<PAGE> 1
AMERICAN
SKANDIA
TRUST
-----------------------------------------------
SEMIANNUAL REPORT
-----------------------------------------------
JUNE 30, 1998
(UNAUDITED)
<PAGE> 2
AMERICAN SKANDIA TRUST
SCHEDULES OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
LORD ABBETT GROWTH AND INCOME PORTFOLIO
JANCAP GROWTH PORTFOLIO
AST MONEY MARKET PORTFOLIO
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
AST PUTNAM BALANCED 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
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
FOUNDERS PASSPORT PORTFOLIO
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
PIMCO LIMITED MATURITY BOND PORTFOLIO
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
AST JANUS OVERSEAS GROWTH PORTFOLIO
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
MARSICO CAPITAL GROWTH PORTFOLIO
COHEN & STEERS REALTY PORTFOLIO
LORD ABBETT SMALL CAP VALUE PORTFOLIO
BANKERS TRUST ENHANCED 500 PORTFOLIO
STEIN ROE VENTURE PORTFOLIO
<PAGE> 3
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 94.6%
AUSTRALIA -- 0.4%
QBE Insurance Group Ltd. ......... 604,356 $ 2,133,206
------------
BRAZIL -- 0.8%
Telecomunicacoes de Sao Paulo
SA.............................. 10,600 2,492,802
Telecomunicacoes de Sao Paulo SA
Rights*......................... 498 41
Telesp Celular SA Pfd. Cl-B*...... 17,800 1,477,421
------------
3,970,264
------------
CANADA -- 6.4%
Bank of Nova Scotia............... 311,067 7,699,783
BCE, Inc. ........................ 219,874 9,322,524
BCE Mobile Communications,
Inc. ........................... 82,400 2,143,295
BCE Mobile Communications, Inc.
144A............................ 4,900 127,453
Bombardier, Inc. Cl-B............. 182,300 4,958,723
National Bank of Canada........... 211,241 4,129,897
Northern Telecom Ltd. ............ 83,400 4,729,936
------------
33,111,611
------------
DENMARK -- 0.4%
Unidanmark AS Cl-A................ 21,100 1,896,141
------------
FINLAND -- 2.5%
Huhtamaki Co. .................... 22,000 1,251,075
Nokia Oyj Cl-A.................... 149,668 11,007,247
Sampo Insurance Co. Ltd. Cl-A..... 16,900 800,878
------------
13,059,200
------------
FRANCE -- 15.1%
Alcatel Alsthom................... 23,980 4,882,440
Assurances Generales de France*... 56,338 3,187,750
Banque Nationale de Paris......... 122,577 10,015,339
Bouygues SA....................... 24,345 4,421,217
Credit Commercial de France....... 37,750 3,178,077
Michelin C.G.D.E. Cl-B............ 111,560 6,439,670
Scor SA........................... 122,600 7,776,524
Societe Generale.................. 46,088 9,581,927
Societe Nationale Elf Aquitaine
SA.............................. 36,676 5,156,210
Societe Television Francaise...... 31,792 4,927,052
STMicroelectronics NV [ADR]*...... 81,710 5,709,486
Total SA Cl-B..................... 8,232 1,070,182
Vivendi........................... 53,874 11,503,637
------------
77,849,511
------------
GERMANY -- 8.0%
Bayer AG.......................... 71,546 3,690,206
Bayerische Motoren Werke AG....... 5,395 5,442,732
Bayerische Motoren Werke AG
(New)*.......................... 1,354 1,346,277
Bayerische Vereinsbank AG......... 18,560 1,578,345
Deutsche Bank AG.................. 80,043 6,778,044
Deutsche Lufthansa AG............. 209,800 5,265,253
Deutsche Telekom AG............... 138,060 3,724,881
Mannesmann AG..................... 84,070 8,639,737
Veba AG........................... 71,635 4,881,418
------------
41,346,893
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
GREECE -- 0.3%
Hellenic Telecommunication
Organization SA................. 51,217 $ 1,312,913
------------
HONG KONG -- 1.2%
China Telecom Ltd. ............... 1,889,000 3,278,930
Dao Heng Bank Group Ltd. ......... 214,500 304,507
Guoco Group Ltd. ................. 522,000 549,043
Smartone Telecommunications....... 588,000 1,434,224
Smartone Telecommunications
144A............................ 239,000 582,959
------------
6,149,663
------------
IRELAND -- 4.2%
Allied Irish Banks PLC............ 511,917 7,390,318
Bank of Ireland PLC............... 374,011 7,642,672
CRH PLC........................... 470,177 6,669,689
------------
21,702,679
------------
ITALY -- 1.8%
Telecom Italia SPA................ 1,279,051 9,415,421
------------
JAPAN -- 8.3%
Canon, Inc. ...................... 187,000 4,244,334
Circle K Japan Co. Ltd. .......... 6,000 208,812
Fuji Photo Film Co. .............. 75,000 2,610,152
Fujitsu Ltd. ..................... 176,000 1,851,497
Honda Motor Co. Ltd. ............. 53,000 1,886,515
Mabuchi Motor Co. Ltd. ........... 27,000 1,712,000
Matsushita-Kotobuki Electronics
Industries Ltd. ................ 57,000 1,421,047
Mitsumi Electric Co. Ltd. ........ 106,000 1,871,239
Nikko Securities Co. Ltd. ........ 1,904,000 7,888,459
Nippon Television Network
Corp. .......................... 7,670 2,221,666
Promise Co. Ltd. ................. 59,700 2,456,223
Ricoh Co. Ltd. ................... 245,000 2,579,133
Shiseido Co. Ltd. ................ 126,000 1,430,817
Sony Corp. ....................... 118,400 10,194,760
------------
42,576,654
------------
KOREA -- 1.0%
Korea Electric Power Corp. ....... 499,000 5,324,359
------------
MEXICO -- 0.5%
Coca-Cola Femsa SA [ADR].......... 154,000 2,675,750
------------
NETHERLANDS -- 8.0%
ABN AMRO Holding NV............... 213,744 5,001,531
AKZO Nobel NV..................... 35,526 7,897,306
Gucci Group NV.................... 2,000 106,000
ING Groep NV...................... 207,340 13,576,549
KNP NV............................ 28,864 1,111,016
Royal Philips Electronics NV...... 110,170 9,261,078
TNT Post Group NV*................ 28,864 737,840
Vedior NV......................... 54,136 1,530,224
Vendex NV......................... 54,860 2,063,095
------------
41,284,639
------------
POLAND -- 0.1%
Bank Handlowy W Warszawie 144A*... 24,900 473,598
------------
</TABLE>
1
<PAGE> 4
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PORTUGAL -- 1.0%
Cimpor-Cimentos de Portugal SA.... 45,400 $ 1,595,095
Electricidade de Portugal SA...... 156,974 3,649,016
------------
5,244,111
------------
SINGAPORE -- 1.8%
Developmental Bank of Singapore
Ltd. ........................... 314,200 1,738,860
Overseas -- Chinese Banking Corp.
Ltd. ........................... 998,000 3,396,607
Overseas Union Bank Ltd. ......... 904,000 1,979,781
United Overseas Bank Ltd. ........ 657,000 2,041,605
------------
9,156,853
------------
SPAIN -- 1.2%
Telefonica SA..................... 133,877 6,200,195
------------
SWEDEN -- 5.3%
Ericsson, (L.M.) Telephone Co.
Cl-B............................ 190,568 5,567,727
Fastighets AB Balder*............. 81,156 81,411
ForeningsSparbanken AB............ 102,760 3,092,483
Nordbanken Holding Co. AB*........ 433,114 3,177,094
Pharmacia & Upjohn, Inc. ......... 200,460 9,224,988
Svenska Handelsbanken Cl-A........ 81,156 3,765,255
Volvo AB Cl-B..................... 86,376 2,572,342
------------
27,481,300
------------
SWITZERLAND -- 10.9%
Edipresse S.A. Bearer............. 3,167 870,669
Fischer, (Georg) AG............... 8,740 3,399,635
Julius Baer Holdings AG Cl-B...... 2,318 7,251,343
Liechtenstein Global Trust AG..... 1,943 2,126,423
Nestle SA......................... 5,947 12,726,684
Novartis AG....................... 4,404 7,328,338
Publicitas Holdings SA............ 9,886 3,063,284
Sairgroup......................... 3,710 1,220,515
UBS AG*........................... 37,075 13,785,708
Zurich
Versicherungs-Gesellschaft...... 6,432 4,104,783
------------
55,877,382
------------
UNITED KINGDOM -- 15.4%
Avis Europe PLC................... 572,505 2,583,886
B.A.T. Industries PLC............. 919,822 9,208,349
Bass PLC.......................... 276,133 5,173,981
British Airways PLC............... 480,976 5,204,274
British Petroleum Co. PLC......... 105,200 1,534,103
Dixons Group PLC.................. 291,300 2,354,838
Glaxo Wellcome PLC................ 134,081 4,024,622
Granada Group PLC................. 276,200 5,087,676
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
Molins PLC........................ 84,700 $ 304,549
National Westminster Bank PLC..... 335,271 5,991,178
Orange PLC*....................... 383,800 4,066,356
Premier Farnell PLC............... 45,000 229,002
Rio Tinto PLC..................... 267,500 3,012,689
Securicor PLC..................... 848,500 6,951,205
Siebe PLC......................... 244,724 4,895,787
Smith Industries PLC.............. 329,900 4,568,642
SmithKline Beecham PLC............ 556,600 6,774,781
Tomkins PLC....................... 188,890 1,025,069
Vodafone Group PLC................ 495,973 6,297,518
------------
79,288,505
------------
TOTAL FOREIGN STOCK (COST
$397,207,783)....................... 487,530,848
------------
COMMON STOCK -- 0.5%
INSURANCE -- 0.2%
AFLAC, Inc. ...................... 31,200 945,750
------------
TELECOMMUNICATIONS -- 0.3%
DSC Communications Corp.*......... 56,000 1,680,000
------------
TOTAL COMMON STOCK (COST
$2,558,856)......................... 2,625,750
------------
PAR
(000)
---------
<S> <C> <C>
COMMERCIAL PAPER -- 2.9%
Delaware Funding Corp. 5.68%,
07/08/98........................ $ 5,000 4,994,478
Merrill Lynch & Co., Inc. 5.63%,
07/08/98........................ 10,000 9,989,053
------------
(COST $14,983,531)................ 14,983,531
------------
REPURCHASE AGREEMENTS -- 2.1%
J.P. Morgan Securities, Inc.,
5.75%, dated 06/30/98, maturing
07/01/98, repurchase price
$10,455,670 (Collateralized by
U.S. Treasury Bonds, par value
$9,056,000, market value
$10,717,335, due 08/15/25) (COST
$10,454,000).................... 10,454 10,454,000
------------
TOTAL INVESTMENTS -- 100.1% (COST
$425,204,170)....................... 515,594,129
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.1%).................... (333,867)
------------
NET ASSETS -- 100.0%.................. $515,260,262
============
</TABLE>
2
<PAGE> 5
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy CAD 400,391 $ 272,412 $ 272,293 $ (119)
07/98 Buy CHF 2,201,675 1,443,141 1,451,738 8,597
07/98 Buy DEM 454,303 250,429 251,719 1,290
07/98 Buy FRF 5,840,314 967,520 967,556 36
10/98 Buy GBP 10,520,000 17,113,147 17,435,404 322,257
07/98 Buy ITL 2,754,709,136 1,549,039 1,549,711 672
07/98 Buy JPY 10,059,798 72,435 72,517 82
07/98 Buy PTE 420,970,000 2,271,707 2,279,176 7,469
07/98 Buy SEK 19,034,441 2,386,425 2,386,803 378
----------- ----------- --------
$26,326,255 $26,666,917 $340,662
=========== =========== ========
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE DELIVER FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell ATS 7,866,880 $ 620,190 $ 619,844 $ 346
07/98 Sell CHF 206,029 135,590 135,873 (283)
07/98 Sell ESP 50,429,977 328,705 329,414 (709)
07/98 Sell FRF 1,227,069 203,322 203,287 35
07/98 Sell GBP 3,544,214 5,912,071 5,912,576 (505)
07/98 Sell HKD 485,700 62,681 62,667 14
07/98 Sell JPY 104,681,503 736,092 754,385 (18,293)
09/98 Sell JPY 5,199,787,000 36,904,993 37,889,747 (984,754)
07/98 Sell SGD 1,036,634 615,786 613,453 2,333
----------- ----------- -----------
$45,519,430 $46,521,246 $(1,001,816)
=========== =========== ===========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* 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.
See Notes to Financial Statements.
3
<PAGE> 6
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 95.3%
AEROSPACE -- 0.6%
United Technologies Corp. ..... 70,000 $ 6,475,000
--------------
AIRLINES -- 2.0%
Delta Air Lines, Inc. ......... 90,000 11,632,500
US Airways Group, Inc.*........ 140,000 11,095,000
--------------
22,727,500
--------------
AUTOMOBILE MANUFACTURERS -- 1.8%
Ford Motor Co. ................ 100,000 5,900,000
General Motors Corp. .......... 210,000 14,030,625
--------------
19,930,625
--------------
CHEMICALS -- 3.6%
Dow Chemical Co. .............. 125,000 12,085,937
Du Pont, (E.I.) de Nemours &
Co. ......................... 190,000 14,178,750
Lyondell Petrochemical Co. .... 270,000 8,218,125
Rohm & Haas Co. ............... 55,000 5,716,562
--------------
40,199,374
--------------
CLOTHING & APPAREL -- 2.4%
Liz Claiborne, Inc. ........... 260,000 13,585,000
VF Corp. ...................... 250,000 12,875,000
--------------
26,460,000
--------------
COMPUTER HARDWARE -- 5.9%
Compaq Computer Corp. ......... 235,000 6,668,125
EMC Corp.*..................... 260,000 11,651,250
Hewlett-Packard Co. ........... 210,000 12,573,750
International Business
Machines Corp. .............. 220,000 25,258,750
Seagate Technology, Inc.*...... 400,000 9,525,000
--------------
65,676,875
--------------
COMPUTER SERVICES & SOFTWARE -- 1.7%
First Data Corp. .............. 170,000 5,663,125
Sun Microsystems, Inc.*........ 310,000 13,465,625
--------------
19,128,750
--------------
CONSUMER PRODUCTS & SERVICES -- 4.6%
Corning, Inc. ................. 210,000 7,297,500
Eastman Kodak Co. ............. 170,000 12,420,625
Fortune Brands, Inc. .......... 390,000 14,990,625
International Flavors &
Fragrances, Inc. ............ 130,000 5,646,875
Whirlpool Corp. ............... 150,000 10,312,500
--------------
50,668,125
--------------
CONTAINERS & PACKAGING -- 0.9%
Crown Cork & Seal Co., Inc. ... 210,000 9,975,000
--------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.3%
Emerson Electric Co. .......... 420,000 25,357,500
--------------
ENVIRONMENTAL SERVICES -- 1.0%
USA Waste Services, Inc.*...... 220,000 10,862,500
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 7.2%
Banc One Corp. ................ 440,000 $ 24,557,500
BankAmerica Corp. ............. 125,000 10,804,687
BankBoston Corp. .............. 100,000 5,562,500
Bankers Trust Corp. ........... 30,000 3,481,875
Chase Manhattan Corp. ......... 160,000 12,080,000
First Union Corp. ............. 220,000 12,815,000
Mellon Bank Corp. ............. 150,000 10,443,750
--------------
79,745,312
--------------
FINANCIAL SERVICES -- 3.2%
Morgan Stanley, Dean Witter &
Co. ......................... 260,000 23,757,500
Washington Mutual, Inc. ....... 262,500 11,402,344
--------------
35,159,844
--------------
FOOD -- 6.8%
Archer-Daniels-Midland Co. .... 540,000 10,462,500
Bestfoods, Inc. ............... 220,000 12,773,750
ConAgra, Inc. ................. 360,000 11,407,500
Heinz, (H.J.) Co. ............. 275,000 15,434,375
Ralston Purina Group........... 100,000 11,681,250
Sara Lee Corp. ................ 240,000 13,425,000
--------------
75,184,375
--------------
HEALTHCARE SERVICES -- 1.2%
Columbia HCA Healthcare
Corp. ....................... 200,000 5,825,000
United Healthcare Corp. ....... 120,000 7,620,000
--------------
13,445,000
--------------
INSURANCE -- 10.7%
Allstate Corp. ................ 125,000 11,445,313
American General Corp. ........ 340,000 24,203,750
Chubb Corp. ................... 300,000 24,112,500
CIGNA Corp. ................... 155,000 10,695,000
Jefferson-Pilot Corp. ......... 175,000 10,139,063
Progressive Corp. ............. 70,000 9,870,000
St. Paul Companies, Inc. ...... 340,000 14,301,250
Transamerica Corp. ............ 120,000 13,815,000
--------------
118,581,876
--------------
MACHINERY & EQUIPMENT -- 2.2%
Deere & Co. ................... 460,000 24,322,500
--------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.0%
Baxter International, Inc. .... 410,000 22,063,125
--------------
OIL & GAS -- 9.1%
British Petroleum Co. PLC
[ADR]........................ 250,000 22,062,500
Coastal Corp. ................. 210,000 14,660,625
Consolidated Natural Gas
Co. ......................... 110,000 6,476,250
ENI Co. SPA [ADR].............. 240,000 15,600,000
Mobil Corp. ................... 260,000 19,922,500
Occidental Petroleum Corp. .... 499,965 13,499,055
Sonat, Inc. ................... 220,000 8,497,500
--------------
100,718,430
--------------
</TABLE>
4
<PAGE> 7
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 4.4%
Bowater, Inc. ................. 220,000 $ 10,395,000
Fort James Corp. .............. 410,000 18,245,000
Georgia Pacific Group.......... 102,700 6,052,881
Georgia Pacific Timber Group... 200,000 4,612,500
Kimberly-Clark Corp. .......... 210,000 9,633,750
--------------
48,939,131
--------------
PHARMACEUTICALS -- 3.0%
American Home Products
Corp. ....................... 300,000 15,525,000
Pharmacia & Upjohn, Inc. ...... 220,000 10,147,500
SmithKline Beecham PLC [ADR]... 120,000 7,260,000
--------------
32,932,500
--------------
PRINTING & PUBLISHING -- 1.0%
Dow Jones & Co., Inc. ......... 210,000 11,707,500
--------------
RETAIL & MERCHANDISING -- 5.5%
May Department Stores Co. ..... 280,000 18,340,000
Penney, (J.C.) Co., Inc. ...... 175,000 12,654,688
Toys 'R' Us, Inc.*............. 74,400 1,753,050
Wal-Mart Stores, Inc. ......... 460,000 27,945,000
--------------
60,692,738
--------------
TELECOMMUNICATIONS -- 6.2%
AT&T Corp. .................... 425,000 24,278,125
Bell Atlantic Corp. ........... 260,000 11,862,500
SBC Communications, Inc. ...... 430,000 17,200,000
WorldCom, Inc.*................ 310,000 15,015,625
--------------
68,356,250
--------------
UTILITIES -- 6.0%
Baltimore Gas & Electric
Co. ......................... 239,600 7,442,575
Carolina Power & Light Co. .... 360,000 15,615,000
Duke Energy Corp. ............. 280,000 16,590,000
FirstEnergy Corp............... 420,000 12,915,000
FPL Group, Inc. ............... 215,000 13,545,000
--------------
66,107,575
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TOTAL COMMON STOCK
(COST $886,331,968).............. $1,055,417,405
--------------
PREFERRED STOCK -- 2.0%
INSURANCE -- 1.3%
Aetna, Inc. Cl-C 6.25%......... 200,000 15,025,000
--------------
UTILITIES -- 0.7%
Houston Industries, Inc.
7.00%........................ 100,000 7,450,000
--------------
TOTAL PREFERRED STOCK
(COST $22,832,642)............... 22,475,000
--------------
SHORT-TERM INVESTMENTS -- 2.9%
Temporary Investment Cash Fund... 16,114,129 16,114,129
Temporary Investment Fund...... 16,114,129 16,114,129
--------------
(COST $32,228,258)............. 32,228,258
--------------
TOTAL INVESTMENTS -- 100.2%
(COST $941,392,868).............. 1,110,120,663
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.2%)........... (2,867,479)
--------------
NET ASSETS -- 100.0%............... $1,107,253,184
==============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
5
<PAGE> 8
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 88.6%
AIRLINES -- 0.2%
UAL Corp.*..................... 42,760 $ 3,335,280
--------------
BEVERAGES -- 6.0%
Coca-Cola Co. ................. 497,200 42,510,600
Coca-Cola Enterprises, Inc. ... 2,327,015 91,335,339
--------------
133,845,939
--------------
CHEMICALS -- 5.3%
Cytec Industries, Inc.*........ 743,950 32,919,787
Monsanto Co. .................. 1,534,180 85,722,307
--------------
118,642,094
--------------
COMPUTER HARDWARE -- 7.7%
Dell Computer Corp.*........... 1,871,080 173,659,612
--------------
COMPUTER SERVICES & SOFTWARE -- 21.1%
America Online, Inc.*.......... 1,443,560 153,017,360
Cisco Systems, Inc.*........... 985,160 90,696,292
EarthLink Network, Inc.*....... 125,000 9,593,750
Edwards, (J.D.) & Co.*......... 470,475 20,201,020
Intuit, Inc.*.................. 422,006 25,847,867
Microsoft Corp.*............... 1,577,900 171,004,912
Sapient Corp.*................. 68,000 3,587,000
--------------
473,948,201
--------------
CONGLOMERATES -- 1.2%
Textron, Inc................... 388,850 27,875,684
--------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 5.5%
AES Corp.*..................... 384,600 20,215,538
General Electric Co. .......... 931,550 84,771,050
Texas Instruments, Inc......... 296,650 17,298,403
--------------
122,284,991
--------------
ENTERTAINMENT & LEISURE -- 3.7%
Carnival Corp. Cl-A............ 500,000 19,812,500
Time Warner, Inc. ............. 748,815 63,976,882
--------------
83,789,382
--------------
FARMING & AGRICULTURE -- 0.4%
Delta & Pine Land Co. ......... 202,480 9,010,360
--------------
FINANCIAL-BANK & TRUST -- 4.3%
BankAmerica Corp. ............. 388,875 33,613,383
Citicorp....................... 311,160 46,440,630
Mercantile Bancorporation,
Inc.......................... 166,800 8,402,550
U.S. Bancorp................... 205,500 8,836,500
--------------
97,293,063
--------------
FINANCIAL SERVICES -- 9.2%
Fannie Mae..................... 971,065 58,992,199
Freddie Mac.................... 692,300 32,581,369
Merrill Lynch & Co., Inc....... 493,400 45,516,150
Morgan Stanley, Dean Witter &
Co........................... 502,995 45,961,168
Schwab, (Charles) Corp. ....... 735,510 23,904,075
--------------
206,954,961
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HOTELS & MOTELS -- 1.1%
Starwood Hotels & Resorts
[REIT]....................... 497,625 $ 24,041,508
--------------
INSURANCE -- 1.0%
Life Re Corp. ................. 260,000 21,320,000
--------------
PHARMACEUTICALS -- 13.4%
Lilly, (Eli) & Co.............. 1,132,170 74,793,981
Pfizer, Inc.................... 1,025,475 111,456,314
Warner-Lambert Co. ............ 1,658,775 115,077,516
--------------
301,327,811
--------------
RETAIL & MERCHANDISING -- 2.7%
Costco Companies, Inc.*........ 393,120 24,791,130
Meyer, (Fred), Inc.*........... 835,500 35,508,750
--------------
60,299,880
--------------
TELECOMMUNICATIONS -- 5.8%
Lucent Technologies, Inc....... 1,130,650 94,055,947
Qwest Communications
International, Inc.*......... 1,003,100 34,983,113
--------------
129,039,060
--------------
TOTAL COMMON STOCK
(COST $1,167,426,367)............ 1,986,667,826
--------------
FOREIGN STOCK -- 1.8%
AUTOMOBILE MANUFACTURERS
Porsche AG Pfd. -- (DEM)
(COST $8,294,264).............. 13,419 38,880,999
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
---------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 3.4%
ENTERTAINMENT & LEISURE -- 2.3%
Venetian Casino Resort LLC
Mtge. Notes
12.25%, 11/15/04............. $49,725 51,589,688
--------------
TELECOMMUNICATIONS -- 1.1%
Lenfest Communications, Inc.
Sr. Notes 7.625%, 02/15/08... 11,295 11,549,138
Lenfest Communications, Inc.
Sr. Sub. Notes 8.25%,
02/15/08..................... 12,480 13,041,600
--------------
24,590,738
--------------
TOTAL CORPORATE OBLIGATIONS
(COST $73,517,755)............... 76,180,426
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.2%
FEDERAL HOME LOAN MORTGAGE CORP.
5.43%, 07/20/98.................. 25,000 24,928,354
FEDERAL NATIONAL MORTGAGE
ASSOCIATION DISCOUNT NOTE 5.43%,
07/24/98......................... 25,000 24,913,271
--------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $49,841,625)............... 49,841,625
--------------
</TABLE>
6
<PAGE> 9
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
--------- --------------
<S> <C> <C>
COMMERCIAL PAPER -- 3.6%
C.I.T. Group Holdings, Inc.
6.10%, 07/01/98.............. $ 30,000 $ 30,000,000
Household Finance Corp.
6.00%, 07/01/98.............. 51,000 51,000,000
--------------
(COST $81,000,000)............. 81,000,000
--------------
SHARES
-----
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash
Fund......................... 56,165 56,165
Temporary Investment Fund...... 56,164 56,164
--------------
(COST $112,329)................ 112,329
--------------
TOTAL INVESTMENTS -- 99.6%
(COST $1,380,192,340)............ 2,232,683,205
OTHER ASSETS LESS
LIABILITIES -- 0.4%.............. 9,038,102
--------------
NET ASSETS -- 100.0%............... $2,241,721,307
==============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE DEPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy DEM 44,800,000 $24,917,456 $24,827,388 $ 90,068
=========== =========== =========
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE DELIVER FOR AT VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell DEM 67,000,000 $36,966,309 $37,144,299 $(177,990)
11/98 Sell DEM 45,000,000 25,300,076 25,137,558 162,518
----------- ----------- ---------
$62,266,385 $62,281,857 $ (15,472)
=========== =========== =========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
7
<PAGE> 10
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COMMERCIAL PAPER -- 45.7%
CHEMICALS -- 4.2%
Du Pont, (E.I.) de Nemours & Co.+
5.53%, 07/22/98.................. $35,000 $ 34,887,096
------------
FINANCIAL-BANK & TRUST -- 23.3%
Bank of New York
5.50%, 09/09/98.................. 24,500 24,237,986
5.49%, 09/21/98.................. 13,500 13,331,183
Barclays US Funding Corp.
5.51%, 07/23/98.................. 25,500 25,414,136
Commerzbank USA Finance, Inc.
5.53%, 07/23/98.................. 27,500 27,407,065
Generale Bank, Inc.
5.50%, 09/03/98.................. 20,000 19,804,444
Halifax PLC
5.48%, 09/21/98.................. 15,000 14,812,767
Suntrust Bank, Inc.
5.50%, 08/26/98.................. 20,000 19,828,889
5.49%, 09/09/98.................. 19,000 18,797,175
U.S. Bancorp
5.52%, 07/24/98.................. 12,735 12,690,088
Wachovia Bank NC
5.52%, 08/12/98.................. 15,500 15,400,180
------------
191,723,913
------------
FINANCIAL SERVICES -- 13.7%
Caisse D'Amortissement
de la Dette Sociale
5.37%, 08/03/98.................. 25,000 24,876,938
Diageo Capital PLC+
5.37%, 08/12/98.................. 15,000 14,906,025
Ford Motor Credit Corp.
5.49%, 07/08/98.................. 30,000 29,967,975
5.47%, 07/10/98.................. 5,000 4,993,163
Province of Quebec
5.48%, 12/30/98.................. 19,500 18,959,763
5.50%, 01/11/99.................. 20,000 19,407,222
------------
113,111,086
------------
OIL & GAS -- 0.2%
Koch Industries, Inc.
6.30%, 07/01/98.................. 1,803 1,803,000
------------
PHARMACEUTICALS -- 4.3%
Abbott Laboratories, Inc.
5.50%, 07/22/98.................. 35,000 34,887,708
------------
TOTAL COMMERCIAL PAPER
(COST $376,412,803).................. 376,412,803
------------
CORPORATE OBLIGATIONS -- 26.7%
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.0%
General Electric Co.
7.875%, 09/15/98................. 25,000 25,115,391
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 23.7%
Abbey National Treasury Services
PLC [FRN]
5.482%, 06/01/99................. $35,000 $ 34,965,166
American Express Centurion Bank
[FRN]
5.596%, 05/07/99................. 10,000 10,000,000
Bank of Nova Scotia
5.675%, 03/04/99................. 10,000 9,997,739
5.516%, 06/07/99 [FRN]........... 30,000 29,977,979
CoreStates Bank N.A. [FRN]
5.597%, 05/14/99................. 30,000 30,000,000
Key Bank N.A. [VR]
5.74%, 07/31/98.................. 25,000 24,998,597
Old Kent Bank [VR]
5.65%, 11/04/98.................. 25,000 25,000,000
Southtrust Bank N.A. [FRN]
5.55%, 06/01/99.................. 30,000 29,978,496
------------
194,917,977
------------
TOTAL CORPORATE OBLIGATIONS
(COST $220,033,368).................. 220,033,368
------------
CERTIFICATES OF DEPOSIT -- 21.5%
Abbey National Treasury Services
5.72%, 06/11/99.................. 5,000 4,997,284
Bank of America
5.63%, 02/26/99.................. 5,000 4,998,739
Bank of Boston N.A.
5.87%, 10/14/98.................. 15,000 14,997,936
Bankers Trust NY [VR]
5.74%, 07/07/98.................. 7,000 6,999,878
Bayerische Vereinsbank NY
5.75%, 05/07/99.................. 15,000 14,991,613
Commerzbank NY
5.67%, 03/05/99.................. 10,000 9,996,757
Deutsche Bank NY
5.73%, 04/15/99.................. 15,000 14,994,332
Harris Trust Bank
5.55%, 08/11/98.................. 20,000 20,000,000
5.57%, 08/25/98.................. 20,000 20,000,000
NationsBank Corp.
5.55%, 07/16/98.................. 25,000 25,000,000
5.60%, 09/04/98.................. 10,000 10,000,000
Rabobank Nederland NV NY
5.78%, 05/05/99.................. 10,000 9,996,590
Societe Generale NY [VR]
5.571%, 05/26/99................. 20,000 19,987,566
------------
(COST $176,960,695)................ 176,960,695
------------
</TABLE>
8
<PAGE> 11
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.2%
Greentree Steers Corp. [VR]
5.686%, 11/15/98................. $21,083 $ 21,078,724
The Money Store [VR]
5.682%, 11/15/98................. 21,831 21,830,363
------------
(COST $42,909,087)................. 42,909,087
------------
TOTAL INVESTMENTS -- 99.1% (COST
$816,315,953)........................ 816,315,953
OTHER ASSETS LESS
LIABILITIES -- 0.9%.................. 7,459,491
------------
NET ASSETS -- 100.0%................... $823,775,444
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
6.0% of net assets.
See Notes to Financial Statements.
9
<PAGE> 12
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 91.8%
AEROSPACE -- 2.3%
Boeing Co.......................... 50,000 $ 2,228,125
Raytheon Co. Cl-A.................. 47,600 2,742,950
------------
4,971,075
------------
AIRLINES -- 1.5%
Continental Airlines, Inc. Cl-B*... 43,000 2,617,625
Delta Air Lines, Inc............... 5,000 646,250
------------
3,263,875
------------
AUTOMOBILE MANUFACTURERS -- 1.6%
General Motors Corp. .............. 50,500 3,374,031
------------
AUTOMOTIVE PARTS -- 2.5%
Autozone, Inc.*.................... 29,000 926,187
Eaton Corp. ....................... 28,500 2,215,875
Goodyear Tire & Rubber Co. ........ 33,000 2,126,437
------------
5,268,499
------------
BEVERAGES -- 1.4%
Anheuser-Busch Companies, Inc...... 64,500 3,043,594
------------
BROADCASTING -- 1.5%
Scripps, (E.W.) Co. Cl-A........... 58,500 3,206,531
------------
BUILDING MATERIALS -- 0.8%
USG Corp.*......................... 33,500 1,813,187
------------
CHEMICALS -- 4.6%
Cabot Corp. ....................... 69,100 2,232,794
Du Pont, (E.I.) de Nemours &
Co. ............................. 25,000 1,865,625
Morton International, Inc. ........ 58,500 1,462,500
Praxair, Inc. ..................... 92,000 4,306,750
------------
9,867,669
------------
CLOTHING & APPAREL -- 0.8%
Unifi, Inc. ....................... 50,000 1,712,500
------------
COMPUTER HARDWARE -- 1.1%
Quantum Corp.*..................... 117,600 2,440,200
------------
CONGLOMERATES -- 2.9%
Minnesota Mining & Manufacturing
Co. ............................. 32,100 2,638,219
Philip Morris Companies, Inc. ..... 53,000 2,086,875
Tenneco, Inc. ..................... 39,500 1,503,469
------------
6,228,563
------------
CONSUMER PRODUCTS & SERVICES -- 1.8%
Raychem Corp. ..................... 57,600 1,702,800
UST, Inc. ......................... 81,000 2,187,000
------------
3,889,800
------------
CONTAINERS & PACKAGING -- 2.5%
Crown Cork & Seal Co., Inc. ....... 72,400 3,439,000
Owens-Illinois, Inc.*.............. 43,000 1,924,250
------------
5,363,250
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.2%
Teradyne, Inc.*.................... 77,300 2,067,775
Texas Instruments, Inc. ........... 47,500 2,769,844
------------
4,837,619
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 0.8%
Mirage Resorts, Inc.*.............. 85,000 $ 1,811,562
------------
ENVIRONMENTAL SERVICES -- 1.4%
Millipore Corp. ................... 26,200 713,950
Waste Management, Inc. ............ 67,200 2,352,000
------------
3,065,950
------------
FINANCIAL-BANK & TRUST -- 7.7%
Banc One Corp. .................... 75,800 4,230,587
Chase Manhattan Corp. ............. 55,000 4,152,500
Citicorp........................... 24,700 3,686,475
Countrywide Credit Industries,
Inc. ............................ 88,300 4,481,225
------------
16,550,787
------------
FINANCIAL SERVICES -- 3.3%
Nationwide Financial Services,
Inc. ............................ 54,500 2,779,500
SLM Holding Corp................... 89,000 4,361,000
------------
7,140,500
------------
FOOD -- 1.8%
ConAgra, Inc. ..................... 67,400 2,135,737
Nabisco Holdings Corp. Cl-A........ 46,600 1,680,512
------------
3,816,249
------------
HEALTHCARE SERVICES -- 1.3%
Wellpoint Health Networks, Inc.*... 39,000 2,886,000
------------
HOTELS & MOTELS -- 3.2%
Host Marriott Corp.*............... 205,500 3,660,469
Starwood Hotels & Resorts [REIT]... 65,000 3,140,312
------------
6,800,781
------------
INSURANCE -- 11.4%
Ace, Ltd. ......................... 49,200 1,918,800
Aetna, Inc. ....................... 43,900 3,341,887
Allstate Corp. .................... 38,600 3,534,312
AON Corp. ......................... 24,700 1,735,175
CIGNA Corp. ....................... 55,300 3,815,700
EXEL Ltd. ......................... 59,600 4,637,625
St. Paul Companies, Inc. .......... 70,000 2,944,375
Travelers Group, Inc. ............. 45,000 2,728,125
------------
24,655,999
------------
MACHINERY & EQUIPMENT -- 1.9%
Alstom SA [ADR]*................... 85,000 2,767,813
McDermott International, Inc. ..... 40,200 1,384,388
------------
4,152,201
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.1%
Baxter International, Inc. ........ 43,600 2,346,225
------------
METALS & MINING -- 1.0%
AK Steel Holding Corp. ............ 118,400 2,116,400
Nucor Corp. ....................... 1,900 87,400
------------
2,203,800
------------
</TABLE>
10
<PAGE> 13
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OIL & GAS -- 3.2%
Chevron Corp. ..................... 25,500 $ 2,118,094
Noble Affiliates, Inc. ............ 47,000 1,786,000
Unocal Corp. ...................... 71,000 2,538,250
YPF SA [ADR]....................... 14,000 420,875
------------
6,863,219
------------
PAPER & FOREST PRODUCTS -- 3.3%
Kimberly-Clark Corp. .............. 61,500 2,821,313
Mead Corp. ........................ 48,000 1,524,000
Union Camp Corp. .................. 19,900 987,538
Weyerhaeuser Co. .................. 38,000 1,755,125
------------
7,087,976
------------
PHARMACEUTICALS -- 1.8%
Biogen, Inc.*...................... 77,500 3,797,500
------------
REAL ESTATE -- 1.7%
Catellus Development Corp.*........ 86,000 1,521,125
Indymac Mortgage Holdings, Inc.
[REIT]........................... 93,000 2,115,750
------------
3,636,875
------------
RESTAURANTS -- 2.2%
McDonald's Corp. .................. 30,000 2,070,000
Tricon Global Restaurants, Inc.*... 82,000 2,598,375
------------
4,668,375
------------
RETAIL & MERCHANDISING -- 4.3%
Consolidated Stores Corp.*......... 63,500 2,301,875
Harcourt General, Inc. ............ 52,500 3,123,750
Sears, Roebuck & Co. .............. 62,500 3,816,406
------------
9,242,031
------------
SEMICONDUCTORS -- 2.5%
KLA-Tencor Corp.*.................. 42,800 1,185,025
Micron Technology, Inc.*........... 41,100 1,019,794
Motorola, Inc. .................... 35,900 1,886,994
National Semiconductor Corp.*...... 100,000 1,318,750
------------
5,410,563
------------
TELECOMMUNICATIONS -- 2.7%
MCI Communications Corp. .......... 30,000 1,743,750
SBC Communications, Inc. .......... 25,000 1,000,000
WorldCom, Inc.*.................... 64,000 3,100,000
------------
5,843,750
------------
TRANSPORTATION -- 1.4%
FDX Corp.*......................... 46,400 2,911,600
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES -- 6.3%
Edison International Co. .......... 95,000 $ 2,808,438
Enron Corp. ....................... 27,500 1,486,719
Illinova Corp. .................... 43,000 1,290,000
Niagara Mohawk Power Corp.*........ 97,100 1,450,431
PG&E Corp. ........................ 83,400 2,632,313
Unicom Corp. ...................... 109,300 3,832,331
------------
13,500,232
------------
TOTAL COMMON STOCK
(COST $204,016,856).................. 197,672,568
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
COMMERCIAL PAPER -- 6.9%
American Express Credit Corp.
5.75%, 07/06/98.................. $2,000 1,998,403
Bell Atlantic Network Funding, Inc.
5.56%, 07/28/98.................. 2,000 1,991,660
Eksportfinans ASA Corp.
5.80%, 07/06/98.................. 3,000 2,997,583
Ford Motor Credit Co.
5.46%, 07/15/98.................. 2,000 2,000,000
Goldman, Sachs & Co.
5.60%, 07/02/98.................. 2,500 2,499,611
Koch Industries, Inc.+
5.60%, 07/01/98.................. 2,500 2,500,000
Met Life Funding Corp. 5.53%,
07/10/98......................... 1,000 998,618
-----------
(COST $14,985,875)................. 14,985,875
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.6%
Temporary Investment Cash Fund... 1,688,658 1,688,658
Temporary Investment Fund........ 1,688,657 1,688,657
------------
(COST $3,377,315)................ 3,377,315
------------
TOTAL INVESTMENTS -- 100.3%
(COST $222,380,046)................ 216,035,758
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.3%)................... (669,741)
------------
NET ASSETS -- 100.0%................. $215,366,017
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
1.2% of net assets.
See Notes to Financial Statements.
11
<PAGE> 14
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 53.8%
ADVERTISING -- 0.2%
Omnicom Group, Inc. ............... 12,400 $ 618,450
------------
AEROSPACE -- 0.4%
Boeing Co. ........................ 33,330 1,485,268
------------
AIRLINES -- 0.3%
UAL Corp.*......................... 13,800 1,076,400
------------
AUTOMOBILE MANUFACTURERS -- 0.5%
Ford Motor Co. .................... 31,365 1,850,535
------------
AUTOMOTIVE PARTS -- 1.7%
Dana Corp. ........................ 33,920 1,814,720
Eaton Corp. ....................... 16,445 1,278,599
Goodyear Tire & Rubber Co. ........ 33,913 2,185,269
Lear Corp.*........................ 26,960 1,383,385
------------
6,661,973
------------
BEVERAGES -- 0.6%
Coca-Cola Enterprises, Inc. ....... 14,100 553,425
Coca-Cola Femsa SA [ADR]........... 1,200 20,850
PepsiCo, Inc. ..................... 42,545 1,752,322
------------
2,326,597
------------
BROADCASTING -- 0.4%
Chancellor Media Corp.*............ 12,850 638,083
Clear Channel Communications,
Inc.*............................ 4,200 458,325
Grupo Televisa SA [GDR]*........... 538 20,242
Sinclair Broadcasting Group, Inc.
Cl-A*............................ 14,800 425,500
------------
1,542,150
------------
BUSINESS SERVICES -- 0.2%
Accustaff, Inc.*................... 13,200 411,262
Robert Half International, Inc.*... 8,300 463,762
------------
875,024
------------
CHEMICALS -- 1.2%
Du Pont, (E.I.) de Nemours &
Co. ............................. 32,590 2,432,029
Eastman Chemical Co. .............. 21,277 1,324,493
Witco Corp. ....................... 35,963 1,051,918
------------
4,808,440
------------
CLOTHING & APPAREL -- 0.6%
Abercrombie & Fitch Co. Cl-A*...... 8,200 360,800
Cintas Corp. ...................... 8,400 428,400
Jones Apparel Group, Inc.*......... 13,400 489,937
Tommy Hilfiger, Corp.*............. 7,900 493,750
WestPoint Stevens, Inc.*........... 14,100 465,300
------------
2,238,187
------------
COMPUTER HARDWARE -- 1.5%
Hewlett-Packard Co. ............... 30,425 1,821,697
International Business Machines
Corp. ........................... 26,236 3,012,221
Seagate Technology, Inc.*.......... 56,600 1,347,787
------------
6,181,705
------------
COMPUTER SERVICES & SOFTWARE -- 2.2%
America Online, Inc.*.............. 8,500 901,000
Aspect Development, Inc.*.......... 3,400 257,125
BMC Software, Inc.*................ 14,000 727,125
Cadence Design Systems, Inc.*...... 15,800 493,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Computer Associates International,
Inc. ............................ 23,530 $ 1,307,386
Compuware Corp.*................... 9,700 495,912
Comverse Technology, Inc.*......... 7,600 394,250
Fiserv, Inc.*...................... 10,200 433,181
Ingram Micro, Inc. Cl-A*........... 5,200 230,100
Intuit, Inc.*...................... 8,200 502,250
Knology Holdings, Inc. Warrants
144A*............................ 45 0
Lycos, Inc.*....................... 2,500 188,437
NCR Corp.*......................... 33,965 1,103,862
PeopleSoft, Inc.*.................. 11,100 521,700
Sterling Commerce, Inc.*........... 9,000 436,500
VERITAS Software Corp.*............ 15,350 635,106
Yahoo! Inc.*....................... 1,000 157,500
------------
8,785,184
------------
CONGLOMERATES -- 0.9%
Minnesota Mining & Manufacturing
Co. ............................. 19,643 1,614,409
Philip Morris Companies, Inc. ..... 55,202 2,173,579
------------
3,787,988
------------
CONSUMER PRODUCTS & SERVICES -- 2.6%
Apollo Group, Inc. Cl-A*........... 12,000 396,750
Clorox Co.......................... 14,355 1,369,108
Colgate-Palmolive Co............... 19,140 1,684,320
Eastman Kodak Co. ................. 25,140 1,836,791
Estee Lauder Companies, Inc.
Cl-A............................. 5,600 390,250
Hasbro, Inc. ...................... 38,810 1,525,718
Hedstrom Holdings, Inc. 144A*...... 303 379
Mohawk Industries, Inc.*........... 13,000 411,937
Rexall Sundown, Inc.*.............. 14,700 518,175
Twinlab Corp.*..................... 5,500 240,281
Whitman Corp. ..................... 86,691 1,988,475
------------
10,362,184
------------
CONTAINERS & PACKAGING -- 0.6%
Owens-Illinois, Inc.*.............. 53,355 2,387,636
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.6%
Cellnet Data Systems Warrants*..... 95 5,320
Emerson Electric Co. .............. 23,870 1,441,151
FORE Systems, Inc. ................ 15,900 421,350
STMicroelectronics NV*............. 2,978 208,088
Texas Instruments, Inc............. 71,395 4,163,221
------------
6,239,130
------------
ENTERTAINMENT & LEISURE -- 0.5%
Epic Resorts....................... 10,000 10,000
Royal Caribbean Cruises Ltd. ...... 5,000 397,500
Viacom, Inc. Cl-B*................. 24,650 1,435,862
------------
1,843,362
------------
FINANCIAL-BANK & TRUST -- 6.1%
BankBoston Corp. .................. 33,240 1,848,975
Bankers Trust Corp. ............... 12,387 1,437,666
Chase Manhattan Corp. ............. 2,900 218,950
Citicorp........................... 20,490 3,058,132
Crestar Financial Corp. ........... 17,180 937,384
</TABLE>
12
<PAGE> 15
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
First Chicago NBD Corp............. 22,845 $ 2,024,638
Firstar Corp. ..................... 15,230 578,740
Fleet Financial Group, Inc. ....... 12,785 1,067,547
GreenPoint Financial Corp. ........ 9,800 368,725
Hibernia Corp. Cl-A................ 18,445 372,358
Keycorp............................ 36,480 1,299,600
Mercantile Bancorporation, Inc. ... 15,380 774,767
Morgan, (J.P.) & Co., Inc. ........ 13,274 1,554,717
National City Corp. ............... 20,885 1,482,835
Northern Trust Corp. .............. 6,800 518,500
PNC Bank Corp. .................... 32,598 1,754,180
Southtrust Corp. .................. 10,400 452,400
Star Banc Corp. ................... 6,900 440,737
State Street Boston Corp. ......... 7,500 521,250
Summit Bancorp..................... 21,325 1,012,937
Union Planters Corp. .............. 14,885 875,424
Wells Fargo & Co. ................. 5,410 1,996,290
------------
24,596,752
------------
FINANCIAL SERVICES -- 2.2%
Ahmanson, (H.F.) & Co. ............ 1,780 126,380
American Express Co. .............. 10,975 1,251,150
Capital One Financial Corp. ....... 3,700 459,494
Esat Holdings Ltd. Warrants*....... 35 0
Fannie Mae......................... 25,360 1,540,620
FINOVA Group, Inc. ................ 10,400 588,900
Lehman Brothers Holdings, Inc. .... 5,900 457,619
Merrill Lynch & Co., Inc. ......... 14,745 1,360,226
Paine Webber Group, Inc. .......... 10,100 433,037
Providian Financial Corp. ......... 7,700 604,931
Schwab, (Charles) Corp. ........... 12,000 390,000
SunAmerica, Inc. .................. 9,400 539,912
Washington Mutual, Inc. ........... 26,842 1,165,949
------------
8,918,218
------------
FOOD -- 2.0%
Dominick's Supermarkets, Inc.*..... 8,800 392,150
General Mills, Inc. ............... 20,176 1,379,534
Heinz, (H.J.) Co. ................. 38,630 2,168,109
International Home Foods, Inc.*.... 17,600 400,400
Quaker Oats Co. ................... 33,680 1,850,295
Sara Lee Corp. .................... 26,360 1,474,512
Suiza Foods Corp.*................. 7,543 450,223
------------
8,115,223
------------
HEALTHCARE SERVICES -- 0.5%
Health Care & Retirement Corp.*.... 7,800 307,612
Health Management Associates, Inc.
Cl-A*............................ 15,550 519,953
Healthsouth Corp.*................. 7,200 192,150
Omnicare, Inc. .................... 13,300 507,062
Quintiles Transnational Corp.*..... 8,900 437,769
------------
1,964,546
------------
HOTELS & MOTELS -- 0.3%
Epic Resorts Warrants*............. 10 0
Starwood Hotels & Resorts [REIT]... 26,816 1,295,548
------------
1,295,548
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
INDUSTRIAL PRODUCTS -- 0.0%
Orbital Imaging Corp. Warrants
144A*............................ 20 $ 900
------------
INSURANCE -- 3.1%
Allstate Corp. .................... 18,510 1,694,822
American General Corp. ............ 28,591 2,035,322
AON Corp. ......................... 35,051 2,462,333
CIGNA Corp. ....................... 27,546 1,900,674
Hartford Life, Inc. Cl-A*.......... 7,700 438,419
PMI Group, Inc. ................... 5,200 381,550
Reliastar Financial Corp. ......... 9,400 451,200
The Equitable Companies, Inc. ..... 20,800 1,558,700
Travelers Group, Inc. ............. 23,775 1,441,359
------------
12,364,379
------------
MACHINERY & EQUIPMENT -- 1.7%
Caterpillar, Inc. ................. 8,180 432,517
Cooper Cameron Corp.*.............. 23,005 1,173,255
Cooper Industries, Inc. ........... 31,775 1,745,639
Danaher Corp. ..................... 11,800 432,912
Deere & Co. ....................... 27,265 1,441,637
Ingersoll-Rand Co. ................ 38,485 1,695,745
------------
6,921,705
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.4%
Baxter International, Inc. ........ 43,376 2,334,171
Johnson & Johnson Co. ............. 22,990 1,695,512
Manor Care, Inc. .................. 1,800 69,187
Schein, (Henry), Inc.*............. 10,200 470,475
Sofamor Danek Group, Inc.*......... 4,800 415,500
STERIS Corp.*...................... 7,000 445,156
Urohealth System, Inc. Warrants
144A*............................ 20 0
------------
5,430,001
------------
OFFICE EQUIPMENT -- 1.7%
Herman Miller, Inc. ............... 16,800 408,450
HON INDUSTRIES, Inc. .............. 7,800 265,200
Office Depot, Inc.*................ 15,700 495,531
Pitney Bowes, Inc. ................ 30,465 1,466,128
Xerox Corp. ....................... 43,006 4,370,485
------------
7,005,794
------------
OIL & GAS -- 4.4%
Amoco Corp. ....................... 43,544 1,812,519
Atlantic Richfield Co. ............ 20,670 1,614,844
British Petroleum Co. PLC [ADR].... 25,967 2,291,575
Coastal Corp. ..................... 20,775 1,450,355
Exxon Corp. ....................... 30,731 2,191,504
Global Industries Ltd.*............ 14,900 251,437
Kerr-McGee Corp. .................. 32,530 1,882,674
Mobil Corp. ....................... 21,666 1,660,157
Societe Nationale Elf Aquitaine SA
[ADR]............................ 25,690 1,823,990
Sonat, Inc. ....................... 30,400 1,174,200
Tosco Corp. ....................... 43,630 1,281,631
------------
17,434,886
------------
</TABLE>
13
<PAGE> 16
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 0.9%
Boise Cascade Corp. ............... 40,665 $ 1,331,779
International Paper Co. ........... 21,825 938,475
Kimberly-Clark Corp. .............. 32,857 1,507,315
------------
3,777,569
------------
PHARMACEUTICALS -- 4.0%
American Home Products Corp. ...... 59,281 3,067,792
Bristol-Meyers Squibb Co. ......... 29,537 3,394,909
Centocor, Inc.*.................... 12,000 435,000
Elan Corp. PLC [ADR]*.............. 6,700 430,894
ICN Pharmaceuticals, Inc. ......... 9,600 438,600
Incyte Pharmaceuticals, Inc. ...... 9,100 310,537
McKesson Corp. .................... 6,100 495,625
Merck & Co., Inc. ................. 25,135 3,361,806
Pharmacia & Upjohn, Inc. .......... 84,497 3,897,424
Watson Pharmaceuticals, Inc.*...... 5,200 242,775
------------
16,075,362
------------
PRINTING & PUBLISHING -- 0.9%
Belo, (A.H.) Corp. Cl-A............ 14,300 348,562
McGraw-Hill Co., Inc. ............. 17,295 1,410,623
Times Mirror Co. Cl-A.............. 27,345 1,719,317
------------
3,478,502
------------
REAL ESTATE -- 0.0%
Equity Office Property Trust
Warrants 144A*................... 530 4,637
------------
RESTAURANTS -- 0.6%
AmeriKing, Inc.*................... 25 1,300
CKE Restaurants, Inc. ............. 10,310 425,287
McDonald's Corp. .................. 29,995 2,069,655
------------
2,496,242
------------
RETAIL & MERCHANDISING -- 2.8%
Bed, Bath & Beyond, Inc.*.......... 8,400 435,225
Borders Group, Inc.*............... 14,100 521,700
Costco Companies, Inc.*............ 12,700 800,894
Family Dollar Stores, Inc. ........ 34,200 632,700
Kmart Corp.*....................... 87,910 1,692,267
Kohls Corp.*....................... 11,800 612,125
Linens 'n Things, Inc.*............ 14,000 427,875
Meyer, (Fred), Inc.*............... 11,200 476,000
Payless Shoesource, Inc.*.......... 5,700 420,019
Penney, (J.C.) Co., Inc. .......... 23,295 1,684,520
Pier 1 Imports, Inc. .............. 21,850 521,669
Sears, Roebuck & Co. .............. 21,135 1,290,556
TJX Companies, Inc. ............... 25,200 607,950
Toys 'R' Us, Inc.*................. 48,930 1,152,913
------------
11,276,413
------------
TELECOMMUNICATIONS -- 4.2%
Advanced Fibre Communications,
Inc.*............................ 9,500 380,594
Allegiance Telecom, Inc. .......... 40 100
Ameritech Corp. ................... 38,100 1,709,737
Ascend Communications, Inc.*....... 6,400 317,200
AT&T Corp. ........................ 40,495 2,313,277
Cellular Communications
International, Inc.*............. 6,250 311,719
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Globalstar Telecommunications
Warrants 144A*................... 45 $ 489
GTE Corp. ......................... 29,745 1,654,566
Intercel, Inc. Warrants 144A*...... 640 6,080
McCaw International Ltd.
Warrants*........................ 10 0
MediaOne Group, Inc.*.............. 46,585 2,046,828
Nextel Communications, Inc.
Cl-A*............................ 503 12,512
SBC Communications, Inc. .......... 53,218 2,128,720
Sprint Corp. ...................... 25,476 1,796,058
TCA Cable TV, Inc. ................ 6,700 402,000
Tele-Communications Liberty Media,
Inc. Cl-A........................ 9,500 368,719
Tele-Communications TCI Ventures
Group Cl-A....................... 29,500 591,844
Telefonos de Mexico SA Cl-L
[ADR]............................ 1,313 63,106
Tellabs, Inc.*..................... 8,000 573,000
U. S. West, Inc.................... 38,006 1,786,282
UIH Australia Warrants*............ 50 0
Williams Companies, Inc. .......... 12,100 408,375
------------
16,871,206
------------
TRANSPORTATION -- 0.1%
Expeditors International of
Washington, Inc. ................ 6,300 277,200
------------
UTILITIES -- 0.9%
Duke Energy Corp. ................. 24,310 1,440,367
Texas Utilities Co. ............... 55,065 2,292,081
------------
3,732,448
------------
TOTAL COMMON STOCK
(COST $187,129,434).................. 215,107,744
------------
PREFERRED STOCK -- 0.1%
BROADCASTING -- 0.0%
Capstar Broadcasting 12.00%
[PIK]............................ 212 25,016
Citadel Broadcasting Co. 13.25%
[PIK]............................ 213 25,134
Echostar Communications Corp. Cl-B
12.125% [PIK].................... 106 11,863
Paxson Communications Private
Placement 13.25% [PIK] 144A...... 3 30,000
------------
92,013
------------
ENTERTAINMENT & LEISURE -- 0.1%
Colorado Gaming & Entertainment
Corp. 12.00% [PIK]............... 1,587 172,983
------------
INDUSTRIAL PRODUCTS -- 0.0%
Anvil Holding, Inc. 13.00% [PIK]... 13 325
Chesapeake Energy Corp. 7.00%
144A............................. 105 4,449
------------
4,774
------------
RESTAURANTS -- 0.0%
AmeriKing, Inc. 13.00%............. 1,208 31,408
------------
SEMICONDUCTORS -- 0.0%
Fairchild Semiconductor Corp. Sr.
Sub. Notes 10.125% [PIK] 144A.... 281 32,123
------------
</TABLE>
14
<PAGE> 17
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TELECOMMUNICATIONS -- 0.0%
Cablevision Systems Corp. Cl-M
11.125% [PIK].................... 354 $ 40,975
NEXTLINK Communications, Inc.
14.00% [PIK]..................... 454 26,672
Winstar Communications, Inc.
14.25% [PIK]..................... 300 35,775
------------
103,422
------------
UTILITIES -- 0.0%
El Paso Electric Co. 11.40%
[PIK]............................ 12 1,326
Public Service Co. of New Hampshire
Cl-A 10.60%...................... 1,058 27,772
------------
29,098
------------
TOTAL PREFERRED STOCK (COST
$384,881)............................ 465,821
------------
FOREIGN STOCK -- 4.9%
AIRLINES -- 0.1%
British Airways PLC -- (GBP)....... 20,429 221,048
Deutsche Lufthansa AG -- (DEM)..... 5,961 149,600
------------
370,648
------------
AUTOMOBILE MANUFACTURERS -- 0.2%
Bayerische Motoren Werke
AG -- (DEM)...................... 203 204,796
Bayerische Motoren Werke AG
(New) -- (DEM)*.................. 62 61,258
Honda Motor Co. Ltd. -- (JPY)...... 3,000 106,784
Renault SA -- (FRF)*............... 1,617 91,975
Volkswagen AG -- (DEM)............. 187 179,745
Volvo AB Cl-B -- (SEK)............. 3,788 112,809
------------
757,367
------------
AUTOMOTIVE PARTS -- 0.1%
Bridgestone Corp. -- (JPY)......... 4,000 94,535
Michelin C.G.D.E. Cl-B -- (FRF).... 5,135 296,412
------------
390,947
------------
BEVERAGES -- 0.1%
Bass PLC -- (GBP).................. 14,890 279,004
------------
BUILDING MATERIALS -- 0.1%
Cimpor-Cimentos de Portugal SA --
(PTE)............................ 1,519 53,369
CRH PLC -- (IEP)................... 22,386 317,556
Lafarge SA -- (FRF)................ 613 63,368
------------
434,293
------------
CHEMICALS -- 0.2%
AKZO Nobel NV -- (NLG)............. 1,495 332,333
Bayer AG -- (DEM).................. 4,795 247,317
------------
579,650
------------
CLOTHING & APPAREL -- 0.0%
Onward Kashiyama Co.
Ltd. -- (JPY).................... 4,000 50,005
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CONGLOMERATES -- 0.3%
B.A.T. Industries PLC -- (GBP)..... 28,162 $ 281,930
BTR PLC -- (GBP)................... 47,407 134,468
Securicor PLC -- (GBP)............. 18,494 151,509
Smith Industries PLC -- (GBP)...... 9,971 138,084
Tomkins PLC -- (GBP)............... 44,307 240,445
Vivendi -- (FRF)................... 1,877 400,793
------------
1,347,229
------------
CONSTRUCTION -- 0.0%
Cemex SA de CV -- (MXP)............ 4,900 18,322
------------
CONSUMER PRODUCTS & SERVICES -- 0.2%
Bombardier, Inc. Cl-B -- (CAD)..... 5,819 158,282
Cookson Group PLC -- (GBP)......... 14,929 51,313
Fuji Photo Film Co. -- (JPY)....... 4,000 139,208
Granada Group PLC -- (GBP)......... 7,900 145,520
Kao Corp. -- (JPY)................. 12,000 185,034
Shiseido Co. Ltd. -- (JPY)......... 5,000 56,778
------------
736,135
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.2%
Omron Corp. -- (JPY)............... 9,000 137,479
Premier Farnell PLC -- (GBP)....... 3,151 16,035
Rohm Co. -- (JPY).................. 1,000 102,677
Royal Philips Electronics NV --
(NLG)............................ 3,439 289,088
Siebe PLC -- (GBP)................. 6,182 123,673
Sony Corp. -- (JPY)................ 2,600 223,871
Tokyo Electron Ltd. -- (JPY)....... 3,000 91,869
------------
984,692
------------
ENERGY SERVICES -- 0.1%
Iberdrola SA -- (ESP).............. 6,100 99,216
VA Technologie AG -- (ATS)......... 964 119,940
------------
219,156
------------
FINANCIAL-BANK & TRUST -- 0.9%
ABN AMRO Holding NV -- (NLG)....... 11,062 258,847
Allied Irish Banks PLC -- (IEP).... 23,832 344,052
Banco Comercial Portugues SA --
(PTE)............................ 714 20,274
Bank of Nova Scotia -- (CAD)....... 11,158 276,192
Banque Nationale de Paris
-- (FRF)........................ 4,616 377,157
Commonwealth Bank of Australia --
(AUD)............................ 7,932 92,540
Credit Commercial de
France -- (FRF).................. 824 69,370
Dao Heng Bank Group
Ltd. -- (HKD).................... 9,500 13,486
Deutsche Bank AG -- (DEM).......... 4,078 345,325
Developmental Bank of Singapore
Ltd. Cl-F -- (SGD)............... 21,400 118,433
HSBC Holdings PLC -- (HKD)......... 11,392 278,604
ING Groep NV -- (NLG).............. 5,823 381,288
Julius Baer Holdings AG Cl-B --
(CHF)............................ 76 237,749
National Westminster Bank PLC --
(GBP)............................ 8,600 153,679
Royal Bank of Canada -- (CAD)...... 2,316 139,381
Svenska Handlesbanken Cl-A --
(SEK)............................ 2,842 131,855
</TABLE>
15
<PAGE> 18
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UBS AG -- (CHF)*................... 1,225 $ 455,495
United Overseas Bank
Ltd. -- (SGD).................... 5,000 15,537
------------
3,709,264
------------
FINANCIAL SERVICES -- 0.3%
Acom Co. Ltd. -- (JPY)............. 1,000 47,484
Bank of Ireland PLC -- (IEP)....... 15,971 326,357
Bayerische Vereinsbank AG --
(DEM)............................ 1,200 102,048
ForeningsSparbanken AB -- (SEK).... 1,910 57,480
Gucco Group Ltd. -- (HKD).......... 7,000 7,363
Nikko Securities Co.
Ltd. -- (JPY).................... 45,000 186,439
Nordbanken Holding Co. AB --
(SEK)*........................... 9,551 70,061
Promise Co. Ltd. -- (JPY).......... 2,400 98,743
Skandinaviska Enskilda Banken --
(SEK)............................ 4,140 70,861
Societe Generale -- (FRF).......... 1,467 304,997
Unidanmark AS Cl-A -- (DKK)........ 803 72,161
------------
1,343,994
------------
FOOD -- 0.2%
Greencore Group PLC -- (IEP)....... 29,774 161,966
Nestle SA -- (CHF)................. 288 616,325
------------
778,291
------------
INSURANCE -- 0.2%
Allianz AG -- (DEM)................ 321 105,813
Allianz AG (New) -- (DEM)*......... 13 4,249
Allianz-BCVG AGF Assurance
Warrants -- (FRF)................ 789 4,587
Assurances Generales de France --
(FRF)*........................... 2,001 113,222
Muenchener Rueckversicherung AG --
(DEM)............................ 127 62,971
Muenchener Reuckversicherungs-
Gesellschaft AG -- (DEM)......... 100 49,279
QBE Insurance Group
Ltd. -- (AUD).................... 2,788 9,841
Royal & Sun Alliance Insurance
Group PLC -- (GBP).............. 17,260 178,406
Zurich
Versicherungs-Gesellschaft --
(CHF)............................ 239 152,525
------------
680,893
------------
MACHINERY & EQUIPMENT -- 0.1%
Mannesmann AG -- (DEM)............. 3,700 376,451
Rieter Holdings AG -- (CHF)*....... 47 32,535
Sandvik AB Cl-B -- (SEK)........... 2,698 74,090
------------
483,076
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
Glaxo Wellcome PLC -- (GBP)........ 6,424 192,825
Novartis AG -- (CHF)............... 160 266,243
Sankyo Co. Ltd. -- (JPY)........... 6,000 136,614
------------
595,682
------------
METALS & MINING -- 0.0%
Rio Tinto PLC -- (GBP)............. 14,307 161,131
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OFFICE EQUIPMENT -- 0.1%
Canon, Inc. -- (JPY)............... 5,000 $ 113,485
Ricoh Co. Ltd. -- (JPY)............ 9,000 94,744
------------
208,229
------------
OIL & GAS -- 0.3%
British Petroleum Co.
PLC -- (GBP)..................... 16,075 234,417
Burmah Castrol PLC -- (GBP)........ 12,617 225,882
Ente Nazionale Idrocarburi SPA --
(ITL)............................ 30,555 200,256
Societe Nationale Elf Aquitaine
SA -- (FRF)...................... 2,244 315,480
Total SA Cl-B -- (FRF)............. 2,564 333,327
------------
1,309,362
------------
PAPER & FOREST PRODUCTS -- 0.1%
Svenska Cellulosa AB
Cl-B -- (SEK).................... 7,356 190,473
------------
PERSONAL SERVICES -- 0.0%
Vedior NV -- (NLG)................. 2,921 82,564
------------
PHARMACEUTICALS -- 0.1%
Pharmacia & Upjohn,
Inc. -- (SEK).................... 4,544 209,111
------------
PRINTING & PUBLISHING -- 0.0%
Dai Nippon Printing Co. Ltd. --
(JPY)............................ 9,000 143,639
------------
REAL ESTATE -- 0.0%
Fastighets AB Balder -- (SEK)*..... 1,879 1,885
------------
RETAIL & MERCHANDISING -- 0.1%
Dixons Group PLC -- (GBP).......... 12,424 100,434
Vendex NV -- (NLG)*................ 2,960 111,315
------------
211,749
------------
SEMICONDUCTORS -- 0.0%
Fujitsu Ltd. -- (JPY).............. 17,000 178,838
------------
TELECOMMUNICATIONS -- 0.6%
Alcatel Alsthom -- (FRF)........... 500 101,802
Deutsche Telekom AG -- (DEM)....... 5,302 143,049
Ericsson, (L.M.) Telephone Co.
Cl-B -- (SEK).................... 7,518 219,650
Hellenic Telecommunication
Organization SA -- (GRD)......... 5,198 133,250
KPN NV -- (NLG).................... 1,168 44,958
Nokia Oyj Cl-A -- (FIM)............ 4,036 296,825
Northern Telecom Ltd. -- (CAD)..... 4,318 244,890
Telecom Corp. of New Zealand --
(NZD)............................ 23,000 49,189
Telecom Corp. of New Zealand
Ltd. -- (NZD).................... 8,700 35,857
Telecom Italia SPA -- (ITL)........ 43,329 318,956
Telecomunicacoes Brasileiras SA --
(BRC)............................ 800 88,189
Telecomunicacoes de Sao Paulo SA --
(BRC)............................ 324 77,316
Telecomunicacoes de Sao Paulo SA
Rights -- (BRC)*................. 15 1
Telefonica SA -- (ESP)............. 7,714 357,256
</TABLE>
16
<PAGE> 19
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Telesp Celular SA Pfd. Cl-B --
(BRC)*........................... 324 $ 27,173
Vodafone Group PLC -- (GBP)........ 17,220 218,648
------------
2,357,009
------------
TRANSPORTATION -- 0.0%
Peninsular & Oriental Steam
Navigation Co. -- (GBP).......... 8,866 127,663
TNT Post Group NV -- (NLG)*........ 1,168 29,857
------------
157,520
------------
UTILITIES -- 0.2%
Electricidade de Portugal SA --
(PTE)............................ 5,844 135,850
Scottish Power PLC -- (GBP)........ 41,151 360,468
Veba AG -- (DEM)................... 3,844 261,941
------------
758,259
------------
TOTAL FOREIGN STOCK
(COST $16,208,507)................... 19,728,417
------------
PAR
(000)
-------
CORPORATE OBLIGATIONS -- 12.7%
ADVERTISING -- 0.1%
Adams Outdoor Advertising Sr. Notes
10.75%, 03/15/06................. $ 75 82,125
Lamar Advertising Co.
