<PAGE> 1
AMERICAN
SKANDIA
TRUST
-------------
ANNUAL REPORT
-------------
DECEMBER 31, 1997
<PAGE> 2
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam International Equity Portfolio achieved a total return of 18.15%
for the year ended December 31, 1997 versus a gain of 1.78% for the unmanaged
Morgan Stanley Capital International (MSCI) EAFE Index during the period. This
outperformance resulted largely from overweighting Europe and underweighting
Asia, including Japan.
The trend for international stocks told two vastly different tales. Continental
Europe, as measured by the MSCI Europe Index which returned 23.8%, experienced
strong gains during much of the year amid steady growth, low interest rates,
modest inflationary pressures, and corporate restructurings and consolidations.
Best performers among individual countries included Switzerland (+44.3%), Italy
(+35.5%), and Denmark (+34.5%).
It was quite a different story in Asia, of course, where economic turmoil
reached crisis proportions as the year progressed. Erupting late summer in
Thailand before spreading to Malaysia, Indonesia, and the Philippines, the
"Asian flu" worsened during the fourth quarter in Hong Kong, South Korea, and
Japan. The troubles pushed markets sharply lower throughout Asia while
restraining virtually all other world markets. Stock markets in Japan and Hong
Kong fell 23.7% and 23.3%, respectively.
<TABLE>
<CAPTION>
Measurement Period AST Putnam International
(Fiscal Year Covered) Equity Portfolio MSCI EAFE Index
<S> <C> <C>
4/19/89 10000 10000
12/89 13760 10922
12/90 13341 8361
12/91 14275 9375
12/92 13084 8234
12/93 17808 10915
12/94 18278 11764
12/95 20105 13082
12/96 22045 13873
12/97 26047 14120
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 4/19/89
----------- ----------- ----------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 18.15% 14.76% 11.62%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
1
<PAGE> 3
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
The Lord Abbett Growth and Income Portfolio produced a total return of 23.92%
for the year ended December 31, 1997, compared with 33.36% for the unmanaged
Standard & Poor's 500 Index. The underperformance of the Portfolio relative to
the market, as represented by the S&P 500 Index, in part was due to strong gains
in some of the largest components of the S&P Index, like the drug and selected
technology stocks, which typically do not meet Lord Abbett & Co.'s criteria as
value stocks.
Looking forward, Lord Abbett believes a slowdown in the U.S. economy now seems
likely in 1998, particularly given the recent deflationary developments in the
major economies of Southeast Asia. That would put pressure on corporate profits
generally, but especially for companies in the commodity and technology sectors.
While Lord Abbett remains somewhat defensively positioned, it anticipates
building up economy-sensitive stocks as the economy cools, because some of the
most attractively priced stocks today fall into that category.
Lord Abbett remains generally positive on the outlook for inflation and interest
rates and is maintaining its overweighting in financial stocks. These holdings
are particularly concentrated in the insurance stocks which are benefiting from
industry-wide consolidation and cost-cutting efforts.
<TABLE>
<CAPTION>
Measurement Period Lord Abbett Growth and
(Fiscal Year Covered) Income Portfolio S&P 500 Index
<S> <C> <C>
5/1/92 10000 10000
12/92 10700 10711
12/93 12164 11788
12/94 12434 11938
12/95 16029 16422
12/96 19003 20184
12/97 23549 26989
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 5/1/92
----------- ----------- ----------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 23.92% 17.09% 16.29%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
2
<PAGE> 4
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Although stocks encountered considerably higher volatility, the markets once
again posted strong gains in 1997. For the year, the JanCap Growth Portfolio
achieved a total return of 28.66%, while the unmanaged Standard & Poor's 500
Index returned 33.36%.
Domestic equities moved through several different periods over the past twelve
months. As the year began, the mega-caps of the S&P 500 Index drove the market's
early gains. But the market broadened during the second quarter, and small and
midsize stocks closed the gap with their larger counterparts. Finally, as the
year came to a close, the growing uncertainty in Asia injected volatility into
stocks around the world.
While the Portfolio's financial services companies performed well early in the
year, Janus has since scaled back exposure to this sector because margins on
business and personal loans continue to compress. Overall, the Portfolio remains
focused on a wide variety of companies, including technology,
telecommunications, pharmaceuticals, financial services, and selected retailers.
Ultimately, Janus looks for companies that are benefiting from broader
demographic trends, both here and abroad. With Asia's escalating crisis, the
follow-through effects will most likely become more intense in the coming
months, so Janus has focused on well-established companies with dominant
business franchises.
Despite the recent volatility in global markets, Janus remains cautiously
optimistic going into 1998. The Portfolio is focused on companies that Janus
believes can deliver significant earnings growth.
<TABLE>
<CAPTION>
Measurement Period
(Fiscal Year Covered) JanCap Growth Portfolio S&P 500 Index
<S> <C> <C>
11/6/92 10000 10000
12/92 10530 10407
12/93 11780 11522
12/94 11248 11675
12/95 15520 16062
12/96 19921 19749
12/97 25630 26339
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 11/6/92
----------- ----------- ----------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 28.66% 19.47% 20.03%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
3
<PAGE> 5
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
For the full year 1997, the Federated Utility Income Portfolio achieved a total
return of 26.42%. For the same period the unmanaged Standard & Poor's 500 Index
returned 33.36%, while the unmanaged Standard & Poor's Utilities Index returned
24.7%.
In industry developments, the electric industry's transition to competition
continued in a way that Federated Investment Counseling believes is generally
constructive for investors. Illinois passed restructuring legislation and joined
nine other states that have established plans to provide choice to retail buyers
of energy. Utilities in Texas, another key state, reached interim agreements
with the utility commission. These developments reduce investor uncertainty
about industry cash flows and have provided support to the stocks.
Merger and acquisition activity continued during the year. That aspect of the
electric and gas industries may be an overlooked side to the utility story. As
with the banking and defense sectors over the last decade, if regulators allow
utility mergers and industry consolidation, Federated believes the stocks could
do quite well without overall industry growth.
Federated has recently significantly increased the Portfolio's exposure to
domestic (electric and gas) utilities and reduced foreign exposure and
non-utility holdings, particularly convertibles, consistent with their defensive
strategy going into 1998. Federated believes that, despite the recent spurt in
utility stocks, electric and gas stocks still seem particularly attractive with
positive fundamentals and merger and acquisition appeal.
<TABLE>
<CAPTION>
Measurement Period Federated Utility
(Fiscal Year Covered) Income Portfolio S&P 500 Index S&P Utilities Index
<S> <C> <C> <C>
5/4/93 10000 10000 10000
12/93 10790 10792 10541
12/94 10040 10930 9704
12/95 12664 15035 13795
12/96 14124 18479 14227
12/97 17855 24707 17741
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/4/93
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 26.42% 13.23%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
4
<PAGE> 6
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
For 1997, the AST Putnam Balanced Portfolio provided a total return of 18.28%,
but trailed its weighted unmanaged benchmark index (60% Standard & Poor's 500
Index, 40% Lehman Brothers Government/Corporate Index), which returned 23.7%.
Hindering performance were poor returns relative to the Index by large-cap value
stocks, which comprise the majority of the stock component of the Portfolio.
Exposure to medium-capitalization growth stocks, which lagged the overall
market, also dampened performance. A modest allocation to international equities
performed well versus overseas market benchmarks, but trailed the robust U.S.
market in 1997. Positive contributors to performance during the year included a
broad portfolio bias toward stocks over bonds and exposure to robust high-yield
bonds in the fixed-income market.
Looking ahead, Putnam Investment Management, Inc. believes initial estimates
suggest that the Asian crisis should not have a major impact on the economies or
capital markets of the developed world outside Asia, and that the developed
equity markets in Europe and the United States should show modest appreciation
in 1998. They believe the recent problems in South Korea, however, appear to be
more severe than anticipated, despite IMF attempts to mitigate that country's
difficulties. The Japanese economy, even with the recently announced stimulus
package, has reacted negatively and is teetering on the edge of a recession; the
Nikkei has fallen to its lowest level since 1995.
<TABLE>
<CAPTION>
Measurement Period AST Putnam Balanced 60% S&P 500/40% LB- GC
(Fiscal Year Covered) Portfolio Weighted Index
<S> <C> <C>
5/4/93 10000 10000
12/93 10570 10691
12/94 10580 10630
12/95 12971 13817
12/96 14427 15837
12/97 17064 19589
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/4/93
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 18.28% 12.13%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
5
<PAGE> 7
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
The Federated High Yield Portfolio achieved a total return of 13.59% for 1997
compared to 12.83% for the unmanaged Merrill Lynch High Yield Index.
Several factors benefited the Portfolio versus the index benchmark. The
Portfolio's largest industry exposures have been (and continue to be)
telecommunications, cable and broadcasting. These three sectors generated very
strong performance versus the market during the year. The Portfolio was
generally underweight the underperforming basic industries such as steel, forest
products and commodity chemicals. Several Portfolio holdings were involved in
corporate finance activities such as mergers, initial public offerings (IPO's)
and tenders which proved beneficial to bondholders. Finally, the Portfolio
benefited from strong individual security selection, avoiding major
deteriorating situations while holding numerous strong performers.
Looking out into 1998, the main area of uncertainty is what impact the
developing problems in Asia will have on U.S. economic growth, inflation and
equity markets. Federated Investment Counseling believes it appears that the
problems in Asia will serve to slow the U.S. economy and reduce inflation much
like a Federal Reserve tightening. This could serve to head off inflationary
fears, reduce the likelihood of a Fed tightening and extend the economic
expansion. An extended economic expansion would be a long-term positive for high
yield bonds. The risk is that Asia's problems have a greater impact on the U.S.
economy and push the domestic economy into recession. Federated believes
superior credit selection will be essential in 1998 as the odds-on bet is for
slower economic activity, which could lead to negative credit surprises.
<TABLE>
<CAPTION>
Measurement Period Federated High Yield Merrill Lynch High Yield
(Fiscal Year Covered) Portfolio Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9690 9884
12/95 11587 11851
12/96 13161 13163
12/97 14950 14851
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 13.59% 10.59%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
6
<PAGE> 8
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Asset Allocation Portfolio had a total return of 18.40% for
the year ended December 31, 1997, compared to a return on the weighted unmanaged
benchmark index (60% Standard & Poor's 500 Index, 40% Lehman Brothers
Government/Corporate Index) of 23.7%.
As they expected the U.S. equity market to moderate, T. Rowe Price added to a
defensive posture throughout the year by decreasing the exposure to equity
markets and increasing the exposure to the bond markets and cash equivalents.
They also expected the international equity exposure to add value to the
Portfolio, believing many foreign securities were undervalued. At year-end the
allocation was 56% in stocks (including 9% foreign), 39% in bonds, and 5% in
cash equivalents. Given that the equity market has been at the higher end of
several valuations measures, T. Rowe has expected the equity market to moderate
and earnings growth to slow. As the S&P 500 significantly outperformed both
bonds and most overseas equity markets, the underweighting of the Portfolio in
domestic equities resulted in underperformance relative to its benchmark index.
T. Rowe Price believes the economy remains healthy. Growth is slowing a bit and
inflation remains at low levels despite tight labor markets. Both the stock and
bond markets should fare well under these conditions. T. Rowe expects the U.S.
equity market to deliver positive returns, though not at the pace of the last
few years. Overseas, however, there could be further turmoil or sharp rebounds.
They believe the uncertainty is sure to increase the volatility of markets
around the world (including the U.S.). However, the drop in international
markets is also presenting buying opportunities at lower valuations.
<TABLE>
<CAPTION>
Measurement Period T. Rowe Price Asset
(Fiscal Year Covered) Allocation Portfolio Weighted Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9940 9943
12/95 12262 12923
12/96 13874 14813
12/97 16426 18323
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 18.40% 13.23%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
7
<PAGE> 9
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
The PIMCO Total Return Bond Portfolio had a total return of 9.87% for the year
1997. This compares to a return of 9.65% for the unmanaged Lehman Brothers
Aggregate Bond Index.
Interest rates fell and bond prices rose during 1997, which was a positive
environment for the bullishly positioned PIMCO Total Return Bond Portfolio.
Investments in higher yielding mortgage-backed securities, lower credit quality
bonds and emerging market bonds contributed positively to relative performance.
PIMCO expects interest rates to move in a relatively narrow band during 1998
with a strong possibility of lower rates and rising bond prices.
<TABLE>
<CAPTION>
Measurement Period PIMCO Total Return Bond
(Fiscal Year Covered) Portfolio LB Aggregate Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9750 9708
12/95 11581 11502
12/96 11977 11919
12/97 13160 13070
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 9.87% 7.12%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
8
<PAGE> 10
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1997, the INVESCO Equity Income Portfolio showed
a total return of 23.33% compared to 33.36% for the unmanaged Standard & Poor's
500 Index.
The equity markets continued their torrid pace and significantly outperformed
the bond market. The equity portion of the Portfolio (73% of assets at year end)
had another strong year on a risk/reward basis relative to the S&P 500 Index.
The Portfolio, while fully diversified, benefited from an overweight position in
the technology sector. The fixed income portion of the Portfolio continued to
perform well; however, it hindered the Portfolio's performance relative to the
S&P 500.
INVESCO Trust Company expects the equity markets to continue exhibiting the
volatility experienced in the second half of 1997. They anticipate decelerating
corporate earnings growth, benign inflation, and low interest rates in the year
ahead. This environment magnifies the importance of individual stock selection
and bottom up investing. INVESCO intends to continue to invest the Portfolio in
companies they believe are exhibiting strong earnings growth, excellent
management, a healthy balance sheet, and maintaining leadership positions in
their respective industries.
<TABLE>
<CAPTION>
Measurement Period INVESCO Equity Income
(Fiscal Year Covered) Portfolio S&P 500 Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9750 10132
12/95 12682 13940
12/96 14849 17140
12/97 18313 22859
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 23.33% 16.35%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
9
<PAGE> 11
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
The Founders Capital Appreciation Portfolio had a disappointing total return of
6.01% compared with a return of 33.36% for the unmanaged Standard & Poor's 500
Index. The concern over global growth resulted in investors favoring large cap
investments, as evidenced by the strong outperformance of the S&P 500 Index
versus the unmanaged small-cap Russell 2000 Index, which was up 22.37%.
Additionally, the Russell 2000's Growth component was up only 12.94% versus the
Value component, up 31.79% for the year.
The outperformance of value stocks in the Russell 2000 was driven primarily by
the financial services and utilities sectors, two sectors that do not usually
meet Founders Asset Management's growth criteria. A great deal of consolidation
within the financial sector contributed to its outperformance. Within the more
typical growth sectors of technology, healthcare and specialty retail, the
environment was decidedly more negative with the uncertainty in the market
leading to overall P/E multiple contraction. Finally, the Portfolio was
underweighted in three of the best performing sectors of the Russell 2000's
Growth component -- REITs, Energy and Utilities.
Founders believes 1998 could be another good year for stocks in spite of the
current negative sentiment. The economies of Europe and the Americas are
healthy, albeit growing slowly. The primary concern is the Asian crisis, which
will have a deflationary effect and cause some slowdown in global growth. The
uncertainty over the magnitude of the Asian crisis and its impact, will likely
lead to continued volatility across stock markets globally. Founders believes,
however, that the U.S. is in particularly good shape with declining interest
rates and a good competitive position worldwide. They believe small company
stocks are at very attractive relative valuations, and, with their higher growth
rates, should perform well in the current environment.
<TABLE>
<CAPTION>
Measurement Period Founders Capital
(Fiscal Year Covered) Appreciation Portfolio S&P 500 Index
<S> <C> <C>
1/4/94 10000 10000
12/94 10840 10132
12/95 14369 13940
12/96 17249 17140
12/97 18286 22859
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 6.01% 16.31%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
10
<PAGE> 12
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1997, the T. Rowe Price International Equity
Portfolio had a total return of 1.36%. The unmanaged Morgan Stanley Capital
International (MSCI) EAFE Index returned 1.78% for the same period, with dollar
strength largely cancelling out strong local-market performance.
European markets were generally good performers with Switzerland and Italy the
best examples. Asia was very poor with even Japan's Nikkei Index falling back to
its bear-market lows. Latin American markets rose sharply despite their
Asia-induced stumble towards year end. The dollar had a strong year -- gaining
ground against the yen and even more against European currencies.
Country allocation relative to the benchmark index was a small positive over the
year. Underweighting Japan and overweighting Latin America added value, although
this value-added was eroded by an underweight position in the U.K. and an
overweight position in the first half of the year in some smaller Asian markets.
Stock selection was a small negative over the year, with underperformance in
Europe, particularly in the Netherlands and Germany, partially offset by
favorable stock selection in Japan.
Looking forward, Rowe Price-Fleming believes the outlook remains reasonable for
European markets with corporate profits growth likely to be strong, supported by
good economic growth and further restructuring. Rowe Price-Fleming believes that
Latin American markets remain attractive given continued commitment to political
and economic reform in the region, but that the outlook for Asia is more
uncertain and they remain cautious about that region's small markets.
<TABLE>
<CAPTION>
T. Rowe Price
Measurement Period International Equity
(Fiscal Year Covered) Portfolio MSCI / EAFE Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9620 10777
12/95 10687 11985
12/96 12201 12710
12/97 12367 12936
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 1.36% 5.46%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
11
<PAGE> 13
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price International Bond Portfolio had a total return of -3.42%,
compared to the unmanaged J.P. Morgan (JPM) Non-U.S. Government Bond Index which
returned -3.75%, for the year ending December 31, 1997.
Since Rowe Price-Fleming became sub-advisor for the International Bond Portfolio
on May 1, 1996, they have managed a Portfolio which seeks to take advantage of
the potential enhanced returns available in foreign bond markets. In addition,
they seek to produce a strong diversification benefit for investors by not
hedging the underlying foreign bond exposure into U.S. dollars. The Portfolio's
total return suffered due to the strengthening of the U.S. dollar (up 11%
against the Yen, and 14% against the Deutschemark) during the year.
Looking ahead, Rowe Price-Fleming remains cautious over the "tug of war" between
the inflationary implications of economic growth in the developed Western
economies and the deflationary impact of demand contraction in Asia. Already we
have experienced a strong rally in the U.S. bond market -- and U.S.
dollar -- due in large part to investors seeking refuge from the Asian contagion
as well as the lack of inflationary pressure in the U.S. economy. However,
Europe continues to offer attractive real rates of return relative to most
markets. In particular, with an inverted yield curve, Rowe Price-Fleming
believes the U.K. bond market offers the opportunity for attractive returns in
1998. Moreover, they believe the strength the dollar achieved over the past year
will make it vulnerable in the long term to a retrenchment as investors begin to
view it as overvalued, particularly against the Yen. Therefore, they believe
with European markets offering attractive real rates of return combined with the
potential for a weaker U.S. dollar, the role of foreign bonds in an asset
allocation strategy continues to be attractive for U.S. investors.
<TABLE>
<CAPTION>
T. Rowe Price
Measurement Period International Bond J.P. Morgan Gov't. Bond
(Fiscal Year Covered) Portfolio Non-US Bond Index
<S> <C> <C>
5/3/94 10000 10000
12/94 9680 10318
12/95 10755 12495
12/96 11398 13154
12/97 11009 12660
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/3/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS -3.42% 2.65%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
12
<PAGE> 14
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Berger Capital Growth Portfolio had a total return of 16.68% for the year
ended December 31, 1997, which lagged the 33.36% total return on the unmanaged
Standard & Poor's 500 Index.
The market environment in 1997 was inhospitable to Berger Associates' investment
style, which emphasizes what they believe are reasonably priced, growth
companies of various sizes with strong, consistent earnings growth. In the
second quarter, largely in response to the Federal Reserve Board's interest rate
increase, skittish investors sought refuge in large, liquid "blue chip" or
"index" stocks. The Portfolio outperformed broad market averages in the third
quarter. Then the market caught the "Asian flu" in the fourth quarter, and so
did the Portfolio. As in the second quarter, the market turned defensive and
rushed to large cap stocks. Once again, that hurt the Portfolio's relative
performance. Berger used the fourth quarter downturn in technology as a buying
opportunity, however, and increased our holdings in this growth sector from 23%
of the Portfolio to 32%.
Berger is optimistic about the prospects for 1998. As investors put the Asian
problems in perspective and recognize the U.S. economy's strengths (strong
employment, low inflation, and steady growth rates), Berger believes the markets
will broaden out once again, providing a far more favorable backdrop for their
growth at a reasonable price investment style.
<TABLE>
<CAPTION>
Measurement Period Berger Capital Growth
(Fiscal Year Covered) Portfolio S&P 500 Index
<S> <C> <C>
10/20/94 10000 10000
12/94 9970 9887
12/95 12405 13603
12/96 14431 16726
12/97 16839 22306
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 10/20/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 16.68% 17.67%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
13
<PAGE> 15
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1997, the Founders Passport Portfolio had a
total return of 2.03%. This outperformed the unmanaged Morgan Stanley Capital
International (MSCI) EAFE Index, which was up 1.78% for the year, and
significantly outperformed the FT/S&P Actuaries World ex-U.S. Index of
medium-small cap stocks, which was down 10.58% for 1997. It was a year of
significant underperformance for small-cap stocks around the world.
During 1997, Founders Asset Management continued to invest the Portfolio broadly
across many industries and countries. The largest regional weightings at the end
of the year were in Europe, with the United Kingdom (26%), Germany (10%), and
France (6%) making up the three largest country weightings, and Japan (3%) being
the largest Asian weighting. Less than 4% of the Portfolio was invested in
non-Japan Asia at the end of the year, and most of that was in two stocks that
Founders believes will benefit from the crisis in Asia. Founders had very little
invested in the region throughout the second half, so the impact on the
Portfolio from the Asian crisis was minimal.
Founders believes that going into 1998 the crisis that is unfolding in Asia will
have impacts that are more substantial and last longer than most people are
forecasting, and Asia's impact on the U.S. will be meaningful. They expect that
it will not, however, cause the U.S. or Europe to go into recession. On the
contrary, Founders expects that 1998 will be the third year of improving
economic growth in Europe. Because of this, they are finding the best earnings
growth in Europe, and it is substantially overweighted in the Portfolio.
Founders believes the valuations in the small cap area are as attractive as they
have been in years, and because they expect to see better economies in 1998,
especially in Europe, they are very optimistic for the prospects of small stocks
in 1998.
<TABLE>
<CAPTION>
Measurement Period Founders Passport
(Fiscal Year Covered) Portfolio MSCI / EAFE Index
<S> <C> <C>
5/2/95 10000 10000
12/95 10330 10522
12/96 11664 11158
12/97 11901 11356
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 2.03% 6.73%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
14
<PAGE> 16
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Natural Resources Portfolio returned 3.39% for the year ended
December 31, 1997. The unmanaged Standard & Poor's 500 Index returned 33.36% for
the same period, while the Lipper Natural Resources Funds Average returned
0.09%.
Energy, gold, industrial metals, and most commodity prices declined over the
course of the year as productivity improved and Asian economies slowed. While
Asia generally represents a relatively small proportion of overall demand for
these materials, the region accounts for a disproportionately large share of the
annual growth in global demand. Moreover, the price of oil dropped as the U.N.
allowed Iraq to export a limited amount for humanitarian reasons, and OPEC
raised export quotas at the end of the year.
In order to avoid the full brunt of lower resource prices and the impact on
resource company earnings, T. Rowe Price emphasizes the stocks of companies
engaged in internal efforts to restructure and reduce costs. T. Rowe Price also
prefers companies with low-cost reserves and production, as they are survivors
in the periods of weak commodity prices. Another element of their strategy is to
find companies that have the ability to grow production sufficiently to offset
weakness in commodity prices in order to grow earnings in this environment.
T. Rowe Price is hopeful that the worst is now behind us. They believe the stock
prices of companies in which the Portfolio invests already reflect much of the
turmoil of the past year, and that the companies in the Portfolio are positioned
to benefit from a turnaround in the problems overseas and the resumption of
strong economic growth.
<TABLE>
<CAPTION>
Measurement Period T. Rowe Price Natural
(Fiscal Year Covered) Resources Portfolio S&P 500 Index
<S> <C> <C>
5/2/95 10000 10000
12/95 11110 12179
12/96 14525 14975
12/97 15016 19971
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 3.39% 16.44%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
15
<PAGE> 17
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
The PIMCO Limited Maturity Bond Portfolio had a total return of 7.46% for the
year 1997. The unmanaged benchmark Merrill Lynch 1-3 Year Treasury Index
returned 6.66% for the same period.
Interest rates fell and bond prices rose during 1997, which was a positive
environment for the bullishly positioned PIMCO Limited Maturity Bond Portfolio.
Investments in higher yielding mortgage-backed securities and lower credit
quality bonds produced strong performance results relative to the Index.
PIMCO expects interest rates to move in a relatively narrow band in 1998 with a
strong possibility of falling rates and rising bond prices.
<TABLE>
<CAPTION>
Measurement Period PIMCO Limited Maturity Merrill Lynch 1-3 Year
(Fiscal Year Covered) Bond Portfolio Treasury Index
<S> <C> <C>
5/2/95 10000 10000
12/95 10470 10644
12/96 10670 11174
12/97 11689 11918
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 7.46% 6.02%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
16
<PAGE> 18
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Robertson Stephens Value + Growth Portfolio produced a total return of
14.83%, versus 33.36% for the unmanaged Standard & Poor's 500 Index and 30.48%
for the unmanaged Russell 1000 Growth Index for the year ending December 31,
1997.
Throughout 1997, the Portfolio had a large relative position in the technology
sector. For the first three quarters of the year, technology led all sectors in
performance and helped the Value + Growth Portfolio outperform the S&P 500
Index. In the fourth quarter technology stocks fell sharply as a result of the
Asian crisis.
In spite of the downturn, Robertson Stephens continues to be optimistic about
the prospects for strong performance in the technology sector and holds several
of the same companies that performed well in 1997, including Compaq Computer and
Dell Computer. They are also positive on several companies that they believe are
well positioned to take advantage of the expansion of retirement savings, such
as Merrill Lynch, Travelers Group and Charles Schwab.
Going into 1998, the Portfolio's characteristics have not changed. As of
December 31, 1997, the consensus outlook for the Value + Growth Portfolio's 5
year earnings per share growth is 19.5% compared to 13.6% for the S&P 500 Index.
The Portfolio's price to earnings ratio based on twelve months forecasted
earnings is 20.2 versus 20.0 for the S&P 500 Index. Both Portfolio valuation
measures confirm the Portfolio is adhering to its stated strategy to identify
securities that exhibit favorable relationships between growth rates and price
to earnings ratios.
<TABLE>
<CAPTION>
Measurement Period Robertson Stephens Value
(Fiscal Year Covered) & Growth Portfolio S&P 500 Index
<S> <C> <C>
5/2/96 10000 10000
6/96 9730 10289
12/96 10990 11487
6/97 12700 13870
12/97 12620 15337
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/96
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 14.83% 14.97%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
17
<PAGE> 19
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The growing downturn in Asia injected considerably higher volatility into global
markets during 1997 and created a difficult environment for international
investors. For the year, the AST Janus Overseas Growth Portfolio achieved a
total return of 18.70% versus a gain of 1.78% for the unmanaged Morgan Stanley
Capital International (MSCI) EAFE Index.
While the Portfolio's fourth quarter results were impacted by the growing
volatility worldwide, its performance was bolstered relative to the Index due to
limited exposure in the Far East and Japan. While Japan continued to feel the
effects of its long-term economic malaise, and the growing downturn in Southeast
Asia picked up steam, Janus remained focused in Europe. European companies are
unleashing tremendous shareholder value and greater profits as corporate
restructuring continues to take hold on the Continent.
During the year, Janus emphasized a number of themes. First and foremost, they
looked for reasonably priced, classic growth companies with superb management
teams and established franchises. Additionally, they zeroed in on companies that
recognized the importance of building shareholder value.
Following the recent volatility in global markets, Janus remains cautiously
optimistic. They increased exposure in both technology and pharmaceutical
companies in the U.S. and in Europe. Meanwhile, Janus believes that
restructuring continues to create attractive investment opportunities in Europe,
where increased emphasis on corporate profits is helping unlock shareholder
value. They remain cautious towards Japan and many emerging markets and will
weigh each investment opportunity carefully before investing in these areas.
COMPARISON OF CHANGE IN THE VALUE
OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
AST Janus Overseas
Growth Portfolio MSCI EAFE Index
Dollars (000)
<S> <C> <C>
1/2/97 10000 10000
3/97 10490 9843
6/97 11620 11121
9/97 12310 11042
12/97 11870 10178
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
18
<PAGE> 20
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam Value Growth & Income Portfolio provided a total return of
22.30%, but trailed the unmanaged Standard & Poor's 500 Index, which returned
33.36% for the year.
The Portfolio lost ground in the hot, technology-driven second quarter, and the
large-cap growth stock-dominated fourth quarter.
In the first quarter growth stocks, particularly in the technology sector, sold
off, and the market focus narrowed to large-cap value-oriented stocks,
benefitting the Portfolio's performance. In the second quarter, the value stocks
in the Portfolio could not keep pace with the S&P 500, which soared to record
levels led by select large-cap growth stocks. In the third quarter, the
Portfolio's position in the financial services and energy sectors, plus an
underweighting in the lagging consumer growth and health-care sectors,
contributed to performance in line with the Index. In the fourth quarter, the
Portfolio benefited from strong issue selection in financial, utility, and
health care but was hindered by overweighting basic industrial, energy, and
capital goods.
Putnam Investment Management, Inc. believes the outlook for large-cap
value-oriented Portfolios remains favorable. Inflation has remained modest,
interest rates are declining, and corporate profit growth is positive.
Valuations are still attractive relative to the general market. In addition,
they believe the backlash from the ongoing currency and economic upheavals in
Asia is creating opportunities for value investors, particularly in the
technology area, but also in the predominantly domestic sectors such as
utilities, telecommunications, and transportation.
COMPARISON OF CHANGE IN THE VALUE
OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
AST Putnam Value Growth
& Income Portfolio S&P 500 Index
Dollars (000)
<S> <C> <C>
1/2/97 10000 10000
3/97 10190 10268
6/97 11420 12051
9/97 12260 12964
12/97 12230 13336
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
19
<PAGE> 21
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1997, the Twentieth Century Strategic Balanced
Portfolio had a total return of 13.40%, compared with its weighted unmanaged
benchmark index (60% Standard & Poor's 500 Index, 40% Lehman Brothers
Government/Corporate Index) which returned 23.7%.
The Portfolio is not a "relatively-managed" fund; that is it is not managed to
outperform any one index or benchmark, but rather, American Century Investment
Management, Inc. follows a disciplined "bottom up" method of investing the
equity portion of the Portfolio in companies that demonstrate an accelerating
growth rate in both revenues and earnings. A portion of the equities is invested
in high-quality large cap growth stocks and another portion in rapidly growing
mid-cap stocks. As large cap stocks represented by the S&P 500 outperformed
mid-cap stocks, and mid-cap growth stocks in particular, the allocation to
mid-cap growth stocks contributed to underperforming the weighted index.
Underweighting of the Portfolio in domestic equities also contributed to
underperformance relative to the weighted index.
The fixed-income portion of the Portfolio was invested primarily in high-quality
intermediate-term bonds, and was comprised of approximately 80% domestic and 20%
foreign bonds. The weightings of the domestic fixed-income securities have
maintained a fairly neutral position relative to the Portfolio's benchmark, the
Lehman Brothers Government/Corporate Bond Index, over the last year. The
Portfolio has kept its duration around 4.5 years, which also is consistent with
its benchmark.
COMPARISON OF CHANGE IN THE VALUE
OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Twentieth Century
Strategic Balanced
Portfolio Weighted Index
Dollars (000)
<S> <C> <C>
1/2/97 10000 10000
3/97 9590 10133
6/97 10660 11329
9/97 11340 12003
12/97 11340 12370
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
20
<PAGE> 22
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Twentieth Century International Growth Portfolio achieved a total return of
15.10% for the year ended December 31, 1997, compared with a return of 1.78% for
the unmanaged Morgan Stanley Capital International (MSCI) EAFE Index. Country
allocations, including an overweighting in Europe and underweighting in Asia,
contributed significantly to the outperformance.
The story in international investing in 1997 was the virtual collapse of major
Southeast Asian stock markets. The currency uncertainties of the Thai baht and
the Hong Kong dollar over the summer soon sparked fears of slowing economic
growth in the region. In the fourth quarter, problems in the Japanese financial
infrastructure became more apparent as major banks announced large losses and
large securities firms declared insolvency.
Beginning in April, American Century detected a slowing of economic growth in
Japan and began to exit the region. More importantly however, they recognized
that the important re-engineering occurring in Europe (the privatizations, the
labor reform, and an announced cut in tax rates) were creating significant
opportunities for investment. Furthermore, as prospects for a unified European
currency and banking system became more visible, financial services stocks in
southern Europe, primarily Italian banks, soared. Assets were re-deployed by
American Century from Japan into growing companies in Europe. By the end of the
year, assets in the top four countries (all European) made up over half of the
Portfolio's assets, and assets in Japan had declined from 21% to less than 8%.
COMPARISON OF CHANGE IN THE VALUE
OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Twentieth Century
International Growth
Portfolio MSCI EAFE Index
Dollars (000)
<S> <C> <C>
1/2/97 10000 10000
3/97 10350 9843
6/97 11570 11121
9/97 11990 11042
12/97 11510 10178
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
21
<PAGE> 23
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Small Company Value Portfolio achieved a total return of
28.80% for the year ended December 31, 1997. While this trailed the unmanaged
Standard & Poor's 500 Index return of 33.36%, it exceeded the unmanaged
small-cap Russell 2000 Index, which returned 22.37%.
The stock market's superb performance throughout the year reflected positive
developments for two key variables that investors watch: interest rates and
corporate profits. Long-term bond rates fell approximately 80 basis points (8/10
of 1%), a major positive move. Corporate profits, which had risen steadily
throughout the decade, continued to grow in 1997, although at a slower pace. The
favorable climate for interest rates was especially pronounced after April, and
played a major role in the stock market's good performance during the second
half of the year.
The value sector in which the Portfolio concentrates did relatively well for the
year. In fact, indices of small value stocks showed gains nearly double those of
small growth stocks. The reasons for this differential are unclear, although the
volatile technology sector did relatively poorly in 1997, clearly hurting growth
stock results.
In T. Rowe Price's opinion, 1998 could prove to be a tough year for our stock
market, with problems in Asia causing a marked slowdown in corporate profit
growth, and a consequent impact on stock prices. At year-end T. Rowe Price held
approximately 6% of the Portfolio in cash reserves, looking for opportunities to
invest in conservatively managed companies whose stocks are out of favor. If the
market pulls back, T. Rowe Price intends to put the cash to work; in the
meantime, they are maintaining a conservative posture.
<TABLE>
<CAPTION>
COMPARISON OF CHANGE IN THE VALUE
OF A $10,000 INVESTMENT
T. Rowe Price Small
Company Value Portfolio S&P 500 Index
Dollars (000)
<S> <C> <C>
1/2/97 10000 10000
3/97 9860 10268
6/97 11360 12061
9/97 12860 12964
12/97 12880 13336
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
22
<PAGE> 24
AMERICAN SKANDIA TRUST
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1997
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
LORD ABBETT GROWTH AND INCOME PORTFOLIO
JANCAP GROWTH PORTFOLIO
AST MONEY MARKET PORTFOLIO
FEDERATED UTILITY INCOME 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
BERGER CAPITAL 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
23
<PAGE> 25
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FOREIGN STOCK -- 94.3%
AUSTRALIA -- 1.8%
Australia & New Zealand Banking
Group Ltd. ..................... 491,079 $ 3,244,508
QBE Insurance Group Ltd. ......... 901,065 4,055,133
----------
7,299,641
----------
AUSTRIA -- 0.5%
VA Technologie AG ................ 13,694 2,076,154
----------
BRAZIL -- 0.4%
Petroleo Brasileiro SA [ADR]
144A* .......................... 63,600 1,502,550
----------
CANADA -- 7.7%
Bank of Nova Scotia .............. 130,100 6,123,070
Bombardier, Inc. Cl-B ............ 205,000 4,211,681
CAE, Inc. ........................ 203,000 1,588,797
Magna International, Inc. Cl-A ... 64,800 4,070,250
National Bank of Canada .......... 325,541 5,368,735
Newbridge Networks Corp.* ........ 74,900 2,619,631
Northern Telecom Ltd. ............ 59,200 5,260,080
Royal Bank of Canada ............. 49,900 2,636,190
----------
31,878,434
----------
FINLAND -- 0.4%
Nokia AB Cl-A .................... 22,861 1,624,688
----------
FRANCE -- 14.2%
Banque Nationale de Paris ........ 49,600 2,637,535
Cetelem .......................... 20,400 2,780,650
Compagnie Generale des Eaux ...... 55,214 7,709,581
Compagnie Generale des Eaux
Warrants* ...................... 18,820 12,795
Lafarge SA ....................... 78,200 5,133,294
Michelin C.G.D.E. Cl-B ........... 109,230 5,501,572
Scor SA .......................... 136,100 6,511,052
SGS-Thomson Microelectronics NV
[ADR]* ......................... 88,100 5,379,606
Societe Generale ................. 51,451 7,013,099
Societe Nationale Elf Aquitaine
SA ............................. 64,876 7,548,912
Societe Television Francaise ..... 14,470 1,479,265
Total SA Cl-B .................... 61,170 6,660,120
----------
58,367,481
----------
GERMANY -- 7.4%
Altana AG ........................ 49,120 3,242,722
Bayer AG ......................... 115,866 4,301,381
Bayerische Motoren Werke AG ...... 8,543 6,390,478
Deutsche Bank AG ................. 88,500 6,191,909
Deutsche Telekom AG .............. 184,900 3,424,379
Mannesmann AG .................... 10,400 5,223,021
Veba AG .......................... 27,226 1,854,900
----------
30,628,790
----------
HONG KONG -- 2.2%
Dao Heng Bank Group Ltd. ......... 450,500 1,125,048
Guoco Group Ltd. ................. 142,000 347,290
HSBC Holdings PLC ................ 142,903 3,522,654
Hutchison Whampoa Ltd. ........... 667,000 4,183,669
----------
9,178,661
----------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
IRELAND -- 4.0%
Allied Irish Banks PLC ........... 521,427 $ 5,053,811
Bank of Ireland PLC .............. 369,100 5,692,302
CRH PLC .......................... 481,957 5,646,726
----------
16,392,839
----------
ITALY -- 1.4%
Ente Nazionale Idrocarburi SPA ... 1,027,164 5,827,192
----------
JAPAN -- 10.4%
Canon, Inc. ...................... 175,000 4,091,644
Circle K Japan Co. Ltd. .......... 60,500 2,908,182
Hirose Electric Ltd. ............. 22,200 1,138,846
Kao Corp. ........................ 279,000 4,034,115
Murata Manufacturing Co. Ltd. .... 64,000 1,614,507
Nikko Securities Co. Ltd. ........ 796,000 2,118,241
Nomura Securities Co. Ltd. ....... 283,000 3,787,232
Promise Co. Ltd. ................. 59,750 3,327,076
Ricoh Co. Ltd. ................... 147,000 1,831,549
Rohm Co. ......................... 42,000 4,296,226
Sankyo Co. Ltd. .................. 107,000 2,427,683
Santen Pharmaceutical Ltd. ....... 700 8,076
Sony Corp. ....................... 88,200 7,868,877
Tokyo Electron Ltd. .............. 103,000 3,311,309
----------
42,763,563
----------
MEXICO -- 0.7%
Cemex SA de CV* .................. 658,700 2,990,448
----------
NETHERLANDS -- 5.6%
ABN Amro Holding NV .............. 163,384 3,183,491
AKZO Nobel NV .................... 30,226 5,212,536
ING Groep NV ..................... 147,182 6,200,255
Philips Electronics NV ........... 108,270 6,494,395
Vendex International NV .......... 35,300 1,948,506
----------
23,039,183
----------
PHILIPPINES -- 0.0%
Philippine Long Distance Telephone
Co. ............................ 6,500 143,363
----------
POLAND -- 0.1%
Bank Handlowy W. Warszawie
144A* .......................... 24,900 329,427
----------
PORTUGAL -- 2.4%
Banco Totta & Acores SA .......... 122,500 2,408,096
Electricidade de Portugal SA ..... 221,868 4,205,785
Portugal Telecom SA .............. 67,300 3,126,241
----------
9,740,122
----------
SINGAPORE -- 2.4%
DBS Land Ltd. .................... 491,000 751,825
Developmental Bank of Singapore
Ltd. Cl-F ...................... 199,000 1,700,713
Keppel Land Ltd. ................. 711,000 978,978
Overseas -- Chinese Banking Corp.
Ltd. ........................... 312,000 1,814,664
Overseas Union Bank Ltd. Cl-F .... 702,000 2,687,277
United Overseas Bank Ltd. ........ 380,000 2,108,680
----------
10,042,137
----------
</TABLE>
24
<PAGE> 26
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
SWEDEN -- 3.1%
Astra AB Cl-A .................... 76,975 $ 1,333,953
Ericsson, (L.M.) Telephone Co.
Cl-B ........................... 151,045 5,682,491
Pharmacia & Upjohn, Inc. ......... 79,898 2,940,403
Sandvik AB Cl-B .................. 105,750 3,025,480
----------
12,982,327
----------
SWITZERLAND -- 9.8%
ABB AG ........................... 550 691,954
Ciba Specialty Chemicals AG* ..... 33,885 4,042,364
Georg Fischer AG ................. 2,400 3,290,940
Julius Baer Holdings AG Cl-B ..... 2,870 5,332,488
Nestle SA ........................ 5,591 8,391,004
Novartis AG ...................... 3,172 5,154,187
Publi Groupe SA .................. 11,786 2,577,720
Union Bank of Switzerland ........ 6,473 9,372,991
Zurich
Versicherungs-Gesellschaft ..... 2,895 1,381,454
----------
40,235,102
----------
UNITED KINGDOM -- 19.8%
Avis Europe PLC .................. 1,513,531 4,308,365
B.A.T. Industries PLC ............ 749,728 6,834,213
Bass PLC ......................... 367,100 5,705,075
British Petroleum Co. PLC ........ 392,034 5,160,464
BTR PLC .......................... 1,431,337 4,333,460
Burmah Castrol PLC ............... 201,400 3,502,753
Cookson Group PLC ................ 326,200 1,049,315
Dixons Group PLC ................. 201,600 2,026,781
General Electric Co. PLC ......... 496,775 3,224,644
Glaxo Wellcome PLC ............... 259,242 6,142,468
Molins PLC ....................... 84,700 415,312
Peninsular & Oriental Steam
Navigation Co. ................. 178,300 2,031,637
Rolls-Royce PLC .................. 1,350,904 5,223,570
Rio Tinto PLC .................... 312,000 3,845,134
Securicor PLC .................... 460,800 2,172,262
Shell Transport & Trading Co.
PLC ............................ 692,700 5,015,023
Siebe PLC ........................ 70,300 1,382,287
Smith Industries PLC ............. 231,700 3,232,935
Tomkins PLC ...................... 478,790 2,292,520
Unilever PLC ..................... 504,400 4,324,021
Vodafone Group PLC ............... 1,328,385 9,595,410
----------
81,817,649
----------
TOTAL FOREIGN STOCK
(COST $352,657,161)................. 388,859,751
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 4.1%
UBS Securities Funding,
Inc., 6.45%, dated
12/31/97, repurchase
price $16,957,074
(Collateralized by
U.S. Treasury Notes,
par value
$12,679,000, market
value $17,316,740 due
02/15/19)
(COST $16,951,000)... 01/02/98 $16,951 $ 16,951,000
------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 1.2%
Federal Home Loan
Mortgage Corp. 5.62%
(COST $4,989,853).... 01/14/98 5,000 4,989,853
------------
TOTAL INVESTMENTS -- 99.6%
(COST $374,598,014)................. 410,800,604
OTHER ASSETS LESS
LIABILITIES -- 0.4%................. 1,469,177
------------
NET ASSETS -- 100.0%.................. $412,269,781
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Buy FRF 5,438,535 $ 909,454 $ 906,574 $ (2,880)
02/98 Buy FRF 234,069,000 39,874,118 39,043,256 (830,862)
01/98 Buy GBP 156,393 260,944 257,271 (3,673)
01/98 Buy JPY 75,583,744 581,749 581,813 64
01/98 Buy PTE 136,608,608 749,940 743,209 (6,731)
----------- ----------- ----------
$42,376,205 $41,532,123 $ (844,082)
=========== =========== ==========
</TABLE>
25
<PAGE> 27
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE DELIVER FOR AT VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Sell ATS 9,036,123 $ 724,048 $ 714,357 $ 9,691
01/98 Sell CHF 1,867,672 1,281,629 1,281,635 (6)
02/98 Sell FRF 234,069,000 37,814,055 39,043,255 (1,229,200)
01/98 Sell ITL 575,943,732 325,548 325,849 (301)
01/98 Sell JPY 6,544,620 50,289 50,372 (83)
06/98 Sell JPY 3,274,000,000 25,957,434 25,802,146 155,288
01/98 Sell MXP 1,558,642 192,771 193,314 (543)
----------- ----------- ------------
$66,345,774 $67,410,928 $ (1,065,154)
=========== =========== ============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 0.4% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
26
<PAGE> 28
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCK -- 93.8%
AEROSPACE -- 0.1%
Raytheon Co. Cl-A ............... 15,305 $ 754,718
----------
AUTOMOBILE MANUFACTURERS -- 1.6%
General Motors Corp. ............ 240,000 14,550,000
----------
AUTOMOTIVE PARTS -- 1.0%
Eaton Corp. ..................... 110,000 9,817,500
----------
BUILDING MATERIALS -- 0.3%
Georgia Pacific Timber Group .... 110,000 2,495,625
----------
CHEMICALS -- 2.8%
Dow Chemical Co. ................ 65,000 6,597,500
Lyondell Petrochemical Co. ...... 270,000 7,155,000
Rohm & Haas Co. ................. 130,000 12,447,500
----------
26,200,000
----------
CLOTHING & APPAREL -- 1.8%
Liz Claiborne, Inc. ............. 250,000 10,453,125
VF Corp. ........................ 140,000 6,431,250
----------
16,884,375
----------
COMPUTER HARDWARE -- 5.9%
EMC Corp.* ...................... 330,000 9,054,375
Hewlett-Packard Co. ............. 360,000 22,500,000
International Business Machines
Corp. ......................... 150,000 15,684,375
Seagate Technology, Inc.* ....... 400,000 7,700,000
----------
54,938,750
----------
CONGLOMERATES -- 2.1%
Minnesota Mining & Manufacturing
Co. ........................... 235,000 19,284,688
----------
CONSUMER PRODUCTS & SERVICES -- 5.6%
Corning, Inc. ................... 370,000 13,736,250
Crown Cork & Seal Co., Inc. ..... 100,000 5,012,500
Fortune Brands, Inc. ............ 425,000 15,751,562
International Flavors &
Fragrances, Inc. .............. 185,000 9,527,500
Whirlpool Corp. ................. 150,000 8,250,000
----------
52,277,812
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.5%
Emerson Electric Co. ............ 250,000 14,109,375
----------
FINANCIAL-BANK & TRUST -- 8.5%
BankAmerica Corp. ............... 90,000 6,570,000
BankBoston Corp. ................ 125,000 11,742,187
Chase Manhattan Corp. ........... 100,000 10,950,000
Comerica, Inc. .................. 100,000 9,025,000
First Chicago NBD Corp. ......... 150,000 12,525,000
First Union Corp. ............... 190,000 9,737,500
Mellon Bank Corp. ............... 150,000 9,093,750
Providian Financial Corp. ....... 230,000 10,393,125
----------
80,036,562
----------
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FINANCIAL SERVICES -- 3.3%
Morgan Stanley, Dean Witter,
Discover & Co. ................ 225,000 $ 13,303,125
Washington Mutual, Inc. ......... 276,900 17,669,681
----------
30,972,806
----------
FOOD -- 6.9%
Archer-Daniels-Midland Co. ...... 370,000 8,024,375
Conagra, Inc. ................... 510,000 16,734,375
Heinz, (H.J.) Co. ............... 390,000 19,816,875
Pioneer Hi-Bred International,
Inc. .......................... 75,000 8,043,750
Sara Lee Corp. .................. 220,000 12,388,750
----------
65,008,125
----------
INSURANCE -- 9.7%
Aegon N.V. [ADR] ................ 69,999 6,273,660
Aetna, Inc. ..................... 80,000 5,645,000
American General Corp. .......... 275,000 14,867,188
Chubb Corp. ..................... 330,000 24,956,250
CIGNA Corp. ..................... 40,000 6,922,500
Safeco Corp. .................... 220,000 10,725,000
St. Paul Companies, Inc. ........ 110,000 9,026,875
Transamerica Corp. .............. 120,000 12,780,000
----------
91,196,473
----------
MACHINERY & EQUIPMENT -- 3.9%
Deere & Co. ..................... 440,000 25,657,500
Snap-On, Inc. ................... 250,000 10,906,250
----------
36,563,750
----------
MEDICAL SUPPLIES & EQUIPMENT -- 2.0%
Baxter International, Inc. ...... 380,000 19,166,250
----------
METALS & MINING -- 0.6%
USX-U.S. Steel Group, Inc. ...... 180,000 5,625,000
----------
OIL & GAS -- 8.9%
Chevron Corp. ................... 80,000 6,160,000
Coastal Corp. ................... 210,000 13,006,875
Consolidated Natural Gas Co. .... 220,000 13,310,000
ENI Co. SPA [ADR] ............... 240,000 13,695,000
Mobil Corp. ..................... 260,000 18,768,750
Sonat, Inc. ..................... 400,000 18,300,000
----------
83,240,625
----------
PAPER & FOREST PRODUCTS -- 6.4%
Bowater, Inc. ................... 275,000 12,220,313
Fort James Corp. ................ 290,000 11,092,500
Georgia Pacific Corp. ........... 110,000 6,682,500
International Paper Co. ......... 260,000 11,212,500
Kimberly-Clark Corp. ............ 380,000 18,738,750
----------
59,946,563
----------
PHARMACEUTICALS -- 4.4%
American Home Products Corp. .... 210,000 16,065,000
Pharmacia & Upjohn, Inc. ........ 200,000 7,325,000
Smithkline Beecham PLC [ADR] .... 220,000 11,316,250
Warner-Lambert Co. .............. 50,000 6,200,000
----------
40,906,250
----------
</TABLE>
27
<PAGE> 29
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PRINTING & PUBLISHING -- 1.0%
Deluxe Corp. .................... 270,000 $ 9,315,000
----------
RETAIL & MERCHANDISING -- 2.3%
Penney, (J.C.) Co., Inc. ........ 22,900 1,381,156
Toys 'R' Us, Inc.* .............. 220,000 6,916,250
Wal-Mart Stores, Inc. ........... 335,000 13,211,563
----------
21,508,969
----------
SEMICONDUCTORS -- 1.6%
Motorola, Inc. .................. 260,000 14,836,250
----------
TELECOMMUNICATIONS -- 2.8%
Bell Atlantic Corp. ............. 130,000 11,830,000
SBC Communications, Inc. ........ 200,000 14,650,000
----------
26,480,000
----------
UTILITIES -- 8.8%
Baltimore Gas & Electric Co. .... 390,000 13,284,375
Carolina Power & Light Co. ...... 340,000 14,428,750
Cinergy Corp. ................... 340,000 13,026,250
Duke Energy Corp. ............... 230,000 12,736,250
Firstenergy Corp.* .............. 300,000 8,700,000
FPL Group, Inc. ................. 225,000 13,317,188
PacifiCorp ...................... 270,000 7,374,375
----------
82,867,188
----------
TOTAL COMMON STOCK
(COST $725,978,973)................ 878,982,654
----------
SHARES VALUE
---------- ------------
PREFERRED STOCK -- 2.9%
INSURANCE -- 1.4%
Aetna, Inc. Cl-C 6.25% [CVT] .... 190,000 $ 13,585,000
----------
OIL & GAS -- 1.5%
Occidental Petroleum Corp. $3.875
[CVT] ......................... 210,000 13,545,000
----------
TOTAL PREFERRED STOCK
(COST $27,631,007)................. 27,130,000
----------
SHORT-TERM INVESTMENTS -- 3.4%
Temporary Investment Cash
Fund .......................... 15,995,986 15,995,986
Temporary Investment Fund ....... 15,995,986 15,995,986
----------
(COST $31,991,972)............... 31,991,972
----------
TOTAL INVESTMENTS -- 100.1%
(COST $785,601,952)................ 938,104,626
LIABILITES IN EXCESS OF OTHER
ASSETS -- (0.1%)................... (1,118,749)
----------
NET ASSETS -- 100.0%................. $936,985,877
==========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
28
<PAGE> 30
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 82.0%
AEROSPACE -- 1.6%
Textron, Inc. ................... 388,850 $ 24,303,125
------------
AIRLINES -- 3.5%
UAL Corp.*....................... 564,575 52,223,187
------------
BEVERAGES -- 7.7%
Coca-Cola Co. ................... 497,200 33,125,950
Coca-Cola Enterprises, Inc. ..... 2,353,275 83,688,342
------------
116,814,292
------------
CHEMICALS -- 6.9%
Cytec Industries, Inc.*.......... 743,950 34,919,153
Monsanto Co. .................... 1,438,675 60,424,350
Solutia, Inc. ................... 307,735 8,212,678
------------
103,556,181
------------
COMPUTER HARDWARE -- 6.9%
Compaq Computer Corp. ........... 660,125 37,255,805
Dell Computer Corp.* ............ 789,300 66,301,200
------------
103,557,005
------------
COMPUTER SERVICES & SOFTWARE -- 9.0%
America Online, Inc.*............ 314,100 28,013,794
Cisco Systems, Inc.*............. 278,950 15,551,462
Edwards, (J.D.) & Co.* .......... 470,475 13,879,013
Microsoft Corp.* ................ 588,950 76,121,788
Sapient Corp.* .................. 34,000 2,082,500
------------
135,648,557
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 5.9%
AES Corp.*....................... 384,600 17,931,975
General Electric Co. ............ 781,550 57,346,231
Texas Instruments, Inc. ......... 296,650 13,349,250
------------
88,627,456
------------
FARMING & AGRICULTURE -- 1.1%
Delta & Pine Land Co. ........... 525,300 16,021,650
------------
FINANCIAL-BANK & TRUST -- 5.0%
Citicorp ........................ 403,445 51,010,577
Mercantile Bancorporation,
Inc. .......................... 166,800 10,258,200
Wells Fargo & Co. ............... 40,758 13,834,794
------------
75,103,571
------------
FINANCIAL SERVICES -- 9.6%
Fannie Mae ...................... 776,135 44,288,203
Freddie Mac ..................... 692,300 29,033,331
Merrill Lynch & Co., Inc. ....... 493,400 35,987,363
SLM Holding Corp. ............... 252,825 35,174,278
------------
144,483,175
------------
OIL & GAS -- 7.1%
Diamond Offshore Drilling,
Inc. .......................... 629,850 30,311,531
Schlumberger Ltd. ............... 755,300 60,801,650
TransCoastal Marine Services,
Inc. .......................... 30,925 440,681
Transocean Offshore, Inc. ....... 331,150 15,957,291
------------
107,511,153
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
PHARMACEUTICALS -- 11.6%
Lilly, (Eli) & Co. .............. 1,033,350 $ 71,946,994
Pfizer, Inc. .................... 785,475 58,566,980
Warner-Lambert Co. .............. 362,925 45,002,700
------------
175,516,674
------------
REAL ESTATE -- 1.1%
Starwood Lodging Trust [REIT] ... 298,575 17,280,028
------------
RETAIL & MERCHANDISING -- 0.7%
Meyer, (Fred), Inc.* ............ 278,500 10,130,438
------------
TELECOMMUNICATIONS -- 4.3%
Lucent Technologies, Inc. ....... 565,325 45,155,334
Qwest Communications
International, Inc.* .......... 339,050 20,173,475
------------
65,328,809
------------
TOTAL COMMON STOCK
(COST $870,204,211)................ 1,236,105,301
------------
FOREIGN STOCK -- 1.5%
AUTOMOBILE MANUFACTURERS -- 1.5%
Porsche AG Pfd. -- (DEM) ........ 13,419 22,538,641
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.0%
Philips Electronics
NV -- (NLG) ................... 8,827 529,473
------------
TOTAL FOREIGN STOCK
(COST $8,934,875).................. 23,068,114
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- --------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 3.3%
Venetian Casino Notes 144A
12.25%
(COST $49,805,844) ...... 11/15/04 $ 49,725 49,973,625
-----------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 9.9%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION -- 6.6%
5.61%.................... 1/16/98 25,000 24,941,563
5.70%.................... 1/21/98 25,000 24,920,833
5.55%.................... 2/23/98 50,000 49,584,649
-----------
99,447,045
-----------
FEDERAL MORTGAGE CORP. DISC.
NOTES -- 3.3%
5.70%.................... 01/02/98 50,000 49,992,083
-----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $149,445,937).......... 149,439,128
-----------
</TABLE>
29
<PAGE> 31
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 4.3%
General Electric Capital
Corp.
6.70%.................. 01/02/98 $ 15,600 $ 15,597,097
Prudential Funding Corp.
6.40%.................. 01/02/98 50,000 49,991,111
--------------
TOTAL COMMERCIAL PAPER
(COST $65,588,208)......... 65,588,208
--------------
TOTAL INVESTMENTS -- 100.8%
(COST $1,143,979,075)...... 1,524,174,376
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.8%)..... (12,611,467)
--------------
NET ASSETS -- 100.0%......... $1,511,562,909
=============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE DEPRECIATION
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Buy DEM 5,000,000 $ 2,815,791 $ 2,781,920 $ (33,871)
02/98 Buy DEM 5,000,000 2,922,951 2,788,514 (134,437)
03/98 Buy DEM 10,500,000 6,025,439 5,858,394 (167,045)
04/98 Buy DEM 14,000,000 8,200,851 7,832,080 (368,771)
01/98 Buy NLG 47,200,000 23,609,678 23,293,768 (315,910)
03/98 Buy NLG 8,950,000 4,575,921 4,433,507 (142,414)
04/98 Buy NLG 2,000,000 1,025,641 991,955 (33,686)
05/98 Buy GBP 3,200,000 5,265,288 5,230,304 (34,984)
---------- ---------- ----------
$54,441,560 $53,210,442 $ (1,231,118)
========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE APPRECIATION
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Sell DEM 5,000,000 $ 2,877,367 $ 2,781,920 $ 95,447
02/98 Sell DEM 8,000,000 4,503,110 4,461,622 41,488
03/98 Sell DEM 36,200,000 20,744,259 20,197,512 546,747
04/98 Sell DEM 20,300,000 11,779,381 11,356,516 422,865
05/98 Sell DEM 3,200,000 1,810,877 1,791,453 19,424
01/98 Sell NLG 50,087,012 24,762,887 24,718,305 44,582
03/98 Sell NLG 9,350,000 4,672,026 4,631,812 40,214
04/98 Sell NLG 2,000,000 1,018,900 991,955 26,945
05/98 Sell GBP 3,200,000 5,307,521 5,230,297 77,224
---------- ---------- ----------
$77,476,328 $76,161,392 $1,314,936
========== ========== ==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 3.3% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
30
<PAGE> 32
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 14.0%
FINANCIAL-BANK & TRUST
Abbey National Treasury
Services PLC
5.75% [VR].............. 02/05/98 $ 4,000 $ 4,000,000
CoreStates Bank NA
6.38917% [VR]........... 04/21/98 5,000 5,000,000
5.6475%................. 03/16/98 20,000 20,000,000
First USA Bank
6.015%.................. 05/07/98 27,000 27,008,257
Key Bank NA
5.6125%................. 07/31/98 25,000 24,990,129
Old Kent Bank
5.70%................... 11/04/98 25,000 25,000,000
------------
TOTAL CORPORATE OBLIGATIONS
(COST $105,998,386)................... 105,998,386
------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 1.2%
Federal Home Loan Bank
5.75%
(COST $9,391,500)........... 01/02/98 9,393 9,391,500
------------
CERTIFICATES OF DEPOSIT -- 21.2%
Bank of Boston N.A.
