<PAGE> 1
AMERICAN
SKANDIA
TRUST
-----------------------------------------------
ANNUAL REPORT
-----------------------------------------------
DECEMBER 31, 1998
<PAGE> 2
PERFORMANCE INFORMATION AND COMMENTARY
- --------------------------------------------------------------------------------
The following pages present information on the investment performance of each
Portfolio (other than the AST Money Market Portfolio), including comparisons
with relevant market indexes. Commentary by each Portfolio's sub-advisor
regarding its performance and relevant market conditions is also provided.
EXPLANATIONS OF MARKET INDEXES
S&P 500 INDEX -- The Standard & Poor's 500 Index is an unmanaged
capitalization-weighted measure of 500 widely held common stocks listed on the
New York Stock Exchange, American Stock Exchange, and over-the-counter market.
S&P MID-CAP 400 INDEX -- The Standard & Poor's Mid-Cap 400 Index is an unmanaged
capitalization-weighted index of 400 domestic stocks chosen for market size
(median market capitalization of about $1.2 billion as of December 1995).
RUSSELL 2000 INDEX -- The Russell 2000 Index is an unmanaged
capitalization-weighted index which is comprised of 2,000 of the smallest
capitalized U.S. domiciled companies whose common stock is traded in the U.S. on
the New York Stock Exchange, American Stock Exchange and over-the-counter
market.
NAREIT INDEX -- The NAREIT Equity REIT Index is an unmanaged
capitalization-weighted index comprised of all tax-qualified Real Estate
Investment Trusts listed on the New York Stock Exchange, American Stock Exchange
and NASDAQ National Market System.
ML HIGH YIELD INDEX -- The Merrill Lynch High Yield Index is an unmanaged index
of publicly traded non-convertible U.S. bonds rated below investment grade.
ML 1-3 YEAR INDEX -- The Merrill Lynch 1-3 Year Index is an unmanaged index of
treasury issues with maturities ranging from 1-2.99 years.
LB AGGREGATE INDEX -- The Lehman Brothers Aggregate Bond Index is an unmanaged
capitalization-weighted measure of treasury issues, agency issues, corporate
bond issues and mortgage securities.
MSCI EAFE INDEX -- The Morgan Stanley Capital International Europe, Australia,
Far East Index is an unmanaged capitalization-weighted index generally accepted
as a benchmark for major overseas markets.
SB EXTENDED MARKET INDEX -- The Salomon Brothers Extended Market Index is an
unmanaged capitalization-weighted index of the smallest 20%, based on market
capitalization, of all institutionally available non-U.S. stocks.
JPM NON-U.S. GOV'T BOND INDEX -- The J.P. Morgan Non-U.S. Government Bond Index
is an unmanaged capitalization-weighted index of government bond markets in
Australia, Belgium, Canada, Denmark, France, Germany, Italy, Japan, Netherlands,
Spain, Sweden and the United Kingdom.
BLENDED INDEX -- The Blended Index is calculated by weighting the S&P 500 Index
at 60% and the Lehman Brothers Government/Corporate Bond Index at 40%. The
Lehman Brothers Government/Corporate Bond Index is an unmanaged index comprised
of intermediate and long-term government and investment grade corporate debt
securities.
All index returns assume reinvestment of dividends and, unlike Portfolio
returns, do not reflect any fees or expenses.
1
<PAGE> 3
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam International Equity Portfolio had a total return of 20.10% in
1998 versus a 20.00% advance for the MSCI EAFE Index. Overweighting Europe at
the expense of the Pacific Basin contributed greatly to performance for much of
the year. Within Europe, Putnam concentrated on the peripheral countries, which
benefited in advance of Economic and Monetary Union and were among the
top-performing European markets. On a stock-selection level, European financial
and telecoms enjoyed strong gains.
The year was marked by extreme volatility as markets moved from record declines
to record gains in amazingly short order. This volatility was due in part to the
destabilization of world markets that resulted from the economic turmoil in
Asia, Latin America, and eastern Europe.
European markets demonstrated unparalleled vitality for much of the 12-month
period. In contrast, Asia's financial troubles were pervasive for most of the
year. The pattern of strong growth in Europe and stagnation in Asia continued
from January until August when a series of events, including the collapse of the
Russian economy and the ensuing damage to large hedge funds and their lenders,
prompted swift, sudden market reversals. MSCI EAFE ended the third quarter with
losses of 14.2%. In late September, global markets began a ferocious rally that
continued through the fourth quarter amid more attractive equity valuations;
declining interest rates in the United States, Europe, and Asia; and modest
economic improvement in the Pacific Basin.
[AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
AST Putnam International
Equity Portfolio MSCI EAFE Index
<S> <C> <C>
4/19/89 10000 10000
Dec-89 13760 10922
Dec-90 13341 8361
Dec-91 14275 9375
Dec-92 13084 8234
Dec-93 17808 10915
Dec-94 18278 11764
Dec-95 20105 13082
Dec-96 22045 13873
Dec-97 26047 14120
Dec-98 31281 16943
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 4/19/89
------ ------ ---------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 20.10% 11.93% 12.46%
</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.
2
<PAGE> 4
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
The Lord Abbett Growth and Income Portfolio provided a total return of 12.48%
for the year ended December 31, 1998, which lagged the unmanaged S&P 500 Index
return of 28.57%.
The Asian economic and currency crises, along with economic problems in Russia,
had a negative impact on U.S. corporate profits and, more important, on U.S.
investor confidence during the third quarter. The performance of the Portfolio
was affected as investors sought safety in large-capitalization growth stocks.
As a result, attention in the market focused on a very small number of the
largest growth stocks.
Lord Abbett's expectation for the U.S. economy at this time is not recession,
but rather that we have reached a turning point and will now see slower growth.
They believe gross domestic product is likely to grow at an annual rate of
approximately 2% during the next six to twelve months. It is their view that the
underpinnings of sound equity markets remain in place, while price declines late
in the Portfolio's fiscal year have created more opportunities for long-term
investors. The Portfolio continues to emphasize value opportunities in the
domestic economy, including food, health care services, entertainment and
communication stocks.
[LORD ABBETT GROWTH AND INCOME PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lord Abbett Growth and
Income Portfolio S&P 500 Index
<S> <C> <C>
5/1/92 10000 10000
Dec-92 10700 10726
Dec-93 12164 11807
Dec-94 12434 11963
Dec-95 16029 16459
Dec-96 19003 20237
Dec-97 23549 26989
Dec-98 26488 34698
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 5/1/92
------ ------ ---------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 12.48% 16.84% 15.71%
</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
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
For the year 1998, the JanCap Growth Portfolio achieved a total return of
68.26%, well outpacing the unmanaged S&P 500 Index's return of 28.57%.
Equity markets showed impressive resiliency in 1998, shaking off political
uncertainty and economic turmoil abroad to post impressive gains. U.S. equities
markets rallied during the first seven months of the year, supported by robust
economic growth, benign inflation, and low interest rates. Select megacap stocks
led the gains, while small and midsize stocks continued to lag. Even the rally
in large-cap stocks lost steam in the third quarter, when the Russian financial
meltdown sparked a global credit crunch and raised recession fears, resulting in
a steep market correction. The crisis eased in the fourth quarter, when a
combination of aggressive Federal Reserve interest rate cuts and sustained
economic growth helped drive equity markets to new highs.
The Portfolio's performance reflected impressive gains by many of the
technology, cable, life sciences, and select retailing stocks that led the
market during 1998. However, Janus scaled back the Portfolio's weighting in
financial services stocks, which had proved volatile during the third quarter
global credit crisis.
Despite lingering pressures in the global economy, Janus remains positive on
longer-term prospects for growth stocks, especially in a low interest rate
environment. Ultimately, Janus seeks companies with the potential of becoming
the leading franchises of tomorrow, instigating change rather than reacting to
it. They are confident that the Portfolio is focused on companies that can grow
their earnings in any kind of economic environment.
[JANCAP GROWTH PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<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
12/98 43124 33863
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 11/6/92
------ ------ ---------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 68.26% 29.63% 26.80%
</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
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
(FORMERLY FEDERATED UTILITY INCOME PORTFOLIO)
- --------------------------------------------------------------------------------
The Neuberger&Berman Mid-Cap Value Portfolio had a total return of -2.33%, which
underperformed its benchmark, the unmanaged S&P Mid-Cap 400 Index, which
returned 19.13% and the unmanaged S&P 500 Index, which returned 28.57%.
On May 1, 1998, pursuant to shareholder votes, Neuberger&Berman replaced
Federated Investment Counseling as sub-advisor to the Portfolio, and the
Portfolio's investment focus was shifted from an emphasis on utilities companies
to an emphasis on medium to larger capitalization companies, regardless of
industry, using a value-oriented approach. Also, on that date, the name of the
Portfolio changed from the Federated Utility Income Portfolio.
Neuberger&Berman's value discipline led them to quality companies in
out-of-favor industries like commodity oriented cyclicals and the economically
sensitive capital goods producers. Cheap stocks in these cheap groups got even
cheaper when the Asian economic crisis deepened in mid-year, and ongoing
earnings uncertainty prevented most of these stocks from participating in the
strong fourth quarter rally.
Neuberger&Berman has re-examined its discipline and taken carefully measured
steps to modify it in a manner more attuned to what they believe will be long
lasting economic and market trends. They are in the process of repositioning the
Portfolio in industries and larger companies with better pricing and earnings
power. Neuberger&Berman believes its ongoing commitment to value, tempered by
greater valuation flexibility, will enhance returns going forward.
[NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Neuberger&Berman
Mid-Cap value S&P Utilities S&P Mid-Cap
Portfolio S&P 500 Index Index 400 Index
<S> <C> <C> <C> <C>
5/4/93 10000 10000 10000 10000
Dec-93 10790 10809 10541 11308
Dec-94 10040 10951 9704 10903
Dec-95 12664 15067 13795 14276
Dec-96 14124 18526 14227 17017
Dec-97 17855 24707 17741 22506
Dec-98 17439 31765 20370 26811
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 5/4/93
------ ------ ---------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS -2.33% 10.08% 10.31%
</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.
5
<PAGE> 7
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam Balanced Portfolio provided a total return of 12.86% in 1998,
which lagged the unmanaged blended benchmark index (60% S&P 500/40% Lehman
Brothers Government/Corporate Bond Index) return of 21.35%.
The Portfolio, which under normal market conditions is able to reduce the
volatility of returns by diversifying across markets and asset classes,
experienced a hurtful confluence of negative forces. Risk positions in the
capital markets that usually offset one another acted in concert to the
detriment of performance. Weak security selection in U.S. large-cap and
international stocks hindered performance, as did the U.S. high-yield allocation
of the Portfolio which suffered greatly in the general flight to quality. The
largest positive contributor to performance was a broad portfolio bias toward
stocks over bonds.
Looking ahead, Putnam sees moderate economic growth in the U.S. and Europe, and
inflation remaining subdued, creating a favorable environment for financial
assets. Although they believe we may still see flare-ups in Brazil and other
markets, the effect of the emerging markets crisis on the developed markets is
diminishing, since any leverage that had existed earlier in 1998 has been wrung
out of the system.
Putnam still believes that the developed equity markets in Europe and the United
States should show modest appreciation in 1999, and their forecasts favor
Europe. Equity market valuations, however, are high and caution is warranted as
little cushion remains to absorb any adverse news.
[AST PUTNAM BALANCED PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
AST Putnam Balanced
Portfolio Blended Index
<S> <C> <C>
5/4/93 10000 10000
Dec-93 10570 10691
Dec-94 10580 10630
Dec-95 12971 13817
Dec-96 14427 15837
Dec-97 17064 19589
Dec-98 19258 23772
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 5/4/93
------ ------ ---------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 12.86% 12.75% 12.26%
</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
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
The Federated High Yield Portfolio achieved a total return of 2.61% for 1998
compared to 3.86% for the unmanaged ML High Yield Index.
Several factors impacted the Portfolio's relative performance. First, the
Portfolio's overweight in cable TV and broadcasting continued to perform well in
a somewhat difficult market environment. The Portfolio's underweight in
industries sensitive to commodity prices such as energy, forest products and
metals positively impacted performance, given weak commodity prices. The
Portfolio was also positively impacted by calls, tenders and other corporate
actions during the year. The Portfolio was negatively impacted versus the index
by its underweight in BB-rated securities, which outperformed the overall
market, and its use of zero coupon securities, which are not included in the
Merrill Lynch Master Index despite being approximately 12% of the overall
market.
Looking out into 1999, Federated believes high yield bonds will deliver
excellent relative returns. The consensus economic forecast sees the domestic
economy continuing its remarkable growth for another year, and the yield spread
between high yield bonds and treasury securities remains very wide. Potential
risks include problems in emerging markets, low commodity prices impacting
specific issuers, Y2K and ".com mania". While these areas will need to be
monitored closely, Federated believes yield spreads at these levels have priced
in much of the potential risk. Federated maintains a bias to companies in
secularly growing industries such as telecommunications and companies with
stable business profiles like food related issuers, cable TV and broadcasting.
They are also maintaining a higher quality profile than normal, although below
the BB allocation of the Index.
[FEDERATED HIGH YIELD PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Federated High Yield Merrill Lynch High Yield
Portfolio Index
<S> <C> <C>
1/4/94 10000 10000
Dec-94 9690 9883
Dec-95 11587 11851
Dec-96 13161 13163
Dec-97 14950 14851
Dec-98 15339 15424
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 2.61% 8.94%
</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
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Asset Allocation Portfolio posted a total return of 18.36% for
the year ended December 31, 1998, but underperformed the 21.35% return of the
unmanaged blended benchmark index (60% S&P 500 Index/40% Lehman Brothers
Government/Corporate Bond Index).
T. Rowe Price's strategy remained consistent throughout the year. The Portfolio
has been defensively positioned with a slight overweighting in bonds. This
cautious stance was slightly favorable in the third quarter, but hurt the
Portfolio for the fourth quarter and year as a whole. In addition, overweighting
in international equities -- due to caution with respect to the U.S.
market -- also hurt performance for the year, even though foreign equities
rallied strongly in the fourth quarter. T. Rowe will also maintain the
Portfolio's exposure to small-cap stocks, which have hurt performance in recent
years compared with the Portfolio's benchmark, since the S&P 500 is dominated by
large-cap growth companies. They continue to believe our exposure to
international stocks and domestic small-caps will provide long-term benefits to
shareholders.
T. Rowe expects lower worldwide economic growth this year, but they do not
necessarily foresee a recession in the U.S. However, they do believe stocks will
not be able to count on getting the same punch from rising profits and falling
interest rates as they enjoyed in 1998. T. Rowe Price expects market volatility
to remain high and stock returns to be more modest in 1999. They believe U.S.
market performance should broaden to include small and mid-cap stocks, which
offer much better relative valuations, though large-caps are likely to remain
leaders given the slowing economy.
<TABLE>
<CAPTION>
T. ROWE PRICE ASSET ALLOCATION
PORTFOLIO BLENDED INDEX
------------------------------ -------------
<S> <C> <C>
1/4/94 10000.00 10000.00
12/94 9940.00 9943.00
12/95 12262.00 12923.00
12/96 13874.00 14813.00
12/97 16426.00 18323.00
12/98 19442.00 22235.00
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 18.36% 14.24%
</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
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
The PIMCO Total Return Bond Portfolio had a total return of 9.46% for 1998. This
compares to a return of 8.69% for the unmanaged LB Aggregate Index.
Out-performance was difficult to achieve during 1998 in the face of extreme
volatility in financial markets worldwide, however a careful balance of
exposures to interest rate and credit risk premiums provided superior return for
the Portfolio.
PIMCO plans an emphasis on portfolio yield using mortgage, corporate and
international bond sectors for 1999. PIMCO expects the Federal Reserve to ease
interest rates further, which may cause short/intermediate maturity securities
to benefit more than long term bonds.
<TABLE>
<CAPTION>
PIMCO Total Return
Bond Portfolio LB Aggregate Index
<S> <C> <C>
1/4/94 10000 10000
Dec-94 9750 9708
Dec-95 11581 11502
Dec-96 11977 11919
Dec-97 13160 13070
Dec-98 14405 14206
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 9.46% 7.58%
</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
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1998, the INVESCO Equity Income Portfolio showed
a total return of 13.34% compared to a return of 28.57% for the unmanaged S&P
500 Index.
The Portfolio's equities (approximately 73% of total net assets at year-end)
benefited from the continued strength in the equity markets. Though helping to
weather the volatility in the equity markets throughout the year, the
Portfolio's fixed-income investments restrained overall performance. The
Portfolio benefited from an over-weighted position in the communications and
healthcare sectors, both of which performed strongly during the period. INVESCO
continued to increase the Portfolio's holdings in the technology sector, which
also enhanced performance. However, the Portfolio's over-weighted position in
the energy sector negatively impacted performance during the period, as
commodity-oriented industries continued to be weak.
INVESCO believes U.S. economic and corporate profit growth may slow in 1999, but
that the risk of an economic recession appears to be minimal at this point, as
consumer spending shows no sign of abating. The weakening dollar and stabilizing
of the Asian crisis should also help buoy U.S. corporate profits. The Portfolio
will remain oriented towards the consumer who continues to exhibit strong
spending patterns. Specific sectors that will be emphasized in the Portfolio
include communications, technology, and consumer dominated issues. INVESCO will
invest in high quality companies they believe are exhibiting healthy balance
sheets, positive cash flow, consistent earnings growth, and are led by superior
management teams.
[INVESCO EQUITY INCOME PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
INVESCO Equity Income
Portfolio S&P Index
<S> <C> <C>
1/4/94 10000 10000
Dec-94 9750 10132
Dec-95 12682 13940
Dec-96 14849 17140
Dec-97 18313 22859
Dec-98 20755 29389
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 13.34% 15.74%
</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
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
The Founders Capital Appreciation Portfolio had a total return of 3.49% for the
year ended December 31, 1998, compared with a return for the unmanaged small-cap
Russell 2000 Index of -2.56%, and a return for the unmanaged S&P 500 Index of
28.57%. The small-cap market has rebounded since the third quarter market
correction and actually broadened out, with a greater number of small-cap stocks
across the board participating in the rally. Founders is optimistic that
smaller-cap stocks with higher relative growth rates will continue to attract
more attention, in part because the valuation differential between large- and
small-cap stocks is still high, and small-caps remain inexpensive relative to
the S&P 500 Index.
In 1998 the Portfolio was well diversified across industries and companies, with
healthcare, consumer related stocks and selective technology acting as areas of
strength. Following the third quarter correction the Portfolio increased its
technology weighting to over 23%, purchasing several stocks whose prices had
declined. An example was Viatel, a telecom services company that is building a
pan-European state-of-the-art fiber optic network. The best performing stock in
the Portfolio in 1998 was Berg Electronics, a connector company that was
purchased by a private French firm at a 50% premium. The worst performing stock
was Checkfree Holdings, which disappointed on the earnings front because of a
delay in banks rolling out home banking.
On January 1, 1999 Janus Capital Corporation became the sub-advisor to the
Portfolio, pursuant to a vote of shareholders.
[FOUNDERS CAPITAL APPRECIATION PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Founders Capital
Appreciation
Portfolio S&P 500 Index Russell 2000 Index
<S> <C> <C> <C>
1/4/94 10000 10000 10000
Dec-94 10840 10132 9818
Dec-95 14369 13940 12610
Dec-96 17249 17140 14690
Dec-97 18286 22859 17976
Dec-98 18926 29389 17516
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 3.49% 13.62%
</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.
11
<PAGE> 13
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1998, the 14.03% total return of the T. Rowe
Price International Equity Portfolio lagged behind the unmanaged MSCI EAFE Index
return of 20.00%
Europe, up 29%, was the strongest international region in 1998, while Latin
America, down 35%, was the weakest. Latin America suffered the savage sell-off
that afflicted the Far East last year as "Asian contagion", exacerbated by the
Russian default and devaluation, induced a loss of confidence in Brazil and the
region. Japan managed a modest increase of 5% in U.S. dollar terms, but the rest
of the Far East, excluding Australia, declined 5%. In 1998 the dollar fell 13%
against yen, 7% against major European currencies, and 1% against sterling --
adding to the U.S. dollar return of our international investments.
Country allocation for the Portfolio relative to the benchmark was negative over
the year. Underweighting Japan, in particular, and Asia to a lesser extent,
added value. However, these gains were offset largely by Latin American
holdings. Stock selection was positive for the year, with holdings in the
Netherlands, Belgium, France, and Japan particularly successful.
Looking forward, Rowe Price-Fleming sees international economies growing more
slowly. They believe their cautious stance in the Pacific and Japan will help
shield the Portfolio from the pain that those markets must go through before
they can emerge as fundamentally healthy investment centers. Rowe
Price-Fleming's outlook for currencies favors the new Euro currency over the
dollar and the yen, although they do not anticipate major moves in the year
ahead.
[T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
T. Rowe Price
International Equity
Portfolio MSCI EAFE Index
<S> <C> <C>
1/4/94 10000 10000
Dec-94 9620 10777
Dec-95 10687 11985
Dec-96 12201 12710
Dec-97 12367 12936
Dec-98 14102 15523
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 14.03% 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.
12
<PAGE> 14
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price International Bond Portfolio posted a 14.72% total return for
the year, which lagged the 18.31% return of the unmanaged JPM Non-U.S. Gov't
Bond Index.
The Portfolio's shortfall against the index for the year came entirely in the
second half, and was largely the result of two factors: overweighting in
emerging market debt relative to the index (approximately a 5% allocation), and
underweighting in Japan. The modest emerging market exposure detracted from
performance. A below-index exposure to Japan, which has benefited in the past,
hurt performance during the yen's substantial fourth quarter rally. On the
positive side, Rowe Price-Fleming's decision to extend duration in the European
market boosted returns as interest rates declined there. They also enhanced
returns by maintaining very little exposure to non-government debt in Europe.
Rowe Price-Fleming believes there is little to disturb the benign environment
for inflation and the bond markets. The major question mark -- both for emerging
market assets and the global economy in general -- remains Brazil. Rowe
Price-Fleming believes it's crucial that local and international authorities
succeed in limiting its currency's decline, minimizing the depth of the
recession, bringing local interest rates down, and forging ahead with economic
and fiscal reforms. The price of failure is quite high -- and could bring
contagion full circle by sparking new devaluations in Asia, with China and Hong
Kong areas of special concern. Fortunately, Rowe Price-Fleming thinks the
industrialized nations and the IMF realize this, and have learned from their
missteps in Asia and Russia.
[T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
T. Rowe Price
International Bond JPM Non-U.S. Gov't
Portfolio Bond Index
<S> <C> <C>
5/3/94 10000 10000
Dec-94 9680 10318
Dec-95 10755 12495
Dec-96 11398 13154
Dec-97 11009 12660
Dec-98 12629 14977
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/3/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 14.72% 5.13%
</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.
13
<PAGE> 15
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
(FORMERLY THE BERGER CAPITAL GROWTH PORTFOLIO)
- --------------------------------------------------------------------------------
For the year ended December 31, 1998, the Neuberger&Berman Mid-Cap Growth
Portfolio had a total return of 20.65%, outperforming the 19.13% return for the
unmanaged S&P Mid-Cap 400 Index, but lagging the unmanaged S&P 500 Index, which
had a return of 28.57%.
On May 1, 1998, pursuant to shareholder votes, Neuberger&Berman replaced Berger
Associates as sub-advisor to the Portfolio, the Portfolio's investment focus was
changed to an emphasis on mid-cap companies, and the name of the Portfolio
changed to the Neuberger&Berman Mid-Cap Growth Portfolio.
The credit crunch spawned by the collapse of the Russian ruble and the failure
of hedge fund Long Term Capital Management during the third quarter inspired
fears that smaller companies would not be able to get the financing necessary to
sustain growth, and mid-cap growth stocks were hit even harder than their
large-cap counterparts, with declines more than offsetting the gains during the
first half. Then, three Federal Reserve rate cuts provided much needed
liquidity, and mid-cap growth stocks came roaring back during the fourth
quarter.
Neuberger&Berman is optimistic regarding the prospects of the mid-cap growth
sector of the stock market, believing mid-cap stocks offer both superior
earnings potential and more attractive valuations than their large-cap
counterparts. Because most mid-cap companies derive their revenues primarily
from domestic markets, they believe these types of companies should benefit from
the continuing strength of the U.S. economy.
['Neuberger&Berman Mid-Cap Growth Portfolio Graph']
<TABLE>
<CAPTION>
Neuberger &
Berman Mid-Cap S&P Mid-Cap 400
Growth Portfolio S&P 500 Index Index
<S> <C> <C> <C>
10/20/94 10000 10000 10000
Dec-94 9970 9887 9689
Dec-95 12405 13603 12687
Dec-96 14431 16726 15123
Dec-97 16839 22306 20001
Dec-98 20317 28679 23826
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 10/20/94
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 20.65% 18.37%
</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
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
The Founders Passport Portfolio had a total return of 10.92% for the year ended
December 31, 1998 compared with a return of 12.15% for the unmanaged SB Extended
Market Index, and a return of 20.00% for the unmanaged MSCI EAFE Index. Relative
to large-caps, small-cap stocks underperformed during the global economic
volatility that marked 1998, as investors sought the most liquid, defensive
stocks, which generally turned out to be larger-cap names.
Founders expects that Europe will continue to be an economic driver in 1999,
showing the best growth anywhere in the world. European companies, currently
over 70% of the Portfolio, are growing more quickly, and at better valuations,
than their counterparts in the United States. Founders employs a bottom-up
approach to find these companies, conducting proprietary research and
supplementing this information with company visits.
Moving around the world, the Portfolio is underweight in Japan, with holdings at
approximately 6% of assets. Founders believes things are slowly improving in the
Japanese economy, but small-cap companies are still struggling since they are
generally more sensitive to their local economies. Founders has also been very
selective in our holdings in the rest of Asia.
Founders believes there are still many good investment opportunities among
small-cap companies abroad. They will continue to focus on those companies with
unique products and market niches, as well as those with quality management that
can control costs. They also will continue to pay close attention to the quality
of a company's earnings, as these are the companies with the potential for
stronger-than-average real revenue and earnings growth.
<TABLE>
<CAPTION>
Founders Passport SB Extended Market
Portfolio MSCI EAFE Index Index
<S> <C> <C> <C>
5/2/95 10000 10000 10000
Dec-95 10330 10522 10280
Dec-96 11664 11158 11026
Dec-97 11901 11356 9991
Dec-98 13201 13627 11205
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 10.92% 7.86%
</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
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Natural Resources Portfolio had a total return of -11.83% for
the year ended December 31, 1998, lagging the unmanaged S&P 500 Index return of
28.57%. The Portfolio, however, outperformed the -20.65% return of the Lipper
Analytical VA Underlying Natural Resources Average for the year.
In general, industrial commodities have now declined to levels where many
producers are experiencing significant losses. Production curtailments have been
announced in gold, copper, nickel, pulp, paper, and other commodities recently,
and some improvement in prices has taken place early in 1999. T. Rowe Price
believes the more difficult variable to predict in forecasting a sustained price
recovery in natural resources is demand growth. It is likely that a combination
of further production curtailments and a reacceleration in global GDP will be
required before a sustained recovery can take place. To this end, the success of
efforts by global policy makers to stimulate world economic growth will be key
to the performance of commodity prices and natural resources equities in 1999.
Most natural resource companies are probably glad to see 1998 pass into history,
as it represented the worst industry environment they had seen in many years. T.
Rowe Price believes the value of natural resource assets should ultimately
recover, given the prospects for economic recovery in Asia and elsewhere, the
dearth of new capacity being built due to today's low commodity prices, and a
healthier supply/demand outlook. They believe this should result in firmer
markets for these resources and a better environment for your Portfolio.
[T. ROWE PRICE NATURAL RESOURCES PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
T. Rowe Price Natural
Resources Portfolio S&P 500 Index
<S> <C> <C>
5/2/95 10000 10000
Dec-95 11110 12179
Dec-96 14525 14975
Dec-97 15018 19971
Dec-98 13242 25676
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS -11.83% 7.95%
</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
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
The PIMCO Limited Maturity Bond Portfolio had a total return of 5.72% for the
year 1998, compared with a return on the unmanaged benchmark ML 1-3 Year Index
of 7.00%.
Extreme volatility in financial markets worldwide made 1998 one of the most
demanding years in recent memory for fixed income portfolio management. The
Portfolio performed in line with its benchmark index for the fourth quarter, but
lagged for the year due to this difficult environment.
PIMCO expects short-intermediate maturity bond yields to fall again in 1999,
providing an opportunity for bond price gains. However, a cautious approach to
risk is required in the face of continued financial market instability.
[PIMCO LIMITED MATURITY BOND PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
PIMCO Limited Maturity
Bond Portfolio ML 1-3 Year Index
<S> <C> <C>
5/2/95 10000 10000
Dec-95 10470 10644
Dec-96 10878 11174
Dec-97 11689 11918
Dec-98 12358 12752
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 5.72% 5.94%
</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 OPPENHEIMER LARGE-CAP GROWTH PORTFOLIO
(FORMERLY THE ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO)
- --------------------------------------------------------------------------------
The AST Oppenheimer Large-Cap Growth Portfolio returned 27.34% in calendar year
1998, compared to the unmanaged benchmark S&P 500 Index which rose 28.57%.
On December 31, 1998, OppenheimerFunds, Inc. replaced Robertson Stephens as the
Portfolio's sub-advisor, pursuant to a shareholder vote. Also on that date, the
name of the Portfolio changed to the AST Oppenheimer Large-Cap Growth Portfolio.
Leading drugstore chains, Walgreen and CVS Corporation provided strong returns
throughout the year. These companies benefited from strong demographic trends, a
favorable retail environment, and industry consolidation. Drug companies Merck &
Co., Eli Lily, and Pfizer, Inc. all produced solid returns for the Portfolio,
primarily in the first half of the year.
After somewhat desultory performance for much of the second and third quarters,
technology positions provided the Portfolio a solid source of return late in the
year. Inventory excess that plagued both the semiconductor and personal computer
makers for much of 1998 finally broke in the fourth quarter. Semiconductor
prices have increased as demand for microprocessors and memory chips outstripped
supply. Semiconductor companies Intel Corporation, Micron Technology, and Texas
Instruments provided strong positive returns. Software leader Microsoft
continued its strong calendar year performance in the fourth quarter.
[AST OPPENHEIMER LARGE-CAP GROWTH PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
AST Oppenheimer Large-
Cap Growth Portfolio S&P 500 Index
<S> <C> <C>
5/2/96 10000 10000
Dec-96 10990 11500
Dec-97 12620 15337
Dec-98 16070 19718
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/96
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 27.34% 19.45%
</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 JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
For the year 1998, the AST Janus Overseas Growth Portfolio achieved a total
return of 16.22%, versus a gain of 20.00% for the unmanaged MSCI EAFE Index.
The past year was a challenging one for equity markets, which were buffeted by
the ongoing Asian financial crisis and its spread to other emerging markets,
including Russia and Brazil. The Portfolio's emphasis on European growth stocks
paid off during the first half of the year, as bourses rallied against a
backdrop of strong economic growth and low interest rates. Performance was also
bolstered by the Portfolio's limited exposure to the lagging Asian markets.
However, the rally in European stocks capsized in the third quarter when the
Russian financial implosion touched off a sharp correction in world financial
markets. This sell-off hit European stocks especially hard, and consequently,
Portfolio performance suffered. Janus believed that these declines were, in many
cases, unwarranted, and held onto their positions. Their confidence was rewarded
when widespread global interest rate cuts and tentative recovery in world
financial markets supported a rebound in European equity markets during the
fourth quarter.
Janus remains cautiously optimistic on the outlook for world equity markets.
While low interest rates remain a positive for the European bourses,
international markets face unresolved issues including political and economic
stagnation in Japan, the unraveling financial situation in Brazil, and lagging
corporate earnings. Consequently, Janus remains cautious toward Japan and other
emerging markets.
[AST JANUS OVERSEAS GROWTH PORTFOLIO PERFORMANCE GRAPH]
<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 1/2/97
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 16.22% 17.45%
</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
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam Value Growth & Income Portfolio had a total return of 12.27% for
the year ending December 31, 1998, but trailed the unmanaged S&P 500 Index,
which rose 28.57% for the same period.
Throughout the year, though large-cap stocks outperformed their small-cap
counterparts, growth equities overshadowed value. Growth equities, which
dominate the S&P 500, have been in favor over the past four years, a preference
that has made it difficult for value portfolios to outperform the index.
In 1998, the Portfolio benefited from market weightings in two of the
top-performing sectors, utilities and consumer cyclicals. Strong stock selection
in the other two (growth-oriented) top performers, technology and health care,
also contributed to results. Overweighting the more cyclically-oriented basic
industrial, transportation, energy, and financial services sectors hindered
performance throughout the year. Money-center banks underperformed, with
Citigroup and BankAmerica declining 17.8% and 32%, respectively. Specialty
chemicals and oil also lagged.
Looking ahead, while Putnam anticipates ongoing volatility, they believe that
the Portfolio is well positioned to capture the long-term appreciation potential
of undervalued but fundamentally sound large-cap value companies. They continue
to emphasize companies with domestic exposure and minimal Asian earnings
exposure, which is illustrated by our overweight position in utilities and
financial. Putnam is emphasizing companies with high-quality earnings growth,
including a number of technology companies providing value-added increases in
productivity and health-care companies demonstrating earnings growth from new
products.
<TABLE>
<CAPTION>
AST PUTNAM VALUE GROWTH &
INCOME PORTFOLIO S&P 500 INDEX
------------------------- -------------
<S> <C> <C>
1/2/97 10000.00 10000.00
6/97 11420.00 12061.00
12/97 12230.00 13336.00
6/98 13262.00 15699.00
12/98 13730.00 17146.00
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/2/97
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 12.27% 17.18%
</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 STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
The Twentieth Century Strategic Balanced Portfolio had a total return for the
year ended December 31, 1998 of 21.29%, virtually matching its unmanaged blended
benchmark index (60% S&P 500 Index/40% Lehman Brothers Government/Corporate
Index), which returned 21.35%.
A combination of an accommodative Federal Reserve, stabilizing Asian economies
and the general attractiveness of the Portfolio's high-quality growth stocks in
a slowing corporate earnings environment contributed to performance. Companies
with dominant market franchises and visible earnings were especially good
performers. The equity portion of the Portfolio benefited from positions in
telecommunications, software, pharmaceutical, and leisure-related companies. A
significant position in cable operations also contributed to performance. Food
and beverage, energy services, environmental services, and banking stocks
detracted from performance.
At the end of 1998, the duration of the fixed-income portion of the Portfolio
was 5.0 years, and the average credit quality remained steady at AAA.
Approximately 77% of the fixed-income holdings were U.S. treasury or agency
securities, with the remainder consisting of corporate bonds, mortgage-backed
securities, asset-backed securities and other fixed-income securities.
[TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Twentieth Century
Strategic Balanced
Portfolio Blended Index
<S> <C> <C>
1/2/97 10000 10000
Jun-97 10660 11329
Dec-97 11340 12370
Jun-98 12898 13881
Dec-98 13754 15011
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/2/97
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 21.29% 17.28%
</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
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Twentieth Century International Growth Portfolio had a total return of
18.68% for the year ended December 31, 1998, but underperformed its unmanaged
benchmark the MSCI EAFE Index, which returned 20.00% for the same time period.
The year was one of the most turbulent on record for foreign stock investments.
The fertile investment environment in growth stocks during the first half of the
year turned negative during the third quarter. Following a period of extreme
volatility and rising concerns about the global economy, a sense of stability
returned to global markets toward the end of 1998. International equity markets
generally rebounded late in the year. As the markets firmed, the Portfolio
benefited from remaining fully invested.
For the past several quarters, the Portfolio has had a significant exposure to
businesses in Europe, where developing economic crosscurrents have had a
positive impact on the business climate and management attitudes toward
shareholder wealth. Earnings have been rising and interest rates falling
throughout Europe. The continued trends toward labor and pension reform,
restructuring and a wave of mergers and acquisitions contributed to the
performance of European stocks.
Major contributors to performance during the year were financial services,
technology, health care (pharmaceuticals) and consumer discretionary stocks.
Energy stocks, materials and processing, and auto and transportation stocks were
the biggest detractors from performance for the year.
<TABLE>
<CAPTION>
TWENTIETH CENTURY INTERNATIONAL
GROWTH PORTFOLIO MSCI EAFE INDEX
------------------------------- ---------------
<S> <C> <C>
1/2/97 10000.00 10000.00
6/97 11570.00 11121.00
12/97 11510.00 10178.00
6/98 14370.00 11799.00
12/98 13660.00 12213.00
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/2/97
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 18.68% 16.88%
</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
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Small Company Value Portfolio had a total return of -10.53%,
trailing both the unmanaged Russell 2000 Index's -2.56% return and the unmanaged
S&P 500 Index's 28.57% return for the year.
The stock market plunged through the summer and early fall, and then staged a
powerful recovery after mid-October. Large blue chips, technology stocks, and
especially any company related to the Internet had the greatest gains. Small
companies and value stocks lagged the averages. For the year, the S&P 500 Index
scored another impressive advance, rising over 28%, while small company stocks
showed generally negative results.
T. Rowe Price's stock picking was not rewarding, with few of the top holdings
making significant gains and several reporting poorer-than-expected earnings.
All in all, 1998 was a tough year for small-cap value investors. The two-tier
market that developed in 1998 was similar to that last seen in 1972, where a
narrow group of large "Nifty Fifty" stocks did far better than the average
stock. In fact, the 31% gap between the Russell 2000 Index and S&P 500 Index in
1998 was the largest ever for a calendar year.
T. Rowe Price believes corporate profits growth will remain sluggish in 1999 due
to low inflation, poor Asian and Latin American economies, tight labor markets
in the U.S., and slow growth of domestic GNP. At the same time, however,
small-cap stocks currently sell at very attractive relative valuations, and T.
Rowe Price anticipates a significantly better 1999 for their small-cap sector.
[T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
T.Rowe Price Small
Company Value
Portfolio S&P 500 Index Russell 2000 Index
<S> <C> <C> <C>
1/2/97 10000 10000 10000
Jun-97 11380 12061 11021
Dec-97 12880 13336 12231
Jun-98 13187 15699 12838
Dec-98 11523 17146 11924
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/2/97
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS -10.53% 7.35%
</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.
23
<PAGE> 25
MARSICO CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Marsico Capital Growth Portfolio delivered a total return of 41.59% for the
year ended December 31, 1998, compared with a return of 28.57% for the unmanaged
S&P 500 Index.
Earlier this year the volatility of equity investments had become a cause for
concern, particularly in July and August. Some of those concerns (e.g.,
emergency bailout of a major hedge fund, fears of a possible global credit
crunch) have since abated. Others continue to be problematic, including Asian
economic conditions, financial and governmental disarray in Russia, and
presidential impeachment proceedings. Yet, two important developments took
precedence as the year wound down. The first was three successive interest rate
cuts by the Federal Reserve, which helped set in motion a round of interest rate
cuts by central banks throughout the world. The second development relates to
continued evidence that the underlying U.S. economic fundamentals remain sound.
We have a Federal budget surplus, inflation and interest rates are low, the U.S.
employment rate is high and the consumer is strong.
Being in the right sector/industry was critical in 1998, particularly since
market leadership rotated a great deal. The Portfolio's performance was buoyed
by a variety of holdings. The area of greatest success was in technology stocks,
which at year-end represented approximately 30% of the Portfolio. Due in part to
concern about valuations of many internet-related companies, Marsico has focused
primarily on equipment suppliers to this industry.
Going forward, Marsico likely will continue to favor select technology and
financial services companies. They also believe that the automobile, airline and
consumer-oriented sectors offer attractive investment characteristics.
[MARSICO CAPITAL GROWTH PORTFOLIO PERFORMANCE GRAPH]
COMPARISON OF CHANGE IN THE
VALUE OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Marsico Capital Growth
Portfolio S&P 500 Index
<S> <C> <C>
12/22/97 10000 10000
12/31/97 10030 10255
Mar-98 12131 11686
Jun-98 13201 12071
Sep-98 11511 10870
Dec-98 14201 13185
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 12/22/97
------ ---------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 41.59% 40.69%
</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.
24
<PAGE> 26
COHEN & STEERS REALTY PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1998, the Cohen & Steers Realty Portfolio had a
total return of -16.00%. This outperformed the unmanaged NAREIT Index, which had
a total return of -17.50% for the year. The broad-based S&P 500 Index returned
28.57% for the year.
1998 was a most challenging year for REIT investors. The bear market that
gripped the industry, in the face of seemingly strong fundamentals, surprised
most with its speed and the severity of losses that were sustained. While REIT
share prices for much of the year reflected investor concern regarding the
maturity of the real estate cycle and the future direction of property prices, a
combination of Fed easings and an improved outlook for the economy enabled
prices to stabilize later in the year.
Cohen & Steers believes that REIT valuations are now at historically attractive
levels, while the health of the economy and most property markets remain strong.
The firm believes the large, well-capitalized companies that comprise the
Portfolio are attractively positioned in this environment, and they expect
future price performance to better reflect their solid earnings and secure and
growing dividends.
<TABLE>
<CAPTION>
Cohen & Steers
Realty Portfolio S&P 500 Index NAREIT Index
<S> <C> <C> <C>
1/2/98 10000 10000 10000
Mar-98 9900 11395 9953
Jun-98 9480 11771 9497
Sep-98 8460 10600 8498
Dec-98 8400 12857 8250
</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.
25
<PAGE> 27
LORD ABBETT SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
The Lord Abbett Small Cap Value Portfolio provided a total return of -0.10%,
compared with a -2.56% return for the unmanaged Russell 2000 Index and a return
on the unmanaged S&P 500 Index of 28.57%.
The market momentum seen in the early months of 1998 was overcome in the third
quarter, as concerns regarding economic and political crises in Asia and Russia
hit home. During the year's fourth quarter, however, many of the world's
financial markets experienced healthy recoveries that were triggered by interest
rate declines in the U.S. and Europe.
In a year of challenges for stocks of small companies, the Portfolio maintained
its investment focus on undervalued opportunities in various sectors of the
small-cap market. For example, overweighting of companies in the technology and
consumer non-cyclical industries, which moved ahead of the broad market early in
the year and then again during the fourth quarter, added significant value to
the Portfolio. On the other hand, exposure to financial sector stocks was
reduced late in the year, when they continued to struggle despite improved
market conditions.
Small-company stocks are currently selling at historically low prices relative
to larger companies. Lord Abbett believes this situation helps to set the stage
for a significant small-cap rebound going forward. Also, small companies, which
are less likely to be self-financing than larger ones, have often outperformed
larger companies during periods that follow Fed rate cuts.
['TO COME SMALL CAP']
<TABLE>
<CAPTION>
Lord Abbett Small
Cap Value Portfolio S&P 500 Index Russell 2000 Index
<S> <C> <C> <C>
1/2/98 10000 10000 10000
Mar-98 11470 11395 11005
Jun-98 10850 11771 10492
Sep-98 8450 10600 8378
Dec-98 9990 12857 9744
</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.
26
<PAGE> 28
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
The Bankers Trust Enhanced 500 Portfolio achieved a total return of 27.90% for
the year ended December 31, 1998, compared to the unmanaged S&P 500 Index return
of 28.57%.
The first day this new Portfolio had assets available for investment was January
2, 1998. These initial cash flows received on January 2 were invested by Bankers
Trust at closing prices of that day, during which the S&P 500 Index rose
approximately 0.60%.
The fourth quarter 1998 returns, the strongest in some 20 years for most major
large-cap domestic equity indices, made a strong finish to a volatile year.
Despite volatility throughout the year in Asia, Latin America and Russia, the
U.S. equity market continued to push on. The S&P 500 Index outperformed the Dow
Jones Industrials, which returned 18.17% for the year, but underperformed the
NASDAQ Composite, which returned 39.63% for the year.
Economic and financial market performance ran on parallel tracks in the
industrial countries in 1998, and Bankers Trust believes that pattern seems
likely to persist in 1999. In the U.S., an exuberant, low-inflation economy, an
easier monetary policy, and a safe-haven status in a sea of global turmoil
helped spark rallies in Treasury securities and a fourth consecutive year of
double-digit gains in major stock indexes. With consumer fundamentals remaining
extremely favorable, Bankers Trust anticipates GDP growth of around 2.5% for
1999.
['BANKERS TRUST ENHANCED 500 PORTFOLIO PERFRMANCE GRAPH']
<TABLE>
<CAPTION>
BANKERS TRUST ENHANCED 500
PORTFOLIO S&P 500
-------------------------- -------
<S> <C> <C>
1/2/98 10000.00 10000.00
3/98 11300.00 11395.00
6/98 11700.00 11771.00
9/98 10520.00 10600.00
12/98 12790.00 12857.00
</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.
27
<PAGE> 29
STEIN ROE VENTURE PORTFOLIO
- --------------------------------------------------------------------------------
The Stein Roe Venture Portfolio had a total return of -18.00% for the year ended
December 31, 1998. The unmanaged S&P 500 Index returned 28.57% for the same time
period, while the unmanaged Russell 2000 Index returned -2.56%.
The Portfolio experienced much of its relative underperformance during the first
half of 1998. A combination of some earnings disappointments among the
Portfolio's larger holdings and the generally negative environment for smaller,
less liquid, securities produced a significant negative impact on performance.
In early October, new portfolio managers were assigned to the Portfolio by Stein
Roe & Farnham. They have restructured the Portfolio with an emphasis on reducing
the level of company-specific risk in the Portfolio (which has produced greater
industry diversification as well). The number of holdings in the Portfolio
expanded from forty at the end of the third quarter to one hundred and three at
year-end.
On a sector basis, the new managers have emphasized the technology and consumer
cyclical areas. Several of the technology holdings were significant positive
contributors to fourth quarter performance, and the managers continue to see
many exciting opportunities in this sector. Following an extraordinary year in
the divergence of equity returns for the market's largest stocks versus smaller
capitalization issues, Stein Roe & Farnham believes that small capitalization
stocks are attractively valued on a relative basis.
['STEIN ROE VENTURE PORTFOLIO PERFORMANCE GRAPH']
<TABLE>
<CAPTION>
STEIN ROE VENTURE PORTFOLIO S&P 500 INDEX RUSSELL 2000 INDEX
--------------------------- ------------- ------------------
<S> <C> <C> <C>
1/2/98 10000.00 10000.00 10000.00
3/98 10600.00 11395.00 11005.00
6/98 9180.00 11771.00 10492.00
9/98 7210.00 10600.00 8378.00
12/98 8200.00 12857.00 9744.00
</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.
28
<PAGE> 30
AMERICAN SKANDIA TRUST
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1998
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
LORD ABBETT GROWTH AND INCOME PORTFOLIO
JANCAP GROWTH PORTFOLIO
AST MONEY MARKET PORTFOLIO
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
AST PUTNAM BALANCED PORTFOLIO
FEDERATED HIGH YIELD PORTFOLIO
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
PIMCO TOTAL RETURN BOND PORTFOLIO
INVESCO EQUITY INCOME PORTFOLIO
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
FOUNDERS PASSPORT PORTFOLIO
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
PIMCO LIMITED MATURITY BOND PORTFOLIO
AST OPPENHEIMER LARGE-CAP GROWTH PORTFOLIO
AST JANUS OVERSEAS GROWTH PORTFOLIO
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
MARSICO CAPITAL GROWTH PORTFOLIO
COHEN & STEERS REALTY PORTFOLIO
LORD ABBETT SMALL CAP VALUE PORTFOLIO
BANKERS TRUST ENHANCED 500 PORTFOLIO
STEIN ROE VENTURE PORTFOLIO
29
<PAGE> 31
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 98.3%
AUSTRALIA -- 1.1%
Cable & Wireless Optus Ltd.
144A*........................... 300,000 $ 631,149
Coles Myer Ltd. .................. 340,800 1,787,237
News Corp. Ltd. .................. 298,400 1,973,032
News Corp. Ltd. [ADR]............. 51,500 1,361,531
------------
5,752,949
------------
BRAZIL -- 0.9%
Companhia Energetica de Minas
Geras [ADR]..................... 134,500 2,560,424
Telesp Celular Participacoes SA
Pfd.*........................... 155,700 1,127,631
Telesp Participacoes SA Pfd.*..... 33,200 755,670
------------
4,443,725
------------
CANADA -- 4.0%
Bank of Nova Scotia............... 269,467 5,912,365
BCE, Inc. ........................ 213,581 8,065,223
BCE Mobile Communications,
Inc.*........................... 89,015 2,405,122
BCE Mobile Communications, Inc.
144A*........................... 4,900 132,394
Bombardier, Inc. Cl-B............. 209,380 2,937,705
Royal Bank of Canada.............. 9,800 486,829
------------
19,939,638
------------
FINLAND --2.7%
Huhtamaki Co. .................... 71,434 2,736,994
Nokia Oyj Cl-A.................... 68,512 8,389,296
Sampo Insurance Co. Ltd. Cl-A..... 55,900 2,136,289
------------
13,262,579
------------
FRANCE -- 15.3%
Assurances Generales de France.... 1,100 65,732
AXA SA............................ 45,667 6,621,948
Banque Nationale de Paris......... 101,797 8,386,483
Bouygues SA....................... 26,906 5,548,811
Credit Commercial de France....... 19,140 1,778,310
Equant NV*........................ 11,430 795,761
France Telecom SA................. 21,730 1,727,193
Groupe Danone..................... 8,322 2,383,669
ISIS.............................. 1,750 125,000
Lafarge SA........................ 49,912 4,744,580
Michelin C.G.D.E. Cl-B............ 89,718 3,589,677
Scor SA........................... 87,410 5,781,944
Societe Generale.................. 29,508 4,780,647
Societe Nationale Elf Aquitaine
SA.............................. 27,389 3,167,430
Societe Television Francaise...... 28,172 5,018,097
STMicroelectronics NV NY Reg*..... 103,000 8,040,437
Total SA Cl-B..................... 26,164 2,651,056
Vivendi........................... 42,599 11,057,723
------------
76,264,498
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
GERMANY -- 6.8%
Bayerische Motoren Werke AG....... 3,136 $ 2,442,115
Bayerische Motoren Werke AG
(New)*.......................... 1,248 957,625
Deutsche Telekom AG............... 113,160 3,719,865
Hoechst AG........................ 166,912 6,904,893
Mannesmann AG..................... 95,560 11,059,123
Veba AG........................... 65,769 3,897,522
Volkswagen AG..................... 62,137 5,029,101
------------
34,010,244
------------
GREECE -- 0.6%
Hellenic Telecommunication
Organization SA................. 95,722 2,546,510
Hellenic Telecommunication
Organization SA [ADR]*.......... 44,500 589,625
------------
3,136,135
------------
HONG KONG -- 0.6%
China Telecom Ltd. ............... 151,000 261,184
Hong Kong & China Gas Co. Ltd. ... 764,000 971,393
Smartone Telecommunications
Holdings Ltd. .................. 423,500 1,175,323
Smartone Telecommunications
Holdings Ltd. 144A*............. 196,000 543,951
------------
2,951,851
------------
IRELAND -- 4.1%
Allied Irish Banks PLC............ 305,143 5,473,274
Bank of Ireland PLC............... 329,322 7,340,744
CRH PLC........................... 437,974 7,575,032
------------
20,389,050
------------
ITALY -- 3.0%
Banca Popolare di Brescia......... 46,400 1,134,046
Telecom Italia SPA................ 1,526,491 13,053,321
Unione Immobliliare SPA*.......... 1,352,700 707,158
------------
14,894,525
------------
JAPAN -- 10.4%
Canon, Inc. ...................... 32,000 685,127
Chubu Electric Power Co., Inc. ... 67,000 1,354,296
Eisai Co. Ltd. ................... 44,000 858,182
Fujitsu Ltd. ..................... 322,700 4,305,657
Honda Motor Co. Ltd. ............. 56,000 1,841,899
Kita Kyushu Coca-Cola Bottling.... 1,300 40,799
Mabuchi Motor Co. Ltd. ........... 37,000 2,837,408
Matsushita-Kotobuki Electronics
Industries Ltd. ................ 100,000 2,163,186
Mitsumi Electric Co. Ltd. ........ 124,700 2,642,216
Murata Manufacturing Co. Ltd. .... 9,000 352,670
Nikko Securities Co. Ltd. ........ 1,641,000 4,582,718
Nippon Telegraph & Telephone
Corp. .......................... 6,340 4,901,282
Nippon Television Network
Corp. .......................... 8,520 2,515,288
Promise Co. Ltd. ................. 43,700 2,278,047
Ricoh Co. Ltd. ................... 153,000 1,413,394
Rohm Co. Ltd. .................... 4,000 366,678
Sankyo Co. Ltd. .................. 212,000 4,642,338
Shin-Etsu Chemical Co. Ltd. ...... 20,000 482,284
</TABLE>
30
<PAGE> 32
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Shiseido Co. Ltd. ................ 74,000 $ 952,582
Sony Corp. ....................... 37,400 2,728,823
TDK Corp. ........................ 22,000 2,014,777
Tokyo Electric Power Co. ......... 71,900 1,778,431
Yamanouchi Pharmaceutical Co.
Ltd. ........................... 181,000 5,840,956
------------
51,579,038
------------
KOREA -- 2.2%
Korea Electric Power Corp. ....... 239,194 5,927,811
Pohang Iron & Steel Co. Ltd.
[ADR]........................... 59,600 1,005,750
Samsung Electronics Co. .......... 58,060 3,896,533
------------
10,830,094
------------
MEXICO -- 2.1%
Coca-Cola Femsa SA [ADR].......... 165,134 2,188,026
Fomento Economico Mexicano SA de
CV UBD Units*................... 1,031,490 2,753,502
Grupo Televisa SA [GDR]*.......... 73,200 1,807,125
Telefonos de Mexico SA Cl-L
[ADR]........................... 77,391 3,767,974
------------
10,516,627
------------
NETHERLANDS -- 9.3%
AKZO Nobel NV..................... 183,166 8,344,937
ASM Lithography Holding NV*....... 25,400 774,700
Benckiser NV Cl-B................. 4,770 312,634
Gucci Group NV NY Reg............. 38,627 1,878,238
ING Groep NV...................... 224,885 13,720,757
KNP NV............................ 88,676 4,441,667
Koninklijke Ahold NV.............. 196,938 7,282,845
Koninklijke (Royal) Philips
Electronics NV.................. 42,730 2,868,901
Laurus NV......................... 37,133 937,887
TNT Post Group NV................. 81,210 2,618,044
Vedior NV......................... 68,875 1,357,924
Vendex NV......................... 61,642 1,497,799
------------
46,036,333
------------
POLAND -- 0.1%
Bank Handlowy W Warszawie [GDR]
144A............................ 24,900 307,179
------------
307,179
------------
PORTUGAL -- 1.6%
Cimpor-Cimentos de Portugal SA.... 37,994 1,212,857
Electicidade de Portugal SA....... 148,119 3,261,228
Portugal Telecom SA............... 72,077 3,304,803
------------
7,778,888
------------
SINGAPORE -- 1.5%
Oversea-Chinese Banking Corp.
Ltd............................. 717,000 4,867,027
United Overseas Bank Ltd.......... 382,000 2,454,120
------------
7,321,147
------------
SPAIN -- 1.2%
Telefonica SA..................... 132,807 5,914,351
Telefonica SA Bonus Rights*....... 132,807 118,100
------------
6,032,451
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SWEDEN -- 5.3%
Ericsson, (L.M.) Telephone Co.
Cl-B............................ 203,826 $ 4,853,275
ForeningsSparbanken AB............ 75,280 1,950,370
Nordbanken Holding Co. AB......... 234,918 1,507,085
Pharmacia & Upjohn, Inc........... 234,662 13,143,671
Sandvik AB Cl-B................... 26,000 449,076
SKF AB Cl-B....................... 72,130 840,942
Svenska Handelsbanken Cl-A........ 44,156 1,863,090
Volvo AB Cl-B*.................... 81,186 1,862,997
------------
26,470,506
------------
SWITZERLAND -- 10.4%
Compagnie Financiere Richemont
AG -- A Units................... 2,628 3,715,799
Edipresse S.A. Bearer............. 3,167 910,800
Fischer, (Georg) AG............... 6,015 2,034,225
Julius Baer Holdings AG Cl-B...... 2,103 6,989,687
Kuoni Reisen AG................... 361 1,432,456
Nestle SA......................... 4,638 10,096,703
Novartis AG....................... 6,498 12,773,830
PubliGroupe SA.................... 7,915 2,420,348
Swisscom AG*...................... 8,270 3,462,191
UBS AG............................ 25,393 7,801,967
------------
51,638,006
------------
UNITED KINGDOM -- 15.1%
Allied Zurich PLC*................ 483,331 7,209,395
Avis Europe PLC................... 203,705 855,789
Bass PLC.......................... 277,271 4,036,606
British Airways PLC............... 515,876 3,478,341
Cable & Wireless PLC.............. 640,800 7,878,994
Dixons Group PLC.................. 340,050 4,783,659
EMI Group PLC..................... 324,300 2,169,086
Granada Group PLC................. 394,800 6,979,269
Marks & Spencer PLC............... 492,000 3,374,657
National Westminster Bank PLC..... 309,732 5,972,737
Orange PLC*....................... 382,002 4,439,519
Scottish Power PLC................ 5,100 52,398
Securicor PLC..................... 903,871 7,579,505
Siebe PLC......................... 1,394,840 5,500,176
Smiths Industries PLC............. 270,811 3,863,708
SmithKline Beecham PLC............ 320,700 4,482,106
Vodafone Group PLC................ 150,341 2,441,356
------------
75,097,301
------------
TOTAL FOREIGN STOCK
(Cost $409,590,244)................. 488,652,764
------------
U.S. STOCK -- 0.8%
INSURANCE
AFLAC, Inc.
(Cost $3,061,067)................... 94,530 4,159,320
------------
</TABLE>
31
<PAGE> 33
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COMMERCIAL PAPER -- 1.0%
GTE Funding, Inc.
5.27%, 02/11/99................. $1,500 $ 1,490,997
Windmill Funding Corp.
5.28%, 01/13/99................. 3,500 3,493,737
------------
(Cost $4,984,837)................. 4,984,734
------------
TOTAL INVESTMENTS -- 100.1%
(Cost $417,636,148)......................... 497,796,818
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.1%)............................ (335,450)
------------
NET ASSETS -- 100.0%.......................... $497,461,368
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy FRF 860,325 $ 153,822 $ 154,014 $ 192
01/99 Buy GBP 268,192 448,954 446,110 (2,844)
03/99 Buy GBP 12,801,000 21,614,569 21,243,652 (370,917)
01/99 Buy JPY 4,206,300 36,349 37,312 963
03/99 Buy JPY 2,928,787,000 25,660,148 26,221,055 560,907
----------- ----------- -----------
$47,913,842 $48,102,143 $ 188,301
=========== =========== ===========
</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>
03/99 Sell GBP 12,801,000 $21,384,070 $21,243,652 $ 140,418
03/99 Sell JPY 2,928,787,000 22,391,338 26,221,055 (3,829,717)
----------- ----------- -----------
$43,775,408 $47,464,707 $(3,689,299)
=========== =========== ===========
</TABLE>
The following is a breakdown of the foreign stock portion of the Portfolio, by
industry classification, as of December 31, 1998. Percentages are based on net
assets.
<TABLE>
<CAPTION>
INDUSTRY
- --------
<S> <C>
Advertising........................................ 0.5%
Aerospace.......................................... 0.8%
Airlines........................................... 0.7%
Automobile Manufacturers........................... 2.6%
Automotive Parts................................... 1.2%
Beverages.......................................... 0.5%
Broadcasting....................................... 1.1%
Building Materials................................. 2.3%
Business Services.................................. 0.9%
Chemicals.......................................... 3.1%
Clothing & Apparel................................. 0.4%
Computer Hardware.................................. 0.4%
Computer Services & Software....................... 1.0%
Conglomerates...................................... 1.3%
Construction....................................... 1.5%
Consumer Products & Services....................... 4.1%
Electronic Components & Equipment.................. 4.2%
Entertainment & Leisure............................ 2.4%
Financial -- Bank & Trust.......................... 16.6%
Financial Services................................. 1.5%
Food............................................... 2.1%
Industrial Products................................ 3.3%
Insurance.......................................... 4.4%
Machinery & Equipment.............................. 2.3%
Medical Supplies & Equipment....................... 0.9%
Metals & Mining.................................... 0.5%
Office Equipment................................... 0.4%
Oil & Gas.......................................... 1.2%
Pharmaceuticals.................................... 7.5%
Printing & Publishing.............................. 0.6%
Real Estate........................................ 0.2%
Retail & Merchandising............................. 2.3%
Semiconductors..................................... 1.8%
Telecommunications................................. 19.6%
Transportation..................................... 0.8%
Utilities.......................................... 3.3%
----
TOTAL.............................................. 98.3%
====
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
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.
See Notes to Financial Statements.
32
<PAGE> 34
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
COMMON STOCK -- 92.6%
AEROSPACE -- 0.9%
United Technologies Corp. ..... 100,000 $ 10,875,000
--------------
AUTOMOBILE MANUFACTURERS -- 2.3%
Ford Motor Co.................. 210,000 12,324,375
General Motors Corp............ 210,000 15,028,125
--------------
27,352,500
--------------
BROADCASTING -- 1.2%
CBS Corp. ..................... 440,000 14,410,000
--------------
CHEMICALS -- 0.9%
Du Pont, (E.I.) de Nemours &
Co. ......................... 200,000 10,612,500
--------------
CLOTHING & APPAREL -- 1.0%
VF Corp. ...................... 250,000 11,718,750
--------------
COMPUTER HARDWARE -- 6.0%
EMC Corp.*..................... 250,000 21,250,000
International Business Machines
Corp. ....................... 200,000 36,950,000
Seagate Technology, Inc.*...... 425,000 12,856,250
--------------
71,056,250
--------------
COMPUTER SERVICES & SOFTWARE -- 3.7%
First Data Corp. .............. 450,000 14,259,375
Sun Microsystems, Inc.*........ 340,000 29,112,500
--------------
43,371,875
--------------
CONGLOMERATES -- 2.0%
Philip Morris Companies,
Inc. ........................ 450,000 24,075,000
--------------
CONSUMER PRODUCTS & SERVICES -- 1.3%
Eastman Kodak Co. ............. 160,000 11,520,000
Fortune Brands, Inc. .......... 129,700 4,101,762
--------------
15,621,762
--------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 4.2%
Emerson Electric Co. .......... 470,000 29,404,375
Texas Instruments, Inc. ....... 230,000 19,679,375
--------------
49,083,750
--------------
ENTERTAINMENT & LEISURE -- 0.7%
Time Warner, Inc. ............. 130,000 8,068,125
--------------
ENVIRONMENTAL SERVICES -- 2.1%
Waste Management, Inc. ........ 520,000 24,245,000
--------------
FINANCIAL-BANK & TRUST -- 6.2%
Bank One Corp. ................ 270,000 13,786,875
BankAmerica Corp. ............. 230,000 13,828,750
Chase Manhattan Corp. ......... 340,000 23,141,250
First Union Corp. ............. 380,000 23,108,750
--------------
73,865,625
--------------
FINANCIAL SERVICES -- 1.6%
Morgan Stanley, Dean Witter &
Co. ......................... 260,000 18,460,000
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOOD -- 6.5%
Bestfoods, Inc. ............... 270,000 $ 14,377,500
ConAgra, Inc. ................. 500,000 15,750,000
Heinz, (H.J.) Co. ............. 450,000 25,481,250
Ralston Purina Group........... 670,000 21,691,250
--------------
77,300,000
--------------
HEALTHCARE SERVICES -- 1.2%
Columbia HCA Healthcare
Corp. ....................... 560,000 13,860,000
--------------
INSURANCE -- 8.3%
Aetna, Inc. ................... 80,000 6,290,000
American General Corp. ........ 390,000 30,420,000
Chubb Corp. ................... 240,000 15,570,000
CIGNA Corp. ................... 160,000 12,370,000
Jefferson-Pilot Corp. ......... 210,000 15,750,000
St. Paul Companies, Inc. ...... 500,000 17,375,000
--------------
97,775,000
--------------
MACHINERY & EQUIPMENT -- 1.2%
Deere & Co. ................... 440,000 14,575,000
--------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.9%
Baxter International, Inc. .... 340,000 21,866,250
--------------
OIL & GAS -- 9.3%
British Petroleum Co. PLC
[ADR]........................ 300,000 26,887,500
Coastal Corp. ................. 530,000 18,516,875
Mobil Corp. ................... 370,000 32,236,250
Occidental Petroleum Corp. .... 600,000 10,125,000
Total SA [ADR]................. 450,000 22,387,500
--------------
110,153,125
--------------
PAPER & FOREST PRODUCTS -- 2.3%
Georgia Pacific Group.......... 260,000 15,226,250
Georgia-Pacific Timber Group... 500,000 11,906,250
--------------
27,132,500
--------------
PHARMACEUTICALS -- 4.3%
American Home Products
Corp. ....................... 510,000 28,719,375
Pharmacia & Upjohn, Inc. ...... 390,000 22,083,750
--------------
50,803,125
--------------
PRINTING & PUBLISHING -- 1.4%
Dow Jones & Co., Inc. ......... 340,000 16,362,500
--------------
RETAIL & MERCHANDISING -- 3.4%
May Department Stores Co. ..... 170,000 10,263,750
Wal-Mart Stores, Inc. ......... 370,000 30,131,875
--------------
40,395,625
--------------
TELECOMMUNICATIONS -- 11.6%
Alltel Corp. .................. 340,000 20,336,250
AT&T Corp. .................... 540,000 40,635,000
Bell Atlantic Corp. ........... 460,000 26,133,750
MCI WorldCom, Inc.*............ 330,000 23,677,500
SBC Communications, Inc. ...... 500,000 26,812,500
--------------
137,595,000
--------------
</TABLE>
33
<PAGE> 35
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES -- 7.1%
Carolina Power & Light Co. .... 450,000 $ 21,178,125
Duke Energy Corp. ............. 390,000 24,984,375
FirstEnergy Corp. ............. 590,000 19,211,875
Florida Progress Corp. ........ 415,000 18,597,188
--------------
83,971,563
--------------
TOTAL COMMON STOCK (Cost
$899,196,791).................... 1,094,605,825
--------------
PREFERRED STOCK -- 2.5%
INSURANCE -- 1.3%
Aetna, Inc. Cl-C 6.25%......... 200,000 15,212,500
--------------
UTILITIES -- 1.2%
Houston Industries, Inc.
7.00%........................ 140,000 14,892,500
--------------
TOTAL PREFERRED STOCK (Cost
$25,836,403)..................... 30,105,000
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 4.3%
Temporary Investment Cash
Fund......................... 25,152,892 $ 25,152,892
Temporary Investment Fund...... 25,152,892 25,152,892
--------------
(Cost $50,305,784)............. 50,305,784
--------------
TOTAL INVESTMENTS -- 99.4%
(Cost $975,338,978).............. 1,175,016,609
OTHER ASSETS LESS
LIABILITIES -- 0.6%................ 6,892,533
--------------
NET ASSETS -- 100.0%............... $1,181,909,142
==============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
34
<PAGE> 36
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
COMMON STOCK -- 85.2%
BEVERAGES -- 1.8%
Coca-Cola Co. ................. 615,650 $ 41,171,594
Coca-Cola Enterprises, Inc. ... 492,835 17,618,851
--------------
58,790,445
--------------
COMPUTER HARDWARE -- 8.0%
Dell Computer Corp.*........... 3,542,160 259,241,835
--------------
COMPUTER SERVICES & SOFTWARE -- 28.1%
America Online, Inc.*.......... 2,887,120 417,910,620
Cisco Systems, Inc.*........... 1,802,270 167,273,184
EarthLink Network, Inc.*....... 350,000 19,950,000
Edwards, (J.D.) & Co.*......... 661,365 18,766,232
Intuit, Inc.*.................. 422,006 30,595,435
Microsoft Corp.*............... 1,577,900 218,835,006
VERITAS Software Corp.*........ 710,820 42,604,774
--------------
915,935,251
--------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.6%
General Electric Co. .......... 1,251,950 127,777,147
Texas Instruments, Inc. ....... 1,021,650 87,414,928
--------------
215,192,075
--------------
ENTERTAINMENT & LEISURE -- 4.7%
Time Warner, Inc. ............. 2,477,080 153,733,777
--------------
FINANCIAL-BANK & TRUST -- 0.4%
U.S. Bancorp................... 318,455 11,305,153
--------------
FINANCIAL SERVICES -- 4.1%
Fannie Mae..................... 971,065 71,858,810
Schwab, (Charles) Corp. ....... 1,103,265 61,989,702
--------------
133,848,512
--------------
FOOD -- 2.3%
Safeway, Inc.*................. 1,226,190 74,720,953
--------------
OFFICE EQUIPMENT -- 1.3%
Staples, Inc.*................. 962,670 42,056,646
--------------
PHARMACEUTICALS -- 11.6%
Lilly, (Eli) & Co. ............ 1,132,170 100,621,609
Monsanto Co. .................. 486,455 23,106,612
Pfizer, Inc. .................. 1,025,475 128,633,020
Warner-Lambert Co. ............ 1,658,775 124,719,145
--------------
377,070,386
--------------
RETAIL & MERCHANDISING -- 4.4%
Costco Companies, Inc.*........ 874,555 63,131,939
Home Depot, Inc. .............. 499,545 30,565,910
Meyer, (Fred), Inc.*........... 835,500 50,338,875
--------------
144,036,724
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TELECOMMUNICATIONS -- 11.9%
Global TeleSystems Group,
Inc.*........................ 442,635 $ 24,676,901
Lucent Technologies, Inc. ..... 576,635 63,429,850
MCI WorldCom, Inc.*............ 1,339,410 96,102,668
Nokia Corp. Cl-A [ADR]......... 1,260,180 151,772,929
Qwest Communications
International, Inc.*......... 1,003,100 50,155,000
--------------
386,137,348
--------------
TOTAL COMMON STOCK
(Cost $1,349,292,501)............ 2,772,079,105
--------------
FOREIGN STOCK -- 2.1%
AUTOMOBILE MANUFACTURERS -- 1.0%
Porsche AG Pfd. -- (DEM)....... 13,419 30,858,092
--------------
COMPUTER SERVICES & SOFTWARE -- 1.1%
SAP AG Pfd. -- (DEM)........... 76,327 36,639,270
--------------
TOTAL FOREIGN STOCK
(Cost $53,174,500)............... 67,497,362
--------------
PAR
(000)
----------
<S> <C>
CORPORATE OBLIGATIONS -- 2.2%
ENTERTAINMENT & LEISURE -- 1.4%
Venetian Casino Resort LLC Co.
Guarantee Notes
12.25%, 11/15/04............. $ 49,725 46,741,500
--------------
TELECOMMUNICATIONS -- 0.8%
Lenfest Communications, Inc.
Sr. Notes
7.625%, 02/15/08............. 11,295 11,760,919
Lenfest Communications, Inc.
Sr. Sub. Notes
8.25%, 02/15/08.............. 12,480 12,948,000
--------------
24,708,919
--------------
TOTAL CORPORATE OBLIGATIONS
(Cost $73,520,003)............... 71,450,419
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.2%
Federal Home Loan Bank Discount
Notes 4.98%, 01/19/99........ 57,710 57,563,907
--------------
Federal Mortgage Corp. Discount
Notes
4.72%, 03/04/99.............. 50,000 49,587,000
4.74%, 01/22/99.............. 50,000 49,859,520
4.98%, 01/04/99.............. 50,000 49,978,904
5.10%, 01/20/99.............. 60,000 59,838,500
--------------
209,263,924
--------------
(Cost $266,839,358)............ 266,827,831
--------------
COMMERCIAL PAPER -- 2.2%
CIT Group Holdings
5.30%, 01/04/99
(Cost $72,867,803)............. 72,900 72,867,803
--------------
</TABLE>
35
<PAGE> 37
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash
Fund......................... 65,641 $ 65,641
Temporary Investment Fund...... 65,641 65,641
--------------
(Cost $131,282)................ 131,282
--------------
TOTAL INVESTMENTS -- 99.9%
(Cost $1,815,825,447)............ 3,250,853,802
OTHER ASSETS LESS
LIABILITIES -- 0.1%.............. 4,804,151
--------------
NET ASSETS -- 100.0%............... $3,255,657,953
==============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE APPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy DEM 16,000,000 $ 9,582,787 $ 9,616,020 $ 33,233
=========== =========== ========
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE APPRECIATION
- --------------------------------------------------------------------------------
01/99 Sell DEM 116,000,000 $70,272,701 $69,714,084 $558,617
=========== =========== ========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
* Non-income producing security.
See Notes to Financial Statements.
36
<PAGE> 38
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CORPORATE OBLIGATIONS -- 41.2%
BEVERAGES -- 3.6%
PepsiCo, Inc. Medium Term Notes
[FRN]++++
5.209%, 08/19/99................ $ 35,000 $ 34,975,113
------------
FINANCIAL-BANK & TRUST -- 33.6%
Abbey National Treasury Services
PLC Co. Guarantee Notes
[FRN]++++
5.456%, 06/01/99................ 35,000 34,984,299
American Express Centurion Notes
[FRN]++++
5.532%, 05/07/99................ 10,000 10,000,000
5.484%, 08/13/99................ 30,000 30,000,000
CoreStates Bank N.A. Notes
[FRN]++++
5.482%, 05/14/99................ 30,000 30,000,000
First Union National Bank Sr.
Notes [FRN]++++
5.208%, 01/25/99................ 25,000 25,000,000
General Motors Acceptance Corp.
Notes [FRN]++++
5.203%, 01/06/99................ 31,000 30,990,259
Key Bank N.A. Notes
5.574%, 10/15/99................ 25,000 25,000,000
4.835%, 09/03/99 [FRN]++++...... 40,000 39,993,430
LINCS Notes [VR]++++
5.544%, 01/29/99................ 25,000 25,000,000
NationsBank Corp. Sr. Medium Term
Notes Cl-F [FRN]++++
5.459%, 11/19/99................ 4,000 4,002,081
Southtrust Bank N.A. Notes
[VR]++++
4.80%, 06/01/99................. 30,000 29,990,307
US Bank N.A. Minnesota Notes
[VR]++++
5.487%, 09/15/99................ 40,000 40,000,000
------------
324,960,376
------------
FINANCIAL SERVICES -- 4.0%
CIT Group, Inc. Sr. Medium Term
Notes [FRN]++++
5.20%, 10/20/99................. 38,400 38,402,980
------------
TOTAL CORPORATE OBLIGATIONS (Cost
$398,338,469)....................... 398,338,469
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 23.5%
Federal Home Loan Bank
5.06%, 01/06/99................. 8,000 7,994,378
Federal Home Loan Mortgage Corp.
4.50%, 01/04/99................. 81,190 81,159,554
Federal National Mortgage Assoc.