Co. Guarantee Sr. Sub. Notes
9.625%, 12/01/06................. 60 64,350
Outdoor Communications Sr. Sub.
Notes
9.25%, 08/15/07.................. 50 51,500
Outdoor Systems, Inc. Sr. Sub.
Notes
8.875%, 06/15/07................. 75 78,000
------------
275,975
------------
AEROSPACE -- 0.2%
Argo-Tech Corp. Co. Guarantee Notes
8.625%, 10/01/07................. 10 10,175
Aviation Sales Co. Sr. Sub. Notes
144A
8.125%, 02/15/08................. 20 19,600
BE Aerospace, Inc. Sr. Sub. Notes
9.875%, 02/01/06................. 35 37,319
BE Aerospace, Inc. Sr. Sub. Notes
Cl-B
8.00%, 03/01/08.................. 10 9,975
Lockheed Martin Corp. Notes
7.25%, 05/15/06.................. 455 484,006
------------
561,075
------------
AIRLINES -- 0.2%
Calair LLC Co. Guarantee Notes 144A
8.125%, 04/01/08................. 10 10,100
Canadian Airlines Corp. Notes
10.00%, 05/01/05................. 20 20,225
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Continental Airlines, Inc. Series
97C1
7.42%, 04/01/07.................. $ 172 $ 175,633
Continental Airlines, Inc. Series
981C
6.541%, 09/15/09................. 760 760,251
------------
966,209
------------
AUTOMOBILE MANUFACTURERS -- 0.0%
Consorcio Grupo Dina SA [ZCB]
6.251%, 11/15/02................. 20 18,925
------------
AUTOMOTIVE PARTS -- 0.0%
Lear Corp. Sub. Notes 9.50%,
07/15/06......................... 50 54,875
Safety Components International,
Inc. Sr. Sub. Notes Cl-B
10.125%, 07/15/07................ 10 10,400
Talon Automotive Group
Sr. Sub. Notes 144A
9.625%, 05/01/08................. 30 30,375
------------
95,650
------------
BEVERAGES -- 0.0%
Canandaigua Wine Corp. Sr. Sub.
Notes 8.75%, 12/15/03............ 55 56,306
------------
BROADCASTING -- 0.3%
Acme Television Co.
Co. Guarantee Notes Cl-B [STEP]
10.875%, 09/30/04................ 15 12,262
Capstar Broadcasting, Inc. Sr.
Disc. Notes [STEP] 12.75%,
02/01/09......................... 60 45,750
Central European Media Enterprises
Ltd. Sr. Notes 9.375%,
08/15/04......................... 10 9,525
Citadel Broadcasting Co. Sr. Sub.
Notes 10.25%, 07/01/07........... 10 11,000
Diva Systems Corp. Units [STEP]
144A 6.873%, 03/01/08............ 50 25,750
Fox Liberty Networks LLC Sr. Notes
8.875%, 08/15/07................. 30 30,450
News America Holdings, Inc. Debs.
7.70%, 10/30/25.................. 695 743,650
Spanish Broadcasting System, Inc.
Sr. Notes Cl-B 11.00%,
03/15/04......................... 25 27,125
Spanish Broadcasting System, Inc.
Sr. Notes 12.50%, 06/15/02....... 50 57,250
Sullivan Broadcasting Holdings Co.
Sr. Sub. Notes 10.25%,
12/15/05......................... 75 85,781
TCI Satellite Sr. Sub. Notes
10.875%, 02/15/07................ 20 19,950
Young Broadcasting, Inc. Sr. Sub.
Notes Cl-B 9.00%, 01/15/06....... 5 5,200
------------
1,073,693
------------
</TABLE>
17
<PAGE> 20
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
BUILDING MATERIALS -- 0.0%
Atrium Companies, Inc. Sr. Sub.
Notes
10.50%, 11/15/06................. $ 10 $ 10,625
Brand Scaffold Services, Inc. Sr.
Notes 144A 10.25%, 02/15/08...... 10 10,225
Building Materials Corp. Sr. Notes
8.625%, 12/15/06................. 10 10,312
Koppers Industry, Inc. Co.
Guarantee Notes 9.875%,
12/01/07......................... 10 10,400
Polytama International Notes
11.25%, 06/15/07................. 25 11,250
------------
52,812
------------
BUSINESS SERVICES -- 0.1%
Affinity Group Holding, Inc. Sr.
Notes
11.00%, 04/01/07................. 65 69,306
Affinity Group, Inc. Sr. Sub. Notes
11.50%, 10/15/03................. 55 58,094
Iron Mountain, Inc. Sr. Sub. Notes
8.75%, 09/30/09.................. 25 25,562
Outsourcing Solutions Corp. Sr.
Sub. Notes Cl-B 11.00%,
11/01/06......................... 20 21,750
U.S. Office Products Co. Sr. Sub.
Notes 144A 9.75%, 06/15/08....... 40 40,100
------------
214,812
------------
CHEMICALS -- 0.3%
PCI Chemicals Canada, Inc. Notes
9.25%, 10/15/07.................. 50 48,750
Polymer Group Holdings, Inc. Sr.
Sub. Notes 9.00%, 07/01/07....... 15 15,300
Polymer Group, Inc. Sr. Sub. Notes
144A 8.75%, 03/01/08............. 10 10,025
Solutia, Inc. Bonds 6.72%,
10/15/37......................... 890 915,587
Sovereign Specialty Chemicals Sr.
Sub. Notes Cl-B 9.50%,
08/01/07......................... 20 20,925
Trikem SA Notes 144A 10.625%,
07/24/07......................... 15 13,012
------------
1,023,599
------------
CLOTHING & APPAREL -- 0.0%
GFSI, Inc. Sr. Sub. Notes Cl-B
9.625%, 03/01/07................. 10 10,575
Iron Age Corp. Sr. Sub. Notes 144A
9.875%, 05/01/08................. 30 30,075
Sassco Fashions Ltd. Sr. Notes
12.75%, 03/31/04................. 25 26,437
Westpoint Stevens, Inc. Sr. Notes
144A
7.875%, 06/15/08................. 20 20,000
------------
87,087
------------
COMPUTER SERVICES & SOFTWARE -- 0.2%
Concentric Network Corp. Notes
12.75%, 12/15/07................. 10 12,200
Dell Computer Corp. Debs. 7.10%,
04/15/28......................... 590 604,750
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Knology Holdings, Inc. Sr. Disc.
Notes [STEP] 11.875%, 10/15/07... $ 45 $ 26,775
Printpack, Inc. Sr. Notes 9.875%,
08/15/04......................... 25 26,781
PSINet, Inc. Sr. Notes Cl-B 10.00%,
02/15/05......................... 20 20,500
------------
691,006
------------
CONGLOMERATES -- 0.3%
Hermes Europe Railtel BV Sr. Notes
11.50%, 08/15/07................. 50 56,562
K&F Industries, Inc. Sr. Sub. Notes
Cl-B 9.25%, 10/15/07............. 10 10,125
Perez Companc SA 144A 9.00%,
01/30/04......................... 15 14,700
Philip Morris Co., Inc. Debs.
7.50%, 01/15/02.................. 425 442,000
Philip Morris Co., Inc. Notes
7.50%, 04/01/04.................. 710 749,050
------------
1,272,437
------------
CONSTRUCTION -- 0.0%
American Architechtural Co.
Guarantee Notes 11.75%,
12/01/07......................... 10 10,425
MDC Holdings, Inc. Notes Cl-B
11.125%, 12/15/03................ 25 27,312
Newport News Shipbuilding, Inc. Sr.
Notes 8.625%, 12/01/06........... 20 21,125
------------
58,862
------------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Alaris Medical Systems, Inc. Sr.
Notes
9.75%, 12/01/06.................. 40 41,800
Chattem, Inc. Sr. Sub. Notes 144A
8.875%, 04/01/08................. 20 19,950
Consumers International Corp. Sr.
Notes 144A 10.25%, 04/01/05...... 10 10,962
Decora Industries, Inc. Notes 144A
11.00%, 05/01/05................. 20 19,500
French Fragrances, Inc. Sr. Notes
10.375%, 05/15/07................ 10 10,700
Glenoit Corp. Co. Guarantee Notes
11.00%, 04/15/07................. 10 10,725
Hedstrom Holdings, Inc. Sr. Disc.
Notes [STEP] 11.613%, 06/01/09... 5 3,156
Home Interiors & Gifts Sr. Sub.
Notes 144A 10.125%, 06/01/08..... 10 10,225
</TABLE>
18
<PAGE> 21
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Integrated Health Services, Inc.
Sr. Sub. Notes Cl-A 9.50%,
09/15/07......................... $ 50 $ 52,500
Revlon Consumer Products Corp. Sr.
Sub. Notes 8.625%, 02/01/08...... 50 50,250
------------
229,768
------------
CONTAINERS & PACKAGING -- 0.0%
AEP Industries, Inc. Sr. Sub. Notes
9.875%, 11/15/07................. 25 26,062
Huntsman Packaging Corp. Co.
Guarantee Notes 9.125%,
10/01/07......................... 15 14,962
Owens-Illinois, Inc. Sr. Notes
8.10%, 05/15/07.................. 20 21,225
Riverwood International Co. Notes
10.25%, 04/01/06................. 50 51,375
10.625%, 08/01/07................ 50 52,125
10.875%, 04/01/08................ 10 10,150
Stone Container Corp. First Mtge.
Notes 10.75%, 10/01/02........... 5 5,325
------------
181,224
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Celestica International, Inc. Sr.
Sub. Notes 10.50%, 12/31/06...... 20 22,075
Cellnet Data Systems, Inc. Sr.
Disc. Notes [STEP] 14.00%,
10/01/07......................... 75 43,031
Details, Inc. Sr. Sub. Notes
10.00%, 11/15/05................. 15 15,187
DII Group, Inc. Sr. Sub. Notes
8.50%, 09/15/07.................. 10 9,950
Espirito Santo Centrais Sr. Notes
10.00%, 07/15/07................. 15 12,600
Flextronics International Ltd. Sr.
Sub. Notes Cl-B 8.75%,
10/15/07......................... 10 10,087
HCC Industries, Inc. Sr. Sub. Notes
10.75%, 05/15/07................. 15 15,862
Pioneer Americas Acquistics Corp.
Sr. Notes 9.25%, 06/15/07........ 10 9,850
Raytheon Co. Notes 6.45%,
08/15/02......................... 905 918,575
Samsung Electronics America Co.
Guarantee Notes 144A 9.75%,
05/01/03......................... 10 9,488
Viasystems, Inc. Sr. Sub. Notes
9.75%, 06/01/07.................. 20 19,650
Wavetek Corp. Sr. Sub. Notes
10.125%, 06/15/07................ 10 10,400
Zilog, Inc. Sr. Notes 144A 9.50%,
03/01/05......................... 30 22,500
------------
1,119,255
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 0.6%
AMC Entertainment, Inc. Sr. Sub.
Notes 9.50%, 03/15/09............ $ 20 $ 20,525
Argosy Gaming Co. Notes 13.25%,
06/01/04......................... 25 28,188
Cinemark USA, Inc. Sr. Sub. Notes
9.625%, 08/01/08................. 65 67,113
Club Regina, Inc. Notes 144A
13.00%, 12/01/04................. 20 21,400
Coast Hotels & Casino, Inc. Notes
Cl-B 13.00%, 12/15/02............ 55 62,288
Fitzgeralds Gaming Corp. Sr. Sub.
Notes 144A 12.25%, 12/15/04...... 30 29,175
Fox Family Worldwide, Inc. Sr.
Disc. Notes [STEP] 10.25%,
11/01/07......................... 40 25,850
Fox Family Worldwide, Inc. Sr.
Notes 9.25%, 11/01/07............ 50 49,875
Louisiana Casino Cruises, Inc.
First Mtge. 11.50%, 12/01/98..... 100 101,500
Mohegan Tribal Gaming Sr. Notes
Cl-B 13.50%, 11/15/02............ 30 38,738
Players International, Inc. Sr.
Notes
10.875%, 04/15/05................ 25 27,125
Premier Parks, Inc. Sr. Notes
9.25%, 04/01/06.................. 35 36,006
Premier Parks, Inc. Sr. Notes Cl-A
12.00%, 08/15/03................. 40 44,400
SFX Entertainment, Inc. Sr. Sub.
Notes 144A 9.125%, 02/01/08...... 10 9,850
Showboat Marina Casinos, Inc. First
Mtge. 13.50%, 03/15/03........... 25 29,750
Silver Cinemas, Inc. Sr. Sub. Notes
144A 10.50%, 04/15/05............ 20 20,475
Six Flags Theme Parks Corp. Sr.
Sub. Notes Cl-A [STEP] 12.25%,
06/15/05......................... 90 101,588
Time Warner Co. Entertainment Notes
8.875%, 10/01/12................. 425 519,031
Time Warner Co. Entertainment Sr.
Notes 8.375%, 07/15/33........... 590 709,475
Time Warner, Inc. Notes 7.75%,
06/15/05......................... 370 398,675
United Artist Theatre, Inc. Sr.
Sub. Notes 144A 9.75%,
04/15/08......................... 10 9,975
------------
2,351,002
------------
</TABLE>
19
<PAGE> 22
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
ENVIRONMENTAL SERVICES -- 0.3%
Allied Waste Industries, Inc. Sr.
Disc. Notes [STEP] 11.30%,
06/01/07......................... $ 50 $ 36,875
Allied Waste North America, Inc.
Co. Guarantee Notes 10.25%,
12/01/06......................... 35 38,631
ATC Group Services, Inc. Sr. Sub.
Notes 144A 12.00%, 01/15/08...... 10 9,400
WMX Technologies, Inc. Notes 7.10%,
08/01/26......................... 925 948,125
------------
1,033,031
------------
EQUIPMENT SERVICES -- 0.0%
Coinmach Corp. Sr. Notes Cl-D
11.75%, 11/15/05................. 10 11,175
------------
FARMING & AGRICULTURE -- 0.0%
Purina Mills, Inc. Sr. Sub. Notes
144A
9.00%, 03/15/10.................. 20 20,600
------------
FINANCIAL-BANK & TRUST -- 1.0%
Allstate Financing II 7.83%,
12/01/45......................... 125 136,406
Banponce Corp. Medium Term Notes
7.125%, 05/02/02................. 410 422,300
Chevy Chase Savings Bank Sub. Debs.
9.25%, 12/01/05.................. 45 46,013
Dime Capital, Inc. Trust I Cl-A
Notes
9.33%, 05/06/27.................. 10 11,850
First Nationwide Holdings, Inc. Sr.
Notes 12.50%, 04/15/03........... 55 62,975
First Nationwide Holdings, Inc. Sr.
Sub. Notes 10.625%, 10/01/03..... 35 39,725
Fuji JGB LLC Pfd. 144A 9.87%,
06/30/08......................... 585 509,120
Greenpoint Bank Corp. Sr. Notes
6.70%, 07/15/02.................. 560 567,000
Greenpoint Capital Corp. Trust I
Notes
9.10%, 06/01/27.................. 10 11,313
Korea Development Bank Notes
7.125%, 09/17/01................. 25 21,969
Long Island Savings Bank, Inc.
Notes
7.00%, 06/13/02.................. 690 706,388
Merita Bank Ltd. Sub. Notes 6.50%,
01/15/06......................... 500 501,875
North Fork Bancorp Notes 8.70%,
12/15/26......................... 5 5,563
Peoples Bank-Bridgeport, Inc. Sub.
Notes 7.20%, 12/01/06............ 305 314,913
Provident Capital, Inc. Trust Notes
8.60%, 12/01/26.................. 20 22,000
Riggs Capital Corp. Trust Notes
144A
8.625%, 12/31/26................. 15 16,556
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Sovereign Capital, Inc. Trust I
Capital Securities Notes 9.00%,
04/01/27......................... $ 15 $ 17,344
St. Paul Bancorp, Inc. Sr. Notes
7.125%, 02/15/04................. 350 362,250
Swedbank, Inc. Sub. Notes 144A
7.50%, 11/29/49.................. 360 373,500
Williams Scotsman, Inc. Sr. Notes
9.875%, 06/01/07................. 15 15,675
------------
4,164,735
------------
FINANCIAL SERVICES -- 3.1%
Aames Financial Corp. Sr. Notes
9.125%, 11/01/03................. 40 39,800
AFC Capital Trust I Notes Cl-B
8.207%, 02/03/27................. 500 570,625
American General Institute Capital
Trust Co. Guarantee Notes 144A
8.125%, 03/15/46................. 765 871,144
Amvescap PLC 144A 6.60%, 05/15/05.. 530 537,288
APP Global Finance V Ltd. Notes
[CVT] 144A 2.00%, 07/25/00....... 20 17,700
AT&T Capital Corp. Medium Term
Notes 6.25%, 05/15/01............ 540 540,675
CIA Latino Americana Notes 144A
11.625%, 06/01/04................ 10 9,975
Cincinnati Financial Corp. Debs.
6.90%, 05/15/28.................. 500 512,500
Colonial Capital II Co. Guarantee
Notes Cl-A 8.92%, 01/15/27....... 15 16,894
Commercial Credit Co. Notes 7.75%,
03/01/05......................... 430 466,550
Contifinancial Corp. Sr. Notes
8.375%, 08/15/03................. 45 47,475
Delta Financial Corp. Sr. Notes
9.50%, 08/01/04.................. 15 14,850
Dine S.A. de C.V. Notes 144A 8.75%,
10/05/07......................... 10 9,213
Dollar Financial Group, Inc. Sr.
Notes
10.875%, 11/15/06................ 15 16,200
DTI Holdings, Inc. Units [STEP]
144A 11.92%, 03/01/08............ 120 63,900
Esat Holdings Ltd. Notes [STEP]
12.50%, 02/01/07................. 35 25,725
Fannie Mae Notes 5.75%, 04/15/03... 1,045 1,046,620
First Financial Caribbean Corp. Sr.
Notes 7.84%, 10/10/06............ 200 210,250
Firstar Bank Milwaukee Corp. Sr.
Notes 6.25%, 12/01/02............ 380 382,850
</TABLE>
20
<PAGE> 23
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Ford Motor Credit Co. Sr. Notes
7.00%, 09/25/01.................. $ 600 $ 618,000
FRD Acquisition Sr. Notes Cl-B
12.50%, 07/15/04................. 10 11,000
General Motors Acceptance Corp.
Notes 5.80%, 04/09/01............ 865 860,675
Imperial Credit Capital Trust I
Notes
10.25%, 06/14/02................. 20 20,250
Imperial Credit Industries, Inc.
Sr. Notes 9.875%, 01/15/07....... 20 20,050
Lehman Brothers Holdings, Inc.
Notes
6.50%, 10/01/02.................. 550 556,188
Merrill Lynch & Co. Notes Cl-B
6.13%, 04/07/03.................. 1,850 1,852,313
Nationwide Credit, Inc. Sr. Notes
144A
10.25%, 01/15/08................. 10 10,075
Netia Holdings Co. Guarantee Cl-B
10.25%, 11/01/07................. 10 10,275
Ocwen Capital Corp. Trust I Notes
10.875%, 08/01/27................ 10 10,925
Paine Webber Group, Inc. Sr. Notes
6.55%, 04/15/08.................. 790 795,925
Pindo Deli Financial Mauritius Co.
Guarantee Notes 10.75%,
10/01/07......................... 25 17,375
PX Escrow Corp. Sr. Disc. Notes
[STEP] 144A 9.625%, 02/01/06..... 10 7,225
Salomon, Inc. Sr. Notes 7.30%,
05/15/02......................... 465 481,787
Southern Investments U.K. Sr. Notes
6.80%, 12/01/06.................. 790 809,750
The Money Store, Inc. Notes 8.05%,
04/15/02......................... 235 249,981
TIG Holdings, Inc. Notes 8.125%,
04/15/05......................... 450 490,500
Tjiwi Kimia Financial Mauritius
Ltd. Sr. Notes 10.00%,
08/01/04......................... 25 17,750
Tokai Preferred Capital Co. 144A
9.98%, 12/29/49.................. 10 9,275
Vicap SA Notes 144A 10.25%,
05/15/02......................... 20 20,275
Webster Capital Corp. Trust I Notes
144A 9.36%, 01/29/27............. 10 11,450
------------
12,281,278
------------
FOOD -- 0.0%
Ameriserv Food Distributor, Inc.
Co. Guarantee Sr. Sub. Notes
8.875%, 10/15/06................. 20 20,200
10.125%, 07/15/07................ 5 5,225
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Aurora Foods, Inc. Sr. Sub. Notes
Cl-B
9.875%, 02/15/07................. $ 10 $ 10,550
Aurora Foods, Inc. Sr. Sub. Notes
Cl-D
9.875%, 02/15/07................. 20 21,100
Fleming Companies, Inc. Notes Cl-B
10.50%, 12/01/04................. 20 20,700
Southern Foods Sr. Sub. Notes 144A
9.875%, 09/01/07................. 10 10,400
Windy Hill Pet Food Co. Sr. Sub.
Notes 9.75%, 05/15/07............ 75 79,500
------------
167,675
------------
FURNITURE -- 0.0%
Sealy Mattress Co. Sr. Disc. Notes
[STEP] 144A 10.875%, 12/15/07.... 15 9,975
------------
HEALTHCARE SERVICES -- 0.3%
Columbia/HCA Healthcare Corp. Notes
7.15%, 03/30/04.................. 50 49,938
Extendicare Health Services Sr.
Sub. Notes 9.35%, 12/15/07....... 25 25,750
Genesis Health Ventures, Inc. Sr.
Sub. Notes 9.25%, 10/01/06....... 45 45,450
Global Health Sciences Sr. Notes
144A
11.00%, 05/01/08................. 20 19,800
Hudson Respiratory Care, Inc. Sr.
Sub. Notes 144A 9.125%,
04/15/08......................... 20 19,925
Integrated Health Services, Inc.
Sr. Sub. Notes Cl-A 9.25%,
01/15/08......................... 15 15,600
Magellan Health Services, Inc. Sr.
Sub. Notes 144A 9.00%,
02/15/08......................... 30 29,775
Manor Care, Inc. Sr. Notes 7.50%,
06/15/06......................... 305 326,350
Multicare Co. Sr. Sub. Notes 9.00%,
08/01/07......................... 20 19,700
National Health Investors, Inc.
Notes
7.30%, 07/16/07.................. 295 311,594
Paracelsus Healthcare Corp. Sr.
Sub. Notes 10.00%, 08/15/06...... 40 39,800
Paragon Health Networks, Inc. Sr.
Sub. Notes 9.50%, 11/01/07....... 50 51,000
Sun Healthcare Group, Inc. Sr. Sub.
Notes 144A 9.50%, 07/01/07....... 50 50,750
Urohealth Systems, Inc. Sr. Sub.
Notes
12.50%, 04/01/04................. 20 8,000
------------
1,013,432
------------
</TABLE>
21
<PAGE> 24
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
HOTELS & MOTELS -- 0.0%
Host Marriott Travel Plaza Corp.
Sr. Notes Cl-B 9.50%, 05/15/05... $ 40 $ 42,500
Prime Hospitality Corp. Sr. Sub.
Notes
9.75%, 04/01/07.................. 35 37,538
Sun International Hotels Co.
Guarantee Notes 8.625%,
12/15/07......................... 50 51,563
------------
131,601
------------
INDUSTRIAL PRODUCTS -- 0.2%
Consorcio Ecuatoriano Notes Cl-B
14.00%, 05/01/02................. 10 9,988
Continental Global Group, Inc. Sr.
Notes Cl-B 11.00%, 04/01/07...... 25 26,313
GS Superhighway Holdings Sr. Notes
9.875%, 08/15/04................. 30 22,013
Isle of Capri Black Hawk Corp.
Notes Cl-B 13.00%, 08/31/04...... 10 10,575
Jackson Products, Inc. Co.
Guarantee Notes 144A 9.50%,
04/15/05......................... 10 9,975
Kinetic Concepts, Inc. Sr. Sub.
Notes Cl-B 9.625%, 11/01/07...... 10 10,125
Orbital Imaging Corp. Units 144A
11.625%, 03/01/05................ 20 20,500
Paragon Corp. Holdings Sr. Notes
144A
9.625%, 04/01/08................. 10 9,200
RAB Enterprises, Inc. Sr. Notes
144A
10.50%, 05/01/05................. 30 30,338
US Filter Corp. Notes 144A 6.50%,
05/15/03......................... 535 537,006
------------
686,033
------------
INSURANCE -- 0.3%
Aegon NV Sub. Notes 8.00%,
08/15/06......................... 500 558,750
Provident Companies, Inc. Notes
7.405%, 03/15/38................. 660 683,100
------------
1,241,850
------------
MACHINERY & EQUIPMENT -- 0.3%
Day International Group, Inc. Sr.
Sub. Notes 144A 9.50%,
03/15/08......................... 25 25,188
Hertz Corp. Notes 7.00%,
01/15/28......................... 615 619,613
Johnstown America Industries, Inc.
Sr. Sub. Notes Cl-C 11.75%,
08/15/05......................... 15 16,706
Millipore Corp. Notes 7.20%,
04/01/02......................... 340 351,050
Morris Materials Handling Sr. Notes
144A 9.50%, 04/01/08............. 20 18,650
Motors and Gears, Inc. Sr. Notes
Cl-D
10.75%, 11/15/06................. 35 37,713
Navistar International Sr. Notes
Cl-B
7.00%, 02/01/03.................. 80 80,400
------------
1,149,320
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 0.0%
Conmed Corp. Sr. Sub. Notes 9.00%,
03/15/08......................... $ 10 $ 10,000
Fresenius Medical Capital Trust I
Co. Guarantee Notes 9.00%,
12/01/06......................... 20 20,800
Fresenius Medical Care Co.
Guarantee Notes
7.875%, 02/01/08................. 30 29,475
Graphic Controls Corp. Sr. Sub.
Notes Cl-A 12.00%, 09/15/05...... 35 39,244
MEDIQ, Inc. Units 144A 13.00%,
06/01/09......................... 20 10,800
MEDIQ/PRN Life Support Services,
Inc. Sr. Sub. Notes 144A 11.00%,
06/01/08......................... 30 30,900
Medpartners, Inc. Sr. Notes 7.375%,
10/01/06......................... 50 45,250
------------
186,469
------------
METALS & MINING -- 0.1%
Acindar Industria Argentina de
Aceros SA Notes 11.25%,
02/15/04......................... 10 10,113
AK Steel Corp. Sr. Notes 9.125%,
12/15/06......................... 30 31,425
Ameristeel Corp. Sr. Notes 144A
8.75%, 04/15/08.................. 20 20,050
Anker Coal Group, Inc. Sr. Notes
Cl-B
9.75%, 10/01/07.................. 10 9,200
Freeport-McMoRan Copper & Gold,
Inc. Sr. Notes 7.50%, 11/15/06... 125 101,719
Hylsa SA de CV Notes 144A 9.25%,
09/15/07......................... 30 27,900
Lodestar Holdings, Inc. Sr. Notes
144A
11.50%, 05/15/05................. 10 10,113
Potash Corp. Notes 7.125%,
06/15/07......................... 300 311,250
WHX Corp. Sr. Notes 10.50%,
04/15/05......................... 10 10,200
------------
531,970
------------
OFFICE EQUIPMENT -- 0.0%
United Stationers Supply Co. Sr.
Sub. Notes 12.75%, 05/01/05...... 3 3,405
8.375%, 04/15/08 144A............ 20 20,050
------------
23,455
------------
</TABLE>
22
<PAGE> 25
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
OIL & GAS -- 0.6%
Abraxas Petroleum Corp. Co.
Guarantee Notes Cl-D 11.50%,
11/01/04......................... $ 25 $ 25,750
Chesapeake Energy Corp. Sr. Notes
144A 9.625%, 05/01/05............ 30 30,000
Coastal Corp. Bonds 6.95%,
06/02/28......................... 520 523,900
Dailey International, Inc. Co.
Guarantee Notes Cl-B 9.50%,
02/15/08......................... 10 9,850
Flores & Rucks, Inc. Sr. Sub. Notes
9.75%, 10/01/06.................. 40 43,800
Global Marine, Inc. Notes 7.00%,
06/01/28......................... 790 803,825
Gothic Production Corp. Sr. Notes
144A 11.125%, 05/01/05........... 10 9,575
Michael Petroleum Corp. Sr. Notes
144A 11.50%, 04/01/05............ 10 10,075
Newpark Resources, Inc. Co.
Guarantee Notes Cl-B 8.625%,
12/15/07......................... 10 10,175
Northern Offshore ASA Co. Guarantee
Notes 144A 10.00%, 05/15/05...... 20 19,200
Pacalta Resource Ltd. Sr. Notes
Cl-B
10.75%, 06/15/04................. 10 9,950
Panaco, Inc. Sr. Notes 10.625%,
10/01/04......................... 10 10,000
Panda Global Energy Co. Sr. Notes
12.50%, 04/15/04................. 10 9,613
Petroleum Geo-Services Notes 7.50%,
03/31/07......................... 175 186,594
Petsec Energy, Inc. Sr. Sub. Notes
Cl-B 9.50%, 06/15/07............. 35 35,000
Pogo Producing Co. Sr. Sub. Notes
Cl-B 8.75%, 05/15/07............. 5 5,113
Pride Petroleum Services, Inc. Sr.
Notes 9.375%, 05/01/07........... 15 15,844
Saga Petroleum ASA Debs. 7.25%,
09/23/27......................... 325 339,219
Snyder Oil Corp. Sr. Sub. Notes
8.75%, 06/15/07.................. 15 15,113
Transamerican Refining Corp. Units
144A
16.00%, 06/30/03................. 20 21,300
Transtexas Gas Corp. Sr. Sub. Notes
Cl-D 13.75%, 12/31/01............ 75 83,250
------------
2,217,146
------------
PAPER & FOREST PRODUCTS -- 0.0%
APP Finance II Mauritius Ltd. Notes
144A 3.50%, 04/30/03............. 60 48,000
Florida Coast Paper LLC First Mtge.
Notes 12.75%, 06/01/03........... 5 5,550
Maxxam Group Holdings, Inc. Sr.
Notes 12.00%, 08/01/03........... 5 5,600
------------
59,150
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
PHARMACEUTICALS -- 0.0%
Fresenius Medical Capital Trust II
Co. Guarantee Notes 7.875%,
02/01/08......................... $ 20 $ 19,650
ICN Pharmaceuticals, Inc. Sr. Notes
Cl-B 9.25%, 08/15/05............. 15 15,938
Pharmaceutical Fine Chemicals Corp.
Sr. Sub. Notes 144A 9.75%,
11/15/07......................... 10 11,325
Pharmerica, Inc. Sr. Sub. Notes
144A
8.375%, 04/01/08................. 20 19,950
------------
66,863
------------
PRINTING & PUBLISHING -- 0.0%
America Media Operation, Inc. Sr.
Sub. Notes 11.625%, 11/15/04..... 40 43,200
Garden State Newspapers, Inc. Sr.
Sub. Notes Cl-B 8.75%,
10/01/09......................... 25 25,563
Von Hoffman Press, Inc. Sr. Sub.
Notes 144A 10.375%, 05/15/07..... 10 10,738
------------
79,501
------------
RAILROADS -- 0.7%
CSX Corp. Notes 7.95%, 05/01/27.... 515 592,250
Norfolk Southern Corp. Notes 6.95%,
05/01/02......................... 425 439,344
7.80%, 05/15/27.................. 815 945,400
7.05%, 05/01/37.................. 755 808,794
TFM SA de CV Co. Guarantee Notes
10.25%, 06/15/07................. 10 9,675
Transportacion Maritima Mexicana SA
de CV Registered Notes [STEP]
11.784%, 06/15/09................ 50 33,125
------------
2,828,588
------------
REAL ESTATE -- 0.2%
Beazer Homes USA Co. Guarantee
Notes 8.875%, 04/01/08........... 10 9,750
Cathay International Ltd. Sr. Notes
144A 13.00%, 04/15/08............ 30 26,775
</TABLE>
23
<PAGE> 26
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Equity Office Property Notes 144A
6.763%, 06/15/07................. $ 530 $ 531,617
Equity Residential Properties
Operating L.P. Notes 6.63%,
04/13/05......................... 355 356,775
Horton, (D.R.), Inc. Co. Guarantee
Notes 10.00%, 04/15/06........... 15 16,238
------------
941,155
------------
RETAIL & MERCHANDISING -- 0.4%
CEX Holdings, Inc. Sr. Sub. Notes
144A 9.625%, 06/01/08............ 20 20,550
Eye Care Centers of America, Inc.
Sr. Sub. Notes 144A 9.125%,
05/01/08......................... 10 9,900
Federated Department Stores, Inc.
Sr. Notes 8.50%, 06/15/03........ 720 786,600
Southland Corp. Sr. Sub. Debs. Cl-A
4.50%, 06/15/04.................. 95 76,713
Specialty Retailers, Inc. Co.
Guarantee Notes Cl-B 8.50%,
07/15/05......................... 10 10,325
Tyco International Group SA Co.
Guarantee Notes 6.375%,
06/15/05......................... 380 381,425
6.25%, 06/15/13.................. 395 394,013
William Carter Holdings Co. Sr.
Sub. Notes 144A 12.00%,
10/01/08......................... 20 21,400
Zale Corp. Sr. Notes Cl-B 8.50%,
10/01/07......................... 20 20,500
------------
1,721,426
------------
SEMICONDUCTORS -- 0.0%
Derlan Manufacturing Ltd. Sr. Notes
10.00%, 01/15/07................. 25 26,250
Fairchild Semiconductor Corp. Sr.
Sub. Notes 10.125%, 03/15/07..... 75 77,438
------------
103,688
------------
TELECOMMUNICATIONS -- 1.4%
Adelphia Communications Corp. Sr.
Notes Cl-B 10.25%, 07/15/00...... 10 10,438
AirTouch Communications, Inc.
Notes 6.65%, 05/01/08............ 530 538,613
Allbritton Communications Corp. Sr.
Sub. Notes Cl-B 8.875%,
02/01/08......................... 50 54,125
Allegiance Telecom, Inc. Units
[STEP] 11.75%, 02/15/08.......... 40 21,250
Benedek Communications Corp. Sr.
Disc. Notes [STEP] 14.474%,
05/15/06......................... 75 59,438
Bestel SA Units [STEP] 12.75%,
05/15/05......................... 20 13,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Birch Telecom, Inc. Units 144A
14.00%, 06/15/08................. $ 10 $ 10,050
BTI Telecom Corp. Sr. Notes 10.50%,
09/15/07......................... 70 70,700
Centennial Cellular Corp. Sr. Notes
8.875%, 11/01/01................. 25 26,031
Century Communications Corp. Sr.
Notes 9.50%, 03/01/05............ 35 37,975
Colt Telecom Group PLC Sr. Disc.
Notes 9.356%, 12/15/06........... 50 39,500
Comcast Cellular Holdings Corp. Sr.
Notes Cl-B 9.50%, 05/01/07....... 45 47,081
Comcast U.K. Cable Corp. Debs.
[STEP] 10.245%, 11/15/07......... 60 50,100
Comcast U.K. Cable Corp. Sr. Sub.
Debs. 9.50%, 01/15/08............ 75 80,250
CTI Holdings SA Sr. Notes 144A
11.50%, 04/15/08................. 10 5,700
Diamond Cable Communications PLC
Sr. Disc. Notes [STEP] 10.58%,
12/15/05......................... 100 83,000
Dobson Communications Corp. Sr.
Notes 11.75%, 04/15/07........... 40 43,300
Dobson Wireline Co. Sr. Notes 144A
12.25%, 06/15/08................. 30 29,250
e. spire Communications, Inc. Sr.
Notes
13.75%, 07/15/07................. 15 17,212
Econophone, Inc. Sr. Disc. Notes
11.00%, 02/15/08................. 40 22,900
Esprit Telecom Group PLC Sr. Notes
11.50%, 12/15/07................. 10 10,325
Facilicom International Sr. Notes
144A
10.50%, 01/15/08................. 10 9,975
Flag Ltd. Sr. Notes 144A 8.25%,
01/30/08......................... 50 50,563
Focal Communications Corp. Sr.
Disc. Notes [STEP] 144A 11.259%,
02/15/08......................... 40 24,350
Global Crossing Holdings Ltd. Sr.
Notes 144A 9.625%, 05/15/08...... 90 93,938
Globo Communicacoes e Participacoes
SA Sr. Notes 144A 10.625%,
12/05/08......................... 10 9,000
Granite Broadcasting Corp. Sr. Sub.
Notes 144A 8.875%, 05/15/08...... 10 10,100
ICG Services, Inc. Sr. Disc. Notes
[STEP] 144A 10.138%, 05/01/08.... 50 29,750
</TABLE>
24
<PAGE> 27
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
IDT Corp. Sr. Notes 144A 8.75%,
02/15/06......................... $ 10 $ 9,738
Innova S de R.L. Sr. Notes 12.875%,
04/01/07......................... 10 10,150
Intercel, Inc. Sr. Disc. Notes
[STEP]
12.946%, 02/01/06................ 40 31,250
Intermedia Communications, Inc. Sr.
Notes 144A 8.60%, 06/01/08....... 70 70,875
Intermedia Communications, Inc. Sr.
Notes Cl-B 8.875%, 11/01/07...... 85 87,125
International CabelTel, Inc. Sr.
Notes Cl-B [STEP] 11.56%,
02/01/06......................... 65 53,056
IPC Information Systems Notes
[STEP] 10.207%, 05/01/08......... 40 29,500
Iridium LLC Capital Corp. Sr. Notes
Cl-B 14.00%, 07/15/05............ 25 27,875
ITC Deltacom, Inc. Sr. Notes
11.00%, 06/01/07................. 19 21,423
IXC Communications, Inc. Sr. Sub.
Notes 144A 9.00%, 04/15/08....... 20 20,000
Jacor Communications Co. Notes
9.75%, 12/15/06.................. 10 10,925
Jones Intercable, Inc. Sr. Sub.
Debs.
10.50%, 03/01/08................. 25 27,313
Kitty Hawk, Inc. Co. Guarantee
Notes
9.95%, 11/15/04.................. 20 20,750
KMC Telecom Holdings, Inc. Units
[STEP] 144A 12.50%, 02/15/08..... 35 20,825
L-3 Communications Corp. Sr. Sub.
Notes Cl-B 10.375%, 05/01/07..... 20 22,150
LCI International, Inc. Sr. Notes
7.25%, 06/15/07.................. 610 616,100
Level 3 Communications, Inc. Sr.
Notes 144A 9.125%, 05/01/08...... 5 4,875
Long Distance Direct Holdings, Inc.
144A 12.25%, 04/15/08............ 40 40,200
Marcus Cable Operating Co. Sr.
Disc. Notes [STEP] 11.281%,
08/01/04......................... 50 48,625
McCaw International Ltd. Sr. Disc.
Notes [STEP] 13.00%, 04/15/07.... 10 6,600
MetroNet Communications Corp. Sr.
Disc. Notes [STEP] 10.75%,
11/01/07......................... 10 6,663
MetroNet Communications Corp. Sr.
Disc. Notes [STEP] 144A 9.959%,
06/15/08......................... 50 30,875
Millicom International Cellular,
Inc. SA Sr. Disc. Notes [STEP]
11.037%, 06/01/06................ 80 61,200
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
MJD Communications, Inc. Notes 144A
6.231%, 05/01/08................. $ 10 $ 10,088
MJD Communications, Inc. Sr. Sub.
Notes 144A 9.50%, 05/01/08....... 10 10,263
Nextel Communications, Inc. Sr.
Disc. Notes [STEP] 13.848%,
02/15/08 144A.................... 60 38,400
9.95%, 08/15/04.................. 205 199,875
NEXTLINK Communications, Inc. Sr.
Disc. Notes [STEP] 144A 9.45%,
04/15/08......................... 50 30,750
NTL, Inc. Sr. Notes [STEP] 144A
9.77%, 04/01/08.................. 100 65,250
Omnipoint Corp. Sr. Notes 11.625%,
08/15/06......................... 25 26,438
Onepoint Communications Corp. Units
144A 14.50%, 06/01/08............ 10 9,600
Pathnet, Inc. Units 144A 12.25%,
04/15/08......................... 30 32,550
Price Communications Sr. Notes 144A
9.125%, 12/15/06................. 20 20,000
Primus Telecommunications Group Sr.
Notes 144A 9.875%, 05/15/08...... 10 9,825
Qwest Communications International,
Inc. Sr. Disc. Notes [STEP]
9.47%, 10/15/07.................. 20 15,050
Radio One, Inc. Notes 7.00%,
05/15/04......................... 10 10,200
Radnor Holdings, Inc.
Co. Guarantee Notes Cl-B 10.00%,
12/01/03......................... 10 10,450
RCN Corp. Sr. Disc. Notes [STEP]
9.80%, 02/15/08.................. 30 18,300
11.125%, 10/15/07................ 40 25,600
Rhythms Netconnections Units [STEP]
144A 6.777%, 05/15/08............ 40 19,600
RSL Communications PLC Sr. Disc.
Notes 144A 10.125%, 03/01/08..... 20 11,900
RSL Communications PLC Sr. Notes
144A 9.125%, 03/01/08............ 10 9,725
Satelites Mexicanos SA Sr. Notes
144A
10.125%, 11/01/04................ 15 14,700
Sprint Spectrum L.P. Sr. Notes
11.00%, 08/15/06................. 10 11,525
Startec Global Communications Corp.
Units 144A 12.00%, 05/15/08...... 20 19,650
</TABLE>
25
<PAGE> 28
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
TCI Communications, Inc. Sr. Notes
8.65%, 09/15/04.................. $ 560 $ 624,400
Telecommunications Techniques Co.
Sr. Sub. Notes 144A 9.75%,
05/15/08......................... 10 10,063
Telesystem International Wireless,
Inc. Sr. Disc. Notes Cl-C [STEP]
10.50%, 11/01/07................. 10 6,025
Transtel SA Sr. Notes 144A 12.50%,
11/01/07......................... 15 14,100
Tri-State Outdoor Media Corp. Sr.
Notes 144A 11.00%, 05/15/08...... 10 10,125
United International Holdings, Inc.
Sr. Disc. Notes Cl-B [STEP]
10.775%, 02/15/08................ 30 18,525
Versatel Telecom BV Units 144A
13.25%, 05/15/08................. 20 21,100
Viacom, Inc. Sub. Debs. 8.00%,
07/07/06......................... 200 206,500
Winstar Communications, Inc. Sr.
Sub. Notes 15.00%, 03/01/07...... 75 99,000
WorldCom, Inc. Sr. Notes 7.75%,
01/01/07......................... 965 1,048,231
------------
5,454,315
------------
TRANSPORTATION -- 0.0%
Axiohm Transaction Solutions, Inc.
Sr. Sub. Notes 9.75%, 10/01/07... 10 10,100
MC Shipping, Inc. Sr. Notes 144A
11.25%, 03/01/08................. 10 10,150
Trico Marine Services, Inc. Co.
Guarantee Notes Cl-D 8.50%,
08/01/05......................... 10 9,800
------------
30,050
------------
UTILITIES -- 1.1%
AES China Generating Co. Ltd. Sr.
Notes 10.125%, 12/15/06.......... 10 9,663
AES Corp. Sr. Sub. Notes 8.375%,
08/15/07......................... 20 20,200
Arizona Public Service Co. Sr.
Notes
6.75%, 11/15/06.................. 415 430,563
Baltimore Gas & Electric Co. Medium
Term Notes 6.90%, 02/01/05....... 705 742,013
Cleveland Electric Illuminating Co.
First Mtge. Cl-B 9.50%,
05/15/05......................... 25 28,969
Coho Energy, Inc. Sr. Sub. Notes
8.875%, 10/15/07................. 10 9,525
Columbia Gas Systems, Inc. Debs.
6.61%, 11/28/02.................. 480 487,800
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Connecticut Light & Power Co. First
Mtge. 7.875%, 06/01/01........... $ 40 $ 41,050
El Paso Electric Co. First Mtge.
Cl-E
9.40%, 05/01/11.................. 10 11,400
Enersis SA Notes 7.40%, 12/01/16... 10 9,838
6.60%, 12/01/26.................. 220 214,500
Illinova Corp. Notes 7.125%,
02/01/04......................... 385 398,475
KN Energy, Inc. Sr. Notes 6.45%,
03/01/03......................... 500 505,000
Long Island Lighting Corp. Debs.
9.00%, 11/01/22.................. 100 114,875
Niagara Mohawk Power Corp. Notes
9.95%, 06/01/00.................. 50 50,762
Niagara Mohawk Power Corp. Sr.
Notes Cl-F 7.625%, 10/01/05...... 10 10,138
Niagara Mohawk Power Corp. Sr.
Notes Cl-G 7.75%, 10/01/08....... 20 20,550
Northeast Utilities Service Co.
Notes 8.38%, 03/01/05............ 27 26,800
8.58%, 12/01/06.................. 9 8,949
Ram Energy, Inc. Sr. Notes 11.50%,
02/15/08......................... 10 9,925
Southern California Edison Co.
Notes
5.875%, 01/15/01................. 1,000 1,001,250
Transamerican Energy Corp. Sr.
Disc. Notes Cl-B 13.00%, 06/15/02
[STEP]........................... 200 164,000
11.50%, 06/15/02................. 70 66,500
------------
4,382,745
------------
TOTAL CORPORATE OBLIGATIONS
(COST $49,506,633)................... 50,866,923
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.0%
FEDERAL HOME LOAN MORTGAGE CORP. -- 0.1%
9.50%, 05/01/05.................. 328 346,282
------------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 2.4%
5.50%, 02/01/11-05/01/11......... 2,642 2,570,710
6.50%, 04/01/26-07/01/26......... 380 379,765
7.00%, 03/18/02-09/01/27......... 1,011 1,028,710
7.50%, 06/01/27.................. 132 135,684
8.50%, 10/15/08.................. 826 874,787
6.50%, 07/15/23-07/15/28 [TBA]... 3,679 3,695,768
7.00%, 07/15/28 [TBA]............ 1,150 1,166,531
------------
9,851,955
------------
</TABLE>
26
<PAGE> 29
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOC. --
2.5%
5.50%, 09/20/27-04/15/28......... $ 629 $ 634,922
6.50%, 04/15/28.................. 533 532,650
7.00%, 11/20/21-05/15/28......... 6,250 6,359,354
8.00%, 12/15/26.................. 369 382,013
10.00%, 06/15/13................. 428 469,302
5.50%, 08/20/27 [VR]............. 201 203,745
7.00%, 09/20/23 [VR]............. 51 51,724
7.375%, 04/20/23-06/20/24 [VR]... 1,147 1,166,337
------------
9,800,047
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $19,843,085)................... 19,998,284
------------
U.S. TREASURY OBLIGATIONS -- 6.0%
U.S. TREASURY BILLS -- 0.4%
5.07%, 08/20/98#................. 1,750 1,738,340
------------
U.S. TREASURY BONDS -- 2.8%
5.50%, 03/31/03.................. 535 534,727
6.375%, 08/15/27................. 5,535 6,087,669
6.375%, 08/15/27#................ 1,045 1,149,343
6.125%, 11/15/27................. 3,035 3,253,915
------------
11,025,654
------------
U.S. TREASURY NOTES -- 2.8%
5.625%, 04/30/00................. 975 977,008
7.50%, 05/15/02.................. 1,730 1,846,550
5.50%, 05/31/03.................. 5,415 5,414,674
5.50%, 05/31/03#................. 900 899,946
6.125%, 08/15/07................. 1,140 1,186,330
5.625%, 05/15/08................. 865 877,032
------------
11,201,540
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $23,375,670)................... 23,965,534
------------
COLLATERALIZED MORTGAGE & ASSET-BACKED OBLIGATIONS -- 4.6%
Advanta Mtge. Loan Trust Series
1997-2 Cl-A2 7.05%, 05/25/21..... 805 817,725
Advanta Mtge. Loan Trust Series
1997-3 Cl-A3 6.69%, 04/25/17..... 655 662,520
Amresco Residential Securities
Mtge. Loan Trust Series 1997-3
Cl-A3 6.60%, 01/25/18............ 440 441,031
Capita Equipment Receivables Trust
Series 1996-1 Cl-A4 6.28%,
06/15/00......................... 600 602,866
Commercial Mtge. Acceptance Corp.
Series 1997-ML1 Cl-A3 6.57%,
10/15/07......................... 700 718,156
Commercial Mtge. Acceptance Corp.
Series 1997-ML1 Cl-A2 6.53%,
12/15/30......................... 255 260,857
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Federal National Mtge. Assoc. REMIC
Series 1989-71 Cl-J 8.50%,
10/25/19......................... $ 880 $ 940,282
Federal National Mtge. Assoc. REMIC
Series 1993-240 Cl-B 6.25%,
12/25/13......................... 548 548,658
Federal National Mtge. Assoc. REMIC
Series 1997-61 Cl-ZC 7.00%,
02/25/23......................... 329 338,845
First Union-Lehman Bros. Commercial
Mtge. Series 1997-C2 Cl-A3 6.65%,
06/18/08......................... 470 481,781
GMAC Commercial Mtge. Securities,
Inc. Series 1998-C1 Cl-A2 6.70%,
05/15/30......................... 1,480 1,527,175
Green Tree Financial Corp. Series
1997-2 Cl-A6 7.24%, 03/15/25..... 635 664,014
Green Tree Financial Corp. Series
1997-3 Cl-A4 6.93%, 07/15/28..... 1,095 1,127,300
Green Tree Financial Corp. Series
1998-2 Cl-A5 6.24%, 03/18/28..... 1,035 1,041,145
Green Tree Recreational, Equipment
& Consumer Trust Series 1997-B
Cl-A1
6.55%, 07/15/28.................. 1,110 1,118,612
Green Tree Recreational, Equipment
& Consumer Trust Series 1998-A
Cl-A1C 6.18%, 06/15/19........... 978 978,510
Independent National Mtge. Corp.
Series 1994-V Cl-A1 8.169%,
12/25/24......................... 305 314,492
Merrill Lynch Mtge. Investors, Inc.
Series 1997-C2 Cl-A2 6.54%,
12/10/29......................... 1,160 1,190,994
Merrill Lynch Mtge. Investors, Inc.
Series 1998-C2 Cl-A1 6.22%,
02/15/30......................... 1,178 1,187,823
Morgan Stanley Capital I Series
1996-WF1 Cl-A2 144A 7.218%,
01/16/06......................... 655 681,609
Mortgage Capital Funding, Inc.
Series 1998-MC1 Cl-A2 7.00%,
01/18/08......................... 790 813,206
PNC Mtge. Securities Corp. Series
1997-6 Cl-A2 6.60%, 01/01/00..... 442 446,462
Provident Bank Home Equity Loan
Trust Series 1997-4 Cl-A3 6.91%,
01/25/29......................... 455 463,673
Securitized Asset Sales, Inc.
Series 1993-J Cl-2B 6.808%,
11/28/23......................... 971 963,674
------------
(COST $18,018,029)............... 18,331,410
------------
</TABLE>
27
<PAGE> 30
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
SOVEREIGN ISSUES -- 0.0%
NETHERLANDS -- 0.0%
Asia Pulp & Paper Fin II Mauritius
Ltd. 12.00%, 12/29/49............ $ 45 $ 31,275
SOUTH KOREA -- 0.0%
Republic of Korea 8.875%,
04/15/08......................... 40 36,250
------------
TOTAL SOVEREIGN ISSUES
(COST $76,372)....................... 67,525
------------
COMMERCIAL PAPER -- 8.1%
Delaware Funding Corp., 5.68%,
07/08/98......................... 5,000 4,994,478
Falcon Asset Securitization Corp.
5.53%, 07/20/98.................. 10,000 9,970,814
Merrill Lynch & Co., Inc. 5.63%,
07/08/98......................... 10,000 9,989,053
Sheffield Receivables Corp. 5.50%,
07/10/98......................... 7,500 7,490,056
------------
(COST $32,444,033)................. 32,444,401
------------
REPURCHASE AGREEMENTS -- 4.0%
J. P. Morgan Securities, Inc.,
5.75%, dated 06/30/98, maturing
07/01/98, repurchase price
$15,989,553 (Collateralized by
U.S. Treasury Bonds, par value
$15,439,000, market value
$16,409,255 due 02/15/26)
(COST $15,987,000)............... 15,987 15,987,000
------------
SHORT-TERM INVESTMENTS -- 0.3%
Temporary Investment Cash Fund..... 529,389 529,389
Temporary Investment Fund.......... 529,389 529,389
------------
(COST $1,058,778).................. 1,058,778
------------
TOTAL INVESTMENTS -- 99.5%
(COST $364,032,422).................. 398,021,837
OTHER ASSETS LESS
LIABILITIES -- 0.5%.................. 1,853,674
------------
NET ASSETS -- 100.0%................... $399,875,511
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy ESP 10,369,516 $ 67,753 $ 67,743 $ (10)
07/98 Buy GBP 14,214 23,648 23,714 66
10/98 Buy GBP 1,000,000 1,626,725 1,657,358 30,633
07/98 Buy ITL 161,163,000 90,315 90,664 349
07/98 Buy PTE 15,050,000 81,215 81,482 267
---------- ---------- --------
$1,889,656 $1,920,961 $ 31,305
========== ========== ========
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE DELIVER FOR AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell AUD 24,479 $ 14,927 $ 15,161 $ (234)
07/98 Sell CHF 24,218 15,920 15,971 (51)
07/98 Sell GBP 1,109,598 1,833,631 1,840,193 (6,562)
07/98 Sell HKD 10,925 1,410 1,409 1
07/98 Sell JPY 233,000,000 1,662,197 1,697,822 (35,625)
07/98 Sell NZD 30,299 15,531 15,727 (196)
07/98 Sell SGD 73,117 43,493 43,269 224
---------- ---------- --------
$3,587,109 $3,629,552 $(42,443)
========== ========== ========
</TABLE>
# Securities with an aggregate market value of $3,787,629 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at June 30, 1998:
<TABLE>
<CAPTION>
NUMBER UNREALIZED
EXPIRATION OF APPRECIATION
DESCRIPTION MONTH CONTRACTS (DEPRECIATION)
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
ASX Index......................... 09/98 211 $ 349,019
CAC Index (Shorted)............... 09/98 (15) (52,003)
DAX Index (Shorted)............... 09/98 (4) (31,812)
FTSE 100 Index (Shorted).......... 09/98 (19) (12,624)
MIB30 Index....................... 09/98 16 80,110
NASDAQ 100 (Shorted).............. 09/98 (15) (232,383)
Russell 2000 (Shorted)............ 09/98 (7) (55,384)
S&P 500........................... 09/98 7 41,983
U.S. Treasury 30 Year Notes....... 09/98 208 524,876
---------
$ 611,782
=========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* 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 1.6% of net assets.
See Notes to Financial Statements.
28
<PAGE> 31
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CORPORATE OBLIGATIONS -- 89.7%
ADVERTISING -- 1.1%
Lamar Advertising Co.
Co. Guarantee Sr. Sub. Notes
9.625%, 12/01/06................. $ 1,700 $ 1,829,625
Outdoor Systems, Inc. Sr. Sub.
Notes
8.875%, 06/15/07................. 4,075 4,258,375
------------
6,088,000
------------
AEROSPACE -- 0.4%
Aviation Sales Co. Sr. Sub. Notes
144A
8.125%, 02/15/08................. 2,500 2,456,250
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
Oshkosh Truck Corp. Co. Guarantee
Notes
8.75%, 03/01/08.................. 750 761,250
------------
AUTOMOTIVE PARTS -- 1.2%
Aftermarket Technology,
Inc. Sr. Sub. Notes
12.00%, 08/01/04................. 1,938 2,146,335
Lear Corp. Sub. Notes
9.50%, 07/15/06.................. 2,500 2,737,500
Lear Seating Corp. Sub. Notes
8.25%, 02/01/02.................. 550 554,125
Oxford Automotive, Inc. Notes
10.125%, 06/15/07................ 1,300 1,348,750
------------
6,786,710
------------
BROADCASTING -- 7.1%
Acme Television Co. Co. Guarantee
Notes Cl-B [STEP]
10.992%, 09/30/04................ 3,100 2,573,000
Australis Media Ltd. Sr. Disc.
Notes [STEP]
29.55%, 05/15/03................. 11 1,443
Australis Media Ltd. Units [STEP]
15.706%, 05/15/03................ 625 84,375
Big City Radio, Inc. Sr. Disc.
Notes [STEP] 144A
10.867%, 03/15/05................ 2,950 2,242,000
Capstar Broadcasting, Inc. Sr. Sub.
Notes
9.25%, 07/01/07.................. 1,400 1,473,500
Chancellor Media Corp. LA Sr. Sub.
Notes Cl-B
8.125%, 12/15/07................. 4,550 4,618,250
Chancellor Media Corp. Notes Cl-B
10.50%, 01/15/07................. 1,700 1,887,000
8.75%, 06/15/07.................. 1,750 1,828,750
Chancellor Media Corp.
Sr. Sub. Notes
9.375%, 10/01/04................. 1,150 1,213,250
Cumulus Media, Inc.
Sr. Sub. Notes
10.375%, 07/01/08................ 1,250 1,268,750
Diva Systems Corp. Units [STEP]
144A
11.896%, 03/01/08................ 2,300 1,092,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Echostar Satellite Broadcasting Co.
Sr. Disc. Notes [STEP]
10.35%, 03/15/04................. $ 4,525 $ 4,185,625
Fox Liberty Networks LLC Sr. Disc.
Notes [STEP]
9.534%, 08/15/07................. 5,550 3,829,500
Fox Liberty Networks LLC Sr. Notes
8.875%, 08/15/07................. 1,125 1,150,312
NWCG Holding Corp. Sr. Disc. Notes
[ZCB]
13.196%, 06/15/99................ 300 284,178
SFX Broadcasting, Inc. Sr. Sub.
Notes Cl-B
10.75%, 05/15/06................. 1,175 1,301,312
Sinclair Broadcasting Group, Inc.
Sr. Sub. Notes
10.00%, 09/30/05................. 2,500 2,693,750
9.00%, 07/15/07.................. 2,000 2,090,000
8.75%, 12/15/07.................. 2,000 2,070,000
Sullivan Broadcasting Holdings Co.
Sr. Sub. Notes
10.25%, 12/15/05................. 1,800 2,061,252
13.25%, 12/15/06................. 150 252,750
Young Broadcasting, Inc. Sr. Sub.
Notes
10.125%, 02/15/05................ 1,175 1,274,875
Young Broadcasting, Inc. Sr. Sub.
Notes Cl-B
9.00%, 01/15/06.................. 500 528,750
------------
40,005,122
------------
BUILDING MATERIALS -- 0.7%
American Builders & Contractors
Supply Co., Inc. Notes Cl-B
10.625%, 05/15/07................ 1,625 1,633,125
Falcon Building Products, Inc. Co.
Guarantee Notes Cl-B [STEP]
9.868%, 06/15/07................. 2,500 1,675,000
Falcon Building Products, Inc. Co.
Guarantee Sr. Sub. Notes Cl-B
9.50%, 06/15/07.................. 350 346,500
------------
3,654,625
------------
BUSINESS SERVICES -- 1.1%
Dialog Corp. PLC Sr. Sub. Notes
Cl-A
11.00%, 11/15/07................. 2,750 3,025,000
U.S. Office Products Co. Sr. Sub.
Notes 144A
9.75%, 06/15/08.................. 2,825 2,856,781
------------
5,881,781
------------
CAPITAL GOODS -- 0.6%
Buckeye Cellulos Corp. Sr. Sub.
Notes
8.50%, 12/15/05.................. 1,500 1,522,500
9.25%, 09/15/08.................. 1,750 1,837,500
------------
3,360,000
------------
CHEMICALS -- 1.9%
Foamex Capital Corp. Sr. Sub. Notes
13.50%, 08/15/05................. 500 580,000
</TABLE>
29
<PAGE> 32
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
ISP Holdings, Inc. Sr. Notes Cl-B
9.75%, 02/15/02.................. $ 1,000 $ 1,055,000
9.00%, 10/15/03.................. 1,475 1,537,687
Polymer Group, Inc. Co. Guarantee
Notes Cl-B
9.00%, 07/01/07.................. 4,275 4,360,500
Polymer Group, Inc. Sr. Sub. Notes
144A
8.75%, 03/01/08.................. 1,350 1,353,375
RBX Corp. Notes Cl-B
11.25%, 10/15/05................. 1,000 610,000
Sterling Chemicals Holdings, Inc.
Sr. Disc. Notes [STEP]
11.611%, 08/15/08................ 2,350 1,351,250
------------
10,847,812
------------
CLOTHING & APPAREL -- 1.9%
Boyds Collection Ltd. Sr. Sub.
Notes 144A
9.00%, 05/15/08.................. 1,950 1,954,875
Brylane LP Sr. Sub. Notes Cl-B
10.00%, 09/01/03................. 1,325 1,401,187
Dyersburg Corp. Co. Guarantee Notes
Cl-B
9.75%, 09/01/07.................. 1,725 1,656,000
GFSI, Inc. Sr. Sub. Notes Cl-B
9.625%, 03/01/07................. 850 888,250
Hosiery Corp. of America, Inc. Sr.
Sub. Notes
13.75%, 08/01/02................. 500 552,500
Pillowtex Corp. Co. Guarantee Notes
Cl-B
9.00%, 12/15/07.................. 2,125 2,194,062
Pillowtex Corp. Sr. Sub. Notes
10.00%, 11/15/06................. 1,950 2,096,250
------------
10,743,124
------------
COMPUTER SERVICES & SOFTWARE -- 0.9%
Alvey Systems, Inc. Sr. Sub. Notes
11.375%, 01/31/03................ 1,750 1,903,125
American Business Information, Inc.
Sr. Sub. Notes 144A
9.50%, 06/15/08.................. 2,000 2,020,000
PSINet, Inc. Sr. Notes Cl-B
10.00%, 02/15/05................. 1,200 1,233,000
------------
5,156,125
------------
CONGLOMERATES -- 1.0%
Eagle-Picher Industries, Inc. Sr.
Sub. Notes 144A
9.375%, 03/01/08................. 2,500 2,537,500
Hermes Europe Railtel BV Sr. Notes
11.50%, 08/15/07................. 2,875 3,234,375
------------
5,771,875
------------
CONSTRUCTION -- 0.7%
American Architectural Co. Co.
Guarantee Notes
11.75%, 12/01/07................. 1,400 1,449,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Building Materials Corp. Sr. Notes
Cl-B
8.00%, 10/15/07.................. $ 2,250 $ 2,272,500
------------
3,721,500
------------
CONSUMER PRODUCTS & SERVICES -- 5.4%
American Safety Razor Co. Sr. Notes
9.875%, 08/01/05................. 1,250 1,334,375
Amscan Holdings, Inc. Sr. Sub.
Notes
9.875%, 12/15/07................. 1,000 1,015,000
Cabot Safety Corp. Sr. Sub. Notes
12.50%, 07/15/05................. 1,500 1,691,250
Chattem, Inc. Sr. Sub. Notes 144A
8.875%, 04/01/08................. 2,200 2,178,000
Collins & Aikman Floor Coverings
Corp. Sr. Sub. Notes
10.00%, 01/15/07................. 1,400 1,477,000
Collins & Aikman Products Corp. Sr.
Sub. Notes
11.50%, 04/15/06................. 3,750 4,195,312
Diamond Brands Operating, Inc. Sr.
Sub. Notes 144A
10.125%, 04/15/08................ 700 703,500
Diamond Brands Operating, Inc.
Debs. [STEP] 144A
12.83%, 04/15/09................. 1,500 810,000
Herff Jones, Inc. Sr. Sub. Notes
11.00%, 08/15/05................. 550 602,250
Glenoit Corp. Co. Guarantee Notes
11.00%, 04/15/07................. 2,000 2,150,000
NBTY, Inc. Sr. Sub. Notes Cl-B
8.625%, 09/15/07................. 2,350 2,397,000
Playtex Family Products Corp. Sr.
Sub. Notes
9.00%, 12/15/03.................. 2,100 2,163,000
Playtex Products, Inc. Notes Cl-B
8.875%, 07/15/04................. 850 875,500
Revlon Consumer Products Corp. Sr.
Notes
8.125%, 02/01/06................. 1,700 1,691,500
Revlon Consumer Products Corp. Sr.
Sub. Notes
8.625%, 02/01/08................. 5,000 5,025,000
Simmons Co. Sr. Sub. Notes
10.75%, 04/15/06................. 1,250 1,343,750
Westpoint Stevens, Inc. Sr. Sub.
Debs.
11.00%, 04/15/07................. 1,000 890,000
------------
30,542,437
------------
CONTAINERS & PACKAGING -- 1.8%
Container Corp. of America Sr.
Notes
11.25%, 05/01/04................. 250 271,250
Four M Corp. Sr. Notes
12.00%, 06/01/06................. 1,300 1,397,500
Owens-Illinois, Inc. Sr. Notes
8.10%, 05/15/07.................. 1,000 1,068,770
Plastic Containers, Inc. Sr. Notes
Cl-B
10.00%, 12/15/06................. 450 486,000
</TABLE>
30
<PAGE> 33
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Stone Container Corp. Sr. Notes
12.58%, 08/01/16 [VR]............ $ 1,550 $ 1,736,000
11.50%, 10/01/04................. 1,200 1,293,000
Tekni-Plex, Inc. Co. Guarantee Sr.
Sub. Notes Cl-B
9.25%, 03/01/08.................. 3,750 3,768,750
------------
10,021,270
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.7%
Amphenol Corp. Sr. Sub. Notes
9.875%, 05/15/07................. 2,000 2,115,000
Electronic Retailing Systems, Inc.
Sr. Disc. Notes [STEP]
13.25%, 02/01/04................. 875 389,375
Viasystems, Inc. Sr. Sub. Notes
Cl-B
9.75%, 06/01/07.................. 1,625 1,600,625
------------
4,105,000
------------
ENTERTAINMENT & LEISURE -- 2.8%
AMF Group, Inc. Sr. Disc. Notes
[STEP]
10.188%, 03/15/06................ 3,137 2,525,285
Premier Parks, Inc. Sr. Disc. Notes
[STEP]
9.883%, 04/01/08................. 3,450 2,311,500
Premier Parks, Inc. Sr. Notes
9.25%, 04/01/06.................. 875 906,719
9.75%, 01/15/07.................. 450 491,062
Premier Parks, Inc. Sr. Notes Cl-A
12.00%, 08/15/03................. 1,600 1,780,000
Regal Cinemas, Inc. Sr. Sub. Notes
144A
9.50%, 06/01/08.................. 3,500 3,552,500
Six Flags Theme Parks Corp. Sr.
Sub. Notes Cl-A [STEP]
12.25%, 06/15/05................. 3,625 4,132,500
------------
15,699,566
------------
ENVIRONMENTAL SERVICES -- 1.2%
Allied Waste Industries, Inc. Sr.
Disc. Notes [STEP]
9.981%, 06/01/07................. 5,150 3,798,125
Allied Waste North America, Inc.
Co. Guarantee Notes
10.25%, 12/01/06................. 2,700 2,973,375
------------
6,771,500
------------
EQUIPMENT SERVICES -- 0.4%
Coinmach Corp. Sr. Notes Cl-D
11.75%, 11/15/05................. 1,981 2,218,720
------------
FARMING & AGRICULTURE -- 0.5%
Dimon, Inc. Sr. Notes
8.875%, 06/01/06................. 1,950 1,950,000
Purina Mills, Inc. Sr. Sub. Notes
144A
9.00%, 03/15/10.................. 950 978,500
------------
2,928,500
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 1.4%
First Nationwide Holdings, Inc. Sr.
Sub. Notes
9.125%, 01/15/03................. $ 525 $ 547,312
10.625%, 10/01/03................ 6,375 7,187,812
------------
7,735,124
------------
FINANCIAL SERVICES -- 0.7%
ContiFinancial Corp. Sr. Notes
8.125%, 04/01/08................. 1,400 1,419,194
PX Escrow Corp. Sr. Disc. Notes
[STEP] 144A
9.395%, 02/01/06................. 1,075 776,687
Unifrax Investment Corp. Sr. Notes
10.50%, 11/01/03................. 1,650 1,732,500
------------
3,928,381
------------
FOOD -- 4.2%
Ameriserv Food Distributor, Inc.