5.87%................... 10/14/98 15,000 14,994,379
Bank of Tokyo
6.50%................... 03/04/98 30,000 30,000,000
Canadian Imperial Bank of
Commerce
5.80%................... 03/18/98 30,000 30,000,000
Deutsche Bank
5.79%................... 03/04/98 10,000 10,000,000
NationsBank N.A.
5.83%................... 12/22/98 5,000 4,997,208
Norinchukin Bank NY
6.02%................... 02/13/98 26,000 26,000,306
Rabobank Nederland NV NY
5.99%................... 03/24/98 10,000 9,998,927
Short Term Card Account
Trust 144A
5.98%................... 01/15/98 20,000 20,000,000
Swiss Bank Corp.
5.76%................... 03/19/98 15,000 15,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(COST $160,990,820)................... 160,990,820
------------
COMMERCIAL PAPER -- 63.6%
CHEMICALS -- 3.6%
Bayer Co.
5.75%................... 02/20/98 27,250 27,032,378
------------
FINANCIAL-BANK & TRUST -- 12.2%
Abbey National North
America Corp.
5.735%.................. 03/10/98 25,000 24,729,181
Cregem North America, Inc.
5.69%................... 02/23/98 29,000 28,757,069
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -----------
<S> <C> <C> <C>
NationsBank Corp.
5.75%................... 02/23/98 $ 30,000 $ 29,746,042
SunTrust Banks, Inc.
5.87%................... 01/23/98 10,000 9,964,128
------------
93,196,420
------------
FINANCIAL SERVICES -- 40.5%
American Express Co.
6.45%................... 01/02/98 38,000 37,993,192
Ameritech Capital
Funding Corp.+
5.90%................... 01/28/98 30,000 29,867,250
Associates Corp.
5.72%................... 03/10/98 25,000 24,729,889
Bankers Trust NY
5.6125% [VR]............ 07/07/98 7,000 6,996,188
5.69%................... 04/23/98 20,000 19,997,030
Bayerische Landesbank NY
5.71%................... 02/06/98 10,000 9,999,716
Bayerische Landesbank NY
5.87% [VR].............. 06/26/98 10,000 9,996,249
British Gas International
Finance
5.66%................... 03/23/98 35,000 34,554,275
Ford Motor Credit Corp.
5.70%................... 03/26/98 20,735 20,459,224
General Electric Capital
Corp.
5.70%................... 02/06/98 15,000 14,914,500
KFW International Finance
Inc.
5.74%................... 01/29/98 12,000 11,946,427
5.70%................... 02/12/98 25,000 24,883,750
Landesbank Hess
6.08%................... 06/09/98 10,000 9,998,336
National Australia
Funding, Inc.
5.74%................... 02/18/98 30,000 29,770,400
National Westminster Bank
NY
6.06%................... 05/26/98 5,000 4,999,621
Providence of Quebec
5.615%.................. 03/06/98 5,500 5,445,098
Rabobank Nederland NV NY
5.55%................... 04/29/98 12,000 11,781,700
------------
308,282,845
------------
PHARMACEUTICALS -- 3.3%
Pfizer Inc.+
5.95%................... 01/28/98 25,000 24,888,437
------------
</TABLE>
31
<PAGE> 33
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
UTILITIES -- 4.0%
Southern Co.+
5.70%................... 02/23/98 $ 30,500 $ 30,244,054
------------
TOTAL COMMERCIAL PAPER
(COST $483,644,134)................... 483,644,134
------------
TOTAL INVESTMENTS -- 100.0%
(COST $760,024,840)................... 760,024,840
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0%........................ (136,725)
------------
NET ASSETS -- 100.0%.................... $759,888,115
===========
</TABLE>
- --------------------------------------------------------------------------------
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 2.6% of net assets.
+ 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
11.2% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
32
<PAGE> 34
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 84.7%
MACHINERY & EQUIPMENT -- 0.7%
Federal Signal Corp. .............. 64,900 $ 1,403,462
----------
METALS & MINING -- 0.5%
Barrick Gold Corp. ................ 50,500 940,562
----------
OIL & GAS -- 4.3%
Atlantic Richfield Co. ............ 11,400 913,425
Burlington Resources, Inc. ........ 33,100 1,483,294
Sonat, Inc. ....................... 82,300 3,765,225
Ultramar Diamond Shamrock Corp. ... 80,100 2,553,187
----------
8,715,131
----------
REAL ESTATE -- 8.6%
Associated Estates Realty Corp.
[REIT] .......................... 74,900 1,774,194
Avalon Properties, Inc. [REIT] .... 56,000 1,732,500
Boston Properties, Inc. [REIT] .... 58,500 1,934,156
Duke Realty Investments, Inc.
[REIT] .......................... 98,100 2,378,925
Equity Residential Properties Trust
[REIT] .......................... 34,300 1,734,294
Liberty Property Trust [REIT] ..... 56,700 1,619,494
Meditrust Corp. Paired Stock
[REIT] .......................... 99,250 3,635,031
Security Capital Pacific Trust
[REIT] .......................... 73,500 1,782,375
The Price REIT, Inc. [REIT] ....... 18,200 745,062
----------
17,336,031
----------
TELECOMMUNICATIONS -- 16.1%
Ameritech Corp. ................... 25,600 2,060,800
Bell Atlantic Corp. ............... 40,000 3,640,000
BellSouth Corp. ................... 49,600 2,793,100
Cincinnati Bell, Inc. ............. 33,500 1,038,500
GTE Corp. ......................... 76,500 3,997,125
MCI Communications Corp. .......... 78,700 3,369,344
SBC Communications, Inc. .......... 66,500 4,871,125
Sprint Corp. ...................... 98,500 5,774,562
U.S. West Communications Group .... 105,800 4,774,225
----------
32,318,781
----------
UTILITIES -- COMBINATION -- 10.3%
Enron Corp. ....................... 104,754 4,353,838
LG&E Corporation .................. 36,200 895,950
MAPCO, Inc. ....................... 19,900 920,375
Montana Power Co. ................. 59,600 1,896,025
New Century Energies, Inc. ........ 49,000 2,348,937
PECO Energy Co. ................... 27,100 657,175
Public Service Enterprise Group,
Inc. ............................ 56,100 1,777,669
Puget Sound Energy, Inc. .......... 88,500 2,671,594
SCANA Corp. ....................... 69,000 2,065,687
Union Electric Co. ................ 47,500 2,054,375
UtiliCorp United, Inc. ............ 27,900 1,082,869
----------
20,724,494
----------
UTILITIES -- ELECTRIC -- 34.0%
Central & South West Corp. ........ 44,000 1,190,750
Cinergy Corp. ..................... 72,500 2,777,656
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
CMS Energy Corp. .................. 143,000 $ 6,300,937
DPL, Inc. ......................... 125,800 3,616,750
DQE, Inc. ......................... 117,000 4,109,625
Duke Energy Corp. ................. 86,000 4,762,250
Entergy Corp. ..................... 170,000 5,089,375
Florida Progress Corp. ............ 52,600 2,064,550
FPL Group, Inc. ................... 94,400 5,587,300
Houston Industries, Inc. .......... 74,500 1,988,219
NIPSCO Industries, Inc. ........... 100,500 4,968,469
Pacificorp ........................ 194,500 5,312,281
PG&E Corp. ........................ 95,500 2,906,781
Pinnacle West Capital Co. ......... 87,300 3,699,337
Potomac Electric Power Co. ........ 60,500 1,561,656
Southern Co. ...................... 130,000 3,363,750
Teco Energy, Inc. ................. 131,000 3,684,375
Texas Utilities Co. ............... 129,000 5,361,563
----------
68,345,624
----------
UTILITIES -- GAS -- 10.2%
AGL Resources, Inc. ............... 3,400 69,488
Columbia Gas System, Inc. ......... 11,000 864,188
Consolidated Natural Gas Co. ...... 80,800 4,888,400
El Paso Natural Gas Co. ........... 77,500 5,153,750
KeySpan Energy Corp. .............. 10,100 371,806
MCN Energy Group, Inc. ............ 139,500 5,632,313
Pacific Enterprises ............... 96,200 3,619,525
----------
20,599,470
----------
TOTAL COMMON STOCK
(COST $145,739,371).................. 170,383,555
----------
PREFERRED STOCK -- 5.9%
FINANCIAL-BANK & TRUST -- 0.7%
Unocal Corp. 6.25% [CVT] .......... 26,100 1,458,338
----------
FINANCIAL SERVICES -- 2.1%
Merrill Lynch & Co., Inc. 6.25%
[CVT] ........................... 45,600 1,573,200
Salomon Smith Barney Holdings, Inc.
6.25% [CVT] ..................... 45,400 2,689,950
----------
4,263,150
----------
METALS & MINING -- 0.4%
Coeur D'alene Mines Corp. 7.00%
[CVT] ........................... 59,900 726,288
----------
OIL & GAS -- 2.2%
Williams Companies, Inc. $3.50
[CVT] ........................... 32,400 4,372,186
----------
UTILITIES -- ELECTRIC -- 0.1%
Cal Energy Co., Inc. 6.25%
[CVT] ........................... 3,000 135,375
----------
UTILITIES -- GAS -- 0.5%
MCN Energy Group, Inc. 8.00%
[CVT] ........................... 15,700 983,213
----------
TOTAL PREFERRED STOCK
(COST $10,934,858)................... 11,938,550
----------
</TABLE>
33
<PAGE> 35
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
FOREIGN STOCK -- 1.0%
UTILITIES - COMBINATION
Viag AG -- (DEM) (COST
$1,636,861) ....................... 3,500 $ 1,917,366
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- -------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 8.2%
Greenwich Capital
Markets, Inc., 6.10%,
dated 12/31/97,
repurchase price
$16,591,621
(Collateralized by
U.S. Treasury Notes,
par value
$16,374,000, market
value $16,932,747 due
02/15/98)
(COST $16,586,000)... 01/02/98 $16,586 16,586,000
-------------
TOTAL INVESTMENTS -- 99.8%
(COST $174,897,090).............. 200,825,471
OTHER ASSETS LESS
LIABILITIES -- 0.2%................ 317,701
-------------
NET ASSETS -- 100.0%................. $ 201,143,172
=============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
34
<PAGE> 36
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 48.8%
ADVERTISING -- 0.2%
Omnicom Group, Inc. ............... 15,400 $ 652,575
----------
AEROSPACE -- 1.1%
Boeing Co. ........................ 33,035 1,616,650
General Motors Corp. Cl-H ......... 18,943 699,707
Northrop Grumman Corp. ............ 9,978 1,147,470
Raytheon Co. Cl-A ................. 11,047 544,766
----------
4,008,593
----------
AIRLINES -- 0.4%
Delta Air Lines, Inc. ............. 10,766 1,281,154
----------
AUTOMOBILE MANUFACTURERS -- 0.2%
Chrysler Corp. .................... 19,765 695,481
----------
AUTOMOTIVE PARTS -- 1.8%
Dana Corp. ........................ 34,345 1,631,387
Eaton Corp. ....................... 11,455 1,022,359
Goodyear Tire & Rubber Co. ........ 29,448 1,873,629
Magna International, Inc. Cl-A .... 8,769 550,803
TRW, Inc. ......................... 22,823 1,218,178
----------
6,296,356
----------
BEVERAGES -- 0.4%
Pepsico, Inc. ..................... 37,445 1,364,402
----------
BROADCASTING -- 0.4%
Chancellor Media Corp. Cl-A* ...... 7,000 522,375
Clear Channel Communications,
Inc.* ........................... 6,300 500,456
Sinclair Broadcasting Group, Inc.
A* .............................. 7,200 335,700
----------
1,358,531
----------
BUILDING MATERIALS -- 0.6%
Lowe's Companies, Inc. ............ 29,135 1,389,375
Masco Corp. ....................... 16,750 852,156
Terex Corp. Appreciation
Rights* ......................... 600 12,300
----------
2,253,831
----------
BUSINESS SERVICES -- 0.3%
Accustaff, Inc.* .................. 11,600 267,162
Norrell Corp. ..................... 10,700 212,662
Quintiles Transnational Corp.* .... 9,200 351,900
Robert Half International,
Inc.* ........................... 8,700 348,000
----------
1,179,724
----------
CHEMICALS -- 1.0%
Dupont, (E.I.) de Nemours & Co. ... 21,125 1,268,820
Eastman Chemical Co. .............. 20,522 1,222,342
Witco Corp. ....................... 26,723 1,090,632
----------
3,581,794
----------
CLOTHING & APPAREL -- 0.2%
Jones Apparel Group, Inc.* ........ 9,800 421,400
WestPoint Stevens, Inc.* .......... 8,200 387,450
----------
808,850
----------
COMPUTER HARDWARE -- 1.5%
Hewlett-Packard Co. ............... 38,140 2,383,750
International Business Machines
Corp. ........................... 23,036 2,408,702
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Seagate Technology, Inc.* ......... 31,400 $ 604,450
----------
5,396,902
----------
COMPUTER SERVICES & SOFTWARE -- 1.7%
BMC Software, Inc.* ............... 7,600 498,750
Computer Associates International,
Inc. ............................ 39,175 2,071,378
Compuware Corp.* .................. 15,100 483,200
Fiserv, Inc.* ..................... 6,700 329,137
HNC Software, Inc.* ............... 5,900 253,700
NCR Corp.* ........................ 29,765 827,839
Peoplesoft, Inc.* ................. 15,000 585,000
Security Dynamics Technologies,
Inc.* ........................... 6,400 228,800
SIPEX Corp.* ...................... 8100 245,025
VERITAS Software Corp.* ........... 3,600 183,600
Viasoft, Inc.* .................... 3,100 130,975
----------
5,837,404
----------
CONGLOMERATES -- 1.3%
Minnesota Mining & Manufacturing
Co. ............................. 15,348 1,259,495
Philip Morris Companies, Inc. ..... 41,937 1,900,270
Tenneco, Inc. ..................... 39,340 1,553,930
----------
4,713,695
----------
CONSUMER PRODUCTS & SERVICES -- 1.7%
Apollo Group, Inc. Cl-A* .......... 9,300 439,425
Clorox Co. ........................ 11,205 885,895
Colgate-Palmolive Co. ............. 1,600 117,600
Eastman Kodak Co. ................. 27,915 1,697,581
Hedstrom Holdings 144A* ........... 303 379
Rexall Sundown, Inc.* ............. 10,400 313,950
RJR Nabisco Holdings Corp. ........ 28,950 1,085,625
Sunbeam Oster Corp. ............... 7,900 332,787
Whitman Corp. ..................... 51,671 1,346,675
----------
6,219,917
----------
CONTAINERS & PACKAGING -- 0.7%
Owens-Illinois, Inc.* ............. 54,425 2,064,748
Temple-Inland, Inc. ............... 8,296 433,984
----------
2,498,732
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.2%
AES Corp.* ........................ 11,400 531,525
Altera Corp.* ..................... 6,400 212,000
Diebold, Inc. ..................... 7,600 384,750
Emerson Electric Co. .............. 24,405 1,377,357
Genrad, Inc.* ..................... 7,900 238,481
Linear Technology Corp. ........... 4,000 230,500
Maxim Integrated Products,
Inc.* ........................... 7,600 262,200
Molex, Inc. ....................... 8,650 277,881
Polaroid Corp. .................... 30,753 1,497,287
SCI Systems, Inc.* ................ 7,700 335,431
SGS-Thomson Microelectronics
NV [ADR]* ....................... 4,700 286,994
Solectron Corp.* .................. 7,000 290,937
Teradyne, Inc.* ................... 10,500 336,000
Texas Instruments, Inc. ........... 39,035 1,756,575
----------
8,017,918
----------
</TABLE>
35
<PAGE> 37
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 0.2%
Harley-Davidson, Inc. ............. 13,300 $ 364,087
Royal Caribbean Cruises Ltd. ...... 6,400 341,200
----------
705,287
----------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries,
Inc. ............................ 36,055 1,334,035
USA Waste Services, Inc.* ......... 7,225 283,581
----------
1,617,616
----------
FARMING & AGRICULTURE -- 0.1%
Dekalb Genetics Corp. Cl-B ........ 8,700 341,475
----------
FINANCIAL-BANK & TRUST -- 5.1%
Banc One Corp. .................... 22,365 1,214,699
BankBoston Corp. .................. 8,100 760,894
Bankers Trust New York Corp. ...... 12,617 1,418,624
Crestar Financial Corp. ........... 800 45,600
First Chicago NBD Corp. ........... 14,440 1,205,740
First Tennessee National Corp. .... 6,790 453,232
Firstar Corp. ..................... 6,600 280,087
GreenPoint Financial Corp. ........ 6,200 449,887
Mercantile Bancorporation, Inc. ... 18,670 1,148,205
Morgan, (J.P.) & Co., Inc. ........ 12,539 1,415,340
National City Corp. ............... 10,585 695,964
Northern Trust Corp. .............. 7,300 509,175
PNC Bank Corp. .................... 55,353 3,158,581
Providian Financial Corp. ......... 8,300 375,056
Regions Financial Corp. ........... 14,600 615,937
Star Banc Corp. ................... 7,900 453,262
State Street Boston Corp. ......... 7,300 424,769
Summit Bancorp .................... 13,795 734,584
Suntrust Banks, Inc. .............. 8,330 594,554
Union Planters Corp. .............. 12,985 882,168
Wells Fargo & Co. ................. 3,500 1,188,031
Westamerica Bancorporation ........ 3,400 347,650
----------
18,372,039
----------
FINANCIAL SERVICES -- 1.4%
Ahmanson, (H.F.) & Co. ............ 29,765 1,992,395
Beneficial Corp. .................. 9,800 814,625
Capital One Financial Corp. ....... 5,900 319,706
Esat Holdings Ltd. Warrants* ...... 35 0
Finova Group, Inc. ................ 10,200 506,812
Lehman Brothers, Inc. ............. 4,100 209,100
SunAmerica, Inc. .................. 10,700 457,425
Washington Mutual, Inc. ........... 10,200 650,887
----------
4,950,950
----------
FOOD -- 2.1%
General Mills, Inc. ............... 26,746 1,915,682
Giant Food, Inc. Cl-A ............. 5,500 185,281
Heinz, (H.J.) Co. ................. 28,000 1,422,750
International Home Foods, Inc.* ... 10,100 282,800
Quaker Oats Co. ................... 29,480 1,555,070
Ralston Purina Group .............. 9,750 906,141
Sara Lee Corp. .................... 23,160 1,304,197
----------
7,571,921
----------
SHARES VALUE
------- ------------
HEALTHCARE SERVICES -- 0.6%
Health Care & Retirement Corp.* ... 7,800 $ 313,950
Health Management Associates,
Inc.* ........................... 15,750 397,687
Healthsouth Corp.* ................ 12,900 357,975
Omnicare, Inc. .................... 18,300 567,300
Wellpoint Health Networks, Inc. ... 7,200 304,200
----------
1,941,112
----------
HOTELS & MOTELS -- 0.3%
ITT Corp.* ........................ 13,300 1,102,237
----------
INDUSTRIAL PRODUCTS -- 0.0%
Cellnet Data Systems Warrants* .... 95 10
----------
INSURANCE -- 1.8%
American General Corp. ............ 28,866 1,560,568
AON Corp. ......................... 25,351 1,486,202
CIGNA Corp. ....................... 7,347 1,271,490
Hartford Life, Inc. Cl-A* ......... 7,400 335,312
Reliastar Financial Corp. ......... 8,400 345,975
USF&G Corp. ....................... 62,973 1,389,342
----------
6,388,889
----------
MACHINERY & EQUIPMENT -- 1.1%
Caterpillar, Inc. ................. 23,245 1,128,835
Cooper Industries, Inc. ........... 25,020 1,225,980
Deere & Co. ....................... 16,585 967,113
Precision Castparts Corp. ......... 6,800 410,125
Smith International, Inc.* ........ 4,300 263,912
----------
3,995,965
----------
MEDICAL SUPPLIES & EQUIPMENT -- 1.4%
Baxter International, Inc. ........ 38,176 1,925,502
Gulf South Medical Supply,
Inc.* ........................... 2,900 108,025
Johnson & Johnson Co. ............. 25,545 1,682,777
Mentor Corp. ...................... 8,700 317,550
Schein, (Henry), Inc.* ............ 6,900 241,500
Sofamor Danek Group, Inc. ......... 5,400 351,337
Stryker Corp. ..................... 8,700 324,075
Urohealth System, Inc. Warrants
144A*............................ 30 75
----------
4,950,841
----------
OFFICE EQUIPMENT -- 1.3%
Pitney Bowes, Inc. ................ 16,055 1,443,947
Xerox Corp. ....................... 42,156 3,111,640
----------
4,555,587
----------
OIL & GAS -- 4.5%
Amoco Corp. ....................... 18,272 1,555,404
Atlantic Richfield Co. ............ 18,170 1,455,871
British Petroleum Co. PLC [ADR] ... 15,966 1,272,291
Camco International, Inc. ......... 6,900 439,444
Coastal Corp. ..................... 18,275 1,131,908
Enron Corp. ....................... 10,300 428,094
Ensco International, Inc. ......... 10,000 335,000
Exxon Corp. ....................... 21,831 1,335,784
Global Marine, Inc.* .............. 10,500 257,250
Kerr-McGee Corp. .................. 12,220 773,679
Mobil Corp. ....................... 19,066 1,376,327
Occidental Petroleum Corp. ........ 39,831 1,167,546
Petroleo Brasileiro SA [ADR]
144A* ........................... 5,100 119,274
</TABLE>
36
<PAGE> 38
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Societe Nationale Elf Aquitaine
SA [ADR] ........................ 34,780 $ 2,038,977
Tosco Corp. ....................... 38,430 1,453,134
Western Atlas, Inc.* .............. 5,300 392,200
YPF SA [ADR] ...................... 19,900 680,331
----------
16,212,514
----------
PAPER & FOREST PRODUCTS -- 1.2%
Boise Cascade Corp. ............... 35,665 1,078,866
Kimberly-Clark Corp. .............. 43,567 2,148,398
Willamette Industries, Inc. ....... 27,615 888,858
----------
4,116,122
----------
PERSONAL SERVICES -- 0.0%
Sylvan Learning Systems, Inc.* .... 1,100 42,900
----------
PHARMACEUTICALS -- 3.4%
American Home Products Corp. ...... 25,718 1,967,427
Biochem Pharma, Inc. .............. 11,000 229,625
Bristol-Meyers Squibb Co. ......... 22,597 2,138,241
Dura Pharmaceutical, Inc.* ........ 7,000 321,125
Elan Corp. PLC [ADR]* ............. 7,700 394,144
Glaxo Wellcome PLC [ADR] .......... 15,240 729,615
ICN Pharmaceuticals, Inc. ......... 5,700 278,231
Incyte Pharmaceuticals, Inc. ...... 6,000 270,000
McKesson Corp. .................... 4,200 454,387
Merck & Co., Inc. ................. 23,485 2,495,281
Pharmacia & Upjohn, Inc. .......... 78,132 2,861,584
----------
12,139,660
----------
PRINTING & PUBLISHING -- 0.6%
Belo, (A.H.) Corp. Cl-A ........... 7,900 443,387
Central Newspapers, Inc. Cl-A ..... 3,800 280,962
McGraw-Hill Co., Inc. ............. 15,295 1,131,830
Times Mirror Co. Cl-A ............. 7,200 442,800
----------
2,298,979
----------
RAILROADS -- 0.7%
Canadian National Railway Co. ..... 15,280 721,980
Norfolk Southern Corp. ............ 487 15,006
Union Pacific Corp. ............... 27,186 1,697,426
----------
2,434,412
----------
RESTAURANTS -- 0.1%
AmeriKing, Inc.* .................. 25 1,250
CKE Restaurants, Inc. ............. 7,900 332,787
----------
334,037
----------
RETAIL & MERCHANDISING -- 2.3%
Arbor Drugs, Inc. ................. 11,550 213,675
Bed, Bath & Beyond, Inc.* ......... 7,400 284,900
Borders Group, Inc.* .............. 12,000 375,750
Consolidated Stores Corp.* ........ 10,106 444,032
Family Dollar Stores, Inc. ........ 16,700 489,519
Kmart Corp.* ...................... 106,350 1,229,672
Kohls Corp.* ...................... 6,400 436,000
Linens 'N Things, Inc.* ........... 6,900 301,012
Meyer, (Fred), Inc.* .............. 10,100 367,387
Miller, (Herman), Inc. ............ 6,400 349,200
Payless Shoesource, Inc.* ......... 5,500 369,187
SHARES VALUE
------- ------------
Penney (J.C.) Co., Inc. ........... 900 $ 54,281
Pier 1 Imports, Inc. .............. 22,650 512,456
Rite Aid Corp. .................... 7,500 440,156
Starbucks Corp. ................... 6,900 264,787
TJX Companies, Inc. ............... 16,700 574,062
Toys 'R' Us, Inc.* ................ 51,025 1,604,098
----------
8,310,174
----------
SEMICONDUCTORS -- 0.7%
Intel Corp. ....................... 30,085 2,113,471
Xilinx, Inc.* ..................... 5,900 206,869
----------
2,320,340
----------
TELECOMMUNICATIONS -- 3.3%
ADC Telecommunications, Inc.* ..... 11,100 463,425
AT&T Corp. ........................ 22,215 1,360,669
Bell Atlantic Corp. ............... 17,485 1,591,135
BellSouth Corp. ................... 30,293 1,705,875
Globalstar Telecommunications
Warrants 144A* .................. 45 489
Intercel, Inc. Warrants 144A* ..... 640 4,608
Jacor Communications, Inc.* ....... 3,800 201,875
McCaw International Ltd.
Warrants* ....................... 10 0
Nextel Communications, Inc.
Cl-A* ........................... 503 13,078
SBC Communications, Inc. .......... 23,309 1,707,384
Sprint Corp. ...................... 38,611 2,263,570
Tele-Communications TCI Ventures
Group Cl-A ...................... 11,000 311,437
Teleport Communications Group, Inc.
Cl-A* ........................... 9,600 526,800
Tellabs, Inc.* .................... 6,500 343,687
U.S. West Communications Group .... 32,340 1,459,342
----------
11,953,374
----------
TRANSPORTATION -- 0.4%
Consolidated Freightways, Inc. .... 4,500 172,687
Expeditors International of
Washington, Inc. ................ 7,300 281,050
Ryder Systems, Inc. ............... 33,400 1,093,850
----------
1,547,587
----------
TOTAL COMMON STOCK
(COST $149,677,775).................. 174,369,887
----------
PREFERRED STOCK -- 0.1%
BROADCASTING -- 0.0%
American Radio Systems Corp.
$11.375 Cl-B [PIK] .............. 2 232
Capstar Broadcasting 12.00%
[PIK] ........................... 200 23,000
Chancellor Media Corp. 12.00%
[PIK] ........................... 423 48,433
Citadel Broadcasting Co. 13.25%
[PIK] 144A ...................... 200 23,300
Echostar Communications Corp.
12.125% 144A .................... 100 10,450
----------
105,415
----------
ENTERTAINMENT & LEISURE -- 0.1%
Time Warner, Inc. Cl-M 10.25% ..... 120 135,297
----------
</TABLE>
37
<PAGE> 39
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
INDUSTRIAL PRODUCTS -- 0.0%
Anvil Holding, Inc. 13.00%
[PIK] ........................... 13 $ 312
----------
RESTAURANTS -- 0.0%
AmeriKing, Inc. 13.00% ............ 1,135 29,123
----------
TELECOMMUNICATIONS -- 0.0%
Cablevision Systems Corp. Cl-M
11.125% [PIK] ................... 345 40,405
Nextlink Communications, Inc.
14.00% [PIK] .................... 425 26,350
----------
66,755
----------
UTILITIES -- 0.0%
El Paso Electric Co. 11.40%
[PIK] ........................... 414 45,954
Public Service Co. of New Hampshire
Cl-A 10.60% ..................... 1,410 34,897
----------
80,851
----------
TOTAL PREFERRED STOCK
(COST $351,967)...................... 417,753
----------
FOREIGN STOCK -- 8.5%
AEROSPACE -- 0.1%
Rolls-Royce PLC -- (GBP) .......... 49,251 190,441
----------
AUTOMOBILE MANUFACTURERS -- 0.1%
Bayerische Motoren Werke AG --
(DEM) ........................... 653 488,468
----------
AUTOMOTIVE PARTS -- 0.2%
Bridgestone Corp. -- (JPY) ........ 7,000 152,360
Michelin C.G.D.E. Cl-B -- (FRF) ... 9,077 457,180
Renault SA -- (FRF) ............... 1,710 48,123
----------
657,663
----------
BEVERAGES -- 0.2%
Bass PLC -- (GBP) ................. 28,204 438,316
Fomento Economico Mexicano SA
Cl-B -- (MXP) ................... 21,900 174,943
----------
613,259
----------
BUILDING MATERIALS -- 0.3%
Cemex SA de CV -- (MXP) ........... 42,861 194,586
CRH PLC -- (IEP) .................. 38,634 452,645
Lafarge SA -- (FRF) ............... 5,087 333,927
----------
981,158
----------
CHEMICALS -- 0.3%
AKZO Nobel NV -- (NLG) ............ 2,612 450,445
Bayer AG -- (DEM) ................. 11,514 427,443
Ciba Specialty Chemicals AG --
(CHF)* .......................... 2,744 327,350
----------
1,205,238
----------
CLOTHING & APPAREL -- 0.0%
Onward Kashiyama Co.
Ltd. -- (JPY) ................... 8,000 92,908
----------
CONGLOMERATES -- 0.7%
Alfa SA de C.V. -- (MXP) .......... 43,909 297,381
B.A.T. Industries PLC -- (GBP) .... 62,646 571,055
BTR PLC -- (GBP) .................. 93,090 281,836
SHARES VALUE
------- ------------
Compagnie Generale des Eaux --
(FRF) ........................... 2,998 $ 418,613
Compagnie Generale des Eaux
Warrants -- (FRF)* .............. 480 326
Hutchison Whampoa Ltd. -- (HKD) ... 26,000 163,082
Securicor PLC -- (GBP) ............ 31,236 147,250
Smith Industries PLC -- (GBP) ..... 22,697 316,694
Tomkins PLC -- (GBP) .............. 80,495 385,422
----------
2,581,659
----------
CONSUMER PRODUCTS & SERVICES -- 0.4%
Bombardier, Inc. Cl-B -- (CAD) .... 11,800 243,253
Cookson Group PLC -- (GBP) ........ 26,000 83,636
Fuji Photo Film Co. -- (JPY) ...... 7,000 269,187
Kao Corp. -- (JPY) ................ 23,000 332,561
Unilever PLC -- (GBP) ............. 40,400 346,333
----------
1,274,970
----------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 0.7%
General Electric Co.
PLC -- (GBP) .................... 59,197 384,257
Hirose Electric Ltd. -- (JPY) ..... 2,400 123,118
Murata Manufacturing Co. Ltd. --
(JPY) ........................... 4,000 100,907
Omron Corp. -- (JPY) .............. 16,000 251,036
Philips Electronics NV
-- (NLG) ....................... 7,030 421,683
Rohm Co. -- (JPY) ................. 2,000 204,582
SGS-Thomson Microelectronics --
(FRF)* .......................... 5,643 349,413
Siebe PLC -- (GBP) ................ 5600 110,111
Sony Corp. -- (JPY) ............... 4,700 419,317
Tokyo Electron Ltd. -- (JPY) ...... 4,000 128,595
----------
2,493,019
----------
ENERGY SERVICES -- 0.1%
VA Technologie AG -- (ATS) ........ 1,884 285,634
----------
FINANCIAL-BANK & TRUST -- 1.3%
ABN Amro Holding NV -- (NLG) ...... 7,221 140,699
Allied Irish Banks PLC -- (IEP) ... 45,730 443,228
Bank of Nova Scotia -- (CAD) ...... 8,173 384,657
Banque Nationale de
Paris -- (FRF) .................. 3,160 168,036
Commonwealth Bank of Australia --
(AUD) ........................... 14,575 167,140
Dao Heng Bank Group
Ltd. -- (HKD) ................... 26,500 66,179
Deutsche Bank AG -- (DEM) ......... 5550 388306
Developmental Bank of Singapore
Ltd. Cl-F -- (SGD) .............. 22,000 188,019
HSBC Holdings PLC -- (HKD) ........ 17,165 423,129
ING Groep NV -- (NLG) ............. 11,355 478,346
Julius Baer Holdings AG Cl-B --
(CHF) ........................... 188 349,306
Overseas-Chinese Banking Corp. Ltd.
(SGD) ........................... 12,000 69,795
Overseas Union Bank Ltd.
Cl-F (SGD) ...................... 19,000 72,733
Royal Bank of Canada -- (CAD) ..... 3,250 171,696
Union Bank of
Switzerland -- (CHF) ............ 452 654,502
</TABLE>
38
<PAGE> 40
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
United Overseas Bank
Ltd. -- (SGD) ................... 43,000 $ 238,614
Westpac Banking Corp.
Ltd. -- (AUD) ................... 53,400 341,535
----------
4,745,920
----------
FINANCIAL SERVICES -- 0.4%
Bank of Ireland PLC -- (IEP) ...... 32,499 501,203
Cetelem -- (FRF) .................. 1,634 222,725
Guoco Group Ltd. -- (HKD) ......... 23,000 56,251
Nikko Securities Co.
Ltd. -- (JPY) ................... 46,000 122,411
Promise Co. Ltd. -- (JPY) ......... 3,190 177,630
Societe Generale -- (FRF) ......... 1,944 264,980
----------
1,345,200
----------
FOOD -- 0.4%
Goodman Fielder Ltd. -- (AUD) ..... 114,923 182,707
Greencore Group PLC -- (IEP) ...... 35,697 167,904
Ito-Yokado Co. Ltd. -- (JPY) ...... 5,000 255,728
Nestle SA -- (CHF) ................ 503 754,905
----------
1,361,244
----------
INSURANCE -- 0.1%
QBE Insurance Group
Ltd. -- (AUD).................... 14,350 62,443
Royal & Sun Alliance Insurance
Group PLC -- (GBP) ............. 8,300 83,717
Zurich
Versicherungs-Gesellschaft --
(CHF) ........................... 314 149,836
----------
295,996
----------
MACHINERY & EQUIPMENT -- 0.3%
ABB AG -- (CHF) ................... 66 83,035
Kurita Water Industries
Ltd. -- (JPY) ................... 6,000 61,375
Mannesmann AG -- (DEM) ............ 800 401,771
Rieter Holdings AG -- (CHF)* ...... 236 100,966
Sandvik AB Cl-A -- (SEK) .......... 976 27,800
Sandvik AB Cl-B -- (SEK) .......... 9,858 282,035
----------
956,982
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.2%
Glaxo Wellcome PLC -- (GBP) ....... 16,554 392,230
Novartis AG -- (CHF) .............. 192 311,981
Sankyo Co. Ltd. -- (JPY) .......... 6,000 136,132
----------
840,343
----------
METALS & MINING -- 0.1%
Rio Tinto PLC -- (GBP) ............ 25,909 319,306
----------
OFFICE EQUIPMENT -- 0.1%
Canon, Inc. -- (JPY) .............. 15,000 350,712
Ricoh Co. Ltd. -- (JPY) ........... 7,000 87,217
----------
437,929
----------
OIL & GAS -- 0.8%
British Petroleum Co.
PLC -- (GBP) .................... 29,622 389,923
Burmah Castrol PLC -- (GBP) ....... 24,221 421,252
Ente Nazionale Idrocarburi SPA --
(ITL) ........................... 82,472 467,871
Hong Kong & China Gas Co. Ltd. --
(HKD) ........................... 50,200 97,183
Shell Transport & Trading Co.
PLC -- (GBP) .................... 53,150 384,796
SHARES VALUE
------- ------------
Societe Nationale Elf Aquitaine
SA -- (FRF) ..................... 4,069 $ 473,465
Total SA Cl-B -- (FRF) ............ 4,653 506,613
----------
2,741,103
----------
PAPER & FOREST PRODUCTS -- 0.1%
Svenska Cellulosa AB
Cl-B -- (SEK) ................... 13,112 294,982
----------
PHARMACEUTICALS -- 0.1%
Astra AB Cl-A -- (SEK) ............ 6,080 105,365
Pharmacia & Upjohn,
Inc. -- (SEK) ................... 4,804 176,797
Santen Pharmaceutical
Ltd. -- (JPY) ................... 700 8,076
Yamanouchi Pharmaceutical Co.
Ltd. -- (JPY) ................... 7,000 150,745
----------
440,983
----------
PRINTING & PUBLISHING -- 0.1%
Dai Nippon Printing Co.
Ltd. -- (JPY) ................... 16,000 301,490
----------
REAL ESTATE -- 0.1%
Amoy Properties Ltd. -- (HKD) ..... 132,000 115,845
Cheung Kong Holdings
Ltd. -- (HKD) ................... 39,000 255,444
Sun Hung Kai Properties Ltd. --
(HKD) ........................... 15,000 104,539
----------
475,828
----------
RETAIL & MERCHANDISING -- 0.1%
Dixons Group PLC -- (GBP) ......... 16,000 160,856
Vendex International
NV -- (NLG) ..................... 5,652 311,982
----------
472,838
----------
TELECOMMUNICATIONS -- 0.7%
Deutsche Telekom AG -- (DEM) ...... 28,619 530,029
Ericsson, (L.M.) Telephone Co.
Cl-B -- (SEK) ................... 7,401 278,434
Newbridge Networks
Corp. -- (CAD)* ................. 4,000 139,900
Nokia AB Cl-A -- (FIM) ............ 4,663 331,391
Northern Telecom Ltd. -- (CAD) .... 3,674 326,445
Philippine Long Distance Telephone
Co. -- (PHP) .................... 500 11,028
Portugal Telecom SA -- (PTE) ...... 5,310 246,662
Vodafone Group PLC -- (GBP) ....... 104,002 751,244
----------
2,615,133
----------
TRANSPORTATION -- 0.1%
Peninsular & Oriental Steam
Navigation Co. -- (GBP) ......... 14,200 161,802
Yamato Transport Co.
Ltd. -- (JPY) ................... 12,000 161,512
----------
323,314
----------
UTILITIES -- 0.4%
Electricidade de Portugal
SA -- (PTE) ..................... 17,700 335,526
Hong Kong Electric Holdings Ltd. --
(HKD) ........................... 15,000 57,013
Scottish Power PLC -- (GBP) ....... 57,359 507,760
Veba AG -- (DEM) .................. 7,805 531,753
----------
1,432,052
----------
TOTAL FOREIGN STOCK
(COST $27,328,180)................... 30,265,060
----------
</TABLE>
39
<PAGE> 41
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 13.0%
ADVERTISING -- 0.1%
Lamar Advertising Co. Sr.
Sub. Notes 8.625%
144A ................... 09/15/07 $ 25 $ 25,719
9.625%.................. 12/01/06 35 37,800
Outdoor Communications Sr.
Sub. Notes
9.25%................... 08/15/07 10 10,250
Outdoor Systems, Inc. Sr.
Sub. Notes
8.875%.................. 06/15/07 75 78,562
Universal Outdoor, Inc.
Sr. Sub. Notes
9.75%................... 10/15/06 43 48,375
------------
200,706
------------
AEROSPACE -- 0.2%
Argo-Tech Corp. Sr. Sub.
Notes 144A
8.625%.................. 10/01/07 10 10,000
BE Aerospace, Inc. Sr.
Sub. Notes
9.875%.................. 02/01/06 35 37,012
K&F Industries Sr. Sub.
Notes 144A
9.25%................... 10/15/07 10 10,275
Lockheed Martin Corp.
Notes
7.25%................... 05/15/06 455 481,731
------------
539,018
------------
AIRLINES -- 0.1%
Continental Airlines
Series 97CI
7.42%................... 04/01/07 175 176,969
Trans World Airlines Sr.
Notes 144A
11.50%.................. 12/15/04 10 10,050
------------
187,019
------------
AUTOMOBILE MANUFACTURERS -- 0.0%
Consorcio Grupo Dina SA
[ZCB]
6.251%.................. 11/15/02 20 18,025
------------
AUTOMOTIVE PARTS -- 0.0%
Delco Remy International,
Inc. Sr. Notes
8.625%.................. 12/15/07 10 10,125
Hayes Wheel International,
Inc. Cl-B*
9.125%.................. 07/15/07 85 88,187
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
Lear Corp. Sub. Notes
9.50%................... 07/15/06 $ 35 $ 38,500
Safety Components
International Sr. Sub.
Notes Cl-B
10.125%................. 07/15/07 10 10,337
------------
147,149
------------
BEVERAGES -- 0.0%
Canandaigua Wine Sr. Sub.
Notes
8.875%.................. 12/15/03 55 56,237
------------
BROADCASTING -- 0.5%
Acme Television Finance
Sr. Disc. Notes [STEP]
144A
11.164%................. 09/30/04 15 11,025
Antenna TV SA Sr. Notes
9.00%................... 08/01/07 10 10,012
Argyle Television, Inc.
Sr. Sub. Notes
9.75%................... 11/01/05 56 62,160
Capstar Broadcasting Sr.
Disc. Notes [STEP]
10.789%................. 02/01/09 60 42,750
Central European Media
Enterprises Sr. Notes
9.375%.................. 08/15/04 10 9,700
Citadel Broadcasting Co.
Sr. Sub. Notes 144A
10.25%.................. 07/01/07 10 10,800
Fox Liberty Networks LLC
Sr. Notes 144A
8.875%.................. 08/15/07 40 40,000
Frontiervision Holdings
[STEP]
10.287%................. 09/15/07 100 73,750
Granite Broadcasting Corp.
Sr. Sub. Debs.
10.375%................. 05/15/05 75 78,469
News America Holdings
Debs.
7.70%................... 10/30/25 835 874,662
7.75%................... 12/01/45 365 381,881
Sinclair Broadcasting
Group Sr. Sub. Notes
10.00%.................. 09/30/05 80 84,200
Spanish Broadcasting
System Sr. Notes
12.50%.................. 06/15/02 50 57,375
Spanish Broadcasting
System Sr. Notes Cl-B
11.00%.................. 03/15/04 25 27,562
</TABLE>
40
<PAGE> 42
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
Sullivan Broadcasting
Holdings Co. Sr. Sub.
Notes
10.25%.................. 12/15/05 $ 75 $ 80,156
Young Broadcasting, Inc.
Sr. Sub. Notes Cl-B
9.00%................... 01/15/06 5 4,987
------------
1,849,489
------------
BUILDING MATERIALS -- 0.1%
Atrium Companies, Inc. Sr.
Sub. Notes
10.50%.................. 11/15/06 10 10,487
Building Materials Corp.
Sr. Notes
8.625%.................. 12/15/06 10 10,300
Cemex SA 144A
12.75%.................. 07/15/06 10 12,025
Koppers Industry, Inc. Sr.
Sub. Notes 144A
9.875%.................. 12/01/07 10 10,300
Polytama International
Notes
11.25%.................. 06/15/07 25 21,250
Southdown, Inc. Sr. Sub.
Notes
10.00%.................. 03/01/06 75 81,844
Terex Corp. Sr. Notes
13.25%.................. 05/15/02 23 26,277
------------
172,483
------------
BUSINESS SERVICES -- 0.1%
Affinity Group Holdings
Sr. Notes
11.00%.................. 04/01/07 65 69,306
Affinity Group Holdings
Sr. Sub. Notes
11.50%.................. 10/15/03 55 58,781
Iron Mountain, Inc. Sr.
Sub. Notes 144A
8.75%................... 09/30/09 20 20,550
Outsourcing Solutions
Corp. Sr. Sub. Notes
Cl-B
11.00%.................. 11/01/06 20 22,100
Primark Corp. Sr. Notes
8.75%................... 10/15/20 75 76,219
------------
246,956
------------
CHEMICALS -- 0.3%
Harris Chemical North
American Sr. Sub. Notes
10.75%.................. 10/15/03 40 42,800
Huntsman Corp. Sr. Sub.
Notes 144A
9.1875%................. 01/01/98 40 42,000
Solutia, Inc. Bonds
6.72%................... 10/15/37 890 903,350
PAR
MATURITY (000) VALUE
--------- -------- ------------
Sovereign Specialty
Chemicals Sr. Sub. Notes
144A
9.50%................... 08/01/07 $ 20 $ 20,600
Sterling Chemicals
Holdings Sr. Disc. Notes
[STEP]
12.408%................. 08/15/08 35 23,756
Trikem SA 144A
10.625%................. 07/24/07 15 13,687
------------
1,046,193
------------
CLOTHING & APPAREL -- 0.0%
GFSI, Inc. Sr. Sub. Notes
Cl-B
9.625%.................. 03/01/07 10 10,300
Glenoit Corp. Sr. Sub.
Notes 144A
11.00%.................. 04/15/07 10 10,775
Sassco Fashions Ltd. Sr.
Notes
12.75%.................. 03/31/04 25 26,562
Worldtex, Inc. Senior
Notes 144A
9.625%.................. 12/15/07 10 10,300
------------
57,937
------------
COMPUTER SERVICES & SOFTWARE -- 0.0%
DecisionOne Corp. Sr. Sub.
Notes
9.75%................... 08/01/07 5 5,212
Printpack, Inc. Sr. Notes
9.875%.................. 08/15/04 25 26,625
------------
31,837
------------
CONGLOMERATES -- 0.5%
Perez Companc SA 144A
9.00%................... 01/30/04 15 15,337
Philip Morris Co., Inc.
Debs.
7.50%................... 01/15/02 425 440,406
7.50%................... 04/01/04 710 745,500
7.75%................... 01/15/27 480 520,200
------------
1,721,443
------------
CONSTRUCTION -- 0.0%
Altos Hornos de Mexico
11.875%................. 04/30/04 15 15,675
American Architectural Sr.
Notes 144A
11.75%.................. 12/01/07 10 10,050
MDC Holdings Notes Cl-B
11.125%................. 12/15/03 25 27,688
Newport News Shipbuilding,
Inc. Sr. Notes
8.625%.................. 12/01/06 20 21,100
------------
74,513
------------
</TABLE>
41
<PAGE> 43
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
CONSUMER PRODUCTS & SERVICES -- 0.1%
Alaris Medical Systems Sr.
Notes
9.75%................... 12/01/06 $ 40 $ 41,850
Consumers International
Corp. Sr. Notes 144A
10.25%.................. 04/01/05 10 10,950
Foamex L.P. Sr. Sub. Notes
9.875%.................. 06/15/07 10 10,100
French Fragrances, Inc.
Sr. Notes
10.375%................. 05/15/07 10 10,550
Herff Jones, Inc. Sr. Sub.
Notes
11.00%.................. 08/15/05 45 48,825
MacAndrews & Forbes Debs.
13.00%.................. 03/01/99 100 100,000
Pierce Leahy Corp. Sr.
Sub. Notes
11.125%................. 07/15/06 3 3,405
Polymer Group Holdings
Notes
10.75%.................. 11/15/06 35 37,275
Polymer Group Holdings Sr.
Sub. Notes
9.00%................... 07/01/07 15 15,000
------------
277,955
------------
CONTAINERS & PACKAGING -- 0.0%
AEP Industries, Inc. Sr.
Sub. Notes 144A
9.875%.................. 11/15/07 15 15,450
Huntsman Packaging Corp.
Sr. Sub. Notes 144A
9.125%.................. 10/01/07 15 15,488
Owens-Illinois, Inc. Sr.
Notes
8.10%................... 05/15/07 20 21,450
Riverwood International
Co. Notes
10.25%.................. 04/01/06 50 50,375
10.875%................. 04/01/08 10 9,650
Stone Container Corp.
First Mtge.
10.75%.................. 10/01/02 5 5,175
------------
117,588
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Celestica International
Sr. Sub. Notes
10.50%.................. 12/31/03 20 21,700
Details, Inc. Sr. Sub.
Notes 144A
10.00%.................. 11/15/05 15 15,413
DII Group, Inc. Sr. Sub.
Notes 144A
8.50%................... 09/15/07 10 9,850
PAR
MATURITY (000) VALUE
--------- -------- ------------
Flextronics International
Ltd. Sr. Sub. Notes 144A
8.75%................... 10/15/07 $ 10 $ 9,975
HCC Industries, Inc. Sr.
Sub. Notes
10.75%.................. 05/15/07 15 15,600
Pioneer Americas
Acquistics Sr. Notes
9.25%................... 06/15/07 10 10,025
Raytheon Co. Notes
6.45%................... 08/15/02 905 912,919
RCN Corp. Sr. Notes 144A
10.00%.................. 10/15/07 10 10,325
Tracor, Inc. Sr. Sub.
Notes
8.50%................... 03/01/07 5 5,075
Viasystems, Inc. Sr. Sub.
Notes
9.75%................... 06/01/07 10 10,337
Wavetek Corp. Sr. Sub.
Notes
10.125%................. 06/15/07 10 10,388
------------
1,031,607
------------
ENTERTAINMENT &
LEISURE -- 0.7%
AMC Entertainment, Inc.
Sr. Sub. Notes
9.50%................... 03/15/09 40 41,450
Boyd Gaming Corp. Sr. Sub.
Notes
9.50%................... 07/15/07 50 52,625
Cinemark USA, Inc. Sr.
Sub. Notes
9.625%.................. 08/01/08 65 67,600
Coast Hotels & Casino
Notes Cl-B
13.00%.................. 12/15/02 55 62,150
Colorado Gaming &
Entertainment Corp.
[PIK]
12.00%.................. 06/01/03 159 172,190
Fitzgeralds Gaming Corp.
Sr. Sub. Notes 144A
12.25%.................. 12/15/04 40 40,400
Fox Kids Worldwide, Inc.
Sr. Disc. Notes [STEP]
144A
10.675%................. 11/01/07 40 23,800
Fox Kids Worldwide, Inc.
Sr. Notes 144A
9.25%................... 11/01/07 50 48,500
Greate Bay Property
Funding First Mtge.
10.875%................. 01/15/04 25 21,250
Lady Luck Gaming First
Mtge.
11.875%................. 03/01/01 45 45,900
Louisiana Casino Cruises
First Mtge.
11.50%.................. 12/01/98 100 101,750
</TABLE>
42
<PAGE> 44
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
Mohegan Tribal Gaming Cl-B
Sr. Notes
13.50%.................. 11/15/02 $ 30 $ 38,813
Players International Sr.
Notes
10.875%................. 04/15/05 25 27,000
Premier Parks Corp. Sr.
Notes Cl-A
12.00%.................. 08/15/03 40 44,500
Showboat Marina Casinos
First Mtge.
13.50%.................. 03/15/03 25 29,750
Six Flags Theme Parks Sr.
Sub. Notes Cl-A [STEP]
10.324%................. 06/15/05 90 94,050
Time Warner Entertainment
Debs.
7.25%................... 09/01/08 385 403,769
8.875%.................. 10/01/12 425 501,500
8.375%.................. 07/15/33 590 674,813
------------
2,491,810
------------
ENVIRONMENTAL SERVICES -- 0.3%
Allied Waste Industries
Sr. Disc. Notes [STEP]
9.57%................... 06/01/07 50 35,313
Allied Waste North America
Notes
10.25%.................. 12/01/06 35 38,325
WMX Technologies, Inc.
Notes
7.10%................... 08/01/26 925 967,781
------------
1,041,419
------------
EQUIPMENT SERVICES -- 0.0%
Coinmach Corp. Sr. Notes
11.75%.................. 11/15/05 10 11,075
------------
FINANCIAL-BANK & TRUST -- 1.2%
Allstate Financing II
7.83%................... 12/01/45 125 131,719
Banponce Corp. Medium-Term
Notes
7.125%.................. 05/02/02 410 421,788
Chevy Chase Savings Bank
Sub. Debs.
9.25%................... 12/01/05 45 46,238
Dime Capital Trust I Cl-A
9.33%................... 05/06/27 10 11,313
First Nationwide Holdings
Sr. Notes
12.50%.................. 04/15/03 55 62,700
First Nationwide Holdings
Sr. Sub. Notes
10.625%................. 10/01/03 35 39,200
Greenpoint Bank Sr. Notes
6.70%................... 07/15/02 290 291,813
PAR
MATURITY (000) VALUE
--------- -------- ------------
Greenpoint Capital Trust I
9.10%................... 06/01/27 $ 10 $ 11,038
Korea Development Bank
Notes
7.125%.................. 09/17/01 25 20,344
7.90%................... 02/01/02 350 301,875
Long Island Savings Bank
Notes
7.00%................... 06/13/02 690 703,800
Merita Bank Ltd. Sub.
Notes
6.50%................... 01/15/06 500 497,500
North Fork Bancorp
8.70%................... 12/15/26 5 5,363
Peoples Bank-Bridgeport
Sub. Notes
7.20%................... 12/01/06 305 311,481
Provident Capital Trust
8.60%................... 12/01/26 20 21,300
Riggs Capital Trust 144A
8.625%.................. 12/31/26 15 15,919
Societe Generale 144A
7.85%................... 04/30/07 130 136,988
Sovereign Capital Trust I
Capital Securities
9.00%................... 04/01/27 15 16,297
St. Paul Bancorp. Sr.
Notes
7.125%.................. 02/15/04 350 357,875
State Development Bank of
China Notes
7.375%.................. 02/01/07 495 493,763
Swedbank Sub. Notes 144A
7.50%................... 11/29/49 360 369,263
Williams Scotsman, Inc.
Sr. Notes
9.875%.................. 06/01/07 15 15,525
------------
4,283,102
------------
FINANCIAL SERVICES -- 3.1%
Aames Financial Corp. Sr.
Notes
9.125%.................. 11/01/03 40 39,400
AFC Capital Trust I Cl-B
8.207%.................. 02/03/27 270 300,038
American General Institute
Capital Trust Co.
Guarantee 144A
8.125%.................. 03/15/46 765 845,325
APP Global Finance V Ltd.
[CVT] 144A
2.00%................... 07/25/00 20 16,800
CIA Latino Americana 144A
11.625%................. 06/01/04 10 10,000
Colonial Capital I Notes
Guaranteed
8.92%................... 01/15/27 15 16,481
Commercial Credit Notes
7.75%................... 03/01/05 430 463,325
</TABLE>
43
<PAGE> 45
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
Consorcio Equatoriano
Notes 144A
14.00%.................. 05/01/02 $ 10 $ 10,163
Contifinancial Corp. Sr.
Notes
8.375%.................. 08/15/03 45 47,475
Delta Financial Corp. Sr.
Notes
9.50%................... 08/01/04 15 15,000
Dine S.A. de C.V. 144A
8.75%................... 10/05/07 10 9,700
Dollar Financial Group Sr.
Notes
10.875%................. 11/15/06 15 16,069
Esat Holdings Ltd. [STEP]
10.565%................. 02/01/07 35 24,675
First Financial Caribbean
Corp. Sr. Notes
7.84%................... 10/10/06 200 208,500
Firstar Bank Milwaukee Sr.
Notes
6.25%................... 12/01/02 380 380,000
FRD Acquisition Sr. Notes
Cl-B
12.50%.................. 07/15/04 10 10,850
General Motor Acceptance
Corp. Medium-Term Notes
6.40%................... 05/19/99 835 839,175
Hartford Life Notes
7.10%................... 06/15/07 450 464,063
Imperial Credit Capital
Trust I 144A
10.25%.................. 06/14/02 20 19,800
Imperial Credit
Industries, Inc. Sr.
Notes
9.875%.................. 01/15/07 20 19,700
Intertek Finance PLC Sr.
Sub. Notes Cl-B
10.25%.................. 11/01/06 25 26,188
Isle of Capri Capital
Corp. 144A
13.00%.................. 08/31/04 10 10,138
Lehman Brothers Holdings,
Inc. Notes
6.40%................... 12/27/99 465 467,325
6.50%................... 10/01/02 550 551,375
Merrill Lynch & Co., Inc.
Medium-Term Notes
6.25%................... 09/02/99 1,835 1,841,881
Netia Holdings B.V. Sr.
Series 144A
10.25%.................. 11/01/07 10 9,475
Ocwen Capital Trust I
10.875%................. 08/01/27 10 10,838
Pindo Deli Financial
Mauritius 144A
10.75%.................. 10/01/07 25 21,500
PAR
MATURITY (000) VALUE
--------- -------- ------------
Quebec Province Debs.
7.125%.................. 02/09/24 $ 1,320 $ 1,364,550
Railcar Leasing LLC 144A
6.75%................... 07/15/06 653 663,153
Salomon, Inc. Sr. Notes
7.30%................... 05/15/02 465 479,885
Southern Investments UK
Sr. Notes
6.80%................... 12/01/06 790 805,800
The Money Store, Inc.
Notes
8.05%................... 04/15/02 710 736,625
Tjiwi Kimia Financial
Mauritius 144A
10.00%.................. 08/01/04 25 20,750
Travelers Capital II Corp.
7.75%................... 12/01/36 160 169,200
Vicap SA 144A
10.25%.................. 05/15/02 20 20,900
Webster Capital Trust I
144A
9.36%................... 01/29/27 10 11,175
------------
10,967,297
------------
FOOD -- 0.1%
Ameriserv Food Distributor
Notes
8.875%.................. 10/15/06 20 20,250
Ameriserv Food Distributor
Sr. Sub. Notes
10.125%................. 07/15/07 5 5,250
Aurora Foods, Inc. Sr.
Sub. Notes Cl-B
9.875%.................. 02/15/07 10 10,550
Chiquita Brands Sr. Notes
9.625%.................. 01/15/04 10 10,650
Del Monte Corp. Sr. Sub.
Notes Cl-B
12.25%.................. 04/15/07 10 10,788
Southern Foods Sr. Sub.
Notes 144A
9.875%.................. 09/01/07 10 10,388
Stater Brothers Holdings
Sr. Sub. Notes
9.00%................... 07/01/04 70 72,975
Stater Brothers, Inc. Sr.
Notes
11.00%.................. 03/01/01 100 110,000
Windy Hill Pet Food Co.
Sr. Sub. Notes
9.75%................... 05/15/07 5 5,213
------------
256,064
------------
FURNITURE -- 0.0%
Sealy Mattress Co. Sr.
Disc. Notes [STEP] 144A
10.561%................. 12/15/07 15 9,113
------------
</TABLE>
44
<PAGE> 46
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
HEALTHCARE SERVICES -- 0.3%
Genesis Eldercare Co. Sr.
Sub. Notes 144A
9.00%................... 08/01/07 $ 20 $ 19,650
Genesis Health Ventures,
Inc. Sr. Sub. Notes
9.25%................... 10/01/06 45 46,013
Integrated Health
Services, Inc. Sr. Sub.
Notes 144A
9.25%................... 01/15/08 30 30,600
9.50%................... 09/15/07 25 25,813
Kinetic Concepts, Inc. Sr.
Sub. Notes 144A
9.625%.................. 11/01/07 10 10,175
Manor Care, Inc. Sr. Notes
7.50%................... 06/15/06 305 324,063
Merit Behavioral Care Sr.
Sub. Notes
11.50%.................. 11/15/05 40 46,150
National Health Investors,
Inc.
7.30%................... 07/16/07 295 308,275
Paracelsus Healthcare
Corp. Sr. Sub. Notes
10.00%.................. 08/15/06 40 41,100
Paragon Health Networks
Sr. Sub. Notes 144A
9.50%................... 11/01/07 50 50,125
Tenet Healthcare Corp. Sr.
Sub. Notes
8.00%................... 01/15/05 75 76,406
Urohealth Systems, Inc.
Sr. Sub. Notes
12.50%.................. 04/01/04 30 28,763
------------
1,007,133
------------
HOTELS & MOTELS -- 0.0%
Host Marriott Travel Plaza
Sr. Notes Cl-B
9.50%................... 05/15/05 40 42,600
Prime Hospitality Corp.
First Mtge.
9.25%................... 01/15/06 50 53,188
Prime Hospitality Corp.
Sr. Sub. Notes
9.75%................... 04/01/07 35 37,625
------------
133,413
------------
INDUSTRIAL PRODUCTS -- 0.1%
Carson, Inc. Sr. Sub.
Notes 144A
10.375%................. 11/01/07 20 20,425
Cellnet Data Systems, Inc.
Sr. Disc. Notes [STEP]
144A
14.63%.................. 10/01/07 95 47,500
PAR
MATURITY (000) VALUE
--------- -------- ------------
Concentric Network Corp.