4.99%, 02/16/99................. 139,000 138,113,721
------------
(Cost $227,267,653)............... 227,267,653
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 23.2%
Abbey National Treasury Services
PLC
5.72%, 06/11/99................. $ 5,000 $ 4,998,733
Bank of America
5.63%, 02/26/99................. 5,000 4,999,706
Bank of Nova Scotia
5.675%, 03/04/99................ 10,000 9,999,430
5.452%, 06/07/99 [VR]++++....... 30,000 29,989,861
Bankers Trust Co. [FRN]++++
5.07%, 05/14/99................. 15,000 14,996,340
Bayerische Vereinsbank NY
5.75%, 05/07/99................. 15,000 14,996,591
Commerzbank NY
5.67%, 03/05/99................. 10,000 9,999,173
Deutsche Bank NY
5.73%, 04/15/99................. 15,000 14,997,953
Dresdner Bank
4.95%, 11/09/99................. 30,000 29,990,101
Rabobank Nederland
5.62%, 02/03/99................. 35,000 34,999,789
5.78%, 05/05/99................. 10,000 9,998,627
Societe Generale NY [VR]++++
5.539%, 05/26/99................ 20,000 19,994,520
Toronto Dominion Bank
5.65%, 07/26/99................. 25,000 24,991,889
------------
(Cost $224,952,713)............... 224,952,713
------------
COMMERCIAL PAPER -- 8.4%
FINANCIAL-BANK & TRUST -- 3.2%
NationsBank Corp.
5.50%, 02/02/99................. 31,600 31,445,511
------------
FINANCIAL SERVICES -- 5.1%
Province of Quebec
5.50%, 01/11/99................. 20,000 19,969,444
San Paolo US Financial Co.
5.49%, 02/08/99................. 30,000 29,826,150
------------
49,795,594
------------
TOTAL COMMERCIAL PAPER
(Cost $81,241,105).................. 81,241,105
------------
</TABLE>
37
<PAGE> 39
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 3.4%
Greentree Steers Corp. [VR]++++
5.574%, 11/15/99................ $ 16,701 $ 16,698,107
The Money Store, Inc. [VR]++++
5.574%, 11/15/99................ 16,250 16,249,064
------------
(Cost $32,947,171)................ 32,947,171
------------
TOTAL INVESTMENTS -- 99.7%
(Cost $964,747,111)................. 964,747,111
OTHER ASSETS LESS
LIABILITIES -- 0.3%................. 2,986,128
------------
NET ASSETS -- 100.0%.................. $967,733,239
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
++++ Maturity date reflects the next interest rate change date.
See Notes to Financial Statements.
38
<PAGE> 40
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 95.8%
AEROSPACE -- 1.8%
Northrop Grumman Corp. ........... 15,000 $ 1,096,875
Raytheon Co. Cl-A................. 74,000 3,824,875
------------
4,921,750
------------
AIRLINES -- 1.2%
Continental Airlines, Inc.
Cl-B*........................... 99,800 3,343,300
------------
AUTOMOTIVE PARTS -- 3.6%
Autozone, Inc.*................... 69,000 2,272,687
Goodyear Tire & Rubber Co. ....... 48,000 2,421,000
Lear Corp.*....................... 63,500 2,444,750
LucasVarity PLC [ADR]............. 76,900 2,576,150
------------
9,714,587
------------
BEVERAGES -- 1.5%
Anheuser-Busch Companies, Inc..... 64,000 4,200,000
------------
BROADCASTING -- 1.1%
Scripps, (E.W.) Co. Cl-A.......... 59,300 2,950,175
------------
CHEMICALS -- 2.1%
Morton International, Inc......... 69,400 1,700,300
Praxair, Inc...................... 112,100 3,951,525
------------
5,651,825
------------
COMPUTER HARDWARE -- 2.4%
Hewlett-Packard Co................ 50,400 3,442,950
Quantum Corp.*.................... 149,000 3,166,250
------------
6,609,200
------------
COMPUTER SERVICES & SOFTWARE -- 2.5%
Computer Associates International,
Inc. ........................... 95,000 4,049,375
Parametric Technology Corp.*...... 170,000 2,783,750
------------
6,833,125
------------
CONSUMER PRODUCTS & SERVICES -- 0.7%
Raychem Corp. .................... 60,000 1,938,750
------------
CONTAINERS & PACKAGING -- 1.2%
Owens-Illinois, Inc.*............. 103,000 3,154,375
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.3%
Tandy Corp. ...................... 92,000 3,789,250
Teradyne, Inc.*................... 49,000 2,076,375
Texas Instruments, Inc. .......... 36,000 3,080,250
------------
8,945,875
------------
ENTERTAINMENT & LEISURE -- 0.9%
Mirage Resorts, Inc.*............. 165,000 2,464,687
------------
FINANCIAL-BANK & TRUST -- 8.5%
Bank One Corp. ................... 120,000 6,127,500
BankBoston Corp. ................. 147,000 5,723,812
Chase Manhattan Corp. ............ 63,000 4,287,937
Countrywide Credit Industries,
Inc. ........................... 139,000 6,976,062
------------
23,115,311
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL SERVICES -- 4.2%
Associates First Capital Corp.
Cl-A............................ 85,400 $ 3,618,825
SLM Holding Corp. ................ 154,200 7,401,600
The Dun & Bradstreet Corp. ....... 11,600 366,125
------------
11,386,550
------------
FOOD -- 3.5%
ConAgra, Inc. .................... 143,000 4,504,500
Nabisco Holdings Corp. Cl-A....... 118,000 4,897,000
------------
9,401,500
------------
HEALTHCARE SERVICES -- 2.2%
Tenet Healthcare Corp.*........... 156,400 4,105,500
Wellpoint Health Networks,
Inc.*........................... 23,000 2,001,000
------------
6,106,500
------------
HOTELS & MOTELS -- 1.3%
Crestline Capital Corp. [REIT]*... 23,050 337,106
Host Marriott Corp. [REIT]........ 230,500 3,183,781
------------
3,520,887
------------
INSURANCE -- 9.4%
Ace, Ltd. ........................ 120,000 4,132,500
Aetna, Inc. ...................... 51,000 4,009,875
AON Corp. ........................ 97,000 5,371,375
CIGNA Corp. ...................... 77,000 5,953,062
EXEL Ltd. ........................ 55,500 4,162,500
Orion Capital Corp. .............. 50,900 2,026,456
------------
25,655,768
------------
MACHINERY & EQUIPMENT -- 1.1%
McDermott International, Inc. .... 120,900 2,984,719
------------
MEDICAL SUPPLIES & EQUIPMENT -- 3.5%
Baxter International, Inc. ....... 77,000 4,952,063
Boston Scientific Corp.*.......... 141,300 3,788,606
Centocor, Inc.*................... 15,300 690,413
------------
9,431,082
------------
METALS & MINING -- 1.2%
AK Steel Holding Corp. ........... 143,000 3,360,500
------------
OFFICE EQUIPMENT -- 1.9%
Xerox Corp. ...................... 42,700 5,038,600
------------
OIL & GAS -- 4.5%
Chevron Corp. .................... 30,000 2,488,125
Coastal Corp. .................... 59,000 2,061,313
Texaco, Inc. ..................... 77,600 4,103,100
Tosco Corp. ...................... 138,000 3,570,750
------------
12,223,288
------------
PAPER & FOREST PRODUCTS -- 1.1%
Kimberly-Clark Corp. ............. 53,000 2,888,500
------------
PHARMACEUTICALS -- 4.5%
ALZA Corp.*....................... 94,000 4,911,500
American Home Products Corp. ..... 97,000 5,462,313
Biogen, Inc.*..................... 21,500 1,784,500
------------
12,158,313
------------
PRINTING & PUBLISHING -- 1.0%
New York Times Co. Cl-A........... 81,000 2,809,688
------------
</TABLE>
39
<PAGE> 41
NEUBERGER&BERMAN MID-CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
REAL ESTATE -- 0.7%
Indymac Mtge. Holdings, Inc.
[REIT].......................... 190,600 $ 2,013,213
------------
RESTAURANTS -- 1.8%
McDonald's Corp. ................. 28,000 2,145,500
Tricon Global Restaurants,
Inc.*........................... 53,000 2,656,625
------------
4,802,125
------------
RETAIL & MERCHANDISING -- 3.9%
Consolidated Stores Corp.*........ 133,800 2,701,088
Harcourt General, Inc. ........... 79,900 4,249,681
Meyer, (Fred), Inc.*.............. 61,000 3,675,250
------------
10,626,019
------------
TELECOMMUNICATIONS -- 11.1%
Bell Atlantic Corp. .............. 64,000 3,636,000
General Motors Corp. Cl-H......... 101,300 4,020,344
Loral Space & Communications
Corp.*.......................... 141,300 2,516,906
MCI WorldCom, Inc.*............... 77,000 5,524,750
MediaOne Group, Inc.*............. 129,300 6,077,100
Northern Telecom Ltd. ............ 56,000 2,807,000
Williams Companies, Inc. ......... 184,000 5,738,500
------------
30,320,600
------------
UTILITIES -- 8.1%
GPU, Inc. ........................ 44,000 1,944,250
Illinova Corp. ................... 108,000 2,700,000
K N Energy, Inc. ................. 45,000 1,636,875
Niagara Mohawk Power Corp.*....... 250,000 4,031,250
PG&E Corp. ....................... 102,100 3,216,150
Texas Utilities Co. .............. 123,000 5,742,563
Unicom Corp. ..................... 68,500 2,641,531
------------
21,912,619
------------
TOTAL COMMON STOCK
(Cost $245,721,173)................. 260,483,431
------------
<CAPTION>
PAR
(000)
---------
<S> <C> <C>
COMMERCIAL PAPER -- 2.9%
American Express Credit Corp.
6.00%, 01/04/99................. $ 4,000 3,998,000
General Electric Capital Corp.
5.95%, 01/04/99................. 4,000 3,998,017
------------
(Cost $7,996,017)................. 7,996,017
------------
SHARES
---------
SHORT-TERM INVESTMENTS -- 0.8%
Temporary Investment Cash Fund.... 1,015,047 1,015,047
Temporary Investment Fund......... 1,015,047 1,015,047
------------
(Cost $2,030,094)................. 2,030,094
------------
TOTAL INVESTMENTS -- 99.5%
(Cost $255,747,284)................. 270,509,542
OTHER ASSETS LESS
LIABILITIES -- 0.5%................. 1,458,152
------------
NET ASSETS -- 100.0%.................. $271,967,694
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
40
<PAGE> 42
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
U.S. STOCK -- 54.0%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ............... 8,400 $ 487,200
------------
AEROSPACE -- 0.4%
Raytheon Co. Cl-A.................. 20,850 1,077,684
Raytheon Co. Cl-B.................. 6,800 362,100
------------
1,439,784
------------
AIRLINES -- 0.4%
Southwest Airlines Co. ............ 65,047 1,459,492
------------
AUTOMOBILE MANUFACTURERS -- 1.0%
Ford Motor Co. .................... 36,895 2,165,275
General Motors Corp. .............. 28,640 2,049,550
------------
4,214,825
------------
AUTOMOTIVE PARTS -- 0.3%
Dana Corp. ........................ 10,485 428,574
Goodyear Tire & Rubber Co. ........ 19,298 973,343
------------
1,401,917
------------
BEVERAGES -- 0.5%
Anheuser-Busch Companies, Inc. .... 29,435 1,931,672
Coca-Cola Femsa SA [ADR]........... 1,200 15,900
------------
1,947,572
------------
BROADCASTING -- 0.2%
Chancellor Media Corp.*............ 10,550 505,081
Clear Channel Communications,
Inc.*............................ 6,600 359,700
Diva Systems Corp. Warrants*....... 210 0
Grupo Televisa SA [GDR]*........... 538 13,282
News Corp. Ltd. [ADR].............. 4,201 111,064
------------
989,127
------------
CHEMICALS -- 1.0%
Du Pont, (E.I.) de Nemours &
Co. ............................. 41,060 2,178,746
Eastman Chemical Co. .............. 21,377 956,621
Waters Corp.*...................... 4,200 366,450
Witco Corp. ....................... 36,163 576,348
------------
4,078,165
------------
CLOTHING & APPAREL -- 0.4%
Abercrombie & Fitch Co. Cl-A*...... 2,900 205,175
Cintas Corp. ...................... 10,880 766,360
Tommy Hilfiger, Corp.*............. 3,700 222,000
WestPoint Stevens, Inc.*........... 18,300 577,593
------------
1,771,128
------------
COMPUTER HARDWARE -- 1.6%
Compaq Computer Corp............... 58,630 2,458,796
Gateway 2000, Inc.*................ 7,300 373,669
International Business Machines
Corp. ........................... 19,069 3,522,998
Seagate Technology, Inc.*.......... 7,300 220,825
------------
6,576,288
------------
COMPUTER SERVICES & SOFTWARE -- 1.9%
3Com Corp.*........................ 8,900 398,831
America Online, Inc.*.............. 1,400 202,650
Aspect Development, Inc.*.......... 6,400 283,600
BMC Software, Inc.*................ 6,200 276,287
Cadence Design Systems, Inc.*...... 6,300 187,425
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Citrix Systems, Inc.*.............. 5,000 $ 485,312
Computer Sciences Corp.*........... 11,100 715,256
Compuware Corp.*................... 2,800 218,750
Comverse Technology, Inc.*......... 6,600 468,600
Concentric Networks Corp. Warrants
144A*............................ 10 1,489
Fiserv, Inc.*...................... 12,400 637,825
Intuit, Inc.*...................... 8,400 609,000
Knology Holdings, Inc. Warrants
144A*............................ 45 67
Legato Systems, Inc.*.............. 5,800 382,437
NCR Corp.*......................... 1,400 58,450
Network Appliance, Inc.*........... 2,400 108,000
Parametric Technology Corp.*....... 11,900 194,862
Paychex, Inc. ..................... 8,300 426,931
Sterling Commerce, Inc.*........... 11,700 526,500
Sun Microsystems, Inc.*............ 6,180 529,162
Sungard Data Systems, Inc.*........ 12,600 500,062
VERITAS Software Corp.*............ 8,850 530,447
------------
7,741,943
------------
CONGLOMERATES -- 1.2%
Minnesota Mining & Manufacturing
Co. ............................. 23,133 1,645,335
Philip Morris Companies, Inc. ..... 64,337 3,442,029
------------
5,087,364
------------
CONSTRUCTION -- 0.0%
Pohang Iron & Steel Co. Ltd.
[ADR]............................ 3,235 54,591
------------
CONSUMER PRODUCTS & SERVICES -- 2.2%
Apollo Group, Inc. Cl-A*........... 8,590 290,986
Clorox Co. ........................ 14,455 1,688,525
Colgate-Palmolive Co. ............. 12,505 1,161,402
Eastman Kodak Co. ................. 21,435 1,543,320
Estee Lauder Companies, Inc.
Cl-A............................. 6,700 572,850
Hasbro, Inc. ...................... 45,600 1,647,300
Hedstrom Holdings, Inc. 144A*...... 303 303
Mohawk Industries, Inc.*........... 10,990 462,267
Whitman Corp. ..................... 65,991 1,674,522
------------
9,041,475
------------
CONTAINERS & PACKAGING -- 0.5%
Owens-Illinois, Inc.*.............. 58,260 1,784,212
Sealed Air Corp.*.................. 2,400 122,550
------------
1,906,762
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.9%
American Power Conversion Corp.*... 13,800 668,438
Analog Devices, Inc.*.............. 6,900 216,487
ASM Lithography Holding NV......... 1,000 30,500
Cellnet Data Systems Warrants*..... 95 1,900
Emerson Electric Co. .............. 23,970 1,499,623
General Electric Co. .............. 28,895 2,949,096
Jabil Circuit, Inc. ............... 6,800 507,450
KLA-Tencor Corp.*.................. 6,600 286,275
Molex, Inc. ....................... 4,100 156,312
Rockwell International Corp. ...... 11,890 577,408
Samsung Electronics Co. [GDR]
144A............................. 3,167 122,721
SCI Systems, Inc.*................. 5,800 334,950
Solectron Corp.*................... 4,900 455,394
</TABLE>
41
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
STMicroelectronics NV NY Reg*...... 2,972 $ 232,002
Teradyne, Inc.*.................... 8,900 377,137
Texas Instruments, Inc. ........... 35,530 3,040,036
The Perkin-Elmer Corp. ............ 3,800 370,737
------------
11,826,466
------------
ENTERTAINMENT & LEISURE -- 0.1%
Club Regina Resorts, Inc. Warrants
144A*............................ 20 20
Royal Caribbean Cruises Ltd. ...... 9,600 355,200
------------
355,220
------------
ENVIRONMENTAL SERVICES -- 0.3%
Allied Waste Industries, Inc.*..... 3,420 80,797
Waste Management, Inc. ............ 25,380 1,183,342
------------
1,264,139
------------
FINANCIAL-BANK & TRUST -- 5.9%
Bank One Corp. .................... 49,377 2,521,313
BankAmerica Corp. ................. 61,668 3,707,788
BankBoston Corp. .................. 45,265 1,762,506
Chase Manhattan Corp. ............. 29,890 2,034,388
First Union Corp. ................. 19,905 1,210,473
Firstar Corp. ..................... 6,392 596,054
Fleet Financial Group, Inc. ....... 31,860 1,423,744
GreenPoint Financial Corp. ........ 12,300 432,037
M&T Bank Corp. .................... 587 304,616
Mercantile Bancorporation, Inc. ... 23,595 1,088,319
Morgan, (J.P.) & Co., Inc. ........ 19,859 2,086,436
National City Corp. ............... 20,885 1,514,162
Northern Trust Corp. .............. 5,700 497,681
PNC Bank Corp. NA.................. 28,206 1,526,650
State Street Boston Corp. ......... 4,100 285,206
Summit Bancorp..................... 13,225 577,767
Wells Fargo & Co. ................. 54,100 2,160,619
Zions Bancorp...................... 9,200 573,850
------------
24,303,609
------------
FINANCIAL SERVICES -- 3.2%
American Express Co. .............. 11,075 1,132,419
Capital One Financial Corp. ....... 2,500 287,500
Citigroup, Inc. ................... 75,350 3,729,825
DTI Holdings, Inc. Warrants
144A*............................ 600 30
Esat Holdings Ltd. Warrants*....... 35 2,327
Fannie Mae......................... 29,545 2,186,330
FINOVA Group, Inc. ................ 8,200 442,287
Lehman Brothers Holdings, Inc. .... 42,145 1,857,014
Merrill Lynch & Co., Inc. ......... 22,715 1,516,226
Providian Financial Corp. ......... 6,600 495,000
Washington Mutual, Inc. ........... 36,202 1,382,464
------------
13,031,422
------------
FOOD -- 1.4%
General Mills, Inc. ............... 17,276 1,343,209
Heinz, (H.J.) Co. ................. 24,340 1,378,252
Nabisco Holdings Corp. Cl-A........ 11,500 477,250
Quaker Oats Co. ................... 21,935 1,305,132
Sara Lee Corp. .................... 43,120 1,215,445
------------
5,719,288
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FURNITURE -- 0.1%
Furniture Brands International,
Inc.*............................ 15,500 $ 422,375
------------
HEALTHCARE SERVICES -- 0.3%
Health Management Associates, Inc.
Cl-A*............................ 11,025 238,416
IDEXX Laboratories, Inc.*.......... 8,000 215,250
Omnicare, Inc...................... 3,700 128,575
Quintiles Transnational Corp.*..... 8,500 453,687
------------
1,035,928
------------
HOTELS & MOTELS -- 0.1%
Epic Resorts Warrants 144A*........ 10 0
Starwood Hotels & Resorts [REIT]... 11,801 267,735
------------
267,735
------------
INDUSTRIAL PRODUCTS -- 0.0%
Orbital Imaging Corp. Warrants
144A*............................ 20 800
------------
INSURANCE -- 2.4%
Aetna, Inc. ....................... 13,350 1,049,644
Allstate Corp. .................... 37,020 1,429,897
American General Corp. ............ 31,791 2,479,698
AON Corp. ......................... 22,156 1,226,888
CIGNA Corp. ....................... 30,146 2,330,663
Hartford Life, Inc. Cl-A........... 7,700 448,525
The Equitable Companies, Inc. ..... 14,700 850,762
------------
9,816,077
------------
MACHINERY & EQUIPMENT -- 0.4%
Danaher Corp. ..................... 8,400 456,225
Deere & Co. ....................... 39,060 1,293,862
------------
1,750,087
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.4%
Baxter International, Inc. ........ 36,526 2,349,078
Bergen Brunswig Corp. Cl-A......... 11,800 411,525
Biomet, Inc. ...................... 10,100 406,525
Johnson & Johnson Co. ............. 20,575 1,725,728
MEDIQ, Inc. Warrants 144A*......... 10 0
Schein, (Henry), Inc.*............. 8,900 398,275
Sofamor Danek Group, Inc.*......... 3,000 365,250
------------
5,656,381
------------
OFFICE EQUIPMENT -- 1.4%
Herman Miller, Inc. ............... 10,900 292,937
Office Depot, Inc.*................ 16,300 602,081
Pitney Bowes, Inc. ................ 8,920 589,277
Staples, Inc.*..................... 7,600 332,025
Xerox Corp. ....................... 32,371 3,819,778
------------
5,636,098
------------
OIL & GAS -- 4.4%
Atlantic Richfield Co. ............ 35,195 2,296,474
British Petroleum Co. PLC [ADR].... 18,447 1,653,312
Burlington Resources, Inc. ........ 6,500 232,781
Chevron Corp. ..................... 27,260 2,260,876
Coastal Corp. ..................... 6,000 209,625
Conoco, Inc. Cl-A*................. 39,200 818,300
Exxon Corp. ....................... 38,631 2,824,892
Halliburton Co. ................... 34,080 1,009,620
</TABLE>
42
<PAGE> 44
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Kerr-McGee Corp. .................. 32,630 $ 1,248,097
Mobil Corp. ....................... 21,766 1,896,363
Sonat, Inc. ....................... 45,335 1,226,878
TCR Holding Corp. Cl-B............. 2,898 174
Texaco, Inc. ...................... 24,230 1,281,161
Tosco Corp. ....................... 37,515 970,701
------------
17,929,254
------------
PAPER & FOREST PRODUCTS -- 0.5%
Boise Cascade Corp. ............... 45,755 1,418,405
Kimberly-Clark Corp. .............. 13,400 730,300
------------
2,148,705
------------
PHARMACEUTICALS -- 4.0%
Agouron Pharmaceuticals, Inc.*..... 3,200 188,000
American Home Products Corp. ...... 52,956 2,982,085
Amerisource Health Corp. Cl-A*..... 5,200 338,000
Bristol-Meyers Squibb Co. ......... 22,882 3,061,898
Elan Corp. PLC [ADR]*.............. 7,300 507,806
McKesson Corp. .................... 7,400 585,062
Merck & Co., Inc. ................. 25,335 3,741,663
Pharmacia & Upjohn, Inc. .......... 74,667 4,228,019
Watson Pharmaceuticals, Inc.*...... 11,800 741,925
------------
16,374,458
------------
PRINTING & PUBLISHING -- 0.9%
Lexmark International Group, Inc.
Cl-A*............................ 6,000 603,000
McGraw-Hill Co., Inc............... 15,980 1,627,962
Times Mirror Co. Cl-A.............. 27,445 1,536,920
------------
3,767,882
------------
RAILROADS -- 0.3%
Burlington Northern Santa Fe
Corp. ........................... 38,911 1,313,246
------------
REAL ESTATE -- 0.0%
Equity Office Property Warrants*... 530 1,060
------------
RESTAURANTS -- 0.5%
AmeriKing, Inc.*................... 25 1,000
CKE Restaurants, Inc. ............. 5,291 155,754
McDonald's Corp. .................. 18,155 1,391,127
Tricon Global Restaurants, Inc.*... 7,400 370,925
------------
1,918,806
------------
RETAIL & MERCHANDISING -- 2.2%
Bed, Bath & Beyond Inc.*........... 13,300 453,862
Costco Companies, Inc.*............ 6,900 498,094
Family Dollar Stores, Inc. ........ 34,200 752,400
Federated Department Stores,
Inc.*............................ 22,000 958,375
Gucci Group NV NY Reg.............. 1,249 60,733
Kmart Corp.*....................... 88,210 1,350,716
Linens 'n Things, Inc.*............ 11,400 451,725
Meyer, (Fred), Inc.*............... 6,300 379,575
Penney, (J.C.) Co., Inc. .......... 23,395 1,096,641
Sears, Roebuck & Co. .............. 33,195 1,410,787
TJX Companies, Inc. ............... 21,100 611,900
Toys 'R' Us, Inc.*................. 49,230 830,756
------------
8,855,564
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SEMICONDUCTORS -- 1.3%
Intel Corp. ....................... 21,050 $ 2,495,741
Micron Technology, Inc.*........... 8,700 439,894
Motorola, Inc. .................... 34,235 2,090,475
Novellus Systems, Inc.*............ 4,400 217,800
Xilinx, Inc.*...................... 3,200 208,400
------------
5,452,310
------------
TELECOMMUNICATIONS -- 5.7%
Allegiance Telecom, Inc. Warrants
144A*............................ 40 640
Alltel Corp. ...................... 23,375 1,398,117
Ameritech Corp. ................... 16,485 1,044,737
Ascend Communications, Inc.*....... 13,100 861,325
AT&T Corp. ........................ 47,115 3,545,404
Bestel Warrants*................... 20 40
Cablevision Systems Corp. Cl-A*.... 7,400 371,387
Cellular Communications
International, Inc.*............. 4,350 295,800
Cincinnati Bell, Inc. ............. 13,900 525,594
Comcast Corp. Cl-A................. 5,500 322,781
Cox Communications, Inc. Cl-A*..... 5,600 387,100
General Instrument Corp.*.......... 18,200 617,662
Globalstar Telecommunications
Warrants 144A*................... 45 2,700
GTE Corp. ......................... 38,240 2,578,810
KMC Telecom Holdings, Inc. Warrants
144A*............................ 35 87
Long Distance International
Warrants 144A*................... 20 50
McCaw International Ltd.
Warrants*........................ 10 40
MediaOne Group, Inc.*.............. 37,155 1,746,285
Nextel Communications, Inc.
Cl-A*............................ 503 11,883
Onepoint Communications Warrants
144A*............................ 10 10
Pathnet, Inc. Warrants 144A*....... 30 300
Powertel, Inc. Warrants*........... 640 2,560
Qwest Communications International,
Inc.*............................ 15,900 795,000
Rhythms Netconnections Warrants
144A*............................ 160 1,200
SBC Communications, Inc. .......... 53,418 2,864,540
Sprint Corp. (FON Group)........... 21,251 1,787,740
Startec Global Communications Corp.
Warrants 144A*................... 20 20
TCA Cable TV, Inc. ................ 13,400 478,212
Tele-Communications Liberty Media,
Inc. Cl-A........................ 9,500 437,594
Tele-Communications TCI Ventures
Group Cl-A....................... 18,200 428,837
Telefonos de Mexico SA Cl-L
[ADR]............................ 1,313 63,927
Telesp Celular Participacoes SA
[ADR]*........................... 657 11,497
Telesp Participacoes SA [ADR]*..... 1,644 36,373
</TABLE>
43
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AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
U.S. West, Inc. ................... 42,446 $ 2,743,073
UIH Australia Warrants*............ 50 50
Versatel Telecom BV Warrants
144A*............................ 20 200
------------
23,361,575
------------
UTILITIES -- 2.6%
Companhia Energetica de Minas
Gerais [ADR]..................... 2,300 43,784
Consolidated Edison, Inc. ......... 32,200 1,702,575
Dominion Resources, Inc. .......... 30,220 1,412,785
Duke Energy Corp. ................. 23,705 1,518,602
Edison International Co. .......... 45,280 1,262,180
Energy East Corp. ................. 2,800 158,200
Enron Corp. ....................... 8,510 485,602
Entergy Corp. ..................... 51,455 1,601,537
Florida Progress Corp. ............ 5,100 228,544
IPALCO Enterprises, Inc. .......... 3,800 210,662
Potomac Electric Power Co. ........ 5,100 134,194
SCANA Corp. ....................... 6,500 209,625
Texas Utilities Co. ............... 31,190 1,456,183
------------
10,424,473
------------
TOTAL U.S. STOCK
(Cost $191,955,829).................. 220,830,591
------------
PREFERRED STOCK -- 0.1%
BROADCASTING -- 0.0%
Capstar Broadcasting 12.00%
[PIK]............................ 237 27,128
CBS Radio, Inc. Sub. Debs. 11.375%
[PIK]............................ 200 234
Chancellor Media Corp. 12.00%
[PIK]............................ 100 9,337
Citadel Broadcasting Co. 13.25%
[PIK]............................ 227 25,947
Echostar Communications Corp. Cl-B
12.125% [PIK].................... 113 13,100
------------
75,746
------------
INDUSTRIAL PRODUCTS -- 0.0%
Anvil Holding, Inc. 13.00% [PIK]... 13 133
------------
RESTAURANTS -- 0.0%
AmeriKing, Inc. 13.00%............. 1,287 32,497
------------
SEMICONDUCTORS -- 0.0%
Fairchild Semiconductor Corp. Sr.
Sub. Notes 11.74% [PIK] 144A..... 297 24,961
------------
TELECOMMUNICATIONS -- 0.1%
Cablevision Systems Corp. Cl-M
11.125% [PIK].................... 383 42,842
Global Crossing Holdings 10.50%
[PIK] 144A....................... 470 46,177
NEXTLINK Communications, Inc.
14.00% [PIK]..................... 485 25,826
Paxson Communications Corp. 13.25%
[PIK]............................ 3 27,779
Winstar Communications Cl-C 14.25%
[PIK]............................ 300 24,075
------------
166,699
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES -- 0.0%
El Paso Electric Co. 11.40%
[PIK]............................ 12 $ 1,290
Public Service Co. of New Hampshire
Cl-A 10.60%...................... 1,058 28,764
------------
30,054
------------
TOTAL PREFERRED STOCK
(Cost $293,923)...................... 330,090
------------
FOREIGN STOCK -- 4.5%
AIRLINES -- 0.0%
British Airways PLC -- (GBP)....... 20,781 140,118
Deutsche Lufthansa AG -- (DEM)..... 2,157 47,854
Singapore Airlines Ltd. -- (SGD)... 3,000 22,001
------------
209,973
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
Bayerische Motoren Werke
AG -- (DEM)...................... 190 147,960
Bayerische Motoren Werke AG
(New) -- (DEM)*.................. 61 46,807
Honda Motor Co. Ltd. -- (JPY)...... 5,000 164,455
Volkswagen AG -- (DEM)............. 2,210 178,868
Volvo AB Cl-B -- (SEK)............. 2,938 67,419
------------
605,509
------------
AUTOMOTIVE PARTS -- 0.1%
Bridgestone Corp. -- (JPY)......... 4,000 90,960
Michelin C.G.D.E. Cl-B -- (FRF).... 4,965 198,653
------------
289,613
------------
BEVERAGES -- 0.1%
Bass PLC -- (GBP).................. 16,166 235,350
------------
BROADCASTING -- 0.0%
News Corp. Ltd. -- (AUD)........... 3,000 19,836
------------
BUILDING MATERIALS -- 0.2%
Cimpor-Cimentos de Portugal SA --
(PTE)............................ 2,081 66,430
CRH PLC -- (IEP)................... 21,887 378,549
Lafarge SA -- (FRF)................ 1,936 184,034
------------
629,013
------------
CHEMICALS -- 0.2%
AKZO Nobel NV -- (NLG)............. 5,732 261,147
Bayer AG -- (DEM).................. 4,495 188,785
Hoechst AG -- (DEM)................ 4,016 166,136
Shin-Etsu Chemical Co.
Ltd. -- (JPY).................... 2,000 48,228
------------
664,296
------------
CLOTHING & APPAREL -- 0.0%
Onward Kashiyama Co.
Ltd. -- (JPY).................... 800 10,766
------------
CONGLOMERATES -- 0.3%
BTR PLC -- (GBP)................... 45,706 94,297
Coles Myer Ltd. -- (AUD)........... 7,600 39,856
Compagnie Financiere Richemont
AG -- A Units -- (CHF)*.......... 77 108,872
Iberdrola SA -- (ESP).............. 5,665 106,150
Securicor PLC -- (GBP)............. 18,494 155,083
</TABLE>
44
<PAGE> 46
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Smiths Industries PLC -- (GBP)..... 9,971 $ 142,258
Tomkins PLC -- (GBP)............... 45,562 214,912
Vivendi -- (FRF)................... 1,747 453,481
------------
1,314,909
------------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Bombardier, Inc. Cl-B -- (CAD).... 8,738 122,598
Cookson Group PLC -- (GBP)......... 14,929 32,291
Granada Group PLC -- (GBP)......... 14,200 251,027
Kao Corp. -- (JPY)................. 6,000 135,642
Shiseido Co. Ltd. -- (JPY)......... 2,000 25,745
------------
567,303
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.1%
Koninklijke (Royal) Philips
Electronics NV -- (NLG).......... 2,928 196,586
Rohm Co. Ltd. -- (JPY)............. 1,000 91,669
Sony Corp. -- (JPY)................ 1,000 72,963
TDK Corp. -- (JPY)................. 1,000 91,581
------------
452,799
------------
ENERGY SERVICES -- 0.0%
VA Technologie AG -- (ATS)......... 759 65,808
------------
ENTERTAINMENT & LEISURE -- 0.0%
EMI Group PLC -- (GBP)............. 13,200 88,288
------------
FINANCIAL-BANK & TRUST -- 0.7%
ABN AMRO Holding NV -- (NLG)....... 4,180 87,980
Allied Irish Banks PLC -- (IEP).... 16,881 302,790
Banca Popolare di Bergamo Credito
Varesino SPA -- (ITL)............ 1,800 43,775
Banca Popolare di
Brescia -- (ITL)................. 1,700 41,549
Banca Popolare di
Milano -- (ITL).................. 5,000 45,485
Bank of Nova Scotia -- (CAD)....... 11,158 244,817
Banque Nationale de
Paris -- (FRF)................... 4,076 335,799
Commonwealth Bank of Australia --
(AUD)............................ 7,566 107,492
Credit Commercial de
France -- (FRF).................. 764 70,984
Developmental Bank of Singapore
Ltd. -- (SGD).................... 6,000 54,183
HSBC Holdings PLC -- (HKD)......... 2,800 69,756
ING Groep NV -- (NLG).............. 5,531 337,459
Julius Baer Holdings AG
Cl-B -- (CHF).................... 56 186,126
National Westminster Bank PLC --
(GBP)............................ 8,600 165,839
Nordbanken Holding Co. AB --
(SEK)*........................... 9,551 61,273
Overseas Union Bank
Ltd. -- (SGD).................... 9,000 39,274
Royal Bank of Canada -- (CAD)...... 1,116 55,439
Svenska Handlesbanken
Cl-A -- (SEK).................... 2,842 119,914
UBS AG -- (CHF).................... 1,229 377,609
------------
2,747,543
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL SERVICES -- 0.2%
Bank of Ireland PLC -- (IEP)....... 12,218 $ 272,345
ForeningsSparbanken AB -- (SEK).... 1,910 49,485
Nikko Securities Co.
Ltd. -- (JPY).................... 57,000 159,180
Promise Co. Ltd. -- (JPY).......... 2,200 114,684
Societe Generale -- (FRF).......... 795 128,799
Unidanmark AS Cl-A -- (DKK)........ 803 72,549
------------
797,042
------------
FOOD -- 0.2%
Greencore Group PLC -- (IEP)....... 18,874 87,238
Groupe Danone -- (FRF)............. 326 93,376
Koninklijke Ahold NV -- (NLG)...... 6,554 242,370
Laurus NV -- (NLG)................. 2,072 52,334
Nestle SA -- (CHF)................. 182 396,205
------------
871,523
------------
INSURANCE -- 0.3%
Allianz AG -- (DEM)................ 312 116,144
Allied Zurich PLC -- (GBP)*........ 25,537 380,911
Assurances Generales de France --
(FRF)*........................... 1,716 102,542
AXA SA -- (FRF).................... 1,158 167,916
Istituto Nazionale delle
Assicurazioni -- (ITL)*.......... 33,000 87,359
Muenchener Rueckversicherung AG --
(DEM)............................ 213 104,229
Royal & Sun Alliance Insurance
Group PLC -- (GBP)............... 16,425 134,113
------------
1,093,214
------------
MACHINERY & EQUIPMENT -- 0.1%
Mannesmann AG -- (DEM)............. 3,351 387,810
Sandvik AB Cl-B -- (SEK)........... 2,698 46,600
Siebe PLC -- (GBP)................. 34,160 134,701
------------
569,111
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.0%
Sankyo Co. Ltd. -- (JPY)........... 5,000 109,489
------------
OFFICE EQUIPMENT -- 0.1%
Canon, Inc. -- (JPY)............... 7,900 169,141
Ricoh Co. Ltd. -- (JPY)............ 7,000 64,665
------------
233,806
------------
OIL & GAS -- 0.2%
Burmah Castrol PLC -- (GBP)........ 12,617 180,534
Ente Nazionale Idrocarburi SPA --
(ITL)............................ 29,355 192,271
Hong Kong & China Gas Co. Ltd. --
(HKD)............................ 30,000 38,144
Societe Nationale Elf Aquitaine
SA -- (FRF)...................... 2,104 243,319
Total SA Cl-B -- (FRF)............. 1,768 179,142
------------
833,410
------------
PAPER & FOREST PRODUCTS -- 0.1%
Svenska Cellulosa AB
Cl-B -- (SEK).................... 6,870 150,020
------------
PERSONAL SERVICES -- 0.0%
Vedior NV -- (NLG)................. 2,920 57,570
------------
</TABLE>
45
<PAGE> 47
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PHARMACEUTICALS -- 0.3%
Eisai Co. Ltd. -- (JPY)............ 2,000 $ 39,008
Glaxo Wellcome PLC -- (GBP)........ 3,666 126,138
Novartis AG -- (CHF)............... 259 509,145
Pharmacia & Upjohn,
Inc. -- (SEK).................... 7,294 408,545
Yamanouchi Pharmaceutical Co.
Ltd. -- (JPY).................... 5,000 161,352
------------
1,244,188
------------
PRINTING & PUBLISHING -- 0.0%
Dai Nippon Printing Co.
Ltd. -- (JPY).................... 6,000 95,854
------------
REAL ESTATE -- 0.0%
Cheung Kong Holdings
Ltd. -- (HKD).................... 11,000 79,159
Unione Immobiliare SPA -- (ITL)*... 33,000 17,252
------------
96,411
------------
RETAIL & MERCHANDISING -- 0.1%
Dixons Group PLC -- (GBP).......... 12,424 174,775
Marks & Spencer PLC -- (GBP)....... 10,537 72,274
Vendex NV -- (NLG)................. 2,530 61,475
------------
308,524
------------
SEMICONDUCTORS -- 0.1%
Fujitsu Ltd. -- (JPY).............. 23,000 306,880
------------
TELECOMMUNICATIONS -- 0.6%
BCE, Inc. -- (CAD)................. 1,400 52,867
Cable & Wireless Optus Ltd. 144A --
(AUD)*........................... 12,000 25,246
Cable & Wireless PLC -- (DEM)...... 21,509 264,465
Deutsche Telekom AG -- (DEM)....... 4,402 144,705
Ericsson, (L.M.) Telephone Co.
Cl-B -- (SEK).................... 7,938 189,011
France Telecom SA -- (FRF)......... 860 68,356
Hellenic Telecommunication
Organization SA -- (GRD)......... 4,771 126,924
KPN NV -- (NLG).................... 2,220 111,197
Nippon Telegraph & Telephone
Corp. -- (JPY)................... 25 193,268
Nokia Oyj Cl-A -- (FIM)............ 2,554 312,737
Orange PLC -- (GBP)*............... 6,700 77,865
Portugal Telecom SA -- (PTE)....... 2,231 102,294
Swisscom AG -- (CHF)*.............. 300 125,593
Telecom Italia SPA -- (ITL)........ 46,929 401,299
Telefonica SA -- (ESP)............. 6,881 306,466
Telefonica SA Bonus
Rights -- (ESP)*................. 6,881 6,119
Vodafone Group PLC -- (GBP)........ 3,964 64,371
------------
2,572,783
------------
TRANSPORTATION -- 0.1%
Peninsular & Oriental Steam
Navigation Co. -- (GBP).......... 8,509 100,588
TNT Post Group NV -- (NLG)......... 5,977 192,686
------------
293,274
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
UTILITIES -- 0.2%
Electricidade de Portugal
SA -- (PTE)...................... 5,844 $ 128,671
Scottish Power PLC -- (GBP)........ 31,901 327,752
Tokyo Electric Power
Co. -- (JPY)..................... 9,200 227,560
Veba AG -- (DEM)................... 3,633 215,294
------------
899,277
------------
TOTAL FOREIGN STOCK
(Cost $15,610,080)................... 18,433,382
------------
PAR
(000)
-----
<S> <C> <C>
CORPORATE OBLIGATIONS -- 11.0%
ADVERTISING -- 0.1%
Adams Outdoor Advertising L.P. Sr.
Notes
10.75%, 03/15/06................. $ 75 81,000
Lamar Advertising Co. Co. Guarantee
Sr. Sub. Notes
9.625%, 12/01/06................. 60 65,025
Outdoor Communications Co. Sr. Sub.
Notes
9.25%, 08/15/07.................. 50 53,000
Outdoor Systems, Inc. Sr. Sub.
Notes
8.875%, 06/15/07................. 75 79,969
------------
278,994
------------
AEROSPACE -- 0.3%
Argo-Tech Corp. Co. Guarantee Notes
8.625%, 10/01/07................. 10 9,525
Argo-Tech Corp. Sr. Sub. Notes
8.625%, 10/01/07................. 10 9,525
BE Aerospace, Inc. Sr. Sub. Notes
9.875%, 02/01/06................. 35 36,444
9.50%, 11/01/08 144A............. 10 10,600
BE Aerospace, Inc. Sr. Sub. Notes
Cl-B
8.00%, 03/01/08.................. 10 9,825
Boeing Co. Debs
6.625%, 02/15/38................. 580 578,550
Lockheed Martin Corp. Notes
7.25%, 05/15/06.................. 455 492,537
------------
1,147,006
------------
AIRLINES -- 0.2%
Aviation Sales Co. Co. Guarantee
Sr. Sub. Notes
8.125%, 02/15/08................. 20 19,850
Calair LLC Capital Corp. Co.
Guarantee Notes
8.125%, 04/01/08................. 10 10,337
Canadian Airlines Corp. Notes
10.00%, 05/01/05................. 20 17,000
Continental Airlines Series 981C
Notes
6.541%, 09/15/09................. 935 912,728
Continental Airlines Sr. Notes
9.50%, 12/15/01.................. 50 52,500
------------
1,012,415
------------
</TABLE>
46
<PAGE> 48
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
AUTOMOBILE MANUFACTURERS -- 0.1%
Chrysler Corp. Notes
7.45%, 02/01/49.................. $ 200 $ 230,500
Consorcio Grupo Dina SA [ZCB]
6.251%, 11/15/02................. 20 18,000
------------
248,500
------------
AUTOMOTIVE PARTS -- 0.0%
Hayes Lemmerz International, Inc.
Co. Guarantee Notes 144A
8.25%, 12/15/08.................. 40 40,000
Lear Corp. Sub. Notes
9.50%, 07/15/06.................. 50 54,250
Safety Components International,
Inc. Sr. Sub. Notes Cl-B
10.125%, 07/15/07................ 10 10,087
Talon Automotive Group Inc. Sr.
Sub. Notes Cl-B
9.625%, 05/01/08................. 30 29,550
------------
133,887
------------
BEVERAGES -- 0.0%
Canandaigua Wine Corp. Sr. Sub.
Notes
8.75%, 12/15/03.................. 55 55,550
------------
BROADCASTING -- 0.5%
Acme Television Co. Co. Guarantee
Notes Cl-B [STEP]
10.875%, 09/30/04................ 15 12,000
American Radio Systems Co. Co.
Guarantee Notes
9.00%, 02/01/06.................. 50 54,125
Benedek Broadcasting Sr. Notes
11.875%, 03/01/05................ 80 86,800
Capstar Broadcasting, Inc. Sr.
Disc. Notes [STEP]
12.75%, 02/01/09................. 60 49,500
CBS Corp. Sr. Notes
6.875%, 09/01/03................. 20 20,600
Central European Media Enterprises
Ltd. Sr. Notes
9.375%, 08/15/04................. 10 8,300
Chancellor Media Corp. LA Sr. Sub.
Notes Cl-B
8.125%, 12/15/07................. 5 4,975
Chancellor Media Corp. Sr. Notes
144A
8.00%, 11/01/08.................. 70 71,400
Citadel Broadcasting Co. Sr. Sub.
Notes
10.25%, 07/01/07................. 10 10,950
9.25%, 11/15/08 144A............. 10 10,462
Diva Systems Corp. Sr. Disc. Notes
[STEP] 144A
6.872%, 03/01/08................. 70 29,400
Fox/Liberty Networks LLC Sr. Notes
8.875%, 08/15/07................. 30 30,675
Golden Sky Systems Sr. Sub. Notes
144A
12.375%, 08/01/06................ 30 30,900
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Granite Broadcasting Corp. Sr. Sub.
Debs.
10.375%, 05/15/05................ $ 50 $ 51,062
Jones Intercable, Inc. Sr. Notes
9.625%, 03/15/02................. 10 10,750
News America Holdings, Inc. Debs.
7.70%, 10/30/25.................. 695 752,337
Sinclair Broadcasting Group, Inc.
Sr. Sub. Notes
8.75%, 12/15/07.................. 50 50,500
Spanish Broadcasting System, Inc.
Sr. Notes
12.50%, 06/15/02................. 50 55,062
Spanish Broadcasting System, Inc.
Sr. Notes Cl-B
11.00%, 03/15/04................. 25 26,562
TCI Communications, Inc. Sr. Notes
7.125%, 02/15/28................. 630 685,125
Young Broadcasting, Inc. Sr. Sub.
Notes Cl-B
9.00%, 01/15/06.................. 5 5,075
------------
2,056,560
------------
BUILDING MATERIALS -- 0.0%
Building Materials Corp. Sr. Notes
8.625%, 12/15/06................. 10 10,100
8.00%, 12/01/08 144A............. 10 10,075
Polytama International Notes
11.25%, 06/15/07................. 25 6,375
------------
26,550
------------
BUSINESS SERVICES -- 0.0%
Affinity Group Holding, Inc. Sr.
Notes
11.00%, 04/01/07................. 65 67,275
Iron Mountain, Inc. Sr. Sub. Notes
8.75%, 09/30/09.................. 25 25,812
Outsourcing Solutions Corp. Sr.
Sub. Notes Cl-B
11.00%, 11/01/06................. 20 19,300
U.S. Office Products Co. Co.
Guarantee Notes
9.75%, 06/15/08.................. 40 26,400
------------
138,787
------------
CHEMICALS -- 0.3%
Geo Specialty Chemicals Sr. Sub.
Notes 144A
10.125%, 08/01/08................ 10 9,750
Huntsman Corp. Sr. Sub. Notes 144A
9.50%, 07/01/07.................. 10 10,025
Lubrizol Corp. Notes
5.875%, 12/01/08................. 235 235,000
PCI Chemicals Canada, Inc. Notes
9.25%, 10/15/07.................. 50 40,437
Polymer Group Holdings, Inc. Sr.
Sub. Notes
9.00%, 07/01/07.................. 15 14,850
</TABLE>
47
<PAGE> 49
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Polymer Group, Inc. Co. Guarantee
Notes Cl-B
8.75%, 03/01/08.................. $ 10 $ 9,800
Solutia, Inc. Notes
6.72%, 10/15/37.................. 890 947,850
Trikem SA Notes 144A
10.625%, 07/24/07................ 25 13,000
------------
1,280,712
------------
CLOTHING & APPAREL -- 0.0%
Iron Age Corp. Sr. Sub. Notes
9.875%, 05/01/08................. 30 27,375
Sassco Fashions Ltd. Sr. Notes
12.75%, 03/31/04................. 25 24,750
------------
52,125
------------
COMPUTER SERVICES & SOFTWARE -- 0.3%
Concentric Network Corp. Sr. Notes
12.75%, 12/15/07................. 10 10,100
Dell Computer Corp. Debs
7.10%, 04/15/28.................. 465 464,419
IBM Corp. Notes
5.10%, 11/10/03.................. 635 630,237
L-3 Communications Corp. Sr. Sub.
Notes 144A
8.00%, 08/01/08.................. 10 10,050
Unisys Corp. Sr. Notes
7.875%, 04/01/08................. 100 106,000
Verio, Inc. Sr. Notes 144A
11.25%, 12/01/08................. 10 10,100
------------
1,230,906
------------
CONGLOMERATES -- 0.4%
Axia, Inc. Co. Guarantee Notes
10.75%, 07/15/08................. 20 20,300
Hermes Europe Railtel BV Sr. Notes
11.50%, 08/15/07................. 10 10,775
K&F Industries, Inc. Sr. Sub. Notes
Cl-B
9.25%, 10/15/07.................. 10 10,075
Philip Morris Co., Inc. Debs
7.50%, 01/15/02.................. 425 446,250
Philip Morris Co., Inc. Notes
7.50%, 04/01/04.................. 710 759,700
Walt Disney Co. Notes
5.62%, 12/01/08.................. 455 458,981
------------
1,706,081
------------
CONSTRUCTION -- 0.0%
American Architectural Co. Co.
Guarantee Notes
11.75%, 12/01/07................. 10 7,600
Newport News Shipbuilding, Inc. Sr.
Notes
8.625%, 12/01/06................. 20 21,200
------------
28,800
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
CONSUMER PRODUCTS & SERVICES -- 0.1%
Alaris Medical Systems, Inc. Sr.
Notes
9.75%, 12/01/06.................. $ 40 $ 39,650
Albecca, Inc. Sr. Sub. Notes 144A
10.75%, 08/15/08................. 20 20,400
Chattem, Inc. Co. Guarantee Notes
Cl-B
8.875%, 04/01/08................. 20 20,550
Consumers International Corp. Sr.
Notes
10.25%, 04/01/05................. 10 10,613
Decora Industries, Inc. Secured
Notes Cl-B
11.00%, 05/01/05................. 20 18,300
Doane Pet Care Co. Sr. Sub. Notes
9.75%, 05/15/07.................. 75 76,875
French Fragrances, Inc. Sr. Notes
10.375%, 05/15/07................ 10 9,988
Glenoit Corp. Co. Guarantee Notes
11.00%, 04/15/07................. 10 9,375
Hedstrom Holdings, Inc. Sr. Disc.
Notes [STEP]
11.613%, 06/01/09................ 5 2,750
Home Interiors & Gifts Sr. Sub.
Notes 144A
10.125%, 06/01/08................ 10 9,900
Intergrated Health Services, Inc.
Sr. Sub. Notes Cl-A
9.50%, 09/15/07.................. 50 47,750
Protection One Alarm, Inc. Sr.
Disc. Notes [STEP]
13.625%, 06/30/05................ 10 11,300
Revlon Consumer Products Corp. Sr.
Notes 144A
9.00%, 11/01/06.................. 10 9,925
Revlon Consumer Products Corp. Sr.
Sub. Notes
8.625%, 02/01/08................. 50 46,000
------------
333,376
------------
CONTAINERS & PACKAGING -- 0.0%
AEP Industries, Inc. Sr. Sub. Notes
9.875%, 11/15/07................. 25 25,250
Huntsman Packaging Corp. Co.
Guarantee Notes
9.125%, 10/01/07................. 15 14,925
Owens-Illinois, Inc. Sr. Notes
8.10%, 05/15/07.................. 20 21,475
Riverwood International Co. Notes
10.25%, 04/01/06................. 50 49,500
10.625%, 08/01/07................ 40 40,000
10.875%, 04/01/08................ 10 9,150
------------
160,300
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.2%
Celestica International, Inc. Sr.
Sub. Notes
10.50%, 12/31/06................. 13 14,235
</TABLE>
48
<PAGE> 50
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Cellnet Data Systems, Inc. Sr.
Disc. Notes [STEP]
14.00%, 10/01/07................. $ 75 $ 38,250
CSC Holdings, Inc. Debs.
7.875%, 02/15/18................. 10 10,163
Details, Inc. Sr. Sub. Notes
10.00%, 11/15/05................. 15 14,700
DII Group, Inc. Sr. Sub. Notes
8.50%, 09/15/07.................. 10 9,825
Flextronics International Ltd. Sr.
Sub. Notes Cl-B
8.75%, 10/15/07.................. 10 10,375
HCC Industries, Inc. Sr. Sub. Notes
10.75%, 05/15/07................. 15 14,475
Pioneer Americas Acquistics Corp.
Sr. Notes
9.25%, 06/15/07.................. 10 7,800
Raytheon Co. Notes
6.45%, 08/15/02.................. 545 557,944
Viasystems, Inc. Sr. Sub. Notes
9.75%, 06/01/07.................. 20 19,000
Wavetek Corp. Sr. Sub. Notes
10.125%, 06/15/07................ 10 9,700
------------
706,467
------------
ENTERTAINMENT & LEISURE -- 0.3%
AMC Entertainment, Inc. Sr. Sub.
Notes
9.50%, 03/15/09.................. 20 20,550
Argosy Gaming Co. Notes
13.25%, 06/01/04................. 25 27,906
Cinemark USA, Inc. Sr. Sub. Notes
9.625%, 08/01/08................. 25 26,250
Circus Circus Enterprises Sr. Notes
6.45%, 02/01/06.................. 10 8,950
Circus Circus Enterprises Sr. Sub.
Notes
9.25%, 12/01/05.................. 10 10,238
Coast Hotels & Casino, Inc. Notes
Cl-B
13.00%, 12/15/02................. 55 59,675
Colorado Gaming & Entertainment
Corp. Sr. Notes
12.00%, 06/01/03................. 159 171,396
Fitzgeralds Gaming Corp. Co.
Guarantee Notes Cl-B
12.25%, 12/15/04................. 30 17,400
Fox Family Worldwide, Inc. Sr.
Disc. Notes [STEP]
10.25%, 11/01/07................. 10 6,375
Fox Family Worldwide, Inc. Sr.
Notes
9.25%, 11/01/07.................. 30 29,700
Harrahs Operating Co., Inc. Co.
Guarantee Notes
7.875%, 12/15/05................. 20 20,100
Isle of Capri Black Hawk Corp.
Notes Cl-B
13.00%, 08/31/04................. 10 10,625
Mohegan Tribal Gaming Sr. Notes
Cl-B
13.50%, 11/15/02................. 30 36,150
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Park Place Entertainment Sr. Sub.
Notes 144A
7.875%, 12/15/05................. $ 30 $ 30,075
Players International, Inc. Sr.
Notes
10.875%, 04/15/05................ 25 27,000
Premier Parks, Inc. Sr. Notes
9.25%, 04/01/06.................. 35 36,750
Premier Parks, Inc. Sr. Notes Cl-A
12.00%, 08/15/03................. 40 43,200
Raintree Resorts Notes Cl-B
13.00%, 12/01/04................. 20 11,000
SFX Entertainment, Inc. Sr. Sub.
Notes
9.125%, 02/01/08................. 10 10,050
9.125%, 12/01/08 144A,........... 20 19,950
Showboat Marina Casinos, Inc. First
Mtge.
13.50%, 03/15/03................. 25 29,063
Silver Cinemas International, Inc.
Sr. Sub. Notes
10.50%, 04/15/05................. 20 14,800
Six Flags Theme Parks Corp. Sr.
Sub. Notes Cl-A [STEP]
12.25%, 06/15/05................. 90 98,663
Time Warner Co. Entertainment Notes
8.875%, 10/01/12................. 425 538,688
United Artist Theatre Sr. Sub.
Notes Cl-B
9.75%, 04/15/08.................. 20 19,200
------------
1,323,754
------------
ENVIRONMENTAL SERVICES -- 0.4%
Allied Waste North America, Inc.
Sr. Notes 144A
7.625%, 01/01/06................. 30 30,450
7.875%, 01/01/09................. 50 50,813
ATC Group Services, Inc. Sr. Sub.
Notes
12.00%, 01/15/08................. 10 1,000
US Filter Corp. Notes
6.50%, 05/15/03.................. 535 521,625
WMX Technologies, Inc. Notes
7.10%, 08/01/26.................. 925 979,344
------------
1,583,232
------------
EQUIPMENT SERVICES -- 0.0%
Coinmach Corp. Sr. Notes Cl-D
11.75%, 11/15/05................. 10 10,913
Jackson Products, Inc. Sr. Sub.
Notes Cl-B
9.50%, 04/15/05.................. 10 10,000
------------
20,913
------------
FARMING & AGRICULTURE -- 0.0%
Purina Mills, Inc. Sr. Sub. Notes
9.00%, 03/15/10.................. 20 20,600
------------
FINANCIAL-BANK & TRUST -- 0.5%
Allstate Financing II Notes
7.83%, 12/01/45.................. 125 134,063
</TABLE>
49
<PAGE> 51
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Banponce Corp. Medium Term Notes
7.125%, 05/02/02.................. $ 410 $ 430,500
Chevy Chase Savings Bank Sub. Debs.
9.25%, 12/01/05................... 45 45,000
Dime Capital, Inc. Trust I Notes
Cl-A
9.33%, 05/06/27................... 10 10,788
Fuji JGB LLC Pfd. Notes [VR] 144A
9.87%, 12/31/49................... 425 303,990
Greenpoint Capital Corp. Trust I
Notes
9.10%, 06/01/27................... 10 11,438
Household Finance Corp. Notes
6.50%, 11/15/08................... 235 244,988
Merita Bank Ltd. Sub. Notes
6.50%, 01/15/06................... 500 508,125
North Fork Bancorp Notes
8.70%, 12/15/26................... 5 5,969
Provident Capital, Inc. Trust Notes
8.60%, 12/01/26................... 20 23,625
Riggs Capital Corp. Trust Notes 144A
8.625%, 12/31/26.................. 15 15,731
Sovereign Capital, Inc. Trust I
Capital Securities Notes
9.00%, 04/01/27................... 15 17,456
St. Paul Bancorp, Inc. Sr. Notes
7.125%, 02/15/04.................. 350 376,250
------------
2,127,923
------------
FINANCIAL SERVICES -- 2.5%
Aames Financial Corp. Sr. Notes
9.125%, 11/01/03.................. 40 26,000
AFC Capital Trust I Notes Cl-B
8.207%, 02/03/27.................. 500 561,875
American General Institute Capital
Trust Co. Co. Guarantee Notes 144A
8.125%, 03/15/46.................. 765 885,488
AT&T Capital Corp. Medium Term Notes
6.25%, 05/15/01................... 540 536,625
CIA Latino Americana Notes 144A
11.625%, 06/01/04................. 10 6,650
CIT Group, Inc. Notes
5.50%, 10/15/01................... 480 480,600
Colonial Capital II Co. Co.
Guarantee Notes Cl-A
8.92%, 01/15/27................... 15 16,125
Commercial Credit Co. Notes
7.75%, 03/01/05................... 430 471,925
ContiFinancial Corp. Sr. Notes
8.375%, 08/15/03.................. 45 33,750
Delta Financial Corp. Sr. Notes
9.50%, 08/01/04................... 15 12,450
Dine SA de C.V. Co. Guarantee Notes
8.75%, 10/05/07................... 10 8,050
Dollar Financial Group, Inc. Sr.
Notes
10.875%, 11/15/06................. 15 15,169
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
DTI Holdings, Inc. Sr. Disc. Notes
[STEP]
11.92%, 3/01/08................... $ 120 $ 30,600
First Financial Caribbean Corp. Sr.
Notes
7.84%, 10/10/06................... 200 218,750
Firstar Bank Milwaukee Corp. Sr.
Notes
6.25%, 12/01/02................... 190 197,838
Fleet Financial Group Sub. Debs.
6.875%, 01/15/28.................. 40 42,350
Ford Motor Credit Co. Sr. Notes
7.00%, 09/25/01................... 600 624,750
FRD Acquisition Sr. Notes Cl-B
12.50%, 07/15/04.................. 10 10,200
General Motors Acceptance Corp.
Notes
5.80%, 04/09/01................... 865 871,488
Imperial Credit Capital Trust I Cl-B
10.25%, 06/14/02.................. 20 15,209
Imperial Credit Industries, Inc. Sr.
Notes
9.875%, 01/15/07.................. 20 15,550
Lehman Brothers Holdings, Inc. Notes
6.50%, 10/01/02................... 550 550,000
Merrill Lynch & Co., Inc. Notes Cl-B
6.13%, 04/07/03................... 1,850 1,887,000
Nationwide Credit, Inc. Sr. Notes
10.25%, 01/15/08.................. 10 8,325
Netia Holdings Co. Co. Guarantee
Notes Cl-B
10.25%, 11/01/07.................. 10 8,800
Ocwen Capital Corp. Trust I Notes
10.875%, 08/01/27................. 10 8,300
Paine Webber Group, Inc. Sr. Notes
6.55%, 04/15/08................... 790 792,963
Pindo Deli Financial Mauritius Co.
Co. Guarantee Notes
10.75%, 10/01/07.................. 25 13,375
PX Escrow Corp. Sr. Disc. Notes
[STEP]
9.625%, 02/01/06.................. 10 5,538
Salomon, Inc. Sr. Notes
7.30%, 05/15/02................... 465 487,311
The Money Store, Inc. Notes
8.05%, 04/15/02................... 235 253,506
TIG Holdings, Inc. Notes
8.125%, 04/15/05.................. 450 496,688
Tjiwi Kimia Financial Mauritius Ltd.
Sr. Notes
10.00%, 08/01/04.................. 25 13,375
Toyota Motor Credit Corp. Notes
5.625%, 11/13/03.................. 360 364,050
Webster Capital Corp. Trust I Notes
144A
9.36%, 01/29/27................... 10 11,175
------------
9,981,848
------------
</TABLE>
50
<PAGE> 52
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
FOOD -- 0.0%
Ameriserv Food Distributor, Inc.
Co. Guarantee Sr. Sub. Notes
8.875%, 10/15/06................. $ 20 $ 19,000
10.125%, 07/15/07................ 5 4,550
Aurora Foods, Inc. Sr. Sub. Notes
Cl-B
9.875%, 02/15/07................. 10 10,900
Aurora Foods, Inc. Sr. Sub. Notes
Cl-D
9.875%, 02/15/07................. 20 21,800
Fleming Companies, Inc. Notes Cl-B
10.50%, 12/01/04................. 20 19,100
------------
75,350
------------
FURNITURE -- 0.0%
Sealy Mattress Co. Sr. Disc. Notes
Cl-B [STEP]
10.875%, 12/15/07................ 15 9,000
------------
HEALTHCARE SERVICES -- 0.2%
Extendicare Health Services Sr.
Sub. Notes
9.35%, 12/15/07.................. 25 23,000
Global Health Sciences Co. Co.
Guarantee Notes
11.00%, 05/01/08................. 20 13,000
Healthsouth Corp. Sub. Debs. [CVT]
3.25%, 04/01/03.................. 10 8,538
Hudson Respiratory Care, Inc. Sr.
Sub. Notes
9.125%, 04/15/08................. 20 16,400
Integrated Health Services, Inc.
Sr. Sub. Notes Cl-A
9.25%, 01/15/08.................. 15 14,288
Magellan Health Services, Inc. Sr.
Sub. Notes
9.00%, 02/15/08.................. 30 26,850
Manor Care, Inc. Sr. Notes
7.50%, 06/15/06.................. 305 328,638
Mariner Post-Accute Network, Inc.
Sr. Sub. Disc. Notes
9.50%, 11/01/07.................. 50 40,500
Mariner Post-Accute Network, Inc.
Sr. Sub. Notes Cl-B [STEP]
10.565%, 11/01/07................ 10 5,413
Multicare Co. Sr. Sub. Notes
9.00%, 08/01/07.................. 50 47,500
Paracelsus Healthcare Corp. Sr.
Sub. Notes
10.00%, 08/15/06................. 40 36,800
Sun Healthcare Group, Inc. Sr. Sub.
Notes
9.50%, 07/01/07.................. 40 32,400
Tenet Healthcare Corp. Sr. Notes
144A
7.625%, 06/01/08................. 10 10,238
Tenet Healthcare Corp. Sr. Sub.
Notes 144A
8.125%, 12/01/08................. 20 20,725
------------
624,290
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
HOTELS & MOTELS -- 0.0%
Cendant Corp. Notes
7.75%, 12/01/00.................. $ 20 $ 20,125
Epic Resorts LLC Capital Co. Co.
Guarantee Notes
13.00%, 06/15/05................. 10 9,688
Host Marriott Travel Plaza Corp.
Sr. Notes Cl-B
9.50%, 05/15/05.................. 40 41,900
Prime Hospitality Corp. Sr. Sub.
Notes
9.75%, 04/01/07.................. 35 35,350
Sun International Hotels Co.
Co. Guarantee Notes
8.625%, 12/15/07................. 50 51,813
------------
158,876
------------
INDUSTRIAL PRODUCTS -- 0.0%
Carter Holdings, Inc. Sr. Sub.
Notes
12.00%, 10/01/08................. 20 21,500
Continental Global Group, Inc. Sr.
Notes Cl-B
11.00%, 04/01/07................. 25 22,031
GS Superhighway Holdings Sr. Notes
9.875%, 08/15/04................. 30 15,488
Paragon Corp. Holdings, Inc. Co.
Guarantee Notes Cl-B
9.625%, 04/01/08................. 10 8,400
------------
67,419
------------
INSURANCE -- 0.2%
Provident Companies, Inc. Notes
7.405%, 03/15/2038............... 660 649,275
------------
MACHINERY & EQUIPMENT -- 0.2%
Hertz Corp. Notes
7.00%, 01/15/28.................. 615 625,763
Johnstown America Industries, Inc.
Sr. Sub. Notes Cl-C
11.75%, 08/15/05................. 15 15,825
Morris Materials Handling Sr. Notes
9.50%, 04/01/08.................. 20 14,600
Motors and Gears, Inc. Sr. Notes
Cl-D
10.75%, 11/15/06................. 35 36,881
------------
693,069
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
CONMED Corp. Co. Guarantee Sr. Sub.
Notes
9.00%, 03/15/08.................. 20 19,475
Fresenius Medical Capital Trust I
Co. Guarantee Notes
9.00%, 12/01/06.................. 20 21,050
Graphic Controls Corp. Sr. Sub.
Notes Cl-A
12.00%, 09/15/05................. 35 40,338
Kinetic Concepts, Inc. Sr. Sub.
Notes Cl-B
9.625%, 11/01/07................. 10 9,863
</TABLE>
51
<PAGE> 53
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
MEDIQ, Inc. Debs. [STEP]
13.00%, 06/01/09................. $ 10 $ 4,500
MEDIQ, Inc. PRN Life Support Co.
Sr. Notes
11.00%, 06/01/08................. 20 19,000
Medpartners, Inc. Sr. Notes
7.375%, 10/01/06................. 50 40,500
Merck & Co., Inc. Debs.
5.95%, 12/01/28.................. 370 372,775
------------
527,501
------------
METALS & MINING -- 0.0%
AK Steel Corp. Sr. Notes
9.125%, 12/15/06................. 30 31,350
Ameristeel Corp. Co. Guarantee
Notes Cl-B
8.75%, 04/15/08.................. 20 19,400
Anker Coal Group, Inc. Sr. Notes
Cl-B
9.75%, 10/01/07.................. 10 5,500
Kaiser Aluminum & Chemical Corp.
Sr. Sub. Notes
12.75%, 02/01/03................. 10 9,925
Lodestar Holdings, Inc. Sr. Notes
11.50%, 05/15/05................. 10 7,750
Weirton Steel Corp. Sr. Notes
11.375%, 07/01/04................ 20 17,800
WHX Corp. Sr. Notes
10.50%, 04/15/05................. 10 9,200
------------
100,925
------------
OFFICE EQUIPMENT -- 0.2%
United Stationers Supply Co.
Sr. Sub. Notes
12.75%, 05/01/05................. 3 3,345
Xerox Corp. Notes
5.50%, 11/15/03.................. 770 771,925
------------
775,270
------------
OIL & GAS -- 0.4%
Abraxas Petroleum Corp. Co.
Guarantee Notes Cl-D
11.50%, 11/01/04................. 25 19,250
Chesapeake Energy Corp. Sr. Notes
Cl-B
9.625%, 05/01/05................. 30 23,550
Coastal Corp. Notes
6.95%, 06/01/28.................. 520 505,700
Dailey International, Inc. Co.
Guarantee Notes Cl-B
9.50%, 02/15/08.................. 10 4,500
Eagle Geophysical, Inc. Sr. Notes
10.75%, 07/15/08................. 10 8,400
Flores & Rucks, Inc. Sr. Sub. Notes
9.75%, 10/01/06.................. 10 10,350
Gothic Production Corp. Co.
Guarantee Notes Cl-B
11.125%, 05/01/05................ 10 7,800
Gulf Canada Resources, Inc. Sr.
Notes
8.375%, 11/15/05................. 10 10,150
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Michael Petroleum Corp. Sr. Notes
Cl-B
11.50%, 04/01/05................. $ 10 $ 7,000
Northern Offshore ASA Co. Guarantee
Notes 144A
10.00%, 05/15/05................. 20 10,000
Ocean Energy, Inc. Co. Guarantee
Notes Cl-B
8.375%, 07/01/08................. 30 28,500
Panaco, Inc. Sr. Notes
10.625%, 10/01/04................ 10 7,600
Panda Global Energy Co. Sr. Notes
12.50%, 04/15/04................. 10 3,800
Petro-Canada Debs.
7.00%, 11/15/28.................. 375 375,938
Petroleum Geo-Services Notes
7.50%, 03/31/07.................. 175 183,750
Pogo Producing Co. Sr. Sub. Notes
Cl-B
8.75%, 05/15/07.................. 5 4,700
Snyder Oil Corp. Sr. Sub. Notes
8.75%, 06/15/07.................. 15 14,625
Statoil Notes 144A
6.50%, 12/01/28.................. 325 319,313
Transamerican Refining Corp. Units
144A
16.00%, 06/30/03................. 20 8,400
Transtexas Gas Corp. Sr. Sub. Notes
Cl-D
13.75%, 12/31/01................. 75 60,750
------------
1,614,076
------------
PAPER & FOREST PRODUCTS -- 0.0%
Republic Group, Inc. Sr. Sub Notes
9.50%, 07/15/08.................. 10 9,775
------------
PHARMACEUTICALS -- 0.2%
Fresenius Medical Capital Trust II
Co. Guarantee Notes
7.875%, 02/01/08................. 50 49,625
ICN Pharmaceuticals, Inc. Sr. Notes
Cl-B
9.25%, 08/15/05.................. 15 15,413
Monsanto Co. Debs. 144A
6.60%, 12/01/28.................. 745 747,794
------------
812,832
------------
PRINTING & PUBLISHING -- 0.0%
America Media Operation, Inc. Sr.
Sub. Notes
11.625%, 11/15/04................ 40 41,000
Day International Group, Inc. Sr.
Sub. Notes
9.50%, 03/15/08.................. 25 24,563
Garden State Newspapers, Inc. Sr.
Sub. Notes Cl-B
8.75%, 10/01/09.................. 50 48,438
</TABLE>
52
<PAGE> 54
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Hollinger International Publishing
Co. Co. Guarantee Sr. Sub. Notes
9.25%, 03/15/07.................. $ 50 $ 53,000
Von Hoffman Press, Inc. Sr. Sub.
Notes 144A
10.375%, 05/15/07................ 10 10,300
------------
177,301
------------
RAILROADS -- 0.2%
CSX Corp. Notes
7.95%, 05/01/27.................. 260 294,775
Norfolk Southern Corp. Notes
7.05%, 05/01/37.................. 300 327,375
TFM SA de CV Co. Guarantee Notes
10.25%, 06/15/07................. 10 8,400
Transportacion Maritima Mexicana SA
de CV Co. Guarantee Notes [STEP]
11.784%, 06/15/09................ 50 27,000
------------
657,550
------------
REAL ESTATE -- 0.2%
Cathay International Ltd. Sr. Notes
144A
13.00%, 04/15/08................. 30 11,025
D.R. Horton, Inc. Co. Guarantee
Notes
10.00%, 04/15/06................. 15 15,900
EOP Operating L.P. Notes
6.763%, 06/15/07................. 530 522,077
HMH Properties, Inc. Co. Guarantee
Sr. Notes Cl-B
7.875%, 08/01/08................. 50 48,813
------------
597,815
------------
RESTAURANTS -- 0.0%
Tricon Global Restaurants, Inc. Sr.
Notes
7.45%, 05/15/05.................. 10 10,475
------------
RETAIL & MERCHANDISING -- 0.4%
CEX Holdings, Inc. Sr. Sub. Notes
9.625%, 06/01/08................. 20 18,300
Eye Care Centers of America, Inc.
Sr. Sub. Notes 144A
9.125%, 05/01/08................. 10 9,625
Federated Department Stores, Inc.
Sr. Notes
8.50%, 06/15/03.................. 720 791,100
Meyer, (Fred), Inc.
Co. Guarantee Sub. Notes
7.45%, 03/01/08.................. 20 21,650
RAB Enterprises, Inc. Sr. Notes
144A
10.50%, 05/01/05................. 30 24,000
Sears Roebuck Acceptance Corp.
Notes
6.50%, 12/01/28.................. 375 371,250
Southland Corp. Sr. Sub. Debs. Cl-A
4.50%, 06/15/04.................. 95 76,950
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Specialty Retailers, Inc. Co.
Guarantee Notes Cl-B
8.50%, 07/15/05.................. $ 10 $ 9,000
Tyco International Group SA Co.
Guarantee Notes
6.25%, 06/15/99.................. 235 239,700
Zale Corp. Sr. Notes Cl-B
8.50%, 10/01/07.................. 20 19,450
------------
1,581,025
------------
SEMICONDUCTORS -- 0.0%
Derlan Manufacturing Ltd. Sr. Notes
10.00%, 01/15/07................. 25 20,000
Fairchild Semiconductor Corp. Sr.
Sub. Notes
10.125%, 03/15/07................ 55 55,000
Zilog, Inc. Co. Guarantee Notes
Cl-B
9.50%, 03/01/05.................. 30 24,150
------------
99,150
------------
TELECOMMUNICATIONS -- 1.6%
Adelphia Communications Corp. Sr.
Notes 144A
8.375%, 02/01/08................. 40 41,500
Adelphia Communications Corp. Sr.
Notes Cl-B
10.25%, 07/15/00................. 10 10,325
Airtouch Communications Notes
6.65%, 05/01/08.................. 405 430,313
Allbritton Communications Corp. Sr.
Sub. Notes Cl-B
8.875%, 02/01/08................. 50 50,750
Allegiance Telecom, Inc. Sr. Disc.
Notes Cl-B [STEP]
12.691%, 02/15/08................ 60 28,200
Allegiance Telecom, Inc. Sr. Notes
12.875%, 05/15/08................ 10 10,000
Benedek Communications Corp. Sr.
