Semi-Annual Report--Overview
Dear Customer,
1995 has been an exciting year thus far for anyone involved in the financial
markets. The exceptional returns of both the U.S. equity and bond markets
have been fueled by the combination of a much more accommodative interest
rate environment and strong corporate earnings which have often exceeded Wall
Street analysts' predictions.
Six-month periods such as the one we have just experienced, while very
attractive, are not without historical precedent. In fact, in reviewing the
U.S. stock market back to 1925, we find that roughly one out of every eight
six-month periods have experienced stock market returns which exceeded 23%.
It is impossible to predict when the financial markets will make a rapid
advance, but one of the rewards of being a long term investor is being in a
position to take advantage of such periods.
In addition to the excitement caused by the financial markets this year,
ALIAC has created its own excitement through the introduction of the three
Aetna Generation Portfolios--Ascent, Crossroads and Legacy. These funds are
designed to provide individuals with investment vehicles which are easy to
use and which reflect one's investment time horizon and overall risk
tolerance.
Aetna Ascent Variable Portfolio is designed for individuals with an
investment horizon exceeding 15 years and who have a high level of risk
tolerance. Aetna Crossroads Variable Portfolio is designed for people who
have an investment horizon exceeding 10 years and who have a moderate level
of risk tolerance. Aetna Legacy Variable Portfolio is designed for
individuals who have a time horizon exceeding five years and who have a low
level of risk tolerance.
The Aetna Generation Portfolios are beginning to receive an enthusiastic
response, especially from customers who were searching for a simple way to
implement an asset allocation strategy for their retirement savings. Now
available in our retirement savings products, we anticipate that the
Portfolios will also be included in our individual variable life insurance
products in the near future.
We will continue to manage your investments for the long term, allowing
you to rely on our recognized position as a financially solid company. We are
pleased that all four major ratings agencies reaffirmed ALIAC's ratings on
July 12 as either excellent or superior, attesting to our financial strength.
We are ever mindful of the trust that you place in us by selecting ALIAC
to assist in your pursuit of retirement and other financial security goals.
Thank you for your trust and for your business.
Sincerely,
/s/Daniel P. Kearney
Daniel P. Kearney
President, Aetna Life Insurance
and Annuity Company
<PAGE>
Semi-Annual Report--Overview
Dear Customer,
1995 has been an exciting year thus far for anyone involved in the financial
markets. The exceptional returns of both the U.S. equity and bond markets
have been fueled by the combination of a much more accommodative interest
rate environment and strong corporate earnings which have often exceeded Wall
Street analysts' predictions.
Six-month periods such as the one we have just experienced, while very
attractive, are not without historical precedent. In fact, in reviewing the
U.S. stock market back to 1925, we find that roughly one out of every eight
six-month periods have experienced stock market returns which exceeded 23%.
It is impossible to predict when the financial markets will make a rapid
advance, but one of the rewards of being a long term investor is being in a
position to take advantage of such periods.
In addition to the excitement caused by the financial markets this year,
ALIAC has created its own excitement through the introduction of the three
Aetna Generation Portfolios--Ascent, Crossroads and Legacy. These funds are
designed to provide individuals with investment vehicles which are easy to
use and which reflect one's investment time horizon and overall risk
tolerance.
Aetna Ascent Variable Portfolio is designed for individuals with an
investment horizon exceeding 15 years and who have a high level of risk
tolerance. Aetna Crossroads Variable Portfolio is designed for people who
have an investment horizon exceeding 10 years and who have a moderate level
of risk tolerance. Aetna Legacy Variable Portfolio is designed for
individuals who have a time horizon exceeding five years and who have a low
level of risk tolerance.
The Aetna Generation Portfolios are beginning to receive an enthusiastic
response, especially from customers who were searching for a simple way to
implement an asset allocation strategy for their retirement savings.
We will continue to manage your investments for the long term, allowing
you to rely on our recognized position as a financially solid company. We are
pleased that all four major ratings agencies reaffirmed ALIAC's ratings on
July 12 as either excellent or superior, attesting to our financial strength.
We are ever mindful of the trust that you place in us by selecting ALIAC
to assist in your pursuit of retirement and other financial security goals.
Thank you for your trust and for your business.
Sincerely,
/s/ Daniel P. Kearney
Daniel P. Kearney
President, Aetna Life Insurance
and Annuity Company
1
<PAGE>
ALIAC's General Account assets are in excellent condition
To illustrate the value of ALIAC's General Account investment portfolio, it
has been broken down by asset type and credit quality. This breakdown is
based on the market value of the assets. We believe the salient points are:
1. The overall portfolio is high quality. More than 43% of invested assets
are AAA and almost 92% investment grade.
2. Below investment grade and non-rated securities are limited--roughly 8%
of invested assets.
3. Direct investment in commercial real estate loans is
minimal--two-tenths of one percent of invested assets.
4. The amount of assets in default is negligible--two issues comprising
.04% of invested assets. We have recovered some principal on one issue. On
the other issue, the loan has been restructured and the interest payment is
current. We retain the first mortgage on the property.
5. Most of the portfolio is comprised of publicly traded securities--94%.
6. We have continued to reduce our investments in residential
mortgage-backed securities as a result of changes in their risk and return
characteristics.
7. We have increased our holdings of other loan-backed securities. These
are comprised of asset-backed securities (backed by auto loans, credit card
receivables, etc.) and securitized pools of commercial and multifamily
mortgages. These bonds are predominantly AAA rated, and are not subject to
the prepayment risk of residential mortgages.
ALIAC's assets: What we own to back our Fixed Annuities,
Guaranteed Accumulation Account, Universal Life,
and Settlement Obligations.
3 Bar charts:
$12,979,000,000 $11,301,200,000 $11,260,000,000
Cash and Equivalents 3.9% 6.2% 4.8%
Treasury Securities 4.9% 11.6% 7.5%
Residential Mortgage-Backed Securities 27.7% 28.9% 57.5%
Other Loan-Backed Securities 9.8% 9.5% 2.0%
Corporate Bonds 51.0% 41.3% 26.7%
Other* 2.7% 2.5% 1.5%
6-30-95 12-31-94 12-31-93
*As of 6/30/95: 2.5% stock, 0.2% commercial mortgages.
As of 12/31/94: 2.2% stock, 0.3% commercial mortgages.
As of 12/31/93: 1.2% stock, 0.3% commercial mortgages.
2
<PAGE>
ALIAC's Portfolio Value: The credit quality of what we own
according to Standard & Poor's Corporation
6-30-95 12-31-94 12-31-93
--------------------------------------------- ------- ------- --------
AAA "highest rating . . . capacity to pay
interest and repay principal is extremely
strong." Example: Government National
Mortgage Association Pass Throughs 43.5% 49.8% 68.2%
AA "very strong capacity to pay interest and
repay principal." Example: McDonalds
Corporation 9.5 7.3 5.7
A "strong capacity to pay interest and repay
principal." Example: Atlantic Richfield
Debentures 24.3 21.8 12.7
BBB "adequate capacity to pay interest and
repay principal." Example: Enron Debentures 10.6 7.7 4.2
Cash and Equivalents 3.9 6.2 4.8
--------------------------------------------- ------- ------- --------
Total Investment Grade 91.8% 92.8% 95.6%
--------------------------------------------- ------- ------- --------
Not Rated private and public securities that
Standard & Poor's did not rate (Average
"BBB" quality according to internal
ratings, though some are deemed to be below
investment grade). Example: TransCanada
Pipeline Debentures 5.4 5.2 2.4
BB "predominantly speculative . . . lowest
degree of speculation." Example: Safeway 1.9 1.5 1.0
B "greater vulnerability to default but
currently has the capacity to meet interest
payments and principal payments." Example:
Stone Container 0.8 0.4 0.9
D in payment default. Example: Pittsburgh
Lake Erie Notes 0.1 0.1 0.1
--------------------------------------------- ------- ------- --------
100.0% 100.0% 100.0%
--------------------------------------------- ------- ------- --------
Portfolio Composition
ALIAC's portfolio allocation to Residential Mortgage Pass Through Securities
and Residential Collateralized Mortgage Obligations (CMOs) has been reduced.
3 Pie Charts:
6-30-95 12-31-94 12-31-93
Residential CMOs 20.6% 22.7% 46.3%
Residential Mortgage Pass Throughs 7.1% 6.2% 11.2%
Other 72.3% 71.1% 42.5%
3
<PAGE>
How ALIAC's investments are doing
Recent declines in the level of interest rates have caused the market value
of our securities to increase relative to their costs.
<TABLE>
<CAPTION>
(millions) 6-30-95 12-31-94 12-31-93
Fair Fair
Val. Val. Fair Val.
Versus Current Versus Current Versus
Current Amortized Amortized Fair Amortized Amortized Fair Amortized Amortized
Fair Val. Cost Cost Val. Cost Cost Val. Cost Cost
--------- -------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total
Portfolio
Including
Below
Investment
Grade $12,979 $12,479 +3.8% $11,301 $11,693 -3.4% $11,260 $10,557 +6.7%
Below
Investment
Grade 473 467 +1.3% 323 340 -5.0% 220 215 +2.3%
------------ --------- -------- -------- -------- -------- -------- -------- -------- ---------
</TABLE>
ALIAC Claims Paying Ratings
ALIAC has maintained excellent to superior credit ratings.
Moody's Standard &
A.M. Duff & Investors Poor's
Description Best Phelps Service Corp.
-------------- ------- ------- ----------- ------------
Superior A++ AAA Aaa AAA
-------------- ------- ------- ----------- ------------
A+
-------------- ------- ------- ----------- ------------
Excellent A AA+ Aa1 AA+
-------------- ------- ------- ----------- ------------
A- AA Aa2 AA
-------------- ------- ------- ----------- ------------
AA- Aa3 AA-
-------------- ------- ------- ----------- ------------
Good B++ A+ A1 A+
-------------- ------- ------- ----------- ------------
B+ A A2 A
-------------- ------- ------- ----------- ------------
A- A3 A-
-------------- ------- ------- ----------- ------------
Adequate B BBB+ Baa1 BBB+
-------------- ------- ------- ----------- ------------
B- BBB Baa2 BBB
-------------- ------- ------- ----------- ------------
BBB- Baa3 BBB-
-------------- ------- ------- ----------- ------------
Below Average C++ BB+ Ba1 BB+
-------------- ------- ------- ----------- ------------
C+ BB Ba2 BB
-------------- ------- ------- ----------- ------------
BB- Ba3 BB-
-------------- ------- ------- ----------- ------------
B+ B1 B+
-------------- ------- ------- ----------- ------------
Poor C B B2 B
-------------- ------- ------- ----------- ------------
C- B- B3 B-
-------------- ------- ------- ----------- ------------
Very Poor CCC Caa CCC
-------------- ------- ------- ----------- ------------
CC Ca CC
-------------- ------- ------- ----------- ------------
C C C
-------------- ------- ------- ----------- ------------
Default D D D
-------------- ------- ------- ----------- ------------
4
<PAGE>
Fixed Account
In marked contrast to 1994 which was the worst year for bonds in nearly
twenty years, the first half of 1995 showed stellar returns in the fixed
income markets. All three major sectors of the market--Treasuries,
corporates, and mortgage-backed securities, produced total returns in excess
of 10% as the economic strength experienced during 1994 gave way to
surprising weakness in 1995. This decline in economic activity resulted in a
drop in interest rates of over 150 basis points for the ten year Treasury,
and a more accomodative posture by the Federal Reserve.
Corporate bonds have been the best performing sector of the fixed income
markets, justifying our strategic shift in 1994 from mortgage-backed
securities to corporate bonds. We began 1995 with a 41% allocation to
corporates, up from 27% at the beginning of 1994. During the first half of
1995, we increased that further to 49%, as we swapped out of nearly all of
our Treasury securities into corporates to add yield and return to the
portfolio.
Mortgage-backed securities lagged Treasuries during the first half of 1995
as the decline in interest rates has investors worrying once again about a
pick-up in mortgage refinancings. Our allocation to mortgage-backed
securities stands at 33%, and we have focused our efforts on those securities
that have limited prepayment risk or provide a yield that more than offsets
expected prepayments. Quite often, a high prepayment environment provides the
opportunity to find value in this sector in the securities that are less
sensitive to prepayments.
Looking ahead to the remainder of 1995, we expect continued volatility in
the markets until clearer evidence is available regarding the strength of our
economy, and the Fed's monetary policy intentions. The Fixed Account will
continue to maintain minimal exposure to Treasuries, as we seek to add yield
in the corporate and mortgage-backed sectors. In addition, we will continue
to follow a strategy of diversification within each of the major market
sectors to reduce portfolio risk and continue to provide attractive long-term
portfolio returns. Our diversification strategy has already enabled us to
take advantage of the volatility in international markets during the first
half of the year, by adding dollar denominated foreign bonds at attractive
levels.
Aetna Guaranteed Accumulation Account
New rates are announced monthly for the Guaranteed Accumulation Account
(GAA). Typically, we have a short-term offering with a maturity of
approximately one year and a long-term offering with a maturity of four to
five years. The specific maturity offered may vary from month to month.
Rates for new GAA offerings are based on prevailing market interest rates.
This gives clients an opportunity each month to invest in a guaranteed fixed
rate product with a competitive rate.
The portfolio backing the GAA is invested primarily in high- grade
corporate bonds and asset-backed securities. As of June 30, 1995 these
positions were 77% and 14% of the portfolio, respectively. Although the
specific mix of securities in the portfolio may change from time to time, the
portfolio targets an average credit rating of "A".
GAA also offers investors the ability to withdraw their funds at any time
subject to a market value adjustment (MVA). The MVA will vary based on market
interest rates, just as the value of fixed income securities will change as
interest rates change. Thus, clients taking funds out of the GAA may find the
proceeds to be larger or smaller than the accumulated value in the account.
This difference can be determined before making the actual withdrawal.
5
<PAGE>
Fund Manager Reports
Aetna Variable Fund
Aetna Variable Fund achieved a total return of 15.74% for the first six
months of 1995 (net of investment management fees and other fund expenses),
compared to 20.19% for the S&P 500, an unmanaged index.
This six month period was an astounding one for stock fund investors,
marked by impressive corporate earnings and continual declines in interest
rates, both very powerful upward forces on the stock market.
The Fund was positioned very defensively entering 1995, a strategy which
worked well during the last quarter of 1994, but which proved detrimental
during the strong bull market which became evident during the first quarter
of 1995. Fund management responded to this change in market environment by
dramatically reducing cash levels by the middle of the first quarter, which
helped set the stage for strong second quarter performance.
Also noteworthy was our strategy of diversifying into small-
capitalization, international, and real estate-related stocks during the
first quarter. By investing modest amounts into these asset classes, we hope
to achieve enhanced returns and reduced portfolio volatility through
diversification over the long-term. The S&P 500, a large-cap benchmark, was
particularly strong relative to these other asset classes during the first
quarter, but if history is any guide, over time we expect to see each of the
diversifying asset classes enjoy the same or better success.
In keeping with our philosophy of managing the portfolio through a team of
specialists, we added a real estate portfolio manager to our staff who is
responsible for our investments in equity real estate investment trusts and
real estate operating companies. Given their high yield, low volatility, and
strong growth prospects, we believe that these securities are a very
attractive niche within the equity market.
With the Fund's risk-reduction and diversification moves now behind it,
turnover and its attendant transaction costs have diminished. We believe that
we are well positioned to achieve performance which will compare favorably to
both the overall market and our Growth and Income fund competitors. We thank
you for your investment in Aetna Variable Fund, and we will continue to work
hard to keep your trust.
Aetna Income Shares
Aetna Income Shares generated a return of 11.07% (net of investment
management fees and other fund expenses) for the six month period ending
6/30/95 as compared to the Lehman Brothers Aggregate Bond Index return of
11.44%.
After a disappointing 1994, the bond market staged a strong rally during
the first half of 1995. The Federal Reserve's seven doses of anti-inflation
medicine appear to have been successful in stemming domestic growth and
controlling inflationary pressures. The degree of weakness was surprising in
the second quarter and soon had the market focusing attention on a reversal
of monetary policy. Anticipation of a Fed ease spurred the market ahead,
causing the yield on 10-year Treasury notes to drop by 100 basis points (1%)
during the quarter.
With declining interest rates driving up prices this year, the major bond
market sectors produced double digit returns. Corporate bonds were the best
performing investment grade sector led by finance and lower quality
industrial issuers. The increase in refinancing activity heightened
prepayment concerns in residential mortgages and caused performance in the
mortgage-backed securities sector to underperform other sectors of the bond
market.