Sr. Notes 144A
12.75%.................. 12/15/07 $ 10 $ 10,275
Continental Global Group
Sr. Notes Cl-B
11.00%.................. 04/01/07 25 26,750
FWT, Inc. Sr. Sub. Notes
144A
9.875%.................. 11/15/07 15 15,413
Hedstrom Corp. Sr. Sub.
Notes
10.00%.................. 06/01/07 15 15,150
Hedstrom Holdings, Inc.
Sr. Disc. Notes
11.788%................. 06/01/09 5 3,044
ITC Deltacom, Inc. Sr.
Notes
11.00%.................. 06/01/07 30 33,150
Jones Intercable, Inc. Sr.
Sub. Notes
9.625%.................. 03/15/02 50 53,688
Knology Holdings, Inc.
Units [STEP] 144A
12.425%................. 10/15/07 45 24,750
PCI Chemicals Canada, Inc.
Sr. Notes 144A
9.25%................... 10/15/07 50 50,063
Pharmaceutical Fine
Chemicals Sr. Sub. Notes
144A
9.75%................... 11/15/07 10 10,150
TransAmerican Refining
Corporation Units 144A
16.00%.................. 06/30/03 20 20,400
Unisys Corp. Sr. Sub.
Debs.
9.75%................... 09/15/16 75 75,281
------------
406,039
------------
INSURANCE -- 0.5%
Aegon NV Sub. Notes
8.00%................... 08/15/06 1,155 1,276,275
Conseco, Inc. Sr. Notes
10.50%.................. 12/15/04 430 515,463
------------
1,791,738
------------
MACHINERY & EQUIPMENT -- 0.1%
Agco Corp. Sr. Sub. Notes
8.50%................... 03/15/06 40 41,100
Johnstown America
Industries, Inc. Sr.
Sub. Notes Cl-C
11.75%.................. 08/15/05 15 16,500
Millipore Corp. Notes
7.20%................... 04/01/02 340 349,775
------------
407,375
------------
</TABLE>
45
<PAGE> 47
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 0.0%
Fresenius Medical Care AG
Guaranteed
9.00%................... 12/01/06 $ 20 $ 20,900
Graphic Controls Corp. Sr.
Sub. Notes Cl-A
12.00%.................. 09/15/05 35 39,113
------------
60,013
------------
METALS & MINING -- 0.3%
Acindar Industria
Argentina de Aceros SA
11.25%.................. 02/15/04 10 9,850
AK Steel Corp. Sr. Notes
9.125%.................. 12/15/06 30 30,900
Anker Coal Group, Inc. Sr.
Notes 144A
9.75%................... 10/01/07 10 10,000
Freeport-McMoran C&G Sr.
Notes
7.50%................... 11/15/06 125 125,469
Hylsa SA de CV 144A
9.25%................... 09/15/07 30 30,000
Noranda, Inc. Debs.
7.00%................... 07/15/05 680 694,450
Potash Corp. Notes
7.125%.................. 06/15/07 300 310,125
WCI Steel, Inc. Sr. Notes
Cl-B
10.00%.................. 12/01/04 35 35,963
------------
1,246,757
------------
OFFICE EQUIPMENT -- 0.0%
Axiohm Transaction
Solutions, Inc. Sr. Sub.
Notes 144A
9.75%................... 10/01/07 10 10,175
United Stationery Supply
Sr. Sub. Notes
12.75%.................. 05/01/05 3 3,341
------------
13,516
------------
OIL & GAS -- 0.6%
Abraxas Petroleum Corp.
Sr. Notes Cl-B
11.50%.................. 11/01/04 25 27,250
Citgo Petroleum Corp. Sr.
Notes
7.875%.................. 05/15/06 170 182,750
Dailey International, Inc.
Notes 144A
9.75%................... 08/15/07 5 5,231
Flores & Rucks, Inc. Sr.
Sub. Notes
9.75%................... 10/01/06 40 44,000
Newpark Resources, Inc.
Sr. Sub. Notes 144A
8.625%.................. 12/15/07 10 10,200
PAR
MATURITY (000) VALUE
--------- -------- ------------
Pacalta Resource Ltd. Sr.
Notes Cl-B
10.75%.................. 06/15/04 $ 10 $ 9,900
Panaco, Inc. Sr. Notes
144A
10.625%................. 10/01/04 10 10,075
Panda Global Energy Co.
Sr. Notes
12.50%.................. 04/15/04 10 9,300
Parker Drilling Corp.
Notes
9.75%................... 11/15/06 30 32,400
Petroleum Geo-Services
Notes
7.50%................... 03/31/07 175 185,500
Petsec Energy, Inc. Sr.
Sub. Notes Cl-B
9.50%................... 06/15/07 35 36,050
Pogo Producing Co. Sr.
Sub. Notes Cl-B
8.75%................... 05/15/07 5 5,069
Pride Petroleum Services,
Inc. Sr. Notes
9.375%.................. 05/01/07 15 16,163
Saga Petroleum ASA Debs.
7.25%................... 09/23/27 325 338,813
Snyder Oil Corp. Sr. Sub.
Notes
8.75%................... 06/15/07 15 15,225
Transamerican Energy Sr.
Disc. Notes [STEP] 144A
14.045%................. 06/15/02 160 128,000
Transamerican Energy Sr.
Notes 144A
11.50%.................. 06/15/02 70 68,775
Transtexas Gas Corp. Sr.
Sub. Notes Cl-D
13.75%.................. 12/31/01 75 83,906
Wiser Oil Co. Sr. Sub.
Notes
9.50%................... 05/15/07 10 9,800
YPF Sociedad Anonima
7.75%................... 08/27/07 920 933,800
------------
2,152,207
------------
PAPER & FOREST
PRODUCTS -- 0.0%
Florida Coast Paper LLC
First Mtge.
12.75%.................. 06/01/03 35 37,275
Maxxam Group Holdings,
Inc. Sr. Notes
12.00%.................. 08/01/03 5 5,431
Radnor Holdings Sr. Notes
10.00%.................. 12/01/03 5 5,200
------------
47,906
------------
PHARMACEUTICALS -- 0.0%
ICN Pharmaceuticals, Inc.
Sr. Notes Cl-B
9.25%................... 08/15/05 15 15,938
------------
</TABLE>
46
<PAGE> 48
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
PRINTING & PUBLISHING -- 0.0%
America Media Operation
Sr. Sub. Notes
11.625%................. 11/15/04 $ 40 $ 43,400
Garden State Newspapers,
Inc. Sr. Sub. Notes 144A
8.75%................... 10/01/09 10 10,050
Hollinger International
Publishing Co. Notes
8.625%.................. 03/15/05 15 15,544
9.25%................... 03/15/07 15 15,825
Von Hoffman Press, Inc.
Sr. Sub. Notes 144A
10.375%................. 05/15/07 10 10,688
------------
95,507
------------
RAILROADS -- 0.6%
Norfolk Southern Corp.
6.95%................... 05/01/02 425 437,750
7.80%................... 05/15/27 815 924,006
7.05%................... 05/01/37 755 801,244
TFM SA de CV 144A
10.25%.................. 06/15/07 10 10,300
TFM SA de CV 144A [STEP]
11.135%................. 06/15/09 50 31,750
------------
2,205,050
------------
REAL ESTATE -- 0.0%
Continental Homes Holding
Corp. Sub. Notes
10.00%.................. 04/15/06 15 16,200
HMH Properties, Inc. Sr.
Notes Cl-B
8.875%.................. 07/15/07 25 26,375
------------
42,575
------------
RESORTS -- 0.0%
Club Regina Resorts Inc.
Sr. Notes 144A
13.00%.................. 12/01/04 20 20,500
------------
RETAIL & MERCHANDISING -- 0.3%
Federated Department
Stores Sr. Notes
8.50%................... 06/15/03 720 785,700
Fleming Co., Inc. Sr. Sub.
Notes. 144A
10.50%.................. 12/01/04 20 21,000
Ralph's Grocery Co.
10.45%.................. 06/15/04 5 5,625
Rite Aid Corp. Notes
6.70%................... 12/15/01 170 172,763
Southland Corp. Sr. Sub.
Debs. Cl-A
4.50%................... 06/15/04 95 77,188
Specialty Retailer Group,
Inc. Sr. Notes Cl-B
8.50%................... 07/15/05 10 10,200
PAR
MATURITY (000) VALUE
--------- -------- ------------
William Carter Holdings
Sr. Sub. Notes 144A
12.00%.................. 10/01/08 $ 20 $ 20,975
Zale Corp. Sr. Notes 144A
8.50%................... 10/01/07 20 19,800
------------
1,113,251
------------
SEMICONDUCTORS -- 0.0%
Fairchild Semiconductor
Sr. Sub. Notes
10.125%................. 03/15/07 75 79,313
Fairchild Semiconductor
Sr. Sub. Notes [PIK]
144A.................... 03/15/07 25 25,750
International Semi-Tech
Microelectronics Sr.
Disc. Notes [STEP]
25.644%................. 08/15/03 50 19,000
------------
124,063
------------
STEEL -- 0.0%
Armco, Inc. Sr. Notes
9.00%................... 09/15/07 10 9,825
------------
TELECOMMUNICATIONS -- 1.5%
Adelphia Communications
Corp. Cl-B Sr. Notes
10.25%.................. 07/15/00 10 10,450
American Communications
Services, Inc. Sr. Notes
144A
13.75%.................. 07/15/07 15 17,775
Benedek Communications Sr.
Disc. Notes [STEP]
10.871%................. 05/15/06 75 57,188
BTI Telecom Corp. Sr.
Notes 144A
10.50%.................. 09/15/07 20 20,500
Centennial Cellular Sr.
Notes
8.875%.................. 11/01/01 25 25,500
Century Communications
Corp. Sr. Notes
9.50%................... 03/01/05 35 36,925
Cia Telecom Chile Notes
7.625%.................. 07/15/06 995 1,019,875
Comcast Cellular Holdings
Sr. Notes C1-B
9.50%................... 05/01/07 45 47,138
Comcast U.K. Cable Corp.
Debs. [STEP]
9.659%.................. 11/15/07 60 49,275
Comcast U.K. Cable Corp.
Sr. Sub. Debs.
9.50%................... 01/15/08 25 26,625
Commodore Media, Inc. Sr.
Sub. Notes [STEP]
9.958%.................. 05/01/03 80 89,200
</TABLE>
47
<PAGE> 49
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
Diamond Cable
Communications PLC Sr.
Disc. Notes [STEP]
10.383%................. 12/15/05 $ 60 $ 46,800
Dobson Communications
Corp. Sr. Notes
11.75%.................. 04/15/07 40 42,300
Esprit Telecom Group PLC
Sr. Notes
11.50%.................. 12/15/07 10 10,300
Globalstar LP/Capital Sr.
Notes
11.375%................. 02/15/04 45 45,450
Hermes Europe Railtel BV
Sr. Notes 144A
11.50%.................. 08/15/07 10 11,100
Innova S de R.L. Sr. Notes
12.875%................. 04/01/07 30 30,450
Intercel, Inc. Sr. Disc.
Notes [STEP]
11.243%................. 02/01/06 70 51,363
Intermedia Communications,
Inc. Sr. Notes 144A
8.50%................... 01/15/08 25 25,063
8.875%.................. 11/01/07 85 87,763
International Cabletel,
Inc. Sr. Notes [STEP]
10.102%................. 02/01/06 65 50,538
Iridium LLC Capital Corp.
Sr. Notes Cl-B
14.00%.................. 07/15/05 55 60,363
Iridium LLC Capital Corp.
Sr. Notes 144A
11.25%.................. 07/15/05 10 9,900
Jacor Communications Co.
Notes
9.75%................... 12/15/06 10 10,775
JCAC Communications, Inc.
Sr. Sub. Notes
10.125%................. 06/15/06 45 49,050
Jones Intercable Sr. Sub.
Debs.
10.50%.................. 03/01/08 30 32,850
Kitty Hawk, Inc. Senior
Notes 144A
9.95%................... 11/15/04 20 20,450
L-3 Communications Corp.
Sr. Sub. Notes Cl-B
10.375%................. 05/01/07 20 21,700
LCI International, Inc.
Sr. Notes
7.25%................... 06/15/07 610 634,400
Marcus Cable Operating Co.
Sr. Disc. Notes [STEP]
10.86%.................. 08/01/04 50 46,500
McCaw International Ltd.
Sr. Disc. Notes [STEP]
12.942%................. 04/15/07 10 5,850
PAR
MATURITY (000) VALUE
--------- -------- ------------
McLeod USA, Inc. Sr. Disc.
Notes [STEP]
9.111%.................. 03/01/07 $ 55 $ 40,013
Metronet Communications
Corp. Sr. Disc. Notes
[STEP] 144A
10.557%................. 11/01/07 10 6,125
Millicom International
Cellular S.A. Sr. Disc.
Notes [STEP]
11.314%................. 06/01/06 80 59,400
Mobile Telecommunications
Corp. Sr. Notes
13.50%.................. 12/15/02 20 23,300
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
11.50%.................. 09/01/03 5 4,950
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
10.032%................. 08/15/04 205 182,450
Omnipoint Corp. Sr. Notes
11.625%................. 08/15/06 25 26,500
Orbcomm Global LP Cl-B Sr.
Notes
14.00%.................. 08/15/04 40 43,600
Pegasus Media &
Communications, Inc.
Notes
12.50%.................. 07/01/05 45 51,413
PriCellular Wireless Sr.
Notes
10.75%.................. 11/01/04 40 43,500
Qwest Communications
International, Inc. Sr.
Disc. Notes [STEP] 144A
8.792%.................. 10/15/07 20 13,600
Radio One, Inc.
7.00%................... 05/15/04 10 9,675
Radnor Holdings, Inc. Sr.
Notes
10.00%.................. 12/01/03 10 10,400
RCN Corp. Sr. Disc. Notes
[STEP] 144A
10.443%................. 10/15/07 40 25,200
Rogers Cablesystems Ltd.
Notes
11.00%.................. 12/01/15 60 69,600
South Korea Telecom
7.75%................... 04/29/04 185 143,838
TCI Satellite
Entertainment Sr. Sub.
Notes 144A
10.875%................. 02/15/07 5 5,300
Teleport Communications
Group, Inc. Sr. Disc.
Notes [STEP]
8.776%.................. 07/01/07 40 32,800
</TABLE>
48
<PAGE> 50
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- ------------
<S> <C> <C> <C>
Telesystem International
Wireless, Inc. Sr. Disc.
Notes [STEP] 144A
11.621%................. 11/01/07 $ 10 $ 5,550
Transtel SA Sr. Notes 144A
12.50%.................. 11/01/07 15 14,100
U.S. West Capital Funding
Inc. Notes
6.95%................... 01/15/37 710 732,188
UIH Australia/Pacific Inc.
Sr. Disc. Notes [STEP]
144A
12.83%.................. 05/15/06 50 34,250
Viacom, Inc. Sub. Debs.
8.00%................... 07/07/06 40 40,200
WinStar Communications,
Inc. 144A
15.0%................... 03/01/07 30 31,200
Worldcom, Inc. Sr. Notes
7.75%................... 01/01/07 965 1,037,375
------------
5,379,943
------------
TRANSPORTATION -- 0.0%
Atlantic Express Sr. Notes
144A
10.75%.................. 02/01/04 10 10,625
Chemical Leaman Corp. Sr.
Notes
10.375%................. 06/15/05 10 10,500
Eletson Holdings, Inc.
Mortgage Notes
9.25%................... 11/15/03 50 51,188
Trico Marine Services Sr.
Notes 144A
8.50%................... 08/01/05 10 10,075
------------
82,388
------------
UTILITIES -- 1.0%
AES China Generating Co.
Ltd. Sr. Notes
10.125%................. 12/15/06 10 9,725
AES Corp. Sr. Sub. Notes
8.375%.................. 08/15/07 20 20,000
Arizona Public Service Sr.
Notes
6.75%................... 11/15/06 415 423,819
Baltimore Gas & Electric
Medium-Term Notes
6.90%................... 02/01/05 705 730,556
Cleveland Electric
Illumination Co. First
Mtge. Cl-B
9.50%................... 05/15/05 25 27,906
Coho Energy, Inc. Sr. Sub.
Notes
8.875%.................. 10/15/07 10 10,050
Columbia Gas Systems, Inc.
Debs.
6.61%................... 11/28/02 480 487,800
Connecticut Light & Power
First Mtge.
7.875%.................. 06/01/01 290 299,425
PAR
MATURITY (000) VALUE
--------- -------- ------------
El Paso Electric Co. First
Mtge. Cl-E
9.40%................... 05/01/11 $ 10 $ 11,375
Enersis SA Notes
7.40%................... 12/01/16 520 540,800
6.60%................... 12/01/26 220 222,200
Espirito Santo Centrais
Sr. Notes 144A
10.00%.................. 07/15/07 15 13,650
Illinova Corp. Notes
7.125%.................. 02/01/04 385 393,663
Long Island Lighting Debs.
9.00%................... 11/01/22 40 44,550
Niagara Mohawk Power Corp.
Notes
9.95%................... 06/01/00 50 50,028
Northeast Utilities System
Notes
8.38%................... 03/01/05 31 30,667
8.58%................... 12/01/06 9 8,918
------------
3,325,132
------------
TOTAL CORPORATE OBLIGATIONS
(COST $45,043,997).......... 46,516,304
------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 12.5%
FEDERAL HOME LOAN
MORTGAGE CORP. -- 5.8%
5.77%................... 01/09/98 10,000 9,987,178
5.62%................... 01/14/98 5,000 4,989,853
5.72%................... 01/14/98 5,000 4,989,672
9.50%................... 05/01/05 386 406,766
8.50%................... 06/01/27 387 403,836
------------
20,777,305
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION. -- 1.9%
5.50%.......... 02/01/11-05/01/11 2,743 2,652,489
6.50%.......... 02/01/26-07/01/26 1,058 1,045,216
7.00%.......... 03/18/02-10/01/27 1,974 1,991,020
7.50%.......... 10/15/23-06/01/27 188 192,693
8.50%.................. 10/15/08 949 1,000,620
------------
6,882,038
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 4.8%
6.50%.................. 08/01/25 86 84,585
6.875%......... 11/20/21-10/20/25 1,294 1,324,673
7.00%.......... 08/15/10-11/15/25 3,028 3,076,573
7.375%......... 05/20/24-06/20/26 895 915,999
7.50%.......... 10/15/26-10/15/27 5,850 5,996,958
10.00%................. 06/15/13 498 543,538
5.50% [TBA]............ 02/16/28 2,930 2,926,338
5.50% [TBA]............ 03/15/28 585 584,269
6.00% [TBA]............ 01/16/28 685 661,881
7.00% [VR]............. 09/20/23 58 59,214
7.00% [TBA]............ 01/16/28 615 623,639
7.375% [VR]............ 04/20/23 310 317,748
------------
17,115,415
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $44,591,767).................. 44,774,758
------------
</TABLE>
49
<PAGE> 51
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 7.4%
U.S. TREASURY BILLS -- 0.5%
5.205%#................ 01/22/98 $1,930 $ 1,924,392
------------
U.S. TREASURY BONDS -- 2.4%
6.625%................. 02/15/27 1,270 1,378,522
6.375%................. 08/15/27 6,670 7,042,652
------------
8,421,174
------------
U.S. TREASURY NOTES -- 4.5%
5.625%................. 10/31/99 3,305 3,302,720
6.25%.................. 06/30/02 7,405 7,555,618
5.75%.................. 10/31/02 2,920 2,923,387
5.75%.................. 11/30/02 1,900 1,902,280
6.125%................. 08/15/07 520 534,596
------------
16,218,601
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $26,014,713).................. 26,564,167
------------
COLLATERALIZED MORTGAGE & ASSET-BACKED OBLIGATIONS -- 3.2%
Advanta Mtge. Loan Trust
1997-2 Cl-A2
7.05%.................. 05/25/21 805 815,319
Advanta Mtge. Loan Trust
Series 1997-3 Cl-A3
6.69%.................. 04/25/17 655 659,557
Amresco Residential
Securities Mtge. Loan
Trust Series 1997-3
Cl-A3
6.60%.................. 01/25/18 440 441,925
Capital Equipment
Receivables Trust
Series 1996-1 Cl-A4
6.28%.................. 06/15/00 600 601,380
Carco Auto Loan Master
Trust Series 1997-1
Cl-A
6.689%................. 08/15/06 615 618,801
CMAC 97-Ml1 Cl-A2
6.57%.................. 12/15/30 255 257,231
CMAC 97-Ml1 Cl-A3
6.57%.................. 12/15/30 700 705,906
Federal National Mtge.
Assoc. REMIC Series
1989-71 Cl-J
8.50%.................. 10/25/19 880 953,150
Federal National Mtge.
Assoc. REMIC Series
1993-240 Cl-B
6.25%.................. 12/25/13 548 539,649
Federal National Mtge.
Assoc. REMIC Series
1997-61 Cl-ZC
7.00%.................. 02/25/23 317 310,818
First Union-Lehman Bros.
Commercial Mortgage
Series 1997-C2 Cl-A3
6.65%.................. 06/18/08 470 474,259
Green Tree Financial
Corp. Series 1997-2
Cl-A6
7.24%.................. 03/15/25 635 654,739
PAR
MATURITY (000) VALUE
-------- -------- ------------
Green Tree Financial
Corp. Series 1997-3
Cl-A4
6.93%.................. 07/15/28 $1,095 $ 1,124,154
Green Tree Recreational,
Equipment & Consumer
Trust Series 1997-B
Cl-A1
6.55%.................. 07/15/28 1,321 1,332,585
PNC Mtge. Securities
Corp. Series 1997-6
Cl-A2
6.60%.................. 01/01/00 551 554,811
Provident Bank Home
Equity Loan Trust
6.91%.................. 01/25/29 455 456,493
Securitized Asset Sales,
Inc.
6.808%................. 11/28/23 973 951,458
------------
TOTAL COLLATERALIZED MORTGAGE & ASSET-
BACKED OBLIGATIONS
(COST $11,286,177).................. 11,452,235
------------
SOVEREIGN ISSUES -- 0.0%
NETHERLANDS
Asia Pulp & Paper
International Finance
Co. Notes 11.75%
(COST $47,559)......... 10/01/05 45 41,625
------------
COMMERCIAL PAPER -- 2.8%
Corporate Receivables
Corp. 5.625% (COST
$9,982,583)............ 01/12/98 10,000 9,982,583
------------
REPURCHASE AGREEMENTS -- 3.7%
UBS Securities Funding, Inc.,
6.45% dated 12/31/97,
repurchase price
$13,089,689
(Collateralized by U.S.
Treasury Notes, par
value $9,787,000,
market value
$13,366,901, due
02/15/19)
(COST $13,085,000)..... 01/02/98 13,085 13,085,000
------------
SHARES
--------
SHORT-TERM INVESTMENTS -- 0.5%
Temporary Investment Cash
Fund .................. 877,099 877,099
Temporary Investment
Fund .................. 877,099 877,099
------------
(COST $1,754,198)........ 1,754,198
------------
TOTAL INVESTMENTS -- 100.5%
(COST $329,164,146)................. 359,223,570
------------
</TABLE>
50
<PAGE> 52
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
SALE COMMITMENTS -- (0.1%)
Federal National Mortgage
Assoc. [TBA] 6.50%
(COST $(207,113)).......... 01/16/28 $210 $ (207,375)
LIABILITES IN EXCESS OF
ASSETS -- (0.4%).................... (1,425,321)
------------
NET ASSETS -- 100.0%.................. $357,590,874
===========
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Buy JPY 327,231 $ 2,514 $ 2,518 $ 4
01/98 Buy FRF 219,328 36,893 36,561 (332)
02/98 Buy FRF 18,630,000 2,258,564 2,206,795 (51,769)
01/98 Buy GBP 20,014 33,388 32,918 (470)
01/98 Buy PTE 14,913,731 81,865 81,137 (728)
---------- ---------- --------
$2,413,224 $2,359,929 $(53,295)
========== ========== ========
</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>
01/98 Sell CHF 38,065 $ 26,121 $ 26,120 $ 1
02/98 Sell FRF 13,230,000 2,137,318 2,206,795 (69,477)
01/98 Sell ITL 64,667,366 36,553 36,836 (283)
06/98 Sell JPY 260,000,000 2,061,372 2,049,040 12,332
---------- ---------- --------
$4,261,364 $4,318,791 $(57,427)
========== ========== ========
</TABLE>
#Securities with an aggregate market value of $1,804,740 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) DEPRECIATION
- ------------------------------------------------------------------------
<S> <C> <C> <C>
FTSE 100 Index....................... 03/98 2,050 $ (5,386)
NASDAQ 100........................... 03/98 1,800 (166,950)
Russell 2000......................... 03/98 4,500 (29,925)
S & P 500............................ 03/98 5,750 (75,038)
U.S. Treasury 10 Year Note
(Shorted)........................... 03/98 (1,800) (12,188)
------------
$ (289,487)
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 1.1% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
51
<PAGE> 53
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 88.9%
ADVERTISING -- 1.2%
Larmar Advertising Co.
Sr. Sub. Notes
9.625%.................. 12/01/06 $ 1,700 $ 1,840,250
Outdoor Systems, Inc.
Sr. Sub. Notes
8.875%.................. 06/15/07 3,025 3,176,250
-------------
5,016,500
-------------
AEROSPACE -- 0.1%
United Defense Sr. Sub.
Notes 144A
8.75%................... 11/15/07 600 606,750
-------------
AUTOMOTIVE PARTS -- 2.0%
Aftermarket Technology,
Inc. Sr. Sub. Notes
12.00%.................. 08/01/04 1,938 2,160,870
Delco Remy International,
Inc. Sr. Notes
8.625%.................. 12/15/07 400 407,000
Exide Corp. Sr. Notes
10.00%.................. 04/15/05 1,225 1,304,625
Lear Corp. Sub. Notes
9.50%................... 07/15/06 2,500 2,762,500
Lear Seating Sub. Notes
8.25%................... 02/01/02 550 560,312
Oxford Automotive, Inc.
Notes
10.125%................. 06/15/07 1,300 1,378,000
-------------
8,573,307
-------------
BROADCASTING -- 7.8%
Acme Television Finance
Sr. Disc. Notes [STEP]
144A
11.017%................. 09/30/04 3,100 2,297,875
Australis Media Ltd. Sr.
Disc. Notes [STEP]
28.52%.................. 05/15/03 6 2,214
Australis Media Ltd. Units
[STEP]
15.83%.................. 05/15/03 625 250,000
Capstar Radio Broadcasting
Sr. Sub. Notes
9.25%................... 07/01/07 1,000 1,032,500
Chancellor Media Corp.
Notes Cl-B
8.75%................... 06/15/07 600 610,500
Chancellor Media Corp.
Sr. Sub. Notes.
8.125%.................. 12/15/07 1,000 980,000
9.375%.................. 10/01/04 1,150 1,198,875
Echostar Satellite
Broadcasting Co. Sr.
Disc. Notes [STEP]
10.944%................. 03/15/04 4,525 3,823,625
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Fox Liberty Networks LLC
Sr. Notes 144A
8.875%.................. 08/15/07 $ 1,125 $ 1,127,812
Fox Liberty Networks LLC
Sr. Notes [STEP] 144A
9.728%.................. 08/15/07 4,825 3,112,125
Frontiervision Holdings
[STEP] 144A
10.243%................. 09/15/07 2,100 1,554,000
Heritage Media Corp.
Sr. Sub. Notes
8.75%................... 02/15/06 3,200 3,465,888
Katz Media Corp. Sr. Sub.
Notes Cl-B
10.50%.................. 01/15/07 1,700 1,878,500
NWCG Holding Corp.
Sr. Disc. Notes [ZCB]
5.614%.................. 06/15/99 300 275,415
SCI Television, Inc. Sr.
Notes
11.00%.................. 06/30/05 1,150 1,193,228
SFX Broadcasting, Inc.
Sr. Sub. Notes
10.75%.................. 05/15/06 1,175 1,295,437
Sinclair Broadcasting
Group Sr. Sub. Notes
10.00%.................. 09/30/05 2,000 2,130,000
9.00%................... 07/15/07 2,000 2,030,000
8.75%................... 12/15/07 1,100 1,102,750
Sullivan Broadcasting
Holdings Co.
Sr. Sub. Notes
10.25%.................. 12/15/05 1,800 1,935,000
13.25%.................. 12/15/06 150 158,250
TCI Communications, Inc.
Sr. Notes
6.875%.................. 02/15/06 550 552,959
Young Broadcasting Corp.
Sr. Sub. Notes
11.75%.................. 11/15/04 250 278,125
10.125%................. 02/15/05 1,175 1,245,500
Young Broadcasting Corp.
Sr. Sub Notes Cl-B
9.00%................... 01/15/06 500 502,500
-------------
34,033,078
-------------
BUILDING MATERIALS -- 0.6%
American Builders &
Contractors Notes Cl-B
10.625%................. 05/15/07 1,175 1,224,937
Falcon Building Products
Sr. Sub. Notes
9.50%................... 06/15/07 350 358,750
Falcon Building Products
[STEP] Cl-B
9.855%.................. 06/15/07 1,500 1,001,250
-------------
2,584,937
-------------
</TABLE>
52
<PAGE> 54
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
BUSINESS SERVICES -- 1.3%
Coinmach Corporation
Sr. Notes Cl-C 144A
11.75%.................. 11/15/05 $ 1,200 $ 1,338,000
Dialog Corp. PLC Sr. Sub.
Notes 144A
11.00%.................. 11/15/07 2,425 2,528,062
Outsourcing Solutions
Corp. Sr. Sub. Notes
Cl-B
11.00%.................. 11/01/06 1,575 1,752,187
-------------
5,618,249
-------------
CAPITAL GOODS -- 0.8%
Buckeye Cellulos Corp.
Sr. Sub. Notes
8.50%................... 12/15/05 1,500 1,530,000
9.25%................... 09/15/08 1,750 1,828,750
-------------
3,358,750
-------------
CHEMICALS -- 2.8%
Foamex Capital Corp.
Sr. Sub Notes
13.50%.................. 08/15/05 500 572,500
Harris Chemical North
America Sr. Notes
10.25%.................. 07/15/01 1,850 1,961,000
ISP Holdings, Inc.
Sr. Notes Cl-B
9.75%................... 02/15/02 1,000 1,061,250
9.00%................... 10/15/03 1,475 1,535,844
Polymer Group Holdings Sr.
Sub. Notes Cl-B
9.00%................... 07/01/07 4,275 4,296,375
RBX Corp. Notes Cl-B
11.25%.................. 10/15/05 1,000 890,000
Sterling Chemicals
Holdings Sr. Disc. Notes
[STEP]
13.87%.................. 08/15/08 2,350 1,421,750
Uniroyal Technology Corp.
Sr. Notes
11.75%.................. 06/01/03 425 444,125
-------------
12,182,844
-------------
CLOTHING & APPAREL -- 2.2%
Brylane L.P. Sr. Sub.
Notes Cl-B
10.00%.................. 09/01/03 1,325 1,412,781
Dyersburg Corp. Guarantee
Cl-B
9.75%................... 09/01/07 1,725 1,798,312
GFSI, Inc. Sr. Sub. Notes
Cl-B
9.625%.................. 03/01/07 850 875,500
Glenoit Corp. Sr. Sub.
Notes 144A
11.00%.................. 04/15/07 1,650 1,782,000
Hosiery Corp. of America,
Inc. Sr. Sub. Notes
13.75%.................. 08/01/02 500 542,500
PAR
MATURITY (000) VALUE
--------- -------- -------------
Pillowtex Corp.
Sr. Sub. Notes
10.00%.................. 11/15/06 $ 1,950 $ 2,096,250
Pillowtex Corp. Sr. Sub.
Notes 144A
9.00%................... 12/15/07 850 875,500
-------------
9,382,843
-------------
COMPUTER SERVICES & SOFTWARE -- 0.3%
DecisionOne Corp.
Sr. Sub. Notes
9.75%................... 08/01/07 1,200 1,242,000
-------------
CONGLOMERATES -- 0.1%
Climachem, Inc.
Sr. Notes 144A
10.75%.................. 12/01/07 500 517,500
-------------
CONSTRUCTION -- 0.8%
American Architectural
Sr. Notes 144A
11.75%.................. 12/01/07 1,100 1,113,750
Building Materials Corp.
Sr. Notes 144A
8.00%................... 10/15/07 2,250 2,255,625
-------------
3,369,375
-------------
CONSUMER PRODUCTS & SERVICES -- 5.4%
American Safety Razor Co.
Sr. Notes
9.875%.................. 08/01/05 1,250 1,343,750
Amscan Holdings, Inc.
Sr. Sub. Notes 144A
9.875%.................. 12/15/07 550 565,125
Cabot Safety Corp.
Sr. Sub. Notes
12.50%.................. 07/15/05 1,500 1,687,500
Collins & Aikman
Floorcovering
Sr. Sub. Notes
10.00%.................. 01/15/07 1,025 1,081,375
Collins & Aikman Products
Sr. Sub. Notes
11.50%.................. 04/15/06 2,700 3,047,625
Herff Jones, Inc.
Sr. Sub. Notes
11.00%.................. 08/15/05 550 600,875
NBTY, Inc. Sr. Sub. Notes
144A
8.625%.................. 09/15/07 2,350 2,361,750
Playtex Family Products
Corp. Sr. Sub. Notes
9.00%................... 12/15/03 2,100 2,142,000
Playtex Products, Inc.
Cl-B
8.875%.................. 07/15/04 350 358,750
Renaissance Cosmetics,
Inc. Sr. Notes
11.75%.................. 02/15/04 650 601,250
</TABLE>
53
<PAGE> 55
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Revlon Consumer Products
Corp. Sr. Notes Cl-B
9.375%.................. 04/01/01 $ 500 $ 517,500
10.50%.................. 02/15/03 1,375 1,457,500
Simmons Co. Sr. Sub. Notes
10.75%.................. 04/15/06 1,250 1,328,125
Syratech Corp. Sr. Notes
11.00%.................. 04/15/07 1,250 1,168,750
Westpoint Stevens, Inc.
Sr. Sub. Debs.
9.375%.................. 12/15/05 4,700 4,958,500
-------------
23,220,375
-------------
CONTAINERS & PACKAGING -- 1.5%
Container Corp. of America
Sr. Notes
9.75%................... 04/01/03 250 271,250
11.25%.................. 05/01/04 250 275,000
Four M Corp. Sr. Notes
12.00%.................. 06/01/06 1,300 1,384,500
Owens-Illinois, Inc. Sr.
Notes
8.10%................... 05/15/07 1,000 1,074,010
Plastic Containers, Inc.
Sr. Notes Cl-B
10.00%.................. 12/15/06 450 481,500
Stone Container Corp. Sr.
Notes
11.50%.................. 10/01/04 1,200 1,281,000
12.58% [VR]............. 08/01/16 1,550 1,712,750
-------------
6,480,010
-------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.0%
Advanced Micro Devices,
Inc. Sr. Notes
11.00%.................. 08/01/03 750 805,312
Amphenol Corp.
Sr. Sub. Notes
9.875%.................. 05/15/07 2,000 2,140,000
Electronic Retailing
Systems, Inc. Sr. Disc.
Notes [STEP]
15.94%.................. 02/01/04 875 586,250
Viasystems, Inc.
Sr. Sub. Notes
9.75%................... 06/01/07 725 752,187
-------------
4,283,749
-------------
ENTERTAINMENT &
LEISURE -- 2.7%
AMF Group, Inc. Sr. Disc.
Notes [STEP]
10.064%................. 03/15/06 3,137 2,482,151
Cobblestone Golf Group Sr.
Notes
11.50%.................. 06/01/03 750 817,500
PAR
MATURITY (000) VALUE
--------- -------- -------------
KSL Recreation Group, Inc.
Sr. Sub. Notes Cl-B
10.25%.................. 05/01/07 $ 400 $ 430,000
Livent, Inc. Sr. Notes
144A
9.375%.................. 10/15/04 1,800 1,809,000
Premier Parks Corp. Sr.
Notes
9.75%................... 01/15/07 450 481,500
Premier Parks Corp.
Sr. Notes Cl-A
12.00%.................. 08/15/03 1,600 1,784,000
Six Flags Theme Parks
Sr. Sub. Notes
Cl-A [STEP]
9.87%................... 06/15/05 3,625 3,878,750
-------------
11,682,901
-------------
ENVIRONMENTAL SERVICES -- 1.8%
Allied Waste Industries,
Inc. Sr. Disc. Notes
[STEP] 144A
9.548%.................. 06/01/07 4,200 2,971,500
Allied Waste North America
Sr. Sub. Notes
10.25%.................. 12/01/06 2,700 2,976,750
Envirosource, Inc. Sr.
Notes
9.75%................... 06/15/03 1,400 1,429,750
ICF Kaiser International,
Inc. Sr. Sub. Notes
13.00%.................. 12/31/03 600 622,500
-------------
8,000,500
-------------
EQUIPMENT SERVICES -- 0.2%
Coinmach Corp. Sr. Notes
11.75%.................. 11/15/05 781 870,815
-------------
FARMING & AGRICULTURE -- 0.4%
Dimon, Inc. Sr. Notes
8.875%.................. 06/01/06 1,750 1,870,312
-------------
FINANCIAL-BANK & TRUST -- 1.2%
First Nationwide Holdings
Sr. Sub. Notes
9.125%.................. 01/15/03 275 288,750
10.625%................. 10/01/03 4,525 5,079,312
-------------
5,368,062
-------------
FINANCIAL SERVICES -- 1.0%
Contifinancial Corp. Sr.
Notes
8.375%.................. 08/15/03 1,500 1,566,000
Intertek Finance PLC
Sr. Sub. Notes Cl-B
10.25%.................. 11/01/06 1,000 1,055,000
</TABLE>
54
<PAGE> 56
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Unifrax Investment Corp.
Sr. Notes
10.50%.................. 11/01/03 $ 1,650 $ 1,707,750
-------------
4,328,750
-------------
FOOD -- 4.7%
Ameriserv Food Distributor
Sr. Sub. Notes
8.875%.................. 10/15/06 1,200 1,218,000
10.125%................. 07/15/07 2,800 2,954,000
Aurora Foods, Inc.
Sr. Sub. Notes Cl-B
9.875%.................. 02/15/07 1,775 1,881,500
Carr-Gottstein Foods Co.
Sr. Sub. Notes
12.00%.................. 11/15/05 900 999,000
Community Distributors,
Inc. Sr. Notes 144A
10.25%.................. 10/15/04 1,000 1,025,000
Curtice-Burns Foods, Inc.
Sr. Sub. Notes
12.25%.................. 02/01/05 1,100 1,218,250
Di Giorgio Corp.
Sr. Notes Cl-B
10.00%.................. 06/15/07 1,350 1,333,125
International Home Foods,
Inc. Sr. Sub. Notes
10.375%................. 11/01/06 2,750 3,038,750
Jitney-Jungle Stores
Sr. Sub. Notes
10.375%................. 09/15/07 2,000 2,100,000
Nebco Evans Holding Co.
Sr. Disc. Notes [STEP]
10.842%................. 07/15/07 1,250 818,750
PMI Acquisition Corp.
Sr. Sub. Notes
10.25%.................. 09/01/03 750 800,625
Stater Brothers Holdings,
Inc. Sr. Sub. Notes
9.00%................... 07/01/04 1,125 1,179,844
Van de Kamps, Inc.
Sr. Sub. Notes
12.00%.................. 09/15/05 1,450 1,624,000
-------------
20,190,844
-------------
FURNITURE -- 0.5%
Sealy Mattress Co.
Sr. Disc. Notes
10.513% [STEP] 144A..... 12/15/07 1,000 610,000
9.875% 144A............. 12/15/07 500 515,000
Werner Holdings Co., Inc.
Sr. Sub. Notes 144A
10.00%.................. 11/15/07 1,100 1,135,750
-------------
2,260,750
-------------
HEALTHCARE SERVICES -- 2.8%
Alliance Imaging
Sr. Sub. Notes
9.625%.................. 12/15/05 750 765,000
PAR
MATURITY (000) VALUE
--------- -------- -------------
Genesis Health Ventures,
Inc. Sr. Sub. Notes
9.75%................... 06/15/05 $ 1,250 $ 1,303,125
9.25%................... 10/01/06 350 358,312
Icon Fitness Corp. Sr.
Disc. Notes Cl-B [STEP]
14.165%................. 11/15/06 1,100 643,500
Icon Health & Fitness
Corp. Sr. Sub. Notes
Cl-B
13.00%.................. 07/15/02 530 594,925
Tenet Healthcare Corp.
Sr. Sub. Notes
8.00%................... 01/15/05 3,450 3,519,000
10.125%................. 03/01/05 1,700 1,861,500
8.625%.................. 01/15/07 3,000 3,105,000
-------------
12,150,362
-------------
HOTELS & MOTELS -- 0.4%
Courtyard by Marriott Sr.
Notes
10.75%.................. 02/01/08 1,500 1,642,500
-------------
INDUSTRIAL PRODUCTS -- 1.1%
Capstar Hotel Co.
Sr. Sub. Notes
8.75%................... 08/15/07 725 752,187
Continental Global Group,
Inc. Sr. Notes Cl-B
11.00%.................. 04/01/07 1,100 1,177,000
Elgin National Industries
Sr. Notes 144A
11.00%.................. 11/01/07 475 495,188
Leslie's Poolmart Sr.
Notes
10.375%................. 07/15/04 950 988,000
MMI Products, Inc.
Sr. Sub. Notes Cl-B
11.25%.................. 04/15/07 1,400 1,533,000
-------------
4,945,375
-------------
MACHINERY & EQUIPMENT -- 2.4%
Alvey Systems, Inc.
Sr. Sub. Notes
11.375%................. 01/31/03 1,750 1,868,125
Clark Materials Handling
Corp. Sr. Notes
10.75%.................. 11/15/06 1,925 2,069,375
Fairfield Manufacturing
Co. Sr. Sub. Notes
11.375%................. 07/01/01 900 954,000
Hawk Corp. Sr. Notes
10.25%.................. 12/01/03 250 267,500
International Knife & Saw,
Inc. Sr. Sub. Notes
11.375%................. 11/15/06 1,050 1,139,250
Johnstown America
Industries, Inc. Sr.
Sub. Notes Cl-C
11.75%.................. 08/15/05 700 770,000
</TABLE>
55
<PAGE> 57
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
National Equipment
Services, Sr. Sub. Notes
144A
10.00%.................. 11/30/04 $ 1,275 $ 1,268,625
Roller Bearing Co. Sr.
Sub. Notes 144A
9.625%.................. 06/15/07 500 506,250
Ryder TRS, Inc.
Sr. Sub. Notes
10.00%.................. 12/01/06 300 302,250
Tokheim Corp. Sr. Sub.
Notes Cl-B
11.50%.................. 08/01/06 1,100 1,254,000
-------------
10,399,375
-------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.6%
Dade International, Inc.
Sr. Sub. Notes Cl-B
11.125%................. 05/01/06 2,225 2,469,750
-------------
METALS & MINING -- 2.5%
AEI Holding Co.
Sr. Notes 144A
10.00%.................. 11/15/07 1,250 1,293,750
Anker Coal Group, Inc.
Sr. Notes 144A
9.75%................... 10/01/07 450 457,875
Bayou Steel Corp. First
Mtge. Notes
10.25%.................. 03/01/01 750 776,250
Euramax International Ltd.
Sr. Sub. Notes
11.25%.................. 10/01/06 1,250 1,359,375
GS Technologies Operating
Corp. Sr. Notes
12.00%.................. 09/01/04 975 1,071,281
12.25%.................. 10/01/05 1,525 1,711,813
Neenah Corp.
Sr. Sub. Notes Cl-B
11.125%................. 05/01/07 1,375 1,515,938
Royal Oak Mines, Inc.
Sr. Sub. Notes
11.00%.................. 08/15/06 1,150 833,750
Ryerson Tull, Inc. Notes
8.50%................... 07/15/01 1,000 1,040,000
9.125%.................. 07/15/06 900 969,750
-------------
11,029,782
-------------
OFFICE EQUIPMENT -- 0.5%
Knoll, Inc. Sr. Sub. Notes
10.875%................. 03/15/06 910 1,032,850
United Stationers Supply
Co. Sr. Sub. Notes
12.75%.................. 05/01/05 1,169 1,335,583
-------------
2,368,433
-------------
PAR
MATURITY (000) VALUE
--------- -------- -------------
OIL & GAS -- 4.6%
Abraxas Petroleum Corp.
Sr. Notes Cl-B
11.50%.................. 11/01/04 $ 3,000 $ 3,300,000
Dailey International, Inc.
Notes 144A
9.75%................... 08/15/07 975 1,028,625
DI Industries, Inc. Sr.
Notes
8.875%.................. 07/01/07 1,500 1,567,500
Falcon Drilling Co., Inc.
Sr. Notes
9.75%................... 01/15/01 350 368,375
12.50%.................. 03/15/05 300 343,500
Forcenergy, Inc.
Sr. Sub. Notes
9.50%................... 11/01/06 2,650 2,828,875
8.50%................... 02/15/07 1,450 1,464,500
Giant Industries, Inc.
Sr. Sub. Notes
9.75%................... 11/15/03 550 569,250
Newpark Resources, Inc.
Sr. Sub. Notes 144A
8.625%.................. 12/15/07 250 255,000
Pacalta Resource Ltd.
Sr. Notes Cl-B
10.75%.................. 06/15/04 1,050 1,040,813
Petsec Energy, Inc.
Sr. Sub. Notes Cl-B
9.50%................... 06/15/07 700 721,875
Pride Petroleum Services,
Inc. Sr. Notes
9.375%.................. 05/01/07 2,500 2,700,000
United Meridian Corp.
Sr. Sub. Notes
10.375%................. 10/15/05 1,775 1,970,250
United Refining Co.
Sr. Notes 144A
10.75%.................. 06/15/07 1,000 1,057,500
XCL Ltd. Units 144A
13.50%.................. 05/01/04 750 903,750
-------------
20,119,813
-------------
PAPER & FOREST
PRODUCTS -- 0.4%
Repap New Brunswick Sr.
Notes
10.625%................. 04/15/05 500 477,500
S.D. Warren Co.
Sr. Sub. Notes
12.00%.................. 12/15/04 1,300 1,456,000
-------------
1,933,500
-------------
PRINTING & PUBLISHING -- 2.2%
Affiliated Newspaper
Investments, Inc. Sr.
Disc. Notes [STEP]
10.795%................. 07/01/06 2,200 2,101,000
</TABLE>
56
<PAGE> 58
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Garden State Newspapers,
Inc. Sr. Sub. Notes
12.00%.................. 07/01/04 $ 200 $ 225,000
8.75% 144A.............. 10/01/09 2,575 2,594,313
Hollinger International
Publishing Co. Notes
9.25%................... 02/01/06 800 848,000
9.25%................... 03/15/07 1,950 2,067,000
K-III Communications Corp.
Sr. Notes
8.50%................... 02/01/06 1,000 1,042,810
Petersen Publishing Co.
Sr. Sub. Notes Cl-B
11.125%................. 11/15/06 600 681,000
-------------
9,559,123
-------------
REAL ESTATE -- 0.4%
Trizec Finance Ltd. Sr.
Notes
10.875%................. 10/15/05 1,457 1,639,125
-------------
RETAIL & MERCHANDISING -- 1.0%
Ralph's Grocery Co. Sr.
Notes
10.45%.................. 06/15/04 3,675 4,148,156
-------------
SEMICONDUCTORS -- 0.4%
Fairchild Semiconductor
Corp. Sr. Sub. Notes
10.125%................. 03/15/07 1,600 1,700,000
-------------
TELECOMMUNICATIONS -- 25.2%
American Communications
Services, Inc.
Sr. Notes [STEP]
10.564%................. 04/01/06 1,400 1,085,000
13.75%.................. 07/15/07 875 1,045,625
Arch Communications Group
Sr. Disc. Notes [STEP]
12.758%................. 03/15/08 1,200 738,000
Brooks Fiber Properties,
Inc. Sr. Disc. Notes
[STEP]
8.52%................... 03/01/06 3,650 3,066,000
8.825%.................. 11/01/06 1,400 1,127,000
Cablevision Systems Corp.
Sr. Sub. Debs.
7.875%.................. 12/15/07 1,700 1,744,625
9.875%.................. 02/15/13 500 555,000
9.25%................... 11/01/05 3,750 3,993,750
9.875%.................. 05/15/06 300 330,000
Call-Net Enterprises, Inc.
Sr. Disc. Notes [STEP]
8.87%................... 08/15/07 3,100 2,108,000
CCPR Services, Inc.
Sr. Sub. Notes
10.00%.................. 02/01/07 500 482,500
PAR
MATURITY (000) VALUE
--------- -------- -------------
Cellular Communications
International, Inc.
Notes [ZCB]
6.952%.................. 08/15/00 $ 1,550 $ 1,263,250
CF Cable TV, Inc. Sr.
Notes
11.625%................. 02/15/05 500 568,960
Charter Communications
Southeast Holdings
Capital Corp. Cl-B
[STEP]
11.28%.................. 03/15/07 650 510,250
Charter Communications
Southeast Holdings
Capital Corp. L.P. Sr.
Notes Cl-B
11.25%.................. 03/15/06 1,150 1,282,250
Comcast Cellular Holdings
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 2,668,750
Comcast U.K. Cable Corp.
Debs. [STEP]
9.719%.................. 11/15/07 2,900 2,370,750
Diamond Cable
Communications PLC
Sr. Disc. Notes [STEP]
10.988%................. 09/30/04 250 225,000
10.432%................. 12/15/05 4,000 3,110,000
10.056%................. 02/15/07 1,125 770,625
Esprit Telecom Group PLC
Sr. Notes
11.50%.................. 12/15/07 1,000 1,035,000
Hermes Europe Railtel BV
Sr. Notes 144A
11.50%.................. 08/15/07 1,575 1,756,125
Highwaymaster
Communications, Inc. Sr.
Notes
13.75%.................. 09/15/05 1,050 1,073,625
Intermedia Communications
of Florida, Inc. Sr.
Disc. Notes [STEP]
9.979%.................. 05/15/06 4,650 3,673,500
Intermedia Communications
Inc. Sr. Notes 144A
8.875%.................. 11/01/07 1,000 1,030,000
9.128% [STEP]........... 07/15/07 500 361,250
International Cabletel,
Inc. Sr. Notes [STEP]
9.987%.................. 10/15/03 500 478,750
10.928%................. 04/15/05 1,050 879,375
9.864%.................. 02/01/06 38,000 3,002,000
Jacor Communications Co.
Notes
9.75%................... 12/15/06 500 540,000
</TABLE>
57
<PAGE> 59
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Lenfest Communications,
Inc. Sr. Sub. Notes
8.375%.................. 11/01/05 $ 2,150 $ 2,225,250
McLeodUSA, Inc.
Sr. Notes 144A
9.25%................... 07/15/07 1,300 1,361,750
McLeodUSA, Inc.
Sr. Disc. Notes [STEP]
9.111%.................. 03/01/07 2,150 1,564,125
Metronet Communications
Corp. Sr. Disc. Notes
[STEP] 144A
10.269%................. 11/01/07 1,925 1,207,938
Metronet Communications
Corp. Units 144A
12.00%.................. 08/15/07 1,525 1,765,188
Millicom International
Cellular S.A. Sr. Disc.
Notes [STEP]
11.462%................. 06/01/06 4,075 2,995,125
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
9.876%.................. 08/15/04 3,100 2,766,750
8.402% 144A............. 09/15/07 1,575 994,219
Nextlink Communications,
Inc. Sr. Notes
9.625%.................. 10/01/07 1,250 1,290,625
Paging Network, Inc.
Sr. Sub. Notes
10.00%.................. 10/15/08 3,600 3,753,000
Pegasus Communications
Corp.
Sr. Notes 144A
9.625%.................. 10/15/05 1,050 1,076,250
Pegasus Media &
Communications, Inc.
Notes
12.50%.................. 07/01/05 975 1,116,375
Qwest Communications
International, Inc. Sr.
Disc. Notes [STEP] 144A
8.792%.................. 10/15/07 3,100 2,108,000
Qwest Communications
International, Inc.
Sr. Notes Cl-B
10.875%................. 04/01/07 1,750 1,986,250
RCN Corp. Sr. Disc. Notes
[STEP] 144A
9.53%................... 10/15/07 2,000 1,265,000
Rogers Cablesystems of
America Sr. Notes
10.00%.................. 03/15/05 2,500 2,775,000
10.00%.................. 12/01/07 1,350 1,491,750
11.00%.................. 12/01/15 750 870,000
PAR
MATURITY (000) VALUE
--------- -------- -------------
Rogers Communications,
Inc. Sr. Notes
8.875%.................. 07/15/07 $ 750 $ 753,750
Source Media, Inc.
Sr. Sec'd. Notes 144A
12.00%.................. 11/01/04 350 348,250
Sygnet Wireless, Inc. Sr.
Notes
11.50%.................. 10/01/06 1,425 1,546,125
Teleport Communications
Group, Inc. Sr. Notes
9.875%.................. 07/01/06 225 254,250
Teleport Communications
Group, Inc. Sr. Disc.
Notes [STEP]
8.678%.................. 07/01/07 5,375 4,441,094
Telesystem International
Wireless, Inc. Sr. Disc.
Notes [STEP] 144A
11.513%................. 11/01/07 800 448,000
Telesystem International
Wireless, Inc. [STEP]
144A
11.779%................. 06/30/07 3,425 2,157,750
Telewest Communication PLC
Debs. [STEP]
9.379%.................. 10/01/07 7,075 5,536,188
Teligent, Inc. Sr. Notes
11.50%.................. 12/01/07 1,750 1,763,125
UIH Australia Pacific,
Inc. Sr. Disc. Notes
[STEP]
13.271%................. 05/15/06 3,100 2,061,500
USA Mobile Communications
Holdings, Inc. Sr. Notes
9.50%................... 02/01/04 1,050 1,034,250
Vanguard Cellular Systems,
Inc. Debs.
9.375%.................. 04/15/06 2,000 2,090,000
Viacom, Inc. Sub. Debs.
8.00%................... 07/07/06 8,300 8,424,500
Videotron Holdings PLC Sr.
Notes
10.625%................. 02/15/05 1,000 1,115,000
-------------
109,535,087
-------------
TRANSPORTATION -- 3.0%
Allied Holdings, Inc.
Notes Cl-B
8.625%.................. 10/01/07 1,000 1,020,000
Ameritruck Distribution
Corp. Sr. Sub. Notes
12.25%.................. 11/15/05 1,950 1,940,250
Chemical Leaman Corp. Sr.
Notes
10.375%................. 06/15/05 1,000 1,065,000
Gearbulk Holding Ltd. Sr.
Notes
11.25%.................. 12/01/04 1,400 1,543,500
</TABLE>
58
<PAGE> 60
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Johnstown America
Industries, Inc.
Sr. Sub. Notes
11.75%.................. 08/15/05 $ 600 $ 660,000
Statia Terminals First
Mtge. Cl-A
11.75%.................. 11/15/03 1,000 1,050,000
Stena AB Sr. Notes
10.50%.................. 12/15/05 3,275 3,577,938
8.75%................... 06/15/07 1,125 1,139,063
Trism, Inc. Sr. Sub. Notes
10.75%.................. 12/15/00 1,250 1,231,250
-------------
13,227,001
-------------
UTILITIES -- 1.0%
California Energy Co.,
Inc. Disc. Notes
10.25%.................. 01/15/04 1,825 1,971,000
California Energy Co.,
Inc. Sr. Notes
9.50%................... 09/15/06 1,000 1,097,500
El Paso Electric Co. First
Mtge. Cl-E
9.40%................... 05/01/11 1,075 1,215,610
-------------
4,284,110
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $369,060,694)................... 386,194,693
-------------
U.S. TREASURY OBLIGATIONS -- 0.9%
U.S. Treasury Notes
5.75%
(COST $3,792,445)......... 08/15/03 4,000 4,005,040
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
COMMON STOCK -- 0.1%
BROADCASTING -- 0.0%
Sullivan Broadcasting Holdings
Co.* ............................ 2,400 25,200
------------
CAPITAL GOODS -- 0.0%
Australis Holdings Warrants*....... 1,000 0
CHEMICALS -- 0.0%
Sterling Chemicals Holdings
Warrants*........................ 1,075 32,250
Uniroyal Technology Corp.
Warrants* ....................... 2,500 9,063
------------
41,313
------------
CLOTHING & APPAREL -- 0.0%
Hosiery Corp. of America, Inc.* ... 400 2,800
------------
ELECTRONIC COMPONENTS & EQUIPMENT --
0.0%
Electronic Retailing, Inc. 144A ... 875 17,500
------------
ENVIRONMENTAL SERVICES -- 0.0%
ICF Kaiser International, Inc.
Warrants* ....................... 1,200 300
------------
HEALTHCARE SERVICES -- 0.0%
Icon Health & Fitness Corp.
Warrants 144A* .................. 250 12,625
------------
<CAPTION>
SHARES VALUE
--------- -------------
<S> <C> <C>
METALS & MINING -- 0.0%
Bar Technologies, Inc. Warrants
144A*............................ 300 $ 18,000
------------
PRINTING & PUBLISHING -- 0.0%
Affiliated Newspaper Investments,
Inc.*............................ 1,000 110,500
------------
TELECOMMUNICATIONS -- 0.1%
Cellular Communications
International, Inc. Warrants* ... 1,100 22,000
HighwayMaster Communications, Inc.
Warrants* ....................... 1,050 1,050
Metronet Communications Corp.
Warrants*........................ 1,525 0
Nextel Communications, Inc.
Cl-A* ........................... 3,330 86,580
Pegasus Communications Corp.
144A............................. 1,128 22,983
Pegasus Communications Corp.
Warrants*........................ 1,500 49,500
Wireless One, Inc. Warrants*....... 1,500 0
------------
182,113
------------
TOTAL COMMON STOCK
(COST $85,722)....................... 410,351
------------
PREFERRED STOCK -- 4.3%
BROADCASTING -- 2.4%
American Radio Systems Corp.
$11.375 Cl-B [PIK] .............. 18,357 2,129,412
Capstar Broadcasting Partner 12.00%
[PIK] ........................... 6,500 749,125
Chancellor Broadcasting Co. 12.25%
[PIK]............................ 7,500 978,750
Chancellor Media Corp. 12.00%
[PIK] ........................... 19,376 2,218,552
Echostar Communications Corporation
12.125% 144A .................... 575 606,625
SFX Broadcasting, Inc. Cl-E 12.625%
[PIK] ........................... 16,106 1,864,301
Sinclair Broadcast Group, Inc.
Cl-A $11.625 .................... 18,500 2,025,750
------------
10,572,515
------------
FINANCIAL SERVICES -- 0.2%
California Federal Capital Corp.
9.125% Cl-A [PIK] ............... 30,000 793,140
------------
MACHINERY & EQUIPMENT -- 0.1%
Fairfield Manufacturing Co., Inc.