Disc. Notes [STEP]
14.474%, 05/15/06................ 75 54,750
Bestel SA Units [STEP] 144A
12.75%, 05/15/05................. 20 11,000
Birch Telecom, Inc. Units 144A
14.00%, 06/15/08................. 10 9,200
BTI Telecom. Corp. Sr. Notes
10.50%, 09/15/07................. 80 65,600
Call-Net Enterprises, Inc. Sr.
Disc. Notes [STEP]
8.94%, 08/15/08.................. 10 5,850
Caprock Communications Corp. Sr.
Notes
12.00%, 07/15/08................. 10 9,500
Centennial Cellular Corp. Sr. Notes
8.875%, 11/01/01................. 25 26,250
Century Communications Corp. Sr.
Notes
9.50%, 03/01/05.................. 45 50,175
</TABLE>
53
<PAGE> 55
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Charter Communications Southeast
Holdings Capital Corp. Disc.
Notes Cl-B [STEP]
11.322%, 03/15/07................ $ 10 $ 8,425
Colt Telecom Group PLC Sr. Disc.
Notes [STEP]
9.356%, 12/15/06................. 50 41,625
Comcast Cellular Holdings Corp. Sr.
Notes Cl-B
9.50%, 05/01/07.................. 85 90,738
Comcast U.K. Cable Corp. Sr. Sub.
Debs.
9.50%, 01/15/08.................. 75 79,500
CSC Holdings, Inc. Sr. Notes
7.875%, 12/15/07................. 25 26,438
7.25%, 07/15/08.................. 20 20,350
CTI Holdings SA Sr. Notes [STEP]
11.50%, 04/15/08................. 10 4,375
Diamond Cable Communications PLC
Sr. Disc. Notes [STEP]
10.58%, 12/15/05................. 100 83,250
Dobson Communications Corp. Sr.
Notes
11.75%, 04/15/07................. 40 41,200
Dobson Wireline Co. Sr. Notes
12.25%, 06/15/08................. 20 18,450
e.spire Communications, Inc. Sr.
Notes
13.75%, 07/15/07................. 15 15,600
Econophone, Inc. Sr. Disc. Notes
[STEP]
11.197%, 02/15/08................ 50 24,000
Esprit Telecom Group PLC Sr. Notes
11.50%, 12/15/07................. 10 10,313
Facilicom International, Inc. Sr.
Notes
10.50%, 01/15/08................. 10 8,200
Flag Ltd. Sr. Notes
8.25%, 01/30/08.................. 50 49,375
Focal Communications Corp. Sr.
Disc. Notes Cl-B [STEP]
11.258%, 02/15/08................ 40 21,000
Global Crossing Holdings Ltd. Co.
Guarantee Notes
9.625%, 05/15/08................. 90 95,625
Globo Communicacoes Participacoes
SA Sr. Notes 144A
10.625%, 12/05/08................ 10 6,400
Granite Broadcasting Corp. Sr. Sub.
Notes
8.875%, 05/15/08................. 10 9,450
ICG Services, Inc. Sr. Disc. Notes
[STEP]
10.164%, 05/01/08................ 170 91,800
Intermedia Communications, Inc. Sr.
Notes Cl-B
8.60%, 06/01/08.................. 50 49,250
International CableTel, Inc. Sr.
Notes Cl-B [STEP]
11.56%, 02/01/06................. 65 52,325
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
IPC Information Systems, Inc.
Notes [STEP]
10.207%, 05/01/08................ $ 40 $ 25,200
ITC Deltacom, Inc. Sr. Notes
11.00%, 06/01/07................. 19 20,306
IXC Communications, Inc. Sr. Sub.
Notes
9.00%, 04/15/08.................. 20 19,850
Jacor Communications, Inc. Notes
[CVT, ZCB]
1.003%, 06/12/11................. 20 17,475
Jones Intercable, Inc. Sr. Sub.
Debs.
10.50%, 03/01/08................. 25 27,594
Kitty Hawk, Inc. Co. Guarantee
Notes
9.95%, 11/15/04.................. 10 9,800
KMC Telecom Holdings, Inc. Sr.
Disc. Notes [STEP]
11.596%, 02/15/08................ 45 21,713
Knology Holdings, Inc. Sr. Disc.
Notes [STEP]
12.895%, 10/15/07................ 55 25,781
L-3 Communications Corp. Sr. Sub.
Notes Cl-B
10.375%, 05/01/07................ 20 22,000
LCI International, Inc. Sr. Notes
7.25%, 06/15/07.................. 470 484,100
Level 3 Communications, Inc. Sr.
Notes
9.125%, 05/01/08................. 80 79,600
Long Distance International, Inc.
Sr. Notes 144A
12.25%, 04/15/08................. 20 16,400
Marcus Cable Operating Co. Sr.
Disc. Notes [STEP]
11.281%, 08/01/04................ 50 50,063
McCaw International Ltd. Sr. Disc.
Notes [STEP]
13.00%, 04/15/07................. 10 5,500
Metrocall, Inc. Sr. Sub. Notes 144A
11.00%, 09/15/08................. 20 20,150
Metromedia Fiber Network, Inc. Sr.
Notes 144A
10.00%, 11/15/08................. 40 41,450
MetroNet Communications Corp. Sr.
Disc. Notes [STEP]
10.75%, 11/01/07................. 10 6,100
9.959%, 06/15/08................. 40 24,700
MetroNet Communications Corp. Sr.
Notes
12.00%, 08/15/07................. 25 27,875
MetroNet Escrow Corp. Sr. Notes
144A
10.625%, 11/01/08................ 40 42,800
Millicom International Cellular,
Inc. Sr. Disc. Notes [STEP]
11.037%, 06/01/06................ 80 59,200
MJD Communications, Inc.
9.778%, 05/01/99................. 10 9,800
Motorola, Inc. Debs.
6.50%, 11/15/28.................. 840 849,450
</TABLE>
54
<PAGE> 56
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Nextel Communications, Inc. Sr.
Disc. Notes [STEP]
9.95%, 08/15/04.................. $ 205 $ 199,106
13.85%, 02/15/08................. 10 6,025
Nextel Communications, Inc. Sr.
Notes 144A
12.00%, 11/01/08................. 40 44,400
Northeast Optic Network Sr. Notes
12.75%, 08/15/08................. 20 19,725
NTL, Inc. Sr. Notes
9.77%, 04/01/08 [STEP]........... 70 42,700
11.50%, 10/01/08 144A............ 20 21,850
Onepoint Communications Corp. Sr.
Notes 144A
14.50%, 06/01/08................. 10 5,400
Orbital Imaging Corp. Sr. Notes
Cl-B
11.625%, 03/01/05................ 20 19,900
Pathnet, Inc. Sr. Notes
12.25%, 04/15/08................. 30 21,000
Pegasus Communications Corp. Sr.
Notes 144A
9.75%, 12/01/06.................. 10 10,038
Primus Telecommunications Group,
Inc. Sr. Notes
9.875%, 05/15/08................. 10 9,400
PSINet, Inc. Sr. Notes 144A
11.50%, 11/01/08................. 30 31,200
PSINet, Inc. Sr. Notes Cl-B
10.00%, 02/15/05................. 10 9,900
Qwest Communications International,
Inc. Sr. Disc. Notes [STEP]
9.47%, 10/15/07.................. 20 15,600
Qwest Communications International,
Inc. Sr. Disc. Notes Cl-B [STEP]
7.268%, 02/01/08................. 50 37,625
Radio One, Inc. Notes
7.00%, 05/15/04.................. 10 9,850
RCN Corp. Sr. Disc. Notes [STEP]
11.125%, 10/15/07................ 30 17,550
Rhythms NetConnections, Inc. Sr.
Notes Cl-B [STEP]
6.777%, 05/15/08................. 40 18,000
Rogers Cablesystems of America,
Inc. Sr. Notes Cl-B
10.00%, 03/15/05................. 10 11,263
RSL Communications PLC Co.
Guarantee Notes
9.125%, 03/01/08................. 10 9,375
10.125%, 03/01/08 [STEP]......... 20 11,350
RSL Communications PLC Sr. Notes
144A
10.50%, 11/15/08................. 10 9,725
Satelites Mexicanos SA Sr. Notes
Cl-B
10.125%, 11/01/04................ 15 12,000
Sprint Capital Corp.
Co. Guarantee Notes
6.125%, 11/15/08................. 245 250,819
6.875%, 11/15/28................. 450 470,250
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Sprint Spectrum L.P. Sr. Disc.
Notes [STEP]
9.639%, 08/15/06................. $ 20 $ 18,200
Sprint Spectrum L.P. Sr. Notes
11.00%, 08/15/06................. 10 11,600
Startec Global Communications Sr.
Notes
12.00%, 05/15/08................. 20 17,175
TCI Communications, Inc. Sr. Notes
8.65%, 09/15/04.................. 560 646,800
Telecommunications Techniques Co.
Co. Guarantee Notes
9.75%, 05/15/08.................. 10 9,738
Telehub Communication Corp. Units
[STEP] 144A
13.882%, 07/31/05................ 10 5,675
Telesystem International Wireless,
Inc. Sr. Disc. Notes Cl-C [STEP]
10.50%, 11/01/07................. 10 3,750
TeleWest Communications PLC Sr.
Notes 144A
11.25%, 11/01/08................. 10 11,225
Time Warner Telecom LLC Sr. Notes
9.75%, 07/15/08.................. 100 105,000
Transtel SA Sr. Notes 144A
12.50%, 11/01/07................. 15 8,325
U.S. West Communications Notes
5.625%, 11/15/08................. 200 202,250
United International Holdings, Inc.
Sr. Disc. Notes Cl-B [STEP]
10.775%, 02/15/08................ 20 10,800
US Xchange LLC Sr. Notes
15.00%, 07/01/08................. 10 10,400
Versatel Telecom BV Sr. Notes
13.25%, 05/15/08................. 20 19,850
Versatel Telecom BV Units 144A
13.25%, 05/15/08................. 10 9,925
WinStar Communications, Inc. Sr.
Sub. Notes [STEP]
15.00%, 03/01/07................. 75 81,000
WorldCom, Inc. Sr. Notes
6.125%, 08/15/01................. 530 538,613
------------
6,582,386
------------
TRANSPORTATION -- 0.0%
MC Shipping, Inc. Sr. Notes
11.25%, 03/01/08................. 10 6,800
Navistar International Corp.
Sr. Notes C1-B
7.00%, 02/01/03.................. 50 50,188
Navistar International Corp. Sr.
Sub. Notes Cl-B
8.00%, 02/01/08.................. 50 50,938
------------
107,926
------------
</TABLE>
55
<PAGE> 57
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
UTILITIES -- 0.9%
AES China Generating Co. Ltd. Sr.
Notes
10.125%, 12/15/06................ $ 10 $ 7,250
American Eco Corp. Co. Guarantee
Notes Cl-B
9.625%, 05/15/08................. 30 20,250
Arizona Public Service Co. Sr.
Notes
6.75%, 11/15/06.................. 415 440,419
Baltimore Gas & Electric Co. Medium
Term Notes
6.90%, 02/01/05.................. 705 760,519
Calpine Corp. Sr. Notes
7.875%, 04/02/08................. 20 20,150
Cleveland Electric Illuminating Co.
First Mtge. Cl-B
9.50%, 05/15/05.................. 25 27,594
Cleveland Electric Illumination Co.
Notes
6.86%, 10/01/08.................. 30 29,703
Coho Energy, Inc. Sr. Sub. Notes
8.875%, 10/15/07................. 10 8,400
Columbia Gas Systems, Inc. Debs.
6.61%, 11/28/02.................. 480 501,000
Connecticut Light & Power Co. First
Mtge.
7.875%, 06/01/01................. 40 41,800
El Paso Electric Co. First Mtge.
Cl-E
9.40%, 05/01/11.................. 10 11,613
K N Energy, Inc. Debs
6.80%, 03/01/08.................. 100 101,750
K N Energy, Inc. Sr. Notes
6.45%, 03/01/03.................. 350 351,313
Niagara Mohawk Power Corp. Notes
9.95%, 06/01/00.................. 50 52,474
7.375%, 07/01/03................. 10 10,238
Niagara Mohawk Power Corp. Sr.
Notes Cl-F
7.625%, 10/01/05................. 10 10,500
Niagara Mohawk Power Corp. Sr.
Notes Cl-G
7.75%, 10/01/08.................. 50 54,250
Northeast Utilities System Notes
8.38%, 03/01/05.................. 27 27,200
8.58%, 12/01/06.................. 8 8,490
Ram Energy, Inc. Sr. Notes
11.50%, 02/15/08................. 10 6,600
Southern California Edison Co.
Notes
5.875%, 01/15/01................. 1,000 1,013,750
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Transamerican Energy Corp. Sr.
Disc. Notes Cl-B
11.50%, 06/15/02................. $ 70 $ 26,600
13.00%, 06/15/02 [STEP].......... 200 68,000
York Power Funding Co. Co.
Guarantee Notes 144A
12.00%, 10/30/07................. 20 20,400
------------
3,620,263
------------
TOTAL CORPORATE OBLIGATIONS
(Cost $44,865,996)................... 45,206,835
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.5%
Federal Home Loan Bank
4.78%, 01/22/99.................. 7,000 6,980,637
------------
Federal Home Loan Mortgage Corp.
5.04%, 01/22/99.................. 5,000 4,986,141
6.00%, 08/15/28.................. 220 221,168
7.50%, 04/01/28.................. 284 291,437
9.50%, 05/01/05.................. 271 286,947
------------
5,785,693
------------
Federal National Mortgage Assoc.
5.50%, 02/01/11-05/01/11......... 1,349 1,331,733
5.75%, 04/15/03.................. 1,775 1,825,578
6.00%, 05/15/08-10/01/13......... 3,616 3,719,533
6.50%, 09/01/10-11/01/28......... 3,850 3,891,505
7.00%, 08/01/07-08/01/13......... 625 640,008
8.50%, 10/15/08.................. 708 751,963
------------
12,160,320
------------
Government National Mortgage Assoc.
6.50%, 04/15/28.................. 518 523,438
7.00%, 11/15/23-09/15/28......... 2,049 2,097,990
8.00%, 01/15/29 [TBA]............ 2,525 2,625,211
10.00%, 06/15/13................. 362 395,848
------------
5,642,487
------------
(Cost $30,301,823)................. 30,569,137
------------
U.S. TREASURY OBLIGATIONS -- 8.3%
U.S. Treasury Bills
4.32%, 03/04/99#................. 1,750 1,737,438
------------
U.S. Treasury Bonds
6.375%, 08/15/27#................ 8,240 9,456,271
6.125%, 11/15/27................. 1,645 1,839,090
5.50%, 08/15/28.................. 220 230,588
5.25%, 11/15/28.................. 610 624,860
------------
12,150,809
------------
</TABLE>
56
<PAGE> 58
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
U.S. Treasury Notes
4.50%, 09/30/00.................. $ 5,445 $ 5,437,462
4.625%, 11/30/00................. 2,445 2,447,326
5.50%, 05/31/03#................. 1,480 1,528,317
5.25%, 08/15/03.................. 5,325 5,462,700
4.25%, 11/15/03.................. 2,300 2,271,082
5.625%, 05/15/08................. 2,400 2,562,681
4.75%, 11/15/08.................. 455 458,542
------------
20,168,110
------------
(Cost $33,267,496)................. 34,056,357
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.4%
Advanta Mtge. Loan Trust Series
1997-2 Cl-A2
7.05%, 05/25/21.................. 805 825,382
Advanta Mtge. Loan Trust Series
1997-3 Cl-A3
6.69%, 04/25/17.................. 655 672,020
Amresco Commercial Mtge. Funding I
Series 1997-C1 Cl-A1
6.73%, 06/17/29.................. 625 648,072
Amresco Residential Securities
Mtge. Loan Trust Series 1997-3
Cl-A3
6.60%, 01/25/18.................. 440 441,155
Capita Equipment Receivables Trust
Series 1996-1 Cl-A4
6.28%, 06/15/00.................. 600 603,278
Commercial Mtge. Acceptance Corp.
Series 1997-ML1 Cl-A2
6.53%, 12/15/30.................. 255 265,370
Commercial Mtge. Acceptance Corp.
Series 1997-ML1 Cl-A3
6.57%, 10/15/07.................. 700 732,904
Commercial Mtge. Acceptance Corp.
Series 1998-C2 Cl-A1
5.80%, 09/01/30.................. 557 554,877
Federal National Mtge. Assoc. REMIC
Series 1989-71 Cl-J
8.50%, 10/25/19.................. 880 930,853
Federal National Mtge. Assoc. REMIC
Series 1993-240 Cl-B
6.25%, 12/25/13.................. 445 447,983
Federal National Mtge. Assoc. REMIC
Series 1997-61 Cl-ZC
7.00%, 02/25/23.................. 340 336,512
First Union-Lehman Bros. Commercial
Mtge. Series 1997-C2 Cl-A3
6.65%, 06/18/08.................. 210 219,480
First Union-Lehman Bros. Commercial
Mtge. Series 1998-C2 Cl-A1
6.28%, 06/18/07.................. 670 686,192
General Motors Acceptance Corp.
Commercial Mtge. Securities, Inc.
Series 1998-C2 Cl-A1
6.15%, 05/15/31.................. 295 299,646
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
General Motors Acceptance Corp.
Commercial Mtge. Securities, Inc.
Series 1998-C2 Cl-A2
6.42%, 08/15/08.................. $ 380 $ 394,382
General Motors Acceptance Corp.
Global Commercial Mtge.
Securities, Inc.
5.75%, 11/10/03.................. 370 372,871
Green Tree Financial Corp. Series
1997-2 Cl-A6
7.24%, 03/15/25.................. 635 654,809
Green Tree Financial Corp. Series
1997-3 Cl-A4
6.93%, 07/15/28.................. 1,095 1,130,933
Green Tree Financial Corp. Series
1998-2 Cl-A5
6.24%, 03/18/28.................. 1,035 1,054,840
Green Tree Recreational, Equipment
& Consumer Trust Series 1997-B
Cl-A1
6.55%, 07/15/28.................. 908 922,016
Green Tree Recreational, Equipment
& Consumer Trust Series 1998-A
Cl-A1C
6.18%, 06/15/19.................. 819 834,449
Independent National Mtge. Corp.
Series 1994-V Cl-A1
8.249%, 12/25/24................. 211 217,014
Merrill Lynch Mtge. Investors, Inc.
Series 1997-C2 Cl-A2
6.54%, 12/10/29.................. 1,160 1,213,331
Merrill Lynch Mtge. Investors, Inc.
Series 1998-C2 Cl-A1
6.22%, 02/15/30.................. 842 858,241
Morgan Stanley Capital I Series
1996-WF1 Cl-A2 144A
7.227%, 01/16/06................. 655 695,733
Mortgage Capital Funding, Inc.
Series 1998-MC1 Cl-A2
6.663%, 01/18/08................. 215 226,415
PNC Mtge. Securities Corp. Series
1997-6 Cl-A2
6.60%, 01/01/00.................. 337 339,020
Provident Bank Home Equity Loan
Trust Series 1997-4 Cl-A3
6.91%, 01/25/29.................. 455 468,812
Securitized Asset Sales, Inc.
Series 1993-J Cl-2B
6.808%, 11/28/23................. 958 940,628
------------
(Cost $17,590,612)................. 17,987,218
------------
FOREIGN BONDS -- 0.1%
CANADA -- 0.1%
Quebec Province Debs.
7.00%, 01/30/07.................. 405 438,413
</TABLE>
57
<PAGE> 59
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
NETHERLANDS -- 0.0%
Asia Pulp & Paper Finance II
Mauritius Ltd.
12.00%, 12/29/49................. $ 45 $ 24,693
------------
TOTAL FOREIGN BONDS (Cost $470,687).... 463,106
------------
COMMERCIAL PAPER -- 4.1%
Falcon Asset Securitization Corp.
5.20%, 02/18/99.................. 1,000 993,333
GTE Funding, Inc.
5.27%, 02/11/99.................. 5,000 4,969,990
Preferred Receivables Funding Corp.
5.22%, 02/25/99.................. 6,000 5,954,901
Windmill Funding Corp.
5.28%, 01/13/99.................. 5,000 4,991,477
------------
(Cost $16,906,407)................. 16,909,701
------------
REPURCHASE AGREEMENTS -- 5.1%
Merrill Lynch & Co., Inc., 4.80%,
dated 12/31/98, maturing
01/04/99, repurchase price
$20,913,148 (Collateralized by
U.S. Treasury Notes, par value
$20,955,000, market value
$21,397,151 due 06/30/00)
(Cost $20,902,000)............... 20,902 20,902,000
------------
TOTAL INVESTMENTS -- 99.1%
(Cost $372,164,853).................. 405,688,416
OTHER ASSETS LESS
LIABILITIES -- 0.9%.................. 3,646,856
------------
NET ASSETS -- 100.0%................... $409,335,272
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy CAD 80,976 $ 52,675 $ 52,722 $ 47
03/99 Buy GBP 409,000 692,149 678,748 (13,401)
03/99 Buy JPY 120,000,000 1,051,363 1,074,345 22,982
---------- ---------- --------
$1,796,187 $1,805,815 $ 9,628
=========== =========== ========
</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>
03/99 Sell GBP 409,000 $ 683,234 $ 678,748 $ 4,486
03/99 Sell JPY 120,000,000 917,431 1,074,344 (156,913)
---------- ---------- ---------
$1,600,665 $1,753,092 ($152,427)
=========== =========== =========
</TABLE>
# Securities with an aggregate market value of $3,866,068 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1998:
<TABLE>
<CAPTION>
UNREALIZED
EXPIRATION NUMBER OF APPRECIATION
DESCRIPTION MONTH CONTRACTS (DEPRECIATION)
- ---------------------------------------------------------------------
<S> <C> <C> <C>
ASX Index................. 03/99 1 $ 1,145
CAC Index................. 01/99 (5) (11,552)
DAX Index................. 03/99 (4) (74,698)
FTSE 100 Index............ 03/99 (43) (135,278)
MIB30 Index............... 03/99 19 319,699
NIKKEI 225 SMX Index...... 03/99 (23) 96,338
NASDAQ 100................ 03/99 27 512,444
Russell 2000.............. 03/99 18 196,800
S&P 500................... 03/99 39 408,941
U.S. Treasury 30 Year
Bonds.................... 03/99 219 (111,174)
----------
$1,202,665
==========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
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 1.0% of net assets.
See Notes to Financial Statements.
58
<PAGE> 60
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CORPORATE OBLIGATIONS -- 91.9%
ADVERTISING -- 0.9%
Lamar Advertising Co. Co. Guarantee
Sr. Sub. Notes
9.625%, 12/01/06................. $ 1,700 $ 1,848,750
Outdoor Systems, Inc. Co. Guarantee
Notes
9.375%, 10/15/06................. 500 542,500
Outdoor Systems, Inc. Sr. Sub.
Notes
8.875%, 06/15/07................. 2,650 2,848,750
------------
5,240,000
------------
AIRLINES -- 0.4%
Aviation Sales Co. Co. Guarantee
Sr. Sub. Notes
8.125%, 02/15/08................. 2,500 2,487,500
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
Oshkosh Truck Corp. Co. Guarantee
Notes
8.75%, 03/01/08.................. 7,500 753,750
------------
AUTOMOTIVE PARTS -- 1.7%
Accuride Corp. Sr. Sub. Notes Cl-B
9.25%, 02/01/08.................. 1,500 1,477,500
Aftermarket Technology, Inc. Sr.
Sub. Notes
12.00%, 08/01/04................. 1,938 2,044,590
HDA Parts System, Inc. Sr. Sub.
Notes 144A
12.00%, 08/01/05................. 1,200 1,086,000
Lear Corp. Sub. Notes
9.50%, 07/15/06.................. 2,500 2,775,000
Lear Seating Corp. Sub. Notes
8.25%, 02/01/02.................. 550 553,437
Oxford Automotive, Inc. Co.
Guarantee Notes
10.125%, 06/15/07................ 2,300 2,380,500
------------
10,317,027
------------
BROADCASTING -- 7.8%
Acme Television Co. Co. Guarantee
Notes Cl-B [STEP]
10.992%, 09/30/04................ 3,100 2,487,750
Australis Media Ltd. Sr. Disc.
Notes [STEP]
29.55%, 05/15/03................. 11 160
Australis Media Ltd. Units [STEP]
15.706%, 05/15/03................ 625 9,375
Big City Radio, Inc. Co. Guarantee
Sr. Disc. Notes [STEP]
10.867%, 03/15/05................ 2,950 1,961,750
Capstar Broadcasting Corp. Sr. Sub.
Notes
9.25%, 07/01/07.................. 1,400 1,463,000
Chancellor Media Corp. Co.
Guarantee Notes Cl-B
10.50%, 01/15/07................. 1,700 1,895,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Chancellor Media Corp. LA Co.
Guarantee Notes Cl-B
8.75%, 06/15/07.................. $ 1,750 $ 1,802,500
Chancellor Media Corp. LA Sr. Sub.
Notes Cl-B
8.125%, 12/15/07................. 5,150 5,137,125
Chancellor Media Corp. Sr. Notes
144A
8.00%, 11/01/08.................. 4,000 4,100,000
Chancellor Media Corp. Sr. Sub.
Notes
9.375%, 10/01/04................. 1,150 1,198,875
9.00%, 10/01/08 144A............. 2,200 2,321,000
Cumulus Media, Inc. Co. Guarantee
Notes
10.375%, 07/01/08................ 1,850 1,970,250
Diva Systems Corp. Sr. Disc. Notes
[STEP] 144A
11.896%, 03/01/08................ 1,625 613,437
Echostar Satellite Broadcasting Co.
Sr. Disc. Notes [STEP]
10.35%, 03/15/04................. 4,525 4,536,312
Fox/Liberty Networks LLC Sr. Disc.
Notes [STEP]
9.534%, 08/15/07................. 5,550 3,857,250
Fox/Liberty Networks LLC Sr. Notes
8.875%, 08/15/07................. 1,625 1,657,500
NWCG Holding Corp. Sr. Disc. Notes
[ZCB]
13.196%, 06/15/99................ 300 292,779
SFX Broadcasting, Inc. Sr. Sub.
Notes Cl-B
10.75%, 05/15/06................. 773 854,165
Sinclair Broadcasting Group, Inc.
Co. Guarantee Notes
9.00%, 07/15/07.................. 2,000 2,045,000
Sinclair Broadcasting Group, Inc.
Sr. Sub. Notes
10.00%, 09/30/05................. 2,500 2,637,500
Sinclair Broadcasting Group, Inc.
Sr. Sub. Notes
8.75%, 12/15/07.................. 3,650 3,713,875
Young Broadcasting, Inc. Sr. Sub.
Notes
10.125%, 02/15/05................ 1,175 1,239,625
Young Broadcasting, Inc. Sr. Sub.
Notes Cl-B
9.00%, 01/15/06.................. 500 508,750
------------
46,303,478
------------
BUILDING MATERIALS -- 0.6%
American Builders & Contractors
Supply Co., Inc. Notes Cl-B
10.625%, 05/15/07................ 1,625 1,519,375
Falcon Building Products, Inc. Co.
Guarantee Notes Cl-B [STEP]
9.868%, 06/15/07................. 2,500 1,487,500
</TABLE>
59
<PAGE> 61
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Falcon Building Products, Inc. Co.
Guarantee Sr. Sub. Notes Cl-B
9.50%, 06/15/07.................. $ 350 $ 313,250
------------
3,320,125
------------
BUSINESS SERVICES -- 1.2%
Dialog Corp. PLC Sr. Sub. Notes
Cl-A
11.00%, 11/15/07................. 3,250 3,250,000
Fisher Scientific International,
Inc. Sr. Sub. Notes 144A
9.00%, 02/01/08.................. 1,850 1,850,000
U.S. Office Products Co. Sr. Sub.
Notes
9.75%, 06/15/08.................. 3,175 2,079,625
------------
7,179,625
------------
CABLE TELEVISION -- 8.8%
CSC Holdings, Inc. Sr. Notes
7.875%, 12/15/07................. 1,700 1,793,160
CSC Holdings, Inc. Sr. Sub. Debs
9.875%, 02/15/13................. 500 558,750
CSC Holdings, Inc. Sr. Sub. Notes
9.25%, 11/01/05.................. 3,925 4,199,750
9.875%, 05/15/06................. 300 331,500
Charter Communications Southeast
Holdings Capital Corp. Disc.
Notes Cl-B [STEP]
10.733%, 03/15/07................ 900 805,500
Charter Communications Southeast
Holdings Capital Corp. Sr. Notes
Cl-B
11.25%, 03/15/06................. 1,150 1,290,875
Comcast Corp. Sr. Sub. Debs
9.375% 05/15/05.................. 2,500 2,668,750
Comcast U.K. Cable Corp. Debs.
[STEP]
10.997%, 11/15/07................ 2,900 2,479,500
Diamond Cable Communications PLC
Sr. Disc. Notes [STEP]
10.751%, 12/15/05................ 4,000 3,330,000
Diamond Holdings PLC Co. Guarantee
Notes
9.125%, 02/01/08................. 1,875 1,842,188
Echostar DBS Corp. Co. Guarantee
Notes
12.50%, 07/01/02................. 850 986,000
Lenfest Communications, Inc. Sr.
Notes
8.375%, 11/01/05................. 2,150 2,338,125
Lenfest Communications, Inc. Sr.
Sub. Notes
8.25%, 02/15/08.................. 2,275 2,383,063
NTL, Inc. Sr. Notes [STEP]
9.602%, 04/01/08................. 5,525 3,432,406
11.412%, 10/01/08 144A........... 5,000 3,150,000
Pegasus Communications Corp. Sr.
Notes 144A
9.75%, 12/01/06.................. 1,500 1,511,250
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Pegasus Communications Corp. Sr.
Notes Cl-B
9.625%, 10/15/05................. $ 2,125 $ 2,135,625
Rogers Cablesystems of America,
Inc. Sr. Notes
10.00%, 12/01/07................. 1,350 1,518,750
11.00% 12/01/15.................. 750 881,250
Rogers Cablesystems of America,
Inc. Sr. Notes Cl-B
10.00%, 03/15/05................. 3,050 3,431,250
TeleWest Communications PLC Debs.
[STEP]
10.457%, 10/01/07................ 10,125 8,505,000
TeleWest Communications PLC Sr.
Notes 144A
11.25%, 11/01/08................. 525 589,313
United International Holdings, Inc.
Sr. Disc. Notes Cl-B [STEP]
10.75%, 02/15/08................. 4,300 2,343,500
------------
52,505,505
------------
CAPITAL GOODS -- 0.6%
Buckeye Cellulos Corp. Sr. Sub.
Notes
8.50%, 12/15/05.................. 1,500 1,567,500
9.25%, 09/15/08.................. 1,750 1,841,875
------------
3,409,375
------------
CHEMICALS -- 2.5%
Foamex Capital Corp. Sr. Sub. Notes
13.50%, 08/15/05................. 500 530,000
Huntsman Corp. Sr. Sub. Notes 144A
9.50%, 07/01/07.................. 2,400 2,400,000
ISP Holdings, Inc. Sr. Notes Cl-B
9.75%, 02/15/02.................. 1,000 1,067,500
9.00%, 10/15/03.................. 2,225 2,364,062
Polymer Group, Inc. Co. Guarantee
Notes Cl-B
9.00%, 07/01/07.................. 4,725 4,701,375
8.75%, 03/01/08.................. 2,450 2,419,375
Sterling Chemicals Holdings, Inc.
Sr. Disc. Notes [STEP]
11.611%, 08/15/08................ 2,350 904,750
Sterling Chemicals, Inc. Sr. Sub.
Notes
11.75%, 08/15/06................. 275 237,875
------------
14,624,937
------------
CLOTHING & APPAREL -- 1.4%
Dyersburg Corp. Co. Guarantee Notes
Cl-B
9.75%, 09/01/07.................. 1,725 1,552,500
GFSI, Inc. Sr. Sub. Notes Cl-B
9.625%, 03/01/07................. 1,050 1,002,750
Hosiery Corp. of America, Inc. Sr.
Sub. Notes
13.75%, 08/01/02................. 400 412,000
Pillowtex Corp. Co. Guarantee Notes
Cl-B
9.00%, 12/15/07.................. 1,575 1,630,125
</TABLE>
60
<PAGE> 62
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Pillowtex Corp. Sr. Sub. Notes
10.00%, 11/15/06................. $ 1,950 $ 2,096,250
The Boyds Collection Ltd. Sr. Sub.
Notes 144A
9.00%, 05/15/08.................. 1,200 1,290,000
------------
7,983,625
------------
COMPUTER SERVICES & SOFTWARE -- 0.5%
Alvey Systems, Inc. Sr. Sub. Notes
11.375%, 01/31/03................ 1,217 1,223,085
American Business Information, Inc.
Sr. Sub. Notes 144A
9.50%, 06/15/08.................. 725 583,625
Verio, Inc. Sr. Notes 144A
11.25%, 12/01/08................. 1,325 1,344,875
------------
3,151,585
------------
CONGLOMERATES -- 1.3%
Eagle-Picher Industries, Inc. Co.
Guarantee Notes
9.375%, 03/01/08................. 2,950 2,802,500
Hermes Europe Railtel BV Sr. Notes
11.50%, 08/15/07................. 3,425 3,647,625
10.375%, 01/15/09 144A........... 1,525 1,555,500
------------
8,005,625
------------
CONSTRUCTION -- 0.5%
American Architectural Co. Co.
Guarantee Notes
11.75%, 12/01/07................. 950 821,750
Building Materials Corp. Sr. Notes
Cl-B
8.00%, 10/15/07.................. 2,250 2,269,687
------------
3,091,437
------------
CONSUMER PRODUCTS & SERVICES -- 5.4%
Albecca, Inc. Sr. Sub. Notes 144A
10.75%, 08/15/08................. 4,000 4,030,000
American Safety Razor Co. Sr. Notes
9.875%, 08/01/05................. 1,250 1,256,250
Amscan Holdings, Inc. Sr. Sub.
Notes
9.875%, 12/15/07................. 1,175 1,101,562
Cabot Safety Corp. Sr. Sub. Notes
12.50%, 07/15/05................. 1,500 1,642,500
Chattem, Inc. Co. Guarantee Notes
Cl-B
8.875%, 04/01/08................. 2,200 2,266,000
Collins & Aikman Floor Coverings
Corp. Sr. Sub. Notes
10.00%, 01/15/07................. 1,400 1,470,000
Collins & Aikman Products Corp. Sr.
Sub. Notes
11.50%, 04/15/06................. 3,900 4,056,000
Diamond Brands Operating, Inc.
Debs. [STEP]
12.83%, 04/15/09................. 1,500 577,500
Glenoit Corp. Co. Guarantee Notes
11.00%, 04/15/07................. 2,000 1,870,000
NBTY, Inc. Sr. Sub. Notes Cl-B
8.625%, 09/15/07................. 2,350 2,303,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Playtex Family Products Corp. Sr.
Sub. Notes
9.00%, 12/15/03.................. $ 2,600 $ 2,730,000
Playtex Products, Inc. Notes Cl-B
8.875%, 07/15/04................. 850 892,500
Revlon Consumer Products Corp. Sr.
Notes
8.125%, 02/01/06................. 2,200 2,101,000
Revlon Consumer Products Corp. Sr.
Sub. Notes
8.625%, 02/01/08................. 6,500 6,012,500
------------
32,308,812
------------
CONTAINERS & PACKAGING -- 1.7%
Ball Corp. Sr. Sub. Notes 144A
8.25%, 08/01/08.................. 550 578,187
Container Corp. of America Sr.
Notes
11.25%, 05/01/04................. 250 261,250
Four M Corp. Sr. Notes
12.00%, 06/01/06................. 1,300 981,500
Owens-Illinois, Inc. Sr. Notes
8.10%, 05/15/07.................. 1,000 1,065,340
Plastic Containers, Inc. Sr. Notes
Cl-B
10.00%, 12/15/06................. 450 474,750
Stone Container Corp. Sr. Notes
11.50%, 10/01/04................. 1,200 1,254,000
12.58%, 08/01/16 [VR]............ 1,550 1,581,000
Stone Container Corp. Sr. Sub.
Notes
12.25%, 04/01/02................. 125 128,125
Tekni-Plex, Inc. Co. Guarantee Sub.
Notes Cl-B
9.25%, 03/01/08.................. 3,750 3,937,500
------------
10,261,652
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.7%
Amphenol Corp. Sr. Sub. Notes
9.875%, 05/15/07................. 2,000 2,080,000
Electronic Retailing Systems, Inc.
Sr. Disc. Notes [STEP]
13.25%, 02/01/04................. 875 319,375
PX Escrow Corp. Sr. Disc. Notes
[STEP]
9.395%, 02/01/06................. 1,075 596,625
Viasystems, Inc. Sr. Sub. Notes
Cl-B
9.75%, 06/01/07.................. 1,625 1,519,375
WESCO Distribution, Inc. Co.
Guarantee Notes Cl-B
9.125%, 06/01/08................. 3,850 3,869,250
WESCO International, Inc. Sr. Disc.
Notes Cl-B [STEP]
11.145%, 06/01/08................ 2,650 1,636,375
------------
10,021,000
------------
ENTERTAINMENT & LEISURE -- 3.3%
AMF Group, Inc. Sr. Disc. Notes
[STEP]
10.188%, 03/15/06................ 3,137 1,811,617
</TABLE>
61
<PAGE> 63
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Loews Cineplex Entertainment Corp.
Sr. Sub. Notes
8.875%, 08/01/08................. $ 1,425 $ 1,478,437
Premier Parks, Inc. Sr. Disc. Notes
[STEP]
9.829%, 04/01/08................. 4,150 2,832,375
Premier Parks, Inc. Sr. Notes
9.25%, 04/01/06.................. 875 910,000
9.75%, 01/15/07.................. 450 490,500
Premier Parks, Inc. Sr. Notes Cl-A
12.00%, 08/15/03................. 1,600 1,740,000
Regal Cinemas, Inc. Sr. Sub. Notes
9.50%, 06/01/08.................. 3,500 3,622,500
9.50%, 06/01/08 144A............. 1,750 1,811,250
Six Flags Theme Parks Corp. Sr.
Sub. Notes Cl-A [STEP]
12.25%, 06/15/05................. 3,625 4,041,875
True Temper Sports, Inc. Sr. Sub.
Notes 144A
10.875%, 12/01/08................ 875 879,375
------------
19,617,929
------------
ENVIRONMENTAL SERVICES -- 1.5%
Allied Waste North America, Inc.
Sr. Notes 144A
7.625%, 01/01/06................. 8,375 8,500,625
7.875%, 01/01/09................. 625 634,375
------------
9,135,000
------------
EQUIPMENT SERVICES -- 0.4%
Coinmach Corp. Sr. Notes Cl-D
11.75%, 11/15/05................. 1,981 2,193,957
------------
FARMING & AGRICULTURE -- 0.5%
Dimon, Inc. Sr. Notes
8.875%, 06/01/06................. 1,950 1,940,250
Purina Mills, Inc. Sr. Sub. Notes
9.00%, 03/15/10.................. 950 950,000
------------
2,890,250
------------
FINANCIAL-BANK & TRUST -- 1.4%
GS Escrow Corp. Sr. Notes
7.125%, 08/01/05................. 8,500 8,426,135
------------
FINANCIAL SERVICES -- 0.4%
ContiFinancial Corp. Sr. Notes
8.125%, 04/01/08................. 1,000 715,000
Unifrax Investment Corp. Sr. Notes
10.50%, 11/01/03................. 1,650 1,674,750
------------
2,389,750
------------
FOOD -- 3.8%
Agrilink Foods, Inc. Sr. Sub. Notes
144A
11.875%, 11/01/08................ 3,500 3,570,000
Ameriserv Food Distributor, Inc.
Co. Guarantee Sr. Sub. Notes
8.875%, 10/15/06................. 1,200 1,116,000
10.125%, 07/15/07................ 4,300 3,762,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Aurora Foods, Inc. Sr. Sub. Notes
Cl-B
9.875%, 02/15/07................. $ 1,775 $ 1,943,625
8.75%, 07/01/08.................. 1,250 1,306,250
Carr-Gottstein Foods Co. Sr. Sub.
Notes
12.00%, 11/15/05................. 1,025 1,189,000
Di Giorgio Corp. Sr. Notes Cl-B
10.00%, 06/15/07................. 1,350 1,262,250
Domino's, Inc. Sr. Sub. Notes 144A
10.375%, 01/15/09................ 1,775 1,775,000
Eagle Family Foods, Inc. Co.
Guarantee Notes Cl-B
8.75%, 01/15/08.................. 1,450 1,373,875
International Home Foods, Inc. Sr.
Sub. Notes
10.375%, 11/01/06................ 800 870,000
Jitney-Jungle Stores, Inc. Sr. Sub.
Notes
10.375%, 09/15/07................ 2,725 2,779,500
Nebco Evans Holding Co. Sr. Disc.
Notes [STEP]
11.645%, 07/15/07................ 1,250 606,250
Stater Brothers Holdings, Inc. Sr.
Sub. Notes
9.00%, 07/01/04.................. 1,125 1,102,500
------------
22,656,750
------------
FURNITURE -- 0.3%
Sealy Mattress Co. Co. Guarantee
Notes Cl-B [STEP]
10.875%, 12/15/07................ 1,000 605,000
Sealy Mattress Co. Sr. Sub. Notes
Cl-B
9.875%, 12/15/07................. 775 751,750
Werner Holdings Co., Inc. Co.
Guarantee Notes Cl-A
10.00%, 11/15/07................. 325 323,375
------------
1,680,125
------------
HEALTHCARE SERVICES -- 3.0%
Alliance Imaging, Inc. Sr. Sub.
Notes
9.625%, 12/15/05................. 1,150 1,144,250
Everest Healthcare Services, Inc.
Co. Guarantee Notes
9.75%, 05/01/08.................. 1,575 1,575,000
Fisher Scientific International,
Inc. Sr. Sub. Notes
9.00%, 02/01/08.................. 2,475 2,475,000
Hudson Respiratory Care, Inc. Sr.
Sub. Notes
9.125%, 04/15/08................. 850 692,750
Icon Fitness Corp. Sr. Disc. Notes
Cl-B [STEP]
14.00%, 11/15/06................. 1,100 16,500
Tenet Healthcare Corp. Sr. Sub.
Notes
8.00%, 01/15/05.................. 4,200 4,311,678
8.625%, 01/15/07................. 3,500 3,657,500
8.125%, 12/01/08 144A............ 4,000 4,150,000
------------
18,022,678
------------
</TABLE>
62
<PAGE> 64
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
HOTELS & MOTELS -- 0.2%
Courtyard by Marriott Sr. Notes
10.75%, 02/01/08................. $ 1,100 $ 1,138,500
------------
INDUSTRIAL PRODUCTS -- 1.0%
Continental Global Group, Inc. Sr.
Notes Cl-B
11.00%, 04/01/07................. 2,100 1,816,500
Grove Worldwide LLC Sr. Sub. Notes
9.25%, 05/01/08.................. 875 800,625
ISG Resources, Inc. Sr. Sub. Notes
10.00%, 04/15/08................. 1,800 1,791,000
MMI Products, Inc. Sr. Sub. Notes
Cl-B
11.25%, 04/15/07................. 1,600 1,736,000
------------
6,144,125
------------
MACHINERY & EQUIPMENT -- 2.9%
Anchor Lamina, Inc. Sr. Sub. Notes
9.875%, 02/01/08................. 800 724,000
Clark Materials Handling Corp. Co.
Guarantee Sr. Sub. Notes Cl-D
10.75%, 11/15/06................. 2,625 2,684,062
Columbus McKinnon Corp. Co.
Guarantee Notes
8.50%, 04/01/08.................. 1,550 1,457,000
Fairfield Manufacturing Co. Sr.
Sub. Notes
11.375%, 07/01/01................ 900 927,000
Johnstown America Industries, Inc.
Sr. Sub. Notes Cl-C
11.75%, 08/15/05................. 700 742,000
National Equipment Services, Inc.
Sr. Sub. Notes 144A
10.00%, 11/30/04................. 2,600 2,587,000
National Equipment Services, Inc.
Sr. Sub. Notes Cl-B
10.00%, 11/30/04................. 1,275 1,268,625
NationsRent, Inc. Sr. Sub. Notes
144A
10.375%, 12/15/08................ 3,100 3,084,500
United Rentals, Inc. Sr. Sub. Notes
144A
9.25%, 01/15/09.................. 3,600 3,627,000
------------
17,101,187
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.9%
CONMED Corp. Co. Guarantee Sr. Sub.
Notes
9.00%, 03/15/08.................. 2,450 2,468,375
Dade International, Inc. Sr. Sub.
Notes Cl-B
11.125%, 05/01/06................ 2,475 2,864,687
------------
5,333,062
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
METALS & MINING -- 2.0%
AEI Holding, Inc. Co. Guarantee
Sub. Notes 144A
10.50%, 12/15/05................. $ 1,950 $ 1,920,750
AEI Resources, Inc. Sr. Sub. Notes
144A
11.50%, 12/15/06................. 3,375 3,358,125
Euramax International PLC Sr. Sub.
Notes
11.25%, 10/01/06................. 1,375 1,375,000
Metals USA, Inc. Co. Guarantee Sr.
Sub. Notes
8.625%, 02/15/08................. 250 236,250
Neenah Corp. Sr. Sub Notes 144A
11.125%, 05/01/07................ 1,000 1,032,500
Neenah Corp. Sr. Sub. Notes Cl-B
11.125%, 05/01/07................ 1,725 1,781,062
Ryerson Tull, Inc. Notes
8.50%, 07/15/01.................. 1,000 1,054,290
9.125%, 07/15/06................. 900 1,012,752
------------
11,770,729
------------
OFFICE EQUIPMENT -- 0.4%
United Stationers Supply Co. Sr.
Sub. Notes
12.75%, 05/01/05................. 1,169 1,309,280
8.375%, 04/15/08................. 1,000 1,002,500
------------
2,311,780
------------
OIL & GAS -- 3.3%
Chiles Offshore LLC Corp. Co.
Guarantee Notes
10.00%, 05/01/08................. 1,875 1,509,375
Continental Resource, Inc. Co.
Guarantee Notes
10.25%, 08/01/08................. 3,000 2,505,000
Dailey International, Inc. Co.
Guarantee Notes Cl-B
9.50%, 02/15/08.................. 3,700 1,739,000
DI Industries, Inc. Sr. Notes
8.875%, 07/01/07................. 975 736,125
Forcenergy, Inc. Sr. Sub. Notes
9.50%, 11/01/06.................. 2,650 2,053,750
8.50%, 02/15/07.................. 1,450 1,080,250
Houston Exploration Co. Sr. Sub.
Notes Cl-B
8.625%, 01/01/08................. 1,000 985,000
KCS Energy, Inc. Co. Guarantee Sr.
Sub. Notes
8.875%, 01/15/08................. 1,700 977,500
Nuevo Energy Co. Co. Guarantee Sr.
Sub. Notes Cl-B
8.875%, 06/01/08................. 625 609,375
Ocean Energy, Inc. Sr. Sub. Notes
10.375%, 10/15/05................ 1,775 1,837,125
Ocean Rig Norway ASA Co. Guarantee
Notes
10.25%, 06/01/08................. 300 241,500
</TABLE>
63
<PAGE> 65
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Pacalta Resource Ltd. Sr. Notes
Cl-B
10.75%, 06/15/04................. $ 1,050 $ 845,250
Pride Petroleum Services, Inc. Sr.
Notes
9.375%, 05/01/07................. 2,500 2,337,500
Universal Compression Holdings Sr.
Disc. Notes [STEP]
11.375%, 02/15/09................ 350 194,250
Universal Compression, Inc. Sr.
Disc. Notes [STEP]
9.739%, 02/15/08................. 3,175 1,825,625
------------
19,476,625
------------
PAPER & FOREST PRODUCTS -- 0.2%
S.D. Warren Co. Sr. Sub. Notes
12.00%, 12/15/04................. 1,300 1,423,500
------------
PRINTING & PUBLISHING -- 2.0%
Affiliated Newspaper Investments,
Inc. Sr. Disc. Notes [STEP]
12.733%, 07/01/06................ 2,200 2,271,500
Garden State Newspapers, Inc. Sr.
Sub. Notes
12.00%, 07/01/04................. 200 219,000
Garden State Newspapers, Inc. Sr.
Sub. Notes Cl-B
8.75%, 10/01/09.................. 2,575 2,587,875
Hollinger International Publishing
Co. Co. Guarantee Sr. Sub. Notes
9.25%, 02/01/06.................. 800 844,000
9.25%, 03/15/07.................. 3,450 3,657,000
K-III Communications Corp. Sr.
Notes
8.50%, 02/01/06.................. 1,000 1,035,000
Ziff-Davis, Inc. Sr. Sub. Notes
8.50%, 05/01/08.................. 1,575 1,527,750
------------
12,142,125
------------
REAL ESTATE -- 1.6%
HMH Properties, Inc. Co. Guarantee
Sr. Notes Cl-A
7.875%, 08/01/05................. 400 399,000
HMH Properties, Inc. Co. Guarantee
Sr. Notes Cl-B
7.875%, 08/01/08................. 5,000 4,875,000
HMH Properties, Inc. Sr. Notes Cl-C
8.45%, 12/01/08.................. 2,500 2,512,500
Trizec Finance Ltd. Sr. Notes
10.875%, 10/15/05................ 1,457 1,599,058
------------
9,385,558
------------
RESTAURANTS -- 0.3%
Carrols Corp. Sr. Sub. Notes 144A
9.50%, 12/01/08.................. 1,500 1,518,750
------------
RETAIL & MERCHANDISING -- 0.3%
Community Distributors, Inc. Co.
Guarantee Notes Cl-B
10.25%, 10/15/04................. 1,000 925,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Leslie's Poolmart, Inc. Sr. Notes
10.375%, 07/15/04................ $ 950 $ 983,250
------------
1,908,250
------------
TELECOMMUNICATIONS -- 22.1%
American Cellular Corp. Sr. Notes
144A
10.50%, 05/15/08................. 3,150 3,134,250
Arch Communications, Inc. Sr. Notes
144A
12.75%, 07/01/07................. 1,400 1,407,000
Call-Net Enterprises, Inc. Sr.
Disc. Notes [STEP]
8.522%, 08/15/07................. 4,100 2,644,500
8.522%, 08/15/08................. 3,800 2,251,500
Centennial Cellular Corp. Sr. Sub.
Notes 144A
10.75%, 12/15/08................. 1,900 1,919,000
Comcast Cellular Holdings Corp. Sr.
Notes Cl-B
9.50%, 05/01/07.................. 1,975 2,118,188
e.spire Communications, Inc. Sr.
Disc. Notes [STEP]
11.50%, 11/01/05................. 1,700 1,147,500
13.748%, 04/01/06................ 1,400 875,000
e.spire Communications, Inc. Sr.
Notes
13.75%, 07/15/07................. 875 861,875
Esprit Telecom Group PLC Sr. Notes
11.50%, 12/15/07................. 750 780,000
ICG Holdings, Inc. Co. Guarantee
Sr. Disc. Notes [STEP]
10.21%, 05/01/06................. 3,550 2,633,674
ICG Services, Inc. Sr. Disc. Notes
[STEP]
9.875%, 05/01/08................. 850 441,346
Intermedia Communications, Inc. Sr.
Disc. Notes Cl-B [STEP]
8.533%, 07/15/07................. 3,075 2,137,125
Intermedia Communications, Inc. Sr.
Notes Cl-B
8.875%, 11/01/07................. 1,000 985,000
8.60%, 06/01/08.................. 1,900 1,814,500
Intermedia Communications of
Florida, Inc. Sr. Disc. Notes
[STEP]
10.749%, 05/15/06................ 4,850 3,819,375
International CableTel, Inc. Sr.
Notes Cl-A [STEP]
10.153%, 04/15/05................ 1,050 950,250
International CableTel, Inc. Sr.
Notes Cl-B [STEP]
10.408%, 02/01/06................ 5,100 4,258,500
IXC Communications, Inc. Sr. Sub.
Notes
9.00%, 04/15/08.................. 3,100 3,119,375
Level 3 Communications, Inc. Sr.
Disc. Notes [STEP] 144A
10.50%, 12/01/08................. 7,800 4,582,500
</TABLE>
64
<PAGE> 66
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Level 3 Communications, Inc. Sr.
Notes
9.125%, 05/01/08................. $10,700 $ 10,673,250
McLeodUSA, Inc. Sr. Disc. Notes
[STEP]
9.955%, 03/01/07................. 4,275 3,249,000
McLeodUSA, Inc. Sr. Notes
9.25%, 07/15/07.................. 1,300 1,335,750
8.375%, 03/15/08................. 1,250 1,262,500
Metromedia Fiber Network, Inc. Sr.
Notes 144A
10.00%, 11/15/08................. 1,200 1,239,000
MetroNet Communications Corp. Sr.
Disc. Notes [STEP]
10.299%, 11/01/07................ 1,925 1,260,875
9.866%, 06/15/08................. 6,050 3,735,875
MetroNet Communications Corp. Sr.
Notes
12.00%, 08/15/07................. 1,525 1,666,063
10.625%, 11/01/08 144A........... 1,750 1,863,750
Millicom International Cellular,
Inc. Sr. Disc. Notes [STEP]
11.01%, 06/01/06................. 4,275 3,024,563
Nextel Communications, Inc. Sr.
Disc. Notes [STEP]
10.355%, 09/15/07................ 3,975 2,583,750
10.065%, 02/15/08................ 11,800 7,139,000
Nextel International, Inc. Sr.
Disc. Notes [STEP]
12.125%, 04/15/08................ 1,750 820,540
NEXTLINK Communications, Inc. Sr.
Disc. Notes [STEP]
10.039%, 04/15/08................ 3,000 1,740,000
NEXTLINK Communications, Inc. Sr.
Notes
9.625%, 10/01/07................. 1,250 1,221,875
9.00%, 03/15/08.................. 1,575 1,468,688
Orange PLC Sr. Notes
8.00%, 08/01/08.................. 2,875 2,889,375
Paging Network, Inc. Sr. Sub. Notes
10.00%, 10/15/08................. 3,100 3,007,000
Pathnet, Inc. Sr. Notes
12.25%, 04/15/08................. 2,350 1,786,000
Pegasus Media & Communications,
Inc. Notes
12.50%, 07/01/05................. 975 1,077,375
PSINet, Inc. Sr. Notes 144A
11.50%, 11/01/08................. 1,500 1,560,000
PSINet, Inc. Sr. Notes Cl-B
10.00%, 02/15/05................. 2,400 2,388,000
Qwest Communications International,
Inc. Sr. Disc. Notes [STEP]
8.59%, 10/15/07.................. 4,100 3,218,500
Qwest Communications International,
Inc. Sr. Disc. Notes Cl-B [STEP]
8.29%, 02/01/08.................. 2,250 1,710,000
Qwest Communications International,
Inc. Sr. Notes 144A
7.50%, 11/01/08.................. 1,000 1,050,000
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Qwest Communications International,
Inc. Sr. Notes Cl-B
10.875%, 04/01/07................ $ 1,135 $ 1,310,925
Rogers Cantel, Inc. Sr. Sub. Notes
8.80%, 10/01/07.................. 4,000 4,055,000
Sitel Corp. Co. Guarantee Sr. Sub.
Notes
9.25%, 03/15/06.................. 2,800 2,534,000
Telecommunications Techniques Corp.
Co. Guarantee Notes
9.75%, 05/15/08.................. 3,750 3,656,250
Telesystem International Wireless,
Inc. Sr. Disc. Notes Cl-B [STEP]
12.344%, 06/30/07................ 5,125 2,203,750
Telesystem International Wireless,
Inc. Sr. Disc. Notes Cl-C [STEP]
10.50%, 11/01/07................. 800 296,000
Teligent, Inc. Sr. Disc. Notes Cl-B
[STEP]
11.70%, 03/01/08................. 1,000 495,000
Teligent, Inc. Sr. Notes
11.50%, 12/01/07................. 3,250 3,006,250
Triton Communications LLC Co.
Guarantee Sub. Notes [STEP]
11.291%, 05/01/08................ 4,850 2,291,625
UIH Australia Pacific, Inc. Sr.
Disc. Notes [STEP]
12.854%, 05/15/06................ 3,100 1,581,000
US Xchange LLC Sr. Notes
15.00%, 07/01/08................. 1,425 1,499,813
USA Mobile Communications Holdings,
Inc. Sr. Notes
9.50%, 02/01/04.................. 1,050 955,500
Viatel, Inc. Sr. Disc. Notes [STEP]
11.473%, 04/15/08................ 850 484,500
Viatel, Inc. Sr. Notes
11.25%, 04/15/08................. 2,525 2,537,625
------------
131,758,425
------------
TRANSPORTATION -- 2.2%
Allied Holdings, Inc. Notes Cl-B
8.625%, 10/01/07................. 1,400 1,428,000
Ameritruck Distribution Corp. Sr.
Sub. Notes Cl-B ++
12.25%, 11/15/05................. 1,950 126,750
Gearbulk Holding Ltd. Sr. Notes
11.25%, 12/01/04................. 1,950 2,067,000
Johnstown America Industries, Inc.
Sr. Sub. Notes
11.75%, 08/15/05................. 600 636,000
Statia Terminals, Inc. First Mtge.
Cl-A
11.75%, 11/15/03................. 1,000 1,005,000
Stena AB Sr. Notes
10.50%, 12/15/05................. 3,275 3,397,813
8.75%, 06/15/07.................. 2,175 2,082,563
Stena Line AB Sr. Notes
10.625%, 06/01/08................ 1,250 1,131,250
</TABLE>
65
<PAGE> 67
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
The Holt Group Sr. Notes 144A
9.75%, 01/15/06.................. $ 1,350 $ 951,750
------------
12,826,126
------------
UTILITIES -- 0.8%
California Energy Co., Inc. Sr.
Notes
9.50%, 09/15/06.................. 1,000 1,115,000
El Paso Electric Co. First Mtge.
Cl-E
9.40%, 05/01/11.................. 1,225 1,391,073
International Utility Structures,
Inc. Sr. Sub. Notes
10.75%, 02/01/08................. 925 864,875
Niagara Mohawk Power Corp. Sr.
Disc. Notes Cl-H [STEP]
8.242%, 07/01/10................. 2,100 1,633,023
------------
5,003,971
------------
TOTAL CORPORATE OBLIGATIONS (Cost
$567,361,693)........................ 547,220,345
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCK -- 0.0%
BROADCASTING -- 0.0%
Australis Holdings Warrants*....... 1,000 0
Diva Systems Corp. Warrants*....... 4,875 0
------------
0
------------
CHEMICALS -- 0.0%
Sterling Chemicals Holdings
Warrants*........................ 1,075 16,125
------------
CLOTHING & APPAREL -- 0.0%
Hosiery Corp. of America, Inc.*.... 300 2,175
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.0%
Electronic Retailing System, Inc.
Warrants 144A*................... 875 4,375
------------
ENVIRONMENTAL SERVICES -- 0.0%
ICF Kaiser International, Inc.
Warrants*........................ 1,200 0
------------
HEALTHCARE SERVICES -- 0.0%
Icon Health & Fitness Corp.
Warrants 144A*................... 250 125
------------
METALS & MINING -- 0.0%
Bar Technologies, Inc. Warrants
144A*............................ 300 16,500
------------
PRINTING & PUBLISHING -- 0.0%
Affiliated Newspaper Investments,
Inc.*............................ 1,000 150,000
------------
TELECOMMUNICATIONS -- 0.0%
Cellular Communications
International, Inc. Warrants*.... 1,100 68,200
MetroNet Communications Corp.
Warrants 144A*................... 1,525 64,294
Pathnet, Inc. Warrants*............ 2,350 23,794
Pegasus Communications Corp.
144A*............................ 1,128 28,271
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Pegasus Communications Corp.
Warrants*........................ 1,500 30,750
Sullivan Broadcasting Holdings*.... 2,400 0
UIH Australia Warrants*............ 3,100 3,488
Wireless One, Inc. Warrants*....... 1,500 0
------------
218,797
------------
TOTAL COMMON STOCK (Cost $27,988)...... 408,097
------------
PREFERRED STOCK -- 4.0%
BROADCASTING -- 1.6%
Benedek Communications Corp. 11.50%
[PIK]............................ 1,600 1,288,000
Capstar Broadcasting Corp. 12.00%
[PIK]............................ 7,335 882,034
CBS Radio, Inc. Sub. Debs. 11.375%
[PIK]............................ 18,357 2,152,358
Cumulus Media, Inc. Cl-A 13.75%.... 1,292 1,395,360
Echostar Communications Corp. Cl-B
12.125% [PIK].................... 667 777,181
SFX Broadcasting, Inc. Cl-E 12.625%
[PIK]............................ 8,561 1,035,881
Sinclair Capital 11.625%........... 18,500 1,961,000
------------
9,491,814
------------
FINANCIAL SERVICES -- 0.1%
California Federal Capital Corp.
Cl-A 9.125% [PIK]................ 30,000 768,750
------------
FOOD -- 0.1%
Nebco Evans Holding Co.
11.25% [PIK]..................... 7,594 383,497
------------
HEALTHCARE SERVICES -- 0.0%
River Holding Corp. Cl-B
11.50% [PIK]..................... 5,300 235,850
------------
INDUSTRIAL PRODUCTS -- 0.0%
International Utility Structures,
Inc. $13.00 [PIK] 144A........... 125 113,125
International Utility Structures,
Inc. 13.00% [PIK] 144A........... 8 706
------------
113,831
------------
MACHINERY & EQUIPMENT -- 0.1%
Fairfield Manufacturing Co., Inc.
$11.25........................... 650 627,250
------------
PRINTING & PUBLISHING -- 1.2%
Primedia, Inc. Cl-D $10.00......... 10,750 1,123,375
Primedia, Inc. Cl-F $9.20.......... 15,000 1,477,500
Primedia, Inc. Cl-H 8.625%......... 43,100 4,159,150
------------
6,760,025
------------
</TABLE>
66
<PAGE> 68
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TELECOMMUNICATIONS -- 0.7%
Nextel Communications, Inc.
13.00% [PIK]..................... 1,025 $ 1,063,720
Nextel Communications, Inc. Cl-E
11.125% [PIK].................... 814 704,110
Pegasus Communications Corp. Cl-A
12.75% [PIK]..................... 2,154 2,078,610
Viatel, Inc. Cl-A 10.00% [PIK]..... 1,722 190,295
------------
4,036,735
------------
UTILITIES -- 0.2%
El Paso Electric Co. 11.40%
[PIK]............................ 12,892 1,385,890
------------
TOTAL PREFERRED STOCK
(Cost $22,786,869)............................. 23,803,642
------------
REPURCHASE AGREEMENTS -- 2.3%
Greenwich Capital Markets, Inc.,
4.50% dated 12/31/98, maturing
01/04/99, repurchase price
$13,524,759 (Collateralized by
U.S. Treasury Bonds, par value
$8,151,000, market value
$13,829,955 due 02/15/15)
(Cost $13,518,000)............... $13,518 $ 13,518,000
------------
<CAPTION>
SHARES
--------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.1%
Temporary Investment Cash Fund..... 316,555 316,555
Temporary Investment Fund.......... 316,555 316,555
------------
(Cost $633,110).................... 633,110
------------
TOTAL INVESTMENTS -- 98.3%
(Cost $604,327,660)............................ 585,583,194
OTHER ASSETS LESS LIABILITIES -- 1.7%............ 10,096,790
------------
NET ASSETS -- 100.0%............................. $595,679,984
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedule of Investments.
* Non-income producing security.
++ Illiquid security. At the end of the year this security amounted to less than
0.1% of net assets.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
less than 0.1% of net assets.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 14.0% of net assets.
See Notes to Financial Statements.
67
<PAGE> 69
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
U.S. STOCK -- 47.3%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ................ 3,800 $ 220,400
------------
AEROSPACE -- 0.6%
AlliedSignal, Inc. ................. 9,600 425,400
Boeing Co. ......................... 11,768 383,931
Litton Industries, Inc.*............ 1,300 84,825
Lockheed Martin Corp. .............. 2,800 237,300
Northrop Grumman Corp. ............. 1,100 80,437
Primex Technologies, Inc. .......... 420 17,850
Raytheon Co. Cl-A................... 535 27,653
Raytheon Co. Cl-B................... 5,100 271,575
United Technologies Corp. .......... 3,600 391,500
------------
1,920,471
------------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*............. 2,700 119,475
AMR Corp.*.......................... 3,800 225,625
Delta Air Lines, Inc. .............. 2,600 135,200
Southwest Airlines Co. ............. 8,750 196,328
------------
676,628
------------
AUTOMOBILE MANUFACTURERS -- 0.6%
Ford Motor Co. ..................... 15,600 915,525
General Motors Corp. ............... 9,900 708,469
Honda Motor Co. Ltd. [ADR].......... 4,800 320,400
------------
1,944,394
------------
AUTOMOTIVE PARTS -- 0.3%
Arvin Industries, Inc. ............. 1,800 75,037
Dana Corp. ......................... 2,880 117,720
Eaton Corp. ........................ 1,600 113,100
Federal-Mogul Corp. ................ 1,900 113,050
Genuine Parts Co. .................. 5,750 192,266
Goodyear Tire & Rubber Co. ......... 2,400 121,050
Lear Corp.*......................... 3,100 119,350
Mark IV Industries, Inc. ........... 4,300 55,900
Superior Industries International,
Inc. ............................. 1,600 44,500
TRW, Inc. .......................... 3,400 191,037
------------
1,143,010
------------
BEVERAGES -- 1.2%
Anheuser-Busch Companies, Inc. ..... 7,500 492,187
Cadbury Schweppes PLC [ADR]......... 3,473 240,505
Coca-Cola Co. ...................... 30,500 2,039,687
Coca-Cola Enterprises, Inc. ........ 11,300 403,975
PepsiCo, Inc. ...................... 18,600 761,437
------------
3,937,791
------------
BROADCASTING -- 0.3%
CBS Corp. .......................... 9,000 294,750
Chris-Craft Industries, Inc.*....... 1,379 66,451
Clear Channel Communications,
Inc.*............................. 4,400 239,800
Gannett Co., Inc. .................. 5,200 344,175
------------
945,176
------------
BUILDING MATERIALS -- 0.2%
Armstrong World Industries, Inc. ... 800 48,250
CalMat Co. ......................... 2,600 80,275
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Clayton Homes, Inc. ................ 4,750 $ 65,609
Martin Marietta Materials Corp. .... 1,900 118,156
Masco Corp. ........................ 7,200 207,000
Modine Manufacturing Co. ........... 1,100 39,875
Vulcan Materials Co. ............... 1,300 171,031
------------
730,196
------------
BUSINESS SERVICES -- 0.1%
Comdisco, Inc. ..................... 5,700 96,187
Equifax, Inc. ...................... 3,700 126,494
Manpower, Inc. ..................... 3,800 95,712
Navigant International, Inc.*....... 215 1,660
Nielsen Media Research.............. 1,166 20,988
Olsten Corp. ....................... 2,000 14,750
Robert Half International, Inc.*.... 3,150 140,766
------------
496,557
------------
CHEMICALS -- 0.8%
AKZO Nobel NV [ADR]................. 2,000 89,250
Cabot Corp. ........................ 3,000 83,812
Crompton & Knowles Corp. ........... 3,800 78,612
Dexter Corp. ....................... 1,500 47,156
Dow Chemical Co. ................... 3,600 327,375
Du Pont, (E.I.) de Nemours & Co. ... 15,100 801,244
FMC Corp.*.......................... 1,600 89,600
Great Lakes Chemical Corp. ......... 2,500 100,000
Hanna, (M.A.) Co. .................. 3,400 41,862
IMC Global, Inc. ................... 3,700 79,087
Lubrizol Corp. ..................... 2,200 56,512
Morton International, Inc. ......... 4,500 110,250
Olin Corp. ......................... 2,100 59,456
PPG Industries, Inc. ............... 3,600 209,700
Rohm & Haas Co. .................... 4,800 144,600
Schulman, (A.), Inc. ............... 3,000 68,062
Solutia, Inc. ...................... 5,560 124,405
Witco Corp. ........................ 3,100 49,406
------------
2,560,389
------------
CLOTHING & APPAREL -- 0.2%
Cintas Corp. ....................... 3,600 253,575
Jones Apparel Group, Inc.*.......... 5,200 114,725
Nike, Inc. Cl-B..................... 5,500 223,094
Springs Industries, Inc. Cl-A....... 2,000 82,875
Unifi, Inc. ........................ 3,200 62,600
------------
736,869
------------
COMPUTER HARDWARE -- 1.8%
Compaq Computer Corp. .............. 19,568 820,633
Dell Computer Corp.*................ 20,800 1,522,300
EMC Corp.*.......................... 7,500 637,500
Hewlett-Packard Co. ................ 13,100 894,894
International Business Machines
Corp.............................. 11,100 2,050,725
Quantum Corp.*...................... 5,300 112,625
Seagate Technology, Inc.*........... 4,500 136,125
------------
6,174,802
------------
COMPUTER SERVICES & SOFTWARE -- 4.0%
Adobe Systems, Inc. ................ 600 28,050
America Online, Inc.*............... 14,000 2,026,500
</TABLE>
68
<PAGE> 70
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Automatic Data Processing, Inc. .... 4,000 $ 320,750
Aztec Technology Partners, Inc.*.... 430 1,586
BMC Software, Inc.*................. 5,700 254,006
Cadence Design Systems, Inc.*....... 6,000 178,500
Ceridian Corp.*..................... 2,600 181,512
Cisco Systems, Inc.*................ 19,675 1,826,086
CompUSA, Inc.*...................... 3,500 45,719
Computer Associates International,
Inc. ............................. 7,362 313,805
Compuware Corp.*.................... 5,700 445,312
DST Systems, Inc.*.................. 900 51,356
Electronic Arts, Inc.*.............. 2,800 157,150
Electronic Data Systems Corp. ...... 6,100 306,525
First Data Corp. ................... 7,200 228,150
Fiserv, Inc.*....................... 2,750 141,453
Informix Corp.*..................... 2,900 28,637
Keane, Inc.*........................ 2,600 103,837
Microsoft Corp.*.................... 30,400 4,216,100
NCR Corp.*.......................... 2,400 100,200
Network Associates, Inc.*........... 4,650 308,062
Novell, Inc.*....................... 9,500 172,187
Oracle Corp.*....................... 15,150 653,344
Parametric Technology Corp.*........ 5,000 81,875
Paychex, Inc. ...................... 5,400 277,762
Policy Management Systems Corp.*.... 1,200 60,600
Sterling Commerce, Inc.*............ 2,200 99,000
Storage Technology Corp.*........... 3,700 131,581
Structural Dynamics Research
Corp.*............................ 1,300 25,837
Sun Microsystems, Inc.*............. 5,900 505,187
Sungard Data Systems, Inc.*......... 3,200 127,000
Symantec Corp.*..................... 2,600 56,550
Synopsys, Inc.*..................... 2,300 124,775
Tech Data Corp.*.................... 1,900 76,475
------------
13,655,469
------------
CONGLOMERATES -- 0.8%
Hanson PLC [ADR].................... 337 13,143
Minnesota Mining & Manufacturing
Co. .............................. 5,700 405,412
Philip Morris Companies, Inc. ...... 30,700 1,642,450
Tomkins PLC [ADR]................... 6,000 120,000
Tyco International Ltd. ............ 7,400 558,237
------------
2,739,242
------------
CONSTRUCTION -- 0.0%
Granite Construction, Inc. ......... 1,650 55,378
Jacobs Engineering Group, Inc.*..... 1,700 69,275
------------
124,653
------------
CONSUMER PRODUCTS & SERVICES -- 1.5%
ACNielsen Corp.*.................... 2,300 64,975
Cendant Corp.*...................... 12,168 231,952
Colgate-Palmolive Co. .............. 4,000 371,500
Corning, Inc. ...................... 5,200 234,000
Cross, (A.T.) Co. Cl-A.............. 1,400 7,525
Eastman Kodak Co. .................. 3,300 237,600
Fortune Brands, Inc. ............... 4,100 129,662
Gallaher Group PLC [ADR]............ 2,400 65,250
Gillette Co. ....................... 14,300 690,869
Imperial Tobacco Group PLC [ADR].... 675 14,259
International Flavors & Fragrances,
Inc. ............................. 3,200 141,400
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Lancaster Colony Corp. ............. 1,550 $ 49,794
National Presto Industries, Inc. ... 800 34,100
Ogden Corp. ........................ 1,600 40,100
Pittston Brink's Group.............. 1,300 41,437
Premark International, Inc. ........ 2,400 83,100
Procter & Gamble Co. ............... 17,400 1,588,837
Shaw Industries, Inc. .............. 5,100 123,675
Sotheby's Holdings, Inc. Cl-A....... 3,400 108,800
Stewart Enterprises, Inc. .......... 3,700 82,325
Unilever NV......................... 10,200 845,962
Whitman Corp. ...................... 3,400 86,275
------------
5,273,397
------------
CONTAINERS & PACKAGING -- 0.2%
Bemis Co., Inc. .................... 2,700 102,431
First Brands Corp. ................. 1,800 70,987
Owens-Illinois, Inc.*............... 3,700 113,312
Sealed Air Corp.*................... 2,400 122,550
Sonoco Products Co. ................ 3,910 115,834
------------
525,114
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.6%
AES Corp.*.......................... 4,800 227,400
Altera Corp.*....................... 6,000 365,250
American Power Conversion Corp.*.... 3,800 184,062
Analog Devices, Inc.*............... 9,633 302,235
Applied Materials, Inc.*............ 6,600 281,737
Arrow Electronics, Inc.*............ 4,500 120,094
Diebold, Inc. ...................... 2,700 96,356
Emerson Electric Co. ............... 6,000 375,375
General Electric Co. ............... 40,200 4,102,912
Hitachi Ltd. [ADR].................. 2,400 145,050
Honeywell, Inc. .................... 2,600 195,812
Hubbell, Inc. Cl-B.................. 2,500 95,000
Koninklijke (Royal) Philips
Electronics NV [ADR].............. 3,600 243,675
Linear Technology Corp. ............ 2,600 232,862
Maxim Integrated Products, Inc.*.... 4,500 196,594
Molex, Inc. ........................ 5,675 216,359
Rockwell International Corp. ....... 4,100 199,106
SCI Systems, Inc.*.................. 2,200 127,050
Solectron Corp.*.................... 3,600 334,575
Symbol Technologies, Inc. .......... 1,975 126,277
Tandy Corp. ........................ 1,200 49,425
Teleflex, Inc. ..................... 1,800 82,125
Teradyne, Inc.*..................... 3,100 131,362
Texas Instruments, Inc. ............ 3,900 333,694
Varian Associates, Inc. ............ 1,900 71,962
------------
8,836,349
------------
ENTERTAINMENT & LEISURE -- 0.8%
Brunswick Corp. .................... 2,000 49,500
Callaway Golf Co. .................. 2,200 22,550
Circus Circus Enterprises, Inc.*.... 2,700 30,881
Disney, (Walt) Co. ................. 25,292 758,760
Harley-Davidson, Inc. .............. 5,300 251,087
International Game Technology....... 4,600 111,837
Mattel, Inc. ....................... 4,100 93,531
Mirage Resorts, Inc.*............... 3,800 56,762
</TABLE>
69
<PAGE> 71
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
President Casinos, Inc. Warrants*... 883 $ 44
Time Warner, Inc. .................. 15,200 943,350
Viacom, Inc. Cl-B*.................. 5,800 429,200
------------
2,747,502
------------
ENVIRONMENTAL SERVICES -- 0.3%
Allied Waste Industries, Inc.*...... 5,400 127,575
Browning-Ferris Industries, Inc. ... 4,740 134,794
Tetra Tech, Inc.*................... 1,875 50,742
U.S. Filter Corp.*.................. 4,200 96,075
Waste Management, Inc. ............. 11,659 543,601
------------
952,787
------------
FINANCIAL-BANK & TRUST -- 3.5%
Australia and New Zealand Banking
Group Ltd. [ADR].................. 3,600 117,000
Banco Bilbao Vizcaya [ADR].......... 27,000 432,000
Banco Frances SA [ADR].............. 5,060 104,995
Bank of New York Co., Inc. ......... 9,400 378,350
Bank One Corp. ..................... 14,834 757,461
BankAmerica Corp. .................. 19,560 1,176,045
BankBoston Corp. ................... 4,100 159,644
Charter One Financial, Inc. ........ 4,140 114,885
Chase Manhattan Corp. .............. 11,112 756,310
City National Corp. ................ 1,800 74,925
Crestar Financial Corp. ............ 3,800 273,600
Dime Bancorp, Inc. ................. 4,100 108,394
Fifth Third Bancorp................. 4,725 336,952
First Security Corp. ............... 7,087 165,659
First Tennessee National Corp. ..... 5,400 205,537
First Union Corp. .................. 12,608 766,724
Firstar Corp. ...................... 3,040 283,480
Fleet Financial Group, Inc. ........ 8,400 375,375
Golden West Financial Corp. ........ 800 73,350
GreenPoint Financial Corp. ......... 3,000 105,375
Hibernia Corp. Cl-A................. 3,100 53,862
Huntington Bancshares, Inc. ........ 3,960 119,047
Keycorp............................. 8,000 256,000
Marshall & Ilsley Corp. ............ 3,300 192,844
Mellon Bank Corp. .................. 4,400 302,500
Mercantile Bancorporation, Inc. .... 4,100 189,112
Mercantile Bankshares Corp. ........ 3,300 127,050
Morgan, (J.P.) & Co., Inc. ......... 2,600 273,162
National City Corp. ................ 2,160 156,600
North Fork Bancorporation, Inc. .... 4,400 105,325
Northern Trust Corp. ............... 3,600 314,325
Old Kent Financial Corp. ........... 2,600 120,900
Pacific Century Financial Corp. .... 3,900 95,062
PNC Bank Corp. NA................... 5,520 298,770
Regions Financial Corp. ............ 2,700 108,844
Silicon Valley Bancshares*.......... 1,400 23,844
Southtrust Corp. ................... 5,200 192,075
State Street Boston Corp. .......... 2,900 201,731
Summit Bancorp...................... 4,600 200,962
TCF Financial Corp. ................ 3,800 91,912
U.S. Bancorp........................ 13,659 484,894
Union Planters Corp. ............... 2,800 126,875
Wells Fargo & Co. .................. 24,800 990,450
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Wilmington Trust Corp. ............. 1,400 $ 86,275
Zions Bancorp....................... 2,000 124,750
------------
12,003,232
------------
FINANCIAL SERVICES -- 2.1%
AMBAC, Inc. ........................ 1,900 114,356
American Express Co. ............... 5,100 521,475
Associates First Capital Corp.