Co. Guarantee Sr. Sub. Notes
8.875%, 10/15/06................. 1,200 1,212,000
10.125%, 07/15/07................ 3,300 3,411,375
Aurora Foods, Inc. Sr. Sub. Notes
144A
8.75%, 07/01/08.................. 1,250 1,275,000
Aurora Foods, Inc. Sr. Sub. Notes
Cl-B
9.875%, 02/15/07................. 1,775 1,890,375
Carr-Gottstein Foods Co. Sr. Sub.
Notes
12.00%, 11/15/05................. 1,025 1,148,000
Curtice-Burns Foods, Inc. Sr. Sub.
Notes
12.25%, 02/01/05................. 1,100 1,210,000
Di Giorgio Corp. Sr. Notes Cl-B
10.00%, 06/15/07................. 1,350 1,346,625
Eagle Family Foods, Inc. Sr. Sub.
Notes 144A
8.75%, 01/15/08.................. 1,450 1,417,375
International Home Foods, Inc. Sr.
Sub. Notes
10.375%, 11/01/06................ 3,800 4,142,000
Jitney-Jungle Stores, Inc. Sr. Sub.
Notes
10.375%, 09/15/07................ 2,850 3,056,625
Nebco Evans Holding Co. Sr. Disc.
Notes [STEP]
11.645%, 07/15/07................ 1,250 868,750
Stater Brothers Holdings, Inc. Sr.
Sub. Notes
9.00%, 07/01/04.................. 1,125 1,158,750
Van de Kamps, Inc. Sr. Sub. Notes
12.00%, 09/15/05................. 1,450 1,660,250
------------
23,797,125
------------
FURNITURE -- 0.5%
Sealy Mattress Co. Sr. Disc. Notes
[STEP] 144A
10.875%, 12/15/07................ 1,000 655,000
Sealy Mattress Co. Sr. Sub. Notes
144A
9.875%, 12/15/07................. 775 794,375
</TABLE>
31
<PAGE> 34
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Werner Holdings Co., Inc. Co.
Guarantee Notes Cl-A
10.00%, 11/15/07................. $ 1,100 $ 1,149,500
------------
2,598,875
------------
HEALTHCARE SERVICES -- 3.6%
Alliance Imaging, Inc. Sr. Sub.
Notes
9.625%, 12/15/05................. 1,150 1,167,250
Everest Healthcare Services, Inc.
Sr. Sub. Notes 144A
9.75%, 05/01/08.................. 1,575 1,614,375
Fisher Scientific International,
Inc. Sr. Sub. Notes
9.00%, 02/01/08.................. 1,725 1,725,000
Genesis Health Ventures, Inc. Sr.
Sub. Notes
9.75%, 06/15/05.................. 1,250 1,290,625
Hudson Respiratory Care, Inc. Sr.
Sub. Notes 144A
9.125%, 04/15/08................. 850 811,750
Icon Fitness Corp. Sr. Disc. Notes
Cl-B [STEP]
14.00%, 11/15/06................. 1,100 335,500
Icon Health & Fitness Corp. Sr.
Sub. Notes Cl-B
13.00%, 07/15/02................. 1,755 1,763,775
Oxford Health Plans, Inc. Sr. Notes
144A
11.00%, 05/15/05................. 350 358,750
Tenet Healthcare Corp. Sr. Sub.
Notes
8.00%, 01/15/05.................. 4,200 4,325,034
8.625%, 01/15/07................. 3,500 3,631,250
8.125%, 12/01/08 144A............ 3,000 3,030,000
------------
20,053,309
------------
HOTELS & MOTELS -- 0.2%
Courtyard by Marriott Sr. Notes
10.75%, 02/01/08................. 1,100 1,212,750
------------
INDUSTRIAL PRODUCTS -- 2.1%
Accuride Corp. Sr. Sub. Notes 144A
9.25%, 02/01/08.................. 1,500 1,507,500
Continental Global Group, Inc. Sr.
Notes Cl-B
11.00%, 04/01/07................. 2,100 2,194,500
Grove Worldwide, Inc. LLC Sr. Sub.
Notes 144A
9.25%, 05/01/08.................. 775 771,125
JTM Industries, Inc. Sr. Sub. Notes
144A
10.00%, 04/15/08................. 1,600 1,632,000
MMI Products, Inc. Sr. Sub. Notes
Cl-B
11.25%, 04/15/07................. 1,600 1,760,000
Wesco Distribution, Inc. Sr. Sub.
Notes 144A
10.75%, 06/01/08................. 3,050 3,034,750
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Wesco International, Inc. Sr. Disc.
Notes [STEP] 144A
11.15%, 06/01/08................. $ 1,400 $ 826,000
------------
11,725,875
------------
MACHINERY & EQUIPMENT -- 1.6%
Anchor Lamina, Inc. Sr. Sub. Notes
9.88%, 02/01/08.................. 1,225 1,200,500
Clark Materials Handling Corp. Co.
Guarantee Sr. Sub. Notes
10.75%, 11/15/06................. 2,625 2,795,625
Columbus McKinnon Corp. Sr. Sub.
Notes 144A
8.50%, 04/01/08.................. 1,050 1,042,125
Fairfield Manufacturing Co. Sr.
Sub. Notes
11.375%, 07/01/01................ 900 938,250
Hawk Corp. Sr. Notes
10.25%, 12/01/03................. 160 174,400
Johnstown America Industries, Inc.
Sr. Sub. Notes Cl-C
11.75%, 08/15/05................. 700 778,750
National Equipment Services Sr.
Sub. Notes 144A
10.00%, 11/30/04................. 1,275 1,294,125
Ryder TRS, Inc. Sr. Sub. Notes
11.50%, 08/01/06................. 672 776,160
------------
8,999,935
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.7%
CONMED Corp. Co. Guarantee Sr. Sub.
Notes
9.00%, 03/15/08.................. 1,200 1,200,000
Dade International, Inc. Sr. Sub.
Notes Cl-B
11.125%, 05/01/06................ 2,325 2,627,250
------------
3,827,250
------------
METALS & MINING -- 1.9%
AEI Holding Co. Sr. Notes 144A
10.00%, 11/15/07................. 1,400 1,403,500
Anker Coal Group, Inc. Sr. Notes
Cl-B
9.75%, 10/01/07.................. 450 411,750
Euramax International PLC Sr. Sub.
Notes
11.25%, 10/01/06................. 1,375 1,491,875
GS Technologies Operating Corp. Sr.
Notes
12.00%, 09/01/04................. 975 1,060,312
12.25%, 10/01/05................. 1,525 1,692,750
Neenah Corp. Sr. Sub. Notes Cl-B
11.125%, 05/01/07................ 1,375 1,505,625
Royal Oak Mines, Inc. Sr. Sub.
Notes
11.00%, 08/15/06................. 1,150 983,250
Ryerson Tull, Inc. Notes
8.50%, 07/15/01.................. 1,000 1,045,000
9.125%, 07/15/06................. 900 1,003,500
------------
10,597,562
------------
</TABLE>
32
<PAGE> 35
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
OFFICE EQUIPMENT -- 0.4%
United Stationers Supply Co. Sr.
Sub. Notes
12.75%, 05/01/05................. $ 1,169 $ 1,338,505
8.375%, 04/15/08 144A............ 800 804,000
------------
2,142,505
------------
OIL & GAS -- 4.1%
Abraxas Petroleum Corp. Co.
Guarantee Notes Cl-D
11.50%, 11/01/04................. 1,525 1,578,375
Chiles Offshore LLC Sr. Notes 144A
10.00%, 05/01/08................. 1,875 1,818,750
Dailey International, Inc. Co.
Guarantee Notes Cl-B
9.50%, 02/15/08.................. 3,700 3,644,500
DI Industries, Inc. Sr. Notes
8.875%, 07/01/07................. 1,525 1,479,250
Forcenergy, Inc. Sr. Sub. Notes
9.50%, 11/01/06.................. 2,650 2,676,500
8.50%, 02/15/07.................. 1,450 1,377,500
Houston Exploration Co. Sr. Sub.
Notes Cl-B
8.625%, 01/01/08................. 1,000 1,000,000
KCS Energy, Inc. Sr. Sub. Notes
8.875%, 01/15/08................. 1,200 1,146,000
Nuevo Energy Co. Sr. Sub. Notes
144A
8.875%, 06/01/08................. 625 635,937
Ocean Energy, Inc. Sr. Sub. Notes
10.375%, 10/15/05................ 1,775 1,961,375
Pacalta Resource Ltd. Sr. Notes
Cl-B
10.75%, 06/15/04................. 1,050 1,050,000
Pride Petroleum Services, Inc. Sr.
Notes
9.375%, 05/01/07................. 2,500 2,643,750
Universal Compression Holdings,
Inc. Sr. Disc. Notes [STEP] 144A
11.375%, 02/15/09................ 350 215,250
9.739%, 02/15/08................. 3,175 2,016,125
------------
23,243,312
------------
PAPER & FOREST PRODUCTS -- 0.3%
S.D. Warren Co. Sr. Sub. Notes
12.00%, 12/15/04................. 1,300 1,446,250
------------
PRINTING & PUBLISHING -- 1.9%
Affiliated Newspaper Investments,
Inc. Sr. Disc. Notes [STEP]
12.733%, 07/01/06................ 2,200 2,145,000
Garden State Newspapers, Inc.
Sr. Sub. Notes
12.00%, 07/01/04................. 200 223,000
Garden State Newspapers, Inc. Sr.
Sub. Notes Cl-B
8.75%, 10/01/09.................. 2,575 2,626,500
Hollinger International Publishing
Co. Guarantee Notes
9.25%, 02/01/06.................. 800 840,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Hollinger International Publishing
Co. Guarantee Sr. Sub. Notes
9.25%, 03/15/07.................. $ 1,950 $ 2,047,500
K-III Communications Corp. Sr.
Notes
8.50%, 02/01/06.................. 1,000 1,027,450
Ziff-Davis, Inc. Sr. Sub. Notes
8.50%, 05/01/08.................. 1,575 1,598,625
------------
10,508,075
------------
REAL ESTATE -- 0.3%
Trizec Finance Ltd. Sr. Notes
10.875%, 10/15/05................ 1,457 1,646,410
------------
RETAIL & MERCHANDISING -- 0.4%
Community Distributors, Inc. Co.
Guarantee Notes Cl-B
10.25%, 10/15/04................. 1,000 1,015,000
Leslie's Poolmart, Inc. Sr. Notes
10.375%, 07/15/04................ 950 1,002,250
------------
2,017,250
------------
SEMICONDUCTORS -- 0.2%
Fairchild Semiconductor Corp. Sr.
Sub. Notes
10.125%, 03/15/07................ 800 820,000
------------
TELECOMMUNICATIONS -- 30.2%
American Cellular Corp. Sr. Notes
144A
10.50%, 05/15/08................. 3,150 3,157,875
Arch Communications Group, Inc. Sr.
Disc. Notes [STEP]
14.416%, 03/15/08................ 1,200 672,000
Arch Communications, Inc. Sr. Notes
144A
12.75%, 07/01/07................. 1,400 1,421,000
Call-Net Enterprises, Inc. Sr.
Disc. Notes [STEP]
8.522%, 08/15/07................. 4,100 2,890,500
Charter Communications Southeast
Holdings Capital Corp. Disc.
Notes Cl-B [STEP]
10.733%, 03/15/07................ 900 742,500
Charter Communications Southeast
Holdings Capital Corp. Sr. Notes
Cl-B
11.25%, 03/15/06................. 1,150 1,282,250
Comcast Cellular Holdings Corp. Sr.
Notes Cl-B
9.50%, 05/01/07.................. 1,975 2,073,750
Comcast Corp. Sr. Sub. Debs.
9.375%, 05/15/05................. 2,500 2,681,250
Comcast U.K. Cable Corp. Debs.
[STEP]
10.997%, 11/15/07................ 2,900 2,436,000
CSC Holdings, Inc. Sr. Notes
7.875%, 12/15/07................. 1,700 1,802,000
CSC Holdings, Inc. Sr. Sub. Debs.
9.875%, 02/15/13................. 500 553,750
</TABLE>
33
<PAGE> 36
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CSC Holdings, Inc. Sr. Sub Notes
9.25%, 11/01/05.................. $ 3,925 $ 4,219,375
9.875%, 05/15/06................. 300 330,000
Diamond Cable Communications PLC
Sr. Disc. Notes [STEP]
10.751%, 12/15/05................ 4,000 3,330,000
Diamond Holdings PLC Sr. Notes
9.125%, 02/01/08................. 1,875 1,968,750
e.spire Communications, Inc. Sr.
Disc. Notes [STEP]
10.856%, 11/01/05................ 600 489,000
13.748%, 04/01/06................ 1,400 1,085,000
e.spire Communications, Inc. Sr.
Notes
13.75%, 07/15/07................. 875 1,004,062
Esprit Telecom Group PLC Sr. Notes
11.50%, 12/15/07................. 750 775,313
HighwayMaster Communications, Inc.
Sr. Notes Cl-B
13.75%, 09/15/05................. 1,050 787,500
ICG Services, Inc. Sr. Disc. Notes
[STEP] 144A
9.875%, 05/01/08................. 850 497,250
Intelcom Group (U.S.A.), Inc. Notes
[STEP]
10.013%, 05/01/06................ 3,000 2,358,750
Intermedia Communications of
Florida, Inc. Sr. Disc. Notes
[STEP]
10.749%, 05/15/06................ 4,850 4,001,250
Intermedia Communications, Inc. Sr.
Disc. Notes Cl-B [STEP]
7.758%, 07/15/07................. 2,325 1,708,875
Intermedia Communications, Inc. Sr.
Notes 144A
8.60%, 06/01/08.................. 1,900 1,933,250
Intermedia Communications, Inc. Sr.
Notes Cl-B
8.875%, 11/01/07................. 1,000 1,025,000
International CableTel, Inc. Sr.
Notes Cl-B [STEP]
10.408%, 02/01/06................ 5,100 4,207,500
10.153%, 04/15/05................ 1,050 929,250
IXC Communications, Inc. Sr. Sub.
Notes 144A
9.00%, 04/15/08.................. 1,450 1,460,875
Lenfest Communications, Inc. Sr.
Notes
8.375%, 11/01/05................. 2,150 2,295,125
Lenfest Communications, Inc. Sr.
Sub. Notes 144A
8.25%, 02/15/08.................. 1,775 1,850,438
Level 3 Communications, Inc. Sr.
Notes 144A
9.125%, 05/01/08................. 9,500 9,310,000
McLeodUSA, Inc. Sr. Disc. Notes
[STEP]
9.976%, 03/01/07................. 3,625 2,718,750
McLeodUSA, Inc. Sr. Notes
9.25%, 07/15/07.................. 1,300 1,355,250
8.375%, 03/15/08................. 1,250 1,253,125
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
MetroNet Communications Corp. Sr.
Disc. Notes [STEP]
9.895%, 06/15/08 144A............ $ 4,550 $ 2,838,063
10.299%, 11/01/07................ 1,925 1,282,531
MetroNet Communications Corp. Sr.
Notes
12.00%, 08/15/07................. 1,525 1,723,250
Millicom International Cellular,
Inc. SA Sr. Disc. Notes [STEP]
11.01%, 06/01/06................. 4,275 3,323,813
Nextel Communications, Inc. Sr.
Disc. Notes [STEP]
9.859%, 02/15/08 144A............ 8,200 5,319,750
10.053%, 09/15/07................ 3,375 2,303,438
Nextel International, Inc. Sr.
Disc. Notes [STEP] 144A
12.125%, 04/15/08................ 1,750 1,028,125
NEXTLINK Communications, Inc. Sr.
Disc. Notes [STEP] 144A
9.45%, 04/15/08.................. 2,000 1,235,000
NEXTLINK Communications, Inc. Sr.
Notes
9.625%, 10/01/07................. 1,250 1,281,250
9.00%, 03/15/08 144A............. 1,575 1,575,000
NTL, Inc. Sr. Notes [STEP] 144A
9.602%, 04/01/08................. 5,525 3,618,875
Paging Network, Inc. Sr. Sub. Notes
10.00%, 10/15/08................. 5,100 5,323,125
Pathnet, Inc. Units 144A
12.25%, 04/15/08................. 2,350 2,502,750
Pegasus Communications Corp. Sr.
Notes Cl-B
9.625%, 10/15/05................. 2,125 2,199,375
Pegasus Media & Communications,
Inc. Notes
12.50%, 07/01/05................. 975 1,106,625
Qwest Communications International,
Inc. Sr. Disc. Notes [STEP]
8.29%, 02/01/08 144A............. 2,250 1,631,250
8.591%, 10/15/07................. 3,100 2,328,875
Qwest Communications International,
Inc. Sr. Notes Cl-B
10.875%, 04/01/07................ 1,750 2,021,250
Rogers Cablesystems of America,
Inc. Sr. Notes
10.00%, 12/01/07................. 1,350 1,505,250
11.00%, 12/01/15................. 750 866,250
Rogers Cablesystems of America,
Inc. Sr. Notes Cl-B
10.00%, 03/15/05................. 2,500 2,787,500
Rogers Cantel, Inc. Sr. Sub. Notes
8.80%, 10/01/07.................. 4,000 3,985,000
Sitel Corp. Sr. Sub. Notes 144A
9.25%, 03/15/06.................. 2,800 2,730,000
Sygnet Wireless, Inc. Sr. Notes
11.50%, 10/01/06................. 1,425 1,567,500
</TABLE>
34
<PAGE> 37
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Telecommunications Techniques Co.
Sr. Sub. Notes 144A
9.75%, 05/15/08.................. $ 3,250 $ 3,339,375
Telesystem International Wireless,
Inc. Sr. Disc. Notes C1-B [STEP]
12.344%, 06/30/07................ 5,125 3,395,313
Telesystem International Wireless,
Inc. Sr. Disc. Notes C1-C [STEP]
10.50%, 11/01/07................. 800 478,000
Telewest Communications PLC Debs.
[STEP]
10.457%, 10/01/07................ 8,325 6,909,750
Teligent, Inc. Sr. Disc. Notes
[STEP] 144A
11.70%, 03/01/08................. 1,000 550,000
Teligent, Inc. Sr. Notes
11.50%, 12/01/07................. 3,250 3,290,625
Triton Communications LLC Sr. Disc.
Notes [STEP] 144A
11.00%, 05/01/08................. 4,525 2,567,938
UIH Australia Pacific, Inc. Sr.
Disc. Notes [STEP]
12.854%, 05/15/06................ 3,100 1,875,500
United International Holdings, Inc.
Sr. Disc. Notes Cl-B [STEP]
10.75%, 02/15/08................. 4,300 2,687,500
US Xchange LLC Sr. Notes 144A
15.00%, 07/01/08................. 1,425 1,471,313
USA Mobile Communications Holdings,
Inc. Sr. Notes
9.50%, 02/01/04.................. 1,050 960,750
Vanguard Cellular Systems, Inc.
Debs.
9.375%, 04/15/06................. 2,000 2,110,000
Viacom, Inc. Sub. Debs.
8.00%, 07/07/06.................. 10,000 10,362,500
Viatel, Inc. Units 144A
11.473%, 04/15/08 [STEP]......... 850 522,750
11.25%, 04/15/08................. 2,525 2,663,875
------------
169,875,597
------------
TRANSPORTATION -- 2.8%
Allied Holdings, Inc. Notes Cl-B
8.625%, 10/01/07................. 1,400 1,414,000
Ameritruck Distribution Corp. Sr.
Sub. Notes
12.25%, 11/15/05................. 1,950 1,140,750
Chemical Leaman Corp. Sr. Notes
10.375%, 06/15/05................ 1,500 1,593,750
Gearbulk Holding Ltd. Sr. Notes
11.25%, 12/01/04................. 1,400 1,536,500
Holt Group Sr. Notes 144A
9.75%, 01/15/06.................. 1,350 1,329,750
Johnstown America Industries, Inc.
Sr. Sub. Notes
11.75%, 08/15/05................. 600 667,500
Statia Terminals, Inc. First Mtge.
Cl-A
11.75%, 11/15/03................. 1,000 1,050,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Stena AB Sr. Notes
10.50%, 12/15/05................. $ 3,275 $ 3,577,938
8.75%, 06/15/07.................. 2,175 2,191,313
10.625%, 06/01/08................ 1,250 1,273,438
------------
15,774,939
------------
UTILITIES -- 0.7%
California Energy Co., Inc. Sr.
Notes
9.50%, 09/15/06.................. 1,000 1,083,750
El Paso Electric Co. First Mtge.
Cl-E
9.40%, 05/01/11.................. 1,075 1,242,990
International Utility Structures,
Inc. Sr. Sub. Notes 144A
10.75%, 02/01/08................. 725 743,125
Niagara Mohawk Power Corp. Sr.
Disc. Notes Cl-H [STEP]
8.419%, 07/01/10................. 1,600 1,108,832
------------
4,178,697
------------
TOTAL CORPORATE OBLIGATIONS
(COST $493,575,731).................. 503,650,388
------------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. TREASURY NOTES
5.75%, 08/15/03
(COST $3,807,817)................ 4,000 4,043,920
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCK -- 0.1%
BROADCASTING -- 0.0%
Sullivan Broadcasting Holdings
Co.* ............................ 2,400 72,000
------------
CAPITAL GOODS -- 0.0%
Australis Holdings Warrants*....... 1,000 0
------------
CHEMICALS -- 0.0%
Sterling Chemicals Holdings
Warrants*........................ 1,075 25,800
------------
CLOTHING & APPAREL -- 0.0%
Hosiery Corp. of America, Inc.* ... 400 2,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.0%
Electronic Retailing, Inc. 144A ... 875 8,750
------------
ENVIRONMENTAL SERVICES -- 0.0%
ICF Kaiser International, Inc.
Warrants*........................ 1,200 300
------------
HEALTHCARE SERVICES -- 0.0%
Icon Health & Fitness Warrants
144A*............................ 250 1,250
------------
METALS & MINING -- 0.0%
Bar Technologies, Inc. Warrants
144A*............................ 300 16,500
------------
PRINTING & PUBLISHING -- 0.0%
Affiliated Newspaper Investments,
Inc.*............................ 1,000 120,000
------------
TELECOMMUNICATIONS -- 0.1%
Cellular Communications
International, Inc. Warrants*.... 1,100 44,000
HighwayMaster Communications, Inc.
Warrants*........................ 1,050 2,625
</TABLE>
35
<PAGE> 38
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MetroNet Communications Corp.
Warrants 144A*................... 1,525 $ 72,628
Pegasus Communications Corp.
144A............................. 1,128 24,534
Pegasus Communications Corp.
Warrants*........................ 1,500 49,500
UIH Australia Warrants*............ 3,100 15,888
Wireless One, Inc. Warrants*....... 1,500 0
------------
209,175
------------
TOTAL COMMON STOCK
(COST $28,237)....................... 455,775
------------
PREFERRED STOCK -- 4.6%
BROADCASTING -- 1.8%
American Radio Systems Corp. Cl-B
11.375% [PIK].................... 18,357 2,184,483
Capstar Broadcasting Corp. 12.00%
[PIK]............................ 7,335 865,554
Chancellor Broadcasting Co.
12.25% [PIK]..................... 7,500 1,080,000
Cumulus Media, Inc. Cl-A 13.75%.... 1,250 1,278,125
Echostar Communications Corp. Cl-B
12.125% [PIK].................... 628 697,558
SFX Broadcasting, Inc. Cl-E 12.625%
[PIK]............................ 16,106 1,912,588
Sinclair Broadcast Group, Inc. Cl-A
$11.625.......................... 18,500 2,051,188
------------
10,069,496
------------
FINANCIAL SERVICES -- 0.2%
California Federal Capital Corp.
Cl-A 9.125% [PIK]................ 30,000 828,750
------------
FOOD -- 0.1%
Nebco Evans Holding Co. 11.25%
[PIK]............................ 7,186 734,746
------------
HEALTHCARE SERVICES -- 0.1%
River Holding Corp. 11.50% [PIK]
144A............................. 5,000 508,750
------------
INDUSTRIAL PRODUCTS -- 0.0%
International Utility Structures,
Inc. $13.00 [PIK] 144A........... 125 136,875
------------
MACHINERY & EQUIPMENT -- 0.1%
Fairfield Manufacturing Co., Inc.
$11.25........................... 650 705,250
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PRINTING & PUBLISHING -- 1.0%
Primedia, Inc. Cl-H $8.625......... 30,500 $ 2,973,750
Primedia, Inc. Cl-D $10.00......... 10,750 1,136,813
Primedia, Inc. Cl-F $9.20.......... 15,000 1,526,250
------------
5,636,813
------------
TELECOMMUNICATIONS -- 1.1%
Bendek Communications Corp.
11.50% [PIK] 144A................ 1,600 1,616,000
Nextel Communications, Inc.
11.125% [PIK] 144A............... 771 797,985
Nextel Communications, Inc.
13.00% [PIK]..................... 932 1,048,499
Pegasus Communications Corp. Cl-A
12.75% [PIK]..................... 2,154 2,434,126
------------
5,896,610
------------
UTILITIES -- 0.2%
El Paso Electric Co.
11.40% [PIK]..................... 12,188 1,346,774
------------
TOTAL PREFERRED STOCK
(COST $23,039,346)................... 25,864,064
------------
<CAPTION>
PAR
(000)
--------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 3.3%
Greenwich Capital Markets, Inc.,
5.25% dated 06/30/98, maturing
07/01/98, repurchase price
$18,536,703 (Collateralized by
U.S. Treasury Bonds, par value
$11,812,000, market value
$18,955,201 due 08/15/14)
(COST $18,534,000)............... $ 18,534 18,534,000
------------
SHARES
--------
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund..... 124,216 124,216
Temporary Investment Fund.......... 124,216 124,216
------------
(COST $248,432).................... 248,432
------------
TOTAL INVESTMENTS -- 98.4%
(COST $539,233,563).................. 552,796,579
OTHER ASSETS LESS
LIABILITIES -- 1.6%.................. 8,972,677
------------
NET ASSETS -- 100.0%................... $561,769,256
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* 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 19.7% of net assets.
See Notes to Financial Statements.
36
<PAGE> 39
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 47.2%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ............... 3,800 $ 189,525
------------
AEROSPACE -- 0.8%
AlliedSignal, Inc. ................ 8,200 363,875
Boeing Co. ........................ 11,768 524,411
Litton Industries, Inc.* .......... 1,000 59,000
Lockheed Martin Corp. ............. 2,800 296,450
Northrop Grumman Corp. ............ 1,100 113,437
Primex Technologies, Inc. ......... 420 21,526
Raytheon Co. Cl-A ................. 535 30,830
Raytheon Co. Cl-B ................. 2,500 147,813
Rockwell International Corp. ...... 2,800 134,576
United Technologies Corp. ......... 3,600 333,000
------------
2,024,918
------------
AIRLINES -- 0.2%
Alaska Air Group, Inc.* ........... 2,700 147,320
AMR Corp.* ........................ 3,800 316,350
Delta Air Lines, Inc. ............. 800 103,400
Southwest Airlines Co. ............ 2,500 74,063
------------
641,133
------------
AUTOMOBILE MANUFACTURERS -- 0.8%
Chrysler Corp. .................... 5,800 326,976
Ford Motor Co. .................... 14,500 855,500
General Motors Corp. .............. 9,100 607,995
Honda Motor Co. Ltd. [ADR] ........ 4,800 342,900
------------
2,133,371
------------
AUTOMOTIVE PARTS -- 0.4%
Arvin Industries, Inc. ............ 1,300 47,207
Eaton Corp. ....................... 800 62,200
Echlin, Inc. ...................... 3,100 152,095
Federal-Mogul Corp. ............... 1,000 67,500
Genuine Parts Co. ................. 5,750 198,735
Goodyear Tire & Rubber Co. ........ 2,400 154,650
Mark IV Industries, Inc. .......... 2,100 45,413
Superior Industries International,
Inc. ............................ 700 19,732
TRW, Inc. ......................... 3,400 185,725
------------
933,257
------------
BEVERAGES -- 1.4%
Anheuser-Busch Companies, Inc. .... 5,400 254,813
Cadbury Schweppes PLC [ADR] ....... 3,473 214,024
Coca-Cola Co. ..................... 26,200 2,240,100
Coca-Cola Enterprises, Inc. ....... 6,900 270,825
PepsiCo, Inc. ..................... 17,300 712,544
------------
3,692,306
------------
BROADCASTING -- 0.3%
CBS Corp. ......................... 4,500 142,875
Chris-Craft Industries, Inc.* ..... 1,379 75,414
Clear Channel Communications,
Inc.* ........................... 2,200 240,075
Gannett Co., Inc. ................. 5,200 369,525
------------
827,889
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BUILDING MATERIALS -- 0.2%
CalMat Co. ........................ 1,700 $ 37,400
Clayton Homes, Inc. ............... 2,500 47,500
Martin Marietta Materials Corp. ... 1,400 63,000
Masco Corp. ....................... 3,600 217,800
Modine Manufacturing Co. .......... 900 31,162
Vulcan Materials Co. .............. 900 96,019
------------
492,881
------------
BUSINESS SERVICES -- 0.2%
Cognizant Corp. ................... 3,500 220,500
Dun & Bradstreet Corp. ............ 1,500 54,188
Equifax, Inc. ..................... 3,700 134,356
Manpower, Inc. .................... 1,700 48,769
Navigant International, Inc.* ..... 215 1,834
Olsten Corp. ...................... 2,000 22,375
Robert Half International,
Inc.* ........................... 2,250 125,719
------------
607,741
------------
CHEMICALS -- 1.2%
AKZO Nobel NV [ADR] ............... 1,000 110,875
Cabot Corp. ....................... 2,300 74,319
Crompton & Knowles Corp. .......... 3,800 95,712
Dexter Corp. ...................... 1,500 47,719
Dow Chemical Co. .................. 3,600 348,075
Du Pont, (E.I.) de Nemours &
Co. ............................. 13,400 999,975
FMC Corp.* ........................ 1,600 109,100
Great Lakes Chemical Corp. ........ 2,500 98,594
Hanna, (M.A.) Co. ................. 2,100 38,456
IMC Global, Inc. .................. 2,000 60,250
Lubrizol Corp. .................... 2,200 66,550
Monsanto Co. ...................... 7,600 424,650
Morton International, Inc. ........ 4,500 112,500
Olin Corp. ........................ 2,100 87,544
Pall Corp. ........................ 5,400 110,700
PPG Industries, Inc. .............. 2,800 194,775
Rohm & Haas Co. ................... 1,600 166,300
Schulman, (A.), Inc. .............. 2,000 39,125
Solutia, Inc. ..................... 1,160 33,277
Witco Corp. ....................... 3,100 90,675
------------
3,309,171
------------
CLOTHING & APPAREL -- 0.3%
Cintas Corp. ...................... 3,600 183,600
Jones Apparel Group, Inc.* ........ 5,200 190,125
Nike, Inc. Cl-B ................... 4,000 194,750
Springs Industries, Inc. Cl-A ..... 2,000 92,250
Unifi, Inc. ....................... 2,500 85,625
------------
746,350
------------
COMPUTER HARDWARE -- 1.4%
Bay Networks, Inc.* ............... 2,800 90,300
Compaq Computer Corp. ............. 18,068 512,679
Dell Computer Corp.* .............. 10,400 965,250
EMC Corp.* ........................ 6,400 286,800
Hewlett-Packard Co. ............... 10,800 646,650
International Business Machines
Corp. ........................... 9,900 1,136,644
Quantum Corp.* .................... 2,900 60,175
</TABLE>
37
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T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Seagate Technology, Inc.* ......... 4,500 $ 107,156
Stratus Computer, Inc.* ........... 1,100 27,844
------------
3,833,498
------------
COMPUTER SERVICES & SOFTWARE -- 2.9%
Adobe Systems, Inc. ............... 600 25,462
America Online, Inc.* ............. 4,600 487,600
Automatic Data Processing, Inc. ... 4,000 291,500
Aztec Technology Partners,
Inc.* ........................... 430 3,279
BMC Software, Inc.* ............... 4,800 249,300
Cadence Design Systems, Inc.* ..... 4,500 140,625
Ceridian Corp.* ................... 2,600 152,750
Cisco Systems, Inc.* .............. 9,750 897,609
CompUSA, Inc.* .................... 2,400 43,350
Computer Associates International,
Inc. ............................ 7,362 409,051
Compuware Corp.* .................. 4,300 219,837
DST Systems, Inc.* ................ 900 50,400
Electronic Arts, Inc.* ............ 1,500 81,000
First Data Corp. .................. 5,400 179,887
Fiserv, Inc.* ..................... 1,650 70,073
Informix Corp.* ................... 2,900 22,928
Microsoft Corp.* .................. 27,200 2,947,800
Network Associates, Inc.* ......... 1,950 93,356
Novell, Inc.* ..................... 9,500 121,125
Oracle Corp.* ..................... 12,850 315,628
Parametric Technology Corp.* ...... 5,000 135,625
Paychex, Inc. ..................... 5,400 219,712
Policy Management Systems
Corp.* .......................... 800 31,400
Sterling Commerce, Inc.* .......... 2,200 106,700
Storage Technology Corp.* ......... 3,000 130,125
Structural Dynamics Research
Corp.* .......................... 1,300 30,062
Sun Microsystems, Inc.* ........... 4,900 212,844
Sungard Data Systems, Inc.* ....... 2,100 80,587
------------
7,749,615
------------
CONGLOMERATES -- 0.7%
Hanson PLC [ADR] .................. 337 10,215
Minnesota Mining & Manufacturing
Co. ............................. 5,000 410,937
Philip Morris Companies, Inc. ..... 26,100 1,027,687
Tomkins PLC [ADR] ................. 6,000 137,250
Tyco International Ltd. ........... 4,000 252,000
------------
1,838,089
------------
CONSTRUCTION -- 0.1%
Armstrong World Industries,
Inc. ............................ 800 53,900
Granite Construction, Inc. ........ 1,100 33,687
Jacobs Engineering Group, Inc.* ... 1,700 54,612
------------
142,199
------------
CONSUMER PRODUCTS & SERVICES -- 1.7%
A.C. Nielsen Corp.* ............... 1,500 37,875
Cendant Corp.* .................... 12,168 254,007
Colgate-Palmolive Co. ............. 4,000 352,000
Corning, Inc. ..................... 5,200 180,700
Cross, (A.T.) Co. Cl-A ............ 1,400 20,825
Eastman Kodak Co. ................. 3,300 241,106
Fortune Brands, Inc. .............. 2,400 92,250
Gallaher Group PLC [ADR] .......... 2,400 52,500
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Gillette Co. ...................... 12,800 $ 725,600
Imperial Tobacco Group
PLC [ADR] ....................... 675 9,830
International Flavors &
Fragrances, Inc. ................ 3,200 139,000
Lancaster Colony Corp. ............ 1,050 39,769
National Presto Industries,
Inc. ............................ 800 31,150
Ogden Corp. ....................... 1,000 27,687
Pittston Brink Group .............. 1,300 47,937
Premark International, Inc. ....... 1,800 58,050
Procter & Gamble Co. .............. 15,200 1,384,150
Shaw Industries, Inc. ............. 2,000 35,250
Sotheby's Holdings, Inc. Cl-A ..... 1,500 33,562
Stewart Enterprises, Inc. ......... 2,200 58,575
Unilever NV ....................... 9,400 742,012
Whitman Corp. ..................... 2,500 57,344
------------
4,621,179
------------
CONTAINERS & PACKAGING -- 0.1%
Bemis Co., Inc. ................... 2,700 110,362
First Brands Corp. ................ 1,000 25,625
Owens-Illinois, Inc.* ............. 3,700 165,575
Sealed Air Corp.* ................. 2,400 88,200
------------
389,762
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.3%
AES Corp.* ........................ 3,700 194,481
Altera Corp.* ..................... 4,300 127,119
American Power Conversion
Corp.* .......................... 2,700 81,000
Analog Devices, Inc.* ............. 7,533 185,029
Applied Materials, Inc.* .......... 5,200 153,400
Arrow Electronics, Inc.* .......... 2,500 54,375
Diebold, Inc. ..................... 2,700 77,962
Emerson Electric Co. .............. 6,000 362,250
General Electric Co. .............. 34,700 3,157,700
Hitachi Ltd. [ADR] ................ 2,400 154,800
Honeywell, Inc. ................... 2,000 167,125
Hubbell, Inc. Cl-B ................ 2,000 83,250
Linear Technology Corp. ........... 1,900 114,594
Maxim Integrated Products,
Inc.* ........................... 4,000 126,750
Molex, Inc. ....................... 4,375 109,375
Royal Philips Electronics NV
[ADR] ........................... 3,600 306,000
SCI Systems, Inc.* ................ 1,400 52,675
Solectron Corp.* .................. 3,000 126,187
Sundstrand Corp. .................. 2,200 125,950
Symbol Technologies, Inc. ......... 1,575 59,456
Tandy Corp. ....................... 1,200 63,675
Teleflex, Inc. .................... 1,800 68,400
Teradyne, Inc.* ................... 2,500 66,875
Texas Instruments, Inc. ........... 3,900 227,419
Varian Associates, Inc. ........... 700 27,300
------------
6,273,147
------------
ENTERTAINMENT & LEISURE -- 0.8%
Brunswick Corp. ................... 2,000 49,500
Callaway Golf Co. ................. 2,200 43,312
Circus Circus Enterprises,
Inc.* ........................... 2,700 45,731
Disney, (Walt) Co. ................ 7,264 763,174
Harley-Davidson, Inc. ............. 3,800 147,250
</TABLE>
38
<PAGE> 41
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Mattel, Inc. ...................... 2,800 $ 118,475
Mirage Resorts, Inc.* ............. 3,800 80,987
President Casinos, Inc.
Warrants* ....................... 883 44
Time Warner, Inc. ................. 6,900 589,519
Viacom, Inc. Cl-B* ................ 5,000 291,250
------------
2,129,242
------------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries,
Inc. ............................ 3,240 112,590
Tetra Tech, Inc.* ................. 1,500 36,375
U.S. Filter Corp.* ................ 2,300 64,544
USA Waste Services, Inc.* ......... 5,000 246,875
Waste Management, Inc. ............ 5,323 186,305
------------
646,689
------------
EQUIPMENT SERVICES -- 0.0%
Agco Corp. ........................ 2,100 43,181
------------
FINANCIAL-BANK & TRUST -- 4.2%
Australia and New Zealand Banking
Group Ltd. [ADR] ................ 3,600 123,075
Banc One Corp. .................... 8,030 448,174
Banco Bilbao Vizcaya [ADR] ........ 9,000 459,000
Banco Frances SA [ADR] ............ 5,060 116,064
BankAmerica Corp. ................. 7,300 630,994
BankBoston Corp. .................. 3,000 166,875
Charter One Financial, Inc. ....... 2,800 94,325
Chase Manhattan Corp. ............. 9,712 733,256
Citicorp .......................... 5,200 776,100
City National Corp. ............... 1,800 66,487
Crestar Financial Corp. ........... 2,600 141,862
Dime Bancorp, Inc. ................ 2,600 77,837
Fifth Third Bancorp ............... 4,725 297,675
First Chicago NBD Corp. ........... 4,200 372,225
First Security Corp. .............. 7,087 151,706
First Tennessee National Corp. .... 5,400 170,437
First Union Corp. ................. 12,608 734,416
Firstar Corp. ..................... 3,100 117,800
Fleet Financial Group, Inc. ....... 3,600 300,600
Golden West Financial Corp. ....... 800 85,050
Hibernia Corp. Cl-A ............... 3,100 62,581
Huntington Bancshares, Inc. ....... 3,600 120,600
Keycorp ........................... 8,000 285,000
Marshall & Ilsley Corp. ........... 2,000 102,125
Mellon Bank Corp. ................. 4,400 306,350
Mercantile Bancorporation, Inc. ... 3,000 151,125
Mercantile Bankshares Corp. ....... 2,700 93,994
Morgan, (J.P.) & Co., Inc. ........ 2,600 304,525
National City Corp. ............... 2,160 153,360
NationsBank Corp. ................. 9,600 734,400
Northern Trust Corp. .............. 3,600 274,500
Norwest Corp. ..................... 10,800 403,650
Pacific Century Financial Corp. ... 3,000 72,000
PNC Bank Corp. .................... 5,520 297,045
Regions Financial Corp. ........... 2,700 110,869
Silicon Valley Bancshares* ........ 1,400 49,831
Southtrust Corp. .................. 4,500 195,750
State Street Boston Corp. ......... 2,900 201,550
Summit Bancorp .................... 3,300 156,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TCF Financial Corp. ............... 2,100 $ 61,950
U.S. Bancorp ...................... 13,659 587,337
Union Planters Corp. .............. 1,200 70,575
Wells Fargo & Co. ................. 1,100 405,900
Wilmington Trust Corp. ............ 900 54,787
------------
11,320,512
------------
FINANCIAL SERVICES -- 1.9%
AMBAC, Inc. ....................... 1,600 93,600
American Express Co. .............. 5,100 581,400
Associates First Capital Corp.
Cl-A ............................ 3,564 273,982
Bear Stearns Companies, Inc. ...... 2,415 137,353
Block, (H&R), Inc. ................ 2,500 105,312
Capital One Financial Corp. ....... 1,400 173,862
Comdisco, Inc. .................... 5,700 108,300
Echelon International Corp.* ...... 846 22,260
Edwards, (A.G.), Inc. ............. 2,250 96,047
Fannie Mae ........................ 12,100 735,075
FINOVA Group, Inc. ................ 2,000 113,250
Franklin Resources, Inc. .......... 5,700 307,800
Freddie Mac ....................... 9,500 447,094
Green Tree Financial Corp. ........ 2,500 107,031
Grupo Financiero Bancomer [ADR]
144A* ........................... 1,400 10,325
Household International, Inc. ..... 4,800 238,800
Merrill Lynch & Co., Inc. ......... 3,100 285,975
Morgan Stanley, Dean Witter &
Co. ............................. 5,485 501,192
Paine Webber Group, Inc. .......... 3,600 154,350
Schwab, (Charles) Corp. ........... 3,350 108,875
SunAmerica, Inc. .................. 4,200 241,237
Washington Mutual, Inc. ........... 3,750 162,891
------------
5,006,011
------------
FOOD -- 1.5%
Albertson's, Inc. ................. 4,200 217,612
American Stores Co. ............... 2,800 67,725
Archer-Daniels-Midland Co. ........ 7,782 150,776
Bestfoods, Inc. ................... 4,500 261,281
Campbell Soup Co. ................. 5,100 270,937
ConAgra, Inc. ..................... 6,800 215,475
Dean Foods Corp. .................. 900 49,444
Diageo PLC [ADR] .................. 4,147 199,834
Dole Food Co. ..................... 1,700 84,469
Earthgrains Co. ................... 296 16,539
General Mills, Inc. ............... 2,500 170,937
Heinz, (H.J.) Co. ................. 5,250 294,656
Hershey Foods Corp. ............... 1,500 103,500
IBP, Inc. ......................... 2,400 43,500
Interstate Bakeries Corp. ......... 1,800 59,737
Kellogg Co. ....................... 5,800 217,862
Kroger Co.* ....................... 5,400 231,525
McCormick & Co., Inc. ............. 3,300 .. 117,872
Ralston Purina Group .............. 2,100 245,306
Safeway, Inc.* .................... 4,560 185,535
Sara Lee Corp. .................... 6,200 346,812
Smucker, (J.M.) Co. ............... 1,600 39,700
Tyson Foods, Inc. ................. 5,300 114,944
Universal Corp. ................... 1,800 67,275
</TABLE>
39
<PAGE> 42
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Universal Foods Corp. ............. 2,600 $ 57,687
Wrigley, (Wm., Jr.) Co. ........... 1,300 127,400
------------
3,958,340
------------
FURNITURE -- 0.0%
Leggett & Platt, Inc. ............. 4,800 120,000
------------
HEALTHCARE SERVICES -- 0.6%
Amgen, Inc.* ...................... 3,800 248,425
Apria Healthcare Group, Inc.* ..... 2,000 13,375
Columbia HCA Healthcare Corp. ..... 9,096 264,921
Concentra Managed Care, Inc.* ..... 1,600 41,600
Foundation Health Systems* ........ 1,800 47,475
Health Management Associates,
Inc. Cl-A* ...................... 3,500 117,031
Healthsouth Corp.* ................ 6,200 165,462
Omnicare, Inc. .................... 2,800 106,750
Oxford Health Plans, Inc.* ........ 1,300 19,906
PacifiCare Health Systems, Inc.
Cl-A ............................ 400 33,800
PacifiCare Health Systems, Inc.
Cl-B* ........................... 1,000 88,375
Quorum Health Group, Inc.* ........ 2,700 71,550
Synopsis, Inc.* ................... 1,800 82,350
Total Renal Care Holdings,
Inc.* ........................... 2,000 69,000
United Healthcare Corp. ........... 3,400 215,900
Vencor, Inc. ...................... 2,200 15,950
Ventas, Inc. ...................... 2,200 30,387
------------
1,632,257
------------
HOTELS & MOTELS -- 0.0%
Starwood Hotels & Resorts
[REIT] .......................... 2,664 128,704
------------
INDUSTRIAL PRODUCTS -- 0.0%
Harsco Corp. ...................... 2,000 91,625
------------
INSURANCE -- 2.0%
Aetna, Inc. ....................... 2,502 190,465
AFLAC, Inc. ....................... 6,300 190,969
Allstate Corp. .................... 4,700 430,344
American Financial Group, Inc. .... 1,700 73,631
American General Corp. ............ 4,300 306,106
American International Group,
Inc. ............................ 7,550 1,102,300
Chubb Corp. ....................... 2,600 208,975
CIGNA Corp. ....................... 3,900 269,100
Conseco, Inc. ..................... 2,000 93,500
General Re Corp. .................. 1,300 329,550
HSB Group, Inc. ................... 1,650 88,275
Lincoln National Corp. ............ 1,100 100,512
Loews Corp. ....................... 2,100 182,962
Progressive Corp. ................. 1,400 197,400
Provident Companies, Inc. ......... 2,800 96,600
Selective Insurance Group, Inc. ... 2,000 44,812
Torchmark Corp. ................... 4,600 210,450
Transatlantic Holdings, Inc. ...... 1,050 81,178
Travelers Group, Inc. ............. 13,470 816,619
UNUM Corp. ........................ 4,200 233,100
------------
5,246,848
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
LUMBER & WOOD PRODUCTS -- 0.0%
Deltic Timber Corp. ............... 342 $ 8,571
Rayonier, Inc. .................... 700 32,200
------------
40,771
------------
MACHINERY & EQUIPMENT -- 0.7%
Black & Decker Corp. .............. 2,700 164,700
Caterpillar, Inc. ................. 5,600 296,100
Danaher Corp. ..................... 3,600 132,075
Deere & Co. ....................... 4,000 211,500
Evi, Inc.* ........................ 1,520 56,430
Federal Signal Corp. .............. 1,700 41,331
Flowserve Corp. ................... 2,900 71,412
Gencorp, Inc. ..................... 2,800 70,700
Illinois Tool Works, Inc. ......... 4,200 280,087
Ingersoll-Rand Co. ................ 1,500 66,094
Kennametal, Inc. .................. 500 20,875
Precision Castparts Corp. ......... 500 26,687
Sequa Corp. Cl-A* ................. 700 46,725
Smith International, Inc.* ........ 2,000 69,625
Tecumseh Products Co. Cl-A ........ 1,400 73,937
Thermo Electron Corp.* ............ 3,400 116,237
------------
1,744,515
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.3%
Abbott Laboratories ............... 17,400 711,225
Allegiance Corp. .................. 1,400 71,750
Baxter International, Inc. ........ 4,800 258,300
Beckman Coulter, Inc. ............. 500 29,125
Becton Dickinson & Co. ............ 3,400 263,925
Boston Scientific Corp.* .......... 3,400 243,525
Forest Laboratories, Inc.* ........ 2,000 71,500
Genzyme Tissue Repair* ............ 63 413
Guidant Corp. ..................... 2,600 185,412
Hillenbrand Industries, Inc. ...... 1,500 90,000
Johnson & Johnson Co. ............. 14,300 1,054,625
Medtronic, Inc. ................... 5,000 318,750
Stryker Corp.* .................... 3,400 130,475
Sybron International Corp.* ....... 1,800 45,450
------------
3,474,475
------------
METALS & MINING -- 0.2%
Aluminum Co. of America ........... 3,100 204,406
Barrick Gold Corp. ................ 8,000 153,500
Brush Wellman, Inc. ............... 1,300 26,731
Carpenter Technology Corp. ........ 2,200 110,550
Nucor Corp. ....................... 1,600 73,600
Placer Dome, Inc. ................. 4,700 55,225
------------
624,012
------------
OFFICE EQUIPMENT -- 0.4%
Herman Miller, Inc. ............... 2,000 48,625
Ikon Office Solutions, Inc. ....... 2,300 33,494
Office Depot, Inc.* ............... 3,900 123,094
Pitney Bowes, Inc. ................ 4,900 235,812
Standard Register Co. ............. 1,700 60,137
Staples, Inc.* .................... 5,850 169,284
Viking Office Products, Inc.* ..... 2,100 65,887
</TABLE>
40
<PAGE> 43
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Wallace Computer Service, Inc. .... 2,900 $ 68,875
Xerox Corp. ....................... 3,900 396,337
------------
1,201,545
------------
OIL & GAS -- 3.8%
Amerada Hess Corp. ................ 4,700 255,269
Amoco Corp. ....................... 8,800 366,300
Anadarko Petroleum Corp. .......... 1,300 87,344
Apache Corp. ...................... 1,600 50,400
Atlantic Richfield Co. ............ 4,000 312,500
BJ Services Co.* .................. 8,200 238,312
British Petroleum Co. PLC [ADR] ... 3,000 264,750
Chevron Corp. ..................... 7,400 614,662
El Paso Natural Gas Co. ........... 2,800 107,100
ENI Co. SPA [ADR] ................. 3,700 240,500
Ensco International, Inc. ......... 4,200 72,975
Exxon Corp. ....................... 25,400 1,811,337
Global Marine, Inc.* .............. 4,200 78,487
Halliburton Co. ................... 4,300 191,619
Helmerich & Payne, Inc. ........... 1,800 40,050
Marketspan Corp. .................. 3,000 89,812
MCN Energy Group, Inc. ............ 2,400 59,700
Mobil Corp. ....................... 8,500 651,312
Murphy Oil Corp. .................. 1,800 91,237
Nabors Industries, Inc.* .......... 2,200 43,587
National Fuel Gas Co. ............. 1,600 69,700
Noble Affiliates, Inc. ............ 1,800 68,400
Noble Drilling Corp.* ............. 2,400 57,750
Occidental Petroleum Corp. ........ 6,600 178,200
Phillips Petroleum Co. ............ 4,000 192,750
Ranger Oil Ltd.* .................. 5,400 39,487
Repsol SA [ADR] ................... 3,000 165,000
Royal Dutch Petroleum Co. ......... 26,200 1,436,087
Schlumberger Ltd. ................. 5,600 382,550
Shell Transport & Trading Co.
[ADR] ........................... 6,000 254,250
Societe Nationale Elf Aquitaine SA
[ADR] ........................... 2,000 142,000
Sonat, Inc. ....................... 3,300 127,463
Texaco, Inc. ...................... 6,200 370,063
Tidewater, Inc. ................... 2,700 89,100
Tosco Corp. ....................... 3,000 88,125
Total SA [ADR] .................... 3,900 254,963
Transocean Offshore, Inc. ......... 2,000 89,000
Ultramar Diamond Shamrock Corp. ... 1,800 56,813
Union Pacific Resources Group,
Inc. ............................ 5,509 96,752
Unocal Corp. ...................... 3,600 128,700
USX-Marathon Group................. 5,400 185,288
Valero Energy Corp. ............... 2,900 96,425
Washington Gas Light Co. .......... 2,200 58,850
------------
10,294,969
------------
PAPER & FOREST PRODUCTS -- 0.4%
Bowater, Inc. ..................... 900 42,525
Consolidated Papers, Inc. ......... 2,300 62,675
Fort James Corp. .................. 2,400 106,800
Georgia Pacific Group ............. 1,500 88,406
Georgia Pacific Timber Group ...... 1,500 34,594
Glatfelter, (P.H.) Co. ............ 2,600 41,113
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
International Paper Co. ........... 5,000 $ 215,000
Kimberly-Clark Corp. .............. 7,000 321,125
Sonoco Products.................... 2,310 69,878
Wausau-Mosinee Paper Corp. ........ 1,900 43,463
Weyerhaeuser Co. .................. 3,200 147,800
------------
1,173,379
------------
PERSONAL SERVICES -- 0.1%
Service Corp. International ....... 3,800 162,925
------------
PHARMACEUTICALS -- 3.4%
American Home Products Corp. ...... 14,400 745,200
Bergen Brunswig Corp. Cl-A ........ 1,100 51,013
Biogen, Inc.* ..................... 1,600 78,400
Bristol-Meyers Squibb Co. ......... 11,100 1,275,806
Cardinal Health, Inc. ............. 900 84,375
Carter-Wallace, Inc. .............. 3,900 70,444
Centocor, Inc.* ................... 1,200 43,500
Genzyme Corp.* .................... 2,100 53,681
Glaxo Wellcome PLC [ADR] .......... 4,800 287,100
Ivax Corp.* ....................... 3,600 33,300
Lilly, (Eli) & Co. ................ 12,200 805,963
McKesson Corp. .................... 2,600 211,250
Merck & Co., Inc. ................. 13,400 1,792,250
Perrigo Co.* ...................... 3,600 36,225
Pfizer, Inc. ...................... 14,500 1,575,969
Pharmacia & Upjohn, Inc. .......... 6,400 295,200
Scherer, (R.P.) Corp.* ............ 1,000 88,625
Schering-Plough Corp. ............. 7,600 696,350
Warner-Lambert Co. ................ 9,900 686,813
Watson Pharmaceuticals, Inc.* ..... 3,000 140,063
------------
9,051,527
------------
PRINTING & PUBLISHING -- 0.3%
Banta Corp. ....................... 2,900 89,538
Belo, (A.H.) Corp. Cl-A ........... 2,600 63,375
Lexmark International Group,
Inc. Cl-A* ...................... 1,800 109,800
McGraw-Hill Co., Inc. ............. 2,900 236,531
R.R. Donnelley & Sons Co. ......... 1,300 59,475
Washington Post Co. Cl-B .......... 200 115,200
Workflow Management, Inc.* ........ 286 2,305
------------
676,224
------------
RAILROADS -- 0.3%
Burlington Northern Santa Fe
Corp. ........................... 1,700 166,919
Kansas City Southern Industries,
Inc. ............................ 5,400 267,975
Norfolk Southern Corp. ............ 6,000 178,875
Union Pacific Corp. ............... 3,000 132,375
------------
746,144
------------
RESTAURANTS -- 0.3%
Brinker International, Inc.* ...... 7,300 140,525
Cracker Barrel Old Country Store,
Inc. ............................ 2,700 85,725
Darden Restaurants, Inc. .......... 6,500 103,188
McDonald's Corp. .................. 4,800 331,200
Outback Steakhouse, Inc.* ......... 1,900 74,100
Tricon Global Restaurants,
Inc.* ........................... 1,480 46,898
------------
781,636
------------
</TABLE>
41
<PAGE> 44
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RETAIL & MERCHANDISING -- 2.3%
Ann Taylor Stores Corp.* .......... 1,600 $ 33,900
Barnes & Noble, Inc.* ............. 2,000 74,875
Bed, Bath & Beyond, Inc.* ......... 2,200 113,988
Best Buy, Inc.* ................... 2,000 72,250
BJ's Wholesale Club, Inc.* ........ 2,000 81,250
Circuit City Stores, Inc. ......... 2,000 93,750
Costco Companies, Inc.* ........... 3,900 245,944
CVS Corp. ......................... 4,000 155,750
Dayton-Hudson Corp. ............... 7,400 358,900
Dollar General Corp. .............. 2,812 111,250
Family Dollar Stores, Inc. ........ 2,600 48,100
Fastenal Co. ...................... 1,400 65,013
Federated Department Stores,
Inc.* ........................... 3,500 188,344
Gap, Inc. ......................... 4,350 268,069
General Nutrition Companies,
Inc.* ........................... 1,900 59,138
Home Depot, Inc. .................. 9,000 747,563
Kohls Corp.* ...................... 5,600 290,500
Lands' End, Inc.* ................. 1,800 56,925
May Department Stores Co. ......... 3,900 255,450
Meyer, (Fred), Inc.* .............. 3,000 127,500
Micro Warehouse, Inc.* ............ 1,500 23,250
Nordstrom, Inc. ................... 800 61,800
Payless Shoesource, Inc.* ......... 672 49,518
Penney, (J.C.) Co., Inc. .......... 3,500 253,094
Rite Aid Corp. .................... 2,600 97,663
School Specialty, Inc.* ........... 239 3,915
Starbucks Corp.* .................. 1,700 90,844
Tiffany & Co. ..................... 1,200 57,600
TJX Companies, Inc. ............... 5,600 135,100
Toys 'R' Us, Inc.* ................ 4,620 108,859
U.S. Office Products Co. .......... 538 10,599
Wal-Mart Stores, Inc. ............. 25,900 1,573,425
Walgreen Co. ...................... 7,700 318,106
------------
6,232,232
------------
SEMICONDUCTORS -- 0.7%
Atmel Corp.* ...................... 2,700 36,788
Intel Corp. ....................... 17,400 1,289,775
Motorola, Inc. .................... 6,100 320,631
Xilinx, Inc.* ..................... 4,100 139,400
------------
1,786,594
------------
TELECOMMUNICATIONS -- 4.9%
360 Communications Co.* ........... 2,300 73,600
ADC Telecommunications, Inc.* ..... 3,400 124,206
AirTouch Communications, Inc.* .... 6,000 350,625
Aliant Communications, Inc. ....... 1,800 49,388
Ameritech Corp. ................... 13,100 587,863
AT&T Corp. ........................ 17,200 982,550
Bell Atlantic Corp. ............... 17,314 789,951
BellSouth Corp. ................... 10,500 704,813
British Telecommunications PLC
[ADR] ........................... 3,200 395,200
Century Telephone Enterprises,
Inc. ............................ 4,200 192,675
Cia de Telecomunicaciones de Chile
SA [ADR] ........................ 1,700 34,531
Comcast Corp. Cl-A ................ 7,000 284,156
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Ericsson, (L.M.) Telephone Co.
[ADR] ........................... 9,600 $ 274,800
France Telecom SA [ADR] ........... 9,700 674,756
GTE Corp. ......................... 11,100 617,438
Hong Kong Telecommunications Ltd.
[ADR] ........................... 9,245 174,499
Lucent Technologies, Inc. ......... 15,252 1,268,776
MCI Communications Corp. .......... 7,700 447,563
MediaOne Group, Inc.* ............. 8,000 351,500
MetroNet Communications Corp.
Warrants 144A* .................. 100 4,100
Nextel Communications, Inc.
Cl-A* ........................... 3,600 89,550
Nokia Corp. Cl-A [ADR] ............ 3,600 261,225
Northern Telecom Ltd. ............. 6,800 385,900
SBC Communications, Inc. .......... 18,714 748,560
Southern New England
Telecommunications Corp. ........ 2,400 157,200
Sprint Corp. ...................... 5,400 380,700
TCA Cable TV, Inc. ................ 1,600 96,000
Tele-Communications, Inc. Cl-A* ... 5,700 219,094
Telebras SA [ADR] ................. 3,300 360,319
Telefonica SA [ADR] ............... 1,600 222,500
Telefonos de Mexico SA Cl-L
[ADR] ........................... 1,800 86,513
Telephone & Data Systems, Inc. .... 2,000 78,750
Tellabs, Inc.* .................... 2,800 200,550
U. S. West, Inc. .................. 6,418 301,646
Vodafone Group PLC [ADR] .......... 3,200 403,400
Williams Companies, Inc. .......... 6,398 215,933
WorldCom, Inc.* ................... 10,900 527,969
------------
13,118,799
------------
TRANSPORTATION -- 0.1%
Alexander & Baldwin, Inc. ......... 1,800 52,425
CNF Transportation, Inc. .......... 900 38,250
CSX Corp. ......................... 2,300 104,650
------------
195,325
------------
UTILITIES -- 1.7%
Allegheny Energy, Inc. ............ 3,000 90,375
American Electric Power Co.,
Inc. ............................ 2,200 99,825
American Water Works Co., Inc. .... 2,100 65,100
Baltimore Gas & Electric Co. ...... 1,000 31,063
Calenergy, Inc.* .................. 2,400 72,150
CMS Energy Corp. .................. 2,800 123,200
Consolidated Edison, Inc. ......... 2,600 119,763
Duke Energy Corp. ................. 5,300 314,025
Edison International Co. .......... 7,800 230,588
Empresa Nacional de Electridad SA
[ADR] ........................... 2,000 28,500
Endesa SA [ADR] ................... 7,600 164,350
Energy East Corp. ................. 3,400 141,525
Enron Corp. ....................... 4,400 237,875
Entergy Corp. ..................... 6,200 178,250
FirstEnergy Corp. ................. 2,000 61,500
Florida Progress Corp. ............ 2,500 102,813
FPL Group, Inc. ................... 3,700 233,100
Idaho Power Co. ................... 2,600 90,025
</TABLE>
42
<PAGE> 45
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Illinova Corp. .................... 2,700 $ 81,000
IPALCO Enterprises, Inc. .......... 2,400 106,650
MidAmerican Energy Co. ............ 3,800 82,175
New Century Energies, Inc. ........ 2,395 108,823
New England Electric Systems ...... 1,700 73,525
Niagara Mohawk Power Corp.* ....... 12,700 189,706
NIPSCO Industries, Inc. ........... 4,600 128,800
Oklahoma Gas & Electric Co. ....... 2,200 59,400
PG&E Corp. ........................ 8,200 258,813
Pinnacle West Capital Co. ......... 1,500 67,500
Potomac Electric Power Co. ........ 3,200 80,200
Public Service Co. of New
Mexico .......................... 1,000 22,688
SCANA Corp. ....................... 3,000 89,438
Southern Co. ...................... 10,500 290,719
Teco Energy, Inc. ................. 3,500 93,844
Texas Utilities Co. ............... 3,700 154,013
Unicom Corp. ...................... 4,200 147,263
UtiliCorp United, Inc. ............ 1,200 45,225
------------
4,463,809
------------
TOTAL COMMON STOCK
(COST $81,261,474)................... 126,538,321
------------
FOREIGN STOCK -- 9.1%
ADVERTISING -- 0.1%
Asahi Tsushin -- (JPY) ............ 9,000 183,197
------------
AEROSPACE -- 0.0%
Mitsubishi Heavy Industries Ltd. --
(JPY) ........................... 22,000 83,064
------------
AIRLINES -- 0.1%
KLM Royal Dutch Airlines NV --
(NLG) ........................... 3,000 121,816
Singapore Airlines
Ltd. -- (SGD) ................... 7,000 32,732
------------
154,548
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
MAN AG -- (DEM)* .................. 1,000 388,913
------------
AUTOMOTIVE PARTS -- 0.1%
Bridgestone Corp. -- (JPY) ........ 15,000 354,505
------------
BEVERAGES -- 0.1%
Lion Nathan Ltd. -- (NZD) ......... 50,000 111,085
Louis Vuitton Moet
Hennessy -- (FRF) ............... 660 132,087
------------
243,172
------------
BUILDING MATERIALS -- 0.2%
Blue Circle Industries
PLC -- (GBP) .................... 26,513 149,742
Holderbank Financiere Glarus AG --
(CHF) ........................... 260 330,826
Malayan Cement BHD -- (MYR) ....... 51,250 16,682
------------
497,250
------------
CHEMICALS -- 0.5%
AKZO Nobel NV -- (NLG) ............ 400 88,919
BASF AG -- (DEM)* ................. 8,000 378,941
Bayer AG -- (DEM) ................. 7,600 391,993
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
L'Air Liquide -- (FRF) ............ 1,643 $ 271,666
Sumitomo Chemical Co. -- (JPY)* ... 26,000 80,182
------------
1,211,701
------------
CLOTHING & APPAREL -- 0.3%
Benetton Group SPA -- (ITL) ....... 96,600 200,531
Christian Dior SA -- (FRF) ........ 1,200 151,041
Kuraray Co. Ltd. -- (JPY) ......... 21,000 178,398
Yue Yuen Industrial Holdings --
(HKD) ........................... 95,000 169,805
------------
699,775
------------
CONGLOMERATES -- 0.2%
Cycle & Carriage Ltd. -- (SGD) .... 15,000 36,579
GKN PLC -- (UK) ................... 12,000 151,967
Hutchison Whampoa Ltd. -- (HKD) ... 56,000 295,590
Sime Darby BHD -- (MYR) ........... 50,000 34,479
Tomkins PLC -- (GBP) .............. 12,000 65,122
Valmet Corp. -- (FIM) ............. 4,000 68,970
------------
652,707
------------
CONSTRUCTION -- 0.2%
Compagnie Francaise d'Etudes et de
Construction Technip -- (FRF) ... 3,300 403,356
Matsushita Electric Works Ltd. --
(JPY) ........................... 15,000 121,050
------------
524,406
------------
CONSUMER PRODUCTS & SERVICES -- 0.3%
JUSCO Co. -- (JPY)................. 11,000 201,715
Kao Corp. -- (JPY)................. 26,000 400,908
Orkla ASA Cl-A -- (NOK)............ 7,600 176,789
------------
779,412
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.5%
Johnson Electric
Holdings -- (HKD) ............... 93,600 346,685
Mitsubishi Electric
Corp. -- (JPY) .................. 27,000 62,060
Omron Corp. -- (JPY) .............. 24,000 366,610
Sharp Corp. -- (JPY) .............. 9,000 72,890
Siemans AG -- (DEM) ............... 3,700 225,071
Sony Corp. -- (JPY) ............... 3,000 258,313
------------
1,331,629
------------
FINANCIAL-BANK & TRUST -- 2.2%
Abbey National PLC -- (GBP) ....... 28,000 497,547
ABN AMRO Holding NV -- (NLG) ...... 8,000 187,197
Banca Commerciale Italia NA --
(ITL) ........................... 61,000 364,789
Bank of Scotland -- (GBP) ......... 20,208 226,242
Bankgesellschaft Berlin
AG -- (DEM) ..................... 10,050 210,462
Barclays PLC -- (GBP) ............. 15,191 437,983
DCB Holdings BHD -- (MYR) ......... 33,000 13,447
DCB Sakura -- (MYR) ............... 1,650 430
Deutsche Bank AG -- (DEM) ......... 2,800 237,104
Developmental Bank of Singapore
Ltd. -- (SGD) ................... 4,400 24,351
Dresdner Bank AG -- (DEM) ......... 4,500 242,572
HSBC Holdings PLC -- (GBP) ........ 18,000 456,802
ING Groep NV -- (NLG) ............. 10,153 664,815
</TABLE>
43
<PAGE> 46
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
KBC Bancassurance Holdings NV --
(BEF) ........................... 5,300 $ 474,308
Oversea-Chinese Banking Corp.
Ltd. -- (SGD) ................... 6,000 20,420
Svenska Handlesbanken
Cl-A -- (SEK) ................... 7,300 338,686
Toronto Dominion Bank -- (CAD) .... 4,100 185,408
UBS AG -- (CHF)* .................. 3,482 1,294,551
Westpac Banking Corp.
Ltd. -- (AUD) ................... 10,000 60,996
------------
5,938,110
------------
FINANCIAL SERVICES -- 0.5%
Holding Di Partecipazioni
Industriali SPA -- (ITL) ........ 45,000 34,986
Mediobanca -- (ITL)* .............. 27,200 345,059
Societe Generale -- (FRF) ......... 2,572 534,732
Unidanmark AS Cl-A -- (DKK) ....... 4,500 404,390
------------
1,319,167
------------
FOOD -- 0.6%
Cadbury Schweppes PLC -- (GBP) .... 1,400 21,665
CSM NV -- (NLG) ................... 2,400 115,268
Danisco AS -- (DKK) ............... 4,000 268,721
Eridania Beghin-Say SA -- (FRF) ... 1,800 397,451
Huhtamaki Co. -- (FIM) ............ 1,500 85,847
Nestle SA -- (CHF) ................ 380 813,207
------------
1,702,159
------------
INSURANCE -- 0.3%
AXA SA -- (FRF) ................... 4,500 506,117
CKAG Colonia Konzern AG --
(DEM) ........................... 1,500 185,731
Sumitomo Marine & Fire Insurance
Co. -- (JPY)* ................... 30,000 167,741
------------
859,589
------------
MACHINERY & EQUIPMENT -- 0.2%
ABB AG -- (CHF) ................... 160 236,285
Sig Holding AG -- (CHF) ........... 280 227,978
------------
464,263
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.3%
Novartis AG -- (CHF) .............. 180 299,523
Smith and Nephew PLC -- (GBP) ..... 38,000 94,946
Terumo Corp. -- (JPY) ............. 26,000 412,148
------------
806,617
------------
METALS & MINING -- 0.1%
Anglo American Platinum Corp.