Aetna Income Shares started the year with a defensive posture in regards
to interest rate risk which detracted from performance in the first quarter.
Duration extension in conjunction with a shift towards overweighting the
corporate sector and underweighting the mortgage backed sector enabled the
Fund to generate returns for the second quarter that exceeded the Lehman
Aggregate Bond Index by 48 basis points (6.57% vs 6.09%). Selective high
yield holdings such as News Corp. and Viacom also added value during the
year.
Thus far, the Fed appears to have been successful in orchestrating the
coveted "soft landing." Although recent releases indicate that there is still
strength remaining in the economy, it is unlikely that the Fed will move to
tighten monetary policy. A step towards easing has already occurred in early
July. Whether it will be followed by additional interest rate cuts is
currently under debate. In this uncertain interest rate environment, Aetna
Income Shares will move towards a neutral duration stance while maintaining
an overweighted position in corporate bonds. In the long run, the existing
combination of moderate growth and low inflation should bode well for
financial assets.
6
<PAGE>
Aetna Variable Encore Fund
Aetna Variable Encore Fund returned 3.03% (net of investment management fees
and other fund expenses) for the six month period ending 6/30/95. This result
compares favorably with the 2.69% return of the Donoghue Money Market Fund
index over the same period.
We began the year with a forecast for higher interest rates in 1995. While
the Federal Reserve did raise short term interest rates by 50 basis points in
early February, evidence began to indicate growing weakness in the U.S.
economy. On July 6, five months following its last tightening move, the Fed
responded by reversing policy direction and reducing the Federal Funds rate
by 25 basis points.
During the first half of 1995, Aetna Variable Encore maintained a maturity
that was shorter than the average money market mutual fund. By investing in
shorter maturities and floating rate securities, the Fund was able to react
quickly to take advantage of higher yields available in the market.
We believe that short-term interest rates will likely decline in the second
half of 1995 as the Fed moves cautiously in this easing cycle and will be
extending the average maturities of securities held in the Fund. Our
objective is to provide attractive short-term yields while adhering to
strict credit quality standards.
Aetna Investment Advisers Fund, Inc.
Aetna Investment Advisers Fund, Inc. achieved a total return of 14.06% for the
first six months of 1995 (net of investment management and other fund
expenses), compared to 16.63% for the benchmark index comprised of 60% of the
S&P 500, an unmanaged index, and 40% of the Lehman Brothers Aggregate Bond
Index.
The Fund was positioned in a slightly defensive manner entering 1995. As
the market reacted positively to strong corporate earnings, a moderating
economy with diminished prospects for further monetary tightening and benign
inflation, the Fund repositioned its asset allocation to take advantage of
more favorable market conditions. Much of the relative performance gain
during the first half of 1995 was due to more aggressive allocation weights
in both equities and fixed income.
Within our equity exposure, we have augmented our conservative, large
capitalization emphasis by adding modest amounts of small-cap and mid-cap
stocks. This strategy is consistent with our belief that diversification
within asset classes will provide enhanced risk adjusted returns. Within our
bond exposure, we have enhanced our high quality portfolio by continuing to
focus our attention on foreign and high-yield bonds for improved long-term
performance. These modifications, while significant, do not deviate from the
Fund's objective of maximizing total return with reasonable safety of
principal by investing in a diversified portfolio of stocks, bonds and money
market instruments.
The Fund is currently positioned with a neutral view on the financial
markets, and maintains an asset allocation of 55% stocks, 31% bonds and 14%
cash. Our long term outlook remains positive based on secular improvements in
corporate earnings, moderate inflation, global economic growth and
productivity improvements from increased capital spending and technology.
Near term, however, we are cautious about the financial market participants'
reaction to moderating corporate earnings and lack of clarity on Federal
Reserve's monetary policy.
7
<PAGE>
Statement of Assets and Liabilities--June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Aetna Aetna
Aetna Aetna Variable Investment
Variable Fund Income Shares Encore Fund Advisers Fund, Inc.
-------------- ------------- ------------ --------------------
<S> <C> <C> <C> <C>
Assets:
Investments, at market
value (Note 1) $5,022,795,940 $611,296,036 $493,116,635 $1,058,803,585
Cash 1,770,570 656 7,219 223,645
Cash denominated in
foreign currencies 1,382,494 0 0 0
Receivable for:
Dividends and interest 10,982,584 8,898,928 2,529,175 8,335,810
Investments sold 64,309,668 2,520,175 5,529 17,400,469
Trust/Fund shares sold 83,042 0 0 0
Recoverable taxes 56,391 0 0 0
Forward foreign currency
exchange contracts 107,880,239 0 0 0
-------------- ------------- ------------ --------------------
Total assets 5,209,260,928 622,715,795 495,658,558 1,084,763,509
-------------- ------------- ------------ --------------------
Liabilities:
Payable for:
Investments purchased 103,168,440 0 0 14,126,408
Trust/Fund shares
redeemed 89,407 0 0 0
Variation margin 144,181 0 0 0
Forward foreign currency
exchange contracts 109,440,781 0 0 0
Accrued investment
advisory fees 1,082,027 136,145 108,026 232,706
Accrued service fees 163,441 18,012 10,479 28,670
Accrued custodian fees 49,135 8,924 10,662 20,147
Other liabilities 203,769 54,097 41,863 56,967
-------------- ------------- ------------ --------------------
Total liabilities 214,341,181 217,178 171,030 14,464,898
-------------- ------------- ------------ --------------------
Net assets applicable to
outstanding shares $4,994,919,747 $622,498,617 $495,487,528 $1,070,298,611
============== ============= ============ ====================
Net assets represented by:
Paid-in capital $3,526,237,549 $604,701,058 $480,946,168 $ 879,410,079
Net unrealized gain (loss) 1,035,914,426 20,959,936 (50,914) 117,222,465
Undistributed net
investment income 64,328,993 19,499,346 14,592,274 30,968,962
Accumulated net realized
gain (loss) 368,438,779 (22,661,723) 0 42,697,105
-------------- ------------- ------------ --------------------
Total--representing net
assets applicable to
outstanding shares $4,994,919,747 $622,498,617 $495,487,528 $1,070,298,611
============== ============= ============ ====================
Shares authorized Unlimited Unlimited Unlimited 2,000,000,000
Shares outstanding 164,536,606 47,803,452 38,325,619 76,738,628
Net asset value per share $30.36 $13.02 $12.93 $13.95
Cost of investments $3,984,970,676 $590,336,100 $493,167,549 $ 941,581,120
Cost of foreign currencies $1,266,451 $0 $0 $0
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
Statement of Operations--Six-Month Period Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Aetna
Aetna Aetna Investment
Variable Aetna Variable Advisers Fund,
Fund Income Shares Encore Fund Inc.
------------ ------------- ------------ ------------------
<S> <C> <C> <C> <C>
Investment Income: (Note 1)
Interest $ 8,269,967 $22,161,414 $15,239,515 $ 14,947,728
Dividends 61,340,101 323,773 0 8,058,529
------------ ------------- ------------ ------------------
69,610,068 22,485,187 15,239,515 23,006,257
Foreign taxes withheld (799,670) 0 0 (110,012)
------------ ------------- ------------ ------------------
Total investment income 68,810,398 22,485,187 15,239,515 22,896,245
------------ ------------- ------------ ------------------
Expenses: (Note 2)
Investment advisory fee 5,830,446 735,833 603,880 1,252,404
Administrative personnel
and service fees 934,678 103,005 58,615 163,959
Custodian and transfer
agent fees 63,378 12,687 14,934 25,131
Trustees'/Directors' fees 33,449 10,625 9,745 12,861
Audit fees 16,267 12,708 11,188 13,725
Miscellaneous 103,009 18,117 15,179 30,790
------------ ------------- ------------ ------------------
Total expenses 6,981,227 892,975 713,541 1,498,870
------------ ------------- ------------ ------------------
Net investment income 61,829,171 21,592,212 14,525,974 21,397,375
------------ ------------- ------------ ------------------
Net Realized and
Unrealized Gain (Loss):
(Notes 1 and 3)
Net realized gain (loss)
on:
Sales of investments,
excluding short-term
investments 227,462,676 (3,616,353) 0 18,968,944
Written options (142,053) 0 0 0
Futures and forward
foreign exchange
contracts 4,813,618 0 0 0
Foreign currency related
transactions (714,822) 0 0 0
------------ ------------- ------------ ------------------
Net realized gain
(loss) 231,419,419 (3,616,353) 0 18,968,944
------------ ------------- ------------ ------------------
Net change in unrealized
gain (loss) on:
Investments 393,325,125 43,999,411 313,958 92,268,318
Futures and forward
foreign exchange
contracts (2,026,881) 0 0 0
Foreign currency related
transactions 116,043 0 0 0
------------ ------------- ------------ ------------------
Net change in
unrealized gain 391,414,287 43,999,411 313,958 92,268,318
------------ ------------- ------------ ------------------
Net realized and change in
unrealized gain 622,833,706 40,383,058 313,958 111,237,262
------------ ------------- ------------ ------------------
Net increase in net assets
resulting from
operations $684,662,877 $61,975,270 $14,839,932 $132,634,637
============ ============= ============ ==================
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Aetna Variable Fund Aetna Income Shares
---------------------------------- -----------------------------------
Six-Month Six-Month
Period Ended Period Ended
June 30, 1995 Year Ended June 30, 1995 Year Ended
(Unaudited) December 31, 1994 (Unaudited) December 31, 1994
-------------- ----------------- -------------- ------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 61,829,171 $ 118,921,019 $ 21,592,212 $ 37,526,101
Net realized gain (loss) 231,419,419 692,123,546 (3,616,353) (14,516,626)
Net change in unrealized
gain (loss) 391,414,287 (854,769,952) 43,999,411 (47,425,831)
-------------- ----------------- -------------- ------------------
Net increase (decrease)
in net assets resulting
from operations 684,662,877 (43,725,387) 61,975,270 (24,416,356)
-------------- ----------------- -------------- ------------------
Distributions to
Shareholders: (Note 1)
From net investment income 0 (119,240,804) 0 (37,526,100)
In excess of net
investment income 0 0 0 (908,894)
From net realized gains 0 (573,117,509) 0 0
-------------- ----------------- -------------- ------------------
Decrease in net assets
from distributions to
shareholders 0 (692,358,313) 0 (38,434,994)
-------------- ----------------- -------------- ------------------
Share Transactions:
Proceeds from shares sold 224,419,356 339,330,848 46,441,260 52,636,460
Net asset value of shares
issued to shareholders
upon reinvestment of
distributions 0 692,177,111 0 38,350,232
Payments for shares
redeemed (338,038,842) (859,162,291) (47,621,746) (107,860,652)
-------------- ----------------- -------------- ------------------
Net increase (decrease)
in net assets from share
transactions (113,619,486) 172,345,668 (1,180,486) (16,873,960)
-------------- ----------------- -------------- ------------------
Change in net assets 571,043,391 (563,738,032) 60,794,784 (79,725,310)
Net Assets:
Beginning of period 4,423,876,356 4,987,614,388 561,703,833 641,429,143
-------------- ----------------- -------------- ------------------
End of period $4,994,919,747 $4,423,876,356 $622,498,617 $ 561,703,833
============== ================= ============== ==================
End of period net assets
includes undistributed
(distributions in excess
of) net investment
income $ 64,328,993 $ 9,617,086 $ 19,499,346 ($ 2,092,866)
============== ================= ============== ==================
Share Transactions
Shares sold 7,989,046 11,045,632 3,733,709 4,260,197
Shares issued upon
reinvestment 0 25,965,977 0 3,224,948
Shares redeemed (12,117,295) (27,976,805) (3,861,295) (8,698,147)
-------------- ----------------- -------------- ------------------
Net increase (decrease) (4,128,249) 9,034,804 (127,586) (1,213,002)
============== ================= ============== ==================
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Aetna Variable Encore Fund Aetna Investment Advisers Fund, Inc.
----------------------------------- ------------------------------------
Six-Month Six-Month
Period Ended Period Ended
June 30, 1995 Year Ended June 30, 1995 Year Ended
(Unaudited) December 31, 1994 (Unaudited) December 31, 1994
--------------- ----------------- --------------- ------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 14,525,974 $ 17,683,948 $ 21,397,375 $ 36,334,686
Net realized gain 0 0 18,968,944 26,834,272
Net change in unrealized
gain (loss) 313,958 (404,280) 92,268,318 (66,993,020)
--------------- ----------------- --------------- ------------------
Net increase (decrease)
in net assets resulting
from operations 14,839,932 17,279,668 132,634,637 (3,824,062)
--------------- ----------------- --------------- ------------------
Distributions to
Shareholders: (Note 1)
From net investment income 0 (17,696,304) 0 (34,225,507)
From net realized gains 0 0 0 (5,204,325)
--------------- ----------------- --------------- ------------------
Decrease in net assets
from distributions to
shareholders 0 (17,696,304) 0 (39,429,832)
--------------- ----------------- --------------- ------------------
Share Transactions:
Proceeds from shares sold 148,864,036 338,351,549 49,215,503 118,669,062
Net asset value of shares
issued to shareholders
upon reinvestment of
distributions 0 17,696,304 0 39,429,832
Payments for shares
redeemed (151,255,679) (252,841,342) (69,559,734) (77,284,617)
--------------- ----------------- --------------- ------------------
Net increase (decrease)
in net assets from share
transactions (2,391,643) 103,206,511 (20,344,231) 80,814,277
--------------- ----------------- --------------- ------------------
Change in net assets 12,448,289 102,789,875 112,290,406 37,560,383
Net Assets:
Beginning of period 483,039,239 380,249,364 958,008,205 920,447,822
--------------- ----------------- --------------- ------------------
End of period $ 495,487,528 $ 483,039,239 $1,070,298,611 $958,008,205
=============== ================= =============== ==================
End of period net assets
includes undistributed
net investment income $ 14,592,274 $ 66,300 $ 30,968,962 $ 11,804,800
=============== ================= =============== ==================
Share Transactions
Shares sold 11,683,228 26,697,083 3,796,388 9,425,078
Shares issued upon
reinvestment 0 1,409,510 0 3,232,168
Shares redeemed (11,863,351) (19,935,586) (5,418,535) (6,216,426)
--------------- ----------------- --------------- ------------------
Net increase (decrease) (180,123) 8,171,007 (1,622,147) 6,440,820
=============== ================= =============== ==================
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
Notes to Financial Statements
June 30, 1995 (Unaudited)
1. Summary of Significant Accounting Policies
Aetna Variable Fund is registered under the Investment Company Act of 1940 as
a diversified open-end management investment trust whose shares are currently
sold to Aetna Life Insurance and Annuity Company ("Company"), an Aetna Life
Insurance Company Separate Account, and other shareholders of the Fund only
through reinvestment of dividends. The Company's shares are allocated to
certain of its variable life/annuity accounts. The Company's accounts and
affiliates held 97% of the Fund's shares outstanding at June 30, 1995.
Aetna Income Shares is registered under the Investment Company Act of 1940
as a diversified open-end management investment trust whose shares are
currently sold to the Company for allocation to certain of its variable
life/annuity accounts and other shareholders of the Fund only through
reinvestment of dividends. The Company's accounts and affiliates held 99% of
the Fund's outstanding shares at June 30, 1995.
Aetna Variable Encore Fund is registered under the Investment Company Act
of 1940 as a diversified open-end management investment trust organized by
the Company to serve as an investment vehicle for certain of the Company's
variable life/annuity accounts. The Company's accounts held 100% of the
Fund's outstanding shares at June 30, 1995.
Aetna Investment Advisers Fund, Inc. is registered under the Investment
Company Act of 1940 as a diversified open-end management investment company
whose shares are currently sold to the Company for allocation to certain of
its variable life/annuity separate accounts. The separate accounts held 100%
of the Fund's shares outstanding at June 30, 1995.
Collectively, Aetna Variable Fund, Aetna Income Shares, Aetna Variable
Encore Fund, and Aetna Investment Advisers Fund, Inc. are referred to as the
"Funds".
The accompanying financial statements of the Funds have been prepared in
accordance with generally accepted accounting principles.
a. Valuation of Investments Investments are stated at market values based
upon closing sales prices as reported on national securities exchanges or,
for over-the-counter securities, at the mean of the bid and asked prices.
Short-term investments maturing in more than sixty days for which market
quotations are readily available are valued at current market value. Short-
term investments maturing in less than sixty days are valued at amortized
cost which when combined with accrued interest approximates market.