Cl-A.............................. 10,528 446,124
Bear Stearns Companies, Inc. ....... 3,715 138,848
Block, (H&R), Inc. ................. 3,700 166,500
Capital One Financial Corp. ........ 1,400 161,000
Citigroup, Inc. .................... 28,670 1,419,165
Echelon International Corp.*........ 846 18,876
Edwards, (A.G.), Inc. .............. 2,250 83,812
Fannie Mae.......................... 13,900 1,028,600
FINOVA Group, Inc. ................. 2,500 134,844
Franklin Resources, Inc. ........... 5,700 182,400
Freddie Mac......................... 10,600 683,037
Grupo Financiero Bancomer [ADR]
144A.............................. 1,400 5,775
Household International, Inc. ...... 5,900 233,787
Merrill Lynch & Co., Inc. .......... 3,900 260,325
Morgan Stanley, Dean Witter &
Co. .............................. 7,485 531,435
Paine Webber Group, Inc. ........... 4,800 185,400
Schwab, (Charles) Corp. ............ 6,975 391,908
SunAmerica, Inc. ................... 4,200 340,725
The Dun & Bradstreet Corp. ......... 1,500 47,344
Waddell & Reed Financial, Inc.
Cl-A.............................. 260 6,170
Waddell & Reed Financial, Inc.
Cl-B.............................. 1,117 25,960
Washington Mutual, Inc. ............ 3,750 143,203
------------
7,271,069
------------
FOOD -- 1.4%
Albertson's, Inc. .................. 4,200 267,487
American Stores Co. ................ 2,800 103,425
Archer-Daniels-Midland Co. ......... 11,321 194,580
Bestfoods, Inc. .................... 5,500 292,875
Campbell Soup Co. .................. 6,100 335,500
ConAgra, Inc. ...................... 6,800 214,200
Dean Foods Corp. ................... 900 36,731
Diageo PLC [ADR].................... 4,147 191,799
Dole Food Co. ...................... 2,100 63,000
General Mills, Inc. ................ 2,500 194,375
Heinz, (H.J.) Co. .................. 6,250 353,906
Hershey Foods Corp. ................ 3,200 199,000
IBP, Inc. .......................... 4,300 125,237
Interstate Bakeries Corp. .......... 3,000 79,312
Kellogg Co. ........................ 7,500 255,937
Kroger Co.*......................... 5,400 326,700
McCormick & Co., Inc. .............. 3,300 111,581
Ralston Purina Co. ................. 6,300 203,962
Safeway, Inc.*...................... 6,060 369,281
Sara Lee Corp. ..................... 12,400 349,525
Smucker, (J.M.) Co. ................ 1,600 39,600
The Earthgrains Co. ................ 592 18,315
Tyson Foods, Inc. .................. 7,300 155,125
U.S. Foodservice, Inc.*............. 2,100 102,900
Universal Corp. .................... 1,800 63,225
</TABLE>
70
<PAGE> 72
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Universal Foods Corp. .............. 2,600 $ 71,337
Wrigley, (Wm., Jr.) Co. ............ 1,300 116,431
------------
4,835,346
------------
FURNITURE -- 0.0%
Leggett & Platt, Inc. .............. 6,600 145,200
------------
HEALTHCARE SERVICES -- 0.6%
Amgen, Inc.*........................ 4,600 480,987
Apria Healthcare Group, Inc.*....... 7,500 67,031
Columbia HCA Healthcare Corp. ...... 11,096 274,626
Concentra Managed Care, Inc.*....... 2,800 29,925
Foundation Health Systems*.......... 5,500 65,656
Health Management Associates, Inc.
Cl-A*............................. 5,950 128,669
Healthsouth Corp.*.................. 6,200 95,712
IMS Health, Inc. ................... 3,500 264,031
Omnicare, Inc. ..................... 2,800 97,300
Oxford Health Plans, Inc.*.......... 1,300 19,337
PacifiCare Health Systems, Inc.
Cl-A*............................. 400 29,100
PacifiCare Health Systems, Inc.
Cl-B*............................. 1,400 111,300
Quintiles Transnational Corp.*...... 2,300 122,762
Quorum Health Group, Inc.*.......... 3,600 46,575
Total Renal Care Holdings, Inc.*.... 2,700 79,819
United Healthcare Corp. ............ 4,700 202,394
Vencor, Inc.*....................... 2,200 9,900
Ventas, Inc.*....................... 2,200 26,812
------------
2,151,936
------------
HOTELS & MOTELS -- 0.0%
Promus Hotel Corp.*................. 2,600 84,175
Starwood Hotels & Resorts [REIT].... 2,664 60,439
------------
144,614
------------
INDUSTRIAL PRODUCTS -- 0.0%
Harsco Corp. ....................... 2,600 79,137
------------
INSURANCE -- 1.5%
Aetna, Inc. ........................ 3,302 259,620
AFLAC, Inc. ........................ 8,400 369,600
Allstate Corp. ..................... 10,600 409,425
American Financial Group, Inc. ..... 2,400 105,300
American General Corp. ............. 4,300 335,400
American International Group,
Inc. ............................. 12,425 1,200,566
Chubb Corp. ........................ 3,300 214,087
CIGNA Corp. ........................ 3,900 301,519
Conseco, Inc. ...................... 5,691 173,931
General Re Corp. ................... 1,300 320,775
HSB Group, Inc. .................... 1,650 67,753
Lincoln National Corp. ............. 1,700 139,081
Loews Corp. ........................ 2,100 206,325
Old Republic International Corp. ... 4,600 103,500
Progressive Corp. .................. 1,400 237,125
Provident Companies, Inc. .......... 2,800 116,200
ReliaStar Financial Corp. .......... 3,000 138,375
Selective Insurance Group, Inc. .... 4,500 90,562
Torchmark Corp. .................... 4,600 162,437
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Transatlantic Holdings, Inc. ....... 1,050 $ 79,341
UNUM Corp. ......................... 4,200 245,175
------------
5,276,097
------------
LUMBER & WOOD PRODUCTS -- 0.0%
Deltic Timber Corp. ................ 342 6,968
Rayonier, Inc. ..................... 1,600 73,500
------------
80,468
------------
MACHINERY & EQUIPMENT -- 0.6%
AGCO Corp. ......................... 2,100 16,537
Black & Decker Corp. ............... 2,700 151,369
Caterpillar, Inc. .................. 6,700 308,200
Danaher Corp. ...................... 4,500 244,406
Deere & Co. ........................ 4,000 132,500
Federal Signal Corp. ............... 2,400 65,700
Flowserve Corp. .................... 2,900 48,031
Gencorp, Inc. ...................... 2,800 69,825
Illinois Tool Works, Inc. .......... 4,200 243,600
Ingersoll-Rand Co. ................. 2,700 126,731
Kennametal, Inc. ................... 1,200 25,500
Pall Corp. ......................... 5,400 136,687
Precision Castparts Corp. .......... 700 30,975
Sequa Corp. Cl-A*................... 700 41,912
Smith International, Inc.*.......... 2,000 50,375
Sundstrand Corp. ................... 2,200 114,125
Tecumseh Products Co. Cl-A.......... 1,400 65,275
Thermo Electron Corp.*.............. 6,300 106,706
Weatherford International, Inc. .... 2,320 44,950
------------
2,023,404
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.4%
Abbott Laboratories................. 19,900 975,100
Allegiance Corp. ................... 3,300 153,862
Baxter International, Inc. ......... 4,800 308,700
Beckman Coulter, Inc. .............. 900 48,825
Becton Dickinson & Co. ............. 6,800 290,275
Bergen Brunswig Corp. Cl-A.......... 3,800 132,525
Boston Scientific Corp.*............ 8,800 235,950
Centocor, Inc.*..................... 2,200 99,275
Forest Laboratories, Inc.*.......... 3,400 180,837
Genzyme Tissue Repair*.............. 63 142
Guidant Corp. ...................... 2,600 286,650
Hillenbrand Industries, Inc. ....... 2,200 125,125
Johnson & Johnson Co. .............. 16,600 1,392,325
Medtronic, Inc. .................... 5,900 438,075
Stryker Corp. ...................... 3,400 187,212
Sybron International Corp.*......... 3,700 100,594
------------
4,955,472
------------
METALS & MINING -- 0.2%
Aluminum Co. of America............. 3,900 290,794
Barrick Gold Corp. ................. 8,000 156,000
Brush Wellman, Inc. ................ 2,400 41,850
Carpenter Technology Corp. ......... 2,200 74,663
Nucor Corp. ........................ 2,800 121,100
Placer Dome, Inc. .................. 9,900 113,850
------------
798,257
------------
</TABLE>
71
<PAGE> 73
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OFFICE EQUIPMENT -- 0.5%
Herman Miller, Inc. ................ 2,800 $ 75,250
Ikon Office Solutions, Inc. ........ 2,300 19,694
Office Depot, Inc.*................. 7,700 284,419
Pitney Bowes, Inc. ................. 4,900 323,706
Standard Register Co. .............. 1,700 52,594
Staples, Inc.*...................... 7,750 338,578
Wallace Computer Service, Inc. ..... 2,900 76,488
Xerox Corp. ........................ 5,200 613,600
------------
1,784,329
------------
OIL & GAS -- 3.2%
Amerada Hess Corp. ................. 4,700 233,825
Amoco Corp. ........................ 11,900 718,463
Anadarko Petroleum Corp. ........... 2,600 80,275
Apache Corp. ....................... 1,600 40,500
Atlantic Richfield Co. ............. 4,900 319,725
BJ Services Co.*.................... 9,000 140,625
British Petroleum Co. PLC [ADR]..... 3,000 268,875
Chevron Corp. ...................... 7,400 613,738
El Paso Energy Corp. ............... 3,900 135,769
ENI Co. SPA [ADR]................... 3,700 250,675
Ensco International, Inc. .......... 5,500 58,781
Exxon Corp. ........................ 30,200 2,208,375
Global Marine, Inc.*................ 7,000 64,313
Halliburton Co. .................... 5,800 171,825
Helmerich & Payne, Inc. ............ 1,800 34,875
Keyspan Corp. ...................... 4,500 139,500
MCN Energy Group, Inc. ............. 3,600 68,625
Mobil Corp. ........................ 9,000 784,125
Murphy Oil Corp. ................... 2,400 99,000
Nabors Industries, Inc.*............ 4,300 58,319
National Fuel Gas Co. .............. 2,000 90,375
Noble Affiliates, Inc. ............. 2,500 61,563
Noble Drilling Corp.*............... 3,300 42,694
Occidental Petroleum Corp. ......... 8,900 150,188
Phillips Petroleum Co. ............. 4,000 170,500
Ranger Oil Ltd.*.................... 7,800 34,613
Repsol SA [ADR]..................... 3,000 163,875
Royal Dutch Petroleum Co. .......... 33,600 1,608,600
Schlumberger Ltd. .................. 6,700 309,038
Shell Transport & Trading Co.
[ADR]............................. 6,000 223,125
Societe Nationale Elf Aquitaine SA
[ADR]............................. 2,000 113,250
Sonat, Inc. ........................ 3,300 89,306
Texaco, Inc. ....................... 6,200 327,825
Tidewater, Inc. .................... 2,700 62,606
Tosco Corp. ........................ 3,800 98,325
Total SA [ADR]...................... 3,900 194,025
Transocean Offshore, Inc. .......... 2,800 75,075
Ultramar Diamond Shamrock Corp. .... 2,800 67,900
Union Pacific Resources Group,
Inc. ............................. 5,509 49,925
Unocal Corp. ....................... 5,200 151,775
USX-Marathon Group.................. 5,400 162,675
Valero Energy Corp. ................ 2,900 61,625
Washington Gas Light Co. ........... 2,200 59,675
------------
10,858,766
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 0.4%
Bowater, Inc. ...................... 2,200 $ 91,163
Consolidated Papers, Inc. .......... 3,800 104,500
Fort James Corp. ................... 4,100 164,000
Georgia Pacific Group............... 1,500 87,844
Georgia-Pacific Timber Group........ 1,500 35,719
Glatfelter, (P.H.) Co. ............. 2,600 32,175
International Paper Co. ............ 5,000 224,063
Kimberly-Clark Corp. ............... 8,400 457,800
Wausau-Mosinee Paper Corp. ......... 3,700 65,444
Weyerhaeuser Co. ................... 4,500 228,656
------------
1,491,364
------------
PERSONAL SERVICES -- 0.1%
Service Corp. International......... 5,300 201,731
------------
PHARMACEUTICALS -- 3.6%
American Home Products Corp. ....... 16,600 934,788
Biogen, Inc.*....................... 1,700 141,100
Bristol-Meyers Squibb Co. .......... 12,300 1,645,894
Cardinal Health, Inc. .............. 3,975 301,603
Carter-Wallace, Inc. ............... 3,900 76,538
Chiron Corp.*....................... 5,500 144,031
Genzyme Corp.*...................... 2,100 104,475
Genzyme-Molecular Oncology*......... 226 734
Glaxo Wellcome PLC [ADR]............ 4,800 333,600
ICN Pharmaceuticals, Inc. .......... 1,700 38,463
Ivax Corp.*......................... 5,700 70,894
Lilly, (Eli) & Co. ................. 12,200 1,084,275
McKesson Corp. ..................... 2,600 205,563
Merck & Co., Inc. .................. 14,900 2,200,544
Monsanto Co. ....................... 7,600 361,000
Mylan Laboratories, Inc. ........... 4,000 126,000
Perrigo Co.*........................ 5,300 46,706
Pfizer, Inc......................... 16,300 2,044,631
Pharmacia & Upjohn, Inc. ........... 7,500 424,688
Schering-Plough Corp. .............. 18,800 1,038,700
Warner-Lambert Co. ................. 11,400 857,138
Watson Pharmaceuticals, Inc.*....... 3,400 213,775
------------
12,395,140
------------
PRINTING & PUBLISHING -- 0.3%
Banta Corp. ........................ 2,900 79,388
Belo, (A.H.) Corp. Cl-A............. 3,400 67,788
Donnelley, (R.R.) & Sons Co. ....... 2,600 113,913
Lexmark International Group, Inc.
Cl-A*............................. 2,100 211,050
McGraw-Hill Co., Inc. .............. 2,900 295,438
Tribune Co. ........................ 2,100 138,600
Washington Post Co. Cl-B............ 400 231,175
Workflow Management, Inc.*.......... 286 1,913
------------
1,139,265
------------
RAILROADS -- 0.2%
Burlington Northern Santa Fe
Corp. ............................ 5,100 172,125
Kansas City Southern Industries,
Inc. ............................. 5,400 265,613
Norfolk Southern Corp. ............. 6,000 190,125
Union Pacific Corp. ................ 3,000 135,188
------------
763,051
------------
</TABLE>
72
<PAGE> 74
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RESTAURANTS -- 0.3%
Brinker International, Inc.*........ 7,300 $ 210,788
Cracker Barrel Old Country Store,
Inc. ............................. 2,700 62,944
Darden Restaurants, Inc. ........... 6,500 117,000
McDonald's Corp. ................... 8,100 620,663
Outback Steakhouse, Inc.*........... 2,400 95,700
Tricon Global Restaurants, Inc.*.... 1,480 74,185
------------
1,181,280
------------
RETAIL & MERCHANDISING -- 2.5%
Ann Taylor Stores Corp.* ........... 1,600 63,100
Barnes & Noble, Inc.* .............. 2,600 110,500
Bed, Bath & Beyond, Inc.* .......... 5,200 177,450
Best Buy Co., Inc.* ................ 3,500 214,813
BJ's Wholesale Club, Inc.* ......... 2,000 92,625
Circuit City Stores, Inc. .......... 2,000 99,875
Costco Companies, Inc.* ............ 3,900 281,531
CVS Corp. .......................... 6,500 357,500
Dayton-Hudson Corp. ................ 7,400 401,450
Dollar General Corp. ............... 3,515 83,042
Family Dollar Stores, Inc. ......... 5,300 116,600
Fastenal Co. ....................... 2,100 92,400
Federated Department Stores,
Inc.*............................. 3,500 152,469
Gap, Inc. .......................... 8,025 451,406
General Nutrition Companies,
Inc.* ............................ 3,900 63,375
Home Depot, Inc. ................... 19,200 1,174,800
Kohl's Corp.* ...................... 5,600 344,050
Lands' End, Inc.* .................. 3,000 80,813
May Department Stores Co. .......... 3,900 235,463
Meyer, (Fred), Inc.* ............... 3,000 180,750
Micro Warehouse, Inc.* ............. 2,600 87,913
Nordstrom, Inc. .................... 1,900 65,906
Payless Shoesource, Inc.* .......... 1,572 74,474
Penney, (J.C.) Co., Inc. ........... 3,500 164,063
Rite Aid Corp. ..................... 2,600 128,863
Saks, Inc.* ........................ 4,400 138,875
School Specialty, Inc.* ............ 238 5,087
Sears, Roebuck & Co. ............... 4,800 204,000
Starbucks Corp.* ................... 2,600 145,925
Tiffany & Co. ...................... 2,000 103,750
TJX Companies, Inc. ................ 5,600 162,400
Toys 'R' Us, Inc.* ................. 6,920 116,775
U.S. Office Products Co. ........... 537 2,089
Wal-Mart Stores, Inc. .............. 25,900 2,109,231
Walgreen Co. ....................... 7,700 450,931
------------
8,734,294
------------
SEMICONDUCTORS -- 1.0%
Atmel Corp.* ....................... 4,600 70,438
Intel Corp. ........................ 21,200 2,513,525
Motorola, Inc. ..................... 8,100 494,606
Xilinx, Inc.* ...................... 4,900 319,113
------------
3,397,682
------------
TELECOMMUNICATIONS -- 5.4%
ADC Telecommunications, Inc.* ...... 5,900 205,025
AirTouch Communications, Inc.* ..... 7,200 519,300
Aliant Communications, Inc. ........ 1,800 73,575
Alltel Corp. ....................... 1,702 101,801
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Ameritech Corp. .................... 14,200 $ 899,925
Ascend Communications, Inc.* ....... 825 54,244
AT&T Corp. ......................... 21,400 1,610,350
Bell Atlantic Corp. ................ 18,514 1,051,827
BellSouth Corp. .................... 22,600 1,127,175
British Telecommunications PLC
[ADR] ............................ 3,200 485,400
Century Telephone Enterprises,
Inc. ............................. 4,200 283,500
Cia de Telecomunicaciones de Chile
SA [ADR] ......................... 1,700 35,169
Cincinnati Bell, Inc. .............. 4,300 162,594
Comcast Corp. Cl-A ................. 7,000 410,813
Ericsson, (L.M.) Telephone Co.
[ADR] ............................ 9,600 229,800
France Telecom SA [ADR] ............ 9,700 765,694
GTE Corp. .......................... 14,100 950,869
Hong Kong Telecommunications Ltd.
[ADR] ............................ 9,245 162,365
Leap Wireless International,
Inc. ............................. 400 2,900
Lucent Technologies, Inc. .......... 15,252 1,677,720
MCI WorldCom, Inc.* ................ 22,797 1,635,685
MediaOne Group, Inc.* .............. 9,100 427,700
MetroNet Communications Corp.
Warrants 144A* ................... 100 4,216
Nextel Communications, Inc.
Cl-A* ............................ 3,600 85,050
Nokia Corp. Cl-A [ADR] ............. 3,600 433,575
Northern Telecom Ltd. .............. 8,480 425,060
Qualcomm, Inc. ..................... 2,300 119,169
SBC Communications, Inc. ........... 27,530 1,476,296
Sprint Corp. (FON Group) ........... 6,200 521,575
Sprint Corp. (PCS Group)* .......... 3,100 71,688
TCA Cable TV, Inc. ................. 3,200 114,200
Tele-Communications, Inc. Cl-A* .... 5,700 315,281
Telecomunicacoes Brasileiras SA Pfd.
[ADR] ............................ 3,300 239,869
Telefonica SA [ADR] ................ 1,632 220,932
Telefonos de Mexico SA Cl-L
[ADR] ............................ 1,800 87,638
Telephone & Data Systems, Inc. ..... 2,500 112,344
Tellabs, Inc.* ..................... 2,500 171,406
U. S. West, Inc. ................... 6,418 414,763
Vodafone Group PLC [ADR] ........... 3,200 515,600
Williams Companies, Inc. ........... 10,198 318,050
------------
18,520,143
------------
TRANSPORTATION -- 0.1%
Alexander & Baldwin, Inc. .......... 2,500 58,125
CNF Transportation, Inc. ........... 2,200 82,638
CSX Corp. .......................... 3,600 149,400
------------
290,163
------------
UTILITIES -- 1.8%
Allegheny Energy, Inc. ............. 4,400 151,800
American Electric Power Co.,
Inc. ............................. 3,300 155,306
American Water Works Co., Inc. ..... 3,400 114,750
Baltimore Gas & Electric Co. ....... 2,700 83,363
Calenergy, Inc.* ................... 2,400 83,250
CMS Energy Corp. ................... 3,400 164,688
Consolidated Edison, Inc. .......... 3,800 200,925
</TABLE>
73
<PAGE> 75
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Duke Energy Corp.................... 6,100 $ 390,781
Edison International Co. ........... 7,800 217,425
Empresa Nacional de Electridad SA
[ADR] ............................ 2,000 22,750
Endesa SA [ADR] .................... 7,600 205,200
Energy East Corp. .................. 3,400 192,100
Enron Corp. ........................ 5,400 308,138
Entergy Corp. ...................... 6,200 192,975
FirstEnergy Corp. .................. 5,000 162,813
Florida Progress Corp. ............. 3,800 170,288
FPL Group, Inc. .................... 3,700 228,013
Idacorp, Inc. ...................... 2,600 94,088
Illinova Corp. ..................... 2,700 67,500
IPALCO Enterprises, Inc. ........... 2,400 133,050
LG&E Energy Corp. .................. 4,400 124,575
MidAmerican Energy Co. ............. 3,800 102,125
New Century Energies, Inc. ......... 3,895 189,881
New England Electric System ........ 2,600 125,125
Niagara Mohawk Power Corp.* ........ 12,700 204,788
NIPSCO Industries, Inc. ............ 4,600 140,013
Oklahoma Gas & Electric Co. ........ 2,900 84,100
PG&E Corp. ......................... 8,200 258,300
Pinnacle West Capital Co. .......... 2,300 97,463
Potomac Electric Power Co. ......... 4,900 128,931
Public Service Co. of New Mexico ... 1,900 38,831
SCANA Corp. ........................ 3,600 116,100
Southern Co. ....................... 12,300 357,469
Teco Energy, Inc. .................. 4,800 135,300
Texas Utilities Co. ................ 4,900 228,769
Unicom Corp. ....................... 4,200 161,963
UtiliCorp United, Inc. ............. 2,300 84,381
Wisconsin Energy Corp. ............. 3,700 116,319
------------
6,033,636
------------
TOTAL U.S. STOCK
(Cost $102,069,797)................... 162,896,272
------------
FOREIGN STOCK -- 7.1%
ADVERTISING -- 0.1%
Asahi Tsushin -- (JPY) ............. 9,000 215,432
------------
AEROSPACE -- 0.0%
Mitsubishi Heavy Industries Ltd. --
(JPY) ............................ 22,000 85,818
------------
AIRLINES -- 0.0%
KLM Royal Dutch Airlines NV --
(NLG) ............................ 3,000 90,799
Singapore Airlines Ltd. -- (SGD) ... 7,000 51,335
------------
142,134
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
MAN AG -- (DEM) .................... 1,000 297,204
------------
AUTOMOTIVE PARTS -- 0.1%
Bridgestone Corp. -- (JPY) ......... 15,000 341,101
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BEVERAGES -- 0.1%
Lion Nathan Ltd. -- (NZD) .......... 50,000 $ 127,574
Louis Vuitton Moet Hennessy --
(FRF) ............................ 660 130,676
------------
258,250
------------
BUILDING MATERIALS -- 0.1%
Blue Circle Industries
PLC -- (GBP) ..................... 26,513 136,749
Holderbank Financiere Glarus AG --
(CHF) ............................ 260 307,802
Malayan Cement BHD -- (MYR)++ ...... 30,750 7,758
------------
452,309
------------
CHEMICALS -- 0.3%
AKZO Nobel NV -- (NLG) ............. 1,600 72,895
BASF AG -- (DEM) ................... 8,000 305,250
Bayer AG -- (DEM) .................. 7,600 319,192
L'Air Liquide -- (FRF) ............. 1,642 301,297
Sumitomo Chemical Co. -- (JPY) ..... 26,000 101,421
------------
1,100,055
------------
CLOTHING & APPAREL -- 0.2%
Benetton Group SPA -- (ITL) ........ 96,600 195,087
Christian Dior SA -- (FRF) ......... 1,200 132,760
Kuraray Co. Ltd. -- (JPY) .......... 21,000 232,161
Yue Yuen Industrial Holdings --
(HKD) ............................ 95,000 180,263
------------
740,271
------------
CONGLOMERATES -- 0.2%
Cycle & Carriage Ltd. -- (SGD) ..... 15,000 51,365
GKN PLC -- (GBP) ................... 12,000 159,227
Hutchison Whampoa Ltd. -- (HKD) .... 56,000 395,765
Tomkins PLC -- (GBP) ............... 12,000 56,603
Valmet Corp. -- (FIM) .............. 4,000 53,720
------------
716,680
------------
CONSTRUCTION -- 0.1%
Compagnie Francaise d'Etudes et de
Construction Technip -- (FRF) .... 3,300 310,741
Matsushita Electric Works Ltd. --
(JPY) ............................ 15,000 153,595
------------
464,336
------------
CONSUMER PRODUCTS & SERVICES -- 0.3%
JUSCO Co. -- (JPY) ................. 11,000 222,835
Kao Corp. -- (JPY) ................. 26,000 587,784
Orkla ASA Cl-A -- (NOK) ............ 7,600 113,221
------------
923,840
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.4%
Johnson Electric Holdings Ltd. --
(HKD) ............................ 187,200 480,866
Mitsubishi Electric
Corp. -- (JPY) ................... 27,000 84,976
Omron Corp. -- (JPY) ............... 24,000 317,031
Sharp Corp. -- (JPY) ............... 9,000 81,306
Siemans AG -- (DEM) ................ 3,700 243,257
Sony Corp. -- (JPY) ................ 3,000 218,890
------------
1,426,326
------------
</TABLE>
74
<PAGE> 76
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 1.5%
Abbey National PLC -- (GBP) ........ 28,000 $ 599,571
ABN AMRO Holding NV -- (NLG) ...... 8,000 168,383
Banca Commerciale Italia NA --
(ITL) ............................ 61,000 421,738
Bank of Scotland -- (GBP) .......... 20,208 241,072
Bankgesellschaft Berlin
AG -- (DEM)....................... 10,050 164,732
Barclays PLC -- (GBP) .............. 15,191 327,563
Deutsche Bank AG -- (DEM) .......... 2,800 165,224
Developmental Bank of Singapore
Ltd. -- (SGD) .................... 4,400 39,734
Dresdner Bank AG -- (DEM) ......... 4,500 188,590
HSBC Holdings PLC -- (GBP) ......... 18,000 488,162
ING Groep NV -- (NLG) .............. 10,153 619,458
KBC Bancassurance Holdings NV --
(BEF) ............................ 5,300 419,646
Oversea-Chinese Banking Corp.
Ltd. -- (SGD) .................... 6,000 40,728
Svenska Handlesbanken
Cl-A -- (SEK)..................... 7,300 308,012
Toronto Dominion Bank -- (CAD) ..... 4,100 143,612
UBS AG -- (CHF) .................... 3,481 1,069,533
Westpac Banking Corp.
Ltd. -- (AUD)..................... 10,000 66,979
------------
5,472,737
------------
FINANCIAL SERVICES -- 0.4%
Holding Di Partecipazioni
Industriali SPA -- (ITL) ........ 45,000 34,059
Mediobanca SPA -- (ITL) ............ 27,200 378,581
Societe Generale -- (FRF) .......... 2,572 416,695
Unidanmark AS Cl-A -- (DKK) ........ 4,500 406,562
------------
1,235,897
------------
FOOD -- 0.4%
Cadbury Schweppes PLC -- (GBP) .... 1,400 23,876
CSM NV -- (NLG) .................... 2,400 138,629
Danisco AS -- (DKK) ................ 4,000 216,833
Eridania Beghin-Say SA -- (FRF) .... 1,800 311,600
Huhtamaki Co. -- (FIM) ............. 1,500 57,473
Nestle SA -- (CHF) ................. 380 827,242
------------
1,575,653
------------
INSURANCE -- 0.3%
AXA SA -- (FRF) .................... 4,500 652,523
CKAG Colonia Konzern AG -- (DEM) ... 1,500 170,217
Sumitomo Marine & Fire Insurance
Co.-- (JPY) ...................... 30,000 190,431
------------
1,013,171
------------
MACHINERY & EQUIPMENT -- 0.1%
ABB AG -- (CHF) .................... 160 187,553
SIG Holding AG -- (CHF) ............ 280 165,128
------------
352,681
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.2%
Smith and Nephew PLC -- (GBP) ...... 38,000 118,230
Terumo Corp. -- (JPY) ............. 26,000 613,139
------------
731,369
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
METALS & MINING -- 0.1%
Anglo American Platinum Corp.
Ltd. -- (ZAR) .................... 12,000 $ 164,621
Lonrho Africa PLC -- (GBP) ......... 6,498 6,003
Rio Tinto Ltd. -- (AUD) ............ 6,000 71,230
------------
241,854
------------
OFFICE EQUIPMENT -- 0.1%
Canon, Inc. -- (JPY) ............... 9,000 192,692
Ricoh Co. Ltd. -- (JPY) ............ 13,000 120,092
------------
312,784
------------
OIL & GAS -- 0.1%
Santos Ltd. -- (AUD) ............... 32,000 85,969
Societe Nationale Elf Aquitaine
SA -- (FRF) ...................... 1,100 127,211
------------
213,180
------------
PAPER & FOREST PRODUCTS -- 0.1%
Bobst SA -- (CHF) .................. 160 198,037
Kimberly-Clark de Mexico SA Cl-A --
(MXP) ............................ 10,000 31,750
Svenska Cellulosa AB
Cl-B -- (SEK) .................... 3,500 76,429
------------
306,216
------------
PHARMACEUTICALS -- 0.5%
Altana AG -- (DEM) ................. 2,100 149,728
Astra AB Cl-B -- (SEK) ............. 14,666 298,548
Gehe AG -- (DEM) ................... 2,150 144,579
Novartis AG -- (CHF) ............... 180 353,846
Novartis AG Bearer -- (CHF) ........ 160 314,530
Takeda Chemical
Industries -- (JPY)............... 13,000 501,345
------------
1,762,576
------------
PRINTING & PUBLISHING -- 0.2%
Dai Nippon Printing Co.
Ltd. -- (JPY)..................... 12,000 191,708
Elsevier NV -- (NLG) ............... 12,000 168,170
Pearson PLC -- (GBP) ............... 11,600 230,251
------------
590,129
------------
REAL ESTATE -- 0.1%
Cheung Kong Holdings
Ltd. -- (HKD)..................... 38,000 273,460
DBS Land Ltd. -- (SGD) ............. 25,000 36,819
------------
310,279
------------
RETAIL & MERCHANDISING -- 0.3%
Carrefour Supermarche
SA -- (FRF) ...................... 150 113,292
Mauri Co. Ltd. -- (JPY) ............ 7,000 134,977
Pinault-Printemps Redoute SA --
(FRF) ............................ 2,100 401,503
Tesco PLC -- (GBP) ................. 101,829 290,139
------------
939,911
------------
TELECOMMUNICATIONS -- 0.4%
Nippon Telegraph & Telephone
Corp. -- (JPY) ................... 280 216,460
Telecom Corp. of New Zealand Ltd. --
(NZD) ............................ 22,000 95,879
Telecom Italia Mobile
SPA -- (ITL) ..................... 75,000 554,918
</TABLE>
75
<PAGE> 77
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Telecom Italia SPA -- (ITL) ........ 41,666 $ 356,294
Telekom Malaysia BHD -- (MYR)++ .... 100 184
------------
1,223,735
------------
TRANSPORTATION -- 0.1%
BAA PLC -- (GBP).................... 17,775 207,463
------------
UTILITIES -- 0.2%
Electrabel SA -- (BEF).............. 720 316,481
Hong Kong Electric Holdings Ltd. --
(HKD)............................. 30,000 91,003
Veba AG -- (DEM).................... 6,500 385,195
------------
792,679
------------
TOTAL FOREIGN STOCK
(Cost $18,647,531).................... 24,446,070
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
CORPORATE OBLIGATIONS -- 11.2%
AEROSPACE -- 0.2%
Boeing Co. Notes
6.35%, 06/15/03.................. $ 120 124,800
Dyncorp, Inc. Sr. Sub. Notes
9.50%, 03/01/07.................. 300 297,750
Raytheon Co. Notes
6.50%, 07/15/05.................. 350 361,813
------------
784,363
------------
AUTOMOBILE MANUFACTURERS -- 0.1%
Trident Automotive PLC Sr. Sub.
Notes Cl-B
10.00%, 12/15/05................. 250 261,875
------------
AUTOMOTIVE PARTS -- 0.1%
Federal Mogul Corp. Notes
7.75%, 07/01/06.................. 300 301,500
Safelite Glass Corp. Sr. Sub. Notes
144A
9.875%, 12/15/06................. 200 186,000
------------
487,500
------------
BEVERAGES -- 0.3%
Anheuser-Busch Companies, Inc. Debs
7.00%, 12/01/25.................. 150 156,938
Seagram, (J.) & Sons Co.
Guarantee Notes
7.60%, 12/15/28.................. 1,000 1,007,500
------------
1,164,438
------------
BROADCASTING -- 0.2%
Chancellor Media Corp. LA Sr. Sub.
Notes Cl-B
8.125%, 12/15/07................. 350 348,250
TV Azteca SA de CV Sr. Notes Cl-B
10.50%, 02/15/07................. 200 168,500
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Young Broadcasting, Inc. Sr. Sub.
Notes
10.125%, 02/15/05................ 150 157,500
------------
674,250
------------
BUILDING MATERIALS -- 0.1%
American Standard, Inc. Debs.
9.25%, 12/01/16.................. $ 15 $ 15,356
Associated Materials, Inc. Notes
9.25%, 03/01/08.................. 350 347,375
Koppers Industry, Inc. Co.
Guarantee Notes
9.875%, 12/01/07................. 75 73,500
------------
436,231
------------
BUSINESS SERVICES -- 0.1%
Iron Mountain, Inc. Sr. Sub. Notes
8.75%, 09/30/09.................. 125 129,063
Muzak, Inc. L.P. Notes
10.00%, 10/01/03................. 225 232,875
------------
361,938
------------
CHEMICALS -- 0.3%
American Pacific Corp. Sr. Notes
9.25%, 03/01/05.................. 300 309,000
Furon Co. Sr. Sub. Notes
8.125%, 03/01/08................. 200 199,250
Scotts Co. Sr. Sub. Notes
9.875%, 08/01/04................. 100 106,125
Sovereign Specialty Chemicals Sr.
Sub. Notes Cl-B
9.50%, 08/01/07.................. 250 248,750
------------
863,125
------------
CLOTHING & APPAREL -- 0.3%
Delta Mills, Inc. Sr. Notes
9.625%, 09/01/07................. 125 123,125
Dyersburg Corp. Co. Guarantee Notes
Cl-B
9.75%, 09/01/07.................. 175 159,250
Synthetic Industries, Inc. Sr. Sub.
Notes
9.25%, 02/15/07.................. 250 257,813
Westpoint Stevens, Inc. Sr. Notes
7.875%, 06/15/08................. 350 359,625
------------
899,813
------------
COMPUTER SERVICES & SOFTWARE -- 0.1%
American Business Information, Inc.
Sr. Sub. Notes 144A
9.50%, 06/15/08.................. 75 64,500
Verio, Inc. Sr. Notes
10.375%, 04/01/05................ 150 148,500
------------
213,000
------------
CONSTRUCTION -- 0.0%
Newport News Shipbuilding, Inc. Sr.
Notes
8.625%, 12/01/06................. 150 159,000
------------
</TABLE>
76
<PAGE> 78
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
CONSUMER PRODUCTS & SERVICES -- 0.6%
American Safety Razor Co. Sr. Notes
9.875%, 08/01/05................. $ 150 $ 151,313
Bally Total Fitness Holding Corp.
Sr. Sub. Notes Cl-B
9.875%, 10/15/07................. 225 220,500
Chattem, Inc. Notes
12.75%, 06/15/04................. 350 391,125
Doane Pet Care Co. Sr. Sub. Notes
144A
9.75%, 05/15/07.................. 359 367,975
Herff Jones, Inc. Sr. Sub. Notes
11.00%, 08/15/05................. 250 272,500
Holmes Products Corp. Sr. Sub.
Notes Cl-B
9.875%, 11/15/07................. 250 224,688
Protection One Alarm, Inc. Sr.
Disc. Notes [STEP]
13.625%, 06/30/05................ 130 146,900
Protection One Alarm, Inc. Sr. Sub
Notes
8.125%, 01/15/09................. 220 221,100
------------
1,996,101
------------
CONTAINERS & PACKAGING -- 0.2%
Container Corp. of America Sr.
Notes
9.75%, 04/01/03.................. 150 151,688
11.25%, 05/01/04................. 100 104,000
Plastic Containers, Inc. Sr. Notes
Cl-B
10.00%, 12/15/06................. 250 262,813
U.S. Can Corp. Sr. Sub. Notes
10.125%, 10/15/06................ 150 158,063
------------
676,564
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.1%
HCC Industries, Inc. Sr. Sub. Notes
10.75%, 05/15/07................. 250 241,250
Viasystems, Inc. Sr. Sub. Notes
9.75%, 06/01/07.................. 125 118,750
------------
360,000
------------
ENTERTAINMENT & LEISURE -- 0.5%
Cinemark USA Inc., Sr. Sub Notes
Cl-B
8.50%, 08/01/08.................. 350 349,563
Grand Casinos, Inc. First Mtge.
10.125%, 12/01/03................ 150 163,500
Rio Hotel & Casino, Inc. Notes
9.50%, 04/15/07.................. 100 109,125
Rio Hotel & Casino, Inc. Sr. Sub.
Notes
10.625%, 07/15/05................ 150 163,125
Six Flags Entertainment Corp. Sr.
Notes
8.875%, 04/01/06................. 175 182,000
Six Flags Theme Parks Corp. Sr.
Sub. Notes Cl-A [STEP]
12.25%, 06/15/05................. 150 167,250
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Time Warner Entertainment Co. Debs
7.25%, 09/01/08.................. $ 500 $ 551,250
------------
1,685,813
------------
EQUIPMENT SERVICES -- 0.0%
Coinmach Corp. Sr. Notes Cl-D
11.75%, 11/15/05................. 125 136,406
------------
FARMING & AGRICULTURE -- 0.1%
Purina Mills, Inc. Sr. Sub. Notes
9.00%, 03/15/10.................. 350 360,500
------------
FINANCIAL-BANK & TRUST -- 0.9%
Aristar, Inc. Sr. Notes
7.875%, 02/15/99................. 200 200,500
Banesto Delaware Sub. Notes
8.25%, 07/28/02.................. 50 53,313
Bank of Nova Scotia Sub. Notes
6.25%, 09/15/08.................. 50 50,563
BankAmerica Corp. Sub. Notes
6.85%, 03/01/03.................. 150 156,563
BankUnited Capital Trust Corp. Cl-B
10.25%, 12/31/26................. 250 253,750
CoreStates Home Equity Trust Corp.
Cl-A
6.65%, 05/15/09.................. 45 45,697
First Federal Financial, Inc. Notes
11.75%, 10/01/04................. 125 132,500
Freddie Mac Corp. Debs.
5.97%, 03/02/01.................. 1,500 1,502,009
MBNA Corp. Sr. Medium Term Notes
6.15%, 10/01/03.................. 450 455,625
NationsBank Texas Corp. Sr. Notes
6.75%, 08/15/00.................. 150 154,125
Provident Bank Corp. Sub. Notes
7.125%, 03/15/03................. 175 184,625
------------
3,189,270
------------
FINANCIAL SERVICES -- 1.8%
Ahmanson, (H.F.) & Co. Sr. Notes
9.875%, 11/15/99................. 100 103,709
American Express Master Trust
7.60%, 08/15/02.................. 500 526,888
Associates Corp. of North America
Sr. Notes
7.70%, 03/15/00.................. 50 51,375
Banque Paribas-NY Sub. Notes
6.875%, 03/01/09................. 1,500 1,507,500
Chrysler Financial Corp. Notes
8.46%, 01/19/00.................. 200 206,500
Ciesco L.P. Notes
7.38%, 04/19/00.................. 250 256,250
Enhance Financial Services Group,
Inc. Debs.
6.75%, 03/01/03.................. 300 315,375
Intertek Finance PLC Sr. Sub. Notes
Cl-B
10.25%, 11/01/06................. 250 232,500
Ocwen Capital Corp. Trust I Notes
10.875%, 08/01/27................ 150 124,500
</TABLE>
77
<PAGE> 79
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Salomon, Inc. Sr. Notes
6.75%, 02/15/03.................. $ 500 $ 518,125
Salomon Smith Barney Holding, Inc.
Notes
6.625%, 06/01/00................. 200 202,750
Simon Debartolo Group, Inc. L.P.
Notes
7.00%, 07/15/09.................. 525 509,906
USF&G Capital II Cl-B
8.47%, 01/10/27.................. 500 584,375
Wells Fargo & Co. Sub. Notes
6.25%, 04/15/08.................. 700 727,125
------------
5,866,878
------------
FOOD -- 0.3%
Archibald Candy Corp. Notes
10.25%, 07/01/04................. 75 76,125
B&G Foods, Inc. Notes
9.625%, 08/01/07................. 350 343,875
Keebler Corp. Sr. Sub. Notes
10.75%, 07/01/06................. 250 272,500
Mrs. Fields Original Cookies Co.
Sr. Notes
10.125%, 12/01/04................ 100 96,000
Shoppers Food Warehouse Corp. Notes
9.75%, 06/15/04.................. 100 109,500
------------
898,000
------------
HEALTHCARE SERVICES -- 0.0%
Quest Diagnostic, Inc. Sr. Sub.
Notes
10.75%, 12/15/06................. 125 138,594
------------
HOTELS & MOTELS -- 0.1%
Courtyard by Marriott Sr. Notes
10.75%, 02/01/08................. 150 156,000
Host Marriott Travel Plaza Corp.
Sr. Notes Cl-B
9.50%, 05/15/05.................. 150 157,125
------------
313,125
------------
INDUSTRIAL PRODUCTS -- 0.2%
Apcoa Standard Parking, Inc. Sr.
Sub. Notes
9.25%, 03/15/08.................. 350 329,000
Paragon Corp. Holdings, Inc. Co.
Guarantee Notes Cl-B
9.625%, 04/01/08................. 175 147,000
------------
476,000
------------
INSURANCE -- 0.1%
New York Life Insurance Co. Notes
144A
7.50%, 12/15/23.................. 420 438,375
------------
MACHINERY & EQUIPMENT -- 0.1%
Hawk Corp. Sr. Notes
10.25%, 12/01/03................. 200 211,750
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
METALS & MINING -- 0.0%
Freeport-McMoRan Resource Partners,
Inc. L.P. Sr. Notes
7.00%, 02/15/08.................. $ 150 $ 157,313
------------
OIL & GAS -- 0.1%
Flores & Rucks, Inc. Sr. Sub. Notes
9.75%, 10/01/06.................. 50 51,750
Pride Petroleum Services, Inc. Sr.
Notes
9.375%, 05/01/07................. 250 236,250
Tenneco, Inc. Notes
8.20%, 11/15/99.................. 55 56,306
8.075%, 10/01/02................. 150 159,750
------------
504,056
------------
PHARMACEUTICALS -- 0.0%
Owens & Minor, Inc. Sr. Sub. Notes
10.875%, 06/01/06................ 75 79,875
------------
PRINTING & PUBLISHING -- 0.1%
Sun Media Corp. Sr. Sub Notes
9.50%, 05/15/07.................. 163 180,115
------------
REAL ESTATE -- 0.1%
HMH Properties, Inc. Co. Guarantee
Sr. Notes Cl-B
7.875%, 08/01/08................. 350 341,688
------------
RESTAURANTS -- 0.0%
McDonald's Corp. Notes
6.625%, 09/01/05................. 100 107,625
------------
RETAIL & MERCHANDISING -- 0.5%
Dayton-Hudson Corp. Notes
5.875%, 11/01/08................. 1,500 1,518,750
Specialty Retailers, Inc. Co.
Guarantee Notes Cl-B
8.50%, 07/15/05.................. 250 225,000
Wal-Mart Stores, Inc. Debs.
7.25%, 06/01/13.................. 85 97,963
------------
1,841,713
------------
SEMICONDUCTORS -- 0.0%
Fairchild Semiconductor Corp. Sr.
Sub. Notes
10.125%, 03/15/07................ 125 125,000
------------
TELECOMMUNICATIONS -- 2.4%
Comcast Cable Communication, Inc.
Notes
8.125%, 05/01/04................. 400 443,500
Communication & Power Industries,
Inc. Sr. Sub. Notes
12.00%, 08/01/05................. 250 263,125
Frontiervision Sr. Sub. Notes
11.00%, 10/15/06................. 150 166,313
Fundy Cable Ltd., Sr. Notes
11.00%, 11/15/05................. 150 159,750
ICG Holding, Inc. [STEP]
10.621%, 09/15/05................ 250 207,500
</TABLE>
78
<PAGE> 80
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Intermedia Communications, Inc. Sr.
Notes Cl-B
8.50%, 01/15/08.................. $ 350 $ 336,000
International Wire Group, Inc.
Notes Cl-B
11.75%, 06/01/05................. 250 265,625
L-3 Communications Corp. Sr. Sub.
Notes Cl-B
10.375%, 05/01/07................ 175 192,500
Lucent Technologies, Inc. Notes
6.90%, 07/15/01.................. 500 523,125
Marcus Cable Operating Co. Sr.
Disc. Notes [STEP]
11.302%, 08/01/04................ 250 250,313
Mastec, Inc. Sr. Sub. Notes
7.75%, 02/01/08.................. 250 238,750
MetroNet Communications Corp. Sr.
Notes
12.00%, 08/15/07................. 100 111,500
Microcell Telecommunications, Inc.
Notes [STEP]
11.144%, 06/01/06................ 125 95,000
Nextel Communications, Inc. Sr.
Disc. Notes [STEP]
10.098%, 10/31/07................ 500 305,000
NEXTLINK Communications, Inc. Sr.
Notes
12.50%, 04/15/06................. 125 136,563
Pegasus Communications Corp. Sr.
Notes Cl-B
9.625%, 10/15/05................. 250 250,000
Price Communications Corp. Sr.
Notes 144A
9.125%, 12/15/06................. 350 362,688
PSINet, Inc. Sr. Notes Cl-B
10.00%, 02/15/05................. 150 148,500
Qwest Communications International,
Inc. Sr. Disc. Notes [STEP]
8.30%, 10/15/07.................. 350 273,000
Qwest Communications International,
Inc. Sr. Notes 144A
7.50%, 11/01/08.................. 75 78,469
Rogers Cablesystems of America,
Inc. Sr. Notes Cl-B
10.00%, 03/15/05................. 125 140,781
Sitel Corp. Co. Guarantee Sr. Sub.
Notes
9.25%, 03/15/06.................. 100 80,000
Sprint Capital Corp. Co. Guarantee
Notes
6.125%, 11/15/08................. 1,000 1,023,750
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
United Telecommunications, Inc.
Debs.
9.75%, 04/01/00.................. $ 250 $ 263,750
WorldCom, Inc. Sr. Notes
7.75%, 04/01/07.................. 1,500 1,689,375
------------
8,004,877
------------
TRANSPORTATION -- 0.3%
Allied Holdings, Inc. Notes Cl-B
8.625%, 10/01/07................. 250 251,250
Coach USA, Inc. Notes Cl-B
9.375%, 07/01/07................. 175 180,250
Stena AB Sr. Notes
10.50%, 12/15/05................. 350 356,125
Union Tank Car Co. Notes
7.125%, 02/01/07................. 150 164,438
------------
952,063
------------
UTILITIES -- 0.9%
Citizens Utilities Co. Debs.
8.45%, 09/01/01.................. 335 361,381
Commonwealth Edison Co. Notes
9.00%, 10/15/99.................. 250 256,563
Energy Corp. of America Sr. Sub.
Notes Cl-A
9.50%, 05/15/07.................. 250 228,750
Entergy Louisiana, Inc. First Mtge.
6.50%, 03/01/08.................. 1,000 1,050,000
Niagara Mohawk Power Corp. Sr.
Disc. Notes Cl-H [STEP]
8.539%, 07/01/10................. 400 307,000
Niagara Mohawk Power Corp. Sr.
Notes Cl-G
7.75%, 10/01/08.................. 150 162,750
Northland Cable Television, Inc.
Sr. Sub. Notes
10.25%, 11/15/07................. 250 263,750
Pacific Gas & Electric Co. First
Mtge.
6.75%, 12/01/00.................. 200 201,250
Public Service Electric & Gas First
Mtge.
7.00%, 09/01/24.................. 300 307,875
Southern California Edison Corp.
Notes
6.50%, 06/01/01.................. 100 102,875
------------
3,242,194
------------
TOTAL CORPORATE OBLIGATIONS (Cost
$38,993,550)......................... 39,395,520
------------
</TABLE>
79
<PAGE> 81
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 9.1%
Federal Agricultural Mortgage Corp.
13.226%, 04/06/03 [ZCB].......... $ 1,000 $ 806,092
------------
Federal Home Loan Mortgage Corp.
7.50%, 07/15/20.................. 1 1,111
------------
Federal National Mortgage Assoc.
5.352%, 09/25/23 [PO]............ 2,579 2,527,501
7.00%, 04/18/22.................. 1,000 1,015,644
12.50%, 10/15/15................. 3,791 4,280,687
------------
7,823,832
------------
Government National Mortgage Assoc.
6.00%, 10/15/23-05/15/26......... 2,517 2,497,050
6.50%, 02/15/24-01/01/29......... 9,343 9,439,531
7.00%, 09/15/23-02/15/27......... 7,309 7,491,103
7.50%, 06/15/24-06/15/26......... 1,024 1,056,811
8.00%, 05/15/16-07/15/26......... 805 835,329
8.50%, 06/15/16-10/15/26......... 1,264 1,340,343
9.00%, 07/15/16-05/15/17......... 75 80,252
9.50%, 10/15/09-01/15/20......... 24 25,494
10.00%, 11/15/09................. 8 8,344
10.50%, 08/15/15................. 6 6,841
11.50%, 06/15/10-09/15/15........ 112 126,575
12.00%, 09/15/13-01/15/14........ 3 3,438
------------
22,911,111
------------
Tennessee Valley Authority Notes
6.875%, 12/15/43................. 40 41,700
7.25%, 07/15/43.................. 20 21,325
------------
63,025
------------
(Cost $29,945,672)................. 30,799,079
------------
U.S. TREASURY OBLIGATIONS -- 16.7%
U.S. Treasury Bonds
5.50%, 08/15/28.................. 7,000 7,336,896
6.00%, 02/15/26.................. 100 109,392
6.625%, 02/15/27................. 3,250 3,838,080
6.75%, 08/15/26.................. 9,325 11,181,254
6.875%, 08/15/25................. 300 364,511
7.125%, 02/15/23................. 240 295,434
7.625%, 02/15/25................. 300 395,409
11.625%, 11/15/02................ 100 123,985
------------
23,644,961
------------
U.S. Treasury Notes
5.625%, 05/15/01................. 16,375 17,219,792
5.75%, 08/15/03.................. 665 694,746
5.875%, 11/15/05................. 425 454,230
6.00%, 06/30/99.................. 3,500 3,525,742
6.125%, 09/30/00-08/15/07........ 2,150 2,343,217
6.25%, 05/31/00-02/15/07......... 2,100 2,302,118
6.375%, 05/15/99................. 1,950 1,962,462
6.50%, 10/15/06.................. 3,850 4,283,505
6.75%, 05/31/99.................. 460 463,959
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
6.875%, 03/31/00................. $ 250 $ 256,644
7.50%, 02/15/05.................. 250 286,379
------------
33,792,794
------------
(Cost $54,043,365)................. 57,437,755
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.1%
Advanta Home Equity Loan Trust
1993-1 Cl-A2
5.95%, 05/25/09.................. 1,799 1,799,025
Government National Mtge. Assoc.
Series 1998-22 Cl-Za
6.50%, 09/20/28.................. 2,150 2,105,544
------------
(Cost $3,926,409).................. 3,904,569
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C>
FOREIGN BONDS -- 1.7%
AUSTRALIA -- 0.0%
Australian Government
9.50%, 08/15/03................. 20 14,660
------------
BELGIUM -- 0.0%
Belgium Kingdom Government
7.25%, 04/29/04................. 1,550 52,967
------------
CANADA -- 0.1%
Canadian Government
8.50%, 04/01/02................. 380 274,491
6.50%, 06/01/04................. 110 77,505
9.75%, 06/01/21................. 10 10,350
------------
362,346
------------
DENMARK -- 0.0%
Kingdom of Denmark
7.00%, 12/15/04................. 275 49,816
------------
FRANCE -- 0.3%
French O.A.T
8.50%, 11/25/02................. 1,406 298,642
8.25%, 02/27/04................. 264 57,847
5.50%, 04/25/07................. 3,000 597,206
8.50%, 04/25/23................. 50 13,861
------------
967,556
------------
GERMANY -- 0.3%
Deutscheland Republic
8.50%, 08/21/00................. 375 243,888
8.375%, 05/21/01................ 410 274,971
6.50%, 07/15/03................. 110 74,433
6.00%, 07/04/07................. 838 578,175
------------
1,171,467
------------
ITALY -- 0.1%
Italian Government
11.50%, 03/01/03................ 275,000 215,728
8.50%, 08/01/04................. 45,000 33,776
------------
249,504
------------
</TABLE>
80
<PAGE> 82
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
JAPAN -- 0.7%
European Investment Bank
4.625%, 02/26/03................ 53,000 $ 534,480
3.00%, 09/20/06................. 102,000 975,495
International Bank Recovery &
Development Global Bonds
6.75%, 03/15/00................. 14,000 133,426
Japanese Government
4.50%, 06/20/03................. 33,500 337,950
------------
1,981,351
------------
NETHERLANDS -- 0.0%
Netherlands Government
5.75%, 01/15/04................. 115 67,407
------------
SPAIN -- 0.0%
Spanish Government
8.00%, 05/30/04................. 6,400 55,189
------------
UNITED KINGDOM -- 0.2%
United Kingdom Treasury
9.00%, 03/03/00................. 85 147,449
8.00%, 06/10/03................. 91 172,710
7.50%, 12/07/06................. 164 327,602
------------
647,761
------------
TOTAL FOREIGN BONDS
(Cost $5,170,125)................... 5,620,024
------------
PAR
(000) VALUE
------- ------------
COMMERCIAL PAPER -- 7.7%
ABB Treasury Center+
4.90%, 02/18/99................. $ 1,300 $ 1,291,507
Commerzbank U.S. Finance, Inc.
5.90%, 01/14/99................. 4,045 4,036,382
Equilon Enterprises LLC
5.80%, 01/14/99................. 8,000 7,983,244
Federal Home Loan Banks Disc.
Notes
4.50%, 01/04/99................. 3,652 3,650,631
Island Finance Puerto Rico
5.55%, 02/05/99................. 5,838 5,806,499
National Australia Funding
5.35%, 01/08/99................. 1,000 998,960
Novartis Finance Corp.+
5.80%, 01/13/99................. 2,322 2,317,511
------------
(Cost $26,084,734)................ 26,084,734
------------
TOTAL INVESTMENTS -- 101.9%
(Cost $278,881,183)................. 350,584,023
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.9%).................... (6,386,639)
------------
NET ASSETS -- 100.0%.................. $344,197,384
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
1.0% of net assets.
++ Illiquid security. At the end of the year, these securities amounted to less
than 0.1% of net assets.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 0.4% of net assets.
See Notes to Financial Statements.
81
<PAGE> 83
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 42.6%
Federal Home Loan Mortgage Corp.
6.00%, 01/14/29 [TBA]......... $ 16,200 $ 16,002,522
6.50%, 01/12/29 [TBA]......... 52,200 52,583,148
7.00%, 04/25/19 [IO].......... 133 9,700
7.681%, 02/01/24 [VR]......... 1,256 1,285,443
8.25%, 08/01/17............... 411 428,396
--------------
70,309,209
--------------
Federal National Mortgage Assoc.
5.50%, 01/14/29[TBA].......... 20,000 19,268,750
6.00%, 07/01/12-12/01/28...... 65,451 65,267,193
6.149%, 10/01/27-06/01/28
[VR]........................ 2,406 2,422,942
6.25%, 05/25/08 [IO].......... 236 57,004
6.50%, 06/25/14 [IO].......... 125 775
6.50%, 01/14/29 [TBA]......... 48,500 48,825,920
6.581%, 11/01/27 [VR]......... 24,338 24,977,016
6.90%, 05/25/23............... 220 224,038
7.411%, 01/01/24 [VR]......... 172 176,987
7.50%, 04/01/24............... 2,725 2,801,240
9.40%, 07/25/03............... 150 155,968
--------------
164,177,833
--------------
Government National Mortgage
Assoc.
6.50%, 09/15/23-01/22/29...... 28,890 28,903,228
6.50%, 01/22/29 [TBA]......... 8,420 8,505,547
6.625%, 08/20/23-09/20/24
[VR]........................ 11,532 11,662,183
6.875%, 03/20/17-03/20/24
[VR]........................ 13,589 13,767,470
6.875%, 01/20/26-02/20/27..... 27,505 27,904,821
7.00%, 10/20/23-12/20/25
[VR]........................ 9,930 10,072,868
7.00%, 11/20/26-12/20/26...... 20,395 20,767,389
7.50%, 12/20/23............... 322 330,464
--------------
121,913,970
--------------
Student Loan Marketing Assoc.
Series 1995-1 Cl-A1 [FRN]
5.327%, 04/25/04.............. 6,707 6,639,895
Student Loan Marketing Assoc.
Series 1998-2 Cl-A1 [VR]
5.108%, 04/25/07.............. 18,946 18,714,919
--------------
25,354,814
--------------
(Cost $379,124,724)............. 381,755,826
--------------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 17.7%
Citicorp Mtge. Securities, Inc.
[VR]
7.256%, 10/25/22.............. 354 354,752
CMC Securities Corp. III
Series 1998-1 Cl-A19
6.75%, 05/25/28............... 36,592 36,647,607
Collateralized Mtge. Securities
Corp. [VR]
7.985%, 05/01/17.............. 363 371,350
Contimortgage Home Equity Loan
Trust Cl-A2
5.705%, 10/15/12............. 13,450 13,449,668
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
Countrywide Adjustable Rate
Mtge. [VR]
7.791%, 03/25/24............. $ 282 $ 290,975
8.236%, 11/25/24............. 224 228,845
Credit Suisse First Boston, Inc.
Series 1998-1 Cl-A5
6.75%, 07/25/28.............. 3,500 3,551,439
First Plus Home Loan Trust
Series 1998-5 Cl-A3 [VR]
6.06%, 09/10/11.............. 10,000 10,027,850
MBNA Master Credit Card Trust
Cl-A [VR]
4.964%, 01/15/02............. 15,000 14,982,000
Mortgage Capital Trust VI
9.50%, 02/01/18.............. 146 145,214
Norwest Asset Securities Corp.
Series 1996-9 Cl-A4
8.00%, 01/25/27.............. 4,294 4,287,487
PNC Mtge. Securities Corp.
Series 1997-3 Cl-2A4
7.50%, 05/25/27.............. 14,736 15,003,663
PNC Mtge. Securities Corp.
Series 1998-1 Cl-5A4 [VR]
7.037%, 02/25/28............. 19,152 19,157,944
Prudential-Bache Trust
8.40%, 03/20/21.............. 2,245 2,313,344
Prudential Home Mtge. Securities
6.50%, 01/25/00.............. 3,494 3,509,230
Residential Funding Mtge.
Securities
1998-S30 Cl-A6
6.50%, 12/25/28.............. 32,875 32,582,123
Rothschild, (L.F.) Mtge. Trust
9.95%, 08/01/17.............. 1,409 1,499,859
--------------
(Cost $157,637,364)............. 158,403,350
--------------
CORPORATE OBLIGATIONS -- 39.0%
AIRLINES -- 1.4%
American Airlines, Inc. Notes
10.19%, 05/26/15............. 250 309,292
United Air Lines, Inc. Notes
10.36%, 11/13/12............. 6,925 8,682,911
10.36%, 11/27/12............. 500 626,570
10.02%, 03/22/14............. 2,000 2,484,040
--------------
12,102,813
--------------
CHEMICALS -- 2.5%
Imperial Chemical, Inc. Euro
Medium Term Notes [FRN]
5.656%, 03/05/99............. 22,000 22,026,884
--------------
CONGLOMERATES -- 1.3%
Philip Morris Companies, Inc.
Notes [VR]
6.15%, 03/15/00.............. 11,600 11,687,000
--------------
</TABLE>
82
<PAGE> 84
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 0.2%
Time Warner, Inc. Notes
7.975%, 08/15/04............. $ 262 $ 289,182
8.11%, 08/15/06.............. 525 598,500
8.18%, 08/15/07.............. 525 609,000
--------------
1,496,682
--------------
FINANCIAL-BANK & TRUST -- 4.4%
Citicorp Medium Term Sr. Notes
[FRN]
5.65%, 11/30/00.............. 6,000 6,017,280
First of America Bank Notes
6.00%, 10/01/99.............. 13,750 13,835,938
PNC Bank Corp. NA Notes [FRN]
5.497%, 06/01/00............. 20,000 19,969,394
--------------
39,822,612
--------------
FINANCIAL SERVICES -- 16.2%
Avco Financial Services, Inc.
Medium Term Notes
5.75%, 01/23/01.............. 7,850 7,908,875
Beneficial Corp. Medium
Term Notes Cl-H [FRN]
5.707%, 01/09/02............. 10,000 9,985,697
Chrysler Financial Corp.
Medium Term Notes [FRN]
5.57%, 06/11/01.............. 5,000 4,984,950
Chrysler Financial Corp. Medium
Term Notes Cl-R [FRN]
5.707%, 03/06/03............. 20,000 19,886,000
Chrysler Financial Corp.
Notes [FRN]
5.657%, 01/30/02............. 10,000 9,978,699
Ford Motor Credit Co. Notes
[FRN]
5.423%, 09/03/01............. 10,000 9,961,310
General Motors Acceptance Corp.
Medium Term Notes
5.344%, 12/10/01[FRN]........ 2,100 2,100,504
5.55%, 09/15/03.............. 3,000 2,992,500
Goldman Sachs Group Notes
[FRN] 144A
5.46%, 11/24/00.............. 20,000 19,961,600
Lehman Brother Holdings Medium
Term Notes Cl-E [FRN]
5.801%, 01/18/00............. 10,000 9,986,800
Merrill Lynch & Co. Inc. Notes
6.375%, 10/15/08............. 10,000 10,387,500
Merrill Lynch & Co. Notes [FRN]
5.268%, 01/23/01............. 2,650 2,636,299
5.465%, 02/04/03............. 23,000 22,838,540
New England Educational Loan
Marketing Assoc. Medium Term
Notes Cl-B [FRN] 144A
5.411%, 06/11/01............. 10,000 9,991,800
Salomon, Inc. Notes [FRN]
5.64%, 02/15/99.............. 2,000 2,000,080
--------------
145,601,154
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
FOOD -- 0.7%
RJR Nabisco, Inc. Notes
8.625%, 12/01/02............. $ 6,500 $ 6,603,740
--------------
INSURANCE -- 0.6%
Residential Reinsurance Notes
[FRN] 144A
9.435%, 01/04/99............. 5,000 4,975,000
--------------
RAILROADS -- 0.6%
Union Pacific Co. Notes
7.875%, 02/15/02............. 5,000 5,237,500
--------------
REAL ESTATE -- 0.6%
Spieker Properties, Inc. L.P.
Notes
6.95%, 12/15/02.............. 5,000 5,068,750
--------------
TELECOMMUNICATIONS -- 7.2%
AT&T Capital Corp. Notes [FRN]
5.675%, 01/01/99 144A........ 10,000 9,999,600
5.628%, 01/15/99............. 10,000 9,999,000
Sprint Corp. Notes
9.50%, 04/01/03.............. 22,500 25,846,425
TCI Communications, Inc.
Sr. Notes [FRN]
4.695%, 09/11/00............. 10,000 10,033,900
WorldCom, Inc. Sr. Notes
9.375%, 01/15/04............. 8,632 8,942,985
--------------
64,821,910
--------------
UTILITIES -- 3.3%
CMS Energy Corp. Sr. Notes
8.125%, 05/15/02............. 5,000 5,262,500
Connecticut Light & Power Co.
First Mtge. Cl-C
7.75%, 06/01/02.............. 4,000 4,200,000
Connecticut Light & Power Co./
West Massachusetts Electric
Co. Notes 144A
8.59%, 06/05/03.............. 5,000 5,152,735
Louisiana Power & Light Corp.
Notes
7.74%, 07/01/02.............. 6,000 6,120,000
Petroleos Mexicanos Co.
Guarantee
Notes [FRN] 144A
9.574%, 07/15/05............. 10,000 9,275,000
--------------
30,010,235
--------------
TOTAL CORPORATE OBLIGATIONS
(Cost $347,846,540)............... 349,454,280
--------------
U.S. TREASURY OBLIGATIONS -- 13.0%
U.S. Treasury Bills
3.79%, 03/04/99#............. 325 322,667
3.95%, 03/04/99#............. 40 39,713
4.03%, 03/04/99#............. 860 853,827
4.30%, 05/13/99#............. 70 68,863
</TABLE>
83
<PAGE> 85
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
4.31%, 04/29/99#............. $ 500 $ 493,004
4.31%, 05/27/99#............. 1,470 1,444,424
4.38%, 03/04/99#............. 1,655 1,643,120
4.43%, 03/04/99#............. 1,680 1,667,940
--------------
6,533,558
--------------
U.S. Treasury Bonds
7.25%, 05/15/16.............. 1,000 1,211,761
8.75%, 05/15/17.............. 8,400 11,700,262
8.875%, 02/15/19............. 21,000 29,908,620
9.125%, 05/15/18............. 22,900 33,099,408
9.25%, 02/15/16.............. 13,200 18,922,776
--------------
94,842,827
--------------
U.S. Treasury Inflationary Bonds
3.625%, 07/15/02............. 15,000 15,258,165
--------------
(Cost $116,638,436)............. 116,634,550
--------------
SOVEREIGN ISSUES -- 2.6%
ARGENTINA -- 0.7%
Republic of Argentina [BRB, FRB]
6.188%, 03/31/05............. 8,075 6,298,188
--------------
BRAZIL -- 0.3%
Republic of Brazil-IDU
Cl-A [VR, BRB]
6.75%, 01/01/01.............. 3,075 2,792,484
--------------
MEXICO -- 1.0%
United Mexican States Sr.
Notes [FRN]
6.571%, 06/27/02............. 10,000 9,016,700
--------------
PHILIPPINES -- 0.6%
Bangko Sentral Pilipinas
8.60%, 06/15/27.............. 6,000 5,062,500
--------------
TOTAL SOVEREIGN ISSUES
(Cost $25,025,171)................ 23,169,872
--------------
PRINCIPAL
IN LOCAL
CURRENCY
(000)
----------
FOREIGN BONDS -- 1.0%
CANADA -- 0.4%
Canadian Government
4.25%, 12/01/26.............. 5,214 3,477,018
--------------
NEW ZEALAND -- 0.6%
New Zealand Government
10.00%, 03/15/02............. 10,000 6,002,668
--------------
TOTAL FOREIGN BONDS
(Cost $9,831,212)................. 9,479,686
--------------
PAR
(000) VALUE
---------- --------------
CERTIFICATES OF DEPOSIT -- 2.2%
Bank of Tokyo-Mitsubishi
5.94%, 01/19/99
(Cost $20,000,000).............. $ 20,000 $ 19,996,374
--------------
COMMERCIAL PAPER -- 0.6%
National Rural Utility Corp.
4.88%, 03/23/99.............. 1,400 1,384,438
Procter & Gamble Co.
4.85%, 02/26/99.............. 4,000 3,969,822
--------------
(Cost $5,354,450)............... 5,354,260
--------------
<CAPTION>
SHARES
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.9%
Temporary Investment Cash
Fund.......................... 8,319,911 8,319,911
Temporary Investment Fund....... 8,319,911 8,319,911
--------------
(Cost $16,639,822).............. 16,639,822
--------------
NUMBER
OF
CONTRACTS
----------
OPTIONS -- 0.5%
CALL OPTIONS
2 Year U.S. Treasury Notes,
Strike Price 97-4.50,
Expires 01/20/99............. 4,000 1,592,400
2 Year U.S. Treasury Notes,
Strike Price 99-30.75,
Expires 02/19/99............. 4,000 454,800
3 Year U.S. Treasury Notes,
Strike Price 97-18,
Expires 01/15/99............. 3,000 1,195,800
5 Year U.S. Treasury Notes,
Strike Price 99-9.25,
Expires 08/20/99............. 4,000 1,468,400
--------------
4,711,400
--------------
PUT OPTIONS
5 Year U.S. Treasury Note
Futures, Strike Price 107,
Expires 02/20/99............. 4,000 6,250
5 Year U.S. Treasury Notes,
Strike Price 90-00,
Expires 08/20/99............. 8,000 3,200
--------------
9,450
TOTAL OPTIONS (Cost $3,381,054)..... 4,720,850
--------------
TOTAL INVESTMENTS -- 121.1% (Cost
$1,081,478,773)................... 1,085,608,870
--------------
</TABLE>
84
<PAGE> 86
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF
CONTRACTS VALUE
--------- -----
<S> <C> <C>
WRITTEN OPTIONS -- (0.2%)
CALL OPTIONS
2 Year U.S. Treasury Notes,
Strike Price 100-16.25,
Expires 02/19/99............. 4,000 $ (267,600)
5 Year U.S. Treasury Notes,
Strike Price 101-8,
Expires 08/20/99............. 4,000 (966,800)
30 Year U.S. Treasury Bond
Futures,
Strike Price 138,
Expires 02/20/99............. 1,110 (10,406)
--------------
(1,244,806)
--------------
PUT OPTIONS
2 Year U.S. Treasury Notes,
Strike Price 99-19.75,
Expires 02/19/99............. 8,000 (6,400)
5 Year U.S. Treasury Notes,
Strike Price 97-31,
Expires 08/20/99............. 8,000 (344,000)
30 Year U.S. Treasury Bond
Futures,
Strike Price 120,
Expires 02/20/99............. 530 (9,109)
30 Year U.S. Treasury Bond
Futures,
Strike Price 122,
Expires 02/20/99............. 590 (18,438)
--------------
(377,947)
--------------
TOTAL WRITTEN OPTIONS (Cost
($638,678))....................... (1,622,753)
--------------
PAR
(000)
----------
SALE COMMITMENTS -- (2.2%)
Federal National Mortgage Assoc.