$11.25 .......................... 650 698,750
------------
PRINTING & PUBLISHING -- 0.4%
Primedia, Inc. $10.00 Cl-D ........ 10,750 1,131,438
Primedia, Inc. $9.20 144A ......... 5,000 502,500
------------
1,633,938
------------
REAL ESTATE -- 0.2%
Crown American Realty Trust $1.375
Cl-A ............................ 15,000 791,250
------------
TELECOMMUNICATIONS -- 0.7%
Nextel Communication, Inc. 13.00%
[PIK] ........................... 875 1,001,875
Pegasus Communications Corp. Cl-A
12.75% [PIK] .................... 1,904 2,065,840
------------
3,067,715
------------
</TABLE>
59
<PAGE> 61
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -------------
<S> <C> <C>
UTILITIES -- 0.3%
El Paso Electric Co. 11.40%
[PIK] ........................... 11,523 $ 1,279,053
------------
TOTAL PREFERRED STOCK
(COST $16,711,678)................... 18,836,361
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 4.7%
Greenwich Capital
Markets, Inc., 6.10%
dated 12/31/97,
repurchase price
$20,383,905
(Collateralized by
U.S. Treasury Notes,
par value
$20,116,000, market
value $20,802,440 due
02/15/98)
(COST $20,377,000)... 01/02/98 $20,377 $ 20,377,000
------------
TOTAL INVESTMENTS -- 98.9%
(COST $410,027,539).......................... 429,823,445
OTHER ASSETS LESS LIABILITIES -- 1.1%.......... 4,596,237
------------
NET ASSETS -- 100.0%........................... $434,419,682
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 13.1% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
60
<PAGE> 62
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 46.8%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ............... 3,800 $ 161,025
----------
AEROSPACE -- 0.8%
AlliedSignal, Inc. ................ 8,200 319,287
Boeing Co. ........................ 9,568 468,234
Lockheed Martin Corp. ............. 2,300 226,550
Northrop Grumman Corp. ............ 1,100 126,500
Primex Technologies, Inc. ......... 420 14,175
Raytheon Co. Cl-A.................. 536 26,415
Raytheon Co. Cl-B.................. 2,500 126,250
Rockwell International Corp. ...... 2,800 146,300
United Technologies Corp. ......... 3,600 262,125
----------
1,715,836
----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*............ 2,700 104,625
AMR Corp.*......................... 1,900 244,150
Delta Air Lines, Inc. ............. 800 95,200
----------
443,975
----------
AUTOMOBILE MANUFACTURERS -- 0.8%
Chrysler Corp. .................... 3,500 123,157
Ford Motor Co. .................... 13,600 662,150
General Motors Corp. .............. 8,400 509,250
Honda Motor Co. Ltd. [ADR]......... 4,800 354,600
----------
1,649,157
----------
AUTOMOTIVE PARTS -- 0.4%
Arvin Industries, Inc. ............ 1,300 43,306
Eaton Corp. ....................... 800 71,400
Echlin, Inc. ...................... 3,100 112,181
Federal-Mogul Corp. ............... 800 32,400
Genuine Parts Co. ................. 5,750 195,141
Goodyear Tire & Rubber Co. ........ 1,700 108,162
Mark IV Industries, Inc. .......... 1,600 35,000
Superior Industries International,
Inc. ............................ 700 18,769
TRW, Inc. ......................... 3,400 181,475
----------
797,834
----------
BEVERAGES -- 1.5%
Anheuser-Busch Companies, Inc. .... 5,400 237,600
Cadbury Schweppes PLC [ADR]........ 3,473 143,695
Coca-Cola Co. ..................... 25,500 1,698,937
Coca-Cola Enterprises, Inc. ....... 6,900 245,381
Diageo PLC [ADR]................... 4,800 181,800
PepsiCo, Inc. ..................... 17,300 630,369
----------
3,137,782
----------
BROADCASTING -- 0.2%
CBS Corp. ......................... 4,500 132,469
Chris-Craft Industries, Inc.*...... 1,339 70,046
Clear Channel Communications,
Inc.*............................ 2,200 174,762
TCA Cable TV, Inc. ................ 1,600 73,600
----------
450,877
----------
BUILDING MATERIALS -- 0.2%
Calmat Co. ........................ 1,700 47,387
Georgia Pacific Corp. ............. 1,500 34,031
<CAPTION>
SHARES VALUE
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<S> <C> <C>
Martin Marietta Materials Corp. ... 1,400 $ 51,187
Masco Corp. ....................... 3,600 183,150
Modine Manufacturing Co. .......... 600 20,475
Vulcan Materials Co. .............. 600 61,275
----------
397,505
----------
BUSINESS SERVICES -- 0.2%
Cognizant Corp. ................... 3,500 155,969
Equifax, Inc. ..................... 2,500 88,594
Olsten Corp. ...................... 2,000 30,000
Robert Half International, Inc.*... 2,250 90,000
----------
364,563
----------
CHEMICALS -- 1.4%
AKZO Nobel NV [ADR]................ 1,000 86,875
Cabot Corp. ....................... 2,300 63,537
Crompton & Knowles Corp. .......... 3,800 100,700
Dexter Corp. ...................... 1,500 64,781
Dow Chemical Co. .................. 3,600 365,400
Dupont, (E.I.) de Nemours & Co. ... 12,600 756,787
FMC Corp.*......................... 1,600 107,700
Great Lakes Chemical Corp. ........ 2,500 112,187
Hanna, (M.A.) Co. ................. 2,100 53,025
IMC Global, Inc. .................. 2,000 65,500
Lubrizol Corp. .................... 2,200 81,125
Monsanto Co. ...................... 7,600 319,200
Morton International, Inc. ........ 4,500 154,687
Olin Corp. ........................ 2,100 98,437
Pall Corp. ........................ 5,400 111,712
PPG Industries, Inc. .............. 2,800 159,950
Rohm & Haas Co. ................... 1,600 153,200
Solutia, Inc. ..................... 1,160 30,957
Witco Corp. ....................... 3,100 126,519
----------
3,012,279
----------
CLOTHING & APPAREL -- 0.3%
Cintas Corp. ...................... 3,600 140,400
Jones Apparel Group, Inc.*......... 2,600 111,800
Nike, Inc. Cl-B.................... 2,800 109,900
Springs Industries, Inc. Cl-A...... 2,000 104,000
Unifi, Inc. ....................... 2,500 101,719
----------
567,819
----------
COMPUTER HARDWARE -- 1.3%
Bay Networks, Inc.*................ 2,800 71,575
Compaq Computer Corp. ............. 7,500 423,281
Dell Computer Corp.*............... 5,200 436,800
Digital Equipment Corp.*........... 2,400 88,800
Hewlett-Packard Co. ............... 10,800 675,000
International Business Machines
Corp. ........................... 9,900 1,035,169
Seagate Technology, Inc.*.......... 4,500 86,625
Stratus Computer, Inc.*............ 1,100 41,594
----------
2,858,844
----------
COMPUTER SERVICES & SOFTWARE -- 2.3%
Adobe Systems, Inc. ............... 600 24,750
America Online, Inc.* ............. 1,900 169,456
Automatic Data Processing, Inc. ... 4,000 245,500
BMC Software, Inc.* ............... 2,300 150,937
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE
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<S> <C> <C>
Cadence Design Systems, Inc.* ......... 4,500 $ 110,250
Ceridian Corp.* ................... 2,600 119,112
Cisco Systems, Inc.* .............. 9,750 543,562
CompUSA, Inc.* .................... 2,400 74,400
Computer Associates International,
Inc. ............................ 6,562 346,966
Compuware Corp.* .................. 4,000 128,000
DST Systems, Inc.* ................ 900 38,419
First Data Corp. .................. 5,400 157,950
Informix Corp.* ................... 2,900 13,775
Microsoft Corp.* .................. 11,700 1,512,225
Network Associates, Inc.* ......... 1,300 68,737
Novell, Inc.* ..................... 9,500 71,250
Oracle Corp.* ..................... 10,950 244,322
Parametric Technology Corp.* ...... 2,500 118,437
Paychex, Inc. ..................... 3,600 182,250
Policy Management Systems
Corp.* .......................... 400 27,825
Quantum Corp.* .................... 2,900 58,181
Sterling Commerce, Inc.* .......... 2,200 84,562
Storage Technology Corp.* ......... 1,500 92,906
Structural Dynamics Research
Corp.* .......................... 1,300 29,250
Sun Microsystems, Inc.* ........... 4,900 195,387
----------
4,808,409
----------
CONGLOMERATES -- 0.9%
Hanson PLC [ADR] .................. 337 7,772
Minnesota Mining & Manufacturing
Co. ............................. 5,000 410,312
Philip Morris Companies, Inc. ..... 26,100 1,182,656
Tomkins PLC [ADR] ................. 6,000 114,750
Tyco International Ltd. ........... 4,000 180,250
----------
1,895,740
----------
CONSTRUCTION -- 0.0%
Granite Construction, Inc. ........ 1,100 25,300
Jacobs Engineering Group, Inc.* ... 1,700 43,137
----------
68,437
----------
CONSUMER PRODUCTS & SERVICES -- 1.6%
Cendant Corp. ..................... 12,169 418,309
Colgate-Palmolive Co. ............. 4,000 294,000
Corning, Inc. ..................... 3,900 144,787
Cross, (A.T.) Co. Cl-A ............ 1,400 14,175
Eastman Kodak Co. ................. 3,300 200,681
Fortune Brands, Inc. .............. 2,400 88,950
Gallaher Group PLC [ADR] .......... 2,400 51,300
Gillette Co. ...................... 6,400 642,800
Imperial Tobacco Group PLC
[ADR] ........................... 675 8,530
International Flavors & Fragrances,
Inc. ............................ 3,200 164,800
Lancaster Colony Corp. ............ 700 39,462
National Presto Industries,
Inc. ............................ 800 31,650
Ogden Corp. ....................... 1,000 28,187
Pittston Brink Group .............. 1,300 52,325
Procter & Gamble Co. .............. 14,600 1,165,262
Sotheby's Holdings, Inc. Cl-A ..... 1,000 18,500
Stewart Enterprises, Inc. ......... 900 41,962
----------
3,405,680
----------
SHARES VALUE
------- ------------
CONTAINERS & PACKAGING -- 0.2%
Bemis Co., Inc. ................... 2,700 $ 118,969
Owens-Illinois, Inc.* ............. 3,700 140,369
Sealed Air Corp.* ................. 2,400 148,200
----------
407,538
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.4%
AES Corp.* ........................ 2,600 121,225
Altera Corp.* ..................... 4,300 142,437
American Power Conversion
Corporation* .................... 2,700 63,787
Applied Materials, Inc.* .......... 5,200 156,650
Arrow Electronics, Inc.* .......... 2,500 81,094
Diebold, Inc. ..................... 2,700 136,687
Emerson Electric Co. .............. 6,000 338,625
General Electric Co. .............. 32,200 2,362,675
Hitachi Ltd. [ADR] ................ 2,400 166,050
Honeywell, Inc. ................... 2,000 137,000
Hubbell, Inc. Cl-B ................ 2,000 98,625
Linear Technology Corp. ........... 1,900 109,487
Maxim Integrated Products,
Inc.* ........................... 4,000 138,000
Molex, Inc. ....................... 4,375 140,547
Philips Electronics NV [ADR] ...... 3,600 217,800
Solectron Corp.* .................. 3,000 124,687
Sundstrand Corp. .................. 2,200 110,825
Symbol Technologies, Inc. ......... 1,050 39,637
Tandy Corp. ....................... 1,200 46,275
Teleflex, Inc. .................... 1,800 67,950
Teradyne, Inc.* ................... 1,800 57,600
Texas Instruments, Inc. ........... 3,000 135,000
Varian Associates, Inc. ........... 700 35,394
----------
5,028,057
----------
ENTERTAINMENT & LEISURE -- 0.8%
Brunswick Corp. ................... 2,000 60,625
Callaway Golf Co. ................. 1,900 54,269
Circus Circus Enterprises,
Inc.* ........................... 2,700 55,350
Disney, (Walt) Co. ................ 6,264 620,527
Harley-Davidson, Inc. ............. 3,800 104,025
Mattel, Inc. ...................... 2,800 104,300
Mirage Resorts, Inc.* ............. 3,800 86,450
President Casinos, Inc.
Warrants* ....................... 883 221
Time Warner, Inc. ................. 6,900 427,800
Viacom, Inc. Cl-B* ................ 5,000 207,187
----------
1,720,754
----------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries,
Inc. ............................ 1,840 68,080
Tetra Tech, Inc.* ................. 1,500 30,000
U.S. Filter Corp.* ................ 2,300 68,856
USA Waste Services, Inc.* ......... 5,000 196,250
Waste Management, Inc. ............ 5,323 146,382
----------
509,568
----------
EQUIPMENT SERVICES -- 0.0%
Agco, Corp. ....................... 2,100 61,425
----------
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE
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<S> <C> <C>
FINANCIAL-BANK & TRUST -- 4.3%
Australia and New Zealand Banking
Group Ltd. [ADR] ................ 3,600 $ 118,350
Banc One Corp. .................... 7,300 396,481
Banco Bilbao Vizcaya [ADR] ........ 9,000 290,812
Banco Frances del Rio de la Plata
SA [ADR] ........................ 5,060 138,517
BankAmerica Corp. ................. 4,400 321,200
Chase Manhattan Corp. ............. 4,856 531,732
Citicorp .......................... 5,200 657,475
City National Corp. ............... 1,800 66,487
CoreStates Financial Corp. ........ 3,400 272,212
Crestar Financial Corp. ........... 2,600 148,200
Fifth Third Bancorp ............... 3,150 257,512
First Chicago NBD Corp. ........... 4,200 350,700
First of America Bank Corp. ....... 1,800 138,825
First Security Corp. .............. 4,725 197,859
First Tennessee National Corp. .... 2,700 180,225
First Union Corp. ................. 7,100 363,875
Firstar Corp. ..................... 2,400 101,850
Fleet Financial Group, Inc. ....... 3,600 269,775
Huntington Bancshares, Inc. ....... 3,600 129,600
Keycorp ........................... 4,000 283,250
Mellon Bank Corp. ................. 4,400 266,750
Mercantile Bancorporation, Inc. ... 2,100 129,150
Mercantile Bankshares Corp. ....... 2,700 105,637
Morgan, (J.P.) & Co., Inc. ........ 2,600 293,475
NationsBank Corp. ................. 8,600 522,987
Northern Trust Corp. .............. 3,600 251,100
Norwest Corp. ..................... 10,800 417,150
Pacific Century Financial Corp. ... 3,000 74,250
PNC Bank Corp. .................... 5,520 314,985
Regions Financial Corp. ........... 1,500 63,281
Silicon Valley Bancshares* ........ 700 39,375
Southtrust Corp. .................. 3,000 190,312
State Street Boston Corp. ......... 2,900 168,744
Summit Bancorp .................... 3,300 175,725
U.S. Bancorp ...................... 4,553 509,651
Union Planters Corp. .............. 1,200 81,525
Wells Fargo & Co. ................. 1,100 373,381
----------
9,192,415
----------
FINANCIAL SERVICES -- 1.7%
American Express Co. .............. 5,100 455,175
Bear Stearns Companies, Inc. ...... 2,415 114,712
Block, (H&R), Inc. ................ 2,500 112,031
Comdisco, Inc. .................... 2,850 95,297
Echelon International Corp.* ...... 846 18,982
Edwards, (A.G.), Inc. ............. 2,250 89,437
Fannie Mae ........................ 12,100 690,456
Finova Group, Inc. ................ 2,000 99,375
Franklin Resources, Inc. .......... 2,850 247,772
Freddie Mac ....................... 9,500 398,406
Green Tree Financial Corp. ........ 2,500 65,469
Grupo Financiero Bancomer [ADR]
144A* ........................... 1,400 18,025
Household International, Inc. ..... 1,600 204,100
Merrill Lynch & Co., Inc. ......... 3,100 226,106
SHARES VALUE
------- ------------
Morgan Stanley, Dean Witter,
Discover & Co. .................. 5,485 $ 324,301
Paine Webber Group, Inc. .......... 3,600 124,425
Schwab, (Charles) Corp. ........... 2,250 94,359
SunAmerica, Inc. .................. 4,200 179,550
Washington Mutual, Inc. ........... 2,500 159,531
----------
3,717,509
----------
FOOD -- 1.6%
American Stores Co. ............... 2,800 57,575
Archer-Daniels-Midland Co. ........ 7,782 168,772
Conagra, Inc. ..................... 6,800 223,125
CPC International, Inc. ........... 1,800 193,950
Dole Food Co. ..................... 1,700 77,775
Earthgrains Co. ................... 296 13,912
General Mills, Inc. ............... 2,500 179,062
Heinz, (H.J.) Co. ................. 5,250 266,766
IBP, Inc. ......................... 2,400 50,250
Kellogg Co. ....................... 5,800 287,825
Kroger Co.* ....................... 5,400 199,462
McCormick & Co., Inc. ............. 3,300 92,400
Ralston Purina Group .............. 2,100 195,169
Safeway, Inc.* .................... 2,280 144,210
Sara Lee Corp. .................... 6,200 349,137
Smucker, (J.M.) Co. ............... 1,600 37,800
Tyson Foods, Inc. ................. 5,300 108,650
Unilever PLC [ADR] ................ 8,400 524,475
Universal Corp. ................... 1,800 74,025
Universal Foods Corp. ............. 1,300 54,925
----------
3,299,265
----------
FURNITURE -- 0.0%
Leggett & Platt, Inc. ............. 2,400 100,500
----------
HEALTHCARE SERVICES -- 0.5%
Apria Healthcare Group, Inc.* ..... 2,000 26,875
Columbia-HCA Healthcare Corp. ..... 9,096 269,469
Concentra Managed Care, Inc.* ..... 1,600 54,000
Foundation Health Systems Cl-A* ... 1,800 40,275
Health Management Associates,
Inc.* ........................... 3,000 75,750
Healthsouth Corp.* ................ 6,200 172,050
Omnicare, Inc. .................... 2,800 86,800
Oxford Health Plans, Inc.* ........ 1,300 20,231
PacifiCare Health Systems, Inc.
Cl-A ............................ 400 20,100
PacifiCare Health Systems, Inc.
Cl-B* ........................... 1,000 52,375
United Healthcare Corp. ........... 3,400 168,937
Vencor, Inc.* ..................... 2,200 53,762
----------
1,040,624
----------
HOTELS & MOTELS -- 0.1%
ITT Corp.* ........................ 2,900 240,337
----------
INDUSTRIAL PRODUCTS -- 0.0%
Harsco Corp. ...................... 2,000 86,250
----------
INSURANCE -- 2.0%
Aetna, Inc. ....................... 2,502 176,547
AFLAC, Inc. ....................... 2,950 150,819
Allstate Corp. .................... 2,600 236,275
American Financial Group, Inc. .... 1,700 68,531
American General Corp. ............ 4,300 232,469
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE
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<S> <C> <C>
American International Group, Inc. .... 7,550 $ 821,062
Chubb Corp. ....................... 2,600 196,625
CIGNA Corp. ....................... 1,300 224,981
General Re Corp. .................. 1,300 275,600
HSB Group, Inc. ................... 1,100 60,706
Loews Corp. ....................... 2,100 222,862
Progressive Corp. ................. 1,400 167,825
Provident Companies, Inc. ......... 2,800 108,150
Selective Insurance Group, Inc. ... 2,000 54,000
Torchmark Corp. ................... 4,600 193,487
Transatlantic Holdings, Inc. ...... 1,050 75,075
Travelers Group, Inc. ............. 12,670 682,596
UNUM Corp. ........................ 4,200 228,375
----------
4,175,985
----------
LUMBER & WOOD PRODUCTS -- 0.0%
Deltic Timber Corp. ............... 342 9,362
Rayonier, Inc. .................... 500 21,281
----------
30,643
----------
MACHINERY & EQUIPMENT -- 0.7%
Black & Decker Corp. .............. 2,700 105,469
Caterpillar, Inc. ................. 5,600 271,950
Danaher Corp. ..................... 1,800 113,625
Deere & Co. ....................... 4,000 233,250
Federal Signal Corp. .............. 1,700 36,762
Flowserve Corp. ................... 2,900 81,019
Gencorp, Inc. ..................... 2,800 70,000
Illinois Tool Works, Inc. ......... 4,200 252,525
Kennametal, Inc. .................. 500 25,906
Precision Castparts Corp. ......... 500 30,156
Sequa Corp. Cl-A* ................. 700 45,544
Tecumseh Products Co. Cl-A ........ 1,400 68,250
Thermo Electron Corp.* ............ 3,400 151,300
----------
1,485,756
----------
MEDICAL SUPPLIES & EQUIPMENT -- 1.0%
Baxter International, Inc. ........ 3,900 196,706
Beckman Instruments, Inc. ......... 500 20,000
Becton Dickinson & Co. ............ 3,400 170,000
Boston Scientific Corp.* .......... 3,400 155,975
Forest Laboratories, Inc.* ........ 1,000 49,312
Genzyme Corp.-Tissue Repair* ...... 63 433
Guidant Corp. ..................... 2,600 161,850
Hillenbrand Industries, Inc. ...... 1,500 76,781
Johnson & Johnson Co. ............. 12,600 830,025
Medtronic, Inc. ................... 5,000 261,562
Stryker Corp. ..................... 3,400 126,650
Sybron International Corp.* ....... 900 42,244
----------
2,091,538
----------
METALS & MINING -- 0.3%
Aluminum Company of America ....... 3,100 218,162
Barrick Gold Corp. ................ 8,000 149,000
Brush Wellman, Inc. ............... 1,300 31,850
Carpenter Technology Corp. ........ 2,200 105,737
SHARES VALUE
------- ------------
Nucor Corp. ....................... 1,600 $ 77,300
Placer Dome, Inc. ................. 4,700 59,631
----------
641,680
----------
OFFICE EQUIPMENT -- 0.4%
Ikon Office Solutions, Inc. ....... 2,300 64,687
Office Depot, Inc.* ............... 3,900 93,356
Pitney Bowes, Inc. ................ 1,900 170,881
Standard Register Co. ............. 1,700 59,075
Staples, Inc.* .................... 3,500 97,125
Viking Office Products, Inc.* ..... 2,100 45,806
Wallace Computer Service, Inc. .... 2,900 112,737
Xerox Corp. ....................... 3,900 287,869
----------
931,536
----------
OIL & GAS -- 4.7%
Amerada Hess Corp. ................ 4,700 257,912
Amoco Corp. ....................... 3,200 272,400
Anadarko Petroleum Corp. .......... 500 30,344
Apache Corp. ...................... 1,600 56,100
Atlantic Richfield Co. ............ 4,000 320,500
BJ Services Co.* .................. 4,100 294,944
British Petroleum Co. PLC [ADR] ... 3,000 239,063
Chevron Corp. ..................... 7,400 569,800
El Paso Natural Gas Co. ........... 1,400 93,100
Enron Corp. ....................... 4,400 182,875
Ensco International, Inc. ......... 4,200 140,700
Ente Nazionale Idrocarbure SPA
[ADR] ........................... 3,700 211,131
Exxon Corp. ....................... 25,400 1,554,163
Global Marine, Inc.* .............. 4,200 102,900
Halliburton Co. ................... 3,200 166,200
Helmerich & Payne, Inc. ........... 900 61,088
MCN Energy Group, Inc. ............ 2,400 96,900
Mobil Corp. ....................... 8,500 613,594
Murphy Oil Corp. .................. 1,800 97,538
Nabors Industries, Inc.* .......... 2,200 69,163
National Fuel Gas Co. ............. 1,600 77,900
Noble Affiliates, Inc. ............ 1,800 63,450
Noble Drilling Corp.* ............. 2,400 73,500
Occidental Petroleum Corp. ........ 6,600 193,463
Phillips Petroleum Co. ............ 4,000 194,500
Ranger Oil Ltd. ................... 5,400 37,125
Repsol SA [ADR] ................... 3,000 127,688
Royal Dutch Petroleum Co. ......... 26,200 1,419,713
Schlumberger Ltd. ................. 4,200 338,100
Shell Transport & Trading Co.
[ADR] ........................... 6,000 262,500
Societe Nationale Elf Aquitaine SA
[ADR] ........................... 2,000 117,250
Sonat, Inc. ....................... 3,300 150,975
Texaco, Inc. ...................... 6,200 337,125
Tidewater, Inc. ................... 2,700 148,838
Tosco Corp. ....................... 3,000 113,438
Total SA [ADR] .................... 3,000 166,500
Union Pacific Resources Group,
Inc. ............................ 5,509 133,593
Unocal Corp. ...................... 3,600 139,725
USX-Marathon Group ................ 5,400 182,250
Valero Energy Corp. ............... 2,900 91,169
</TABLE>
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Washington Gas Light Co. .......... 2,200 $ 68,063
Weatherford Enterra, Inc.* ........ 1,300 56,875
----------
9,924,155
----------
PAPER & FOREST PRODUCTS -- 0.4%
Georgia Pacific Corp. ............. 1,500 91,125
Glatfelter, (P.H.) Co. ............ 2,600 48,425
International Paper Co. ........... 5,000 215,625
Kimberly-Clark Corp. .............. 7,000 345,188
Wausau Mosinee Paper Corp.* ....... 1,900 38,238
Weyerhaeuser Co. .................. 3,200 157,000
----------
895,601
----------
PERSONAL SERVICES -- 0.1%
Service Corp. International ....... 3,800 140,363
----------
PHARMACEUTICALS -- 3.4%
Abbott Laboratories ............... 8,000 524,500
American Home Products Corp. ...... 7,200 550,800
Amgen, Inc.* ...................... 3,800 205,675
Bristol-Meyers Squibb Co. ......... 10,200 965,175
Cardinal Health, Inc. ............. 900 67,613
Carter-Wallace, Inc. .............. 3,900 65,813
Centocor, Inc.* ................... 1,200 39,900
Genzyme Corp.* .................... 2,100 58,275
Glaxo Wellcome PLC [ADR] .......... 4,800 229,800
Ivax Corp.* ....................... 2,200 14,850
Lilly, (Eli) & Co. ................ 12,200 849,425
McKesson Corp. .................... 1,300 140,644
Merck & Co., Inc. ................. 11,300 1,200,625
Perrigo Co.* ...................... 3,600 48,150
Pfizer, Inc. ...................... 13,300 991,681
Pharmacia & Upjohn, Inc. .......... 6,400 234,400
Scherer, (R.P.) Corp.* ............ 1,000 61,000
Schering-Plough Corp. ............. 7,600 472,150
Warner-Lambert Co. ................ 3,300 409,200
Watson Pharmaceuticals, Inc.* ..... 3,000 97,313
----------
7,226,989
----------
PRINTING & PUBLISHING -- 0.3%
Banta Corp. ....................... 2,900 78,300
Belo, (A.H.) Corp. Cl-A ........... 1,300 72,963
Dun & Bradstreet Corp. ............ 1,500 46,406
Gannett Co., Inc. ................. 5,200 321,425
McGraw-Hill Co., Inc. ............. 2,900 214,600
----------
733,694
----------
RAILROADS -- 0.3%
Burlington Northern Santa Fe
Corp. ........................... 1,300 120,819
CSX Corp. ......................... 2,300 124,200
Kansas City Southern Industries,
Inc. ............................ 5,400 171,450
Norfolk Southern Corp. ............ 6,000 184,875
Union Pacific Corp. ............... 1,900 118,631
----------
719,975
----------
RESTAURANTS -- 0.3%
Brinker International, Inc.* ...... 7,300 116,800
Cracker Barrel Old Country Store,
Inc. ............................ 2,700 90,113
Darden Restaurants, Inc. .......... 6,500 81,250
McDonald's Corp. .................. 4,800 229,200
SHARES VALUE
------- ------------
Outback Steakhouse, Inc.* ......... 1,900 $ 54,625
Tricon Global Restaurants, Inc. ... 1,480 43,013
----------
615,001
----------
RETAIL & MERCHANDISING -- 2.0%
Albertson's, Inc. ................. 4,200 198,975
Bed, Bath & Beyond, Inc.* ......... 2,200 84,700
Circuit City Stores, Inc. ......... 900 32,006
Costco Companies, Inc.* ........... 3,900 174,038
CVS Corp. ......................... 2,000 128,125
Dayton-Hudson Corp. ............... 3,700 249,750
Dollar General Corp. .............. 2,250 81,563
Family Dollar Stores, Inc. ........ 1,300 38,106
Fastenal Co. ...................... 1,400 53,550
Federated Department Stores,
Inc.* ........................... 3,500 150,719
Gap, Inc. ......................... 4,350 154,153
Home Depot, Inc. .................. 9,000 529,875
Kohls Corp.* ...................... 2,800 190,750
Lands' End, Inc.* ................. 1,800 63,113
May Department Stores Co. ......... 3,900 205,481
Meyer, (Fred), Inc.* .............. 3,000 109,125
Micro Warehouse, Inc.* ............ 1,500 20,907
Payless Shoesource, Inc.* ......... 672 45,108
Penney, (J.C.) Co., Inc. .......... 3,500 211,094
Rite Aid Corp. .................... 1,300 76,294
Taylor, (Ann) Stores Corp.* ....... 1,600 21,400
Tiffany & Co. ..................... 1,200 43,275
TJX Companies, Inc. ............... 2,800 96,250
Toys 'R' Us, Inc.* ................ 4,620 145,241
Wal-Mart Stores, Inc. ............. 24,800 978,050
Walgreen Co. ...................... 7,700 241,588
----------
4,323,236
----------
SEMICONDUCTORS -- 0.9%
Analog Devices, Inc.* ............. 7,533 208,570
Atmel Corp.* ...................... 2,000 37,125
Intel Corp. ....................... 15,400 1,081,850
Motorola, Inc. .................... 6,100 348,081
Xilinx, Inc.* ..................... 4,100 143,756
----------
1,819,382
----------
TELECOMMUNICATIONS -- 4.4%
360 Communications Co.* ........... 2,300 46,431
ADC Telecommunications, Inc.* ..... 3,400 141,950
Airtouch Communications, Inc.* .... 6,000 249,375
Aliant Communications, Inc. ....... 1,800 56,475
Ameritech Corp. ................... 6,000 483,000
AT&T Corp. ........................ 16,500 1,010,625
Bell Atlantic Corp. ............... 8,157 742,287
BellSouth Corp. ................... 10,100 568,756
British Telecommunications PLC
[ADR] ........................... 3,200 257,000
Century Telephone Enterprises,
Inc. ............................ 2,800 139,475
Cia de Telecomunicaciones de Chile
SA [ADR] ........................ 1,700 50,788
Comcast Corp. Cl-A ................ 7,000 220,938
Ericsson, (L.M.) Telephone Co.
[ADR] ........................... 4,800 179,100
GTE Corp. ......................... 10,000 522,500
</TABLE>
65
<PAGE> 67
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Hong Kong Telecommunications
Ltd. [ADR] ...................... 9,245 $ 190,678
Lucent Technologies, Inc. ......... 7,276 581,171
MCI Communications Corp. .......... 7,700 329,656
Metronet Communications Corp.
Warrants* ....................... 100 0
Nextel Communications, Inc.
Cl-A* ........................... 3,600 93,600
Nokia Corp. Cl-A [ADR] ............ 1,800 126,000
Northern Telecom Ltd. ............. 3,400 302,600
Primus Telecommunications Group,
Inc. Warrants* .................. 150 1,500
SBC Communications, Inc. .......... 9,357 685,400
Southern New England
Telecommunications Corp. ........ 2,400 120,750
Sprint Corp. ...................... 5,400 316,575
Telebras SA [ADR] ................. 3,300 384,244
Telefonica de Espana [ADR] ........ 1,600 145,700
Telefonos de Mexico SA Cl-L
[ADR] ........................... 1,800 100,913
Telephone & Data Systems, Inc. .... 2,000 93,125
Tellabs, Inc.* .................... 2,800 148,050
U.S. West Communications Group .... 6,200 279,775
U.S. West, Inc. ................... 8,000 231,000
Vodafone Group PLC [ADR] .......... 3,200 232,000
Worldcom, Inc.* ................... 10,900 329,725
----------
9,361,162
----------
TRANSPORTATION -- 0.0%
Alexander & Baldwin, Inc. ......... 1,800 49,163
Consolidated Freightways, Inc. .... 900 34,538
----------
83,701
----------
UTILITIES -- 1.6%
Allegheny Energy, Inc. ............ 2,700 87,750
American Water Works Co., Inc. .... 2,100 57,356
Calenergy, Inc.* .................. 2,400 69,000
CMS Energy Corp. .................. 2,800 123,375
Duke Energy Corporation ........... 4,500 249,188
Edison International, Inc. ........ 7,800 212,063
Empresa Nacional de Electridad SA
[ADR] ........................... 2,000 35,375
Endesa SA [ADR] ................... 7,600 138,225
Energy Group PLC [ADR] ............ 337 15,039
Entergy Corp. ..................... 6,200 185,613
Florida Progress Corp. ............ 2,200 86,350
FPL Group, Inc. ................... 3,700 218,994
Idaho Power Co. ................... 2,600 97,825
Illinova Corp. .................... 2,700 72,731
IPALCO Enterprises, Inc. .......... 2,400 100,650
MidAmerican Energy Holdings Co. ... 3,800 83,600
New Century Energies, Inc. ........ 2,395 114,810
New York State Electric & Gas
Corp. ........................... 3,400 120,700
Niagara Mohawk Power Corp. ........ 12,700 133,350
NIPSCO Industries, Inc. ........... 2,300 113,706
PG&E Corp. ........................ 8,200 249,588
Potomac Electric Power Co. ........ 3,200 82,600
Public Service Co. of New
Mexico .......................... 1,000 23,688
SCANA Corp. ....................... 2,700 80,831
Southern Co. ...................... 10,500 271,688
SHARES VALUE
------- ------------
Teco Energy, Inc. ................. 3,100 $ 87,188
Texas Utilities Co. ............... 3,700 153,781
Unicom Corp. ...................... 4,200 129,150
----------
3,394,214
----------
TOTAL COMMON STOCK
(COST $71,122,073)................... 99,734,615
----------
FOREIGN STOCK -- 9.0%
ADVERTISING -- 0.1%
Asahi Tsushin -- (JPY) ............ 9,000 130,133
----------
AEROSPACE -- 0.0%
Mitsubishi Heavy Industries Ltd. --
(JPY) ........................... 22,000 92,047
----------
AIRLINES -- 0.1%
KLM Royal Dutch Airlines NV --
(NLG) ........................... 3,000 110,989
Singapore Airlines
Ltd. -- (SGD) ................... 7,000 45,699
----------
156,688
----------
AUTOMOBILE MANUFACTURERS -- 0.1%
MAN AG -- (DEM) ................... 1,000 288,926
----------
AUTOMOTIVE PARTS -- 0.1%
Bridgestone Corp. -- (JPY) ........ 15,000 326,485
----------
BEVERAGES -- 0.1%
Lion Nathan Ltd. -- (NZD) ......... 50,000 112,066
Louis Vuitton Moet
Hennesy -- (FRF) ................ 660 109,600
----------
221,666
----------
BUILDING MATERIALS -- 0.2%
Blue Circle Industries
PLC -- (GBP) .................... 26,513 148,979
Holderbank Financiere Glarus AG --
(CHF) ........................... 260 212,485
Malayan Cement BHD -- (MYR) ....... 51,250 34,892
----------
396,356
----------
CHEMICALS -- 0.3%
AKZO Nobel NV -- (NLG) ............ 400 68,981
BASF AG -- (DEM) .................. 6,700 239,227
Bayer AG -- (DEM) ................. 5,000 185,619
L'Air Liquide -- (FRF) ............ 1,260 197,298
Sumitomo Chemical Co. -- (JPY) .... 26,000 59,990
----------
751,115
----------
CLOTHING & APPAREL -- 0.3%
Benetton Group SPA -- (ITL) ....... 4,160 68,118
Christian Dior SA -- (FRF) ........ 1,200 123,075
Kuraray Co. Ltd. -- (JPY) ......... 21,000 174,433
Yue Yuen Industrial Holdings --
(HKD) ........................... 95,000 201,077
----------
566,703
----------
CONGLOMERATES -- 0.3%
Cycle & Carriage Ltd. -- (SGD) .... 15,000 61,872
GKN PLC -- (GBP) .................. 6,000 123,110
Hutchison Whampoa Ltd. -- (HKD) ... 56,000 351,253
Sime Darby BHD -- (MYR) ........... 50,000 48,043
Tomkins PLC -- (GBP) .............. 12,000 57,458
</TABLE>
66
<PAGE> 68
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
United Engineers Ltd. -- (MYR) ........ 15,000 $ 12,486
Valmet Corp. -- (FIM) ............. 4,000 55,238
----------
709,460
----------
CONSTRUCTION -- 0.2%
Compagnie Francaise d'Etudes et de
Construction Technip -- (FRF) ... 2,300 242,775
Matsushita Electric Works
Ltd. -- (JPY) ................... 15,000 130,363
----------
373,138
----------
CONSUMER PRODUCTS & SERVICES -- 0.3%
JUSCO Co. -- (JPY) ................ 11,000 155,667
Kao Corp. -- (JPY) ................ 26,000 375,939
Orkla ASA Cl-A -- (NOK) ........... 1,900 163,656
----------
695,262
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.5%
Johnson Electric
Holdings -- (HKD) ............... 93,600 269,387
Mitsubishi Electric
Corp. -- (JPY) .................. 27,000 69,358
Omron Corp. -- (JPY) .............. 24,000 376,554
Sharp Corp. -- (JPY) .............. 9,000 62,159
Siemans AG -- (DEM) ............... 2,000 120,687
Sony Corp. -- (JPY) ............... 3,000 267,649
----------
1,165,794
----------
FINANCIAL-BANK & TRUST -- 2.1%
Abbey National PLC -- (GBP) ....... 28,000 502,641
ABN Amro Holding NV -- (NLG) ...... 8,000 155,878
Banca Commerciale Italia NA --
(ITL) ........................... 30,000 104,355
Bank of Scotland -- (GBP) ......... 20,208 186,203
Bankgesellschaft Berlin
AG -- (DEM) ..................... 5,450 119,728
Barclays PLC -- (GBP) ............. 15,191 404,427
DCB Holdings BHD -- (MYR) ......... 33,000 15,939
Deutsche Bank AG -- (DEM) ......... 2,800 195,902
Developmental Bank of Singapore
Ltd. Cl-F -- (SGD) .............. 4,000 34,185
Dresdner Bank AG -- (DEM) ......... 3,400 154,680
HSBC Holdings PLC -- (GBP) ........ 18,000 462,032
ING Groep NV -- (NLG) ............. 10,153 427,710
Kredietbank NV -- (BEF) ........... 400 167,882
Overseas-Chinese Banking Corp.
Ltd. -- (SGD) ................... 6,000 34,897
RHB Sakura Merchant Bankers
Berhad -- (MYR) ................. 1,650 555
Societe Generale -- (BEF) ......... 1,000 91,498
Svenska Handelsbanken
Cl-A -- (SEK) ................... 7,300 252,553
Swiss Bank Corp. -- (CHF) ......... 1,840 572,733
Toronto Dominion Bank -- (CAD) .... 4,100 154,142
Union Bank of
Switzerland -- (CHF) ............ 300 434,404
Westpac Banking Corp.
Ltd. -- (AUD) ................... 10,000 63,958
----------
4,536,302
----------
SHARES VALUE
------- ------------
FINANCIAL SERVICES -- 0.2%
Holding Di Partecipazioni
Industriali SPA -- (ITL)* ....... 45,000 $ 26,547
Mediobanca -- (ITL) ............... 7,000 54,994
Societe Generale -- (FRF) ......... 1,972 268,796
----------
350,337
----------
FOOD -- 0.6%
Cadbury Schweppes PLC -- (GBP) .... 1,400 14,132
CSM NV -- (NLG) ................... 2,400 106,549
Danisco AS -- (DKK) ............... 4,000 221,988
Eridania Beghin-Say SA -- (FRF) ... 1,400 218,988
Huhtamaki Group -- (FIM) .......... 1,500 61,978
Nestle SA -- (CHF) ................ 380 570,306
----------
1,193,941
----------
INSURANCE -- 0.3%
AXA SA -- (FRF) ................... 3,400 263,201
CKAG Colonia Konzern AG --
(DEM) ........................... 1,500 143,490
Sumitomo Marine & Fire Insurance
Co. -- (JPY) .................... 30,000 159,205
----------
565,896
----------
MACHINERY & EQUIPMENT -- 0.2%
ABB AG -- (CHF) ................... 160 201,296
SIG Holding AG -- (CHF) ........... 70 191,971
----------
393,267
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.4%
Novartis AG -- (CHF) .............. 180 292,482
Smith and Nephew PLC -- (GBP) ..... 38,000 112,859
Terumo Corp. -- (JPY) ............. 26,000 383,938
----------
789,279
----------
METALS & MINING -- 0.1%
Anglo American Platinum Corp.
Ltd. -- (ZAR) ................... 12,000 160,284
Lonrho PLC -- (GBP) ............... 57,990 88,738
Rio Tinto Ltd. -- (AUD) ........... 6,000 69,990
----------
319,012
----------
OFFICE EQUIPMENT -- 0.2%
Canon, Inc. -- (JPY) .............. 9,000 210,427
Ricoh Co. Ltd. -- (JPY) ........... 13,000 161,974
----------
372,401
----------
OIL & GAS -- 0.1%
Santos Ltd. -- (AUD) .............. 32,000 131,773
Societe Nationale Elf Aquitaine
SA -- (FRF) ..................... 1,100 127,995
----------
259,768
----------
PAPER & FOREST PRODUCTS -- 0.2%
Bobst SA -- (CHF) ................. 160 235,851
Kimberly-Clark de Mexico SA
Cl-A -- (MXP) ................... 10,000 47,880
Svenska Cellulosa AB
Cl-B -- (SEK) ................... 3,500 78,740
----------
362,471
----------
</TABLE>
67
<PAGE> 69
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
PHARMACEUTICALS -- 0.5%
Altana AG -- (DEM) ................ 2,100 $ 138,634
Astra AB Cl-B -- (SEK) ............ 14,666 246,764
Gehe AG -- (DEM) .................. 2,150 108,813
Novartis AG -- (CHF) .............. 160 260,534
Takeda Chemical
Industries -- (JPY) ............. 13,000 371,940
----------
1,126,685
----------
PRINTING & PUBLISHING -- 0.3%
Dai Nippon Printing Co.
Ltd. -- (JPY) ................... 12,000 226,117
Elsevier NV -- (NLG) .............. 12,000 194,157
Pearson PLC -- (GBP) .............. 11,600 150,977
----------
571,251
----------
REAL ESTATE -- 0.1%
Cheung Kong Holdings
Ltd. -- (HKD) ................... 38,000 248,894
DBS Land Ltd. -- (SGD) ............ 25,000 38,280
----------
287,174
----------
RETAIL & MERCHANDISING -- 0.3%
Carrefour Supermarche
SA -- (FRF) ..................... 150 78,293
Marui Co. Ltd. -- (JPY) ........... 7,000 109,290
Pinault-Printemps Redoute SA --
(FRF) ........................... 250 133,439
Tesco PLC -- (GBP) ................ 33,943 276,459
----------
597,481
----------
TELECOMMUNICATIONS -- 0.5%
Nippon Telegraph & Telephone
Corp. -- (JPY) .................. 280 241,192
Telecom Corp. of New Zealand
Ltd. -- (NZD) ................... 22,000 106,666
Telecom Italia Mobile
SPA -- (ITL) .................... 75,000 346,367
Telecom Italia SPA -- (ITL) ....... 41,666 266,305
Telekom Malaysia BHD -- (MYR) ..... 24,000 70,908
----------
1,031,438
----------
TRANSPORTATION -- 0.1%
BAA PLC -- (GBP) .................. 17,600 144,217
----------
UTILITIES -- 0.2%
Electrabel SA -- (BEF) ............ 420 97,150
Hong Kong Electric Holdings Ltd. --
(HKD) ........................... 30,000 114,025
Veba AG -- (DEM) .................. 4,000 272,519
----------
483,694
----------
TOTAL FOREIGN STOCK
(COST $17,569,785).......... 19,258,387
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- --------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 14.1%
AEROSPACE -- 0.4%
BE Aerospace, Inc. Sr.
Sub. Notes
9.875%.................. 02/01/06 $ 150 158,625
Boeing Co. Notes
6.35%................... 06/15/03 120 121,350
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Dyncorp, Inc. Sr. Sub.
Notes
9.50%................... 03/01/07 $ 300 $ 305,250
Raytheon Co. Notes
6.50%................... 07/15/05 350 353,063
-------------
938,288
-------------
AIRLINES -- 0.0%
Southwest Airlines Co.
Debs.
9.25%................... 02/15/98 25 25,082
-------------
AUTOMOTIVE PARTS -- 0.3%
Chief Auto Parts, Inc. Sr.
Notes
10.50%.................. 05/15/05 75 75,188
Safelite Glass Corp. Sr.
Sub. Notes 144A
9.875%.................. 12/15/06 250 274,375
Venture Holdings Trust Sr.
Notes Cl-B
9.50%................... 07/01/05 250 252,500
-------------
602,063
-------------
BEVERAGES -- 0.1%
Anheuser-Busch Companies,
Inc. Debs.
7.00%................... 12/01/25 150 152,250
-------------
152,250
-------------
BROADCASTING -- 0.2%
TV Azteca SA de CV Sr.
Notes Cl-B
10.50%.................. 02/15/07 250 260,625
Young Broadcasting Corp.
Sr. Sub. Notes
10.125%................. 02/15/05 150 157,500
-------------
418,125
-------------
BUILDING MATERIALS -- 0.2%
American Standard Debs.
9.25%................... 12/01/16 20 20,850
Falcon Building Products
Sr. Sub. Notes
9.50%................... 06/15/07 250 258,125
Koppers Industry, Inc. Sr.
Sub. Notes
9.875%.................. 12/01/07 75 77,250
-------------
356,225
-------------
BUSINESS SERVICES -- 0.2%
Iron Mountain, Inc. Sr.
Sub. Notes
8.75%................... 09/30/09 125 128,438
Muzak L.P. Notes
10.00%.................. 10/01/03 225 235,125
-------------
363,563
-------------
</TABLE>
68
<PAGE> 70
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
CHEMICALS -- 0.2%
Scotts Co. Sr. Sub. Notes
9.875%.................. 08/01/04 $ 100 $ 107,750
Sovereign Specialty
Chemicals Sr. Sub. Notes
144A
9.50%................... 08/01/07 250 257,500
-------------
365,250
-------------
CLOTHING & APPAREL -- 0.2%
Delta Mills, Inc. Sr.
Notes 144A
9.625%.................. 09/01/07 125 127,500
Dyersburg Corp. Notes Cl-B
9.75%................... 09/01/07 125 131,250
Synthetic Industries, Inc.
Sr. Sub. Notes
9.25%................... 02/15/07 250 265,000
-------------
523,750
-------------
COMPUTER SERVICES & SOFTWARE -- 0.1%
DecisionOne Corp. Sr. Sub.
Notes
9.75%................... 08/01/07 175 182,438
DecisionOne Holdings Corp.
Units [STEP]
10.549%................. 08/01/08 125 81,250
-------------
263,688
-------------
CONSTRUCTION -- 0.1%
Newport News Shipbuilding,
Inc. Sr. Notes
8.625%.................. 12/01/06 150 158,250
-------------
CONSUMER PRODUCTS & SERVICES -- 0.4%
American Safety Razor Co.
Sr. Notes
9.875%.................. 08/01/05 150 160,313
Doane Products Co. Sr.
Notes
10.625%................. 03/01/06 150 160,313
Herff Jones, Inc. Sr. Sub.
Notes
11.00%.................. 08/15/05 175 189,875
PM Holdings Corp. Sub.
Notes [STEP]
10.728%................. 09/01/05 100 77,875
Protection One, Inc. Sr.
Disc. Notes [STEP]
10.811%................. 06/30/05 200 215,500
-------------
803,876
-------------
CONTAINERS & PACKAGING -- 0.4%
Amtrol, Inc. Sr. Sub.
Notes
10.625%................. 12/31/06 150 154,875
Container Corp. of America
Sr. Notes
9.75%................... 04/01/03 150 162,000
11.25%.................. 05/01/04 100 109,250
PAR
MATURITY (000) VALUE
--------- -------- -------------
Plastic Containers Sr.
Notes Cl-B
10.00%.................. 12/15/06 $ 250 $ 263,750
U.S. Can Corp. Sr. Sub.
Notes
10.125%................. 10/15/06 150 158,625
-------------
848,500
-------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.6%
Ametek, Inc. Sr. Notes
9.75%................... 03/15/04 100 106,500
Celestica International,
Inc. Sr. Sub. Notes
10.50%.................. 12/31/06 125 135,625
Details, Inc. Sr. Sub.
Notes 144A
10.00%.................. 11/15/05 150 154,125
DII Group, Inc. Sr. Sub.
Notes 144A
8.50%................... 09/15/07 250 246,250
HCC Industries, Inc. Sr.
Sub. Notes
10.75%.................. 05/15/07 250 260,000
RCN Corp. Sr. Notes 144A
10.00%.................. 10/15/07 75 77,438
Stellex Industries, Inc.
Sr. Sub. Notes 144A
9.50%................... 11/01/07 125 125,625
Viasystems, Inc. Sr. Sub.
Notes
9.75%................... 06/01/07 250 258,438
-------------
1,364,001
-------------
ENTERTAINMENT & LEISURE -- 0.9%
AMC Entertainment, Inc.
Sr. Sub. Notes
9.50%................... 03/15/09 250 259,063
Grand Casinos, Inc. First
Mtge.
10.125%................. 12/01/03 150 162,000
Rio Hotel & Casino, Inc.
Notes
9.50%................... 04/15/07 100 106,250
Rio Hotel & Casino, Inc.
Sr. Sub. Notes
10.625%................. 07/15/05 150 162,375
Six Flags Theme Parks Sr.
Sub. Notes Cl-A [STEP]
9.87%................... 06/15/05 150 156,750
The Majestic Star Casino
LLC Sr. Notes
12.75%.................. 05/15/03 250 269,375
</TABLE>
69
<PAGE> 71
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Time Warner Entertainment
Debs.
7.25%................... 09/01/08 $ 500 $ 524,375
United Artists Theatre
Pass Through Trust
9.30%................... 07/01/15 244 249,315
-------------
1,889,503
-------------
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste Industries
Sr. Disc. Notes [STEP]
144A
9.57%................... 06/01/07 75 52,969
Allied Waste North America
Notes
10.25%.................. 12/01/06 200 219,000
-------------
271,969
-------------
EQUIPMENT SERVICES -- 0.1%
Coinmach Corp. Sr. Notes
11.75%.................. 11/15/05 250 276,875
-------------
FINANCIAL-BANK & TRUST -- 1.1%
Airplanes Pass Through
Trust
10.875%................. 03/15/19 250 281,256
Aristar, Inc. Sr. Notes
8.875%.................. 08/15/98 200 203,086
7.875%.................. 02/15/99 200 204,000
Banesto Delaware Sub.
Notes
8.25%................... 07/28/02 50 53,625
Bank of Nova Scotia Sub.
Notes
6.25%................... 09/15/08 50 49,438
BankAmerica Corp. Sub.
Notes
6.85%................... 03/01/03 150 153,750
BankUnited Capital Trust
Cl-B
10.25%.................. 12/31/26 250 258,125
CoreStates Home Equity
Trust Cl-A
6.65%................... 05/15/09 60 60,933
First Federal Financial
Notes
11.75%.................. 10/01/04 125 138,438
MBNA Corp.
6.15%................... 10/01/03 450 442,688
NationsBank Texas Sr.
Notes
6.75%................... 08/15/00 150 152,438
Provident Bank Corp. Sub.
Notes
7.125%.................. 03/15/03 175 180,031
U.S. Bancorp Notes
6.72%................... 06/01/98 100 100,307
-------------
2,278,115
-------------
PAR
MATURITY (000) VALUE
--------- -------- -------------
FINANCIAL SERVICES -- 2.2%
Ahmanson, (H.F.) & Co. Sr.
Notes
9.875%.................. 11/15/99 $ 100 $ 106,125
American Express Master
Trust
7.60%................... 08/15/02 500 523,412
Associates Corp. of North
America Sr. Notes
7.70%................... 03/15/00 50 51,625
Bay View Capital
Corporation Sub. Notes
9.125%.................. 08/15/07 150 154,500
Chrysler Financial Corp.
Notes
8.46%................... 01/19/00 200 209,250
Ciesco L.P. Notes
7.375%.................. 04/19/00 250 255,938
Conseco, Inc. Sr. Notes
8.125%.................. 02/15/03 500 530,000
Enhance Financial Services
Group Debs.
6.75%................... 03/01/03 300 306,375
Household Finance Corp.
Sr. Notes
6.96%................... 04/27/98 300 301,185
Intertek Finance PLC Sr.
Sub. Notes Cl-B
10.25%.................. 11/01/06 250 261,875
ITT Publimedia Sr. Sub.
Notes 144A
9.375%.................. 09/15/07 250 263,750
Loomis Fargo & Co. Notes
10.00%.................. 01/15/04 150 151,125
Ocwen Capital Trust I
10.875%................. 08/01/27 200 216,750
Ocwen Financial Corp.
Notes
11.875%................. 10/01/03 150 169,125
Salomon Smith Barney
Holdings Notes
6.625%.................. 06/01/00 200 202,500
Salomon, Inc Sr. Notes
6.75%................... 02/15/03 500 506,875
Simon Debartolo Group L.P.
Notes
7.00%................... 07/15/09 525 537,469
-------------
4,747,879
-------------
FOOD -- 0.5%
Ameriserv Food
Distributor, Inc. Sr.
Sub. Notes
10.125%................. 07/15/07 250 262,500
Archibald Candy Corp.
Notes
10.25%.................. 07/01/04 250 261,875
Keebler Corp. Sr. Sub.
Notes
10.75%.................. 07/01/06 250 281,875
</TABLE>
70
<PAGE> 72
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Mrs. Fields Original
Cookies Notes 144A
10.125%................. 12/01/04 $ 100 $ 100,750
Windy Hill Pet Food Co.
Sr. Sub. Notes
9.75%................... 05/15/07 250 260,625
-------------
1,167,625
-------------
HEALTHCARE SERVICES -- 0.2%
Quest Diagnostic, Inc. Sr.
Sub. Notes
10.75%.................. 12/15/06 125 137,188
Vencor, Inc. Sr. Sub.
Notes
8.625%.................. 07/15/07 250 250,625
-------------
387,813
-------------
HOTELS & MOTELS -- 0.2%
Courtyard by Marriott Sr.
Notes
10.75%.................. 02/01/08 150 165,000
Host Marriott Travel Plaza
Sr. Notes Cl-B
9.50%................... 05/15/05 150 159,750
-------------
324,750
-------------
INDUSTRIAL PRODUCTS -- 0.1%
International Wire Group,
Inc. Cl-B
11.75%.................. 06/01/05 250 273,750
-------------
INSURANCE -- 0.3%
New York Life Insurance
Co. Notes 144A
7.50%................... 12/15/23 420 437,325
Superior National Capital
Trust I 144A
10.75%.................. 12/01/17 125 128,125
-------------
565,450
-------------
MACHINERY & EQUIPMENT -- 0.1%
Hawk Corp. Sr. Notes Cl-B
10.25%.................. 12/01/03 150 160,500
-------------
METALS & MINING -- 0.3%
AEI Holding Co. Sr. Notes
144A
10.00%.................. 11/15/07 225 231,188
Freeport-McMoran Resource
Partners L.P. Sr. Notes
7.00%................... 02/15/08 150 150,563
Haynes International, Inc.
Sr. Notes
11.625%................. 09/01/04 150 173,063
-------------
554,814
-------------
OFFICE EQUIPMENT -- 0.1%
Axiohm Transaction
Solutions, Inc. Sr. Sub.
Notes 144A
9.75%................... 10/01/07 125 127,188
-------------
PAR
MATURITY (000) VALUE
--------- -------- -------------
OIL & GAS -- 0.4%
Ferrellgas Partners, L.P.
Financial Corp. Sr.
Notes
10.00%.................. 08/01/01 $ 100 $ 105,750
Flores & Rucks, Inc. Sr.
Sub. Notes
9.75%................... 10/01/06 50 55,000
Kelley Oil & Gas Corp. Sr.
Sub. Notes
10.375%................. 10/15/06 150 160,125
Pride Petroleum Services,
Inc. Sr. Notes
9.375%.................. 05/01/07 250 269,375
Tenneco, Inc. Notes
8.20%................... 11/15/99 55 56,994
8.075%.................. 10/01/02 150 159,938
-------------
807,182
-------------
PAPER & FOREST PRODUCTS -- 0.1%
Maxxam Group Holdings,
Inc. Sr. Notes
11.25%.................. 08/01/03 50 53,125
12.00%.................. 08/01/03 150 162,938
-------------
216,063
-------------
PHARMACEUTICALS -- 0.0%
Owens & Minor, Inc. Sr.
Sub. Notes
10.875%................. 06/01/06 75 82,875
-------------
PRINTING & PUBLISHING -- 0.1%
Sun Media Corp. Sr. Sub
Notes
9.50%................... 05/15/07 250 268,750
-------------
REAL ESTATE -- 0.3%
HMC Acquisition Properties
Sr. Notes Cl-B
9.00%................... 12/15/07 150 156,750
HMH Properties, Inc. Sr.
Notes Cl-B
8.875%.................. 07/15/07 250 263,750
Saul, (B.F.) Sr. Notes
[REIT]
11.625%................. 04/01/02 150 160,500
-------------
581,000
-------------
RESTAURANTS -- 0.0%
McDonald's Corp. Notes
6.625%.................. 09/01/05 100 102,250
-------------
102,250
-------------
</TABLE>
71
<PAGE> 73
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
RETAIL & MERCHANDISING -- 0.2%
Specialty Retailers, Inc.
Notes Cl-B
8.50%................... 07/15/05 $ 250 $ 255,000
Wal-Mart Stores, Inc.
Debs.
7.25%................... 06/01/13 85 91,906
-------------
346,906
-------------
SEMICONDUCTORS -- 0.1%
Fairchild Semiconductor
Corp. Sr. Sub. Notes
10.125%................. 03/15/07 250 264,375
-------------
TELECOMMUNICATIONS -- 1.8%
Comcast Cable
Communication Notes
8.125%.................. 05/01/04 400 431,500
Communication & Power
Industries Sr. Sub.
Notes
12.00%.................. 08/01/05 250 278,750
Frontiervision Sr. Sub.
Notes
11.00%.................. 10/15/06 150 167,250
Fundy Cable Ltd. Sr. Notes
11.00%.................. 11/15/05 250 270,000
L-3 Communications Corp.
Sr. Sub. Notes Cl-B
10.375%................. 05/01/07 175 189,875
Lucent Technologies, Inc.
Notes
6.90%................... 07/15/01 500 513,125
Marcus Cable Operating Co.
Sr. Disc. Notes [STEP]
10.86%.................. 08/01/04 250 232,500
Metronet Communications
Corp.
12.00%.................. 08/15/07 100 115,500
Nextlink Communications,
Inc. Sr. Notes
9.625%.................. 10/01/07 125 128,750
Pegasus Communications
Corp. Sr. Notes 144A
9.625%.................. 10/15/05 250 256,875
Rogers Cablesystems Ltd.
Sr. Notes
10.00%.................. 03/15/05 125 138,438
Sprint Spectrum L.P. Sr.
Notes
11.00%.................. 08/15/06 250 281,250
TCI Communications, Inc.
Sr. Notes
8.65%................... 09/15/04 200 219,250
Teleport Communications
Group, Inc. Sr. Notes
9.875%.................. 07/01/06 100 112,750
PAR
MATURITY (000) VALUE
--------- -------- -------------
Telewest PLC Debs. [STEP]
10.377%................. 10/01/07 $ 250 $ 195,000
United Telecommunications,
Inc. Debs.
9.75%................... 04/01/00 250 269,063
-------------
3,799,876
-------------
TRANSPORTATION -- 1.0%
Allied Holdings, Inc.
Notes Cl-B
8.625%.................. 10/01/07 250 256,875
Coach USA, Inc. Cl-B
9.375%.................. 07/01/07 175 178,938
Federal Express Corp.
Notes
6.25%................... 04/15/98 70 70,015
Global Ocean Carriers Ltd.
Sr. Notes 144A
10.25%.................. 07/15/07 225 214,875
Sea Containers Ltd. Sr.
Sub. Notes
12.50%.................. 12/01/04 70 79,450
Stena AB Sr. Notes
8.75%................... 06/15/07 250 253,750
Union Tank Car Co. Notes
7.125%.................. 02/01/07 150 157,125
-------------
1,211,028
-------------
UTILITIES -- 1.0%
Citizens Utilities Co.
Debs.
8.45%................... 09/01/01 335 360,125
Commonwealth Edison Co.
Notes
9.00%................... 10/15/99 250 260,938
Consumers Energy Co. First
Mtge.
6.625%.................. 10/01/98 50 50,000
Energy Corp. of America
Sr. Sub. Notes Cl-A
9.50%................... 05/15/07 250 250,625
Florida Power & Light
First Mtge.
5.70%................... 03/05/98 200 200,000
Monongahela Power First
Mtge.
8.50%................... 06/01/22 150 158,063
Northland Cable Television
Sr. Sub. Notes 144A
10.25%.................. 11/15/07 250 264,063
Pacific Gas & Electric Co.
First Mtge.
6.75%................... 12/01/00 200 201,000
Public Service Electric &
Gas First Mtge.