Securities for which market quotations are not considered to be readily
available are valued in good faith using methods approved by the Board of
Directors.
The accounting records of the Fund are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in a
foreign currency are translated into U.S. dollars at the prevailing rates of
exchange at the end of the period. Purchases and sales of securities, income
receipts, and expense payments are translated into U.S. dollars at the
prevailing exchange rate on the respective dates of the transactions.
b. Option Contracts The Funds may purchase and sell put and call options
and write covered call options as a hedge against adverse movements in the
value of portfolio holdings.
Option contracts are valued daily. Unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the option
is traded.
The Funds will realize a gain or loss upon the expiration or closing of
the option contract. When an option is exercised, the proceeds on sales for a
written call option, the purchase cost for a written put option, or the cost
of the security for a purchased put or call option is adjusted by the amount
of premium received or paid.
The risk in writing a call option is that the Funds give up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Funds may
incur a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Funds pay a premium
whether or not the option is exercised. Risks may also arise from an illiquid
secondary market, or from the inability of counterparties to meet the terms
of the contract.
c. Futures and Foreign Currency Exchange Contracts A futures contract is
an agreement between two parties to buy and sell a specific amount of a
commodity, security or financial instrument including an index of stocks at a
set price on a future date. The Funds use futures contracts as a hedge
against declines in the value of portfolio securities. The Funds may also
purchase futures contracts to gain market exposure as it may be more cost
effective than purchasing individual securities.
Upon entering into a futures contract, each Fund is required to deposit
with a broker, an amount (initial margin) equal to a percentage of the
purchase price indicated by the futures contract. Subsequent deposits
(variation margin) are received or paid each day by each Fund equal to the
daily fluctuations in the market value of the contract. These amounts are
recorded by each Fund as unrealized gains or losses. When a contract is
closed, each Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. Generally, futures contracts are closed prior to
expiration.
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for
another currency at an agreed upon exchange rate. The Funds may use forward
foreign currency exchange contracts to hedge certain foreign currency assets.
Contracts are recorded at market value and marked-to-market daily.
12
<PAGE>
The risks associated with futures and forward foreign currency exchange
contracts may arise from an imperfect correlation between the change in
market value of the securities held by the Funds and the price of futures
contracts. Risks may also arise from an illiquid secondary market, or from
the inability of counterparties to meet the terms of the contract.
Realized and unrealized gains or losses on futures and foreign currency
exchange contracts are reflected in the accompanying financial statements.
For federal tax purposes, any futures and forward foreign currency exchange
contracts which remain open at the end of the fiscal year are
marked-to-market and the resultant net gain or loss is included in federal
taxable income.
d. Federal Income Taxes As a qualified regulated investment company, the
Funds are relieved of federal income and excise taxes by distributing its net
taxable investment income and capital gains, if any, in compliance with the
applicable provisions of the Internal Revenue Code.
e. Distributions The Funds distribute all net investment income and net
capital gains, if any, to shareholders semi-annually. Distributions from net
investment income are based on taxable net income. Distributions are recorded
on the ex-dividend date. Income and capital gain distributions are determined
in accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions and losses deferred
due to wash sales.
f. Other Investment transactions are accounted for on the day following
trade-date, except same day settlements which are accounted for on the
trade-date. Interest income is recorded on an accrual basis. Discounts and
premiums on securities purchased are amortized over the life of the
respective security. Dividend income and stock splits are recorded on the
ex-dividend date. Realized gains and losses from investment transactions are
determined on an identified cost basis.
2. Investment Advisory Fee and Other Expenses
Each Fund pays the Company (its investment adviser) an annual fee of
one-quarter of one percent (.25%) of its average daily net assets. For the
six-month period ended June 30, 1995, each Fund also paid the Company the
following administrative personnel and service fees:
Administrative
Personnel
and Service Fees
----------------------
Aetna Variable Fund $934,678
Aetna Income Shares 103,005
Aetna Variable Encore Fund 58,615
Aetna Investment Advisers Fund, Inc. 163,959
Other than expenses specifically assumed by the Company under the
Management Agreement, all expenses incurred in the operation of the Fund are
borne by the Fund.
3. Purchases and Sales of Investments
Purchases and sales of investment securities, excluding short-term
investments, for all Funds except Aetna Variable Encore Fund, for the
six-month period ended June 30, 1995 were:
Cost of Proceeds from
Purchases Sales
--------------- ------------------
Aetna Variable Fund $2,566,392,277 $2,357,106,682
Aetna Income Shares 367,125,294 380,224,157
Aetna Investment Advisers Fund,
Inc. 873,376,373 808,211,245
4. Capital Loss Carryforward
At June 30, 1995, for federal income tax purposes, Aetna Income Shares had the
following capital loss carryforwards:
Capital Loss Year of
Carryforward Expiration
-------------- -----------------
$ 3,975,000 2001
10,377,000 2002
3,193,000 2003
5. Options
The following reflects the Funds call and put option activity for the
six-month period ended June 30, 1995:
Aetna Variable Fund
Put Options Written
------------------------------------------
Number of Deferred Realized
Option Premium Gain
Contracts Received (Loss)
------------- ------------- ----------
Outstanding
December 31 -- $ -- $ --
Written 2,000 177,380 --
Cancelled (1,472) (131,243) (95,916)
Exercised -- -- --
Expired (528) (46,137) (46,137)
------------- ------------- ----------
Outstanding June 30 -- $ -- $(142,053)
------------- ------------- ----------
Aetna Investment Advisers Fund, Inc.
Call Options Written
----------------------------------------------------
Number of Option Deferred Premium Realized
Contracts Received Gain (Loss)
----------------- ----------------- ------------
Outstanding
December 31 -- $ -- $ --
Written 24 610,160 --
Cancelled (24) (610,160) --
Exercised -- -- --
Expired -- -- --
----------------- ----------------- ------------
Outstanding June 30 -- $ -- $ --
----------------- ----------------- ------------
13
<PAGE>
6. Forward Foreign Currency Exchange Contracts
At June 30, 1995, Aetna Variable Fund had the following open forward foreign
currency exchange contracts that obligate the Fund to deliver currencies at
specified future dates. The unrealized loss of $1,560,542 on these contracts
is included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
U.S. $ Value Currency to U.S. $ Value as
Exchange Currency to be as of be of
Date Delivered June 30, 1995 Received June 30, 1995
--------- ------------------ -------------- ------------- ----------------
<S> <C> <C> <C> <C>
9/13/95 94,400,000 $ 9,730,304 9,549,528 $ 9,549,528
Austrian Schilling U.S. Dollar
9/21/95 41,215,600 9,633,212 9,579,676 9,579,676
Finnish Markka U.S. Dollar
9/21/95 19,500,000 30,965,610 31,141,988 31,141,988
British Pound U.S. Dollar
9/13/95 1,579,600,000 18,794,693 18,407,743 18,407,743
Japanese Yen U.S. Dollar
9/13/95 7,329,648 7,329,648 590,000,000 7,020,049
U.S. Dollar Japanese Yen
9/18/95 837,000,000 9,965,373 9,479,585 9,479,585
Japanese Yen U.S. Dollar
9/18/95 13,980,000 9,052,645 8,982,267 8,982,267
Dutch Guilder U.S. Dollar
9/7/95 59,800,000 9,709,368 9,460,090 9,460,090
Norwegian Krone U.S. Dollar
9/28/95 5,900,000 4,259,928 4,259,313 4,259,313
Singapore Dollar U.S. Dollar
-------------- ----------------
$109,440,781 $107,880,239
-------------- ----------------
</TABLE>
14
<PAGE>
Aetna Variable Fund
Financial Highlights
Selected data for each share outstanding throughout each period:
Six-Month
Period Ended
June 30, Year Ended December 31,
1995 --------------------------------------
(Unaudited) 1994 1993 1992 1991
------------ ------- ------- ------- --------
Net asset value,
beginning of period $26.229 31.245 31.602 30.954 25.498
------------ ------- ------- ------- --------
Income from
investment
operations:
Net investment
income 0.372 0.765 0.822 0.810 0.922
Net realized and
unrealized gain
(loss) 3.757 (1.071) 1.287 1.229 5.780
------------ ------- ------- ------- --------
Total from
investment
operations 4.129 (0.306) 2.109 2.039 6.702
------------ ------- ------- ------- --------
Less distributions:
From net investment
income 0.000 (0.811) (0.814) (0.866) (0.942)
From net realized
gains on
investments 0.000 (3.899) (1.652) (0.525) (0.304)
------------ ------- ------- ------- --------
Total distributions 0.000 (4.710) (2.466) (1.391) (1.246)
------------ ------- ------- ------- --------
Net asset value, end
of period $30.358 26.229 31.245 31.602 30.954
============ ======= ======= ======= ========
Total return* 15.74% (0.96%) 6.74% 6.70% 26.41%
Net assets, end of
period (millions) $4,995 $4,424 $4,988 $4,552 $3,818
Ratio of total
expenses to average
net assets 0.30%** 0.30% 0.29% 0.30% 0.30%
Ratio of net
investment income
to average net
assets 2.68%** 2.52% 2.57% 2.86% 3.22%
Portfolio turnover
rate 53.07% 84.27% 25.22% 16.26% 12.08%
* The total return percentage does not reflect any separate account charges
under variable annuity contracts.
** Annualized
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
15
<PAGE>
Aetna Income Shares
Financial Highlights
Selected data for each share outstanding throughout each period:
Six-Month
Period Ended
June 30, Year Ended December 31,
1995 --------------------------------------
(Unaudited) 1994 1993 1992 1991
------------ ------- ------- ------- --------
Net asset value,
beginning of
period $ 11.719 13.052 12.759 13.511 12.307
------------ -------- -------- -------- ---------
Income from
investment
operations:
Net investment
income 0.453 0.791 0.854 0.949 0.919
Net realized and
unrealized gain
(loss) 0.850 (1.294) 0.365 0.039 1.465
------------ -------- -------- -------- ---------
Total from
investment
operations 1.303 (0.503) 1.219 0.988 2.384
------------ -------- -------- -------- ---------
Less
distributions:
From net
investment
income 0.000 (0.811) (0.842) (1.070) (1.039)
In excess of net
investment
income 0.000 (0.019) (0.010) 0.000 0.000
From net
realized gains
on investments 0.000 0.000 (0.060) (0.670) (0.141)
In excess of net
realized gains
on investments 0.000 0.000 (0.014) 0.000 0.000
------------ -------- -------- -------- ---------
Total
distributions 0.000 (0.830) (0.926) (1.740) (1.180)
------------ -------- -------- -------- ---------
Net asset value,
end of period $ 13.022 11.719 13.052 12.759 13.511
============ ======== ======== ======== =========
Total return* 11.07% (3.80%) 9.68% 7.45% 19.43%
Net assets, end
of period
(000's) $622,499 $561,704 $641,429 $530,880 $470,760
Ratio of total
expenses to
average net
assets 0.31%** 0.33% 0.31% 0.31% 0.31%
Ratio of net
investment
income to
average net
assets 7.42%** 6.38% 6.47% 6.96% 6.98%
Portfolio
turnover rate 71.62% 74.24% 56.37% 94.26% 97.82%
* The total return percentage does not reflect any separate account charges
under variable annuity contracts.
** Annualized
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
16
<PAGE>
Aetna Variable Encore Fund
Financial Highlights
Selected data for each share outstanding throughout each period:
Six-Month
Period Ended
June 30, Year Ended December 31,
1995 ----------------------------------------
(Unaudited) 1994 1993 1992 1991
------------ -------- -------- -------- ---------
Net asset value,
beginning of
period $ 12.544 12.535 12.557 12.628 12.685
------------ -------- -------- -------- ---------
Income from
investment
operations:
Net investment
income 0.377 0.526 0.397 0.502 0.795
Net realized and
unrealized gain
(loss) 0.007 (0.022) 0.001 (0.042) 0.033
------------ -------- -------- -------- ---------
Total from
investment
operations 0.384 0.504 0.398 0.460 0.828
------------ -------- -------- -------- ---------
Less distributions:
From net
investment income 0.000 (0.495) (0.420) (0.531) (0.885)
------------ -------- -------- -------- ---------
Net asset value,
end of period $ 12.928 12.544 12.535 12.557 12.628
============ ======== ======== ======== =========
Total return* 3.03% 4.09% 3.19% 3.67% 6.53%
Net assets, end of
period (000's) $495,488 $483,039 $380,249 $461,991 $502,510
Ratio of total
expenses to
average net
assets 0.29%** 0.32% 0.31% 0.37% 0.36%
Ratio of net
investment income
to average net
assets 5.95%** 4.16% 3.14% 3.96% 6.09%
* The total return percentage does not reflect any separate account charges
under variable annuity contracts.
** Annualized
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
17
<PAGE>
Aetna Investment Advisers Fund, Inc.
Financial Highlights
Selected data for each share outstanding throughout each period:
Six-Month
Period
Ended
June 30, Year Ended December 31,
1995 -----------------------------------
(Unaudited) 1994 1993 1992 1991
----------- ------- ------- ------- --------
Net asset value,
beginning of period $12.226 12.798 12.066 11.841 10.467
----------- ------- ------- ------- --------
Income from investment
operations:
Net investment income 0.278 0.480 0.441 0.450 0.560
Net realized and
unrealized gain
(loss) 1.443 (0.532) 0.741 0.297 1.357
----------- ------- ------- ------- --------
Total from
investment operations 1.721 (0.052) 1.182 0.747 1.917
----------- ------- ------- ------- --------
Less distributions:
From net investment
income 0.000 (0.451) (0.425) (0.506) (0.543)
In excess of net
investment income 0.000 0.000 (0.015) 0.000 0.000
From net realized
gains on investments 0.000 (0.069) (0.010) (0.016) 0.000
----------- ------- ------- ------- --------
Total distributions 0.000 (0.520) (0.450) (0.522) (0.543)
----------- ------- ------- ------- --------
Net asset value, end
of period $13.947 12.226 12.798 12.066 11.841
=========== ======= ======= ======= ========
Total return* 14.06% (0.35%) 9.90% 6.39% 18.38%
Net assets, end of
period (millions) $ 1,070 $ 958 $ 920 $ 730 $ 456
Ratio of total
expenses to average
net assets 0.30%** 0.32% 0.31% 0.32% 0.33%
Ratio of net
investment income to
average net assets 4.32%** 3.83% 3.53% 4.05% 4.94%
Portfolio turnover
rate 86.70% 112.05% 24.71% 15.51% 6.60%
* The total return percentage does not reflect any separate account charges
under variable annuity contracts.