01/14/29 [TBA]
(Cost ($20,134,375))............ $ 20,000 (20,106,250)
--------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (18.7%)................. (167,383,099)
--------------
NET ASSETS -- 100.0%................ $ 896,496,768
==============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE DELIVER FOR AT VALUE DEPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
02/99 Sell CAD 5,236,000 $3,397,794 $3,409,720 $11,926
========== ========== =======
# Securities with an aggregate market value of $6,533,558 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1998:
</TABLE>
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury 30 Year
Bond.................. 03/99 $ 200 $ (5,031)
U.S. Treasury 10 Year
Note.................. 03/99 114,900 (1,336,938)
Eurodollar.............. 12/99 ECU 172,000 (113,163)
Eurodollar.............. 03/00 ECU 172,000 (50,900)
Eurodollar.............. 06/00 ECU 172,000 (23,788)
Eurodollar.............. 09/00 ECU 191,000 35,975
Eurodollar.............. 12/00 ECU 19,000 28,025
Eurodollar.............. 03/01 ECU 19,000 30,638
Eurodollar.............. 06/01 ECU 19,000 30,163
Eurodollar.............. 09/01 ECU 146,000 179,450
-----------
$(1,225,569)
===========
</TABLE>
Interest rate swap agreements outstanding at December 31, 1998:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receive variable rate
payments on the six
month LIBOR-BBA floating
rate and pay fixed rate
payments on the then
current Japanese 10 Year
Government Bonds with a
spread of:
2.295................. 04/08 JPY 580,000 $ 1,651
2.305................. 04/08 JPY 377,000 (1,685)
-------
$ (34)
=======
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 6.6% of net assets.
See Notes to Financial Statements.
85
<PAGE> 87
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 73.2%
AEROSPACE -- 2.1%
AlliedSignal, Inc. ................ 211,700 $ 9,380,956
General Dynamics Corp. ............ 62,500 3,664,062
Northrop Grumman Corp. ............ 55,000 4,021,875
------------
17,066,893
------------
AUTOMOBILE MANUFACTURERS -- 0.7%
Ford Motor Co. .................... 100,000 5,868,750
------------
BEVERAGES -- 2.9%
Anheuser-Busch Companies, Inc. .... 240,000 15,750,000
Coors, (Adolph) Co. Cl-B .......... 150,000 8,465,625
------------
24,215,625
------------
CHEMICALS -- 0.7%
Agrium, Inc. ...................... 250,000 2,171,875
Lawter International, Inc. ........ 100,000 1,162,500
Olin Corp. ........................ 80,000 2,265,000
------------
5,599,375
------------
COMPUTER HARDWARE -- 3.6%
Compaq Computer Corp. ............. 200,000 8,387,500
EMC Corp.*......................... 60,000 5,100,000
International Business Machines
Corp. ........................... 90,000 16,627,500
------------
30,115,000
------------
COMPUTER SERVICES & SOFTWARE -- 2.5%
Edwards, (J.D.) & Co.*............. 250,000 7,093,750
Microsoft Corp.*................... 100,000 13,868,750
------------
20,962,500
------------
CONGLOMERATES -- 1.5%
Philip Morris Companies, Inc. ..... 100,000 5,350,000
Textron, Inc. ..................... 98,900 7,510,219
------------
12,860,219
------------
CONSUMER PRODUCTS & SERVICES -- 2.1%
Colgate-Palmolive Co. ............. 100,000 9,287,500
Gillette Co. ...................... 168,000 8,116,500
------------
17,404,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 8.2%
Altera Corp.*...................... 156,700 9,539,112
Applied Materials, Inc.*........... 295,000 12,592,812
Emerson Electric Co. .............. 120,000 7,507,500
General Electric Co. .............. 150,000 15,309,375
Tandy Corp. ....................... 238,100 9,806,744
Texas Instruments, Inc. ........... 157,000 13,433,312
------------
68,188,855
------------
FINANCIAL-BANK & TRUST -- 7.8%
Bank of New York Co., Inc. ........ 400,000 16,100,000
Charter One Financial, Inc. ....... 315,000 8,741,250
Chase Manhattan Corp. ............. 135,000 9,188,438
Fleet Financial Group, Inc. ....... 220,000 9,831,250
Mellon Bank Corp. ................. 140,000 9,625,000
Summit Bancorp..................... 260,000 11,358,750
------------
64,844,688
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOOD -- 3.8%
General Mills, Inc. ............... 140,000 $ 10,885,000
Heinz, (H.J.) Co. ................. 110,000 6,228,750
Kellogg Co. ....................... 140,000 4,777,500
Quaker Oats Co. ................... 160,000 9,520,000
------------
31,411,250
------------
HOTELS & MOTELS -- 0.7%
Hilton Hotels Corp. ............... 320,000 6,120,000
------------
INSURANCE -- 4.1%
Allmerica Financial Corp. ......... 176,363 10,207,009
CIGNA Corp. ....................... 110,700 8,558,494
Ohio Casualty Corp. ............... 150,000 6,168,750
Travelers Property Casualty Corp.
Cl-A............................. 290,000 8,990,000
------------
33,924,253
------------
MACHINERY & EQUIPMENT -- 0.5%
Sundstrand Corp. .................. 80,000 4,150,000
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.8%
Arterial Vascular Engineering,
Inc.*............................ 80,000 4,200,000
Becton Dickinson & Co. ............ 150,000 6,403,125
Medtronic, Inc. ................... 55,000 4,083,750
------------
14,686,875
------------
METALS & MINING -- 0.2%
Newmont Mining Corp. .............. 100,994 1,824,204
------------
OIL & GAS -- 6.1%
Apache Corp. ...................... 200,000 5,062,500
Atlantic Richfield Co. ............ 80,000 5,220,000
Chevron Corp. ..................... 70,000 5,805,625
Conoco, Inc. Cl-A*................. 300,000 6,262,500
Exxon Corp. ....................... 100,000 7,312,500
Halliburton Co. ................... 241,000 7,139,625
Royal Dutch Petroleum Co. ......... 60,000 2,872,500
Union Pacific Resources Group,
Inc. ............................ 121,173 1,098,130
Unocal Corp. ...................... 205,000 5,983,438
USX-Marathon Group................. 120,000 3,615,000
------------
50,371,818
------------
PAPER & FOREST PRODUCTS -- 0.7%
Fort James Corp. .................. 150,000 6,000,000
------------
PERSONAL SERVICES -- 0.5%
Galileo International, Inc. ....... 99,000 4,306,500
------------
PHARMACEUTICALS -- 6.9%
American Home Products Corp. ...... 76,000 4,279,750
Bristol-Meyers Squibb Co. ......... 90,000 12,043,125
Lilly, (Eli) & Co. ................ 120,000 10,665,000
Merck & Co., Inc. ................. 100,000 14,768,750
Pfizer, Inc. ...................... 30,000 3,763,125
SmithKline Beecham PLC [ADR]....... 70,000 4,865,000
Warner-Lambert Co. ................ 90,000 6,766,875
------------
57,151,625
------------
</TABLE>
86
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INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RAILROADS -- 2.3%
Kansas City Southern Industries,
Inc. ............................ 296,000 $ 14,559,500
Norfolk Southern Corp. ............ 150,000 4,753,125
------------
19,312,625
------------
RETAIL & MERCHANDISING -- 2.6%
CVS Corp. ......................... 112,100 6,165,500
Dayton-Hudson Corp. ............... 230,600 12,510,050
Penney, (J.C.) Co., Inc. .......... 70,000 3,281,250
------------
21,956,800
------------
SEMICONDUCTORS -- 2.7%
Intel Corp. ....................... 83,500 9,899,969
Motorola, Inc. .................... 200,000 12,212,500
------------
22,112,469
------------
TELECOMMUNICATIONS -- 7.9%
Ameritech Corp. ................... 100,000 6,337,500
Bell Atlantic Corp. ............... 200,000 11,362,500
BellSouth Corp. ................... 120,000 5,985,000
GTE Corp. ......................... 100,000 6,743,750
MediaOne Group, Inc.*.............. 150,000 7,050,000
SBC Communications, Inc. .......... 180,000 9,652,500
Sprint Corp. (FON Group)........... 62,700 5,274,638
Sprint Corp. (PCS Group)*.......... 31,350 724,969
U. S. West, Inc. .................. 190,000 12,278,750
------------
65,409,607
------------
UTILITIES -- 0.3%
Interstate Energy Corp. ........... 88,400 2,850,900
------------
TOTAL COMMON STOCK
(Cost $462,573,794).................. 608,714,831
------------
PREFERRED STOCK -- 0.3%
METALS & MINING -- 0.1%
Kinam Gold, Inc. $3.75 CL-B........ 20,000 720,000
TELECOMMUNICATIONS -- 0.2%
Global Crossing Holdings* 144A..... 16,500 1,617,000
------------
TOTAL PREFERRED STOCK
(Cost $2,613,575).................... 2,337,000
------------
PAR
(000)
-----
CORPORATE OBLIGATIONS -- 18.9%
BROADCASTING -- 0.8%
American Radio Systems Co. Co.
Guarantee Notes
9.00%, 02/01/06.................. $ 130 140,725
CBS, Inc. Debs.
8.875%, 06/01/22................. 2,000 2,275,000
Continental Cablevision, Inc. Sr.
Debs.
9.50%, 08/01/13.................. 2,000 2,362,500
Heritage Media Corp. Sr. Sub. Notes
8.75%, 02/15/06.................. 1,500 1,616,250
------------
6,394,475
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
BUILDING MATERIALS -- 0.4%
USG Corp. Sr. Notes
8.50%, 08/01/05.................. $ 3,500 $ 3,705,625
------------
CONSUMER PRODUCTS & SERVICES -- 0.2%
Loewen Group, Inc. Co. Guarantee
Notes
8.25%, 10/15/03.................. 1,750 1,505,000
------------
ENTERTAINMENT & LEISURE -- 0.3%
GCI, Inc. Sr. Notes
9.75%, 08/01/07.................. 1,000 985,000
Grand Casinos, Inc. First Mtge.
10.125%, 12/01/03................ 1,500 1,635,000
------------
2,620,000
------------
FINANCIAL SERVICES -- 1.7%
Aetna Services, Inc. Co. Guarantee
Notes
6.97%, 08/15/36.................. 1,000 1,056,250
Associates Corp. of North America
Sr. Medium Term Notes Cl-E
7.375%, 06/11/07................. 2,400 2,599,500
DQU II Funding Corp. Debs.
8.70%, 06/01/16.................. 1,989 2,207,790
Equitable Companies, Inc. Sr. Notes
9.00%, 12/15/04.................. 4,035 4,700,775
Lehman Brothers Holdings, Inc. Sr.
Notes
8.80%, 03/01/15.................. 1,850 2,039,625
SunAmerica, Inc. Debs.
8.125%, 04/28/23................. 1,500 1,670,625
------------
14,274,565
------------
HEALTHCARE SERVICES -- 0.1%
FHP International Corp. Sr. Notes
7.00%, 09/15/03.................. 1,000 1,048,750
------------
HOTELS & MOTELS -- 0.2%
Hilton Hotels Corp. Sr. Notes
7.20%, 12/15/09.................. 2,000 1,995,000
------------
INDUSTRIAL PRODUCTS -- 0.2%
Worldwide Fiber, Inc. Sr. Notes
144A
12.50%, 12/15/05................. 1,500 1,503,750
------------
MACHINERY & EQUIPMENT -- 0.1%
Agco Corp. Sr. Sub. Notes
8.50%, 03/15/06.................. 1,000 960,000
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
U.S. Surgical Corp. Sr. Notes
7.25%, 03/15/08.................. 1,000 1,096,250
------------
</TABLE>
87
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
METALS & MINING -- 0.8%
Glencore Nickel Property Ltd. Co.
Co. Guarantee Notes
9.00%, 12/01/14.................. $ 2,000 $ 1,630,000
Haynes International, Inc. Sr.
Notes
11.625%, 09/01/04................ 1,500 1,398,750
Inland Steel Co. First Mtge. Cl-R
7.90%, 01/15/07.................. 2,000 2,017,500
National Steel Corp. First Mtge.
8.375%, 08/01/06................. 1,500 1,430,625
------------
6,476,875
------------
OIL & GAS -- 3.3%
Atlantic Richfield Co. Debs.
10.875%, 07/15/05................ 3,000 3,885,000
9.875%, 03/01/16................. 1,505 2,067,494
Belco Oil & Gas Corp. Sr. Sub.
Notes Cl-B
8.875%, 09/15/07................. 1,500 1,372,500
Canadian Forest Oil Ltd. Co.
Guarantee Notes
8.75%, 09/15/07.................. 1,500 1,357,500
Cliffs Drilling Co. Co. Guarantee
Notes Cl-B
10.25%, 05/15/03................. 1,900 2,002,125
Deeptech International, Inc. Sr.
Notes
12.00%, 12/15/00................. 1,550 1,685,625
Gulf Canada Resources Ltd. Sr.
Notes
8.35%, 08/01/06.................. 1,000 997,500
8.25%, 03/15/17.................. 1,000 931,250
Navigator Gas Transport Notes 144A
10.50%, 06/30/07................. 1,000 885,000
Noram Energy Corp. Sub. Debs. [CVT]
6.00%, 03/15/12.................. 1,929 1,854,251
Northern Offshore ASA Co. Guarantee
Notes 144A
10.00%, 05/15/05................. 1,000 500,000
Ocean Energy, Inc. Co. Guarantee
Notes Cl-B
8.875%, 07/15/07................. 2,000 1,985,000
Ocean Energy, Inc. Sr. Sub. Notes
10.375%, 10/15/05................ 1,025 1,086,500
Pacific Gas & Electric Co. First
Mtge.
7.25%, 08/01/26.................. 4,000 4,260,000
Sun Co., Inc. Debs.
9.375%, 06/01/16................. 1,000 1,213,750
Veritas Holdings Sr. Notes
9.625%, 12/15/03................. 1,300 1,300,000
------------
27,383,495
------------
PAPER & FOREST PRODUCTS -- 0.3%
Quno Corp. Sr. Notes
9.125%, 05/15/05................. 2,150 2,311,250
------------
PRINTING & PUBLISHING -- 0.3%
Affiliated Newspaper Investments,
Inc. Sr. Disc. Notes [STEP]
11.305%, 07/01/06................ 2,500 2,409,375
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
RETAIL & MERCHANDISING -- 0.3%
Dayton-Hudson Corp. Notes
5.875%, 11/01/08................. $ 2,400 $ 2,430,000
------------
TELECOMMUNICATIONS -- 5.2%
360 Communications Co. Notes
6.65%, 01/15/08.................. 2,000 2,117,500
Cencall Communications Corp. Sr.
Disc. Notes [STEP]
10.626%, 01/15/04................ 2,000 2,000,000
Centel Capital Corp. Debs.
9.00%, 10/15/19.................. 2,500 3,175,000
CF Cable TV, Inc. Sr. Notes
11.625%, 02/15/05................ 2,000 2,207,500
Echostar Communications Corp. Sr.
Disc. Notes [STEP]
10.889%, 06/01/04................ 1,400 1,440,250
Intermedia Communications, Inc. Sr.
Notes Cl-B
8.50%, 01/15/08.................. 1,000 960,000
International CableTel, Inc. Sr.
Notes Cl-A [STEP]
11.356%, 04/15/05................ 3,000 2,692,500
JCAC, Inc. Sr. Sub. Notes
10.125%, 06/15/06................ 1,000 1,093,750
Level 3 Communications, Inc. Sr.
Disc. Notes [STEP] 144A
10.50%, 12/01/08................. 3,000 1,755,000
Level 3 Communications, Inc. Sr.
Notes
9.125%, 05/01/08................. 1,500 1,492,500
McLeodUSA, Inc. Sr. Notes 144A
9.50%, 11/01/08.................. 1,000 1,057,500
MetroNet Communications Corp. Sr.
Disc. Notes [STEP]
10.75%, 11/01/07................. 1,750 1,067,500
MetroNet Communications Corp. Sr.
Notes
12.00%, 08/15/07................. 1,500 1,672,500
Nextlink Communications, Inc. Sr.
Notes
9.625%, 10/01/07................. 2,000 1,935,000
NTL, Inc. Sr. Notes [STEP] 144A
12.375%, 10/01/08................ 2,000 1,265,000
Qwest Communications International,
Inc. Sr. Notes 144A
7.25%, 11/01/08.................. 2,000 2,050,000
RCN Corp. Sr. Disc. Notes [STEP]
18.217%, 02/15/08................ 3,000 1,620,000
RSL Communications PLC Co.
Guarantee Notes [STEP]
10.125%, 03/01/08................ 1,000 567,500
RSL Communications PLC Sr. Notes
9.125%, 03/01/08................. 1,000 937,500
Southwestern Bell Telephone Debs.
5.375%, 06/01/06................. 4,000 3,980,000
Sprint Capital Corp. Co. Guarantee
Notes
6.125%, 11/15/08................. 3,000 3,071,250
</TABLE>
88
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INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Sprint Spectrum L.P. Sr. Notes
11.00%, 08/15/06................. $ 950 $ 1,102,000
Tele-Communications, Inc. Debs.
9.80%, 02/01/12.................. 2,000 2,670,000
Teligent, Inc. Sr. Disc. Notes Cl-B
[STEP]
11.50%, 03/01/08................. 2,000 980,000
------------
42,909,750
------------
UTILITIES -- 4.6%
Boston Edison Co. Debs.
7.80%, 05/15/10.................. 1,254 1,446,084
7.80%, 03/15/23.................. 1,640 1,746,600
Carolina Power & Light First Mtge.
8.625%, 09/15/21................. 1,000 1,278,780
Citizens Utilities Co. Debs.
7.00%, 11/01/25.................. 2,500 2,631,250
Cleveland Electric Illuminating Co.
First Mtge. Cl-B
9.50%, 05/15/05.................. 3,000 3,311,250
Coda Energy, Inc. Co. Guarantee
Notes Cl-B
10.50%, 04/01/06................. 1,000 985,000
Commonwealth Edison First Mtge.
8.25%, 10/01/06.................. 2,000 2,287,500
Connecticut Light & Power Co. First
Mtge. Cl-D
7.875%, 10/01/24................. 1,000 1,056,250
Consumers Energy Co. First Mtge.
7.375%, 09/15/23................. 2,500 2,528,125
Detroit Edison Medium Term Notes
8.30%, 08/01/22.................. 1,000 1,083,750
El Paso Electric Co. First Mtge.
Cl-C
8.25%, 02/01/03.................. 1,500 1,616,250
Gulf States Utilities First Mtge.
8.70%, 04/01/24.................. 1,000 1,066,250
Illinois Power Co. Mtge.
7.50%, 07/12/25.................. 1,900 2,006,875
Jersey Central Power & Light Co.
First Mtge.
7.50%, 05/01/23.................. 1,500 1,573,125
Metropolitan Edison Co. First Mtge.
Medium Term Notes Cl-B
8.15%, 01/30/23.................. 2,975 3,249,179
New York State Electric & Gas Corp.
First Mtge.
8.30%, 12/15/22.................. 1,400 1,501,500
8.30%, 12/15/22.................. 475 512,406
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------- ------------
<S> <C> <C>
Niagara Mohawk Power First Mtge.
9.75%, 11/01/05.................. $ 1,000 $ 1,188,750
PECO Energy First Mtge.
7.25%, 11/01/24.................. 2,000 2,052,500
Penn Power and Light First Mtge.
7.875%, 02/01/23................. 1,000 1,091,250
South Carolina Electric & Gas Co.
Mtge.
8.875%, 08/15/21................. 2,000 2,207,500
Western Massachusetts Electric Co.
First Mtge. Cl-V
7.75%, 12/01/02.................. 2,000 2,017,750
------------
38,437,924
------------
TOTAL CORPORATE OBLIGATIONS
(Cost $158,972,179).................. 157,462,084
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.4%
Federal Home Loan Mtge. Corp.
6.50%, 09/01/11-01/01/12
(Cost $10,988,111)................. 11,235 11,410,656
------------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. Treasury Notes
6.125%, 08/15/07................. 4,000 4,378,960
5.625%, 05/15/08................. 4,250 4,538,080
------------
(Cost $8,609,129).................. 8,917,040
------------
COMMERCIAL PAPER -- 3.2%
American Express Co.
5.756%, 01/04/99
(Cost $26,775,000)................. 26,775 26,775,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.7%
Temporary Investment Cash Fund.....7,132,946 7,132,946
Temporary Investment Fund..........7,132,945 7,132,945
------------
(Cost $14,265,891)................. 14,265,891
------------
TOTAL INVESTMENTS -- 99.8%
(Cost $684,797,679).................. 829,882,502
OTHER ASSETS LESS
LIABILITIES -- 0.2%.................. 1,599,478
------------
NET ASSETS -- 100.0%................... $831,481,980
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
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 1.3% of net assets.
See Notes to Financial Statements.
89
<PAGE> 91
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 82.5%
AEROSPACE -- 0.5%
REMEC, Inc.*..................... 75,400 $ 1,357,200
------------
BUSINESS SERVICES -- 3.4%
Lason, Inc.*..................... 24,575 1,429,958
Metzler Group, Inc.*............. 43,762 2,130,662
PAREXEL International Corp.*..... 62,025 1,550,625
Pegasus Systems, Inc.*........... 45,175 1,626,300
Personnel Group of America,
Inc.*.......................... 108,300 1,895,250
ProBusiness Services, Inc.*...... 22,950 1,044,225
------------
9,677,020
------------
CLOTHING & APPAREL -- 2.2%
Burlington Coat Factory Warehouse
Corp. ......................... 83,275 1,358,423
The Men's Warehouse, Inc.*....... 37,860 1,202,055
The Warnaco Group, Inc. Cl-A..... 46,775 1,181,069
The Wet Seal, Inc. Cl-A*......... 89,000 2,686,687
------------
6,428,234
------------
COMPUTER HARDWARE -- 2.0%
Insight Enterprises, Inc.*....... 110,605 5,627,029
------------
COMPUTER SERVICES & SOFTWARE -- 19.8%
Avant! Corp.*.................... 45,975 735,600
BindView Development Corp.*...... 45,775 1,258,812
Brooktrout Technology, Inc.*..... 38,975 667,447
CDW Computer Centers, Inc.*...... 58,700 5,631,531
CheckFree Holdings Corp.*........ 143,075 3,344,378
Check Point Software Technologies
Ltd.*.......................... 41,375 1,895,492
Computron Software, Inc.*........ 7,905 7,411
Documentum, Inc.*................ 45,525 2,432,742
Electronic Arts, Inc.*........... 33,875 1,901,234
HNC Software, Inc.*.............. 131,075 5,300,345
IMRglobal Corp.*................. 55,400 1,630,837
Macromedia, Inc.*................ 96,675 3,256,739
Mastech Corp.*................... 100,475 2,876,097
Microchip Technology, Inc.*...... 34,250 1,267,250
MMC Networks, Inc.*.............. 86,225 1,142,481
Sapient Corp.*................... 39,150 2,192,400
SIPEX Corp.*..................... 81,325 2,856,541
Software AG Systems, Inc.*....... 160,200 2,903,625
Sykes Enterprises, Inc.*......... 131,800 4,019,900
Transaction Systems Architects,
Inc.*.......................... 38,225 1,911,250
USWeb Corp.*..................... 198,900 5,245,987
VERITAS Software Corp.*.......... 44,350 2,658,228
Wind River Systems, Inc.*........ 31,000 1,457,000
------------
56,593,327
------------
CONSTRUCTION -- 0.9%
Dycom Industries, Inc.*.......... 46,850 2,676,306
------------
CONSUMER PRODUCTS & SERVICES -- 2.7%
Action Performance Companies,
Inc.*.......................... 62,825 2,222,434
Helen of Troy Ltd.*.............. 237,800 3,492,687
Pre-Paid Legal Services, Inc.*... 58,575 1,932,975
------------
7,648,096
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.6%
Applied Micro Circuits Corp.*.... 59,550 $ 2,022,839
Brooks Automation, Inc.*......... 147,325 2,154,628
Concord EFS, Inc.*............... 105,175 4,456,791
Sanmina Corp.*................... 43,450 2,715,625
Sawtek, Inc.*.................... 144,175 2,523,063
SDL, Inc.*....................... 45,525 1,803,928
Uniphase Corp.*.................. 28,625 1,985,859
Veeco Instruments, Inc.*......... 22,725 1,207,266
------------
18,869,999
------------
ENTERTAINMENT & LEISURE -- 4.0%
Family Golf Centers, Inc.*....... 83,600 1,651,100
Global Vacation Group, Inc.*..... 87,050 750,806
Loews Cineplex Entertainment
Corp.*......................... 236,400 2,393,550
Premier Parks, Inc.*............. 111,475 3,372,119
Silverleaf Resorts, Inc.*........ 132,025 1,229,483
Travel Services International,
Inc.*.......................... 63,650 1,941,325
------------
11,338,383
------------
ENVIRONMENTAL SERVICES -- 2.4%
Allied Waste Industries, Inc.*... 81,427 1,923,713
Eastern Environmental Services,
Inc.*.......................... 28,850 854,681
KTI, Inc.*....................... 42,050 909,331
Safety-Kleen Corp................ 126,000 1,779,750
Superior Services, Inc.*......... 75,000 1,504,688
------------
6,972,163
------------
EQUIPMENT SERVICES -- 2.7%
Gemstar International Group
Ltd.*.......................... 92,425 5,291,331
Rental Service Corp.*............ 74,375 1,166,758
United Rentals, Inc.*............ 34,250 1,134,531
------------
7,592,620
------------
FOOD -- 1.3%
American Italian Pasta Co.
Cl-A*.......................... 31,900 841,363
U.S. Foodservice, Inc.*.......... 57,350 2,810,150
------------
3,651,513
------------
HEALTHCARE SERVICES -- 6.8%
Capital Senior Living Corp.*..... 137,450 1,915,709
Cerner Corp.*.................... 74,400 1,990,200
Concentra Managed Care, Inc.*.... 149,925 1,602,323
Envoy Corp.*..................... 15,250 888,313
HBO & Co. ....................... 129,335 3,710,298
IDEXX Laboratories, Inc.*........ 29,850 803,152
Medical Manager Corp.*........... 59,975 1,881,716
NCS Healthcare, Inc. Cl-A*....... 53,000 1,258,750
</TABLE>
90
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FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Orthodontic Centers of America,
Inc.*.......................... 145,150 $ 2,821,353
Sunrise Assisted Living, Inc.*... 49,100 2,547,063
------------
19,418,877
------------
INSURANCE -- 1.6%
Annuity and Life Re Holdings
Ltd. .......................... 121,500 3,280,500
HCC Insurance Holdings, Inc. .... 75,050 1,322,756
------------
4,603,256
------------
MACHINERY & EQUIPMENT -- 1.2%
Advanced Energy Industries,
Inc.*.......................... 69,275 1,731,875
National Equipment Services,
Inc.*.......................... 152,075 1,748,863
------------
3,480,738
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.4%
Perclose, Inc.*.................. 37,125 1,229,766
------------
METALS & MINING -- 0.3%
IMCO Recycling, Inc. ............ 55,350 854,466
------------
OFFICE EQUIPMENT -- 2.0%
Global Imaging Systems, Inc.*.... 234,800 5,693,900
------------
OIL & GAS -- 0.3%
Cal Dive International, Inc.*.... 40,900 848,675
------------
PERSONAL SERVICES -- 0.4%
Sylvan Learning Systems, Inc.*... 33,900 1,033,950
------------
PHARMACEUTICALS -- 8.9%
Andrx Corp.*..................... 86,300 4,422,875
Cardinal Health, Inc. ........... 14,284 1,083,799
Jones Medical Industries,
Inc. .......................... 86,750 3,166,375
Kendle International, Inc.*...... 40,825 954,284
King Pharmaceuticals, Inc.*...... 260,900 6,816,013
Medicis Pharmaceutical Corp.
Cl-A*.......................... 53,275 3,176,522
Watson Pharmaceuticals, Inc.*.... 91,625 5,760,922
------------
25,380,790
------------
PRINTING & PUBLISHING -- 0.8%
American Bank Note Holographics,
Inc.*.......................... 139,150 2,435,125
------------
REAL ESTATE -- 0.6%
Fairfield Communities, Inc.*..... 146,174 1,617,050
------------
RESTAURANTS -- 1.6%
CKE Restaurants, Inc. ........... 154,000 4,533,375
------------
RETAIL & MERCHANDISING -- 4.8%
American Eagle Outfitters,
Inc.*.......................... 54,600 3,637,725
Cash America International,
Inc. .......................... 80,400 1,221,075
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Elder-Beerman Stores Corp.*...... 62,000 $ 716,875
Linens 'n Things, Inc.*.......... 49,700 1,969,363
Pacific Sunwear of California,
Inc.*.......................... 93,550 1,531,881
Saks, Inc.*...................... 29,125 919,258
The Sports Authority, Inc.*...... 176,500 926,625
Trans World Entertainment
Corp.*......................... 150,737 2,873,424
------------
13,796,226
------------
SEMICONDUCTORS -- 0.6%
Vitesse Semiconductor, Inc.*..... 34,799 1,587,704
------------
TELECOMMUNICATIONS -- 3.7%
Allegiance Telecom, Inc.*........ 148,125 1,796,016
Digital Microwave Corp.*......... 287,825 1,969,802
Terayon Communication Systems,
Inc.*.......................... 61,100 2,260,700
Viatel, Inc.*.................... 206,650 4,727,119
------------
10,753,637
------------
TOTAL COMMON STOCK
(Cost $171,823,331)................ 235,699,425
------------
FOREIGN STOCK -- 1.0%
BUILDING MATERIALS -- 0.2%
Hunter Douglas NV -- (NLG) ...... 16,012 530,699
------------
MACHINERY & EQUIPMENT -- 0.6%
IHC Caland NV -- (NLG) .......... 39,525 1,642,777
------------
RESTAURANTS -- 0.2%
Wetherspoon, (J.D.)
PLC -- (GBP)................... 260,165 759,679
------------
TOTAL FOREIGN STOCK
(Cost $2,581,316).................. 2,933,155
------------
SHORT-TERM INVESTMENTS -- 9.7%
Temporary Investment Cash Fund... 13,881,957 13,881,957
Temporary Investment Fund........ 13,881,957 13,881,957
------------
(Cost $27,763,914)............... 27,763,914
------------
TOTAL INVESTMENTS -- 93.2%
(Cost $202,168,561)................ 266,396,494
------------
OTHER ASSETS LESS
LIABILITIES -- 6.8%................ 19,450,387
------------
NET ASSETS -- 100.0%................. $285,846,881
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
91
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 95.2%
ARGENTINA -- 0.6%
Banco de Galicia y Buenos Aires
SA de CV [ADR] ................ 18,273 $ 322,057
Banco Frances SA [ADR] .......... 16,411 340,528
Telefonica de Argentina SA Cl-B
[ADR].......................... 26,200 731,962
YPF SA [ADR]..................... 56,307 1,573,077
------------
2,967,624
------------
AUSTRALIA -- 2.2%
Australian Gas Light Co. Ltd. ... 90,795 654,582
Brambles Industries Ltd. ........ 33,000 804,577
Colonial Ltd. ................... 267,618 919,221
Commonwealth Bank of Australia... 80,459 1,143,104
Goodman Fielder Ltd. ............ 435,000 440,240
John Fairfax Holdings Ltd. ...... 43,000 88,355
Lend Lease Corp. Ltd. ........... 40,700 549,204
National Australia Bank Ltd. .... 820 12,373
News Corp. Ltd. ................. 133,593 883,322
News Corp. Ltd. Pfd. ............ 116,650 710,478
Publishing & Broadcasting
Ltd. .......................... 139,300 609,196
Star City Holdings Ltd.*......... 419,000 370,849
TABCORP Holdings Ltd. ........... 99,000 607,228
Telstra Corp. Ltd. .............. 306,838 1,435,986
Westpac Banking Corp. Ltd. ...... 180,148 1,206,615
------------
10,435,330
------------
BELGIUM -- 1.9%
Dexia Belgium (Credit Communal).. 3,940 659,481
Fortis AG........................ 7,146 2,589,828
KBC Bancassurance Holdings NV.... 61,000 4,829,890
Societe Europeene des Satellites
[FDR]*......................... 2,600 426,109
UCB SA........................... 101 623,298
------------
9,128,606
------------
BRAZIL -- 1.7%
Banco Bradesco SA................ 62,664,000 347,499
Banco Bradesco SA Rights*........ 2,597,369 0
Banco Itau SA.................... 710,000 346,714
Companhia Brasileira de
Distribuicoa Grupo Pao de
Acucar [ADR]................... 16,260 252,030
Companhia Brasileira de
Distribuicoa Grupo Pao de
Acucar [GDR]................... 5,160 79,980
Companhia Cervejaria Brahma...... 834,000 358,940
Companhia Cimento Portland
Itau........................... 865,000 103,811
Companhia Energetica de Minas
Geras.......................... 14,496,779 267,570
Companhia Energetica de Minas
Geras [ADR].................... 16,971 323,070
Petroleo Brasileiro SA........... 7,401,508 820,892
Telecomunicacoes Brasileiras SA
Pfd. [ADR]..................... 52,250 3,797,922
Telecomunicacoes de Sao Paulo
SA............................. 4,705,207 634,786
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Telesp Celular SA Pfd. Cl-B*..... 4,494,000 $ 197,138
Uniao de Bancos Brasileiros SA
[GDR].......................... 18,000 259,875
------------
7,790,227
------------
CANADA -- 0.2%
Alcan Aluminium Ltd. ............ 23,310 623,749
Royal Bank of Canada............. 8,470 420,759
------------
1,044,508
------------
CHILE -- 0.1%
Chilectra SA [ADR] 144A.......... 14,905 330,077
Compania Cervecerias Unidas SA
[ADR].......................... 7,712 148,456
------------
478,533
------------
CHINA -- 0.2%
Huaneng Power International, Inc.
[ADR]*......................... 51,000 739,500
------------
CZECH REPUBLIC -- 0.0%
SPT Telecom AS................... 13,600 207,418
------------
DENMARK -- 0.4%
Den Danske Bank.................. 6,380 857,102
Tele Danmark AS.................. 2,030 273,990
Unidanmark AS Cl-A............... 6,110 552,020
------------
1,683,112
------------
FINLAND -- 0.7%
Nokia Oyj Cl-A................... 26,898 3,293,661
------------
FRANCE -- 10.9%
Alcatel.......................... 15,212 1,862,691
AXA SA........................... 27,342 3,964,730
Carrefour Supermarche SA......... 3,289 2,484,115
Compagnie de Saint-Gobain........ 12,440 1,757,097
Credit Commercial de France...... 17,210 1,598,993
Dexia France..................... 5,200 801,502
Dexia France SA.................. 5,023 774,220
Groupe Danone.................... 6,230 1,784,458
Groupe GTM....................... 3,230 335,374
L'Oreal.......................... 1,607 1,162,239
Lafarge SA....................... 7,843 745,547
Lapeyre SA....................... 8,065 576,070
Legrand SA....................... 3,823 1,013,579
Pathe SA......................... 2,331 650,976
Pinault-Printemps Redoute SA..... 23,955 4,580,003
Sanofi SA........................ 20,507 3,377,445
Schneider SA..................... 43,028 2,611,254
Societe Generale................. 9,236 1,496,342
Societe Nationale Elf Aquitaine
SA............................. 13,350 1,543,875
Societe Television Francaise..... 9,610 1,711,767
Sodexho SA*...................... 18,850 4,218,127
STMicroelectronics NV*........... 13,270 1,045,254
Total SA Cl-B.................... 36,694 3,718,003
Vivendi.......................... 28,820 7,481,011
------------
51,294,672
------------
</TABLE>
92
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
GERMANY -- 7.2%
Allianz AG ...................... 7,230 $ 2,691,412
Bayer AG......................... 39,225 1,647,407
Bayerische Hypo-Und Vereinsbank
AG............................. 48,699 3,853,768
Buderus AG....................... 807 297,988
Deutsche Bank AG................. 34,924 2,060,816
Deutsche Telekom AG.............. 63,641 2,092,046
Dresdner Bank AG................. 49,733 2,084,252
Dresdner Bank AG Warrants*....... 27,736 471,282
Fielmann AG Pfd. ................ 5,723 257,712
Fresenius AG Pfd. ............... 2,660 558,985
Gehe AG.......................... 55,811 3,753,081
Hoechst AG....................... 12,980 536,963
Hornbach Baumarkt AG............. 1,300 46,832
Hornbach Holdings AG Pfd. ....... 5,870 350,680
Mannesmann AG.................... 33,690 3,898,931
Rhoen-Klinikum AG................ 8,250 798,489
SAP AG........................... 5,970 2,580,816
SAP AG Pfd. ..................... 3,367 1,616,262
Siemens AG....................... 15,410 1,013,134
Veba AG.......................... 46,244 2,740,455
Volkswagen AG.................... 9,070 734,087
------------
34,085,398
------------
HONG KONG -- 1.5%
Cheung Kong Holdings Ltd. ....... 43,000 309,442
China Light & Power Co. Ltd. .... 139,000 692,576
China Telecom Ltd. .............. 230,000 397,830
Hang Seng Bank Ltd. ............. 49,000 438,007
Henderson Land Development Co.
Ltd. .......................... 169,000 874,775
Hong Kong Telecommunications
Ltd. .......................... 345,200 603,775
HSBC Holdings PLC................ 28,800 717,489
Hutchison Whampoa Ltd. .......... 358,000 2,530,070
Sun Hung Kai Properties Ltd. .... 41,000 299,018
------------
6,862,982
------------
INDIA -- 0.1%
Mahanagar Telephone Nigam Ltd.
[GDR]*......................... 44,000 536,800
------------
IRELAND -- 0.1%
CBT Group PLC -- Sponsored
[ADR]*......................... 36,650 545,169
------------
ITALY -- 5.6%
Assicurazioni Generali........... 50,960 2,132,486
Banca Commerciale Italia NA...... 104,000 719,028
Banca di Roma*................... 889,000 1,509,619
Ente Nazionale Idrocarburi SPA... 443,100 2,902,239
Industrie Natuzzi SPA [ADR]...... 15,260 379,593
Istituto Nazionale delle
Assicurazioni.................. 610,000 1,614,811
Italgas SPA...................... 112,936 612,661
La Rinascente SPA................ 22,800 234,998
Mediolanum SPA................... 211,720 1,572,916
San Paolo-IMI SPA................ 138,681 2,455,882
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Telecom Italia Mobile SPA........ 544,805 $ 4,030,961
Telecom Italia SPA............... 647,520 5,537,069
Unicredito Italiano SPA.......... 486,996 2,892,927
------------
26,595,190
------------
JAPAN -- 16.0%
Advantest Corp. ................. 7,700 488,774
Alps Electric Co. Ltd. .......... 41,000 754,234
Amada Co. Ltd. .................. 109,000 528,589
Canon, Inc. ..................... 167,000 3,575,506
Citizen Watch Co. Ltd. .......... 68,000 409,941
Dai Nippon Screen Manufacturing
Co. Ltd. ...................... 122,000 305,009
Daiichi Pharmaceutical Co.
Ltd. .......................... 87,000 1,472,411
Daiwa House Industry Co. Ltd. ... 110,000 1,173,174
DDI Corp. ....................... 221 822,897
Denso Corp. ..................... 169,000 3,131,388
East Japan Railway Co. Ltd. ..... 240 1,342,594
Fanuc Co. ....................... 24,800 850,877
Fujitsu Ltd. .................... 42,000 560,389
Hitachi Ltd. .................... 206,000 1,278,407
Honda Motor Co. Ltd. ............ 15,000 493,366
Ito-Yokado Co. Ltd. ............. 37,000 2,591,390
Kao Corp. ....................... 93,000 2,102,457
Kokuyo Co. Ltd. ................. 51,000 687,707
Komatsu Ltd. .................... 116,000 609,841
Komori Corp. .................... 49,000 1,033,896
Kuraray Co. Ltd. ................ 128,000 1,415,078
Kyocera Corp. ................... 44,000 2,328,793
Makita Corp. .................... 73,000 814,803
Matsushita Electric Industrial
Co. ........................... 185,000 3,278,600
Mauri Co. Ltd. .................. 129,000 2,487,442
Mitsubishi Corp. ................ 132,000 760,661
Mitsubishi Heavy Industries
Ltd. .......................... 553,000 2,157,157
Mitsui Fudosan Co. Ltd. ......... 269,000 2,039,024
Murata Manufacturing Co. Ltd. ... 56,000 2,194,392
NEC Corp. ....................... 282,000 2,600,078
Nippon Telegraph & Telephone
Corp. ......................... 2,260 1,747,145
Nomura Securities Co. Ltd. ...... 186,000 1,624,251
NTT Mobile Communication Network,
Inc.*.......................... 350 1,442,863
Pioneer Electronic Corp. ........ 36,000 604,805
Sangetsu Co. Ltd. ............... 11,000 164,810
Sankyo Co. Ltd. ................. 126,000 2,759,125
Sekisui Chemical Co. Ltd. ....... 180,000 1,212,802
Sekisui House Ltd. .............. 107,000 1,133,589
Seven-Eleven Japan Co. Ltd. ..... 16,000 1,290,819
Shin-Etsu Chemical Co. Ltd. ..... 101,000 2,435,534
Shiseido Co. Ltd. ............... 73,000 939,709
Sony Corp. ...................... 45,600 3,327,121
Sumitomo Corp. .................. 223,000 1,087,355
Sumitomo Electric Industries..... 269,000 3,031,111
Sumitomo Forestry Co. ........... 73,000 543,633
TDK Corp. ....................... 41,000 3,754,811
Tokyo Electron Ltd. ............. 24,000 912,793
Tokyo Marine & Fire Insurance
Co. ........................... 60,000 718,107
</TABLE>
93
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Tokyo Steel Manufacturing........ 56,500 $ 283,510
Toppan Printing Co. Ltd.......... 99,000 1,211,207
UNY Co. Ltd. .................... 57,000 1,043,515
------------
75,557,490
------------
KOREA -- 0.2%
Samsung Electronics Co. ......... 14,299 959,637
------------
MEXICO -- 1.4%
Cemex SA de CV*.................. 2,037 4,470
Cemex SA de CV [ADR]............. 76,090 332,361
Cemex SA de CV [ADS] 144A*....... 50,068 218,697
Cemex SA de CV Cl-B.............. 67,925 168,272
Fomento Economico Mexicano SA de
CV UBD Units*.................. 192,820 514,722
Gruma SA [ADR]................... 24,714 245,595
Gruma SA Cl-B*................... 114,732 288,289
Grupo Financiero Bancomer SA Cl-B
[GDR]*......................... 2,330 8,458
Grupo Financiero Bancomer SA
Cl-L*.......................... 1,725 241
Grupo Industrial Maseca SA de CV
Cl-B........................... 306,095 256,892
Grupo Modelo SA de CV Cl-C....... 270,024 561,088
Grupo Televisa SA [GDR]*......... 20,634 509,402
Kimberly-Clark de Mexico SA
Cl-A........................... 166,630 529,053
Panamerican Beverages, Inc.
Cl-A........................... 31,540 687,966
Telefonos de Mexico SA Cl-L
[ADR].......................... 42,014 2,045,557
TV Azteca SA de CV [ADR]*........ 26,200 175,213
------------
6,546,276
------------
NETHERLANDS -- 10.6%
ABN AMRO Holding NV.............. 96,736 2,036,092
AKZO Nobel NV.................... 11,408 519,742
ASM Lithography Holding NV*...... 51,340 1,570,290
CSM NV........................... 36,821 2,126,850
Elsevier NV...................... 236,442 3,313,542
Fortis Amev NV................... 45,812 3,798,402
Gucci Group NV NY Reg............ 13,205 642,093
ING Groep NV..................... 117,972 7,197,746
Koninklijke Ahold NV............. 92,243 3,411,183
Koninklijke Numico NV............ 37,670 1,796,515
Koninklijke (Royal) Philips
Electronics NV................. 33,610 2,256,582
KPN NV........................... 16,029 802,872
Royal Dutch Petroleum Co. ....... 81,474 4,059,221
TNT Post Group NV................ 16,029 516,742
Unilever NV...................... 58,740 5,023,670
Wolters Kluwer NV................ 51,471 11,020,077
------------
50,091,619
------------
NEW ZEALAND -- 0.2%
Telecom Corp. of New Zealand
Ltd. .......................... 161,000 701,657
Telecom Corp. of New Zealand Ltd.
Cl-IR.......................... 101,000 221,419
------------
923,076
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
NORWAY -- 1.1%
Bergesen D.Y. AS Cl-A............ 9,560 $ 114,187
Norsk Hydro AS................... 69,020 2,328,219
Orkla ASA Cl-A................... 179,750 2,677,814
Saga Petroleum ASA............... 15,160 138,293
------------
5,258,513
------------
PERU -- 0.0%
Telefonica del Peru SA Cl-B...... 26,690 33,575
------------
PORTUGAL -- 0.5%
Jeronimo Martins SGPS SA......... 45,757 2,503,240
------------
RUSSIA -- 0.0%
Gazprom [ADR].................... 20,040 169,939
LUKoil Holding [ADR]............. 3,620 59,730
------------
229,669
------------
SINGAPORE -- 0.1%
Singapore Press Holdings Ltd. ... 48,456 528,624
------------
SPAIN -- 3.0%
Argentaria Caja Postal Y Banco
Hipotecario de Espana SA....... 45,336 1,175,865
Banco Bilbao Vizcaya SA.......... 56,460 886,600
Banco Santander SA............... 112,135 2,231,758
Endesa SA........................ 69,492 1,844,079
Gas Natural SDG SA............... 14,051 1,532,119
Iberdrola SA..................... 79,173 1,483,537
Repsol SA........................ 17,975 960,332
Telefonica SA.................... 84,508 3,761,926
Telefonica SA Bonus Rights*...... 79,177 70,409
------------
13,946,625
------------
SWEDEN -- 3.3%
ABB AB Cl-A...................... 87,930 938,364
Astra AB Cl-B.................... 206,996 4,213,703
Atlas Copco AB Cl-B.............. 46,420 1,007,943
Electrolux AB Cl-B............... 124,650 2,145,283
Esselte AB....................... 14,410 236,447
Granges AB*...................... 14,385 207,641
Hennes & Mauritz AB Cl-B......... 45,890 3,747,953
Nordbanken Holding Co. AB*....... 383,378 2,459,510
Sandvik AB Cl-A.................. 6,140 106,808
Sandvik AB Cl-B.................. 44,020 760,319
------------
15,823,971
------------
SWITZERLAND -- 6.8%
ABB AG........................... 1,449 1,698,525
Adecco SA........................ 5,950 2,716,203
Credit Suisse Group.............. 12,110 1,895,659
Nestle SA........................ 3,958 8,616,376
Novartis AG...................... 3,359 6,603,154
Roche Holding AG................. 405 4,942,045
Swisscom AG*..................... 1,944 813,845
UBS AG........................... 15,010 4,611,804
------------
31,897,611
------------
UNITED KINGDOM -- 18.6%
Abbey National PLC............... 134,000 2,869,374
ASDA Group PLC................... 508,450 1,364,118
</TABLE>
94
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
BG PLC........................... 150,597 $ 950,267
British Petroleum Co. PLC........ 130,840 1,953,794
Cable & Wireless PLC............. 304,000 3,737,850
Cadbury Schweppes PLC............ 211,456 3,606,183
Caradon PLC...................... 387,530 657,672
Centrica PLC*.................... 126,210 254,087
Compass Group PLC................ 201,000 2,302,522
Diageo PLC....................... 582,436 6,628,392
Electrocomponents PLC............ 110,000 737,567
GKN PLC.......................... 43,000 570,562
Glaxo Wellcome PLC............... 228,000 7,844,933
Heywood Williams Group PLC....... 32,010 115,571
Hillsdown Holdings PLC........... 47,580 60,165
Kingfisher PLC................... 647,900 7,012,278
Ladbroke Group PLC............... 229,000 920,145
Laing, (John) PLC Cl-A........... 70,000 288,837
National Westminster Bank PLC.... 606,670 11,698,759
Rank Group PLC................... 115,120 443,410
Reed International PLC........... 541,740 4,236,358
Rio Tinto PLC.................... 157,600 1,832,894
Rolls-Royce PLC.................. 139,140 576,441
Safeway PLC...................... 286,660 1,440,383
Shell Transport & Trading Co.
PLC............................ 1,084,000 6,659,684
Smith, (David S.) Holdings PLC... 197,900 349,024
SmithKline Beecham PLC........... 737,240 10,303,672
Tesco PLC........................ 738,000 2,102,765
Tomkins PLC...................... 658,220 3,104,760
Unilever PLC..................... 97,000 1,087,766
United News & Media PLC.......... 227,470 1,994,521
------------
87,704,754
------------
TOTAL INVESTMENTS -- 95.2% (Cost
$366,902,224)...................... 449,693,410
OTHER ASSETS LESS
LIABILITIES -- 4.8%................ 22,467,245
------------
NET ASSETS -- 100.0%................. $472,160,655
============
</TABLE>
The following is a breakdown of the foreign stock portion of the Portfolio, by
industry classification, as of December 31, 1998. Percentages are based on net
assets.
<TABLE>
<S> <C>
INDUSTRY
Aerospace............................................ 0.1%
Automobile Manufacturers............................. 0.3%
Automotive Parts..................................... 0.8%
Beverages............................................ 1.9%
Broadcasting......................................... 0.6%
Building Materials................................... 1.0%
Business Services.................................... 0.6%
Chemicals............................................ 1.0%
Clothing & Apparel................................... 0.1%
Computer Services & Software......................... 1.8%
Construction......................................... 0.7%
Consumer Products & Services......................... 4.1%
Electronic Components & Equipment.................... 7.5%
Entertainment & Leisure.............................. 0.6%
Financial -- Bank & Trust............................ 14.3%
Financial Services................................... 1.4%
Food................................................. 8.4%
Furniture............................................ 0.1%
Healthcare Services.................................. 0.2%
Industrial Products.................................. 3.5%
Insurance............................................ 4.0%
Machinery & Equipment................................ 2.3%
Medical Supplies & Equipment......................... 0.1%
Metals & Mining...................................... 0.6%
Office Equipment..................................... 1.0%
Oil & Gas............................................ 5.9%
Paper & Forest Products.............................. 0.2%
Pharmaceuticals...................................... 10.0%
Printing & Publishing................................ 4.8%
Railroads............................................ 0.5%
Real Estate.......................................... 1.5%
Retail & Merchandising............................... 3.6%
Telecommunications................................... 9.9%
Transportation....................................... 0.6%
Utilities............................................ 1.2%
----
TOTAL................................................ 95.2%
====
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
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 0.1% of net assets.
See Notes to Financial Statements.
95
<PAGE> 97
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
---------- ------------
<S> <C> <C>
FOREIGN BONDS -- 93.7%
AUSTRALIA -- 0.9%
Federal National Mtge. Assoc.
Global Bonds
6.375%, 08/15/07............... 2,000 $ 1,297,566
------------
AUSTRIA -- 2.3%
Austrian National Government
5.00%, 01/15/08................ 37,000 3,381,703
------------
CANADA -- 4.5%
Canadian Government
7.00%, 12/01/06................ 1,500 1,110,864
6.00%, 06/01/08................ 3,000 2,114,047
8.00%, 06/01/23................ 3,685 3,318,069
Province of Ontario
8.25%, 12/01/05................ 200 153,873
------------
6,696,853
------------
DENMARK -- 4.9%
Kingdom of Denmark
7.00%, 11/15/07................ 30,000 5,659,808
6.00%, 11/15/09................ 8,600 1,543,834
------------
7,203,642
------------
EUROPEAN CURRENCY UNIT -- 7.8%
Finnish National Government
5.00%, 04/25/09................ 1,600 2,027,959
French Treasury Bill
4.50%, 07/12/02................ 4,472 5,454,779
Orange PLC Global Sr. Notes
7.625%, 08/01/08............... 320 377,642
Spanish Government
5.15%, 07/30/09................ 2,900 3,619,892
------------
11,480,272
------------
FRANCE -- 1.6%
Caisse Nationale Des Autoroutes
5.85%, 03/24/13................ 6,600 1,360,169
SunAmerica Institutional Funding
5.25%, 05/20/09................ 5,500 1,053,558
------------
2,413,727
------------
GERMANY -- 22.1%
Bank Nederlandse Gemeenten
6.25%, 08/10/00................ 1,000 627,432
5.25%, 10/01/01................ 2,100 1,320,887
Colt Telecom Group PLC Sr. Notes
8.875%, 11/30/07............... 470 289,954
Federal Republic of Germany
7.50%, 11/11/04................ 2,250 1,625,817
6.875%, 05/12/05............... 6,400 4,528,648
6.00%, 01/04/07................ 14,100 9,674,744
6.50%, 07/04/27................ 5,300 3,992,057
Inter-America Development Bank
7.00%, 06/08/05................ 4,500 3,162,864
KFW International Finance, Inc.
6.75%, 06/20/05................ 4,500 3,134,156
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
---------- ------------
<S> <C> <C>
Minnesota Mining & Manufacturing
Co.
5.00%, 10/15/01................ 900 $ 557,470
SunAmerica Institutional Funding
5.125%, 04/15/08............... 2,800 1,789,358
Tennessee Valley Authority Global
Bond
6.375%, 09/18/06............... 3,000 2,067,279
------------
32,770,666
------------
GREECE -- 4.4%
Greek Government
8.60%, 03/26/08................ 1,196,000 4,755,422
7.50%, 05/20/13................ 451,000 1,701,164
------------
6,456,586
------------
ITALY--10.9%
Italian Government
8.25%, 07/01/01................ 3,715,000 2,517,758
9.00%, 10/01/03................ 8,645,000 6,446,162
8.75%, 07/01/06................ 5,115,000 4,040,462
7.25%, 11/01/26................ 3,830,000 3,157,575
------------
16,161,957
------------
JAPAN -- 8.4%
Asian Development Bank
3.125%, 06/29/05............... 200,000 1,919,384
Central Bank of Tunisia
4.95%, 09/27/11................ 65,000 478,294
European Investment Bank
4.625%, 02/26/03............... 80,000 811,195
3.00%, 09/20/06................ 50,000 479,846
Export-Import Bank of Japan
4.375%, 10/01/03............... 360,000 3,638,407
International Bank Reconstruction
& Development Global Bond
4.75%, 12/20/04................ 260,000 2,730,024
Korea Industrial Leasing
2.20%, 08/07/02................ 70,000 533,704
Republic of Austria
4.50%, 09/28/05................ 170,000 1,791,610
------------
12,382,464
------------
NETHERLANDS -- 4.3%
Netherlands Government
5.75%, 01/15/04................ 10,900 6,388,976
------------
NORWAY -- 0.9%
Norwegian Government
5.50%, 05/15/09................ 10,000 1,331,581
------------
POLAND -- 0.7%
Government of Poland
12.00%, 10/12/03............... 3,500 1,042,296
------------
PORTUGAL -- 0.4%
European Investment Bank
5.25%, 03/23/02................ 100,000 612,382
------------
</TABLE>
96
<PAGE> 98
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
---------- ------------
<S> <C> <C>
RUSSIA -- 0.0%
GKO Pass-Through Notes**
47.37%, 11/18/98............... 3,700 $ 19,745
GKO Pass-Through Notes++
33.73%, 03/24/99............... 5,021 26,795
------------
46,540
------------
SOUTH AFRICA -- 1.5%
Republic of South Africa
12.00%, 02/28/05............... 15,000 2,164,091
------------
SPAIN -- 5.1%
Spanish Government
6.15%, 01/31/13................ 700,000 5,860,446
6.00%, 01/31/29................ 200,000 1,661,571
------------
7,522,017
------------
SWEDEN -- 1.7%
Swedish Government
5.50%, 04/12/02................ 20,000 2,607,422
------------
UNITED KINGDOM -- 11.3%
Alliance & Leicester BLD
8.75%, 12/07/06................ 1,300 2,510,379
Annington Finance
7.75%, 10/02/11................ 500 1,021,164
Federal National Mtge. Assoc.
Global Bond
6.875%, 06/07/02............... 990 1,732,619
Halifax Building Society
8.75%, 07/10/06................ 600 1,172,986
National Power Co. PLC
8.375%, 08/02/06............... 870 1,646,548
Republic of Austria
9.00%, 07/22/04................ 660 1,295,776
Swiss Bank Corp. Jersey
8.75%, 12/18/25................ 230 532,159
United Kingdom Treasury
7.50%, 12/07/06................ 2,500 4,993,927
7.25%, 12/07/07................ 880 1,770,454
------------
16,676,012
------------
TOTAL FOREIGN BONDS
(Cost $132,251,530)................. 138,636,753
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
--------- ----------
<S> <C> <C>
SOVEREIGN ISSUES -- 3.2%
ARGENTINA -- 0.8%
Republic of Argentina
Debs. [FRB, BRB]
6.188%, 03/31/05....... $ 564 $ 476,862
Republic of Argentina Par
Government Guaranteed
Bonds [FRB, BRB]
5.75%, 03/31/23........ 575 411,700
Republic of Argentina
Unsub. Debs. [FRB, BRB]
11.375%, 01/30/17...... 250 250,625
----------
1,139,187
----------
BULGARIA -- 0.7%
National Republic of
Bulgaria Debs. [FRN,
BRB]
6.688%, 07/28/11....... 355 240,069
2.50%, 07/28/12........ 1,270 727,869
----------
967,938
----------
COLOMBIA -- 0.2%
Colombian National
Government Global
Unsub. Debs.
8.625%, 04/01/08....... 350 297,158
----------
MEXICO -- 0.1%
United Mexican States
[BRB]
6.25%, 12/31/19........ 250 194,525
----------
NIGERIA -- 0.2%
Central Bank of Nigeria
Par Government
Guaranteed Bonds
6.25%, 11/15/20........ 500 316,250
----------
POLAND -- 0.7%
Government of Poland PDI
[STEP, BRB]
5.00%, 10/27/14........ 725 676,969
Government of Poland Reg.
PAR [STEP, BRB]
3.00%, 10/27/24........ 250 168,125
Poland Communications,
Inc. Sr. Notes
9.875%, 11/01/03....... 300 261,000
----------
1,106,094
----------
RUSSIA -- 0.3%
City of Moscow Unsub.
Debs.++
9.50%, 05/31/00........ 100 36,500
Russia Interest
Note -- US [FRN]
5.969%, 12/15/15....... 1,588 175,705
Russia Principal Loans
[FRN]
3.313%, 12/15/20....... 1,800 117,000
Russian Government Reg.
11.00%, 07/24/18....... 375 91,875
----------
421,080
----------
</TABLE>
97
<PAGE> 99
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
--------- ----------
<S> <C> <C>
SOUTH AFRICA -- 0.2%
Ivory Coast [FLIRB]
2.00%, 03/29/18........ $1,000 $ 250,000
----------
TOTAL SOVEREIGN ISSUES
(Cost $6,740,230).......... 4,692,232
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
FOREIGN STOCK -- 0.0%
Central Bank of Nigeria Warrants*
(Cost $0)......................... 500 0
------------
TOTAL INVESTMENTS -- 96.9%
(Cost $138,991,760)................. 143,328,985
OTHER ASSETS LESS
LIABILITIES -- 3.1%................. 4,644,280
------------
NET ASSETS -- 100.0%.................. $147,973,265
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE APPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy JPY 1,085,635,000 $8,950,000 $9,663,356 $713,356
========== ========== ========
</TABLE>
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE RECEIVE FOR AT VALUE DEPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Sell JPY 483,346,030 $4,125,829 $4,302,316 $176,487
========== ========== ========
</TABLE>
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS TO EXCHANGE UNREALIZED
MONTH TYPE RECEIVE FOR APPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy DEM 4,734,775 GBP 1,700,000 $ 19,080
01/99 Buy JPY 440,483,254 CAD 5,540,670 312,711
01/99 Buy JPY 193,921,601 DEM 2,719,798 91,143
01/99 Buy JPY 250,426,883 GBP 1,288,069 88,598
01/99 Buy JPY 250,539,062 ZAR 13,089,250 28,078
--------
$539,610
========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
++ Illiquid security. At the end of the year, these securities amounted to less
than 0.1% of net assets.
** Defaulted security. At the end of the year, this security amounted to less
than 0.1% of net assets.
See Notes to Financial Statements.
98
<PAGE> 100
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 94.6%
ADVERTISING -- 1.4%
Outdoor Systems, Inc.* ........... 125,500 $ 3,765,000
------------
AUTOMOTIVE PARTS -- 2.2%
Hayes Lemmerz International,
Inc.* .......................... 91,800 2,771,212
Tower Automotive, Inc.* .......... 121,100 3,019,931
------------
5,791,143
------------
BROADCASTING -- 3.2%
Capstar Broadcasting Corp.
Cl-A* .......................... 128,200 2,932,575
Chancellor Media Corp.* .......... 114,600 5,486,475
------------
8,419,050
------------
BUSINESS SERVICES -- 2.2%
International Network
Services* ...................... 33,000 2,194,500
Modis Professional Services,
Inc.* .......................... 159,300 2,309,850
Robert Half International,
Inc.* .......................... 25,200 1,126,125
------------
5,630,475
------------
CLOTHING & APPAREL -- 1.4%
Abercrombie & Fitch Co. Cl-A* .... 51,100 3,615,325
------------
COMPUTER SERVICES & SOFTWARE -- 18.3%
BMC Software, Inc.* .............. 68,200 3,039,162
Cadence Design Systems, Inc.* .... 75,500 2,246,125
Cambridge Technology Partners,
Inc.* .......................... 116,400 2,575,350
Citrix Systems, Inc.* ............ 62,200 6,037,287
Compuware Corp.* ................. 79,700 6,226,562
Edwards, (J.D.) & Co.* ........... 134,400 3,813,600
Infoseek Corp.* .................. 45,600 2,251,500
Intuit, Inc.* .................... 40,200 2,914,500
Network Appliance, Inc.* ......... 79,900 3,595,500
Network Associates, Inc.* ........ 80,800 5,353,000
Saville Systems PLC [ADR]* ....... 152,000 2,888,000
Sterling Commerce, Inc.* ......... 62,100 2,794,500
VERITAS Software Corp.* .......... 46,300 2,775,106
Yahoo! Inc.* ..................... 5,400 1,269,337
------------
47,779,529
------------
CONSTRUCTION -- 1.0%
Lennar Corp. ..................... 100,900 2,547,725
------------
CONSUMER PRODUCTS & SERVICES -- 1.0%
Estee Lauder Companies, Inc.
Cl-A ........................... 31,400 2,684,700
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.8%
AES Corp.* ....................... 93,000 4,405,875
Altera Corp.* .................... 59,100 3,597,712
Sanmina Corp.* ................... 80,000 5,000,000
SCI Systems, Inc.* ............... 33,500 1,934,625
Uniphase Corp.* .................. 41,000 2,844,375
------------
17,782,587
------------
ENTERTAINMENT & LEISURE -- 0.7%
Travel Services International,
Inc.* .......................... 59,300 1,808,650
------------
ENVIRONMENTAL SERVICES -- 1.6%
Republic Services, Inc. Cl-A* .... 230,500 4,249,844
------------
FINANCIAL-BANK & TRUST -- 3.9%
Firstar Corp. .................... 19,400 1,809,050
GreenPoint Financial Corp. ....... 99,500 3,494,937
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
North Fork Bancorporation,
Inc. ........................... 87,800 $ 2,101,713
State Street Boston Corp. ........ 41,100 2,859,019
------------
10,264,719
------------
FINANCIAL SERVICES -- 3.1%
Donaldson, Lufkin & Jenrette,
Inc. ........................... 47,900 1,963,900
FINOVA Group, Inc. ............... 76,200 4,110,037
Nationwide Financial Services,
Inc. ........................... 41,100 2,124,356
------------
8,198,293
------------
FOOD -- 2.2%
American Italian Pasta Co.
Cl-A* .......................... 53,600 1,413,700
Suiza Foods Corp.* ............... 84,200 4,288,938
------------
5,702,638
------------
FURNITURE -- 1.2%
Furniture Brands International,
Inc.* .......................... 113,900 3,103,775
------------
HEALTHCARE SERVICES -- 5.0%
Alternative Living Services,
Inc.* .......................... 130,700 4,476,475
Omnicare, Inc. ................... 132,500 4,604,375
Quintiles Transnational Corp.* ... 50,400 2,690,100
Sunrise Assisted Living, Inc.* ... 26,900 1,395,438
------------
13,166,388
------------
INSURANCE -- 1.7%
EXEL Ltd. ........................ 35,100 2,632,500
UNUM Corp. ....................... 30,200 1,762,925
------------
4,395,425
------------
MEDICAL SUPPLIES & EQUIPMENT -- 3.7%
Bard, (C.R.), Inc. ............... 67,400 3,336,300
Safeskin Corp.* .................. 136,800 3,300,300
STERIS Corp.* .................... 106,200 3,020,063
------------
9,656,663
------------
OFFICE EQUIPMENT -- 4.8%
Herman Miller, Inc. .............. 124,300 3,340,563
HON INDUSTRIES, Inc. ............. 41,600 995,800
Office Depot, Inc.* .............. 75,400 2,785,088
Staples, Inc.* ................... 121,400 5,303,663
------------
12,425,114
------------
PERSONAL SERVICES -- 1.4%
Sylvan Learning Systems, Inc.* ... 121,400 3,702,700
------------
PHARMACEUTICALS -- 5.9%
Biogen, Inc.* .................... 49,000 4,067,000
Cardinal Health, Inc. ............ 41,200 3,126,050
Elan Corp. PLC [ADR]* ............ 62,800 4,368,525
Watson Pharmaceuticals, Inc.* .... 61,100 3,841,663
------------
15,403,238
------------
PRINTING & PUBLISHING -- 1.4%
Valassis Communications, Inc.* ... 73,200 3,778,950
------------
RAILROADS -- 1.0%
Kansas City Southern Industries,
Inc. ........................... 52,600 2,587,263
------------
</TABLE>
99
<PAGE> 101
NEUBERGER&BERMAN MID-CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RESTAURANTS -- 2.3%
Brinker International, Inc.* ..... 79,000 $ 2,281,125
CKE Restaurants, Inc. ............ 128,700 3,788,606
------------
6,069,731
------------
SEMICONDUCTORS -- 2.6%
Level One Communications,
Inc.* .......................... 65,700 2,332,350
Micron Technology, Inc.* ......... 39,700 2,007,331
PMC-Sierra, Inc.* ................ 37,300 2,354,562
------------
6,694,243
------------
RETAIL & MERCHANDISING -- 7.4%
Amazon.com, Inc.* ................ 9,100 2,923,375
Costco Companies, Inc.* .......... 56,000 4,042,500
Dollar Tree Stores, Inc.* ........ 59,000 2,577,563
Linens 'n Things, Inc.* .......... 109,600 4,342,900
TJX Companies, Inc. .............. 189,300 5,489,700
------------
19,376,038
------------
TELECOMMUNICATIONS -- 5.9%
American Tower Corp.* ............ 81,900 2,421,169
Ascend Communications, Inc.* ..... 81,700 5,371,775
ICG Communications, Inc.* ........ 108,800 2,339,200
Intermedia Communications,
Inc.* .......................... 85,400 1,473,150
RSL Communications Ltd. Cl-A* .... 133,700 3,944,150
------------
15,549,444
------------
TRANSPORTATION -- 1.3%
Avis Rent A Car, Inc.* ........... 143,900 3,480,581
------------
TOTAL COMMON STOCK
(Cost $214,948,309)................. 247,629,231
------------
PAR
(000) VALUE
--------- ------------
COMMERCIAL PAPER -- 1.2%
Northern Illinois Gas Co.
5.90%, 01/08/99................. $2,000 $ 1,997,706
Novartis Finance Corp.+
5.45%, 01/12/99................. 1,000 998,335
------------
(Cost $2,996,041)................. 2,996,041
------------
SHARES
---------
SHORT-TERM INVESTMENTS -- 3.2%
Temporary Investment Cash Fund ... 4,233,509 4,233,509
Temporary Investment Fund ........ 4,233,510 4,233,510
------------
(Cost $8,467,019)................. 8,467,019
------------
TOTAL INVESTMENTS -- 99.0%
(Cost $226,411,369)................. 259,092,291
OTHER ASSETS LESS
LIABILITIES -- 1.0%................. 2,700,022
------------
NET ASSETS -- 100.0%.................. $261,792,313
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
0.4% of net assets.
See Notes to Financial Statements.
100
<PAGE> 102
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 87.4%
AUSTRIA -- 0.7%
KTM-Motorradholding AG........... 11,650 $ 784,417
------------
BRAZIL -- 0.3%
Aracruz Celulose SA [ADR]........ 51,000 408,000
------------
CANADA -- 4.1%
Cinar Films, Inc. Cl-B*.......... 148,025 3,756,134
Dorel Industries, Inc. Cl-B*..... 70,575 1,139,537
------------
4,895,671
------------
DENMARK -- 2.8%
Kobenhavns Lufthavne AS.......... 16,950 2,103,985
Vestas Wind Systems AS 144A*..... 23,800 1,275,197
------------
3,379,182
------------
FINLAND -- 3.3%
KCI Konecranes International
PLC............................ 33,200 1,508,110
Raisio Group PLC................. 220,000 2,433,201
------------
3,941,311
------------
FRANCE -- 6.3%
Altran Technologies SA........... 19,050 4,597,092
Dassault Systemes SA............. 56,550 2,659,445
Royal Canin SA................... 5,000 313,283
------------
7,569,820
------------
GERMANY -- 15.1%
Douglas Holding AG............... 32,225 1,905,809
IXOS Software AG*................ 5,475 1,232,723
Marschollek, Lautenschlaeger und
Partner AG Non-Voting Pfd. .... 7,850 4,477,581
Porsche AG Pfd. ................. 1,700 3,909,290
Schmalbach Lubeca AG............. 11,235 1,551,497
Schwarz Pharma AG................ 35,200 2,039,483
Sixt AG.......................... 33,675 2,628,458
Turbon International AG.......... 40,275 350,634
------------
18,095,475
------------
GREECE -- 0.5%
Chipita International SA......... 19,625 637,718
------------
HONG KONG -- 1.8%
VTech Holdings Ltd. ............. 501,000 2,185,847
------------
IRELAND -- 2.1%
Ryanair Holdings PLC [ADR]*...... 66,600 2,514,150
------------
ITALY -- 4.0%
Bulgari SPA...................... 372,950 2,227,894
Gruppo Editoriale L'Espresso
SPA............................ 107,100 941,814
Industrie Natuzzi SPA [ADR]...... 66,150 1,645,481
------------
4,815,189
------------
JAPAN -- 5.6%
Doutor Coffee Co. Ltd. .......... 50,000 1,662,284
Fuji Soft ABC, Inc. ............. 38,500 1,962,603
Nippon System Development........ 57,000 1,768,670
Ryohin Keikaku Co. Ltd. ......... 10,000 1,334,260
------------
6,727,817
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MALAYSIA -- 0.0%
KFC Holdings Berhad
Warrants++*.................... 21,333 $ 2,672
------------
MEXICO -- 0.6%
Grupo Posadas SA Cl-A*........... 1,875,600 777,572
------------
NETHERLANDS -- 5.8%
Beter Bed Holding NV............. 23,425 817,585
Brunel International NV.......... 35,225 713,258
Hunter Douglas NV................ 46,400 1,537,873
IHC Caland NV.................... 37,700 1,566,924
Nutreco Holding NV............... 58,450 2,304,774
------------
6,940,414
------------
NORWAY -- 1.8%
Narvesen ASA..................... 16,000 415,816
Tomra Systems ASA................ 51,975 1,705,494
------------
2,121,310
------------
SINGAPORE -- 0.6%
Natsteel Electronics Ltd. ....... 284,000 722,927
------------
SPAIN -- 5.5%
Baron de Ley SA*................. 21,600 708,103
Tele Pizza SA*................... 614,050 5,850,518
------------
6,558,621
------------
SWEDEN -- 4.0%
Haldex AB........................ 51,010 516,045
NetCom Systems AB Cl-B*.......... 79,475 3,235,657
Ortivus AB Cl-B*................. 50,200 365,404
Semcon AB........................ 84,775 700,746
------------
4,817,852
------------
SWITZERLAND -- 1.4%
Kudelski SA*..................... 375 1,037,511
Logitech International SA........ 5,000 604,304
------------
1,641,815
------------
UNITED KINGDOM -- 21.1%
British-Borneo Petroleum
Syndicate PLC.................. 364,423 606,331
BTG PLC.......................... 97,225 566,174
Capital Radio PLC................ 129,650 1,255,450
Eidos PLC [ADR]*................. 47,175 757,748
Energis PLC*..................... 178,075 3,985,007
Filtronic PLC.................... 55,325 554,603
Flextech PLC*.................... 195,550 1,974,924
ICON PLC [ADR]*.................. 44,500 1,490,750
JBA Holdings PLC................. 241,350 742,887
Misys PLC........................ 175,210 1,276,112
Parity PLC....................... 213,800 2,036,512
PizzaExpress PLC................. 291,275 3,901,242
Psion PLC........................ 324,275 3,115,798
Select Appointments Holdings
PLC............................ 184,475 1,893,767
Wetherspoon, (J.D.) PLC.......... 385,875 1,126,750
------------
25,284,055
------------
TOTAL FOREIGN STOCK
(Cost $81,909,290)................. 104,821,835
------------
</TABLE>
101
<PAGE> 103
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
U.S. STOCK -- 2.0%
TELECOMMUNICATIONS
Global TeleSystems Group, Inc.*
(Cost $1,649,584)................ 43,725 $ 2,437,669
------------
PAR
(000)
-----
COMMERCIAL PAPER--9.3%
Ford Motor Credit Co.
5.95%, 01/04/99................ $ 4,634 4,631,702
General Electric Capital Corp.
5.00%, 01/05/99................ 4,952 4,949,249
Prudential Funding Corp.
4.00%, 01/04/99................ 1,574 1,573,475
------------
(Cost $11,154,426)............... 11,154,426
------------
TOTAL INVESTMENTS -- 98.7%
(Cost $94,713,300)................. 118,413,930
OTHER ASSETS LESS
LIABILITIES -- 1.3%................ 1,583,089
------------
NET ASSETS -- 100.0%................. $119,997,019
============
</TABLE>
The following is a breakdown of the foreign stock portion of the Portfolio, by
industry classification, as of December 31, 1998. Percentages are based on net
assets.
<TABLE>
<CAPTION>
INDUSTRY
--------
<S> <C>
Aerospace............................................ 3.8%
Airlines............................................. 2.1%
Automobile Manufacturers............................. 7.9%
Automotive Parts..................................... 0.4%
Beverages............................................ 0.6%
Broadcasting......................................... 2.7%
Business Services.................................... 2.8%
Computer Hardware.................................... 3.1%
Computer Services & Software......................... 10.4%
Consumer Products & Services......................... 4.1%
Containers & Packaging............................... 1.3%
Electronic Components & Equipment.................... 2.5%
Entertainment & Leisure.............................. 3.1%
Food................................................. 4.7%
Furniture............................................ 1.4%
Hotels & Motels...................................... 0.7%
Insurance............................................ 3.7%
Machinery & Equipment................................ 2.7%
Medical Supplies & Equipment......................... 0.3%
Miscellaneous........................................ 0.5%
Office Equipment..................................... 0.3%
Oil & Gas............................................ 0.5%
Paper & Forest Products.............................. 0.3%
Pharmaceuticals...................................... 2.9%
Printing & Publishing................................ 0.8%
Restaurants.......................................... 9.5%
Retail & Merchandising............................... 6.5%
Telecommunications................................... 6.5%
Transportation....................................... 1.3%
----
TOTAL................................................ 87.4%
====
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stocks.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
++ Illiquid security. At the end of the year, this security amounted to less
than 0.1% of net assets.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 1.1% of net assets.