7.00%................... 09/01/24 300 295,500
</TABLE>
72
<PAGE> 74
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C>
Southern California Edison
Co. Notes
6.50%................... 06/01/01 $ 100 $ 101,125
-------------
2,141,439
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $29,052,118).................... 30,030,886
-------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 8.3%
FEDERAL HOME LOAN MORTGAGE CORP. -- 0.0%
7.50%................... 07/15/20 15 14,986
-------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION -- 0.0%
6.02%................... 01/20/98 60 60,010
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 8.3%
6.00%........... 10/15/23-05/15/26 2,681 2,590,688
6.50%........... 02/15/24-05/15/24 1,484 1,470,796
7.00%........... 09/15/23-02/15/27 8,237 8,317,813
7.50%........... 06/15/24-06/15/26 1,536 1,575,910
8.00%........... 05/15/16-06/15/26 1,190 1,236,159
8.50%........... 06/15/16-10/15/26 2,010 2,112,207
9.00%........... 07/15/16 12 13,302
9.50%........... 10/15/09-06/15/20 50 54,491
10.00%.......... 11/15/09 13 14,554
10.50%.......... 08/15/15 9 9,699
11.50%.......... 06/15/10-11/15/15 145 165,451
12.00%.......... 09/15/13-01/15/14 7 7,400
------------
17,568,470
------------
TENNESSEE VALLEY AUTHORITY -- 0.0%
7.75%................... 12/15/22 10 10,400
7.25%................... 07/15/43 20 21,050
6.875%.................. 12/15/43 40 40,600
-------------
72,050
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $17,204,828)............................. 17,715,516
-------------
U.S. TREASURY OBLIGATIONS -- 15.8%
U.S. TREASURY BILLS -- 1.2%
4.60%................... 01/22/98 $ 2,600 2,593,023
-------------
U.S. TREASURY BONDS -- 7.2%
11.625%................. 11/15/02 100 124,678
7.125%.................. 02/15/23 240 274,099
7.625%.................. 02/15/25 300 364,404
6.875%.................. 08/15/25 300 334,734
6.00%................... 02/15/26 100 99,857
6.75%................... 08/15/26 11,525 12,699,166
6.625%.................. 02/15/27 1,250 1,356,813
-------------
15,253,751
-------------
U.S. TREASURY NOTES -- 7.4%
6.125%.................. 05/15/98 100 100,250
6.00%................... 05/31/98 450 450,931
5.125%.................. 12/31/98 50 49,787
6.375%.................. 05/15/99 1,950 1,968,720
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
6.75%................... 05/31/99 $ 460 $ 466,877
6.00%................... 06/30/99 3,500 3,518,795
6.875%.................. 03/31/00 250 256,242
6.25%................... 05/31/00 100 101,262
6.125%.................. 09/30/00 150 151,582
5.625%.................. 11/30/00 275 274,510
5.625%.................. 02/28/01 1,100 1,097,547
5.75%................... 08/15/03 665 665,578
7.50%................... 02/15/05 250 274,935
5.875%.................. 11/15/05 425 427,486
5.625%.................. 02/15/06 500 494,675
6.50%................... 10/15/06 1,350 1,414,179
6.25%................... 02/15/07 2,000 2,064,300
6.125%.................. 08/15/07 2,000 2,056,140
-------------
15,833,796
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $32,402,248)............................. 33,680,570
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
--------
<S> <C> <C> <C>
FOREIGN BONDS -- 2.4%
AUSTRALIA -- 0.0%
Australian Government
9.50%................... 08/15/03 20 15,323
----------
BELGIUM -- 0.0%
Belgium Kingdom Government
7.25%................... 04/29/04 1,550 46,630
----------
CANADA -- 0.2%
Canadian Government
8.50%................... 04/01/02 380 296,083
6.50%................... 06/01/04 110 81,081
9.75%................... 06/01/21 10 10,344
----------
387,508
----------
DENMARK -- 0.0%
Kingdom of Denmark
7.00%................... 12/15/04 275 43,777
----------
FRANCE -- 0.4%
France O.A.T.
8.50%................... 11/25/02 1,406 270,923
8.25%................... 02/27/04 264 51,379
5.50%................... 04/25/07 3,000 506,162
8.50%................... 04/25/23 50 11,179
----------
839,643
----------
GERMANY -- 0.5%
Deutscheland Republic
8.50%................... 08/21/00 375 229,396
8.375%.................. 05/21/01 410 254,477
</TABLE>
73
<PAGE> 75
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
6.50%................... 07/15/03 110 $ 65,735
6.00%................... 07/04/07 838 487,203
----------
1,036,811
----------
ITALY -- 0.1%
Italian Government
11.50%.................. 03/01/03 275 198,100
8.50%................... 08/01/04 45 29,646
----------
227,746
----------
JAPAN -- 0.8%
European Investment Bank
4.625%.................. 02/26/03 53,000 473,356
3.00%................... 09/20/06 102,000 856,073
International Bank for
Reconstruction &
Development Global Bond
6.75%................... 03/15/00 14,000 121,856
Japanese Government
4.50%................... 06/20/03 33,500 299,596
----------
1,750,881
----------
NETHERLANDS -- 0.1%
Netherlands Government
5.75%................... 01/15/04 115 58,685
----------
SPAIN -- 0.0%
Spanish Government
8.00%................... 05/30/04 6,400 48,016
----------
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- -------- ------------
UNITED KINGDOM -- 0.3%
United Kingdom Treasury
9.00%................... 03/03/00 85 $ 146,023
8.00%................... 06/10/03 91 159,886
7.50%................... 12/07/06 164 290,592
----------
596,501
----------
TOTAL FOREIGN BONDS
(COST $5,197,512)........... 5,051,521
----------
<CAPTION>
PAR
(000)
--------
<S> <C> <C>
COMMERCIAL PAPER -- 4.1%
Procter & Gamble Co. 5.90%
(COST $8,718,514)......... 01/16/98 $ 8,740 8,718,514
----------
<CAPTION>
SHARES
--------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Fund
(COST $9,022)...................... 9,022 9,022
----------
TOTAL INVESTMENTS -- 100.5%
(COST $181,276,100).................. 214,199,031
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.5%)..................... (1,123,615)
----------
NET ASSETS -- 100.0%................... $213,075,416
==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stocks.
* 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 1.6% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
74
<PAGE> 76
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 53.3%
FEDERAL HOME LOAN MORTGAGE CORP. -- 14.1%
5.95%.................. 06/19/98 $1,000 $ 10,013,899
8.25%.................. 08/01/17 544 565,945
6.50% [TBA]............ 01/14/28 43,500 42,997,140
6.50% [TBA]............ 02/12/28 22,000 21,731,820
7.00% [IO]............. 04/25/19 233 21,362
7.00% [TBA]............ 01/14/28 3,000 3,026,250
7.775% [VR]............ 02/01/24 2,025 2,099,823
------------
80,456,239
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 13.2%
5.84%.................. 06/19/98 20,000 20,015,860
6.90%.................. 05/25/23 206 202,846
7.50%.................. 04/01/24 3,639 3,725,104
9.40%.................. 07/25/03 226 235,850
6.154% [VR]............ 10/01/27 971 970,077
6.154% [VR]............ 06/01/28 957 956,508
6.154% [VR]............ 10/01/28 964 963,190
6.25% [IO]............. 05/25/08 236 64,917
6.50% [IO]............. 06/25/14 915 30,174
6.50% [TBA]............ 02/12/28 12,000 11,842,560
6.50% [TBA]............ 03/12/28 36,500 35,986,810
7.799% [VR]............ 01/01/24 306 318,651
------------
75,312,547
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 22.5%
6.00%......... 11/20/26-12/20/27 23,844 24,374,862
6.50%......... 09/15/23-12/15/25 23,762 23,544,642
7.00%.................. 12/20/26 22,039 22,558,279
7.50%.................. 12/20/23 397 404,926
6.50% [TBA]............ 01/22/28 3,420 3,384,740
6.875% [VR]............ 10/20/23 584 596,492
6.875% [VR]............ 10/20/24 3,154 3,231,089
6.875% [VR]............ 12/20/25 14,824 15,224,980
7.00% [VR]............. 03/20/17 666 683,607
7.00% [VR]............. 08/20/23 8,801 8,971,908
7.00% [VR]............. 09/20/23 5,815 5,927,336
7.00% [VR]............. 03/20/24 13,828 14,137,154
7.00% [VR]............. 09/20/24 1,201 1,230,309
7.375% [VR]............ 06/20/22 2,074 2,129,310
7.375% [VR]............ 04/20/23 2,559 2,621,684
------------
129,021,318
------------
STUDENT LOAN MARKETING ASSOCIATION -- 3.5%
6.00%.................. 06/30/98 20,000 20,035,398
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $302,054,109)................. 304,825,502
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.1%
California Infrastructure
SDG&E-1 Mtge.
5.97%.................. 12/25/00 10,000 10,004,687
Citicorp Mtge.
Securities, Inc. [VR]
7.584%................. 10/25/22 522 534,037
Collateralized Mtge.
Securities Corp. [VR]
7.985%................. 05/01/17 525 538,214
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
Contimortgage Home Equity
Loan Trust Cl-A2
6.15%.................. 10/15/12 $20,000 $ 19,984,375
Countrywide Adjustable
Rate Mtge. [VR]
7.931%................. 03/25/24 562 575,771
8.359%................. 11/25/24 547 561,500
Guardian Adjustable Rate
Mtge. [VR]
6.889%................. 12/25/19 67 44,377
Mortgage Capital Trust VI
9.50%.................. 02/01/18 519 530,740
Prudential Home Mtge.
Securities
6.50%.................. 01/25/00 6,792 6,778,744
Prudential-Bache CMO
Trust
8.40%.................. 03/20/21 3,372 3,510,182
Resolution Trust Corp.
8.00%.................. 09/25/21 172 172,894
Rothschild (L.F.) Mtge.
Trust
9.95%.................. 08/01/17 2,108 2,300,495
Ryland Mtge. Securities
Corp. [VR]
8.042%................. 09/25/23 676 692,175
------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS
(COST $45,899,885).................. 46,228,191
------------
CORPORATE OBLIGATIONS -- 25.3%
AIRLINES -- 2.2%
American Airlines Notes
10.19%................. 05/26/15 250 328,497
United Air Lines, Inc.
Notes
10.36%................. 11/13/12 6,925 8,897,863
10.36%................. 11/27/12 500 637,200
10.02%................. 03/22/14 2,000 2,488,460
------------
12,352,020
------------
AUTOMOBILE MANUFACTURERS -- 1.7%
Ford Motor Credit Corp.
Notes [VR]
6.042%................. 09/03/01 10,000 9,999,730
------------
ENTERTAINMENT & LEISURE -- 2.5%
Time Warner, Inc. Notes
7.45%.................. 02/01/98 13,000 13,016,250
7.975%................. 08/15/04 262 280,995
8.11%.................. 08/15/06 525 571,594
8.18%.................. 08/15/07 525 576,844
------------
14,445,683
------------
FINANCIAL-BANK & TRUST -- 2.4%
First of America Bank
Notes
6.00%.................. 10/01/99 13,750 13,732,812
------------
</TABLE>
75
<PAGE> 77
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
FINANCIAL SERVICES -- 6.5%
Goldman Sachs Notes [VR]
144A
6.085%................. 11/24/00 $20,000 $20,000,000
Salomon, Inc. Notes [VR]
5.83%.................. 08/04/98 15,000 15,011,998
6.08%.................. 02/15/99 2,000 2,009,520
------------
37,021,518
------------
FOOD -- 1.2%
RJR Nabisco, Inc. Notes
8.625%................. 12/01/02 6,500 6,890,000
------------
INDUSTRIAL PRODUCTS -- 1.7%
Imperial Chemical, Inc.
Notes [VR]
6.00%.................. 12/05/98 10,000 10,009,620
------------
REAL ESTATE -- 0.9%
Spieker Properties Notes
6.95%.................. 12/15/02 5,000 5,062,500
------------
TELECOMMUNICATIONS -- 1.8%
TCI Communications, Inc.
Sr. Notes [VR]
6.355%................. 09/11/00 10,000 10,017,900
------------
UTILITIES -- 4.4%
Cleveland Electric
Illumination Corp.
Notes
8.75%.................. 11/15/05 100 100,805
CMS Energy Corp. Sr.
Notes
8.125%................. 05/15/02 5,000 5,137,500
Long Island Lighting
Corp. Notes
7.85%.................. 05/15/99 7,000 7,113,750
8.90%.................. 07/15/19 6,000 6,384,540
Louisiana Power & Light
Corp. Notes
7.74%.................. 07/01/02 6,000 6,210,000
------------
24,946,595
------------
TOTAL CORPORATE OBLIGATIONS
(COST $142,214,548)................. 144,478,378
------------
U.S. TREASURY OBLIGATIONS -- 2.4%
U.S. TREASURY BILLS -- 0.5%
5.02%#................. 02/05/98 60 59,711
5.16%#................. 02/05/98 485 482,660
5.17%#................. 02/05/98 35 34,831
5.14%#................. 03/12/98 115 113,863
PAR
MATURITY (000) VALUE
-------- -------- ------------
5.19%#................. 03/12/98 $ 685 $ 678,225
5.19%#................. 03/12/98 1,120 1,108,923
5.18%#................. 04/16/98 590 581,120
5.31%#................. 04/16/98 165 162,517
------------
3,221,850
------------
U.S. TREASURY BONDS -- 1.9%
6.50%.................. 11/15/26 10,000 10,681,099
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $13,087,194).................. 13,902,949
------------
SOVEREIGN ISSUES -- 3.2%
ARGENTINA -- 1.7%
Republic of Argentina
[BRB,FRB]
6.688%................. 03/31/05 10,560 9,452,520
------------
MEXICO -- 0.7%
United Mexican States
Ser-W-B [BRB] (with
Value Recover Rights
Attached)
6.25%.................. 12/31/19 5,000 4,193,366
------------
PHILIPPINES -- 0.8%
Bangko Sentral
Philippinas
8.60%.................. 06/15/27 6,000 4,865,700
------------
TOTAL SOVEREIGN ISSUES
(COST $18,185,098).................. 18,511,586
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C> <C>
FOREIGN BONDS -- 8.7%
CANADA -- 0.7%
Canadian Government
4.25%................... 12/01/26 5,158 3,675,036
-------------
NEW ZEALAND -- 1.1%
New Zealand Government
10.00%.................. 03/15/02 10,000 6,359,076
-------------
UNITED KINGDOM -- 6.9%
United Kingdom Treasury
7.25%................... 12/07/07 22,500 39,601,759
-------------
TOTAL FOREIGN BONDS
(COST $50,663,909).................... 49,635,871
-------------
</TABLE>
76
<PAGE> 78
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- --------- -------------
<S> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- 9.6%
Bankers Trust
5.90%................... 07/07/98 $ 20,000 $ 19,997,748
Landesbank Hessen
Thueringer
5.93%................... 06/30/98 25,000 25,005,275
Sanwa Bank New York Ltd.
6.53%................... 06/22/98 10,000 9,994,324
-------------
TOTAL CERTIFICATES OF DEPOSIT
(COST $54,986,321).................... 54,997,347
-------------
COMMERCIAL PAPER -- 20.6%
Abbott Laboratories
6.00%................... 01/13/98 3,200 3,193,600
AT&T Corp.
5.78%................... 01/16/98 14,200 14,165,802
5.76%................... 02/12/98 400 397,312
Canadian Wheat Board
5.73%................... 02/11/98 3,600 3,576,507
Dupont, (E.I.) De Nemours
& Co.
5.83%................... 01/28/98 4,000 3,982,510
Ford Motor Credit Corp.
5.58%................... 01/14/98 19,000 18,962,328
General Electric Capital
Corp.
5.60%................... 01/14/98 3,100 3,093,886
5.72%................... 01/16/98 900 897,950
5.60%................... 01/20/98 13,600 13,559,302
General Motors Acceptance
Corp.
5.53%................... 01/15/98 11,300 11,275,688
5.78%................... 01/28/98 400 398,266
KFW International
Financial Corp.
5.58%................... 01/05/98 1,000 999,380
5.79%................... 01/28/98 10,000 9,956,575
5.73%................... 02/06/98 1,300 1,292,791
National Rural Utility
Corp.
5.58%................... 01/08/98 4,700 4,695,068
New Center Asset Trust
5.56%................... 01/21/98 8,700 8,673,461
5.52%................... 01/28/98 10,300 10,257,435
Procter & Gamble Co.
5.64%................... 02/10/98 1,100 1,093,107
Province of Alberta
5.58%................... 01/09/98 4,000 3,994,800
Western Australian
Treasury
5.66%................... 02/17/98 3,500 3,473,817
-------------
TOTAL COMMERCIAL PAPER
(COST $117,938,976)................... 117,939,585
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
----------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.0%
Temporary Investment Cash
Fund.......................... 2,912,640 $ 2,912,640
Temporary Investment Fund....... 2,912,639 2,912,639
------------
(COST $5,825,279)............... 5,825,279
------------
TOTAL INVESTMENTS -- 132.2%
(COST $750,855,319)............... 756,344,688
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (32.2%)................. (184,244,820)
------------
NET ASSETS -- 100.0%................ $ 572,099,868
============
</TABLE>
Foreign currency exchange contacts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE APPRECIATION
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Sell CAD 48,000 $ 79,517 $ 78,967 $ 550
03/98 Sell GBP 5,236,000 3,909,797 3,665,974 243,823
---------- ---------- --------
$3,989,314 $3,744,941 $244,373
========== ========== ========
</TABLE>
# Securities with an aggregate market value of $3,221,850 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury 5 Year Note.............. 03/98 5,000 $ 1,562
U.S. Treasury 10 Year Note............. 03/98 53,500 47,188
U.S. Treasury 30 Year Note............. 03/98 104,800 893,594
Eurodollar............................. 03/98 30,000 25,500
--------
$967,844
========
</TABLE>
77
<PAGE> 79
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
Interest rate swap agreements outstanding at December 31, 1997:
<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 Note with
a spread of: 36.25......... 04/02 5,000 $ 22,203
37.00...................... 04/02 3,000 12,370
36.50...................... 04/02 7,500 32,512
37.00...................... 05/02 10,000 41,234
36.50...................... 06/02 12,000 52,019
35.75...................... 06/02 6,000 27,912
--------
$188,250
========
</TABLE>
- --------------------------------------------------------------------------------
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 3.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
78
<PAGE> 80
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 72.6%
AEROSPACE -- 3.8%
AlliedSignal, Inc. ................ 200,000 $ 7,787,500
General Motors Corp. Cl-H ......... 20,000 738,750
Lockheed Martin Corp. ............. 20,000 1,970,000
Northrop Grumman Corp. ............ 100,000 11,500,000
Raytheon Co. Cl-A ................. 15,074 743,346
----------
22,739,596
----------
AUTOMOBILE MANUFACTURERS -- 1.1%
Chrysler Corp. .................... 30,000 1,055,625
Ford Motor Co. .................... 40,000 1,947,500
General Motors Corp. .............. 60,000 3,637,500
----------
6,640,625
----------
AUTOMOTIVE PARTS -- 0.4%
Borg Warner Automotive, Inc. ...... 50,000 2,600,000
----------
BEVERAGES -- 1.7%
Anheuser-Busch Companies, Inc. .... 140,000 6,160,000
Coors, (Adolph) Co. Cl-B .......... 130,000 4,322,500
----------
10,482,500
----------
CHEMICALS -- 1.5%
Agrium, Inc. ...................... 250,000 3,046,875
General Chemical Group, Inc. ...... 50,000 1,337,500
Lawter International, Inc. ........ 100,000 1,087,500
Olin Corp. ........................ 80,000 3,750,000
----------
9,221,875
----------
COMPUTER HARDWARE -- 2.2%
Hewlett-Packard Co. ............... 50,000 3,125,000
International Business
Machines Corp. .................. 94,000 9,828,875
----------
12,953,875
----------
CONGLOMERATES -- 0.3%
Tenneco, Inc. ..................... 50,000 1,975,000
----------
CONSUMER PRODUCTS & SERVICES -- 0.5%
Colgate-Palmolive Co. ............. 20,000 1,470,000
Procter & Gamble Co. .............. 20,000 1,596,250
----------
3,066,250
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.2%
Emerson Electric Co. .............. 100,000 5,643,750
General Electric Co. .............. 150,000 11,006,250
Honeywell, Inc. ................... 40,000 2,740,000
Sundstrand Corp. .................. 100,000 5,037,500
Tandy Corp. ....................... 260,000 10,026,250
Texas Instruments, Inc. ........... 60,000 2,700,000
----------
37,153,750
----------
ENVIRONMENTAL SERVICES -- 0.6%
Allied Waste Industries, Inc.* .... 152,000 3,543,500
----------
FINANCIAL-BANK & TRUST -- 4.3%
Bank of New York Co., Inc. ........ 100,000 5,781,250
Charter One Financial, Inc. ....... 100,000 6,312,500
Fleet Financial Group, Inc. ....... 100,000 7,493,750
Mellon Bank Corp. ................. 100,000 6,062,500
----------
25,650,000
----------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
FINANCIAL SERVICES -- 3.2%
Ahmanson, (H.F.) & Co. ............ 120,000 $ 8,032,500
Associates First Capital Corp. .... 80,000 5,690,000
Morgan Stanley, Dean Witter,
Discover & Co. .................. 95,000 5,616,875
----------
19,339,375
----------
FOOD -- 4.8%
General Mills, Inc. ............... 70,000 5,013,750
Heinz, (H.J.) Co. ................. 93,000 4,725,562
Kellogg Co. ....................... 140,000 6,947,500
Quaker Oats Co. ................... 100,000 5,275,000
Ralston Purina Group .............. 75,000 6,970,312
----------
28,932,124
----------
HEALTHCARE SERVICES -- 0.7%
Tenet Healthcare Corp.* ........... 120,000 3,975,000
----------
HOTELS & MOTELS -- 2.3%
Hilton Hotels Corp. ............... 300,000 8,925,000
Patriot American Hospitality,
Inc. ............................ 160,002 4,610,058
----------
13,535,058
----------
INDUSTRIAL PRODUCTS -- 0.4%
Albany International Corp. Cl-A ... 100,000 2,300,000
----------
INSURANCE -- 5.3%
Allmerica Financial Corp. ......... 131,363 6,559,940
Chubb Corp. ....................... 100,000 7,562,500
Lincoln National Corp. ............ 80,000 6,250,000
Ohio Casualty Corp. ............... 100,000 4,462,500
Travelers Property Casualty
Corp. Cl-A ...................... 167,500 7,370,000
----------
32,204,940
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.5%
Becton Dickinson & Co. ............ 60,000 3,000,000
----------
METALS & MINING -- 0.5%
Newmont Mining Corp. .............. 100,994 2,966,699
----------
OIL & GAS -- 8.7%
Apache Corp. ...................... 100,000 3,506,250
Atlantic Richfield Co. ............ 60,000 4,807,500
Baker Hughes, Inc. ................ 100,000 4,362,500
Chevron Corp. ..................... 70,000 5,390,000
EEX Corp.* ........................ 380,500 3,448,281
Enron Oil & Gas Co. ............... 100,000 2,118,750
Exxon Corp. ....................... 100,000 6,118,750
Mobil Corp. ....................... 24,000 1,732,500
Phillips Petroleum Co. ............ 100,000 4,862,500
Royal Dutch Petroleum Co. ......... 60,000 3,251,250
Schlumberger Ltd. ................. 42,000 3,381,000
Sonat, Inc. ....................... 85,000 3,888,750
Union Pacific Resources Group,
Inc. ............................ 121,173 2,938,445
USX-Marathon Group ................ 80,000 2,700,000
----------
52,506,476
----------
</TABLE>
79
<PAGE> 81
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 0.6%
Fort James Corp. .................. 100,000 $ 3,825,000
------------
PERSONAL SERVICES -- 0.9%
Galileo International, Inc. ....... 99,000 2,734,875
Service Corp. International ....... 72,000 2,659,500
------------
5,394,375
------------
PHARMACEUTICALS -- 5.1%
Abbott Laboratories ............... 100,000 6,556,250
American Home Products Corp. ...... 60,000 4,590,000
Merck & Co., Inc. ................. 80,000 8,500,000
Novo Nordisk AS [ADR] ............. 20,000 1,447,500
Pfizer, Inc. ...................... 30,000 2,236,875
Smithkline Beecham PLC [ADR] ...... 70,000 3,600,625
Warner-Lambert Co. ................ 30,000 3,720,000
------------
30,651,250
------------
RAILROADS -- 2.6%
Kansas City Southern Industries,
Inc. ............................ 350,000 11,112,500
Norfolk Southern Corp. ............ 150,000 4,621,875
------------
15,734,375
------------
REAL ESTATE -- 0.2%
Kilroy Realty Corp. [REIT] ........ 50,000 1,437,500
------------
RETAIL & MERCHANDISING -- 3.1%
Dayton-Hudson Corp. ............... 80,000 5,400,000
Dollar General Corp. .............. 31,250 1,132,812
Federated Department Stores,
Inc.* ........................... 100,000 4,306,250
May Department Stores Co. ......... 70,000 3,688,125
Penney, (J.C.) Co., Inc. .......... 70,000 4,221,875
------------
18,749,062
------------
SEMI-CONDUCTORS -- 2.1%
Analog Devices, Inc.* ............. 300,000 8,306,250
Motorola, Inc. .................... 75,000 4,279,688
------------
12,585,938
------------
TELECOMMUNICATIONS -- 7.7%
Ameritech Corp. ................... 50,000 4,025,000
AT&T Corp. ........................ 60,000 3,675,000
Bell Atlantic Corp. ............... 108,400 9,864,400
BellSouth Corp. ................... 80,000 4,505,000
GTE Corp. ......................... 100,000 5,225,000
SBC Communications, Inc. .......... 90,000 6,592,500
Sprint Corp. ...................... 12,700 744,538
Teleport Communications Group, Inc.
Cl-A* ........................... 99,600 5,465,550
U.S. West Communications Group .... 140,000 6,317,500
------------
46,414,488
------------
UTILITIES -- 1.3%
Endesa SA [ADR] ................... 300,000 5,456,250
IES Industries, Inc. .............. 60,000 2,208,750
------------
7,665,000
------------
TOTAL COMMON STOCK
(COST $345,121,687).................. 437,243,631
------------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
PREFERRED STOCK -- 0.1%
METALS & MINING
Amax Gold, Inc. $3.75 Cl-B
(COST $996,575) ................... 20,000 $ 720,000
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
------- -----
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 18.9%
BROADCASTING -- 0.8%
Allbritton Communica-
tions Co. Sr. Sub.
Debs.
9.75%................ 11/30/07 $ 1,500 1,537,500
Chancellor Media Corp.
Sr. Sub. Notes 144A
8.125%............... 12/15/07 2,000 1,965,000
SFX Broadcasting, Inc.
Sr. Sub. Notes
10.75%............... 05/15/06 1,000 1,097,500
------------
4,600,000
------------
BUILDING MATERIALS -- 0.3%
USG Corp. Sr. Notes
8.50%................ 08/01/05 1,500 1,616,250
------------
COMPUTER HARDWARE -- 0.5%
International Business
Machine Corp. Debs.
6.22%................ 08/01/27 2,950 2,994,250
------------
COMPUTER SERVICES & SOFTWARE -- 0.2%
Unisys Corp. Sr. Notes
12.00%............... 04/15/03 1,000 1,132,500
------------
CONTAINERS & PACKAGING -- 0.3%
Gaylord Container Corp.
Sr. Sub. Debs.
12.75%............... 05/15/05 2,000 2,145,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Wyman-Gordon Co. Sr.
Notes
8.00%................ 12/15/07 2,000 2,027,500
------------
ENTERTAINMENT & LEISURE -- 0.9%
Fox Kids Worldwide,
Inc. Sr. Notes 144A
9.25%................ 11/01/07 1,000 970,000
GCI, Inc. Sr. Notes
9.75%................ 08/01/07 1,000 1,040,000
Horseshoe Gaming L.L.C.
Sr. Notes
12.75%............... 09/30/00 1,350 1,491,750
Time Warner
Entertainment Co.
L.P. Debs.
8.375%............... 03/15/23 1,000 1,136,250
Time Warner, Inc. Notes
6.85%................ 01/15/03 1,000 1,033,750
------------
5,671,750
------------
</TABLE>
80
<PAGE> 82
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
------- ----- ----
<S> <C> <C> <C>
FINANCIAL-BANK & TRUST -- 0.3%
Dime Bancorp, Inc. Sr.
Notes
10.50%............... 11/15/05 $ 2,000 $ 2,157,500
------------
FINANCIAL SERVICES -- 1.8%
CEI Citicorp Holdings
S.A. 144A
9.75%................ 02/14/07 2,000 1,915,000
Donaldson Lufkin &
Jenrette, Inc. Notes
5.625%............... 02/15/16 1,000 986,250
DQU II Funding Corp.
Debs.
8.70%................ 06/01/16 2,000 2,270,000
General Motors
Acceptance Corp. Notes
6.70%................ 04/25/01 1,000 1,015,000
Lehman Brothers
Holdings, Inc. Sr. Notes
8.80%................ 03/01/15 1,850 2,183,000
Spieker Properties,
Inc. Notes
7.35%................ 12/01/17 2,500 2,521,875
------------
10,891,125
------------
HEALTHCARE SERVICES -- 0.2%
FHP International Corp.
Sr. Notes
7.00%................ 09/15/03 1,000 1,010,000
------------
INSURANCE -- 0.8%
Equitable Companies,
Inc. Sr. Notes
9.00%................ 12/15/04 4,035 4,599,900
------------
MACHINERY & EQUIPMENT -- 0.2%
Agco Corp. Sr. Sub.
Notes
8.50%................ 03/15/06 1,000 1,027,500
------------
METALS & MINING -- 0.7%
Centaur Mining &
Exploration Ltd. 144A
11.00%............... 12/01/07 2,000 2,035,000
Glencore Nickel Ltd.
144A
9.00%................ 12/01/14 2,000 1,995,000
------------
4,030,000
------------
PAR
MATURITY (000) VALUE
------- ----- ----
OIL & GAS -- 1.7%
Belco Oil & Gas Corp.
Sr. Sub. Notes
8.875%............... 09/15/07 $ 1,500 $ 1,515,000
Cliffs Drilling Co.
Cl-B
10.25%............... 05/15/03 1,000 1,093,750
Navigator Gas Transport
Notes 144A
10.50%............... 06/30/07 1,000 1,065,000
Noram Energy Corp.
Sub. Deb. [CVT]
6.00%................ 03/15/12 339 319,508
Pacific Gas & Electric
First Mtge.
7.25%................ 08/01/26 1,500 1,515,000
Sun Co., Inc. Debs.
9.375%............... 06/01/16 2,000 2,347,500
VERITAS Holdings Sr.
Notes
9.625%............... 12/15/03 2,000 2,145,000
------------
10,000,758
------------
PAPER & FOREST PRODUCTS -- 0.4%
Quno Corp. Sr. Notes
9.125%............... 05/15/05 2,150 2,375,750
------------
PHARMACEUTICALS -- 0.4%
McKesson Corp. Sub.
Debs.
4.50%................ 03/01/04 2,875 2,601,875
------------
PRINTING &
PUBLISHING -- 0.3%
Affiliated Newspaper
Investments, Inc.
Sr. Disc. Notes [STEP]
10.882%.............. 07/01/06 2,000 1,900,000
------------
REAL ESTATE -- 0.2%
Saul, (B.F.)
Sr. Notes [REIT]
11.625%.............. 04/01/02 1,000 1,070,000
------------
TELECOMMUNICATIONS -- 2.9%
CF Cable TV, Inc. Sr.
Notes
11.625%.............. 02/15/05 2,000 2,302,500
Commnet Cellular, Inc.
Sub. Notes
11.25%............... 07/01/05 1,000 1,152,500
Frontier Corp.
Notes
7.25%................ 05/15/04 2,000 2,090,000
</TABLE>
81
<PAGE> 83
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
------- ----- ----
<S> <C> <C> <C>
Intermedia Communication
Sr. Notes 144A
8.50%................ 01/15/08 $ 2,000 $ 2,005,000
Nextel Communications,
Inc. Sr. Disc. Notes
144A
10.153%.............. 10/31/07 4,000 2,440,000
Nextlink Communications, Inc.
Sr. Notes
9.625%............... 10/01/07 2,000 2,060,000
NTL, Inc. Sr. Notes
10.00%............... 02/15/07 1,000 1,062,500
PriCellular Wireless Corp.
Sr. Disc. Notes
14.00%............... 11/15/01 1,345 1,501,356
9.559%............... 10/01/03 2,000 2,060,000
U.S. West Capital Funding Notes
7.30%................ 01/15/07 1,000 1,032,500
------------
17,706,356
------------
UTILITIES -- 5.7%
Boston Edison Co. Debs.
7.80%................ 05/15/10 1,000 1,084,806
7.80%................ 03/15/23 1,640 1,701,500
Carolina Power & Light
First Mtge.
8.625%............... 09/15/21 1,000 1,230,160
6.875%............... 08/15/23 1,000 988,750
Cleveland Electric
Illumination Co.
First Mtge. Cl-B
9.50%................ 05/15/05 3,000 3,348,750
Detroit Edison
Medium-Term Notes
8.30%................ 08/01/22 1,000 1,098,750
Jersey Central Power &
Light Co. First Mtge.
7.50%................ 05/01/23 1,500 1,539,375
6.75%................ 11/01/25 1,000 961,250
Long Island Lighting
Co. Debs.
8.20%................ 03/15/23 3,500 3,788,750
9.00%................ 11/01/22 1,000 1,113,750
Metropolitan Edison Co.
Notes
8.15%................ 01/30/23 2,975 3,252,127
PAR
MATURITY (000) VALUE
------- ----- ----
New York State Electric
& Gas Notes
8.30%................ 12/15/22 $ 1,400 $ 1,505,000
Pacific Gas & Electric
First Mtge.
8.25%................ 11/01/22 2,740 3,024,275
PECO Energy First Mtge.
7.25%................ 11/01/24 2,000 2,007,500
Penn Power and Light
First Mtge.
7.875%............... 02/01/23 1,000 1,073,750
Potomac Electric Power
First Mtge.
6.25%................ 10/15/04 1,900 1,919,000
PSI Energy, Inc. Debs.
6.35%................ 11/15/00 1,500 1,503,750
South Carolina Electric
& Gas Co. Mtge.
8.875%............... 08/15/21 2,000 2,215,000
Utilicorp United, Inc.
Sr. Notes
9.00%................ 11/15/21 1,000 1,097,500
------------
34,453,743
------------
TOTAL CORPORATE OBLIGATIONS
(COST $111,540,457)...... 114,011,757
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.1%
Federal Home Loan Mtge.
Corp.
6.50%................ 09/01/11 13,800 13,834,769
6.50%................ 01/01/12 4,691 4,703,535
------------
(COST $18,094,307).............. 18,538,304
------------
COMMERCIAL PAPER -- 5.0%
American Express Credit
Corp.
5.76%................ 01/08/98 10,000 10,000,000
CIGNA Corp.
6.06%................ 01/06/98 10,000 10,000,000
Ford Motor Credit Corp.
6.11%................ 01/02/98 10,000 10,000,000
------------
TOTAL COMMERCIAL PAPER
(COST $30,000,000)....... 30,000,000
------------
</TABLE>
82
<PAGE> 84
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------ ------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 2.0%
Temporary Investment Cash
Fund.......................... 6,086,602 $ 6,086,602
Temporary Investment Fund....... 6,086,601 6,086,601
------------
(COST $12,173,203)..... 12,173,203
------------
TOTAL INVESTMENTS -- 101.7%
(COST $517,926,229)...... 612,686,895
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.7%).................. (10,582,061)
------------
NET ASSETS -- 100.0%................ $602,104,834
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 2.4% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
83
<PAGE> 85
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 87.1%
AEROSPACE -- 0.9%
REMEC, Inc.* ...................... 114,825 $ 2,583,562
----------
AUTOMOTIVE PARTS -- 0.8%
OEA, Inc. ......................... 46,400 1,342,700
United Rentals, Inc.* ............. 51,900 1,002,319
----------
2,345,019
----------
BUILDING MATERIALS -- 0.5%
NS Group, Inc.* ................... 76,600 1,311,775
----------
BUSINESS SERVICES -- 2.0%
Concord EFS, Inc.* ................ 94,550 2,351,931
Paraxel International Corp.* ...... 90,250 3,339,250
----------
5,691,181
----------
CHEMICALS -- 1.2%
Crompton & Knowles Corp. .......... 60,925 1,614,512
O.M. Group, Inc. .................. 48,575 1,779,059
----------
3,393,571
----------
CLOTHING & APPAREL -- 1.5%
The Men's Wearhouse, Inc.* ........ 65,775 2,285,681
Warnaco Group, Inc. Cl-A .......... 61,200 1,920,150
----------
4,205,831
----------
COMPUTER HARDWARE -- 1.4%
Insight Enterprises, Inc.* ........ 105,337 3,871,135
----------
COMPUTER SERVICES & SOFTWARE -- 15.6%
Aspen Technologies, Inc. .......... 79,925 2,737,431
Avant! Corp.* ..................... 38,400 643,200
CDW Computers Centers, Inc.* ...... 78,275 4,080,084
Checkfree Corp.* .................. 84,325 2,276,775
Documentum, Inc.* ................. 108,075 4,552,659
Electronic Arts, Inc.* ............ 33,875 1,280,898
Geoworks Corp.* ................... 238,900 2,299,412
Harbinger Corp.* .................. 89,850 2,527,031
HNC Software, Inc.* ............... 109,300 4,699,900
Keane, Inc.* ...................... 59,000 2,396,875
Mastech Corp.* .................... 103,100 3,273,425
MMC Networks, Inc.* ............... 36,775 625,175
Radisys Corp.* .................... 60,250 2,244,312
SanDisk Corp.* .................... 82,225 1,670,195
Security Dynamics Technologies,
Inc.* ........................... 37,550 1,342,412
SIPEX Corp.* ...................... 52,975 1,602,494
Sterling Commerce, Inc.* .......... 34,525 1,327,055
Summit Design, Inc.* .............. 126,150 1,308,806
Transaction Systems Architects,
Inc.* ........................... 64,925 2,467,150
----------
43,355,289
----------
CONSUMER PRODUCTS & SERVICES -- 8.4%
800-JR CIGAR, Inc.* ............... 51,625 1,290,625
Action Performance Companies,
Inc.* ........................... 33,425 1,265,972
Helen of Troy Ltd.* ............... 284,225 4,583,128
Pre-Paid Legal Services, Inc.* .... 109,250 3,734,984
Rexall Sundown, Inc.* ............. 102,900 3,106,294
Samsonite Corp.* .................. 69,300 2,191,612
Vestcom International, Inc.* ...... 76,450 1,710,569
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Windmere -- Durable Holdings,
Inc. ............................ 25,000 $ 564,062
Wolverine World Wide, Inc. ........ 220,630 4,991,754
----------
23,439,000
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 5.1%
Berg Electronics Corp.* ........... 143,800 3,271,450
Brooks Automation, Inc.* .......... 72,825 1,338,159
Powerwave Technologies, Inc.* ..... 35,425 595,601
PRI Automation, Inc.* ............. 74,250 2,143,969
Sanmina Corp.* .................... 47,800 3,238,450
Sawtek, Inc.* ..................... 54,500 1,437,437
Zebra Technologies Corp. Cl-A* .... 72,500 2,156,875
----------
14,181,941
----------
ENERGY SERVICES -- 0.2%
Metzler Group, Inc.* .............. 15,325 614,916
----------
ENTERTAINMENT & LEISURE -- 3.2%
Midway Games, Inc.* ............... 68,900 1,253,119
Signature Resorts, Inc.* .......... 124,075 2,714,141
Silverleaf Resorts, Inc.* ......... 132,025 3,234,612
Vistana, Inc.* .................... 70,400 1,619,200
----------
8,821,072
----------
ENVIRONMENTAL SERVICES -- 0.8%
USA Waste Services, Inc.* ......... 58,739 2,305,506
----------
EQUIPMENT SERVICES -- 0.8%
Rental Service Corp.* ............. 93,950 2,307,647
----------
FINANCIAL-BANK & TRUST -- 0.5%
Banco Latinoamericano de
Exportaciones SA Cl-E ........... 34,000 1,406,750
----------
FINANCIAL SERVICES -- 0.5%
Affiliated Managers Group,
Inc.* ........................... 46,975 1,362,275
----------
FOOD -- 2.0%
JP Foodservice, Inc.* ............. 149,425 5,519,386
----------
HEALTHCARE SERVICES -- 7.9%
Access Health, Inc.* .............. 45,400 1,333,625
Advance Paradigm, Inc.* ........... 49,525 1,572,419
Capital Senior Living Corp.* ...... 202,550 2,114,116
Coram Healthcare Corp.* ........... 2,152 7,263
Envoy Corp.* ...................... 9,150 266,494
FPA Medical Management, Inc.* ..... 125,475 2,336,972
Heartport, Inc.* .................. 63,850 3,264,331
Medical Manager Corp.* ............ 130,975 2,357,550
National Data Corp. ............... 30,000 1,083,750
NCS Healthcare, Inc. Cl-A* ........ 53,000 1,397,875
Orthodontic Centers of America,
Inc.* ........................... 145,150 2,413,119
Simione Central Holdings, Inc. .... 123,075 1,107,675
Sunrise Assisted Living, Inc.* .... 65,125 2,808,516
----------
22,063,705
----------
HOTELS & MOTELS -- 1.5%
Capstar Hotel Co.* ................ 81,900 2,810,194
Promus Hotel Corp.* ............... 35,500 1,491,000
----------
4,301,194
----------
INDUSTRIAL PRODUCTS -- 0.8%
Harsco Corp. ...................... 52,500 2,264,062
----------
</TABLE>
84
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FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
INSURANCE -- 2.4%
Executive Risk, Inc. .............. 42,150 $ 2,942,597
Reliastar Financial Corp. ......... 90,000 3,706,875
----------
6,649,472
----------
MEDICAL SUPPLIES & EQUIPMENT -- 5.5%
Covance, Inc.* .................... 85,075 1,690,866
ESC Medical Systems Ltd.* ......... 81,600 3,162,000
HBO & Co. ......................... 102,645 4,926,960
Ocular Sciences, Inc.* ............ 59,775 1,569,094
Schein, (Henry), Inc.* ............ 70,525 2,468,375
Transition Systems, Inc.* ......... 68,750 1,521,094
----------
15,338,389
----------
METALS & MINING -- 0.3%
IMCO Recycling, Inc. .............. 55,350 889,059
----------
OFFICE EQUIPMENT -- 1.6%
U.S. Office Products Co.* ......... 229,500 4,503,937
----------
OIL & GAS -- 2.4%
Offshore Logistics, Inc.* ......... 209,000 4,467,375
Patterson Energy, Inc.* ........... 6,375 246,633
UTI Energy Corp.* ................. 79,250 2,050,594
----------
6,764,602
----------
PERSONAL SERVICES -- 0.9%
Sylvan Learning Systems, Inc.* .... 67,500 2,632,500
----------
PHARMACEUTICALS -- 2.5%
Scherer, (R.P.) Corp.* ............ 21,050 1,284,050
Watson Pharmaceuticals, Inc.* ..... 174,425 5,657,911
----------
6,941,961
----------
PRINTING & PUBLISHING -- 0.9%
Mail-Well, Inc.* .................. 62,950 2,549,475
----------
REAL ESTATE -- 2.2%
Fairfield Communities, Inc.* ...... 138,887 6,128,389
----------
RESTAURANTS -- 1.5%
CKE Restaurants, Inc. ............. 98,500 4,149,312
----------
RETAIL & MERCHANDISING -- 3.0%
Meyer, (Fred), Inc.* .............. 60,000 2,182,500
Proffitt's, Inc.* ................. 117,100 3,330,031
Stage Stores, Inc.* ............... 73,125 2,733,047
----------
8,245,578
----------
SEMICONDUCTORS -- 0.7%
Speedfam International, Inc.* ..... 36,925 978,513
Vitesse Semiconductor, Inc.* ...... 23,562 889,466
----------
1,867,979
----------
TELECOMMUNICATIONS -- 7.3%
Cellular Communications
International, Inc.* ............ 45,900 2,145,825
Digital Microwave Corp.* .......... 98,500 1,428,250
Echostar Communications Corp.* .... 53,450 895,288
SHARES VALUE
------- ------------
Genesys Telecommuncations
Laboratories, Inc.* ............. 40,025 $ 1,275,797
Intelect Communications, Inc.* .... 119,450 612,181
Nextlink Communications, Inc.
C1-A* ........................... 52,675 1,122,636
P-Com, Inc.* ...................... 89,600 1,545,600
Pacific Gateway Exchange, Inc.* ... 32,500 1,748,906
Periphonics Corp.* ................ 100,575 880,031
Premiere Technologies, Inc.* ...... 147,475 4,073,997
Smartalk Teleservices, Inc.* ...... 98,250 2,235,188
Westell Technologies, Inc.
Cl-A* ........................... 181,300 2,311,575
----------
20,275,274
----------
TOTAL COMMON STOCK
(COST $202,679,911).................. 242,280,744
----------
FOREIGN STOCK -- 2.7%
BROADCASTING -- 0.5%
Flextech PLC -- (GBP)* ............ 167,000 1,448,112
----------
BUILDING MATERIALS -- 0.6%
Hunter Douglas NV -- (NLG) ........ 42,037 1,472,269
----------
RESTAURANTS -- 0.9%
Wetherspoon, (J.D.)
PLC -- (GBP) .................... 447,665 2,467,590
----------
TRANSPORTATION -- 0.8%
IHC Caland NV -- (NLG) ............ 40,000 2,075,739
----------
TOTAL FOREIGN STOCK
(COST $4,779,865).................... 7,463,710
----------
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund .... 58 58
Temporary Investment Fund ......... 57 57
----------
(COST $115)........................ 115
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- -------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 10.5%
American Express Credit
Corp.
6.00%................ 01/06/98 $10,973 10,963,856
Associates Corp. of
North America
6.00%................ 01/02/98 10,509 10,507,249
Ciesco L.P.
5.90%................ 01/05/98 7,693 7,687,957
------------
TOTAL COMMERCIAL PAPER
(COST $29,159,062).................. 29,159,062
------------
TOTAL INVESTMENTS -- 100.2%
(COST $236,618,952)................. 278,903,631
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.2%).................... (645,477)
------------
NET ASSETS -- 100.0%.................. $278,258,154
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
85
<PAGE> 87
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FOREIGN STOCK -- 94.5%
ARGENTINA -- 1.1%
Banco de Galicia y Buenos Aires
SA de C.V. [ADR] .............. 14,268 $ 367,401
Banco Frances del Rio de la Plata
SA [ADR] ...................... 16,411 449,251
Perez Companc SA ................ 138,525 989,247
Telefonica de Argentina SA Cl-B
[ADR] ......................... 29,080 1,083,230
YPF SA [ADR] .................... 58,307 1,993,371
----------
4,882,500
----------
AUSTRALIA -- 2.2%
Australia & New Zealand Banking
Group Ltd. .................... 54,000 356,772
Australian Gas Light Co. Ltd. ... 125,945 878,060
Brambles Industries Ltd. ........ 13,000 257,923
Broken Hill Proprietary Co.
Ltd. .......................... 93,549 868,587
Commonwealth Bank of
Australia ..................... 94,461 1,083,240
Fosters Brewing Group Ltd. ...... 242,000 460,424
FXF Trust* ...................... 116,300 19,702
John Fairfax Holdings Ltd. ...... 201,000 419,088
Lend Lease Corp. Ltd. ........... 32,854 642,198
National Australia Bank Ltd. .... 36,185 505,255
News Corp. Ltd. ................. 158,593 875,240
News Corp. Ltd. Pfd. ............ 56,839 281,240
Publishing & Broadcasting
Ltd. .......................... 116,300 515,286
Sydney Harbour Casino Holdings
Ltd.* ......................... 339,000 321,382
Tabcorp Holdings Ltd. ........... 99,000 464,437
Telstra Corp. Ltd.* ............. 298,000 629,102
Westpac Banking Corp. Ltd. ...... 97,000 620,391
WMC Ltd. ........................ 80,377 280,185
Woodside Petroleum Ltd. ......... 86,000 606,297
----------
10,084,809
----------
BELGIUM -- 1.3%
Credit Communal Holding Dexia
SA ............................ 3,940 529,057
Generale de Banque SA ........... 3,274 1,424,923
Generale de Banque SA -
Strip* ........................ 214 58
Kredietbank NV .................. 8,790 3,689,200
UCB SA .......................... 101 333,396
----------
5,976,634
----------
BRAZIL -- 3.2%
Banco Bradesco SA ............... 73,235,000 721,837
Banco Bradesco SA Rights* ....... 3,131,162 11,223
Banco Itau SA ................... 710,000 381,714
Brasmotor SA Pfd. ............... 906,000 89,299
Centrais Electrobras SA [ADR] ... 3,628 90,210
Centrais Eletricas Brasileiras
SA- Electrobras ............... 16,860,000 838,453
Cesp-Cia Energetica de Sao Paolo
[ADR]* ........................ 5,020 90,410
Companhia Cervejaria Brahma ..... 834,000 560,474
Companhia Cimento Portland
Itau .......................... 865,000 166,641
Companhia de Tecidos Norte de
Minas ......................... 619,000 221,860
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Companhia Energetica de Minas
Gerais ........................ 11,846,000 $ 514,697
Companhia Energetica de Minas
Geras [ADR] ................... 19,868 863,245
Lojas Americanas SA* ............ 7,826,000 36,465
Companhia Brasileira de
Distribuicoa Grupo Pao de
Acucar [GDR] .................. 5,160 99,975
Companhia Brasileira de
Distribuicoa Grupo Pao de
Acucar [ADR] .................. 16,260 315,038
Petroleo Brasileiro
SA-Petrobras .................. 4,889,508 1,143,493
White Martins SA ................ 84,000 122,686
Telebras SA [ADR] ............... 52,707 6,137,071
Telecomunicacoes de Minas Gerais-
Telemig Cl-B .................. 1,935,000 244,471
Telecomunicacoes de Sao Paulo
SA ............................ 4,292,000 1,142,167
Telecomunicacoes do Rio de
Janeiro SA .................... 2,013,000 209,233
Usinas Siderurgicas de Minas
Gerais SA ..................... 58,000 343,005
Usinas Siderurgicas de Minas
Gerais SA [ADR] ............... 61,345 362,794
----------
14,706,461
----------
CANADA -- 0.3%
Alcan Aluminium Ltd. ............ 30,470 843,183
Royal Bank of Canada ............ 10,980 580,067
----------
1,423,250
----------
CHILE -- 0.4%
Chilectra Metropolitana SA [ADR]
144A .......................... 14,905 380,704
Chilgener SA [ADR] .............. 8,472 207,564
Compania Cervecerias Unidas SA
[ADR] ......................... 7,712 226,540
Empresa Nacional de Electridad SA
[ADR] ......................... 18,526 327,679
Enersis SA [ADR] ................ 12,553 364,037
Genesis Chile Fund ** ........... 9,350 359,975
Santa Isabel SA [ADR] ........... 8,017 140,298
----------
2,006,797
----------
CHINA -- 0.3%
Huaneng Power International, Inc.
[ADR]* ........................ 51,000 1,182,563
----------
CZECH REPUBLIC -- 0.0%
SPT Telecom AS* ................. 1,360 145,130
----------
DENMARK -- 0.3%
Den Danske Bank ................. 6,380 850,703
Tele Danmark AS Cl-B ............ 2,030 126,000
Unidanmark AS Cl-A .............. 6,110 448,844
----------
1,425,547
----------
FINLAND -- 0.3%
Nokia AB Cl-A ................... 17,254 1,226,209
----------
FRANCE -- 8.3%
Accor SA ........................ 2,920 543,144
Alcatel Alsthom ................. 12,992 1,652,113
</TABLE>
86
<PAGE> 88
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Assurances Generales de
France ........................ 7,533 $ 399,323
AXA SA .......................... 16,162 1,251,133
Canal Plus ...................... 3,880 721,712
Carrefour Supermarche SA ........ 1,669 871,141
Compagnie de Saint-Gobain ....... 11,740 1,668,540
Compagnie Generale des Eaux ..... 47,970 6,698,095
Credit Commercial de France ..... 10,560 724,086
Credit Local de France .......... 3,095 358,588
Dexia France .................... 7,128 825,853
Groupe Danone ................... 5,700 1,018,558
GTM Entrepose SA ................ 4,510 303,622
Guilbert SA ..................... 5,003 713,543
Havas SA ........................ 2,940 211,611
L'Oreal ......................... 1,607 629,085
Lapeyre SA ...................... 10,315 568,401
Legrand SA ...................... 3,823 761,949
Louis Vuitton Moet Hennessy ..... 1,873 311,032
Pathe SA ........................ 2,331 452,572
Pinault-Printemps Redoute SA .... 7,441 3,971,677
Sanofi SA ....................... 19,997 2,227,111
Schneider SA .................... 35,098 1,906,631
Societe Generale ................ 7,336 999,943
Societe Nationale Elf Aquitaine
SA ............................ 14,280 1,661,608
Societe Television Francaise .... 11,080 1,132,706
Sodexho Alliance SA (New)* ...... 282 147,425
Sodexho SA ...................... 2,543 1,362,414
Total SA Cl-B ................... 39,864 4,340,347
----------
38,433,963
----------
GERMANY -- 5.5%
Allianz AG ...................... 9,480 2,446,397
Bayer AG ........................ 43,195 1,603,561
Bayerische Hypotheken-und
Wechsel-Bank AG ............... 29,712 1,441,777
Bayerische Vereinsbank AG ....... 25,045 1,615,771
Bilfinger & Berger Bau AG ....... 10,700 338,013
Buderus AG ...................... 807 362,199
Commerzbank AG .................. 15,850 617,061
Deutsche Bank AG ................ 37,964 2,656,154
Deutsche Telekom AG ............. 46,401 859,354
Dresdner Bank AG ................ 12,380 563,216
Dresdner Bank AG Warrants* ...... 27,736 493,622
Fielmann AG Pfd. ................ 5,723 132,887
Fresenius AG Pfd. ............... 2,660 483,760
Gehe AG ......................... 44,961 2,275,506
Hoechst AG ...................... 12,980 449,742
Hornbach Baumarkt AG ............ 1,300 37,235
Hornbach Holdings AG Pfd. ....... 5,870 406,451
Krones AG Hermann Kronseder
Maschinenfabrik Pfd. .......... 456 142,021
Mannesmann AG ................... 1,880 944,161
Rhoen-Klinikum AG ............... 8,250 807,546
SAP AG .......................... 5,980 1,814,248
SAP AG Pfd. ..................... 1,738 564,692
Siemens AG ...................... 15,410 929,893
SHARES VALUE
---------- ------------
Veba AG ......................... 41,654 $ 2,837,876
Volkswagen AG ................... 1,019 569,562
----------
25,392,705
----------
HONG KONG -- 2.4%
Cheung Kong Holdings Ltd. ....... 65,000 425,740
China Light & Power Co. Ltd. .... 100,000 554,963
Dao Heng Bank Group Ltd. ........ 243,000 606,852
First Pacific Co. Ltd. .......... 926,954 448,626
Hong Kong Land Holdings Ltd. .... 620,582 1,191,517
HSBC Holdings PLC ............... 18,800 463,432
Hutchison Whampoa Ltd. .......... 405,000 2,540,309
New World Development Co.
Ltd. .......................... 592,205 2,048,340
Sun Hung Kai Properties Ltd. .... 64,000 446,035
Swire Pacific Ltd. Cl-A ......... 241,000 1,321,908
Wharf Holdings Ltd. ............. 516,000 1,132,124
----------
11,179,846
----------
INDIA -- 0.1%
Mahanagar Telephone Nigam Ltd.
[GDR]* ........................ 44,000 682,440
----------
ITALY -- 3.6%
Assicurazioni Generali .......... 60,000 1,474,551
Banca Commerciale Italia NA ..... 104,000 361,765
Credito Italiano SPA ............ 636,996 1,965,396
Ente Nazionale Idrocarburi
SPA ........................... 479,100 2,717,977
Industrie Natuzzi SPA [ADR] ..... 15,260 314,738
Istituto Mobiliare Italiano
SPA ........................... 68,710 816,127
Italgas SPA ..................... 112,936 466,309
La Rinascente SPA ............... 22,800 170,227
Mediolanum SPA .................. 58,344 1,098,902
Telecom Italia Mobile RNC SPA ... 113,043 321,611
Telecom Italia Mobile SPA ....... 821,805 3,795,278
Telecom Italia SPA .............. 533,518 3,409,935
----------
16,912,816
----------
JAPAN -- 18.2%
Advantest Corp. ................. 7,000 398,397
Alps Electric Co. Ltd. .......... 72,000 681,120
Amada Co. Ltd. .................. 109,000 406,588
Canon, Inc. ..................... 217,000 5,073,638
Citizen Watch Co. Ltd. .......... 68,000 457,618
Dai Nippon Screen Manufacturing
Co. Ltd. ...................... 122,000 562,986
Daifuku Co. Ltd. ................ 18,000 87,909
Daiichi Pharmaceutical Co.
Ltd. .......................... 129,000 1,458,456
Daiwa House Industry Co. Ltd. ... 163,000 865,014
DDI Corp. ....................... 267 708,462
Denso Corp. ..................... 188,000 3,397,910
East Japan Railway Co. Ltd. ..... 358 1,621,752
Fanuc Co. ....................... 34,000 1,291,790
Hitachi Ltd. .................... 228,000 1,630,812
Hitachi Zosen Corp. ............. 181,000 290,945
Honda Motor Co. ................. 15,000 552,603
Inax ............................ 46,000 134,086
Ishihara Sangyo Kaisha Ltd.* .... 56,000 62,451
Ito-Yokado Co. Ltd. ............. 53,000 2,710,714
Kao Corp. ....................... 90,000 1,301,327
</TABLE>
87
<PAGE> 89
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Kokuyo .......................... 58,000 $ 1,003,683
Komatsu Ltd. .................... 173,000 871,512
Komori Corp. .................... 49,000 731,112
Kumagai Gumi Co. Ltd. ........... 88,000 48,054
Kuraray Co. Ltd. ................ 126,000 1,046,599
Kyocera Corp. ................... 68,000 3,096,113
Makita Corp. .................... 84,000 807,561
Matsushita Electric Industrial
Co. ........................... 207,000 3,040,814
Mauri Co. Ltd. .................. 137,000 2,138,961
Mitsubishi Corp. ................ 132,000 1,045,677
Mitsubishi Heavy Industries
Ltd. .......................... 641,000 2,681,903
Mitsubishi Paper Mills Ltd. ..... 64,000 90,078
Mitsui Fudosan Co. Ltd. ......... 306,000 2,965,365
Mitsui Petrochemical
Industries .................... 43,000 79,372
Murata Manufacturing Co. Ltd. ... 65,000 1,639,734
National House Industrial ....... 26,000 178,971
NEC Corp. ....................... 386,000 4,126,561
Nippon Hodo ..................... 22,000 71,065
Nippon Steel Co. ................ 819,000 1,215,703
Nippon Telegraph & Telephone
Corp. ......................... 183 1,576,360
Nomura Securities Co. Ltd. ...... 194,000 2,596,194
Pioneer Electronic Corp. ........ 68,000 1,051,214
Sangetsu Co. Ltd. ............... 11,000 113,366
Sankyo Co. Ltd. ................. 140,000 3,176,408
Sega Enterprises Ltd. ........... 19,400 352,127
Sekisui Chemical Co. Ltd. ....... 207,000 1,055,529
Sekisui House Ltd. .............. 107,000 690,450
Seven-Eleven Japan Co. Ltd. ..... 16,000 1,137,046
Sharp Corp. ..................... 193,000 1,332,968
Shin-Etsu Chemical Co. .......... 112,000 2,144,883
Shiseido Co. Ltd. ............... 51,000 698,194
Sony Corp. ...................... 49,100 4,380,520
Sumitomo Corp. .................. 218,000 1,223,955
Sumitomo Electric Industries .... 290,000 3,970,125
Sumitomo Forestry Co. ........... 73,000 356,519
TDK Corp. ....................... 48,000 3,632,641
Teijin Ltd. ..................... 303,000 636,197
Tokio Marine & Fire Insurance
Co. ........................... 60,000 682,966
Tokyo Electron Ltd. ............. 18,000 578,675
Tokyo Steel Manufacturing Co.