** Annualized
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
18
<PAGE>
Aetna Variable Fund
Portfolio of Investments--June 30, 1995 (Unaudited)
COMMON AND PREFERRED STOCKS (97.1%)
Common Stocks (96.0%)
Number of
Shares Market Value
------------- -------------------
Aerospace & Defense (2.2%)
Gencorp, Inc. 59,500 $ 639,625
Kaman Corp. Class A 37,000 471,750
Lockheed Martin Corp. 361,504 22,819,940
Loral Corp. 234,800 12,150,900
McDonnell Douglas Corp. 937,300 71,937,775
Precision Castparts Corp. 4,300 151,038
Smiths Industries Plc 116,200 959,437
Watkins-Johnson Co. 52,700 2,345,150
-------------------
111,475,615
-------------------
Autos & Auto Equipment (1.7%)
Bandag, Inc. 12,100 756,250
Borg Warner Automotive, Inc. 86,700 2,470,950
Breed Technologies, Inc. 62,500 1,500,000
Detroit Diesel Corp.+ 2,400 50,700
Eaton Corp. 432,000 25,110,000
Echlin, Inc. 96,400 3,349,900
Ford Motor Co. 1,060,200 31,540,950
Kaydon Corp. 25,500 758,625
Masland Corp. 39,900 508,725
Smith (A.O.) Corp. 65,000 1,527,500
SPX Corp. 8,000 91,000
TRW Inc. 182,900 14,609,138
-------------------
82,273,738
-------------------
Banks (5.7%)
AMMB Holdings Bhd 33,000 392,535
Associated Banc-Corp. 8,375 257,008
Bank of Boston Corp. 763,200 28,620,000
Bank of Montreal 31,900 667,534
Bankamerica Corp. 907,300 47,746,580
Bankers Corp. 42,000 690,375
Barnett Banks of Florida, Inc. 90,600 4,643,250
BayBanks, Inc. 41,900 3,325,813
Bell Bancorp, Inc. 20,000 572,500
Brooklyn Bancorp+ 15,000 502,500
Canadian Imperial Bank of Commerce 23,500 564,452
CCB Financial Corp. 6,800 285,600
Centura Banks, Inc. 13,700 381,888
Charter One Financial, Inc. 29,000 712,313
Chemical Banking Corp. 1,077,400 50,907,150
Citicorp 455,000 26,333,125
Citizens Bancorp 4,100 120,950
City National Corp. 92,300 1,049,913
CNB Bancshares, Inc. 6,800 202,300
Commerce Asset Holding Bhd 113,000 579,368
Commerce Bancorp, Inc. 9,500 183,469
Commerce Bancshares Inc. 7,000 218,750
Commercial Federal Corp.+ 23,000 628,188
Corestates Financial Corp. 200,000 6,975,000
Creditanstalt-Bankverein 18,600 1,072,008
Cullen/Frost Bankers, Inc. 28,000 1,137,500
Development Bank of Singapore Ltd. 66,000 750,912
FFY Financial Corp. 23,000 442,750
First American Corp. (Tenn.) 34,400 1,236,250
First Bank System, Inc. 58,500 2,398,500
First Citizens Bancshares Class A 200 9,750
First Commercial Corp. 2,800 71,050
First Commonwealth Financial Corp. 13,500 204,188
First Empire State Corp. 3,900 668,850
First Interstate Bancorp 537,800 43,158,450
First Midwest Bancorp 1,000 24,500
Number of
Shares Market Value
------------- -------------------
Firstbank of Illinois Co. 400 $ 10,900
Firstier Financial, Inc. 5,200 193,050
Great Southern Bancorp 200 3,750
Hibernia Corp. Class A 87,000 772,125
HSBC Holdings Plc 126,000 1,624,675
JSB Financial, Inc. 27,700 803,300
Life Bancorp, Inc. 20,500 284,438
Loyola Capital Corp. 5,500 169,469
MAF Bancorp, Inc. 5,800 134,125
Mark Twain Bancshares, Inc. 15,900 510,788
MBNA Corp. 167,500 5,653,125
Mellon Bank Corp. 264,100 10,993,163
Midlantic Corp. 10,000 398,750
NBT Bancorp, Inc. 600 9,788
New York Bancorp, Inc. 8,600 170,925
North Fork Bancorporation, Inc. 14,000 253,750
Oversea-Chinese Banking 27,000 299,463
Queens County Bancorp, Inc. 21,000 672,000
Reliance Bancorp, Inc. 42,000 595,875
Republic Bancorp, Inc. 10,200 119,850
River Forest Bancorp, Inc. 2,300 92,863
Royal Bank of Canada 25,300 566,253
Security Capital Corp.+ 26,500 1,298,500
Silicon Valley Bancshares+ 6,500 116,188
St. Francis Capital Corp.+ 8,500 172,125
Standard Financial, Inc.+ 70,000 918,750
Star Banc Corp. 42,000 1,932,000
Summit Bancorporation 32,500 694,688
Suntrust Banks, Inc. 75,000 4,368,750
Susquehanna Bancshares, Inc. 6,000 140,250
TCF Financial Corp. 15,100 717,250
The Bank of New York Co., Inc. 387,900 15,661,463
The Boston Bancorp 12,000 507,750
Trustmark Corp. 6,700 115,994
Union Planters Corp. 82,000 2,193,500
Valley National Bancorp 25,400 612,775
-------------------
281,517,677
-------------------
Building Materials & Construction
(0.4%)
American Buildings Co.+ 29,900 523,250
Amsteel Corp. 102,000 151,452
Butler Manufacturing Co. 4,200 175,875
Champion Enterprises, Inc.+ 135,800 2,155,825
Clayton Homes, Inc. 175,000 2,865,625
Granite Construction, Inc. 18,900 422,888
Hojng Leong Industries Bhd 57,000 355,373
Hume Industries (Malaysia) Bhd 53,000 289,130
IJM Corp. 35,000 139,253
Metra Oy Class B 10,300 452,694
National Steel Corp.+ 16,200 251,100
NCI Building Systems, Inc.+ 11,000 180,125
Radex-Heraklith Industrial AG 12,800 435,271
Redman Industries, Inc.+ 49,700 1,068,550
Skyline Corp. 11,000 199,375
Stone & Webster, Inc. 18,000 531,000
Strabag Oesterreich AG 3,400 513,474
Texas Industries, Inc. 31,000 1,205,125
Tredegar Industries, Inc. 11,000 273,625
VA Technologie AG 8,800 1,102,068
Vulcan Materials Co. 36,000 1,962,000
Webb (Del E.) Corp. 141,300 3,285,225
Weinerberger Baustofindustrie 1,900 730,041
-------------------
19,268,344
-------------------
19
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Chemicals (3.6%)
Airgas, Inc.+ 15,000 $ 403,125
Arcadian Partners, L.P. 25,200 696,150
ARCO Chemical Co. 55,000 2,495,625
Cabot Corp. 90,400 4,768,600
Chemed Corp. 11,500 399,625
Cytec Industries+ 31,900 1,303,913
Dow Chemical Co. 325,000 23,359,375
Du Pont (E.I.) De Nemours 235,000 16,156,250
Dyno Industrier AS 16,400 413,658
Fuji Photo Film Ord 33,000 781,272
Loctite Corp. 11,000 500,500
Lyondell Petrochemical Co. 150,600 3,859,125
Morton International, Inc. 440,000 12,870,000
Norsk Hydro AS 83,800 3,513,755
Olin Corp. 63,600 3,275,400
OM Group, Inc. 30,200 856,925
PPG Industries, Inc. 961,900 41,361,700
Praxair, Inc. 491,500 12,287,500
Sekisui Chemical Co. 56,000 659,600
Sterling Chemicals, Inc.+ 142,000 1,650,750
The Geon Co. 130,100 3,740,375
Union Carbide Corp. 1,136,400 37,927,350
Valspar Corp. 24,700 935,513
Vigoro Corp. 89,000 3,693,500
Wellman, Inc. 80,300 2,198,213
-------------------
180,107,799
-------------------
Commercial Services (0.9%)
ADVO, Inc. 24,400 460,550
Alco Standard Corp. 215,000 17,173,125
California Water Service Co. 4,200 132,300
CDI Corp.+ 20,000 410,000
Devry, Inc.+ 85,600 1,728,050
Flightsafety International, Inc. 13,000 633,750
Franklin Quest Co.+ 55,000 1,320,000
GRC International, Inc.+ 28,000 441,000
Inchcape Plc 327,100 1,529,927
Interim Services, Inc.+ 5,700 141,788
Jacobs Engineering Group Inc.+ 8,500 187,000
Kelly Services Inc. Class A 45,000 1,147,500
Kindercare Learning Centers, Inc.+ 50,300 672,763
Manpower Inc. 132,000 3,366,000
Orkla AS Class A 38,600 1,728,078
Robert Half International Inc.+ 146,000 3,741,250
Rollins Inc. 27,700 664,800
Royal PTT Nederland NV 37,400 1,343,554
Service Corp. International 100,000 3,162,500
Stewart Enterprises, Inc. 40,000 1,345,000
True North Communications, Inc. 27,400 517,175
Welsh Water Plc 86,500 915,125
-------------------
42,761,235
-------------------
Computer Software (1.0%)
Adobe Systems, Inc. 44,500 2,592,125
American Management Systems, Inc.+ 44,500 1,109,719
Analysts International Corp. 4,900 126,788
Autodesk, Inc. 140,100 5,989,275
BMC Software, Inc.+ 112,700 8,677,900
Boole & Babbage Inc.+ 9,000 275,625
Cadence Design Systems, Inc.+ 101,600 3,289,300
Computer Language Research, Inc. 1,500 14,625
Continum, Inc.+ 6,000 198,750
Inso Corp.+ 2,200 130,213
Kronos, Inc.+ 19,700 736,288
Novell, Inc.+ 546,300 10,891,856
Number of
Shares Market Value
------------- -------------------
Oracle Systems Corp.+ 151,100 $ 5,826,794
Peoplesoft Inc.+ 3,500 189,000
Phoenix Technologies Ltd.+ 20,600 221,450
Policy Management Systems 45,000 2,070,000
PRI Automation, Inc.+ 15,800 521,400
Reynolds & Reynolds Co. 40,000 1,180,000
Sterling Software, Inc.+ 44,000 1,694,000
Sungard Data Systems, Inc.+ 54,300 2,850,750
Tekelec+ 28,000 668,500
The MacNeal-Schwendler Corp. 32,600 456,400
Triad Systems Corp.+ 18,200 130,813
-------------------
49,841,571
-------------------
Computers & Office Equipment
(5.4%)
Adaptec, Inc.+ 55,800 2,057,625
American Express 864,800 41,942,800
Ceridian Corp.+ 382,400 14,101,000
Champion Industries, Inc. 8,000 175,000
Comdisco, Inc. 25,000 759,375
Dell Computer Corp.+ 79,400 4,778,888
Gateway 2000, Inc.+ 117,800 2,687,313
HBO & Co. 4,500 245,813
In Focus Systems, Inc.+ 66,800 1,807,775
International Business Machines
Corp. 1,252,100 120,201,600
Microsoft Corp.+ 404,000 36,536,750
Planar Systems, Inc.+ 85,000 1,891,250
Read-Rite Corp.+ 185,600 4,953,200
Silicon Graphics Inc.+ 12,348 492,377
Standard Register Co. 4,600 87,975
Sun Microsystems, Inc.+ 425,000 20,639,063
Trident Microsystems, Inc.+ 47,000 975,250
United Stationers, Inc. 587 10,346
Xerox Corp. 146,700 17,200,575
-------------------
271,543,975
-------------------
Consumer Products (0.5%)
American Greetings Corp. Class A 120,000 3,517,500
American Safety Razor Co.+ 20,500 246,000
Block Drug Co. Class A 7,200 249,300
Cobra Golf, Inc.+ 62,900 1,989,213
Dekalb Genetics Corp. Class B 18,000 789,750
Eastman Kodak Co. 199,900 12,118,938
Fieldcrest Cannon, Inc.+ 47,200 1,020,700
First Brands Corp. 81,200 3,481,450
Guilford Mills, Inc. 2,400 58,500
Helene Curtis Industries, Inc. 10,000 285,000
Huffy Corp. 22,700 295,100
Libbey, Inc. 12,200 253,150
Maybelline, Inc. 39,000 799,500
Natures Sunshine Products, Inc. 5,500 85,250
NCH Corp. 6,100 350,750
Reckitt & Coleman Plc 144,100 1,519,919
-------------------
27,060,020
-------------------
Diversified (2.5%)
Acma Ltd. 65,000 206,512
Applied Power, Inc. 16,900 487,988
Astec Industries, Inc.+ 19,800 222,750
BIC Corp. 13,000 510,250
Brascan Ltd. Class A 20,200 317,945
Cyrk International, Inc.+ 46,300 422,488
Dover Corp. 600,100 43,657,275
Elkjop Norge AS 26,000 518,735
First Capital Corp. Ltd. 71,000 219,478
Gadek (Malaysia) Bhd 4,000 24,774
Griffon Corp.+ 74,400 595,200
20
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Diversified (continued)
Hagemeyer N.V. 10,800 $ 481,316
Harrisons & Crosfield Plc 621,975 1,405,090
Harsco Corp. 64,000 3,376,000
Helix Technology Corp. 16,900 728,813
Insilco Corp.+ 2,700 94,838
ITT Corp. 345,900 40,643,250
Kulicke & Soffa Industries, Inc.+ 65,100 4,321,013
Lonrho Plc 761,510 1,793,000
Lydall, Inc.+ 13,000 286,000
Oasis Residential Inc. 330,200 7,181,850
Plantronics, Inc.+ 9,100 243,425
SPS Technologies, Inc.+ 4,800 180,600
Standex International Corp. 15,100 475,650
Straits Steamship Land Ltd. 48,000 166,240
Textron Inc. 80,000 4,650,000
Valmet Corp. Class A 18,200 410,590
VF Corp. 165,500 8,895,625
Westmont Bhd 55,000 272,970
-------------------
122,789,665
-------------------
Electrical Equipment (5.5%)
3Com Corp.+ 45,100 3,021,700
ADFlex Solutions, Inc.+ 12,000 288,750
Ametek, Inc. 60,400 1,087,200
AMP Inc. 576,400 24,352,900
Avnet, Inc. 72,000 3,483,000
Belden Inc. 35,800 966,600
Burr-Brown Corp.+ 48,450 1,308,150
Cidco, Inc.+ 105,000 3,300,938
Colonial Data Technologies Corp.+ 800 15,100
Dionex Corp.+ 6,300 287,438
Emerson Electric Co. 748,400 53,510,600
General Electric Co. 1,312,600 73,997,825
Harman International Industries 37,500 1,518,750
Hitachi Ltd. (Hit. Seisakusho) 93,000 925,618
International Rectifier Corp.+ 118,200 3,841,500
Itel Corp.+ 10,700 417,300
Kemet Corp.+ 14,600 768,325
Kent Electronics Corp.+ 6,300 238,613
Linear Technology Corp. 5,500 361,625
Littlefuse, Inc.+ 20,000 630,000
Marshall Industries+ 24,000 804,000
Methode Electronics, Inc. Class A 22,600 440,700
Microchip Technology Corp.+ 262,200 9,570,300
Molex, Inc. 17,900 691,388
Park Electrochemical Corp. 16,200 820,125
Parker-Hannifin Corp. 771,000 27,948,750
Pittway Corp. Class A 13,600 622,200
Sundstrand Corp. 18,000 1,075,500
Tektronix, Inc. 165,000 8,126,250
Telco Systems, Inc.+ 43,000 435,375
Teleflex, Inc. 10,000 430,000
Teradyne, Inc.+ 66,100 4,321,288
Texas Instruments, Inc. 344,200 46,079,775
Valmont Industries 8,700 184,331
-------------------
275,871,914
-------------------
Electrical & Electronics (3.3%)
Austria Mikro Systeme
International 5,100 670,660
Bell Industries, Inc.+ 15,645 334,412
CTS Corp. 7,500 228,750
Dynatech Corp.+ 41,600 790,400
Esterline Technologies+ 70,300 1,590,538
FPL Group, Inc. 633,000 24,449,625
Glenayre Technologies, Inc.+ 66,300 3,397,875
Number of
Shares Market Value
------------- -------------------
Hewlett Packard Co. 288,000 $ 21,456,000
Input/Output Inc.+ 49,200 1,771,200
Intel Corp. 1,000,000 63,312,500
Kyocera Corp. 11,000 904,358
Logicon, Inc. 33,000 1,468,500
Matsushita Electric Industrial Co.