See Notes to Financial Statements.
102
<PAGE> 104
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 82.2%
BUILDING & REAL ESTATE -- 4.7%
Archstone Communities Trust
[REIT].......................... 25,285 $ 512,021
Camden Property Trust............. 26,600 691,600
Kilroy Realty Corp. .............. 19,000 437,000
Post Properties, Inc. [REIT]...... 20,000 768,750
United Dominion Realty Trust...... 42,000 433,125
Weeks Corp. ...................... 21,000 591,937
-----------
3,434,433
-----------
CHEMICALS -- 3.7%
Great Lakes Chemical Corp. ....... 30,300 1,212,000
Hercules, Inc. ................... 16,000 438,000
Octel Corp.*...................... 77,375 1,073,578
-----------
2,723,578
-----------
DIVERSIFIED METALS -- 3.9%
Nucor Corp. ...................... 28,500 1,232,625
Reynolds Metals Co. .............. 31,800 1,675,462
-----------
2,908,087
-----------
DIVERSIFIED RESOURCES -- 4.3%
Burlington Northern Santa Fe
Corp. .......................... 29,400 992,250
IMC Global, Inc. ................. 29,300 626,287
Imperial Holly Corp. ............. 120,000 975,000
Penn Virginia Corp. .............. 25,700 472,237
Western Water Co.*................ 28,000 143,500
-----------
3,209,274
-----------
ENERGY SERVICES -- 5.5%
BJ Services Co.*.................. 160,800 2,512,500
Halliburton Co. .................. 23,600 699,150
McDermott International, Inc. .... 35,300 871,469
-----------
4,083,119
-----------
FOREST PRODUCTS -- 6.2%
Champion International Corp. ..... 12,500 506,250
Domtar, Inc. ..................... 248,300 1,458,762
Fort James Corp. ................. 22,100 884,000
Georgia Pacific Group............. 15,500 907,719
Kimberly-Clark Corp. ............. 15,700 855,650
-----------
4,612,381
-----------
INTEGRATED PETROLEUM -- 20.0%
Amerada Hess Corp. ............... 52,500 2,611,875
Atlantic Richfield Co. ........... 12,900 841,725
British Petroleum Co. PLC [ADR]... 12,600 1,129,275
Chevron Corp. .................... 7,000 580,562
Mobil Corp. ...................... 37,200 3,241,050
Petroleo Brasileiro SA [ADR]
144A............................ 28,600 324,301
Royal Dutch Petroleum Co. ........ 50,000 2,393,750
Societe Nationale Elf Aquitaine SA
[ADR]........................... 13,000 736,125
Texaco, Inc. ..................... 22,000 1,163,250
Total SA [ADR].................... 20,000 995,000
USX-Marathon Group................ 26,000 783,250
-----------
14,800,163
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
LUMBER & WOOD PRODUCTS -- 0.7%
MacMillan Bloedel Ltd. ........... 54,000 $ 540,000
-----------
MACHINERY & EQUIPMENT -- 2.9%
Baker Hughes, Inc. ............... 98,200 1,736,912
Smith International, Inc.*........ 15,800 397,963
-----------
2,134,875
-----------
MISCELLANEOUS ENERGY -- 1.8%
Niagara Mohawk Power Corp.*....... 83,000 1,338,375
-----------
NON-FERROUS METALS -- 3.3%
Inco Ltd. ........................ 147,800 1,561,138
Phelps Dodge Corp. ............... 18,100 920,838
-----------
2,481,976
-----------
OIL & GAS -- 5.5%
Anadarko Petroleum Corp. ......... 12,500 385,938
Burlington Resources, Inc. ....... 21,200 759,225
Mitchell Energy & Development
Corp. Cl-B...................... 70,800 823,050
Schlumberger Ltd. ................ 20,488 945,009
Union Pacific Resources Group,
Inc. ........................... 53,000 480,313
Unocal Corp. ..................... 23,500 685,906
-----------
4,079,441
-----------
PAPER & FOREST PRODUCTS -- 1.9%
Smurfit-Stone Container Corp.*.... 90,600 1,432,613
-----------
PETROLEUM EXPLORATION & PRODUCTION -- 4.5%
Barrett Resources Corp.*.......... 15,100 362,400
EEX Corp.*........................ 86,766 607,362
Noble Affiliates, Inc. ........... 2,800 68,950
Ocean Energy, Inc.*............... 83,880 529,493
Pioneer Natural Resources Co. .... 46,000 402,500
Rutherford-Moran Oil Corp.*....... 35,300 99,281
Santa Fe Energy Resources,
Inc.*........................... 121,100 893,113
Triton Energy Ltd.*............... 43,000 341,313
Triton Energy Ltd. Rights*........ 3,096 0
-----------
3,304,412
-----------
PRECIOUS METALS -- 13.3%
Battle Mountain Gold Co. ......... 292,000 1,204,500
Cambior, Inc. .................... 140,400 693,225
Dayton Mining Corp.*.............. 49,700 12,425
Getchell Gold Corp.*.............. 48,500 1,321,625
Gold Fields Ltd. [ADR]*........... 61,698 340,863
Homestake Mining Co. ............. 299,120 2,748,165
Newmont Mining Corp. ............. 130,224 2,352,171
Placer Dome, Inc. ................ 48,300 555,450
TVX Gold, Inc.*................... 330,900 599,756
-----------
9,828,180
-----------
TOTAL COMMON STOCK (Cost
$74,700,581)........................ 60,910,907
-----------
PREFERRED STOCK -- 1.9%
BUILDING & REAL ESTATE -- 1.5%
Rouse Co. $3.00 Cl-B.............. 25,000 1,084,375
-----------
</TABLE>
103
<PAGE> 105
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PRECIOUS METALS -- 0.4%
Battle Mountain Gold $3.25........ 8,900 $ 332,638
-----------
TOTAL PREFERRED STOCK (Cost
$1,551,602)......................... 1,417,013
-----------
FOREIGN STOCK -- 13.9%
BUILDING & REAL ESTATE -- 1.0%
Security Capital U.S. Realty --
(NLG)*.......................... 60,000 594,000
Sun International -- (ZAR)........ 1,150,000 189,626
-----------
783,626
-----------
CHEMICALS -- 0.8%
English China Clays
PLC -- (GBP).................... 220,000 605,793
-----------
DIVERSIFIED METALS -- 1.4%
Rio Tinto PLC -- (GBP)............ 87,000 1,011,818
-----------
DIVERSIFIED RESOURCES -- 0.2%
Lonrho Africa PLC -- (GBP)........ 153,159 141,429
-----------
FOREST PRODUCTS -- 2.2%
Macmillan Bloedel Ltd. -- (CAD)... 164,000 1,612,303
-----------
INDUSTRIAL PRODUCTS -- 0.4%
Avesta Sheffield AB -- (SEK)...... 105,000 295,354
-----------
NON-FERROUS METALS -- 2.0%
Bougainville Copper
Ltd. -- (AUD)*.................. 1,496,992 165,275
WMC Ltd. -- (AUD)................. 438,936 1,324,594
-----------
1,489,869
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PETROLEUM EXPLORATION & PRODUCTION --
0.4%
Northstar Energy
Corp. -- (CAD)*................. 9,635 $ 276,013
-----------
PRECIOUS METALS -- 5.5%
Anglo American Platinum Corp.
Ltd. -- (ZAR)................... 40,139 550,642
Banro Resource Corp. -- (CAD)*+... 75,000 39,064
Banro Resource Corp.
Warrants -- (CAD)*+............. 45,815 0
Gencor Ltd. -- (ZAR).............. 828,000 1,393,461
Gold Fields Ltd. -- (ZAR)*........ 163,299 902,188
Goldfields Ltd. -- (AUD).......... 965,000 799,057
Normandy Mining Ltd. -- (AUD)..... 458,658 424,798
-----------
4,109,210
-----------
TOTAL FOREIGN STOCK (Cost
$14,167,496)........................ 10,325,415
-----------
SHORT-TERM INVESTMENTS -- 1.4%
Temporary Investment Cash Fund
(Cost $999,636)................... 999,636 999,636
-----------
TOTAL INVESTMENTS -- 99.4% (Cost
$91,419,315)........................ 73,652,971
OTHER ASSETS LESS
LIABILITIES -- 0.6%................. 472,978
-----------
NET ASSETS -- 100.0%.................. $74,125,949
===========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
0.9% of net assets.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 0.4% of net assets.
See Notes to Financial Statements.
104
<PAGE> 106
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 66.2%
Federal Home Loan Mtge. Corp.
5.80%, 08/15/19............... $ 10,470 $ 10,456,913
6.00%, 01/14/29 [TBA]......... 10,700 10,569,567
6.50%, 01/12/29 [TBA]......... 17,600 17,729,184
8.50%, 01/01/25............... 10,140 10,615,061
8.75%, 10/01/01............... 794 816,941
-------------
50,187,666
-------------
Federal National Mtge. Assoc.
6.298%, 03/01/17 [VR]......... 2,245 2,236,225
6.50%, 01/14/29 [TBA]......... 10,000 10,067,200
6.796%, 05/01/25 [VR]......... 888 887,660
7.50%, 01/25/22-05/01/24...... 50,952 52,390,611
7.521%, 01/01/25 [VR]......... 199 201,060
8.00%, 11/25/23............... 2,792 2,895,734
-------------
68,678,490
-------------
Government National Mtge. Assoc.
6.50%, 02/22/27 [TBA]......... 50,000 50,461,000
6.50%, 06/20/28............... 10,000 9,729,800
6.50%, 01/21/29 [TBA]......... 20,000 20,203,200
6.625%, 07/20/17-07/20/24..... 1,048 1,061,817
6.875%, 05/20/24-01/20/26..... 6,697 6,796,664
6.875% 03/20/24 [VR].......... 4,225 4,275,484
7.00% 01/15/24-11/20/26....... 16,607 16,911,332
-------------
109,439,297
-------------
Student Loan Marketing Assoc.
Series 1995-1 Cl-A1 [FRN]
5.327%, 04/25/04.............. 3,353 3,319,948
-------------
(Cost $230,377,453)............... 231,625,401
-------------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 6.9%
First Plus Home Loan Trust
Series 1998-5 Cl-A3 [VR]
6.06%, 11/10/11............... 8,000 8,022,280
Merrill Lynch Mtge. Investors,
Inc. Cl-B
7.243%, 06/15/21.............. 869 902,497
Norwest Asset Securities Corp.
Series 1998-27 Cl-A
6.25%, 11/25/13............... 3,142 3,107,119
Residential Accredit Loans, Inc.
1997-QS8 Cl-A9
7.375%, 08/25/27.............. 2,000 2,031,881
Resolution Trust Corp. [VR]
7.19%, 07/25/28............... 10,000 9,991,270
-------------
(Cost $24,181,521)................ 24,055,047
-------------
CORPORATE OBLIGATIONS -- 34.3%
AUTOMOBILE MANUFACTURERS -- 1.4%
Ford Motor Credit Co.
5.78%, 03/21/01............... 5,000 5,041,549
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
BUILDING MATERIALS -- 0.9%
Cemex SA Notes 144A
8.50%, 08/31/00............... $ 3,000 $ 3,015,000
-------------
CHEMICALS -- 1.4%
Imperial Chemical, Inc. Euro
Medium Term Notes [FRN]
5.656%, 03/05/99.............. 5,000 5,006,110
-------------
CONGLOMERATES -- 0.5%
Philip Morris Companies, Inc.
Debs.
9.25%, 02/15/00............... 500 520,000
Time Warner, Inc. Pass-Thru
Trust Certificates 144A
6.10%, 12/30/01............... 1,250 1,273,438
-------------
1,793,438
-------------
FINANCIAL SERVICES -- 13.4%
Bear Stearns Co. Medium Term
Notes Cl-B [FRN]
6.162%, 02/06/01.............. 700 707,910
General Motors Acceptance Corp.
Notes
7.125%, 05/01/01.............. 2,000 2,072,500
Goldman Sachs Group L.P. Notes
144A
7.125%, 03/01/03.............. 1,000 1,035,000
Household Finance Co. Medium
Term Sr. Notes
7.15%, 06/15/00............... 10,000 10,225,000
Household Finance Co. Notes
7.625%, 06/29/99.............. 15,000 16,031,250
Lehman Brothers Holding Sr.
Medium Term Notes Cl-E
8.15%, 05/15/00............... 1,200 1,235,940
Nationsbank Corp. Sub. Notes
8.625%, 11/15/03.............. 1,000 1,147,500
New England Educational Loan
Marketing Assoc. Medium Term
Notes Cl-B [FRN] 144A
5.756%, 03/11/99.............. 5,000 4,995,900
Presidential Life Corp. Sr.
Notes
9.50%, 12/15/00............... 8,000 8,180,000
Salomon, Inc. Sr. Notes
7.50%, 02/01/03............... 1,000 1,062,500
-------------
46,693,500
-------------
FOOD -- 3.7%
RJR Nabisco, Inc. Medium Term
Notes
7.625%, 09/15/03.............. 5,000 4,872,400
RJR Nabisco, Inc. Notes
8.625%, 12/01/02.............. 8,000 8,127,680
-------------
13,000,080
-------------
</TABLE>
105
<PAGE> 107
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
OIL & GAS -- 1.2%
Gulf Canada Resources Ltd.
Yankee Sr. Sub. Debs.
9.25%, 01/15/04............... $ 3,000 $ 3,075,000
Occidental Petroleum Corp. Sr.
Notes
6.40%, 04/01/03............... 1,000 1,015,000
-------------
4,090,000
-------------
PAPER & FOREST PRODUCTS -- 0.4%
International Paper Co. Notes
6.125%, 11/01/03.............. 1,500 1,500,000
-------------
TELECOMMUNICATIONS -- 3.7%
AT&T Capital Corp. Notes [FRN]
144A
6.05%, 01/01/99............... 8,000 7,999,680
TCI Communications, Inc. Sr.
Notes [FRN]
5.945%, 09/11/00.............. 5,000 5,016,950
-------------
13,016,630
-------------
UTILITIES -- 7.7%
Cleveland Electric Illuminating
Co. Notes
7.625%, 08/01/02.............. 2,100 2,174,529
Connecticut Light & Power Co.
First Mtge.
7.25%, 07/01/99............... 4,482 4,487,737
7.875%, 06/01/01.............. 2,000 2,090,000
Detroit Edison Co. Medium Term
Notes
6.75%, 03/17/03............... 5,000 5,212,500
Niagara Mohawk Power Corp. Sr.
Notes
7.00%, 10/01/00............... 3,665 3,715,394
Texas Utilities Co. Debs.
6.62%, 07/01/01............... 4,136 4,214,705
United Illuminating Co. Notes
6.25%, 12/15/02............... 5,000 5,018,750
-------------
26,913,615
-------------
TOTAL CORPORATE OBLIGATIONS (Cost
$119,636,534)..................... 120,069,922
-------------
U.S. TREASURY OBLIGATIONS -- 3.0%
U.S. Treasury Bills
4.55%, 02/04/99#.............. 170 169,317
4.10%, 03/04/99#.............. 100 99,282
-------------
268,599
-------------
U.S. Treasury Inflationary Bonds
3.625%, 07/15/02.............. 10,000 10,172,110
-------------
(Cost $10,371,058)................ 10,440,709
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
----- -----
<S> <C> <C>
SOVEREIGN ISSUES -- 3.0%
ARGENTINA -- 2.1%
Republic of Argentina [FRB, BRB]
6.188%, 03/31/05.............. $ 3,666 $ 2,859,480
9.165%, 04/10/05.............. 4,000 3,610,000
Republic of Argentina Bote 10
[FRN, PIK]
5.313%, 04/01/00.............. 1,220 969,685
-------------
7,439,165
-------------
BRAZIL -- 0.6%
Republic of Brazil-IDU Cl-A [VR,
BRB]
6.75%, 01/01/01............... 2,177 1,977,079
-------------
CANADA -- 0.3%
Hydro-Quebec Government
Guaranteed Notes
9.00%, 03/07/01............... 1,000 1,069,900
-------------
TOTAL SOVEREIGN ISSUES (Cost
$11,294,802)...................... 10,486,144
-------------
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
FOREIGN BONDS -- 1.5%
NEW ZEALAND
New Zealand Government
10.00%, 03/15/02
(Cost $5,339,391)............. 8,900 5,342,374
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 2.9%
Bank of Tokyo-Mitsubishi
5.94%, 01/19/99
(Cost $10,000,000)............ $ 10,000 9,998,187
-------------
COMMERCIAL PAPER -- 13.3%
Ameritech Corp.
5.66%, 01/15/99............... 3,400 3,392,516
Ford Motor Credit Co.
5.51%, 01/22/99............... 10,000 9,967,858
General Electric Capital Corp.
5.65%, 01/14/99............... 16,000 15,967,356
General Motors Acceptance Corp.
5.50%, 01/29/99............... 13,000 12,944,389
Procter & Gamble Co.
4.85%, 02/26/99............... 4,200 4,168,313
-------------
(Cost $46,440,432).............. 46,440,432
-------------
</TABLE>
106
<PAGE> 108
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.2%
Temporary Investment Cash
Fund.......................... 2,154,618 $ 2,154,618
Temporary Investment Fund....... 2,154,618 2,154,618
-------------
(Cost $4,309,236)............... 4,309,236
-------------
TOTAL INVESTMENTS -- 132.3% (Cost
$461,950,427)..................... 462,767,452
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS
---------
<S> <C> <C>
WRITTEN OPTIONS -- 0.0%
CALL OPTIONS
30 Year U.S. Treasury Bond
Futures, Strike Price 138,
Expires 02/20/99............. 34 (3,188)
-------------
PUT OPTIONS
30 Year U.S. Treasury Bond
Futures, Strike Price 120,
Expires 02/20/99............. 20 (3,437)
30 Year U.S. Treasury Bond
Futures, Strike Price 122,
Expires 02/20/99............. 22 (6,875)
-------------
(10,312)
-------------
TOTAL WRITTEN OPTIONS
(Cost ($13,948))................. (13,500)
-------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (32.3%)................ (113,046,717)
-------------
NET ASSETS -- 100.0%............... $ 349,707,235
=============
</TABLE>
# Securities with an aggregate market value of $268,599 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1998:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
Euro Dollar.......... 12/99 ECU 75,000 $(68,175)
Euro Dollar.......... 03/00 ECU 75,000 (24,962)
Euro Dollar.......... 06/00 ECU 75,000 (9,187)
Euro Dollar.......... 09/00 ECU 75,000 4,988
Euro Dollar.......... 09/01 ECU 100,000 27,500
--------
$(69,836)
========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 5.2% of net assets.
See Notes to Financial Statements.
107
<PAGE> 109
AST OPPENHEIMER LARGE-CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 74.6%
BUSINESS SERVICES -- 2.0%
Robert Half International,
Inc.*........................ 131,800 $ 5,889,812
--------------
COMPUTER HARDWARE -- 3.2%
Dell Computer Corp.*........... 132,000 9,660,750
--------------
COMPUTER SERVICES & SOFTWARE -- 12.7%
3Com Corp.*.................... 100,700 4,512,619
CompUSA, Inc.*................. 198,152 2,588,360
Electronic Arts, Inc.*......... 61,100 3,429,237
Ingram Micro, Inc. Cl-A*....... 101,000 3,522,375
National Data Corp............. 135,400 6,592,287
Oracle Corp.*.................. 119,700 5,162,062
Synopsys, Inc.*................ 77,400 4,198,950
Tech Data Corp.*............... 104,900 4,222,225
Visio Corp.*................... 106,300 3,886,594
--------------
38,114,709
--------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 5.9%
Advanced Micro Devices,
Inc.*........................ 612,000 17,709,750
--------------
ENTERTAINMENT & LEISURE -- 2.2%
Time Warner, Inc. ............. 107,800 6,690,337
--------------
FINANCIAL-BANK & TRUST -- 3.2%
Chase Manhattan Corp. ......... 61,400 4,179,037
MBNA Corp. .................... 224,500 5,598,469
--------------
9,777,506
--------------
FINANCIAL SERVICES -- 10.3%
Donaldson, Lufkin & Jenrette,
Inc. ........................ 101,900 4,177,900
Household International,
Inc. ........................ 170,300 6,748,137
Merrill Lynch & Co., Inc. ..... 139,676 9,323,373
Morgan Stanley, Dean Witter &
Co. ......................... 87,400 6,205,400
Schwab, (Charles) Corp. ....... 76,800 4,315,200
--------------
30,770,010
--------------
FOOD -- 0.9%
Safeway, Inc.*................. 46,000 2,803,125
--------------
HEALTHCARE SERVICES -- 4.1%
Humana, Inc.*.................. 316,000 5,628,750
Omnicare, Inc. ................ 193,600 6,727,600
--------------
12,356,350
--------------
INSURANCE -- 1.4%
Aetna, Inc. ................... 40,900 3,215,763
CMAC Investment Corp. ......... 21,300 978,469
--------------
4,194,232
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OFFICE EQUIPMENT -- 4.5%
Office Depot, Inc.*............ 138,900 $ 5,130,619
Staples, Inc.*................. 195,550 8,543,091
--------------
13,673,710
--------------
PHARMACEUTICALS -- 7.6%
Lilly, (Eli) & Co. ............ 93,100 8,274,263
Merck & Co., Inc. ............. 48,700 7,192,381
Pfizer, Inc. .................. 57,500 7,212,656
--------------
22,679,300
--------------
RAILROADS -- 1.3%
Kansas City Southern
Industries, Inc. ............ 80,900 3,979,269
--------------
RETAIL & MERCHANDISING -- 9.8%
Bed, Bath & Beyond, Inc.*...... 211,580 7,220,168
Costco Companies, Inc.*........ 103,000 7,435,313
Rite Aid Corp. ................ 59,800 2,963,838
Wal-Mart Stores, Inc. ......... 55,500 4,519,781
Walgreen Co. .................. 126,900 7,431,581
--------------
29,570,681
--------------
SEMICONDUCTORS -- 0.5%
Intel Corp. ................... 13,600 1,612,450
--------------
TELECOMMUNICATIONS -- 4.4%
AirTouch Communications,
Inc.* ....................... 67,200 4,846,800
Comcast Corp. Cl-A............. 84,900 4,982,569
MCI WorldCom, Inc.*............ 46,000 3,300,500
--------------
13,129,869
--------------
TRANSPORTATION -- 0.6%
CNF Transportation, Inc. ...... 49,600 1,863,100
--------------
TOTAL COMMON STOCK
(Cost $188,906,303).............. 224,474,960
--------------
SHORT-TERM INVESTMENTS -- 0.2%
Temporary Investment Cash
Fund......................... 253,878 253,878
Temporary Investment Fund...... 253,877 253,877
--------------
(Cost $507,755)................ 507,755
--------------
TOTAL INVESTMENTS -- 74.8%
(Cost $189,414,058).............. 224,982,715
OTHER ASSETS LESS
LIABILITIES -- 25.2%............. 75,941,439
--------------
NET ASSETS -- 100.0%............... $ 300,924,154
==============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
108
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 88.5%
ARGENTINA -- 0.2%
Telecom Argentina Stet SA Cl-B
[ADR].......................... 10,025 $ 275,687
Telefonica de Argentina SA Cl-B
[ADR].......................... 38,015 1,062,044
------------
1,337,731
------------
AUSTRALIA -- 0.3%
Cable & Wireless Optus Ltd.
144A*.......................... 903,551 1,900,918
------------
AUSTRIA -- 0.1%
Bank Austria AG.................. 15,114 768,981
------------
BRAZIL -- 0.5%
Telecomunicacoes Brasileiras SA
Pfd. [ADR]..................... 39,495 2,870,793
------------
CANADA -- 0.5%
Newcourt Credit Group, Inc. ..... 89,330 3,120,967
------------
DENMARK -- 0.4%
Kapital Holding.................. 2,213 109,531
Ratin AS Cl-B.................... 7,076 1,500,955
SAS Danmark AS................... 6,676 75,526
Unidanmark AS Cl-A............... 5,663 511,635
------------
2,197,647
------------
FINLAND -- 5.1%
Nokia Corp. Cl-A [ADR]........... 116,055 13,977,374
Nokia Oyj Cl-A................... 68,342 8,368,480
Raisio Group PLC................. 68,982 762,941
Sampo Insurance Co. Ltd. Cl-A.... 83,293 3,183,147
Sonera Group Oyj 144A*........... 94,238 1,675,081
Tieto Corp. Cl-B................. 60,405 2,708,108
------------
30,675,131
------------
FRANCE -- 11.6%
Alcatel.......................... 1,326 162,367
Alcatel SA [ADR]................. 24,430 597,008
Atos SA*......................... 4,932 1,179,581
Cap Gemini SA.................... 41,241 6,622,469
Cap Gemini SA 144A............... 1,719 276,037
Carrefour Supermarche SA......... 3,484 2,631,394
Equant NV*....................... 15,694 1,092,622
Groupe Danone.................... 15,700 4,496,949
Lagardere S.C.A. ................ 44,644 1,898,126
Renault SA....................... 114,704 5,154,073
Rhone-Poulenc Cl-A............... 161,600 8,320,100
Sanofi SA........................ 18,111 2,982,830
Suez Lyonnaise des Eaux.......... 53,558 11,006,888
Synthelabo....................... 4,402 932,251
Valeo SA......................... 13,011 1,025,785
Valeo SA 144A.................... 40,239 3,172,435
Vivendi.......................... 72,124 18,721,735
------------
70,272,650
------------
GERMANY -- 10.8%
Bayerische Hypo-Und Vereinsbank
AG............................. 11,091 877,680
DaimlerChrysler AG*.............. 59,037 5,866,410
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Deutsche Pfandbrief &
Hypothekenbank AG.............. 69,203 $ 6,066,356
Ergo Versicherungs Gruppe AG..... 2,933 483,398
Hoechst AG....................... 164,336 6,798,327
Mannesmann AG.................... 182,285 21,095,774
Marschollek, Lautenschlaeger und
Partner AG Non-Voting Pfd...... 5,292 3,018,517
Merck KGaA....................... 25,425 1,144,913
Metro AG......................... 43,065 3,387,239
MobilCom AG...................... 9,379 2,984,575
Muenchener Rueckversicherung AG
Warrants*...................... 146 6,837
Porsche AG Pfd. ................. 4,058 9,331,704
SAP AG Pfd. ..................... 5,247 2,518,719
Schering AG...................... 11,447 1,439,879
Veba AG.......................... 11,989 710,477
------------
65,730,805
------------
GREECE -- 0.3%
Panafon SA 144A*................. 13,861 371,222
STET Hellas Telecommunications SA
[ADR]*......................... 41,525 1,344,372
------------
1,715,594
------------
HONG KONG -- 0.5%
China Telecom Ltd. .............. 1,769,000 3,059,835
------------
IRELAND -- 1.9%
Elan Corp. PLC [ADR]*............ 167,775 11,670,848
------------
ITALY -- 4.7%
Banca Commerciale Italia NA...... 409,187 2,829,009
Banca di Roma*................... 2,357,523 4,003,332
Telecom Italia Mobile SPA........ 1,584,056 11,720,281
Telecom Italia SPA............... 973,562 8,325,118
Unicredito Italiano SPA.......... 240,571 1,429,076
------------
28,306,816
------------
JAPAN -- 10.6%
Bridgestone Corp................. 17,000 386,581
Fujitsu Ltd...................... 176,300 2,352,300
Honda Motor Co. Ltd.............. 55,000 1,809,008
Ito-Yokado Co. Ltd............... 32,000 2,241,202
Kao Corp......................... 719,000 16,254,478
Kirin Brewery Co. Ltd............ 333,000 4,251,192
Nippon Telegraph & Telephone
Corp........................... 1,990 1,538,415
NTT Data Corp.................... 290 1,442,331
NTT Mobile Communication Network,
Inc............................ 4,890 20,158,851
Rohm Co. Ltd..................... 5,000 458,347
Sony Corp........................ 58,800 4,290,235
Takeda Chemical Industries....... 232,000 8,947,077
------------
64,130,017
------------
KOREA -- 0.4%
SK Telecom Co. Ltd. [ADR]........ 234,541 2,389,389
------------
</TABLE>
109
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
MEXICO -- 0.3%
Coca-Cola Femsa SA [ADR]......... 34,220 $ 453,415
Grupo Televisa SA [GDR]*......... 56,670 1,399,041
------------
1,852,456
------------
NETHERLANDS -- 7.5%
AEGON NV......................... 12,368 1,519,745
AKZO Nobel NV.................... 35,563 1,620,230
Equant NV NY Reg*................ 30,620 2,076,419
Getronics NV..................... 109,617 5,432,165
Koninklijke Ahold NV............. 260,020 9,615,643
Koninklijke Ahrend Groep NV...... 20,173 461,148
Koninklijke (Royal) Philips
Electronics NV................. 44,873 3,012,782
Koninklijke (Royal) Philips
Electronics NV [ADR]........... 43,694 2,957,538
Simac Techniek NV................ 22,565 571,138
Unilever NV...................... 34,510 2,951,427
Wolters Kluwer NV................ 72,661 15,556,912
------------
45,775,147
------------
NORWAY -- 0.3%
Den Norske Bank ASA.............. 90,773 313,349
Elektronisk Databehandling ASA... 354,721 884,619
NCL Holdings ASA*................ 245,404 579,789
SAS Norge ASA Cl-B............... 16,809 141,201
------------
1,918,958
------------
PORTUGAL -- 0.6%
Cimentos de Portugal SA.......... 22,436 716,209
Portugal Telecom SA.............. 69,965 3,207,966
------------
3,924,175
------------
SPAIN -- 3.0%
Argentaria Caja Postal Y Banco
Hipotecario de Espana SA....... 88,120 2,285,539
Banco Bilbao Vizcaya SA.......... 143,075 2,246,728
Banco Central Hispanoamericano
SA............................. 96,306 1,145,276
Prosegur, CIA de Seguridad SA.... 145,088 1,694,674
Tele Pizza SA*................... 180,645 1,721,141
Telefonica SA.................... 169,516 7,549,129
Telefonica SA [ADR].............. 10,878 1,472,650
Telefonica SA Bonus Rights*...... 169,516 150,743
------------
18,265,880
------------
SWEDEN -- 5.1%
Assa Abloy AB Cl-B............... 142,787 5,460,953
Astra AB Cl-A.................... 160,666 3,280,500
Electrolux AB Cl-B............... 318,252 5,477,260
Ericsson, (L.M.) Telephone Co.
[ADR].......................... 45,056 1,078,528
Ericsson, (L.M.) Telephone Co.
Cl-B........................... 2,050 48,812
Ortivus AB Cl-B*................. 2,329 16,953
Pharmacia & Upjohn, Inc.......... 6,729 376,899
SAS Sverige AB................... 26,039 239,331
Securitas AB..................... 873,512 13,578,677
Skandinaviska Enskilda Banken.... 96,797 1,021,048
Volvo AB Cl-B.................... 27,057 620,884
------------
31,199,845
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SWITZERLAND -- 9.9%
Adecco SA........................ 19,682 $ 8,984,924
Ares-Serono Group................ 48 76,046
Baloise Holding Ltd. ............ 432 448,205
Julius Baer Holdings AG Cl-B..... 214 711,266
Kuoni Reisen AG.................. 1,092 4,333,081
Novartis AG...................... 8,938 17,570,405
Roche Holding AG................. 719 8,773,655
Schweizerische
Lebensversicherungs-Und
Rentenanstalt.................. 890 660,949
Swisscom AG*..................... 18,916 7,919,081
UBS AG........................... 17,317 5,320,626
Zurich Allied AG................. 7,483 5,540,824
------------
60,339,062
------------
UNITED KINGDOM -- 13.9%
Amvescap PLC..................... 234,278 1,817,415
Capita Group PLC................. 311,277 2,876,967
COLT Telecom Group PLC*.......... 600,247 8,953,321
Compass Group PLC................ 587,306 6,727,787
Diageo PLC....................... 225,725 2,568,855
Electrocomponents PLC............ 27,832 186,618
Energis PLC*..................... 267,092 5,977,052
Glaxo Wellcome PLC............... 151,972 5,228,992
Hays PLC......................... 655,849 5,756,124
JBA Holdings PLC................. 48,156 148,227
Lloyds TSB Group PLC............. 347,196 4,939,064
Logica PLC....................... 674,925 5,867,400
Misys PLC........................ 241,286 1,757,366
Orange PLC*...................... 18,296 212,631
Rentokil Initial PLC............. 1,480,067 11,155,356
Select Appointments Holdings
PLC............................ 10,662 109,453
Select Appointments Holdings PLC
[ADR].......................... 74,175 1,594,762
SEMA Group PLC................... 165,808 1,630,410
Siebe PLC........................ 666,154 2,626,799
SmithKline Beecham PLC........... 76,161 1,064,427
SmithKline Beecham PLC [ADR]..... 59,475 4,133,512
Tomkins PLC...................... 286,977 1,353,643
Vodafone Group PLC............... 179,587 2,916,276
Williams PLC..................... 802,641 4,557,197
WPP Group PLC.................... 7,509 45,695
------------
84,205,349
------------
TOTAL FOREIGN STOCK
(Cost $448,527,859)................ 537,628,994
------------
U.S. STOCK -- 2.3%
AUTOMOBILE MANUFACTURERS -- 0.4%
DaimlerChrysler AG*.............. 27,124 2,605,599
------------
CHEMICALS -- 0.0%
Solutia, Inc. ................... 29 650
------------
</TABLE>
110
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 0.1%
Fox Entertainment Group, Inc.
Cl-A*.......................... 16,820 $ 423,654
------------
FINANCIAL SERVICES -- 0.0%
Romanian Investment Fund**....... 163 79,462
------------
PHARMACEUTICALS -- 1.2%
Bristol-Meyers Squibb Co. ....... 2,600 347,913
Pharmacia & Upjohn, Inc. ........ 127,815 7,237,524
------------
7,585,437
------------
TELECOMMUNICATIONS -- 0.6%
Cellular Communications
International, Inc.*........... 50,360 3,424,480
------------
TOTAL U.S. STOCK
(Cost $11,348,637)................. 14,119,282
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS --
6.6%
Federal Home Loan Bank Disc. Notes
5.01%, 01/13/99................. $20,000 19,966,043
------------
Federal Home Loan Mtge. Corp.
Disc. Notes 4.74%, 01/22/99..... 20,000 19,943,808
------------
(Cost $39,911,300)................ 39,909,851
------------
COMMERCIAL PAPER -- 2.6%
Household Finance Corp. 5.25%,
01/04/99
(Cost $15,793,088)................ 15,800 15,793,088
------------
TOTAL INVESTMENTS -- 100.0% (Cost
$515,580,884)....................... 607,451,215
LIABILITIES IN EXCESS OF
OTHER ASSETS -- 0.0%................ (244,933)
------------
NET ASSETS -- 100.0%.................. $607,206,282
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN
SETTLEMENT CONTRACTS EXCHANGE CONTRACTS UNREALIZED
MONTH TYPE TO RECEIVE FOR AT VALUE APPRECIATION
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy DEM 401,570 $ 239,677 $ 241,154 $ 1,477
01/99 Buy FRF 616,649 110,088 110,403 315
01/99 Buy ITL 749,639,812 451,188 454,761 3,573
01/99 Buy JPY 31,545,485 273,989 279,860 5,871
04/99 Buy JPY 520,000,000 4,535,147 4,670,523 135,376
---------- ---------- --------
$5,610,089 $5,756,701 $146,612
========== ========== ========
</TABLE>
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE TO DELIVER FOR AT VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99
Sell ATS 351,090 $ 29,669 $ 29,966 $ (297)
04/99
Sell CHF 4,200,000 3,048,009 3,088,394 (40,385)
03/99
Sell CHF 2,400,000 1,771,218 1,762,607 8,611
01/99
Sell DEM 59,700,000 35,283,960 35,880,318 (596,358)
01/99
Sell FRF 118,256 21,119 21,172 (53)
04/99
Sell GBP 15,770,000 26,471,249 26,163,418 307,831
05/99
Sell GBP 9,730,000 15,996,743 16,137,576 (140,833)
02/99
Sell JPY 2,780,000,000 23,971,389 24,787,715 (816,326)
05/99
Sell JPY 600,000,000 5,080,440 5,420,000 (339,560)
01/99
Sell JPY 20,643,826 179,303 183,144 (3,841)
04/99
Sell JPY 2,190,000,000 18,761,210 19,684,503 (923,293)
01/99
Sell NLG 35,300,000 18,700,948 18,800,663 (99,715)
04/99
Sell SEK 33,300,000 4,149,838 4,136,600 13,238
05/99
Sell SEK 13,000,000 1,668,485 1,616,895 51,590
------------ ------------ -----------
$155,133,580 $157,712,971 $(2,579,391)
============ ============ ===========
</TABLE>
The following is a breakdown of the foreign stock portion of the Portfolio, by
industry classification, as of December 31, 1998. Percentages are based on net
assets.
<TABLE>
<CAPTION>
INDUSTRY
--------
<S> <C>
Airlines............................................. 0.1%
Automobile Manufacturers............................. 4.2%
Automotive Parts..................................... 0.8%
Beverages............................................ 0.8%
Broadcasting......................................... 0.2%
Building Materials................................... 0.1%
Business Services.................................... 3.5%
Chemicals............................................ 2.8%
Computer Services & Software......................... 6.8%
Conglomerates........................................ 0.2%
Consumer Products & Services......................... 8.8%
Electronic Components & Equipment.................... 2.3%
Entertainment & Leisure.............................. 0.8%
Environmental Services............................... 5.2%
Farming & Agriculture................................ 0.1%
Financial -- Bank & Trust............................ 5.6%
Financial Services................................... 1.8%
Food................................................. 2.7%
Furniture............................................ 0.1%
Industrial Products.................................. 4.2%
Insurance............................................ 1.5%
Medical Supplies & Equipment......................... 0.5%
Metals & Mining...................................... 0.9%
Office Equipment..................................... 1.6%
Pharmaceuticals...................................... 10.7%
Printing & Publishing................................ 2.6%
Restaurants.......................................... 0.3%
Retail & Merchandising............................... 0.6%
Telecommunications................................... 18.6%
Utilities............................................ 0.1%
----
TOTAL................................................ 88.5%
====
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
** Closed-end fund.
144A -- Security was purchased pursuant to rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the year, these securities amounted
to 1.2% of net assets.
See Notes to Financial Statements.
111
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 95.4%
AEROSPACE -- 0.8%
Raytheon Co. Cl-A................. 21,140 $ 1,092,674
Raytheon Co. Cl-B................. 6,700 356,775
------------
1,449,449
------------
AIRLINES -- 0.8%
Southwest Airlines Co............. 64,990 1,458,213
------------
AUTOMOBILE MANUFACTURERS -- 2.2%
Ford Motor Co..................... 37,320 2,190,217
General Motors Corp............... 27,235 1,949,005
------------
4,139,222
------------
AUTOMOTIVE PARTS -- 0.7%
Dana Corp......................... 10,111 413,287
Goodyear Tire & Rubber Co......... 19,785 997,906
------------
1,411,193
------------
BEVERAGES -- 1.0%
Anheuser-Busch Companies, Inc..... 29,895 1,961,859
------------
CHEMICALS -- 2.0%
Du Pont, (E.I.) de Nemours &
Co.............................. 41,300 2,191,481
Eastman Chemical Co............... 21,438 959,350
Witco Corp........................ 35,890 571,997
------------
3,722,828
------------
COMPUTER HARDWARE -- 3.3%
Compaq Computer Corp.............. 60,385 2,532,396
International Business Machines
Corp............................ 19,715 3,642,346
------------
6,174,742
------------
COMPUTER SERVICES & SOFTWARE -- 0.3%
NCR Corp.*........................ 1,500 62,625
Sun Microsystems, Inc.*........... 6,350 543,719
------------
606,344
------------
CONGLOMERATES -- 2.7%
Minnesota Mining & Manufacturing
Co.............................. 23,403 1,664,538
Philip Morris Companies, Inc...... 65,084 3,481,994
------------
5,146,532
------------
CONSUMER PRODUCTS & SERVICES -- 4.1%
Clorox Co......................... 14,400 1,682,100
Colgate-Palmolive Co.............. 12,700 1,179,512
Eastman Kodak Co.................. 21,675 1,560,600
Hasbro, Inc....................... 45,100 1,629,237
Whitman Corp...................... 67,265 1,706,849
------------
7,758,298
------------
CONTAINERS & PACKAGING -- 0.9%
Owens-Illinois, Inc.*............. 58,610 1,794,931
------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 4.3%
Emerson Electric Co............... 24,030 1,503,377
General Electric Co............... 29,495 3,010,333
Rockwell International Corp....... 11,950 580,322
Texas Instruments, Inc............ 36,525 3,125,170
------------
8,219,202
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ENVIRONMENTAL SERVICES -- 0.6%
Waste Management, Inc............. 24,670 $ 1,150,239
------------
FINANCIAL-BANK & TRUST -- 11.5%
Bank One Corp..................... 49,939 2,550,010
BankAmerica Corp.................. 62,363 3,749,575
BankBoston Corp................... 46,080 1,794,240
Chase Manhattan Corp.............. 30,450 2,072,503
First Union Corp.................. 20,280 1,233,277
Fleet Financial Group, Inc........ 32,150 1,436,703
Mercantile Bancorporation, Inc.... 23,872 1,101,096
Morgan, (J.P.) & Co., Inc......... 20,213 2,123,628
National City Corp................ 20,270 1,469,575
PNC Bank Corp. NA................. 28,269 1,530,060
Summit Bancorp.................... 13,400 585,412
Wells Fargo & Co.................. 54,450 2,174,597
------------
21,820,676
------------
FINANCIAL SERVICES -- 6.3%
American Express Co............... 11,200 1,145,200
Citigroup, Inc.................... 75,595 3,741,952
Fannie Mae........................ 30,020 2,221,480
Lehman Brothers Holdings, Inc..... 42,655 1,879,486
Merrill Lynch & Co., Inc.......... 23,025 1,536,919
Washington Mutual, Inc............ 36,160 1,380,860
------------
11,905,897
------------
FOOD -- 3.1%
General Mills, Inc................ 17,465 1,357,904
Heinz, (H.J.) Co.................. 24,700 1,398,637
Nabisco Holdings Corp. Cl-A....... 11,900 493,850
Quaker Oats Co.................... 22,200 1,320,900
Sara Lee Corp..................... 43,616 1,229,426
------------
5,800,717
------------
INSURANCE -- 5.0%
Aetna, Inc........................ 13,630 1,071,659
Allstate Corp..................... 36,900 1,425,263
American General Corp............. 32,300 2,519,400
AON Corp.......................... 22,329 1,236,468
CIGNA Corp........................ 30,620 2,367,309
The Equitable Companies, Inc...... 14,600 844,975
------------
9,465,074
------------
MACHINERY & EQUIPMENT -- 0.7%
Deere & Co........................ 39,565 1,310,591
------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.1%
Baxter International, Inc......... 36,900 2,373,131
Johnson & Johnson Co.............. 20,310 1,703,501
------------
4,076,632
------------
OFFICE EQUIPMENT -- 2.4%
Pitney Bowes, Inc................. 9,100 601,169
Xerox Corp........................ 33,285 3,927,630
------------
4,528,799
------------
OIL & GAS -- 9.3%
Atlantic Richfield Co............. 35,911 2,343,193
British Petroleum Co. PLC [ADR]... 18,665 1,672,851
Chevron Corp...................... 27,765 2,302,760
</TABLE>
112
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Conoco, Inc. Cl-A*................ 39,500 $ 824,563
Exxon Corp........................ 38,591 2,821,967
Halliburton Co.................... 34,395 1,018,952
Kerr-McGee Corp................... 32,820 1,255,365
Mobil Corp........................ 22,024 1,918,841
Sonat, Inc........................ 45,990 1,244,604
Texaco, Inc....................... 24,675 1,304,691
Tosco Corp........................ 37,935 981,568
------------
17,689,355
------------
PAPER & FOREST PRODUCTS -- 1.2%
Boise Cascade Corp................ 47,045 1,458,395
Kimberly-Clark Corp............... 13,645 743,653
------------
2,202,048
------------
PHARMACEUTICALS -- 7.4%
American Home Products Corp....... 53,715 3,024,826
Bristol-Meyers Squibb Co.......... 23,000 3,077,688
Merck & Co., Inc.................. 25,400 3,751,263
Pharmacia & Upjohn, Inc........... 75,760 4,289,910
------------
14,143,687
------------
PRINTING & PUBLISHING -- 1.4%
McGraw-Hill Co., Inc.............. 10,400 1,059,500
Times Mirror Co. Cl-A............. 27,540 1,542,240
------------
2,601,740
------------
RAILROADS -- 0.7%
Burlington Northern Santa Fe
Corp............................ 39,913 1,347,064
------------
RESTAURANTS -- 0.7%
McDonald's Corp................... 18,255 1,398,789
------------
RETAIL & MERCHANDISING -- 3.0%
Federated Department Stores,
Inc.*........................... 22,600 984,513
Kmart Corp.*...................... 88,455 1,354,467
Penney, (J.C.) Co., Inc........... 23,435 1,098,516
Sears, Roebuck & Co............... 33,400 1,419,500
Toys 'R' Us, Inc.*................ 49,345 832,697
------------
5,689,693
------------
SEMICONDUCTORS -- 2.5%
Intel Corp........................ 21,715 2,574,585
Motorola, Inc..................... 35,200 2,149,400
------------
4,723,985
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TELECOMMUNICATIONS -- 9.4%
Alltel Corp....................... 23,395 $ 1,399,313
Ameritech Corp.................... 16,740 1,060,898
AT&T Corp......................... 47,200 3,551,800
GTE Corp.......................... 38,195 2,575,775
MediaOne Group, Inc.*............. 37,935 1,782,945
SBC Communications, Inc........... 53,600 2,874,300
Sprint Corp. (FON Group).......... 21,580 1,815,418
U. S. West, Inc................... 42,500 2,746,563
------------
17,807,012
------------
UTILITIES -- 5.0%
Consolidated Edison, Inc.......... 32,765 1,732,449
Dominion Resources, Inc........... 30,755 1,437,796
Duke Energy Corp.................. 23,980 1,536,219
Edison International Co........... 46,370 1,292,564
Enron Corp........................ 8,660 494,161
Entergy Corp...................... 52,160 1,623,480
Texas Utilities Co................ 31,520 1,471,590
------------
9,588,259
------------
TOTAL COMMON STOCK
(Cost $168,810,432)................. 181,093,070
------------
PAR
(000)
-------
REPURCHASE AGREEMENTS -- 4.0%
Merrill Lynch Pierce Fenner & Co.,
Inc., 4.80% dated 12/31/98, maturing
01/04/99, repurchase price
$7,607,055 (Collateralized by U.S.
Treasury Notes, par value
$7,635,000, market value $7,765,630,
due 12/31/00)
(Cost $7,603,000)................... $7,603 7,603,000
------------
TOTAL INVESTMENTS -- 99.4%
(Cost $176,413,432)................. 188,696,070
OTHER ASSETS LESS
LIABILITIES -- 0.6%................. 1,174,764
------------
NET ASSETS -- 100.0%.................. $189,870,834
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
113
<PAGE> 115
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK --57.8%
ADVERTISING -- 0.6%
Outdoor Systems, Inc.*.............. 18,600 $ 558,000
-----------
BEVERAGES -- 1.0%
Coca-Cola Co. ...................... 8,300 555,062
Coca-Cola Enterprises, Inc. ........ 11,000 393,250
-----------
948,312
-----------
BROADCASTING -- 0.6%
Clear Channel Communications,
Inc.*............................. 9,100 495,950
-----------
COMPUTER HARDWARE -- 4.3%
Dell Computer Corp.*................ 10,200 746,512
EMC Corp.*.......................... 19,000 1,615,000
International Business Machines
Corp. ............................ 8,300 1,533,425
-----------
3,894,937
-----------
COMPUTER SERVICES & SOFTWARE -- 7.8%
America Online, Inc.*............... 21,600 3,126,600
Cisco Systems, Inc.*................ 11,750 1,090,547
Compuware Corp.*.................... 3,800 296,875
Microsoft Corp.*.................... 18,700 2,593,456
-----------
7,107,478
-----------
CONGLOMERATES -- 2.2%
Philip Morris Companies, Inc. ...... 18,900 1,011,150
Tyco International Ltd. ............ 12,900 973,144
-----------
1,984,294
-----------
CONSUMER PRODUCTS & SERVICES -- 1.4%
Gillette Co. ....................... 8,300 400,994
Procter & Gamble Co. ............... 9,700 885,731
-----------
1,286,725
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.4%
General Electric Co. ............... 21,800 2,224,962
-----------
ENTERTAINMENT & LEISURE -- 2.8%
Time Warner, Inc. .................. 25,600 1,588,800
Viacom, Inc. Cl-B*.................. 12,500 925,000
-----------
2,513,800
-----------
ENVIRONMENTAL SERVICES -- 0.5%
Waste Management, Inc. ............. 9,000 419,625
-----------
FINANCIAL-BANK & TRUST -- 1.4%
Chase Manhattan Corp. .............. 18,800 1,279,575
-----------
FINANCIAL SERVICES -- 2.7%
American Express Co. ............... 3,100 316,975
CIT Group, Inc. Cl-A................ 9,600 305,400
Fannie Mae.......................... 22,200 1,642,800
SunAmerica, Inc. ................... 2,500 202,812
-----------
2,467,987
-----------
FOOD -- 0.9%
Safeway, Inc.*...................... 14,000 853,125
-----------
INSURANCE -- 1.6%
American International Group,
Inc. ............................. 14,600 1,410,725
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 3.9%
Guidant Corp. ...................... 3,500 385,875
Johnson & Johnson Co. .............. 19,600 1,643,950
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Medtronic, Inc. .................... 20,700 $ 1,536,975
-----------
3,566,800
-----------
PHARMACEUTICALS -- 9.4%
Bristol-Meyers Squibb Co. .......... 15,400 2,060,712
Cardinal Health, Inc. .............. 19,350 1,468,181
Merck & Co., Inc. .................. 8,400 1,240,575
Pfizer, Inc. ....................... 14,800 1,856,475
Schering-Plough Corp. .............. 17,600 972,400
Warner-Lambert Co. ................. 12,300 924,806
-----------
8,523,149
-----------
PRINTING & PUBLISHING -- 0.7%
McGraw-Hill Co., Inc. .............. 6,300 641,813
-----------
RETAIL & MERCHANDISING -- 3.8%
Costco Companies, Inc.*............. 8,100 584,719
CVS Corp. .......................... 10,000 550,000
Home Depot, Inc. ................... 10,500 642,469
Wal-Mart Stores, Inc. .............. 20,600 1,677,613
-----------
3,454,801
-----------
SEMICONDUCTORS -- 2.3%
Intel Corp. ........................ 17,800 2,110,412
-----------
TELECOMMUNICATIONS -- 7.5%
Bell Atlantic Corp. ................ 15,500 880,594
BellSouth Corp. .................... 10,600 528,675
MCI WorldCom, Inc.*................. 30,200 2,166,850
SBC Communications, Inc. ........... 15,500 831,188
Tele-Communications, Inc. Cl-A*..... 43,957 2,431,372
-----------
6,838,679
-----------
TOTAL COMMON STOCK
(Cost $40,733,331).................... 52,581,149
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 3.9%
AEROSPACE -- 0.2%
Lockheed Martin Corp. Notes
7.25%, 05/15/06................... $ 200 216,500
-----------
BUSINESS SERVICES -- 0.2%
Comdisco, Inc. Notes
6.50%, 04/30/99................... 200 200,500
-----------
FINANCIAL-BANK & TRUST -- 0.5%
First Bank System Sub. Notes
7.625%, 05/01/05.................. 100 110,375
NationsBank Corp. Sr. Notes
6.125%, 07/15/04.................. 300 307,500
-----------
417,875
-----------
FINANCIAL SERVICES -- 0.9%
Associates Corp. Sr. Notes
6.25%, 11/01/08................... 300 312,375
Ford Motor Credit Corp. Sr. Notes
6.55%, 09/10/02................... 215 221,988
General Motors Acceptance Corp.
Notes
7.125%, 05/01/03.................. 100 105,750
</TABLE>
114
<PAGE> 116
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
(000) VALUE
------ -----------
<S> <C> <C>
Sears, Roebuck Acceptance Corp.
Notes
6.00%, 03/20/03................... $ 100 $ 101,750
Toyota Motor Credit Corp. Notes
5.625%, 11/13/03.................. 100 101,125
-----------
842,988
-----------
FOOD -- 0.2%
Kroger Co. Notes
6.80%, 12/15/18................... 200 200,750
-----------
OIL & GAS -- 0.2%
Enron Corp. Notes
6.625%, 11/15/05.................. 150 153,188
-----------
PHARMACEUTICALS -- 0.2%
Monsanto Co. Debs. 144A
6.60%, 12/01/28................... 200 200,750
-----------
RETAIL & MERCHANDISING -- 0.5%
Saks, Inc. Co. Guarantee Notes
7.25%, 12/01/04................... 200 201,000
Sears, Roebuck & Co. Notes
6.25%, 01/15/04................... 200 205,250
-----------
406,250
-----------
TELECOMMUNICATIONS -- 0.6%
Cable & Wire Communications Notes
6.625%, 03/06/05.................. 200 201,500
Cincinnati Bell Telephone Co. Co.
Guarantee Notes
6.30%, 12/01/28................... 100 100,875
WorldCom, Inc. Notes
7.55%, 04/01/04................... 100 108,375
WorldCom, Inc. Sr. Notes
6.40%, 08/15/05................... 100 103,750
-----------
514,500
-----------
UTILITIES -- 0.4%
Cinergy Corp. Notes 144A
6.53%, 12/16/08................... 200 199,500
Georgia Power Co. Sr. Notes Cl-C
5.50%, 12/01/05................... 200 200,750
-----------
400,250
-----------
TOTAL CORPORATE OBLIGATIONS
(Cost $3,477,737)..................... 3,553,551
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.5%
Federal Home Loan Bank Disc. Notes
4.30%, 01/04/99................... 4,619 4,617,345
5.705%, 03/19/03.................. 500 511,664
-----------
5,129,009
-----------
Federal National Mtge. Assoc. 6.23%,
07/21/08.......................... 200 204,374
7.00%, 03/01/28................... 868 886,588
7.50%, 03/01/27-07/01/27.......... 486 499,905
-----------
1,590,867
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000) VALUE
------ -----------
<S> <C> <C>
Government National Mtge. Assoc.
6.00%, 04/15/28-05/15/28.......... $ 593 $ 588,237
6.50%, 03/15/28-04/15/28.......... 1,664 1,683,225
7.00%, 12/15/27................... 287 293,653
8.00%, 03/15/27................... 117 122,028
8.75%, 01/15/27-04/15/27.......... 164 174,401
-----------
2,861,544
-----------
(Cost $9,514,562)................... 9,581,420
-----------
U.S. TREASURY OBLIGATIONS -- 18.1%
U.S. Treasury Bonds
8.75%, 05/15/17................... 1,000 1,392,888
6.125%, 11/15/27.................. 1,150 1,285,686
-----------
2,678,574
-----------
U.S. Treasury Notes
7.75%, 11/30/99................... 2,750 2,825,652
5.50%, 03/31/00................... 1,800 1,818,898
6.625%, 07/31/01.................. 900 943,938
5.75%, 08/15/03................... 3,500 3,656,555
6.625%, 05/15/07.................. 3,900 4,396,642
4.75%, 11/15/08................... 100 100,778
-----------
13,742,463
-----------
(Cost $16,073,472).................. 16,421,037
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.0%
Amresco Residential Securities Mtge.
Loan Trust Series 1998-2 Cl-A4
6.44%, 04/25/27................... 400 405,194
Case Equipment Loan Trust Series
1998-B Cl-A4 5.92%, 10/15/05...... 300 304,364
CIT RV Trust Series 1998-A Cl-A4
6.09%, 02/15/12................... 300 305,483
Comed Transitional Funding Trust
Series 1998-1 Cl-A6 5.63%,
06/03/06.......................... 100 100,700
First Union-Lehman Brothers
Commercial Mtge. Series 1998-C2
Cl-A1 6.28%, 06/18/07............. 291 298,344
Morgan Stanley Capital I Series
1998-WF1 Cl-A1 6.25%, 07/15/07.... 193 197,765
Nationslink Funding Corp. Series
1998-2 Cl-A1 6.00%, 11/20/07...... 199 201,173
-----------
(Cost $1,785,906)................... 1,813,023
-----------
</TABLE>
115
<PAGE> 117
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
FOREIGN BONDS -- 5.9%
CANADA -- 0.3%
British Columbia Government
5.375%, 10/29/08................. 100 $ 99,936
Canadian Government
6.00%, 06/01/08.................. 300 211,405
-----------
311,341
-----------
DENMARK -- 0.3%
Kingdom of Denmark
8.00%, 03/15/06.................. 1,150 222,832
-----------
GERMANY -- 3.4%
Deutscheland Republic
6.00%, 09/15/03.................. 2,600 1,739,036
4.75%, 07/04/28.................. 550 328,180
Federal Republic of Germany
6.00%, 07/04/07.................. 1,500 1,035,352
-----------
3,102,568
-----------
JAPAN -- 0.9%
Japanese Government
2.90%, 12/20/05.................. 85,000 814,457
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000) VALUE
--------- -----
<S> <C> <C>
UNITED KINGDOM -- 1.0%
United Kingdom Treasury
7.50%, 12/07/06.................. 175 $ 349,575
9.00%, 08/06/12.................. 250 605,003
-----------
954,578
-----------
TOTAL FOREIGN BONDS (Cost
$5,258,608).......................... 5,405,776
-----------
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund..... 4,403 4,403
Temporary Investment Fund.......... 4,403 4,403
-----------
(Cost $8,806)...................... 8,806
-----------
TOTAL INVESTMENTS -- 98.2%
(Cost $76,852,422)................... 89,364,762
OTHER ASSETS LESS
LIABILITIES -- 1.8%.................. 1,677,889
-----------
NET ASSETS -- 100.0%................... $91,042,651
===========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
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.
See Notes to Financial Statements.
116
<PAGE> 118
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FOREIGN STOCK -- 91.8%
AUSTRALIA -- 2.1%
AMP Ltd. 144A*................. 58,230 $ 738,429
Australia & New Zealand Banking
Group Ltd.................... 33,000 216,173
Brambles Industries Ltd........ 10,000 243,811
Cable & Wireless Optus Ltd.*... 223,826 470,892
--------------
1,669,305
--------------
BELGIUM -- 1.2%
Fortis AG...................... 1,000 362,416
UCB SA......................... 87 536,900
--------------
899,316
--------------
BRAZIL -- 0.6%
Centrais Eletricas Brasileiras
SA........................... 4,920,000 93,660
Companhia de Saneamento Basico
do Estado de Sao Paulo....... 1,487,000 105,845
Embratel Participacoes SA
Pfd. ........................ 5,700,000 75,484
Petroleo Brasileiro SA......... 687,000 76,194
Telesp Participacoes SA
Pfd.*........................ 6,200,000 139,580
--------------
490,763
--------------
CANADA -- 2.4%
Bombardier, Inc. Cl-B.......... 38,300 537,368
Newcourt Credit Group, Inc.
144A......................... 14,070 495,584
Teleglobe, Inc................. 22,250 807,608
--------------
1,840,560
--------------
DENMARK -- 1.5%
Tele Danmark AS................ 8,500 1,147,250
--------------
FINLAND -- 2.1%
Nokia Corp. Cl-A [ADR]......... 9,700 1,168,244
Sampo Insurance Co. Ltd.
Cl-A......................... 7,200 275,157
Sonera Group Oyj*.............. 9,958 177,004
--------------
1,620,405
--------------
FRANCE -- 13.0%
Accor SA....................... 650 140,798
Altran Technologies SA......... 2,120 511,592
Atos SA*....................... 1,700 406,587
AXA SA......................... 10,163 1,473,687
Cap Gemini SA.................. 5,638 905,349
Carrefour Supermarche SA....... 700 528,696
Groupe Danone.................. 3,400 973,862
Pinault-Printemps Redoute SA... 7,000 1,338,343
Sidel SA....................... 2,900 246,079
Societe Generale............... 4,200 680,450
Societe Nationale Elf Aquitaine
SA........................... 3,300 381,632
Societe Television Francaise... 1,350 240,467
STMicroelectronics NV NY Reg*.. 4,500 351,281
Vivendi........................ 7,400 1,920,870
--------------
10,099,693
--------------
GERMANY -- 8.9%
Allianz AG..................... 1,394 518,925
Bayerische Hypo-Und Vereinsbank
AG........................... 4,000 316,538
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Berliner Kraft-Und Licht
(Bewag)-
Aktiengesellschaft........... 9,200 $ 243,047
DaimlerChrysler AG*............ 9,200 914,189
Deutsche Pfandbrief &
Hypothekenbank AG............ 9,700 850,305
Douglas Holding AG............. 9,000 532,266
Gehe AG........................ 3,000 201,739
Mannesmann AG.................. 15,090 1,746,360
Metro AG....................... 5,640 443,609
Volkswagen AG.................. 11,883 961,759
Wella AG....................... 200 168,116
--------------
6,896,853
--------------
GREECE -- 0.3%
Hellenic Telecommunication
Organization SA.............. 10,133 269,559
--------------
HONG KONG -- 0.3%
Cheung Kong Holdings Ltd....... 27,400 197,179
--------------
IRELAND -- 1.2%
Bank of Ireland................ 35,600 782,450
Kerry Group PLC................ 13,000 155,549
--------------
937,999
--------------
ITALY -- 5.6%
Assicurazioni Generali......... 18,000 753,233
Banca di Roma*................. 187,800 318,905
Banco Intesa SPA............... 102,000 613,339
Mediaset SPA................... 28,000 227,547
Mediolanum SPA................. 47,000 349,174
Mondadori, (Arnoldo) Editore
SPA.......................... 42,300 560,531
Telecom Italia Mobile SPA...... 130,300 614,797
Telecom Italia SPA............. 106,700 912,412
--------------
4,349,938
--------------
JAPAN -- 9.3%
Daiwa House Industry Co.
Ltd. ........................ 24,000 255,965
Eisai Co. Ltd. ................ 8,000 156,033
Fuji Heavy Industries Ltd...... 43,000 215,388
Fujikura Ltd................... 27,000 145,058
Fujitsu Ltd.................... 45,000 600,417
Honda Motor Co. Ltd............ 6,000 197,346
Kao Corp. ..................... 40,000 904,283
Kirin Brewery Co. Ltd. ........ 34,000 434,056
Murata Manufacturing Co.
Ltd.......................... 6,000 235,113
Nikon Corp. ................... 22,000 214,545
Nippon Telegraph & Telephone
Corp......................... 340 262,845
NTT Data Corp.................. 95 472,488
NTT Mobile Communication
Network, Inc. ............... 60 247,348
Olympus Optical Co. Ltd........ 14,000 161,228
Sony Corp...................... 5,400 394,001
Takeda Chemical Industries..... 22,000 848,430
</TABLE>
117
<PAGE> 119
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Terumo Corp. .................. 23,000 $ 542,392
The Bank of Tokyo-Mitsubishi
Ltd.......................... 14,000 145,217
Tokyo Electron Ltd............. 15,000 570,496
Toppan Forms Co. Ltd........... 12,000 213,836
--------------
7,216,485
--------------
KOREA -- 0.6%
Samsung Electronics Co......... 4,600 308,716
SK Telecom Co. Ltd. [ADR]...... 12,669 129,065
--------------
437,781
--------------
NETHERLANDS -- 8.9%
Assurantieconcern Stad
Rotterdam NV................. 7,440 673,960
Cap Gemini NV.................. 6,600 460,710
Equant NV NY Reg*.............. 5,400 366,188
Getronics NV................... 13,700 678,915
Heineken NV.................... 12,000 722,556
ING Groep NV................... 16,615 1,013,720
Koninklijke Ahold NV........... 24,975 923,585
Stork NV....................... 1,500 34,289
Unilever NV.................... 11,400 945,488
VNU NV......................... 15,500 584,759
Wolters Kluwer NV.............. 2,250 481,731
--------------
6,885,901
--------------
NEW ZEALAND -- 0.2%
Telecom Corp. of New Zealand
Ltd.......................... 42,000 183,041
--------------
POLAND -- 0.2%
Elektrim Spolka Akcyjna SA..... 13,453 145,648
--------------
PORTUGAL -- 1.5%
Banco Espirito Santo e
Comercial de Lisboa SA....... 7,157 222,138
Brisa-Auto Estradas de Portugal
SA........................... 6,300 370,855
Telecel-Comunicacaoes Pessoais
SA........................... 2,898 592,409
--------------
1,185,402
--------------
SINGAPORE -- 0.9%
City Developments Ltd.......... 44,000 190,671
Singapore Press Holdings
Ltd. ........................ 32,200 351,281
Singapore Technologies
Engineering Ltd.............. 203,000 189,471
--------------
731,423
--------------
SPAIN -- 2.2%
Argentaria Caja Postal Y Banco
Hipotecario de Espana SA..... 21,600 560,232
Tele Pizza SA*................. 20,310 193,509
Telefonica SA.................. 21,900 975,282
Telefonica SA Bonus Rights*.... 21,900 19,475
--------------
1,748,498
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
SWEDEN -- 2.7%
Ericsson, (L.M.) Telephone Co.
[ADR]........................ 6,800 $ 162,775
Europolitan Holdings AB........ 4,600 451,173
Hennes & Mauritz AB Cl-B....... 13,600 1,110,746
NetCom Systems AB Cl-B*........ 9,735 396,340
--------------
2,121,034
--------------
SWITZERLAND -- 7.9%
Credit Suisse Group............ 700 109,576
Julius Baer Holdings AG Cl-B... 369 1,226,436
Nestle SA...................... 344 748,871
Novartis AG.................... 910 1,788,887
Roche Holding AG............... 28 341,672
Schweizerische
Rueckversicherungs-
Gesellschaft................. 88 229,438
Swisscom AG*................... 1,600 669,831
UBS AG......................... 3,360 1,032,356
--------------
6,147,067
--------------
UNITED KINGDOM -- 18.2%
Amvescap PLC................... 77,900 604,311
BBA Group PLC.................. 52,000 324,010
British Aerospace PLC.......... 29,300 248,379
British Telecommunications
PLC.......................... 52,000 783,422
Cable & Wireless Communications
PLC*......................... 105,251 961,396
Capita Group PLC............... 23,500 217,198
CMG PLC........................ 10,600 268,955
COLT Telecom Group PLC*........ 64,073 955,717
Compass Group PLC.............. 25,600 293,257
CRH PLC........................ 17,000 289,353
Diageo PLC..................... 53,000 603,165
Dixons Group PLC............... 25,000 351,688
Energis PLC*................... 37,900 848,136
Glaxo Wellcome PLC............. 14,000 481,706
Hays PLC....................... 22,800 200,107
Imperial Tobacco Group PLC..... 38,700 414,668
Lloyds TSB Group PLC........... 59,500 846,422
Logica PLC..................... 42,500 369,470
Misys PLC...................... 61,700 449,381
Orange PLC*.................... 38,400 446,274
Provident Financial PLC*....... 11,868 174,759
Rentokil Initial PLC........... 42,000 316,557
Siebe PLC...................... 62,000 244,480
Somerfield PLC................. 59,500 396,482
Stagecoach Holdings PLC........ 107,000 425,931
Standard Chartered PLC......... 51,000 591,010
Vodafone Group PLC............. 62,400 1,013,301
WPP Group PLC.................. 62,100 377,903
Zeneca Group PLC............... 14,300 622,649
--------------
14,120,087
--------------
TOTAL FOREIGN STOCK
(Cost $63,183,633)............... 71,341,187
--------------
</TABLE>
118
<PAGE> 120
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
U.S. STOCK -- 1.6%
CLOTHING & APPAREL -- 0.1%
Tommy Hilfiger, Corp.*......... 1,000 $ 60,000
--------------
TELECOMMUNICATIONS -- 1.5%
AirTouch Communications,
Inc.*........................ 6,400 461,600
Global TeleSystems Group,
Inc.*........................ 8,200 457,150
Northern Telecom Ltd. ......... 6,000 300,750
--------------
1,219,500
--------------
TOTAL U.S. STOCK
(Cost $1,042,094)................ 1,279,500
--------------
PAR
(000)
-----
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 9.2%
Federal Home Loan Bank Disc.
Notes 4.30%, 01/04/99........ $ 7,166 7,163,432
--------------
(Cost $7,163,432)
TOTAL INVESTMENTS -- 102.6% (Cost
$71,389,159)..................... 79,784,119
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (2.6%)........... (2,051,487)
--------------
NET ASSETS -- 100.0%............... $ 77,732,632
==============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1998:
<TABLE>
<CAPTION>
IN UNREALIZED
SETTLEMENT CONTRACTS TO EXCHANGE CONTRACTS APPRECIATION
MONTH TYPE RECEIVE FOR AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
01/99 Buy AUD 170,233 $ 104,395 $ 104,419 $ 24
01/99 Buy BEL 12,076,950 349,095 351,360 2,265
01/99 Buy DEM 332,706 198,157 199,799 1,642
01/99 Buy FRF 983,282 175,226 176,044 818
01/99 Buy GBP 206,424 347,756 346,666 (1,090)
01/99 Buy ITL 262,843,058 158,786 159,432 646
01/99 Buy JPY 8,396,714 73,101 74,503 1,402
01/99 Buy NLG 194,052 102,926 103,394 468
01/99 Buy NZD 366,869 191,718 193,793 2,075
01/99 Buy SEK 415,928 51,537 51,341 (196)
---------- ---------- -------
$1,752,697 $1,760,751 $ 8,054
========== ========== =======
</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>
01/99 Sell CHF 827,158 $ 604,891 $ 604,268 $ 623
01/99 Sell DEM 1,121,494 668,666 674,112 (5,446)
01/99 Sell FRF 5,706,444 1,015,147 1,021,668 (6,521)
01/99 Sell GBP 936,524 1,567,622 1,556,376 11,246
01/99 Sell JPY 173,036,337 1,499,941 1,539,728 (39,787)
01/99 Sell NLG 1,209,558 639,657 644,154 (4,497)
01/99 Sell SEK 1,745,566 215,151 216,145 (994)
---------- ---------- --------
$6,211,075 $6,256,451 $(45,376)
========== ========== ========
</TABLE>
The following is a breakdown of the foreign stock portion of the Portfolio, by
industry classification, as of December 31, 1998. Percentages are based on net
assets.
<TABLE>
<CAPTION>
INDUSTRY
- --------
<S> <C>
Advertising.......................................... 0.5%
Aerospace............................................ 0.7%
Automobile Manufacturers............................. 2.9%
Beverages............................................ 2.3%
Broadcasting......................................... 0.6%
Building Materials................................... 1.0%
Business Services.................................... 1.9%
Clothing & Apparel................................... 0.1%
Computer Services & Software......................... 5.8%
Conglomerates........................................ 0.2%
Construction......................................... 0.5%
Consumer Products & Services......................... 1.9%
Electronic Components & Equipment.................... 3.4%
Environmental Services............................... 0.4%
Financial -- Bank & Trust............................ 12.3%
Financial Services................................... 1.6%
Food................................................. 4.0%
Hotels & Motels...................................... 1.4%
Industrial Products.................................. 3.0%
Insurance............................................ 6.9%
Machinery & Equipment................................ 2.6%
Medical Supplies & Equipment......................... 0.7%
Oil & Gas............................................ 0.6%
Personal Services.................................... 1.4%
Pharmaceuticals...................................... 6.4%
Printing & Publishing................................ 2.8%
Real Estate.......................................... 0.3%
Retail & Merchandising............................... 5.1%
Telecommunications................................... 19.7%
Transportation....................................... 0.8%
----
TOTAL................................................ 91.8%
====
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all stocks are common stock.
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
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.
See Notes to Financial Statements.
119
<PAGE> 121
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 94.6%
AIRLINES -- 1.3%
Midwest Express Holdings,
Inc.*........................ 150,000 $ 3,946,875
--------------
AUTOMOTIVE PARTS -- 2.4%
Myers Industries, Inc. ........ 120,000 3,435,000
OEA, Inc. ..................... 225,000 2,657,813
TBC Corp.*..................... 188,000 1,339,500
--------------
7,432,313
--------------
BUILDING MATERIALS -- 10.2%
Cameron Ashley Building
Products, Inc.*.............. 200,000 2,612,500
Giant Cement Holding, Inc.*.... 80,000 1,980,000
Gibraltar Steel Corp.*......... 120,000 2,730,000
Holophane Corp.*............... 120,000 3,082,500
Juno Lighting, Inc. ........... 150,000 3,506,250
Lone Star Technologies,
Inc.*........................ 160,000 1,620,000
Modine Manufacturing Co. ...... 120,000 4,350,000
Republic Group, Inc. .......... 180,000 3,611,250
Skyline Corp. ................. 70,000 2,275,000
Synthetic Industries, Inc.*.... 180,000 3,015,000
Thomas Industries, Inc. ....... 110,000 2,158,750
--------------
30,941,250
--------------
BUSINESS SERVICES -- 1.5%
Grey Advertising, Inc.......... 8,000 2,912,000
The IT Group, Inc.*............ 150,430 1,673,534
--------------
4,585,534
--------------
CHEMICALS -- 2.6%
Furon Co....................... 230,000 3,924,375
Schulman, (A.), Inc. .......... 120,000 2,722,500
TETRA Technologies, Inc.*...... 125,000 1,367,187
--------------
8,014,062
--------------
CLOTHING & APPAREL -- 1.7%
Dan River, Inc. Cl-A*.......... 200,000 2,350,000
Unitog Co. .................... 100,000 2,875,000
--------------
5,225,000
--------------
COMPUTER HARDWARE -- 0.9%
Analogic Corp. ................ 75,000 2,821,875
--------------
COMPUTER SERVICES & SOFTWARE -- 1.7%
Analysts International
Corp. ....................... 160,000 3,080,000
SPSS, Inc.*.................... 109,355 2,064,076
--------------
5,144,076
--------------
CONSUMER PRODUCTS & SERVICES -- 1.1%
American Safety Razor Co.*..... 200,000 2,400,000
Culp, Inc. .................... 140,000 1,102,500
--------------
3,502,500
--------------
CONTAINERS & PACKAGING -- 4.3%
AptarGroup, Inc. .............. 120,000 3,367,500
First Brands Corp. ............ 60,000 2,366,250
Ivex Packaging Corp.*.......... 180,000 4,185,000
Shorewood Packaging Corp.*..... 150,000 3,075,000
--------------
12,993,750
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
ELECTRONIC COMPONENTS & EQUIPMENT -- 9.0%
Electro Rental Corp.*.......... 300,000 $ 4,837,500
Franklin Electric Co., Inc. ... 40,000 2,700,000
Landauer, Inc. ................ 75,000 2,428,125
Littelfuse, Inc.*.............. 200,000 3,850,000
Methode Electronics, Inc.