Ltd. .......................... 56,500 191,634
Toppan Printing Co. Ltd. ........ 111,000 1,451,303
UNY Co. Ltd. .................... 66,000 908,622
Yurtec Corp. .................... 22,000 135,532
----------
84,646,844
----------
KOREA -- 0.1%
Samsung Electronics Co. ......... 12,038 272,728
----------
MALAYSIA -- 0.3%
Berjaya Sports Toto BHD ......... 222,000 567,495
Tanjong PLC ..................... 371,000 614,780
Time Engineering BHD ............ 190,000 48,813
----------
1,231,088
----------
MEXICO -- 2.2%
Cementos de Mexico SA de CV
[ADS]* ........................ 65,090 559,774
Cemex SA [ADS] 144A* ............ 50,068 430,585
SHARES VALUE
---------- ------------
Cemex SA Cl-B* .................. 67,925 $ 360,613
Cifra SA [ADR]* ................. 6,445 158,708
Fomento Economico Mexicano SA
Cl-B .......................... 96,409 770,142
Gruma SA [ADS] 144A* ............ 24,309 364,635
Gruma SA Cl-B* .................. 112,850 447,939
Grupo Financiero Banamex SA Cl-
B* ............................ 146,200 437,051
Grupo Financiero Banamex SA Cl-
L* ............................ 4,184 10,795
Grupo Financiero Bancomer SA Cl-B
[GDR]* ........................ 2,330 29,125
Grupo Financiero Bancomer SA
Cl-L* ......................... 1,725 706
Grupo Industrial Maseca SA de CV
Cl-B .......................... 306,095 306,786
Grupo Modelo SA Cl-C ............ 67,506 568,564
Grupo Televisia SA [GDR]* ....... 14,034 542,378
Kimberly-Clark de Mexico SA
Cl-A .......................... 166,630 789,558
Panamerican Beverages, Inc.
Cl-A .......................... 34,540 1,126,868
Telefonos de Mexico SA Cl-L
[ADR] ......................... 46,014 2,579,660
TV Azteca, SA de CV [ADR]* ...... 31,200 703,950
----------
10,187,837
----------
NETHERLANDS -- 10.4%
ABN Amro Holding NV ............. 126,196 2,458,893
AKZO Nobel NV ................... 3,582 617,723
Baan Co. NV* .................... 16,454 538,935
Baan Co. NV [ADR]* .............. 18,040 595,320
CSM NV .......................... 36,451 1,618,262
Elsevier NV ..................... 330,172 5,342,088
Fortis Amev NV .................. 38,702 1,687,651
Gucci Group NV .................. 15,717 658,149
ING Groep NV .................... 128,092 5,396,061
ING Groep NV Warrants* .......... 39,906 418,109
Koninklijke Ahold NV ............ 27,463 716,639
Koninklijke Nutricia Verenigde
Bedrijven NV .................. 30,650 929,828
Otra NV ......................... 6,490 92,841
Polygram NV ..................... 60,217 2,881,296
Royal Dutch Petroleum Co. ....... 202,374 11,110,839
Royal PTT Nederland NV .......... 11,749 490,307
Unilever NV ..................... 70,080 4,321,167
Wolters Kluwer NV ............... 65,110 8,411,630
----------
48,285,738
----------
NEW ZEALAND -- 0.3%
Air New Zealand Ltd. ............ 140,445 281,347
Fletcher Challenge Building
Ltd. .......................... 129,552 264,791
Fletcher Challenge Energy
Ltd. .......................... 100,267 351,068
Telecom Corp. of New Zealand
Ltd. .......................... 136,000 659,389
----------
1,556,595
----------
NORWAY -- 1.8%
Bergesen D.Y. AS Cl-A ........... 9,560 225,637
Norsk Hydro AS .................. 79,880 3,895,296
</TABLE>
88
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T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Orkla AS Cl-A ................... 48,710 $ 4,195,612
Saga Petroleum ASA Cl-B ......... 15,160 230,314
----------
8,546,859
----------
PANAMA -- 0.0%
Banco Latinoamericano de
Exportaciones SA Cl-E ......... 4,035 166,948
----------
PERU -- 0.1%
Credicorp Ltd. [ADR] ............ 10,620 191,160
Telefonica del Peru SA Cl-B ..... 26,690 59,627
Telefonica del Peru SA Cl-B
[ADR] ......................... 11,383 265,366
----------
516,153
----------
PORTUGAL -- 0.6%
Jeronimo Martins, SGPS, SA ...... 33,099 1,051,423
Jeronimo Martins, SGPS, SA
(New)* ........................ 33,099 1,539,146
----------
2,590,569
----------
RUSSIA -- 0.1%
Gazprom [ADR] ................... 5,750 138,719
Lukoil Holding [ADR] ............ 3,620 332,407
----------
471,126
----------
SINGAPORE -- 0.6%
City Developments Ltd. .......... 53,000 245,350
Overseas-Chinese Banking Corp.
Ltd. .......................... 37,200 216,364
Overseas Union Bank Ltd. ........ 110,400 422,614
Singapore Land Ltd. ............. 104,000 228,376
Singapore Press Holdings Ltd. ... 90,000 1,127,043
United Overseas Bank Ltd. ....... 101,400 562,685
----------
2,802,432
----------
SPAIN -- 2.3%
Banco Bilbao Vizcaya SA ......... 21,420 692,847
Banco Popular Espanol SA ........ 22,680 1,584,761
Banco Santander SA .............. 57,788 1,929,864
Centros Comerciales Pryca SA .... 14,319 213,260
Corporacion Bancaria de Espana
SA ............................ 12,814 779,356
Empresa Nacional de
Electricidad SA ............... 64,292 1,141,026
Gas Natural SDG SA .............. 14,051 728,292
Iberdrola SA .................... 86,553 1,138,591
Repsol SA ....................... 20,855 889,395
Telefonica de Espana SA ......... 57,547 1,642,416
----------
10,739,808
----------
SWEDEN -- 3.2%
ABB AB Cl-A ..................... 82,210 973,959
Astra AB Cl-B ................... 231,146 3,889,158
Atlas Copco AB Cl-B ............. 40,130 1,196,158
Electrolux AB Cl-B .............. 28,770 1,997,927
Esselte AB ...................... 14,410 292,400
SHARES VALUE
---------- ------------
Granges AB* ..................... 14,385 $ 225,719
Hennes & Mauritz AB Cl-B ........ 59,900 2,642,305
Nordbanken Holding AB* .......... 366,188 2,072,233
Sandvik AB Cl-A ................. 6,140 174,890
Sandvik AB Cl-B ................. 43,420 1,242,235
Scribona AB Cl-B ................ 5,500 61,347
----------
14,768,331
----------
SWITZERLAND -- 6.4%
ABB AG .......................... 1,569 1,973,957
Adecco SA ....................... 7,460 2,166,062
Credit Suisse Group ............. 7,130 1,104,782
Nestle SA ....................... 3,898 5,850,140
Novartis AG ..................... 5,939 9,650,290
Roche Holding AG ................ 565 5,618,817
Swiss Bank Corp. ................ 6,700 2,085,496
Union Bank of Switzerland ....... 1,000 1,448,013
----------
29,897,557
----------
UNITED KINGDOM -- 18.5%
Abbey National PLC .............. 176,000 3,159,457
Argos PLC ....................... 182,749 1,656,844
ASDA Group PLC .................. 501,450 1,464,539
BG PLC-B ........................ 169,597 764,617
British Petroleum Co. PLC ....... 153,840 2,025,043
Cable & Wireless PLC ............ 352,000 3,098,643
Cadbury Schweppes PLC ........... 241,456 2,437,404
Caradon PLC ..................... 334,530 988,040
Centrica PLC .................... 126,210 185,863
Compass Group PLC ............... 159,000 1,946,458
Diageo PLC ...................... 760,940 7,005,281
Electrocomponents PLC ........... 126,000 937,096
GKN PLC ......................... 17,000 348,811
Glaxo Wellcome PLC .............. 254,000 6,018,264
Heywood Williams Group PLC ...... 32,010 109,290
Hillsdown Holdings PLC .......... 95,160 232,518
Kingfisher PLC .................. 378,950 5,287,529
Ladbroke Group PLC .............. 218,000 946,968
Laing, (John) PLC Cl-A .......... 70,000 372,028
National Westminster Bank PLC ... 648,670 10,801,383
Rank Group PLC .................. 207,120 1,155,305
Reed International PLC .......... 659,740 6,621,825
Rolls-Royce PLC ................. 78,140 302,146
Rio Tinto PLC ................... 165,600 2,040,879
Safeway PLC ..................... 289,660 1,634,774
Shell Transport & Trading Co.
PLC ........................... 893,000 6,465,158
Smith, (David S.) Holdings
PLC ........................... 197,900 647,998
Smithkline Beecham PLC .......... 821,240 8,418,470
T&N PLC ......................... 181,680 759,304
Tesco PLC ....................... 238,000 1,938,462
Tomkins PLC ..................... 631,220 3,022,378
United News & Media PLC ......... 280,470 3,198,119
----------
85,990,894
----------
</TABLE>
89
<PAGE> 91
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
VENEZUELA -- 0.1%
Cia Anonima Nacional Tele
Venezuela [ADS] ............... 13,427 $ 558,899
------------
TOTAL INVESTMENTS -- 94.5%
(COST $395,941,263)................ 438,892,076
OTHER ASSETS LESS
LIABILITIES -- 5.5%................ 25,563,844
------------
NET ASSETS -- 100.0%................. $464,455,920
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
** Closed-end funds.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 0.3% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
90
<PAGE> 92
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- ----------- -------------
<S> <C> <C> <C>
FOREIGN BONDS -- 89.7%
AUSTRALIA -- 4.0%
Australian Government
12.00%................ 11/15/01 1,200 $ 953,684
10.00%................ 10/15/07 1,600 1,343,626
7.50%................. 09/15/09 2,350 1,719,336
Federal National Mtge.
Assoc. Global Bond
6.50%................. 07/10/02 1,850 1,234,782
-------------
5,251,428
-------------
CANADA -- 2.8%
Canadian Government
8.00%................. 06/01/23 3,185 2,823,282
Province of Alberta
8.00%................. 03/01/00 710 521,671
Province of Ontario
8.25%................. 12/01/05 200 161,043
Province of Quebec
7.75%................. 03/30/06 200 155,903
-------------
3,661,899
-------------
CZECH REPUBLIC -- 0.2%
European Investment Bank
11.00%................ 10/10/01 8,000 208,287
-------------
DENMARK -- 1.5%
Nykredit
7.00%................. 10/01/16 202 29,923
6.00%................. 10/01/26 13,820 1,966,873
7.00%................. 10/01/29 10 1,444
-------------
1,998,240
-------------
EUROPEAN CURRENCY UNIT -- 3.7%
European Bank
Reconstruction &
Development Global
Bond
6.00%................. 05/06/99 970 1,086,132
French O.A.T.
9.50%................. 04/25/00 1,550 1,884,246
United Kingdom Treasury
4.00%................. 01/28/00 1,760 1,915,528
-------------
4,885,906
-------------
FRANCE -- 9.5%
French O.A.T.
5.50%................. 04/25/04 7,000 1,195,939
6.50%................. 10/25/06 6,500 1,173,722
5.50%................. 10/25/07 20,000 3,365,770
6.00%................. 10/25/25 4,000 674,351
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- ----------- -------------
<S> <C> <C> <C>
French O.A.T. Principal
Strip [ZCB]
5.471%................ 10/25/08 13,700 $ 1,270,058
French Treasury Bill
7.75%................. 04/12/00 16,000 2,853,657
4.50%................. 07/12/02 11,000 1,809,849
-------------
12,343,346
-------------
GERMANY -- 20.1%
Bank Nederlandse
Gemeenten
6.25%................. 08/10/00 1,000 576,739
5.25%................. 10/01/01 4,300 2,439,323
Federal National Mtge.
Assoc. Global Bond
5.00%................. 02/16/01 3,500 1,963,402
Federal Republic of
Germany
7.25%................. 10/21/02 1,960 1,202,245
7.50%................. 11/11/04 5,750 3,619,321
6.875%................ 05/12/05 9,400 5,766,913
6.50%................. 07/04/27 2,800 1,686,814
Federal Republic of
Germany Principal
Strip [ZCB]
11.13%................ 07/04/07 6,500 2,197,949
18.72%................ 07/04/27 8,400 794,198
Inter-America
Development Bank
7.00%................. 06/08/05 4,500 2,740,484
KFW International
Finance, Inc.
6.75%................. 06/20/05 4,500 2,721,714
Minnesota Mining &
Manufacturing Co.
5.00%................. 10/15/01 900 504,322
-------------
26,213,424
-------------
HUNGARY -- 0.4%
Hungarian Government
24.00%................ 03/21/98 45,000 221,855
23.50%................ 05/17/98 50,000 247,738
-------------
469,593
-------------
ITALY -- 8.6%
Italian Government
9.50%................. 02/01/01 6,150,000 3,915,067
8.25%................. 07/01/01 3,715,000 2,315,576
9.00%................. 10/01/03 1,880,000 1,254,222
9.50%................. 01/01/05 2,510,000 1,741,955
8.75%................. 07/01/06 1,895,000 1,297,242
7.25%................. 11/01/26 1,100,000 724,210
-------------
11,248,272
-------------
</TABLE>
91
<PAGE> 93
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- ----------- -------------
<S> <C> <C> <C>
JAPAN -- 8.1%
Asian Development Bank
3.125%................ 06/29/05 200,000 $ 1,678,574
Export-Import Bank of
Japan
4.375%................ 10/01/03 360,000 3,207,359
International Bank
Reconstruction &
Development Global
Bond
4.75%................. 12/20/04 260,000 2,412,229
Republic of Austria
5.00%................. 01/22/01 110,000 949,834
4.50%................. 09/28/05 180,000 1,658,673
Republic of Italy
3.75%................. 06/08/05 70,000 608,363
-------------
10,515,032
-------------
NETHERLANDS -- 1.8%
Netherlands Government
7.50%................. 11/15/99 1,950 1,016,732
9.00%................. 01/15/01 2,500 1,381,812
-------------
2,398,544
-------------
NEW ZEALAND -- 2.7%
International Bank
Reconstruction &
Development
7.00%................. 09/18/00 1,300 739,751
New Zealand Government
10.00%................ 03/15/02 4,310 2,740,762
-------------
3,480,513
-------------
PHILIPPINES -- 0.1%
Philippines Government
12.50%................ 04/25/01 8,000 168,856
-------------
PORTUGAL -- 2.5%
Republic of Portugal
5.375%................ 03/23/00 200,000 1,101,720
5.75%................. 03/23/02 380,000 2,117,347
-------------
3,219,067
-------------
RUSSIA -- 1.3%
GKO Pass-Through Notes
10.80%................ 01/15/98 3,128,000 519,219
25.817%............... 04/15/98 3,815,500 588,295
25.991%............... 07/01/98 4,060,538 588,094
-------------
1,695,608
-------------
SOUTH AFRICA -- 1.9%
Republic of South Africa
12.00%................ 02/28/05 13,000 2,466,807
-------------
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- ----------- -------------
SPAIN -- 4.4%
Spanish Government
10.90%................ 08/30/03 341,000 $ 2,845,854
8.00%................. 05/30/04 160,000 1,200,509
10.00%................ 02/28/05 208,000 1,729,473
-------------
5,775,836
-------------
SWEDEN -- 1.1%
Swedish Government
5.50%................. 04/12/02 11,000 1,383,200
-------------
UNITED KINGDOM -- 15.0%
Alliance & Leicester BLD
8.75%................. 12/07/06 1,500 2,705,677
Annington Finance
7.75%................. 10/02/11 500 900,350
Bank of Scotland
8.375%................ 10/29/49 450 781,623
Federal National Mtge.
Assoc. Global Bond
6.875%................ 06/07/02 990 1,630,461
Guaranteed Export
Finance Corp.
6.102%................ 09/29/00 900 1,229,124
10.625%............... 09/15/01 1,550 2,837,310
Halifax Building Society
8.75%................. 07/10/06 600 1,089,675
9.375%................ 05/15/21 710 1,447,892
National Power Co. PLC
8.375%................ 08/02/06 600 1,056,355
Republic of Austria
9.00%................. 07/22/04 360 660,469
Swiss Bank Corp. Jersey
8.75%................. 12/18/25 520 1,016,578
United Kingdom Treasury
9.00%................. 08/06/12 360 740,991
8.75%................. 08/25/17 1,640 3,438,030
-------------
19,534,535
-------------
TOTAL FOREIGN BONDS
(COST $119,967,824)................. 116,918,393
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-------
<S> <C> <C> <C>
SOVEREIGN ISSUES -- 7.5%
ARGENTINA -- 0.6%
Republic of Argentina
Debs. [FRB, BRB]
6.6875%.............. 03/31/05 $ 504 451,458
Republic of Argentina
Unsub. Debs. [FRB,
BRB]
11.375%.............. 01/30/17 250 274,219
-------------
725,677
-------------
</TABLE>
92
<PAGE> 94
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- -------------
<S> <C> <C> <C>
BRAZIL -- 1.1%
Federal Republic of
Brazil Debs., EI Bond
[FRB, BRB]
6.6875%.............. 04/15/06 $ 49 $ 41,956
Federal Republic of
Brazil Debs., IDU
Bond [FRB, BRB]
6.8125%.............. 01/01/01 608 579,582
Republic of Brazil
Capitalization Bond
[FRB, BRB]
4.50%................ 04/15/14 456 357,757
Republic of Brazil Debt
Conversion Bond
Series L [FRN, BRB]
6.9375%.............. 04/15/12 200 151,000
Republic of Brazil
Global Bond
10.125%.............. 05/15/27 250 235,312
Republic of Brazil New
Money Bond [FRB, BRB]
6.75%................ 04/15/09 155 125,124
-------------
1,490,731
-------------
BULGARIA -- 1.1%
National Republic of
Bulgaria Debs. [FRN,
BRB]
6.6875%.............. 07/28/11 575 421,906
2.25%................ 07/28/12 1,620 988,200
-------------
1,410,106
-------------
DOMINICAN REPUBLIC -- 0.2%
Dominican Republic
Disc. [FRN, BRB]
6.875%............... 08/30/24 250 201,250
-------------
MEXICO -- 1.0%
Banco Nacional de
Comercio Exterier
Debs.
7.25%................ 02/02/04 120 111,375
United Mexican States
Global Bond
9.875%............... 01/15/07 100 104,312
11.375%.............. 09/15/16 625 717,578
United Mexican States
[BRB]
6.25%................ 12/31/19 500 418,694
-------------
1,351,959
-------------
PAR
MATURITY (000) VALUE
--------- ------- -------------
POLAND -- 0.6%
Government of Poland
PDI [STEP, BRB]
4.00%................ 10/27/14 $ 375 $ 324,609
Government of Poland
REG -- PAR [BRB,
STEP]
3.00%................ 10/27/24 250 154,219
Poland Communications,
Inc. Sr. Notes 144A
9.875%............... 11/01/03 300 295,200
-------------
774,028
-------------
RUSSIA -- 1.7%
City of Moscow Unsub.
Deb.
9.50%................ 05/31/00 100 95,187
Republic of Kazakhstan
9.25%................ 12/20/99 100 98,250
Russia Interest Note --
US [FRN]
6.71875%............. 12/15/15 1,177 824,866
Russia Ministry of
Finance Unsub.
10.00%............... 06/26/07 650 602,062
Russia Principal Loans
[FRN]
2.6875%.............. 12/15/20 1,050 650,344
-------------
2,270,709
-------------
SOUTH AFRICA -- 0.2%
Ivory Coast [FLIRB, WI]
1.246%............... 12/29/49 750 256,875
-------------
VENEZUELA -- 1.0%
Republic of Venezuela
Debs. [FRN, BRB]
6.75%................ 12/18/07 1,190 1,066,964
Republic of Venezuela
[BRB]
6.75%................ 03/31/20 300 259,875
-------------
1,326,839
-------------
TOTAL SOVEREIGN ISSUES
(COST $9,300,891)........ 9,808,174
-------------
</TABLE>
<TABLE>
<CAPTION>
NOTIONAL
AMOUNT
(000)
--------
<S> <C> <C> <C>
OPTIONS -- 0.0%
Call Option on United Kingdom
Pound Put Option on German
Deutsche Marks Strike Price
GBP 2.8759, Expires 1/5/98
(COST $61,070)............... 1,500 0
-------------
TOTAL INVESTMENTS -- 97.2%
(COST $129,329,785).............. 126,726,567
OTHER ASSETS LESS
LIABILITIES -- 2.8%.............. 3,680,964
-------------
NET ASSETS -- 100.0%............... $ 130,407,531
===========
</TABLE>
93
<PAGE> 95
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Buy CAD 1,987,907 $1,405,874 $1,390,261 $(15,613)
01/98 Buy JPY 176,407,200 1,350,000 1,362,143 12,143
---------- ---------- --------
$2,755,874 $2,752,404 $ (3,470)
========== ========== ========
</TABLE>
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE APPRECIATION
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Sell CAD 1,988,372 $ 1,396,027 $ 1,390,587 $ 5,440
=========== =========== ==========
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
SETTLEMENT CONTRACTS TO IN EXCHANGE APPRECIATION
MONTH TYPE RECEIVE FOR (DEPRECIATION)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Buy CAD 1,972,308 AUD 2,060,928 $ 35,680
01/98 Buy DEM 2,526,175 GBP 853,438 4,808
01/98 Buy DEM 1,025,183 ITL 1,006,473,185 (787)
01/98 Buy DEM 3,206,448 ZAR 8,939,104 (48,711)
01/98 Buy FRF 4,153,360 DEM 1,241,439 330
01/98 Buy JPY 233,467,453 GBP 1,130,277 (52,601)
01/98 Buy JPY 627,713,692 NZD 8,073,488 151,904
01/98 Buy NZD 1,760,000 JPY 135,247,200 (20,897)
01/98 Buy ZAR 2,989,104 DEM 1,104,017 571
--------
$ 70,297
========
</TABLE>
- --------------------------------------------------------------------------------
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 0.2% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
94
<PAGE> 96
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 96.4%
AUTOMOTIVE PARTS -- 1.0%
Lear Corp.* ...................... 40,000 $ 1,900,000
----------
BEVERAGES -- 1.7%
PepsiCo, Inc. .................... 87,800 3,199,212
----------
BUILDING MATERIALS -- 0.9%
Lowe's Companies, Inc. ........... 36,000 1,716,750
----------
CLOTHING & APPAREL -- 5.3%
Claiborne, (Liz), Inc. ........... 79,600 3,328,275
Hilfiger, (Tommy) Corp.* ......... 100,800 3,540,600
Jones Apparel Group, Inc.* ....... 67,000 2,881,000
----------
9,749,875
----------
COMPUTER HARDWARE -- 2.5%
Bay Networks, Inc.* .............. 104,200 2,663,612
Compaq Computer Corp. ............ 34,100 1,924,519
----------
4,588,131
----------
COMPUTER SERVICES & SOFTWARE -- 12.9%
BMC Software, Inc.* .............. 27,800 1,824,375
Cadence Design Systems, Inc.* .... 223,200 5,468,400
CHS Electronics, Inc. ............ 113,950 1,951,394
Cisco Systems, Inc.* ............. 39,225 2,186,794
Computer Sciences Corp.* ......... 48,300 4,033,050
Parametric Technology Corp.* ..... 141,500 6,703,562
Sun Microsystems, Inc.* .......... 40,000 1,595,000
----------
23,762,575
----------
CONGLOMERATES -- 1.1%
Philip Morris Companies, Inc. .... 44,000 1,993,750
----------
CONSUMER PRODUCTS & SERVICES -- 3.4%
Cendant Corp. .................... 62,481 2,147,771
Republic Industries, Inc.* ....... 173,500 4,044,719
----------
6,192,490
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 11.3%
Altera Corp.* .................... 25,000 828,125
Applied Materials, Inc.* ......... 106,200 3,199,275
Honeywell, Inc. .................. 80,500 5,514,250
KLA-Tencor Corp.* ................ 19,400 749,325
LAM Research Corp.*............... 112,300 3,284,775
Linear Technology Corp. .......... 32,000 1,844,000
Maxim Integrated Products,
Inc.* .......................... 70,000 2,415,000
Philips Electronics NV [ADR] ..... 25,000 1,512,500
Tandy Corp. ...................... 42,000 1,619,625
----------
20,966,875
----------
ENTERTAINMENT & LEISURE -- 2.0%
Mirage Resorts, Inc.* ............ 57,800 1,314,950
Royal Caribbean Cruises Ltd. ..... 45,000 2,399,062
----------
3,714,012
----------
ENVIRONMENTAL SERVICES -- 5.7%
Allied Waste Industries, Inc.* ... 71,000 1,655,187
U.S. Filter Corp.* ............... 117,900 3,529,631
USA Waste Services, Inc.*......... 138,400 5,432,200
----------
10,617,018
----------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 1.5%
Chase Manhattan Corp. ............ 26,000 $ 2,847,000
----------
FINANCIAL SERVICES -- 6.6%
CIT Group, Inc. Cl-A* ............ 100,000 3,225,000
Green Tree Financial Corp. ....... 138,000 3,613,875
Household International, Inc. .... 17,000 2,168,562
The Money Store, Inc. ............ 154,700 3,248,700
----------
12,256,137
----------
FOOD -- 2.5%
International Home Foods,
Inc.* .......................... 100,000 2,800,000
Safeway, Inc.* ................... 27,500 1,739,375
----------
4,539,375
----------
HEALTHCARE SERVICES -- 4.5%
Medpartners, Inc.* ............... 94,000 2,103,250
Omnicare, Inc. ................... 88,400 2,740,400
Phycor, Inc.* .................... 65,800 1,776,600
Tenet Healthcare Corp.* .......... 50,000 1,656,250
----------
8,276,500
----------
HOTELS & MOTELS -- 2.3%
Hilton Hotels Corp. .............. 75,600 2,249,100
Promus Hotel Corp. * ............. 46,177 1,939,434
----------
4,188,534
----------
INSURANCE -- 2.4%
Conseco, Inc. .................... 50,000 2,271,875
Hartford Financial Services
Group, Inc. .................... 23,000 2,151,938
----------
4,423,813
----------
MACHINERY & EQUIPMENT -- 0.9%
Caterpillar, Inc. ................ 34,400 1,670,550
----------
MEDICAL SUPPLIES & EQUIPMENT -- 1.2%
Johnson & Johnson Co. ............ 33,000 2,173,875
----------
OFFICE EQUIPMENT -- 3.6%
Office Depot, Inc.* .............. 100,000 2,393,750
Officemax, Inc.* ................. 145,000 2,066,250
Xerox Corp. ...................... 30,000 2,214,375
----------
6,674,375
----------
OIL & GAS -- 4.9%
Baker Hughes, Inc. ............... 75,000 3,271,875
Halliburton Co. .................. 50,000 2,596,875
Noble Drilling Corp.* ............ 50,000 1,531,250
Texaco, Inc. ..................... 30,000 1,631,250
----------
9,031,250
----------
PAPER & FOREST PRODUCTS -- 0.9%
Kimberly-Clark Corp. ............. 34,600 1,706,213
----------
PHARMACEUTICALS -- 0.9%
Cardinal Health, Inc. ............ 22,500 1,690,313
----------
RESTAURANTS -- 1.0%
McDonald's Corp. ................. 40,000 1,910,000
----------
</TABLE>
95
<PAGE> 97
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
RETAIL & MERCHANDISING -- 4.3%
Federated Department Stores,
Inc.* .......................... 65,000 $ 2,799,063
Nordstrom, Inc. .................. 49,400 2,982,525
TJX Companies, Inc. .............. 65,000 2,234,375
----------
8,015,963
----------
SEMICONDUCTORS -- 5.0%
Motorola, Inc. ................... 35,000 1,997,188
National Semiconductor Corp.* .... 132,000 3,423,750
Xilinx, Inc.* .................... 110,500 3,874,406
----------
9,295,344
----------
TELECOMMUNICATIONS -- 6.1%
China Telecom Hong Kong Ltd.* .... 25,000 839,063
Nokia Corp. Cl-A [ADR]............ 52,000 3,640,000
Teleport Communications Group,
Inc. Cl-A* ..................... 20,000 1,097,500
Tellabs, Inc.* ................... 43,600 2,305,350
Telstra Corp. Ltd. [ADR]* ........ 81,000 3,381,750
----------
11,263,663
----------
TOTAL COMMON STOCK
(COST $174,483,265)................. 178,363,593
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------ ------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.7%
Federal Home Loan
Mortgage Corp.
4.90%
(COST $4,999,319)....... 01/02/98 $5,000 $ 4,999,319
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.5%
Temporary Investment Cash Fund ... 1,406,059 1,406,059
Temporary Investment Fund ........ 1,406,060 1,406,060
----------
(COST $2,812,119)................. 2,812,119
----------
TOTAL INVESTMENTS -- 100.6%
(COST $182,294,703)................. 186,175,031
LIABILITES IN EXCESS OF OTHER
ASSETS -- (0.6%).................... (1,125,219)
------------
NET ASSETS -- 100.0%.................. $185,049,812
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
96
<PAGE> 98
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
FOREIGN STOCK -- 76.4%
AUSTRALIA -- 0.9%
Village Roadshow Ltd. ........... 396,000 $ 1,003,701
------------
CANADA -- 1.7%
Cinar Films, Inc. Cl-B*.......... 52,500 2,040,937
------------
CHILE -- 1.6%
Banco de A. Edwards [ADR]........ 44,800 761,600
Compania Cervecerias Unidas SA
[ADR].......................... 38,575 1,133,141
------------
1,894,741
------------
DENMARK -- 2.2%
Kobenhavns Lufthavne AS.......... 21,575 2,599,508
------------
FINLAND -- 3.9%
KCI Konecranes International*.... 41,250 1,363,516
Raision Tehtaat Oy............... 27,450 3,261,448
------------
4,624,964
------------
FRANCE -- 6.1%
Altran Technologies SA........... 6,975 2,133,361
Coflexip SA [ADR]................ 33,475 1,857,862
Dassault Systemes SA............. 57,850 1,764,581
Guilbert SA...................... 10,050 1,433,361
------------
7,189,165
------------
GERMANY -- 10.0%
Douglas Holding AG............... 16,350 495,581
Marschollek, Lautenschlaeger Ung
Partner AG..................... 10,450 2,673,467
Plettac AG....................... 2,150 296,545
Porsche AG Pfd. ................. 1,700 2,855,331
Schmalbach Lubeca AG............. 12,810 2,137,327
Schwarz Pharma AG................ 29,825 2,015,382
Sixt AG.......................... 3,800 300,105
Turbon International AG.......... 48,775 1,055,231
------------
11,828,969
------------
HONG KONG -- 2.5%
Asia Satellite Telecommunications
Holdings Ltd. [ADR]*........... 25,000 420,312
VTech Holdings Ltd. ............. 876,000 2,583,364
------------
3,003,676
------------
INDONESIA -- 0.9%
Gulf Indonesia Resources Ltd.*... 33,325 733,150
London Sumatra*.................. 637,600 362,613
------------
1,095,763
------------
IRELAND -- 0.7%
Ryanair Holdings PLC [ADR]*...... 33,000 829,125
------------
ITALY -- 2.6%
Bulgari SPA...................... 270,000 1,374,437
Editoriale L'Expresso SPA........ 75,000 360,578
Industrie Natuzzi SPA [ADR]...... 65,775 1,356,609
------------
3,091,624
------------
JAPAN -- 3.1%
Doutor Coffee Co. Ltd. .......... 39,000 1,004,837
Fuji Soft ABC, Inc. ............. 24,500 842,286
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
Nippon System Development........ 36,000 $ 742,033
Noritsu Koki Co. Ltd. ........... 41,000 1,015,374
------------
3,604,530
------------
MALAYSIA -- 0.0%
Kentucky Fried Chicken Holdings
Warrants*...................... 21,333 2,192
------------
MEXICO -- 2.8%
Grupo Iusacell SA [ADR]*......... 98,600 2,138,388
Grupo Posadas SA................. 1,675,000 1,142,733
------------
3,281,121
------------
NETHERLANDS -- 3.3%
Beter Bed Holding NV............. 14,875 286,900
Brunel International NV*......... 19,050 364,606
Hunter Douglas NV................ 46,950 1,644,337
IHC Caland NV.................... 26,025 1,350,528
Toolex Alpha NV.................. 29,000 293,257
------------
3,939,628
------------
NEW ZEALAND -- 0.3%
Sky Network Television Ltd. ..... 226,000 339,879
------------
NORWAY -- 2.8%
Kverneland ASA................... 37,325 607,554
Narvesen ASA..................... 15,050 332,757
Petroleum Geo-Services [ADR]*.... 19,125 1,238,344
Tomra Systems ASA................ 49,175 1,100,606
------------
3,279,261
------------
PANAMA -- 1.1%
Banco Latinoamericano de
Exportaciones SA Cl-E.......... 33,000 1,365,375
------------
PHILIPPINES -- 0.1%
International Container Terminal
Services, Inc.*................ 481,775 60,375
------------
SPAIN -- 2.6%
Tele Pizza SA*................... 37,600 3,034,339
------------
SWEDEN -- 1.3%
NetCom Systems AB Cl-B........... 62,000 1,332,307
Pricer AB Cl-B*.................. 8,000 148,216
------------
1,480,523
------------
UNITED KINGDOM -- 25.9%
British-Borneo Petroleum
Syndicate PLC.................. 382,473 2,662,050
BTG PLC.......................... 72,350 809,510
Cairn Energy PLC................. 188,525 1,538,600
Capital Radio PLC................ 184,950 1,512,466
DFS Furniture Co. PLC............ 151,350 1,285,012
Eidos PLC [ADR].................. 23,000 281,750
Flextech PLC*.................... 226,475 1,963,839
JBA Holdings PLC................. 200,300 3,389,692
Misys PLC........................ 99,892 3,007,855
Parity PLC....................... 213,800 2,237,381
PizzaExpress PLC................. 270,750 3,341,218
Psion PLC........................ 341,400 2,541,892
Regent Inns PLC.................. 186,125 1,009,102
Select Appointments Holdings
PLC............................ 90,400 831,487
</TABLE>
97
<PAGE> 99
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
Virgin Express Holdings PLC
[ADR].......................... 32,150 $ 667,113
Wetherspoon, (J.D.) PLC.......... 630,000 3,472,645
------------
30,551,612
------------
TOTAL FOREIGN STOCK
(COST $79,935,175)................. 90,141,008
------------
COMMON STOCK -- 3.4%
EQUIPMENT SERVICES -- 1.2%
Rofin-Sinar Technologies,
Inc.*.......................... 119,900 1,453,788
------------
TELECOMMUNICATIONS -- 2.1%
Cellular Communications
International, Inc.*........... 53,850 2,517,488
------------
TOTAL COMMON STOCK
(COST $3,533,348).................. 3,971,276
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- -------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 20.2%
Associates Corp. of North
America
6.12%.................... 01/02/98 $ 1,255 1,254,787
5.55%.................... 01/05/98 4,411 4,408,280
Bell Atlantic Financial
Services, Inc.
6.15%.................... 01/06/98 5,196 5,191,562
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
General Electric Capital
Corp.
5.75%.................... 01/07/98 $ 5,716 $ 5,710,522
Household Finance Corp.
6.08%.................... 01/02/98 1,916 1,915,676
Merrill Lynch & Co., Inc.
6.05%.................... 01/07/98 1,679 1,677,307
Progress Capital Holdings
6.02%.................... 01/02/98 3,700 3,699,381
------------
TOTAL COMMERCIAL PAPER
(COST $23,857,515)..................... 23,857,515
------------
TOTAL INVESTMENTS -- 100.0%
(COST $106,746,038).................... 117,969,799
LIABILITIES IN EXCESS OF OTHER
ASSETS -- 0.0%......................... (32,070)
------------
NET ASSETS -- 100.0%..................... $117,937,729
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE DEPRECIATION
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/98 Buy DEM 408,405 $230,100 $227,173 $ (2,927)
01/98 Buy NLG 12,664 6,299 6,248 (51)
-------- -------- --------
$236,399 $233,421 $ (2,978)
======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
98
<PAGE> 100
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 80.3%
CHEMICALS -- 6.6%
Applied Extrusion Technologies,
Inc.* .......................... 5,600 $ 37,800
Dupont, (E.I.) de Nemours &
Co. ............................ 6,400 384,400
FMC Corp.* ....................... 18,000 1,211,625
Great Lakes Chemical Corp. ....... 28,300 1,269,962
IMC Global, Inc. ................. 11,500 376,625
Lyondell Petrochemical Co. ....... 58,300 1,544,950
Millennium Chemicals, Inc. ....... 75,000 1,767,187
Olin Corp. ....................... 11,000 515,625
Witco Corp. ...................... 8,000 326,500
----------
7,434,674
----------
DIVERSIFIED METALS -- 5.1%
Freeport-McMoran Copper & Gold,
Inc. Cl-A ...................... 31,900 488,469
Freeport-McMoran Copper & Gold,
Inc. Cl-B ...................... 13,000 204,750
Inco, Ltd. ....................... 86,800 1,475,600
Nucor Corp. ...................... 28,500 1,376,906
Reynolds Metals Co.* ............. 35,300 2,118,000
----------
5,663,725
----------
DIVERSIFIED RESOURCES -- 1.0%
Penn Virginia Corp. .............. 25,700 758,150
Western Water Co.* ............... 28,000 304,500
----------
1,062,650
----------
ENERGY SERVICES -- 14.0%
Ashland, Inc. .................... 23,500 1,261,656
Camco International, Inc. ........ 10,800 687,825
Carbo Ceramics, Inc. ............. 43,750 1,400,000
Coflexip SA [ADR] ................ 42,600 2,364,300
Cooper Cameron Corp.* ............ 38,300 2,336,300
Energy Group PLC [ADR] ........... 7,875 351,422
Halliburton Co. .................. 19,600 1,017,975
McDermott International, Inc. .... 59,300 2,171,862
Niagara Mohawk Power Corp. ....... 95,000 997,500
Western Atlas, Inc.* ............. 20,000 1,480,000
Wheelabrator Technologies,
Inc. ........................... 103,000 1,654,437
----------
15,723,277
----------
HOTELS & MOTELS -- 0.5%
Patriot American Hospitality,
Inc. ........................... 17,400 501,337
----------
INTEGRATED PETROLEUM -- 15.0%
Amerada Hess Corp. ............... 25,500 1,399,312
Atlantic Richfield Co. ........... 13,000 1,041,625
British Petroleum Co. PLC
[ADR] .......................... 25,600 2,040,000
Ente Nazionale Idrocarbure SPA
[ADR] .......................... 13,000 741,812
Mobil Corp. ...................... 49,200 3,551,625
Phillips Petroleum Co. ........... 33,000 1,604,625
Repsol SA [ADR] .................. 18,600 791,662
Texaco, Inc. ..................... 52,000 2,827,500
Total SA [ADR] ................... 45,000 2,497,500
Ultramar Diamond Shamrock
Corp. .......................... 10,800 344,250
----------
16,839,911
----------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
OIL & GAS -- 6.8%
Exxon Corp. ...................... 9,000 $ 550,688
Hanover Compressor Co.* .......... 41,400 846,113
Ocean Energy, Inc.* .............. 3,500 172,594
Petroleo Brasileiro SA [ADR]
144A* .......................... 58,600 1,370,478
Royal Dutch Petroleum Co. ........ 28,000 1,517,250
Santa Fe International Corp. ..... 12,000 488,250
USX-Marathon Group ............... 80,500 2,716,875
----------
7,662,248
----------
PAPER & FOREST PRODUCTS -- 7.0%
Fort James Corp. ................. 22,800 872,100
Georgia Pacific Corp. ............ 13,300 807,975
Georgia Pacific Timber Group* .... 13,300 301,744
International Paper Co. .......... 31,000 1,336,875
Jefferson Smurfit Corp.* ......... 104,600 1,477,475
Kimberly-Clark Corp. ............. 15,200 749,550
Louisiana-Pacific Corp. .......... 78,000 1,482,000
Willamette Industries, Inc. ...... 24,800 798,250
----------
7,825,969
----------
PETROLEUM EXPLORATION &
PRODUCTION -- 7.9%
Barrett Resources Corp.* ......... 15,100 456,775
Bouygues Offshore SA [ADR]........ 40,000 870,000
Enserch Corp.* ................... 202,000 1,830,625
Houston Exploration Co.* ......... 50,500 927,938
Noble Affiliates, Inc. ........... 9,900 348,975
Rutherford-Moran Oil Corp.* ...... 35,300 630,988
Societe Nationale Elf Aquitaine SA
[ADR] .......................... 7,000 410,375
Union Texas Petroleum Holdings,
Inc. ........................... 91,700 1,908,506
United Meridian Corp.* ........... 51,300 1,442,813
----------
8,826,995
----------
PRECIOUS METALS -- 10.6%
Ashanti Goldfields Co. Ltd.
[GDR] .......................... 32,900 246,750
Battle Mountain Gold Co. ......... 272,000 1,598,000
Cambior, Inc. .................... 140,400 824,850
Canyon Resources Corp.* .......... 368,400 437,475
Dayton Mining Corp.* ............. 60,000 116,250
Driefontein Consolidated Ltd.
[ADR] .......................... 100,000 662,500
Gold Fields of South Africa Ltd.
[ADR] .......................... 40,000 620,000
Homestake Mining Co. ............. 173,700 1,541,588
Kloof Gold Mining Co. Ltd.
[ADR] .......................... 130,000 430,625
Newmont Mining Corp. ............. 89,224 2,620,955
Placer Dome, Inc. ................ 147,300 1,868,869
TVX Gold, Inc.* .................. 260,900 880,538
----------
11,848,400
----------
RAILROADS -- 1.1%
Burlington Northern Santa Fe
Corp. .......................... 13,700 1,273,244
----------
</TABLE>
99
<PAGE> 101
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
REAL ESTATE -- 4.7%
AMB Property Corp. [REIT] ........ 14,893 $ 374,187
Apartment Investment & Management
Co. Cl-A [REIT] ................ 23,700 870,975
Boston Properties, Inc. [REIT] ... 8,600 284,338
Camden Property Trust [REIT] ..... 13,100 406,100
Catellus Development Corp.* ...... 26,500 530,000
Equity Office Properties Trust
[REIT] ......................... 25,735 812,261
Security Capital Group, Inc.
Warrants* ...................... 1,804 9,471
Security Capital Pacific Trust
[REIT] ......................... 34,285 831,411
The Rouse Co. [REIT] ............. 13,200 432,300
United Dominion Realty Trust
[REIT] ......................... 50,000 696,875
------------
5,247,918
------------
TOTAL COMMON STOCK
(COST $83,111,614).................. 89,910,348
------------
PREFERRED STOCK -- 0.3%
OIL & GAS
Cross Timbers Oil Co. $1.5625 Cl-A
[CVT]
(COST $225,345)................. 9,890 369,639
------------
FOREIGN STOCK -- 13.6%
DIVERSIFIED METALS -- 2.7%
English China Clays
PLC -- (GBP) ................... 181,000 801,135
Lonrho PLC -- (GBP) .............. 1,464,035 2,240,317
------------
3,041,452
------------
HOTELS & MOTELS -- 0.4%
Sun International
Ltd. -- (ZAR) .................. 1,150,000 472,633
------------
METALS & MINING -- 2.4%
Anglo American Platinum Corp.
Ltd. -- (ZAR) .................. 50,139 669,708
AVMIN Ltd. -- (ZAR) .............. 240,000 288,512
Oryx Gold Holdings
Ltd. -- (ZAR)* ................. 1,450,000 953,487
Rio Tinto PLC -- (GBP) ........... 63,000 776,421
------------
2,688,128
------------
NON-FERROUS METALS -- 0.2%
Bougainville Copper
Ltd. -- (AUD)* ................. 882,542 270,267
------------
PAPER & FOREST PRODUCTS -- 0.7%
Macmillan Bloedel
Ltd. -- (CAD) .................. 72,000 747,159
------------
PETROLEUM EXPLORATION &
PRODUCTION -- 0.7%
Berkley Petroleum
Corp. -- (CAD)* ................ 20,100 210,689
Northstar Energy
Corp. -- (CAD)* ................ 78,000 547,791
------------
758,480
------------
SHARES VALUE
--------- ------------
PRECIOUS METALS -- 5.7%
Banro Resources
Corp. -- (CAD)* ................ 70,000 $ 256,810
Banro Resources Corp. Special --
(CAD)* ......................... 91,630 384,846
Banro Resources Corp. Special
Warrants -- (CAD)* ............. 45,815 0
Delta Gold NL -- (AUD) ........... 850,000 894,993
Gold Fields of South Africa
Ltd. -- (ZAR) .................. 3,800 58,175
Goldfields Ltd. -- (AUD) ......... 665,000 511,285
Impala Platinum Holdings Ltd. --
(ZAR) .......................... 94,900 906,809
Normandy Mining Ltd. -- (AUD) .... 458,658 445,282
Prime Resources Group, Inc. --
(CAD) .......................... 358,000 2,376,626
Samax 144A -- (CAD)* ............. 193,500 574,678
War Eagle Mining Co., Inc.
Warrants -- (CAD)* ............. 59,000 0
------------
6,409,504
------------
REAL ESTATE -- 0.8%
Security Capital U.S. Realty
[REIT] -- (NLG)* ............... 60,000 852,000
------------
TOTAL FOREIGN STOCK
(COST $19,480,116).................. 15,239,623
------------
PAR
MATURITY (000)
-------- ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.4%
Federal Home Loan
Mortgage Corp.
4.75%
(COST $1,499,802)...... 01/02/98 $1,500 1,499,802
------------
COMMERCIAL PAPER -- 3.1%
Procter & Gamble Co.
5.90%
(COST $3,491,396)........ 01/16/98 3,500 3,491,396
------------
SHARES
---------
SHORT-TERM INVESTMENTS -- 1.0%
Temporary Investment Cash Fund
(COST $1,082,331)..................1,082,331 1,082,331
------------
TOTAL INVESTMENTS -- 99.7%
(COST $108,890,604)........................... 111,593,139
OTHER ASSETS LESS LIABILITIES -- 0.3%........... 360,920
------------
NET ASSETS -- 100.0%............................ $111,954,059
============
</TABLE>
100
<PAGE> 102
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 1.7% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
101
<PAGE> 103
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 18.8%
FINANCIAL SERVICES -- 1.6%
Salomon, Inc Sr. Notes
7.00%.................. 01/20/98 $ 2,650 $ 2,650,954
9.375%................. 04/15/98 2,000 2,018,400
-------------
4,669,354
-------------
FOOD -- 4.7%
RJR Nabisco Inc. Notes
7.625%................. 09/15/03 5,000 5,110,600
8.625%................. 12/01/02 8,000 8,516,720
-------------
13,627,320
-------------
INDUSTRIAL PRODUCTS -- 4.7%
Chesapeake Energy Corp.
Sr. Notes
12.00%................. 03/01/01 8,000 8,460,000
Imperial Chemical, Inc.
Notes
6.00% [VR]............. 03/05/98 5,000 5,004,810
-------------
13,464,810
-------------
TELECOMMUNICATIONS -- 1.7%
TCI Communications, Inc.
Sr. Notes
6.355% [FRN]........... 09/11/00 5,000 5,008,950
-------------
UTILITIES -- 6.1%
Connecticut Light & Power
7.25%.................. 07/01/99 6,000 6,001,260
Long Island Lighting Co.
8.50%.................. 05/15/06 5,000 5,371,800
9.75%.................. 05/01/21 1,000 1,015,850
9.625%................. 07/01/24 5,000 5,156,250
-------------
17,545,160
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $53,802,909)................... 54,315,594
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 78.2%
FEDERAL HOME LOAN MORTGAGE CORP. -- 12.0%
5.95%.................. 06/19/98 10,000 10,013,899
8.50%.................. 01/01/25 19,690 20,551,363
8.75%.................. 10/01/01 2,158 2,215,475
6.50% [TBA]............ 01/14/28 1,500 1,482,660
6.50% [TBA]............ 02/12/28 500 493,905
-------------
34,757,302
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 32.3%
5.84%................. 06/19/98 5,000 5,003,965
6.334% [VR]........... 03/01/17 2,379 2,383,901
6.907%................ 05/01/25 1,460 1,491,467
7.50%.......... 01/25/22-05/01/24 67,749 69,679,011
7.694% [VR]........... 01/01/25 475 487,045
8.00%................. 11/25/23 4,189 4,353,870
6.50% [TBA]........... 01/14/28 10,000 9,875,000
-------------
93,274,259
-------------
PAR
MATURITY (000) VALUE
-------- ------- -----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 30.4%
6.00%................. 11/20/26 $25,225 $25,824,347
6.50%................. 01/20/26 8,590 8,772,820
7.00%.......... 01/15/24-08/15/25 2,634 2,657,162
7.00% [VR]............ 07/20/17 286 292,830
7.00% [VR]............ 08/20/17 373 381,999
7.00% [VR]............ 09/20/17 313 321,775
7.00% [VR]............ 03/20/24 5,991 6,124,922
7.00% [VR]............ 07/20/24 368 376,947
7.375% [VR]........... 05/20/24 2,957 3,038,597
8.00%.......... 01/15/25-11/15/25 8,799 9,128,899
7.50% [TBA]........... 01/22/28 20,000 20,487,600
8.00% [TBA]........... 01/22/28 10,000 10,365,600
-------------
87,773,498
-------------
STUDENT LOAN MARKETING ASSOCIATION -- 3.5%
6.00%.................. 06/30/98 10,000 10,017,699
-------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $224,126,411).................. 225,822,758
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.9%
Merrill Lynch Mtge.
Investors, Inc. Cl-B
7.332% [VR]............ 06/15/21 1,096 1,125,023
Resolution Trust Corp.
7.50% [VR]............. 07/25/28 10,000 10,194,176
-------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS
(COST $11,261,427)................... 11,319,199
-------------
U.S. TREASURY OBLIGATIONS -- 3.5%
U.S. TREASURY
BILLS -- 0.0%
5.02% #................ 02/05/98 10 9,952
5.14% #................ 03/12/98 15 14,852
-------------
24,804
-------------
U.S. TREASURY
NOTES -- 3.5%
5.625%................. 12/31/02 10,000 9,963,399
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $9,999,014).................... 9,988,203
-------------
SOVEREIGN ISSUES -- 2.1%
Republic of Argentina
[FRB, BRB]
6.688%................. 03/31/05 4,800 4,296,600
Republic of Argentina
Bote 10 [FRN, PIK]
5.719%................. 04/01/00 1,994 1,888,014
-------------
TOTAL SOVEREIGN ISSUES
(COST $5,808,881).................... 6,184,614
-------------
</TABLE>
102
<PAGE> 104
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
FOREIGN BONDS -- 2.0%
New Zealand Government
10.00%
(COST $6,187,247)...... 03/15/02 8,900 $ 5,659,577
-------------
PAR
(000)
--------
CERTIFICATES OF DEPOSIT -- 3.5%
Landesbank Hessen
Thueringer
5.93%
(COST $9,995,127)...... 06/30/98 $10,000 10,002,110
-------------
COMMERCIAL PAPER -- 6.4%
International Business
Machines Corp.
5.82%.................. 01/16/98 1,100 1,097,332
Ford Motor Credit Corp.
5.68%.................. 01/06/98 1,500 1,498,817
General Electric Capital
Corp.
5.60%.................. 01/14/98 1,600 1,596,844
KFW International
Financial Corp.
5.89%.................. 01/09/98 3,500 3,495,419
National Rural Utility
Corp.
5.54%.................. 01/05/98 1,000 999,380
5.54%.................. 01/12/98 1,000 998,267
New Center Asset Trust
5.56%.................. 01/14/98 1,400 1,397,224
5.56%.................. 01/21/98 5,200 5,184,138
Procter & Gamble Co.
5.83%.................. 01/16/98 1,300 1,296,842
6.04%.................. 01/26/98 900 896,225
-------------
TOTAL COMMERCIAL PAPER
(COST $18,460,217)................... 18,460,488
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.2%
Temporary Investment Cash Fund... 245,384 $ 245,384
Temporary Investment Fund........ 245,383 245,383
------------
(COST $490,767).................. 490,767
------------
TOTAL INVESTMENTS -- 118.6%
(COST $340,132,000)................ 342,243,310
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (18.6%).................. (53,600,863)
------------
NET ASSETS -- 100.0%................. $288,642,447
============
</TABLE>
# Securities with an aggregate market value of $24,804 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at December 31, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury 10 Year
Note 03/98 2,000 $ 5,000
======== =============
</TABLE>
Interest rate swap agreement outstanding at December 31, 1997:
<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 Note
with a spread of: 36.50 06/02 7,000 $ 30,344
======== =============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
103
<PAGE> 105
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 96.3%
BUSINESS SERVICES -- 0.5%
Robert Half International,
Inc.* .......................... 30,200 $ 1,208,000
------------
COMPUTER HARDWARE -- 11.3%
Adaptec, Inc.* ................... 121,100 4,495,838
Bay Networks, Inc.* .............. 160,700 4,107,894
Compaq Computer Corp.* ........... 137,320 7,749,997
Dell Computer Corp.* ............. 89,600 7,526,400
EMC Corp.* ....................... 101,700 2,790,394
------------
26,670,523
------------
COMPUTER SERVICES & SOFTWARE -- 7.6%
BMC Software, Inc.* .............. 75,200 4,935,000
Cadence Design Systems, Inc.* .... 193,900 4,750,550
CompUSA, Inc.* ................... 266,752 8,269,312
------------
17,954,862
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 14.5%
Applied Materials, Inc.* ......... 203,700 6,136,462
Inacom Corp.* .................... 146,100 4,099,931
KLA-Tencor Corp.* ................ 121,100 4,677,487
Novellus System, Inc.* ........... 121,100 3,913,044
Sony Corp. [ADR] ................. 40,300 3,657,225
Tech Data Corp.* ................. 105,400 4,097,425
Teradyne, Inc.* .................. 169,700 5,430,400
VLSI Technology, Inc.* ........... 91,300 2,156,962
------------
34,168,936
------------
FINANCIAL-BANK & TRUST -- 6.0%
Chase Manhattan Corp. ............ 44,300 4,850,850
Citicorp ......................... 44,300 5,601,181
Northern Trust Corp. ............. 52,300 3,647,925
------------
14,099,956
------------
FINANCIAL SERVICES -- 12.5%
Ahmanson, (H.F.) & Co. ........... 95,200 6,372,450
Franklin Resources, Inc. ......... 40,800 3,547,050
Household International, Inc. .... 39,500 5,038,719
Merrill Lynch & Co., Inc. ........ 97,076 7,080,481
Schwab, (Charles) Corp. .......... 88,700 3,719,856
SunAmerica, Inc. ................. 88,750 3,794,062
------------
29,552,618
------------
FOOD -- 1.6%
Safeway, Inc.* ................... 59,500 3,763,375
------------
HEALTHCARE SERVICES -- 4.9%
Concentra Managed Care, Inc.* .... 81,800 2,760,750
Healthcare Compare Corp.* ........ 88,100 4,504,112
United Healthcare Corp. .......... 86,600 4,302,937
------------
11,567,799
------------
INSURANCE -- 2.9%
The Equitable Companies, Inc. .... 45,500 2,263,625
Travelers Group, Inc. ............ 86,050 4,635,944
------------
6,899,569
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 3.1%
HBO & Co. ........................ 150,400 $ 7,219,200
------------
OFFICE EQUIPMENT -- 1.1%
Staples, Inc.* ................... 89,500 2,483,625
------------
PHARMACEUTICALS -- 9.2%
Bristol-Meyers Squibb Co. ........ 29,100 2,753,587
Cardinal Health, Inc. ............ 59,100 4,439,887
Lilly, (Eli) & Co. ............... 46,500 3,237,563
McKesson Corp. ................... 63,600 6,880,725
Pfizer, Inc. ..................... 59,100 4,406,644
------------
21,718,406
------------
RETAIL & MERCHANDISING -- 13.4%
Costco Companies, Inc.* .......... 91,000 4,060,875
CVS Corp. ........................ 77,200 4,945,625
Dayton-Hudson Corp. .............. 69,700 4,704,750
Gap, Inc. ........................ 113,650 4,027,472
General Nutrition Companies,
Inc.* .......................... 60,400 2,053,600
Nordstrom, Inc. .................. 86,000 5,192,250
Starbucks Corp. .................. 88,800 3,407,700
Walgreen Co. ..................... 103,900 3,259,863
------------
31,652,135
------------
SEMICONDUCTORS -- 0.8%
National Semiconductor Corp.* .... 74,500 1,932,344
------------
TELECOMMUNICATIONS -- 2.7%
Lucent Technologies, Inc. ........ 45,500 3,634,313
Northern Telecom Ltd. ............ 30,600 2,723,400
------------
6,357,713
------------
TRANSPORTATION -- 4.2%
CNF Transportation, Inc. ......... 98,000 3,760,750
Federal Express Corp.* ........... 38,400 2,344,800
Swift Transportation Co., Inc. ... 23,100 747,863
USFreightways Corp. .............. 50,000 1,625,000
Werner Enterprises, Inc. ......... 30,100 617,050
Yellow Corp. ..................... 30,100 756,263
------------
9,851,726
------------
TOTAL COMMON STOCK
(COST $218,581,896)................. 227,100,787
------------
</TABLE>
104
<PAGE> 106
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 2.9%
Temporary Investment Cash Fund ... 3,376,869 $ 3,376,869
Temporary Investment Fund ........ 3,376,869 3,376,869
------------
(COST $6,753,738)................. 6,753,738
------------
TOTAL INVESTMENTS -- 99.2%
(COST $225,335,634)................. 233,854,525
OTHER ASSETS LESS
LIABILITIES -- 0.8%................. 1,793,174
------------
NET ASSETS -- 100.0%.................. $235,647,699
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
105
<PAGE> 107
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FOREIGN STOCK -- 87.9%
ARGENTINA -- 1.0%
Banco Rio de La Plata SA* ....... 9,650 $ 135,100
Nortel Inversora [ADR]* ......... 38,625 984,938
Telecom Argentina Stet SA
Cl-B [ADR] .................... 11,550 412,912
Telefonica de Argentina SA
Cl-B [ADR] .................... 6,400 238,400
YPF SA [ADR] .................... 23,000 786,313
----------
2,557,663
----------
AUSTRIA -- 0.6%
Erste Bank Der Oesterreichischen
Sparkassen AG 144A* ........... 30,133 1,499,404
----------
BRAZIL -- 0.9%
Companhia Energetica de Minas
Geras [ADR] ................... 3,125 135,778
Companhia Paranaense de Energia-
Copel ......................... 69,900 956,756
Ericsson Telecomunicacoes SA .... 20,540,000 658,888
Petroleo Brasileiro SA .......... 580,000 135,643
Unibanco Holdings SA Sponsored
[GDR]* ........................ 9,275 298,539
----------
2,185,604
----------
CHILE -- 0.1%
Quinenco SA [ADR]* .............. 23,800 273,700
----------
DENMARK -- 1.3%
BG Bank AS ...................... 5,686 382,820
BG Bank AS 144A* ................ 12,772 859,897
SAS Danmark AS .................. 24,525 358,175
Sophus Berendsen AS ............. 7,601 1,254,399
Unidanmark AS Cl-A .............. 5,663 416,007
----------
3,271,298
----------
FINLAND -- 4.1%
Amer Group Ltd.* ................ 14,866 285,282
Merita Ltd. Cl-A................. 251,062 1,373,919
Metra Oy Cl-B ................... 4,193 98,560
Nokia AB Cl-A ................... 32,112 2,282,139
Nokia Corp. Cl-A [ADR] .......... 11,950 836,500
Pohjola Insurance Co. ........... 61,232 2,271,400
Raision Tehtaat Oy .............. 11,179 1,328,223
Sampo Insurance Co. Ltd. ........ 63,296 2,057,375
----------
10,533,398
----------
FRANCE -- 10.8%
Alcatel Alsthom ................. 2,414 306,974
Assurances Generales de
France ........................ 6,299 333,909
Axime* .......................... 4,952 638,770
Banque Nationale de Paris ....... 13,700 728,513
Cap Gemini SA ................... 15,331 1,257,650
Compagnie Francaise d'Etudes et
de Construction Technip ....... 5,405 570,521
Credit Commercial de France ..... 10,904 747,674
Credit Local de France .......... 10,155 1,176,562
Dassault Systemes SA [ADR] ...... 1,750 54,031
GrandVision 144A* ............... 23,024 947,619
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
GrandVision* .................... 12,492 $ 514,144
Groupe Danone ................... 4,480 800,551
Groupe Danone [ADR].............. 125,775 4,496,456
Lagardere S.C.A. ................ 8,365 276,708
Michelin C.G.D.E. Cl-B .......... 28,403 1,430,570
Renault SA* ..................... 67,657 1,904,022
Rhone-Poulenc ................... 26,034 1,166,710
Societe Generale ................ 2,013 274,385
Societe Nationale Elf Aquitaine
SA ............................ 37,009 4,306,334
Suez Lyonnaise des Eaux ......... 16,102 1,782,610
Total SA Cl-B ................... 35,552 3,870,861
Union des Assurances
Federales ..................... 340 44,649
----------
27,630,223
----------
GERMANY -- 5.9%
Adidas AG ....................... 4,214 557,792
Allianz AG ...................... 2,478 639,470
AMB Aachener & Muenchener
Beteiligungs AG ............... 11,785 1,297,763
Bankgesellschaft Berlin AG ...... 25,780 566,344
Bayerische Vereinsbank AG ....... 44,412 2,865,227
Deutsche Bank AG ................ 39,815 2,785,659
Deutsche Lufthansa AG ........... 33,533 630,362
Deutsche Lufthansa AG 144A ...... 48,330 908,519
Deutsche Pfandbrief &
Hypothekenbank AG ............. 26,600 1,575,549
Fresenius Medical Care AG
[ADR]* ........................ 4,175 90,806
Muenchener Rueckversicherung
AG ............................ 1,354 515,081
Pfeiffer Vacuum Technology AG
[ADR]* ........................ 80,525 2,259,733
Siemens AG ...................... 4,533 273,537
----------
14,965,842
----------
HONG KONG -- 0.6%
China Telecom Ltd. 144A ......... 164,000 281,508
Citic Pacific Ltd. .............. 67,000 266,330
First Pacific Co. Ltd. .......... 1,184,860 573,447
Hutchison Whampoa Ltd. .......... 26,000 163,082
Swire Pacific Ltd. Cl-A ......... 57,000 312,650
----------
1,597,017
----------
IRELAND -- 0.6%
Ryanair Holdings PLC [ADR]* ..... 59,675 1,499,334
----------
ITALY -- 3.4%
Aeroporti di Roma SPA 144A* ..... 197,886 2,053,855
Assicurazioni Generali .......... 104,638 2,571,567
Banca Commerciale Italia NA ..... 830,689 2,889,563
Credito Italiano SPA ............ 163,293 503,826
Telecom Italia SPA .............. 103,609 662,208
----------
8,681,019
----------
JAPAN -- 8.2%
Bridgestone Corp. ............... 33,130 721,098
Fujitsu Ltd. .................... 32,000 344,559
Hitachi Ltd. .................... 65,000 464,925
Kita Kyushu Coca-Cola
Bottling ...................... 33,550 639,927
Matsushita Electric Works
Ltd. .......................... 26,000 225,963
</TABLE>
106
<PAGE> 108
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Mitsubishi Estate Co. Ltd. ...... 93,000 $ 1,015,681
Mitsui Fudosan Co. Ltd. ......... 13,000 125,980
Nippon Denso Corp. .............. 16,000 289,184
Nippon Telegraph & Telephone
Corp. ......................... 674 5,805,827
NTT Data Corp. .................. 38 2,054,590
Rohm Co. ........................ 12,000 1,227,493
Ryohin Keikaku Co. Ltd. ......... 2,000 132,286
Sony Corp. ...................... 64,000 5,709,843
Takeda Chemical Industries ...... 61,000 1,745,255
Tokyo Electron Ltd. ............. 17,000 546,527
----------
21,049,138
----------
MEXICO -- 0.9%
Cifra V* ........................ 68,818 169,019
Fomento Economico Mexicano SA
Cl-B .......................... 65,000 519,238
Grupo Carso SA de CV ............ 21,100 140,548
Grupo Casa Autrey SA de CV
[ADR] ......................... 14,075 287,658
Grupo Televisa SA [GDR]* ........ 17,250 667,359
Kimberly-Clark de Mexico SA
Cl-A .......................... 82,800 392,339
----------
2,176,161
----------
NETHERLANDS -- 10.9%
AKZO Nobel NV ................... 27,105 4,674,313
ASM Lithography Holding NV* ..... 4,900 330,750
Elsevier NV ..................... 165,899 2,684,198
Getronics NV .................... 79,541 2,534,665
KLM Royal Dutch Airlines NV ..... 41,745 1,544,410
Koninklijke Ahrend Groep NV ..... 40,990 1,287,995
Koninklijke Nutricia Verenigde
Bedrijven NV .................. 8,595 260,746
Philips Electronics NV .......... 62,915 3,773,851
Philips Electronics NV [ADR] .... 70,179 4,245,830
Simac Techniek NV ............... 3,252 378,582
Vedior NV 144A .................. 6,516 117,320
Wolters Kluwer NV ............... 45,872 5,926,252
----------
27,758,912
----------
NORWAY -- 1.0%
Ekornes ASA ..................... 19,206 157,614
Merkantildata ASA ............... 13,549 466,815
Petroleum Geo-Services [ADR]* ... 19,975 1,293,381
SAS Norge ASA Cl-B .............. 26,266 366,973
Tomra Systems ASA ............... 17,824 398,926
----------
2,683,709
----------
PERU -- 0.2%
Millicom International Cellular
SA* ........................... 3,225 121,341
Telefonica del Peru SA
Cl-B [ADR] .................... 17,000 396,313
----------
517,654
----------
PORTUGAL -- 1.1%
Brisa-Auto Estradas de Portugal
SA* ........................... 79,700 2,858,189
----------
SHARES VALUE
---------- ------------
RUSSIA -- 0.2%
Lukoil Holding [ADR] ............ 4,450 $ 408,621
Mosenergo [ADR] 144A* ........... 1,650 62,700
Unified Energy Systems [GDR]* ... 4,680 140,400
----------
611,721
----------
SOUTH AFRICA -- 0.3%
Dimension Data Holdings Ltd.