Ltd. 61,000 948,410
Mattson Technology, Inc.+ 14,000 652,750
Maxim Integrated Products, Inc.+ 47,900 2,442,900
Motorola, Inc. 59,000 3,960,375
MTS Systems Corp. 3,600 98,100
Nintendo Co. Ltd. 15,000 860,424
Phillips Electronics NV 31,200 1,320,039
Pioneer Standard Electronics 9,600 237,600
Rohm Co. 26,000 1,341,343
Seagate Technology, Inc.+ 53,200 2,088,100
Tandy Corp. 502,100 26,046,438
The Panda Project, Inc.+ 8,800 254,650
Tracor Inc.+ 48,300 652,050
Unitrode Corp.+ 22,100 621,563
Varian Associates, Inc. 33,700 1,861,925
Venture Manufacturing Ltd. 34,000 89,531
Wyle Laboratories 13,900 390,938
-------------------
164,241,954
-------------------
Financial Services (2.9%)
Abbey National PLC 147,026 1,094,669
ABN-Amro Hodlings N.V. 16,200 624,805
Advanta Corp. Class A 31,000 1,290,375
ALBANK Financial Corp. 22,100 580,125
Alex Brown & Sons, Inc. 57,000 2,365,500
American General Corp. 112,700 3,803,625
Amresco, Inc. 27,000 244,688
Astoria Financial Corp.+ 36,800 1,320,200
AT&T Capital Corp. 9,700 259,475
Barclays Plc 150,800 1,620,577
Bear Stearns Co., Inc. 120,000 2,565,000
CNA Financial Corp.+ 8,400 725,550
Dean Witter Discover and Co. 658,300 30,940,100
Deposit Guaranty Corp. 18,000 697,500
Federal Home Loan Mortgage Corp. 220,100 15,131,875
First USA, Inc. 30,000 1,331,250
Fort Wayne National Corp. 6,400 175,200
Great Financial Corp. 40,000 755,000
Greenpoint Financial Corp. 123,600 2,920,050
Home Financial Corp. 54,700 776,056
Household International, Inc. 170,000 8,415,000
Kagoshima Bank 93,000 832,509
Keystone Financial, Inc. 4,300 120,669
Leader Financial Corp. 30,000 856,875
Liberty Financial Co. 4 103
Lion Land Bhd 371,000 448,913
Mercury Finance Co. 48,200 927,850
Nippon Shinpan Co. 107,000 685,607
Orient Corp. 137,000 684,193
Peoples Heritage Financial Group 40,700 618,131
Pioneer Group, Inc. 50,000 1,356,250
Promise Co. Ltd. 17,000 708,834
Rashid Hussain Bhd 153,000 489,500
Raymond James Financial, Inc. 500 9,688
Sanyo Shinpan Finance Co. 13,000 949,352
Sumitomo Bank of California 300 7,388
Transamerica Corp. 279,000 16,251,750
Travelers, Inc. 891,900 39,020,625
Union Bank 55,000 2,303,125
Unitas Bank Ltd. Class A+ 223,700 721,697
21
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Financial Services (continued)
United Overseas Bank Ltd. 28,000 $ 264,472
United States Trust Corp. 4,600 329,475
Vallicorp Holdings, Inc. 19,700 307,813
World Acceptance Corp.+ 4,300 145,125
Yasuda Banking & Trust+ 120,000 784,452
-------------------
146,461,016
-------------------
Foods & Beverages (8.0%)
Anheuser-Busch Co., Inc. 839,700 47,757,938
Archer-Daniels-Midland Co. 1,847,700 34,413,413
Bols Wessanen CVA 24,900 515,505
Cadbury Schweppes Plc 118,300 863,854
Cagle's, Inc. 18,000 301,500
Campbell Soup Co. 99,000 4,851,000
Cerebos Pacific Ltd. 67,000 393,131
Coca-Cola Co. 1,272,000 81,090,000
Coca-Cola Enterprises, Inc. 140,000 3,062,500
ConAgra, Inc. 1,448,100 50,502,488
CPC International Inc. 458,000 28,281,500
Cultor Oy 9,500 308,708
Goodmark Foods, Inc. 12,900 203,175
Heinz (H.J.) Co. 232,000 10,295,000
Hillsdown Holding Plc 517,338 1,481,459
Hormel Foods Corp. 66,000 1,724,250
Hudson Foods, Inc. Class A 148,800 2,064,600
Huhtamaki Group Class "I" 15,100 494,214
IBP, Inc. 101,000 4,393,500
International Multifoods Corp. 47,000 1,057,500
Kikkoman 81,000 561,943
Kroger Co. (The)+ 400,000 10,750,000
Lance, Inc. 13,000 240,500
Luby's Cafeterias, Inc. 7,500 150,938
McDonald's Corp. 340,000 13,302,500
Michael Foods, Inc. 22,600 244,363
Molson Companies Ltd. 31,500 513,001
Mondavi (Robert) Corp.+ 10,000 175,000
Nash-Finch Co. 17,000 276,250
Oester Brau-Beteiligungs 8,200 431,326
PepsiCo, Inc. 870,000 39,693,750
Richfood Holdings, Inc. 34,400 761,100
Safeway, Inc.+ 77,600 2,900,300
Sanderson Farms, Inc. 450 4,950
Sara Lee Corp. 1,824,900 52,009,650
Sbarro, Inc. 500 11,625
Super Food Services, Inc. 10,600 125,875
Thorn Apple Valley 22,800 530,100
Unilever N.V. 9,300 1,209,210
Universal Foods Corp. 23,700 767,288
-------------------
398,714,904
-------------------
Health Services (1.5%)
Advantage Health Corp.+ 7,800 203,775
Baxter International, Inc. 89,100 3,241,013
Bergen Brunswig Corp. Class A 93,000 2,127,375
Beverly Enterprises Inc.+ 22,224 275,020
Columbia/HCA Healthcare Corp. 948,600 41,026,950
Diagnostic Products Corp. 15,000 547,500
Genetics Institute, Inc. Dep Shrs+ 10,000 340,000
GranCare, Inc.+ 24,000 387,000
Health Management Associates Class
A+ 19,500 570,375
Health Management, Inc.+ 44,800 490,000
HealthCare COMPARE Corp.+ 33,800 1,014,000
Healthdyne Technologies, Inc.+ 33,600 348,600
Horizon Healthcare Corp.+ 175,000 3,128,125
Human Genome Sciences, Inc.+ 13,000 216,125
Number of
Shares Market Value
------------- -------------------
Invacare Corp. 28,400 $ 1,185,700
Lincare Holdings, Inc.+ 95,300 2,537,363
Manor Care Inc. 331,800 9,663,675
Nellcor, Inc.+ 47,800 2,133,075
Owens & Minor Inc. (Holding Co.) 32,000 400,000
Quorum Health Group, Inc.+ 17,000 341,063
Respironics, Inc.+ 8,000 112,000
Sun Healthcare Group, Inc.+ 105,000 1,653,750
Surgical Care Affiliates, Inc. 48,500 927,563
TheraTx, Inc.+ 19,000 251,750
Universal Health Services, Inc.+ 32,700 948,300
West Co., Inc. 5,900 165,200
-------------------
74,235,297
-------------------
Health Technology (0.3%)
A.L. Pharma Inc. Class A 48,700 913,125
Amsco International, Inc.+ 182,600 2,533,575
Barr Labs Inc.+ 4,600 99,475
Coherent, Inc.+ 10,700 315,650
Cordis Corp.+ 35,100 2,351,700
Datascope Corp.+ 26,100 440,438
Kinetic Concepts, Inc. 11,800 82,600
Research Industries Corp.+ 30,000 684,375
Rhone-Poulenc Rorer, Inc. 65,200 2,665,050
Spacelabs Medical, Inc.+ 5,800 147,175
Sullivan Dental Products, Inc.+ 3,500 30,188
Sybron International Corp.+ 70,300 2,803,213
Watson Pharmaceuticals+ 68,400 2,659,050
-------------------
15,725,614
-------------------
Home Furnishings & Appliances
(0.1%)
Haverty Furniture Company, Inc. 45,000 450,000
Kimball International, Inc. Class
B 4,500 120,938
Leggett & Platt, Inc. 85,000 3,740,000
-------------------
4,310,938
-------------------
Hotels & Restaurants (0.6%)
Compass Group Plc 219,800 1,297,312
Hotel Properties Ltd 153,000 270,419
La Quinta Inns Inc. 71,900 1,941,300
Marcus Corp. 5,800 175,450
Marriott International 569,300 20,423,638
Prime Hospitality Corp.+ 32,700 322,913
RFS Hotel Investors Inc. 126,100 1,907,263
Rock Bottom Restaurants, Inc.+ 4,100 118,388
Sonic Corp.+ 64,900 1,768,525
Uno Restaurant Corp.+ 5,525 56,977
-------------------
28,282,185
-------------------
Household Products (1.1%)
Berkshire Hathaway+ 100 2,345,000
Carlisle Cos., Inc. 7,400 283,050
Dial Corp. (The) 240,000 5,940,000
Gillette Co. 451,400 20,143,725
Oneida Ltd. 8,600 126,850
Procter & Gamble Co. 342,000 24,581,250
Springs Industries, Inc. Class A 33,400 1,244,150
Toro Co. 36,000 1,008,000
Wing Tai Holdings 234,000 450,419
-------------------
56,122,444
-------------------
Insurance (3.5%)
Acceptance Insurance Cos. Inc.+ 19,000 275,500
Aegon N.V. 31,250 1,080,297
Aflac, Inc. 120,000 5,250,000
Allied Group, Inc. 12,100 341,825
Allstate Corp. 93,300 2,764,013
22
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Insurance (continued)
American Bankers Insurance Group 53,200 $ 1,682,450
American Travellers Corp.+ 20,900 367,056
Aon Corp. 30,000 1,117,500
Argonaut Group, Inc. 8,000 253,000
Capital American Financial Corp. 13,900 316,225
Capital Guaranty Corp. 5,200 93,600
Cigna Corp. 153,100 11,884,388
CMAC Investment Corp. 77,700 3,370,238
Commerce Group, Inc. 3,200 56,800
E. W. Blanch Holdings, Inc. 4,100 76,363
EA-Generali AG 3,600 1,061,467
EMC Insurance Group, Inc. 400 4,600
Fremont General Corp. 44,880 1,082,730
Frontier Insurance Group, Inc. 3,700 99,438
Fund American Enterprises, Inc.+ 7,044 502,766
Gallagher (Arthur J.) & Co. 22,400 814,800
General Re Corp. 334,500 44,781,188
Guardian Royal Exchange Plc 338,000 1,113,089
HCC Insurance Holdings, Inc.+ 4,600 119,600
Healthwise of America, Inc.+ 49,400 1,272,050
Horace Mann Educators Corp. 56,600 1,301,800
Humana Inc.+ 1,019,800 17,973,975
Lawyers Title Corp. 8,000 125,000
Life Partners Group, Inc. 17,900 358,000
Loews Corp. 26,500 3,206,500
Markel Corp.+ 5,000 281,250
Maxicare Health Plans, Inc. 144,000 2,214,000
MMI Companies, Inc. 700 13,738
Mutual Assurance, Inc. 5,400 159,975
NAC Re Corp. 16,000 498,000
Orion Capital Corp. 30,000 1,170,000
Penncorp Financial Group Inc. 31,000 573,500
Pohjola Insurance Company Ltd. 18,000 281,940
Protective Life Corp. 56,000 1,526,000
R.L.I. Corp. 1,250 28,438
Reliastar Financial Corp. 72,985 2,791,676
RightCHOICE Managed Care+ 6,200 74,400
Royal Insurance Holdings Plc 251,600 1,236,836
Security-Connecticut Corp. 29,000 746,750
Selective Insurance Group 21,600 707,400
St. Paul Companies., Inc. 720,000 35,460,000
State Auto Financial Corp. 600 11,475
TIG Holdings, Inc. 645,000 14,835,000
Transatlantic Holdings, Inc. 39,300 2,554,500
Trenwick Group, Inc. 4,100 175,275
UNI Storebrand AS+ 353,500 1,588,313
United American Healthcare Corp.+ 12,000 210,000
Unitrin, Inc. 55,200 2,622,000
Vesta Insurance Group, Inc. 62,000 2,131,250
-------------------
174,637,974
-------------------
Machinery & Equipment (1.3%)
Acme-Cleveland Corp. 15,000 354,375
Asyst Technologies, Inc.+ 43,000 1,596,375
Barnes Group, Inc. 12,000 483,000
Blount, Inc. Class A 24,500 1,093,313
Caterpillar, Inc. 420,200 26,997,850
Clarcor, Inc. 9,800 224,175
Commercial Intertech Corp. 400 6,400
Danaher Corp. 50,000 1,512,500
Donaldson Co., Inc. 65,100 1,700,738
Duracraft Corp.+ 17,000 448,375
Electroglas, Inc.+ 2,200 126,500
Fluor Corp. 121,200 6,302,400
Number of
Shares Market Value
------------- -------------------
FSI International, Inc.+ 22,600 $ 531,100
Harnischfeger Industries, Inc. 65,000 2,250,625
Indresco Inc.+ 105,000 1,627,500
Jenbacher Werke AG 3,900 699,570
JLG Industries, Inc. 10,600 276,925
Kone Corp. Class B 2,400 270,438
Koyo Seiko Co., Ltd. 95,000 704,947
Modine Manufacturing Co. 28,700 1,058,313
Raymond Corp. (The)+ 7,035 143,338
Regal Beloit 20,600 319,300
Special Devices, Inc.+ 16,000 350,000
Tecumseh Products Co. Class A 54,300 2,375,625
Tsukishima Kikai 61,000 1,020,259
Watts Industries, Inc. 12,400 313,100
York International Corp. 260,000 11,700,000
-------------------
64,487,041
-------------------
Media & Entertainment (2.3%)
Arctco, Inc. 133,000 1,529,500
Belo Corp. Class A 107,200 3,283,000
Capital Cities/ABC, Inc. 537,700 58,071,600
Carmike Cinemas, Inc. Class A+ 27,000 654,750
Casino America, Inc.+ 26,000 394,875
Chris-Craft Industries Inc.+ 70,000 2,450,000
Clear Channel Communications,
Inc.+ 5,800 373,375
E.W. Scripps Co. 500 16,125
Finnair OY 36,900 244,131
Genting Bhd 79,000 780,927
Granada Group Plc 83,600 808,635
Magnum Corp. Bhd 282,000 659,311
Media General, Inc. 29,700 905,850
Mirage Resorts, Inc.+ 143,200 4,385,500
Regal Cinemas, Inc.+ 60,000 1,927,500
Viacom, Inc. Class B + 296,000 13,727,000
Walt Disney Co. 435,100 24,202,438
-------------------
114,414,517
-------------------
Metals & Mining (2.0%)
Acme Metals, Inc.+ 20,500 320,313
Alcan Aluminum Ltd. 559,400 16,920,824
Alumax, Inc.+ 107,000 3,330,375
Aluminum Co. of America 110,000 5,513,750
Asarco, Inc. 190,000 5,795,000
Ashland Coal Inc. 14,400 385,200
Brenco, Inc. 13,800 166,463
British Steel Plc 486,407 1,329,044
Carpenter Technology Corp. 6,000 408,750
Cleveland-Cliffs, Inc. 20,000 770,000
Commercial Metals Co. 12,600 340,200
Cyprus Amax Minerals Co. 256,400 7,307,400
Dofasco, Inc. 34,000 426,887
Falconbridge Ltd. 31,400 559,939
Handy & Harman 64,900 1,005,950
J & L Specilty Steel, Inc. 105,800 2,036,650
Kennametal Inc. 227,000 8,001,750
Kon. Ned. Hoogovens En 12,500 496,614
Lukens, Inc. 30,000 967,500
Magma Copper Co.+ 157,400 2,557,750
Minerals Technologies, Inc. 19,700 709,200
Mueller Indusries Inc.+ 21,000 1,034,250
Noranda, Inc. 34,200 672,101
Nucor Corp. 196,300 10,502,050
Phelps Dodge Corp. 347,600 20,508,400
Placer Dome, Inc. 195,000 5,094,375
Rautaruukki Oy 75,400 528,814
23
<PAGE>
Aetna Variable Fund
Portfolio of Investments
(continued)
Number of
Shares Market Value
------------- -------------------
Metals & Mining (continued)
Trinity Industries, Inc. 41,000 $ 1,363,250
UNR Industries, Inc. 20,000 146,250
Varlen Corp. 8,250 191,813
WHX Corp.+ 35,800 420,650
Wolverine Tube, Inc.+ 10,000 321,250
-------------------
100,132,762
-------------------
Oil & Gas (8.3%)
Alberta Energy Co., Ltd. 31,900 475,981
Apache Corp. 100,000 2,737,500
Atlantic Richfield Co. 135,000 14,816,250
Benton Oil & Gas Co.+ 70,000 962,500
Berry Petroleum Class A 3,300 32,175
Box Energy Corp. Class B+ 14,600 122,275
Burmah Castrol Plc 91,700 1,329,017
Cairn Energy USA, Inc.+ 41,000 443,313
Camco International, Inc. 85,000 1,986,875
Chesapeake Energy Corp.+ 34,000 875,500
Coda Energy, Inc.+ 19,100 128,925
Conwest Exploration Co., Ltd. 15,800 299,003
Diamond Shamrock, Inc. 18,300 471,225
Edisto Resources Corp.+ 11,500 83,375
Enron Oil & Gas Co. 27,800 604,650
Exxon Corp. 1,524,500 107,667,813
Global Industries Ltd.+ 35,800 783,125
Halliburton Co. 250,000 8,937,500
Holly Corp. 3,200 74,000
Imperial Oil Ltd. 16,200 601,354
KCS Energy, Inc. 6,900 147,488
Leviathan Gas Pipeline Partners
L.P. 65,600 1,558,000
Mobil Corp. 789,900 75,830,400
Newfield Exploration Co.+ 12,500 354,688
OEMV AG 9,500 1,096,037
Oneok, Inc. 95,000 2,030,625
Panhandle Eastern Corp. 299,800 7,307,625
Petro-Canada 41,900 396,463
Pride Petroleum Services, Inc.+ 33,000 245,438
Quaker State Corp. 41,500 622,500
Royal Dutch Petroleum Co. 951,900 116,012,813
Saga Petroleum AS 36,200 513,788
Santa Fe Pacific Pipeline Partners
L.P. 12,100 440,138
Schlumberger, Ltd. 730,000 45,351,250
Shell Transport and Trading Co. 123,000 8,902,125
Smith International, Inc.+ 241,900 4,051,825
Sonat Offshore Drilling Co. 69,400 1,995,250
Tesoro Petroleum Corp.+ 70,000 700,000
Texas Meridian Resources Corp.+ 7,200 77,400