Cl-A......................... 250,000 3,906,250
Nichols Research Corp.*........ 130,000 2,713,750
Optical Coating Laboratory,
Inc. ........................ 140,000 3,640,000
Pioneer-Standard Electronics,
Inc. ........................ 130,000 1,218,750
Scotsman Industries, Inc. ..... 100,000 2,056,250
--------------
27,350,625
--------------
ENVIRONMENTAL SERVICES -- 0.9%
Newpark Resources, Inc.*....... 325,000 2,214,062
Waterlink, Inc.*............... 150,000 543,750
--------------
2,757,812
--------------
EQUIPMENT SERVICES -- 2.8%
Cort Business Services
Corp.*....................... 140,000 3,395,000
Rival Co. ..................... 87,000 1,169,062
Unifirst Corp. ................ 110,000 2,509,375
VWR Scientific Products,
Inc.*........................ 80,000 1,390,000
--------------
8,463,437
--------------
FINANCIAL-BANK & TRUST -- 3.3%
Community First Bankshares,
Inc. ........................ 150,000 3,159,375
First Republic Bank*........... 120,000 3,007,500
Silicon Valley Bancshares*..... 180,000 3,065,625
Sirrom Capital Corp............ 160,000 790,000
--------------
10,022,500
--------------
FINANCIAL SERVICES -- 3.6%
Allied Capital Corp............ 225,000 3,895,313
AMRESCO, Inc.*................. 150,000 1,312,500
First Financial Fund**......... 200,000 1,762,500
McGrath Rentcorp............... 120,000 2,640,000
Medallion Financial Corp....... 100,000 1,431,250
--------------
11,041,563
--------------
FOOD -- 0.5%
Richfood Holdings, Inc......... 66,400 1,377,800
--------------
INSURANCE -- 6.9%
FBL Financial Group, Inc.
Cl-A......................... 116,800 2,832,400
Harleysville Group, Inc........ 46,000 1,187,375
Markel Corp.*.................. 18,000 3,258,000
Medical Assurance, Inc.*....... 110,000 3,636,875
Poe & Brown, Inc............... 160,000 5,590,000
Presidential Life Corp......... 140,000 2,782,500
PXRE Corp. .................... 70,000 1,754,375
--------------
21,041,525
--------------
LUMBER & WOOD PRODUCTS -- 0.5%
Deltic Timber Corp............. 80,000 1,630,000
--------------
MACHINERY & EQUIPMENT -- 3.8%
Alamo Group, Inc............... 71,200 814,350
Carbo Ceramics, Inc............ 110,000 1,925,000
Smith, (A.O.) Corp. ........... 150,000 3,684,375
</TABLE>
120
<PAGE> 122
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
TransTechnology Corp. ......... 140,000 $ 2,905,000
Woodward Governor Co........... 105,000 2,323,125
--------------
11,651,850
--------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.7%
Lunar Corp.*................... 140,000 1,330,000
Owens & Minor, Inc............. 250,000 3,937,500
--------------
5,267,500
--------------
METALS & MINING -- 2.3%
Cambior, Inc. ................. 90,000 444,375
Dayton Mining Corp.*........... 140,000 35,000
Golden Star Resources Ltd.*.... 120,000 127,500
Homestake Mining Co. .......... 185,000 1,699,688
Layne Christensen Co.*......... 120,000 885,000
Material Sciences Corp.*....... 150,000 1,275,000
Penn Virginia Corp. ........... 130,000 2,388,750
--------------
6,855,313
--------------
OFFICE EQUIPMENT -- 3.9%
Aaron Rents, Inc. Cl-A......... 50,000 746,875
Aaron Rents, Inc. Cl-B......... 150,000 2,268,750
CompX International, Inc.*..... 200,000 5,275,000
IDEX Corp...................... 140,000 3,430,000
--------------
11,720,625
--------------
OIL & GAS -- 2.1%
Chieftain International,
Inc.*........................ 200,000 2,875,000
Cross Timbers Oil Co........... 250,000 1,875,000
Devon Energy Corp.............. 50,000 1,534,375
--------------
6,284,375
--------------
PAPER & FOREST PRODUCTS -- 1.4%
CSS Industries, Inc.*.......... 62,900 1,906,656
Wausau-Mosinee Paper Corp...... 140,000 2,476,250
--------------
4,382,906
--------------
PERSONAL SERVICES -- 1.8%
Matthews International Corp.
Cl-A......................... 170,000 5,355,000
--------------
PHARMACEUTICALS -- 1.0%
Coulter Pharmaceutical,
Inc.*........................ 100,000 3,000,000
--------------
REAL ESTATE -- 5.3%
Apartment Investment &
Management Co. Cl-A [REIT]... 40,000 1,487,500
Glenborough Realty Trust, Inc.
[REIT]....................... 175,000 3,565,625
Innkeepers USA Trust [REIT].... 150,000 1,771,875
Meridian Industrial Trust, Inc.
[REIT]....................... 150,000 3,525,000
National Health Investors, Inc.
[REIT]....................... 50,000 1,234,375
Post Properties, Inc. [REIT]... 24,600 945,563
Sun Communities, Inc. [REIT]... 100,000 3,481,250
--------------
16,011,188
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RESTAURANTS -- 3.5%
Consolidated Products, Inc.*... 225,000 $ 4,640,625
Ruby Tuesday, Inc. ............ 280,000 5,950,000
--------------
10,590,625
--------------
RETAIL & MERCHANDISING -- 4.6%
Bon-Ton Stores, Inc.*.......... 200,000 1,525,000
Casey's General Stores,
Inc. ........................ 200,000 2,606,250
CompuCom Systems, Inc.*........ 450,000 1,575,000
Fred's, Inc. .................. 148,300 2,224,500
Hancock Fabrics, Inc. ......... 200,000 1,675,000
Jo-Ann Stores, Inc. Cl-B*...... 130,000 1,803,750
Stein Mart, Inc.*.............. 375,000 2,613,281
--------------
14,022,781
--------------
TELECOMMUNICATIONS -- 2.8%
Aliant Communications, Inc. ... 160,000 6,540,000
Mosaix, Inc.*.................. 250,000 1,937,500
--------------
8,477,500
--------------
TRANSPORTATION -- 1.5%
Hub Group, Inc. Cl-A........... 20,000 387,500
Landstar Systems, Inc.*........ 100,000 4,075,000
--------------
4,462,500
--------------
UTILITIES -- 3.7%
Black Hills Corp. ............. 110,000 2,901,250
Cleco Corp. ................... 100,000 3,431,250
United Water Resources,
Inc. ........................ 200,000 4,787,500
--------------
11,120,000
--------------
TOTAL COMMON STOCK
(Cost $308,427,948).................... 287,494,660
--------------
PREFERRED STOCK -- 0.2%
Cross Timbers Oil Co. $1.5625
Cl-A
(Cost $1,188,022).............. 33,000 715,687
--------------
PAR
(000)
-----
COMMERCIAL PAPER -- 4.5%
MetLife Funding Corp.
5.26%, 01/15/99.............. $ 3,025 3,018,812
Schering-Plough Corp.
5.30%, 01/15/99.............. 5,000 4,989,694
Sysco Corp.+
5.10%, 01/04/99.............. 5,747 5,744,558
--------------
(Cost $13,753,064)............. 13,753,064
--------------
</TABLE>
121
<PAGE> 123
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------ --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.1%
Temporary Investment Cash Fund
(Cost $308,957)................ 308,957 $ 308,957
--------------
TOTAL INVESTMENTS -- 99.4%
(Cost $323,677,991).............. 302,272,368
OTHER ASSETS LESS
LIABILITIES -- 0.6%.............. 1,800,052
--------------
NET ASSETS -- 100.0%............... $ 304,072,420
==============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
** Closed-end fund.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
0.7% of net assets.
See Notes to Financial Statements.
122
<PAGE> 124
MARSICO CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 88.5%
AEROSPACE -- 0.6%
Gulfstream Aerospace Corp.*....... 73,027 $ 3,888,688
------------
AIRLINES -- 4.3%
Delta Air Lines, Inc.............. 211,026 10,973,352
UAL Corp.*........................ 246,250 14,698,047
------------
25,671,399
------------
AUTOMOBILE MANUFACTURERS -- 6.0%
Ford Motor Co..................... 343,878 20,181,340
General Motors Corp............... 220,706 15,794,273
------------
35,975,613
------------
BEVERAGES -- 5.5%
Anheuser-Busch Companies, Inc..... 275,010 18,047,531
Coca-Cola Enterprises, Inc........ 415,317 14,847,583
------------
32,895,114
------------
COMPUTER HARDWARE -- 15.5%
Dell Computer Corp.*.............. 416,879 30,510,332
EMC Corp.*........................ 453,755 38,569,175
International Business Machines
Corp............................ 127,145 23,490,039
------------
92,569,546
------------
COMPUTER SERVICES & SOFTWARE -- 7.5%
Cisco Systems, Inc.*.............. 180,680 16,769,363
Microsoft Corp.*.................. 202,885 28,137,613
------------
44,906,976
------------
CONSTRUCTION -- 0.6%
M.D.C. Holdings, Inc.............. 165,770 3,543,334
------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 0.8%
General Electric Co............... 47,067 4,803,776
------------
ENTERTAINMENT & LEISURE -- 4.5%
Time Warner, Inc.................. 431,748 26,795,360
------------
EQUIPMENT SERVICES -- 2.6%
Hertz Corp. Cl-A.................. 336,435 15,349,847
------------
FINANCIAL-BANK & TRUST -- 3.8%
Chase Manhattan Corp.............. 121,576 8,274,766
Northern Trust Corp............... 137,336 11,991,150
U.S. Bancorp...................... 59,937 2,127,764
------------
22,393,680
------------
FINANCIAL SERVICES -- 10.7%
Associates First Capital Corp.
Cl-A............................ 221,612 9,390,808
Citigroup, Inc.................... 423,134 20,945,133
Fannie Mae........................ 227,106 16,805,844
Freddie Mac....................... 252,371 16,262,156
------------
63,403,941
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HEALTHCARE SERVICES -- 1.9%
IMS Health, Inc................... 152,431 $ 11,499,014
------------
HOTELS & MOTELS -- 0.3%
Four Seasons Hotels, Inc.......... 61,432 1,796,886
------------
INSURANCE -- 0.3%
Progressive Corp.................. 9,571 1,621,088
------------
PHARMACEUTICALS -- 8.0%
Pfizer, Inc....................... 190,725 23,924,067
Schering-Plough Corp.............. 188,696 10,425,454
Warner-Lambert Co................. 175,781 13,216,534
------------
47,566,055
------------
PRINTING & PUBLISHING -- 1.5%
Houghton Mifflin Co............... 184,176 8,702,316
------------
RESTAURANTS -- 3.1%
McDonald's Corp................... 237,382 18,189,396
------------
RETAIL & MERCHANDISING -- 1.8%
Home Depot, Inc................... 172,267 10,540,587
------------
SEMICONDUCTORS -- 2.6%
Intel Corp........................ 129,817 15,391,428
------------
TELECOMMUNICATIONS -- 6.6%
AT&T Corp......................... 152,941 11,508,810
Lucent Technologies, Inc.......... 118,486 13,033,460
MediaOne Group, Inc.*............. 308,598 14,504,106
------------
39,046,376
------------
TOTAL COMMON STOCK
(Cost $439,554,439)................. 526,550,420
------------
PAR
(000)
-------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 14.3%
Federal Home Loan Mtge. Corp.
4.50%, 01/04/99
(Cost $84,968,125)................ $85,000 84,968,125
------------
SHARES
-------
SHORT-TERM INVESTMENTS -- 0.1%
Temporary Investment Cash Fund.... 465,088 465,088
Temporary Investment Fund......... 465,089 465,089
------------
(Cost $930,177)................... 930,177
------------
TOTAL INVESTMENTS -- 102.9%
(Cost $525,452,741)................. 612,448,722
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (2.9%).................... (17,482,550)
------------
NET ASSETS -- 100.0%.................. $594,966,172
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements.
123
<PAGE> 125
COHEN & STEERS REALTY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 94.0%
APARTMENT/RESIDENTIAL -- 13.6%
Apartment Investment &
Management Co. Cl-A [REIT]... 40,100 $ 1,491,219
Archstone Communities Trust
[REIT]....................... 37,000 749,250
Avalonbay Communities, Inc.
[REIT]....................... 37,439 1,282,286
Essex Property Trust, Inc.
[REIT]....................... 25,200 749,700
Smith, (Charles E.) Residential
Realty, Inc. ................ 6,900 221,662
--------------
4,494,117
--------------
COMMUNITY CENTER -- 7.8%
Developers Diversified Realty
Corp. [REIT]................. 53,300 946,075
Kimco Realty Corp. [REIT]...... 31,300 1,242,219
Pan Pacific Retail Properties,
Inc. [REIT].................. 19,600 390,775
--------------
2,579,069
--------------
DIVERSIFIED -- 10.1%
LNR Property Corp. ............ 36,900 735,694
Reckson Services Industries,
Inc.*........................ 12,432 51,282
Vornado Operating Inc.*........ 3,395 27,372
Vornado Realty Trust [REIT].... 67,900 2,291,625
Brookfield Properties Corp..... 18,400 225,217
--------------
3,331,190
--------------
HEALTH CARE -- 3.3%
American Retirement Corp.*..... 23,600 370,225
Healthcare Realty Trust, Inc.
[REIT]....................... 18,300 408,319
Nationwide Health Properties,
Inc. ........................ 14,700 316,969
--------------
1,095,513
--------------
HOTELS & MOTELS -- 9.8%
Host Marriott Corp. [REIT]..... 34,400 475,150
Marriott International, Inc.
Cl-A......................... 27,700 803,300
Starwood Hotels & Resorts
[REIT]....................... 83,200 1,887,600
Crestline Capital Corp.
[REIT]*...................... 3,440 50,310
--------------
3,216,360
--------------
INDUSTRIAL -- 6.0%
CenterPoint Properties Corp.
[REIT]....................... 4,200 142,012
First Industrial Realty Trust,
Inc. [REIT].................. 33,200 890,175
Prologis Trust [REIT].......... 45,600 946,200
--------------
1,978,387
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OFFICE -- 23.6%
Arden Realty, Inc. [REIT]...... 63,400 $ 1,470,087
Cousins Properties, Inc.
[REIT]....................... 13,900 448,275
Crescent Real Estate Equities
Co. [REIT]................... 51,300 1,179,900
Equity Office Properties Trust
[REIT]....................... 15,700 376,800
Highwoods Properties, Inc.
[REIT]....................... 61,000 1,570,750
Mack-Cali Realty Corp.
[REIT]....................... 71,100 2,195,212
SL Green Realty Corp. [REIT]... 26,100 564,412
--------------
7,805,436
--------------
OFFICE-INDUSTRIAL -- 7.6%
Reckson Associates Realty Corp.
[REIT]....................... 37,400 829,812
Spieker Properties, Inc.
[REIT]....................... 37,800 1,308,825
Trinet Corporate Realty Trust,
Inc. [REIT].................. 13,600 363,800
--------------
2,502,437
--------------
REGIONAL MALL -- 10.3%
General Growth Properties
[REIT]....................... 27,400 1,037,775
JP Realty, Inc. [REIT]......... 8,700 170,738
Simon Property Group, Inc.
[REIT]....................... 30,100 857,850
The Macerich Co.[REIT]......... 28,300 725,188
The Rouse Co. ................. 22,700 624,250
--------------
3,415,801
--------------
SELF STORAGE -- 1.9%
Public Storage, Inc. [REIT].... 23,400 633,263
--------------
TOTAL COMMON STOCK
(Cost $35,648,702)............... 31,051,573
--------------
SHORT-TERM INVESTMENTS -- 6.1%
Temporary Investment Cash
Fund......................... 999,643 999,643
Temporary Investment Fund...... 999,642 999,642
--------------
(Cost $1,999,285).............. 1,999,285
--------------
TOTAL INVESTMENTS -- 100.1%
(Cost $37,647,987)............... 33,050,858
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.1%)................. (25,641)
--------------
NET ASSETS -- 100.0%............... $ 33,025,217
==============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
124
<PAGE> 126
LORD ABBETT SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 92.8%
AEROSPACE -- 1.5%
AAR Corp. ..................... 11,000 $ 262,625
DONCASTERS PLC [ADR]*.......... 22,500 364,219
--------------
626,844
--------------
AUTOMOBILE MANUFACTURERS -- 3.2%
Oshkosh Truck Corp. ........... 40,000 1,325,000
--------------
BUILDING MATERIALS -- 7.1%
CalMat Co. .................... 30,900 954,037
Gradall Industries, Inc.*...... 7,300 104,937
Hughes Supply, Inc. ........... 24,900 728,325
Simpson Manufacturing Co.,
Inc.*........................ 23,100 864,806
Southdown, Inc. ............... 5,564 329,319
--------------
2,981,424
--------------
BUSINESS SERVICES -- 1.6%
Aviation Sales Co.*............ 5,000 203,125
Baker, (Michael) Corp.*........ 40,000 390,000
Right Management Consultants,
Inc.*........................ 6,800 100,300
--------------
693,425
--------------
CLOTHING & APPAREL -- 10.2%
Garan, Inc. ................... 23,100 649,688
Gerber Childrenswear, Inc.*.... 65,000 564,687
North Face, Inc.*.............. 82,000 1,066,000
Phillips-Van Heusen Corp. ..... 50,000 359,375
Stride Rite Corp. ............. 185,000 1,618,750
--------------
4,258,500
--------------
COMPUTER SERVICES & SOFTWARE -- 2.3%
Artesyn Technologies, Inc.*.... 12,000 168,000
Inso Corp.*.................... 19,000 475,000
Security Dynamics Technologies,
Inc.*........................ 13,000 299,000
--------------
942,000
--------------
CONGLOMERATES -- 0.4%
Ruddick Corp. ................. 7,000 161,000
--------------
CONSTRUCTION -- 0.8%
Kaufman & Broad Home Corp. .... 9,000 258,750
Newmark Homes Corp.*........... 11,700 81,900
--------------
340,650
--------------
CONTAINERS & PACKAGING -- 1.8%
BWAY Corp.*.................... 23,300 350,956
Ivex Packaging Corp.*.......... 16,000 372,000
Tuscarora, Inc. ............... 1,700 22,737
--------------
745,693
--------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 26.4%
American Precision Industries,
Inc.*........................ 10,300 106,219
Anadigics, Inc.*............... 19,000 217,313
Control Devices, Inc. ......... 21,000 336,000
Electro Scientific Industries,
Inc. ........................ 4,400 199,375
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Electronics for Imaging,
Inc.*........................ 78,200 $ 3,142,663
General Cable Corp. ........... 23,000 471,500
GenRad, Inc.*.................. 35,000 551,250
Methode Electronics, Inc.
Cl-A......................... 65,000 1,015,625
Microsemi Corp.*............... 32,200 354,200
Moog, Inc. Cl-A*............... 32,000 1,252,000
Plexus Corp.*.................. 4,500 152,437
Rogers Corp.*.................. 57,900 1,729,763
The DII Group, Inc.*........... 37,000 862,562
Unitrode Corp.*................ 25,000 437,500
Zebra Technologies Corp.*...... 7,400 212,750
--------------
11,041,156
--------------
ENVIRONMENTAL SERVICES -- 1.0%
Newpark Resources, Inc.*....... 60,000 408,750
--------------
FOOD -- 2.9%
Dreyer's Grand Ice Cream,
Inc. ........................ 44,000 665,500
Midwest Grain Products,
Inc.*........................ 9,300 126,713
Sanderson Farms, Inc. ......... 26,200 402,825
--------------
1,195,038
--------------
HEALTHCARE SERVICES -- 2.9%
Sierra Health Services,
Inc.*........................ 58,000 1,221,625
--------------
INDUSTRIAL PRODUCTS -- 1.4%
Blount International, Inc.
Cl-A......................... 9,000 224,437
Oregon Steel Mills, Inc. ...... 32,000 380,000
--------------
604,437
--------------
INSURANCE -- 0.7%
Chartwell Re Corp. ............ 12,400 294,500
--------------
MACHINERY & EQUIPMENT -- 6.5%
BEI Technologies, Inc. ........ 33,300 312,188
CLARCOR, Inc. ................. 23,000 460,000
CUNO, Inc.*.................... 9,000 146,250
Kollmorgen Corp. .............. 36,100 550,525
Milacron, Inc. ................ 42,700 821,975
SPS Technologies, Inc.*........ 7,500 424,688
--------------
2,715,626
--------------
MEDICAL SUPPLIES & EQUIPMENT -- 6.7%
ADAC Laboratories, Inc.*....... 12,000 239,625
Arrow International, Inc. ..... 43,000 1,349,125
Gliatech, Inc.*................ 11,900 357,000
ICU Medical, Inc.*............. 14,800 325,600
Invacare Corp. ................ 8,000 192,000
Mentor Corp. .................. 15,000 351,563
--------------
2,814,913
--------------
METALS & MINING -- 1.4%
Hawk Corp. Cl-A*............... 6,500 54,438
IMCO Recycling, Inc. .......... 27,800 429,163
Wolverine Tube, Inc.*.......... 5,000 105,000
--------------
588,601
--------------
</TABLE>
125
<PAGE> 127
LORD ABBETT SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
OIL & GAS -- 1.9%
Basin Exploration, Inc.*....... 600 $ 7,538
Meridian Resource Corp.*....... 110,000 350,625
Oceaneering International,
Inc.*........................ 20,000 300,000
Patterson Energy, Inc.*........ 24,000 97,500
Range Resources Corp. ......... 12,383 42,567
--------------
798,230
--------------
PRINTING & PUBLISHING -- 3.0%
Scholastic Corp.*.............. 23,000 1,233,375
--------------
RETAIL & MERCHANDISING -- 3.0%
Elder-Beerman Stores Corp.*.... 57,600 666,000
K2, Inc. ...................... 11,000 113,438
Pacific Sunwear of California,
Inc.*........................ 30,000 491,250
--------------
1,270,688
--------------
TELECOMMUNICATIONS -- 2.3%
CommScope, Inc.*............... 57,000 958,313
--------------
TRANSPORTATION -- 3.8%
Air Express International
Corp. ....................... 40,000 870,000
Airnet Systems, Inc.*.......... 15,400 221,375
Offshore Logistics, Inc.*...... 15,000 178,125
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Smithway Motor Express Corp.
Cl-A*........................ 30,000 $ 225,000
Varlen Corp. .................. 3,300 76,106
--------------
1,570,606
--------------
TOTAL COMMON STOCK
(Cost $38,260,523)............... 38,790,392
--------------
SHORT-TERM INVESTMENTS -- 9.3%
Temporary Investment Cash
Fund......................... 1,937,052 1,937,052
Temporary Investment Fund...... 1,937,052 1,937,052
--------------
(Cost $3,874,104).............. 3,874,104
--------------
TOTAL INVESTMENTS -- 102.1%
(Cost $42,134,627)............... 42,664,496
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (2.1%)................. (876,201)
--------------
NET ASSETS -- 100.0%............... $ 41,788,295
==============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
126
<PAGE> 128
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 81.6%
ADVERTISING -- 0.1%
Interpublic Group of Companies,
Inc. .......................... 2,500 $ 199,375
Omnicom Group, Inc. ............. 2,400 139,200
------------
338,575
------------
AEROSPACE -- 1.0%
AlliedSignal, Inc. .............. 12,500 553,906
Boeing Co. ...................... 6,900 225,112
General Dynamics Corp. .......... 7,700 451,412
Lockheed Martin Corp. ........... 3,500 296,625
Raytheon Co. Cl-B................ 5,900 314,175
United Technologies Corp. ....... 9,500 1,033,125
------------
2,874,355
------------
AIRLINES -- 0.4%
AMR Corp.*....................... 5,400 320,625
Delta Air Lines, Inc. ........... 8,900 462,800
Southwest Airlines Co. .......... 6,200 139,112
US Airways Group, Inc.*.......... 3,600 187,200
------------
1,109,737
------------
AUTOMOBILE MANUFACTURERS -- 1.2%
Ford Motor Co. .................. 34,600 2,030,587
General Motors Corp. ............ 20,200 1,445,562
------------
3,476,149
------------
AUTOMOTIVE PARTS -- 0.3%
Autozone, Inc.*.................. 6,800 223,975
Dana Corp. ...................... 2,900 118,537
Eaton Corp. ..................... 600 42,412
Genuine Parts Co. ............... 1,800 60,187
Goodyear Tire & Rubber Co. ...... 3,100 156,356
TRW, Inc. ....................... 1,900 106,756
------------
708,223
------------
BEVERAGES -- 2.4%
Anheuser-Busch Companies,
Inc. .......................... 9,400 616,875
Brown-Forman Corp. Cl-B.......... 100 7,569
Coca-Cola Co. ................... 56,900 3,805,187
Coca-Cola Enterprises, Inc. ..... 17,200 614,900
PepsiCo, Inc. ................... 45,600 1,866,750
------------
6,911,281
------------
BROADCASTING -- 0.4%
CBS Corp. ....................... 17,900 586,225
Gannett Co., Inc. ............... 4,800 317,700
King World Productions, Inc.*.... 4,300 126,581
------------
1,030,506
------------
BUILDING MATERIALS -- 0.4%
Armstrong World Industries,
Inc. .......................... 7,600 458,375
CalMat Co. ...................... 13,900 429,162
Masco Corp. ..................... 6,700 192,625
------------
1,080,162
------------
BUSINESS SERVICES -- 0.2%
Avery Dennison Corp. ............ 800 36,050
Crane Co. ....................... 100 3,019
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Deluxe Corp. .................... 6,600 $ 241,312
Ecolab, Inc. .................... 300 10,856
EG & G, Inc. .................... 10,500 292,031
Equifax, Inc. ................... 2,500 85,469
Harris Corp. .................... 200 7,325
------------
676,062
------------
CHEMICALS -- 1.2%
Air Products & Chemicals,
Inc. .......................... 3,800 152,000
Dow Chemical Co. ................ 8,300 754,781
Du Pont, (E.I.) de Nemours &
Co. ........................... 34,400 1,825,350
Eastman Chemical Co. ............ 9,500 425,125
PPG Industries, Inc. ............ 3,600 209,700
Rohm & Haas Co. ................. 1,500 45,187
Union Carbide Corp. ............. 1,000 42,500
------------
3,454,643
------------
CLOTHING & APPAREL -- 0.2%
Abercrombie & Fitch Co. Cl-A*.... 500 35,375
Fruit of the Loom, Inc. Cl-A..... 3,300 45,581
Limited, Inc. ................... 3,900 113,587
Nike, Inc. Cl-B.................. 3,100 125,744
Springs Industries, Inc. Cl-A.... 8,600 356,362
VF Corp. ........................ 500 23,437
------------
700,086
------------
COMPUTER HARDWARE -- 4.0%
Apple Computer, Inc.*............ 4,800 196,500
Compaq Computer Corp. ........... 36,900 1,547,494
Dell Computer Corp.*............. 31,700 2,320,044
EMC Corp.*....................... 12,200 1,037,000
Gateway 2000, Inc.*.............. 5,100 261,056
Hewlett-Packard Co. ............. 22,700 1,550,694
International Business Machines
Corp. ......................... 24,300 4,489,425
Seagate Technology, Inc.*........ 7,400 223,850
------------
11,626,063
------------
COMPUTER SERVICES & SOFTWARE -- 7.0%
3Com Corp.*...................... 11,000 492,937
America Online, Inc.*............ 12,200 1,765,950
Automatic Data Processing,
Inc. .......................... 5,600 449,050
BMC Software, Inc.*.............. 5,900 262,919
Boole & Babbage, Inc.*........... 1,000 29,437
Cabletron Systems, Inc.*......... 10,500 87,937
Ceridian Corp.*.................. 2,600 181,512
Cisco Systems, Inc.*............. 38,800 3,601,125
Compuware Corp.*................. 4,800 375,000
Data General Corp.*.............. 6,600 108,487
Electronic Data Systems Corp. ... 19,500 979,875
Microsoft Corp.*................. 62,300 8,640,231
Novell, Inc.*.................... 12,500 226,562
Oracle Corp.*.................... 25,900 1,116,937
Paychex, Inc. ................... 9,800 504,087
PeopleSoft, Inc.*................ 8,800 166,650
</TABLE>
127
<PAGE> 129
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Silicon Graphics, Inc.*.......... 13,600 $ 175,100
Sun Microsystems, Inc.*.......... 10,400 890,500
Unisys Corp.*.................... 7,500 258,281
------------
20,312,577
------------
CONGLOMERATES -- 2.5%
ITT Industries, Inc. ............ 13,200 524,700
Johnson Controls, Inc. .......... 300 17,700
Minnesota Mining & Manufacturing
Co. ........................... 8,100 576,112
Philip Morris Companies, Inc. ... 63,900 3,418,650
Tenneco, Inc. ................... 13,500 459,844
Textron, Inc. ................... 8,400 637,875
The Seagram Co. Ltd. ............ 22,000 836,000
Tyco International Ltd. ......... 8,320 627,640
------------
7,098,521
------------
CONSTRUCTION -- 0.3%
Centex Corp. .................... 10,300 464,144
Pulte Corp. ..................... 12,000 333,750
------------
797,894
------------
CONSUMER PRODUCTS & SERVICES -- 3.2%
Allergan, Inc. .................. 300 19,425
Bausch & Lomb, Inc. ............. 200 12,000
Cendant Corp.*................... 25,400 484,187
Clorox Co. ...................... 800 93,450
Colgate-Palmolive Co. ........... 5,600 520,100
Eastman Kodak Co. ............... 13,700 986,400
Fortune Brands, Inc. ............ 2,600 82,225
Gillette Co. .................... 10,900 526,606
Hasbro, Inc. .................... 500 18,062
International Flavors &
Fragrances, Inc. .............. 600 26,512
Jostens, Inc. ................... 14,300 374,481
Maytag Corp. .................... 10,300 641,175
Procter & Gamble Co. ............ 30,200 2,757,637
Raychem Corp. ................... 200 6,462
RJR Nabisco Holdings Corp. ...... 6,200 184,062
Rubbermaid, Inc. ................ 16,700 525,006
Sherwin-Williams Co. ............ 900 26,437
Tupperware Corp. ................ 21,300 350,119
Unilever NV...................... 13,600 1,127,950
UST, Inc. ....................... 17,000 592,875
Whirlpool Corp. ................. 300 16,612
------------
9,371,783
------------
CONTAINERS & PACKAGING -- 0.1%
Crown Cork & Seal Co., Inc. ..... 900 27,731
First Brands Corp. .............. 2,300 90,706
Owens-Illinois, Inc.*............ 7,000 214,375
------------
332,812
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.6%
Advanced Micro Devices, Inc.*.... 17,800 515,087
AES Corp.*....................... 5,800 274,775
AMP, Inc. ....................... 6,100 317,581
Emerson Electric Co. ............ 8,600 538,037
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
General Electric Co. ............ 76,500 $ 7,807,781
Honeywell, Inc. ................. 1,900 143,094
Parker-Hannifin Corp. ........... 700 22,925
Rockwell International Corp. .... 3,300 160,256
Tandy Corp. ..................... 600 24,712
Tektronix, Inc. ................. 100 3,006
Texas Instruments, Inc. ......... 8,700 744,394
The Perkin-Elmer Corp. .......... 100 9,756
------------
10,561,404
------------
ENTERTAINMENT & LEISURE -- 1.2%
Carnival Corp. .................. 13,700 657,600
Disney, (Walt) Co. .............. 27,100 813,000
Time Warner, Inc. ............... 25,200 1,563,975
Viacom, Inc. Cl-B*............... 7,400 547,600
------------
3,582,175
------------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries,
Inc. .......................... 1,700 48,344
Waste Management, Inc. .......... 10,900 508,212
------------
556,556
------------
FARMING & AGRICULTURE -- 0.0%
Delta and Pine Land Co. ......... 2,200 81,400
Pioneer Hi-Bred International,
Inc. .......................... 1,800 48,600
------------
130,000
------------
FINANCIAL-BANK & TRUST -- 5.2%
Bank of New York Co., Inc. ...... 16,700 672,175
Bank One Corp. .................. 27,100 1,383,794
BankAmerica Corp. ............... 46,600 2,801,825
BB&T Corp. ...................... 5,000 201,562
Chase Manhattan Corp. ........... 18,200 1,238,737
Comerica, Inc. .................. 3,100 211,381
Countrywide Credit Industries,
Inc. .......................... 500 25,094
Crestar Financial Corp. ......... 2,000 144,000
Fifth Third Bancorp.............. 5,800 413,612
Firstar Corp. ................... 5,400 503,550
First Union Corp. ............... 21,600 1,313,550
Fleet Financial Group, Inc. ..... 10,600 473,687
Golden West Financial Corp. ..... 5,600 513,450
Huntington Bancshares, Inc. ..... 1,900 57,119
Keycorp.......................... 9,300 297,600
Mainstreet Financial Corp. ...... 600 27,862
MBNA Corp. ...................... 16,200 403,987
Mellon Bank Corp. ............... 5,600 385,000
Morgan, (J.P.) & Co., Inc. ...... 6,700 703,919
National City Corp. ............. 7,300 529,250
Northern Trust Corp. ............ 1,600 139,700
PNC Bank Corp. NA................ 6,500 351,812
Regions Financial Corp. ......... 4,100 165,281
Republic New York Corp. ......... 800 36,450
State Street Boston Corp. ....... 3,200 222,600
Suntrust Banks, Inc. ............ 2,500 191,250
Wachovia Corp. .................. 3,500 306,031
Wells Fargo & Co. ............... 36,700 1,465,706
------------
15,179,984
------------
</TABLE>
128
<PAGE> 130
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL SERVICES -- 3.5%
American Express Co. ............ 14,100 $ 1,441,725
Associates First Capital Corp.
Cl-A........................... 15,600 661,050
Bear Stearns Companies, Inc. .... 900 33,637
Block, (H&R), Inc. .............. 500 22,500
Capital One Financial Corp. ..... 600 69,000
Citigroup, Inc. ................. 51,600 2,554,200
Fannie Mae....................... 22,700 1,679,800
Freddie Mac...................... 14,200 915,012
Lehman Brothers Holdings,
Inc. .......................... 1,200 52,875
Morgan Stanley, Dean Witter &
Co. ........................... 12,000 852,000
Providian Financial Corp. ....... 1,650 123,750
Schwab, (Charles) Corp. ......... 7,050 396,122
SunAmerica, Inc. ................ 16,100 1,306,112
The Dun & Bradstreet Corp. ...... 2,600 82,062
------------
10,189,845
------------
FOOD -- 1.6%
Albertson's, Inc. ............... 4,100 261,119
American Stores Co. ............. 2,700 99,731
Bestfoods, Inc. ................. 5,400 287,550
Campbell Soup Co. ............... 8,500 467,500
General Mills, Inc. ............. 3,100 241,025
Great Atlantic & Pacific TeaCo.,
Inc. .......................... 12,700 376,237
Heinz, (H.J.) Co. ............... 6,600 373,725
Hershey Foods Corp. ............. 2,000 124,375
Kroger Co.*...................... 5,000 302,500
Quaker Oats Co. ................. 2,600 154,700
Safeway, Inc.*................... 10,500 639,844
Sara Lee Corp. .................. 17,600 496,100
Supervalu, Inc. ................. 13,700 383,600
Sysco Corp. ..................... 5,800 159,137
Vlasic Foods International,
Inc. .......................... 600 14,287
Wrigley, (Wm., Jr.) Co. ......... 1,800 161,212
------------
4,542,642
------------
FURNITURE -- 0.0%
Newell Co. ...................... 800 33,000
------------
HEALTHCARE SERVICES -- 0.2%
HCR Manor Care, Inc.*............ 4,300 126,312
Humana, Inc.*.................... 5,700 101,531
IMS Health, Inc. ................ 3,000 226,312
Tenet Healthcare Corp.*.......... 10,200 267,750
------------
721,905
------------
HOTELS & MOTELS -- 0.1%
Harrah's Entertainment, Inc.*.... 5,700 89,419
Marriott International, Inc.
Cl-A........................... 2,500 72,500
------------
161,919
------------
INSURANCE -- 1.8%
Allstate Corp. .................. 16,600 641,175
American General Corp. .......... 4,300 335,400
American International Group,
Inc. .......................... 18,400 1,777,900
AON Corp. ....................... 3,400 188,275
Chubb Corp. ..................... 2,200 142,725
CIGNA Corp. ..................... 3,900 301,519
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Cincinnati Financial Corp. ...... 2,600 $ 95,225
Jefferson-Pilot Corp. ........... 1,900 142,500
Lincoln National Corp. .......... 1,800 147,262
Loews Corp. ..................... 2,300 225,975
Marsh & McLennan Companies,
Inc. .......................... 5,400 315,563
MGIC Investment Corp. ........... 1,100 43,794
Progressive Corp. ............... 1,500 254,063
Provident Companies, Inc. ....... 1,700 70,550
Safeco Corp. .................... 400 17,175
The Hartford Financial Services
Group, Inc. ................... 4,800 263,400
Torchmark Corp. ................. 200 7,063
Transamerica Corp. .............. 800 92,400
UNUM Corp. ...................... 850 49,619
------------
5,111,583
------------
MACHINERY & EQUIPMENT -- 0.7%
Black & Decker Corp. ............ 1,500 84,094
Case Corp. ...................... 400 8,725
Caterpillar, Inc. ............... 14,600 671,600
Cooper Industries, Inc. ......... 1,200 57,225
Danaher Corp. ................... 600 32,588
Harnischfeger Industries,
Inc. .......................... 200 2,038
Illinois Tool Works, Inc. ....... 4,600 266,800
Ingersoll-Rand Co. .............. 2,400 112,650
Paccar, Inc. .................... 9,300 382,463
Stanley Works, Inc. ............. 400 11,100
The Timken Company............... 11,000 207,625
Thermo Electron Corp.*........... 9,200 155,825
W.W. Grainger, Inc............... 500 20,813
------------
2,013,546
------------
MEDICAL SUPPLIES & EQUIPMENT -- 2.4%
Abbott Laboratories.............. 33,600 1,646,400
Bard, (C.R.), Inc. .............. 100 4,950
Baxter International, Inc. ...... 6,200 398,738
Becton Dickinson & Co. .......... 4,400 187,825
Biomet, Inc. .................... 700 28,175
Boston Scientific Corp.*......... 25,500 683,719
Guidant Corp. ................... 2,700 297,675
Johnson & Johnson Co. ........... 30,500 2,558,188
Mallinckrodt, Inc. .............. 11,000 338,938
Medtronic, Inc. ................. 7,200 534,600
Sofamor Danek Group, Inc.*....... 1,300 158,275
St. Jude Medical, Inc.*.......... 5,700 157,819
------------
6,995,302
------------
METALS & MINING -- 0.6%
Alcan Aluminium Ltd. ............ 1,800 48,713
Allegheny Teledyne, Inc. ........ 800 16,350
Aluminum Co. of America.......... 10,400 775,450
Barrick Gold Corp. .............. 6,500 126,750
Bethlehem Steel Corp.*........... 16,100 134,838
Homestake Mining Co. ............ 800 7,350
Inco Ltd. ....................... 300 3,169
Nucor Corp. ..................... 400 17,300
</TABLE>
129
<PAGE> 131
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Phelps Dodge Corp. .............. 800 $ 40,700
Placer Dome, Inc. ............... 100 1,150
Reynolds Metals Co. ............. 1,100 57,956
Worthington Industries, Inc. .... 29,500 368,750
------------
1,598,476
------------
OFFICE EQUIPMENT -- 0.6%
Moore Corp. Ltd. ................ 26,900 295,900
Pitney Bowes, Inc. .............. 5,100 336,919
Staples, Inc.*................... 9,000 393,188
Xerox Corp. ..................... 6,700 790,600
------------
1,816,607
------------
OIL & GAS -- 5.7%
Amerada Hess Corp. .............. 800 39,800
Amoco Corp. ..................... 7,600 458,850
Anadarko Petroleum Corp. ........ 1,800 55,575
Ashland, Inc. ................... 10,900 527,288
Atlantic Richfield Co. .......... 12,500 815,625
Burlington Resources, Inc. ...... 800 28,650
Chevron Corp. ................... 20,900 1,733,394
Coastal Corp. ................... 12,800 447,200
Columbia Gas System, Inc. ....... 400 23,100
Consolidated Natural Gas Co. .... 100 5,400
Eastern Enterprises.............. 8,700 380,625
Exxon Corp. ..................... 62,400 4,563,000
Halliburton Co. ................. 1,100 32,588
Kerr-McGee Corp. ................ 2,900 110,925
Mobil Corp. ..................... 17,100 1,489,838
Nicor, Inc. ..................... 400 16,900
Occidental Petroleum Corp. ...... 16,700 281,813
Oneok, Inc. ..................... 8,700 314,288
Oryx Energy Co.*................. 17,400 233,813
Phillips Petroleum Co. .......... 16,700 711,838
Rowan Companies, Inc.*........... 7,800 78,000
Royal Dutch Petroleum Co. ....... 48,400 2,317,150
Schlumberger Ltd. ............... 10,200 470,475
Sonat, Inc. ..................... 300 8,119
Texaco, Inc. .................... 20,400 1,078,650
Unocal Corp. .................... 4,100 119,669
USX-Marathon Group............... 5,100 153,638
------------
16,496,211
------------
PAPER & FOREST PRODUCTS -- 1.1%
Boise Cascade Corp. ............. 14,600 452,600
Georgia Pacific Group............ 300 17,569
International Paper Co. ......... 17,300 775,256
Kimberly-Clark Corp. ............ 10,600 577,700
Potlatch Corp. .................. 9,300 342,938
Temple-Inland, Inc. ............. 600 35,588
Union Camp Corp. ................ 4,600 310,500
Westvaco Corp. .................. 800 21,450
Weyerhaeuser Co. ................ 3,900 198,169
Willamette Industries, Inc. ..... 14,400 482,400
------------
3,214,170
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
PHARMACEUTICALS -- 7.0%
ALZA Corp.*...................... 3,400 $ 177,650
American Home Products Corp. .... 29,000 1,633,063
Amgen, Inc. ..................... 6,600 690,112
Bristol-Meyers Squibb Co. ....... 22,700 3,037,544
Cardinal Health, Inc. ........... 3,700 280,738
Lilly, (Eli) & Co. .............. 24,800 2,204,100
Merck & Co., Inc. ............... 27,600 4,076,175
Monsanto Co. .................... 11,500 546,250
Pfizer, Inc. .................... 29,800 3,738,038
Pharmacia & Upjohn, Inc. ........ 9,800 554,925
Schering-Plough Corp. ........... 31,900 1,762,475
Warner-Lambert Co. .............. 18,000 1,353,375
------------
19,364,333
------------
PRINTING & PUBLISHING -- 0.5%
Dow Jones & Co., Inc. ........... 300 14,438
Knight-Ridder, Inc. ............. 8,800 449,900
McGraw-Hill Co., Inc. ........... 1,900 193,563
New York Times Co. Cl-A.......... 1,500 52,031
Donnelley, (R.R.) & Sons Co. .... 13,600 595,850
Times Mirror Co. Cl-A............ 300 16,800
Tribune Co. ..................... 2,200 145,200
------------
1,467,782
------------
RAILROADS -- 0.2%
Burlington Northern Santa Fe
Corp........................... 8,800 297,000
Norfolk Southern Corp. .......... 5,200 164,775
------------
461,775
------------
RESTAURANTS -- 0.5%
Darden Restaurants, Inc. ........ 1,100 19,800
McDonald's Corp. ................ 14,400 1,103,400
Tricon Global Restaurants,
Inc.*.......................... 4,700 235,588
------------
1,358,788
------------
RETAIL & MERCHANDISING -- 4.4%
Avon Products, Inc. ............. 2,500 110,625
Circuit City Stores, Inc. ....... 200 9,988
Costco Companies, Inc.*.......... 6,400 462,000
CVS Corp. ....................... 8,500 467,500
Dayton-Hudson Corp. ............. 7,800 423,150
Dollar General Corp. ............ 1,400 33,075
Federated Department Stores,
Inc.*.......................... 6,600 287,513
Gap, Inc. ....................... 12,900 725,625
Harcourt General, Inc. .......... 11,200 595,700
Home Depot, Inc. ................ 32,600 1,994,713
Kmart Corp.*..................... 16,300 249,594
Kohl's Corp.*.................... 5,100 313,331
Lowe's Companies, Inc. .......... 7,300 373,669
May Department Stores Co. ....... 4,200 253,575
Meyer, (Fred), Inc.*............. 7,500 451,875
Nordstrom, Inc. ................. 900 31,219
Penney, (J.C.) Co., Inc. ........ 11,500 539,063
Rite Aid Corp. .................. 4,500 223,031
Sears, Roebuck & Co. ............ 7,300 310,250
TJX Companies, Inc. ............. 5,800 168,200
</TABLE>
130
<PAGE> 132
BANKERS TRUST ENHANCED 500 PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Wal-Mart Stores, Inc. ........... 51,900 $ 4,226,606
Walgreen Co. .................... 9,600 562,200
------------
12,812,502
------------
SEMICONDUCTORS -- 1.8%
Intel Corp. ..................... 38,600 4,576,513
Micron Technology, Inc.*......... 8,300 419,669
Motorola, Inc. .................. 3,500 213,719
------------
5,209,901
------------
TELECOMMUNICATIONS -- 10.0%
AirTouch Communications, Inc.*... 15,100 1,089,088
Aliant Communications, Inc. ..... 300 12,263
Alltel Corp. .................... 5,500 328,969
Ameritech Corp. ................. 22,700 1,438,613
Ascend Communications, Inc.*..... 12,700 835,025
AT&T Corp. ...................... 26,600 2,001,650
Bell Atlantic Corp. ............. 36,600 2,079,338
BellSouth Corp. ................. 43,800 2,184,525
Cellular Communications
International, Inc.*........... 1,000 68,000
Comcast Corp. Cl-A............... 16,500 968,344
General Instrument Corp.*........ 5,800 196,838
GTE Corp. ....................... 19,500 1,315,031
Lucent Technologies, Inc......... 29,900 3,289,000
MCI WorldCom, Inc.*.............. 43,600 3,128,300
MediaOne Group, Inc.*............ 17,000 799,000
Northern Telecom Ltd. ........... 14,700 736,838
SBC Communications, Inc. ........ 45,700 2,450,663
Sprint Corp. (FON Group)......... 14,200 1,194,575
Sprint Corp. (PCS Group)*........ 38,100 881,063
Tele-Communications, Inc.
Cl-A*.......................... 42,300 2,339,719
Tellabs, Inc.*................... 6,400 438,800
U. S. West, Inc. ................ 15,100 975,838
Williams Companies, Inc. ........ 7,700 240,144
------------
28,991,624
------------
TRANSPORTATION -- 0.4%
FDX Corp.*....................... 10,100 898,900
Laidlaw, Inc. ................... 1,500 15,094
Navistar International Corp.*.... 3,300 94,050
Ryder Systems, Inc. ............. 12,400 322,400
------------
1,330,444
------------
UTILITIES -- 3.4%
Ameren Corp.*.................... 900 38,419
American Electric Power Co.,
Inc. .......................... 13,900 654,169
Carolina Power & Light Co. ...... 7,300 343,556
Central & South West Corp. ...... 2,700 74,081
Cinergy Corp. ................... 400 13,750
Consolidated Edison, Inc. ....... 9,000 475,875
Dominion Resources, Inc. ........ 2,800 130,900
DTE Energy Co. .................. 7,400 317,275
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Duke Energy Corp. ............... 12,900 $ 826,406
Edison International Co. ........ 18,700 521,263
Enron Corp. ..................... 5,600 319,550
Entergy Corp. ................... 11,600 361,050
FirstEnergy Corp. ............... 14,800 481,925
FPL Group, Inc. ................. 3,700 228,013
GPU, Inc. ....................... 7,100 313,731
Houston Industries, Inc. ........ 15,900 510,788
New Century Energies, Inc. ...... 9,400 458,250
Niagara Mohawk Power Corp.*...... 22,500 362,813
PECO Energy Co. ................. 14,300 595,238
PG&E Corp. ...................... 19,700 620,550
Public Service Enterprise Group,
Inc. .......................... 3,500 140,000
Sempra Energy*................... 12,200 309,575
Southern Co. .................... 22,700 659,719
Texas Utilities Co. ............. 13,800 644,288
Unicom Corp. .................... 9,600 370,200
------------
9,771,384
------------
TOTAL COMMON STOCK
(Cost $210,284,088)................ 236,263,399
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bills
4.30%, 02/04/99#................ $ 25 24,899
4.34%, 02/04/99#................ 70 69,719
4.39%, 02/04/99#................ 1,325 1,319,674
4.41%, 02/04/99#................ 680 677,267
4.45%, 02/04/99#................ 800 796,785
--------------
(Cost $2,887,925)................. 2,888,344
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 10.0%
Temporary Investment Cash
Fund........................ 14,479,385 14,479,386
Temporary Investment Fund..... 14,479,385 14,479,385
--------------
(Cost $28,958,771)............ 28,958,771
--------------
TOTAL INVESTMENTS -- 92.6%
(Cost $242,130,784)............. 268,110,514
OTHER ASSETS LESS
LIABILITIES -- 7.4%............. 21,440,905
--------------
NET ASSETS -- 100.0%.............. $ 289,551,419
==============
</TABLE>
# Securities with an aggregate market value of $2,888,344 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1998:
<TABLE>
<CAPTION>
EXPIRATION NUMBER OF UNREALIZED
DESCRIPTION MONTH CONTRACTS APPRECIATION
- ----------------------------------------------------------------
<S> <C> <C> <C>
S&P 500.................. 03/99 171 $2,633,894
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
* Non-income producing security.
See Notes to Financial Statements.
131
<PAGE> 133
STEIN ROE VENTURE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK -- 84.4%
ADVERTISING -- 3.6%
ADVO, Inc.*.................... 1,800 $ 47,475
Catalina Marketing Corp.*...... 2,700 184,612
HA-LO Industries, Inc.*........ 2,500 94,062
--------------
326,149
--------------
AEROSPACE -- 1.7%
Alliant Techsystems, Inc.*..... 1,000 82,437
Orbital Sciences Corp.*........ 1,600 70,800
--------------
153,237
--------------
AIRLINES -- 0.5%
COMAIR Holdings, Inc. ......... 1,300 43,875
--------------
AUTOMOTIVE PARTS -- 0.4%
O'Reilly Automotive, Inc.*..... 800 37,800
--------------
BEVERAGES -- 0.6%
Canandaigua Brands, Inc.
Cl-A*........................ 900 52,031
--------------
BROADCASTING -- 1.3%
Metro Networks, Inc.*.......... 2,700 115,088
--------------
BUSINESS SERVICES -- 6.1%
Acxiom Corp.*.................. 1,800 55,800
American Management Systems,
Inc.*........................ 2,100 84,000
Comdisco, Inc. ................ 2,100 35,437
Interim Services, Inc.*........ 6,300 147,262
Iron Mountain, Inc.*........... 1,000 36,062
Metamor Worldwide, Inc.*....... 4,500 112,500
Metzler Group, Inc.*........... 1,000 48,687
PAREXEL International Corp.*... 1,100 27,500
--------------
547,248
--------------
CLOTHING & APPAREL -- 3.7%
Columbia Sportswear Co.*....... 9,100 153,562
G & K Services, Inc. Cl-A...... 900 47,925
K-Swiss, Inc. ................. 2,100 56,437
The Men's Wearhouse, Inc.*..... 2,500 79,375
--------------
337,299
--------------
COMPUTER HARDWARE -- 1.2%
Jack Henry & Associates,
Inc.......................... 1,100 54,725
Xircom, Inc.*.................. 1,500 51,000
--------------
105,725
--------------
COMPUTER SERVICES & SOFTWARE -- 12.6%
Barra, Inc.*................... 4,500 106,312
HNC Software, Inc.*............ 800 32,350
Hyperion Solutions Corp.*...... 1,800 32,400
Inktomi Corp. *................ 200 25,875
Inter-Tel, Inc................. 2,900 67,787
Kronos, Inc.*.................. 1,400 62,038
Mercury Interactive Corp.*..... 1,700 107,525
National Computer Systems,
Inc.......................... 8,000 296,000
National Instruments Corp.*.... 1,000 34,125
Paychex, Inc................... 800 41,150
Sapient Corp.*................. 600 33,600
SPSS, Inc.*.................... 2,300 43,413
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
Transaction Systems Architects,
Inc.*........................ 1,200 $ 60,000
VERITAS Software Corp.*........ 500 29,969
Verity, Inc.*.................. 1,800 47,700
Whittman-Hart, Inc.*........... 3,800 104,975
--------------
1,125,219
--------------
CONSTRUCTION -- 1.5%
Champion Enterprises, Inc.*.... 2,100 57,488
D.R. Horton, Inc............... 3,400 78,200
--------------
135,688
--------------
CONSUMER PRODUCTS & SERVICES -- 5.4%
DeVry, Inc.*................... 3,800 116,375
Mohawk Industries, Inc.*....... 1,600 67,300
Nu Skin Asia Pacific, Inc.*.... 8,400 198,450
U.S.A. Floral Products,
Inc.*........................ 8,500 97,750
--------------
479,875
--------------
CONTAINERS & PACKAGING -- 0.7%
AptarGroup, Inc. .............. 2,200 61,738
--------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 4.7%
Burr-Brown Corp.*.............. 1,100 25,781
C-Cube Microsystems, Inc.*..... 2,400 65,100
CTS Corp. ..................... 1,500 65,250
Dionex Corp.*.................. 1,100 40,288
Etec Systems, Inc.*............ 700 28,000
Gentex Corp.*.................. 3,600 72,000
Sanmina Corp.*................. 1,100 68,750
Uniphase Corp.*................ 800 55,500
--------------
420,669
--------------
ENTERTAINMENT & LEISURE -- 0.5%
Polaris Industries, Inc. ...... 1,100 43,106
--------------
FARMING & AGRICULTURE -- 0.5%
The Scotts Co.*................ 1,200 46,125
--------------
FINANCIAL-BANK & TRUST -- 3.8%
Centura Banks, Inc. ........... 1,100 81,813
Commerce Bancorp, Inc. ........ 1,200 63,000
Cullen/Frost Bankers, Inc. .... 1,600 87,800
National Bankcorp of Alaska,
Inc. ........................ 3,200 108,000
--------------
340,613
--------------
FINANCIAL SERVICES -- 3.1%
Heller Financial, Inc. ........ 1,700 49,938
Jefferies Group, Inc. ......... 1,800 89,325
SEI Investments Co. ........... 800 79,500
The BISYS Group, Inc.*......... 1,100 56,787
--------------
275,550
--------------
FOOD -- 2.1%
Smithfield Foods, Inc.*........ 2,000 67,750
The Earthgrains Co. ........... 1,900 58,781
Whole Foods Market, Inc.*...... 1,200 58,050
--------------
184,581
--------------
FURNITURE -- 0.6%
Ethan Allen Interiors, Inc. ... 1,200 49,200
--------------
</TABLE>
132
<PAGE> 134
STEIN ROE VENTURE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
HEALTHCARE SERVICES -- 2.7%
IDEXX Laboratories, Inc.*...... 2,200 $ 59,194
Orthodontic Centers of America,
Inc.*........................ 3,000 58,313
Pediatrix Medical Group,
Inc.*........................ 1,100 65,931
Renal Care Group, Inc. *....... 2,100 60,506
--------------
243,944
--------------
INSURANCE -- 2.0%
Express Scripts, Inc. Cl-A*.... 1,500 100,688
Mutual Risk Management,
Ltd. ........................ 1,900 74,338
--------------
175,026
--------------
MACHINERY & EQUIPMENT -- 1.1%
Applied Power, Inc. ........... 1,100 41,525
SPS Technologies, Inc.*........ 1,000 56,625
--------------
98,150
--------------
MEDICAL SUPPLIES & EQUIPMENT -- 3.8%
Biomatrix, Inc.*............... 1,300 75,725
Schein, (Henry), Inc.*......... 1,200 53,700
The Liposome Co., Inc.*........ 2,100 32,419
Uroquest Medical Corp.*........ 800 800
Xomed Surgical Products,
Inc.*........................ 5,400 172,800
--------------
335,444
--------------
METALS & MINING -- 1.1%
Stillwater Mining Co.*......... 2,300 94,300
--------------
OIL & GAS -- 1.3%
Barrett Resources Corp.*....... 2,800 67,200
Petroleum Geo-Services*........ 3,000 47,250
--------------
114,450
--------------
PHARMACEUTICALS -- 2.0%
Alpharma, Inc. Cl-A............ 1,200 42,375
Barr Laboratories, Inc.*....... 1,400 67,200
MedImmune, Inc.*............... 700 69,606
--------------
179,181
--------------
PRINTING & PUBLISHING -- 0.8%
Consolidated Graphics, Inc.*... 1,100 74,319
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
RAILROADS -- 0.5%
MotivePower Industries,
Inc.*........................ 1,400 $ 45,063
--------------
RESTAURANTS -- 3.3%
CEC Entertainment, Inc.*....... 1,200 33,300
CKE Restaurants, Inc. ......... 1,760 51,810
Ruby Tuesday, Inc. ............ 2,600 55,250
The Cheesecake Factory,
Inc.*........................ 1,800 53,381
Triarc Companies, Inc.*........ 6,300 100,800
--------------
294,541
--------------
RETAIL & MERCHANDISING -- 9.1%
Brightpoint, Inc.*............. 4,100 56,375
Fastenal Co. .................. 3,100 136,400
Just For Feet, Inc.*........... 3,300 57,338
Linens 'n Things, Inc.*........ 2,300 91,139
Regis Corp. ................... 8,200 328,000
School Specialty, Inc.*........ 2,400 51,300
Williams-Sonoma, Inc.*......... 2,400 96,750
--------------
817,302
--------------
SEMICONDUCTORS -- 2.1%
Novellus Systems, Inc.*........ 1,200 59,400
Vitesse Semiconductor, Inc.*... 2,900 132,313
--------------
191,713
--------------
TOTAL COMMON STOCK
(Cost $6,471,567)................ 7,544,249
--------------
SHORT-TERM INVESTMENTS -- 9.6%
Temporary Investment Cash
Fund......................... 426,857 426,857
Temporary Investment Fund...... 426,856 426,856
--------------
(Cost $853,713)................ 853,713
--------------
TOTAL INVESTMENTS -- 94.0%
(Cost $7,325,280).................. 8,397,962
OTHER ASSETS LESS
LIABILITIES -- 6.0%.............. 531,998
--------------
NET ASSETS -- 100.0%............... $ 8,929,960
==============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
See Notes to Financial Statements.
133
<PAGE> 135
[This page intentionally left blank]
134
<PAGE> 136
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
PO-Principal Only
REIT-Real Estate Investment Trust
STEP-Stepped Coupon Bond (2)
TBA-To be Announced Security
VR-Variable Rate Bond (1)
ZCB-Zero Coupon Bond (2)
(1)- Rates shown for variable and floating rate securities are the coupon rates
as of December 31, 1998.
(2)- Rates shown are the effective yields at purchase date.
COUNTRIES/CURRENCIES:
- -----------------------
ATS-Austria/Austrian Schilling
AUD-Australia/Australian Dollar
BEF-Belgium/Belgian Franc
CAD-Canada/Canadian Dollar
CHF -Switzerland/Swiss Franc
DEM-Germany/German Deutschemark
DKK-Denmark/Danish Krone
ECU-Europe/European Currency Unit
ESP-Spain/Spanish Peseta
FIM-Finland/Finnish Markka
FRF-France/French Franc
GBP-United Kingdom/British Pound
GRD-Greece/Greek Drachma
HKD-Hong Kong/Hong Kong Dollar
IEP-Ireland/Irish Punt
ITL-Italy/Italian Lira
JPY-Japan/Japanese Yen
MXP-Mexico/Mexican Peso
MYR-Malaysia/Malaysian Ringgit
NLG-Netherlands/Netherland Guilder
NOK-Norway/Norwegian Krone
NZD-New Zealand/New Zealand Dollar
PTE-Portugal/Portuguese Escudo
SEK-Sweden/Swedish Krona
SGD-Singapore/Singapore Dollar
ZAR-South Africa/South African Rand
135
<PAGE> 137
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
NEUBERGER&
AST PUTNAM LORD ABBETT AST BERMAN
INTERNATIONAL GROWTH AND JANCAP MONEY MID-CAP AST PUTNAM
EQUITY INCOME GROWTH MARKET VALUE BALANCED
------------- ----------- ---------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value (A)......... $497,797 $1,175,017 $3,250,854 $964,747 $270,510 $405,688
Cash........................................... 1,765 -- 9 38 7,473 32
Foreign currency(B)............................ -- -- -- -- -- 3,635
Unrealized appreciation on foreign currency
exchange contracts........................... 702 -- 592 -- -- 28
Unrealized appreciation on interest rate swap
agreements................................... -- -- -- -- -- --
Receivable for:
Securities sold.............................. 1,060 1,064 -- -- 1,087 2,009
Dividends and interest....................... 1,404 2,100 1,943 7,084 566 1,781
Fund shares sold............................. 1,649 6,066 3,773 -- 861 --
Futures variation margin..................... -- -- -- -- -- 190
Other assets................................... 100 10 22 10 2 4
-------- ---------- ---------- -------- -------- --------
TOTAL ASSETS............................... 504,477 1,184,257 3,257,193 971,879 280,499 413,367
-------- ---------- ---------- -------- -------- --------
LIABILITIES
Cash overdraft................................. -- 102 -- -- -- --
Unrealized depreciation on foreign currency
exchange contracts........................... 4,203 -- -- -- -- 170
Written options outstanding, at value.......... -- -- -- -- -- --
Sale Commitments, at value..................... -- -- -- -- -- --
Payable for:
Securities purchased......................... 2,217 1,701 -- -- 8,371 3,123
Fund shares redeemed......................... -- -- -- -- -- 413
Futures variation margin..................... -- -- -- -- -- 27
Advisory fees................................ 226 384 1,204 99 112 142
Shareholder servicing fees................... 40 97 249 82 22 34
Accrued dividends............................ -- -- -- 3,896 -- --
Accrued expenses and other liabilities....... 330 64 82 69 26 123
-------- ---------- ---------- -------- -------- --------
TOTAL LIABILITIES.......................... 7,016 2,348 1,535 4,146 8,531 4,032
-------- ---------- ---------- -------- -------- --------
NET ASSETS........................................ $497,461 $1,181,909 $3,255,658 $967,733 $271,968 $409,335
======== ========== ========== ======== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares
authorized, $.001 par value per share)........... $ 22 $ 55 $ 88 $ 968 $ 21 $ 29
Additional paid-in capital........................ 380,368 904,447 1,691,879 966,659 245,642 333,350
Undistributed net investment income (loss)........ (5,753) 13,889 1,221 -- 3,943 9,572
Accumulated net realized gain (loss) on
investments...................................... 46,128 63,840 126,850 106 7,599 31,787
Accumulated net unrealized appreciation
(depreciation) on investments.................... 76,696 199,678 1,435,620 -- 14,763 34,597
-------- ---------- ---------- -------- -------- --------
NET ASSETS........................................ $497,461 $1,181,909 $3,255,658 $967,733 $271,968 $409,335
======== ========== ========== ======== ======== ========
Shares of common stock outstanding................ 21,939 54,517 87,979 967,626 20,661 28,971
Net asset value, offering and redemption price per
share............................................ $ 22.67 $ 21.68 $ 37.00 $ 1.00 $ 13.16 $ 14.13
======== ========== ========== ======== ======== ========
(A) Investments at cost........................... $417,636 $ 975,339 $1,815,826 $964,747 $255,747 $372,165
(B) Foreign currency at cost...................... $ -- $ -- $ -- $ -- $ -- $ 3,622
======== ========== ========== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
136
<PAGE> 138
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------
PORTFOLIO
-----------------------------------------------------------------------------------------------------------
T. ROWE PIMCO T. ROWE T. ROWE NEUBERGER&
PRICE TOTAL INVESCO FOUNDERS PRICE PRICE BERMAN
FEDERATED ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL MID-CAP
HIGH YIELD ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH
---------- ---------- ---------- -------- ------------ ------------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
$350,584 $1,085,609 $829,883 $266,397 $449,693 $143,329 $259,092
$585,583
-- -- 4 18,670 16,584 1,156 3
--
-- 1,609 -- -- 1,921 371 --
--
-- -- -- -- -- 1,253 --
--
-- -- -- -- -- -- --
--
157 22,528 -- -- 20 -- 1,095
699
2,414 8,707 3,582 19 708 3,791 70
10,047
-- -- 1,216 948 3,527 -- 3,493
1,750
-- 49 -- -- -- -- --
--
3 8 7 3 5 1 2
5
-------- ---------- -------- -------- -------- -------- --------
--------
353,158 1,118,510 834,692 286,037 472,458 149,901 263,755
598,084
-------- ---------- -------- -------- -------- -------- --------
--------
4 2,808 -- -- -- -- --
633
-- 12 -- -- -- 176 --
--
-- 1,623 -- -- -- -- --
--
-- 20,106 -- -- -- -- --
--
8,259 196,489 2,840 -- -- -- 1,822
1,529
545 466 -- -- -- 1,586 --
--
-- 174 -- -- -- -- --
--
82 206 256 133 194 52 88
146
28 76 68 22 39 13 20
51
-- -- -- -- -- -- --
--
43 53 46 35 64 101 33
45
-------- ---------- -------- -------- -------- -------- --------
--------
8,961 222,013 3,210 190 297 1,928 1,963
2,404
-------- ---------- -------- -------- -------- -------- --------
--------
$344,197 $ 896,497 $831,482 $285,847 $472,161 $147,973 $261,792
$595,680
======== ========== ======== ======== ======== ======== ========
========
$ 19 $ 75 $ 48 $ 16 $ 35 $ 13 $ 15
$ 47
264,982 823,419 646,891 228,913 366,358 131,426 211,117
564,048
7,313 37,428 15,393 (1,352) 721 11,850 (717)
46,298
171 33,587 24,065 (5,958) 22,227 (762) 18,696
4,032
71,712 1,988 145,085 64,228 82,820 5,446 32,681
(18,745)
-------- ---------- -------- -------- -------- -------- --------
--------
$344,197 $ 896,497 $831,482 $285,847 $472,161 $147,973 $261,792
$595,680
======== ========== ======== ======== ======== ======== ========
========
19,697 74,584 47,512 16,232 35,262 12,913 15,168
47,080
$ 17.47 $ 12.02 $ 17.50 $ 17.61 $ 13.39 $ 11.46 $ 17.26
$ 12.65
======== ========== ======== ======== ======== ======== ========
========
$278,881 $1,060,706 $684,798 $202,169 $366,902 $138,992 $226,411
$604,328
======== ========== ======== ======== ======== ======== ========
========
$ -- $ 1,611 $ -- $ -- $ 1,914 $ 371 $ --
$ --
======== ========== ======== ======== ======== ======== ========
========
</TABLE>
- --------------------------------------------------------------------------------
137
<PAGE> 139
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
T. ROWE PIMCO AST AST PUTNAM
PRICE LIMITED OPPENHEIMER AST JANUS VALUE
FOUNDERS NATURAL MATURITY LARGE-CAP OVERSEAS GROWTH &
PASSPORT RESOURCES BOND GROWTH GROWTH INCOME
-------- --------- -------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value (A)............... $118,413 $ 73,653 $462,767 $224,983 $607,451 $188,696
Cash................................................. 110 1 638 3 815 1
Foreign currency(B).................................. -- -- --..... -- 1 --
Unrealized appreciation on foreign currency exchange
contracts.......................................... -- -- --..... -- 527 --
Unrealized appreciation on interest rate swap
agreements......................................... -- -- -- -- -- --
Receivable for:
Securities sold.................................... -- -- 51,834 101,993 231 70
Dividends and interest............................. 51 154 3,971 91 435 347
Fund shares sold................................... 1,650 384 -- 892 3,021 888
Futures variation margin........................... -- -- --..... -- -- --
Other assets......................................... 1 1 3...... 2 4 2
-------- -------- -------- -------- -------- --------
TOTAL ASSETS..................................... 120,225 74,193 519,213... 327,964 612,485 190,004
-------- -------- -------- -------- -------- --------
LIABILITIES
Cash overdraft....................................... -- -- -- -- -- --
Unrealized depreciation on foreign currency exchange
contracts.......................................... -- -- -- -- 2,960 --
Written options outstanding, at value................ -- -- 13..... -- -- --
Sale Commitments, at value........................... -- -- -- -- -- --
Payable for:
Securities purchased............................... 110 -- 168,225 26,840 1,775 --
Fund shares redeemed............................... -- -- 1,109 -- -- --
Futures variation margin........................... -- -- 13 -- -- --
Advisory fees...................................... 58 32 83 142 297 58
Shareholder servicing fees......................... 10 6 29 24 94 28
Accrued dividends.................................. -- -- -- -- -- --
Accrued expenses and other liabilities............. 50 29 34..... 34 153 47
-------- -------- -------- -------- -------- --------
TOTAL LIABILITIES................................ 228 67 169,506... 27,040 5,279 133
-------- -------- -------- -------- -------- --------
NET ASSETS.............................................. $119,997 $ 74,126 $349,707... $300,924 $607,206 $189,871
======== ======== ======== ======== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of shares authorized,
$.001 par value per share)............................. $ 9 $ 6 $ 32 $ 19 $ 44 $ 14
Additional paid-in capital.............................. 98,992 82,240 330,616 232,983 544,338 167,144
Undistributed net investment income (loss).............. 691 1,137 18,176 (1,873) 591 1,630
Accumulated net realized gain (loss) on investments..... (3,395) 8,509 89..... 34,226 (27,223) 8,800
Accumulated net unrealized appreciation (depreciation)
on investments......................................... 23,700 (17,766) 794.... 35,569 89,456 12,283
-------- -------- -------- -------- -------- --------
NET ASSETS.............................................. $119,997 $ 74,126 $349,707... $300,924 $607,206 $189,871
======== ======== ======== ======== ======== ========
Shares of common stock outstanding...................... 9,204 6,191 31,549 18,722 44,196 14,096
Net asset value, offering and redemption price per
share.................................................. $ 13.04 $ 11.97 $11.08.. $ 16.07 $ 13.74 $ 13.47
======== ======== ======== ======== ======== ========
(A) Investments at cost................................. $94,713 $ 91,419 $461,936... $189,414 $515,581 $176,413
======== ======== ======== ======== ======== ========
(B) Foreign currency at cost............................ $ -- $ -- $ -- $ -- $ 1 $ --
======== ======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
138
<PAGE> 140
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
PORTFOLIO
-----------------------------------------------------------------------------------------------
TWENTIETH TWENTIETH T. ROWE LORD BANKERS
CENTURY CENTURY PRICE SMALL MARSICO COHEN & ABBETT TRUST
STRATEGIC INTERNATIONAL COMPANY CAPITAL STEERS SMALL CAP ENHANCED STEIN ROE
BALANCED GROWTH VALUE GROWTH REALTY VALUE 500 VENTURE
--------- ------------- ----------- -------- ------- --------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
$89,364 $79,784 $302,272 $612,449 $33,051 $42,664 $268,110 $ 8,398
2 123 -- 1 -- -- 22,229 476
-- -- -- -- -- -- -- --
-- 21 -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- 464 -- 16,602 -- 192 1,208 9
428 113 977 52 221 19 358 4
1,305 -- 2,796 3,594 113 387 587 103
-- -- -- -- -- -- 145 --
1 -- 3 4 9 -- 2 --
------- ------- -------- -------- ------- ------- -------- -------
91,100 80,505 306,048 632,702 33,394 43,262 292,639 8,990
------- ------- -------- -------- ------- ------- -------- -------
-- -- 309 -- -- 3 -- --
-- 59 -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- 2,072 1,483 37,432 342 1,441 2,996 48
-- 542 -- -- -- -- -- --
-- -- -- -- -- -- -- --
34 44 127 215 16 16 37 5
7 6 25 46 5 3 23 1
-- -- -- -- -- -- -- --
16 49 32 43 6 11 32 6
------- ------- -------- -------- ------- ------- -------- -------
57 2,772 1,976 37,736 369 1,474 3,088 60
------- ------- -------- -------- ------- ------- -------- -------
$91,043 $77,733 $304,072 $594,966 $33,025 $41,788 $289,551 $ 8,930
======= ======= ======== ======== ======= ======= ======== =======
$ 7 $ 6 $ 27 $ 42 $ 4 $ 4 $ 23 $ 1
77,783 71,368 323,482 513,710 37,210 43,838 255,589 9,613
901 (99) 2,516 429 1,087 (45) 1,358 (31)
(162) (1,899) (547) (6,211) (679) (2,539) 3,968 (1,726)
12,514 8,357 (21,406) 86,996 (4,597) 530 28,613 1,073
------- ------- -------- -------- ------- ------- -------- -------
$91,043 $77,733 $304,072 $594,966 $33,025 $41,788 $289,551 $ 8,930
======= ======= ======== ======== ======= ======= ======== =======
6,664 5,690 26,586 41,898 3,929 4,181 22,658 1,089
$ 13.66 $ 13.66 $ 11.44 $ 14.20 $ 8.41 $ 9.99 $ 12.78 $ 8.20
======= ======= ======== ======== ======= ======= ======== =======
$76,852 $71,389 $323,678 $525,453 $37,648 $42,134 $242,131 $ 7,325
======= ======= ======== ======== ======= ======= ======== =======
$ -- $ -- $ -- $ -- $ -- $ -- $ -- $ --
======= ======= ======== ======== ======= ======= ======== =======
-----------------------------------------------------------------------------------------------
</TABLE>
139
<PAGE> 141
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
AST NEUBERGER&
PUTNAM LORD ABBETT AST BERMAN AST
INTERNATIONAL GROWTH AND JANCAP MONEY MID-CAP PUTNAM
EQUITY INCOME GROWTH MARKET VALUE BALANCED
------------- ----------- ---------- ------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.......................................... $ 755 $ 1,798 $ 15,077 $52,052 $ 660 $10,027
Dividends......................................... 7,839 21,690 9,734 -- 5,358 3,730
------- -------- ---------- ------- -------- -------
Total Investment Income....................... 8,594 23,488 24,811 52,052 6,018 13,757
------- -------- ---------- ------- -------- -------
EXPENSES
Investment advisory fees.......................... 4,131 7,905 18,935 4,657 1,715 2,860
Shareholder servicing fees........................ 473 1,054 2,104 931 209 387
Administration and accounting fees................ 340 460 565 433 203 312
Custodian fees.................................... 335 120 199 80 40 225
Professional fees................................. 18 41 82 36 8 16
Trustees' fees.................................... 8 18 35 15 4 7
Insurance expenses................................ 5 11 22 10 2 4
Miscellaneous expenses............................ 11 17 29 13 7 73
------- -------- ---------- ------- -------- -------
Total Expenses................................ 5,321 9,626 21,971 6,175 2,188 3,884
Less: Advisory fee waivers and expense
reimbursements.............................. -- (27) (552) (587) -- --
------- -------- ---------- ------- -------- -------
Net Expenses.................................. 5,321 9,599 21,419 5,588 2,188 3,884
------- -------- ---------- ------- -------- -------
Net Investment Income (Loss)......................... 3,273 13,889 3,392 46,464 3,830 9,873
------- -------- ---------- ------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Securities.................................... 38,462 64,048 129,467 106 7,804 24,929
Foreign currency transactions................. (2,580) -- (4,322) -- -- 131
Futures contracts............................. -- -- -- -- -- 6,475
Interest rate swaps........................... -- -- -- -- -- --
Option contracts.............................. -- -- -- -- -- --
------- -------- ---------- ------- -------- -------
Net realized gain (loss).......................... 35,882 64,048 125,145 106 7,804 31,535
------- -------- ---------- ------- -------- -------
Net change in unrealized appreciation (depreciation)
on:
Securities.................................... 43,958 47,175 1,054,833 -- (11,166) 3,477
Futures contracts............................. -- -- -- -- -- 1,492
Written option contracts...................... -- -- -- -- -- --
Interest rate swaps........................... -- -- -- -- -- --
Translation of assets and liabilities
denominated in foreign currencies........... (1,493) -- 516 -- -- (31)
------- -------- ---------- ------- -------- -------
Net change in unrealized appreciation
(depreciation).................................. 42,465 47,175 1,055,349 -- (11,166) 4,938
------- -------- ---------- ------- -------- -------
Net gain (loss) on investments.................... 78,347 111,223 1,180,494 106 (3,362) 36,473
------- -------- ---------- ------- -------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................. $81,620 $125,112 $1,183,886 $46,570 $ 468 $46,346
======= ======== ========== ======= ======== =======
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
140
<PAGE> 142
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------
PIMCO T. ROWE T. ROWE NEUBERGER&
T. ROWE TOTAL INVESCO FOUNDERS PRICE PRICE BERMAN
FEDERATED PRICE ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL MID-CAP
HIGH YIELD ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH
- ---------- ----------- ------- ------- ------------ ------------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 50,155 $ 7,923 $44,550 $13,716 $ 1,227 $ 723 $ 8,291 $ 924
1,247 2,246 6 8,295 271 7,885 -- 615
-------- ------- ------- ------- ------- ------- ------- -------
51,402 10,169 44,556 22,011 1,498 8,608 8,291 1,539
-------- ------- ------- ------- ------- ------- ------- -------
4,021 2,281 4,772 5,341 2,288 4,652 1,126 1,782
536 268 734 712 254 465 141 210
357 241 402 397 232 338 141 204
60 48 125 77 50 275 130 40
24 11 29 28 10 18 5 8
9 4 12 12 4 8 2 3
5 3 8 7 2 4 2 2
92 68 26 20 10 52 22 7
-------- ------- ------- ------- ------- ------- ------- -------
5,104 2,924 6,108 6,594 2,850 5,812 1,569 2,256
-- -- -- -- -- -- -- --
-------- ------- ------- ------- ------- ------- ------- -------
5,104 2,924 6,108 6,594 2,850 5,812 1,569 2,256
-------- ------- ------- ------- ------- ------- ------- -------
46,298 7,245 38,448 15,417 (1,352) 2,796 6,722 (717)
-------- ------- ------- ------- ------- ------- ------- -------
4,047 191 6,872 24,041 (5,945) 22,769 5,062 19,756
-- 23 630 -- 3 486 (533) --
-- -- 24,536 -- -- -- -- --
-- -- 579 -- -- -- -- --
-- -- 1,239 -- -- -- -- --
-------- ------- ------- ------- ------- ------- ------- -------
4,047 214 33,856 24,041 (5,942) 23,255 4,529 19,756
-------- ------- ------- ------- ------- ------- ------- -------
(38,540) 38,780 (1,962) 50,324 21,943 39,848 6,940 28,800
-- -- (2,193) -- -- -- -- --
-- -- (356) -- -- -- -- --
-- -- (188) -- -- -- -- --
-- 10 (1,619) -- -- 52 1,116 --
-------- ------- ------- ------- ------- ------- ------- -------
(38,540) 38,790 (6,318) 50,324 21,943 39,900 8,056 28,800
-------- ------- ------- ------- ------- ------- ------- -------
(34,493) 39,004 27,538 74,365 16,001 63,155 12,585 48,556
-------- ------- ------- ------- ------- ------- ------- -------
11,805
$ $46,249 $65,986 $89,782 $14,649 $65,951 $19,307 $47,839
======== ======= ======= ======= ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
141
<PAGE> 143
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
PIMCO AST AST
T. ROWE LIMITED OPPENHEIMER JANUS AST PUTNAM
FOUNDERS PRICE NATURAL MATURITY LARGE-CAP OVERSEAS VALUE GROWTH
PASSPORT RESOURCES BOND GROWTH GROWTH & INCOME
-------- ------------- -------- ----------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest......................................... $ 1,108 $ 144 $20,801 $ 175 $ 2,850 $ 290
Dividends........................................ 867 2,073 -- 1,232 4,064 2,892
------- -------- ------- ------- -------- -------
Total Investment Income...................... 1,975 2,217 20,801 1,407 6,914 3,182
------- -------- ------- ------- -------- -------
EXPENSES
Investment advisory fees......................... 1,219 869 2,060 2,694 4,345 1,165
Shareholder servicing fees....................... 122 97 317 269 434 155
Administration and accounting fees............... 122 97 270 242 321 155
Custodian fees................................... 100 40 50 50 350 60
Professional fees................................ 5 4 13 11 16 6
Trustees' fees................................... 2 1 5 4 7 3
Insurance expenses............................... 1 1 3 3 5 2
Miscellaneous expenses........................... 11 10 20 7 32 6
------- -------- ------- ------- -------- -------
Total Expenses............................... 1,582 1,119 2,738 3,280 5,510 1,552
Less: Advisory fee waivers and expense
reimbursements............................. -- -- -- -- -- --
------- -------- ------- ------- -------- -------
Net Expenses................................. 1,582 1,119 2,738 3,280 5,510 1,552
------- -------- ------- ------- -------- -------
Net Investment Income (Loss)........................ 393 1,098 18,063 (1,873) 1,404 1,630
------- -------- ------- ------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Securities................................... 239 8,557 916 38,928 (17,292) 8,830
Foreign currency transactions................ (168) (24) (2) -- (8,144) --
Futures contracts............................ -- -- 108 -- -- --
Interest rate swaps.......................... -- -- 94 -- -- --
Option contracts............................. -- -- -- -- -- --
------- -------- ------- ------- -------- -------
Net realized gain (loss)......................... 71 8,533 1,116 38,928 (25,436) 8,830
------- -------- ------- ------- -------- -------
Net change in unrealized appreciation
(depreciation) on:
Securities................................... 12,477 (20,469) (1,294) 27,050 78,096 6,641
Futures contracts............................ -- -- (75) -- -- --
Written option contracts..................... -- -- -- -- -- --
Interest rate swaps.......................... -- -- (30) -- -- --
Translation of assets and liabilities
denominated in foreign currencies.......... 7 -- (395) -- (2,276) --
------- -------- ------- ------- -------- -------
Net change in unrealized appreciation
(depreciation)................................. 12,484 (20,469) (1,794) 27,050 75,820 6,641
------- -------- ------- ------- -------- -------
Net gain (loss) on investments................... 12,555 (11,936) (678) 65,978 50,384 15,471
------- -------- ------- ------- -------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................ $12,948 $(10,838) $17,385 $64,105 $ 51,788 $17,101
======= ======== ======= ======= ======== =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on January 2, 1998.