Ltd. -- (ZAR) ................... 12,000 131,409
Rio Tinto Ltd. -- (AUD) ........... 6,000 71,337
Lonrho Africa PLC -- (GBP) ........ 9,698 11,893
Lonrho PLC -- (GBP) ............... 14,498 68,213
------------
282,852
------------
OFFICE EQUIPMENT -- 0.1%
Canon, Inc. -- (JPY) .............. 9,000 204,273
Ricoh Co. Ltd. -- (JPY) ........... 13,000 136,852
------------
341,125
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OIL & GAS -- 0.1%
Santos Ltd. -- (AUD) .............. 32,000 $ 99,080
Societe Nationale Elf Aquitaine
SA -- (FRF) ..................... 1,100 154,647
------------
253,727
------------
PAPER & FOREST PRODUCTS -- 0.2%
Bobst SA -- (CHF) ................. 160 294,302
Kimberly-Clark de Mexico SA Cl-A --
(MXP) ........................... 10,000 35,333
Svenska Cellulosa AB
Cl-B -- (SEK) ................... 3,500 90,628
------------
420,263
------------
PHARMACEUTICALS -- 0.4%
Altana AG -- (DEM) ................ 2,100 159,970
Astra AB Cl-B -- (SEK) ............ 14,666 292,402
Gehe AG -- (DEM) .................. 2,150 112,560
Novartis AG -- (CHF) .............. 160 266,455
Takeda Chemical
Industries -- (JPY) ............. 13,000 345,642
------------
1,177,029
------------
PRINTING & PUBLISHING -- 0.2%
Dai Nippon Printing Co. Ltd. --
(JPY) ........................... 12,000 191,519
Elsevier NV -- (NLG) .............. 12,000 181,101
Pearson PLC -- (GBP) .............. 11,600 212,514
------------
585,134
------------
REAL ESTATE -- 0.1%
Cheung Kong Holdings Ltd. --
(HKD) ........................... 38,000 186,847
DBS Land Ltd. -- (SGD) ............ 25,000 20,716
Fastighets AB Balder -- (SEK)* .... 7,300 7,323
------------
214,886
------------
RETAIL & MERCHANDISING -- 0.3%
Carrefour Supermarche
SA -- (FRF) ..................... 150 94,897
Mauri Co. Ltd. -- (JPY) ........... 7,000 104,406
Pinault-Printemps Redoute SA --
(FRF) ........................... 420 351,503
Tesco PLC -- (GBP) ................ 33,943 331,309
------------
882,115
------------
TELECOMMUNICATIONS -- 0.4%
Nippon Telegraph & Telephone
Corp. -- (JPY) .................. 2,800 232,013
Telecom Corp. of New Zealand
Ltd. -- (NZD) ................... 22,000 90,674
Telecom Italia Mobile
SPA -- (ITL) .................... 75,000 458,637
Telecom Italia SPA -- (ITL) ....... 41,666 306,714
Telekom Malaysia BHD -- (MYR) ..... 24,000 40,506
------------
1,128,544
------------
TRANSPORTATION -- 0.1%
BAA PLC -- (GBP) .................. 17,775 191,885
------------
</TABLE>
44
<PAGE> 47
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES -- 0.3%
Electrabel SA -- (BEF) ............ 720 $ 204,139
Hong Kong Electric Holdings Ltd. --
(HKD) ........................... 30,000 92,920
Veba AG -- (DEM) .................. 6,500 442,929
------------
739,988
------------
TOTAL FOREIGN STOCK
(COST $19,183,085)................... 24,411,732
------------
PAR
(000)
-------
CORPORATE OBLIGATIONS -- 16.1%
AEROSPACE -- 0.3%
Boeing Co. Notes
6.35%, 06/15/03.................. $ 120 122,550
Dyncorp, Inc. Sr. Sub. Notes
9.50%, 03/01/07.................. 300 309,000
Raytheon Co. Notes
6.50%, 07/15/05.................. 350 355,688
------------
787,238
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
Trident Automotive PLC
Sr. Sub. Notes 144A
10.00%, 12/15/05................. 250 269,688
------------
AUTOMOTIVE PARTS -- 0.2%
Safelite Glass Corp. Sr. Sub. Notes
144A
9.875%, 12/15/06................. 250 265,000
Federal Mogul Corp. Notes
7.75%, 07/01/06.................. 300 304,125
------------
569,125
------------
BEVERAGES -- 0.1%
Anheuser-Busch Companies, Inc.
Debs.
7.00%, 12/01/25.................. 150 153,937
------------
BROADCASTING -- 0.2%
TV Azteca SA de CV Sr. Notes Cl-B
10.50%, 02/15/07................. 250 251,250
Young Broadcasting Corp. Sr. Sub.
Notes
10.125%, 02/15/05................ 150 162,375
------------
413,625
------------
BUILDING MATERIALS -- 0.2%
American Standard, Inc. Debs.
9.25%, 12/01/16.................. 20 20,600
Associated Materials, Inc. Notes
9.25%, 03/01/08.................. 350 360,500
Koppers Industry, Inc. Co.
Guarantee Notes
9.875%, 12/01/07................. 75 78,000
------------
459,100
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
BUSINESS SERVICES -- 0.3%
APCOA, Inc. Sr. Sub. Notes 144A
9.25%, 03/15/08.................. $ 350 $ 350,000
Iron Mountain, Inc. Sr. Sub. Notes
8.75%, 09/30/09.................. 125 127,812
Muzak, Inc. L.P. Notes
10.00%, 10/01/03................. 225 234,281
------------
712,093
------------
CHEMICALS -- 0.3%
American Pacific Corp. Sr. Notes
144A
9.25%, 03/01/05.................. 300 310,500
Furon Co. Sr. Sub. Notes 144A
8.125%, 03/01/08................. 200 200,250
Scotts Co. Sr. Sub. Notes
9.875%, 08/01/04................. 100 107,500
Sovereign Specialty Chemicals, Inc.
Sr. Sub. Notes Cl-B
9.50%, 08/01/07.................. 250 261,562
------------
879,812
------------
CLOTHING & APPAREL -- 0.4%
Delta Mills, Inc. Sr. Notes
9.625%, 09/01/07................. 125 123,281
Dyersburg Corp. Co. Guarantee Notes
Cl-B
9.75%, 09/01/07.................. 300 300,750
Synthetic Industries, Inc.
Sr. Sub. Notes
9.25%, 02/15/07.................. 250 258,750
Westpoint Stevens, Inc.
Sr. Notes 144A
7.875%, 06/15/08................. 350 350,000
------------
1,032,781
------------
COMPUTER SERVICES & SOFTWARE -- 0.2%
American Business Information, Inc.
Sr. Sub. Notes 144A
9.50%, 06/15/08.................. 100 100,500
PSINet, Inc. Sr. Notes Cl-B
10.00%, 02/15/05................. 150 153,750
Verio, Inc. Sr. Notes 144A
10.375%, 04/01/05................ 150 154,125
------------
408,375
------------
CONSTRUCTION -- 0.1%
Newport News Shipbuilding, Inc. Sr.
Notes
8.625%, 12/01/06................. 150 158,437
------------
CONSUMER PRODUCTS & SERVICES -- 0.8%
American Safety Razor Co. Sr. Notes
9.875%, 08/01/05................. 150 161,813
Bally Total Fitness Holding Corp.
Sr. Sub. Notes Cl-B
9.875%, 10/15/07................. 350 361,375
Chattem, Inc. Notes
12.75%, 06/15/04................. 350 395,500
</TABLE>
45
<PAGE> 48
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Diamond Triumph Autoglass, Inc.
Sr. Notes 144A
9.25%, 04/01/08.................. $ 200 $ 204,000
Doane Products Co. Sr. Notes
10.625%, 03/01/06................ 150 162,000
Herff Jones, Inc. Sr. Sub. Notes
11.00%, 08/15/05................. 250 275,938
Holmes Products Corp. Sr. Sub.
Notes Series B
9.875%, 11/15/07................. 250 258,750
Protection One Alarm, Inc. Sr.
Disc. Notes [STEP]
13.625%, 06/30/05................ 130 139,912
Rural Metro Corp. Sr. Notes 144A
7.875%, 03/15/08................. 225 217,125
------------
2,176,413
------------
CONTAINERS & PACKAGING -- 0.3%
Amtrol, Inc. Sr. Sub. Notes
10.625%, 12/31/06................ 50 50,125
Container Corp. of America Sr.
Notes
9.75%, 04/01/03.................. 150 161,625
11.25%, 05/01/04................. 100 109,000
Plastic Containers, Inc. Sr. Notes
Cl-B
10.00%, 12/15/06................. 250 269,375
U.S. Can Corp. Sr. Sub. Notes
10.125%, 10/15/06................ 150 158,812
------------
748,937
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Ametek, Inc. Sr. Notes
9.75%, 03/15/04.................. 100 107,250
Celestica International, Inc. Sr.
Sub. Notes
10.50%, 12/31/06................. 125 137,969
DII Group, Inc. Sr. Sub. Notes
8.50%, 09/15/07.................. 150 149,250
HCC Industries, Inc. Sr. Sub. Notes
10.75%, 05/15/07................. 250 264,375
Viasystems, Inc. Sr. Sub. Notes
9.75%, 06/01/07.................. 125 122,812
------------
781,656
------------
ENTERTAINMENT & LEISURE -- 0.7%
AMC Entertainment, Inc. Sr. Sub.
Notes
9.50%, 03/15/09.................. 250 256,562
Empress Entertainment, Inc. Sr.
Sub. Notes 144A
8.125%, 07/01/06................. 250 251,250
Grand Casinos, Inc. First Mtge.
10.125%, 12/01/03................ 150 163,875
Premier Parks, Inc. Sr. Disc. Notes
[STEP]
9.922%, 04/01/08................. 125 83,125
Rio Hotel & Casino, Inc. Notes
9.50%, 04/15/07.................. 100 105,750
Rio Hotel & Casino, Inc. Sr. Sub.
Notes
10.625%, 07/15/05................ 150 163,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Six Flags Entertainment Corp.
Sr. Notes
8.875%, 04/01/06................. $ 175 $ 178,938
Six Flags Theme Parks Corp. Sr.
Sub. Notes Cl-A [STEP]
8.131%, 06/15/05................. 150 169,312
Time Warner Entertainment Co. Debs.
7.25%, 09/01/08.................. 500 535,000
------------
1,907,312
------------
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste North America, Inc.
Co. Guarantee Notes
10.25%, 12/01/06................. 200 220,750
------------
EQUIPMENT SERVICES -- 0.1%
Coinmach Corp. Sr. Notes Cl-D
11.75%, 11/15/05................. 125 139,688
------------
FARMING & AGRICULTURE -- 0.1%
Purina Mills, Inc. Sr. Sub. Notes
144A
9.00%, 03/15/10.................. 325 334,750
------------
FINANCIAL-BANK & TRUST -- 2.2%
Advanta Home Equity Loan Trust
1993-1 Cl-A2
5.95%, 05/25/09.................. 2,281 2,243,326
Airplanes Pass Through Trust
10.875%, 03/15/19................ 250 282,387
Aristar, Inc. Sr. Notes
8.875%, 08/15/98................. 200 200,522
7.875%, 02/15/99................. 200 202,250
Banesto Delaware Sub. Notes
8.25%, 07/28/02.................. 50 53,625
Bank of Nova Scotia Sub. Notes
6.25%, 09/15/08.................. 50 49,937
BankAmerica Corp. Sub. Notes
6.85%, 03/01/03.................. 150 155,063
BankUnited Capital Trust Corp. Cl-B
10.25%, 12/31/26................. 250 270,000
CoreStates Home Equity Trust Corp.
Cl-A
6.65%, 05/15/09.................. 53 52,855
First Federal Financial, Inc. Notes
11.75%, 10/01/04................. 125 136,250
Freddie Mac Corp. Debs.
5.97%, 03/02/01.................. 1,500 1,500,240
MBNA Corp. Sr. Medium Term Notes
6.15%, 10/01/03.................. 450 448,313
NationsBank Texas Corp. Sr. Notes
6.75%, 08/15/00.................. 150 152,438
Provident Bank Corp. Sub. Notes
7.125%, 03/15/03................. 175 181,781
------------
5,928,987
------------
FINANCIAL SERVICES -- 2.4%
Ahmanson, (H.F.) & Co. Sr. Notes
9.875%, 11/15/99................. 100 104,563
American Express Master Trust
7.60%, 08/15/02.................. 500 525,362
</TABLE>
46
<PAGE> 49
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Associates Corp. of North America
Sr. Notes
7.70%, 03/15/00.................. $ 50 $ 51,438
Banque Paribas-NY Sub. Notes
6.875%, 03/01/09................. 1,500 1,537,500
Bay View Capital Corp. Sub. Notes
9.125%, 08/15/07................. 150 154,500
Chrysler Financial Corp. Notes
8.46%, 01/19/00.................. 200 207,500
Ciesco L.P. Notes
7.38%, 04/19/00.................. 250 255,313
Enhance Financial Services Group,
Inc. Debs.
6.75%, 03/01/03.................. 300 307,125
Intertek Finance PLC Sr. Sub. Notes
Cl-B
10.25%, 11/01/06................. 250 265,625
Loomis Fargo & Co. Notes
10.00%, 01/15/04................. 100 100,250
Ocwen Capital Corp. Trust I Notes
10.875%, 08/01/27................ 200 218,500
Ocwen Financial Corp. Notes
11.875%, 10/01/03................ 150 168,750
Salomon Smith Barney Holding, Inc.
Notes
6.625%, 06/01/00................. 200 202,750
Salomon, Inc. Sr. Notes
6.75%, 02/15/03.................. 500 508,125
Simon Debartolo Group, Inc. L.P.
Notes
7.00%, 07/15/09.................. 525 525,656
USF&G Capital II Cl-B
8.47%, 01/10/27.................. 500 574,375
Wells Fargo & Co. Sub. Notes
6.25%, 04/15/08.................. 700 698,250
------------
6,405,582
------------
FOOD -- 0.4%
Archibald Candy Corp. Notes
10.25%, 07/01/04................. 250 266,250
Keebler Corp. Sr. Sub. Notes
10.75%, 07/01/06................. 250 281,875
Mrs. Fields Original Cookies, Inc.
Notes
10.125%, 12/01/04................ 100 97,250
Shoppers Food Warehouse Corp. Notes
9.75%, 06/15/04.................. 100 111,500
Windy Hill Pet Food Co. Sr. Sub.
Notes
9.75%, 05/15/07.................. 250 265,000
------------
1,021,875
------------
HEALTHCARE SERVICES -- 0.0%
Quest Diagnostics, Inc. Sr. Sub.
Notes
10.75%, 12/15/06................. 125 139,687
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
HOTELS & MOTELS -- 0.1%
Courtyard by Marriott Sr. Notes
10.75%, 02/01/08................. $ 150 $ 165,375
Host Marriott Travel Plaza Corp.
Sr. Notes Cl-B
9.50%, 05/15/05.................. 150 159,375
------------
324,750
------------
INDUSTRIAL PRODUCTS -- 0.8%
Eop Operating L.P. 144A
6.75%, 02/15/08.................. 1,000 1,012,500
Fico Strip Coupon Notes [ZCB]
13.226%, 04/06/03................ 1,000 765,100
MCMS, Inc. Sr. Sub. Notes 144A
9.75%, 03/01/08.................. 250 235,625
MTS, Inc. Sr. Sub. Notes 144A
9.375%, 05/01/05................. 100 98,875
Paragon Corp. Holdings Sr. Notes
144A
9.625%, 04/01/08................. 175 161,000
------------
2,273,100
------------
INSURANCE -- 0.2%
New York Life Insurance Co. Notes
144A
7.50%, 12/15/23.................. 420 426,300
------------
MACHINERY & EQUIPMENT -- 0.1%
Columbus McKinnon Corp. Sr. Sub.
Notes 144A
8.50%, 04/01/08.................. 200 197,500
Hawk Corp. Sr. Notes
10.25%, 12/01/03................. 200 215,000
------------
412,500
------------
METALS & MINING -- 0.2%
AEI Holding Co. Sr. Notes 144A
10.00%, 11/15/07................. 350 346,500
Freeport-McMoRan Resource Partners,
Inc. L.P. Sr. Notes
7.00%, 02/15/08.................. 150 153,375
------------
499,875
------------
OIL & GAS -- 0.2%
Ferrellgas L.P. Financial Corp. Sr.
Notes
10.00%, 08/01/01................. 100 105,625
Flores & Rucks, Inc. Sr. Sub. Notes
9.75%, 10/01/06.................. 50 54,750
Pride Petroleum Services, Inc. Sr.
Notes
9.375%, 05/01/07................. 250 264,062
Tenneco, Inc. Notes
8.20%, 11/15/99.................. 55 56,581
8.075, 10/01/02.................. 150 160,125
------------
641,143
------------
PHARMACEUTICALS -- 0.0%
Owens & Minor, Inc. Sr. Sub. Notes
10.875%, 06/01/06................ 75 81,938
------------
</TABLE>
47
<PAGE> 50
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
PRINTING & PUBLISHING -- 0.1%
Sun Media Corp. Sr. Sub. Notes
9.50%, 05/15/07.................. $ 163 $ 173,187
------------
REAL ESTATE -- 0.1%
HMC Acquisition Properties Sr.
Notes Cl-B
9.00%, 12/15/07.................. 150 162,750
------------
RESTAURANTS -- 0.0%
McDonald's Corp. Notes
6.625%, 09/01/05................. 100 104,000
------------
RETAIL & MERCHANDISING -- 0.2%
Meyer, (Fred), Inc. Sr. Notes
7.45%, 03/01/08.................. 250 251,563
Specialty Retailers, Inc. Co.
Guarantee Notes Cl-B
8.50%, 07/15/05.................. 250 258,125
Wal-Mart Stores, Inc. Debs.
7.25%, 06/01/13.................. 85 93,925
------------
603,613
------------
SEMICONDUCTORS -- 0.1%
Fairchild Semiconductor Corp. Sr.
Sub. Notes
10.125%, 03/15/07................ 250 258,125
------------
TELECOMMUNICATIONS -- 2.7%
Comcast Cable Communication, Inc.
Notes
8.125%, 05/01/04................. 400 434,500
Communication & Power Industries,
Inc. Sr. Sub. Notes
12.00%, 08/01/05................. 250 279,063
Flag Ltd. Sr. Notes 144A
8.25%, 01/30/08.................. 200 202,250
Frontiervision Sr. Sub. Notes
11.00%, 10/15/06................. 150 166,500
Fundy Cable Ltd., Inc. Sr. Notes
11.00%, 11/15/05................. 250 275,000
ICG Holding, Inc. [STEP]
10.621%, 09/15/05................ 250 213,750
Intermedia Communications, Inc. Sr.
Notes Cl-B
8.50%, 01/15/08.................. 350 350,875
International Wire Group, Inc.
Notes Cl-B
11.75%, 06/01/05................. 350 385,875
IXC Communications, Inc. Sr. Sub.
Notes 144A
9.00%, 04/15/08.................. 125 125,000
L-3 Communications Corp. Sr. Sub.
Notes Cl-B
10.375%, 05/01/07................ 175 193,812
Lucent Technologies, Inc. Notes
6.90%, 07/15/01.................. 500 514,375
Marcus Cable Operating Co. Sr.
Disc. Notes [STEP]
11.302%, 08/01/04................ 250 243,125
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Metronet Communications Corp. Sr.
Notes
12.00%, 08/15/07................. $ 100 $ 116,000
Microcell Telecommunications, Inc.
Notes [STEP]
11.144%, 06/01/06................ 125 92,969
Nextel Communications, Inc. Sr.
Disc. Notes [STEP]
10.098%, 10/31/07................ 500 326,250
NEXTLINK Communications, Inc. Sr.
Notes
12.50%, 04/15/06................. 125 145,000
Pegasus Communications Corp. Sr.
Notes Cl-B
9.625%, 10/15/05................. 250 258,125
Price Communications Sr. Notes 144A
9.125%, 12/15/06................. 350 350,000
Qwest Communications International,
Inc. Sr. Disc. Notes [STEP]
8.297%, 10/15/07................. 350 263,375
Rogers Cablesystems of America,
Inc. Sr. Notes Cl-B
10.00%, 03/15/05................. 125 138,750
Sitel Corp. Sr. Sub. Notes 144A
9.25%, 03/15/06.................. 100 97,000
Sprint Spectrum L.P. Sr. Notes
11.00%, 08/15/06................. 250 288,125
United Telecommunications, Inc.
Debs.
9.75%, 04/01/00.................. 250 265,313
WorldCom, Inc. Sr. Notes
7.75%, 04/01/07.................. 1,500 1,629,375
------------
7,354,407
------------
TRANSPORTATION -- 0.3%
Allied Holdings, Inc. Notes Cl-B
8.625%, 10/01/07................. 250 256,250
Coach USA, Inc. Notes Cl-B
9.375%, 07/01/07................. 175 182,875
Sea Containers Ltd. Sr. Sub. Notes
12.50%, 12/01/04................. 70 79,013
Stena AB Sr. Notes
10.50%, 12/15/05................. 250 273,125
Union Tank Car Co. Notes
7.125%, 02/01/07................. 150 158,437
------------
949,700
------------
UTILITIES -- 1.2%
Citizens Utilities Co. Debs.
8.45%, 09/01/01.................. 335 358,869
Commonwealth Edison Co. Notes
9.00%, 10/15/99.................. 250 258,125
Consumers Energy Co. First Mtge.
6.625%, 10/01/98................. 50 50,000
Energy Corp. of America Sr. Sub.
Notes Cl-A
9.50%, 05/15/07.................. 250 246,875
Entergy Louisiana, Inc. First Mtge.
6.50%, 03/01/08.................. 1,000 1,007,500
</TABLE>
48
<PAGE> 51
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Niagara Mohawk Power Corp. Sr.
Disc. Notes Cl-H [STEP]
8.539%, 07/01/10................. $ 400 $ 278,000
Niagara Mohawk Power Corp. Sr.
Notes Cl-G
7.75%, 10/01/08.................. 150 154,125
Northland Cable Television, Inc.
Sr. Sub. Notes
10.25%, 11/15/07................. 250 267,500
Pacific Gas & Electric Co. First
Mtge.
6.75%, 12/01/00.................. 200 201,000
Public Service Electric & Gas First
Mtge.
7.00%, 09/01/24.................. 300 301,125
Southern California Co. Edison
Notes
6.50%, 06/01/01.................. 100 101,500
------------
3,224,619
------------
TOTAL CORPORATE OBLIGATIONS
(COST $42,242,758)................... 43,139,855
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.2%
FEDERAL HOME LOAN MORTGAGE CORP. -- 0.0%
7.50%, 07/15/20.................. 8 7,710
------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 6.2%
6.00%, 10/15/23-05/15/26......... 2,629 2,570,731
6.50%, 02/15/24-05/15/24......... 1,456 1,453,738
7.00%, 09/15/23-02/15/27......... 7,882 8,019,418
7.50%, 06/15/24-06/15/26......... 1,407 1,446,807
8.00%, 05/15/16-06/15/26......... 1,014 1,049,980
8.50%, 06/15/16-10/15/26......... 1,578 1,665,264
9.00%, 07/15/16-05/15/17......... 78 83,431
9.50%, 10/15/09-06/15/20......... 45 48,522
10.00%, 11/15/09................. 9 10,274
10.50%, 08/15/15................. 6 6,933
11.50%, 06/15/10-11/15/15........ 126 143,799
12.00%, 09/15/13-01/15/14........ 4 4,594
------------
16,503,491
------------
TENNESSEE VALLEY AUTHORITY NOTES -- 0.0%
7.25%, 07/15/43.................. 20 21,075
6.875%, 12/15/43................. 40 40,850
------------
61,925
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $15,979,391)................... 16,573,126
------------
U.S. TREASURY OBLIGATIONS -- 17.0%
U.S. TREASURY BONDS -- 6.6%
11.625%, 11/15/02................ 100 123,284
6.125%, 08/15/07................. 2,000 2,081,280
7.125%, 02/15/23................. 240 283,867
7.625%, 02/15/25................. 300 377,619
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
6.875%, 08/15/25................. $ 300 $ 347,427
6.00%, 02/15/26.................. 100 104,140
6.75%, 08/15/26.................. 9,325 10,673,861
6.625%, 02/15/27................. 3,250 3,671,557
------------
17,663,035
------------
U.S. TREASURY NOTES -- 10.4%
5.125%, 12/31/98................. 50 49,960
6.375%, 05/15/99................. 1,950 1,964,002
6.75%, 05/31/99.................. 460 465,125
6.00%, 06/30/99.................. 3,500 3,517,395
6.875%, 03/31/00................. 250 255,590
6.25%, 05/31/00.................. 100 101,323
6.125%, 09/30/00................. 150 151,909
5.625%, 11/30/00................. 275 275,627
5.625%, 02/28/01................. 1,100 1,102,728
5.625%, 05/15/01................. 4,500 4,516,784
5.75%, 08/15/03.................. 665 672,282
7.50%, 02/15/05.................. 250 276,685
5.875%, 11/15/05................. 425 432,973
5.625%, 02/15/06................. 500 501,960
6.50%, 10/15/06.................. 1,350 1,433,214
6.25%, 02/15/07.................. 2,000 2,094,740
5.625%, 05/15/08................. 10,000 10,139,099
------------
27,951,396
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $44,072,990)................... 45,614,431
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C>
FOREIGN BONDS -- 1.9%
AUSTRALIA -- 0.0%
Australian Government
9.50%, 08/15/03................ 20 14,643
------------
BELGIUM -- 0.0%
Belgium Kingdom Government
7.25%, 04/29/04................ 1,550 47,108
------------
CANADA -- 0.2%
Canadian Government
8.50%, 04/01/02................ 380 285,748
6.50%, 06/01/04................ 110 79,332
9.75%, 06/01/21................ 10 10,508
------------
375,588
------------
DENMARK -- 0.0%
Kingdom of Denmark
7.00%, 12/15/04................ 275 44,787
------------
</TABLE>
49
<PAGE> 52
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
FRANCE -- 0.3%
French O.A.T
8.50%, 11/25/02................ 1,406 $ 271,548
8.25%, 02/27/04................ 264 51,699
5.50%, 04/25/07................ 3,000 522,194
8.50%, 04/25/23................ 50 11,898
------------
857,339
------------
GERMANY -- 0.4%
Deutscheland Republic
8.50%, 08/21/00................ 375 226,305
8.375%, 05/21/01............... 410 252,628
6.50%, 07/15/03................ 110 66,499
6.00%, 07/04/07................ 838 505,103
------------
1,050,535
------------
ITALY -- 0.1%
Italian Government
11.50%, 03/01/03............... 275,000 197,793
8.50%, 08/01/04................ 45,000 30,111
------------
227,904
------------
JAPAN -- 0.6%
European Investment Bank
4.625%, 02/26/03............... 53,000 442,987
3.00%, 09/20/06................ 102,000 816,713
International Bank Recovery & De-
velopment Global Bonds
6.75%, 03/15/00................ 14,000 111,404
Japanese Government
4.50%, 06/20/03................ 33,500 281,184
------------
1,652,288
------------
NETHERLANDS -- 0.0%
Netherlands Government
5.75%, 01/15/04................ 115 59,868
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
SPAIN -- 0.0%
Spanish Government
8.00%, 05/30/04................ 6,400 $ 48,806
------------
UNITED KINGDOM -- 0.3%
United Kingdom Treasury
9.00%, 03/03/00................ 85 145,900
8.00%, 06/10/03................ 91 162,320
7.50%, 12/07/06................ 164 300,741
------------
608,961
------------
TOTAL FOREIGN BONDS
(COST $5,184,270).................. 4,987,827
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
COMMERCIAL PAPER -- 1.8%
Delaware Funding Corp.+
5.55%, 09/01/98................ $ 407 403,047
Du Pont, (E.I.) de Nemours & Co.+
5.52%, 07/20/98................ 4,155 4,142,895
Toys 'R' Us, Inc.
5.55%, 07/16/98................ 422 421,024
------------
(COST $4,967,029)................ 4,966,966
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.1%
Temporary Investment Fund
(COST $300,867).................... 300,867 300,867
------------
TOTAL INVESTMENTS -- 99.3%
(COST $213,179,873).................. 266,533,125
OTHER ASSETS LESS
LIABILITIES -- 0.7%.................. 1,775,684
------------
NET ASSETS -- 100.0%................... $268,308,809
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
1.7% of net assets.
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 2.3% of net assets.
See Notes to Financial Statements
50
<PAGE> 53
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 47.5%
FEDERAL HOME LOAN MORTGAGE CORP. -- 10.1%
6.00%, 04/01/28-06/01/28......... $ 2,988 $ 2,914,090
8.25%, 08/01/17.................. 465 483,622
7.00%, 04/25/19 [IO]............. 175 14,329
6.50%, 07/14/28-08/13/28 [TBA]... 65,500 65,305,550
7.68%, 02/01/24 [VR]............. 1,563 1,614,976
------------
70,332,567
------------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 13.8%
6.90%, 05/25/23.................. 213 216,462
7.50%, 04/01/24.................. 3,233 3,319,681
9.40%, 07/25/03.................. 187 194,221
6.25%, 05/25/08 [IO]............. 236 65,519
6.50%, 06/25/14 [IO]............. 478 9,679
6.00%, 07/20/13 [TBA]............ 42,000 41,540,520
6.50%, 08/13/28 [TBA]............ 48,500 48,272,535
6.22%, 10/01/27-06/01/28 [VR].... 2,681 2,699,382
7.79%, 01/01/24 [VR]............. 251 260,066
------------
96,578,065
------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 20.7%
6.50%, 09/15/23-12/15/25......... 22,940 22,873,150
6.875%, 01/20/26-02/20/27........ 39,298 40,177,998
7.00%, 11/20/26-12/20/26......... 27,647 28,239,588
7.50%, 12/20/23.................. 362 370,179
6.50%, 08/19/28 [TBA]............ 8,420 8,396,340
6.875%, 03/20/17-03/20/24 [VR]... 12,140 12,381,931
7.00%, 08/20/23-12/20/25 [VR].... 27,179 27,722,504
7.375%, 06/20/22-04/20/23 [VR]... 3,885 3,956,952
------------
144,118,642
------------
STUDENT LOAN MARKETING ASSOC. -- 2.9%
Series 1998-2 Cl-A1 [VR]
5.92%, 04/25/07.................. 20,000 19,993,750
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $328,041,805).................. 331,023,024
------------
CORPORATE OBLIGATIONS -- 38.3%
AIRLINES -- 1.8%
American Airlines, Inc. Notes
10.19%, 05/26/15................. 250 331,270
United Air Lines, Inc. Notes
10.36%, 11/13/12................. 6,925 9,033,593
10.36%, 11/27/12................. 500 651,845
10.02%, 03/22/14................. 2,000 2,508,140
------------
12,524,848
------------
CHEMICALS -- 2.9%
Imperial Chemical, Inc. Euro Medium
Term Notes [FRN]
5.75%, 12/05/98.................. 10,000 10,013,050
Indspec Chemical Corp. Sr. Sub.
Notes Cl-B [STEP]
9.74%, 12/01/03.................. 10,000 10,275,000
------------
20,288,050
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CONGLOMERATES -- 1.7%
Philip Morris Companies, Inc. Notes
[VR]
6.15%, 03/15/00.................. $11,600 $ 11,614,500
------------
ENTERTAINMENT & LEISURE -- 0.2%
Time Warner, Inc. Notes
7.98%, 08/15/04.................. 262 283,943
8.11%, 08/15/06.................. 525 577,500
8.18%, 08/15/07.................. 525 584,063
------------
1,445,506
------------
FINANCIAL-BANK & TRUST -- 2.9%
Citicorp Medium Term Sr. Notes
[FRN]
6.09%, 11/30/00.................. 6,000 6,042,720
First of America Bank Notes
6.00%, 10/01/99.................. 13,750 13,750,000
------------
19,792,720
------------
FINANCIAL SERVICES -- 16.8%
Avco Financial Services, Inc.
Medium Term Notes
5.75%, 01/23/01.................. 7,850 7,810,750
Beneficial Corp. Medium Term Notes
Cl-H [FRN]
5.81%, 01/09/02.................. 10,000 9,985,698
Chrysler Financial Corp. Notes
[FRN]
5.77%, 01/30/02.................. 10,000 9,978,699
Ford Motor Credit Co. Notes [FRN]
5.83%, 09/03/01.................. 10,000 10,004,550
Goldman Sachs Group Notes
[FRN] 144A
5.91%, 11/24/00.................. 20,000 20,015,400
Lehman Brother Holdings Medium Term
Notes Cl-E [FRN]
5.90%, 01/18/00.................. 10,000 9,986,800
Merrill Lynch & Co. Notes [FRN]
5.77%, 01/23/01.................. 2,650 2,654,982
New England Educational Loan
Marketing Assoc. Medium Term
Notes [FRN]
5.86%, 06/11/01.................. 10,000 9,991,800
PNC Bank Corp. NA Notes [FRN]
5.60%, 06/01/00.................. 20,000 19,969,394
Salomon, Inc. Notes [FRN]
6.20%, 02/15/99.................. 2,000 2,006,800
Salomon, Inc. Sr. Notes [VR]
5.80%, 08/04/98.................. 15,000 15,003,150
------------
117,408,023
------------
FOOD -- 1.0%
RJR Nabisco, Inc. Notes
8.625%, 12/01/02................. 6,500 6,776,250
------------
INSURANCE -- 0.7%
Residential Reinsurance Notes
[FRN] 144A
9.85%, 09/01/98.................. 5,000 4,984,375
------------
</TABLE>
51
<PAGE> 54
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
PETROLEUM EXPLORATION & PRODUCTION -- 0.7%
Connecticut Light & Power Co./
West Massachusetts Electric Co.
Notes 144A
8.59%, 06/05/03.................. $ 5,000 $ 5,005,000
------------
RAILROADS -- 0.8%
Union Pacific Co. Notes
7.875%, 02/15/02................. 5,000 5,250,000
------------
REAL ESTATE -- 0.7%
Spieker Properties, Inc. LP Notes
6.95%, 12/15/02.................. 5,000 5,093,750
------------
TELECOMMUNICATIONS -- 5.6%
AT&T Capital Corp. Notes
5.94%, 01/15/99 [VR]............. 10,000 9,998,000
6.05%, 04/01/99 [FRN] 144A....... 10,000 10,007,400
TCI Communications, Inc. Sr. Notes
[FRN]
5.95%, 09/11/00.................. 10,000 10,089,800
WorldCom, Inc. Sr. Notes
9.38%, 01/15/04.................. 8,632 9,139,130
------------
39,234,330
------------
UTILITIES -- 2.5%
Cleveland Electric
Illuminating Co. Notes
8.75%, 11/15/05.................. 100 100,680
CMS Energy Corp. Sr. Notes
8.13%, 05/15/02.................. 5,000 5,156,250
Long Island Lighting Corp. Notes
8.90%, 07/15/19.................. 6,000 6,358,560
Louisiana Power & Light Corp. Notes
7.74%, 07/01/02.................. 6,000 6,097,500
------------
17,712,990
------------
TOTAL CORPORATE OBLIGATIONS
(COST $264,760,033).................. 267,130,342
------------
COMMERCIAL PAPER -- 20.7%
American Express Credit Corp.
5.53%, 08/26/98.................. 35,000 34,698,922
Du Pont, (E.I.) de Nemours & Co.
5.51%, 07/14/98.................. 2,400 2,395,225
General Electric Capital Corp.
5.52%, 07/23/98.................. 11,400 11,363,700
5.53%, 09/18/98.................. 14,000 13,827,956
KFW International Financial Corp.
5.50%, 07/01/98.................. 800 800,000
5.49%, 07/24/98.................. 3,300 3,288,425
National Rural Utility Corp.
5.50%, 07/28/98.................. 1,700 1,692,988
5.51%, 08/20/98.................. 1,800 1,786,225
5.50%, 09/03/98.................. 2,500 2,473,646
New Center Asset Trust
5.55%, 08/20/98.................. 7,400 7,342,958
5.54%, 08/27/98.................. 14,800 14,675,794
Oesterreichische Kontbk
5.49%, 07/13/98.................. 5,000 4,990,850
5.50%, 09/22/98.................. 10,000 9,859,444
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Procter & Gamble Co.
5.51%, 08/06/98.................. $14,300 $ 14,221,207
Coca-Cola Co.
5.49%, 09/01/98.................. 10,000 9,905,277
Washington Post+
5.53%, 08/12/98.................. 11,100 11,028,387
------------
(COST $144,361,216)................ 144,351,004
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 7.6%
California Infrastructure SDG&E-1
Mtge.
5.97%, 12/25/00.................. 6,677 6,676,699
Citicorp Mtge. Securities, Inc.
[VR]
7.50%, 10/25/22.................. 438 448,073
Collateralized Mtge. Securities
Corp. [VR]
7.99%, 05/01/17.................. 444 457,261
Contimortgage Home Equity Loan
Trust Cl-A2
5.83%, 10/15/12.................. 19,414 19,404,443
Countrywide Adjustable Rate Mtge.
[VR]
7.77%, 03/25/24.................. 399 411,945
8.20%, 11/25/24.................. 341 352,467
MBNA Master Credit Card Trust Cl-A
[VR]
5.59%, 01/15/02.................. 15,000 14,982,000
Mortgage Capital Trust VI
9.50%, 02/01/18.................. 342 341,896
Prudential Home Mtge. Securities
6.50%, 01/25/00.................. 5,102 5,095,338
Prudential-Bache Trust
8.40%, 03/20/21.................. 2,802 2,909,987
Resolution Trust Corp.
8.00%, 09/25/21.................. 49 49,142
Rothschild, (L.F.) Mtge. Trust
9.95%, 08/01/17.................. 1,768 1,914,163
------------
(COST $52,734,375)................. 53,043,414
------------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. Treasury Bills
4.96%, 07/23/98#................. 105 104,698
4.98%, 07/23/98#................. 1,715 1,710,067
4.98%, 07/23/98#................. 65 64,813
5.01%, 07/23/98#................. 885 882,455
4.84%, 08/20/98.................. 415 412,235
5.02%, 08/20/98#................. 405 402,301
5.06%. 08/20/98#................. 210 208,601
4.99%, 10/15/98#................. 600 591,167
5.02%, 10/15/98#................. 250 246,319
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $4,621,964).................... 4,622,656
------------
SOVEREIGN ISSUES -- 3.9%
ARGENTINA -- 1.3%
Republic of Argentina [BRB, FRB]
6.63%, 03/31/05.................. 10,450 9,235,189
------------
</TABLE>
52
<PAGE> 55
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
BRAZIL -- 0.5%
Republic of Brazil-IDU Cl-A [VR]
6.88%, 01/01/01.................. $ 3,500 $ 3,322,715
------------
MEXICO -- 1.4%
United Mexican States Sr. Notes
[FRN]
7.00%, 06/27/02.................. 10,000 9,800,000
------------
PHILIPPINES -- 0.7%
Bangko Sentral Pilipinas
8.60%, 06/15/27.................. 6,000 5,197,500
------------
TOTAL SOVEREIGN ISSUES
(COST $27,318,761)................... 27,555,404
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C>
FOREIGN BONDS -- 1.4%
CANADA -- 0.6%
Canadian Government
4.25%, 12/01/26................. 5,186 3,759,845
------------
NEW ZEALAND -- 0.8%
New Zealand Government
10.00%, 03/15/02................ 10,000 5,703,508
------------
TOTAL FOREIGN BONDS
(COST $9,639,772)................... 9,463,353
------------
PAR
(000) VALUE
--------- ------------
CERTIFICATES OF DEPOSIT -- 2.9%
Bankers Trust Corp.
5.90%, 07/07/98 (COST
$19,999,937)...................... $20,000 $ 20,000,118
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.6%
Temporary Investment Cash Fund.... 2,278,680 2,278,680
Temporary Investment Fund......... 2,278,680 2,278,680
------------
(COST $4,557,360)................. 4,557,360
------------
TOTAL INVESTMENTS -- 123.6%
(COST $856,035,223)................. 861,746,675
------------
</TABLE>
<TABLE>
<CAPTION>
NOTIONAL
AMOUNT
(000)
--------
<S> <C> <C>
WRITTEN CALL OPTIONS -- 0.0%
30 Year U.S. Treasury Bond
Futures, Strike Price 132,
Expires 08/22/98
(COST ($143,336)).............. $95,000 (14,844)
-------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (23.6%)............ (164,643,701)
-------------
NET ASSETS -- 100.0%................. $ 697,088,130
=============
</TABLE>
53
<PAGE> 56
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE DEPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
08/98 Sell CAD 5,236,000 $3,561,905 $3,565,567 $ 3,662
========== ========== ==========
</TABLE>
# Securities with an aggregate market value of $4,210,421 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at June 30, 1998:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury 10 Year
Note....................... 09/98 $71,300 $ (13,453)
U.S. Treasury 10 Year
Note....................... 12/98 28,200 224,991
U.S. Treasury 30 Year
Note....................... 09/98 158,800 1,668,523
LIBOR....................... 12/98 GBP 25,000 (301,589)
----------
$1,578,472
==========
</TABLE>
Interest rate swap agreements outstanding at June 30, 1998:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receive variable rate
payments on the three month
LIBOR-BBA floating rate and
pay fixed rate payments on
the then current U.S.
Treasury 10 Year Notes with
a spread of: 36.25......... 04/02 $ 5,000 $ 36,046
36.50...................... 04/02 7,500 53,348
37.00...................... 04/02 3,000 20,763
37.00...................... 05/02 10,000 69,209
35.75...................... 06/02 6,000 44,409
36.50...................... 06/02 12,000 85,357
Receive variable rate
payments on the six month
LIBOR-BBA floating rate and
pay fixed rate payments on
the then current Japanese
10 Year Government Bonds
with a spread of: 2.305.... 04/02 JPY 377,000 (87,540)
2.295...................... 04/08 JPY 580,000 (130,957)
---------
$ 90,635
=========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
1.6% of net assets.
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 5.7% of net assets.
See Notes to Financial Statements.
54
<PAGE> 57
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 73.0%
AEROSPACE -- 2.4%
AlliedSignal, Inc. ................ 200,000 $ 8,875,000
General Motors Corp. Cl-H.......... 20,000 942,500
Lockheed Martin Corp. ............. 20,000 2,117,500
Northrop Grumman Corp. ............ 55,000 5,671,875
------------
17,606,875
------------
AUTOMOBILE MANUFACTURERS -- 0.8%
Ford Motor Co. .................... 100,000 5,900,000
------------
AUTOMOTIVE PARTS -- 0.3%
Borg Warner Automotive, Inc. ...... 50,000 2,403,125
------------
BEVERAGES -- 1.6%
Anheuser-Busch Companies, Inc. .... 140,000 6,606,250
Coors, (Adolph) Co. Cl-B........... 150,000 5,100,000
------------
11,706,250
------------
CHEMICALS -- 2.0%
Agrium, Inc. ...................... 250,000 3,156,250
Lawter International, Inc. ........ 100,000 1,087,500
Monsanto Co. ...................... 134,000 7,487,250
Olin Corp. ........................ 80,000 3,335,000
------------
15,066,000
------------
COMPUTER HARDWARE -- 1.9%
Hewlett-Packard Co. ............... 50,000 2,993,750
International Business Machines
Corp. ........................... 100,100 11,492,731
------------
14,486,481
------------
COMPUTER SERVICES & SOFTWARE -- 2.2%
Ceridian Corp.*.................... 150,000 8,812,500
First Data Corp. .................. 220,000 7,328,750
------------
16,141,250
------------
CONGLOMERATES -- 1.1%
Textron, Inc. ..................... 110,000 7,885,625
------------
CONSUMER PRODUCTS & SERVICES -- 1.7%
Colgate-Palmolive Co. ............. 83,000 7,304,000
Procter & Gamble Co. .............. 62,400 5,682,300
------------
12,986,300
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.1%
Applied Materials, Inc.*........... 188,400 5,557,800
Emerson Electric Co................ 120,000 7,245,000
General Electric Co. .............. 150,000 13,650,000
Tandy Corp. ....................... 205,200 10,888,425
Texas Instruments, Inc. ........... 140,000 8,163,750
------------
45,504,975
------------
ENVIRONMENTAL SERVICES -- 0.8%
Republic Services, Inc. Cl-A*...... 250,000 6,000,000
------------
FINANCIAL-BANK & TRUST -- 7.5%
Bank of New York Co., Inc. ........ 200,000 12,137,500
Charter One Financial, Inc. ....... 200,000 6,737,500
Citicorp. ......................... 50,000 7,462,500
Fleet Financial Group, Inc. ....... 110,000 9,185,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Mellon Bank Corp. ................. 140,000 $ 9,747,500
NationsBank Corp. ................. 140,000 10,710,000
------------
55,980,000
------------
FINANCIAL SERVICES -- 1.8%
Ahmanson, (H.F.) & Co. ............ 90,000 6,390,000
Morgan Stanley, Dean Witter &
Co. ............................. 81,000 7,401,375
------------
13,791,375
------------
FOOD -- 4.7%
General Mills, Inc. ............... 80,000 5,470,000
Heinz, (H.J.) Co. ................. 93,000 5,219,625
Kellogg Co. ....................... 140,000 5,258,750
Quaker Oats Co. ................... 190,000 10,438,125
Ralston Purina Group............... 75,000 8,760,937
------------
35,147,437
------------
HOTELS & MOTELS -- 1.7%
Hilton Hotels Corp. ............... 320,000 9,120,000
Patriot American Hospitality,
Inc. ............................ 160,002 3,830,048
------------
12,950,048
------------
INSURANCE -- 5.5%
Allmerica Financial Corp. ......... 156,363 10,163,595
Chubb Corp. ....................... 100,000 8,037,500
Lincoln National Corp. ............ 80,000 7,310,000
Ohio Casualty Corp. ............... 100,000 4,425,000
Travelers Property Casualty Corp.
Cl-A............................. 255,000 10,933,125
------------
40,869,220
------------
MACHINERY & EQUIPMENT -- 0.3%
Albany International Corp. Cl-A.... 100,500 2,405,719
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.9%
Abbott Laboratories................ 200,000 8,175,000
Becton Dickinson & Co. ............ 75,000 5,821,875
------------
13,996,875
------------
METALS & MINING -- 0.3%
Newmont Mining Corp. .............. 100,994 2,385,983
------------
OIL & GAS -- 5.5%
Apache Corp. ...................... 100,000 3,150,000
Atlantic Richfield Co. ............ 60,000 4,687,500
Chevron Corp. ..................... 70,000 5,814,375
EEX Corp.* ........................ 400,000 3,750,000
Enron Oil & Gas Co. ............... 100,000 2,025,000
Exxon Corp. ....................... 100,000 7,131,250
Phillips Petroleum Co. ............ 60,000 2,891,250
Royal Dutch Petroleum Co. ......... 60,000 3,288,750
Union Pacific Resources Group,
Inc. ............................ 121,173 2,128,101
Unocal Corp. ...................... 100,000 3,575,000
USX-Marathon Group................. 80,000 2,745,000
------------
41,186,226
------------
PAPER & FOREST PRODUCTS -- 0.9%
Fort James Corp. .................. 150,000 6,675,000
------------
</TABLE>
55
<PAGE> 58
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PERSONAL SERVICES -- 1.0%
Galileo International, Inc. ....... 99,000 $ 4,461,187
Service Corp. International........ 72,000 3,087,000
------------
7,548,187
------------
PHARMACEUTICALS -- 5.5%
American Home Products Corp. ...... 80,000 4,140,000
Bristol-Meyers Squibb Co. ......... 80,000 9,195,000
Merck & Co., Inc. ................. 100,000 13,375,000
Novo Nordisk AS [ADR].............. 15,000 1,032,187
Pfizer, Inc. ...................... 30,000 3,260,625
SmithKline Beecham PLC [ADR]....... 70,000 4,235,000
Warner-Lambert Co. ................ 90,000 6,243,750
------------
41,481,562
------------
RAILROADS -- 2.6%
Kansas City Southern Industries,
Inc. ............................ 296,000 14,689,000
Norfolk Southern Corp. ............ 150,000 4,471,875
------------
19,160,875
------------
REAL ESTATE -- 0.2%
Boston Properties, Inc. ........... 40,000 1,380,000
------------
RETAIL & MERCHANDISING -- 4.9%
Dayton-Hudson Corp. ............... 230,600 11,184,100
Federated Department Stores,
Inc.*............................ 120,000 6,457,500
May Department Stores Co. ......... 70,000 4,585,000
Penney, (J.C.) Co., Inc. .......... 70,000 5,061,875
Proffitt's, Inc.*.................. 230,000 9,286,250
------------
36,574,725
------------
SEMICONDUCTORS -- 0.7%
Motorola, Inc. .................... 100,000 5,256,250
------------
TELECOMMUNICATIONS -- 6.0%
Ameritech Corp. ................... 100,000 4,487,500
AT&T Corp. ........................ 60,000 3,427,500
Bell Atlantic Corp. ............... 200,000 9,125,000
BellSouth Corp. ................... 80,000 5,370,000
GTE Corp. ......................... 100,000 5,562,500
SBC Communications, Inc. .......... 180,000 7,200,000
Sprint Corp. ...................... 42,700 3,010,350
U. S. West, Inc. .................. 140,000 6,580,000
------------
44,762,850
------------
TRANSPORTATION -- 0.8%
CNF Transportation, Inc. .......... 142,300 6,047,750
------------
UTILITIES -- 0.3%
Interstate Energy Corp. ........... 68,400 2,223,000
------------
TOTAL COMMON STOCK
(COST $425,059,688)........................ 545,509,963
------------
PREFERRED STOCK -- 0.1%
METALS & MINING
Amax Gold, Inc. $3.75 Cl-B
(COST $996,575).................... 20,000 883,750
------------
PAR
(000) VALUE
----- ----
CORPORATE OBLIGATIONS -- 18.8%
AUTOMOTIVE -- 0.2%
Auburn Hills Trust Debs.
12.00%, 05/01/20................. $ 1,000 $ 1,627,500
------------
BROADCASTING -- 1.0%
Allbritton Communications Co. Sr.
Sub. Debs. 9.75%, 11/30/07....... 1,500 1,653,750
American Radio Systems Co. Co.
Guarantee Notes 9.00%,
02/01/06......................... 1,500 1,597,500
CBS, Inc. Debs. 8.875%, 06/01/22... 2,000 2,232,500
Heritage Media Corp. Sr. Sub. Notes
8.75%, 02/15/06.................. 1,500 1,605,000
------------
7,088,750
------------
BUILDING MATERIALS -- 0.5%
USG Corp. Sr. Notes 8.50%,
08/01/05......................... 3,500 3,908,800
------------
ENTERTAINMENT & LEISURE -- 0.3%
GCI, Inc. Sr. Notes 9.75%,
08/01/07......................... 1,000 1,050,000
Time Warner, Inc. Notes 6.85%,
01/15/03......................... 1,000 1,032,500
------------
2,082,500
------------
FINANCIAL SERVICES -- 1.1%
CEI Citicorp Holdings Notes 9.75%,
02/14/07......................... 2,000 1,950,000
Donaldson Lufkin & Jenrette, Inc.
Notes 5.625%, 02/15/16........... 1,000 992,500
DQU II Funding Corp. Debs. 8.70%,
06/01/16......................... 2,000 2,307,500
General Motors Acceptance Corp.
Notes 6.70%, 04/25/01............ 1,000 1,017,500
Lehman Brothers Holdings, Inc. Sr.
Notes 8.80%, 03/01/15............ 1,850 2,208,438
------------
8,475,938
------------
HEALTHCARE SERVICES -- 0.1%
FHP International Corp. Sr. Notes
7.00%, 09/15/03.................. 1,000 1,017,500
------------
HOTELS & MOTELS -- 0.3%
Hilton Hotels Corp. Sr. Notes
7.20%, 12/15/09.................. 2,000 1,975,000
------------
INSURANCE -- 0.6%
Equitable Companies, Inc. Sr. Notes
9.00%, 12/15/04.................. 4,035 4,604,944
------------
MACHINERY & EQUIPMENT -- 0.1%
Agco Corp. Sr. Sub. Notes 8.50%,
03/15/06......................... 1,000 1,031,250
------------
</TABLE>
56
<PAGE> 59
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
U.S. Surgical Corp. Sr. Notes
7.25%, 03/15/08.................. $ 1,000 $ 1,060,000
------------
METALS & MINING -- 1.0%
Glencore Nickel Property Ltd. Co.
Co. Guarantee Notes 9.00%,
12/01/14......................... 2,000 1,940,000
Haynes International, Inc. Sr.
Notes 11.625%, 09/01/04.......... 1,500 1,665,000
Inland Steel Co. First Mtge. Cl-R
7.90%, 01/15/07.................. 2,000 2,025,000
National Steel Corp. First Mtge.
8.375%, 08/01/06................. 1,500 1,498,125
------------
7,128,125
------------
OIL & GAS -- 2.8%
Atlantic Richfield Co. Debs.
9.875%, 03/01/16................. 1,505 2,063,731
10.875%, 07/15/05................ 3,000 3,836,250
Belco Oil & Gas Corp. Sr. Sub.
Notes Cl-B 8.875%, 09/15/07...... 1,500 1,470,000
Canadian Forest Oil Ltd. Co.
Guarantee Notes 8.75%,
09/15/07......................... 1,500 1,477,500
Cliffs Drilling Co. Cl-B 10.25%,
05/15/03......................... 1,000 1,060,000
Gulf Canada Resources Ltd. Sr.
Notes 8.35%, 08/01/06............ 1,000 1,080,000
8.25%, 03/15/17.................. 1,000 1,088,750
Navigator Gas Transport Notes 144A
10.50%, 06/30/07................. 1,000 1,047,500
Noram Energy Corp. Sub. Debs.
6.00%, 03/15/12.................. 1,613 1,584,773
Northern Offshore ASA Co. Guarantee
Notes 144A 10.00%, 05/15/05...... 1,000 960,000
Pacific Gas & Electric First Mtge.
7.25%, 08/01/26.................. 1,500 1,560,000
Sun Co., Inc. Debs. 9.375%,
06/01/16......................... 2,000 2,390,000
Veritas Holdings Sr. Notes 9.625%,
12/15/03......................... 1,300 1,386,125
------------
21,004,629
------------
PAPER & FOREST PRODUCTS -- 0.3%
Quno Corp. Sr. Notes 9.125%,
05/15/05......................... 2,150 2,311,250
------------
PHARMACEUTICALS -- 0.4%
McKesson Corp. Sub. Debs. 4.50%,
03/01/04......................... 2,875 2,616,250
------------
PRINTING & PUBLISHING -- 0.3%
Affiliated Newspaper Investments,
Inc. Sr. Disc. Notes [STEP]
11.129%, 07/01/06................ 2,000 1,995,000
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
RETAIL & MERCHANDISING -- 0.2%
Federated Department Stores, Inc.
Notes 6.79%, 07/15/27............ $ 1,500 $ 1,554,375
------------
TELECOMMUNICATIONS -- 4.8%
360 Communications Co. Notes 6.65%,
01/15/08......................... 2,000 2,025,000
360 Communications Co. Sr. Notes
7.60%, 04/01/09.................. 1,000 1,081,250
Centel Capital Corp. Debs. 9.00%,
10/15/19......................... 2,500 3,100,000
Centennial Cellular Corp. Sr. Notes
8.875%, 11/01/01................. 2,500 2,603,125
CF Cable TV, Inc. Sr. Notes
11.625%, 02/15/05................ 2,000 2,275,000
Clear Channel Communications, Inc.
6.625%, 06/15/08................. 2,000 1,992,500
Continental Cablevision Debs.
9.50%, 08/01/13.................. 2,000 2,390,700
Frontier Corp. Notes 7.25%,
05/15/04......................... 2,000 2,102,500
Intermedia Communications, Inc. Sr.
Notes 144A 8.60%, 06/01/08....... 1,500 1,518,750
Intermedia Communications, Inc. Sr.
Notes Cl-B 8.50%, 01/15/08....... 1,000 1,002,500
JCAC, Inc. Sr. Sub. Notes 10.125%,
06/15/06......................... 1,000 1,096,250
Level 3 Communications, Inc. Sr.
Notes 144A 9.125%, 05/01/08...... 1,500 1,462,500
MetroNet Communications Corp. Sr.
Notes 12.00%, 08/15/07........... 1,500 1,740,000
Nextel Communications, Inc. Sr.
Disc. Notes [STEP] 144A 10.004%,
08/15/04......................... 2,000 1,950,000
NEXTLINK Communications, Inc. Sr.
Notes 9.625%, 10/01/07........... 2,000 2,065,000
RCN Corp. Sr. Disc. Notes [STEP]
18.217%, 02/15/08................ 3,000 1,830,000
RSL Communications PLC Sr. Disc.
Notes [STEP] 10.125%, 03/01/08... 2,000 1,190,000
RSL Communications PLC Sr. Notes
144A 9.125%, 03/01/08............ 1,000 972,500
Teligent, Inc. Sr. Disc. Notes
[STEP] 144A 11.50%, 03/01/08..... 2,000 1,105,000
WorldCom, Inc. 7.75%, 04/01/27..... 2,000 2,292,500
------------
35,795,075
------------
</TABLE>
57
<PAGE> 60
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
UTILITIES -- 4.7%
Boston Edison Co. Debs. 7.80%,
05/15/10......................... $ 1,000 $ 1,105,112
7.80%, 03/15/23.................. 1,640 1,719,950
Carolina Power & Light First Mtge.
8.625%, 09/15/21................. 1,000 1,273,200
6.875%, 08/15/23................. 1,000 1,006,250
Cleveland Electric Illuminating Co.
First Mtge. C1-B 9.50%,
05/15/05......................... 3,000 3,476,250
Coda Energy, Inc. Co. Guarantee
Notes 10.50%, 04/01/06........... 1,000 1,040,000
Consumers Energy Co. First Mtge.
7.375%, 09/15/23................. 2,500 2,487,500
Detroit Edison Medium Term Notes
8.30%, 08/01/22.................. 1,000 1,086,250
Illinois Power Co. Mtge. 7.50%,
07/12/25......................... 1,900 1,952,250
Jersey Central Power & Light Co.
First Mtge. 7.50%, 05/01/23...... 1,500 1,548,750
6.75%, 11/01/25.................. 1,000 973,750
Metropolitan Edison Co. First Mtge.
Medium Term Notes C1-B 8.15%,
01/30/23......................... 2,975 3,253,987
New York State Electric & Gas Corp.
First Mtge. 8.30%, 12/15/22...... 1,400 1,529,500
New York State Electric & Gas First
Mtge. 8.30%, 12/15/22............ 475 524,875
Niagara Mohawk Power First Mtge.
9.75%, 11/01/05.................. 1,000 1,172,500
PECO Energy First Mtge. 7.25%,
11/01/24......................... 2,000 2,055,000
Penn Power and Light First Mtge.
7.875%, 02/01/23................. 1,000 1,062,500
Potomac Electric Power Co. First
Mtge. 6.25%, 10/15/04............ 1,900 1,945,125
PSI Energy, Inc. Debs. 6.35%,
11/15/00......................... 1,500 1,515,000
South Carolina Electric & Gas Co.
Mtge. 8.875%, 08/15/21........... 2,000 2,200,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Western Massachusetts Electric Co.
First Mtge. 7.75%, 12/01/02...... $ 2,000 $ 2,046,318
------------
34,974,067
------------
TOTAL CORPORATE OBLIGATIONS
(COST $138,043,439)........................ 140,250,953
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.7%
Federal Home Loan Mtge. Corp.
6.50%, 09/01/11.................. 8,276 8,338,221
6.50%, 01/01/12.................. 4,416 4,449,441
------------
(COST $12,398,153)................. 12,787,662
------------
U.S. TREASURY OBLIGATIONS -- 1.5%
U.S. Treasury Notes 5.50%,
05/31/03......................... 5,000 4,999,700
6.125%, 08/15/07................. 6,000 6,243,840
------------
(COST $11,197,603)................. 11,243,540
------------
COMMERCIAL PAPER -- 4.3%
American Express Credit Corp.
5.575%, 07/01/98................. 10,000 10,000,000
Heller Financial, Inc. 5.686%,
07/07/98......................... 15,500 15,500,000
Hertz Corp. 5.786%, 07/02/98....... 7,051 7,051,000
------------
(COST $32,551,000)................. 32,551,000
------------
SHARES
-------
SHORT-TERM INVESTMENTS -- 1.6%
Temporary Investment Cash Fund..... 5,845,854 5,845,854
Temporary Investment Fund.......... 5,845,854 5,845,854
------------
(COST $11,691,708)................. 11,691,708
------------
TOTAL INVESTMENTS -- 101.0%
(COST $631,938,166).................. 754,918,576
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.0%)..................... (7,692,057)
------------
NET ASSETS -- 100.0%................... $747,226,519
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* 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.
See Notes to Financial Statements.
58
<PAGE> 61
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 92.1%
AEROSPACE -- 0.5%
REMEC, Inc.*....................... 114,825 $ 1,306,134
------------
BROADCASTING -- 0.1%
Citadel Communications Corp.*...... 9,400 150,400
------------
BUSINESS SERVICES -- 4.4%
Metzler Group, Inc.*............... 43,762 1,602,783
PAREXEL International Corp.*....... 72,750 2,646,281
Pegasus Systems, Inc.*............. 45,175 1,157,609
Personnel Group of America,
Inc.*............................ 108,300 2,166,000
Renaissance Worldwide, Inc.*....... 85,875 1,867,781
StaffMark, Inc.*................... 27,775 1,017,259
Wackenhut Corrections Corp.*....... 65,775 1,537,491
------------
11,995,204
------------
CHEMICALS -- 0.7%
O.M. Group, Inc. .................. 48,575 2,003,719
------------
CLOTHING & APPAREL -- 2.9%
The Mens Warehouse, Inc.*.......... 54,525 1,799,325
The Warnaco Group, Inc. Cl-A ...... 75,325 3,196,605
The Wet Seal, Inc. Cl-A*........... 89,000 2,848,000
------------
7,843,930
------------
COMPUTER HARDWARE -- 1.1%
Insight Enterprises, Inc.*......... 73,737 2,949,480
------------
COMPUTER SERVICES & SOFTWARE -- 15.2%
Aspen Technologies, Inc.*.......... 51,600 2,605,800
Brooktrout Technologies, Inc.*..... 75,975 1,054,153
CDW Computer Centers, Inc.*........ 78,275 3,913,750
CheckFree Holdings Corp.*.......... 143,075 4,211,770
EarthLink Network, Inc.*........... 12,350 947,862
Electronic Arts, Inc.*............. 33,875 1,829,250
Harbinger Corp.*................... 132,562 3,206,343
HNC Software, Inc.*................ 156,825 6,400,420
JDA Software Group, Inc.*.......... 28,575 1,250,156
Keane, Inc.*....................... 16,675 933,800
Mastech Corp.*..................... 92,125 2,591,016
MMC Networks, Inc.*................ 86,225 2,748,422
SIPEX Corp.*....................... 66,775 1,435,662
Software AG Systems, Inc.*......... 9,950 291,037
Summit Design, Inc.*............... 126,150 1,852,828
Sykes Enterprises, Inc.*........... 131,800 2,644,237
Transaction Systems Architects,
Inc.*............................ 32,900 1,266,650
USWeb Corp.*....................... 46,575 1,103,245
Wind River Systems*................ 20,450 733,644
------------
41,020,045
------------
CONSUMER PRODUCTS & SERVICES -- 7.2%
Action Performance Companies,
Inc.*............................ 142,475 4,585,914
Helen of Troy Ltd.*................ 264,225 5,812,950
Pre-Paid Legal Services, Inc.*..... 51,600 1,628,625
Windmere-Durable Holdings, Inc.*... 80,550 2,884,697
Wolverine World Wide, Inc.......... 203,455 4,412,430
------------
19,324,616
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ELECTRONIC COMPONENTS & EQUIPMENT -- 4.7%
Advanced Lighting Technologies,
Inc.*............................ 124,825 $ 2,902,181
Berg Electronics Corp.*............ 139,325 2,725,545
Brooks Automation, Inc.*........... 147,325 1,915,225
Concord EFS, Inc.*................. 141,825 3,705,178
PRI Automation, Inc.*.............. 80,800 1,378,650
------------
12,626,779
------------
ENTERTAINMENT & LEISURE -- 1.2%
Silverleaf Resorts, Inc.*.......... 132,025 2,013,381
Vistana, Inc.*..................... 70,500 1,295,437
------------
3,308,818
------------
ENVIRONMENTAL SERVICES -- 2.0%
American Disposal Services,
Inc.*............................ 86,000 4,031,250
Eastern Environmental Services,
Inc.*............................ 42,225 1,435,650
------------
5,466,900
------------
EQUIPMENT SERVICES -- 2.9%
Gemstar International Group
Ltd.*............................ 61,700 2,309,894
Rental Service Corp.*.............. 97,875 3,291,047
United Rentals, Inc.*.............. 53,350 2,240,700
------------
7,841,641
------------
FINANCIAL SERVICES -- 2.5%
Affiliated Managers Group, Inc.*... 46,975 1,743,947
UniCapital Corp.*.................. 177,000 3,385,125
United Panam Financial Corp.*...... 164,925 1,690,481
------------
6,819,553
------------
FOOD -- 1.7%
American Italian Pasta Co. Cl-A*... 50,975 1,898,819
U.S. Foodservice, Inc.*............ 74,975 2,628,811
------------
4,527,630
------------
HEALTHCARE SERVICES -- 7.4%
Access Health, Inc.*............... 38,975 993,863
Capital Senior Living Corp.*....... 288,400 3,460,800
Cerner Corp.*...................... 141,850 4,016,128
First Health Group Corp.*.......... 52,100 1,484,850
IDEXX Laboratories, Inc.*.......... 29,850 742,519
Medical Manager Corp.*............. 117,875 3,256,297
NCS Healthcare, Inc. Cl-A*......... 53,000 1,510,500
Orthodontic Centers of America,
Inc.*............................ 145,150 3,039,078
Sunrise Assisted Living, Inc.*..... 45,125 1,551,172
------------
20,055,207
------------
HOTELS & MOTELS -- 0.9%
Capstar Hotel Co.*................. 82,475 2,309,300
------------
INSURANCE -- 2.8%
Annuity and Life
Re Holdings, Ltd.*............... 121,500 2,688,188
HCC Insurance Holdings, Inc. ...... 63,625 1,399,750
Reliastar Financial Corp........... 70,000 3,360,000
------------
7,447,938
------------
MEDICAL SUPPLIES & EQUIPMENT -- 6.1%
ESC Medical Systems Ltd.*.......... 81,600 2,754,000
HBO & Co........................... 205,290 7,236,473
</TABLE>
59
<PAGE> 62
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Schein, (Henry), Inc.*............. 104,650 $ 4,826,981
Trex Medical Corp.*................ 106,700 1,760,550
------------
16,578,004
------------
METALS & MINING -- 0.4%
IMCO Recycling, Inc................ 55,350 1,023,975
------------
OFFICE EQUIPMENT -- 1.2%
Global Imaging Systems, Inc.*...... 234,800 3,287,200
------------
OIL & GAS -- 1.6%
Cal Dive International, Inc........ 40,900 1,127,306
Offshore Logistics, Inc.*.......... 179,000 3,177,250
------------
4,304,556
------------
PERSONAL SERVICES -- 1.2%
Sylvan Learning Systems, Inc.*..... 101,250 3,315,938
------------
PHARMACEUTICALS -- 8.4%
Andrx Corp.*....................... 86,300 3,171,525
Dura Pharmaceutical, Inc.*......... 84,425 1,889,009
Jones Medical Industries, Inc. .... 61,075 2,023,109
King Pharmaceuticals, Inc.*........ 227,400 3,183,600
Medicis Pharmaceutical Corp.