Tide West Oil Co.+ 14,000 157,500
Transcanada Pipelines Ltd. 36,700 490,838
Union Texas Petroleum Holdings,
Inc. 126,100 2,663,863
Valero Energy Corp. 55,000 1,113,750
Westcoast Energy, Inc. 29,000 430,071
-------------------
415,922,231
-------------------
Paper & Containers (3.0%)
Abitibi-Price, Inc. 38,500 623,499
ACX Technologies Inc.+ 3,400 140,675
Aptargroup, Inc. 4,700 150,988
Ball Corp. 100,000 3,487,500
Bowater, Inc. 41,800 1,875,775
Champion International Corp. 265,000 13,813,125
Chesapeake Corp. 140,200 4,363,725
Consolidated Papers, Inc. 73,300 4,223,913
Gaylord Container Corp.+ 75,600 907,200
Georgia-Pacific Corp. 288,800 25,053,400
Number of
Shares Market Value
------------- -------------------
Glatfelter (P.H.) Co. 20,000 $ 402,500
International Paper Co. 655,700 56,226,275
Koninklijke KNP BHT 17,400 522,954
Kymmene Oy 23,900 743,121
Leykam-Muerztaler Papier+ 9,600 426,066
Longview Fibre Co. 51,300 872,100
Macmillan Bloedel Ltd. 42,400 594,075
Mayr-Melnhof Karton AG 10,500 607,323
Mead Corp. 330,300 19,611,563
Mesta Seria Class B 14,800 657,393
Rayoner Inc. 94,200 3,344,100
Repola Oy 42,800 900,526
Rock-Tenn Co. Class A 8,100 142,763
Stone Container Corp.+ 299,900 6,372,875
Stone-Consolidated Corp. 28,400 392,751
Thermo Fibertek Inc.+ 4,500 89,438
Willamette Industries, Inc. 82,000 4,530,500
-------------------
151,076,123
-------------------
Pharmaceuticals (6.8%)
Allergan, Inc. 58,500 1,586,813
Becton, Dickinson & Co. 477,900 27,837,675
Bristol-Myers Squibb Co. 614,100 41,835,563
Foxmeyer Health Corp.+ 34,600 618,475
ICN Pharmaceuticals, Inc. 32,000 504,000
Johnson & Johnson 1,255,900 84,930,238
Lilly (Eli) & Co. 111,900 8,784,150
Marion Merrell Dow, Inc. 107,700 2,746,350
Medtronic, Inc. 423,000 32,623,875
Merck & Co., Inc. 97,000 4,753,000
Mylan Laboratories 88,700 2,727,525
Pfizer, Inc. 734,700 67,867,913
Schering Plough 894,800 39,483,050
Smithkline Beecham Plc 565,300 25,579,825
-------------------
341,878,452
-------------------
Pollution Control (0.4%)
Allwaste, Inc.+ 30,200 166,100
Browning-Ferris Industries, Inc. 560,000 20,230,000
Western Waste Industries+ 16,500 332,063
-------------------
20,728,163
-------------------
Printing & Publishing (1.2%)
American Publishing Co. 3,300 34,650
Banta Corp. 86,200 2,898,475
Cadmus Communications Corp. 5,400 127,575
CCH, Inc. 4,400 96,800
Central Newspapers, Inc. Class A 39,400 1,167,225
Devon Group, Inc.+ 29,700 868,725
Gannett Company, Inc. 664,200 36,032,850
International Imaging Materials,
Inc.+ 5,800 147,900
Lee Enterprises, Inc. 10,000 381,250
Meredith Corp. 31,200 791,700
Omnicom Group 27,700 1,679,313
Pulitzer Publishing Co. 24,400 1,040,050
Scholastic Corp.+ 46,000 2,507,000
Scientific Games Holdings Corp.+ 50,000 1,368,750
Tribune Co. 184,900 11,348,238
VNU-Verenigde Nederlands Uitgev
Ver Bezit 6,200 741,761
-------------------
61,232,262
-------------------
Real Estate Investment Trusts
(2.5%)
AMLI Residential Properties Trust 55,900 1,062,100
Apartment Investment & Management
Co. 27,500 556,875
Associated Estates Realty Corp. 89,300 1,886,463
Bay Apartment Communities, Inc. 5,800 113,100
Beacon Properties Corp. 14,700 292,163
24
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Real Estate Investment Trusts (continued)
BRE Properties Inc. Class A 23,500 $ 728,500
Burnham Pacific Properties, Inc. 4,700 63,450
Camden Property Trust 78,400 1,715,000
Capstone Capital Trust, Inc. 29,000 518,375
CBL & Associates Properties, Inc. 99,700 1,981,538
Centerpoint Properties Corp. 2,600 53,625
Chelsea GCA Realty, Inc. 106,400 2,872,800
Colonial Properties Trust 102,500 2,357,500
Cousins Properties, Inc. 29,000 514,750
Crescent Real Estate Equities,
Inc. 90,700 2,891,063
Crown America Realty Trust 177,900 2,245,988
Debartolo Realty Corp. 403,300 5,898,263
Developers Diversified Realty
Corp. 67,700 1,946,375
Duff & Phelps Corp. 93,800 1,008,350
Duke Realty Investments, Inc. 258,400 7,299,800
Equity Inns, Inc. 111,000 1,200,188
Equity Residential Properties
Trust 162,500 4,529,688
Essex Property Trust, Inc. 48,000 870,000
Evans Withycombe Residential, Inc. 27,300 556,238
Excel Realty Trust, Inc. 8,400 166,950
Factory Stores of America, Inc. 62,300 1,277,150
Franchise Finance Corp. of America 78,200 1,681,300
General Growth Properties 67,600 1,377,350
Health Care Property Investors,
Inc. 38,700 1,238,400
Healthcare Realty Trust, Inc. 63,000 1,275,750
Highwood Properties, Inc. 158,900 4,051,950
Irvine Apartment Communities, Inc. 226,300 3,903,675
Kimco Realty Corp. 84,600 3,214,800
Kranzco Realty Trust 45,300 809,738
LTC Properties, Inc. 115,500 1,515,938
Macerich Co. (The) 58,000 1,138,250
Merry Land & Investment Co., Inc. 351,000 7,151,625
MGI Properties, Inc. 36,200 543,000
Mills Corp. 43,900 872,513
Mycom Bhd 115,000 155,660
National Golf Properties, Inc. 74,900 1,572,900
National Health Investors, Inc. 37,100 1,010,975
O.Y.L. Industries Bhd 35,000 249,795
Olympia Industries Bhd 338,000 321,641
Pelangi Bhd 146,000 190,435
Post Properties, Inc. 181,400 5,487,350
RPS Realty Trust 65,900 296,550
Santa Anita Realty Enterprises,
Inc. 8,400 121,800
Security Capital Industrial Trust 121,000 1,966,250
Security Capital Pacific Trust 1,500 26,063
Sekisui House 65,000 803,887
Shurgard Storage Centers Inc.
Class A 10,400 239,200
Smith (Charles E.) Residential
Realty Co. 16,700 396,625
South West Property Trust 103,625 1,191,688
Spieker Properties, Inc. 198,100 4,432,488
Storage Equities Inc. 357,800 5,858,975
Summit Properties Inc. 61,300 1,057,425
Tan & Tan Development Bhd 225,000 280,558
Tanger Factory Outlet Centers,
Inc. 94,100 2,387,788
United Dominion Realty Trust, Inc. 371,600 5,481,100
Vornado Realty Trust 188,800 6,584,400
Walden Residential Properties,
Inc. 25,600 470,400
Weingarten Realty Investors 166,200 6,274,050
Wellsford Residential Property
Trust 200,900 4,570,475
-------------------
124,809,059
-------------------
Number of
Shares Market Value
------------- -------------------
Retail (5.3%)
Albertson's, Inc. 1,431,700 $ 42,593,075
Arbor Drugs, Inc. 25,200 409,500
Argyll Group Plc 262,500 1,403,174
Big B, Inc. 107,400 1,503,600
Blair Corp. 12,800 440,000
Bon-Ton Stores, Inc.+ 12,400 130,200
Bruno's, Inc. 84,000 981,750
Burlington Industries, Inc.+ 50,000 575,000
Burton Group Plc 1,263,759 1,663,700
Cali Realty Corp. 44,000 852,500
Cardinal Health, Inc. 75,100 3,548,475
Casey's General Stores, Inc. 37,500 667,969
Cash America International, Inc. 18,700 137,913
Chic By H I S Inc.+ 19,000 213,750
Circuit City Stores, Inc. 377,000 11,922,625
Citizen Watch Co., Ltd. 59,000 364,841
Delchamps, Inc. 2,600 49,075
Eckerd, Corp.+ 27,900 892,800
Egghead, Inc.+ 40,000 532,500
Fabri-Centers of America+ 8,100 168,075
Fastenal Co. 74,000 2,030,375
Fay's Drug Co. 23,100 176,138
General Host Corp.+ 65,500 401,188
Genovese Drug Stores, Inc. 3,400 38,675
Gresvig AS 20,800 313,771
Gymboree Corp.+ 110,000 3,203,750
Hannaford Brothers, Co. 46,000 1,311,000
Hi-Lo Automotive, Inc.+ 100 1,050
Horizon Outlet Centers, Inc. 87,800 2,041,350
Hudson's Bay Co. 29,100 577,171
Ito-Yokado Co., Ltd. 17,000 895,053
JUSCO Co. 42,000 870,671
Kesko 51,700 517,302
Koninklijke Ahold N.V. 23,300 834,021
Kroger Equity, Inc.+ 22,700 198,625
Laclede Gas Co. 44,000 863,500
Medicine Shoppe International,
Inc. 29,200 1,014,700
National Vision Associates, Ltd.+ 5,000 18,438
Neiman Marcus Group, Inc. 23,000 327,750
Nike, Inc. 583,000 48,972,000
Office Depot, Inc.+ 455,200 12,802,500
Oriental Holdings Bhd 71,000 378,589
Pier 1 Imports Inc. 65,900 609,575
Proffitt's Inc.+ 23,000 678,500
Rex Stores Corp+ 35,000 490,000
Rite Aid Corp. 635,000 16,271,875
Robinson & Co. Ltd. 24,000 98,748
Ruddick Corp. 13,100 271,825
Russ Berrie & Co. Inc. 33,000 457,875
Sears, Roebuck & Co. 810,400 48,522,700
Shopko Stores, Inc. 17,600 189,200
Staples, Inc.+ 260,100 7,526,644
Stop & Shop Companies, Inc.+ 26,000 666,250
Strawbridge & Clothier Class A 13,400 273,025
Sun Television & Appliances, Inc. 47,000 355,438
Tesco Plc 502,497 2,318,325
Topps Co., Inc.+ 4,600 29,038
Urban Shopping Centers, Inc. 68,200 1,415,150
Viking Office Products, Inc.+ 78,800 2,886,050
Vons Cos., Inc.+ 83,000 1,670,375
Wal-Mart Stores, Inc. 859,800 22,999,650
Walgreen Co. 179,900 9,017,488
Zale Corp.+ 25,000 335,938
-------------------
263,921,808
-------------------
25
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Specialty Comsumer Durables (0.2%)
Bio-Rad Labs, Inc. Class A+ 23,900 $ 860,400
Coats Viyella Plc 342,700 1,014,075
Collagen Corp. 53,000 901,000
Conmed Corp.+ 7,300 178,850
Department 56, Inc.+ 17,300 661,725
Fusion Systems Corp.+ 13,000 440,375
Polaris Industries, Inc. 83,100 3,344,775
Superior Surgical Manufacturing
Co. 10,000 105,000
Whittacker Corp.+ 11,000 242,000
-------------------
7,748,200
-------------------
Telecommunications (1.7%)
Ameritech Corp. 1,436,700 63,214,800
ALC Communications+ 13,300 600,163
Computer Associates International,
Inc. 340,000 23,035,000
Executone Information Systems,
Inc.+ 34,500 93,797
-------------------
86,943,760
-------------------
Transportation (1.2%)
Air Express International Corp. 1,600 38,000
AMR Corp.+ 291,900 21,783,038
Arkansas Best Corp. 5,900 52,363
Bergesen d.y. AS Class B 15,000 340,633
British Airways Plc 172,500 1,130,653
Conrail, Inc. 200,000 11,125,000
CSX Corp. 70,000 5,258,750
Det Norske Luftfartselskap AS 17,400 747,932
East Japan Railway Co. 124 635,336
Expeditors International of
Washington, Inc. 13,600 307,700
Finnlines OY 9,800 194,740
Florida East Coast Railway Co. 3,500 258,125
Flughafen Wien AG 14,800 787,614
Fritz Companies, Inc.+ 30,700 1,803,625
GATX Corp. 700 32,988
Harper Group, Inc. 25,000 412,500
Illinois Central 24,500 845,250
Jurong Shipyard, Ltd. 26,000 186,047
Keppel Corporation Ltd. 56,000 456,816
KLM Royal Dutch Airlines Co. 22,400 726,682
Kvaerner AS 28,500 1,294,404
Laidlaw Inc. Class B 42,200 403,141
Landstar Systems, Inc.+ 47,600 1,225,700
M.S. Carriers, Inc.+ 38,800 722,650
Malaysian International Shipping 43,000 118,171
Peninsular & Orient Steam
Navigation Co. 205,400 1,892,003
PHH Corp. 20,000 890,000
Singapore Airlines Ltd. 56,000 516,923
Swift Transportation Co., Inc.+ 22,100 375,700
TNT Freightways Corp. 24,500 490,000
UAL Corp.+ 27,100 3,800,775
Werner Enterprises, Inc. 37,000 730,750
-------------------
59,584,009
-------------------
Utilities--Electric (3.5%)
American Water Works Co., Inc. 13,200 419,100
Aquarion Co. 10,300 236,900
Boston Edison Co. 96,100 2,510,613
California Energy Co.+ 95,000 1,555,625
Central Hudson Gas & Electric Co. 41,900 1,131,300
Central Maine Power Co. 95,500 1,134,063
Cilcorp, Inc. 23,000 836,625
Commonwealth Energy System, Inc. 12,100 456,775
Consolidated Edison Co. of New
York, Inc. 527,200 15,552,400
DQE, Inc. 118,950 2,795,325
General Public Utilities Corp. 95,100 2,829,225
Number of
Shares Market Value
------------- -------------------
Green Mountain Power Corp. 9,200 $ 231,150
Hokkaido Electric Power Co. 39,000 1,047,350
IES Industries, Inc. 70,000 1,557,500
Illinova Corp. 142,700 3,621,013
LG&E Corp. 19,200 748,800
MDU Resources Group, Inc. 20,600 612,850
Midwest Resources, Inc. 25,000 371,875
Montana Power Co. 6,500 149,500
National Power PLC ADR (b) (d) 42,050 520,369
New York State Electric & Gas
Corp. 97,000 2,267,375
Nipsco Industries, Inc. 50,000 1,700,000
Northern States Power Co. (Minn.) 54,200 2,499,975
Oesterreichisch Elektriz 16,000 1,173,654
Oklahoma Gas & Electric Co. 43,500 1,527,938
Orange & Rockland Utilities, Inc. 40,000 1,350,000
Otter Tail Power Co. 6,500 216,938
Peco Energy Co. 893,700 24,688,463
Pinnacle West Capital Corp. 173,600 4,253,200
Portland General Corp. 50,000 1,106,250
Powergen PLC ADR (b) (d) 42,050 515,113
Public Service Co. of New Mexico+ 234,100 3,335,925
SCEcorp 1,909,800 32,705,325
Sierra Pacific Resources 57,000 1,239,750
Siliconix, Inc. 2,600 49,400
Sithe Energies, Inc.+ 793,600 7,737,600
Southern Co. 303,200 6,784,100
Tenaga Nasional Bhd 103,000 420,365
TNP Enterprises, Inc. 9,700 156,413
Transalta Corp. 44,800 472,815
Unicom Corp. 1,217,100 32,405,288
Union Electric Co. 136,400 5,080,900
United Illuminating Co. 19,500 643,500
Wisconsin Energy Corp. 156,300 4,376,400
WPS Resources Corp. 36,300 1,061,775
-------------------
176,086,820
-------------------
Utilities--Natural Gas (0.6%)
Brooklyn Union Gas Co. (The) 22,700 595,875
Coastal Corp. 350,000 10,631,250
Equitable Resources, Inc. 275,000 7,940,625
Public Service Co. of North
Carolina, Inc. 10,000 163,750
South Jersey Industries, Inc. 6,000 126,000
Williams Cos. Inc. 323,400 11,278,575
-------------------
30,736,075
-------------------
Utilities--Oil & Gas (0.2%)
Atlanta Gas Light Co. 25,000 868,750
Connecticut Energy Corp. 8,300 162,888
MCN Corp. 23,400 462,150
New Jersey Resources Corp. 43,000 994,375
Northwest Natural Gas Co. 12,100 375,856
Pacific Enterprises 225,100 5,514,950
Phoenix Resource Co., Inc. 34,500 1,095,375
Piedmont Natural Gas, Inc. 16,500 342,375
Public Service Co. of Colorado 10,600 344,500
Southern Indiana Gas & Electric
Co. 16,000 514,000
Southwest Gas Corp. 3,900 55,575
-------------------
10,730,794
-------------------
Utilities--Telephone (4.8%)
AT&T Corp. 871,300 46,287,813
BCE Inc. Canadian 633,000 20,335,125
Bell Atlantic Corp. 225,000 12,600,000
BellSouth Corp. 1,084,300 68,853,050
Cable & Wireless PLC 154,700 1,058,283
Century Telephone Enterprises 117,400 3,331,225
26
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
Number of
Shares Market Value
------------- -------------------
Utilities--Telephone (continued)
Cincinnati Bell, Inc. 483,900 $ 12,218,475
Citizens Utilities Co.+ 21,118 250,773
DDI Corp. 111 889,046
Nippon Telphone & Telegraph Corp. 93 777,739
Pacific Telesis Group 423,400 11,325,950
Singapore Telecommunications Ltd. 132,000 257,860
Southern New England Telecom.