144A* ......................... 203,297 877,298
----------
SPAIN -- 0.3%
Tele Pizza SA* .................. 9,277 748,659
----------
SWEDEN -- 8.0%
Assa Abloy AB Cl-B .............. 69,858 1,848,943
Electrolux AB Cl-B .............. 89,117 6,188,712
Ericsson, (L.M.) Telephone Co.
[ADR] ......................... 17,088 637,596
Ericsson, (L.M.) Telephone Co.
Cl-B .......................... 45,022 1,693,781
Investor AB ..................... 18,763 915,169
Medical Invest Svenska AB* ...... 10,572 353,095
Munters AB 144A* ................ 61,603 531,839
Prosolvia AB Cl-B 144A* ......... 9,200 367,566
SAS Sverige AB .................. 29,019 420,599
Securitas AB .................... 213,323 6,452,634
Skandinaviska Enskilda Banken ... 78,461 993,821
----------
20,403,755
----------
SWITZERLAND -- 7.5%
Ares-Serono Group ............... 743 1,227,678
Baloise Holding Ltd. ............ 144 266,862
Clariant AG ..................... 129 107,902
Credit Suisse Group ............. 7,618 1,180,397
Kuoni Reisen AG ................. 508 1,906,894
Novartis AG ..................... 1,036 1,683,398
Roche Holding AG ................ 249 2,476,257
Sair Group* ..................... 24 32,909
Schweizerische
Lebensversicherungs-Und
Rentenanstalt ................. 8,256 6,492,497
Union Bank of Switzerland........ 1,533 2,219,805
Zurich
Versicherungs-Gesellschaft .... 3,427 1,635,317
----------
19,229,916
----------
UNITED KINGDOM -- 20.0%
Amvescap PLC .................... 29,237 251,599
Barclays PLC .................... 23,891 636,045
British Petroleum Co. PLC ....... 67,365 886,746
Capita Group PLC ................ 254,217 1,543,498
Compass Group PLC ............... 67,929 831,578
Compass Group PLC 144A .......... 9,626 118,632
Electrocomponents PLC ........... 318,758 2,370,689
Energis PLC ..................... 169,380 707,898
Freepages Group PLC* ............ 202,634 109,194
Hays PLC ........................ 79,014 1,055,687
Imperial Chemical Industries
PLC ........................... 69,994 1,095,258
JBA Holdings PLC ................ 77,893 1,318,189
Lloyds TSB Group PLC ............ 380,572 4,928,180
Logica PLC ...................... 114,457 2,179,909
Misys PLC ....................... 16,581 499,272
</TABLE>
107
<PAGE> 109
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
National Westminster Bank PLC ... 27,398 $ 456,220
Newsquest PLC 144A* ............. 566,132 2,482,504
Pilkington PLC .................. 295,677 622,734
Powerscreen International PLC ... 637,517 6,372,548
Premier Farnell PLC ............. 110,312 799,546
Rentokil Initial PLC ............ 1,395,324 6,084,095
Royal & Sun Alliance Insurance
Group PLC ..................... 139,446 1,406,506
Select Appointments Holdings
PLC ........................... 142,950 2,608,838
SEMA Group PLC .................. 56,654 1,381,975
Siebe PLC ....................... 330,589 6,500,269
Smithkline Beecham PLC [ADR] .... 1,000 51,438
Stagecoach Holdings PLC ......... 35,434 489,167
TI Group PLC .................... 7,571 58,052
Tomkins PLC ..................... 144,103 689,987
Victrex PLC ..................... 27,849 105,851
Virgin Express Holdings PLC
[ADR]* ........................ 31,100 629,775
Wetherspoon, (J.D.) PLC ......... 2,490 13,725
Williams PLC .................... 323,330 1,798,199
----------
51,083,803
----------
TOTAL FOREIGN STOCK
(COST $210,319,143)................ 224,693,417
----------
COMMON STOCK -- 3.6%
CHEMICALS -- 0.1%
Monsanto Co. .................... 3,250 136,500
Solutia, Inc. ................... 650 17,347
----------
153,847
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.9%
Texas Instruments, Inc. ......... 53,700 2,416,500
----------
FINANCIAL SERVICES -- 0.1%
Romanian Investment Fund** ...... 163 150,775
----------
OIL & GAS -- 1.7%
Schlumberger Ltd. ............... 52,125 4,196,063
Transocean Offshore, Inc. ....... 7,200 346,950
----------
4,543,013
----------
SHARES VALUE
---------- ------------
PHARMACEUTICALS -- 0.1%
Bristol-Meyers Squibb Co. ....... 2,600 $ 246,025
----------
TELECOMMUNICATIONS -- 0.7%
Northern Telecom Ltd. ........... 19,250 1,713,250
----------
TOTAL COMMON STOCK
(COST $9,602,095).................. 9,223,410
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000)
-------- ---------
<S> <C> <C> <C>
FOREIGN BONDS -- 0.2%
JAPAN
STB Cayman Capital Ltd.
144A
0.50%
(COST $650,421)........ 10/01/07 75,000 428,430
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
---------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.9%
Federal Mortgage Corp.
Disc. Notes
5.70%
(COST $9,998,417)...... 01/02/98 $ 10,000 9,998,417
-------------
COMMERCIAL PAPER -- 4.3%
General Electric Capital
Services, Inc.
6.70%
(COST $11,097,936)..... 01/02/98 11,100 11,097,936
-------------
TOTAL INVESTMENTS -- 99.9%
(COST $241,668,012).................. 255,441,610
OTHER ASSETS LESS
LIABILITIES -- 0.1%.................. 263,514
-------------
NET ASSETS -- 100.0%................... $ 255,705,124
=============
</TABLE>
108
<PAGE> 110
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
2/98 Buy CHF 4,000,000 $ 2,889,088 $ 2,759,725 $ (129,363)
2/98 Buy DEM 6,575,000 3,824,600 3,665,234 (159,366)
1/98 Buy FRF 14,257,261 2,484,753 2,372,025 (112,728)
2/98 Buy FRF 10,000,000 1,746,533 1,667,303 (79,230)
4/98 Buy FRF 6,000,000 1,051,814 1,004,386 (47,428)
2/98 Buy GBP 4,500,000 7,486,830 7,381,163 (105,667)
1/98 Buy JPY 125,861,393 967,554 968,717 1,163
3/98 Buy JPY 320,000,000 2,683,524 2,488,942 (194,582)
1/98 Buy NLG 625,000 322,639 308,436 (14,203)
2/98 Buy NLG 7,950,000 4,056,605 3,930,596 (126,009)
4/98 Buy NLG 3,250,000 1,666,667 1,611,935 (54,732)
1/98 Buy SEK 2,022,304 259,117 254,897 (4,220)
----------- ----------- ============
$29,439,724 $28,413,359 $ (1,026,365)
=========== =========== ============
</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>
1/98 Sell CHF 1,009,714 $ 695,498 $ 692,918 $ 2,580
2/98 Sell CHF 6,990,000 4,884,062 4,822,949 61,113
1/98 Sell DEM 1,333,698 751,167 741,903 9,264
2/98 Sell DEM 7,392,500 4,098,846 4,121,185 (22,339)
3/98 Sell DEM 1,675,000 976,107 934,559 41,548
1/98 Sell FRF 16,100,059 2,678,522 2,679,209 (687)
2/98 Sell FRF 18,750,000 3,151,715 3,127,374 24,341
3/98 Sell FRF 1,500,000 257,909 250,698 7,211
4/98 Sell FRF 11,000,000 1,880,760 1,841,374 39,386
1/98 Sell GBP 9,284 15,474 15,274 200
2/98 Sell GBP 10,935,000 17,657,003 17,933,164 (276,161)
1/98 Sell JPY 20,000,000 176,991 154,024 22,967
2/98 Sell JPY 255,000,000 2,149,643 1,975,673 173,970
3/98 Sell JPY 726,200,000 6,269,486 5,648,343 621,143
4/98 Sell JPY 653,000,000 5,130,981 5,106,563 24,418
1/98 Sell NLG 625,000 313,362 308,436 4,926
2/98 Sell NLG 9,975,000 4,939,231 4,932,040 7,191
4/98 Sell NLG 6,500,000 3,311,427 3,223,871 87,556
1/98 Sell SEK 2,213,557 283,689 279,004 4,685
2/98 Sell SEK 13,000,000 1,723,224 1,639,865 83,359
10/98 Sell ZAR 1,750,000 346,741 359,612 (12,871)
----------- ----------- ----------
$61,691,838 $60,788,038 $ 903,800
=========== =========== ==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
** Closed-end funds.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 4.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
109
<PAGE> 111
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 93.2%
AEROSPACE -- 2.8%
Boeing Co. ........................ 26,825 $ 1,312,748
General Motors Corp. Cl-H ......... 15,420 569,577
Northrop Grumman Corp. ............ 8,170 939,550
Raytheon Co. Cl-A ................. 9,050 446,294
----------
3,268,169
----------
AIRLINES -- 0.9%
Delta Air Lines, Inc. ............. 8,673 1,032,087
----------
AUTOMOBILE MANUFACTURERS -- 0.5%
Chrysler Corp. .................... 16,070 565,463
----------
AUTOMOTIVE PARTS -- 4.0%
Dana Corp. ........................ 27,836 1,322,210
Eaton Corp. ....................... 9,343 833,863
Goodyear Tire & Rubber Co. ........ 23,845 1,517,138
TRW, Inc. ......................... 18,483 986,530
----------
4,659,741
----------
BEVERAGES -- 0.9%
PepsiCo, Inc. ..................... 30,245 1,102,052
----------
BUILDING MATERIALS -- 1.5%
Lowe's Companies, Inc. ............ 23,594 1,125,139
Masco Corp. ....................... 13,524 688,033
----------
1,813,172
----------
CHEMICALS -- 2.5%
Dupont, (E.I.) de Nemours & Co. ... 17,143 1,029,651
Eastman Chemical Co. .............. 16,638 991,001
Witco Corp. ....................... 21,810 890,121
----------
2,910,773
----------
COMPUTER HARDWARE -- 3.7%
Hewlett-Packard Co. ............... 30,856 1,928,500
International Business Machines
Corp. ........................... 18,665 1,951,659
Seagate Technology, Inc.* ......... 25,445 489,816
----------
4,369,975
----------
COMPUTER SERVICES & SOFTWARE -- 2.0%
Computer Associates International,
Inc. ............................ 31,710 1,676,666
NCR Corp.* ........................ 24,130 671,116
----------
2,347,782
----------
CONGLOMERATES -- 3.3%
Minnesota Mining & Manufacturing
Co. ............................. 12,503 1,026,027
Philip Morris Companies, Inc. ..... 33,954 1,538,541
Tenneco, Inc. ..................... 33,680 1,330,360
----------
3,894,928
----------
CONSUMER PRODUCTS & SERVICES -- 3.4%
Clorox Co. ........................ 9,090 718,678
Colgate-Palmolive Co. ............. 1,500 110,250
Eastman Kodak Co. ................. 22,635 1,376,491
RJR Nabisco Holdings Corp. ........ 23,480 880,500
Whitman Corp. ..................... 33,450 871,791
----------
3,957,710
----------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
CONTAINERS & PACKAGING -- 1.7%
Owens-Illinois, Inc.* ............. 44,105 $ 1,673,233
Temple-Inland, Inc. ............... 6,678 349,343
----------
2,022,576
----------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 3.2%
Emerson Electric Co. .............. 19,810 1,118,027
Polaroid Corp. .................... 24,924 1,213,487
Texas Instruments, Inc. ........... 31,620 1,422,900
----------
3,754,414
----------
ENVIRONMENTAL SERVICES -- 0.9%
Browning-Ferris Industries,
Inc. ............................ 29,195 1,080,215
----------
FINANCIAL-BANK & TRUST -- 10.5%
Banc One Corp. .................... 19,021 1,033,078
BankBoston Corp. .................. 6,550 615,291
Bankers Trust New York Corp. ...... 10,280 1,155,858
Crestar Financial Corp. ........... 700 39,900
First Chicago NBD Corp. ........... 11,685 975,698
First Tennessee National Corp. .... 5,451 363,854
Mercantile Bancorporation, Inc. ... 9,777 601,286
Morgan, (J.P.) & Co., Inc. ........ 10,238 1,155,614
National City Corp. ............... 8,670 570,053
PNC Bank Corp. .................... 44,725 2,552,120
Regions Financial Corp. ........... 11,836 499,331
Summit Bancorp .................... 11,100 591,075
Suntrust Banks, Inc. .............. 6,740 481,068
Union Planters Corp. .............. 10,521 714,770
Wells Fargo & Co. ................. 2,860 970,791
----------
12,319,787
----------
FINANCIAL SERVICES -- 1.3%
Ahmanson, (H.F.) & Co. ............ 4,383 293,387
Beneficial Corp. .................. 7,979 663,254
Washington Mutual, Inc. ........... 8,260 527,091
----------
1,483,732
----------
FOOD -- 4.9%
General Mills, Inc. ............... 21,731 1,556,483
Heinz, (H.J.) Co. ................. 22,705 1,153,698
Quaker Oats Co. ................... 23,905 1,260,989
Ralston Purina Group .............. 7,850 729,559
Sara Lee Corp. .................... 18,768 1,056,873
----------
5,757,602
----------
HOTELS & MOTELS -- 0.7%
ITT Corp.* ........................ 10,700 886,763
----------
INSURANCE -- 3.2%
American General Corp. ............ 23,360 1,262,900
AON Corp. ......................... 20,519 1,202,926
CIGNA Corp. ....................... 5,962 1,031,799
USF&G Corp. ....................... 11,859 261,639
----------
3,759,264
----------
MACHINERY & EQUIPMENT -- 2.3%
Caterpillar, Inc. ................. 18,875 916,617
Cooper Industries, Inc. ........... 20,190 989,310
Deere & Co. ....................... 13,380 780,221
----------
2,686,148
----------
</TABLE>
110
<PAGE> 112
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 2.5%
Baxter International, Inc. ........ 30,957 $ 1,561,394
Johnson & Johnson Co. ............. 20,725 1,365,259
----------
2,926,653
----------
OFFICE EQUIPMENT -- 3.1%
Pitney Bowes, Inc. ................ 12,975 1,166,939
Xerox Corp. ....................... 34,082 2,515,678
----------
3,682,617
----------
OIL & GAS -- 10.1%
Amoco Corp. ....................... 14,863 1,265,213
Atlantic Richfield Co. ............ 14,721 1,179,520
British Petroleum Co. PLC [ADR] ... 12,971 1,033,627
Coastal Corp. ..................... 14,816 917,666
Enron Corp. ....................... 8,900 369,906
Exxon Corp. ....................... 17,691 1,082,468
Kerr-McGee Corp. .................. 9,595 607,483
Mobil Corp. ....................... 15,424 1,113,420
Occidental Petroleum Corp. ........ 32,273 946,002
Societe Nationale Elf Aquitaine SA
[ADR] ........................... 28,175 1,651,759
Tosco Corp. ....................... 31,125 1,176,914
YPF Sociedad Anonima [ADR] ........ 15,600 533,325
----------
11,877,303
----------
PAPER & FOREST PRODUCTS -- 2.8%
Boise Cascade Corp. ............... 28,885 873,771
Kimberly-Clark Corp. .............. 35,282 1,739,844
Willamette Industries, Inc. ....... 22,385 720,517
----------
3,334,132
----------
PHARMACEUTICALS -- 7.0%
American Home Products Corp. ...... 20,839 1,594,184
Bristol-Meyers Squibb Co. ......... 18,320 1,733,530
Glaxo Wellcome PLC [ADR] .......... 12,360 591,735
Merck & Co., Inc. ................. 19,045 2,023,531
Pharmacia & Upjohn, Inc. .......... 63,157 2,313,125
----------
8,256,105
----------
PRINTING & PUBLISHING -- 1.1%
McGraw-Hill Co., Inc. ............. 12,415 918,710
Times Mirror Co. Cl-A ............. 6,200 381,300
----------
1,300,010
----------
RAILROADS -- 1.7%
Canadian National Railway Co. ..... 12,408 586,278
Norfolk Southern Corp. ............ 332 10,230
Union Pacific Corp. ............... 22,015 1,374,562
----------
1,971,070
----------
RETAIL & MERCHANDISING -- 2.0%
Kmart Corp.* ...................... 86,000 994,375
Penney, (J.C.) Co., Inc. .......... 600 36,188
Toys 'R' Us, Inc.* ................ 41,375 1,300,727
----------
2,331,290
----------
SHARES VALUE
------- ------------
SEMICONDUCTORS -- 1.5%
Intel Corp. ....................... 24,398 $ 1,713,197
----------
TELECOMMUNICATIONS -- 7.0%
AT&T Corp. ........................ 17,989 1,101,826
Bell Atlantic Corp. ............... 14,185 1,290,835
BellSouth Corp. ................... 24,534 1,381,571
SBC Communications, Inc. .......... 18,937 1,387,135
Sprint Corp. ...................... 31,246 1,831,797
U.S. West Communications Group .... 26,186 1,181,643
----------
8,174,807
----------
TRANSPORTATION -- 0.2%
Ryder Systems, Inc. ............... 5,606 183,597
----------
TOTAL COMMON STOCK
(COST $103,780,576).................. 109,423,134
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.5%
Federal Home Loan Mtge. Corp.
5.72%..................... 01/14/98 $2,000 1,995,869
5.71%..................... 01/20/98 1,000 996,986
------------
(COST $2,992,855)......... 2,992,855
------------
REPURCHASE AGREEMENTS -- 3.5%
UBS Securities Funding,
Inc. 6.45%, dated
12/31/97,
repurchase price
$4,081,462
(Collateralized by U.S.
Treasury Notes, par
value $3,052,000,
market value
$4,168,364 due
02/15/19)
(COST $4,080,000)......... 01/02/98 4,080 4,080,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund ..... 173 173
Temporary Investment Fund .......... 172 172
------------
(COST $345)......................... 345
------------
TOTAL INVESTMENTS -- 99.2%
(COST $110,853,776)................... 116,496,334
OTHER ASSETS LESS LIABILITIES -- 0.8%... 941,982
------------
NET ASSETS -- 100.0%.................... $117,438,316
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
111
<PAGE> 113
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCK -- 56.2%
ADVERTISING -- 2.5%
Outdoor Systems, Inc.* .............. 18,800 $ 721,450
----------
AIRLINES -- 1.2%
Alaska Air Group, Inc.* ............. 3,900 151,125
AMR Corp.* .......................... 1,500 192,750
----------
343,875
----------
BEVERAGES -- 1.8%
Coca-Cola Co. ....................... 7,800 519,675
----------
BROADCASTING -- 2.4%
Clear Channel Communications,
Inc.* ............................. 8,700 691,106
----------
COMPUTER HARDWARE -- 1.6%
Hewlett-Packard Co. ................. 900 56,250
International Business Machines
Corp. ............................. 3,800 397,337
----------
453,587
----------
COMPUTER SERVICES & SOFTWARE -- 4.5%
America Online, Inc.* ............... 2,700 240,806
BMC Software, Inc.* ................. 3,600 236,250
Cisco Systems, Inc.* ................ 6,700 373,525
Compuware Corp.* .................... 10,200 326,400
Sun Microsystems, Inc.* ............. 3,200 127,600
----------
1,304,581
----------
CONGLOMERATES -- 3.3%
Tyco International Ltd. ............. 21,200 955,325
----------
CONSUMER PRODUCTS & SERVICES -- 5.7%
Gillette Co. ........................ 4,800 482,100
Procter & Gamble Co. ................ 9,600 766,200
Sunbeam Oster Corp. ................. 6,600 278,025
U.S. Industries, Inc. ............... 3,850 115,981
----------
1,642,306
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.6%
General Electric Co. ................ 13,600 997,900
SCI Systems, Inc.* .................. 1,400 60,987
----------
1,058,887
----------
ENTERTAINMENT & LEISURE -- 0.6%
Viacom, Inc. Cl-B* .................. 4,300 178,181
----------
ENVIRONMENTAL SERVICES -- 0.5%
USA Waste Services, Inc.* ........... 3,400 133,450
----------
FINANCIAL-BANK & TRUST -- 2.3%
BankAmerica Corp. ................... 4,300 313,900
Charter One Financial, Inc. ......... 3,120 196,950
Citicorp ............................ 1,200 151,725
----------
662,575
----------
FINANCIAL SERVICES -- 4.5%
American Express Co. ................ 2,300 205,275
CIT Group, Inc. Cl-A* ............... 7,300 235,425
Fannie Mae .......................... 2,600 148,362
Morgan Stanley, Dean Witter, Discover
& Co. ............................. 2,400 141,900
SunAmerica, Inc. .................... 13,300 568,575
----------
1,299,537
----------
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
INSURANCE -- 2.6%
American International Group,
Inc. .............................. 1,600 $ 174,000
Conseco, Inc. ....................... 4,800 218,100
Travelers Group, Inc. ............... 6,900 371,737
----------
763,837
----------
MEDICAL SUPPLIES & EQUIPMENT -- 1.3%
Guidant Corp. ....................... 3,200 199,200
Medtronic, Inc. ..................... 3,300 172,631
----------
371,831
----------
OIL & GAS -- 2.6%
Diamond Offshore Drilling, Inc. ..... 1,500 72,188
Falcon Drilling Co., Inc.* .......... 4,200 147,263
Input-Output, Inc.* ................. 17,600 522,500
----------
741,951
----------
PHARMACEUTICALS -- 9.2%
Bristol-Meyers Squibb Co. ........... 6,300 596,138
Cardinal Health, Inc. ............... 2,600 195,325
Lilly, (Eli) & Co. .................. 10,900 758,913
Merck & Co., Inc. ................... 1,000 106,250
Pfizer, Inc. ........................ 7,200 536,850
Warner-Lambert Co. .................. 3,800 471,200
----------
2,664,676
----------
PRINTING & PUBLISHING -- 1.8%
McGraw-Hill Co., Inc. ............... 7,200 532,800
----------
RETAIL & MERCHANDISING -- 0.5%
Pier 1 Imports, Inc. ................ 6,400 144,800
----------
TELECOMMUNICATIONS -- 3.7%
Ameritech Corp. ..................... 600 48,300
Bell Atlantic Corp. ................. 2,300 209,300
Jacor Communications, Inc.* ......... 3,200 170,000
Tele-Communications, Inc., Cl-A* .... 7,757 216,711
WorldCom, Inc.* ..................... 14,500 438,625
----------
1,082,936
----------
TOTAL COMMON STOCK
(COST $14,634,581)..................... 16,267,366
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 4.1%
AEROSPACE -- 0.7%
Lockheed Martin Corp.
Notes
7.25%.................. 05/15/06 $ 200 211,750
-----------
FINANCIAL-BANK & TRUST -- 1.0%
BankAmerica Mfg. Housing
Contract Cl-A5
6.39%.................. 12/10/12 100 100,626
CIT RV Trust Cl-A
6.35%.................. 04/15/11 100 100,588
First Bank System Sub.
Notes
7.625%................. 05/01/05 100 106,750
-----------
307,964
-----------
</TABLE>
112
<PAGE> 114
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------ -----------
<S> <C> <C> <C>
FINANCIAL SERVICES -- 0.4%
General Motors Acceptance
Corp. Notes
7.125%................. 05/01/03 $ 100 $ 103,875
-----------
METALS & MINING -- 0.4%
Barrick Gold Corp. Notes
7.50%.................. 05/01/07 100 105,875
-----------
OIL & GAS -- 0.5%
Enron Corp. Notes
6.625%................. 11/15/05 150 151,688
-----------
RETAIL & MERCHANDISING -- 0.7%
Sears Roebuck Co. Notes
6.25%.................. 01/15/04 200 199,750
-----------
TELECOMMUNICATIONS -- 0.4%
Worldcom, Inc. Notes
7.55%.................. 04/01/04 100 104,875
-----------
TOTAL CORPORATE OBLIGATIONS
(COST $1,155,057).................... 1,185,777
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.0%
FEDERAL HOME LOAN BANK DISC. NOTES -- 9.4%
4.75%................... 01/02/98 2,708 2,707,643
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 2.9%
7.00%................... 02/20/07 150 153,732
7.50%.......... 03/01/27- 07/01/27 675 690,897
----------
844,629
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 2.7%
7.00%................... 12/15/27 300 302,250
8.00%................... 03/15/27 185 191,569
8.75%.......... 01/15/27- 04/15/27 281 298,206
----------
792,025
----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $4,316,450).............................. 4,344,297
----------
U.S. TREASURY OBLIGATIONS -- 22.6%
U.S. Treasury Notes
5.75%.................. 11/30/02 500 500,547
6.25%.................. 02/15/03 1,100 1,125,465
6.25%.................. 01/31/02 650 661,869
6.25%.................. 08/31/02 1,000 1,020,920
5.875%................. 09/30/02 1,000 1,005,840
6.625%................. 05/15/07 2,100 2,223,690
-----------
(COST $6,402,015)................ 6,538,331
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- -------- ----------
<S> <C> <C> <C>
FOREIGN BONDS -- 6.6%
AUSTRALIA -- 0.5%
Queensland Treasury
Corp.
8.00%................. 08/14/01 200 $ 139,693
----------
CANADA -- 0.3%
Canadian Government
6.50%................. 06/01/04 100 73,555
----------
FRANCE -- 0.9%
French O.A.T.
6.75%................. 10/25/03 1,500 272,255
----------
GERMANY -- 1.6%
Deutscheland Republic
6.00%................. 09/15/03 800 468,866
----------
ITALY -- 0.7%
Italian Government
6.75%................. 02/01/07 350,000 214,308
----------
JAPAN -- 1.5%
Japanese Government
4.10%................. 12/22/03 50,000 441,890
----------
SPAIN -- 0.3%
Spanish Government
10.50%................ 10/30/03 10,000 82,370
----------
UNITED KINGDOM -- 0.8%
United Kingdom Treasury
8.00%................. 06/10/03 125 219,818
----------
TOTAL FOREIGN BONDS
(COST $1,909,249)......... 1,912,755
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund ..... 719 719
Temporary Investment Fund .......... 718 718
----------
(COST $1,437)....................... 1,437
----------
TOTAL INVESTMENTS -- 104.5%
(COST $28,418,789).................... 30,249,963
LIABILITIES IN EXCESS OF OTHER ASSETS --
(4.5%)................................ (1,302,849)
----------
NET ASSETS -- 100.0%.................... $28,947,114
==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
113
<PAGE> 115
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
FOREIGN STOCK -- 91.9%
ARGENTINA -- 0.2%
YPF Sociedad Anonima [ADR] ........ 2,300 $ 78,631
----------
AUSTRALIA -- 0.8%
Woodside Petroleum Ltd. ........... 36,400 256,619
----------
AUSTRIA -- 0.6%
VA Technologie AG ................. 1,360 206,190
----------
BRAZIL -- 1.6%
Centrais Eletricas Brasileiras SA-
Electrobras ..................... 2,372,000 117,960
Petroleo Brasileiro
SA-Petrobras .................... 478,900 111,999
Telebras SA [ADR] ................. 2,500 291,094
----------
521,053
----------
CANADA -- 4.2%
Geac Computer Corp. Ltd. .......... 11,400 375,215
Investors Group, Inc. ............. 9,100 287,431
Newbridge Networks Corp. .......... 3,800 132,525
Newcourt Credit Group, Inc.
144A ............................ 9,320 311,639
Newcourt Credit Group, Inc.
Rights* ......................... 2,150 71,065
Northern Telecom Ltd. ............. 1,100 97,738
QLT Phototherapeutics, Inc. ....... 3,900 43,605
Talisman Energy, Inc. ............. 2,200 67,260
----------
1,386,478
----------
DENMARK -- 2.1%
Novo Nordisk A/S Cl-B ............. 4,811 688,569
----------
FINLAND -- 2.0%
Merita Ltd. C1-A................... 40,900 223,822
Raision Tehtaat Oy ................ 1,000 118,814
Sampo Insurance Co. Ltd. .......... 10,200 331,541
----------
674,177
----------
FRANCE -- 10.3%
Accor SA .......................... 2,473 459,999
Alcatel Alsthom ................... 1,169 148,655
AXA SA ............................ 8,407 650,803
Cap Gemini SA ..................... 4,330 355,204
Compagnie Francaise d'Etudes et de
Construction Technip ............ 2,200 232,219
Dassault Systemes SA [ADR]* ....... 5,200 160,550
France Telecom SA [ADR] ........... 3,800 136,800
Groupe Danone ..................... 2,000 357,389
Pinault-Printemps Redoute SA ...... 600 320,253
Rhone-Poulenc ..................... 4,900 219,593
Societe Generale .................. 1,900 258,982
Societe Nationale Elf Aquitaine
SA .............................. 1,000 116,359
----------
3,416,806
----------
GERMANY -- 8.8%
Bayerische Hypotheken-und Wechsel-
Bank AG ......................... 5,300 257,183
Bayerische Vereinsbank AG ......... 3,800 245,156
Berliner Kraft-Und Licht (Bewag)-
Aktiengesellschaft .............. 2,000 59,287
Deutsche Bank AG .................. 4,100 286,857
Deutsche Pfandbrief &
Hypothekenbank AG ............... 6,200 367,233
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
Henkel KGAA ....................... 3,400 $ 189,095
Henkel KGAA Pfd. .................. 2,000 123,245
Mannesmann AG ..................... 950 477,103
SAP AG Pfd. ....................... 500 162,455
Veba AG ........................... 8,000 545,038
Wella Aktiengesellschaft AG
Pfd. ............................ 260 190,874
----------
2,903,526
----------
HONG KONG -- 0.3%
HSBC Holdings PLC ................. 3,000 73,952
Shanghai Industrial Holdings Ltd.
144A ............................ 12,000 44,603
----------
118,555
----------
HUNGARY -- 0.5%
Magyar Tavkozlesi Rt. [ADR]........ 6,000 156,000
----------
IRELAND -- 1.1%
Bank of Ireland ................... 10,000 153,517
CBT Group PLC [ADR] ............... 2,700 221,737
----------
375,254
----------
ISRAEL -- 0.4%
Check Point Software Technologies
Ltd. ............................ 3,400 138,550
----------
ITALY -- 4.3%
Banca Popolare di Bergamo Credito
Varesino SPA .................... 6,900 120,594
Banco Ambrosiano Veneto SPA ....... 32,800 125,598
Banco Ambrosiano Veneto SPA
Rights* ......................... 20,000 85,125
Banco Ambrosiano Veneto SPA
Rights* ......................... 20,000 12,670
Credito Italiano SPA .............. 180,200 555,992
Mondadori, (Arnoldo) Editore
SPA ............................. 22,800 179,254
Telecom Italia SPA ................ 55,000 351,528
----------
1,430,761
----------
JAPAN -- 7.4%
Canon, Inc. ....................... 9,000 210,427
Circle K Japan Co. Ltd. ........... 2,000 96,138
Keyence Corp. ..................... 2,200 326,562
Minebea Co. Ltd. .................. 28,000 301,490
Nintendo Co. Ltd. ................. 800 78,756
NTT Data Corp. .................... 3 162,204
Promise Co. Ltd. .................. 1,600 89,093
Rohm Co. .......................... 1,000 102,291
Shiseido Co. Ltd. ................. 22,000 301,182
Sony Corp. ........................ 5,300 472,846
Takeda Chemical Industries ........ 11,000 314,718
----------
2,455,707
----------
MEXICO -- 1.4%
Desc SA de C.V. [ADR] ............. 1,900 71,250
Grupo Financiero Banamex SA
Cl-B ............................ 35,100 104,928
Grupo Televisia SA [GDR]* ......... 3,000 116,063
Panamerican Beverages, Inc.
Cl-A ............................ 5,000 163,125
----------
455,366
----------
</TABLE>
114
<PAGE> 116
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
NETHERLANDS -- 9.5%
Assurantieconcern Stad Rotterdam
NV .............................. 5,100 $ 277,487
Getronics NV ...................... 6,300 200,757
ING Groep NV ...................... 16,500 695,086
KLM Royal Dutch Airlines NV ....... 5,200 192,381
Koninklijke Ahold NV .............. 17,948 468,348
Randstad Holdings NV .............. 5,750 216,416
Stork NV .......................... 1,700 58,701
Unilever NV PLC [ADR] ............. 7,000 437,063
Verenigde Nederlandse
Uitgeversbedrijven Verenigd
Bezit ........................... 20,800 586,889
----------
3,133,128
----------
NORWAY -- 0.8%
Petroleum Geo-Services ASA ........ 1,500 94,612
Storebrand ASA .................... 23,000 162,231
----------
256,843
----------
PORTUGAL -- 1.2%
Banco Espirito Santo e Comercial de
Lisboa SA ....................... 6,400 190,666
Portugal Telecom SA ............... 4,400 204,390
----------
395,056
----------
RUSSIA -- 0.3%
Unified Energy Systems [GDR] ...... 3,000 83,250
----------
SOUTH AFRICA -- 0.6%
ABSA Group Ltd. ................... 11,800 67,895
Liberty Life Association of Africa
Ltd. ............................ 4,605 118,287
----------
186,182
----------
SPAIN -- 1.5%
Banco Popular Espanol SA .......... 3,500 244,562
Telefonica de Espana SA ........... 9,000 256,864
----------
501,426
----------
SWEDEN -- 1.3%
Hennes & Mauritz AB Cl-B .......... 4,200 185,270
Skandinaviska Enskilda Banken ..... 18,900 239,395
----------
424,665
----------
SWITZERLAND -- 12.5%
ABB AG ............................ 100 125,810
Credit Suisse Group ............... 2,750 426,108
Julius Baer Holdings AG Cl-B ...... 300 557,403
Nestle SA ......................... 340 510,274
Novartis AG ....................... 700 1,137,431
Roche Holding AG .................. 80 795,585
Union Bank of Switzerland ......... 400 579,205
----------
4,131,816
----------
UNITED KINGDOM -- 18.2%
Amvescap PLC ...................... 33,500 288,285
British Aerospace PLC ............. 16,500 471,041
British-Borneo Petroleum Syndicate
PLC ............................. 23,263 161,913
Cable & Wireless PLC .............. 38,600 339,794
COLT Telecom Group PLC ............ 833 8,450
Compass Group PLC ................. 16,600 203,215
SHARES VALUE
--------- -----------
Flextech PLC 144A* ................ 3,600 $ 31,217
General Electric Co. PLC .......... 58,600 380,382
Glaxo Wellcome PLC [ADR] .......... 8,000 383,000
Hays PLC .......................... 22,300 297,945
Ladbroke Group PLC ................ 49,100 213,285
Lloyds TSB Group PLC .............. 39,700 514,091
Misys PLC ......................... 21,600 650,399
Next PLC .......................... 26,100 297,181
Pearson PLC ....................... 37,800 491,975
Railtrack Group PLC ............... 13,200 210,027
Siebe PLC ......................... 11,600 228,087
Standard Chartered Bank PLC ....... 22,200 237,433
Tesco PLC ......................... 19,000 154,751
Vodafone Group PLC ................ 14,000 101,128
Zeneca Group PLC .................. 10,000 351,625
----------
6,015,224
----------
TOTAL FOREIGN STOCK
(COST $29,016,171)................... 30,389,832
----------
COMMON STOCK -- 0.8%
OIL & GAS Transocean Offshore, Inc.
(COST $273,021).................... 5,600 269,850
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.3%
Federal Home Loan Bank
Disc. Notes 4.75%
(COST $3,412,550)........ 01/02/98 $3,413 3,412,550
-----------
TOTAL INVESTMENTS -- 103.0%
(COST $32,701,742)...................... 34,072,232
LIABILITIES IN EXCESS OF OTHER ASSETS --
(3.0%).................................. (947,710)
-----------
NET ASSETS -- 100.0%...................... $33,124,522
===========
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1997:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1/98 Buy CHF 383,552 $ 263,433 $ 263,189 $ (244)
1/98 Buy CAD 138,000 96,369 96,450 81
1/98 Buy DEM 589,689 329,351 328,145 (1,206)
1/98 Buy DKK 296,978 43,418 43,384 (34)
1/98 Buy ESP 26,927,573 177,388 176,758 (630)
1/98 Buy GBP 58,332 96,638 95,931 (707)
1/98 Buy ITL 692,628,525 393,550 391,835 (1,715)
1/98 Buy JPY 25,506,829 200,211 196,982 (3,229)
1/98 Buy NLG 468,675 232,133 231,257 (876)
1/98 Buy PTE 34,949,393 190,346 190,143 (203)
1/98 Buy SEK 543,090 69,850 68,483 (1,367)
---------- ---------- --------
$2,092,687 $2,082,557 $(10,130)
========== ========== ========
</TABLE>
115
<PAGE> 117
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE APPRECIATION
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1/98 Sell CHF 1,085,057 $ 768,142 $ 746,868 $ 21,274
1/98 Sell DEM 390,697 219,160 217,577 1,583
1/98 Sell FRF 4,011,880 683,853 668,633 15,220
1/98 Sell GBP 741,689 1,237,357 1,217,517 19,840
1/98 Sell JPY 115,860,726 913,024 894,760 18,264
1/98 Sell NLG 1,174,773 596,086 580,278 15,808
1/98 Sell SEK 1,263,622 165,446 159,341 6,105
---------- ---------- --------
$4,583,068 $4,484,974 $ 98,094
========== ========== ========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 1.2% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
116
<PAGE> 118
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 93.4%
AIRLINES -- 1.4%
Midwest Express Holdings, Inc.* ... 70,000 $ 2,716,875
----------
AUTOMOTIVE PARTS -- 1.6%
Myers Industries, Inc. ............ 80,000 1,365,000
TBC Corp.* ........................ 200,000 1,912,500
----------
3,277,500
----------
BUILDING MATERIALS -- 8.3%
Giant Cement Holding, Inc.* ....... 60,000 1,387,500
Gibraltar Steel Corp.* ............ 90,000 1,777,500
Holophane Corp.* .................. 90,000 2,227,500
Juno Lighting, Inc. ............... 100,000 1,750,000
Modine Manufacturing Co. .......... 90,000 3,071,250
Republic Group, Inc. .............. 90,000 1,473,750
Skyline Corp. ..................... 51,800 1,424,500
Synthetic Industries, Inc.* ....... 60,000 1,485,000
Thomas Industries, Inc. ........... 105,000 2,073,750
----------
16,670,750
----------
BUSINESS SERVICES -- 1.0%
Grey Advertising, Inc. ............ 6,000 1,968,000
----------
CHEMICALS -- 2.7%
Furon Co. ......................... 140,000 2,922,500
Schulman, (A.), Inc. .............. 100,000 2,512,500
----------
5,435,000
----------
CLOTHING & APPAREL -- 1.0%
Unitog Co. ........................ 90,000 2,002,500
----------
COMPUTER HARDWARE -- 1.4%
Analogic Corp. .................... 75,000 2,850,000
----------
COMPUTER SERVICES & SOFTWARE -- 1.2%
Analysts International Corp. ...... 67,500 2,328,750
----------
CONSUMER PRODUCTS & SERVICES -- 1.3%
American Safety Razor Co.* ........ 60,000 1,200,000
Culp, Inc. ........................ 70,000 1,400,000
----------
2,600,000
----------
CONTAINERS & PACKAGING -- 3.2%
Aptargroup, Inc. .................. 33,600 1,864,800
First Brands Corp. ................ 80,000 2,155,000
Shorewood Packaging* .............. 90,000 2,407,500
----------
6,427,300
----------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 7.9%
Electro Rental Corp.* ............. 120,000 4,290,000
Franklin Electric Co., Inc. ....... 30,000 1,927,500
Landauer, Inc. .................... 51,000 1,428,000
Littelfuse, Inc.* ................. 100,000 2,487,500
Nichols Research Corp.* ........... 120,000 3,000,000
Pioneer-Standard Electronics,
Inc. ............................ 90,000 1,372,500
Scotsman Industries, Inc. ......... 50,000 1,221,875
----------
15,727,375
----------
ENTERTAINMENT & LEISURE -- 0.5%
Carmike Cinemas, Inc.* ............ 35,000 1,004,062
----------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
EQUIPMENT SERVICES -- 4.2%
Cort Business Services Corp.* ..... 48,900 $ 1,946,831
Rival Co. ......................... 87,000 1,141,875
Unifirst Corp. .................... 85,000 2,385,312
VWR Scientific Products, Inc.* .... 100,000 2,825,000
----------
8,299,018
----------
FINANCIAL-BANK & TRUST -- 5.3%
Commercial Federal Savings & Loan
Corp. ........................... 30,000 1,066,875
Community First Bankshares,
Inc. ............................ 50,000 2,662,500
First Republic Bank* .............. 70,000 2,235,625
Silicon Valley Bancshares* ........ 50,000 2,812,500
Sirrom Capital Corp. .............. 35,000 1,824,375
----------
10,601,875
----------
FINANCIAL SERVICES -- 5.0%
Amresco, Inc.* .................... 80,000 2,420,000
First Financial Fund, Inc. ........ 100,000 1,850,000
McGrath Rentcorp .................. 100,000 2,450,000
Medallion Financial Corp. ......... 100,000 2,200,000
Quick & Reilly Group, Inc. ........ 26,000 1,118,000
----------
10,038,000
----------
FOOD -- 0.7%
Suiza Foods Corp.* ................ 25,000 1,489,063
----------
INSURANCE -- 6.2%
FBL Financial Group, Inc. Cl-A .... 59,100 2,371,388
Harleysville Group, Inc. .......... 46,000 1,104,000
Markel Corp. ...................... 10,000 1,561,250
PXRE Corp. Cl-A ................... 50,000 1,659,375
Poe & Brown, Inc. ................. 71,700 3,199,613
Presidential Life Corp. ........... 80,000 1,620,000
Selective Insurance Group ......... 30,000 810,000
----------
12,325,626
----------
LUMBER & WOOD PRODUCTS -- 0.8%
Deltic Timber Corp. ............... 60,000 1,642,500
----------
MACHINERY & EQUIPMENT -- 4.5%
Alamo Group, Inc. ................. 50,000 1,084,375
Carbo Ceramics, Inc. .............. 70,000 2,240,000
Smith, (A.O.) Corp. ............... 70,000 2,957,500
Woodward Governor Co. ............. 82,400 2,667,700
----------
8,949,575
----------
MEDICAL SUPPLIES & EQUIPMENT -- 2.1%
Lunar Corp.* ...................... 130,000 2,665,000
Owens & Minor, Inc. ............... 110,000 1,595,000
----------
4,260,000
----------
METALS & MINING -- 3.9%
Cambior, Inc. ..................... 80,000 470,000
Dayton Mining Corp.* .............. 140,000 271,250
Golden Star Resources Ltd.* ....... 100,000 356,250
Layne Christensen Co.* ............ 80,000 1,040,000
Material Sciences Corp.* .......... 110,000 1,340,625
Penn Virginia Corp. ............... 70,000 2,065,000
</TABLE>
117
<PAGE> 119
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Prime Resources Group, Inc. ....... 80,000 $ 545,000
TriMas Corp. ...................... 50,000 1,718,750
----------
7,806,875
----------
OFFICE EQUIPMENT -- 2.1%
Aaron Rents, Inc. Cl-A ............ 35,000 612,500
Aaron Rents, Inc. Cl-B ............ 60,000 1,162,500
IDEX Corp. ........................ 70,000 2,441,250
----------
4,216,250
----------
OIL & GAS -- 4.3%
Cross Timbers Oil Co. ............. 110,000 2,743,125
Devon Energy Corp. ................ 25,000 962,500
Lone Star Technologies, Inc.* ..... 90,000 2,553,750
Rutherford-Moran Oil Corp.* ....... 130,000 2,323,750
----------
8,583,125
----------
PAPER & FOREST PRODUCTS -- 2.0%
CSS Industries, Inc.* ............. 60,000 1,912,500
Wausau-Mosinee Paper Corp. ........ 100,000 2,012,500
----------
3,925,000
----------
PERSONAL SERVICES -- 1.1%
Matthews International Corp.
Cl-A ............................ 50,000 2,200,000
----------
REAL ESTATE -- 6.7%
Allied Capital Commercial Corp.
[REIT] .......................... 70,000 2,327,500
Apartment Investment & Management
Co. Cl-A [REIT] ................. 55,000 2,021,250
CCA Prison Realty Trust [REIT] .... 40,000 1,785,000
Glenborough Realty Trust, Inc.
[REIT] .......................... 30,000 888,750
Innkeepers USA Trust [REIT] ....... 100,000 1,550,000
National Health Investors, Inc.
[REIT] .......................... 40,000 1,675,000
Post Properties, Inc. [REIT] ...... 24,600 999,375
Sun Communities, Inc. [REIT] ...... 60,000 2,156,250
----------
13,403,125
----------
RESTAURANTS -- 3.3%
Consolidated Products, Inc.* ...... 137,500 2,251,563
Ruby Tuesday, Inc.* ............... 110,000 2,832,500
Sbarro, Inc. ...................... 60,000 1,578,750
----------
6,662,813
----------
RETAIL & MERCHANDISING -- 5.4%
Carson Pirie Scott & Co.* ......... 33,000 1,654,125
Casey's General Stores, Inc. ...... 90,000 2,283,750
Compucom Systems, Inc.* ........... 210,000 1,732,500
Fabri-Centers of America, Inc.
Cl-B* ........................... 110,000 2,275,625
Hancock Fabrics, Inc. ............. 100,000 1,450,000
Stein Mart, Inc.* ................. 50,000 1,337,500
----------
10,733,500
----------
SHARES VALUE
------- ------------
TELECOMMUNICATIONS -- 2.4%
Aliant Communications, Inc. ....... 100,000 $ 3,137,500
CommNet Cellular, Inc.* ........... 23,400 832,163
Mosaix, Inc.* ..................... 100,000 881,250
----------
4,850,913
----------
TRANSPORTATION -- 0.7%
Landstar Systems, Inc. ............ 50,000 1,318,750
----------
UTILITIES -- 1.2%
United Water Resources, Inc. ...... 120,000 2,347,500
----------
TOTAL COMMON STOCK
(COST $169,727,606).................. 186,661,620
----------
PREFERRED STOCK -- 0.2%
OIL & GAS
Cross Timbers Oil Co. $1.5625 Cl-A
[CVT]
(COST $453,022).................. 13,000 485,875
----------
FOREIGN STOCK -- 0.4%
METALS & MINING
Prime Resources Group,
Inc. -- (CAD)
(COST $956,274).................... 120,000 796,635
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 5.1%
U.S. Treasury Bills
5.195%................... 01/22/98 $4,935 4,920,660
5.20%.................... 01/22/98 5,222 5,206,826
----------
(COST $10,126,205)....... 10,127,486
----------
COMMERCIAL PAPER -- 6.9%
Corporate Asset Funding,
Inc.
6.25%.................... 01/02/98 7,803 7,801,645
Hewlett-Packard Co., Inc.
5.95%.................... 01/21/98 1,453 1,448,197
Merck & Co., Inc.
6.10%.................... 01/05/98 4,625 4,621,865
----------
TOTAL COMMERCIAL PAPER
(COST $13,871,707)....... 13,871,707
----------
</TABLE>
118
<PAGE> 120
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund
(COST $474).......................... 474 $ 474
------------
TOTAL INVESTMENTS -- 106.0%
(COST $195,135,288).................... 211,943,797
LIABILITIES IN EXCESS OF OTHER ASSETS --
(6.0%)................................. (12,048,277)
------------
NET ASSETS -- 100.0%..................... $199,895,520
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
119
<PAGE> 121
MARSICO CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ----------
<S> <C> <C>
COMMON STOCK -- 87.7%
AEROSPACE -- 3.0%
Boeing Co. ........................ 4,500 $ 220,219
----------
AIRLINES -- 3.3%
Southwest Airlines Co. ............ 3,850 94,806
UAL Corp.* ........................ 1,575 145,687
----------
240,493
----------
BEVERAGES -- 2.0%
Coca-Cola Enterprises, Inc. ....... 4,050 144,028
----------
CHEMICALS -- 8.0%
Cytec Industries, Inc.* ........... 4,725 221,780
Dow Chemical Co. .................. 1,425 144,637
Monsanto Co. ...................... 5,125 215,250
----------
581,667
----------
COMPUTER HARDWARE -- 2.9%
Dell Computer Corp.* .............. 2,525 212,100
----------
ELECTRONICS COMPONENTS & EQUIPMENT -- 3.9%
General Electric Co. .............. 3,900 286,162
----------
ENTERTAINMENT & LEISURE -- 3.0%
Time Warner, Inc. ................. 3,500 217,000
----------
FARMING & AGRICULTURE -- 8.4%
Dekalb Genetics Corp. Cl-B ........ 5,575 218,819
Delta & Pine Land Co. ............. 5,825 177,662
Pioneer Hi-Bred International,
Inc. ............................ 2,000 214,500
----------
610,981
----------
FINANCIAL-BANK & TRUST -- 18.9%
Affiliated Managers Group,
Inc.* ........................... 425 12,325
AmSouth Bancorp ................... 2,625 142,570
Citicorp .......................... 1,700 214,944
Fannie Mae ........................ 2,550 145,509
Mercantile Bancorporation, Inc. ... 2,375 146,062
PFF Bancorp, Inc.* ................ 7,275 144,591
Star Banc Corp. ................... 2,425 139,134
Wells Fargo & Co. ................. 850 288,522
Zions Bancorp ..................... 3,200 145,200
----------
1,378,857
----------
FINANCIAL SERVICES -- 8.0%
Ahmanson, (H.F.) & Co. ............ 2,175 145,589
Friedman, Billings, Ramsey Group,
Inc. Cl-A* ...................... 4,200 75,337
Merrill Lynch & Co., Inc. ......... 1,975 144,052
SLM Holding Corp. ................. 1,575 219,122
----------
584,100
----------
MACHINERY & EQUIPMENT -- 2.0%
Caterpillar, Inc. ................. 3,000 145,688
----------
<CAPTION>
SHARES VALUE
------ ----------
<S> <C> <C>
METALS & MINING -- 1.0%
Phelps Dodge Corp. ................ 1,150 $ 71,588
----------
OIL & GAS -- 2.9%
British Petroleum Co. PLC [ADR] ... 2,700 215,156
----------
PHARMACEUTICALS -- 14.5%
Lilly, (Eli) & Co. ................ 4,125 287,203
Pfizer, Inc. ...................... 3,800 283,338
Schering-Plough Corp. ............. 2,275 141,334
Warner-Lambert Co. ................ 2,810 348,440
----------
1,060,315
----------
RETAIL & MERCHANDISING -- 2.0%
Wal-Mart Stores, Inc. ............. 3,650 143,947
----------
TELECOMMUNICATIONS -- 3.9%
Lucent Technologies, Inc. ......... 1,800 143,775
SBC Communications, Inc. .......... 1,950 142,838
----------
286,613
----------
TOTAL COMMON STOCK
(COST $6,376,699).................... 6,398,914
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 14.0%
American Express Credit
Corp.
6.25%................ 01/02/98 $ 340 339,941
Ford Motor Credit Co.
5.75%................ 01/02/98 340 339,946
General Electric
Capital Services,
Inc.
5.65%................ 01/02/98 340 339,947
-----------
TOTAL COMMERCIAL PAPER
(COST $1,019,834).................. 1,019,834
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.2%
Federal Mortgage Corp.
Disc. Note
5.75%
(COST $449,928)...... 01/02/98 450 449,928
-----------
U.S. TREASURY OBLIGATIONS -- 56.1%
U.S. Treasury Bills
4.35%
(COST $4,099,505).... 01/02/98 4,100 4,099,505
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 3.8%
Temporary Investment Cash Fund ... 139,662 139,662
Temporary Investment Fund ........ 139,661 139,661
----------
(COST $279,323)................... 279,323
----------
</TABLE>
120
<PAGE> 122
MARSICO CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
-----------
<S> <C> <C>
TOTAL INVESTMENTS -- 167.8%
(COST $12,225,289).................. $12,247,504
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (67.8%)................... (4,948,200)
----------
NET ASSETS -- 100.0%.................. $ 7,299,304
==========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
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
CVT-Convertible Security
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)
WI-When Issued Security (2)
ZCB-Zero Coupon Bond (2)
(1)- Rates shown for variable and floating rate securities are the coupon rates
as of December 31, 1997.
(2)- Rates shown are the effective yields at purchase date.