Cl-A*............................ 106,550 3,889,075
Scherer, (R.P.) Corp.*............. 20,075 1,779,147
Watson Pharmaceuticals, Inc.*...... 140,925 6,579,436
------------
22,514,901
------------
PRINTING & PUBLISHING -- 2.2%
Mail-Well, Inc.*................... 279,400 6,059,488
------------
REAL ESTATE -- 1.0%
Fairfield Communities, Inc.*....... 144,599 2,774,493
------------
RESTAURANTS -- 2.0%
CKE Restaurants, Inc............... 128,350 5,294,438
------------
RETAIL & MERCHANDISING -- 2.3%
Proffitt's, Inc.*.................. 60,300 2,434,613
Stage Stores, Inc.*................ 81,075 3,668,644
------------
6,103,257
------------
SEMICONDUCTORS -- 2.1%
Amkor Technology, Inc.*............ 303,225 2,833,259
ATMI, Inc.*........................ 84,975 1,274,625
Vitesse Semiconductor, Inc.*....... 47,124 1,454,954
------------
5,562,838
------------
TELECOMMUNICATIONS -- 5.0%
Allegiance Telecom, Inc.*.......... 148,125 2,221,875
Digital Microwave Corp.*........... 181,250 1,314,063
e. spire Communications, Inc.*..... 95,000 2,143,438
Echostar Communications Corp.*..... 53,450 1,286,141
Intermedia Communications, Inc.*... 36,200 1,518,138
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
NEXTLINK Communications, Inc.
Cl-A*............................ 53,600 $ 2,030,100
Pacific Gateway Exchange, Inc.*.... 13,000 520,813
Powerwave Technologies, Inc.*...... 14,825 186,239
US LEC Corp. Cl-A*................. 31,175 650,778
Westell Technologies, Inc. Cl-A*... 181,300 1,677,025
------------
13,548,610
------------
TRANSPORTATION -- 0.4%
Expeditors International of
Washington, Inc.................. 24,125 1,061,500
------------
TOTAL COMMON STOCK
(COST $204,092,747).................. 248,426,492
------------
FOREIGN STOCK -- 2.2%
BROADCASTING -- 0.6%
Flextech PLC -- (GBP)*............. 167,000 1,539,485
------------
BUILDING MATERIALS -- 0.3%
Hunter Douglas NV -- (NLG)......... 16,012 869,781
------------
RESTAURANTS -- 0.5%
Wetherspoon, (J.D.) PLC -- (GBP)... 260,165 1,269,701
------------
TRANSPORTATION -- 0.8%
IHC Caland NV -- (NLG)............. 39,525 2,224,741
------------
TOTAL FOREIGN STOCK
(COST $3,770,655).................... 5,903,708
------------
PAR
(000)
-------
<S> <C> <C>
COMMERCIAL PAPER -- 6.8%
American Express Credit Corp.
5.95%, 07/02/98.................. $ 8,289 8,287,630
Merrill Lynch & Co.
6.00%, 07/01/98.................. 10,024 10,024,000
------------
(COST $18,311,630)................. 18,311,630
------------
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund..... 284 284
Temporary Investment Fund.......... 284 284
------------
(COST $568)........................ 568
------------
TOTAL INVESTMENTS -- 101.1%
(COST $226,175,600).................. 272,642,398
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (1.1%)............... (3,020,804)
------------
NET ASSETS -- 100.0%................... $269,621,594
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
60
<PAGE> 63
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 94.6%
ARGENTINA -- 0.8%
Banco de Galicia y Buenos Aires
SA de CV [ADR] ................ 16,764 $ 305,943
Banco Frances SA [ADR] .......... 16,411 376,427
Perez Companc SA ................ 106,095 531,600
Telefonica de Argentina SA Cl-B
[ADR] ......................... 29,080 943,283
YPF SA [ADR] .................... 57,127 1,717,380
------------
3,874,633
------------
AUSTRALIA -- 2.4%
AMP Ltd.* ....................... 45,000 526,671
Australian Gas Light Co. Ltd. ... 128,022 800,702
Brambles Industries Ltd. ........ 31,000 608,344
Broken Hill Proprietary Co.
Ltd. .......................... 95,300 805,547
Colonial Ltd. Rights* ........... 1,000 229
Colonial Ltd. ................... 138,000 417,027
Commonwealth Bank of
Australia ..................... 80,459 938,687
Fosters Brewing Group Ltd. ...... 113,000 265,905
GIO Australia Holdings Ltd. ..... 69,000 177,066
Goodman Fielder Ltd. ............ 252,000 366,719
John Fairfax Holdings Ltd. ...... 260,000 451,940
Lend Lease Corp. Ltd. ........... 33,350 674,286
National Australia Bank Ltd. .... 36,185 477,280
News Corp. Ltd. ................. 125,593 1,025,052
News Corp. Ltd. Pfd. ............ 101,189 716,844
Publishing & Broadcasting
Ltd. .......................... 116,300 500,529
Sydney Harbour Casino Holdings
Ltd.* ......................... 391,000 227,599
TABCORP Holdings Ltd. ........... 99,000 505,771
Telstra Corp. Ltd.* ............. 264,838 678,962
Westpac Banking Corp. Ltd. ...... 145,000 884,442
Woodside Petroleum Ltd. ......... 104,000 519,079
------------
11,568,681
------------
BELGIUM -- 2.1%
Credit Communal Holding Dexia
SA ............................ 3,940 592,959
Generale de Banque SA ........... 2,994 2,222,769
Generale de Banque SA Strip* .... 214 6
KBC Bancassurance Holdings NV ... 74,000 6,622,412
UCB SA .......................... 101 524,000
------------
9,962,146
------------
BRAZIL -- 2.6%
Banco Bradesco SA ............... 62,664,000 525,537
Banco Itau SA ................... 710,000 402,080
Brasmotor SA .................... 906,000 83,024
Centrais Electrobras Brasileiras
SA [ADR] ...................... 3,628 52,541
Centrais Eletricas Brasileiras
SA ............................ 16,860,000 488,332
Centrais Geradoras do Sul do
Brasil SA [ADR] ............... 363 2,462
Centrais Geradoras do Sul do
Brasil SA ..................... 16,860,000 22,886
Companhia Brasileira de
Distribuicoa Grupo Pao de
Acucar [ADR] .................. 16,260 367,883
Companhia Brasileira de
Distribuicoa Grupo Pao de
Acucar [GDR] .................. 5,160 116,745
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Companhia Cervejaria Brahma ..... 834,000 $ 515,928
Companhia Cimento Portland
Itau .......................... 865,000 158,520
Companhia Energetica de Minas
Geras ......................... 14,496,779 448,712
Companhia Energetica de Minas
Geras [ADR] ................... 16,971 525,302
Petroleo Brasileiro SA .......... 7,401,508 1,375,852
Telebras SA [ADR] ............... 50,707 5,536,571
Telecomunicacoes do Rio de
Janeiro SA Rights* ............ 18,155 0
Telecomunicacoes de Minas Gerais-
Telemig Cl-B .................. 1,935,000 137,185
Telecomunicacoes de Minas
Rights*........................ 1,190 0
Telecomunicacoes de Sao Paulo
SA ............................ 4,494,000 1,072,396
Telecomunicacoes de Sao Paulo SA
Rights* ....................... 211,207 17,577
Telecomunicacoes do Rio de
Janeiro SA .................... 2,013,000 153,158
Telemig Celular SA Pfd. Cl-B .... 1,935,000 100,380
Telerj Celullar SA Pfd. Cl-B .... 2,013,000 118,349
Telesp Celular SA Pfd. Cl-B* .... 4,494,000 376,893
------------
12,598,313
------------
CANADA -- 0.3%
Alcan Aluminium Ltd. ............ 23,310 641,978
Royal Bank of Canada ............ 8,470 509,741
------------
1,151,719
------------
CHILE -- 0.1%
Chilectra SA [ADR] 144A ......... 14,905 319,507
Compania Cervecerias Unidas SA
[ADR] ......................... 7,712 162,916
Enersis SA [ADR] ................ 8,801 215,074
------------
697,497
------------
CHINA -- 0.1%
Huaneng Power International, Inc.
[ADR]* ........................ 51,000 685,313
------------
CZECH REPUBLIC -- 0.0%
SPT Telecom AS .................. 13,600 188,157
------------
DENMARK -- 0.3%
Den Danske Bank ................. 6,380 765,375
Tele Danmark AS Cl-B* ........... 2,030 194,823
Unidanmark AS Cl-A .............. 6,110 549,072
------------
1,509,270
------------
FINLAND -- 0.4%
Nokia Oyj Cl-A................... 27,368 2,012,764
------------
FRANCE -- 10.4%
Accor SA ........................ 2,920 817,171
Alcatel Alsthom ................. 15,552 3,166,460
AXA SA .......................... 22,492 2,529,686
Canal Plus ...................... 4,060 758,812
Carrefour Supermarche SA ........ 2,459 1,555,678
Compagnie de Saint-Gobain ....... 11,880 2,202,682
Credit Commercial de France ..... 17,210 1,448,866
</TABLE>
61
<PAGE> 64
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Dexia France .................... 5,200 $ 700,096
Dexia France SA ................. 5,023 676,266
Groupe Danone ................... 5,700 1,571,593
GTM Entrepose SA ................ 4,510 468,453
L'Oreal ......................... 1,607 893,866
Lafarge SA ...................... 7,843 810,759
Lapeyre SA ...................... 8,065 751,004
Legrand SA ...................... 3,823 1,011,705
Pathe SA ........................ 2,331 456,868
Pinault-Printemps Redoute SA .... 6,171 5,164,589
Sanofi SA ....................... 19,997 2,351,604
Schneider SA .................... 33,928 2,705,360
Societe Generale ................ 9,236 1,920,211
Societe Nationale Elf Aquitaine
SA ............................ 13,350 1,876,851
Societe Television Francaise .... 11,080 1,717,153
Sodexho SA ...................... 14,610 2,762,016
STMicroelectronics NV* .......... 5,400 382,714
Total SA Cl-B ................... 34,824 4,527,213
Vivendi ......................... 29,440 6,286,280
------------
49,513,956
------------
GERMANY -- 7.5%
Allianz AG ...................... 7,360 2,426,109
Bayer AG ........................ 39,225 2,023,151
Bayerische Hypotheken-und
Wechsel-Bank AG ............... 31,332 1,985,774
Bayerische Vereinsbank AG ....... 23,415 1,991,215
Bilfinger & Berger Bau AG ....... 10,700 363,379
Buderus AG ...................... 807 402,376
Commerzbank AG .................. 15,850 605,890
Deutsche Bank AG ................ 35,434 3,000,552
Deutsche Telekom AG ............. 62,491 1,686,017
Dresdner Bank AG ................ 31,893 1,719,190
Dresdner Bank AG Warrants* ...... 27,736 723,736
Fielmann AG Pfd. ................ 5,723 198,479
Fresenius AG Pfd. ............... 2,660 495,150
Gehe AG ......................... 42,681 2,293,622
Hoechst AG ...................... 12,980 647,911
Hornbach Baumarkt AG ............ 1,300 63,739
Hornbach Holdings AG Pfd. ....... 5,870 538,210
Mannesmann AG ................... 32,550 3,301,832
Rhoen-Klinikum AG ............... 8,250 799,848
SAP AG .......................... 6,080 3,688,360
SAP AG Pfd. ..................... 3,207 2,180,013
Siemens AG ...................... 15,410 937,391
Veba AG ......................... 41,654 2,838,425
Volkswagen AG ................... 907 871,811
------------
35,782,180
------------
HONG KONG -- 1.1%
China Light & Power Co. Ltd. .... 227,000 1,034,138
Hang Seng Bank Ltd. ............. 81,000 457,865
Henderson Land Development Co.
Ltd. .......................... 214,000 705,639
Hong Kong & China Gas Co.
Ltd. .......................... 453,100 514,582
Hong Kong Telecommunications
Ltd. .......................... 399,200 749,603
Hutchison Whampoa Ltd. .......... 342,000 1,805,208
------------
5,267,035
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
INDIA -- 0.1%
Mahanagar Telephone Nigam Ltd.
[GDR]* ........................ 44,000 $ 448,800
------------
ITALY -- 5.0%
Assicurazioni Generali .......... 51,960 1,689,566
Banca Commerciale Italia NA ..... 104,000 621,935
Banca di Roma* .................. 1,066,000 2,218,897
Credito Italiano SPA ............ 590,996 3,093,706
Ente Nazionale Idrocarburi
SPA ........................... 439,100 2,877,846
Industrie Natuzzi SPA [ADR] ..... 15,260 396,760
Istituto Mobiliare Italiano
SPA ........................... 93,710 1,476,122
Istituto Nazionale delle
Assicurazioni ................. 339,000 963,095
Italgas SPA ..................... 112,936 459,991
La Rinascente SPA ............... 22,800 227,032
Mediolanum SPA .................. 46,344 1,470,452
Telecom Italia Mobile SPA ....... 624,805 3,820,781
Telecom Italia SPA .............. 632,518 4,656,126
------------
23,972,309
------------
JAPAN -- 14.9%
Advantest Corp. ................. 7,700 413,892
Alps Electric Co. Ltd. .......... 72,000 856,000
Amada Co. Ltd. .................. 109,000 530,136
Canon, Inc. ..................... 178,000 4,040,061
Citizen Watch Co. Ltd. .......... 68,000 561,012
Dai Nippon Screen Manufacturing
Co. Ltd. ...................... 122,000 499,305
Daifuku Co. Ltd. ................ 18,000 67,053
Daiichi Pharmaceutical Co.
Ltd. .......................... 87,000 1,147,170
Daiwa House Industry Co. Ltd. ... 110,000 970,926
DDI Corp. ....................... 221 769,125
Denso Corp. ..................... 181,000 2,999,603
East Japan Railway Co. Ltd. ..... 313 1,470,447
Fanuc Co. ....................... 24,800 857,729
Fujitsu Ltd. .................... 42,000 441,834
Hitachi Ltd. .................... 206,000 1,343,301
Hitachi Zosen Corp. ............. 181,000 292,135
Honda Motor Co. Ltd. ............ 15,000 533,919
Inax Corp. ...................... 46,000 158,101
Ito-Yokado Co. Ltd. ............. 50,000 2,352,559
Kao Corp. ....................... 95,000 1,464,856
Kokuyo Co. Ltd. ................. 58,000 982,094
Komatsu Ltd. .................... 116,000 563,346
Komori Corp. .................... 49,000 930,324
Kuraray Co. Ltd. ................ 128,000 1,087,380
Kyocera Corp. ................... 45,000 2,198,364
Makita Corp. .................... 84,000 967,799
Matsushita Electric Industrial
Co. ........................... 181,000 2,908,311
Mauri Co. Ltd. .................. 131,000 1,953,885
Mitsubishi Corp. ................ 132,000 817,956
Mitsubishi Heavy Industries
Ltd. .......................... 570,000 2,152,105
Mitsui Fudosan Co. Ltd. ......... 263,000 2,076,939
Murata Manufacturing Co. Ltd. ... 56,000 1,815,758
National House Industrial Co.
Ltd. .......................... 26,000 199,143
NEC Corp. ....................... 290,000 2,701,805
Nippon Telegraph & Telephone
Corp. ......................... 1,570 1,300,933
Nomura Securities Co. Ltd. ...... 194,000 2,257,520
Pioneer Electronic Corp. ........ 36,000 687,394
</TABLE>
62
<PAGE> 65
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Sangetsu Co. Ltd. ............... 11,000 $ 141,874
Sankyo Co. Ltd. ................. 123,000 2,800,590
Sega Enterprises Ltd. ........... 19,400 334,784
Sekisui Chemical Co. Ltd. ....... 180,000 920,849
Sekisui House Ltd. .............. 107,000 828,800
Seven-Eleven Japan .............. 16,000 952,264
Sharp Corp. ..................... 37,000 299,658
Shin-Etsu Chemical Co. .......... 103,000 1,781,172
Shiseido Co. Ltd. ............... 73,000 828,966
Sony Corp. ...................... 44,600 3,840,256
Sumitomo Corp. .................. 223,000 1,071,737
Sumitomo Electric Industries .... 262,000 2,648,600
Sumitomo Forestry Co. ........... 73,000 409,749
TDK Corp. ....................... 43,000 3,175,775
Tokio Marine & Fire Insurance
Co. ........................... 60,000 616,493
Tokyo Electron Ltd. ............. 18,000 551,212
Tokyo Steel Manufacturing ....... 56,500 290,673
Toppan Printing Co. Ltd. ........ 111,000 1,186,900
UNY Co. Ltd. .................... 57,000 924,091
------------
70,974,663
------------
KOREA -- 0.1%
Samsung Electronics Co. ......... 13,043 403,734
------------
MEXICO -- 1.7%
Cementos de Mexico SA de CV
[ADR] ......................... 44,090 332,053
Cemex SA de CV [ADS] 144A* ...... 50,068 377,075
Cemex SA de CV .................. 2,037 7,617
Cemex SA de CV Cl-B* ............ 67,925 299,334
Cemex SA de CV Rights* .......... 25 0
Cifra SA [ADR]* ................. 7,196 100,737
Fomento Economico Mexicano SA de
CV UBD Units .................. 19,282 600,810
Gruma SA Cl-B* .................. 114,730 252,798
Gruma SA [ADR] 144A* ............ 24,714 217,819
Grupo Financiero Banamex SA
Cl-B* ......................... 146,200 276,910
Grupo Financiero Banamex SA
Cl-L* ......................... 4,184 6,593
Grupo Financiero Bancomer SA Cl-B
[GDR]* ........................ 2,330 16,450
Grupo Financiero Bancomer SA
Cl-L* ......................... 1,725 421
Grupo Industrial Maseca SA de CV
Cl-B .......................... 306,095 216,643
Grupo Modelo SA Cl-C ............ 67,506 559,668
Grupo Televisa SA [GDR]* ........ 20,634 776,354
Kimberly-Clark de Mexico SA
Cl-A .......................... 166,630 578,548
Panamerican Beverages, Inc.
Cl-A .......................... 31,540 991,539
Telefonos de Mexico SA Cl-L
[ADR] ......................... 42,014 2,019,298
TV Azteca SA de CV [ADR]* ....... 26,200 283,288
------------
7,913,955
------------
NETHERLANDS -- 10.7%
ABN AMRO Holding NV ............. 94,446 2,210,002
AKZO Nobel NV ................... 2,852 633,990
ASM Lithography Holding NV ...... 51,340 1,519,338
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Baan Co. NV* .................... 18,040 $ 644,930
CSM NV .......................... 37,361 1,794,383
Elsevier NV ..................... 224,402 3,386,626
Fortis Amev NV .................. 38,702 2,265,934
Gucci Group NV .................. 13,205 699,865
ING Groep NV .................... 115,182 7,542,076
ING Groep NV Warrants* .......... 39,906 735,651
Koninklijke Ahold NV ............ 39,953 1,282,522
Koninklijke Numico NV ........... 27,170 850,807
KPN NV .......................... 16,029 616,979
PolyGram NV ..................... 43,347 2,211,864
Royal Dutch Petroleum Co. ....... 174,504 9,676,461
Royal Philips Electronics NV .... 24,850 2,088,933
TNT Post Group NV* .............. 16,029 409,743
Unilever NV ..................... 56,850 4,510,618
Wolters Kluwer NV ............... 56,961 7,817,990
------------
50,898,712
------------
NEW ZEALAND -- 0.2%
Fletcher Challenge Building
Ltd. .......................... 88,752 110,568
Fletcher Challenge Energy
Ltd. .......................... 102,095 243,782
Telecom Corp. of New Zealand .... 47,000 100,516
Telecom Corp. of New Zealand
Ltd. .......................... 136,000 560,531
------------
1,015,397
------------
NORWAY -- 1.5%
Bergesen D.Y. AS Cl-A ........... 9,560 181,893
Norsk Hydro AS .................. 65,500 2,880,841
Orkla ASA Cl-A .................. 170,600 3,968,455
Saga Petroleum ASA Cl-B ......... 15,160 214,355
------------
7,245,544
------------
PANAMA -- 0.0%
Banco Latinoamericano de
Exportaciones SA Cl-E ......... 4,035 124,076
------------
PERU -- 0.1%
Credicorp Ltd. .................. 11,682 171,579
Telefonica del Peru SA Cl-B ..... 26,690 53,479
Telefonica del Peru SA Cl-B
[ADR] ......................... 11,383 232,640
------------
457,698
------------
PORTUGAL -- 0.5%
Jeronimo Martins, SGPS, SA ...... 46,778 2,247,203
------------
RUSSIA -- 0.1%
Gazprom [ADR] ................... 20,040 224,047
LUKoil Holding [ADR] ............ 3,620 121,270
------------
345,317
------------
SINGAPORE -- 0.1%
Singapore Press Holdings Ltd. ... 53,840 360,106
Singapore Telecommunications
Ltd. .......................... 235,000 333,831
------------
693,937
------------
SPAIN -- 2.9%
Banco Bilbao Vizcaya SA ......... 18,820 967,492
Banco Popular Espanol SA ........ 13,317 1,137,803
Banco Santander SA .............. 107,336 2,751,935
Corporacion Bancaria de Espana
SA ............................ 51,256 1,151,745
Endesa SA ....................... 69,492 1,522,932
</TABLE>
63
<PAGE> 66
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Gas Natural SDG SA .............. 14,051 $ 1,016,951
Iberdrola SA .................... 79,173 1,287,744
Repsol SA ....................... 17,975 992,153
Telefonica SA ................... 58,647 2,716,096
Telefonica SA Rights* ........... 5,331 245,500
------------
13,790,351
------------
SWEDEN -- 3.6%
ABB AB Cl-A ..................... 87,930 1,245,913
Astra AB Cl-B ................... 202,086 4,029,074
Atlas Copco AB Cl-B ............. 40,130 1,094,461
Electrolux AB Cl-B .............. 124,650 2,141,336
Esselte AB ...................... 14,410 334,278
Granges AB* ..................... 14,385 263,351
Hennes & Mauritz AB Cl-B ........ 57,350 3,660,355
Nordbanken Holding Co. AB* ...... 419,598 3,077,948
Sandvik AB Cl-A ................. 6,140 169,765
Sandvik AB Cl-B ................. 44,020 1,208,833
Scribona AB Cl-B ................ 5,500 66,207
------------
17,291,521
------------
SWITZERLAND -- 6.5%
ABB AG .......................... 1,469 2,169,395
Adecco SA ....................... 6,060 2,732,735
Credit Suisse Group ............. 11,820 2,630,026
Nestle SA ....................... 3,868 8,277,588
Novartis AG ..................... 3,379 5,622,719
Roche Holding AG ................ 405 3,977,080
UBS AG* ......................... 14,960 5,562,595
------------
30,972,138
------------
THAILAND -- 0.1%
Thai Farmers Bank PLC ........... 358,000 315,260
------------
UNITED KINGDOM -- 18.3%
Abbey National PLC .............. 158,000 2,807,588
Argos PLC ....................... 159,749 1,687,208
ASDA Group PLC .................. 508,450 1,745,480
BG PLC .......................... 169,597 980,502
British Petroleum Co. PLC ....... 132,840 1,937,167
Cable & Wireless PLC ............ 297,000 3,607,568
Cadbury Schweppes PLC ........... 214,456 3,318,783
Caradon PLC ..................... 387,530 1,202,666
Centrica PLC .................... 126,210 212,687
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Compass Group PLC ............... 204,000 $ 2,348,583
Diageo PLC ...................... 568,436 6,733,900
Electrocomponents PLC ........... 126,000 1,016,468
GKN PLC ......................... 52,000 658,524
Glaxo Wellcome PLC .............. 223,000 6,693,646
Heywood Williams Group PLC ...... 32,010 140,198
Hillsdown Holdings PLC .......... 95,160 257,215
Kingfisher PLC .................. 315,950 5,118,755
Ladbroke Group PLC .............. 229,000 1,263,753
Laing, (John) PLC Cl-A .......... 70,000 463,093
National Westminster Bank PLC ... 592,670 10,590,809
Rank Group PLC .................. 251,120 1,378,491
Reed International PLC .......... 528,740 4,781,544
Rio Tinto PLC ................... 163,600 1,842,527
Rolls-Royce PLC ................. 139,140 574,585
Safeway PLC ..................... 286,660 1,877,299
Shell Transport & Trading Co.
PLC ........................... 798,000 5,618,781
Smith, (David S.) Holdings
PLC ........................... 197,900 629,024
SmithKline Beecham PLC .......... 719,240 8,754,389
Tesco PLC ....................... 250,000 2,440,184
Tomkins PLC ..................... 631,220 3,425,506
United News & Media PLC ......... 231,470 3,236,423
------------
87,343,346
------------
VENEZUELA -- 0.1%
Cia Anonima Nacional Telefonos de
Venezuela [ADR] ............... 13,427 335,675
------------
TOTAL FOREIGN STOCK
(COST $359,252,994)................ 451,601,300
------------
TOTAL INVESTMENTS -- 94.6%
(COST $359,252,994)................ 451,601,300
OTHER ASSETS LESS
LIABILITIES -- 5.4%................ 25,829,874
------------
NET ASSETS -- 100.0%................. $477,431,174
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE DEPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell NLG 1,250,855 $ 613,375 $ 614,982 $ 1,607
========== ========== ==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* 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 year, these securities amounted
to 0.2% of net assets.
See Notes to Financial Statements.
64
<PAGE> 67
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
FOREIGN BONDS -- 85.4%
AUSTRALIA -- 2.1%
Australian Government
8.75%, 08/15/08................. 2,200 $ 1,692,880
Federal National Mtge. Assoc.
Global Bond
6.375%, 08/15/07................ 2,000 1,278,749
------------
2,971,629
------------
CANADA -- 3.6%
Canadian Government
7.00%, 12/01/06................. 1,500 1,134,991
8.00%, 06/01/23................. 3,185 2,893,604
8.00%, 06/01/27................. 780 720,041
Province of Ontario
8.25%, 12/01/05................. 200 158,306
Province of Quebec
7.75%, 03/30/06................. 200 153,877
------------
5,060,819
------------
DENMARK -- 1.3%
Nykredit
6.00%, 10/01/29................. 12,975 1,831,060
------------
EUROPEAN CURRENCY UNIT -- 2.2%
European Bank Reconstruction &
Development
6.00%, 05/06/99................. 970 1,080,381
French Treasury Bill
4.50%, 07/12/02................. 1,792 1,973,606
------------
3,053,987
------------
FRANCE -- 10.7%
Caisse Nationale Des Autoroutes
5.85%, 03/24/13................. 11,000 1,928,538
French O.A.T
5.50%, 04/25/04................. 7,000 1,215,674
6.50%, 10/25/06................. 6,500 1,202,053
5.50%, 10/25/07................. 18,000 3,120,660
6.00%, 10/25/25................. 7,000 1,265,690
French Treasury Bill
7.75%, 04/12/00................. 16,000 2,812,556
4.50%, 07/12/02................. 11,000 1,829,928
Hydro-Quebec Government Guaranteed
Note
5.875%, 03/13/08................ 5,000 864,720
Province of British Columbia
5.875%, 07/15/09................ 3,500 615,435
Province of Ontario
5.875%, 07/21/09................ 1,400 245,740
------------
15,100,994
------------
GERMANY -- 21.4%
Bank Nederlandse Gemeenten
6.25%, 08/10/00................. 1,000 574,229
5.25%, 10/01/01................. 4,300 2,446,254
Colt Telecom Group PLC Sr. Notes
8.875%, 11/30/07................ 600 366,268
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
Federal National Mtge. Assoc.
Global Bond
5.00%, 02/16/01................. 3,500 $ 1,973,735
Federal Republic of Germany
7.25%, 10/21/02................. 1,960 1,206,602
7.50%, 11/11/04................. 2,250 1,442,487
6.875%, 05/12/05................ 3,600 2,251,907
6.50%, 07/04/27................. 3,500 2,262,843
5.625%, 01/04/28................ 3,200 1,840,191
Federal Republic of Germany
Principal Strip [ZCB]
5.499%, 07/04/07................ 8,500 3,080,250
6.179%, 07/04/27................ 8,400 972,615
Ford Motor Credit Corp. Global
Bonds
5.25%, 06/16/08................. 1,400 773,671
Hydro-Quebec Government Guaranteed
Note
5.375%, 03/18/08................ 1,300 727,862
Institut Credito de Oficial
Government Guaranteed
5.00%, 12/18/08................. 1,400 776,460
Inter-America Development Bank
7.00%, 06/08/05................. 4,500 2,805,909
KFW International Finance, Inc.
6.75%, 06/20/05................. 4,500 2,779,732
Minnesota Mining &
Manufacturing Co.
5.00%, 10/15/01................. 900 507,740
Sunamerica Institutional Funding
5.125%, 04/15/08................ 2,800 1,564,273
Tennessee Valley Authority Global
Bond
6.375%, 09/18/06................ 3,000 1,820,953
------------
30,173,981
------------
GREECE -- 4.7%
Greek Government
9.20%, 03/21/02................. 500,000 1,632,542
8.90%, 03/21/04................. 1,130,000 3,767,532
8.60%, 03/26/08................. 350,000 1,213,520
------------
6,613,594
------------
HUNGARY -- 0.1%
Hungarian Government
16.00%, 02/12/01................ 45,000 206,378
------------
ITALY -- 8.2%
Italian Government
9.50%, 02/01/01................. 6,150,000 3,874,650
8.25%, 07/01/01................. 3,715,000 2,305,847
9.00%, 10/01/03................. 1,880,000 1,263,557
8.75%, 07/01/06................. 2,895,000 2,031,899
7.25%, 11/01/26................. 3,000,000 2,097,494
------------
11,573,447
------------
</TABLE>
65
<PAGE> 68
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
JAPAN -- 7.3%
Asian Development Bank
3.125%, 06/29/05................ 200,000 $ 1,592,391
Central Bank of Tunisia
4.95%, 09/27/11................. 65,000 512,258
European Investment Bank
4.625%, 02/26/03................ 80,000 668,660
3.00%, 09/20/06................. 50,000 400,349
Export-Import Bank of Japan
4.375%, 10/01/03................ 360,000 3,002,486
International Bank Reconstruction
& Development Global Bond
4.75%, 12/20/04................. 260,000 2,269,157
Korea Industrial Leasing
2.20%, 08/07/02................. 70,000 419,894
Republic of Austria
4.50%, 09/28/05................. 100,000 870,951
Republic of Italy
3.75%, 06/08/05................. 70,000 580,664
------------
10,316,810
------------
NETHERLANDS -- 1.7%
Netherlands Government
7.50%, 11/15/99................. 1,950 1,002,215
9.00%, 01/15/01................. 2,500 1,367,846
------------
2,370,061
------------
PHILIPPINES -- 0.1%
Philippines Government
12.50%, 04/25/01................ 8,000 166,476
------------
POLAND -- 0.6%
Government of Poland
14.00%, 02/12/00................ 3,000 797,099
------------
PORTUGAL -- 0.8%
European Investment Bank
5.25%, 03/23/02................. 200,000 1,107,081
------------
RUSSIA -- 1.1%
GKO Pass-Through Notes
19.00%, 07/01/98................ 4,060,539 649,929
47.372%, 11/18/98............... 3,700 452,525
33.729%, 03/24/99............... 5,021 510,519
------------
1,612,973
------------
SOUTH AFRICA -- 1.1%
Republic of South Africa
13.00%, 08/31/10................ 10,000 1,497,250
------------
SPAIN -- 2.8%
Spanish Government
10.90%, 08/30/03................ 341,000 2,856,145
10.00%, 02/28/05................ 136,000 1,147,769
------------
4,003,914
------------
SWEDEN -- 1.7%
Swedish Government
5.50%, 04/12/02................. 19,000 2,464,352
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
UNITED KINGDOM -- 13.9%
Alliance & Leicester BLD
8.75%, 12/07/06................. 1,500 $ 2,788,793
Annington Finance
7.75%, 10/02/11................. 500 948,961
Bank of Scotland
8.375%, 12/29/49................ 450 802,914
Federal National Mtge. Assoc.
Global Bond
6.875%, 06/07/02................ 990 1,651,817
Guaranteed Export Finance Corp.
10.625%, 09/15/01............... 1,550 2,831,865
Halifax Building Society
8.75%, 07/10/06................. 600 1,120,608
9.375%, 05/15/21................ 840 1,845,655
National Power Co. PLC
8.375%, 08/02/06................ 870 1,569,539
Republic of Austria
9.00%, 07/22/04................. 660 1,231,373
Swiss Bank Corp. Jersey
8.75%, 12/18/25................. 520 1,129,534
United Kingdom Treasury
8.00%, 06/07/21................. 1,690 3,667,461
------------
19,588,520
------------
TOTAL FOREIGN BONDS
(COST $121,440,697)............................ 120,510,425
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
SOVEREIGN ISSUES -- 8.3%
ARGENTINA -- 0.8%
Republic of Argentina Debs. [FRB,
BRB]
6.625%, 03/31/05.................. $ 436 385,795
Republic of Argentina Unsub. Debs.
[FRB, BRB]
11.375%, 01/30/17................. 250 265,625
Republic of Argentina, Par
Government Guaranteed Bond [FRB,
BRB]
5.75%, 03/31/23................... 575 425,859
------------
1,077,279
------------
BRAZIL -- 1.3%
Republic of Brazil Debs., EI Bond
[FRB, BRB]
6.625%, 04/15/06.................. 49 39,937
Republic of Brazil Debs., IDU Bond
[FRB, BRB]
6.875%, 01/01/01.................. 363 344,330
Republic of Brazil Capitalization
Z-Bond [FRB, BRB]
5.00%, 04/15/14................... 1,247 918,270
Republic of Brazil Disc. Bond [FRN,
BRB]
6.688%, 04/15/12.................. 200 139,500
</TABLE>
66
<PAGE> 69
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Republic of Brazil Global Bond
10.125%, 05/15/27................. $ 250 $ 215,781
Republic of Brazil New Money Bond
[FRB, BRB]
6.688%, 04/15/09.................. 155 117,180
------------
1,774,998
------------
BULGARIA -- 1.1%
National Republic of Bulgaria Debs.
[FRN, BRB]
6.563%, 07/28/11.................. 1,025 777,078
2.25%, 07/28/12................... 1,270 789,781
------------
1,566,859
------------
KOREA -- 0.7%
Republic of Korea
8.875%, 04/15/08.................. 850 781,469
Samsung Electronics America 144A
9.75%, 05/01/03................... 250 230,625
------------
1,012,094
------------
MEXICO -- 1.3%
Banco Nacional de Comercio Exterier
Debs.
7.25%, 02/02/04................... 120 112,275
United Mexican States [BRB]
6.25%, 12/31/19................... 500 412,244
United Mexican States Global Bond
9.875%, 01/15/07.................. 100 104,125
11.375%, 09/15/16................. 1,125 1,260,000
------------
1,888,644
------------
POLAND -- 0.6%
Government of Poland PDI [STEP, BRB]
4.00%, 10/27/14................... 375 339,375
Government of Poland REG -- PAR
[STEP, BRB]
3.00%, 10/27/24................... 250 166,250
Poland Communications, Inc. Sr.
Notes
9.875%, 11/01/03.................. 300 292,500
------------
798,125
------------
RUSSIA -- 1.5%
City of Moscow Unsub. Debs.
9.50%, 05/31/00................... 100 87,750
Russia Interest Note -- US [FRN]
6.625%, 12/15/15.................. 1,540 856,390
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Russia Ministry of Finance Unsub.
Debs.
10.00%, 06/26/07.................. $ 330 $ 251,212
Russia Principal Loans [FRN]
3.313%, 12/15/20.................. 1,800 857,250
------------
2,052,602
------------
SOUTH AFRICA -- 0.2%
Ivory Coast [FLIRB]
2.00%, 03/29/18................... 1,000 321,250
------------
VENEZUELA -- 0.8%
Republic of Venezuela Debs. [FRN,
BRB]
6.625%, 12/18/07.................. 1,357 1,127,379
------------
TOTAL SOVEREIGN ISSUES
(COST $12,038,925)............................ 11,619,230
------------
TOTAL INVESTMENTS -- 93.7%
(COST $133,479,622)........................... 132,129,655
OTHER ASSETS LESS LIABILITIES -- 6.3%........... 8,943,858
------------
NET ASSETS -- 100.0%............................ $141,073,513
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy CAD 2,460,000 $ 1,673,469 $ 1,673,925 $ 456
07/98 Buy DEM 2,661,000 1,500,000 1,474,957 (25,043)
07/98 Buy JPY 1,082,541,250 7,776,877 7,831,874 54,997
----------- ----------- --------
$10,950,346 $10,980,756 $ 30,410
=========== =========== ========
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE APPRECIATION
MONTH TYPE RECEIVE FOR (DEPRECIATION)
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy CAD 740,854 AUD 795,334 $ 11,000
07/98 Buy CAD 407,322 DEM 500,000 (74)
07/98 Buy CAD 855,750 GBP 350,000 (1,037)
09/98 Buy CAD 2,245,023 ZAR 8,683,750 122,154
07/98 Buy DEM 3,288,783 AUD 3,088,059 (90,556)
07/98 Buy DEM 3,000,000 GBP 1,034,060 (61,576)
07/98 Buy JPY 183,585,000 NZD 2,500,000 30,574
07/98 Buy JPY 525,966,238 GBP 2,271,011 20,099
07/98 Buy NZD 2,500,000 JPY 176,500,000 20,464
--------
$ 51,048
========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
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 year, these securities
amounted to 0.2% of net assets.
See Notes to Financial Statements.
67
<PAGE> 70
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 93.9%
ADVERTISING -- 1.4%
Outdoor Systems, Inc.* ........... 106,850 $ 2,991,800
------------
AIRLINES -- 2.3%
Southwest Airlines Co. ........... 92,600 2,743,275
US Airways Group, Inc.* .......... 29,000 2,298,250
------------
5,041,525
------------
AUTOMOTIVE PARTS -- 1.6%
Hayes Lemmerz International,
Inc.* .......................... 84,700 3,366,825
------------
BROADCASTING -- 3.1%
Capstar Broadcasting Corp.
Cl-A* .......................... 94,100 2,364,262
Chancellor Media Corp.* .......... 90,000 4,469,062
------------
6,833,324
------------
BUSINESS SERVICES -- 3.1%
Robert Half International,
Inc.* .......................... 55,000 3,073,125
Staff Leasing, Inc.* ............. 75,300 2,221,350
StaffMark, Inc.* ................. 41,600 1,523,600
------------
6,818,075
------------
CHEMICALS -- 0.4%
Cytec Industries, Inc.* .......... 20,400 902,700
------------
CLOTHING & APPAREL -- 0.9%
Abercrombie & Fitch Co. Cl-A* .... 43,300 1,905,200
------------
COMPUTER SERVICES & SOFTWARE -- 15.2%
BMC Software, Inc.* .............. 56,400 2,929,275
Cadence Design Systems, Inc.* .... 80,900 2,528,125
Cambridge Technology Partners,
Inc.* .......................... 34,800 1,900,950
CBT Group PLC [ADR]* ............. 63,700 3,407,950
Citrix Systems, Inc.* ............ 61,700 4,218,737
Edwards, (J.D.) & Co.* ........... 81,300 3,490,819
Excite, Inc.* .................... 12,700 1,187,450
Network Appliance, Inc.* ......... 85,500 3,329,156
Network Associates, Inc.* ........ 86,900 4,160,337
Saville Systems Ireland PLC
[ADR]* ......................... 54,000 2,706,750
Sterling Commerce, Inc.* ......... 65,000 3,152,500
------------
33,012,049
------------
CONSUMER PRODUCTS & SERVICES -- 2.0%
Estee Lauder Companies, Inc.
Cl-A ........................... 42,700 2,975,656
Rexall Sundown, Inc.* ............ 39,300 1,385,325
------------
4,360,981
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 4.3%
AES Corp.* ....................... 76,500 4,021,031
Analog Devices, Inc.* ............ 68,500 1,682,531
Sanmina Corp.* ................... 84,600 3,669,525
------------
9,373,087
------------
ENVIRONMENTAL SERVICES -- 2.1%
Eastern Environmental Services,
Inc.* .......................... 53,600 1,822,400
USA Waste Services, Inc.* ........ 57,500 2,839,062
------------
4,661,462
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 4.3%
GreenPoint Financial Corp. ....... 81,200 $ 3,055,150
Northern Trust Corp. ............. 41,500 3,164,375
State Street Boston Corp. ........ 45,900 3,190,050
------------
9,409,575
------------
FINANCIAL SERVICES -- 4.8%
Bear Stearns Companies, Inc. ..... 32,200 1,831,375
FINOVA Group, Inc. ............... 60,800 3,442,800
FIRSTPLUS Financial Group,
Inc.* .......................... 58,600 2,109,600
SunAmerica, Inc. ................. 54,900 3,153,319
------------
10,537,094
------------
FOOD -- 2.3%
American Italian Pasta Co.
Cl-A* .......................... 46,200 1,720,950
Suiza Foods Corp.* ............... 54,200 3,235,063
------------
4,956,013
------------
HEALTHCARE SERVICES -- 3.9%
Alternative Living Services,
Inc.* .......................... 78,300 2,114,100
Omnicare, Inc. ................... 89,300 3,404,563
Quintiles Transnational Corp.* ... 61,000 3,000,438
------------
8,519,101
------------
HOTELS & MOTELS -- 1.1%
Promus Hotel Corp.* .............. 59,277 2,282,165
------------
INSURANCE -- 3.1%
Ace Ltd. ......................... 53,500 2,086,500
EXEL Ltd. ........................ 33,500 2,606,719
The Equitable Companies, Inc. .... 27,700 2,075,769
------------
6,768,988
------------
MACHINERY & EQUIPMENT -- 1.1%
Cooper Cameron Corp.* ............ 47,600 2,427,600
------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.9%
HBO & Co. ........................ 84,600 2,982,150
Sofamor Danek Group, Inc.* ....... 20,900 1,809,156
STERIS Corp.* .................... 24,300 1,545,328
------------
6,336,634
------------
OFFICE EQUIPMENT -- 4.1%
HON INDUSTRIES, Inc. ............. 107,400 3,651,600
Staples, Inc.* ................... 180,000 5,208,750
------------
8,860,350
------------
OIL & GAS -- 2.0%
BJ Services Co.* ................. 71,700 2,083,781
Noble Drilling Corp.* ............ 97,400 2,343,688
------------
4,427,469
------------
PERSONAL SERVICES -- 1.4%
Sylvan Learning Systems, Inc.* ... 95,800 3,137,450
------------
PHARMACEUTICALS -- 5.6%
Biogen, Inc.* .................... 62,500 3,062,500
Cardinal Health, Inc. ............ 30,600 2,868,750
Elan Corp. PLC [ADR]* ............ 59,200 3,807,300
Watson Pharmaceuticals, Inc.*..... 51,700 2,413,744
------------
12,152,294
------------
</TABLE>
68
<PAGE> 71
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PRINTING & PUBLISHING -- 0.7%
Valassis Communications, Inc.* ... 39,900 $ 1,538,644
------------
RESTAURANTS -- 3.0%
Brinker International, Inc.* ..... 125,500 2,415,875
CKE Restaurants, Inc. ............ 101,700 4,195,125
------------
6,611,000
------------
RETAIL & MERCHANDISING -- 7.6%
Costco Companies, Inc.* .......... 54,500 3,436,906
General Nutrition Companies,
Inc.* .......................... 105,800 3,293,025
Linens 'n Things, Inc.* .......... 111,900 3,419,944
PETsMART, Inc.* .................. 152,400 1,524,000
TJX Companies, Inc. .............. 197,400 4,762,275
------------
16,436,150
------------
TELECOMMUNICATIONS -- 8.5%
Advanced Fibre Communications,
Inc.* .......................... 53,900 2,159,369
CIENA Corp.* ..................... 48,000 3,342,000
Comcast Corp. Cl-A ............... 51,000 2,070,281
ICG Communications, Inc.* ........ 37,900 1,385,719
Intermedia Communications,
Inc.* .......................... 36,700 1,539,106
International Network
Services* ...................... 37,900 1,553,900
NEXTLINK Communications, Inc.
Cl-A* .......................... 58,400 2,211,900
RSL Communications Ltd. Cl-A* .... 95,900 2,877,000
SmarTalk TeleServices, Inc.* ..... 87,600 1,275,675
------------
18,414,950
------------
TRANSPORTATION -- 1.1%
Avis Rent A Car, Inc.* ........... 100,300 2,482,425
------------
TOTAL COMMON STOCK
(COST $198,788,109)................. 204,564,930
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COMMERCIAL PAPER -- 6.0%
Bell Atlantic Network Funding
5.56%, 07/28/98.................. $2,000 $ 1,991,660
Goldman, Sachs & Co.
5.60%, 07/02/98.................. 3,000 2,999,533
Koch Industries, Inc.+
5.60%, 07/01/98.................. 3,000 3,000,000
Merrill Lynch & Co.
5.82%, 07/06/98.................. 4,000 3,996,767
Met Life Funding Corp.
5.53%, 07/10/98.................. 1,000 998,618
------------
(COST $12,986,578)................. 12,986,578
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 3.6%
Temporary Investment Cash Fund ... 3,903,998 3,903,998
Temporary Investment Fund ........ 3,903,997 3,903,997
------------
(COST $7,807,995)................. 7,807,995
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS -- 103.5%
(COST $219,582,682).................. 225,359,503
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (3.5%)..................... (7,580,481)
------------
NET ASSETS -- 100.0%................... $217,779,022
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
1.4% of net assets.
See Notes to Financial Statements.
69
<PAGE> 72
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 81.9%
AUSTRIA -- 0.6%
KTM -- Motorradholding AG........ 11,250 $ 877,037
-----------
CANADA -- 2.4%
Cinar Films, Inc. Cl-B*.......... 117,450 2,290,275
Dorel Industries, Inc. Cl-B*..... 28,200 910,890
-----------
3,201,165
-----------
CHILE -- 0.8%
Compania Cervecerias Unidas SA
[ADR].......................... 33,575 709,272
Distribucion y Servicio D&S SA
[ADR]*......................... 23,300 349,500
-----------
1,058,772
-----------
DENMARK -- 2.0%
Kobenhavns Lufthavne AS.......... 16,950 2,056,201
Vestas Wind Systems AS 144A*..... 15,650 617,851
-----------
2,674,052
-----------
FINLAND -- 4.8%
KCI Konecranes International
PLC............................ 33,200 1,682,244
Raision Tehtaat Oy............... 258,500 4,692,736
-----------
6,374,980
-----------
FRANCE -- 7.3%
Altran Technologies SA........... 22,600 5,132,260
Coflexip SA [ADR]................ 28,850 1,763,456
Dassault Systemes SA............. 60,650 2,858,942
-----------
9,754,658
-----------
GERMANY -- 13.9%
Douglas Holding AG............... 30,725 1,625,589
Marschollek, Lautenschlaeger und
Partner AG Non-Voting Pfd...... 8,050 3,946,887
Porsche AG Pfd................... 1,500 4,346,188
Schmalbach Lubeca AG............. 14,935 3,681,975
Schwarz Pharma AG................ 33,750 2,627,034
Sixt AG.......................... 9,075 1,395,164
Turbon International AG.......... 48,775 1,068,709
-----------
18,691,546
-----------
HONG KONG -- 2.4%
VTech Holdings Ltd............... 854,000 3,179,666
-----------
IRELAND -- 1.3%
Ryanair Holdings PLC [ADR]*...... 47,325 1,685,953
-----------
ISRAEL -- 0.5%
NICE Systems Ltd. [ADR]*......... 18,000 675,000
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ITALY -- 3.0%
Bulgari SPA...................... 338,325 $ 1,773,896
Gruppo Editoriale L'Espresso
SPA............................ 71,100 589,983
Industrie Natuzzi SPA [ADR]...... 65,775 1,710,150
-----------
4,074,029
-----------
JAPAN -- 2.2%
Doutor Coffee Co. Ltd. .......... 35,000 892,748
Fuji Soft ABC, Inc............... 24,500 833,231
Meitec........................... 10,000 345,859
Nippon System Development........ 38,000 903,556
-----------
2,975,394
-----------
MALAYSIA -- 0.0%
Kentucky Fried Chicken Holdings
Warrants*...................... 21,333 1,594
-----------
MEXICO -- 1.9%
Grupo Iusacell SA [ADR]*......... 106,275 1,461,281
Grupo Posadas SA Cl-A*........... 1,750,325 1,059,618
-----------
2,520,899
-----------
NETHERLANDS -- 6.4%
Beter Bed Holding NV............. 21,700 789,393
Brunel International NV.......... 31,025 1,288,756
Ceteco Holding NV................ 5,675 308,269
Hunter Douglas NV................ 41,700 2,265,168
IHC Caland NV.................... 22,925 1,290,378
Nutreco Holding NV............... 37,575 1,315,167
Toolex International NV*......... 74,250 1,383,368
-----------
8,640,499
-----------
NORWAY -- 2.9%
Kverneland AS.................... 17,150 446,991
Narvesen ASA..................... 16,000 333,614
Petroleum Geo-Services [ADR]*.... 38,250 1,166,625
Tomra Systems ASA................ 67,000 2,008,200
-----------
3,955,430
-----------
SPAIN -- 5.0%
Tele Pizza SA*................... 627,500 6,660,705
-----------
SWEDEN -- 3.3%
Haldex AB........................ 49,410 892,174
NetCom Systems AB Cl-B*.......... 66,600 2,551,276
Ortivus AB Cl-B*................. 50,200 786,839
Semcom AB........................ 21,000 206,710
-----------
4,436,999
-----------
</TABLE>
70
<PAGE> 73
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UNITED KINGDOM -- 21.2%
British-Borneo Petroleum
Syndicate PLC.................. 271,023 $ 1,349,824
BTG PLC.......................... 77,050 1,073,460
Cairn Energy PLC*................ 212,575 968,281
Capital Radio PLC................ 131,650 1,556,279
Eidos PLC [ADR]*................. 47,175 630,966
Energis PLC*..................... 94,575 1,439,912
Flextech PLC*.................... 198,150 1,826,641
ICON PLC [ADR]................... 13,375 337,719
JBA Holdings PLC................. 197,450 2,009,619
Misys PLC........................ 36,142 2,055,729
Parity PLC....................... 213,800 2,802,081
PizzaExpress PLC................. 286,150 4,091,677
Psion PLC........................ 324,400 3,518,203
Select Appointments Holdings
PLC............................ 127,475 1,807,885
Smallworldwide PLC [ADR]*........ 23,725 690,991
Virgin Express Holdings PLC
[ADR]*......................... 32,150 415,941
Wetherspoon, (J.D.) PLC.......... 378,400 1,846,731
-----------
28,421,939
-----------
TOTAL FOREIGN STOCK
(COST $76,459,789)................. 109,860,317
-----------
COMMON STOCK -- 3.9%
CLOTHING & APPAREL -- 0.9%
Tefron Ltd.*..................... 55,450 1,219,900
-----------
COMPUTER SERVICES & SOFTWARE -- 0.2%
New Dimension Software Ltd.*..... 9,500 318,844
-----------
ENTERTAINMENT & LEISURE -- 0.7%
Metromedia International Group,
Inc.*.......................... 75,225 897,998
-----------
EQUIPMENT SERVICES -- 0.9%
Rofin-Sinar Technologies,
Inc.*.......................... 64,975 1,153,306
-----------
TELECOMMUNICATIONS -- 1.2%
Global TeleSystems Group,
Inc.*.......................... 32,500 1,584,375
-----------
TOTAL COMMON STOCK
(COST $4,669,387).................. 5,174,423
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COMMERCIAL PAPER -- 13.9%
American Express Credit Corp.
5.95%, 07/02/98................... $6,268 $ 6,266,964
Merrill Lynch & Co.
6.00%, 07/01/98................... 5,175 5,175,000
PHH Corp.
6.45%, 07/01/98................... 1,000 1,000,000
Prudential Funding Corp.
5.50%, 07/01/98................... 6,209 6,209,000
------------
(COST $18,650,964).................. 18,650,964
------------
TOTAL INVESTMENTS -- 99.7%
(COST $99,780,140)............................ 133,685,704
OTHER ASSETS LESS LIABILITIES -- 0.3%........... 376,210
------------
NET ASSETS -- 100.0%............................ $134,061,914
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy ATS 941,371 $74,197 $ 74,130 $(67)
07/98 Buy GBP 123,834 206,611 206,572 (39)
07/98 Buy MXP 414,123 46,056 46,072 16
07/98 Buy NOK 1,296,004 169,457 168,893 (564)
-------- -------- -----
$496,321 $495,667 $(654)
======== ======== =====
</TABLE>
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE DEPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell GBP 668,194 $1,113,364 $1,114,810 $1,446
========== ========== ======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* 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 0.5% of net assets.
See Notes to Financial Statements.
71
<PAGE> 74
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 81.0%
BUILDING & REAL ESTATE -- 4.0%
Apartment Investment & Management
Co. Cl-A [REIT]................. 10,700 $ 422,650
Camden Property Trust............. 20,600 612,850
Equity Office Properties Trust
[REIT].......................... 15,735 446,481
Post Properties, Inc. [REIT]...... 16,000 616,000
Security Capital Group, Inc.
Warrants*....................... 1,804 620
Security Capital Pacific Trust
[REIT].......................... 25,285 568,912
United Dominion Realty Trust...... 50,000 693,750
Weeks Corp. ...................... 21,000 664,125
------------
4,025,388
------------
CHEMICALS -- 3.2%
Great Lakes Chemical Corp. ....... 30,300 1,194,956
Hercules, Inc. ................... 16,000 658,000
Millennium Chemicals, Inc. ....... 30,500 1,033,187
Octel Corp. ...................... 15,575 309,553
------------
3,195,696
------------
DIVERSIFIED METALS -- 3.9%
Allegheny Teledyne, Inc. ......... 25,000 571,875
Nucor Corp. ...................... 28,500 1,311,000
Reynolds Metals Co. .............. 35,300 1,974,594
------------
3,857,469
------------
DIVERSIFIED RESOURCES -- 4.6%
Burlington Northern Santa Fe
Corp. .......................... 10,800 1,060,425
IMC Global, Inc. ................. 15,300 460,912
Imperial Holly Corp. ............. 120,000 1,087,500
Penn Virginia Corp. .............. 25,700 664,987
Waste Management, Inc. ........... 30,900 1,081,500
Western Water Co.*................ 28,000 266,000
------------
4,621,324
------------
ENERGY SERVICES -- 10.6%
BJ Services Co.*.................. 27,000 784,687
Camco International, Inc. ........ 21,600 1,682,100
Carbo Ceramics, Inc. ............. 30,750 1,049,344
Coflexip SA [ADR]................. 15,600 953,550
Cooper Cameron Corp.*............. 22,800 1,162,800
Halliburton Co. .................. 23,600 1,051,675
Hanover Compressor Co.*........... 37,400 1,012,137
McDermott International, Inc. .... 34,300 1,181,206
Smith International, Inc.*........ 11,800 410,788
Western Atlas, Inc.*.............. 16,000 1,358,000
------------
10,646,287
------------
FOREST PRODUCTS -- 8.3%
Asia Pulp & Paper Co. Ltd.
[ADR]*.......................... 35,000 393,750
Champion International Corp. ..... 9,000 442,688
Domtar, Inc. ..................... 232,300 1,568,025
Fort James Corp. ................. 25,100 1,116,950
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Georgia Pacific Group............. 20,300 $ 1,196,431
Jefferson Smurfit Corp.*.......... 90,600 1,424,119
Kimberly-Clark Corp. ............. 19,700 903,738
Louisiana Pacific Corp. .......... 73,000 1,332,250
------------
8,377,951
------------
INTEGRATED PETROLEUM -- 21.7%
Amerada Hess Corp. ............... 54,000 2,932,875
Atlantic Richfield Co. ........... 13,000 1,015,625
British Petroleum Co. PLC [ADR]... 25,600 2,259,200
Chevron Corp. .................... 7,000 581,438
Exxon Corp. ...................... 9,000 641,813
Mobil Corp. ...................... 49,200 3,769,950
Petroleo Brasileiro SA [ADR]
144A............................ 58,600 1,089,304
Royal Dutch Petroleum Co. ........ 40,000 2,192,500
Societe Nationale Elf Aquitaine SA
[ADR]........................... 14,500 1,029,500
Texaco, Inc. ..................... 22,000 1,313,125
Total SA [ADR].................... 38,000 2,484,250
USX-Marathon Group................ 73,500 2,521,969
------------
21,831,549
------------
MISCELLANEOUS ENERGY -- 2.0%
Niagara Mohawk Power Corp.*....... 137,000 2,046,438
------------
NON-FERROUS METALS -- 2.8%
Inco Ltd. ........................ 137,800 1,877,525
Phelps Dodge Corp. ............... 16,600 949,313
------------
2,826,838
------------
OIL & GAS -- 1.8%
Burlington Resources, Inc. ....... 19,200 826,800
Union Pacific Resources Group,
Inc. ........................... 53,000 930,813
------------
1,757,613
------------
PETROLEUM EXPLORATION & PRODUCTION -- 7.2%
Barrett Resources Corp.*.......... 15,100 565,306
EEX Corp.*........................ 202,000 1,893,750
Noble Affiliates, Inc. ........... 5,400 205,200
Ocean Energy, Inc. ............... 81,180 1,588,084
Pioneer Natural Resources Co. .... 46,000 1,098,250
Rutherford-Moran Oil Corp.*....... 35,300 710,413
Santa Fe Energy Resources,
Inc.*........................... 111,100 1,194,325
------------
7,255,328
------------
PRECIOUS METALS -- 10.9%
Battle Mountain Gold Co. ......... 272,000 1,615,000
Cambior, Inc. .................... 140,400 824,850
Canyon Resources Corp.*........... 368,400 276,300
Dayton Mining Corp.*.............. 49,700 34,169
Getchell Gold Corp. .............. 48,500 727,500
Gold Fields Ltd. [ADR]*........... 61,698 261,871
Gold Fields of South Africa Ltd.
[ADR]........................... 24,300 280,969
Homestake Mining Co. ............. 163,700 1,698,388
Newmont Mining Corp. ............. 116,224 2,745,792
</TABLE>
72
<PAGE> 75
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Placer Dome, Inc. ................ 147,300 $ 1,730,775
TVX Gold, Inc.*................... 260,900 799,006
------------
10,994,620
------------
TOTAL COMMON STOCK
(COST $79,751,291).................. 81,436,501
------------
PREFERRED STOCK -- 1.2%
BUILDING & REAL ESTATE -- 1.1%
Rouse Co. $3.00 Cl-B.............. 22,000 1,094,500
------------
PRECIOUS METALS -- 0.1%
Amax Gold, Inc. $3.75 Cl-B........ 1,700 75,119
------------
TOTAL PREFERRED STOCK
(COST $1,134,004)................... 1,169,619
------------
FOREIGN STOCK -- 15.1%
BUILDING & REAL ESTATE -- 1.2%
Security Capital U.S. Realty --
(NLG)*.......................... 60,000 798,000
Sun International -- (ZAR)........ 1,150,000 388,539
------------
1,186,539
------------
DIVERSIFIED METALS -- 2.9%
AVMIN Ltd. -- (ZAR)............... 887,800 527,553
Lonrho PLC -- (GBP)............... 298,559 1,404,771
Rio Tinto PLC -- (GBP)............ 87,000 979,828
------------
2,912,152
------------
DIVERSIFIED RESOURCES -- 0.3%
Lonrho Africa PLC -- (GBP)........ 229,759 281,764
------------
FOREST PRODUCTS -- 1.7%
Macmillan Bloedel Ltd. -- (CAD)... 164,000 1,750,921
------------
NON-FERROUS METALS -- 1.3%
Bougainville Copper
Ltd. -- (AUD)*.................. 882,542 207,675
WMC Ltd. -- (AUD)................. 358,936 1,080,235
------------
1,287,910
------------
PETROLEUM EXPLORATION & PRODUCTION -- 0.3%
Northstar Energy
Corp. -- (CAD)*................. 41,000 313,660
------------
PRECIOUS METALS -- 7.4%
Anglo American Platinum Corp.
Ltd. -- (ZAR)................... 50,139 549,058
Banro Resource Corp. -- (CAD)*.... 126,600 344,363
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Banro Resource Corp. Special --
(CAD)*.......................... 91,630 $ 249,242
Banro Resource Corp. Special
Warrants (CAD)*................. 75,000 163,205
Banro Resources Corp. Restricted
Warrants -- (CAD)*.............. 45,815 0
Gencor Ltd. -- (ZAR).............. 738,000 1,146,465
Gold Fields Ltd. -- (ZAR)*........ 125,570 532,978
Goldfields Ltd. -- (AUD)*......... 965,000 1,075,635
Normandy Mining Ltd. -- (AUD)..... 458,658 374,911
Prime Resources Group, Inc. --
(CAD)........................... 328,000 2,297,387
Samax -- (CAD)*................... 193,500 703,976
------------
7,437,220
------------
TOTAL FOREIGN STOCK
(COST $20,082,337).................. 15,170,166
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
---------
<S> <C> <C>
COMMERCIAL PAPER -- 1.8%
Diageo Capital Corp.+
5.51%, 07/28/98................. $ 1,300 1,294,628
Du Pont, (E.I.) de Nemours & Co.
5.52%, 07/20/98................. 490 488,572
------------
(COST $1,783,200)................. 1,783,200
------------
SHARES
---------
SHORT-TERM INVESTMENTS -- 0.3%
Temporary Investment Cash Fund
(COST $359,623)................... 359,623 359,623
------------
TOTAL INVESTMENTS -- 99.4%
(COST $103,110,455)................. 99,919,109
OTHER ASSETS LESS
LIABILITIES -- 0.6%................. 570,686
------------
NET ASSETS -- 100.0%.................. $100,489,795
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
1.3% of net assets.
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.
See Notes to Financial Statements.
73
<PAGE> 76
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 70.8%
FEDERAL HOME LOAN MORTGAGE CORP. -- 12.6%
8.50%, 01/01/25................ $13,824 $ 14,428,435
8.75%, 10/01/01................ 1,328 1,365,850
6.50%, 07/14/28 [TBA].......... 22,000 21,938,180
------------
37,732,465
------------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 26.6%
6.379%, 03/01/17 [VR].......... 2,349 2,340,675
6.988%, 05/01/25 [VR].......... 1,151 1,164,420
7.50%, 01/25/22-05/01/24....... 60,746 62,503,270
7.573%, 01/01/25 [VR].......... 352 359,330
8.00%, 11/25/23................ 3,488 3,590,586
6.50%, 08/13/28 [TBA].......... 10,000 9,953,100
------------
79,911,381
------------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 31.6%
6.875%, 01/20/26............... 6,545 6,667,609
7.00%, 07/20/17-11/20/26....... 23,087 23,579,637
7.375%, 05/20/24............... 2,542 2,594,763
8.00%, 01/15/25-11/15/25....... 7,061 7,321,311
6.50%, 07/21/28-09/21/28
[TBA]........................ 50,000 49,824,950
6.875%, 03/20/24 [VR].......... 4,998 5,095,275
------------
95,083,545
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (COST $211,183,613).... 212,727,391
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.7%
Merrill Lynch Mtge. Investors,
Inc. Cl-B [VR]
7.218%, 06/15/21............... 1,003 1,023,254
Resolution Trust Corp. [VR]
7.442%, 07/25/28............... 10,000 10,067,280
------------
(COST $11,168,389)............... 11,090,534
------------
CORPORATE OBLIGATIONS -- 30.8%
AUTOMOBILE MANUFACTURERS -- 1.7%
Ford Motor Credit Co.
5.964%, 03/21/01............... 5,000 5,041,549
------------
BUILDING MATERIALS -- 1.0%
Cemex SA Notes 144A
8.50%, 08/31/00................ 3,000 3,030,000
------------
CHEMICALS -- 1.7%
Imperial Chemical, Inc. Euro
Medium Term Notes [FRN]
5.75%, 12/05/98................ 5,000 5,006,525
------------
FINANCIAL SERVICES -- 14.1%
General Motors Acceptance Corp.
Notes
7.125%, 05/01/01............... 2,000 2,057,500
Household Finance Co. Notes
7.625%, 12/29/98............... 15,000 15,843,750
Household Finance Co. Medium Term
Sr. Notes
7.15%, 06/15/00................ 10,000 10,212,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
New England Educational Loan
Marketing Assoc. Medium Term
Notes [FRN]
5.857%, 06/11/01............... $ 5,000 $ 4,995,900
Presidential Life Corp. Sr. Notes
9.50%, 12/15/00................ 8,000 8,188,000
Salomon, Inc. Sr. Notes
7.50%, 02/01/03................ 1,000 1,046,250
------------
42,343,900
------------
FOOD -- 4.4%
RJR Nabisco, Inc. Medium Term
Notes
7.625%, 09/15/03............... 5,000 4,971,250
RJR Nabisco, Inc. Notes
8.625%, 12/01/02............... 8,000 8,257,520
------------
13,228,770
------------
OIL & GAS -- 1.4%
Gulf Canada Resources Ltd. Yankee
Sr. Sub. Debs.
9.25%, 01/15/04................ 3,000 3,142,500
Occidental Petroleum Corp. Sr.
Notes
6.40%, 04/01/03................ 1,000 1,002,500
------------
4,145,000
------------
TELECOMMUNICATIONS -- 4.3%
AT&T Capital Corp. Notes [FRN]
144A
6.05%, 04/01/99................ 8,000 8,005,920
TCI Communications, Inc. Sr.
Notes [FRN]
5.945%, 09/11/00............... 5,000 5,044,900
------------
13,050,820
------------
UTILITIES -- 2.2%
Cleveland Electric Illuminating
Co. Notes
7.625%, 08/01/02............... 2,100 2,177,490
Connecticut Lighting & Power Co.
Notes
7.25%, 07/01/99................ 4,482 4,483,255
------------
6,660,745
------------
TOTAL CORPORATE OBLIGATIONS (COST
$92,522,025)....................... 92,507,309
------------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. TREASURY BILLS -- 0.0%
4.95%, 07/23/98................ 35 34,899
4.98%, 07/23/98................ 15 14,957
------------
49,856
------------
U.S. TREASURY NOTES -- 1.1%
6.25%, 06/30/02................ 3,300 3,382,962
------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$3,430,661)........................ 3,432,818
------------
</TABLE>
74
<PAGE> 77
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
SOVEREIGN ISSUES -- 4.6%
ARGENTINA -- 3.2%
Republic of Argentina [FRB, BRB]
6.625%, 03/31/05............... $ 4,750 $ 4,197,812
8.726%, 04/10/05............... 4,000 4,010,000
Republic of Argentina Bote 10
[FRN, PIK]
5.719%, 04/01/00............... 1,607 1,358,223
------------
9,566,035
------------
BRAZIL -- 1.1%
Republic of Brazil-IDU Cl-A
[FRB, BRB]
6.875%, 01/01/01............... 3,500 3,322,714
------------
CANADA -- 0.3%
Hydro-Quebec Government
Guaranteed Notes
9.00%, 03/07/01................ 1,000 1,067,536
------------
TOTAL SOVEREIGN ISSUES (COST
$13,917,118)....................... 13,956,285
------------
PRINCIPAL
IN LOCAL
CURRENCY
(000)
FOREIGN BONDS -- 1.7%
NEW ZEALAND
New Zealand Government 10.00%,
03/15/02 (COST $5,169,010)..... 8,900 5,076,122
------------
PAR
(000)
COMMERCIAL PAPER -- 15.1%
Abbott Laboratories, Inc.
5.55%, 07/28/98................ $ 7,500 7,468,781
5.51%, 07/16/98................ 3,600 3,591,735
Caisse D'amortissement de la
Dette Sociale
5.50%, 08/27/98................ 1,900 1,884,055
Coca-Cola Co.
5.49%, 09/01/98................ 10,000 9,905,277
Du Pont, (E.I.) de Nemours & Co.
5.49%, 07/10/98................ 800 798,939
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Ford Motor Credit Co.
5.52%, 07/03/98................ $ 600 $ 599,816
5.69%, 07/10/98................ 2,900 2,895,875
KFW International Financial Corp.
5.61%, 07/14/98................ 7,400 7,385,009
Motorola, Inc.
5.49%, 07/24/98................ 1,600 1,594,388
5.49%, 09/24/98................ 100 98,689
5.50%, 09/24/98................ 2,200 2,170,758
National Rural Utilities
Cooperative Finance Corp.