Corp. 64,900 2,287,725
Sprint Corp. 1,695,000 56,994,375
Telekom Malaysia Bhd 63,000 478,056
Tellabs, Inc.+ 37,200 1,787,925
Transaction Network Services,
Inc.+ 9,800 159,250
-------------------
239,892,670
-------------------
Total Common Stocks (cost
$3,780,798,503) $4,797,568,625
-------------------
Preferred Stocks (1.1%)
Automobiles & Trucks (0.7%)
Ford Motor Co. 335,200 32,556,300
-------------------
Banks (0.1%)
Barnett Banks, Inc. 23,000 2,231,000
Norwest Corp. 43,000 3,418,500
-------------------
5,649,500
-------------------
Diversified (0.0%)
Sea Containers, Ltd. 36,000 1,638,000
-------------------
Electrical & Electronics (0.1%)
Nokia Class A 76,000 4,441,847
-------------------
Financial (0.1%)
Security Capital Pacific Trust 19,400 431,650
Travelers Inc. 41,800 2,622,950
-------------------
3,054,600
-------------------
Food & Beverages (0.0%)
ConAgra, Inc. 9,300 328,988
Union Planters Corp. 18,600 648,675
-------------------
977,663
-------------------
Industrial (0.1%)
ALCO Standard Corp. 20,800 1,861,600
AMC Entertainment, Inc. 11,300 313,575
Case Corp. (b) 14,200 1,144,875
Corning Delaware L.P. 13,900 710,638
-------------------
4,030,688
-------------------
Metals & Mining (0.0%)
Cyprus Amax Minerals Co. (b) 28,200 1,773,075
-------------------
Pollution Control (0.0%)
William Co., Inc. 27,900 1,733,288
-------------------
Retail (0.0%)
Tanger Factory Outlets Centers,
Inc. 55,800 1,262,475
-------------------
Total Preferred Stocks (cost
$39,358,010) $ 57,117,436
-------------------
Total Common and Preferred Stocks
(cost $3,820,156,513) $4,854,686,061
-------------------
U.S. GOVERNMENT OBLIGATIONS (0.3%)
Principal
Amount Market Value
------------- -------------------
U.S. Treasury Note, 4.25%,
07/31/95 (c) $13,500,000 $ 13,482,071
U.S. Treasury Note, 5.12%,
03/31/96 (e) 900,000 896,343
-------------------
Total U.S. Government Obligations
(cost $14,370,650) $ 14,378,414
-------------------
CONVERTIBLE BONDS (1.3%)
Principal
Amount Market Value
------------- -------------------
3Com Corp., 10.25%, 11/01/01 (b) $ 465,000 $ 595,200
AGCO Corp., 6.50%, 06/01/08 1,260,000 3,742,200
Agnico-Eagle Mines Ltd., 3.50%,
01/27/04 2,900,000 2,479,500
Allegheny Ludlum., 5.88%, 03/15/02 930,000 1,025,325
Amoco Canada Petroleum Co. Ltd.,
7.38%, 09/01/13 11,708,000 14,956,970
AMR Corp., 6.13%, 11/01/24 930,000 971,850
Apache Corp., 6.00%, 10/15/02 1,470,000 1,639,050
Arrow Electric Inc., 5.75%,
01/15/02 485,000 734,775
Automatic Data Processing, Inc.,
Zero Coupon, 02/20/12 3,800,000 1,691,000
Baker Hughes Inc., Zero Coupon,
05/05/08 9,975,000 5,985,000
Battle Mountain Gold Co., 6.00%,
01/04/05 500,000 423,750
Bindley Western Co., 6.50%,
10/01/02 930,000 931,163
Browning-Ferris Industries, Inc.,
6.75%, 07/18/05 2,850,000 2,850,000
California Energy Corp., 5.00%,
07/31/00 950,000 866,875
Carnival Corp.,4.50%, 07/01/97 680,000 933,300
Consolidated Natural Gas Co.,
7.25%, 12/15/15 950,000 986,813
Costco Wholesale Inc., 5.75%,
05/15/02 2,225,000 2,077,594
Fieldcrest Cannon, Inc., 6.00%,
03/15/12 450,000 351,000
Guilford Mills, 6.00%, 09/15/12 1,762,000 1,684,913
Hechinger Co., 5.50%, 04/01/12 2,630,000 1,673,338
Horace Mann Co., 6.50%, 12/01/99 930,000 923,025
Integrated Health Services, Inc.,
5.75%, 01/01/01 930,000 1,004,400
International Paper Co., 5.75%,
09/23/02 1,000,000 1,210,000
Kroger Co., 6.38%, 12/01/99 950,000 1,390,563
Motorola, Inc., Zero Coupon,
09/27/13 1,000,000 821,250
Office Depot Inc., Zero Coupon,
12/11/07 1,100,000 908,875
Ogden Corp., 6.00%, 06/01/02 475,000 435,219
Old Republic International Corp.,
5.75%, 08/15/02 1,415,000 1,505,206
OMNICOM Group, Inc. 4.50%,
09/01/00 1,395,000 1,597,275
Penzoil Corp., 4.75%, 10/01/03 1,000,000 935,000
Pogo Producing Corp., 5.50%,
03/15/04 1,395,000 1,637,381
Potomac Electric Power Co., 7.00%,
01/15/18 750,000 721,875
Proffitt's Inc., 4.75%, 11/01/03 1,860,000 1,641,450
Re Capital Corp., 5.50%, 08/01/00 950,000 1,023,625
Seagate Technology Corp., 6.75%,
05/01/12 1,860,000 1,943,700
--------------
Total Convertible Bonds (cost
$61,010,509) $64,298,460
--------------
SHORT TERM INVESTMENTS (1.8%)
Detroit Edison Co., Comm. Paper,
6.10%, 07/03/95 $ 5,000,000 $ 5,000,000
Fleet Mortgage Group, Inc., Comm.
Paper, 6.25%, 07/05/95 850,000 849,705
General Motors Acceptance Corp.,
Comm. Paper, 6.25%, 07/0 8,650,000 8,650,000
Houston Industries, Inc., Comm.
Paper, 6.35%, 07/07/95 28,500,000 28,479,892
Source One Mortgage Services
Corp., Comm. Paper, 6.40%, 0 6,500,000 6,497,689
Sprint Capital Corp., Comm. Paper,
6.50%, 07/06/95 12,476,000 12,469,242
TCI Communications, Inc., Comm.
Paper, 6.55%, 07/05/95 13,500,000 13,495,088
TCI Communications, Inc., Comm.
Paper, 6.45%, 07/07/95 10,000,000 9,992,833
27
<PAGE>
Aetna Variable Fund
Portfolio of Investments (continued)
SHORT-TERM INVESTMENTS (continued)
Principal
Amount Market Value
------------- -------------------
TCI Communications, Inc., Comm.
Paper, 6.50%, 07/05/95 $4,000,000 $ 3,998,556
-------------------
Total Short Term Investments (cost
$89,433,004) $ 89,433,005
-------------------
TOTAL INVESTMENTS--(cost
$3,984,970,676) $5,022,795,940
===================
Notes to Portfolio of Investments
+Non-income producing security.
(a) The cost of investments for income tax purposes amounted to
$3,990,151,212. Unrealized gains and losses, based on identified tax cost at
June 30, 1995 are as follows:
Unrealized gains $1,058,892,055
Unrealized losses (26,247,327)
---------------
Net unrealized gain $1,032,644,728
===============
(b) Securities that may be resold to "qualified institutional buyers" under
rule 144A or securities offered pursuant to Section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines determined by the Board of Trustees.
(c) At June 30, 1995, U.S. Treasury Note 4.25%, 07/31/95, par value
$13,500,000 was pledged to cover margin requirements for open futures
contracts (see Note 1 of Notes to Financial Statements). Information
concerning open futures contracts is shown below:
No. of Face Expiration Unrealized
Contracts Value Date Gain/Loss
--------- ---------- --------- -----------
All Ordinaries Share Price
Index Future 196 $7,350,445 Sept. 95 $(161,842)
CAC 40 Stock Index Future 116 9,086,585 Sept. 95 (282,372)
FTSE 100 Future 36 4,765,938 June 95 (57,272)
-----------
$(501,486)
===========
(d) Represents an installment purchase. Remaining amount to be paid is
$950,241 on February 6, 1996 and $744,133 on September 17, 1996. Future
commitment is collateral by a U.S. Treasury Note 5.12%, 03/31/96, par value
$900,000.
(e) Security segregated as collateral for installment purchase.
Category percentages are based on net assets.
28
<PAGE>
Aetna Income Shares
Portfolio of Investments--June 30, 1995 (Unaudited)
LONG TERM BONDS AND NOTES (82.3%)
Principal Market
Amount Value
---------- -------------
U.S. Government and Agency Obligations (30.7%)
Agency Mortgage-Backed Securities (7.5%)
Federal Home Loan Mortgage Corp. 20 6-B, Zero
Coupon, 07/15/19 $ 2,497,594 $ 2,396,191
Federal National Mortgage Association,
93-176B, Zero Coupon, 06/25/18 8,000,000 7,222,400
Federal National Mortgage Association,
90 34 C, CMO, Zero Coupon, 06/25/19 2,660,607 2,374,592
Government National Mortgage Association,
10.00%, 10/15/09-01/15/21 15,556,717 16,947,099
Government National Mortgage Association,
10.50%, 02/15/13-01/15/21 15,954,102 17,589,397
Government National Mortgage Association,
11.00%, 02/15/10 40,023 44,076
Government National Mortgage Association,
11.25%, 12/15/15 88,825 98,498
-------------
46,672,253
-------------
U.S. Government Obligations (20.1%)
U.S. Treasury Bond, 10.375%, 11/15/12 15,000,000 19,875,000
U.S. Treasury Bond, 7.50%, 11/15/24 30,000,000 33,234,390
U.S. Treasury Bond, 5.875%, 02/15/04 20,000,000 19,550,000
U.S. Treasury Bond, 6.875%, 03/31/00 25,000,000 25,882,800
U.S. Treasury Bond, 6.50%, 05/15/05 26,000,000 26,544,362
-------------
125,086,552
-------------
U.S. Government Agency Obligations (3.1%)
Small Business Administration 92-20K, 7.55%,
11/01/12 10,205,432 10,256,459
Student Loan Marketing Association,
7.82%, 10/14/99 9,000,000 9,199,656
-------------
19,456,115
-------------
Total U.S. Government and Agency Obligations 191,214,920
-------------
Corporate and Convertible Bonds and Notes (34.3%)
Asset-Backed Securities (2.1%)
Advanta Credit Card 93-2, 6.04%, 08/31/00 6,000,000 6,028,260
First Chicago Corp., 5.983%, 11/17/97 7,000,000 7,017,290
-------------
13,045,550
-------------
Finance (14.5%)
American General, 8.125%, 08/15/09 10,000,000 11,082,840
Associates Corp., 7.95%, 02/15/10 15,000,000 16,245,810
Capital One Bank, 8.625%, 01/15/97 5,000,000 5,149,535
Chemical Bank, 6.625%, 01/15/98 10,000,000 10,055,700
Dean Witter, Discover & Co., 6.00%,
03/01/98 6,000,000 5,959,992
Ford Motor Credit Corp., FRN, 06/02/98 7,000,000 7,030,590
General Electric Capital Corp., 7.96%,
02/02/98 10,000,000 10,431,130
General Electric Co. (U.S.), 8.625%,
06/15/08 10,000,000 11,478,720
Textron Financial Corp. FRC-MTN, 6.39%,
11/24/95 (a) 12,500,000 12,500,000
-------------
89,934,317
-------------
Principal Market
Amount Value
---------- -------------
Other Corporate Bonds (17.7%)
Eaton Corp., 8.875%, 06/15/19 $ 5,000,000 $ 5,865,430
Fleming Co., 10.625%, 12/15/99 4,000,000 4,230,000
Georgia Pacific Corp., 9.50%, 12/01/11 5,000,000 5,855,410
Healthtrust, Inc., 10.75%, 05/01/02 9,000,000 9,922,500
MGM Grand Hotel, 12.00%, 05/01/02 8,000,000 8,930,000
National Medical Enterprises, 9.625%, 09/01/02 6,220,000 6,608,750
News American Holdings, 7.75%, 01/20/24 5,000,000 4,861,995
News American Holdings, 9.25%, 02/01/13 5,000,000 5,677,300
News American Holdings, 9.50%, 07/15/24 12,000,000 14,020,980
Ralph's Grocery, 10.45%, 06/15/04 5,000,000 5,025,000
Stone Container Corp., 9.875%, 02/01/01 9,000,000 9,000,000
Time Warner, Inc., 7.45%, 02/01/98 7,000,000 7,099,834
Time Warner Entertainment, 9.625%,
05/01/02 5,000,000 5,619,240
TRW Inc., 9.35%, 06/04/20 10,000,000 12,097,460
Viacom, 10.25%, 09/15/01 5,000,000 5,587,500
-------------
110,401,399
-------------
Total Corporate and Convertible Bonds
and Notes 213,381,266
-------------
Foreign and Supranationals (15.0%)
African Development Bank, 8.80%,
09/01/19 11,650,000 14,044,052
Banco Nacional de Comercia Exterior, S.N.C.,
7.25%, 02/02/04 5,000,000 3,573,615
Bank of China, 6.75%, 03/15/99 5,000,000 4,951,290
China International Trust, 9.00%, 10/15/06 5,000,000 5,346,615
Groupe Videotron, 10.625%, 02/15/05 4,500,000 4,770,000
Interamerican Development Bank, 12.25%,
12/15/08 4,000,000 5,998,916
International Bank For Reconstruction and
Development, 9.25%, 07/15/17 11,000,000 13,528,119
Korean Development Bank, 9.25%, 06/15/98 5,000,000 5,374,885
Quebec Province, 7.125%, 02/09/24 5,000,000 4,642,750
Republic of Argentina, 10.95%, 11/01/99 3,000,000 2,862,405
South Africa Global Bond, 9.625%, 12/15/99 10,000,000 10,396,870
Swire Pacific, Ltd., 8.50%, 09/29/04 (a) 10,000,000 10,525,000
Tenaga Nasional Berhad, 7.875%,
06/15/04 (a) 6,750,000 7,146,401
-------------
Total Foreign and Supranationals 93,160,918
-------------
Non-Agency Mortgage Backed Securities (3.5%)
Chase Mortgage Finance 92 L4, 6.75%, 11/25/09 10,915,000 10,937,460
Security Pacific 87-D, 8.50%, 03/01/17 3,183,016 3,196,414
Security Pacific 87-B, 8.50%, 09/01/16 388,419 390,066
-------------
Total Non-Agency Mortgage Backed Securities 14,523,940
-------------
Total Long-Term Bonds and Notes
(cost $491,932,684) $512,281,044
-------------
29
<PAGE>
Aetna Income Shares
Portfolio of Investments (continued)
COMMON AND PREFERRED STOCKS (1.4%)
Common Stocks (0.4%)
Number Market
of Shares Value
-------------- ---------------
Banks (0.4%)
Citicorp 40,545 $ 2,346,542
---------------
Total Common Stocks 2,346,542
---------------
Preferred Stocks (1.0%)
Banks (1.0%)
Citicorp, PERCS 315,564 6,390,171
---------------
Total Preferred Stocks $ 6,390,171
---------------
Total Common and Preferred Stocks (cost
$8,125,138) $ 8,736,713
---------------
SHORT TERM INVESTMENTS (14.5%)
Principal Market
Amount Value
-------------- ---------------
Baxter International, Inc., 6.40%,
07/05/95 $ 5,214,000 $ 5,212,146
Detroit Edison Co., 6.10%, 07/03/95 3,000,000 3,000,000
Houston Industries, Inc., 6.25%, 07/07/95 10,000,000 9,993,056
ITT Financial Corp., 6.35%, 07/05/95 28,092,000 28,082,090
Sprint Capital Corp., 6.55%, 07/03/95 19,000,000 19,000,000
Sprint Capital Corp., 6.45%, 07/05/95 10,000,000 9,996,417
TCI Communications Inc., 6.50%, 07/05/95 10,000,000 9,996,389
TCI Communications Inc., 6.55%, 07/05/95 5,000,000 4,998,181
---------------
Total Short-Term Investments (cost
$90,278,278) $ 90,278,279
---------------
TOTAL INVESTMENTS (cost $590,336,100) (b) $611,296,036
===============
Notes to Portfolio of Investments
(a) Securities that may be resold to "qualified institutional buyers" under
rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under the guidelines determined by the Board of Trustees.