COUNTRIES/CURRENCIES:
- -----------------------
ATS-Austria/Austrian Schilling
AUD-Australia/Australian Dollar
BEF-Belgium/Belgian Franc
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
PHP-Philippines/Philippine Peso
PTE-Portugal/Portuguese Escudo
SEK-Sweden/Swedish Krona
SGD-Singapore/Singapore Dollar
ZAR-South Africa/South African Rand
121
<PAGE> 123
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
AST PUTNAM LORD ABBETT AST FEDERATED AST
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY PUTNAM FEDERATED
EQUITY INCOME GROWTH MARKET INCOME BALANCED HIGH YIELD
------------- ----------- ---------- -------- --------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at
value (A)................... $ 410,801 $ 938,105 $1,524,174 $760,025 $200,825 $359,224 $429,823
Cash in bank, including
foreign currency holdings... 840 -- 410 -- -- 1,194 --
Receivable for:
Securities sold............. 2,935 828 1,344 -- 793 4,349 --
Forward foreign currency
exchange contracts
purchased................. -- -- -- -- -- -- --
Forward foreign currency
exchange contracts sold... -- -- 1,315 -- -- -- --
Dividends and interest...... 1,467 1,531 1,509 3,485 356 1,717 7,351
Fund shares sold............ 1,053 1,745 13,430 -- 348 -- --
Futures variation margin.... -- -- -- -- -- 1,070 --
Other assets.................. 43 9 16 6 1 4 314
Unrealized appreciation on
interest rate swap
agreements.................. -- -- -- -- -- -- --
--------- --------- ---------- -------- -------- -------- --------
TOTAL ASSETS.............. 417,139 942,218 1,542,198 763,516 202,323 367,558 437,488
--------- --------- ---------- -------- -------- -------- --------
LIABILITIES
Cash overdraft................ -- -- -- 3 5 -- 1
Sale commitments, at value.... -- -- -- -- -- 207 --
Payable for:
Securities purchased........ 2,598 4,723 28,461 -- 1,066 7,395 --
Forward foreign currency
exchange contracts
purchased................. 844 -- 1,231 -- -- 53 --
Forward foreign currency
exchange contracts sold... 1,065 -- -- -- -- 58 --
Fund shares redeemed........ -- -- -- -- -- 1,966 2,872
Futures variation margin.... -- -- -- -- -- -- --
Advisory fees............... 199 326 624 101 49 128 105
Shareholder servicing
fees...................... 35 79 125 64 16 30 36
Accrued expenses............ 128 104 155 102 44 130 54
Accrued dividends........... -- -- -- 3,358 -- -- --
--------- --------- ---------- -------- -------- -------- --------
TOTAL LIABILITIES......... 4,869 5,232 30,596 3,628 1,180 9,967 3,068
--------- --------- ---------- -------- -------- -------- --------
NET ASSETS....................... $ 412,270 $ 936,986 $1,511,602 $759,888 $201,143 $357,591 $434,420
========= ========= ========== ======== ======== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of
shares authorized, $.001 par
value per share)................ $ 19 $ 46 $ 65 $ 760 $ 13 $ 26 $ 33
Additional paid-in capital....... 325,542 722,396 1,043,665 759,067 154,620 296,981 385,484
Undistributed net investment
income (loss)................... 4,058 11,541 3,000 -- 4,517 8,977 27,616
Accumulated net realized gain
(loss) on investments........... 48,420 50,500 84,601 61 16,064 21,948 1,492
Accumulated net unrealized
appreciation (depreciation) on
investments..................... 34,231 152,503 380,271 -- 25,929 29,659 19,795
--------- --------- ---------- -------- -------- -------- --------
NET ASSETS....................... $ 412,270 $ 936,986 $1,511,602 $759,888 $201,143 $357,591 $434,420
========= ========= ========== ======== ======== ======== ========
Shares of common stock
outstanding..................... 19,365 45,650 65,302 759,826 13,278 26,226 33,139
Net asset value, offering and
redemption price per share...... $ 21.29 $ 20.53 $ 23.15 $ 1.00 $ 15.15 $ 13.64 $ 13.11
========= ========= ========== ======== ======== ======== ========
(A) Investments at cost.......... $ 374,598 $ 785,602 $1,143,979 $760,025 $174,897 $329,164 $410,028
========= ========= ========== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
122
<PAGE> 124
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
T. ROWE PIMCO T. ROWE T. ROWE
PRICE TOTAL INVESCO FOUNDERS PRICE PRICE BERGER
ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL FOUNDERS
ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH PASSPORT
---------- -------- -------- ------------ ------------- ------------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
$214,199 $756,345 $612,687 $278,904 $ 438,892 $ 126,727 $186,175 $117,970
99 -- 2,189 -- 21,732 5,293 -- 376
-- -- -- 3,351 434 574 -- 140
-- -- -- -- -- 67 -- --
-- 244 -- -- -- 5 -- --
1,643 6,902 2,492 19 667 3,238 83 151
-- 59,899 3,153 2,808 3,080 -- 871 214
-- 815 -- -- -- -- -- --
2 6 6 3 6 1 2 2
-- 188 -- -- -- -- -- --
-------- -------- -------- -------- --------- --------- -------- --------
215,943 824,399 620,527 285,085 464,811 135,905 187,131 118,853
-------- -------- -------- -------- --------- --------- -------- --------
-- 2,052 -- -- -- -- -- --
-- -- -- -- -- -- -- --
796 223,174 18,081 6,613 -- 1,311 1,951 752
-- -- -- -- -- -- -- 3
-- -- -- -- -- -- -- --
1,931 26,793 25 -- 5 4,071 -- --
-- -- -- -- -- -- -- --
55 137 187 136 198 47 71 60
18 50 49 23 38 11 16 10
68 93 80 55 114 57 43 90
-- -- -- -- -- -- -- --
-------- -------- -------- -------- --------- --------- -------- --------
2,868 252,299 18,422 6,827 355 5,497 2,081 915
-------- -------- -------- -------- --------- --------- -------- --------
$213,075 $572,100 $602,105 $278,258 $ 464,456 $ 130,408 $185,050 $117,938
======== ======== ======== ======== ========= ========= ======== ========
$ 14 $ 49 $ 36 $ 15 $ 38 $ 13 $ 11 $ 10
174,348 526,126 464,642 223,153 410,442 131,693 147,564 109,631
4,904 25,494 12,069 -- 3,315 5,568 122 547
887 12,125 30,597 12,806 7,741 (4,256) 33,472 (3,466)
32,922 8,306 94,761 42,285 42,920 (2,610) 3,881 11,216
-------- -------- -------- -------- --------- --------- -------- --------
$213,075 $572,100 $602,105 $278,258 $ 464,456 $ 130,408 $185,050 $117,938
======== ======== ======== ======== ========= ========= ======== ========
14,082 48,801 36,468 15,621 38,415 12,902 11,141 10,016
$ 15.13 $ 11.72 $ 16.51 $ 17.81 $ 12.09 $ 10.11 $ 16.61 $ 11.78
======== ======== ======== ======== ========= ========= ======== ========
$181,276 $750,855 $517,926 $236,619 $ 395,941 $ 129,330 $182,295 $106,746
======== ======== ======== ======== ========= ========= ======== ========
<CAPTION>
--------------------------
PORTFOLIO
--------------------------
T. ROWE PIMCO
PRICE LIMITED
NATIONAL MATURITY
RESOURCES BOND
---------- --------
<S> <C>
$111,593 $342,243
-- 1
277 498
-- --
-- --
92 3,340
89 --
-- 8
1 3
-- 30
-------- --------
112,052 346,123
-------- --------
1 --
-- --
-- 49,438
-- --
-- --
-- 7,885
-- --
48 72
9 25
40 61
-- --
-------- --------
98 57,481
-------- --------
$111,954 $288,642
======== ========
$ 8 $ 26
101,941 272,564
1,072 14,491
6,230 (1,027)
2,703 2,588
-------- --------
$111,954 $288,642
======== ========
7,683 26,189
$ 14.57 $ 11.02
======== ========
$108,891 $340,132
======== ========
</TABLE>
- --------------------------------------------------------------------------------
123
<PAGE> 125
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
ROBERTSON AST PUTNAM TWENTIETH TWENTIETH
STEPHENS AST JANUS VALUE CENTURY CENTURY
VALUE + OVERSEAS GROWTH & STRATEGIC INTERNATIONAL
GROWTH GROWTH INCOME BALANCED GROWTH
--------- --------- ---------- ---------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value (A)............. $233,855 $255,442 $116,496 $ 30,250 $34,072
Cash in bank, including foreign currency
holdings......................................... 148 1,273 -- 9 --
Receivable for:
Securities sold.................................. 9,143 2,389 2,746 -- 444
Forward foreign currency exchange contracts
purchased...................................... -- -- -- -- --
Forward foreign currency exchange contracts
sold........................................... -- 904 -- -- 98
Dividends and interest........................... 103 196 227 162 30
Fund shares sold................................. 17 15 340 -- 977
Futures variation margin......................... -- -- -- -- --
Other assets....................................... 2 2 1 -- 1
Unrealized appreciation on interest rate swap
agreements....................................... -- -- -- -- --
-------- -------- -------- -------- --------
TOTAL ASSETS................................... 243,268 260,221 119,810 30,421 35,622
-------- -------- -------- -------- --------
LIABILITIES
Cash overdraft..................................... -- -- -- -- 31
Sale commitments, at value......................... -- -- -- -- --
Payable for:
Securities purchased............................. 6,657 3,003 2,267 733 2,385
Forward foreign currency exchange contracts
purchased...................................... -- 1,027 -- -- 10
Forward foreign currency exchange contracts
sold........................................... -- -- -- -- --
Fund shares redeemed............................. 779 172 -- 713 1
Futures variation margin......................... -- -- -- -- --
Advisory fees.................................... 119 131 44 11 19
Shareholder servicing fees....................... 20 21 10 2 3
Accrued expenses................................. 45 162 51 15 48
Accrued dividends................................ -- -- -- -- --
-------- -------- -------- -------- --------
TOTAL LIABILITIES.............................. 7,620 4,516 2,372 1,474 2,497
-------- -------- -------- -------- --------
NET ASSETS............................................ $235,648 $255,705 $117,438 $ 28,947 $33,125
======== ======== ======== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares authorized,
$.001 par value per share)........................... $ 19 $ 22 $ 10 $ 3 $ 3
Additional paid-in capital............................ 231,812 243,382 109,238 27,248 32,230
Undistributed net investment income (loss)............ -- 452 686 273 (92)
Accumulated net realized gain (loss) on investments... (4,702) (1,787) 1,862 (407) (481)
Accumulated net unrealized appreciation (depreciation)
on investments....................................... 8,519 13,636 5,642 1,830 1,465
-------- -------- -------- -------- --------
NET ASSETS............................................ $235,648 $255,705 $117,438 $ 28,947 $33,125
======== ======== ======== ======== ========
Shares of common stock outstanding.................... 18,666 21,542 9,605 2,552 2,875
Net asset value, offering and redemption price per
share................................................ $ 12.62 $ 11.87 $ 12.23 $ 11.34 $ 11.52
======== ======== ======== ======== ========
(A) Investments at cost............................... $225,336 $241,668 $110,854 $ 28,419 $32,702
======== ======== ======== ======== ========
<CAPTION>
----------------------------------------------------
T. ROWE
PRICE SMALL MARISCO
COMPANY CAPITAL
VALUE GROWTH
----------- -------
<S> <C> <C>
ASSETS
Investments in securities at value (A)............. $211,944 $12,248
Cash in bank, including foreign currency
holdings......................................... 1 --
Receivable for:
Securities sold.................................. -- --
Forward foreign currency exchange contracts
purchased...................................... -- --
Forward foreign currency exchange contracts
sold........................................... -- --
Dividends and interest........................... 514 1
Fund shares sold................................. 643 341
Futures variation margin......................... -- --
Other assets....................................... 1 --
Unrealized appreciation on interest rate swap
agreements....................................... -- --
-------- -------
TOTAL ASSETS................................... 213,103 12,590
-------- -------
LIABILITIES
Cash overdraft..................................... -- --
Sale commitments, at value......................... -- --
Payable for:
Securities purchased............................. 13,070 5,289
Forward foreign currency exchange contracts
purchased...................................... -- --
Forward foreign currency exchange contracts
sold........................................... -- --
Fund shares redeemed............................. -- --
Futures variation margin......................... -- --
Advisory fees.................................... 82 2
Shareholder servicing fees....................... 16 --
Accrued expenses................................. 39 --
Accrued dividends................................ -- --
-------- -------
TOTAL LIABILITIES.............................. 13,207 5,291
-------- -------
NET ASSETS............................................ $199,896 $ 7,299
======== =======
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares authorized,
$.001 par value per share)........................... $ 15 $ 1
Additional paid-in capital............................ 181,101 7,269
Undistributed net investment income (loss)............ 949 6
Accumulated net realized gain (loss) on investments... 1,023 --
Accumulated net unrealized appreciation (depreciation)
on investments....................................... 16,808 23
-------- -------
NET ASSETS............................................ $199,896 $ 7,299
======== =======
Shares of common stock outstanding.................... 15,520 727
Net asset value, offering and redemption price per
share................................................ $ 12.88 $10.03
======== =======
(A) Investments at cost............................... $195,135 $12,225
======== =======
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
124
<PAGE> 126
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
AST
PUTNAM LORD ABBETT AST FEDERATED AST
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY PUTNAM FEDERATED
EQUITY INCOME GROWTH MARKET INCOME BALANCED HIGH YIELD
------------- ----------- --------- --------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................................. $ 865 $ 2,967 $ 5,797 $37,009 $ 512 $ 8,540 $30,106
Dividends................................. 7,022 15,331 10,730 -- 5,222 3,742 587
------- -------- -------- ------- ------- ------- -------
Total Investment Income............... 7,887 18,298 16,527 37,009 5,734 12,282 30,693
------- -------- -------- ------- ------- ------- -------
EXPENSES
Investment advisory fees.................. 3,429 5,424 11,423 3,268 887 2,388 2,345
Shareholder servicing fees................ 390 723 1,269 654 135 320 313
Administration and accounting fees........ 311 410 519 372 135 272 267
Custodian fees............................ 309 110 199 110 40 225 54
Professional fees......................... 25 48 84 44 9 21 21
Trustees' fees and expenses............... 11 20 35 18 4 9 9
Insurance expenses........................ 4 7 13 7 1 3 3
Miscellaneous expenses.................... 10 15 24 13 6 67 65
------- -------- -------- ------- ------- ------- -------
Total Expenses........................ 4,489 6,757 13,566 4,486 1,217 3,305 3,077
Less: Advisory fee waivers and expense
reimbursements...................... -- -- (39) (566) -- -- --
------- -------- -------- ------- ------- ------- -------
Net Expenses.......................... 4,489 6,757 13,527 3,920 1,217 3,305 3,077
------- -------- -------- ------- ------- ------- -------
Net Investment Income (Loss)................. 3,398 11,541 3,000 33,089 4,517 8,977 27,616
------- -------- -------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Securities............................ 38,273 50,708 82,896 61 16,208 18,283 1,491
Foreign currency transactions......... 10,981 -- 1,955 -- (68) 334 --
Futures contracts..................... -- -- -- -- -- 3,387 --
Option contracts...................... -- -- -- -- -- -- --
------- -------- -------- ------- ------- ------- -------
Net realized gain (loss).................. 49,254 50,708 84,851 61 16,140 22,004 1,491
------- -------- -------- ------- ------- ------- -------
Net change in unrealized appreciation
(depreciation) on:
Securities............................ 12,325 81,537 199,694 -- 13,833 22,357 10,886
Futures contracts..................... -- -- -- -- -- (289) --
Written option contracts.............. -- -- -- -- -- -- --
Interest rate swaps................... -- -- -- -- -- -- --
Translation of assets and liabilities
denominated in foreign currencies... (2,248) -- (170) -- (4) (105) --
------- -------- -------- ------- ------- ------- -------
Net change in unrealized appreciation
(depreciation).......................... 10,077 81,537 199,524 -- 13,829 21,963 10,886
------- -------- -------- ------- ------- ------- -------
Net gain (loss) on investments............ 59,331 132,245 284,375 61 29,969 43,967 12,377
------- -------- -------- ------- ------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... $62,729 $143,786 $287,375 $33,150 $34,486 $52,944 $39,993
======= ======== ======== ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
125
<PAGE> 127
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
PIMCO
T. ROWE TOTAL INVESCO FOUNDERS T. ROWE PRICE T. ROWE PRICE BERGER
PRICE ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL
ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH
------------- ------- ------- ------------ ------------- ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest................................ $ 5,153 $29,452 $ 9,582 $ 1,390 $ 881 $ 6,876 $ 894
Dividends............................... 1,629 1 7,015 616 8,085 -- 891
------- ------- ------- -------- ------- ------- --------
Total Investment Income............. 6,782 29,453 16,597 2,006 8,966 6,876 1,785
------- ------- ------- -------- ------- ------- --------
EXPENSES
Investment advisory fees................ 1,414 2,980 3,565 2,220 4,640 942 1,260
Shareholder servicing fees.............. 166 458 475 247 464 118 168
Administration and accounting fees...... 166 334 340 228 340 119 167
Custodian fees.......................... 49 112 77 55 297 100 45
Professional fees....................... 11 30 31 16 30 8 11
Trustees' fees and expenses............. 5 13 13 7 13 3 5
Insurance expenses...................... 2 4 5 2 5 1 2
Miscellaneous expenses.................. 65 28 22 8 57 17 5
------- ------- ------- -------- ------- ------- --------
Total Expenses...................... 1,878 3,959 4,528 2,783 5,846 1,308 1,663
Less: Advisory fee waivers and
expense reimbursements............ -- -- -- -- -- -- --
------- ------- ------- -------- ------- ------- --------
Net Expenses........................ 1,878 3,959 4,528 2,783 5,846 1,308 1,663
------- ------- ------- -------- ------- ------- --------
Net Investment Income (Loss)............... 4,904 25,494 12,069 (777) 3,120 5,568 122
------- ------- ------- -------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Securities.......................... 932 6,709 30,597 13,326 9,578 3,325 33,536
Foreign currency transactions....... (43) 287 -- 1 (674) (8,170) --
Futures contracts................... -- 9,091 -- -- -- -- --
Option contracts.................... -- 291 -- -- -- -- --
------- ------- ------- -------- ------- ------- --------
Net realized gain (loss)................ 889 16,378 30,597 13,327 8,904 (4,845) 33,536
------- ------- ------- -------- ------- ------- --------
Net change in unrealized appreciation
(depreciation) on:
Securities.......................... 21,216 1,133 52,553 4,904 (3,594) (4,444) (11,415)
Futures contracts................... -- 1,499 -- -- -- -- --
Written option contracts............ -- (607) -- -- -- -- --
Interest rate swaps................. -- 176 -- -- -- -- --
Translation of assets and
liabilities denominated in foreign
currencies........................ -- 1,428 -- (1) (27) 519 --
------- ------- ------- -------- ------- ------- --------
Net change in unrealized appreciation
(depreciation)........................ 21,216 3,629 52,553 4,903 (3,621) (3,925) (11,415)
------- ------- ------- -------- ------- ------- --------
Net gain (loss) on investments.......... 22,105 20,007 83,150 18,230 5,283 (8,770) 22,121
------- ------- ------- -------- ------- ------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations............. $27,009 $45,501 $95,219 $ 17,453 $ 8,403 $(3,202) $ 22,243
======= ======= ======= ======== ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on January 2, 1997.
(2) Commenced operations on December 22, 1997.
See Notes to Financial Statements.
126
<PAGE> 128
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
PIMCO ROBERTSON TWENTIETH TWENTIETH
T. ROWE LIMITED STEPHENS AST JANUS AST PUTNAM CENTURY CENTURY
FOUNDERS PRICE NATURAL MATURITY VALUE + OVERSEAS VALUE GROWTH STRATEGIC INTERNATIONAL
PASSPORT RESOURCES BOND GROWTH GROWTH(1) & INCOME(1) BALANCED(1) GROWTH(1)
- -------- ------------- -------- --------- --------- ------------ ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,053 $ 552 $16,719 $ 323 $ 1,162 $ 212 $ 390 $ 63
1,187 1,792 -- 639 991 1,157 53 121
- ------- ------- ------- ------- ------- ------- ------ ------
2,240 2,344 16,719 962 2,153 1,369 443 184
- ------- ------- ------- ------- ------- ------- ------ ------
1,258 986 1,649 1,502 1,261 416 116 158
126 110 254 150 126 56 14 16
126 110 232 147 123 56 25 27
160 44 55 34 170 145 24 67
8 7 17 10 9 4 1 1
3 3 7 4 3 1 -- 1
1 1 2 1 1 1 -- --
11 11 12 4 8 4 4 6
- ------- ------- ------- ------- ------- ------- ------ ------
1,693 1,272 2,228 1,852 1,701 683 184 276
-- -- -- -- -- -- (14) --
- ------- ------- ------- ------- ------- ------- ------ ------
1,693 1,272 2,228 1,852 1,701 683 170 276
- ------- ------- ------- ------- ------- ------- ------ ------
547 1,072 14,491 (890) 452 686 273 (92)
- ------- ------- ------- ------- ------- ------- ------ ------
(3,144) 6,280 403 (4,645) (2,346) 1,862 (367) (388)
(293) (17) (134) -- 559 -- (40) (93)
-- -- 114 -- -- -- -- --
-- -- 44 -- -- -- -- --
- ------- ------- ------- ------- ------- ------- ------ ------
(3,437) 6,263 427 (4,645) (1,787) 1,862 (407) (481)
- ------- ------- ------- ------- ------- ------- ------ ------
5,952 (5,033) 3,362 5,704 13,774 5,642 1,831 1,371
-- -- (37) -- -- -- -- --
-- -- (35) -- -- -- -- --
-- -- 30 -- -- -- -- --
(9) 1 292 -- (138) -- (1) 94
- ------- ------- ------- ------- ------- ------- ------ ------
5,943 (5,032) 3,612 5,704 13,636 5,642 1,830 1,465
- ------- ------- ------- ------- ------- ------- ------ ------
2,506 1,231 4,039 1,059 11,849 7,504 1,423 984
- ------- ------- ------- ------- ------- ------- ------ ------
$ 3,053 $ 2,303 $18,530 $ 169 $12,301 $8,190 $ 1,696 $ 892
======= ======= ======= ======= ======= ======= ====== ======
<CAPTION>
- ----------------------------
PORTFOLIO
- ----------------------------
T. ROWE
PRICE SMALL MARSICO
COMPANY CAPITAL
VALUE (1) GROWTH (1)
- ------------- ----------
<C> <C>
$ 504 $ 8
1,365 --
------- ---
1,869 8
------- ---
713 2
79 --
79 --
36 --
6 --
2 --
1 --
4 --
------- ---
920 2
-- --
------- ---
920 2
------- ---
949 6
------- ---
1,070 --
-- --
(47) --
-- --
------- ---
1,023 --
------- ---
16,808 23
-- --
-- --
-- --
-- --
------- ---
16,808 23
------- ---
17,831 23
------- ---
$18,780 $29
======= ===
</TABLE>
- --------------------------------------------------------------------------------
127
<PAGE> 129
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
AST PUTNAM LORD ABBETT
INTERNATIONAL EQUITY GROWTH AND INCOME
------------------------ ------------------------
1997 1996 1997 1996
--------- -------- --------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)......................... $ 3,398 $ 2,746 $ 11,541 $ 7,379
Net realized gain (loss) on investments.............. 49,254 20,748 50,708 13,085
Net change in unrealized appreciation (depreciation)
on investments..................................... 10,077 4,755 81,537 46,955
--------- -------- --------- --------
Net Increase (Decrease) in Net Assets from
Operations...................................... 62,729 28,249 143,786 67,419
--------- -------- --------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income............................................. (5,413) (5,032) (7,379) (3,534)
Distributions to shareholders from capital gains..... (17,443) (5,923) (13,267) (7,139)
--------- -------- --------- --------
Total Dividends and Distributions to
Shareholders.................................... (22,856) (10,955) (20,646) (10,673)
--------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold............................ 125,193 101,730 426,438 217,780
Net asset value of shares issued in reinvestment of
dividends and distributions........................ 22,856 10,955 20,647 10,673
Cost of shares redeemed.............................. (121,863) (51,824) (163,736) (43,451)
--------- -------- --------- --------
Increase in Net Assets from Capital Share
Transactions.................................... 26,186 60,861 283,349 185,002
--------- -------- --------- --------
Total Increase in Net Assets.................... 66,059 78,155 406,489 241,748
NET ASSETS
Beginning of Period.................................. 346,211 268,056 530,497 288,749
--------- -------- --------- --------
End of Period........................................ $ 412,270 $346,211 $ 936,986 $530,497
========= ======== ========= ========
SHARES ISSUED AND REDEEMED
Shares sold.......................................... 6,183 5,530 22,448 13,666
Shares issued in reinvestment of dividends and
distributions...................................... 1,229 610 1,185 707
Shares redeemed...................................... (6,057) (2,856) (8,879) (2,755)
--------- -------- --------- --------
Net Increase (Decrease) in Shares Outstanding...... 1,355 3,284 14,754 11,618
========= ======== ========= ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
128
<PAGE> 130
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------
FEDERATED UTILITY
JANCAP GROWTH AST MONEY MARKET INCOME AST PUTNAM BALANCED
- ------------------------ --------------------------- --------------------- ---------------------
1997 1996 1997 1996 1997 1996 1997 1996
- ---------- --------- ----------- ----------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 3,000 $ 1,593 $ 33,089 $ 22,641 $ 4,517 $ 3,613 $ 8,977 $ 7,010
84,851 42,941 61 80 16,140 7,915 22,004 29,898
199,524 108,269 -- -- 13,829 978 21,963 (8,583)
- ---------- --------- ----------- ----------- -------- -------- -------- --------
287,375 152,803 33,150 22,721 34,486 12,506 52,944 28,325
- ---------- --------- ----------- ----------- -------- -------- -------- --------
(2,524) (753) (33,089) (22,641) (3,604) (4,103) (6,615) (5,212)
(42,072) (24,162) (80) (149) (5,148) -- (30,342) (8,816)
- ---------- --------- ----------- ----------- -------- -------- -------- --------
(44,596) (24,915) (33,169) (22,790) (8,752) (4,103) (36,957) (14,028)
- ---------- --------- ----------- ----------- -------- -------- -------- --------
862,306 517,512 2,492,066 1,478,919 90,589 59,384 42,308 27,031
44,596 24,915 31,988 22,199 8,752 4,103 36,957 14,028
(530,403) (209,312) (2,313,617) (1,295,804) (47,070) (56,151) (24,140) (24,083)
- ---------- --------- ----------- ----------- -------- -------- -------- --------
376,499 333,115 210,437 205,314 52,271 7,336 55,125 16,976
- ---------- --------- ----------- ----------- -------- -------- -------- --------
619,278 461,003 210,418 205,245 78,005 15,739 71,112 31,273
892,324 431,321 549,470 344,225 123,138 107,399 286,479 255,206
- ---------- --------- ----------- ----------- -------- -------- -------- --------
$1,511,602 $ 892,324 $ 759,888 $ 549,470 $201,143 $123,138 $357,591 $286,479
========== ========= =========== =========== ======== ======== ======== ========
40,825 30,067 2,492,065 1,478,919 6,689 4,958 3,259 2,155
2,311 1,569 31,988 22,199 711 351 3,095 1,158
(25,329) (12,155) (2,313,617) (1,295,804) (3,718) (4,710) (1,850) (1,954)
- ---------- --------- ----------- ----------- -------- -------- -------- --------
17,807 19,481 210,436 205,314 3,682 599 4,504 1,359
========== ========= =========== =========== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
129
<PAGE> 131
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-----------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE
FEDERATED HIGH YIELD ASSET ALLOCATION
----------------------- -----------------------
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)........................... $ 27,616 $ 10,610 $ 4,904 $ 2,587
Net realized gain (loss) on investments................ 1,491 1,294 889 2,313
Net change in unrealized appreciation (depreciation) on
investments.......................................... 10,886 6,820 21,216 6,558
--------- -------- --------- --------
Net Increase (Decrease) in Net Assets from
Operations........................................ 39,993 18,724 27,009 11,458
--------- -------- --------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income... (10,610) (4,032) (2,585) (1,316)
Distributions to shareholders from capital gains....... (1,263) -- (2,403) (226)
--------- -------- --------- --------
Total Dividends and Distributions to Shareholders.... (11,873) (4,032) (4,988) (1,542)
--------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.............................. 269,597 151,204 74,080 52,390
Net asset value of shares issued in reinvestment of
dividends and distributions.......................... 11,874 4,032 4,987 1,542
Cost of shares redeemed................................ (80,433) (48,358) (8,162) (3,098)
--------- -------- --------- --------
Increase in Net Assets from Capital Share
Transactions...................................... 201,038 106,878 70,905 50,834
--------- -------- --------- --------
Total Increase in Net Assets...................... 229,158 121,570 92,926 60,750
NET ASSETS
Beginning of Period.................................... 205,262 83,692 120,149 59,399
--------- -------- --------- --------
End of Period.......................................... $434,420 $205,262 $213,075 $120,149
========= ======== ========= ========
SHARES ISSUED AND REDEEMED
Shares sold............................................ 21,771 13,287 5,224 4,228
Shares issued in reinvestment of dividends and
distributions........................................ 1,000 368 377 128
Shares redeemed........................................ (6,550) (4,248) (570) (249)
--------- -------- --------- --------
Net Increase (Decrease) in Shares Outstanding........ 16,221 9,407 5,031 4,107
========= ======== ========= ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
130
<PAGE> 132
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
PORTFOLIO
- -------------------------------------------------------------------------------------------------------
PIMCO FOUNDERS CAPITAL T. ROWE PRICE
TOTAL RETURN BOND INVESCO EQUITY INCOME APPRECIATION INTERNATIONAL EQUITY
- --------------------- ---------------------- ----------------------- ----------------------
1997 1996 1997 1996 1997 1996 1997 1996
- -------- -------- --------- -------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 25,494 $ 15,701 $ 12,069 $ 7,107 $ (777) $ (527) $ 3,120 $ 2,541
16,378 (3,854) 30,597 9,984 13,327 (527) 8,904 2,395
3,629 1,208 52,553 24,709 4,903 24,027 (3,621) 34,967
- -------- -------- --------- -------- --------- --------- --------- --------
45,501 13,055 95,219 41,800 17,453 22,973 8,403 39,903
- -------- -------- --------- -------- --------- --------- --------- --------
(15,321) (6,111) (7,141) (3,685) -- -- (2,360) (1,759)
-- (6,703) (9,950) (4,986) -- (1,655) (2,682) --
- -------- -------- --------- -------- --------- --------- --------- --------
(15,321) (12,814) (17,091) (8,671) -- (1,655) (5,042) (1,759)
- -------- -------- --------- -------- --------- --------- --------- --------
239,491 196,298 325,090 184,426 159,953 237,559 303,075 222,719
15,321 12,814 17,091 8,671 -- 1,655 5,042 1,759
(72,902) (74,678) (166,884) (54,262) (119,216) (130,924) (249,581) (55,730)
- -------- -------- --------- -------- --------- --------- --------- --------
181,910 134,434 175,297 138,835 40,737 108,290 58,536 168,748
- -------- -------- --------- -------- --------- --------- --------- --------
212,090 134,675 253,425 171,964 58,190 129,608 61,897 206,892
360,010 225,335 348,680 176,716 220,068 90,460 402,559 195,667
- -------- -------- --------- -------- --------- --------- --------- --------
$572,100 $360,010 $ 602,105 $348,680 $ 278,258 $ 220,068 $ 464,456 $402,559
======== ======== ========= ======== ========= ========= ========= ========
21,382 18,267 21,367 14,201 9,416 15,149 24,350 19,721
1,429 1,211 1,227 705 -- 115 419 161
(6,415) (6,938) (11,049) (4,116) (6,897) (8,512) (19,694) (4,907)
- -------- -------- --------- -------- --------- --------- --------- --------
16,396 12,540 11,545 10,790 2,519 6,752 5,075 14,975
======== ======== ========= ======== ========= ========= ========= ========
</TABLE>
- --------------------------------------------------------------------------------
131
<PAGE> 133
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE
INTERNATIONAL BOND BERGER CAPITAL GROWTH
----------------------- ------------------------
1997 1996 1997 1996
-------- -------- --------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss).......................... $ 5,568 $ 3,520 $ 122 $ 223
Net realized gain (loss) on investments............... (4,845) 1,092 33,536 1,487
Net change in unrealized appreciation (depreciation)
on investments...................................... (3,925) 458 (11,415) 10,400
-------- -------- --------- --------
Net Increase (Decrease) in Net Assets from
Operations....................................... (3,202) 5,070 22,243 12,110
-------- -------- --------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income.............................................. (1,563) (697) (223) (150)
Distributions to shareholders from capital gains...... (2,503) (884) (1,347) --
-------- -------- --------- --------
Total Dividends and Distributions to Shareholders... (4,066) (1,581) (1,570) (150)
-------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold............................. 57,168 60,046 210,696 147,599
Net asset value of shares issued in reinvestment of
dividends and distributions......................... 4,066 1,581 1,570 150
Cost of shares redeemed............................... (21,793) (12,483) (184,136) (69,441)
-------- -------- --------- --------
Increase (Decrease) in Net Assets from Share
Transactions..................................... 39,441 49,144 28,130 78,308
-------- -------- --------- --------
Total Increase in Net Assets..................... 32,173 52,633 48,803 90,268
NET ASSETS
Beginning of Period................................... 98,235 45,602 136,247 45,979
-------- -------- --------- --------
End of Period......................................... $130,408 $ 98,235 $ 185,050 $136,247
======== ======== ========= ========
SHARES ISSUED AND REDEEMED
Shares sold........................................... 5,634 5,742 13,595 10,695
Shares issued in reinvestment of dividends and
distributions....................................... 405 156 109 12
Shares redeemed....................................... (2,152) (1,183) (12,032) (4,945)
-------- -------- --------- --------
Net Increase (Decrease) in Shares Outstanding....... 3,887 4,715 1,672 5,762
======== ======== ========= ========
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
132
<PAGE> 134
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------
T. ROWE PRICE PIMCO LIMITED ROBERTSON STEPHENS
FOUNDERS PASSPORT NATURAL RESOURCES MATURITY BOND VALUE + GROWTH
- --------------------- ----------------------- --------------------- --------------------
1997 1996 1997 1996 1997 1996 1997 1996(1)
- -------- -------- ---------- -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 547 $ 974 $ 1,072 $ 423 $ 14,491 $ 10,849 $ (890) $ (66)
(3,437) (20) 6,263 2,036 427 (1,321) (4,645) (57)
5,943 5,257 (5,032) 7,352 3,612 (1,512) 5,704 2,814
- -------- -------- ---------- -------- -------- -------- -------- -------
3,053 6,211 2,303 9,811 18,530 8,016 169 2,691
- -------- -------- ---------- -------- -------- -------- -------- -------
(805) (129) (417) (29) (10,857) (761) -- --
(129) -- (2,073) (34) -- (303) -- --
- -------- -------- ---------- -------- -------- -------- -------- -------
(934) (129) (2,490) (63) (10,857) (1,064) -- --
- -------- -------- ---------- -------- -------- -------- -------- -------
74,511 103,946 63,364 87,969 141,511 104,208 265,275 52,408
933 129 2,489 63 10,857.. 1,064 -- --
(77,268) (20,969) (42,246) (18,508) (80,412) (65,151) (78,586) (6,309)
- -------- -------- ---------- -------- -------- -------- -------- -------
(1,824) 83,106 23,607 69,524 71,956 40,121 186,689 46,099
- -------- -------- ---------- -------- -------- -------- -------- -------
295 89,188 23,420 79,272 79,629 47,073 186,858 48,790
117,643 28,455 88,534 9,262 209,013 161,940 48,790 --
- -------- -------- ---------- -------- -------- -------- -------- -------
$117,938 $117,643 $ 111,954 $ 88,534 $288,642 $209,013 $235,648 $48,790
======== ======== ========== ======== ======== ======== ======== =======
6,247 9,188 4,198 6,706 13,311 9,943 20,523 5,032
78 12 172 5 1,049 102 -- --
(6,422) (1,843) (2,804) (1,428) (7,504) (6,177) (6,296) (593)
- -------- -------- ---------- -------- -------- -------- -------- -------
(97) 7,357 1,566 5,283 6,856 3,868 14,227 4,439
======== ======== ========== ======== ======== ======== ======== =======
</TABLE>
- --------------------------------------------------------------------------------
133
<PAGE> 135
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------
TWENTIETH TWENTIETH T. ROWE PRICE
AST JANUS AST PUTNAM CENTURY CENTURY SMALL MARSICO
OVERSEAS VALUE GROWTH STRATEGIC INTERNATIONAL COMPANY CAPITAL
GROWTH & INCOME BALANCED GROWTH VALUE GROWTH
--------- ------------ --------- ------------- ------------- -------
1997(2) 1997(2) 1997(2) 1997(2) 1997(2) 1997(3)
--------- ------------ --------- ------------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)........... $ 452 $ 686 $ 273 $ (92) $ 949 $ 6
Net realized gain (loss) on
investments.......................... (1,787) 1,862 (407) (481) 1,023 --
Net change in unrealized appreciation
(depreciation) on investments........ 13,636 5,642 1,830 1,465 16,808 23
-------- -------- ------- -------- -------- -------
Net Increase (Decrease) in Net Assets
from Operations................... 12,301 8,190 1,696 892 18,780 29
-------- -------- ------- -------- -------- -------
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.............. 295,567 121,563 29,464 48,070 210,455 9,665
Net asset value of shares issued in
reinvestment of dividends and
distributions........................ -- -- -- -- -- --
Cost of shares redeemed................ (52,163) (12,315) (2,213) (15,837) (29,339) (2,395)
-------- -------- ------- -------- -------- -------
Increase in Net Assets from Capital
Share Transactions................ 243,404 109,248 27,251 32,233 181,116 7,270
-------- -------- ------- -------- -------- -------
Total Increase in Net Assets...... 255,705 117,438 28,947 33,125 199,896 7,299
NET ASSETS
Beginning of Period.................... -- -- -- -- -- --
-------- -------- ------- -------- -------- -------
End of Period.......................... $255,705 $117,438 $28,947 $ 33,125 $ 199,896 $ 7,299
======== ======== ======= ======== ======== =======
SHARES ISSUED AND REDEEMED
Shares sold............................ 25,962 10,693 2,754 4,258 17,898 966
Shares issued in reinvestment of
dividends and distributions.......... -- -- -- -- -- --
Shares redeemed........................ (4,420) (1,088) (202) (1,383) (2,378) (239)
-------- -------- ------- -------- -------- -------
Net Increase (Decrease) in Shares
Outstanding....................... 21,542 9,605 2,552 2,875 15,520 727
======== ======== ======= ======== ======== =======
</TABLE>
- --------------------------------------------------------------------------------
(2) Commenced operations on January 2, 1997.
(3) Commenced operations on December 22, 1997.
See Notes to Financial Statements.
134
<PAGE> 136
[THIS PAGE INTENTIONALLY LEFT BLANK]
135
<PAGE> 137
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 ------------------------------------- NET ASSET
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET VALUE
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL END
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS OF PERIOD
- --------- ------------ --------- ---------- ------------ ---------- ---------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AST
Putnam 1997 $ 19.22 $ 0.36 $ 2.96 $ 3.32 $ (0.30) $ (0.95) $ (1.25) $21.29
International
Equity 1996 18.20 0.16 1.55 1.71 (0.32) (0.37) (0.69) 19.22
1995 17.61 0.14 1.44 1.58 -- (0.99) (0.99) 18.20
1994 17.34 0.10 0.36 0.46 (0.03) (0.16) (0.19) 17.61
1993 12.74 0.14 4.46 4.60 -- -- -- 17.34
Lord
Abbett 1997 $ 17.17 $ 0.24 $ 3.76 $ 4.00 $ (0.23) $ (0.41) $ (0.64) $20.53
Growth
and
Income 1996 14.98 0.23 2.48 2.71 (0.17) (0.35) (0.52) 17.17
1995 12.00 0.16 3.22 3.38 (0.20) (0.20) (0.40) 14.98
1994 12.06 0.20 0.06 0.26 (0.12) (0.20) (0.32) 12.00
1993 10.70 0.11 1.35 1.46 (0.04) (0.06) (0.10) 12.06
JanCap
Growth 1997 $ 18.79 $ 0.06 $ 5.16 $ 5.22 $ (0.05) $ (0.81) $ (0.86) $23.15
1996 15.40 0.02 4.19 4.21 (0.02) (0.80) (0.82) 18.79
1995 11.22 0.06 4.18 4.24 (0.06) -- (0.06) 15.40
1994 11.78 0.06 (0.59) (0.53) (0.03) -- (0.03) 11.22
1993 10.53 0.03 1.22 1.25 -- -- -- 11.78
AST Money
Market 1997 $ 1.00 $ 0.0507 $ 0.0002 $ 0.0509 $ (0.0507) $(0.0002) $ (0.0509) $ 1.00
1996 1.00 0.0492 0.0005 0.0497 (0.0492) (0.0005) (0.0497) 1.00
1995 1.00 0.0494 -- 0.0494 (0.0494) -- (0.0494) 1.00
1994 1.00 0.0367 0.0002 0.0369 (0.0367) (0.0002) (0.0369) 1.00
1993 1.00 0.0252 -- 0.0252 (0.0252) -- (0.0252) 1.00
Federated
Utility
Income 1997 $ 12.83 $ 0.32 $ 2.87 $ 3.19 $ (0.36) $ (0.51) $ (0.87) $15.15
1996 11.94 0.36 0.97 1.33 (0.44) -- (0.44) 12.83
1995 9.87 0.40 2.09 2.49 (0.42) -- (0.42) 11.94
1994 10.79 0.46 (1.20) (0.74) (0.16) (0.02) (0.18) 9.87
1993(2) 10.00 0.17 0.62 0.79 -- -- -- 10.79
AST
Putnam
Balanced 1997 $ 13.19 $ 0.33 $ 1.85 $ 2.18 $ (0.31) $ (1.42) $ (1.73) $13.64
1996 12.53 0.32 1.02 1.34 (0.25) (0.43) (0.68) 13.19
1995 10.49 0.26 2.06 2.32 (0.28) -- (0.28) 12.53
1994 10.57 0.27 (0.26) 0.01 (0.07) (0.02) (0.09) 10.49
1993(2) 10.00 0.08 0.49 0.57 -- -- -- 10.57
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(2) Commenced operations on May 4, 1993.
See Notes to Financial Statements.
136
<PAGE> 138
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
------------------------------- -------------------------------
SUPPLEMENTAL DATA AFTER BEFORE AFTER BEFORE
---------------------------------------------------- ADVISORY ADVISORY ADVISORY ADVISORY
NET ASSETS AT PORTFOLIO AVERAGE FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER COMMISSION AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE RATE PAID+ REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- -------- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
18.15% $ 412,270 116% $ 0.0209 1.15% 1.15% 1.04% 1.04%
9.65% 346,211 124% 0.0151 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%
23.92% $ 936,986 41% $ 0.0640 0.93% 0.93% 1.60% 1.60%
18.56% 530,497 43% 0.0655 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%
28.66% $ 1,511,563 94% $ 0.0628 1.07% 1.08% 0.24% 0.23%
28.36% 892,324 79% 0.0569 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%
5.18% $ 759,888 N/A N/A 0.60% 0.69% 5.06% 4.98%
5.08% 549,470 N/A 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%
26.42% $ 201,143 91% $ 0.0395 0.90% 0.90% 3.34% 3.34%
11.53% 123,138 81% 0.0446 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)
18.28% $ 357,591 170% $ 0.0282 1.03% 1.03% 2.81% 2.81%
11.23% 286,479 276% 0.0516 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>
137
<PAGE> 139
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 ------------------------------------- NET ASSET
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET VALUE
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL END
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS OF PERIOD
- ----------- ------------ --------- ---------- ------------ ---------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Federated
High
Yield 1997 $ 12.13 $ 0.75 $ 0.83 $ 1.58 $(0.54) $(0.06) $ (0.60) $ 13.11
1996 11.14 0.56 0.90 1.46 (0.47) -- (0.47) 12.13
1995 9.69 0.38 1.46 1.84 (0.39) -- (0.39) 11.14
1994(3) 10.00 0.55 (0.86) (0.31) -- -- -- 9.69
T. Rowe
Price 1997 $ 13.27 $ 0.33 $ 2.03 $ 2.36 $(0.26) $(0.24) $ (0.50) $ 15.13
Asset
Allocation 1996 12.01 0.27 1.28 1.55 (0.25) (0.04) (0.29) 13.27
1995 9.94 0.26 2.02 2.28 (0.21) -- (0.21) 12.01
1994(3) 10.00 0.21 (0.27) (0.06) -- -- -- 9.94
PIMCO Total 1997 $ 11.11 $ 0.48 $ 0.58 $ 1.06 $(0.45) $ -- $ (0.45) $ 11.72
Return
Bond 1996 11.34 0.46 (0.10) 0.36 (0.28) (0.31) (0.59) 11.11
1995 9.75 0.25 1.55 1.80 (0.21) -- (0.21) 11.34
1994(3) 10.00 0.26 (0.51) (0.25) -- -- -- 9.75
INVESCO
Equity
Income 1997 $ 13.99 $ 0.31 $ 2.84 $ 3.15 $(0.26) $(0.37) $ (0.63) $ 16.51
1996 12.50 0.27 1.79 2.06 (0.24) (0.33) (0.57) 13.99
1995 9.75 0.25 2.65 2.90 (0.15) -- (0.15) 12.50
1994(3) 10.00 0.16 (0.41) (0.25) -- -- -- 9.75
Founders
Capital 1997 $ 16.80 $(0.05) $ 1.06 $ 1.01 $ -- $ -- $ -- $ 17.81
Appreciation 1996 14.25 (0.03) 2.85 2.82 -- (0.27) (0.27) 16.80
1995 10.84 (0.04) 3.54 3.50 (0.09) -- (0.09) 14.25
1994(3) 10.00 0.11 0.73 0.84 -- -- -- 10.84
T. Rowe
Price 1997 $ 12.07 $ 0.09 $ 0.08 $ 0.17 $(0.07) $(0.08) $ (0.15) $ 12.09
International
Equity 1996 10.65 0.06 1.44 1.50 (0.08) -- (0.08) 12.07
1995 9.62 0.07 0.99 1.06 (0.01) (0.02) (0.03) 10.65
1994(3) 10.00 0.02 (0.40) (0.38) -- -- -- 9.62
T. Rowe
Price 1997 $ 10.90 $ 0.20 $(0.57) $(0.37) $(0.16) $(0.26) $ (0.42) $ 10.11
International
Bond 1996 10.60 0.23 0.38 0.61 (0.14) (0.17) (0.31) 10.90
1995 9.68 0.31 0.75 1.06 (0.14) -- (0.14) 10.60
1994(4) 10.00 0.27 (0.59) (0.32) -- -- -- 9.68
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(3) Commenced operations on January 4, 1994.
(4) Commenced operations on May 3, 1994.
See Notes to Financial Statements.
138
<PAGE> 140
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
--------------------------------- ---------------------------------
SUPPLEMENTAL DATA AFTER AFTER
---------------------------------------------------- ADVISORY BEFORE ADVISORY ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO AVERAGE FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER COMMISSION AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE RATE PAID+ REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- -------- ---------- ------------- --------------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
13.59% $ 434,420 28% N/A 0.98% 0.98% 8.83% 8.83%
13.58% 205,262 43% N/A 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)
18.40% $ 213,075 10% $ 0.0299 1.13% 1.13% 2.95% 2.95%
13.14% 120,149 31% 0.0366 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)
9.87% $ 572,100 320% N/A 0.86% 0.86% 5.56% 5.56%
3.42% 360,010 403% N/A 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)
23.33% $ 602,105 73% $ 0.0595 0.95% 0.95% 2.54% 2.54%
17.09% 348,680 58% 0.0603 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)
6.01% $ 278,258 77% $ 0.0538 1.13% 1.13% (0.32%) (0.32%)
20.05% 220,068 69% 0.0573 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)
1.36% $ 464,456 19% $ 0.0036 1.26% 1.26% 0.71% 0.71%
14.17% 402,559 11% 0.0255 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)
(3.42%) $ 130,408 173% N/A 1.11% 1.11% 4.73% 4.73%
5.98% 98,235 241% N/A 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>
139
<PAGE> 141
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 ------------------------------------- NET ASSET
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET VALUE
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL END
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS OF PERIOD
- ----------- ------------ --------- ---------- ------------ ---------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Berger
Capital
Growth 1997 $ 14.39 $ 0.01 $ 2.36 $ 2.37 $(0.02) $(0.13) $ (0.15) $ 16.61
1996 12.40 0.01 2.01 2.02 (0.03) -- (0.03) 14.39
1995 9.97 0.04 2.40 2.44 (0.01) -- (0.01) 12.40
1994(5) 10.00 0.01 (0.04) (0.03) -- -- -- 9.97
Founders
Passport 1997 $ 11.63 $ 0.03 $ 0.21 $ 0.24 $(0.08) $(0.01) $ (0.09) $ 11.78
1996 10.33 0.09 1.24 1.33 (0.03) -- (0.03) 11.63
1995(6) 10.00 0.03 0.30 0.33 -- -- -- 10.33
T. Rowe
Price 1997 $ 14.47 $ 0.14 $ 0.35 $ 0.49 $(0.07) $(0.32) $ (0.39) $ 14.57
Natural
Resources 1996 11.11 0.05 3.35 3.40 (0.02) (0.02) (0.04) 14.47
1995(6) 10.00 0.04 1.07 1.11 -- -- -- 11.11
PIMCO
Limited 1997 $ 10.81 $ 0.55 $ 0.22 $ 0.77 $(0.56) $ -- $ (0.56) $ 11.02
Maturity
Bond 1996 10.47 0.56 (0.15) 0.41 (0.05) (0.02) (0.07) 10.81
1995(6) 10.00 0.05 0.42 0.47 -- -- -- 10.47
Robertson
Stephens 1997 $ 10.99 $(0.05) $ 1.68 $ 1.63 $ -- $ -- $ -- $ 12.62
Value +
Growth 1996(7) 10.00 (0.01) 1.00 0.99 -- -- -- 10.99
AST Janus
Overseas
Growth 1997(8) $ 10.00 $ 0.02 $ 1.85 $ 1.87 $ -- $ -- $ -- $ 11.87
AST Putnam
Value
Growth &
Income 1997(8) $ 10.00 $ 0.07 $ 2.16 $ 2.23 $ -- $ -- $ -- $ 12.23
Twentieth
Century
Strategic
Balanced 1997(8) $ 10.00 $ 0.11 $ 1.23 $ 1.34 $ -- $ -- $ -- $ 11.34
Twentieth
Century
International
Growth 1997(8) $ 10.00 $(0.03) $ 1.55 $ 1.52 $ -- $ -- $ -- $ 11.52
T. Rowe
Price
Small
Company
Value 1997(8) $ 10.00 $ 0.06 $ 2.82 $ 2.88 $ -- $ -- $ -- $ 12.88
Marsico
Capital
Growth 1997(9) $ 10.00 $ 0.01 $ 0.02 $ 0.03 $ -- $ -- $ -- $ 10.03
</TABLE>
- --------------------------------------------------------------------------------
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(5) Commenced operations on 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.
See Notes to Financial Statements.
140
<PAGE> 142
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
--------------------------------- ---------------------------------
SUPPLEMENTAL DATA AFTER AFTER
---------------------------------------------------- ADVISORY BEFORE ADVISORY ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO AVERAGE FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER COMMISSION AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE RATE PAID+ REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- -------- ---------- ------------- --------------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
16.68% $ 185,050 305% $ 0.0603 0.99% 0.99% 0.07% 0.07%
16.34% 136,247 156% 0.0614 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)
2.03% $ 117,938 73% $ 0.0110 1.35% 1.35% 0.43% 0.43%
12.91% 117,643 133% 0.0190 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)
3.39% $ 111,954 44% $ 0.0221 1.16% 1.16% 0.98% 0.98%
30.74% 88,534 31% 0.0238 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)
7.46% $ 288,642 54% N/A 0.88% 0.88% 5.71% 5.71%
3.90% 209,013 247% N/A 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)
14.83% $ 235,648 219% $ 0.0568 1.23% 1.23% (0.59%) (0.59%)
9.90% 48,790 77% 0.0529 1.33%(1) 1.33%(1) (0.56%)(1) (0.56%)(1)
18.70% $ 255,705 94% $ 0.0158 1.35%(1) 1.35%(1) 0.36%(1) 0.36%(1)
22.30% $ 117,438 81% $ 0.0375 1.23%(1) 1.23%(1) 1.24%(1) 1.24%(1)
13.40% $ 28,947 76% $ 0.0337 1.25%(1) 1.35%(1) 2.02%(1) 1.92%(1)
15.10% $ 33,125 171% $ 0.0064 1.75%(1) 1.75%(1) (0.58%)(1) (0.58%)(1)
28.80% $ 199,896 7% $ 0.0477 1.16%(1) 1.16%(1) 1.20%(1) 1.20%(1)
0.30% $ 7,299 -- $ 0.0550 1.00%(1) 1.00%(1) 3.62%(1) 3.62%(1)
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
141
<PAGE> 143
AMERICAN SKANDIA TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
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 December 31, 1997, issued 24 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"), Federated Utility Income Portfolio ("Utility
Income"), 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"), Berger Capital Growth Portfolio ("Berger Capital
Growth"), 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"), and Marsico Capital Growth
Portfolio ("Marsico Capital Growth") (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.
Securities for which market quotations are not readily available are valued at
fair value as determined in good faith by, or at the direction of, the Board of
Trustees.
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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, market
index, or currency at a specified price and future date. The seller of the
contract agrees to make delivery 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 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
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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, such as 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, 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.
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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; Janus
Capital Corporation for Growth and Overseas Growth; J. P. Morgan Investment
Management Inc. for Money Market; Federated Investment Counseling for Utility
Income and 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 Trust Co. for Equity
Income; Founders Asset Management, Inc. for Capital Appreciation and Passport;
Rowe Price-Fleming International, Inc., a United Kingdom Corporation, for T.
Rowe International Equity and International Bond; Berger Associates, Inc. for
Berger Capital Growth; Robertson, Stephens & Company Investment Management, L.P.
for Value + Growth; American Century Investment Management, Inc. for Strategic
Balanced and International Growth; and Marsico Capital Management, LLC for
Marsico Capital Growth. The Investment Manager receives a fee, computed daily
and paid monthly, based on an annual rate of 1.00%, .75%, .90%, .50%, .75%,
.75%, .75%, .85%, .65%, .75%, .90%, 1.00%, .80%, .75%, 1.00%, .90%, .65%, 1.00%,
1.00%, .75%, .85%, 1.00%, .90%, and .90% of the average daily net assets of the
Putnam International Equity, Growth and Income, Growth, Money Market, Utility
Income, Balanced, High Yield, Asset Allocation, Total Return Bond, Equity
Income, Capital Appreciation, T. Rowe International Equity, International Bond,
Berger Capital Growth, Passport, Natural Resources, Limited Maturity Bond, Value
+ Growth, Overseas Growth, Value Growth & Income, Strategic Balanced,
International Growth, Small Company Value, and Marsico Capital Growth
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 Utility
Income are at the rate of .60% for average daily net assets in excess of $50
million, and for Balanced are at the rate of .70% for average daily net assets
in excess of $300 million. The Investment Manager voluntarily waived .05% from
its fee for the Money Market Portfolio during 1997 and, since November 1, 1997,
voluntarily waived .05% from its fee for the Growth 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%, .55%, .60%, .60%, .30%, .60%, .65%, .45%,
.50%, .70%, .60%, and .45% of the average daily net assets of the Putnam
International Equity, Growth and Income, Growth, Money Market, Utility Income,
Balanced, High Yield, Asset Allocation, Total Return Bond, Equity Income,
Capital Appreciation, T. Rowe International Equity, International Bond, Berger
Capital Growth, Passport, Natural Resources, Limited Maturity Bond, Value +
Growth, Overseas Growth, Value Growth & Income, Strategic Balanced,
International Growth, Small Company Value, and Marsico Capital Growth
Portfolios, respectively. The
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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 and
Marsico Capital Growth, are reduced for Portfolio net assets in excess of
specified levels.
The Investment Management Agreement with each Portfolio provides that the
Investment Manager will reimburse the Portfolio to prevent its expenses from
exceeding a specific percentage limit. During the year ended December 31, 1997,
the Investment Manager reimbursed Money Market and Strategic Balanced in the
amount of $238,802 and $13,582, respectively.
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 December 31, 1997, 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 $ -- $3,166,259
Limited Maturity Bond.......................................... 606,299 606,299 --
Value + Growth................................................. 3,619,886 7,892 3,611,994
Overseas Growth................................................ 1,943,421 -- 1,943,421
Strategic Balanced............................................. 355,092 -- 355,092
International Growth........................................... 225,626 -- 225,626
</TABLE>
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5. PORTFOLIO SECURITIES
Purchases and sales of securities, during the period ended December 31, 1997,
were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER SECURITIES
--------------------------------- ---------------------------------
PURCHASES SALES PURCHASES SALES
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Putnam International Equity........ $ -- $ -- $ 425,935 $ 425,960
Growth and Income.................. 8,109 21,269 555,171 258,368
Growth............................. -- -- 1,317,930 1,094,418
Utility Income..................... -- -- 154,803 119,144
Balanced........................... 234,531 228,482 257,620 269,777
High Yield......................... 7,308 6,876 271,987 76,730
Asset Allocation................... 5,807 275 83,864 16,321
Total Return Bond.................. 1,197,416 1,267,253 269,034 58,102
Equity Income...................... 16,605 4,833 475,191 319,797
Capital Appreciation............... -- -- 202,210 170,805
T. Rowe International Equity....... -- -- 134,593 85,493
International Bond................. 1,568 1,471 220,738 183,519
Berger Capital Growth.............. -- -- 489,257 459,117
Passport........................... -- -- 76,161 84,692
Natural Resources.................. -- -- 64,251 43,047
Limited Maturity Bond.............. 238,995 85,503 49,558 27,245
Value + Growth..................... -- -- 492,568 311,200
Overseas Growth.................... -- -- 332,226 109,443
Value Growth & Income.............. -- -- 148,264 45,951
Strategic Balanced................. 4,825 -- 33,423 10,211
International Growth............... -- -- 57,563 27,744
Small Company Value................ -- -- 175,690 5,616
Marsico Capital Growth............. -- -- 6,378 --
</TABLE>
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At December 31, 1997, 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>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Putnam International Equity..................... $ 375,161 $ 50,793 $(15,153) $ 35,640
Growth and Income............................... 785,810 167,311 (15,016) 152,295
Growth.......................................... 1,143,981 401,726 (21,533) 380,193
Money Market.................................... 760,025 -- -- --
Utility Income.................................. 132,632 26,731 (895) 25,836
Balanced........................................ 329,116 34,456 (4,555) 29,901
High Yield...................................... 410,043 21,129 (1,349) 19,780
Asset Allocation................................ 181,278 36,825 (3,904) 32,921
Total Return Bond............................... 750,932 6,797 (1,384) 5,413
Equity Income................................... 517,926 98,176 (3,415) 94,761
Capital Appreciation............................ 236,635 56,715 (14,446) 42,269
T. Rowe International Equity.................... 396,300 89,073 (46,481) 42,592
International Bond.............................. 129,399 1,978 (4,650) (2,672)
Berger Capital Growth........................... 183,355 13,453 (10,633) 2,820
Passport........................................ 106,801 18,002 (6,833) 11,169
Natural Resources............................... 93,500 16,066 (13,348) 2,718
Limited Maturity Bond........................... 340,201 2,877 (835) 2,042
Value + Growth.................................. 226,418 19,307 (11,870) 7,437
Overseas Growth................................. 242,071 22,319 (8,948) 13,371
Value Growth & Income........................... 110,884 8,026 (2,414) 5,612
Strategic Balanced.............................. 28,430 1,986 (166) 1,820
International Growth............................ 32,864 2,081 (873) 1,208
Small Company Value............................. 195,135 22,490 (5,681) 16,809
Marsico Capital Growth.......................... 12,225 52 (29) 23
</TABLE>
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6. WRITTEN OPTIONS TRANSACTIONS
Written options transactions, during the year ended December 31, 1997, were as
follows (in thousands):
<TABLE>
<CAPTION>
TOTAL RETURN BOND LIMITED MATURITY BOND
--------------------- ---------------------
NUMBER OF NUMBER OF
CONTRACTS PREMIUM CONTRACTS PREMIUM
--------- ------- --------- -------
<S> <C> <C> <C> <C>
Balance at beginning of year............................. 962 $ 669 143 $ 44
Written.................................................. 750 495 -- --
Expired.................................................. (1,712) (1,164) (143) (44)
Exercised................................................ -- -- -- --
Closed................................................... -- -- -- --
------ ------- ---- ----
Balance at end of year................................... -- $ -- -- $ --
====== ======= ==== ====
</TABLE>
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INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders,
American Skandia Trust:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of AST Putnam International Equity Portfolio,
Lord Abbett Growth and Income Portfolio, JanCap Growth Portfolio, AST Money
Market Portfolio, Federated Utility Income 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, Berger Capital 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
and Income Portfolio, Twentieth Century Strategic Balanced Portfolio, Twentieth
Century International Growth Portfolio, T. Rowe Price Small Company Value
Portfolio, and Marsico Capital Growth Portfolio (collectively, the "Portfolios")
of American Skandia Trust ("the Trust") as of December 31, 1997, the related
statements of operations and changes in net assets and the financial highlights
for each of the periods presented. These financial statements and the financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and the financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1997 by correspondence with the custodians and brokers and where replies
were not received, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of the Portfolios of
the Trust as of December 31, 1997, the results of their operations, the changes
in their net assets, and the financial highlights for the respective stated
periods in conformity with generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 10, 1998
150