5.50%, 07/28/98................ 1,100 1,095,462
5.50%, 09/03/98................ 1,500 1,484,188
5.49%, 09/10/98................ 800 791,275
5.50%, 09/17/98................ 600 592,837
New Center Asset Trust
5.52%, 07/29/98................ 2,500 2,489,267
Procter & Gamble Co.
5.47%, 07/01/98................ 400 400,000
------------
(COST $45,247,796)............... 45,246,351
------------
REPURCHASE AGREEMENTS -- 4.7%
Morgan Stanley Group, 5.65%,
dated 06/30/98, maturing
07/01/98, repurchase price
$14,202,229 (Collateralized by
U.S. Treasury Notes, par value
$13,820,000, market value
$14,498,419, due 02/29/00)
(COST $14,200,000)............. 14,200 14,200,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.5%
Temporary Investment Cash Fund... 779,067 779,067
Temporary Investment Fund........ 779,066 779,066
------------
(COST $1,558,133)................ 1,558,133
------------
TOTAL INVESTMENTS -- 133.0% (COST
$398,396,745)...................... 399,794,943
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (33.0%).................. (99,112,827)
------------
NET ASSETS -- 100.0%................. $300,682,116
============
</TABLE>
75
<PAGE> 78
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
Interest rate swap agreement outstanding at June 30, 1998:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATION
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Receive variable rate
payments on the three-
month LIBOR-BBA floating
rate and pay fixed rate
payments on the then
current U.S. Treasury 10
Year Notes with a spread
of:
36.50..................... 06/02 $7,000 $49,792
====== =======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* 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 3.7% of net assets.
See Notes to Financial Statements.
76
<PAGE> 79
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 100.3%
BUSINESS SERVICES -- 1.6%
Robert Half International,
Inc.* .......................... 83,500 $ 4,665,562
------------
COMPUTER HARDWARE -- 5.9%
3Com Corp.* ...................... 115,700 3,550,544
Compaq Computer Corp. ............ 271,600 7,706,650
Seagate Technology, Inc.* ........ 232,500 5,536,406
------------
16,793,600
------------
COMPUTER SERVICES & SOFTWARE -- 9.2%
Cadence Design Systems, Inc.* .... 65,800 2,056,250
CompUSA, Inc.* ................... 243,052 4,390,127
Electronic Arts, Inc.* ........... 68,600 3,704,400
Ingram Micro, Inc. Cl-A* ......... 65,800 2,911,650
Microsoft Corp.* ................. 96,800 10,490,700
PeopleSoft, Inc.* ................ 61,500 2,890,500
------------
26,443,627
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 8.9%
Applied Materials, Inc.* ......... 237,900 7,018,050
General Electric Co. ............. 103,900 9,454,900
Texas Instruments, Inc. .......... 154,400 9,003,450
------------
25,476,400
------------
ENTERTAINMENT & LEISURE -- 2.1%
Time Warner, Inc. ................ 69,500 5,937,906
------------
FINANCIAL-BANK & TRUST -- 2.3%
Chase Manhattan Corp. ............ 88,600 6,689,300
------------
FINANCIAL SERVICES -- 12.9%
Ahmanson, (H.F.) & Co. ........... 124,300 8,825,300
Franklin Resources, Inc. ......... 103,500 5,589,000
Household International, Inc. .... 150,900 7,507,275
Merrill Lynch & Co., Inc. ........ 123,676 11,409,111
Providian Financial Corp. ........ 48,200 3,786,712
------------
37,117,398
------------
FOOD -- 2.7%
Kroger Co.* ...................... 35,000 1,500,625
Safeway, Inc.* ................... 153,400 6,241,463
------------
7,742,088
------------
HEALTHCARE SERVICES -- 9.1%
Health Management Associates, Inc.
Cl-A* .......................... 128,000 4,280,000
Omnicare, Inc. ................... 92,700 3,534,188
United Healthcare Corp. .......... 110,300 7,004,050
Universal Health Services,
Inc.* .......................... 76,200 4,448,175
Wellpoint Health Networks,
Inc.* .......................... 90,700 6,711,800
------------
25,978,213
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
INSURANCE -- 4.4%
The Equitable Companies, Inc. .... 77,100 $ 5,777,681
Travelers Group, Inc. ............ 111,450 6,756,656
------------
12,534,337
------------
MEDICAL SUPPLIES & EQUIPMENT -- 3.8%
HBO & Co. ........................ 305,400 10,765,350
------------
OFFICE EQUIPMENT -- 1.7%
Staples, Inc.* ................... 173,550 5,022,103
------------
PHARMACEUTICALS -- 12.1%
Cardinal Health, Inc. ............ 76,200 7,143,750
Lilly, (Eli) & Co. ............... 129,700 8,568,306
McKesson Corp. ................... 115,800 9,408,750
Merck & Co., Inc. ................ 71,900 9,616,625
------------
34,737,431
------------
RETAIL & MERCHANDISING -- 16.6%
Bed, Bath & Beyond, Inc.* ........ 23,200 1,202,050
Costco Companies, Inc.* .......... 114,300 7,208,044
CVS Corp. ........................ 201,100 7,830,331
Dayton-Hudson Corp. .............. 165,800 8,041,300
Gap, Inc. ........................ 145,250 8,951,031
Starbucks Corp.* ................. 116,200 6,209,438
Wal-Mart Stores, Inc.............. 56,000 3,402,000
Walgreen Co. ..................... 114,300 4,722,019
------------
47,566,213
------------
SEMICONDUCTORS -- 3.8%
Intel Corp. ...................... 147,500 10,933,438
------------
TELECOMMUNICATIONS -- 3.2%
ADC Telecommunications, Inc.* .... 81,000 2,959,031
Comcast Corp. Cl-A ............... 75,900 3,081,066
Cox Communications, Inc.* ........ 63,600 3,080,625
------------
9,120,722
------------
TOTAL COMMON STOCK
(COST $243,643,501)................. 287,523,688
------------
SHORT-TERM INVESTMENTS -- 1.0%
Temporary Investment Cash Fund.... 1,400,792 1,400,792
Temporary Investment Fund......... 1,400,792 1,400,792
------------
(COST $2,801,584)................. 2,801,584
------------
TOTAL INVESTMENTS -- 101.3%
(COST $246,445,085)................. 290,325,272
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.3%).................... (3,575,329)
------------
NET ASSETS -- 100.0%.................. $286,749,943
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
77
<PAGE> 80
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 89.5%
ARGENTINA -- 0.8%
Disco SA [ADR].................... 10,885 $ 348,320
Nortel Inversora [ADR]*........... 38,625 960,797
Telecom Argentina Stet SA Cl-B
[ADR]........................... 11,550 344,334
Telefonica de Argentina SA Cl-B
[ADR]........................... 45,425 1,473,473
YPF SA [ADR]...................... 23,000 691,438
------------
3,818,362
------------
AUSTRALIA -- 0.0%
National Australia Bank Ltd. ..... 12,337 162,725
------------
AUSTRIA -- 0.8%
Bank Austria AG................... 38,410 3,124,156
Bank Austria AG Rights*........... 38,410 0
Erste Bank Der Oesterreichischen
Sparkassen AG 144A*............. 12,615 764,906
------------
3,889,062
------------
BRAZIL -- 1.1%
Companhia Cervejaria Brahma
[ADR]........................... 82,620 1,032,750
Companhia Energetica de Minas
Geras [ADR]..................... 3,824 118,371
Companhia Paranaense de Energia-
Copel........................... 69,900 646,575
Telebras SA [ADR]................. 31,555 3,445,412
Uniao de Bancos Brasileiros SA
[GDR]........................... 3,990 117,705
------------
5,360,813
------------
CANADA -- 0.9%
JDS Fitel, Inc. .................. 9,790 163,107
Newcourt Credit Group, Inc. ...... 89,330 4,393,919
------------
4,557,026
------------
CHILE -- 0.1%
Cia de Telecomunicaciones de Chile
SA [ADR]........................ 30,240 614,250
------------
DENMARK -- 0.8%
BG Bank AS........................ 9,609 595,135
Novo Nordisk AS Cl-B.............. 6,228 858,532
Ratin AS Cl-B..................... 7,076 1,497,099
SAS Danmark AS.................... 20,043 402,199
Unidanmark AS Cl-A................ 5,663 508,903
------------
3,861,868
------------
FINLAND -- 4.0%
Merita PLC Cl-A................... 251,062 1,656,516
Nokia Oyj Cl-A.................... 64,224 4,723,317
Nokia Corp. Cl-A [ADR]............ 26,685 1,936,330
Pohjola Insurance Co. ............ 28,383 1,412,301
Raision Tehtaat Oy................ 136,050 2,454,935
Sampo Insurance Co. Ltd. Cl-A..... 91,570 4,339,431
Tieto Corp. Cl-B.................. 45,936 3,491,366
------------
20,014,196
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FRANCE -- 10.1%
Alcatel Alsthom................... 18,278 $ 3,721,486
Alcatel Alsthom [ADR]*............ 6,285 255,721
Alstom............................ 46,688 1,536,696
AXA SA............................ 10,549 1,186,451
Atos SA*.......................... 4,952 1,187,622
Cap Gemini SA..................... 52,468 8,244,187
Castorama Dubois.................. 5,163 908,602
Chargeurs SA...................... 10,841 895,642
Cie des Signaux SA................ 2,058 198,106
Compagnie Francaise d'Etudes et de
Construction Technip............ 8,477 1,036,135
Credit Commercial de France....... 17,799 1,498,453
Dexia France SA................... 2,108 283,808
GrandVision*...................... 2,561 85,140
Groupe Danone..................... 9,017 2,486,150
Groupe des Assurances
Nationales*..................... 16,988 455,184
Lagardere S.C.A. ................. 1,698 70,689
Renault SA*....................... 101,110 5,751,167
Rhodia, Inc.*..................... 80,000 2,230,885
Rhone-Poulenc Cl-A................ 48,118 2,713,886
Sanofi SA......................... 12,339... 1,451,040
Societe Nationale Elf Aquitaine
SA.............................. 40,325 5,669,216
Synthelabo........................ 6,687 1,128,135
Total SA Cl-B..................... 29,456 3,829,358
Valeo SA.......................... 13,011 1,329,930
Vivendi........................... 11,459 2,446,824
------------
50,600,513
------------
GERMANY -- 10.6%
Allianz AG........................ 2,478 816,834
Allianz AG (New)*................. 72 23,534
BASF AG*.......................... 20,627... 977,052
Bayerische Motoren Werke AG....... 1,596 1,610,121
Bayerische Motoren Werke AG
(New)*.......................... 478 475,543
Deutsche Bank AG.................. 63,443 5,372,355
Deutsche Lufthansa AG............. 41,751 1,047,805
Deutsche Pfandbrief &
Hypothekenbank AG............... 26,600 2,122,070
Dresdner Bank AG.................. 14,326 772,242
Ergo Versicherungs Gruppe AG...... 15,579 2,796,406
Hoechst AG........................ 50,494 2,520,462
Hornbach Holdings AG Pfd. ........ 13,432 1,231,556
Mannesmann AG..................... 98,320 9,973,459
Marschollek, Lautenschlaeger und
Partner AG Non-Voting Pfd. ..... 6,909 3,387,459
Merck KGaA........................ 44,988 2,011,341
Muenchener Rueckversicherung AG... 3,651 1,810,300
Porsche AG Pfd. .................. 3,245 9,402,254
Schering AG....................... 25,144 2,962,903
Siemens AG........................ 25,706 1,563,696
Volkswagen AG..................... 2,499 2,402,046
------------
53,279,438
------------
</TABLE>
78
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
GREECE -- 0.6%
Hellenic Telecommunication
Organization SA 144A............ 43,898 $ 1,125,289
STET Hellas Telecommunications SA
[ADR]........................... 41,525 1,723,288
------------
2,848,577
------------
HONG KONG -- 0.6%
China Telecom Ltd. 144A........... 1,428,000 2,478,725
First Pacific Co. Ltd. ........... 1,448,860 607,698
------------
3,086,423
------------
IRELAND -- 1.5%
CBT Group PLC Co. [ADR]*.......... 52,810 2,825,335
Elan Corp. PLC [ADR]*............. 56,135 3,610,182
Saville Systems Ireland PLC
[ADR]*.......................... 24,365 1,221,296
------------
7,656,813
------------
ITALY -- 5.4%
Assicurazioni Generali............ 94,003 3,056,664
Banca Commerciale Italia NA....... 802,501 4,799,069
Banca di Roma*.................... 2,869,439 5,972,785
Banca Fideuram SPA................ 49,890 284,456
Credito Italiano SPA.............. 163,293 854,795
SNIA BPD SPA 144A................. 1,600,000 1,962,251
Telecom Italia Mobile SPA......... 1,237,548 7,567,802
Telecom Italia SPA................ 348,096 2,562,423
------------
27,060,245
------------
JAPAN -- 6.5%
Fujisawa Pharmaceutical Co.
Ltd. ........................... 99,000 925,907
Honda Motor Co. Ltd. ............. 51,000 1,815,326
Ito-Yokado Co. Ltd. .............. 8,000 376,410
Kao Corp. ........................ 67,000 1,033,109
Kirin Brewery Co. Ltd. ........... 281,000 2,652,376
Meitec............................ 73,900 2,555,895
Nippon Telegraph & Telephone
Corp. .......................... 11,940 9,893,719
Nomura Securities Co. Ltd. ....... 59,000 686,565
NTT Data Corp. ................... 330 1,191,267
Rohm Co. ......................... 11,000 1,129,445
Sony Corp. ....................... 93,800 8,076,592
Takeda Chemical Industries........ 91,000 2,419,497
------------
32,756,108
------------
KOREA -- 0.0%
Samsung Electronics Co. [GDR]
144A............................ 10,970 175,301
------------
MEXICO -- 1.6%
Cifra SA de CV Cl-C............... 70,900 97,836
Cifra V*.......................... 76,632 112,227
Coca-Cola Femsa SA [ADR].......... 25,555 444,018
Empresas La Moderna SA de CV
[ADR]........................... 14,665 329,963
Fomento Economico Mexicano SA de
CV UBD Units.................... 39,700 1,237,030
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Grupo Casa Autrey SA de CV
[ADR]........................... 7,302 $ 47,463
Grupo Televisa SA [GDR]*.......... 60,530 2,277,441
Kimberly-Clark de Mexico SA
Cl-A............................ 22,600 78,468
Panamerican Beverages, Inc.
Cl-A............................ 68,000 2,137,750
Telefonos de Mexico SA Cl-L
[ADR]........................... 23,590 1,133,794
------------
7,895,990
------------
NETHERLANDS -- 10.1%
AKZO Nobel NV..................... 27,105 6,025,347
ASM Lithography Holding NV*....... 7,360 213,900
Cap Gemini NV..................... 7,855 648,720
Getronics NV...................... 86,217 4,471,440
Getronics NV 144A................. 5,365 278,243
Hagemeyer NV...................... 28,082 1,214,822
ING Groep NV...................... 62,148 4,069,429
Koninklijke Ahold NV.............. 111,395 3,575,864
Koninklijke Ahrend Groep NV....... 26,768 873,748
Koninklijke Numico NV............. 8,595 269,146
Ordina NV (New)*.................. 125,925 145,473
Ordina NV*........................ 125,925 4,079,430
PolyGram NV....................... 6,992 356,780
Royal Philips Electronics NV...... 73,617 6,188,370
Royal Philips Electronics NV
[ADR]........................... 81,824 6,955,040
Simac Techniek NV................. 9,397 1,972,510
Wolters Kluwer NV................. 65,732 9,021,824
------------
50,360,086
------------
NORWAY -- 1.9%
Den Norske Bank ASA............... 97,078 508,570
Elektronisk Databehandling ASA.... 534,124 2,053,375
Merkantildata ASA................. 67,745 856,354
NCL Holdings ASA*................. 799,795 3,950,228
SAS Norge ASA Cl-B................ 21,301 363,643
Sparebanken ASA................... 53,213 1,525,614
Storebrand ASA.................... 51,944 460,308
------------
9,718,092
------------
PERU -- 0.4%
Millicom International Cellular
SA*............................. 47,349 2,071,519
------------
PORTUGAL -- 0.9%
Cimpor-Cimentos de Portugal SA.... 38,780 1,362,506
Portugal Telecom SA............... 32,932 1,745,367
Telecel-Comunicacaoes Pessoais
SA.............................. 8,051 1,429,584
------------
4,537,457
------------
RUSSIA -- 0.0%
LUKoil Holding [ADR].............. 2,485 83,248
Mosenergo [ADR] 144A*............. 2,460 12,241
------------
95,489
------------
SPAIN -- 1.6%
Banco Bilbao Vizcaya SA........... 4,892 251,486
Banco Central Hispanoamericano
SA.............................. 32,102 1,010,723
</TABLE>
79
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Corporacion Bancaria de Espana
SA.............................. 88,120 $ 1,980,095
Endesa SA......................... 45,009 986,382
Tabacalera SA Cl-A 144A........... 14,623 299,930
Telefonica SA..................... 36,276 1,680,037
Tele Pizza SA*.................... 185,540 1,969,446
------------
8,178,099
------------
SWEDEN -- 6.3%
Assa Abloy AB Cl-B................ 69,858 2,746,159
Astra AB Cl-A..................... 160,666 3,283,852
Electrolux AB Cl-B................ 377,465 6,484,392
Ericsson, (L.M.) Telephone Co.
[ADR]........................... 34,176 978,288
Ericsson, (L.M.) Telephone Co.
Cl-B............................ 78,776 2,301,558
Mandator AB....................... 8,515 333,128
Modern Times Group MTG AB*........ 195,854 2,554,100
Ortivus AB Cl-B*.................. 16,248 254,672
SAS Sverige AB.................... 26,790 480,375
Securitas AB Cl-B................. 213,323 10,445,537
Skandinaviska Enskilda Banken..... 96,797 1,656,787
------------
31,518,848
------------
SWITZERLAND -- 6.7%
Ares-Serono Group................. 465 646,851
Baloise Holding Ltd. ............. 144 117,911
Baloise Holding Rights*........... 288 235,631
Credit Suisse Group............... 7,618 1,695,054
Julius Baer Holdings AG Cl-B...... 219 685,092
Kuoni Reisen AG................... 1,290 6,404,032
Novartis AG....................... 2,530 4,209,967
Roche Holding AG.................. 48 471,358
Schweizerische
Lebensversicherungs-Und
Rentenanstalt................... 8,036 6,802,582
Sulzer AG......................... 133 104,958
UBS AG*........................... 22,505 8,368,101
Zurich
Versicherungs-Gesellschaft...... 5,892 3,760,165
------------
33,501,702
------------
UNITED KINGDOM -- 16.2%
Amvescap PLC...................... 234,278 2,286,726
Capita Group PLC.................. 254,217 2,186,553
COLT Telecom Group PLC*........... 98,136 3,933,856
Compass Group PLC................. 155,110 1,785,729
Diageo PLC........................ 80,184 949,889
ECsoft Group PLC [ADR]*........... 7,300 236,338
Electrocomponents PLC............. 354,121 2,856,768
Energis PLC*...................... 303,964 4,627,876
General Electric Co. PLC.......... 304,980 2,628,261
Hays PLC.......................... 79,014 1,326,260
ICON PLC [ADR].................... 19,435 490,734
Imperial Chemical Industries
PLC............................. 138,076 2,216,256
JBA Holdings PLC.................. 59,836 609,003
Lloyds TSB Group PLC.............. 380,572 5,314,826
Logica PLC........................ 149,892 4,845,593
Misys PLC......................... 60,998 3,469,520
National Westminster Bank PLC..... 176,357 3,151,439
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Rentokil Initial PLC.............. 1,395,324 $ 10,045,755
Royal & Sun Alliance Insurance
Group PLC....................... 139,446 1,441,365
Schroders PLC..................... 66,255 1,709,038
Select Appointments Holdings
PLC............................. 42,301 599,924
Select Appointments Holdings PLC
[ADR]........................... 147,630 4,355,085
SEMA Group PLC.................... 443,364 5,270,745
Siebe PLC......................... 351,666 7,035,198
Smith Industries PLC.............. 74,866 1,036,787
SmithKline Beecham PLC [ADR]...... 59,475 3,598,238
Standard Chartered PLC............ 98,780 1,122,388
Tomkins PLC....................... 19,348 104,998
Wetherspoon, (J.D.) PLC........... 2,490 12,152
Williams PLC...................... 127,463 824,105
Zeneca Group PLC.................. 24,414 1,047,699
------------
81,119,104
------------
TOTAL FOREIGN STOCK
(COST $370,115,751)................. 448,738,106
------------
COMMON STOCK -- 1.9%
CHEMICALS -- 0.0%
Solutia, Inc. .................... 650 18,647
------------
FINANCIAL-BANK & TRUST -- 0.2%
Royal Bank of Canada.............. 10,368 625,968
------------
FINANCIAL SERVICES -- 0.0%
Romanian Investment Fund**........ 163 132,438
------------
PHARMACEUTICALS -- 0.3%
Bristol-Meyers Squibb Co.......... 2,600 298,838
Pharmacia & Upjohn, Inc........... 22,460 1,035,968
------------
1,334,806
------------
TELECOMMUNICATIONS -- 1.4%
Cellular Communications
International, Inc.*............ 50,370 2,512,204
Clearnet Communications, Inc...... 78,955 868,505
Global TeleSystems Group, Inc.*... 76,673 3,737,809
------------
7,118,518
------------
TOTAL COMMON STOCK
(COST $7,394,724).................... 9,230,377
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.9%
FEDERAL MTGE. CORP. DISC.
NOTES -- 4.9%
5.42%, 08/31/98................... $25,000 24,766,641
FEDERAL NATIONAL MTGE. ASSOC. DISC.
NOTES -- 4.0%
5.38%, 09/09/98................... 20,000 19,787,789
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $44,561,184).................. 44,554,430
------------
</TABLE>
80
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COMMERCIAL PAPER -- 3.0%
Household Finance Corp.
6.00%, 07/01/98
(COST $15,200,000)................ $15,200 $ 15,200,000
------------
TOTAL INVESTMENTS -- 103.3%
(COST $437,271,659)................. 517,722,913
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (3.3%).............. (16,428,869)
------------
NET ASSETS -- 100.0%.................. $501,294,044
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy DEM 12,257,500 $ 6,931,885 $ 6,791,821 $(140,064)
10/98 Buy DEM 2,200,000 1,256,353 1,227,391 (28,962)
07/98 Buy FRF 55,249,995 9,211,807 9,151,953 (59,854)
08/98 Buy FRF 1,500,000 254,570 248,605 (5,965)
10/98 Buy FRF 500,000 85,196 83,183 (2,013)
07/98 Buy GBP 3,042,128 5,067,748 5,074,934 7,186
07/98 Buy JPY 1,271,290,794 9,042,759 9,163,528 120,769
10/98 Buy JPY 1,189,000,000 9,100,726 8,700,398 (400,328)
11/98 Buy JPY 175,000,000 1,324,344 1,288,109 (36,235)
07/98 Buy NLG 8,900,000 4,495,082 4,381,529 (113,553)
07/98 Buy SEK 18,924,090 2,393,195 2,373,015 (20,180)
10/98 Buy ZAR 1,750,000 335,012 285,802 (49,210)
----------- ----------- ---------
$49,498,677 $48,770,268 $(728,409)
=========== =========== =========
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE DELIVER FOR AT VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell CHF 5,147,462 $ 3,494,369 $ 3,398,483 $ 95,886
10/98 Sell CHF 1,700,000 1,147,098 1,131,598 15,500
12/98 Sell CHF 4,760,000 3,222,749 3,186,952 35,797
07/98 Sell DEM 14,666,549 8,133,059 8,127,907 5,152
10/98 Sell DEM 2,200,000 1,225,166 1,227,391 (2,225)
11/98 Sell DEM 2,357,500 1,318,962 1,316,929 2,033
07/98 Sell DKK 1,375,262 199,417 200,001 (584)
07/98 Sell ESP 43,381,409 282,063 283,377 (1,314)
07/98 Sell FIM 32,890 5,974 5,995 (21)
07/98 Sell FRF 44,808,819 7,402,823 7,422,179 (19,356)
08/98 Sell FRF 1,500,000 247,180 248,606 (1,426)
10/98 Sell FRF 2,000,000 332,138 332,733 (595)
07/98 Sell GBP 2,463,424 4,038,894 4,108,758 (69,864)
08/98 Sell GBP 9,730,000 15,904,993 16,207,944 (302,951)
10/98 Sell GBP 9,455,000 15,446,582 15,689,820 (243,238)
07/98 Sell JPY 257,757,452 2,024,170 1,861,238 162,932
08/98 Sell JPY 154,800,000 1,192,191 1,121,739 70,452
10/98 Sell JPY 2,834,200,000 21,485,273 20,742,099 743,174
11/98 Sell JPY 375,000,000 2,898,963 2,756,830 142,133
07/98 Sell NLG 22,875,034 11,239,191 11,264,087 (24,896)
07/98 Sell SEK 18,451,110 2,292,901 2,313,702 (20,801)
08/98 Sell SEK 13,000,000 1,628,991 1,631,354 (2,363)
10/98 Sell SEK 18,300,000 2,324,385 2,302,191 22,194
10/98 Sell ZAR 1,750,000 346,741 285,803 60,938
------------ ------------ ---------
$107,834,273 $107,167,716 $ 666,557
============ ============ =========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
** Closed-end fund.
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 1.4% of net assets.
See Notes to Financial Statements.
81
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 95.1%
AEROSPACE -- 0.8%
Boeing Co. ........................ 30,135 $ 1,342,891
------------
AIRLINES -- 0.6%
UAL Corp.*......................... 12,000 936,000
------------
AUTOMOBILE MANUFACTURERS -- 1.0%
Ford Motor Co...................... 28,335 1,671,765
------------
AUTOMOTIVE PARTS -- 3.7%
Dana Corp.......................... 30,641 1,639,293
Eaton Corp......................... 14,888 1,157,542
Goodyear Tire & Rubber Co.......... 30,640 1,974,365
Lear Corp.*........................ 24,385 1,251,255
------------
6,022,455
------------
BEVERAGES -- 1.0%
PepsiCo, Inc....................... 38,445 1,583,453
------------
CHEMICALS -- 2.6%
Du Pont, (E.I.) de Nemours & Co.... 29,343 2,189,721
Eastman Chemical Co................ 19,238 1,197,565
Witco Corp......................... 32,490 950,332
------------
4,337,618
------------
COMPUTER HARDWARE -- 3.4%
Hewlett-Packard Co. ............... 27,506 1,646,922
International Business Machines
Corp. ........................... 23,765 2,728,519
Seagate Technology, Inc.*.......... 51,065 1,215,985
------------
5,591,426
------------
COMPUTER SERVICES & SOFTWARE -- 1.3%
Computer Associates International,
Inc. ............................ 21,300 1,183,481
NCR Corp.*......................... 30,730 998,725
------------
2,182,206
------------
CONGLOMERATES -- 2.1%
Minnesota Mining & Manufacturing
Co. ............................. 17,768 1,460,307
Philip Morris Companies, Inc....... 50,714 1,996,864
------------
3,457,171
------------
CONSUMER PRODUCTS & SERVICES -- 4.6%
Clorox Co.......................... 13,015 1,241,306
Colgate-Palmolive Co............... 17,290 1,521,520
Eastman Kodak Co................... 22,810 1,666,556
Hasbro, Inc........................ 35,085 1,379,279
Whitman Corp....................... 78,290 1,795,777
------------
7,604,438
------------
CONTAINERS & PACKAGING -- 1.3%
Owens-Illinois, Inc.*.............. 48,160 2,155,160
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.1%
Emerson Electric Co................ 21,630 1,305,911
Texas Instruments, Inc............. 64,515 3,762,031
------------
5,067,942
------------
ENTERTAINMENT & LEISURE -- 0.8%
Viacom, Inc. Cl-B*................. 22,275 1,297,519
------------
FINANCIAL-BANK & TRUST -- 12.1%
BankBoston Corp.................... 30,180 1,678,762
Bankers Trust Corp................. 11,355 1,317,890
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Chase Manhattan Corp............... 2,600 $ 196,300
Citicorp........................... 18,560 2,770,080
Crestar Financial Corp............. 15,535 847,628
First Chicago NBD Corp............. 20,665 1,831,436
Firstar Corp....................... 13,820 525,160
Fleet Financial Group, Inc......... 11,575 966,512
Hibernia Corp. Cl-A................ 16,730 337,737
Keycorp............................ 32,985 1,175,091
Mercantile Bancorporation, Inc..... 14,057 708,121
Morgan, (J.P.) & Co., Inc.......... 12,173 1,425,763
National City Corp................. 18,570 1,318,470
PNC Bank Corp...................... 29,935 1,610,877
Summit Bancorp..................... 11,900 565,250
Union Planters Corp................ 13,421 789,323
Wells Fargo & Co................... 4,935 1,821,015
------------
19,885,415
------------
FINANCIAL SERVICES -- 3.0%
Ahmanson, (H.F.) & Co. ............ 1,608 114,168
American Express Co................ 10,000 1,140,000
Fannie Mae......................... 23,255 1,412,741
Merrill Lynch & Co., Inc........... 13,445 1,240,301
Washington Mutual, Inc............. 24,245 1,053,142
------------
4,960,352
------------
FOOD -- 3.8%
General Mills, Inc................. 18,241 1,247,228
Heinz, (H.J.) Co................... 34,895 1,958,482
Quaker Oats Co..................... 30,405 1,670,375
Sara Lee Corp...................... 23,868 1,335,116
------------
6,211,201
------------
HOTELS & MOTELS -- 0.7%
Starwood Hotels & Resorts [REIT]... 24,199 1,169,114
------------
INSURANCE -- 5.9%
Allstate Corp. .................... 16,775 1,535,961
American General Corp. ............ 25,940 1,846,604
AON Corp........................... 26,119 1,834,860
CIGNA Corp......................... 24,981 1,723,689
The Equitable Companies, Inc....... 18,500 1,386,344
Travelers Group, Inc............... 21,545 1,306,166
------------
9,633,624
------------
MACHINERY & EQUIPMENT -- 3.4%
Caterpillar, Inc................... 7,415 392,068
Cooper Cameron Corp.*.............. 17,075 870,825
Cooper Industries, Inc............. 28,610 1,571,762
Deere & Co. ....................... 24,590 1,300,196
Ingersoll-Rand Co.................. 34,815 1,534,036
------------
5,668,887
------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.2%
Baxter International, Inc.......... 39,157 2,107,136
Johnson & Johnson Co............... 21,000 1,548,750
------------
3,655,886
------------
OFFICE EQUIPMENT -- 3.2%
Pitney Bowes, Inc. ................ 27,555 1,326,084
Xerox Corp......................... 38,882 3,951,383
------------
5,277,467
------------
</TABLE>
82
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OIL & GAS -- 9.4%
Amoco Corp......................... 39,326 $ 1,636,945
Atlantic Richfield Co.............. 18,721 1,462,578
British Petroleum Co. PLC [ADR].... 23,515 2,075,199
Coastal Corp....................... 18,816 1,313,592
Exxon Corp......................... 27,796 1,982,202
Kerr-McGee Corp.................... 29,320 1,696,895
Mobil Corp......................... 19,624 1,503,689
Societe Nationale Elf Aquitaine SA
[ADR]............................ 23,255 1,651,105
Sonat, Inc......................... 27,540 1,063,732
Tosco Corp......................... 39,425 1,158,109
------------
15,544,046
------------
PAPER & FOREST PRODUCTS -- 2.1%
Boise Cascade Corp................. 36,785 1,204,709
International Paper Co. ........... 19,760 849,680
Kimberly-Clark Corp................ 29,470 1,351,936
------------
3,406,325
------------
PHARMACEUTICALS -- 7.5%
American Home Products Corp........ 53,470 2,767,073
Bristol-Meyers Squibb Co. ......... 26,690 3,067,682
Merck & Co., Inc. ................. 22,805 3,050,169
Pharmacia & Upjohn, Inc............ 76,252 3,517,124
------------
12,402,048
------------
PRINTING & PUBLISHING -- 1.7%
McGraw-Hill Co., Inc............... 15,715 1,281,755
Times Mirror Co. Cl-A.............. 24,740 1,555,528
------------
2,837,283
------------
RESTAURANTS -- 1.2%
McDonald's Corp.................... 27,555 1,901,295
------------
RETAIL & MERCHANDISING -- 3.2%
Kmart Corp.*....................... 79,255 1,525,659
Penney, (J.C.) Co., Inc............ 21,035 1,521,093
Sears, Roebuck & Co................ 19,115 1,167,210
Toys "R" Us, Inc.*................. 44,245 1,042,523
------------
5,256,485
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TELECOMMUNICATIONS -- 7.4%
Ameritech Corp..................... 34,420 $ 1,544,598
AT&T Corp.......................... 36,509 2,085,577
GTE Corp........................... 26,805 1,491,028
MediaOne Group, Inc.*.............. 42,720 1,877,010
SBC Communications, Inc............ 48,074 1,922,960
Sprint Corp........................ 23,011 1,622,276
U. S. West, Inc.................... 34,339 1,613,933
------------
12,157,382
------------
UTILITIES -- 2.0%
Duke Energy Corp................... 21,940 1,299,946
Texas Utilities Co................. 49,490 2,060,021
------------
3,359,967
------------
TOTAL COMMON STOCK (COST
$146,967,849)........................ 156,576,821
------------
PAR
(000)
-----
REPURCHASE AGREEMENTS -- 3.0%
Morgan, (J.P.) & Co., Inc.
5.75%, dated 06/30/98,
maturing 07/01/98,
repurchase price
$5,006,800
(Collateralized by U.S
Treasury Bonds, par value
$4,835,000, market value
$5,138,853, due 02/15/26)
(COST $5,006,000)......... $5,006 5,006,000
------------
TOTAL INVESTMENTS -- 98.1%
(COST $151,973,849)..................... 161,582,821
OTHER ASSETS LESS LIABILITIES -- 1.9%... 3,133,320
------------
NET ASSETS -- 100.0%.................... $164,716,141
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
83
<PAGE> 86
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 62.1%
ADVERTISING -- 2.3%
Outdoor Systems, Inc.* ............ 41,900 $ 1,173,200
-----------
AIRLINES -- 1.1%
Alaska Air Group, Inc.* ........... 4,100 223,706
AMR Corp.* ........................ 4,300 357,975
-----------
581,681
-----------
BEVERAGES -- 1.0%
Coca-Cola Co. ..................... 5,900 504,450
-----------
BROADCASTING -- 2.4%
Clear Channel Communications,
Inc.* ........................... 11,100 1,211,287
-----------
COMPUTER SERVICES & SOFTWARE -- 4.4%
America Online, Inc.* ............. 7,200 763,200
BMC Software, Inc.* ............... 7,900 410,306
Cisco Systems, Inc.* .............. 6,100 561,581
Compuware Corp.* .................. 9,700 495,912
-----------
2,230,999
-----------
CONGLOMERATES -- 3.1%
Tyco International Ltd. ........... 24,800 1,562,400
-----------
CONSUMER PRODUCTS & SERVICES -- 5.1%
Cendant Corp.* .................... 27,800 580,325
Gillette Co. ...................... 16,300 924,006
Procter & Gamble Co. .............. 11,500 1,047,219
-----------
2,551,550
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 5.1%
AES Corp.* ........................ 18,700 982,919
General Electric Co. .............. 17,400 1,583,400
-----------
2,566,319
-----------
ENTERTAINMENT & LEISURE -- 1.7%
Time Warner, Inc. ................. 4,600 393,012
Viacom, Inc. Cl-B* ................ 7,900 460,175
-----------
853,187
-----------
ENVIRONMENTAL SERVICES -- 1.1%
Republic Services, Inc. Cl-A* ..... 7,700 184,800
Waste Management, Inc. ............ 10,400 364,000
-----------
548,800
-----------
FINANCIAL-BANK & TRUST -- 1.3%
Chase Manhattan Corp. ............. 2,100 158,550
Citicorp .......................... 2,400 358,200
NationsBank Corp. ................. 1,600 122,400
-----------
639,150
-----------
FINANCIAL SERVICES -- 7.5%
American Express Co. .............. 10,700 1,219,800
CIT Group, Inc. Cl-A .............. 11,200 420,000
Fannie Mae ........................ 11,000 668,250
Morgan Stanley, Dean Witter &
Co. ............................. 3,000 274,125
SunAmerica, Inc. .................. 20,700 1,188,956
-----------
3,771,131
-----------
INSURANCE -- 4.6%
Allstate Corp. .................... 4,800 439,500
American International Group,
Inc. ............................ 5,400 788,400
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Conseco, Inc. ..................... 11,500 $ 537,625
Travelers Group, Inc. ............. 8,800 533,500
-----------
2,299,025
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 2.7%
Guidant Corp. ..................... 2,200 156,888
HBO & Co. ......................... 8,600 303,150
Medtronic, Inc. ................... 13,800 879,750
-----------
1,339,788
-----------
PHARMACEUTICALS -- 5.4%
Bristol-Meyers Squibb Co. ......... 8,900 1,022,944
Cardinal Health, Inc. ............. 4,500 421,875
Lilly, (Eli) & Co. ................ 2,900 191,581
Merck & Co., Inc. ................. 1,400 187,250
Pfizer, Inc. ...................... 3,600 391,275
Warner-Lambert Co. ................ 7,700 534,188
-----------
2,749,113
-----------
PRINTING & PUBLISHING -- 2.6%
McGraw-Hill Co., Inc. ............. 6,400 522,000
Tribune Co. ....................... 11,600 798,225
-----------
1,320,225
-----------
RETAIL & MERCHANDISING -- 5.6%
Costco Companies, Inc.* ........... 10,200 643,238
Dayton-Hudson Corp. ............... 13,300 645,050
Sears, Roebuck & Co. .............. 9,700 592,306
Wal-Mart Stores, Inc. ............. 15,300 929,475
-----------
2,810,069
-----------
TELECOMMUNICATIONS -- 5.2%
Ameritech Corp. ................... 3,200 143,600
Bell Atlantic Corp. ............... 9,900 451,688
Jacor Communications, Inc.* ....... 5,100 300,900
Tele-Communications, Inc. Cl-A* ... 28,057 1,078,441
WorldCom, Inc.* ................... 13,200 639,375
-----------
2,614,004
-----------
TOTAL COMMON STOCK
(COST $25,774,069) ................ 31,326,378
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
CORPORATE OBLIGATIONS -- 4.0%
AEROSPACE -- 0.5%
Lockheed Martin Corp. Notes
7.25%, 05/15/06 ............... $ 200 212,750
-----------
BUSINESS SERVICES -- 0.4%
Comdisco, Inc. Notes
6.50%, 04/30/99 ............... 200 200,750
-----------
FINANCIAL-BANK & TRUST -- 0.2%
First Bank System Sub. Notes
7.625%, 05/01/05 .............. 100 108,250
-----------
FINANCIAL SERVICES -- 1.2%
Ford Motor Credit Corp. Sr. Notes
6.55%, 09/10/02 ............... 215 219,300
</TABLE>
84
<PAGE> 87
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
General Motors Acceptance Corp.
Notes
7.125%, 05/01/03 .............. $ 100 $ 103,500
Lehman Brothers Holdings
Medium Term Notes
6.00%, 02/26/01 ............... 200 199,500
Sears, Roebuck Acceptance Corp.
Notes
6.00%, 03/20/03 ............... 100 99,250
-----------
621,550
-----------
METALS & MINING -- 0.2%
Barrick Gold Corp. Notes
7.50%, 05/01/07 ............... 100 107,125
-----------
OIL & GAS -- 0.5%
Enron Corp. Notes
6.625%, 11/15/05 .............. 150 153,000
Petroleum Geo-Systems Sr. Notes
7.125%, 03/30/28 .............. 100 103,500
-----------
256,500
-----------
RETAIL & MERCHANDISING -- 0.4%
Sears, Roebuck & Co. Notes
6.25%, 01/15/04 ............... 200 202,500
-----------
TELECOMMUNICATIONS -- 0.6%
Cable & Wire Communications Notes
6.625%, 03/06/05 .............. 200 202,250
WorldCom, Inc. Notes
7.55%, 04/01/04 ............... 100 106,000
-----------
308,250
-----------
TOTAL CORPORATE OBLIGATIONS
(COST $1,973,035).................. 2,017,675
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 12.4%
FEDERAL HOME LOAN BANK DISCOUNT NOTES -- 4.2%
5.55%, 07/01/98 ............... 2,115 2,115,000
-----------
FEDERAL NATIONAL MORTGAGE ASSOC. -- 3.5%
7.00%, 02/20/07-03/01/28 ...... 1,152 1,171,084
7.50%, 03/01/27-07/01/27 ...... 595 611,677
-----------
1,782,761
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOC. -- 4.7%
6.50%, 03/15/28-04/15/28 ...... 1,689 1,686,602
7.00%, 12/15/27 ............... 294 298,739
8.00%, 03/15/27 ............... 152 157,497
8.75%, 01/15/27-04/15/27 ...... 200 213,288
-----------
2,356,126
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $6,223,397) ................. 6,253,887
-----------
U.S. TREASURY OBLIGATIONS -- 16.2%
U.S. TREASURY BONDS -- 3.0%
6.125%, 11/15/27 .............. 1,400 1,500,982
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
U.S. TREASURY NOTES -- 13.2%
5.75%, 08/15/03 ............... $ 2,100 $ 2,122,995
6.625%, 05/15/07 .............. 1,200 1,288,452
6.625%, 07/31/01............... 400 412,120
7.75%, 11/30/99 ............... 2,750 2,832,472
-----------
6,656,039
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $8,064,109) ................. 8,157,021
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.4%
AMRESCO Residential Securities
Mtge. Loan
6.44%, 04/25/27 ............... 400 404,130
CIT RV Trust Series 1998-A C1-A
6.09%, 02/15/12 ............... 300 300,984
First Union-Lehman Brothers
Commercial Mtge.
6.28%, 06/18/07 ............... 299 301,264
Morgan Stanley Capital I
Series 1998-WF 1 C1-A1
6.25%, 07/15/07 ............... 198 200,220
-----------
(COST $1,198,822) ............... 1,206,598
-----------
FOREIGN BONDS -- 4.4%
AUSTRALIA -- 0.3%
Queensland Treasury Corp.
8.00%, 08/14/01 ............... 200 132,979
-----------
CANADA -- 0.1%
Canadian Government
6.50%, 06/01/04 ............... 100 71,961
-----------
FRANCE -- 0.9%
French O.A.T.
6.75%, 10/25/03 ............... 2,500 457,738
-----------
GERMANY -- 0.9%
Deutscheland Republic
6.00%, 09/15/03 ............... 800 474,674
-----------
ITALY -- 0.4%
Italian Government
6.75%, 02/01/07 ............... 350,000 220,625
-----------
JAPAN -- 0.8%
Japanese Government
4.10%, 12/22/03 ............... 50,000 416,255
-----------
SPAIN -- 0.2%
Spanish Government
10.50%, 10/30/03 .............. 10,000 82,814
-----------
UNITED KINGDOM -- 0.8%
United Kingdom Treasury
8.00%, 06/10/03 ............... 225 401,810
-----------
TOTAL FOREIGN BONDS
(COST $2,252,452) ................. 2,258,856
-----------
</TABLE>
85
<PAGE> 88
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash
Fund .......................... 1,012 $ 1,012
Temporary Investment Fund ....... 1,012 1,012
-----------
(COST $2,024) ................... 2,024 2,024
-----------
TOTAL INVESTMENTS -- 101.5%
(COST $45,487,908)................. 51,222,439
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.5%)................... (760,177)
-----------
NET ASSETS -- 100.0% ................ $50,462,262
===========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
86
<PAGE> 89
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 92.6%
AUSTRALIA -- 1.5%
AMP Ltd. 144A* .................... 58,430 $ 683,853
Coca-Cola Amatil Ltd. ............. 39,000 253,172
-----------
937,025
-----------
BELGIUM -- 1.1%
Lernout & Hauspie Speech Products
NV* ............................. 4,400 262,625
UCB SA ............................ 86 446,178
-----------
708,803
-----------
BRAZIL -- 0.5%
Telecomunicacoes do Rio de Janeiro
SA Rights* ...................... 5,318 0
Telerj Celular SA Pfd. Cl-B ....... 1,792,800 105,403
Telesp Celular SA Pfd. Cl-B* ...... 2,309,000 193,646
-----------
299,049
-----------
CANADA -- 4.2%
BCE, Inc. ......................... 7,400 313,755
Bombardier, Inc. Cl-B ............. 15,600 424,334
Call-Net Enterprises, Inc.* ....... 13,000 221,007
Geac Computer Corp. Ltd. .......... 8,900 296,558
Investors Group, Inc. ............. 8,700 314,446
Magna International Inc. Cl-A ..... 3,500 239,674
Newcourt Credit Group, Inc.
144A ............................ 6,470 317,882
Teleglobe Inc. .................... 19,200 511,812
-----------
2,639,468
-----------
DENMARK -- 1.9%
Novo Nordisk AS Cl-B .............. 2,585 356,343
Tele Danmark AS Cl-B* ............. 8,900 854,149
-----------
1,210,492
-----------
FINLAND -- 3.0%
Merita PLC Cl-A ................... 73,500 484,956
Nokia Corp. Cl-A [ADR] ............ 7,000 507,937
Raision Tehtaat Oy ................ 17,000 306,754
Sampo Insurance Co. Ltd. Cl-A ..... 12,800 606,339
-----------
1,905,986
-----------
FRANCE -- 14.6%
Accor SA .......................... 2,737 765,958
Alcatel Alsthom ................... 4,198 854,732
Altran Technologies SA ............ 1,735 394,003
Atos SA* .......................... 1,600 383,723
AXA SA ............................ 5,062 569,326
Banque Nationale de Paris ......... 4,859 397,012
Cap Gemini SA ..................... 6,088 956,595
Groupe Danone ..................... 3,800 1,047,729
Lafarge SA ........................ 6,000 620,242
Pinault-Printemps Redoute SA ...... 800 669,530
Rhodia, Inc.* ..................... 6,615 184,466
Societe Generale .................. 3,100 644,506
Societe Television Francaise ...... 2,400 371,947
Vivendi ........................... 6,600 1,409,288
-----------
9,269,057
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
GERMANY -- 13.6%
Allianz AG ........................ 1,600 $ 527,415
Allianz AG, (New)* ................ 29 9,479
Bayerische Motoren Werke AG ....... 458 462,052
Bayerische Motoren Werke AG
Rights* ......................... 9 258
Bayerische Motoren Werke AG
(New)* .......................... 124 123,311
Daimler Benz AG ................... 5,976 586,002
Deutsche Bank AG .................. 2,900 245,572
Deutsche Pfandbrief &
Hypothekenbank AG ............... 10,100 805,748
Douglas Holding AG ................ 5,600 296,283
Dresdner Bank AG .................. 6,900 371,944
Henkel KGaA ....................... 9,000 894,999
Mannesmann AG ..................... 14,300 1,454,931
Metro AG .......................... 6,000 363,983
Metro AG Rights* .................. 5,000 194
SAP AG Pfd. ....................... 1,200 815,721
Veba AG ........................... 5,000 340,715
Volkswagen AG ..................... 1,371 1,317,809
-----------
8,616,416
-----------
GREECE -- 0.3%
Hellenic Telecommunication
Organization SA ................. 7,333 187,966
-----------
HONG KONG -- 0.4%
Hutchison Whampoa Ltd. ............ 51,000 269,198
-----------
HUNGARY -- 0.2%
Magyar Tavkozlesi Rights* ......... 3,400 100,087
-----------
IRELAND -- 2.3%
Bank of Ireland ................... 24,900 512,258
CBT Group PLC Co. [ADR]* .......... 7,000 374,500
Elan Corp. PLC [ADR]* ............. 4,700 302,269
Saville Systems Ireland PLC
[ADR]* .......................... 6,000 300,750
-----------
1,489,777
-----------
ITALY -- 3.2%
Banca di Roma* .................... 251,300 523,085
Banco Intesa SPA .................. 60,900 340,722
Credito Italiano SPA .............. 72,400 378,995
La Rinascente SPA ................. 14,445 72,081
Mondadori (Arnoldo) Editore SPA ... 23,200 274,085
Telecom Italia SPA ................ 55,700 410,022
-----------
1,998,990
-----------
JAPAN -- 4.5%
Aiwa Co. Ltd. ..................... 8,000 250,748
Bridgestone Corp. ................. 6,000 141,802
Fujitsu Ltd. ...................... 54,000 568,073
Honda Motor Co. Ltd. .............. 6,000 213,568
Minebea Co. Ltd. .................. 45,000 447,779
Nintendo Co. Ltd. ................. 2,000 185,178
NTT Data Corp. .................... 50 180,495
Sony Corp. ........................ 7,700 663,004
Takeda Chemical Industries ........ 7,000 186,115
-----------
2,836,762
-----------
</TABLE>
87
<PAGE> 90
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MEXICO -- 0.0%
Cemex SA de CV .................... 774 $ 2,894
-----------
NETHERLANDS -- 8.8%
Amsterdam Option Traders NV ....... 2,300 233,932
Assurantieconcern Stad Rotterdam
NV .............................. 6,800 576,968
Cap Gemini NV ..................... 5,600 462,487
Getronics NV ...................... 11,800 611,979
ING Groep NV ...................... 23,752 1,555,272
Koninklijke Ahold NV .............. 16,878 541,797
Royal Philips Electronics NV
[ADR] ........................... 3,000 255,000
Unilever NV ....................... 5,200 410,475
Vedior NV 144A .................... 7,700 217,651
Verenigde Nederlandse
Uitgeversbedrijven Verenig
Bezit ........................... 19,600 712,037
-----------
5,577,598
-----------
NORWAY -- 1.1%
Petroleum Geo-Services [ADR]* ..... 16,400 500,200
Storebrand ASA .................... 25,600 226,857
-----------
727,057
-----------
PORTUGAL -- 1.3%
Banco Espirito Santo e Comercial de
Lisboa SA ....................... 8,100 243,237
Banco Espirito Santo e Comercial de
Lisboa SA-Bonus Rights* ......... 5,100 31,751
Banco Espirito Santo (New)* ....... 637 18,611
Portugal Telecom SA ............... 3,800 201,397
Telecel-Comunicacaoes Pessoais
SA .............................. 1,800 319,619
-----------
814,615
-----------
SPAIN -- 2.6%
Banco Popular Espanol SA .......... 2,100 179,424
Corporacion Bancaria de Espana
SA .............................. 12,000 269,645
Telefonica SA ..................... 19,900 921,621
Tele Pizza SA* .................... 28,560 303,155
-----------
1,673,845
-----------
SWEDEN -- 3.7%
Assa Abloy AB Cl-B ................ 3,300 129,725
Electrolux AB Cl-B ................ 20,000 343,576
Ericsson, (L.M.) Telephone Co.
[ADR] ........................... 12,300 352,087
Europolitan Holdings AB ........... 5,700 400,253
Hennes & Mauritz AB Cl-B .......... 12,800 816,958
NetCom Systems AB Cl-B* ........... 8,235 315,462
-----------
2,358,061
-----------
SWITZERLAND -- 8.5%
Credit Suisse Group ............... 3,250 723,146
Julius Baer Holdings AG Cl-B ...... 517 1,617,319
Kuoni Reisen AG ................... 100 496,437
Nestle SA ......................... 575 1,230,510
Novartis AG ....................... 250 416,005
UBS AG* ........................... 2,555 950,033
-----------
5,433,450
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UNITED KINGDOM -- 15.3%
Amvescap PLC ...................... 53,700 $ 524,152
British Aerospace PLC ............. 74,600 572,563
British Airways PLC ............... 29,600 320,279
Cable & Wireless Communications
PLC* ............................ 66,000 667,885
Capita Group PLC .................. 37,600 323,402
CMG PLC ........................... 13,900 436,593
Compass Group PLC ................. 34,400 396,036
Crt Group PLC ..................... 22,500 156,359
Diageo PLC ........................ 38,129 451,690
Energis PLC* ...................... 32,000 487,203
Hays PLC .......................... 24,300 407,879
Logica PLC ........................ 12,300 397,625
Misys PLC ......................... 18,600 1,057,954
Orange PLC* ....................... 24,000 254,280
Provident Financial PLC* .......... 9,768 154,430
Schroders PLC ..................... 6,600 170,247
SEMA Group PLC .................... 37,000 439,859
Serco Group PLC ................... 4,400 101,311
Somerfield PLC .................... 48,600 310,166
Standard Chartered PLC ............ 17,000 193,162
Vodafone Group PLC ................ 78,900 1,001,817
WPP Group PLC ..................... 80,600 530,529
Zeneca Group PLC .................. 7,600 326,145
-----------
9,681,566
-----------
TOTAL FOREIGN STOCK
(COST $52,842,148)................... 58,738,162
-----------
COMMON STOCK -- 1.0%
TELECOMMUNICATIONS
AirTouch Communications, Inc.*
(COST $574,823).................... 11,000 642,812
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.1%
Federal Home Loan Bank
Disc. Notes
5.55%, 07/01/98
(COST $9,599,000)...................... $9,599 9,599,000
-----------
TOTAL INVESTMENTS -- 108.7%
(COST $63,015,971)..................... 68,979,974
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (8.7%)....................... (5,531,022)
-----------
NET ASSETS -- 100.0%..................... $63,448,952
===========
</TABLE>
88
<PAGE> 91
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy AUD 95,492 $ 58,014 $ 59,204 $1,190
07/98 Buy BEL 1,569,725 42,024 42,215 191
07/98 Buy BRC 111,430 96,355 96,342 (13)
07/98 Buy CHF 509,247 335,857 335,804 (53)
07/98 Buy CAD 120,799 82,103 82,150 47
07/98 Buy DEM 1,202,974 665,325 666,542 1,217
07/98 Buy DKK 1,327,707 192,798 193,087 289
07/98 Buy FRF 5,794,340 957,861 959,940 2,079
07/98 Buy GBP 759,727 1,266,018 1,267,330 1,312
07/98 Buy HKD 412,185 53,196 53,241 45
07/98 Buy JPY 49,341,903 355,874 355,634 (240)
07/98 Buy PTE 59,272,199 320,095 320,935 840
07/98 Buy SEK 916,644 114,710 114,944 234
---------- ---------- ------
$4,540,230 $4,547,368 $7,138
========== ========== ======
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE DELIVER FOR AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Sell CHF 749,884 $ 499,563 $ 495,922 $ 3,641
07/98 Sell DEM 1,552,550 865,869 861,662 4,207
07/98 Sell DKK 767,887 111,437 111,665 (228)
07/98 Sell FRF 4,889,280 813,250 809,953 3,297
07/98 Sell GBP 541,800 903,357 903,000 357
07/98 Sell ITL 52,268,376 29,472 29,405 67
07/98 Sell JPY 31,131,078 220,874 225,326 (4,452)
07/98 Sell NLG 1,098,367 543,953 540,961 2,992
07/98 Sell SEK 1,488,564 189,164 186,738 2,426
---------- ---------- -------
$4,176,939 $4,164,632 $12,307
========== ========== =======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* 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 1.9% of net assets.
See Notes to Financial Statements.
89
<PAGE> 92
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 89.2%
AIRLINES -- 1.8%
Midwest Express Holdings, Inc.*.... 150,000 $ 5,428,125
------------
AUTOMOTIVE PARTS -- 1.8%
Myers Industries, Inc. ............ 110,000 2,640,000
OEA, Inc. ......................... 100,000 1,600,000
TBC Corp.*......................... 200,000 1,325,000
------------
5,565,000
------------
BUILDING MATERIALS -- 9.1%
Cameron Ashley Building Products,
Inc.*............................ 110,900 1,871,437
Giant Cement Holdings, Inc.*....... 60,000 1,717,500
Gibraltar Steel Corp.*............. 120,000 2,460,000
Holophane Corp.*................... 120,000 3,060,000
Juno Lighting, Inc. ............... 130,000 3,071,250
Lone Star Technologies, Inc.*...... 130,000 1,982,500
Modine Manufacturing Co. .......... 100,000 3,462,500
Republic Group, Inc. .............. 150,900 3,168,900
Skyline Corp. ..................... 61,600 2,009,700
Synthetic Industries, Inc.*........ 180,000 2,621,250
Thomas Industries, Inc. ........... 110,000 2,688,125
------------
28,113,162
------------
BUSINESS SERVICES -- 1.0%
Grey Advertising, Inc. ............ 8,000 3,168,000
------------
CHEMICALS -- 2.0%
Furon Co. ......................... 220,000 3,987,500
Schulman, (A.), Inc. .............. 120,000 2,347,500
------------
6,335,000
------------
CLOTHING & APPAREL -- 1.4%
Dan River, Inc. Cl-A*.............. 120,000 2,040,000
Unitog Co. ........................ 100,000 2,200,000
------------
4,240,000
------------
COMPUTER HARDWARE -- 1.1%
Analogic Corp. .................... 75,000 3,356,250
------------
COMPUTER SERVICES & SOFTWARE -- 1.0%
Analysts International Corp. ...... 110,000 3,121,250
------------
CONSUMER PRODUCTS & SERVICES -- 1.2%
American Safety Razor Co.*......... 120,000 1,755,000
Culp, Inc. ........................ 140,000 1,811,250
------------
3,566,250
------------
CONTAINERS & PACKAGING -- 3.9%
Aptargroup, Inc. .................. 60,000 3,731,250
First Brands Corp. ................ 120,000 3,075,000
Ivex Packaging Corp.*.............. 130,000 3,022,500
Shorewood Packaging Corp.*......... 150,000 2,381,250
------------
12,210,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 8.4%
Electro Rental Corp.*.............. 300,000 6,731,250
Franklin Electric Co., Inc. ....... 40,000 2,720,000
Landauer, Inc. .................... 75,000 2,240,625
Littelfuse, Inc.*.................. 150,000 3,787,500
Methode Electronics, Inc. Cl-A..... 250,000 3,875,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Nichols Research Corp.*............ 120,000 $ 3,277,500
Pioneer-Standard Electronics,
Inc. ............................ 130,000 1,251,250
Scotsman Industries, Inc. ......... 80,000 2,220,000
------------
26,103,125
------------
ENVIRONMENTAL SERVICES -- 0.4%
Waterlink, Inc.*................... 150,000 1,275,000
------------
EQUIPMENT SERVICES -- 3.0%
Cort Business Services Corp.*...... 100,000 3,150,000
Rival Co. ......................... 87,000 1,174,500
Unifirst Corp. .................... 120,000 3,000,000
VWR Scientific Products, Inc.*..... 80,000 1,970,000
------------
9,294,500
------------
FINANCIAL-BANK & TRUST -- 5.3%
Commercial Federal Savings & Loan
Corp. ........................... 30,000 948,750
Community First Bankshares,
Inc. ............................ 120,000 3,142,500
First Republic Bank*............... 100,000 3,612,500
Silicon Valley Bancshares*......... 140,000 4,983,125
Sirrom Capital Corp. .............. 140,000 3,640,000
------------
16,326,875
------------
FINANCIAL SERVICES -- 4.7%
Allied Capital Corp. .............. 140,000 3,430,000
AMRESCO, Inc.*..................... 80,000 2,330,000
First Financial Fund, Inc. ........ 150,000 2,840,625
McGrath Rentcorp................... 120,000 2,535,000
Medallion Financial Corp. ......... 120,000 3,300,000
------------
14,435,625
------------
INSURANCE -- 6.0%
FBL Financial Group, Inc. Cl-A..... 130,000 3,331,250
Harleysville Group, Inc. .......... 46,000 954,500
Markel Corp.*...................... 18,000 3,204,000
Poe & Brown, Inc. ................. 138,800 5,161,625
Presidential Life Corp. ........... 140,000 2,992,500
PXRE Corp. ........................ 70,000 2,100,000
Selective Insurance Group, Inc. ... 40,000 896,250
------------
18,640,125
------------
LUMBER & WOOD PRODUCTS -- 0.6%
Deltic Timber Corp. ............... 80,000 2,005,000
------------
MACHINERY & EQUIPMENT -- 5.2%
Alamo Group, Inc. ................. 62,000 1,178,000
Carbo Ceramics, Inc. .............. 85,500 2,917,687
Smith, (A.O.) Corp. ............... 100,000 5,168,750
TransTechnology Corp. ............. 120,000 3,082,500
Woodward Governor Co. ............. 120,000 3,705,000
------------
16,051,937
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.6%
Lunar Corp.*....................... 150,000 2,756,250
Owens & Minor, Inc. ............... 220,000 2,200,000
------------
4,956,250
------------
METALS & MINING -- 2.7%
Cambior, Inc. ..................... 90,000 528,750
Dayton Mining Corp.*............... 140,000 96,250
</TABLE>
90
<PAGE> 93
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Golden Star Resources Ltd.*........ 120,000 $ 255,000
Layne Christensen Co.*............. 120,000 1,485,000
Material Sciences Corp.*........... 150,000 1,743,750
Penn Virginia Corp. ............... 110,000 2,846,250
Prime Resources Group, Inc. ....... 180,000 1,248,750
------------
8,203,750
------------
OFFICE EQUIPMENT -- 3.5%
Aaron Rents, Inc. Cl-A............. 50,000 906,250
Aaron Rents, Inc. Cl-B............. 150,000 3,000,000
CompX International, Inc.*......... 128,000 2,768,000
IDEX Corp. ........................ 120,000 4,140,000
------------
10,814,250
------------
OIL & GAS -- 2.6%
Chieftain International, Inc.*..... 5,500 130,281
Cross Timbers Oil Co. ............. 165,000 3,145,313
Devon Energy Corp. ................ 50,000 1,746,875
Rutherford-Moran Oil Corp.*........ 150,000 3,018,750
------------
8,041,219
------------
PAPER & FOREST PRODUCTS -- 1.5%
CSS Industries, Inc.*.............. 62,900 2,059,975
Wausau-Mosinee Paper Corp. ........ 110,000 2,516,250
------------
4,576,225
------------
PERSONAL SERVICES -- 1.3%
Matthews International Corp.
Cl-A............................. 170,000 4,175,625
------------
REAL ESTATE -- 4.6%
Apartment Investment & Management
Co. Cl-A [REIT].................. 55,000 2,172,500
Glenborough Realty Trust, Inc. .... 50,000 1,318,750
Innkeepers USA Trust............... 130,000 1,641,250
Meridian Industrial Trust, Inc. ... 150,000 3,450,000
National Health Investors, Inc. ... 50,000 1,656,250
Post Properties, Inc. [REIT]....... 24,600 947,100
Sun Communities, Inc. ............. 90,000 2,981,250
------------
14,167,100
------------
RESTAURANTS -- 2.6%
Consolidated Products, Inc.*....... 180,000 3,802,500
Ruby Tuesday, Inc.*................ 280,000 4,340,000
------------
8,142,500
------------
RETAIL & MERCHANDISING -- 6.3%
Bon-Ton Stores, Inc.*.............. 150,000 2,409,375
Casey's General Stores, Inc. ...... 200,000 3,312,500
CompuCom Systems, Inc.*............ 450,000 2,925,000
Fabri-Centers of America, Inc.
Cl-B*............................ 130,000 3,079,375
Hancock Fabrics, Inc. ............. 200,000 2,500,000
Proffitt's, Inc.*.................. 50,000 2,018,750
Stein Mart, Inc.*.................. 250,000 3,375,000
------------
19,620,000
------------
TELECOMMUNICATIONS -- 2.4%
Aliant Communications, Inc. ....... 180,000 4,938,750
Mosaix, Inc.*...................... 250,000 2,453,125
------------
7,391,875
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TRANSPORTATION -- 1.1%
Landstar Systems, Inc.*............ 100,000 $ 3,493,750
------------
UTILITIES -- 1.1%
United Water Resources, Inc. ...... 190,000 3,420,000
------------
TOTAL COMMON STOCK
(COST $260,321,574).................. 276,237,768
------------
PREFERRED STOCK -- 0.5%
OIL & GAS
Cross Timbers Oil Co. $1.5625 Cl-A
(COST $1,188,022).................. 33,000 1,412,813
------------
FOREIGN STOCK -- 0.3%
METALS & MINING
Prime Resources Group,
Inc. -- (CAD)
(COST $956,274).................... 120,000 832,347
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 3.2%
U.S. Treasury Bills
4.985%, 07/23/98#................. $5,000 4,985,619
5.04%, 07/23/98#.................. 5,000 4,985,619
------------
(COST $9,969,368)................... 9,971,238
------------
COMMERCIAL PAPER -- 6.7%
Asset Securitization Cooperation
Corp.+
5.50%, 07/07/98................... 750 749,301
BellSouth Telecommunications 5.70%,
07/08/98.......................... 164 163,818
Ciesco L.P. 5.50%, 07/17/98......... 5,500 5,486,556
Du Pont, (E.I.) de Nemours & Co.
5.52%, 07/20/98................... 7,970 7,946,781
IBM Credit Corp.
5.50%, 07/08/98................... 5,815 5,808,781
Merck & Co., Inc.
6.10%, 07/01/98................... 562 562,000
------------
(COST $20,717,249).................. 20,717,237
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Fund
(COST $491)....................... 491 491
------------
TOTAL INVESTMENTS -- 99.9%
(COST $293,152,978)................. 309,171,894
OTHER ASSETS LESS
LIABILITIES -- 0.1%................. 272,243
------------
NET ASSETS -- 100.0%.................. $309,444,137
============
</TABLE>
91
<PAGE> 94
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
# Securities with an aggregate market value of $9,971,238 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at June 30, 1998:
<TABLE>
<CAPTION>
EXPIRATION NUMBER OF UNREALIZED
DESCRIPTION MONTH CONTRACTS APPRECIATION
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Russell 2000................... 09/98 40 $212,925
========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
0.2% of net assets.
See Notes to Financial Statements.
92
<PAGE> 95
MARSICO CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 84.4%
AEROSPACE -- 5.2%
AlliedSignal, Inc. ................ 77,082 $ 3,420,514
Gulfstream Aerospace Corp.*........ 254,521 11,835,226
Lockheed Martin Corp. ............. 10,650 1,127,569
------------
16,383,309
------------
AIRLINES -- 4.7%
AMR Corp.*......................... 45,360 3,776,220
UAL Corp.*......................... 141,233 11,016,174
------------
14,792,394
------------
AUTOMOBILE MANUFACTURERS -- 3.0%
Ford Motor Co. .................... 158,933 9,377,047
------------
BEVERAGES -- 2.6%
Coca-Cola Enterprises, Inc. ....... 208,117 8,168,592
------------
CHEMICALS -- 2.9%
Cytec Industries, Inc.*............ 128,986 5,707,630
Monsanto Co. ...................... 63,238 3,533,423
------------
9,241,053
------------
CLOTHING & APPAREL -- 0.4%
Polo Ralph Lauren Corp.*........... 48,750 1,365,000
------------
COMPUTER SERVICES & SOFTWARE -- 7.2%
Cisco Systems, Inc.*............... 54,075 4,978,280
Microsoft Corp.*................... 110,977 12,027,132
PeopleSoft, Inc.*.................. 120,389 5,658,283
------------
22,663,695
------------
CONGLOMERATES -- 1.1%
Textron, Inc. ..................... 46,928 3,364,151
------------
CONSTRUCTION -- 0.8%
M.D.C. Holdings, Inc. ............. 130,770 2,582,707
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.8%
General Electric Co. .............. 97,670 8,887,970
------------
ENTERTAINMENT & LEISURE -- 7.2%
Carnival Corp. Cl-A................ 214,670 8,506,299
Premier Parks, Inc.*............... 41,000 2,731,625
Time Warner, Inc. ................. 134,223 11,467,678
------------
22,705,602
------------
EQUIPMENT SERVICES -- 2.9%
Hertz Corp. Cl-A................... 204,454 9,059,868
------------
FARMING & AGRICULTURE -- 0.1%
Pioneer Hi-Bred International,
Inc. ............................ 6,000 248,250
------------
FINANCIAL-BANK & TRUST -- 5.0%
Citicorp .......................... 65,493 9,774,830
Star Banc Corp. ................... 24,425 1,560,147
Wells Fargo & Co. ................. 11,775 4,344,975
------------
15,679,952
------------
FINANCIAL SERVICES -- 7.5%
Affiliated Managers Group, Inc.*... 2,925 108,591
Associates First Capital Corp.
