (177) (186)
Exercised............. (100) (115) -- --
Closing buys.......... (200) (230) (130) (109)
----- ------ ----- -----
Balance at end of
period............... 262 $ 240 -- $ --
===== ====== ===== =====
</TABLE>
<TABLE>
<CAPTION>
LIMITED MATURITY
------------------------
NUMBER
OF CONTRACTS PREMIUM
------------ -------
<S> <C> <C>
WRITTEN PUT OPTION TRANSACTIONS
Balance at beginning of period................ -- $ --
Written....................................... 43 17
Expired....................................... -- --
Exercised..................................... -- --
Closing buys.................................. -- --
--- ---
Balance at end of period...................... 43 $ 17
=== ===
</TABLE>
<TABLE>
<CAPTION>
PIMCO LIMITED MATURITY
------------------------ -----------------------
NUMBER CONTRACT NUMBER CONTRACT
OF CONTRACTS VALUE OF CONTRACTS VALUE
------------ --------- ------------ --------
<S> <C> <C> <C> <C>
FUTURES TRANSACTIONS
Balance at beginning of
period.................. 710 $ 83,353 110 $ 12,103
Opened................... 2,165 265,950 130 13,908
Closed................... (2,040) (234,402) (220) (23,900)
------- ---------- ----- --------
Balance at end of
period.................. 835 $ 114,901 20 $ 2,111
======= ========== ===== ========
</TABLE>
82
<PAGE> 87
<TABLE>
<S> <C>
American Skandia Life --------------------
Assurance Corporation
Tower One Corporate Drive BULK RATE
Shelton, CT 06484 U.S. POSTAGE
PAID
NEW YORK, NY
PERMIT NO. 8048
--------------------
</TABLE>