See Notes to Financial Statements.
142
<PAGE> 144
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------
TWENTIETH TWENTIETH T. ROWE BANKERS
CENTURY CENTURY PRICE SMALL MARSICO COHEN & LORD ABBETT TRUST
STRATEGIC INTERNATIONAL COMPANY CAPITAL STEERS SMALL CAP ENHANCED STEIN ROE
BALANCED GROWTH VALUE GROWTH REALTY(1) VALUE(1) 500(1) VENTURE(1)
- --------- ------------- ----------- ------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,261 $ 225 $ 1,279 $1,639 $ 67 $ 82 $ 555 $ 17
196 764 4,234 1,792 1,301 150 1,823 10
------- ------- -------- ------- ------- ------- ------- -------
1,457 989 5,513 3,431 1,368 232 2,378 27
------- ------- -------- ------- ------- ------- ------- -------
432 563 2,424 2,446 217 201 765 41
51 56 269 272 22 21 128 4
63 85 242 222 26 26 62 25
24 200 40 40 12 24 110 15
2 2 11 9 1 1 5 --
1 1 4 4 -- -- 2 --
1 1 3 3 -- -- 1 --
4 22 7 6 3 4 21 2
------- ------- -------- ------- ------- ------- ------- -------
578 930 3,000 3,002 281 277 1,094 87
18 -- -- -- -- -- (74) (29)
------- ------- -------- ------- ------- ------- ------- -------
596 930 3,000 3,002 281 277 1,020 58
------- ------- -------- ------- ------- ------- ------- -------
861 59 2,513 429 1,087 (45) 1,358 (31)
------- ------- -------- ------- ------- ------- ------- -------
151 (1,148) 1,425 (7,239) (679) (2,539) 2,467 (1,726)
94 (270) -- (29) -- -- -- --
-- -- (1,970) -- -- -- 1,501 --
-- -- -- -- -- -- -- --
-- -- -- 1,057 -- -- -- --
------- ------- -------- ------- ------- ------- ------- -------
245 (1,418) (545) (6,211) (679) (2,539) 3,968 (1,726)
------- ------- -------- ------- ------- ------- ------- -------
10,681 7,024 (38,214) 86,973 (4,597) 530 28,613 1,073
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
3 (132) -- -- -- -- -- --
------- ------- -------- ------- ------- ------- ------- -------
10,684 6,892 (38,214) 86,973 (4,597) 530 28,613 1,073
------- ------- -------- ------- ------- ------- ------- -------
10,929 5,474 (38,759) 80,762 (5,276) (2,009) 32,581 (653)
------- ------- -------- ------- ------- ------- ------- -------
11,790
$ $ 5,533 $(36,246) $81,191 $(4,189) $(2,054) $33,939 $ (684)
======= ======= ======== ======= ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
143
<PAGE> 145
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
------------------------ -------------------------
1998 1997 1998 1997
--------- --------- ----------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)....................... $ 3,273 $ 3,398 $ 13,889 $ 11,541
Net realized gain (loss) on investments............ 35,882 49,254 64,048 50,708
Net change in unrealized appreciation
(depreciation) on investments.................... 42,465 10,077 47,175 81,537
--------- --------- ----------- --------
Net Increase (Decrease) in Net Assets from
Operations.................................... 81,620 62,729 125,112 143,786
--------- --------- ----------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income........................................... (13,084) (5,413) (11,541) (7,379)
Distributions to shareholders from capital gains... (38,174) (17,443) (50,708) (13,267)
--------- --------- ----------- --------
Total Dividends and Distributions to
Shareholders.................................. (51,258) (22,856) (62,249) (20,646)
--------- --------- ----------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.......................... 185,700 125,193 270,381 426,438
Net asset value of shares issued in reinvestment of
dividends and distributions...................... 51,257 22,856 62,249 20,647
Cost of shares redeemed............................ (182,128) (121,863) (150,570) (163,736)
--------- --------- ----------- --------
Increase (Decrease) in Net Assets from Capital
Share Transactions............................ 54,829 26,186 182,060 283,349
--------- --------- ----------- --------
Total Increase (Decrease) in Net Assets....... 85,191 66,059 244,923 406,489
NET ASSETS
Beginning of Period................................ 412,270 346,211 936,986 530,497
--------- --------- ----------- --------
End of Period...................................... $ 497,461 $ 412,270 $ 1,181,909 $936,986
========= ========= =========== ========
SHARES ISSUED AND REDEEMED
Shares sold........................................ 8,691 6,183 13,210 22,448
Shares issued in reinvestment of dividends and
distributions.................................... 2,483 1,229 3,057 1,185
Shares redeemed.................................... (8,600) (6,057) (7,400) (8,879)
--------- --------- ----------- --------
Net Increase (Decrease) in Shares Outstanding.... 2,574 1,355 8,867 14,754
========= ========= =========== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
144
<PAGE> 146
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------
NEUBERGER&BERMAN
JANCAP GROWTH AST MONEY MARKET MID-CAP VALUE AST PUTNAM BALANCED
- ----------------------- ------------------------- -------------------- -------------------
1998 1997 1998 1997 1998 1997 1998 1997
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 3,392 $ 3,000 $ 46,464 $ 33,089 $ 3,830 $ 4,517 $ 9,873 $ 8,977
125,145 84,851 106 61 7,804 16,140 31,535 22,004
1,055,349 199,524 -- -- (11,166) 13,829 4,938 21,963
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
1,183,886 287,375 46,570 33,150 468 34,486 46,346 52,944
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
(5,171) (2,524) (46,464) (33,089) (4,404) (3,604) (9,278) (6,615)
(82,896) (42,072) (61) (80) (16,269) (5,148) (21,696) (30,342)
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
(88,067) (44,596) (46,525) (33,169) (20,673) (8,752) (30,974) (36,957)
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
1,505,748 862,306 3,991,163 2,492,066 190,527 90,589 35,841 42,308
88,067 44,596 45,987 31,988 20,673 8,752 30,974 36,957
(945,578) (530,403) (3,829,350) (2,313,617) (120,170) (47,070) (30,443) (24,140)
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
648,237 376,499 207,800 210,437 91,030 52,271 36,372 55,125
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
1,744,056 619,278 207,845 210,418 70,825 78,005 51,744 71,112
1,511,602 892,324 759,888 549,470 201,143 123,138 357,591 286,479
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
$3,255,658 $1,511,602 $ 967,733 $ 759,888 $ 271,968 $201,143 $409,335 $357,591
========== ========== =========== =========== ========= ======== ======== ========
53,163 40,825 3,991,163 2,492,065 14,882 6,689 2,666 3,259
3,601 2,311 45,987 31,988 1,531 711 2,361 3,095
(34,087) (25,329) (3,829,350) (2,313,617) (9,030) (3,718) (2,282) (1,850)
- ---------- ---------- ----------- ----------- --------- -------- -------- --------
22,677 17,807 207,800 210,436 7,383 3,682 2,745 4,504
========== ========== =========== =========== ========= ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
145
<PAGE> 147
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
----------------------- ----------------------
1998 1997 1998 1997
--------- -------- -------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss).......................... $ 46,298 $ 27,616 $ 7,245 $ 4,904
Net realized gain (loss) on investments............... 4,047 1,491 214 889
Net change in unrealized appreciation (depreciation)
on investments...................................... (38,540) 10,886 38,790 21,216
--------- -------- -------- --------
Net Increase (Decrease) in Net Assets from
Operations....................................... 11,805 39,993 46,249 27,009
--------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income.............................................. (27,616) (10,610) (4,836) (2,585)
Distributions to shareholders from capital gains...... (1,507) (1,263) (930) (2,403)
--------- -------- -------- --------
Total Dividends and Distributions to Shareholders... (29,123) (11,873) (5,766) (4,988)
--------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold............................. 347,227 269,597 103,937 74,080
Net asset value of shares issued in reinvestment of
dividends and distributions......................... 29,123 11,874 5,767 4,987
Cost of shares redeemed............................... (197,772) (80,433) (19,065) (8,162)
--------- -------- -------- --------
Increase (Decrease) in Net Assets from Capital Share
Transactions..................................... 178,578 201,038 90,639 70,905
--------- -------- -------- --------
Total Increase (Decrease) in Net Assets.......... 161,260 229,158 131,122 92,926
NET ASSETS
Beginning of Period................................... 434,420 205,262 213,075 120,149
--------- -------- -------- --------
End of Period......................................... $ 595,680 $434,420 $344,197 $213,075
========= ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold........................................... 27,343 21,771 6,425 5,224
Shares issued in reinvestment of dividends and
distributions....................................... 2,302 1,000 371 377
Shares redeemed....................................... (15,704) (6,550) (1,181) (570)
--------- -------- -------- --------
Net Increase (Decrease) in Shares Outstanding....... 13,941 16,221 5,615 5,031
========= ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
146
<PAGE> 148
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------
PIMCO T. ROWE PRICE
TOTAL RETURN BOND INVESCO EQUITY INCOME FOUNDERS CAPITAL APPRECIATION INTERNATIONAL EQUITY
- -------------------- --------------------- ----------------------------- ---------------------
1998 1997 1998 1997 1998 1997 1998 1997
- --------- -------- --------- --------- ------------- ------------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 38,448 $ 25,494 $ 15,417 $ 12,069 $ (1,352) $ (777) $ 2,796 $ 3,120
33,856 16,378 24,041 30,597 (5,942) 13,327 23,255 8,904
(6,318) 3,629 50,324 52,553 21,943 4,903 39,900 (3,621)
- --------- -------- --------- --------- --------- --------- --------- ---------
65,986 45,501 89,782 95,219 14,649 17,453 65,951 8,403
- --------- -------- --------- --------- --------- --------- --------- ---------
(26,514) (15,321) (12,093) (7,141) -- -- (5,390) (2,360)
(12,394) -- (30,573) (9,950) (12,821) -- (8,769) (2,682)
- --------- -------- --------- --------- --------- --------- --------- ---------
(38,908) (15,321) (42,666) (17,091) (12,821) -- (14,159) (5,042)
- --------- -------- --------- --------- --------- --------- --------- ---------
443,436 239,491 341,838 325,090 112,086 159,953 376,940 303,075
38,909 15,321 42,666 17,091 12,821 -- 14,158 5,042
(185,026) (72,902) (202,243) (166,884) (119,146) (119,216) (435,185) (249,581)
- --------- -------- --------- --------- --------- --------- --------- ---------
297,319 181,910 182,261 175,297 5,761 40,737 (44,087) 58,536
- --------- -------- --------- --------- --------- --------- --------- ---------
324,397 212,090 229,377 253,425 7,589 58,190 7,705 61,897
572,100 360,010 602,105 348,680 278,258 220,068 464,456 402,559
- --------- -------- --------- --------- --------- --------- --------- ---------
$ 896,497 $572,100 $ 831,482 $ 602,105 $ 285,847 $ 278,258 $ 472,161 $ 464,456
========= ======== ========= ========= ========= ========= ========= =========
38,021 21,382 20,510 21,367 7,069 9,416 29,768 24,350
3,502 1,429 2,613 1,227 706 -- 1,115 419
(15,740) (6,415) (12,079) (11,049) (7,164) (6,897) (34,036) (19,694)
- --------- -------- --------- --------- --------- --------- --------- ---------
25,783 16,396 11,044 11,545 611 2,519 (3,153) 5,075
========= ======== ========= ========= ========= ========= ========= =========
</TABLE>
- --------------------------------------------------------------------------------
147
<PAGE> 149
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
----------------------------------------------------
PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------
T. ROWE PRICE NEUBERGER&BERMAN
INTERNATIONAL BOND MID-CAP GROWTH
---------------------- ------------------------
1998 1997 1998 1997
-------- -------- --------- ---------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)......................... $ 6,722 $ 5,568 $ (717) $ 122
Net realized gain (loss) on investments.............. 4,529 (4,845) 19,756 33,536
Net change in unrealized appreciation (depreciation)
on investments..................................... 8,056 (3,925) 28,800 (11,415)
-------- -------- --------- ---------
Net Increase (Decrease) in Net Assets from
Operations...................................... 19,307 (3,202) 47,839 22,243
-------- -------- --------- ---------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income............................................. (440) (1,563) (122) (223)
Distributions to shareholders from capital gains..... (1,035) (2,503) (34,532) (1,347)
-------- -------- --------- ---------
Total Dividends and Distributions to
Shareholders.................................... (1,475) (4,066) (34,654) (1,570)
-------- -------- --------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold............................ 34,101 57,168 183,164 210,696
Net asset value of shares issued in reinvestment of
dividends and distributions........................ 1,475 4,066 34,654 1,570
Cost of shares redeemed.............................. (35,843) (21,793) (154,261) (184,136)
-------- -------- --------- ---------
Increase (Decrease) in Net Assets from Capital
Share Transactions.............................. (267) 39,441 63,557 28,130
-------- -------- --------- ---------
Total Increase (Decrease) in Net Assets......... 17,565 32,173 76,742 48,803
NET ASSETS
Beginning of Period.................................. 130,408 98,235 185,050 136,247
-------- -------- --------- ---------
End of Period........................................ $147,973 $130,408 $ 261,792 $ 185,050
======== ======== ========= =========
SHARES ISSUED AND REDEEMED
Shares sold.......................................... 3,207 5,634 11,663 13,595
Shares issued in reinvestment of dividends and
distributions...................................... 144 405 2,141 109
Shares redeemed...................................... (3,340) (2,152) (9,777) (12,032)
-------- -------- --------- ---------
Net Increase (Decrease) in Shares Outstanding...... 11 3,887 4,027 1,672
======== ======== ========= =========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
148
<PAGE> 150
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------
T. ROWE PRICE PIMCO LIMITED AST OPPENHEIMER
FOUNDERS PASSPORT NATURAL RESOURCES MATURITY BOND LARGE-CAP GROWTH
- -------------------- ------------------- -------------------- --------------------
1998 1997 1998 1997 1998 1997 1998 1997
- --------- -------- -------- -------- --------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 393 $ 547 $ 1,098 $ 1,072 $ 18,063 $ 14,491 $ (1,873) $ (890)
71 (3,437) 8,533 6,263 1,116 427 38,928 (4,645)
12,484 5,943 (20,469) (5,032) (1,794) 3,612 27,050 5,704
- --------- -------- -------- -------- --------- -------- --------- --------
12,948 3,053 (10,838) 2,303 17,385 18,530 64,105 169
- --------- -------- -------- -------- --------- -------- --------- --------
(249) (805) (1,033) (417) (14,378) 10,857 -- --
-- (129) (6,254) (2,073) -- -- -- --
- --------- -------- -------- -------- --------- -------- --------- --------
(249) (934) (7,287) (2,490) (14,378) (10,857) -- --
- --------- -------- -------- -------- --------- -------- --------- --------
111,816 74,511 23,994 63,364 169,835 141,511 115,467 265,275
249 933 7,287 2,489 14,379 10,857 -- --
(122,705) (77,268) (50,984) (42,246) (126,156) (80,412) (114,296) (78,586)
- --------- -------- -------- -------- --------- -------- --------- --------
(10,640) (1,824) (19,703) 23,607 58,058 71,956 1,171 186,689
- --------- -------- -------- -------- --------- -------- --------- --------
2,059 295 (37,828) 23,420 61,065 79,629 65,276 186,858
117,938 117,643 111,954 88,534 288,642 209,013 235,648 48,790
- --------- -------- -------- -------- --------- -------- --------- --------
$ 119,997 $117,938 $ 74,126 $111,954 $ 349,707 $288,642 $ 300,924 $235,648
========= ======== ======== ======== ========= ======== ========= ========
8,699 6,247 1,743 4,198 15,604 13,311 8,359 20,523
20 78 527 172 1,360 1,049 -- --
(9,531) (6,422) (3,762) (2,804) (11,604) (7,504) (8,303) (6,296)
- --------- -------- -------- -------- --------- -------- --------- --------
(812) (97) (1,492) 1,566 5,360 6,856 56 14,227
========= ======== ======== ======== ========= ======== ========= ========
</TABLE>
- --------------------------------------------------------------------------------
149
<PAGE> 151
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
AST PUTNAM VALUE
AST JANUS OVERSEAS GROWTH GROWTH & INCOME
-------------------------- -----------------------
1998 1997(1) 1998 1997(1)
---------- ---------- --------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)......................... $ 1,404 $ 452 $ 1,630 $ 686
Net realized gain (loss) on investments.............. (25,436) (1,787) 8,830 1,862
Net change in unrealized appreciation (depreciation)
on investments..................................... 75,820 13,636 6,641 5,642
-------- -------- --------- --------
Net Increase (Decrease) in Net Assets from
Operations...................................... 51,788 12,301 17,101 8,190
-------- -------- --------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income............................................. (1,265) -- (686) --
Distributions to shareholders from capital gains..... -- -- (1,892) --
-------- -------- --------- --------
Total Dividends and Distributions to
Shareholders.................................... (1,265) -- (2,578) --
-------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold............................ 627,893 295,567 79,616 121,563
Net asset value of shares issued in reinvestment of
dividends and distributions........................ 1,265 -- 2,578 --
Cost of shares redeemed.............................. (328,180) (52,163) (24,284) (12,315)
-------- -------- --------- --------
Increase (Decrease) in Net Assets from Capital
Share Transactions.............................. 300,978 243,404 57,910 109,248
-------- -------- --------- --------
Total Increase (Decrease) in Net Assets......... 351,501 255,705 72,433 117,438
NET ASSETS
Beginning of Period.................................. 255,705 -- 117,438 --
-------- -------- --------- --------
End of Period........................................ $607,206 $255,705 $ 189,871 $117,438
======== ======== ========= ========
SHARES ISSUED AND REDEEMED
Shares sold.......................................... 47,356 25,962 6,243 10,693
Shares issued in reinvestment of dividends and
distributions...................................... 98 -- 202 --
Shares redeemed...................................... (24,800) (4,420) (1,954) (1,088)
-------- -------- --------- --------
Net Increase (Decrease) in Shares Outstanding...... 22,654 21,542 4,491 9,605
======== ======== ========= ========
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on January 2, 1997.
(2) Commenced operations on December 22, 1997.
See Notes to Financial Statements.
150
<PAGE> 152
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
PORTFOLIO
- -------------------------------------------------------------------------------------------
TWENTIETH CENTURY TWENTIETH CENTURY T. ROWE PRICE SMALL
STRATEGIC BALANCED INTERNATIONAL GROWTH COMPANY VALUE MARSICO CAPITAL GROWTH
- ------------------- --------------------- ------------------- -----------------------
1998 1997(1) 1998 1997(1) 1998 1997(1) 1998 1997(2)
- -------- -------- --------- --------- -------- -------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 861 $ 273 $ 59 $ (92) $ 2,513 $ 949 $ 429 $ 6
245 (407) (1,418) (481) (545) 1,023 (6,211) --
10,684 1,830 6,892 1,465 (38,214) 16,808 86,973 23
- ------- ------- -------- -------- -------- -------- --------- -------
11,790 1,696 5,533 892 (36,246) 18,780 81,191 29
- ------- ------- -------- -------- -------- -------- --------- -------
(233) -- (66) -- (946) -- (6) --
-- -- -- -- (1,025) -- -- --
- ------- ------- -------- -------- -------- -------- --------- -------
(233) -- (66) -- (1,971) -- (6) --
- ------- ------- -------- -------- -------- -------- --------- -------
56,082 29,464 91,526 48,070 223,838 210,455 609,599 9,665
233 -- 66 -- 1,971 -- 6 --
(5,776) (2,213) (52,451) (15,837) (83,416) (29,339) (103,123) (2,395)
- ------- ------- -------- -------- -------- -------- --------- -------
50,539 27,251 39,141 32,233 142,393 181,116 506,482 7,270
- ------- ------- -------- -------- -------- -------- --------- -------
62,096 28,947 44,608 33,125 104,176 199,896 587,667 7,299
28,947 -- 33,125 -- 199,896 -- 7,299 --
- ------- ------- -------- -------- -------- -------- --------- -------
$91,043 $28,947 $ 77,733 $ 33,125 $304,072 $199,896 $ 594,966 $ 7,299
======= ======= ======== ======== ======== ======== ========= =======
4,561 2,754 6,818 4,258 17,995 17,898 49,747 966
20 -- 5 -- 146 -- 1 --
(469) (202) (4,008) (1,383) (7,075) (2,378) (8,577) (239)
- ------- ------- -------- -------- -------- -------- --------- -------
4,112 2,552 2,815 2,875 11,066 15,520 41,171 727
======= ======= ======== ======== ======== ======== ========= =======
</TABLE>
- --------------------------------------------------------------------------------
151
<PAGE> 153
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------
COHEN & LORD ABBETT BANKERS TRUST STEIN ROE
STEERS REALTY SMALL CAP VALUE ENHANCED 500 VENTURE
------------- --------------- ------------- ---------
1998(3) 1998(3) 1998(3) 1998(3)
------------- --------------- ------------- ---------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)................... $ 1,087 $ (45) $ 1,358 $ (31)
Net realized gain (loss) on investments........ (679) (2,539) 3,968 (1,726)
Net change in unrealized appreciation
(depreciation) on investments................ (4,597) 530 28,613 1,073
------- -------- --------- -------
Net Increase (Decrease) in Net Assets from
Operations................................ (4,189) (2,054) 33,939 (684)
------- -------- --------- -------
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...................... 43,323 55,415 399,894 11,360
Net asset value of shares issued in
reinvestment of dividends and
distributions................................ -- -- -- --
Cost of shares redeemed........................ (6,109) (11,573) (144,282) (1,746)
------- -------- --------- -------
Increase (Decrease) in Net Assets from Capital
Share Transactions........................... 37,214 43,842 255,612 9,614
------- -------- --------- -------
Total Increase (Decrease) in Net Assets...... 33,025 41,788 289,551 8,930
NET ASSETS
Beginning of Period............................ -- -- -- --
------- -------- --------- -------
End of Period.................................. $33,025 $ 41,788 $ 289,551 $ 8,930
======= ======== ========= =======
SHARES ISSUED AND REDEEMED
Shares sold.................................... 4,659 5,384 35,658 1,309
Shares issued in reinvestment of dividends and
distributions................................ -- -- -- --
Shares redeemed................................ (730) (1,203) (13,000) (220)
------- -------- --------- -------
Net Increase (Decrease) in Shares
Outstanding............................... 3,929 4,181 22,658 1,089
======= ======== ========= =======
</TABLE>
- --------------------------------------------------------------------------------
(3) Commenced operations on January 2, 1998.
See Notes to Financial Statement.
152
<PAGE> 154
[This page intentionally left blank]
153
<PAGE> 155
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
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS
- ------------------------ ------------ --------- ---------- ------------ ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AST Putnam 1998 $21.29 $ 0.20 $ 3.81 $ 4.01 $ (0.67) $ (1.96) $ (2.63)
International Equity 1997 19.22 0.36 2.96 3.32 (0.30) (0.95) (1.25)
1996 18.20 0.16 1.55 1.71 (0.32) (0.37) (0.69)
1995 17.61 0.14 1.44 1.58 -- (0.99) (0.99)
1994 17.34 0.10 0.36 0.46 (0.03) (0.16) (0.19)
Lord Abbett 1998 $20.53 $ 0.25 $ 2.23 $ 2.48 $ (0.25) $ (1.08) $ (1.33)
Growth and Income 1997 17.17 0.24 3.76 4.00 (0.23) (0.41) (0.64)
1996 14.98 0.23 2.48 2.71 (0.17) (0.35) (0.52)
1995 12.00 0.16 3.22 3.38 (0.20) (0.20) (0.40)
1994 12.06 0.20 0.06 0.26 (0.12) (0.20) (0.32)
JanCap Growth 1998 $23.15 $ 0.04 $ 15.10 $ 15.14 $ (0.08) $ (1.21) $ (1.29)
1997 18.79 0.06 5.16 5.22 (0.05) (0.81) (0.86)
1996 15.40 0.02 4.19 4.21 (0.02) (0.80) (0.82)
1995 11.22 0.06 4.18 4.24 (0.06) -- (0.06)
1994 11.78 0.06 (0.59) (0.53) (0.03) -- (0.03)
AST Money Market 1998 $ 1.00 $0.0502 $0.0002 $0.0504 $(0.0502) $(0.0002) $(0.0504)
1997 1.00 0.0507 0.0002 0.0509 (0.0507) (0.0002) (0.0509)
1996 1.00 0.0492 0.0005 0.0497 (0.0492) (0.0005) (0.0497)
1995 1.00 0.0494 -- 0.0494 (0.0494) -- (0.0494)
1994 1.00 0.0367 0.0002 0.0369 (0.0367) (0.0002) (0.0369)
Neuberger&Berman 1998 $15.15 $ 0.21 $ (0.52) $ (0.31) $ (0.36) $ (1.32) $ (1.68)
Mid-Cap Value 1997 12.83 0.32 2.87 3.19 (0.36) (0.51) (0.87)
1996 11.94 0.36 0.97 1.33 (0.44) -- (0.44)
1995 9.87 0.40 2.09 2.49 (0.42) -- (0.42)
1994 10.79 0.46 (1.20) (0.74) (0.16) (0.02) (0.18)
AST Putnam Balanced 1998 $13.64 $ 0.34 $ 1.31 $ 1.65 $ (0.35) $ (0.81) $ (1.16)
1997 13.19 0.33 1.85 2.18 (0.31) (1.42) (1.73)
1996 12.53 0.32 1.02 1.34 (0.25) (0.43) (0.68)
1995 10.49 0.26 2.06 2.32 (0.28) -- (0.28)
1994 10.57 0.27 (0.26) 0.01 (0.07) (0.02) (0.09)
Federated High Yield 1998 $13.11 $ 0.91 $ (0.57) $ 0.34 $ (0.76) $ (0.04) $ (0.80)
1997 12.13 0.75 0.83 1.58 (0.54) (0.06) (0.60)
1996 11.14 0.56 0.90 1.46 (0.47) -- (0.47)
1995 9.69 0.38 1.46 1.84 (0.39) -- (0.39)
1994(2) 10.00 0.55 (0.86) (0.31) -- -- --
<CAPTION>
- ------------------------ ---------
NET ASSET
VALUE
END
PORTFOLIO OF PERIOD
- ------------------------ ---------
<S> <C>
AST Putnam $22.67
International Equity 21.29
19.22
18.20
17.61
Lord Abbett $21.68
Growth and Income 20.53
17.17
14.98
12.00
JanCap Growth $37.00
23.15
18.79
15.40
11.22
AST Money Market $ 1.00
1.00
1.00
1.00
1.00
Neuberger&Berman $13.16
Mid-Cap Value 15.15
12.83
11.94
9.87
AST Putnam Balanced $14.13
13.64
13.19
12.53
10.49
Federated High Yield $12.65
13.11
12.13
11.14
9.69
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(2) Commenced operations on January 4, 1994.
See Notes to Financial Statements.
154
<PAGE> 156
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
RATIO OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
---------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
20.10% $ 497,461 117% 1.13% 1.13% 0.69% 0.69%
18.15% 412,270 116% 1.15% 1.15% 1.04% 1.04%
9.65% 346,211 124% 1.16% 1.26% 0.88% 0.78%
10.00% 268,056 59% 1.17% 1.27% 0.88% 0.78%
2.64% 238,050 49% 1.22% 1.32% 0.55% 0.46%
12.48% $1,181,909 78% 0.91% 0.91% 1.32% 1.31%
23.92% 936,986 41% 0.93% 0.93% 1.60% 1.60%
18.56% 530,497 43% 0.97% 0.97% 1.92% 1.92%
28.91% 288,749 50% 0.99% 0.99% 2.50% 2.50%
2.22% 92,050 60% 1.06% 1.06% 2.45% 2.45%
68.26% $3,255,658 42% 1.02% 1.04% 0.16% 0.13%
28.66% 1,511,563 94% 1.07% 1.08% 0.24% 0.23%
28.36% 892,324 79% 1.10% 1.10% 0.25% 0.25%
37.98% 431,321 113% 1.12% 1.12% 0.51% 0.51%
(4.51%) 245,645 94% 1.18% 1.18% 0.62% 0.62%
5.14% $ 967,733 N/A 0.60% 0.66% 4.99% 4.93%
5.18% 759,888 N/A 0.60% 0.69% 5.06% 4.98%
5.08% 549,470 N/A 0.60% 0.71% 4.87% 4.76%
5.05% 344,225 N/A 0.60% 0.72% 5.38% 5.26%
3.75% 288,588 N/A 0.64% 0.76% 3.90% 3.78%
(2.33%) $ 271,968 208% 1.05% 1.05% 1.83% 1.83%
26.42% 201,143 91% 0.90% 0.90% 3.34% 3.34%
11.53% 123,138 81% 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%
12.86% $ 409,335 139% 1.00% 1.00% 2.55% 2.55%
18.28% 357,591 170% 1.03% 1.03% 2.81% 2.81%
11.23% 286,479 276% 0.94% 0.94% 2.66% 2.66%
22.60% 255,206 161% 0.94% 0.94% 3.28% 3.28%
0.09% 145,624 87% 0.99% 0.99% 3.08% 3.08%
2.61% $ 595,680 36% 0.95% 0.95% 8.64% 8.64%
13.59% 434,420 28% 0.98% 0.98% 8.83% 8.83%
13.58% 205,262 43% 1.03% 1.03% 8.02% 8.02%
19.57% 83,692 30% 1.11% 1.11% 8.72% 8.72%
(3.10%) 21,308 41% 1.15%(1) 1.34%(1) 9.06%(1) 8.87%(1)
</TABLE>
- --------------------------------------------------------------------------------
155
<PAGE> 157
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
--------------------------------------
NET ASSET NET
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS
- ------------------------- ------------ --------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C>
T. Rowe Price 1998 $15.13 $ 0.35 $ 2.38 $ 2.73
Asset Allocation 1997 13.27 0.33 2.03 2.36
1996 12.01 0.27 1.28 1.55
1995 9.94 0.26 2.02 2.28
1994(2) 10.00 0.21 (0.27) (0.06)
PIMCO Total 1998 $11.72 $ 0.49 $ 0.56 $ 1.05
Return Bond 1997 11.11 0.48 0.58 1.06
1996 11.34 0.46 (0.10) 0.36
1995 9.75 0.25 1.55 1.80
1994(2) 10.00 0.26 (0.51) (0.25)
INVESCO Equity Income 1998 $16.51 $ 0.31 $ 1.81 $ 2.12
1997 13.99 0.31 2.84 3.15
1996 12.50 0.27 1.79 2.06
1995 9.75 0.25 2.65 2.90
1994(2) 10.00 0.16 (0.41) (0.25)
Founders Capital 1998 $17.81 $(0.08) $ 0.73 $ 0.65
Appreciation 1997 16.80 (0.05) 1.06 1.01
1996 14.25 (0.03) 2.85 2.82
1995 10.84 (0.04) 3.54 3.50
1994(2) 10.00 0.11 0.73 0.84
T. Rowe Price 1998 $12.09 $ 0.08 $ 1.59 $ 1.67
International Equity 1997 12.07 0.09 0.08 0.17
1996 10.65 0.06 1.44 1.50
1995 9.62 0.07 0.99 1.06
1994(2) 10.00 0.02 (0.40) (0.38)
T. Rowe Price 1998 $10.11 $ 0.52 $ 0.94 $ 1.46
International Bond 1997 10.90 0.20 (0.57) (0.37)
1996 10.60 0.23 0.38 0.61
1995 9.68 0.31 0.75 1.06
1994(3) 10.00 0.27 (0.59) (0.32)
<CAPTION>
- ------------------------- -------------------------------------------------
LESS DISTRIBUTIONS
-------------------------------------
NET ASSET
FROM NET FROM NET VALUE
INVESTMENT REALIZED TOTAL END
PORTFOLIO INCOME GAINS DISTRIBUTIONS OF PERIOD
- ------------------------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C>
T. Rowe Price $(0.33) $(0.06) $(0.39) $17.47
Asset Allocation (0.26) (0.24) (0.50) 15.13
(0.25) (0.04) (0.29) 13.27
(0.21) -- (0.21) 12.01
-- -- -- 9.94
PIMCO Total $(0.51) $(0.24) $(0.75) $12.02
Return Bond (0.45) -- (0.45) 11.72
(0.28) (0.31) (0.59) 11.11
(0.21) -- (0.21) 11.34
-- -- -- 9.75
INVESCO Equity Income $(0.32) $(0.81) $(1.13) $17.50
(0.26) (0.37) (0.63) 16.51
(0.24) (0.33) (0.57) 13.99
(0.15) -- (0.15) 12.50
-- -- -- 9.75
Founders Capital $ -- $(0.85) $(0.85) $17.61
Appreciation -- -- -- 17.81
-- (0.27) (0.27) 16.80
(0.09) -- (0.09) 14.25
-- -- -- 10.84
T. Rowe Price $(0.14) $(0.23) $(0.37) $13.39
International Equity (0.07) (0.08) (0.15) 12.09
(0.08) -- (0.08) 12.07
(0.01) (0.02) (0.03) 10.65
-- -- -- 9.62
T. Rowe Price $(0.03) $(0.08) $(0.11) $11.46
International Bond (0.16) (0.26) (0.42) 10.11
(0.14) (0.17) (0.31) 10.90
(0.14) -- (0.14) 10.60
-- -- -- 9.68
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(2) Commenced operations on January 4, 1994.
(3) Commenced operations on May 3, 1994.
See Notes to Financial Statements.
156
<PAGE> 158
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
RATIO OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
---------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
18.36% $344,197 8% 1.09% 1.09% 2.70% 2.70%
18.40% 213,075 10% 1.13% 1.13% 2.95% 2.95%
13.14% 120,149 31% 1.20% 1.20% 3.02% 3.02%
23.36% 59,399 18% 1.25% 1.29% 3.53% 3.49%
(0.60%) 23,463 32% 1.25%(1) 1.47%(1) 3.64%(1) 3.42%(1)
9.46% $896,497 231% 0.83% 0.83% 5.24% 5.24%
9.87% 572,100 320% 0.86% 0.86% 5.56% 5.56%
3.42% 360,010 403% 0.89% 0.89% 5.38% 5.38%
18.78% 225,335 124% 0.89% 0.89% 5.95% 5.95%
(2.50%) 46,493 139% 1.02%(1) 1.02%(1) 5.57%(1) 5.57%(1)
13.34% $831,482 67% 0.93% 0.93% 2.17% 2.17%
23.33% 602,105 73% 0.95% 0.95% 2.54% 2.54%
17.09% 348,680 58% 0.98% 0.98% 2.83% 2.83%
30.07% 176,716 89% 0.98% 0.98% 3.34% 3.34%
(2.50%) 65,201 63% 1.14%(1) 1.14%(1) 3.41%(1) 3.41%(1)
3.49% $285,847 100% 1.12% 1.12% (0.53%) (0.53%)
6.01% 278,258 77% 1.13% 1.13% (0.32%) (0.32%)
20.05% 220,068 69% 1.16% 1.16% (0.38%) (0.38%)
32.56% 90,460 68% 1.22% 1.22% (0.28%) (0.28%)
8.40% 28,559 198% 1.30%(1) 1.55%(1) 2.59%(1) 2.34%(1)
14.03% $472,161 32% 1.25% 1.25% 0.60% 0.60%
1.36% 464,456 19% 1.26% 1.26% 0.71% 0.71%
14.17% 402,559 11% 1.30% 1.30% 0.84% 0.84%
11.09% 195,667 17% 1.33% 1.33% 1.03% 1.03%
(3.80%) 108,751 16% 1.75%(1) 1.77%(1) 0.45%(1) 0.43%(1)
14.72% $147,973 136% 1.11% 1.11% 4.78% 4.78%
(3.42%) 130,408 173% 1.11% 1.11% 4.73% 4.73%
5.98% 98,235 241% 1.21% 1.21% 5.02% 5.02%
11.10% 45,602 325% 1.53% 1.53% 6.17% 6.17%
(3.20%) 15,218 163% 1.68%(1) 1.68%(1) 7.03%(1) 7.03%(1)
</TABLE>
- --------------------------------------------------------------------------------
157
<PAGE> 159
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
--------------------------------------
NET ASSET NET
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS
- ------------------------- ------------ --------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C>
Neuberger&Berman 1998 $16.61 $(0.05) $ 3.31 $ 3.26
Mid-Cap Growth 1997 14.39 0.01 2.36 2.37
1996 12.40 0.01 2.01 2.02
1995 9.97 0.04 2.40 2.44
1994(4) 10.00 0.01 (0.04) (0.03)
Founders Passport 1998 $11.78 $ 0.05 $ 1.24 $ 1.29
1997 11.63 0.03 0.21 0.24
1996 10.33 0.09 1.24 1.33
1995(5) 10.00 0.03 0.30 0.33
T. Rowe Price 1998 $14.57 $ 0.19 $(1.78) $(1.59)
Natural Resources 1997 14.47 0.14 0.35 0.49
1996 11.11 0.05 3.35 3.40
1995(5) 10.00 0.04 1.07 1.11
PIMCO Limited 1998 $11.02 $ 0.56 $ 0.03 $ 0.59
Maturity Bond 1997 10.81 0.55 0.22 0.77
1996 10.47 0.56 (0.15) 0.41
1995(5) 10.00 0.05 0.42 0.47
AST Oppenheimer 1998 $12.62 $(0.10) $ 3.55 $ 3.45
Large-Cap Growth 1997 10.99 (0.05) 1.68 1.63
1996(6) 10.00 (0.01) 1.00 0.99
AST Janus Overseas 1998 $11.87 $ 0.04 $ 1.88 $ 1.92
Growth 1997(7) 10.00 0.02 1.85 1.87
AST Putnam Value 1998 $12.23 $ 0.11 $ 1.38 $ 1.49
Growth & Income 1997(7) 10.00 0.07 2.16 2.23
Twentieth Century 1998 $11.34 $ 0.11 $ 2.29 $ 2.40
Strategic Balanced 1997(7) 10.00 0.11 1.23 1.34
Twentieth Century 1998 $11.52 $ 0.03 $ 2.12 $ 2.15
International Growth 1997(7) 10.00 (0.03) 1.55 1.52
T. Rowe Price Small 1998 $12.88 $ 0.09 $(1.42) $(1.33)
Company Value 1997(7) 10.00 0.06 2.82 2.88
<CAPTION>
- ------------------------- -------------------------------------------------
LESS DISTRIBUTIONS
-------------------------------------
NET ASSET
FROM NET FROM NET VALUE
INVESTMENT REALIZED TOTAL END
PORTFOLIO INCOME GAINS DISTRIBUTIONS OF PERIOD
- ------------------------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C>
Neuberger&Berman $(0.01) $(2.60) $(2.61) $17.26
Mid-Cap Growth (0.02) (0.13) (0.15) 16.61
(0.03) -- (0.03) 14.39
(0.01) -- (0.01) 12.40
-- -- -- 9.97
Founders Passport $(0.03) $ -- $(0.03) $13.04
(0.08) (0.01) (0.09) 11.78
(0.03) -- (0.03) 11.63
-- -- -- 10.33
T. Rowe Price $(0.14) $(0.87) $(1.01) $11.97
Natural Resources (0.07) (0.32) (0.39) 14.57
(0.02) (0.02) (0.04) 14.47
-- -- -- 11.11
PIMCO Limited $(0.53) $ -- $(0.53) $11.08
Maturity Bond (0.56) -- (0.56) 11.02
(0.05) (0.02) (0.07) 10.81
-- -- -- 10.47
AST Oppenheimer $ -- $ -- $ -- $16.07
Large-Cap Growth -- -- -- 12.62
-- -- -- 10.99
AST Janus Overseas $(0.05) $ -- $(0.05) $13.74
Growth -- -- -- 11.87
AST Putnam Value $(0.07) $(0.18) $(0.25) $13.47
Growth & Income -- -- -- 12.23
Twentieth Century $(0.08) $ -- $(0.08) $13.66
Strategic Balanced -- -- -- 11.34
Twentieth Century $(0.01) $ -- $(0.01) $13.66
International Growth -- -- -- 11.52
T. Rowe Price Small $(0.05) $(0.06) $(0.11) $11.44
Company Value -- -- -- 12.88
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(4) Commenced operations on October 20, 1994.
(5) Commenced operations on May 2, 1995.
(6) Commenced operations on May 2, 1996.
(7) Commenced operations on January 2, 1997.
See Notes to Financial Statements.
158
<PAGE> 160
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
- --------------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------- ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
20.65% $261,792 228% 1.07% 1.07% (0.34%) (0.34%)
16.68% 185,050 305% 0.99% 0.99% 0.07% 0.07%
16.34% 136,247 156% 1.01% 1.01% 0.24% 0.24%
24.42% 45,979 84% 1.17% 1.17% 0.70% 0.70%
(0.30%) 3,030 5% 1.25%(1) 1.70%(1) 1.41%(1) 0.97%(1)
10.92% $119,997 46% 1.30% 1.30% 0.32% 0.32%
2.03% 117,938 73% 1.35% 1.35% 0.43% 0.43%
12.91% 117,643 133% 1.36% 1.36% 1.25% 1.25%
3.30% 28,455 4% 1.46%(1) 1.46%(1) 0.94%(1) 0.94%(1)
(11.83%) $ 74,126 55% 1.16% 1.16% 1.14% 1.14%
3.39% 111,954 44% 1.16% 1.16% 0.98% 0.98%
30.74% 88,534 31% 1.30% 1.30% 1.08% 1.08%
11.10% 9,262 2% 1.35%(1) 1.80%(1) 1.28%(1) 0.83%(1)
5.72% $349,707 263% 0.86% 0.86% 5.70% 5.70%
7.46% 288,642 54% 0.88% 0.88% 5.71% 5.71%
3.90% 209,013 247% 0.89% 0.89% 5.69% 5.69%
4.70% 161,940 205% 0.89%(1) 0.89%(1) 4.87%(1) 4.87%(1)
27.34% $300,924 252% 1.22% 1.22% (0.70%) (0.70%)
14.83% 235,648 219% 1.23% 1.23% (0.59%) (0.59%)
9.90% 48,790 77% 1.33%(1) 1.33%(1) (0.56%)(1) (0.56%)(1)
16.22% $607,206 97% 1.27% 1.27% 0.32% 0.32%
18.70% 255,705 94% 1.35%(1) 1.35%(1) 0.36%(1) 0.36%(1)
12.27% $189,871 87% 1.00% 1.00% 1.05% 1.05%
22.30% 117,438 81% 1.23%(1) 1.23%(1) 1.24%(1) 1.24%(1)
21.29% $ 91,043 95% 1.16% 1.13% 1.68% 1.71%
13.40% 28,947 76% 1.25%(1) 1.35%(1) 2.02%(1) 1.92%(1)
18.68% $ 77,733 220% 1.65% 1.65% 0.10% 0.10%
15.10% 33,125 171% 1.75%(1) 1.75%(1) (0.58%)(1) (0.58%)(1)
(10.53%) $304,072 10% 1.11% 1.11% 0.93% 0.93%
28.80% 199,896 7% 1.16%(1) 1.16%(1) 1.20%(1) 1.20%(1)
- -------------------------------------------------------------------------------------------------------------
</TABLE>
159
<PAGE> 161
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
--------------------------------------
NET ASSET NET
YEAR VALUE INVESTMENT NET REALIZED TOTAL FROM
ENDED BEGINNING INCOME & UNREALIZED INVESTMENT
PORTFOLIO DECEMBER 31, OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS
- ------------------------- ------------ --------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C>
Marsico Capital Growth 1998 $10.03 $ 0.00 $ 4.17 $ 4.17
1997(8) 10.00 0.01 0.02 0.03
Cohen & Steers Realty 1998(9) $10.00 $ 0.28 $(1.87) $(1.59)
Lord Abbett Small Cap
Value 1998(9) $10.00 $(0.01) $ -- $(0.01)
Bankers Trust Enhanced
500 1998(9) $10.00 $ 0.06 $ 2.72 $ 2.78
Stein Roe Venture 1998(9) $10.00 $(0.03) $(1.77) $(1.80)
<CAPTION>
- ------------------------- -------------------------------------------------
LESS DISTRIBUTIONS
-------------------------------------
NET ASSET
FROM NET FROM NET VALUE
INVESTMENT REALIZED TOTAL END
PORTFOLIO INCOME GAINS DISTRIBUTIONS OF PERIOD
- ------------------------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C>
Marsico Capital Growth $ -- $ -- $ -- $14.20
-- -- -- 10.03
Cohen & Steers Realty $ -- $ -- $ -- $ 8.41
Lord Abbett Small Cap
Value $ -- $ -- $ -- $ 9.99
Bankers Trust Enhanced
500 $ -- $ -- $ -- $12.78
Stein Roe Venture $ -- $ -- $ -- $ 8.20
</TABLE>
- --------------------------------------------------------------------------------
(1) Annualized.
(8) Commenced operations on December 22, 1997.
(9) Commenced operations on January 2, 1998.
See Notes to Financial Statements.
160
<PAGE> 162
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME
SUPPLEMENTAL DATA TO AVERAGE NET ASSETS (LOSS) TO AVERAGE NET ASSETS
- --------------------------------------- -------------------------------- --------------------------------
AFTER ADVISORY BEFORE ADVISORY AFTER ADVISORY BEFORE ADVISORY
NET ASSETS AT PORTFOLIO FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------- ------------- --------- -------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
41.59% $594,966 213% 1.11% 1.11% 0.16% 0.16%
0.30% 7,299 -- 1.00%(1) 1.00%(1) 3.62%(1) 3.62%(1)
(16.00%) $ 33,025 18% 1.30%(1) 1.30%(1) 5.02%(1) 5.02%(1)
(0.10%) $ 41,788 58% 1.31%(1) 1.31%(1) (0.21%)(1) (0.21%)(1)
27.90% $289,551 162% 0.80%(1) 0.86%(1) 1.07%(1) 1.01%(1)
(18.00%) $ 8,930 141% 1.35%(1) 2.04%(1) (0.71%)(1) (1.39%)(1)
</TABLE>
- --------------------------------------------------------------------------------
161
<PAGE> 163
AMERICAN SKANDIA TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1998
- --------------------------------------------------------------------------------
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, 1998, issued 28 classes
of shares of beneficial interest: AST Putnam International Equity Portfolio
("Putnam International Equity"), Lord Abbett Growth and Income Portfolio
("Growth and Income"), JanCap Growth Portfolio ("Growth"), AST Money Market
Portfolio ("Money Market"), Neuberger&Berman Mid-Cap Value Portfolio ("Mid-Cap
Value"), AST Putnam Balanced Portfolio ("Balanced"), Federated High Yield
Portfolio ("High Yield"), T. Rowe Price Asset Allocation Portfolio ("Asset
Allocation"), PIMCO Total Return Bond Portfolio ("Total Return Bond"), INVESCO
Equity Income Portfolio ("Equity Income"), Founders Capital Appreciation
Portfolio ("Capital Appreciation"), T. Rowe Price International Equity Portfolio
("T. Rowe International Equity"), T. Rowe Price International Bond Portfolio
("International Bond"), Neuberger&Berman Mid-Cap Growth Portfolio ("Mid-Cap
Growth"), Founders Passport Portfolio ("Passport"), T. Rowe Price Natural
Resources Portfolio ("Natural Resources"), PIMCO Limited Maturity Bond Portfolio
("Limited Maturity Bond"), AST Oppenheimer Large-Cap Growth Portfolio
("Large-Cap Growth") (formerly, Robertson Stephens Value + Growth Portfolio),
AST Janus Overseas Growth Portfolio ("Overseas Growth"), AST Putnam Value Growth
& Income Portfolio ("Value Growth & Income"), Twentieth Century Strategic
Balanced Portfolio ("Strategic Balanced"), Twentieth Century International
Growth Portfolio ("International Growth"), T. Rowe Price Small Company Value
Portfolio ("Small Company Value"), Marsico Capital Growth Portfolio ("Capital
Growth"), Cohen & Steers Realty Portfolio ("Realty"), Lord Abbett Small Cap
Value Portfolio ("Small Cap Value"), Bankers Trust Enhanced 500 Portfolio
("Enhanced 500"), and Stein Roe Venture Portfolio ("Venture") (collectively the
"Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust, in conformity with generally accepted accounting principles, 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 generally 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
162
<PAGE> 164
- --------------------------------------------------------------------------------
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 accordance with procedures adopted by the Board of
Trustees. As of December 31, 1998, there were no securities valued in accordance
with such procedures.
Foreign Currency Translation
Portfolio securities and other assets and liabilities denominated in foreign
currencies are converted each business day into U.S. dollars based on the
prevailing rates of exchange. Purchases and sales of portfolio securities and
income and expenses are converted into U.S. dollars on the respective dates of
such transactions.
Gains and losses resulting from changes in exchange rates applicable to foreign
securities are not reported separately from gains and losses arising from
movements in securities prices.
Net realized foreign exchange gains and losses include gains and losses from
sales and maturities of foreign currency exchange contracts, gains and losses
realized between the trade and settlement dates of foreign securities
transactions, and the difference between the amount of net investment income
accrued on foreign securities and the U.S. dollar amount actually received. Net
unrealized foreign exchange gains and losses include gains and losses from
changes in the value of assets and liabilities other than portfolio securities,
resulting from changes in exchange rates.
Foreign Currency Exchange Contracts
A foreign currency exchange contract ("FCEC") is a commitment to purchase or
sell a specified amount of a foreign currency at a specified future date, in
exchange for either a specified amount of another foreign currency or U.S.
dollars.
FCECs are valued at the forward exchange rates applicable to the underlying
currencies, and changes in market value are recorded as unrealized gains and
losses until the contract settlement date.
Risks could arise from entering into FCECs if the counterparties to the
contracts were unable to meet the terms of their contracts. In addition, the use
of FCECs may not only hedge against losses on securities denominated in foreign
currency, but may also reduce potential gains on securities from favorable
movements in exchange rates.
Futures Contracts and Options
A financial futures contract calls for delivery of a particular security at a
specified price and future date. The seller of the contract agrees to make
delivery of the type of security called for in the contract and the buyer agrees
to take delivery at a specified future date. Such contracts require an initial
margin deposit, in cash or cash equivalents, equal to a certain percentage of
the contract amount. Subsequent payments (variation margin) 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.
163
<PAGE> 165
- --------------------------------------------------------------------------------
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 option is exercised, the premium reduces the cost basis
of the security or currency purchased. Options are valued based on their quoted
daily settlement prices.
Risks could arise from entering into futures and written options transactions
from the potential inability of counterparties to meet the terms of their
contracts, the potential inability to enter into a closing transaction because
of an illiquid secondary market, and from unexpected movements in interest or
exchange rates or securities values.
Repurchase Agreements
A repurchase agreement is a commitment to purchase government securities from a
seller who agrees to repurchase the securities at an agreed-upon price and date.
The excess of the resale price over the purchase price determines the yield on
the transaction. Under the terms of the agreement, the market value, including
accrued interest, of the government securities will be at least equal to their
repurchase price. Repurchase agreements are recorded at cost, which, combined
with accrued interest, approximates market value.
Repurchase agreements entail a risk of loss in the event that the seller
defaults on its obligation to repurchase the securities. In such case, the
Portfolio may be delayed or prevented from exercising its right to dispose of
the securities.
Swap Agreements
A swap agreement is a two-party contract under which an agreement is made to
exchange returns from predetermined investments or instruments, including a
particular interest rate, foreign currency, or "basket" of securities
representing a particular index. The gross returns to be exchanged or "swapped"
between the parties are calculated based on a "notional amount", which, each
business day, is valued to determine each party's obligation under the contract.
Fluctuations in value are recorded as unrealized gains and losses during the
term of the contract.
Commonly used swap agreements include interest rate caps, under which, in return
for a premium, one party agrees to make payments to the other to the extent that
interest rates exceed a specified rate or "cap"; interest rate floors, under
which, in return for a premium, one party agrees to make payments to the other
to the extent that interest rates fall below a specified level or "floor"; and
interest rate collars, under which a party sells a cap and purchases a floor or
vice versa.
Risks could arise from entering into swap agreements from the potential
inability of counterparties to meet the terms of their contracts, and from the
potential inability to enter into a closing transaction. It is possible that
developments in the swaps market, including potential governmental regulation,
could affect the Portfolio's ability to terminate existing swap agreements or to
realize amounts to be received under such agreements.
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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.
Distributions to Shareholders
Dividends, if any, from net investment income are declared and paid at least
annually by all Portfolios other than Money Market. In the case of Money Market,
dividends are declared daily and paid monthly. Net realized gains from
investment transactions, if any, are distributed at least annually.
Distributions to shareholders are recorded on the ex-dividend date.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Portfolios have entered into investment management agreements with American
Skandia Investment Services, Inc. (the "Investment Manager") which provide that
the Investment Manager will furnish each Portfolio with investment advice and
investment management and administrative services. The Investment Manager has
engaged the following firms as Sub-advisors for their respective Portfolios:
Putnam Investment Management, Inc. for Putnam International Equity, Balanced,
and Value Growth & Income; Lord Abbett & Co. for Growth and Income and Small Cap
Value; Janus Capital Corporation for Growth and Overseas Growth; J. P. Morgan
Investment Management Inc. for Money Market; Federated Investment Counseling for
High Yield; T. Rowe Price Associates, Inc. for Asset Allocation, Natural
Resources, and Small Company Value; Pacific Investment Management Co. for Total
Return Bond and Limited Maturity Bond; INVESCO Funds Group, Inc. for Equity
Income; Founders Asset Management, Inc. for Capital Appreciation and Passport;
Rowe Price-Fleming International, Inc., a United Kingdom Corporation, for T.
Rowe International Equity and International Bond; Neuberger Berman Management
Incorporated for Mid-Cap Value and Mid-Cap Growth; OppenheimerFunds, Inc. for
Large-Cap Growth; American Century Investment Management, Inc. for Strategic
Balanced and International Growth; Marsico Capital Management, LLC for Capital
Growth; Cohen & Steers Capital Management, Inc. for Realty; Bankers Trust
Company for Enhanced 500; and Stein Roe & Farnham Incorporated for Venture.
The Investment Manager receives a fee, computed daily and paid monthly, based on
an annual rate of 1.00%, .75%, .90%, .50%, .90%, .75%, .75%, .85%, .65%, .75%,
.90%, 1.00%, .80%, .90%, 1.00%, .90%, .65%, .90%, 1.00%, .75%, .85%, 1.00%,
.90%, .90%, 1.00%, .95%, .60%, and .95% of the average daily net assets of the
Putnam International Equity, Growth and Income, Growth, Money Market, Mid-Cap
Value, Balanced, High Yield, Asset Allocation, Total Return Bond, Equity Income,
Capital Appreciation, T. Rowe International Equity, International Bond, Mid-Cap
Growth, Passport, Natural Resources, Limited Maturity Bond, Large-Cap Growth,
Overseas Growth, Value Growth & Income, Strategic Balanced, International
Growth, Small Company Value, Capital Growth, Realty, Small Cap Value, Enhanced
500, and Venture Portfolios, respectively. The fees for Putnam International
Equity are at the rate of .85% for average daily net assets in excess of $75
million, for Mid-Cap Value, Mid-Cap Growth and Large-Cap Growth are
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at the rate of .85% for average daily net assets in excess of $1 billion, and
for Balanced are at the rate of .70% for average daily net assets in excess of
$300 million. During the year ended December 31, 1998, the Investment Manager
voluntarily waived .05% from its fee for the Money Market Portfolio, .05% from
its fee for the Growth Portfolio on average daily net assets in excess of $1
billion, and, since February 11, 1998, .05% from its fee for the Growth and
Income Portfolio on average daily net assets in excess of $1 billion.
The Investment Manager pays each Sub-advisor a fee, computed daily and paid
monthly, based on an annual rate of .65%, .50%, .60%, .25%, .50%, .45%, .50%,
.50%, .30%, .50%, .65%, .75%, .40%, .45%, .60%, .60%, .30%, .35%, .65%, .45%,
.50%, .70%, .60%, .45%, .60%, .50%, .17%, and .50% of the average daily net
assets of the Putnam International Equity, Growth and Income, Growth, Money
Market, Mid-Cap Value, Balanced, High Yield, Asset Allocation, Total Return
Bond, Equity Income, Capital Appreciation, T. Rowe International Equity,
International Bond, Mid-Cap Growth, Passport, Natural Resources, Limited
Maturity Bond, Large-Cap Growth, Overseas Growth, Value Growth & Income,
Strategic Balanced, International Growth, Small Company Value, Capital Growth,
Realty, Small Cap Value, Enhanced 500, and Venture Portfolios, respectively. The
Sub-advisors for the Growth, Money Market, and T. Rowe International Equity
Portfolios are currently voluntarily waiving a portion of their fee payable by
the Investment Manager. The annual rates of the fees payable by the Investment
Manager to the Sub-advisors of all Portfolios, other than International Bond,
Capital Growth, Small Cap Value, and Venture, are reduced for Portfolio net
assets in excess of specified levels.
On April 29, 1998, the shareholders of the Federated Utility Income and Berger
Capital Growth Portfolios approved new Investment Management and Sub-Advisory
Agreements, effective May 1, 1998. Under the new Sub-Advisory Agreements,
Neuberger Berman Management Incorporated became Sub-advisor to both Portfolios.
Effective May 1, 1998, the names of the Portfolios were changed from Federated
Utility Income Portfolio to Neuberger&Berman Mid-Cap Value Portfolio and from
Berger Capital Growth Portfolio to Neuberger&Berman Mid-Cap Growth Portfolio.
Prior to May 1, 1998, Federated Investment Counseling served as Sub-advisor to
Federated Utility Income Portfolio and Berger Associates, Inc. served as
Sub-advisor to Berger Capital Growth Portfolio. Prior to May 1, 1998, the
Investment Manager received a fee, computed daily and paid monthly, based on an
annual rate of .75% for both the Federated Utility Income and Berger Capital
Growth Portfolios. The fees for Federated Utility Income Portfolio were reduced
to .60% for average daily net assets in excess of $50 million. The Investment
Manager paid each Sub-advisor a fee, computed daily and paid monthly, based on
an annual rate of .50% and .55% of the average daily net assets of the Federated
Utility Income and Berger Capital Growth Portfolios, respectively. The annual
rates of the fees paid by the Investment Manager to the Sub-advisors of each
Portfolio were reduced for Portfolio net assets in excess of specified levels.
On December 30, 1998, the shareholders of Robertson Stephens Value + Growth
Portfolio approved a new Sub-Advisory Agreement, effective December 31, 1998.
Under the new Agreement, OppenheimerFunds, Inc. became Sub-advisor to the
Portfolio and the name of the Portfolio was changed to AST Oppenheimer Large-Cap
Growth Portfolio. Prior to December 31, 1998, Robertson, Stephens & Company
Investment Management, L.P. served as Sub-advisor to the Portfolio. Prior to
December 31, 1998, the Investment Manager received a fee, computed daily and
paid monthly, based on an annual rate of 1.00% of the average daily net assets
of the Portfolio. The Investment Manager paid the Sub-advisor a fee, computed
daily and paid monthly, based on an annual rate of .60% of the average daily net
assets of
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the Portfolio. The annual rate of the fees paid by the Investment Manager to the
Sub-advisor was reduced for Portfolio net assets in excess of specified levels.
On December 30, 1998, the shareholders of Founders Capital Appreciation
Portfolio approved a new Sub-Advisory Agreement, effective January 1, 1999.
Under the new Agreement, Janus Capital Corporation becomes Sub-advisor to the
Portfolio and the name of the Portfolio changes to AST Janus Small-Cap Growth
Portfolio. In addition, the Investment Manager pays the Sub-advisor a fee,
computed daily and payable monthly, based on an annual rate of .50% of the
average daily net assets of the Portfolio. The annual rate of the fees payable
by the Investment Manager to the Sub-advisor are reduced for Portfolio net
assets in excess of specified levels.
By the terms of the Investment Management Agreement, during the year ended
December 31, 1998, the Investment Manager reimbursed Money Market in the amount
of $121,415 to prevent its expenses from exceeding an annual rate of .60% of
average daily net assets. In addition, the Investment Manager voluntarily
reimbursed Enhanced 500 and Venture in the amount of $73,723 and $29,462,
respectively. Voluntary payments of Portfolio expenses by the Investment Manager
are subject to reimbursement by the Portfolio within the two-year period
following such payments. During the year ended December 31, 1998, Strategic
Balanced paid $18,200 as reimbursement to the Investment Manager.
The Trust has entered into an agreement with American Skandia Life Assurance
Corporation ("ASLAC") pursuant to which it pays ASLAC a shareholder servicing
fee at an annual rate of .10% of each Portfolio's average daily net assets.
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.
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Capital Loss Carryforwards
At December 31, 1998, the following Portfolios had, for federal income tax
purposes, capital loss carryforwards available to offset future net realized
capital gains.
<TABLE>
<CAPTION>
EXPIRATION DECEMBER 31,
-------------------------------------
AMOUNT 2004 2005 2006
----------- -------- ---------- -----------
<S> <C> <C> <C> <C>
Capital Appreciation.......................... $ 5,945,483 $ -- $ -- $ 5,945,483
Passport...................................... 2,860,101 -- 2,860,101 --
Limited Maturity Bond......................... 132,375 132,375 -- --
Overseas Growth............................... 18,489,428 -- 2,020,791 16,468,637
Small Company Value........................... 504,463 -- -- 504,463
Realty........................................ 569,675 -- -- 569,675
Small Cap Value............................... 2,512,177 -- -- 2,512,177
Venture....................................... 1,708,208 -- -- 1,708,208
</TABLE>
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5. PORTFOLIO SECURITIES
Purchases and sales of securities, other than short-term obligations, during the
period ended December 31, 1998, were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER SECURITIES
-------------------------- ----------------------
PURCHASES SALES PURCHASES SALES
----------- ----------- ---------- --------
<S> <C> <C> <C> <C>
Putnam International Equity....................... $ -- $ -- $ 557,527 $536,094
Growth and Income................................. -- -- 904,339 796,940
Growth............................................ -- -- 1,224,439 806,918
Mid-Cap Value..................................... -- -- 490,083 410,478
Balanced.......................................... 205,819 191,365 293,887 278,794
High Yield........................................ 180 4,077 369,858 177,783
Asset Allocation.................................. 27,418 15 73,223 21,043
Total Return Bond................................. 1,727,784 1,398,739 493,110 189,256
Equity Income..................................... 31,132 28,260 578,910 423,472
Capital Appreciation.............................. -- -- 239,729 253,679
T. Rowe International Equity...................... -- -- 141,748 190,552
International Bond................................ -- -- 177,652 182,606
Mid-Cap Growth.................................... -- -- 472,876 452,168
Passport.......................................... -- -- 47,895 47,292
Natural Resources................................. -- -- 49,054 70,009
Limited Maturity Bond............................. 1,032,600 872,726 78,923 47,061
Large-Cap Growth.................................. -- -- 654,342 724,885
Overseas Growth................................... -- -- 626,216 369,641
Value Growth & Income............................. -- -- 184,829 128,629
Strategic Balanced................................ 22,299 9,151 71,401 36,836
International Growth.............................. -- -- 151,802 114,448
Small Company Value............................... -- -- 156,086 22,689
Capital Growth.................................... -- -- 965,238 524,606
Realty............................................ -- -- 39,868 3,540
Small Cap Value................................... -- -- 52,056 11,257
Enhanced 500...................................... -- -- 383,585 174,756
Venture........................................... -- -- 13,722 5,393
</TABLE>
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At December 31, 1998, the cost and unrealized appreciation or depreciation in
value of the investments owned by the Portfolios, for federal income tax
purposes, were as follows ($ in thousands):
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Putnam International Equity..................... $ 419,909 $ 90,721 $(12,833) $ 77,888
Growth and Income............................... 977,333 225,412 (27,728) 197,684
Growth.......................................... 1,816,704 1,455,500 (21,350) 1,434,150
Money Market.................................... 964,747 -- -- --
Mid-Cap Value................................... 256,655 25,438 (11,583) 13,855
Balanced........................................ 372,822 45,373 (12,507) 32,866
High Yield...................................... 604,370 11,963 (30,750) (18,787)
Asset Allocation................................ 278,883 77,403 (5,702) 71,701
Total Return Bond............................... 1,060,706 8,704 (5,530) 3,174
Equity Income................................... 684,798 163,592 (18,507) 145,085
Capital Appreciation............................ 202,169 73,985 (9,757) 64,228
T. Rowe International Equity.................... 368,525 113,429 (32,261) 81,168
International Bond.............................. 139,015 7,974 (3,660) 4,314
Mid-Cap Growth.................................. 227,266 42,957 (11,131) 31,826
Passport........................................ 94,752 31,522 (7,861) 23,661
Natural Resources............................... 91,487 4,070 (21,904) (17,834)
Limited Maturity Bond........................... 461,936 2,468 (1,650) 818
Large-Cap Value................................. 189,483 38,737 (3,237) 35,500
Overseas Growth................................. 516,547 106,462 (15,558) 90,904
Value Growth & Income........................... 176,759 22,798 (10,861) 11,937
Strategic Balanced.............................. 77,062 12,452 (150) 12,302
International Growth............................ 73,467 7,909 (1,592) 6,317
Small Company Value............................. 323,678 30,359 (51,765) (21,406)
Capital Growth.................................. 532,112 84,374 (4,037) 80,337
Realty.......................................... 37,710 227 (4,886) (4,659)
Small Cap Value................................. 42,160 4,543 (4,039) 504
Enhanced 500.................................... 244,749 28,494 (5,133) 23,361
Venture......................................... 7,343 1,201 (146) 1,055
</TABLE>
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6. WRITTEN OPTIONS TRANSACTIONS
Written options transactions, during the year ended December 31, 1998, were as
follows:
<TABLE>
<CAPTION>
TOTAL RETURN BOND LIMITED MATURITY BOND CAPITAL GROWTH
--------------------- --------------------- -----------------------
NUMBER OF NUMBER OF NUMBER OF
CONTRACTS PREMIUM CONTRACTS PREMIUM CONTRACTS PREMIUM
--------- --------- ---------- -------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Balance at beginning of year....... -- $ -- -- -- -- --
Written............................ 35,730 782,014 76 $13,948 695 $ 2,028,983
Expired............................ (9,500) (143,336) -- -- -- --
Exercised.......................... -- -- -- -- -- --
Closed............................. -- -- -- -- (695) (2,028,983)
------ --------- -- ------- ---- -----------
Balance at end of year............. 26,230 $ 638,678 76 $13,948 -- $ --
====== ========= == ======= ==== ===========
</TABLE>
At December 31, 1998, Total Return Bond and Limited Maturity Bond had sufficient
cash and/or securities at least equal to the value of written options.
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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, Neuberger&Berman Mid-Cap Value Portfolio (formerly 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, Neuberger&Berman Mid-Cap Growth Portfolio
(formerly Berger Capital Growth Portfolio), Founders Passport Portfolio, T. Rowe
Price Natural Resources Portfolio, PIMCO Limited Maturity Bond Portfolio, AST
Oppenheimer Large-Cap Growth Portfolio (formerly 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, Marsico Capital Growth Portfolio, Cohen & Steers Realty Portfolio,
Lord Abbett Small Cap Value Portfolio, Bankers Trust Enhanced 500 Portfolio, and
Stein Roe Venture Portfolio (collectively, the "Portfolios") of American Skandia
Trust ("the Trust") as of December 31, 1998, 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, 1998 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, 1998, 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 11, 1999
172