Cl-A............................. 141,462 10,874,891
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Fannie Mae......................... 74,230 $ 4,509,472
Merrill Lynch & Co., Inc. ......... 86,061 7,939,127
------------
23,432,081
------------
FOOD -- 2.0%
Ralston Purina Group............... 54,488 6,364,879
------------
HOTELS & MOTELS -- 0.8%
Four Seasons Hotels, Inc. ......... 69,326 2,443,742
------------
MACHINERY & EQUIPMENT -- 1.5%
Caterpillar, Inc. ................. 85,679 4,530,277
------------
METALS & MINING -- 0.0%
Phelps Dodge Corp. ................ 1,150 65,766
------------
PHARMACEUTICALS -- 10.5%
Lilly, (Eli) & Co. ................ 78,023 5,154,394
Pfizer, Inc. ...................... 72,174 7,844,412
Schering-Plough Corp. ............. 67,547 6,188,994
Warner-Lambert Co. ................ 197,947 13,732,573
------------
32,920,373
------------
RETAIL & MERCHANDISING -- 7.5%
Gap, Inc. ......................... 129,694 7,992,393
Home Depot, Inc. .................. 89,280 7,415,820
Wal-Mart Stores, Inc. ............. 132,210 8,031,758
------------
23,439,971
------------
TELECOMMUNICATIONS -- 8.7%
Lucent Technologies, Inc. ......... 161,459 13,431,371
MediaOne Group, Inc.*.............. 313,811 13,788,072
------------
27,219,443
------------
TOTAL COMMON STOCK
(COST $239,812,450).................. 264,936,122
------------
FOREIGN STOCK -- 3.9%
AUTOMOBILE MANUFACTURERS
Volkswagen AG -- (DEM)
(COST $11,582,004)................. 12,740 12,245,724
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.5%
Federal Home Loan Bank Disc. Notes
5.40%, 07/01/98
(COST $45,500,000)................. $45,500 45,500,000
------------
TOTAL INVESTMENTS -- 102.8%
(COST $296,894,454).................. 322,681,846
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (2.8%)..................... (8,686,556)
------------
NET ASSETS -- 100.0%................... $313,995,290
============
</TABLE>
93
<PAGE> 96
MARSICO CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE DEPRECIATION
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/98 Buy DEM 9,726,309 $5,408,466 $5,389,134 $19,332
========== ========== =======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
94
<PAGE> 97
COHEN & STEERS REALTY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 92.4%
APARTMENT/RESIDENTIAL -- 13.2%
Apartment Investment & Management
Co. Cl-A [REIT] .................. 23,400 $ 924,300
Avalon Bay Communities, Inc.
[REIT] ........................... 19,239 731,082
Essex Property Trust, Inc.
[REIT] ........................... 25,200 781,200
Irvine Apartment Communities, Inc.
[REIT] ........................... 3,200 92,600
Security Capital Pacific Trust
[REIT] ........................... 29,100 652,931
Smith, (Charles E.) Residential
Realty, Inc. ..................... 8,200 262,400
-----------
3,444,513
-----------
COMMUNITY CENTER -- 9.0%
Developers Diversified Realty Corp.
[REIT] ........................... 27,900 1,093,331
Kimco Realty Corp. [REIT] .......... 21,000 861,000
Pan Pacific Retail Properties, Inc.
[REIT] ........................... 19,600 399,350
-----------
2,353,681
-----------
DIVERSIFIED -- 9.7%
LNR Property Corp. ................. 16,700 427,937
Reckson Services Industries,
Inc.* ............................ 12,432 41,181
Saint Joe Co. ...................... 7,200 197,100
Security Capital Group, Inc.
Cl-B* ............................ 1,800 47,925
Vornado Realty Trust [REIT] ........ 45,900 1,821,656
-----------
2,535,799
-----------
HEALTH CARE -- 4.7%
American Retirement Corp.* ......... 12,000 213,000
Health Care Property Investors, Inc.
[REIT] ........................... 2,900 104,581
Healthcare Realty Trust, Inc.
[REIT] ........................... 9,500 258,875
Meditrust Companies [REIT] ......... 22,900 639,769
-----------
1,216,225
-----------
HOTEL -- 6.1%
Starwood Hotels & Resorts [REIT] ... 33,100 1,599,144
-----------
OFFICE -- 20.4%
Arden Realty, Inc. [REIT] .......... 29,900 773,662
Brandywine Realty Trust [REIT] ..... 14,600 326,675
Cousins Properties, Inc. [REIT] .... 5,800 173,275
Crescent Real Estate Equities Co.
[REIT] ........................... 40,500 1,361,812
Equity Office Properties Trust
[REIT] ........................... 700 19,863
Highwoods Properties, Inc.
[REIT] ........................... 28,700 927,369
Mack-Cali Realty Corp. [REIT] ...... 35,900 1,234,063
SL Green Realty Corp. [REIT] ....... 22,700 510,750
-----------
5,327,469
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OFFICE/INDUSTRIAL -- 14.9%
CenterPoint Properties Corp.
[REIT] ........................... 5,800 $ 191,763
First Industrial Realty Trust, Inc.
[REIT] ........................... 26,500 843,031
Reckson Associates Realty Corp.
[REIT] ........................... 28,400 670,950
Security Capital Industrial Trust
[REIT] ........................... 32,100 802,500
Spieker Properties, Inc. [REIT] .... 23,500 910,625
Trinet Corporate Realty Trust, Inc.
[REIT] ........................... 13,600 462,400
-----------
3,881,269
-----------
REGIONAL MALL -- 12.1%
General Growth Properties [REIT] ... 29,800 1,113,775
JP Realty, Inc. [REIT] ............. 9,400 221,488
Simon DeBartolo Group, Inc.
[REIT] ........................... 13,400 435,500
The Macerich Co.[REIT] ............. 28,400 832,475
The Rouse Co. ...................... 17,700 556,444
-----------
3,159,682
-----------
SELF STORAGE -- 2.3%
Public Storage, Inc. [REIT] ........ 21,500 602,000
-----------
TOTAL COMMON STOCK
(COST $24,940,108) ................... 24,119,782
-----------
SHORT-TERM INVESTMENTS -- 2.8%
Temporary Investment Cash Fund...... 364,677 364,677
Temporary Investment Fund........... 364,677 364,677
-----------
(COST $729,354)..................... 729,354
-----------
TOTAL INVESTMENTS -- 95.2%
(COST $25,669,462).................... 24,849,136
OTHER ASSETS LESS LIABILITIES -- 4.8%... 1,239,059
-----------
NET ASSETS -- 100.0%.................... $26,088,195
===========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
95
<PAGE> 98
LORD ABBETT SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 90.0%
AEROSPACE -- 2.3%
AAR Corp. ......................... 14,000 $ 413,875
DONCASTERS PLC [ADR]* ............. 2,000 55,625
TriStar Aerospace Co.* ............ 14,000 217,000
-----------
686,500
-----------
AUTOMOBILE MANUFACTURERS -- 1.7%
Oshkosh Truck Corp. ............... 20,000 500,000
-----------
AUTOMOTIVE PARTS -- 0.5%
OEA, Inc. ......................... 9,000 144,000
-----------
BUILDING MATERIALS -- 6.2%
CalMat Co. ........................ 19,000 418,000
Gradall Industries, Inc.* ......... 6,900 100,912
Hughes Supply, Inc. ............... 9,900 362,587
Medusa Corp. ...................... 10,300 646,325
Simpson Manufacturing Co.,
Inc.* ........................... 9,000 347,625
-----------
1,875,449
-----------
BUSINESS SERVICES -- 1.1%
Aviation Sales Co.* ............... 5,000 198,125
Baker, (Michael) Corp.* ........... 15,000 135,937
-----------
334,062
-----------
CLOTHING & APPAREL -- 11.0%
Dan River, Inc. Cl-A* ............. 21,000 357,000
Garan, Inc. ....................... 14,000 379,750
Gerber Childrenswear, Inc.* ....... 27,200 419,900
Maxwell Shoe Co., Inc. Cl-A* ...... 1,600 31,800
North Face, Inc.* ................. 15,000 360,000
Phillips-Van Heusen Corp. ......... 25,000 368,750
Stride Rite Corp. ................. 93,000 1,400,812
-----------
3,318,012
-----------
COMPUTER SERVICES & SOFTWARE -- 1.7%
Artesyn Technologies, Inc.* ....... 6,200 99,200
Structural Dynamics Research
Corp.* .......................... 4,000 92,500
Telxon Corp. ...................... 10,000 323,750
-----------
515,450
-----------
CONGLOMERATES -- 0.5%
Ruddick Corp. ..................... 8,000 145,000
-----------
CONSTRUCTION -- 2.8%
Kaufman & Broad Home Corp. ........ 19,000 603,250
Newmark Homes Corp.* .............. 12,000 124,500
Willbros Group, Inc.* ............. 8,000 125,000
-----------
852,750
-----------
CONSUMER PRODUCTS & SERVICES -- 2.8%
Gibson Greetings, Inc.* ........... 18,000 450,000
Oneida Ltd. ....................... 3,000 91,875
Sola International, Inc.* ......... 9,000 294,187
-----------
836,062
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
CONTAINERS & PACKAGING -- 2.7%
BWAY Corp.* ....................... 18,200 $ 391,300
Tuscarora, Inc. ................... 9,000 142,875
ZERO Corp. ........................ 10,000 283,750
-----------
817,925
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 16.8%
AMETEK, Inc. ...................... 4,400 128,975
Control Devices, Inc. ............. 12,500 162,500
Electronics for Imaging, Inc.* .... 63,000 1,330,875
General Scanning, Inc.* ........... 23,000 205,562
GenRad, Inc.* ..................... 8,000 158,000
Methode Electronics, Inc. Cl-A .... 23,400 362,700
Microsemi Corp.* .................. 20,000 185,000
Moog, Inc. Cl-A* .................. 21,000 801,937
Newport Corp. ..................... 7,600 150,100
Plexus Corp.* ..................... 13,100 260,362
Richey Electronics, Inc.* ......... 2,600 20,312
Rogers Corp.* ..................... 24,200 798,600
The DII Group, Inc.* .............. 13,000 221,812
Zebra Technologies Corp.* ......... 6,500 277,875
-----------
5,064,610
-----------
FINANCIAL SERVICES -- 0.2%
Doral Financial Corp. ............. 3,000 52,500
-----------
FOOD -- 2.2%
Dreyer's Grand Ice Cream, Inc. .... 10,000 201,250
Midwest Grain Products, Inc.* ..... 10,300 149,350
Sanderson Farms, Inc. ............. 21,000 309,750
-----------
660,350
-----------
HEALTHCARE SERVICES -- 2.2%
Sierra Health Services, Inc.* ..... 26,200 659,912
-----------
INDUSTRIAL PRODUCTS -- 3.9%
Blount International, Inc. Cl-A ... 15,000 427,500
Oregon Steel Mills, Inc. .......... 40,000 745,000
-----------
1,172,500
-----------
INSURANCE -- 1.7%
Chartwell Re Corp. ................ 13,000 382,687
Farm Family Holdings, Inc.* ....... 3,000 116,813
-----------
499,500
-----------
MACHINERY & EQUIPMENT -- 8.5%
Albany International Corp. Cl-A ... 12,035 288,088
American Precision Industries,
Inc. ............................ 5,000 76,350
Cincinnati Milacron, Inc. ......... 15,000 364,688
CLARCOR, Inc. ..................... 5,100 107,100
CUNO, Inc.* ....................... 5,300 114,613
Kollmorgen Corp. .................. 19,000 381,188
Manitowoc Co., Inc. ............... 11,000 443,438
Precision Castparts Corp. ......... 1,000 53,375
Regal Beloit Corp. ................ 3,500 99,750
SPS Technologies, Inc.* ........... 7,500 438,750
Stewart & Stevenson Services,
Inc. ............................ 11,000 198,000
-----------
2,565,340
-----------
</TABLE>
96
<PAGE> 99
LORD ABBETT SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 3.9%
Arrow International, Inc. ......... 27,000 $ 740,813
Invacare Corp. .................... 4,400 112,750
Marquette Medical Systems,
Inc.* ........................... 13,000 333,531
-----------
1,187,094
-----------
METALS & MINING -- 4.2%
Cleveland-Cliffs, Inc. ............ 3,100 166,238
Hawk Corp. Cl-A* .................. 2,100 37,013
IMCO Recycling, Inc. .............. 11,000 203,500
Penn Virginia Corp. ............... 7,500 194,063
Quanex Corp. ...................... 10,900 330,406
Wolverine Tube, Inc.* ............. 8,500 323,000
-----------
1,254,220
-----------
OFFICE EQUIPMENT -- 0.5%
Brady, (W.H.) Co. ................. 5,000 139,063
-----------
OIL & GAS -- 4.0%
Domain Energy Corp.* .............. 10,000 120,000
Grey Wolf, Inc.* .................. 35,000 111,563
KCS Energy, Inc. .................. 5,000 57,188
Meridian Resource Corp.* .......... 50,000 353,125
Oceaneering International,
Inc.* ........................... 14,000 248,500
Patterson Energy, Inc.* ........... 19,000 185,844
Pool Energy Services Co.* ......... 8,000 118,000
-----------
1,194,220
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 1.2%
Wausau-Mosinee Paper Corp. ........ 16,000 $ 366,000
-----------
PRINTING & PUBLISHING -- 2.4%
Scholastic Corp.* ................. 18,000 717,750
-----------
RETAIL & MERCHANDISING -- 2.2%
Elder-Berrman Stores Corp.* ....... 20,000 533,750
K2, Inc. .......................... 7,000 123,375
-----------
657,125
-----------
TRANSPORTATION -- 2.8%
Air Express International Corp. ... 27,000 722,250
Smithway Motor Express Corp.
Cl-A* ........................... 11,000 110,000
-----------
832,250
-----------
TOTAL COMMON STOCK
(COST $27,456,827)................... 27,047,644
-----------
SHORT-TERM INVESTMENTS -- 8.4%
Temporary Investment Cash Fund..... 1,260,557 1,260,557
Temporary Investment Fund.......... 1,260,557 1,260,557
-----------
(COST $2,521,114).................. 2,521,114
-----------
TOTAL INVESTMENTS -- 98.4%
(COST $29,977,941)................... 29,568,758
OTHER ASSETS LESS
LIABILITIES -- 2.6%.................. 481,066
-----------
NET ASSETS -- 100.0%................... $30,049,824
===========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
97
<PAGE> 100
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 88.8%
ADVERTISING -- 0.1%
Interpublic Group of Companies,
Inc. ............................ 700 $ 42,481
Omnicom Group, Inc. ............... 1,700 84,787
------------
127,268
------------
AEROSPACE -- 0.9%
AlliedSignal, Inc. ................ 5,200 230,750
Boeing Co. ........................ 5,300 236,181
General Dynamics Corp. ............ 600 27,900
Lockheed Martin Corp. ............. 1,700 179,987
Raytheon Co. Cl-B.................. 2,900 171,462
United Technologies Corp. ......... 2,100 194,250
------------
1,040,530
------------
AIRLINES -- 0.8%
AMR Corp.*......................... 4,700 391,275
Delta Air Lines, Inc. ............. 2,500 323,125
Southwest Airlines Co. ............ 1,000 29,625
US Airways Group, Inc.*............ 1,700 134,725
------------
878,750
------------
AUTOMOBILE MANUFACTURERS -- 1.9%
Chrysler Corp. .................... 10,400 586,300
Ford Motor Co. .................... 15,000 885,000
General Motors Corp. .............. 10,100 674,806
Navistar International Corp.*...... 2,300 66,412
------------
2,212,518
------------
AUTOMOTIVE PARTS -- 0.4%
Autozone, Inc.*.................... 3,200 102,200
Cummins Engine Co., Inc. .......... 4,200 215,250
Eaton Corp. ....................... 400 31,100
Echlin, Inc. ...................... 630 30,909
Genuine Parts Co. ................. 1,300 44,931
Goodyear Tire & Rubber Co. ........ 1,100 70,881
------------
495,271
------------
BEVERAGES -- 2.7%
Anheuser-Busch Companies, Inc. .... 4,400 207,625
Brown-Forman Corp. Cl-B............ 100 6,425
Coca-Cola Co. ..................... 26,000 2,223,000
PepsiCo, Inc. ..................... 15,000 617,812
------------
3,054,862
------------
BROADCASTING -- 0.5%
CBS Corp. ......................... 6,500 206,375
Clear Channel Communications,
Inc.*............................ 800 87,300
Cognizant Corp. ................... 1,000 63,000
Gannett Co., Inc. ................. 2,500 177,656
King World Productions, Inc.*...... 3,000 76,500
------------
610,831
------------
BUILDING MATERIALS -- 0.1%
Lowe's Companies, Inc. ............ 2,400 97,350
Masco Corp. ....................... 1,100 66,550
------------
163,900
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BUSINESS SERVICES -- 0.2%
Avery Dennison Corp. .............. 500 $ 26,875
Deluxe Corp. ...................... 4,500 161,156
Ecolab, Inc. ...................... 200 6,200
Equifax, Inc. ..................... 700 25,419
Harris Corp. ...................... 100 4,469
------------
224,119
------------
CHEMICALS -- 2.1%
Air Products & Chemicals, Inc. .... 1,900 76,000
Dow Chemical Co. .................. 4,400 425,425
Du Pont, (E.I.) de Nemours &
Co. ............................. 11,500 858,187
Eastman Chemical Co. .............. 3,600 224,100
FMC Corp.*......................... 1,100 75,006
Monsanto Co. ...................... 5,600 312,900
PPG Industries, Inc. .............. 1,300 90,431
Rohm & Haas Co. ................... 300 31,181
Union Carbide Corp. ............... 5,400 288,225
------------
2,381,455
------------
CLOTHING & APPAREL -- 0.2%
Abercrombie & Fitch Co. Cl-A*...... 415 18,260
Fruit of the Loom, Inc. Cl-A....... 2,300 76,331
Limited, Inc. ..................... 1,250 41,406
VF Corp. .......................... 800 41,200
------------
177,197
------------
COMPUTER HARDWARE -- 3.2%
Bay Networks, Inc.*................ 4,000 129,000
Compaq Computer Corp. ............. 20,445 580,113
Dell Computer Corp.*............... 7,600 705,375
EMC Corp.*......................... 6,700 300,244
Hewlett-Packard Co. ............... 10,400 622,700
International Business Machines
Corp. ........................... 11,700 1,343,306
------------
3,680,738
------------
COMPUTER SERVICES & SOFTWARE -- 4.8%
Apple Computer, Inc.*.............. 3,300 94,669
Automatic Data Processing, Inc. ... 2,500 182,187
Ceridian Corp.*.................... 1,800 105,750
Cisco Systems, Inc.*............... 11,500 1,058,719
Computer Associates International,
Inc. ............................ 5,000 277,812
Gateway 2000, Inc.*................ 2,500 126,562
Microsoft Corp.*................... 27,100 2,936,962
Novell, Inc.*...................... 8,700 110,925
Oracle Corp.*...................... 2,800 68,775
Parametric Technology Corp.*....... 4,300 116,637
Silicon Graphics, Inc.*............ 5,800 70,325
Sun Microsystems, Inc.*............ 5,200 225,875
Unisys Corp.*...................... 5,200 146,900
------------
5,522,098
------------
CONGLOMERATES -- 2.0%
ITT Industries, Inc. .............. 200 7,475
Johnson Controls, Inc. ............ 200 11,437
Minnesota Mining &
Manufacturing Co. ............... 6,300 517,781
Philip Morris Companies, Inc. ..... 29,900 1,177,312
Tenneco, Inc. ..................... 1,000 38,062
</TABLE>
98
<PAGE> 101
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Textron, Inc. ..................... 4,400 $ 315,425
The Seagram Co. Ltd. .............. 2,700 110,531
Tyco International Ltd. ........... 1,450 91,350
------------
2,269,373
------------
CONSTRUCTION -- 0.6%
Centex Corp. ...................... 5,900 222,725
Fleetwood Enterprises, Inc. ....... 4,800 192,000
Pulte Corp. ....................... 8,300 247,962
------------
662,687
------------
CONSUMER PRODUCTS & SERVICES -- 3.1%
Allergan, Inc. .................... 200 9,275
Bausch & Lomb, Inc. ............... 200 10,025
Cendant Corp.*..................... 11,500 240,062
Clorox Co. ........................ 700 66,762
Colgate-Palmolive Co. ............. 2,800 246,400
Eastman Kodak Co. ................. 2,900 211,881
Gillette Co. ...................... 11,100 629,231
Hasbro, Inc. ...................... 400 15,725
International Flavors & Fragrances,
Inc. ............................ 400 17,375
Jostens, Inc. ..................... 5,800 139,925
Procter & Gamble Co. .............. 13,700 1,247,556
Raychem Corp. ..................... 100 2,956
Rubbermaid, Inc. .................. 500 16,594
Sherwin-Williams Co. .............. 600 19,875
Unilever NV........................ 6,200 489,412
UST, Inc. ......................... 7,200 194,400
Whirlpool Corp. ................... 200 13,750
------------
3,571,204
------------
CONTAINERS & PACKAGING -- 0.1%
Crown Cork & Seal Co., Inc. ....... 600 28,500
Sealed Air Corp.*.................. 1,700 62,475
------------
90,975
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.7%
Aeroquip-Vickers, Inc. ............ 3,600 210,150
AMP, Inc. ......................... 1,500 51,562
Emerson Electric Co. .............. 4,000 241,500
General Electric Co. .............. 34,500 3,139,500
Honeywell, Inc. ................... 3,600 300,825
Parker-Hannifin Corp. ............. 500 19,062
Tandy Corp. ....................... 400 21,225
Texas Instruments, Inc. ........... 3,500 204,094
The Perkin-Elmer Corp. ............ 100 6,219
------------
4,194,137
------------
ENTERTAINMENT & LEISURE -- 1.3%
Disney, (Walt) Co. ................ 7,100 745,944
Mirage Resorts, Inc.*.............. 3,900 83,119
Time Warner, Inc. ................. 5,400 461,362
Viacom, Inc. Cl-B*................. 3,900 227,175
------------
1,517,600
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ENVIRONMENTAL SERVICES -- 0.1%
Browning-Ferris Industries,
Inc. ............................ 1,200 41,700
Waste Management, Inc. ............ 3,800 133,000
------------
174,700
------------
FARMING & AGRICULTURE -- 0.9%
Dekalb Genetics Corp. Cl-B......... 10,200 $ 965,175
Pioneer Hi-Bred International,
Inc. ............................ 1,200 49,650
------------
1,014,825
------------
FINANCIAL-BANK & TRUST -- 6.9%
Banc One Corp. .................... 6,100 340,456
Bank of New York Co., Inc. ........ 3,500 212,406
BankAmerica Corp. ................. 9,500 821,156
BankBoston Corp. .................. 2,300 127,937
BB&T Corp. ........................ 900 60,862
Chase Manhattan Corp. ............. 8,300 626,650
Citicorp........................... 6,460 964,155
Comerica, Inc. .................... 1,100 72,875
Countrywide Credit Industries,
Inc. ............................ 400 20,300
Fifth Third Bancorp................ 1,800 113,400
First Chicago NBD Corp. ........... 2,700 239,287
First Union Corp. ................. 9,742 567,471
Golden West Financial Corp. ....... 2,600 276,412
Huntington Bancshares, Inc. ....... 1,200 40,200
Keycorp............................ 3,700 131,812
MBNA Corp. ........................ 4,300 141,900
Mellon Bank Corp. ................. 2,200 153,175
Mercantile Bancorporation, Inc. ... 800 40,300
Morgan, (J.P.) & Co., Inc. ........ 3,300 386,512
National City Corp. ............... 3,000 213,000
NationsBank Corp. ................. 9,400 719,100
Northern Trust Corp. .............. 1,100 83,875
Norwest Corp. ..................... 7,100 265,362
PNC Bank Corp. NA ................. 2,700 145,294
Republic New York Corp. ........... 600 37,762
State Street Boston Corp. ......... 1,100 76,450
Summit Bancorp..................... 1,100 52,250
Suntrust Banks, Inc. .............. 1,800 146,362
Synovus Financial Corp. ........... 1,350 32,062
U.S. Bancorp....................... 6,700 288,100
Wachovia Corp. .................... 1,800 152,100
Wells Fargo & Co. ................. 800 295,200
------------
7,844,183
------------
FINANCIAL SERVICES -- 3.7%
Ahmanson, (H.F.) & Co. ............ 2,600 184,600
American Express Co. .............. 7,000 798,000
Associates First Capital Corp.
Cl-A............................. 3,131 240,696
Beneficial Corp. .................. 200 30,637
Block, (H&R), Inc. ................ 400 16,850
Capital One Financial Corp. ....... 4,000 496,750
Fannie Mae......................... 10,600 643,950
Franklin Resources, Inc. .......... 2,500 135,000
Freddie Mac........................ 6,600 310,612
Lehman Brothers Holdings, Inc. .... 700 54,294
Merrill Lynch & Co., Inc. ......... 3,100 285,975
Morgan Stanley, Dean Witter &
Co. ............................. 5,600 511,700
</TABLE>
99
<PAGE> 102
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Schwab, (Charles) Corp. ........... 1,800 $ 58,500
SLM Holding Corp. ................. 9,600 470,400
------------
4,237,964
------------
FOOD -- 2.7%
Albertson's, Inc. ................. 2,000 103,625
American Stores Co. ............... 1,300 31,444
Archer-Daniels-Midland Co. ........ 5,100 98,812
Bestfoods, Inc. ................... 2,700 156,769
Campbell Soup Co. ................. 4,300 228,437
General Mills, Inc. ............... 3,800 259,825
Giant Food, Inc. Cl-A.............. 22,400 964,600
Heinz, (H.J.) Co. ................. 3,300 185,212
Hershey Foods Corp. ............... 700 48,300
Kellogg Co. ....................... 3,600 135,225
Kroger Co.*........................ 3,900 167,212
Quaker Oats Co. ................... 800 43,950
Ralston Purina Group............... 800 93,450
Sara Lee Corp. .................... 4,600 257,312
Supervalu, Inc. ................... 4,600 204,125
Sysco Corp. ....................... 2,200 56,375
Vlasic Foods International,
Inc. ............................ 410 8,251
Winn-Dixie Stores, Inc. ........... 800 40,950
Wrigley, (Wm., Jr.) Co. ........... 600 58,800
------------
3,142,674
------------
HEALTHCARE SERVICES -- 0.2%
Tenet Healthcare Corp.*............ 4,600 143,750
United Healthcare Corp. ........... 1,500 95,250
------------
239,000
------------
HOTELS & MOTELS -- 0.3%
Harrah's Entertainment, Inc.*...... 9,600 223,200
Hilton Hotels Corp. ............... 1,500 42,750
Marriott International, Inc.
Cl-A............................. 1,800 58,275
------------
324,225
------------
INSURANCE -- 4.4%
Allstate Corp. .................... 4,300 393,719
American General Corp. ............ 2,000 142,375
American International Group,
Inc. ............................ 8,950 1,306,700
AON Corp. ......................... 1,200 84,300
Chubb Corp. ....................... 1,400 112,525
CIGNA Corp. ....................... 1,800 124,200
Conseco, Inc. ..................... 1,300 60,775
General Re Corp. .................. 600 152,100
Humana, Inc.*...................... 4,000 124,750
Jefferson-Pilot Corp. ............. 500 28,969
John Alden Financial Corp. ........ 43,500 957,000
Lincoln National Corp. ............ 600 54,825
Loews Corp. ....................... 900 78,412
Marsh & McLennan Companies,
Inc. ............................ 1,950 117,853
MGIC Investment Corp. ............. 800 45,650
Progressive Corp. ................. 500 70,500
Safeco Corp. ...................... 200 9,088
St. Paul Companies, Inc. .......... 6,814 286,614
The Hartford Financial Services
Group, Inc. ..................... 900 102,938
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Torchmark Corp. ................... 700 $ 32,025
Travelers Group, Inc. ............. 10,600 642,625
UNUM Corp. ........................ 1,000 55,500
------------
4,983,443
------------
MACHINERY & EQUIPMENT -- 1.5%
Black & Decker Corp. .............. 200 12,200
Camco International, Inc. ......... 1,450 112,919
Case Corp. ........................ 200 9,650
Caterpillar, Inc. ................. 7,400 391,275
Cooper Industries, Inc. ........... 900 49,444
Deere & Co. ....................... 6,400 338,400
Dover Corp. ....................... 1,400 47,950
Harnischfeger Industries, Inc. .... 200 5,663
Illinois Tool Works, Inc. ......... 2,100 140,044
Ingersoll-Rand Co. ................ 1,300 57,281
Paccar, Inc. ...................... 4,000 209,000
Pall Corp. ........................ 8,900 182,450
Stanley Works, Inc. ............... 200 8,313
Thermo Electron Corp.*............. 3,000 102,563
W.W. Grainger, Inc. ............... 400 19,925
------------
1,687,077
------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.1%
Abbott Laboratories................ 14,900 609,038
Baxter International, Inc. ........ 2,400 129,150
Becton Dickinson & Co. ............ 600 46,575
Biomet, Inc. ...................... 500 16,531
Boston Scientific Corp.*........... 2,800 200,550
C.R. Bard, Inc. ................... 100 3,806
Guidant Corp. ..................... 1,000 71,313
Johnson & Johnson Co. ............. 13,600 1,003,000
Medtronic, Inc. ................... 4,300 274,125
St. Jude Medical, Inc.*............ 2,300 84,669
U.S. Surgical Corp. ............... 325 14,828
------------
2,453,585
------------
METALS & MINING -- 0.7%
Alcan Aluminium Ltd. .............. 1,200 33,150
Allegheny Teledyne, Inc. .......... 600 13,725
Armco, Inc.*....................... 10,500 66,938
Asarco, Inc. ...................... 7,000 155,750
Barrick Gold Corp. ................ 2,300 44,131
Bethlehem Steel Corp.*............. 4,750 59,078
Cyprus AMAX Minerals Co. .......... 10,400 137,800
Homestake Mining Co. .............. 600 6,225
Inco, Ltd. ........................ 200 2,725
Nucor Corp. ....................... 200 9,200
Placer Dome, Inc. ................. 100 1,175
Reynolds Metals Co. ............... 4,200 234,938
Worthington Industries, Inc. ...... 200 3,013
------------
767,848
------------
OFFICE EQUIPMENT -- 0.4%
Pitney Bowes, Inc. ................ 2,200 105,875
Xerox Corp. ....................... 3,000 304,875
------------
410,750
------------
</TABLE>
100
<PAGE> 103
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OIL & GAS -- 7.6%
Amerada Hess Corp. ................ 600 $ 32,588
Amoco Corp. ....................... 8,300 345,488
Ashland, Inc. ..................... 4,100 211,663
Atlantic Richfield Co. ............ 4,900 382,813
Baker Hughes, Inc. ................ 1,000 34,563
Burlington Resources, Inc. ........ 1,200 51,675
Chevron Corp. ..................... 9,500 789,094
Coastal Corp. ..................... 600 41,888
Columbia Gas System, Inc. ......... 300 16,688
Consolidated Natural Gas Co. ...... 3,400 200,175
Dresser Industries, Inc. .......... 13,600 599,250
Eastern Enterprises................ 3,500 150,063
Exxon Corp. ....................... 28,800 2,053,800
Mobil Corp. ....................... 7,800 597,675
Nicor, Inc. ....................... 4,300 172,538
Occidental Petroleum Corp. ........ 10,900 294,300
Oneok, Inc. ....................... 5,400 215,325
Oryx Energy Co.*................... 2,900 64,163
Pennzoil Co. ...................... 3,800 192,375
Phillips Petroleum Co. ............ 1,600 77,100
Rowan Companies, Inc.*............. 2,700 52,481
Royal Dutch Petroleum Co. ......... 21,900 1,200,394
Schlumberger Ltd. ................. 3,100 211,769
Sonat, Inc. ....................... 200 7,725
Texaco, Inc. ...................... 8,800 525,250
Unocal Corp. ...................... 1,600 57,200
USX-Marathon Group................. 2,100 72,056
------------
8,650,099
------------
PAPER & FOREST PRODUCTS -- 1.5%
Boise Cascade Corp. ............... 200 6,550
Fort James Corp. .................. 1,300 57,850
Georgia Pacific Group.............. 3,700 218,069
International Paper Co. ........... 7,000 301,000
Kimberly-Clark Corp. .............. 5,300 243,138
Mead Corp. ........................ 6,400 203,200
Potlatch Corp. .................... 4,100 172,200
Stone Container Corp.*............. 5,700 89,063
Temple Inland, Inc. ............... 3,600 193,950
Union Camp Corp. .................. 100 4,963
Weyerhaeuser Co. .................. 1,400 64,663
Willamette Industries, Inc. ....... 6,200 198,400
------------
1,753,046
------------
PHARMACEUTICALS -- 6.9%
ALZA Corp.*........................ 2,300 99,475
American Home Products Corp. ...... 13,000 672,750
Bristol-Meyers Squibb Co. ......... 10,100 1,160,869
Cardinal Health, Inc. ............. 700 65,625
Lilly, (Eli) & Co. ................ 11,300 746,506
Merck & Co., Inc. ................. 10,700 1,431,125
Pfizer, Inc. ...................... 13,600 1,478,150
Pharmacia & Upjohn, Inc. .......... 4,700 216,788
Schering-Plough Corp. ............. 7,300 668,863
Vitalink Pharmacy Services,
Inc.*............................ 36,800 811,900
Warner-Lambert Co. ................ 8,000 555,000
------------
7,907,051
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PRINTING & PUBLISHING -- 0.4%
Dow Jones & Co., Inc. ............. 200 $ 11,150
Knight-Ridder, Inc. ............... 4,000 220,250
McGraw-Hill Co., Inc. ............. 800 65,250
New York Times Co. Cl-A............ 500 39,625
R.R. Donnelley & Sons Co. ......... 700 32,025
Times Mirror Co. Cl-A.............. 200 12,575
Tribune Co. ....................... 700 48,169
------------
429,044
------------
RAILROADS -- 0.2%
Burlington Northern Santa Fe
Corp. ........................... 1,400 137,463
Norfolk Southern Corp. ............ 2,900 86,456
------------
223,919
------------
RESTAURANTS -- 0.7%
Darden Restaurants, Inc. .......... 13,400 212,725
McDonald's Corp. .................. 6,500 448,500
Tricon Global Restaurants, Inc.*... 3,200 101,400
------------
762,625
------------
RETAIL & MERCHANDISING -- 4.6%
Avon Products, Inc. ............... 900 69,750
Circuit City Stores, Inc. ......... 100 4,688
Costco Companies, Inc.*............ 3,300 208,106
CVS Corp. ......................... 2,600 101,238
Dayton-Hudson Corp. ............... 3,800 184,300
Dillard's, Inc. Cl-A............... 200 8,288
Federated Department Stores,
Inc.*............................ 3,300 177,581
Gap, Inc. ......................... 3,200 197,200
Harcourt General, Inc. ............ 100 5,950
Home Depot, Inc. .................. 7,100 589,744
Kmart Corp.*....................... 8,000 154,000
May Department Stores Co. ......... 1,900 124,450
Mercantile Stores Co., Inc. ....... 12,300 970,931
Nordstrom, Inc. ................... 300 23,175
Penney, (J.C.) Co., Inc. .......... 2,200 159,088
Rite Aid Corp. .................... 1,900 71,369
Sears, Roebuck & Co. .............. 3,400 207,613
TJX Companies, Inc. ............... 1,600 38,600
Venator Group, Inc.*............... 3,700 70,763
Wal-Mart Stores, Inc. ............. 27,800 1,688,850
Walgreen Co. ...................... 4,300 177,644
------------
5,233,328
------------
SEMICONDUCTORS -- 1.0%
Intel Corp. ....................... 14,300 1,059,988
Motorola, Inc. .................... 1,300 68,331
------------
1,128,319
------------
TELECOMMUNICATIONS -- 9.2%
360 Communications Co.*............ 800 25,600
AirTouch Communications, Inc.*..... 9,800 572,688
Alltel Corp. ...................... 600 27,900
Ameritech Corp. ................... 10,700 480,163
Ascend Communications, Inc.*....... 2,000 99,125
Bell Atlantic Corp. ............... 19,800 903,375
BellSouth Corp. ................... 9,800 657,825
Comcast Corp. Cl-A................. 2,200 89,306
</TABLE>
101
<PAGE> 104
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
General Instrument Corp.*.......... 4,000 $ 108,750
GTE Corp. ......................... 12,500 695,313
Lucent Technologies, Inc. ......... 13,600 1,131,350
MCI Communications Corp. .......... 37,900 2,202,938
MediaOne Group, Inc.*.............. 8,000 351,500
Northern Telecom Ltd............... 2,300 130,525
SBC Communications, Inc. .......... 10,000 400,000
Southern New England
Telecommunications Corp. ........ 4,800 314,400
Sprint Corp. ...................... 3,300 232,650
Teleport Communications Group, Inc.
Cl-A*............................ 20,900 1,133,825
Tellabs, Inc.*..................... 2,800 200,550
U. S. West, Inc. .................. 8,104 380,888
Williams Companies, Inc. .......... 3,400 114,750
WorldCom, Inc.*.................... 4,600 222,813
------------
10,476,234
------------
TRANSPORTATION -- 0.4%
CSX Corp. ......................... 1,900 86,450
FDX Corp.*......................... 2,000 125,500
Laidlaw, Inc. ..................... 1,100 13,406
Ryder Systems, Inc. ............... 5,800 183,063
------------
408,419
------------
UTILITIES -- 3.7%
Ameren Corp.*...................... 600 23,850
American Electric Power Co.,
Inc. ............................ 6,100 276,788
Baltimore Gas & Electric Co. ...... 600 18,638
Carolina Power & Light Co. ........ 4,900 212,538
Central & South West Corp. ........ 1,000 26,875
Cinergy Corp. ..................... 800 28,000
Consolidated Edison, Inc. ......... 5,700 262,556
DTE Energy Co. .................... 600 24,225
Duke Energy Corp. ................. 6,800 402,900
Edison International Co. .......... 10,100 298,581
Enron Corp. ....................... 2,300 124,344
FirstEnergy Corp. ................. 8,100 249,075
FPL Group, Inc. ................... 4,200 264,600
GPU, Inc. ......................... 500 18,906
Houston Industries, Inc. .......... 10,000 308,750
Niagara Mohawk Power Corp.*........ 17,200 256,925
PacifiCorp......................... 10,700 242,088
PECO Energy Co. ................... 8,400 245,175
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PG&E Corp. ........................ 8,500 $ 268,281
PP&L Resources, Inc. .............. 400 9,075
Public Service Enterprise Group,
Inc. ............................ 1,500 51,656
Sempra Energy*..................... 6,316 175,268
Southern Co. ...................... 6,200 171,663
Texas Utilities Co. ............... 1,700 70,763
Unicom Corp. ...................... 6,600 231,413
------------
4,262,933
------------
TOTAL COMMON STOCK
(COST $96,587,584)................... 101,390,804
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bills
4.97%, 08/20/98#................. $350 347,668
4.99%, 08/20/98#................. 95 94,367
5.01%, 08/20/98#................. 25 24,833
5.02%, 08/20/98#................. 200 198,667
5.03%, 08/20/98#................. 10 9,933
------------
(COST $675,288)...................... 675,468
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 7.8%
Temporary Investment Cash Fund.... 4,442,964 4,442,964
Temporary Investment Fund......... 4,442,965 4,442,965
------------
(COST $8,885,929)................... 8,885,929
------------
TOTAL INVESTMENTS -- 97.2%
(COST $106,148,801)................. 110,952,201
OTHER ASSETS LESS
LIABILITIES -- 2.8%................. 3,242,357
------------
NET ASSETS -- 100.0%.................. $114,194,558
============
</TABLE>
- ----------------------------------------------------------
# Securities with an aggregate market value of $675,468 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at June 30, 1998:
<TABLE>
<CAPTION>
EXPIRATION NUMBER OF UNREALIZED
DESCRIPTION MONTH CONTRACTS APPRECIATION
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
S&P 500.. 09/98 61 $369,160
========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
102
<PAGE> 105
STEIN ROE VENTURE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 92.9%
ADVERTISING -- 0.3%
Catalina Marketing Corp.*.......... 300 $ 15,581
----------
AUTOMOTIVE PARTS -- 0.8%
Superior Industries International,
Inc. ............................ 1,400 39,462
----------
BROADCASTING -- 6.4%
Central European Media Enterprises
Ltd.*............................ 8,800 190,300
Metro Networks, Inc. .............. 3,000 129,375
----------
319,675
----------
BUSINESS SERVICES -- 9.0%
Alternative Resources Corp.*....... 8,800 108,900
Meadowbrook Insurance Group,
Inc. ............................ 6,400 174,000
Metamor Worldwide, Inc. ........... 4,700 165,381
----------
448,281
----------
CHEMICALS -- 2.7%
Chemfirst, Inc. ................... 5,300 133,825
----------
CLOTHING & APPAREL -- 2.7%
Columbia Sportswear Co. ........... 7,100 134,900
----------
COMPUTER SERVICES & SOFTWARE -- 9.5%
Artesyn Technologies, Inc.*........ 8,100 129,600
Barra, Inc.*....................... 4,800 117,600
National Computer Systems, Inc. ... 2,000 48,000
Radiant Systems, Inc.*............. 3,900 56,550
SPSS, Inc. ........................ 5,300 123,225
----------
474,975
----------
CONSUMER PRODUCTS & SERVICES -- 6.6%
Nu Skin Asia Pacific, Inc.*........ 6,200 120,900
Sola International, Inc.*.......... 6,400 209,200
----------
330,100
----------
CONTAINERS & PACKAGING -- 2.2%
Silgan Holdings, Inc. ............. 3,900 109,200
----------
DIVERSIFIED RESOURCES -- 1.7%
Fisher Companies, Inc. ............ 1,200 85,200
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 10.3%
AVX Corp. ......................... 4,800 77,100
Black Box Corp.*................... 4,100 136,069
Celestica, Inc.*................... 5,200 91,000
Hubbell, Inc. Cl-B................. 2,900 120,712
Kent Electronics Corp. ............ 4,700 86,069
----------
510,950
----------
ENTERTAINMENT & LEISURE -- 3.2%
Ballantyne of Omaha, Inc. ......... 14,100 118,087
Video Update, Inc. ................ 28,300 40,681
----------
158,768
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 1.2%
National Bankcorp of Alaska,
Inc. ............................ 1,900 $ 58,662
----------
HEALTHCARE SERVICES -- 2.1%
Complete Management, Inc. ......... 5,400 21,262
National Dentex Corp. ............. 3,500 82,250
----------
103,512
----------
INSURANCE -- 2.0%
Paula Financial, Inc. ............. 4,900 98,612
----------
MEDICAL SUPPLIES & EQUIPMENT -- 10.4%
BioSource International, Inc. ..... 6,200 34,488
Schein, (Henry), Inc.*............. 3,500 161,438
Urologix, Inc. .................... 5,500 46,750
Uroquest Medical Corp. ............ 5,100 13,388
Xomed Surgical Products, Inc. ..... 5,700 177,413
Young Innovations, Inc. ........... 5,400 83,025
----------
516,502
----------
OIL & GAS -- 2.9%
Barrett Resources Corp.*........... 1,400 52,413
Meridian Resource Corp.*........... 13,200 93,225
----------
145,638
----------
PHARMACEUTICALS -- 2.3%
Ligand Pharmaceuticals, Inc.
Cl-B............................. 4,100 52,788
Shire Pharmaceuticals Group PLC
[ADR]............................ 2,900 61,988
----------
114,776
----------
PRINTING & PUBLISHING -- 2.0%
CMP Media, Inc. ................... 5,600 98,000
----------
REAL ESTATE -- 7.3%
CB Commercial Real Estate Services
Group............................ 6,800 227,375
Lasalle Partners, Inc. ............ 3,000 133,500
Reckson Services Industries,
Inc.*............................ 164 543
----------
361,418
----------
RESTAURANTS -- 3.4%
Triarc Companies, Inc. ............ 7,600 166,725
----------
RETAIL & MERCHANDISING -- 3.9%
Regis Corp. ....................... 4,600 135,988
School Specialty, Inc.*............ 3,400 55,675
----------
191,663
----------
TOTAL COMMON STOCK
(COST $5,094,455).................... 4,616,425
----------
SHORT-TERM INVESTMENTS -- 9.6%
Temporary Investment Cash Fund..... 238,798 238,798
Temporary Investment Fund.......... 238,799 238,799
----------
(COST $477,597).................... 477,597
----------
</TABLE>
103
<PAGE> 106
STEIN ROE VENTURE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
-----
<S> <C> <C>
TOTAL INVESTMENTS -- 102.5%
(COST $5,572,052).................... $5,094,022
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (2.5%)..................... (122,637)
----------
NET ASSETS -- 100.0%................... $4,971,385
==========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing securities.
See Notes to Financial Statements.
DEFINITION OF ABBREVIATIONS
- --------------------------------------------------------------------------------
THE FOLLOWING ABBREVIATIONS ARE USED THROUGHOUT THE SCHEDULES OF INVESTMENTS:
SECURITY DESCRIPTIONS:
- -----------------------
ADR-American Depositary Receipt
ADS-American Depositary Shares
BRB-Brady Bond
FLIRB-Floating Interest Rate Bond
FRB-Floating Rate Bond (1)
FRN-Floating Rate Note (1)
GDR-Global Depositary Receipt
IO-Interest Only Security
PIK-Payment in Kind Security
REIT-Real Estate Investment Trust
STEP-Stepped Coupon Bond (2)
TBA-To be Announced Security
VR-Variable Rate Bond (1)
ZCB-Zero Coupon Bond (2)
(1)- Rates shown for variable and floating rate securities are the coupon rates
as of June 30, 1998.
(2)- Rates shown are the effective yields at purchase date.
COUNTRIES/CURRENCIES:
- -----------------------
ATS-Austria/Austrian Schilling
AUD-Australia/Australian Dollar
BEF-Belgium/Belgian Franc
BRC- Brazil/Brazilian Real
CAD-Canada/Canadian Dollar
CHF-Switzerland/Swiss Franc
DEM-Germany/German Deutschemark
DKK-Denmark/Danish Krone
ESP-Spain/Spanish Peseta
FIM-Finland/Finnish Markka
FRF-France/French Franc
GBP-United Kingdom/British Pound
HKD-Hong Kong/Hong Kong Dollar
IEP-Ireland/Irish Punt
ITL-Italy/Italian Lira
JPY-Japan/Japanese Yen
MXP-Mexico/Mexican Peso
MYR-Malaysia/Malaysian Ringgit
NLG-Netherlands/Netherland Guilder
NOK-Norway/Norwegian Krone
NZD-New Zealand/New Zealand Dollar
PTE-Portugal/Portuguese Escudo
SEK-Sweden/Swedish Krona
SGD-Singapore/Singapore Dollar
ZAR-South Africa/South African Rand
104
<PAGE> 107
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
----------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------
AST NEUBERGER&
PUTNAM LORD ABBETT AST BERMAN
INTERNATIONAL GROWTH AND JANCAP MONEY MID-CAP
EQUITY INCOME GROWTH MARKET VALUE
------------- ----------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value (A)....... $515,594 $1,110,121 $2,232,683 $816,316 $216,036
Cash in bank, including foreign currency
holdings................................... 1,809 630 -- 8 --
Net receivable for forward foreign currency
exchange contracts purchased............... 341 -- -- -- --
Net receivable for forward foreign currency
exchange contracts sold.................... -- -- -- -- --
Receivable for:
Securities sold............................ 14,748 5,051 4,117 -- 2,712
Dividends and interest..................... 1,988 2,204 1,880 3,784 257
Fund shares sold........................... 7 5 4,421 7,983 760
Futures variation margin................... -- -- -- -- --
Other assets................................. 38 -- 6 2 1
Unrealized appreciation on interest rate swap
agreements................................. -- -- -- -- --
-------- ---------- ---------- -------- --------
TOTAL ASSETS............................. 534,525 1,118,011 2,243,107 828,093 219,766
-------- ---------- ---------- -------- --------
LIABILITIES
Cash overdraft............................... -- -- -- -- --
Net payable for forward foreign currency
exchange contracts purchased............... -- -- 90 -- --
Net payable for forward foreign currency
exchange contracts sold.................... 1,002 -- 15 -- --
Written options outstanding, at value........ -- -- -- -- --
Payable for:
Securities purchased....................... 17,542 10,169 -- -- 4,255
Fund shares redeemed....................... 156 36 131 20 1
Futures variation margin................... -- -- -- -- --
Advisory fees.............................. 229 356 827 97 84
Shareholder servicing fees................. 42 89 168 79 16
Accrued expenses........................... 294 108 155 147 44
Accrued dividends.......................... -- -- -- 3,795 --
-------- ---------- ---------- -------- --------
TOTAL LIABILITIES........................ 19,265 10,758 1,386 4,318 4,400
-------- ---------- ---------- -------- --------
NET ASSETS...................................... $515,260 $1,107,253 $2,241,721 $823,775 $215,366
======== ========== ========== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares
authorized, $.001 par value per share)......... $ 22 $ 52 $ 76 $ 824 $ 16
Additional paid-in capital...................... 390,852 861,118 1,319,905 822,918 192,799
Undistributed net investment income (loss)...... 3,762 7,111 2,738 -- 2,511
Accumulated net realized gain (loss) on
investments.................................... 30,975 70,244 66,617 33 26,384
Accumulated net unrealized appreciation
(depreciation) on investments.................. 89,649 168,728 852,385 -- (6,344)
-------- ---------- ---------- -------- --------
NET ASSETS...................................... $515,260 $1,107,253 $2,241,721 $823,775 $215,366
======== ========== ========== ======== ========
Shares of common stock outstanding.............. 22,462 52,400 76,163 823,742 16,318
Net asset value, offering and redemption price
per share...................................... $ 22.94 $ 21.13 $ 29.43 $ 1.00 $ 13.20
======== ========== ========== ======== ========
(A) Investments at cost......................... $425,204 $ 941,393 $1,380,192 $816,316 $222,380
======== ========== ========== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
105
<PAGE> 108
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
T. ROWE PIMCO T. ROWE T. ROWE NEUBERGER&
AST PRICE TOTAL INVESCO FOUNDERS PRICE PRICE BERMAN
PUTNAM FEDERATED ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL MID-CAP
BALANCED HIGH YIELD ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH
-------- ----------- ---------- -------- -------- ------------ ------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$398,022 $552,797 $266,533 $861,747 $754,919 $272,642 $451,601 $132,130 $225,360
2,047 -- 187 1,607 1,028 1 25,701 5,515 --
31 -- -- -- -- -- -- 81 --
-- -- -- -- -- -- -- -- --
8,073 1,946 290 2 -- 676 341 4 --
1,829 9,066 1,895 5,986 3,361 33 1,061 3,466 60
265 2,714 5 1,417 954 5 11 32 270
362 -- -- 648 -- -- -- -- --
1 330 -- 2 2 1 2 1 1
-- -- -- 91 -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- --------
410,630 566,853 268,910 871,500 760,264 273,358 478,717 141,229 225,691
-------- -------- -------- -------- -------- -------- -------- -------- --------
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
42 -- -- 4 -- -- 2 -- --
-- -- -- 15 -- -- -- -- --
10,409 4,765 149 173,814 12,596 3,458 424 -- 7,771
-- 28 280 269 64 73 489 45 --
-- -- -- -- -- -- -- -- --
136 246 65 158 225 127 200 -- 73
33 45 22 58 60 21 39 12 16
134 -- 85 94 92 57 132 98 52
-- -- -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- --------
10,754 5,084 601 174,412 13,037 3,736 1,286 155 7,912
-------- -------- -------- -------- -------- -------- -------- -------- --------
$399,876 $561,769 $268,309 $697,088 $747,227 $269,622 $477,431 $141,074 $217,779
======== ======== ======== ======== ======== ======== ======== ======== ========
$ 30 $ 44 $ 17 $ 61 $ 44 $ 15 $ 36 $ 14 $ 13
338,856 522,851 210,799 664,617 585,954 216,179 379,929 140,888 177,029
4,979 20,601 3,369 16,992 7,163 (723) 2,521 8,578 (111)
21,383 4,710 775 7,751 31,085 7,685 2,746 (7,112) 35,071
34,628 13,563 53,349 7,667 122,981 46,466 92,199 (1,294) 5,777
-------- -------- -------- -------- -------- -------- -------- -------- --------
$399,876 $561,769 $268,309 $697,088 $747,227 $269,622 $477,431 $141,074 $217,779
======== ======== ======== ======== ======== ======== ======== ======== ========
29,396 43,770 16,398 60,987 43,806 15,268 36,041 13,797 12,832
$ 13.60 $ 12.83 $ 16.36 $ 11.43 $ 17.06 $ 17.66 $ 13.25 $ 10.23 $ 16.97
======== ======== ======== ======== ======== ======== ======== ======== ========
$364,032 $539,234 $213,180 $856,035 $631,938 $226,176 $359,253 $133,480 $219,583
======== ======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
106
<PAGE> 109
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
-------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------
T. ROWE PIMCO ROBERTSON
PRICE LIMITED STEPHENS AST JANUS
FOUNDERS NATURAL MATURITY VALUE + OVERSEAS
PASSPORT RESOURCES BOND GROWTH GROWTH
-------- --------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value (A)....... $133,686 $ 99,919 $399,795 $290,325 $517,723
Cash in bank, including foreign currency
holdings................................... -- 15 -- -- 823
Net receivable for forward foreign currency
exchange contracts purchased............... -- -- -- -- --
Net receivable for forward foreign currency
exchange contracts sold.................... -- -- -- -- 667
Receivable for:
Securities sold............................ 1,574 563 60,900 11,528 3,934
Dividends and interest..................... 135 139 3,084 105 447
Fund shares sold........................... 1 -- -- 8 563
Futures variation margin................... -- -- 1 -- --
Other assets................................. 1 1 1 1 1
Unrealized appreciation on interest rate swap
agreements................................. -- -- 50 -- --
-------- -------- -------- -------- --------
TOTAL ASSETS............................. 135,397 100,637 463,831 301,967 524,158
-------- -------- -------- -------- --------
LIABILITIES
Cash overdraft............................... 268 -- -- -- --
Net payable for forward foreign currency
exchange contracts purchased............... 1 -- -- -- 728
Net payable for forward foreign currency
exchange contracts sold.................... 1 -- -- -- --
Written options outstanding, at value........ -- -- -- -- --
Payable for:
Securities purchased....................... 495 -- 162,279 14,160 21,747
Fund shares redeemed....................... 413 54 707 858 --
Futures variation margin................... -- -- -- -- --
Advisory fees.............................. 65 43 72 131 244
Shareholder servicing fees................. 11 8 25 22 39
Accrued expenses........................... 81 42 66 46 106
Accrued dividends.......................... -- -- -- -- --
-------- -------- -------- -------- --------
TOTAL LIABILITIES........................ 1,335 147 163,149 15,217 22,864
-------- -------- -------- -------- --------
NET ASSETS...................................... $134,062 $ 100,490 $300,682 $286,750 $501,294
======== ======== ======== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares
authorized, $.001 par value per share)......... $ 9 $ 7 $ 28 $ 19 $ 34
Additional paid-in capital...................... 100,733 94,937 291,834 238,597 416,837
Undistributed net investment income (loss)...... 590 472 8,802 (872) 1,937
Accumulated net realized gain (loss) on
investments.................................... (1,173) 8,268 (1,574) 5,126 2,264
Accumulated net unrealized appreciation
(depreciation) on investments.................. 33,903 (3,194) 1,592 43,880 80,222
-------- -------- -------- -------- --------
NET ASSETS...................................... $134,062 $ 100,490 $300,682 $286,750 $501,294
======== ======== ======== ======== ========
Shares of common stock outstanding.............. 9,323 7,219 27,986 19,298 34,424
Net asset value, offering and redemption price
per share...................................... $ 14.38 $ 13.92 $ 10.74 $ 14.86 $ 14.56
======== ======== ======== ======== ========
(A) Investments at cost......................... $ 99,780 $ 103,110 $398,397 $246,445 $437,272
======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
107
<PAGE> 110
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------
AST PUTNAM TWENTIETH TWENTIETH T. ROWE LORD BANKERS
VALUE CENTURY CENTURY PRICE SMALL MARSICO COHEN & ABBETT TRUST
GROWTH & STRATEGIC INTERNATIONAL COMPANY CAPITAL STEERS SMALL CAP ENHANCED STEIN ROE
INCOME BALANCED GROWTH VALUE GROWTH REALTY VALUE 500 VENTURE
---------- --------- ------------- ----------- -------- ------- --------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$161,582 $51,222 $68,980 $309,172 $322,682 $24,849 $29,569 $110,952 $5,094
51 -- 23 -- 76 967 1,397 402 88
-- -- 7 -- -- -- -- -- --
-- -- 12 -- -- -- -- -- --
2,974 188 264 -- 3,051 275 54 368 32
335 239 137 328 58 113 16 119 1
524 181 270 468 2,207 114 1,148 2,699 43
-- -- -- 47 -- -- -- -- --
1 -- -- 1 -- -- -- -- --
-- -- -- -- -- -- -- -- --
-------- ------- ------- -------- -------- ------- ------- -------- ------
165,467 51,830 69,693 310,016 328,074 26,318 32,184 114,540 5,258
-------- ------- ------- -------- -------- ------- ------- -------- ------
-- -- -- -- -- -- -- -- --
-- -- -- -- 19 -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
589 1,321 6,181 359 13,909 212 2,115 163 282
-- -- -- 7 -- -- -- -- --
-- -- -- -- -- -- -- 121 --
60 20 32 127 95 12 11 15 1
13 4 5 24 20 2 2 8 --
89 23 26 55 36 4 6 38 4
-- -- -- -- -- -- -- -- --
-------- ------- ------- -------- -------- ------- ------- -------- ------
751 1,368 6,244 572 14,079 230 2,134 345 287
-------- ------- ------- -------- -------- ------- ------- -------- ------
$164,716 $50,462 $63,449 $309,444 $313,995 $26,088 $30,050 $114,195 $4,971
======== ======= ======= ======== ======== ======= ======= ======== ======
$ 13 $ 4 $ 4 $ 24 $ 24 $ 2 $ 3 $ 10 $ 1
148,398 43,787 53,899 289,989 282,961 26,694 30,497 101,323 5,457
716 379 220 930 197 290 (18) 510 (6)
5,981 558 3,348 2,269 5,030 (78) (23) 7,179 (3)
9,608 5,734 5,978 16,232 25,783 (820) (409) 5,173 (478)
-------- ------- ------- -------- -------- ------- ------- -------- ------
$164,716 $50,462 $63,449 $309,444 $313,995 $26,088 $30,050 $114,195 $4,971
======== ======= ======= ======== ======== ======= ======= ======== ======
12,663 3,938 4,418 23,654 23,784 2,754 2,770 9,760 541
$ 13.01 $ 12.81 $ 14.36 $ 13.08 $ 13.20 $ 9.47 $ 10.85 $ 11.70 $ 9.18
======== ======= ======= ======== ======== ======= ======= ======== ======
$151,974 $45,488 $63,016 $293,153 $296,894 $25,669 $29,978 $106,149 $5,572
======== ======= ======= ======== ======== ======= ======= ======== ======
</TABLE>
- --------------------------------------------------------------------------------
108
<PAGE> 111
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------
NEUBERGER&
AST PUTNAM LORD ABBETT AST BERMAN
INTERNATIONAL GROWTH AND JANCAP MONEY MID-CAP
EQUITY INCOME GROWTH MARKET VALUE
------------- ----------- -------- ------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................................. $ 387 $ 749 $ 7,181 $21,190 $ 396
Dividends................................. 5,995 11,058 4,963 -- 2,979
------- ------- -------- ------- --------
Total Investment Income............... 6,382 11,807 12,144 21,190 3,375
------- ------- -------- ------- --------
EXPENSES
Investment advisory fees.................. 2,062 3,865 8,256 1,675 691
Shareholder servicing fees................ 236 516 917 372 95
Administration and accounting fees........ 169 227 268 201 95
Custodian fees............................ 131 54 99 49 20
Professional fees......................... 10 22 40 16 4
Trustees' fees and expenses............... 4 10 17 7 2
Insurance expenses........................ 2 4 6 3 1
Miscellaneous expenses.................... 6 8 14 5 1
------- ------- -------- ------- --------
Total Expenses........................ 2,620 4,706 9,617 2,328 909
Less: Advisory fee waivers and expense
reimbursements...................... -- (10) (211) (95) --
------- ------- -------- ------- --------
Net Expenses.......................... 2,620 4,696 9,406 2,233 909
------- ------- -------- ------- --------
Net Investment Income (Loss)................. 3,762 7,111 2,738 18,957 2,466
------- ------- -------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Securities............................ 31,157 70,452 66,549 33 26,521
Foreign currency transactions......... (1,402) -- 534 -- --
Futures contracts..................... -- -- -- -- --
Option contracts...................... -- -- -- -- --
------- ------- -------- ------- --------
Net realized gain (loss).................. 29,755 70,452 67,083 33 26,521
------- ------- -------- ------- --------
Net change in unrealized appreciation
(depreciation) on:
Securities............................ 54,188 16,225 472,295 -- (32,273)
Futures contracts..................... -- -- -- -- --
Written option contracts.............. -- -- -- -- --
Interest rate swaps................... -- -- -- -- --
Translation of assets and liabilities
denominated in foreign currencies... 1,230 -- (181) -- --
------- ------- -------- ------- --------
Net change in unrealized appreciation
(depreciation).......................... 55,418 16,225 472,114 -- (32,273)
------- ------- -------- ------- --------
Net gain (loss) on investments............ 85,173 86,677 539,197 33 (5,752)
------- ------- -------- ------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... $88,935 $93,788 $541,935 $18,990 $ (3,286)
======= ======= ======== ======= ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
109
<PAGE> 112
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
T. ROWE PIMCO NEUBERGER&
AST PRICE TOTAL INVESCO FOUNDERS T. ROWE PRICE T. ROWE PRICE BERMAN
PUTNAM FEDERATED ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL MID-CAP
BALANCED HIGH YIELD ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH
-------- ---------- ---------- ------- ------- ------------ ------------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 4,970 $22,356 $ 3,560 $19,651 $ 6,341 $ 620 $ 268 $4,210 $ 581
1,937 645 1,162 6 3,962 192 5,702 -- 402
------- ------- ------- ------- ------- ------- ------- ------ -------
6,907 23,001 4,722 19,657 10,303 812 5,970 4,210 983
------- ------- ------- ------- ------- ------- ------- ------ -------
1,419 1,891 1,028 2,068 2,536 1,234 2,388 544 851
192 252 121 318 338 137 239 68 107
155 173 112 190 194 122 170 68 103
112 27 24 55 38 27 137 66 22
8 11 5 14 15 6 11 3 5
3 5 2 6 6 3 4 1 2
1 2 1 2 2 1 2 -- 1
36 38 33 12 11 5 28 11 3
------- ------- ------- ------- ------- ------- ------- ------ -------
1,926 2,399 1,326 2,665 3,140 1,535 2,979 761 1,094
-- -- -- -- -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- ------ -------
1,926 2,399 1,326 2,665 3,140 1,535 2,979 761 1,094
------- ------- ------- ------- ------- ------- ------- ------ -------
4,981 20,602 3,396 16,992 7,163 (723) 2,991 3,449 (111)
------- ------- ------- ------- ------- ------- ------- ------ -------
18,021 4,724 749 3,432 31,085 7,706 5,502 1,659 36,131
67 -- 2 400 -- (6) 346 (3,480) --
3,343 -- -- 5,209 -- -- -- -- --
-- -- -- -- -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- ------ -------
21,431 4,724 751 9,041 31,085 7,700 5,848 (1,821) 36,131
------- ------- ------- ------- ------- ------- ------- ------ -------
3,931 (6,232) 20,430 222 28,220 4,182 49,397 1,253 1,896
901 -- -- 611 -- -- -- -- --
-- -- -- 128 -- -- -- -- --
-- -- -- (98) -- -- -- -- --
137 -- (2) (1,502) -- (1) (119) 63 --
------- ------- ------- ------- ------- ------- ------- ------ -------
4,969 (6,232) 20,428 (639) 28,220 4,181 49,278 1,316 1,896
------- ------- ------- ------- ------- ------- ------- ------ -------
26,400 (1,508) 21,179 8,402 59,305 11,881 55,126 (505) 38,027
------- ------- ------- ------- ------- ------- ------- ------ -------
$31,381 $19,094 $24,575 $25,394 $66,468 $11,158 $58,117 $2,944 $37,916
======= ======= ======= ======= ======= ======= ======= ====== =======
</TABLE>
- --------------------------------------------------------------------------------
110
<PAGE> 113
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------
T. ROWE PIMCO ROBERTSON
PRICE LIMITED STEPHENS AST JANUS
FOUNDERS NATURAL MATURITY VALUE + OVERSEAS
PASSPORT RESOURCES BOND GROWTH GROWTH
-------- --------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................................. $ 552 $ 104 $ 9,981 $ 134 $ 988
Dividends................................. 573 981 -- 620 3,170
------- ------- ------- ------- -------
Total Investment Income............... 1,125 1,085 9,981 754 4,158
------- ------- ------- ------- -------
EXPENSES
Investment advisory fees.................. 629 493 968 1,340 1,835
Shareholder servicing fees................ 63 55 149 134 184
Administration and accounting fees........ 63 55 129 120 147
Custodian fees............................ 69 22 27 19 106
Professional fees......................... 3 2 7 6 8
Trustees' fees and expenses............... 1 1 3 3 3
Insurance expenses........................ -- -- 1 1 1
Miscellaneous expenses.................... 5 5 8 3 14
------- ------- ------- ------- -------
Total Expenses........................ 833 633 1,292 1,626 2,298
Less: Advisory fee waivers and expense
reimbursements...................... -- -- -- -- --
------- ------- ------- ------- -------
Net Expenses.......................... 833 633 1,292 1,626 2,298
------- ------- ------- ------- -------
Net Investment Income (Loss)................. 292 452 8,689 (872) 1,860
------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Securities............................ 2,378 8,286 (532) 9,828 4,548
Foreign currency transactions......... (85) (13) -- -- 393
Futures contracts..................... -- -- (15) -- --
Option contracts...................... -- -- -- -- --
------- ------- ------- ------- -------
Net realized gain (loss).................. 2,293 8,273 (547) 9,828 4,941
------- ------- ------- ------- -------
Net change in unrealized appreciation
(depreciation) on:
Securities............................ 22,682 (5,894) (762) 35,361 66,676
Future contracts...................... -- -- (5) -- --
Written option contracts.............. -- -- -- -- --
Interest rate swaps................... -- -- 19 -- --
Translation of assets and liabilities
denominated in foreign currencies... 5 (3) (248) -- (90)
------- ------- ------- ------- -------
Net change in unrealized appreciation
(depreciation).......................... 22,687 (5,897) (996) 35,361 66,586
------- ------- ------- ------- -------
Net gain (loss) on investments............ 24,980 2,376 (1,543) 45,189 71,527
------- ------- ------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... $25,272 $ 2,828 $ 7,146 $44,317 $73,387
======= ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on January 2, 1998.
See Notes to Financial Statements.
111
<PAGE> 114
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
TWENTIETH TWENTIETH T. ROWE PRICE LORD BANKERS
AST PUTNAM CENTURY CENTURY SMALL MARSICO COHEN & ABBETT TRUST
VALUE GROWTH STRATEGIC INTERNATIONAL COMPANY CAPITAL STEERS SMALL CAP ENHANCED STEIN ROE
& INCOME BALANCED GROWTH VALUE GROWTH REALTY(1) VALUE(1) 500(1) VENTURE(1)
------------ --------- ------------- ------------- ------- --------- --------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 161 $ 484 $ 82 $ 766 $ 459 $ 24 $ 24 $ 181 $ 5
1,303 80 590 1,591 456 357 30 661 6
------- ------ ------ ------ ------- ----- ----- ------- -----
1,464 564 672 2,357 915 381 54 842 11
------- ------ ------ ------ ------- ----- ----- ------- -----
533 161 226 1,155 579 72 52 248 11
71 19 23 128 64 7 5 41 1
71 25 35 117 63 8 7 21 7
66 12 95 18 6 3 7 61 6
3 1 1 5 3 -- -- 2 --
1 1 -- 2 1 -- -- 1 --
-- -- -- 1 -- -- -- -- --
3 2 8 4 2 1 1 10 1
------- ------ ------ ------ ------- ----- ----- ------- -----
748 221 388 1,430 718 91 72 384 26
-- 4 -- -- -- -- -- (52) (9)
------- ------ ------ ------ ------- ----- ----- ------- -----
748 225 388 1,430 718 91 72 332 17
------- ------ ------ ------ ------- ----- ----- ------- -----
716 339 284 927 197 290 (18) 510 (6)
------- ------ ------ ------ ------- ----- ----- ------- -----
6,011 967 3,786 2,438 5,049 (78) (23) 4,960 (3)
-- (2) 71 -- (19) -- -- -- --
-- -- -- (167) -- -- -- 2,219 --
-- -- -- -- -- -- -- -- --
------- ------ ------ ------ ------- ----- ----- ------- -----
6,011 965 3,857 2,271 5,030 (78) (23) 7,179 (3)
------- ------ ------ ------ ------- ----- ----- ------- -----
3,966 3,904 4,593 (789) 25,765 (820) (409) 4,804 (478)
-- -- -- 213 -- -- -- 369 --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- (80) -- (5) -- -- -- --
------- ------ ------ ------ ------- ----- ----- ------- -----
3,966 3,904 4,513 (576) 25,760 (820) (409) 5,173 (478)
------- ------ ------ ------ ------- ----- ----- ------- -----
9,977 4,869 8,370 1,695 30,790 (898) (432) 12,352 (481)
------- ------ ------ ------ ------- ----- ----- ------- -----
$10,693 $5,208 $8,654 $2,622 $30,987 $(608) $(450) $12,862 $(487)
======= ====== ====== ====== ======= ===== ===== ======= =====
</TABLE>
- --------------------------------------------------------------------------------
112
<PAGE> 115
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------
PORTFOLIO
------------------------------------------------------------------
AST PUTNAM INTERNATIONAL EQUITY LORD ABBETT GROWTH AND INCOME
------------------------------- -------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss).................... $ 3,762 $ 3,398 $ 7,111 $ 11,541
Net realized gain (loss) on investments......... 29,755 49,254 70,452 50,708
Net change in unrealized appreciation
(depreciation) on investments................. 55,418 10,077 16,225 81,537
-------- --------- ---------- ---------
Net Increase (Decrease) in Net Assets from
Operations................................. 88,935 62,729 93,788 143,786
-------- --------- ---------- ---------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income........................................ (4,058) (5,413) (11,541) (7,379)
Distributions to shareholders from capital
gains......................................... (47,200) (17,443) (50,708) (13,267)
-------- --------- ---------- ---------
Total Dividends and Distributions to
Shareholders............................... (51,258) (22,856) (62,249) (20,646)
-------- --------- ---------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold....................... 65,648 125,193 145,078 426,438
Net asset value of shares issued in reinvestment
of dividends and distributions................ 51,258 22,856 62,249 20,647
Cost of shares redeemed......................... (51,593) (121,863) (68,599) (163,736)
-------- --------- ---------- ---------
Increase (Decrease) in Net Assets from Capital
Share Transactions......................... 65,313 26,186 138,728 283,349
-------- --------- ---------- ---------
Total Increase (Decrease) in Net Assets.... 102,990 66,059 170,267 406,489
NET ASSETS
Beginning of Period............................. 412,270 346,211 936,986 530,497
-------- --------- ---------- ---------
End of Period................................... $515,260 $ 412,270 $1,107,253 $ 936,986
======== ========= ========== =========
SHARES ISSUED AND REDEEMED
Shares sold..................................... 2,933 6,183 6,941 22,448
Shares issued in reinvestment of dividends and
distributions................................. 2,483 1,229 3,057 1,185
Shares redeemed................................. (2,319) (6,057) (3,248) (8,879)
-------- --------- ---------- ---------
Net Increase (Decrease) in Shares
Outstanding................................ 3,097 1,355 6,750 14,754
======== ========= ========== =========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
113
<PAGE> 116
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
-------------------------------------------------------------------------------------------------------------------------
NEUBERGER&BERMAN
JANCAP GROWTH AST MONEY MARKET MID-CAP VALUE AST PUTNAM BALANCED
---------------------------- ---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997
------------- ------------ ------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,738 $ 3,000 $ 18,957 $ 33,089 $ 2,466 $ 4,517 $ 4,981 $ 8,977
67,083 84,851 33 61 26,521 16,140 21,431 22,004
472,114 199,524 -- -- (32,273) 13,829 4,969 21,963
---------- ---------- ----------- ----------- -------- -------- -------- --------
541,935 287,375 18,990 33,150 (3,286) 34,486 31,381 52,944
---------- ---------- ----------- ----------- -------- -------- -------- --------
(3,000) (2,524) (18,957) (33,089) (4,472) (3,604) (8,979) (6,615)
(85,067) (42,072) (61) (80) (16,201) (5,148) (21,996) (30,342)
---------- ---------- ----------- ----------- -------- -------- -------- --------
(88,067) (44,596) (19,018) (33,169) (20,673) (8,752) (30,975) (36,957)
---------- ---------- ----------- ----------- -------- -------- -------- --------
570,045 862,306 1,589,682 2,492,066 83,956 90,589 25,935 42,308
88,067 44,596 18,400 31,988 20,673 8,752 30,974 36,957
(381,861) (530,403) (1,544,167) (2,313,617) (66,447) (47,070) (15,030) (24,140)
---------- ---------- ----------- ----------- -------- -------- -------- --------
276,251 376,499 63,915 210,437 38,182 52,271 41,879 55,125
---------- ---------- ----------- ----------- -------- -------- -------- --------
730,119 619,278 63,887 210,418 14,223 78,005 42,285 71,112
1,511,602 892,324 759,888 549,470 201,143 123,138 357,591 286,479
---------- ---------- ----------- ----------- -------- -------- -------- --------
$2,241,721 $1,511,602 $ 823,775 $ 759,888 $215,366 $201,143 $399,876 $357,591
========== ========== =========== =========== ======== ======== ======== ========
21,975 40,825 1,589,682 2,492,065 6,153 6,689 1,915 3,259
3,601 2,311 18,400 31,988 1,531 711 2,361 3,095
(14,715) (25,329) (1,544,167) (2,313,617) (4,644) (3,718) (1,106) (1,850)
---------- ---------- ----------- ----------- -------- -------- -------- --------
10,861 17,807 63,915 210,436 3,040 3,682 3,170 4,504
========== ========== =========== =========== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
114
<PAGE> 117
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------
PORTFOLIO
------------------------------------------------------------------
FEDERATED HIGH YIELD T. ROWE PRICE ASSET ALLOCATION
------------------------------- -------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)..................... $ 20,602 $ 27,616 $ 3,396 $ 4,904
Net realized gain (loss) on investments.......... 4,724 1,491 751 889
Net change in unrealized appreciation
(depreciation) on investments.................. (6,232) 10,886 20,428 21,216
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets from
Operations.................................. 19,094 39,993 24,575 27,009
-------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income......................................... (27,617) (10,610) (4,904) (2,585)
Distributions to shareholders from capital
gains.......................................... (1,506) (1,263) (863) (2,403)
-------- -------- -------- --------
Total Dividends and Distributions to
Shareholders................................ (29,123) (11,873) (5,767) (4,988)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold........................ 173,059 269,597 37,444 74,080
Net asset value of shares issued in reinvestment
of dividends and distributions................. 29,123 11,874 5,767 4,987
Cost of shares redeemed.......................... (64,804) (80,433) (6,785) (8,162)
-------- -------- -------- --------
Increase (Decrease) in Net Assets from Capital
Share Transactions.......................... 137,378 201,038 36,426 70,905
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets..... 127,349 229,158 55,234 92,926
NET ASSETS
Beginning of Period.............................. 434,420 205,262 213,075 120,149
-------- -------- -------- --------
End of Period.................................... $561,769 $434,420 $268,309 $213,075
======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold...................................... 13,346 21,771 2,369 5,224
Shares issued in reinvestment of dividends and
distributions.................................. 2,302 1,000 371 377
Shares redeemed.................................. (5,017) (6,550) (424) (570)
-------- -------- -------- --------
Net Increase (Decrease) in Shares
Outstanding................................. 10,631 16,221 2,316 5,031
======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
115
<PAGE> 118
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------------
PIMCO TOTAL RETURN BOND INVESCO EQUITY INCOME FOUNDERS CAPITAL APPRECIATION T. ROWE PRICE INTERNATIONAL EQUITY
- ---------------------------- ---------------------------- ------------------------------ -----------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997
- ------------- ------------ ------------- ------------ -------------- ------------- --------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 16,992 $ 25,494 $ 7,163 $ 12,069 $ (723) $ (777) $ 2,991 $ 3,315
9,041 16,378 31,085 30,597 7,700 13,327 5,848 8,709
(639) 3,629 28,220 52,553 4,181 4,903 49,278 (3,621)
-------- -------- --------- --------- -------- -------- --------- ---------
25,394 45,501 66,468 95,219 11,158 17,453 58,117 8,403
-------- -------- --------- --------- -------- -------- --------- ---------
(25,494) (15,321) (12,069) (7,141) -- -- (3,315) (2,360)
(13,415) -- (30,597) (9,950) (12,821) -- (10,843) (2,682)
-------- -------- --------- --------- -------- -------- --------- ---------
(38,909) (15,321) (42,666) (17,091) (12,821) -- (14,158) (5,042)
-------- -------- --------- --------- -------- -------- --------- ---------
143,961 239,491 220,938 325,090 45,030 159,953 128,714 303,075
38,909 15,321 42,666 17,091 12,821 -- 14,158 5,042
(44,367) (72,902) (142,284) (166,884) (64,824) (119,216) (173,856) (249,581)
-------- -------- --------- --------- -------- -------- --------- ---------
138,503 181,910 121,320 175,297 (6,973) 40,737 (30,984) 58,536
-------- -------- --------- --------- -------- -------- --------- ---------
124,988 212,090 145,122 253,425 (8,636) 58,190 12,975 61,897
572,100 360,010 602,105 348,680 278,258 220,068 464,456 402,559
-------- -------- --------- --------- -------- -------- --------- ---------
$697,088 $572,100 $ 747,227 $ 602,105 $269,622 $278,258 $ 477,431 $ 464,456
======== ======== ========= ========= ======== ======== ========= =========
12,555 21,382 13,129 21,367 2,515 9,416 9,910 24,350
3,502 1,429 2,613 1,227 706 -- 1,115 419
(3,871) (6,415) (8,404) (11,049) (3,574) (6,897) (13,399) (19,694)
-------- -------- --------- --------- -------- -------- --------- ---------
12,186 16,396 7,338 11,545 (353) 2,519 (2,374) 5,075
======== ======== ========= ========= ======== ======== ========= =========
</TABLE>
- --------------------------------------------------------------------------------
116
<PAGE> 119
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------
PORTFOLIO
------------------------------------------------------------------
T. ROWE PRICE NEUBERGER&BERMAN
INTERNATIONAL BOND MID-CAP GROWTH
------------------------------- -------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss).................... $ 3,449 $ 5,568 $ (111) $ 122
Net realized gain (loss) on investments......... (1,821) (4,845) 36,131 33,536
Net change in unrealized appreciation
(depreciation) on investments................. 1,316 (3,925) 1,896 (11,415)
-------- -------- -------- ---------
Net Increase (Decrease) in Net Assets from
Operations................................. 2,944 (3,202) 37,916 22,243
-------- -------- -------- ---------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income........................................ (439) (1,563) (122) (223)
Distributions to shareholders from capital
gains......................................... (1,035) (2,503) (34,532) (1,347)
-------- -------- -------- ---------
Total Dividends and Distributions to
Shareholders............................... (1,474) (4,066) (34,654) (1,570)
-------- -------- -------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold....................... 15,079 57,168 89,552 210,696
Net asset value of shares issued in reinvestment
of dividends and distributions................ 1,474 4,066 34,654 1,570
Cost of shares redeemed......................... (7,357) (21,793) (94,739) (184,136)
-------- -------- -------- ---------
Increase (Decrease) in Net Assets from Capital
Share Transactions......................... 9,196 39,441 29,467 28,130
-------- -------- -------- ---------
Total Increase (Decrease) in Net Assets.... 10,666 32,173 32,729 48,803
NET ASSETS
Beginning of Period............................. 130,408 98,235 185,050 136,247
-------- -------- -------- ---------
End of Period................................... $141,074 $130,408 $217,779 $ 185,050
======== ======== ======== =========
SHARES ISSUED AND REDEEMED
Shares sold..................................... 1,466 5,634 5,251 13,595
Shares issued in reinvestment of dividends and
distributions................................. 145 405 2,140 109
Shares redeemed................................. (716) (2,152) (5,700) (12,032)
-------- -------- -------- ---------
Net Increase (Decrease) in Shares
Outstanding................................ 895 3,887 1,691 1,672
======== ======== ======== =========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
117
<PAGE> 120
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------
ROBERTSON STEPHENS
FOUNDERS PASSPORT T. ROWE PRICE NATURAL RESOURCES PIMCO LIMITED MATURITY BOND VALUE + GROWTH
- ---------------------------- -------------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997
- ------------- ------------ --------------- -------------- ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 292 $ 547 $ 452 $ 1,072 $ 8,689 $ 14,491 $ (872) $ (890)
2,293 (3,437) 8,273 6,263 (547) 427 9,828 (4,645)
22,687 5,943 (5,897) (5,032) (996) 3,612 35,361 5,704
-------- -------- -------- -------- -------- -------- -------- --------
25,272 3,053 2,828 2,303 7,146 18,530 44,317 169
-------- -------- -------- -------- -------- -------- -------- --------
(249) (805) (1,052) (417) (14,378) (10,857) -- --
-- (129) (6,235) (2,073) -- -- -- --
-------- -------- -------- -------- -------- -------- -------- --------
(249) (934) (7,287) (2,490) (14,378) (10,857) -- --
-------- -------- -------- -------- -------- -------- -------- --------
56,105 74,511 14,265 63,364 57,186 141,511 74,354 265,275
249 933 7,287 2,489 14,378 10,857 -- --
(65,253) (77,268) (28,557) (42,246) (52,292) (80,412) (67,569) (78,586)
-------- -------- -------- -------- -------- -------- -------- --------
(8,899) (1,824) (7,005) 23,607 19,272 71,956 6,785 186,689
-------- -------- -------- -------- -------- -------- -------- --------
16,124 295 (11,464) 23,420 12,040 79,629 51,102 186,858
117,938 117,643 111,954 88,534 288,642 209,013 235,648 48,790
-------- -------- -------- -------- -------- -------- -------- --------
$134,062 $117,938 $100,490 $111,954 $300,682 $288,642 $286,750 $235,648
======== ======== ======== ======== ======== ======== ======== ========
4,248 6,247 964 4,198 5,289 13,311 5,476 20,523
20 78 527 172 1,360 1,049 -- --
(4,961) (6,422) (1,955) (2,804) (4,852) (7,504) (4,844) (6,296)
-------- -------- -------- -------- -------- -------- -------- --------
(693) (97) (464) 1,566 1,797 6,856 632 14,227
======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
118
<PAGE> 121
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------
PORTFOLIO
------------------------------------------------------------------
AST PUTNAM VALUE
AST JANUS OVERSEAS GROWTH GROWTH & INCOME
------------------------------- -------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997(1) (UNAUDITED) 1997(1)
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss).................... $ 1,860 $ 452 $ 716 $ 686
Net realized gain (loss) on investments......... 4,941 (1,787) 6,011 1,862
Net change in unrealized appreciation
(depreciation) on investments................. 66,586 13,636 3,966 5,642
--------- -------- -------- --------
Net Increase (Decrease) in Net Assets from
Operations................................. 73,387 12,301 10,693 8,190
--------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income........................................ (452) -- (686) --
Distributions to shareholders from capital
gains......................................... (813) -- (1,892) --
--------- -------- -------- --------
Total Dividends and Distributions to
Shareholders............................... (1,265) -- (2,578) --
--------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold....................... 288,796 295,567 49,157 121,563
Net asset value of shares issued in reinvestment
of dividends and distributions................ 1,265 -- 2,578 --
Cost of shares redeemed......................... (116,594) (52,163) (12,572) (12,315)
--------- -------- -------- --------
Increase (Decrease) in Net Assets from Capital
Share Transactions......................... 173,467 243,404 39,163 109,248
--------- -------- -------- --------
Total Increase (Decrease) in Net Assets.... 245,589 255,705 47,278 117,438
NET ASSETS
Beginning of Period............................. 255,705 -- 117,438 --
--------- -------- -------- --------
End of Period................................... $ 501,294 $255,705 $164,716 $117,438
========= ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold..................................... 21,501 25,962 3,818 10,693
Shares issued in reinvestment of dividends and
distributions................................. 99 -- 203 --
Shares redeemed................................. (8,718) (4,420) (963) (1,088)
--------- -------- -------- --------
Net Increase (Decrease) in Shares
Outstanding................................ 12,882 21,542 3,058 9,605
========= ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on January 2, 1997.
(2) Commenced operations on December 22, 1997.
See Notes to Financial Statements.
119
<PAGE> 122
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------
TWENTIETH CENTURY TWENTIETH CENTURY T. ROWE PRICE
STRATEGIC BALANCED INTERNATIONAL GROWTH SMALL COMPANY VALUE MARSICO CAPITAL GROWTH
- ---------------------------- ---------------------------- ---------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31, JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997(1) (UNAUDITED) 1997(1) (UNAUDITED) 1997(1) (UNAUDITED) 1997(2)
- ------------- ------------ ------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 339 $ 273 $ 284 $ (92) $ 927 $ 949 $ 197 $ 6
965 (407) 3,857 (481) 2,271 1,023 5,030 0
3,904 1,830 4,513 1,465 (576) 16,808 25,760 23
------- ------- ------- -------- -------- -------- -------- -------
5,208 1,696 8,654 892 2,622 18,780 30,987 29
------- ------- ------- -------- -------- -------- -------- -------
(233) -- -- -- (946) -- (6) --
-- -- -- -- (1,025) -- -- --
------- ------- ------- -------- -------- -------- -------- -------
(233) -- -- -- (1,971) -- (6) --
------- ------- ------- -------- -------- -------- -------- -------
20,592 29,464 50,272 48,070 140,739 210,455 303,738 9,665
233 -- -- -- 1,971 -- 6 --
(4,285) (2,213) (28,602) (15,837) (33,813) (29,339) (28,029) (2,395)
------- ------- ------- -------- -------- -------- -------- -------
16,540 27,251 21,670 32,233 108,897 181,116 275,715 7,270
------- ------- ------- -------- -------- -------- -------- -------
21,515 28,947 30,324 33,125 109,548 199,896 306,696 7,299
28,947 -- 33,125 -- 199,896 -- 7,299 --
------- ------- ------- -------- -------- -------- -------- -------
$50,462 $28,947 $63,449 $ 33,125 $309,444 $199,896 $313,995 $ 7,299
======= ======= ======= ======== ======== ======== ======== =======
1,715 2,754 3,690 4,258 10,554 17,898 25,344 966
20 -- -- -- 146 -- 1 --
(349) (202) (2,147) (1,383) (2,566) (2,378) (2,288) (239)
------- ------- ------- -------- -------- -------- -------- -------
1,386 2,552 1,543 2,875 8,134 15,520 23,057 727
======= ======= ======= ======== ======== ======== ======== =======
</TABLE>
- --------------------------------------------------------------------------------
120
<PAGE> 123
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------
PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------
COHEN & LORD ABBETT BANKERS TRUST STEIN ROE
STEERS REALTY SMALL CAP VALUE ENHANCED 500 VENTURE
-------------- --------------- -------------- --------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED ENDED
JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998 JUNE 30, 1998
(UNAUDITED)(3) (UNAUDITED)(3) (UNAUDITED)(3) (UNAUDITED)(3)
-------------- --------------- -------------- --------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)......................... $ 290 $ (18) $ 510 $ (6)
Net realized gain (loss) on investments.............. (78) (23) 7,179 (3)
Net change in unrealized appreciation (depreciation)
on investments..................................... (820) (409) 5,173 (478)
------- ------- -------- ------
Net Increase (Decrease) in Net Assets from
Operations...................................... (608) (450) 12,862 (487)
------- ------- -------- ------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income............................................. -- -- -- --
Distributions to shareholders from capital gains..... -- -- -- --
------- ------- -------- ------
Total Dividends and Distributions to
Shareholders.................................... -- -- -- --
------- ------- -------- ------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold............................ 27,358 32,870 159,204 5,784
Net asset value of shares issued in reinvestment of
dividends and distributions........................ -- -- -- --
Cost of shares redeemed.............................. (662) (2,370) (57,871) (326)
------- ------- -------- ------
Increase (Decrease) in Net Assets from Capital
Share Transactions.............................. 26,696 30,500 101,333 5,458
------- ------- -------- ------
Total Increase (Decrease) in Net Assets......... 26,088 30,050 114,195 4,971
NET ASSETS
Beginning of Period.................................. -- -- -- --
------- ------- -------- ------
End of Period........................................ $26,088 $30,050 $114,195 $4,971
======= ======= ======== ======
SHARES ISSUED AND REDEEMED
Shares sold.......................................... 2,822 2,989 14,897 573
Shares issued in reinvestment of dividends and
distributions...................................... -- -- -- --
Shares redeemed...................................... (68) (219) (5,137) (32)
------- ------- -------- ------
Net Increase (Decrease) in Shares Outstanding...... 2,754 2,770 9,760 541
======= ======= ======== ======
</TABLE>
- --------------------------------------------------------------------------------
(3) Commenced operations on January 2, 1998.
See Notes to Financial Statements.
121
<PAGE> 124
[This page intentionally left blank.]
122
<PAGE> 125
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
-------------------------------------- -------------------------------------
NET ASSET NET
VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS
- -------------------------- -------- --------- ---------- ------------ ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AST Putnam 06/30/98* $21.29 $ 0.23 $ 4.05 $ 4.28 $ (0.67) $ (1.96) $ (2.63)
International Equity 12/31/97 19.22 0.22 3.10 3.32 (0.30) (0.95) (1.25)
12/31/96 18.20 0.16 1.55 1.71 (0.32) (0.37) (0.69)
12/31/95 17.61 0.14 1.44 1.58 -- (0.99) (0.99)
12/31/94 17.34 0.10 0.36 0.46 (0.03) (0.16) (0.19)
12/31/93 12.74 0.14 4.46 4.60 -- -- --
Lord Abbett 06/30/98* $20.53 $ 0.13 $ 1.80 $ 1.93 $ (0.25) $ (1.08) $ (1.33)
Growth and Income 12/31/97 17.17 0.24 3.76 4.00 (0.23) (0.41) (0.64)
12/31/96 14.98 0.23 2.48 2.71 (0.17) (0.35) (0.52)
12/31/95 12.00 0.16 3.22 3.38 (0.20) (0.20) (0.40)
12/31/94 12.06 0.20 0.06 0.26 (0.12) (0.20) (0.32)
12/31/93 10.70 0.11 1.35 1.46 (0.04) (0.06) (0.10)
JanCap Growth 06/30/98* $23.15 $ 0.04 $ 7.53 $ 7.57 $ (0.08) $ (1.21) $ (1.29)
12/31/97 18.79 0.05 5.17 5.22 (0.05) (0.81) (0.86)
12/31/96 15.40 0.02 4.19 4.21 (0.02) (0.80) (0.82)
12/31/95 11.22 0.06 4.18 4.24 (0.06) -- (0.06)
12/31/94 11.78 0.06 (0.59) (0.53) (0.03) -- (0.03)
12/31/93 10.53 0.03 1.22 1.25 -- -- --
AST Money Market 06/30/98* $ 1.00 $0.0214 $0.0001 $0.0215 $(0.0214) $(0.0001) $(0.0215)
12/31/97 1.00 0.0507 0.0002 0.0509 (0.0507) (0.0002) (0.0509)
12/31/96 1.00 0.0492 0.0005 0.0497 (0.0492) (0.0005) (0.0497)
12/31/95 1.00 0.0494 -- 0.0494 (0.0494) -- (0.0494)
12/31/94 1.00 0.0369 -- 0.0369 (0.0367) (0.0002) (0.0369)
12/31/93 1.00 0.0252 -- 0.0252 (0.0252) -- (0.0252)
Neuberger&Berman 06/30/98* $15.15 $ 0.18 $ (0.45) $ (0.27) $ (0.36) $ (1.32) $ (1.68)
Mid-Cap Value 12/31/97 12.83 0.32 2.87 3.19 (0.36) (0.51) (0.87)
12/31/96 11.94 0.36 0.97 1.33 (0.44) -- (0.44)
12/31/95 9.87 0.40 2.09 2.49 (0.42) -- (0.42)
12/31/94 10.79 0.46 (1.20) (0.74) (0.16) (0.02) (0.18)
12/31/93(2) 10.00 0.17 0.62 0.79 -- -- --
AST Putnam Balanced 06/30/98* $13.64 $ 0.17 $ 0.95 $ 1.12 $ (0.35) $ (0.81) $ (1.16)
12/31/97 13.19 0.34 1.84 2.18 (0.31) (1.42) (1.73)
12/31/96 12.53 0.32 1.02 1.34 (0.25) (0.43) (0.68)
12/31/95 10.49 0.26 2.06 2.32 (0.28) -- (0.28)
12/31/94 10.57 0.27 (0.26) 0.01 (0.07) (0.02) (0.09)
12/31/93(2) 10.00 0.08 0.49 0.57 -- -- --
<CAPTION>
- -------------------------- ---------
NET ASSET
VALUE
END
PORTFOLIO OF PERIOD
- -------------------------- ---------
<S> <C>
AST Putnam $22.94
International Equity 21.29
19.22
18.20
17.61
17.34
Lord Abbett $21.13
Growth and Income 20.53
17.17
14.98
12.00
12.06
JanCap Growth $29.43
23.15
18.79
15.40
11.22
11.78
AST Money Market $ 1.00
1.00
1.00
1.00
1.00
1.00
Neuberger&Berman $13.20
Mid-Cap Value 15.15
12.83
11.94
9.87
10.79
AST Putnam Balanced $13.60
13.64
13.19
12.53
10.49
10.57
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(2) Commenced operations on May 4, 1993.
* Unaudited.
See Notes to Financial Statements.
123
<PAGE> 126
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
---------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
21.53% $ 524,286 59% 1.11%(1) 1.11%(1) 1.59%(1) 1.59%(1)
18.15% 412,270 116% 1.15% 1.15% 1.04% 1.04%
9.65% 346,211 124% 1.16% 1.26% 0.88% 0.78%
10.00% 268,056 59% 1.17% 1.27% 0.88% 0.78%
2.64% 238,050 49% 1.22% 1.32% 0.55% 0.46%
36.11% 150,646 32% 1.52% 1.52% 0.28% 0.28%
9.63% $1,107,523 35% 0.91%(1) 0.91%(1) 1.38%(1) 1.38%(1)
23.92% 936,986 41% 0.93% 0.93% 1.60% 1.60%
18.56% 530,497 43% 0.97% 0.97% 1.92% 1.92%
28.91% 288,749 50% 0.99% 0.99% 2.50% 2.50%
2.22% 92,050 60% 1.06% 1.06% 2.45% 2.45%
13.69% 48,385 57% 1.22% 1.33% 2.05% 1.94%
33.83% $2,241,721 21% 1.03%(1) 1.05%(1) 0.30%(1) 0.28%(1)
28.66% 1,511,563 94% 1.07% 1.07% 0.24% 0.24%
28.36% 892,324 79% 1.10% 1.10% 0.25% 0.25%
37.98% 431,321 113% 1.12% 1.12% 0.51% 0.51%
(4.51%) 245,645 94% 1.18% 1.18% 0.62% 0.62%
11.87% 157,852 92% 1.22% 1.22% 0.35% 0.35%
2.58% $ 827,751 N/A 0.60%(1) 0.68%(1) 5.10%(1) 5.02%(1)
5.18% 759,893 N/A 0.60% 0.69% 5.06% 4.97%
5.08% 549,470 N/A 0.60% 0.71% 4.87% 4.76%
5.05% 344,225 N/A 0.60% 0.72% 5.38% 5.26%
3.75% 288,588 N/A 0.64% 0.76% 3.90% 3.78%
2.55% 114,074 N/A 0.65% 0.84% 2.53% 2.34%
(2.03%) $ 215,366 143% 0.96%(1) 0.96%(1) 2.59%(1) 2.59%(1)
26.42% 201,143 91% 0.90% 0.90% 3.34% 3.34%
11.53% 123,138 73% 0.93% 0.93% 3.14% 3.14%
26.13% 107,399 71% 0.93% 0.93% 4.58% 4.58%
(6.95%) 71,205 54% 0.99% 0.99% 5.11% 5.11%
7.90% 57,643 5% 1.18%(1) 1.18%(1) 5.09%(1) 5.09%(1)
8.62% $ 399,876 82% 1.00%(1) 1.00%(1) 2.59%(1) 2.59%(1)
18.28% 357,589 170% 1.03% 1.03% 2.81% 2.81%
11.23% 286,479 276% 0.94% 0.94% 2.66% 2.66%
22.60% 255,206 161% 0.94% 0.94% 3.28% 3.28%
0.09% 145,624 87% 0.99% 0.99% 3.08% 3.08%
5.70% 91,591 46% 1.13%(1) 1.13%(1) 2.53%(1) 2.53%(1)
- ------------------------------------------------------------------------------------------------------------
</TABLE>
124
<PAGE> 127
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
-------------------------------------- -------------------------------------
NET ASSET NET
VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS
- ----------------------- -------- --------- ---------- ------------ ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Federated High Yield 06/30/98* $13.11 $ 0.40 $ 0.12 $ 0.52 $(0.76) $(0.04) $(0.80)
12/31/97 12.13 0.75 0.83 1.58 (0.54) (0.06) (0.60)
12/31/96 11.14 0.56 0.90 1.46 (0.47) -- (0.47)
12/31/95 9.69 0.38 1.46 1.84 (0.39) -- (0.39)
12/31/94()(3) 10.00 0.55 (0.86) (0.31) -- -- --
T. Rowe Price 06/30/98* $15.13 $ 0.19 $ 1.43 $ 1.62 $(0.33) $(0.06) $(0.39)
Asset Allocation 12/31/97 13.27 0.33 2.03 2.36 (0.26) (0.24) (0.50)
12/31/96 12.01 0.27 1.28 1.55 (0.25) (0.04) (0.29)
12/31/95 9.94 0.26 2.02 2.28 (0.21) -- (0.21)
12/31/94()(3) 10.00 0.21 (0.27) (0.06) -- -- --
PIMCO Total 06/30/98* $11.72 $ 0.25 $ 0.21 $ 0.46 $(0.51) $(0.24) $(0.75)
Return Bond 12/31/97 11.11 0.49 0.57 1.06 (0.45) -- (0.45)
12/31/96 11.34 0.46 (0.10) 0.36 (0.28) (0.31) (0.59)
12/31/95 9.75 0.25 1.55 1.80 (0.21) -- (0.21)
12/31/94()(3) 10.00 0.26 (0.51) (0.25) -- -- --
INVESCO Equity 06/30/98* $16.51 $ 0.15 $ 1.53 $ 1.68 $(0.32) $(0.81) $(1.13)
Income 12/31/97 13.99 0.31 2.84 3.15 (0.26) (0.37) (0.63)
12/31/96 12.50 0.27 1.79 2.06 (0.24) (0.33) (0.57)
12/31/95 9.75 0.25 2.65 2.90 (0.15) -- (0.15)
12/31/94(3) 10.00 0.16 (0.41) (0.25) -- -- --
Founders Capital 06/30/98* $17.81 $(0.05) $ 0.75 $ 0.70 $ -- $(0.85) $(0.85)
Appreciation 12/31/97 16.80 (0.05) 1.06 1.01 -- -- --
12/31/96 14.25 (0.03) 2.85 2.82 -- (0.27) (0.27)
12/31/95 10.84 (0.04) 3.54 3.50 (0.09) -- (0.09)
12/31/94(3) 10.00 0.11 0.73 0.84 -- -- --
T. Rowe Price 06/30/98* $12.09 $ 0.08 $ 1.45 $ 1.53 $(0.14) $(0.23) $(0.37)
International Equity 12/31/97 12.07 0.08 0.09 0.17 (0.07) (0.08) (0.15)
12/31/96 10.65 0.06 1.44 1.50 (0.08) -- (0.08)
12/31/95 9.62 0.07 0.99 1.06 (0.01) (0.02) (0.03)
12/31/94(3) 10.00 0.02 (0.40) (0.38) -- -- --
T. Rowe Price 06/30/98* $10.11 $ 0.22 $ 0.01 $ 0.23 $(0.03) $(0.08) $(0.11)
International Bond 12/31/97 10.90 0.36 (0.73) (0.37) (0.16) (0.26) (0.42)
12/31/96 10.60 0.23 0.38 0.61 (0.14) (0.17) (0.31)
12/31/95 9.68 0.31 0.75 1.06 (0.14) -- (0.14)
12/31/94(4) 10.00 0.27 (0.59) (0.32) -- -- --
<CAPTION>
- ----------------------- ---------
NET ASSET
VALUE
END
PORTFOLIO OF PERIOD
- ----------------------- ---------
<S> <C>
Federated High Yield $12.83
13.11
12.13
11.14
9.69
T. Rowe Price $16.36
Asset Allocation 15.13
13.27
12.01
9.94
PIMCO Total $11.43
Return Bond 11.72
11.11
11.34
9.75
INVESCO Equity $17.06
Income 16.51
13.99
12.50
9.75
Founders Capital $17.66
Appreciation 17.81
16.80
14.25
10.84
T. Rowe Price $13.25
International Equity 12.09
12.07
10.65
9.62
T. Rowe Price $10.23
International Bond 10.11
10.90
10.60
9.68
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(3) Commenced operations on January 4, 1994.
(4) Commenced operations on May 3, 1994.
* Unaudited.
See Notes to Financial Statements.
121
<PAGE> 128
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
- ---------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
- ------ ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
4.07% $561,769 21% 0.95%(1) 0.95%(1) 8.17%(1) 8.17%(1)
13.59% 434,420 28% 0.98% 0.98% 8.83% 8.83%
13.58% 205,262 43% 1.03% 1.03% 8.02% 8.02%
19.57% 83,692 30% 1.11% 1.11% 8.72% 8.72%
(3.10%) 21,308 41% 1.15%(1) 1.34%(1) 9.06%(1) 8.87%(1)
10.84% $268,309 6% 1.10%(1) 1.10%(1) 2.81%(1) 2.81%(1)
18.40% 213,075 10% 1.13% 1.13% 2.95% 2.95%
13.14% 120,149 31% 1.20% 1.20% 3.02% 3.02%
23.36% 59,399 18% 1.25% 1.29% 3.53% 3.49%
(0.60%) 23,463 32% 1.25%(1) 1.47%(1) 3.64%(1) 3.42%(1)
4.09% $697,088 130% 0.84%(1) 0.84%(1) 5.34%(1) 5.34%(1)
9.87% 572,100 320% 0.86% 0.86% 5.56% 5.56%
3.42% 360,010 403% 0.89% 0.89% 5.38% 5.38%
18.78% 225,335 124% 0.89% 0.89% 5.95% 5.95%
(2.50%) 46,493 139% 1.02%(1) 1.02%(1) 5.57%(1) 5.57%(1)
10.49% $747,227 34% 0.93%(1) 0.93%(1) 2.12%(1) 2.12%(1)
23.33% 602,105 73% 0.95% 0.95% 2.54% 2.54%
17.09% 348,680 58% 0.98% 0.98% 2.83% 2.83%
30.07% 176,716 89% 0.98% 0.98% 3.34% 3.34%
(2.50%) 65,201 63% 1.14%(1) 1.14%(1) 3.41%(1) 3.41%(1)
3.79% $269,622 59% 1.12%(1) 1.12%(1) (0.53%)(1) (0.53%)(1)
6.01% 278,258 77% 1.13% 1.13% (0.32%) (0.32%)
20.05% 220,068 69% 1.16% 1.16% (0.38%) (0.38%)
32.56% 90,460 68% 1.22% 1.22% (0.28%) (0.28%)
8.40% 28,559 198% 1.30%(1) 1.55%(1) 2.59%(1) 2.34%(1)
12.84% $477,431 12% 1.25%(1) 1.25%(1) 1.25%(1) 1.25%(1)
1.36% 464,531 19% 1.26% 1.26% 0.71% 0.71%
14.17% 402,559 11% 1.30% 1.30% 0.84% 0.84%
11.09% 195,667 17% 1.33% 1.33% 1.03% 1.03%
(3.80%) 108,751 16% 1.75%(1) 1.77%(1) 0.45%(1) 0.43%(1)
2.40% $141,074 48% 1.12%(1) 1.12%(1) 5.07%(1) 5.07%(1)
(3.42%) 130,408 173% 1.11% 1.11% 4.73% 4.73%
5.98% 98,235 241% 1.21% 1.21% 5.02% 5.02%
11.10% 45,602 325% 1.53% 1.53% 6.17% 6.17%
(3.20%) 15,218 163% 1.68%(1) 1.68%(1) 7.03%(1) 7.03%(1)
- --------------------------------------------------------------------------------------------------------
</TABLE>
126
<PAGE> 129
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
-------------------------------------- -------------------------------------
NET ASSET NET
VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS
- --------------------------- -------- --------- ---------- ------------ ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Neuberger&Berman 06/30/98* $16.61 $(0.01) $ 2.98 $ 2.97 $(0.01) $(2.60) $(2.61)
Mid-Cap Growth 12/31/97 14.39 0.01 2.36 2.37 (0.02) (0.13) (0.15)
12/31/96 12.40 0.01 2.01 2.02 (0.03) -- (0.03)
12/31/95 9.97 0.04 2.40 2.44 (0.01) -- (0.01)
12/31/94(5) 10.00 0.01 (0.04) (0.03) -- -- --
Founders Passport 06/30/98* $11.78 $ 0.03 $ 2.60 $ 2.63 $(0.03) $ -- $(0.03)
12/31/97 11.63 0.05 0.19 0.24 (0.08) (0.01) (0.09)
12/31/96 10.33 0.09 1.24 1.33 (0.03) -- (0.03)
12/31/95(6) 10.00 0.03 0.30 0.33 -- -- --
T. Rowe Price 06/30/98* $14.57 $ 0.07 $ 0.29 $ 0.36 $(0.14) $(0.87) $(1.01)
Natural Resources 12/31/97 14.47 0.14 0.35 0.49 (0.07) (0.32) (0.39)
12/31/96 11.11 0.05 3.35 3.40 (0.02) (0.02) (0.04)
12/31/95(6) 10.00 0.04 1.07 1.11 -- -- --
PIMCO Limited 06/30/98* $11.02 $ 0.30 $(0.05) $ 0.25 $(0.53) $ -- $(0.53)
Maturity Bond 12/31/97 10.81 0.55 0.22 0.77 (0.56) -- (0.56)
12/31/96 10.47 0.56 (0.15) 0.41 (0.05) (0.02) (0.07)
12/31/95(6) 10.00 0.05 0.42 0.47 -- -- --
Robertson Stephens 06/30/98* $12.62 $(0.05) $ 2.29 $ 2.24 $ -- $ -- $ --
Value + Growth 12/31/97 10.99 (0.05) 1.68 1.63 -- -- --
12/31/96(7) 10.00 (0.01) 1.00 0.99 -- -- --
AST Janus Overseas 06/30/98* $11.87 $ 0.06 $ 2.68 $ 2.74 $(0.05) $ -- $(0.05)
Growth 12/31/97(8) 10.00 0.02 1.85 1.87 -- -- --
AST Putnam Value 06/30/98* $12.23 $ 0.05 $ 0.98 $ 1.03 $(0.07) $(0.18) $(0.25)
Growth & Income 12/31/97(8) 10.00 0.07 2.16 2.23 -- -- --
Twentieth Century 06/30/98* $11.34 $ 0.07 $ 1.48 $ 1.55 $(0.08) $ -- $(0.08)
Strategic Balanced 12/31/97(8) 10.00 0.11 1.23 1.34 -- -- --
Twentieth Century 06/30/98* $11.52 $ 0.08 $ 2.76 $ 2.84 $ -- $ -- $ --
International Growth 12/31/97(8) 10.00 (0.03) 1.55 1.52 -- -- --
T. Rowe Price Small 06/30/98* $12.88 $ 0.03 $ 0.28 $ 0.31 $(0.05) $(0.06) $(0.11)
Company Value 12/31/97(8) 10.00 0.06 2.82 2.88 -- -- --
Marsico Capital Growth 06/30/98* $10.03 $ -- $ 3.17 $ 3.17 $ -- $ -- $ --
12/31/97(9) 10.00 0.01 0.02 0.03 -- -- --
<CAPTION>
- --------------------------- ---------
NET ASSET
VALUE
END
PORTFOLIO OF PERIOD
- --------------------------- ---------
<S> <C>
Neuberger&Berman $16.97
Mid-Cap Growth 16.61
14.39
12.40
9.97
Founders Passport $14.38
11.78
11.63
10.33
T. Rowe Price $13.92
Natural Resources 14.57
14.47
11.11
PIMCO Limited $10.74
Maturity Bond 11.02
10.81
10.47
Robertson Stephens $14.86
Value + Growth 12.62
10.99
AST Janus Overseas $14.56
Growth 11.87
AST Putnam Value $13.01
Growth & Income 12.23
Twentieth Century $12.81
Strategic Balanced 11.34
Twentieth Century $14.36
International Growth 11.52
T. Rowe Price Small $13.08
Company Value 12.88
Marsico Capital Growth $13.20
10.03
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(5) Commenced operations on October 20, 1994.
(6) Commenced operations on May 2, 1995.
(7) Commenced operations on May 2, 1996.
(8) Commenced operations on January 2, 1997.
(9) Commenced operations on December 22, 1997.
* Unaudited.
See Notes to Financial Statements.
127
<PAGE> 130
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
---------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
18.63% $217,779 143% 1.02%(1) 1.02%(1) (0.10%)(1) (0.10%)(1)
16.68% 185,050 305% 0.99% 0.99% 0.07% 0.07%
16.34% 136,247 156% 1.01% 1.01% 0.24% 0.24%
24.42% 45,979 84% 1.17% 1.17% 0.70% 0.70%
(0.30%) 3,030 5% 1.25%(1) 1.70%(1) 1.41%(1) 0.97%(1)
22.32% $134,062 26% 1.32%(1) 1.32%(1) 0.46%(1) 0.46%(1)
2.03% 117,938 73% 1.35% 1.35% 0.43% 0.43%
12.91% 117,643 133% 1.36% 1.36% 1.25% 1.25%
3.30% 28,455 4% 1.46%(1) 1.46%(1) 0.94%(1) 0.94%(1)
2.54% $100,490 32% 1.16%(1) 1.16%(1) 0.83%(1) 0.83%(1)
3.39% 111,954 44% 1.16% 1.16% 0.98% 0.98%
30.74% 88,534 31% 1.30% 1.30% 1.08% 1.08%
11.10% 9,262 2% 1.35%(1) 1.80%(1) 1.28%(1) 0.83%(1)
2.39% $300,682 128% 0.87%(1) 0.87%(1) 5.84%(1) 5.84%(1)
7.46% 288,642 54% 0.88% 0.88% 5.71% 5.71%
3.90% 209,013 247% 0.89% 0.89% 5.69% 5.69%
4.70% 161,940 205% 0.89%(1) 0.89%(1) 4.87%(1) 4.87%(1)
17.75% $286,750 95% 1.21%(1) 1.21%(1) (0.65%)(1) (0.65%)(1)
14.83% 235,648 219% 1.23% 1.23% (0.59%) (0.59%)
9.90% 48,790 77% 1.33%(1) 1.33%(1) (0.56%)(1) (0.56%)(1)
23.15% $501,294 45% 1.25%(1) 1.25%(1) 1.01%(1) 1.01%(1)
18.70% 255,705 94% 1.35%(1) 1.35%(1) 0.36%(1) 0.36%(1)
8.43% $164,716 51% 1.05%(1) 1.05%(1) 1.01%(1) 1.01%(1)
22.30% 117,438 81% 1.23%(1) 1.23%(1) 1.24%(1) 1.24%(1)
13.74% $ 50,462 55% 1.18%(1) 1.18%(1) 1.78%(1) 1.78%(1)
13.40% 28,947 76% 1.25%(1) 1.35%(1) 2.02%(1) 1.92%(1)
24.85% $ 63,449 120% 1.72%(1) 1.72%(1) 1.26%(1) 1.26%(1)
15.10% 33,082 171% 1.75%(1) 1.75%(1) (0.58%)(1) (0.58%)(1)
2.38% $309,444 6% 1.11%(1) 1.11%(1) 0.72%(1) 0.72%(1)
28.80% 199,896 7% 1.16%(1) 1.16%(1) 1.20%(1) 1.20%(1)
31.62% $313,995 69% 1.11%(1) 1.11%(1) 0.31%(1) 0.31%(1)
0.30% 7,299 -- 1.00%(1) 1.00%(1) 3.62%(1) 3.62%(1)
</TABLE>
- --------------------------------------------------------------------------------
128
<PAGE> 131
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
--------------------------------------
NET ASSET NET
VALUE INVESTMENT NET REALIZED TOTAL FROM
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS
- ----------------------------- -------- --------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C>
Cohen & Steers Realty 06/30/98(10) $10.00 $ 0.11 $(0.64) $(0.53)
Lord Abbett Small Cap Value 06/30/98(10) $10.00 $(0.01) $ 0.86 $ 0.85
Bankers Trust Enhanced 500 06/30/98(10) $10.00 $ 0.05 $ 1.65 $ 1.70
Stein Roe Venture 06/30/98(10) $10.00 $(0.01) $(0.81) $(0.82)
<CAPTION>
- ----------------------------- -------------------------------------------------
LESS DISTRIBUTIONS
-------------------------------------
NET ASSET
FROM NET FROM NET VALUE
INVESTMENT REALIZED TOTAL END
PORTFOLIO INCOME GAINS DISTRIBUTIONS OF PERIOD
- ----------------------------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C>
Cohen & Steers Realty $ -- $ -- $ -- $ 9.47
Lord Abbett Small Cap Value $ -- $ -- $ -- $10.85
Bankers Trust Enhanced 500 $ -- $ -- $ -- $11.70
Stein Roe Venture $ -- $ -- $ -- $ 9.18
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(10) Commenced operations on January 2, 1998 (Unaudited).
See Notes to Financial Statements.
129
<PAGE> 132
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
---------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
(5.20%) $ 26,088 33% 1.27%(1) 1.27%(1) 4.04%(1) 4.04%(1)
8.50% $ 30,050 14% 1.32%(1) 1.32%(1) (0.33%)(1) (0.33%)(1)
17.00% $114,195 119% 0.80%(1) 0.93%(1) 1.23%(1) 1.10%(1)
(8.20%) $ 4,971 33% 1.35%(1) 2.13%(1) (0.46%)(1) (1.24%)(1)
</TABLE>
- --------------------------------------------------------------------------------
130
<PAGE> 133
AMERICAN SKANDIA TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
American Skandia Trust (the "Trust") is an open-end management investment
company, registered under the Investment Company Act of 1940, as amended. The
Trust was organized on October 31, 1988 as a Massachusetts business trust. The
Trust operates as a series company and, at June 30, 1998, issued 28 classes of
shares of beneficial interest: AST Putnam International Equity Portfolio
("Putnam International Equity"), Lord Abbett Growth and Income Portfolio
("Growth and Income"), JanCap Growth Portfolio ("Growth"), AST Money Market
Portfolio ("Money Market"), Neuberger&Berman Mid-Cap Value Portfolio ("Mid-Cap
Value") (formerly, Federated Utility Income Portfolio), AST Putnam Balanced
Portfolio ("Balanced"), Federated High Yield Portfolio ("High Yield"), T. Rowe
Price Asset Allocation Portfolio ("Asset Allocation"), PIMCO Total Return Bond
Portfolio ("Total Return Bond"), INVESCO Equity Income Portfolio ("Equity
Income"), Founders Capital Appreciation Portfolio ("Capital Appreciation"), T.
Rowe Price International Equity Portfolio ("T. Rowe International Equity"), T.
Rowe Price International Bond Portfolio ("International Bond"), Neuberger&Berman
Mid-Cap Growth Portfolio ("Mid-Cap Growth") (formerly, Berger Capital Growth
Portfolio), Founders Passport Portfolio ("Passport"), T. Rowe Price Natural
Resources Portfolio ("Natural Resources"), PIMCO Limited Maturity Bond Portfolio
("Limited Maturity Bond"), Robertson Stephens Value + Growth Portfolio ("Value +
Growth"), AST Janus Overseas Growth Portfolio ("Overseas Growth"), AST Putnam
Value Growth & Income Portfolio ("Value Growth & Income"), Twentieth Century
Strategic Balanced Portfolio ("Strategic Balanced"), Twentieth Century
International Growth Portfolio ("International Growth"), T. Rowe Price Small
Company Value Portfolio ("Small Company Value"), Marsico Capital Growth
Portfolio ("Capital Growth"), Cohen & Steers Realty Portfolio ("Realty"), Lord
Abbett Small Cap Value Portfolio ("Small Cap Value"), Bankers Trust Enhanced 500
Portfolio ("Enhanced 500"), and Stein Roe Venture Portfolio ("Venture")
(collectively the "Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust, in conformity with generally accepted accounting principals, in the
preparation of its financial statements. The preparation of financial statements
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
Security Valuation
Portfolio securities are valued at the close of trading on the New York Stock
Exchange. Equity securities are valued at the last reported sales price on the
securities exchange on which they are primarily traded, or at the last reported
sales price on the NASDAQ National Securities Market. Securities not listed on
an exchange or securities market, or securities in which there were no
transactions, are valued at the average of the most recent bid and asked prices.
Debt securities are generally traded in the over-the-counter market and are
valued at a price deemed best to reflect fair value as quoted by dealers who
make markets in these securities or by an independent pricing service. Debt
securities of Money Market are valued at amortized cost, which approximates
market value. 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. For Portfolios other than Money Market, debt securities
which mature in 60 days or less are valued at cost (or market value 60 days
prior to maturity), adjusted for amortization to maturity of any premium or
discount.
131
<PAGE> 134
- --------------------------------------------------------------------------------
Securities for which market quotations are not readily available are valued at
fair value as determined in accordance with procedures adopted by the Board of
Trustees.
Foreign Currency Translation
Portfolio securities and other assets and liabilities denominated in foreign
currencies are converted each business day into U.S. dollars based on the
prevailing rates of exchange. Purchases and sales of portfolio securities and
income and expenses are converted into U.S. dollars on the respective dates of
such transactions.
Gains and losses resulting from changes in exchange rates applicable to foreign
securities are not reported separately from gains and losses arising from
movements in securities prices.
Net realized foreign exchange gains and losses include gains and losses from
sales and maturities of foreign currency exchange contracts, gains and losses
realized between the trade and settlement dates of foreign securities
transactions, and the difference between the amount of net investment income
accrued on foreign securities and the U.S. dollar amount actually received. Net
unrealized foreign exchange gains and losses include gains and losses from
changes in the value of assets and liabilities other than portfolio securities,
resulting from changes in exchange rates.
Foreign Currency Exchange Contracts
A foreign currency exchange contract ("FCEC") is a commitment to purchase or
sell a specified amount of a foreign currency at a specified future date, in
exchange for either a specified amount of another foreign currency or U.S.
dollars.
FCECs are valued at the forward exchange rates applicable to the underlying
currencies, and changes in market value are recorded as unrealized gains and
losses until the contract settlement date.
Risks could arise from entering into FCECs if the counterparties to the
contracts were unable to meet the terms of their contracts. In addition, the use
of FCECs may not only hedge against losses on securities denominated in foreign
currency, but may also reduce potential gains on securities from favorable
movements in exchange rates.
Futures Contracts and Options
A financial futures contract calls for delivery of a particular security at a
specified price and future date. The seller of the contract agrees to make
delivery of the type of security called for in the contract and the buyer agrees
to take delivery at a specified future date. Such contracts require an initial
deposit, in cash or cash equivalents, equal to a certain percentage of the
contract amount. Subsequent payments are made or received by the Portfolio each
day, depending on the daily change in the value of the contract. Futures
contracts are valued based on their quoted daily settlement prices. Fluctuations
in value are recorded as unrealized gains and losses until such time that the
contracts are terminated.
An option is a right to buy or sell a particular security at a specified price
within a limited period of time. The buyer of the option, in return for a
premium paid to the seller, has the right to buy (in the case of a call option)
or sell (in the case of a put option) the underlying security of the contract.
The premium received in cash from writing options is recorded as an asset with
an equal liability that is adjusted to reflect the option's value. The premium
received from
132
<PAGE> 135
- --------------------------------------------------------------------------------
writing options which expire is recorded as realized gains. The premium received
from writing options which are exercised or closed are offset against the
proceeds or amount paid on the transaction to determine the realized gain or
loss. If a put option is exercised, the premium reduces the cost basis of the
security or currency purchased. Options are valued based on their quoted daily
settlement prices.
Risks could arise from entering into futures and written options transactions
from the potential inability of counterparties to meet the terms of their
contracts, the potential inability to enter into a closing transaction because
of an illiquid secondary market, and from unexpected movements in interest or
exchange rates or securities values.
Repurchase Agreements
A repurchase agreement is a commitment to purchase government securities from a
seller who agrees to repurchase the securities at an agreed-upon price and date.
The excess of the resale price over the purchase price determines the yield on
the transaction. Under the terms of the agreement, the market value, including
accrued interest, of the government securities will be at least equal to their
repurchase price. Repurchase agreements are recorded at cost, which, combined
with accrued interest, approximates market value.
Repurchase agreements entail a risk of loss in the event that the seller
defaults on its obligation to repurchase the securities. In such case, the
Portfolio may be delayed or prevented from exercising its right to dispose of
the securities.
Swap Agreements
A swap agreement is a two-party contract under which an agreement is made to
exchange returns from predetermined investments or instruments, including a
particular interest rate, foreign currency, or "basket" of securities
representing a particular index. The gross returns to be exchanged or "swapped"
between the parties are calculated based on a "notional amount", which, each
business day, is valued to determine each party's obligation under the contract.
Fluctuations in value are recorded as unrealized gains and losses during the
term of the contract.
Commonly used swap agreements include interest rate caps, under which, in return
for a premium, one party agrees to make payments to the other to the extent that
interest rates exceed a specified rate or "cap"; interest rate floors, under
which, in return for a premium, one party agrees to make payments to the other
to the extent that interest rates fall below a specified level or "floor"; and
interest rate collars, under which a party sells a cap and purchases a floor or
vice versa.
Risks could arise from entering into swap agreements from the potential
inability of counterparties to meet the terms of their contracts, and from the
potential inability to enter into a closing transaction. It is possible that
developments in the swaps market, including potential governmental regulation,
could affect the Portfolios's ability to terminate existing swap agreements or
to realize amounts to be received under such agreements.
Investment Transactions and Investment Income
Securities transactions are accounted for on the trade date. Realized gains and
losses from securities sold are recognized on the specific identification basis.
Dividend income is recorded on the ex-dividend date. Corporate actions,
including dividends, on foreign securities are recorded on the ex-dividend date
or, if such information is not available,
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as soon as reliable information is available from the Trust's sources. Interest
income is recorded on the accrual basis and includes the accretion of discount
and amortization of premium.
Distributions to Shareholders
Dividends, if any, from net investment income are declared and paid at least
annually by all Portfolios other than Money Market. In the case of Money Market,
dividends are declared daily and paid monthly. Net realized gains from
investment transactions, if any, are distributed at least annually.
Distributions to shareholders are recorded on the ex-dividend date.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Portfolios have entered into investment management agreements with American
Skandia Investment Services, Inc. (the "Investment Manager") which provide that
the Investment Manager will furnish each Portfolio with investment advice and
investment management and administrative services. The Investment Manager has
engaged the following firms as Sub-advisors for their respective Portfolios:
Putnam Investment Management, Inc. for Putnam International Equity, Balanced,
and Value Growth & Income; Lord Abbett & Co. for Growth and Income and Small Cap
Value; Janus Capital Corporation for Growth and Overseas Growth; J. P. Morgan
Investment Management Inc. for Money Market; Federated Investment Counseling for
High Yield; T. Rowe Price Associates, Inc. for Asset Allocation, Natural
Resources, and Small Company Value; Pacific Investment Management Co. for Total
Return Bond and Limited Maturity Bond; INVESCO Funds Group, Inc. for Equity
Income; Founders Asset Management LLC for Capital Appreciation and Passport;
Rowe Price-Fleming International, Inc., a United Kingdom Corporation, for T.
Rowe International Equity and International Bond; Neuberger&Berman Management
Incorporated for Mid-Cap Value and Mid-Cap Growth; Robertson, Stephens & Company
Investment Management, L.P. for Value + Growth; American Century Investment
Management, Inc. for Strategic Balanced and International Growth; Marsico
Capital Management, LLC for Capital Growth; Cohen & Steers Capital Management,
Inc. for Realty; Bankers Trust Company for Enhanced 500; and Stein Roe & Farnham
Incorporated for Venture.
The Investment Manager receives a fee, computed daily and paid monthly, based on
an annual rate of 1.00%, .75%, .90%, .50%, .90%, .75%, .75%, .85%, .65%, .75%,
.90%, 1.00%, .80%, .90%, 1.00%, .90%, .65%, 1.00%, 1.00%, .75%, .85%, 1.00%,
.90%, .90%, 1.00%, 0.95%, .60%, and .95% of the average daily net assets of the
Putnam International Equity, Growth and Income, Growth, Money Market, Mid-Cap
Value, Balanced, High Yield, Asset Allocation, Total Return Bond, Equity Income,
Capital Appreciation, T. Rowe International Equity, International Bond, Mid-Cap
Growth, Passport, Natural Resources, Limited Maturity Bond, Value + Growth,
Overseas Growth, Value Growth & Income, Strategic Balanced, International
Growth, Small Company Value, Capital Growth, Realty, Small Cap Value, Enhanced
500, and Venture Portfolios, respectively. The fees for Putnam International
Equity are at the rate of .85% for average daily net assets in excess of $75
million, for Mid-Cap Value are at the rate of .85% for average daily net assets
in excess of $1 billion, for Balanced are at the rate of .70% for average daily
net assets in excess of $300 million, and for Mid-Cap Growth are at the rate of
.85% for average daily net assets in excess of $1 billion. During the six months
ended June 30, 1998, the Investment Manager voluntarily waived .05% from its fee
for the Money Market Portfolio, 0.05% from its fee for the Growth Portfolio on
average daily net assets in excess of $1 billion, and, since
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February 11, 1998, .05% from its fee for the Growth and Income Portfolio on
average daily net assets in excess of $1 billion.
The Investment Manager pays each Sub-advisor a fee, computed daily and paid
monthly, based on an annual rate of .65%, .50%, .60%, .25%, .50%, .45%, .50%,
.50%, .30%, .50%, .65%, .75%, .40%, .45%, .60%, .60%, .30%, .60%, .65%, .45%,
.50%, .70%, .60%, .45%, .60%, .50%, .17%, and .50% of the average daily net
assets of the Putnam International Equity, Growth and Income, Growth, Money
Market, Mid-Cap Value, Balanced, High Yield, Asset Allocation, Total Return
Bond, Equity Income, Capital Appreciation, T. Rowe International Equity,
International Bond, Mid-Cap Growth, Passport, Natural Resources, Limited
Maturity Bond, Value + Growth, Overseas Growth, Value Growth & Income, Strategic
Balanced, International Growth, Small Company Value, Capital Growth, Realty,
Small Cap Value, Enhanced 500, and Venture Portfolios, respectively. The
Sub-advisors for the Growth, Money Market, and T. Rowe International Equity
Portfolios are currently voluntarily waiving a portion of their fee payable 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,
Capital Growth, Small Cap Value, and Venture, are reduced for Portfolio net
assets in excess of specified levels.
On April 29, 1998 the shareholders of the Federated Utility Income and Berger
Capital Growth Portfolios approved new Investment Management and Sub-Advisory
Agreements, effective May 1, 1998. Under the new Sub-Advisory Agreements,
Neuberger&Berman Management Incorporated became Sub-advisor to both Portfolios.
Effective May 1, 1998, the names of the Portfolios were changed from Federated
Utility Income Portfolio to Neuberger&Berman Mid-Cap Value Portfolio and from
Berger Capital Growth Portfolio to Neuberger&Berman Mid-Cap Growth Portfolio.
Prior to May 1, 1998, Federated Investment Counseling served as Sub-advisor to
Federated Utility Income Portfolio and Berger Associates, Inc. served as
Sub-advisor to Berger Capital Growth Portfolio. Prior to May 1, 1998, the
Investment Manager received a fee, computed daily and paid monthly, based on an
annual rate of 0.75% for both the Federated Utility Income and Berger Capital
Growth Portfolios. The fees for Federated Utility Income Portfolio were reduced
to .60% for average daily net assets in excess of $50 million. The Investment
Manager paid each Sub-advisor a fee, computed daily and paid monthly, based on
an annual rate of .50% and .55% of the average daily net assets of the Federated
Utility Income and Berger Capital Growth Portfolios, respectively. The annual
rates of the fees paid by the Investment Manager to the Sub-advisors of each
Portfolio were reduced for Portfolio net assets in excess of specified levels.
By the terms of the Investment Management Agreement, during the six months ended
June 30, 1998, the Investment Manager reimbursed Money Market in the amount of
$94,845 to prevent its expenses from exceeding an annual rate of .60% of average
daily net assets. In addition, the Investment Manager voluntarily reimbursed
Enhanced 500 and Venture in the amount of $52,444 and $9,240, respectively.
Voluntary payments of Portfolio expenses by the Investment Manager are subject
to reimbursement by the Portfolio within the two year period following such
payments. During the six months ended June 30, 1998, Strategic Balanced paid
$3,660 as reimbursement to the Investment Manager.
The Trust has entered into an agreement with American Skandia Life Assurance
Corporation ("ASLAC") pursuant to which it pays ASLAC a shareholder servicing
fee at an annual rate of .10% of each Portfolio's average daily net assets.
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Certain officers and Trustees of the Trust are officers or directors of the
Investment Manager. The Trust pays no compensation directly to its officers or
interested Trustees.
4. TAX MATTERS
Each Portfolio intends to qualify as a regulated investment company under the
Internal Revenue Code and to distribute all of its taxable income, including any
net realized gains on investments, to shareholders. Accordingly, no provision
for federal income or excise tax has been made.
Income and capital gains of the Portfolios are determined in accordance with
both tax regulations and generally accepted accounting principles. Such may
result in temporary and permanent differences between tax basis earnings and
earnings reported for financial statement purposes. Temporary differences that
result in over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains. Permanent differences in the recognition of earnings are reclassified to
additional paid-in capital. Distributions in excess of tax-basis earnings are
recorded as a return of capital.
Capital Loss Carryforwards
At June 30, 1998, the following Portfolios had, for federal income tax purposes,
capital loss carryforwards available to offset future net realized capital
gains.
<TABLE>
<CAPTION>
EXPIRATION
DECEMBER 31,
----------------------
AMOUNT 2004 2005
---------- -------- ----------
<S> <C> <C> <C>
Capital Appreciation........................................ $3,166,259 $ -- $3,166,259
Limited Maturity Bond....................................... 606,299 606,299 --
Value + Growth.............................................. 3,619,886 7,892 3,611,994
Overseas Growth............................................. 1,943,421 -- 1,943,421
Strategic Balanced.......................................... 355,092 -- 355,092
International Growth........................................ 225,626 -- 225,626
</TABLE>
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5. PORTFOLIO SECURITIES
Purchases and sales of securities, other than short-term obligations, during the
period ended June 30, 1998, were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER SECURITIES
-------------------------- ---------------------
PURCHASES SALES PURCHASES SALES
---------- ------------ --------- --------
<S> <C> <C> <C> <C>
Putnam International Equity.......................... $ -- $ -- $290,138 $271,313
Growth and Income.................................... -- -- 434,894 352,592
Growth............................................... -- -- 602,205 348,415
Mid-Cap Value........................................ -- -- 269,903 250,882
Balanced............................................. 117,944 121,728 164,048 142,758
High Yield........................................... -- -- 225,299 100,838
Asset Allocation..................................... 2,813 -- 42,327 13,985
Total Return Bond.................................... 681,574 572,741 266,556 153,470
Equity Income........................................ 13,606 9,751 278,274 209,659
Capital Appreciation................................. -- -- 139,019 136,082
T. Rowe International Equity......................... -- -- 56,478 100,122
International Bond................................... -- -- 60,176 63,312
Mid-Cap Growth....................................... -- -- 348,154 360,010
Passport............................................. -- -- 26,050 30,022
Natural Resources.................................... -- -- 31,821 41,597
Limited Maturity Bond................................ 422,101 380,203 70,886 8,430
Value + Growth....................................... -- -- 284,764 274,542
Overseas Growth...................................... -- -- 285,795 138,229
Value Growth & Income................................ -- -- 102,710 64,457
Strategic Balanced................................... 11,794 7,663 23,375 18,561
International Growth................................. -- -- 67,745 50,570
Small Company Value.................................. -- -- 98,952 13,719
Capital Growth....................................... -- -- 332,220 81,918
Realty............................................... -- -- 26,193 1,175
Small Cap Value...................................... -- -- 27,994 1,733
Enhanced 500......................................... 1,361 -- 168,488 76,601
Venture.............................................. -- -- 5,827 709
</TABLE>
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At June 30, 1998, the cost and unrealized appreciation or depreciation in value
of the investments owned by the Portfolios, for federal income tax purposes,
were as follows ($ in thousands):
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Putnam International Equity..................... $ 425,204 $102,853 $(12,463) $ 90,390
Growth and Income............................... 941,393 182,937 (14,209) 168,728
Growth.......................................... 1,380,192 862,156 (9,665) 852,491
Money Market.................................... 816,316 -- -- --
Mid-Cap Value................................... 222,380 5,674 (12,018) (6,344)
Balanced........................................ 364,032 39,617 (5,628) 33,989
High Yield...................................... 539,234 19,735 (6,172) 13,563
Asset Allocation................................ 213,180 58,470 (5,117) 53,353
Total Return Bond............................... 856,035 6,321 (610) 5,711
Equity Income................................... 631,938 130,076 (7,096) 122,980
Capital Appreciation............................ 226,176 57,777 (11,310) 46,467
T. Rowe International Equity.................... 359,253... 126,273 (33,925) 92,348
International Bond.............................. 133,480 4,194 (5,544) (1,350)
Mid-Cap Growth.................................. 219,583 13,641 (7,864) 5,777
Passport........................................ 99,780 36,511 (2,605) 33,906
Natural Resources............................... 103,110 15,562 (18,753) (3,191)
Limited Maturity Bond........................... 398,397 2,142 (744) 1,398
Value + Growth.................................. 246,445 49,258 (5,378) 43,880
Overseas Growth................................. 437,272 87,932 (7,481) 80,451
Value Growth & Income........................... 151,974 14,135 (4,526) 9,609
Strategic Balanced.............................. 45,488 6,137 (402) 5,735
International Growth............................ 63,016 6,794 (830) 5,964
Small Company Value............................. 293,153 32,486 (16,467) 16,019
Capital Growth.................................. 296,894 27,056 (1,269) 25,787
Realty.......................................... 25,669 268 (1,088) (820)
Small Cap Value................................. 29,978 1,116 (1,525) (409)
Enhanced 500.................................... 106,149 6,540 (1,737) 4,803
Venture......................................... 5,572 126 (604) (478)
</TABLE>
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6. WRITTEN OPTIONS TRANSACTIONS
Written options transactions, during the six months ended June 30, 1998, were as
follows:
<TABLE>
<CAPTION>
TOTAL RETURN BOND CAPITAL GROWTH
-------------------- ---------------------
NOTIONAL
AMOUNT NUMBER OF
(000) PREMIUM CONTRACTS PREMIUM
-------- -------- --------- --------
<S> <C> <C> <C> <C>
Balance at beginning of period.......................... $ -- $ -- -- $ --
Written................................................. 95,000 143,336 117 215,858
Expired................................................. -- -- -- --
Exercised............................................... -- -- -- --
Closed.................................................. -- -- (117) (215,858)
------- -------- ---- --------
Balance at end of period................................ $95,000 $143,336 -- $ --
======= ======== ==== ========
</TABLE>
At June 30, 1998, Total Return Bond had sufficient cash and/or securities at
least equal to the value of written options.
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