(b) The cost of investments for income tax purposes amounted to $591,835,996.
Unrealized gains and losses, base on identified tax cost at June 30, 1995 are
as follows:
Unrealized gains $22,294,292
Unrealized losses (2,834,252)
------------
Net unrealized
gain $19,460,040
Category percentages are based on net assets.
30
<PAGE>
Aetna Variable Encore Fund
Portfolio of Investments--June 30, 1995 (Unaudited)
Principal
Amount Market Value
----------- -------------
Government and Agency Obligations (12.5%)
Federal Farm Credit Bank, FRN, 6.10%,
04/24/96 $12,000,000 $11,993,532
Federal Home Loan Bank System, FRN, 3.40%,
04/27/98 20,000,000 19,960,000
Federal Home Loan Mortgage Corp., FRN,
3.40%, 09/27/95 10,000,000 9,950,200
Federal National Mortgage Association, FR
MTN, 4.84%, 02/18/97 10,000,000 10,022,000
Student Loan Marketing Association, FRN,
4.75%, 01/21/97 10,000,000 10,012,500
-------------
Total Government and Agency Obligations
(cost $61,985,281) 61,938,232
-------------
Corporate and Foreign Obligations (87.0%)
Foreign Obligations (0.2%)
Province of British Columbia, Comm. Paper,
6.10%, 08/09/95 1,000,000 993,322
-------------
Total Foreign Obligations 993,322
-------------
Corporate Obligations (86.8%)
Asset-Backed Securities (4.3%)
Carco Auto Loan Master Trust 93-2, FRN,
3.23%, 11/15/98 15,500,000 15,500,000
Ford Credit Auto Lease Trust 95-1, 6.00%,
05/15/96 6,000,000 6,000,000
-------------
21,500,000
-------------
Banks (9.9%)
First National Bank Boston, Corp. Note,
6.33%, 09/27/95 20,200,000 20,203,232
First National Bank Boston, FRN, 6.25%,
05/10/96 4,000,000 4,000,000
Shawmut Bank, Corp. FR MTN, 6.21%, 05/10/96 24,000,000 23,997,600
Sheffield Receivables Corp., Comm. Paper,
6.05%, 07/28/95 1,000,000 995,799
-------------
49,196,631
-------------
Diversified (1.6%)
Dover Corp., Comm. Paper, 5.94%, 07/06/95 5,000,000 4,997,525
Dover Corp., Comm. Paper, 6.10%, 08/01/95 3,000,000 2,985,258
-------------
7,982,783
-------------
Financial (59.4%)
American Express Credit Corp., Comm. Paper,
5.7%, 12/06/95 9,000,000 8,774,217
American Express Credit Corp., Comm. Paper,
6.08%, 09/11/95 8,000,000 7,904,608
American Express Credit Corp., Comm. Paper,
6.10%, 08/15/95 7,000,000 6,947,943
American Honda Finance Corp., Comm. Paper,
5.95%, 10/13/95 9,500,000 9,334,577
American Honda Finance Corp., Comm. Paper,
6.00%, 10/23/95 2,500,000 2,452,323
American Honda Finance Corp., Comm. Paper,
6.20%, 09/12/95 2,000,000 1,975,250
American Honda Finance Corp., Comm. Paper,
6.20%, 09/15/95 2,000,000 1,974,246
Beneficial Corp., MTN, 9.35%, 07/05/95 1,550,000 1,551,184
Bridgestone/Firestone Inc., Comm. Paper,
5.96%, 07/21/95 5,000,000 5,000,000
Caterpillar Financial Services, FRN, 6.07%,
07/29/96 7,000,000 7,000,000
Principal
Amount Market Value
----------- -------------
Caterpillar Financial Services, Comm.
Paper, 6.15%, 10/30/95 $ 6,000,000 $ 5,880,030
Chrysler Financial Corp., Comm. Paper,
6.13%, 07/05/95 6,000,000 5,995,042
Chrysler Financial Corp., FR MTN, 6.96%,
07/18/95 7,000,000 7,004,059
CIESCO L.P., Comm. Paper, 6.30%, 08/16/95 7,800,000 7,740,632
Countrywide Funding Corp., Comm. Paper,
6.10%, 08/02/95 5,000,000 4,974,583
Countrywide Funding Corp., Comm. Paper,
6.10%, 08/03/95 10,000,000 9,947,472
Countrywide Funding Corp., Comm. Paper,
6.10%, 08/04/95 5,000,000 4,972,889
Dana Credit Corp., Corp. FR MTN, 5.56%,
10/26/95 4,700,000 4,702,820
Dean Witter, Discover & Co., FRN, 6.42%,
12/15/95 16,000,000 16,022,528
Discover Credit Corp., Corp. MTN, 8.92%,
03/15/96 6,210,000 6,324,016
Finova Capital Corp., Comm. Paper, 6.05%,
09/15/95 2,000,000 1,974,246
Fleet Financial Group, Inc., Comm. Paper,
5.92%, 07/24/95 7,000,000 6,975,827
Fleet Mortgage Group, Inc., Comm. Paper,
5.90%, 07/21/95 6,750,000 6,730,088
Fleet Mortgage Group, Inc., Comm. Paper,
5.92%, 07/25/95 10,000,000 9,963,822
Fleetwood Credit Corp., Corp., FR MTN,
6.39%, 02/08/96 6,000,000 6,005,946
General American Transportation, Comm.
Paper, 6.25%, 07/20/95 3,200,000 3,190,556
General Electric Capital Corp., Corp. FR
MTN, 6.40%, 01/10/96 10,000,000 9,998,060
General Motors Acceptance Corp., Comm.
Paper, 6.18%, 10/13/95 3,250,000 3,194,357
General Motors Acceptance Corp., Comm.
Paper, 6.19%, 08/09/95 1,000,000 993,345
General Motors Acceptance Corp., Corp.
Note, 8.75%, 02/01/96 3,500,000 3,550,400
General Motors Acceptance Corp., FRN,
6.40%, 03/01/96 2,400,000 2,399,760
General Motors Acceptance Corp., FR MTN,
6.63%, 04/22/96 3,350,000 3,353,350
General Motors Acceptance Corp., FRN,
6.45%, 04/13/98 10,500,000 10,507,602
Greyhound Financial Corp., FRN, 6.375%,
02/15/96 4,400,000 4,401,760
Greyhound Financial Corp., FRN, 6.375%,
02/15/96 17,000,000 17,006,800
Household Finance Corp., Corp. Note, 9.00%,
09/01/95 1,000,000 1,003,750
ITT Financial Corp., Comm. Paper, 6.35%,
07/05/95 10,257,000 10,253,382
John Deere Capital Corp., Corp. FR MTN,
6.13%, 03/11/96 16,750,000 16,750,000
Norwest Financial, Inc. Comm. Paper, 5.65%,
02/16/96 1,000,000 963,745
Pitney Bowes Credit Corp., Comm. Paper,
6.03%,10/23/95 3,500,000 3,434,592
Textron Financial Corp., Corp. FR MTN,
6.51%, 11/24/95 4,800,000 4,803,341
Transamerica Finance Corp. Comm. Paper,
5.67%, 11/30/95 3,000,000 2,927,325
31
<PAGE>
Aetna Variable Encore Fund
Portfolio of Investments (continued)
Principal
Amount Market Value
----------- -------------
Transamerica Finance Corp., Comm. Paper,
6.22%, 07/07/95 $10,000,000 $ 9,988,450
Transamerica Finance Corp., Comm. Paper,
6.32%, 08/14/95 10,100,000 10,026,523
Whirlpool Financial Corporation, Comm.
Paper, 6.05%, 07/17/95 8,000,000 7,977,296
Whirlpool Financial Corporation, Comm.
Paper, 6.10%, 10/23/95 5,000,000 4,904,965
Whirlpool Financial Corporation, Comm.
Paper, 6.10%, 10/23/95 4,500,000 4,414,469
-------------
294,172,172
-------------
Health Services (3.5%)
A.H. Robins Co., Inc., Comm. Paper, 5.97%,
08/10/95 3,400,000 3,378,574
American Home Products Corp., Comm. Paper,
5.90%, 08/31/95 8,000,000 7,917,056
American Home Products Corp., Comm. Paper,
6.25%, 07/03/95 2,000,000 2,000,000
Columbia/HCA Healthcare Corp. FRN, 4.65%,
07/28/97 4,200,000 4,197,900
-------------
17,493,530
-------------
Leasing (3.0%)
Hertz Corp., Comm. Paper, 6.10%, 08/23/95 4,700,000 4,659,956
Hertz Corp., Comm. Paper, 6.10%, 07/25/95 10,000,000 9,958,890
-------------
14,618,846
-------------
Manufacturing (2.6%)
Cooper Industries, Comm. Paper, 6.05%,
07/28/95 1,135,000 1,130,232
General Signal Corp., Comm. Paper, 5.85%,
08/30/95 3,000,000 2,970,006
General Signal Corp., Comm. Paper, 6.00%,
07/31/95 8,000,000 7,962,667
General Signal Corp., Comm. Paper, 6.10%,
08/07/95 1,000,000 994,069
-------------
13,056,974
-------------
Principal
Amount Market Value
----------- -------------
Utilities Electric (2.5%)
Pennsylvania Power and Light Co., Comm.
Paper, 5.95%, 07/05/95 $ 3,480,000 $ 3,478,850
Pennsylvania Power and Light Co., Comm.
Paper, 6.05%, 07/13/95 2,000,000 1,996,639
Pennsylvania Power and Light Co., Comm.
Paper, 6.05%, 07/27/95 3,300,000 3,286,690
Pennsylvania Power and Light Co., Comm.
Paper, 6.05%, 08/02/95 2,300,000 2,288,404
Public Service Electic & Gas Co., Comm.
Paper, 6.00%, 08/30/95 1,125,000 1,113,562
-------------
12,164,145
-------------
Total Corporate Obligations 430,185,081
-------------
Total Corporate and Foreign Obligations
(cost $431,182,269) 431,178,403
-------------
TOTAL INVESTMENTS
(cost $493,167,549) (a) $493,116,635
=============
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and loses, based on identified tax cost at June 30, 1995
are as follows:
Unrealized gains $ 61,947
Unrealized losses (112,861)
----------
Net unrealized loss $ (50,914)
==========
Category percentages are based on net assets.
32
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments--June 30, 1995 (Unaudited)
COMMON STOCKS (65.4%)
Number of
Shares Market Value
------------ -------------
Aerospace & Defense (1.3%)
Kaman Corp. Class A 28,000 $ 357,000
Loral Corp. 33,300 1,723,275
Lockheed Martin Corp. 48,700 3,074,188
McDonnell Douglas Corp. 110,800 8,503,900
-------------
13,658,363
-------------
Autos & Auto Equipment (1.5%)
Bandag, Inc. 600 37,500
Borg-Warner Automotive, Inc. 4,700 133,950
Breed Technologies, Inc. 20,900 501,600
Eaton Corporation 56,200 3,266,625
Echlin, Inc. 13,600 472,600
Ford Motor Co. 148,600 4,420,850
Kaydon Corp. 5,800 172,550
Oshkosh Truck Corp. 6,900 85,387
Smith (A.O.) Corp. 24,000 564,000
SPX Corp. 11,100 126,262
TRW Inc. 80,600 6,437,925
-------------
16,219,249
-------------
Banks (3.9%)
Associated Banc-Corp. 1,750 53,703
Bank of Boston Corp. 108,000 4,050,000
BankAmerica Corp. 125,000 6,578,125
Bankers First Corp. 4,900 144,244
Bell Bancorp, Inc. 23,400 669,825
Brooklyn Bancorp+ 18,000 603,000
Centura Banks, Inc. 9,400 262,025
Chemical Banking Corp. 116,500 5,504,625
Citicorp 46,278 2,678,339
City National Corp. 71,200 809,900
Commerce Bancshares Inc. 4,700 146,875
Corestates Financial Corp. 33,600 1,171,800
Cullen/Frost Bankers, Inc. 20,000 812,500
FFY Financial Corp. 5,200 100,100
First American Corp. (Tenn.) 14,800 531,875
First Commonwealth Financial Corp. 4,100 62,013
First Interstate Bancorp 79,100 6,347,775
Firstier Financial, Inc. 1,800 66,825
Fulton Financial Corp. 2,970 53,831
MAF Bancorp, Inc. 2,000 46,250
Mellon Bank Corp. 50,000 2,081,250
Midlantic Corp. 12,000 478,500
NationsBank, Inc. 40,000 2,145,000
North Side Savings Bank 3,400 83,300
Old National Bancorp 2,200 75,625
Putnam Trust Co. 1,800 93,150
Queens County Bancorp, Inc. 15,100 483,200
Reliance Bancorp 10,700 151,806
SEI Corp. 6,100 138,775
Silicon Valley Bancshares+ 10,600 189,475
Standard Financial, Inc.+ 70,000 918,750
Star Banc Corp. 10,900 501,400
Sumitomo Bank of California 300 7,388
Summit Bancorporation 12,900 275,738
Susquehanna Bancshares, Inc. 3,000 70,125
Trustmark Corp. 3,400 58,863
UMB Financial Corp. 1,900 68,638
Union Planters Corp. 23,000 615,250
Valley National Bancorp 15,100 364,288
Varity Corp.+ 40,000 1,760,000
Zions Bancorporation 2,500 124,375
-------------
41,378,526
-------------
Number of
Shares Market Value
------------ -------------
Building Materials & Construction (0.4%)
American Buildings Co. 3,500 $ 61,250
Ameron, Inc. 1,400 50,750
Butler Manufacturing Co. 5,000 209,375
Champion Enterprises, Inc. 66,200 1,050,925
Florida Rock Industries, Inc. 2,200 62,425
Granite Construction Inc. 24,300 543,713
Kasler Holding Co. 7,500 39,375
NCI Building Systems Inc.+ 7,200 117,900
Redman Industries, Inc.+ 5,100 109,650
Stone & Webster, Inc. 15,300 451,350
Texas Industries, Inc. 12,900 501,488
Tredegar Industries, Inc. 5,000 124,375
UNR Industries, Inc. 4,500 32,906
Webb (Del E.) Corp. 20,200 469,650
-------------
3,825,132
-------------
Chemicals (2.7%)
Arcadian Partners, L.P. 26,000 718,250
ARCO Chemical Co. 10,800 490,050
Cabot Corp. 17,800 938,950
Cytec Industries+ 26,000 1,062,750
Dow Chemical Co. 58,000 4,168,750
Du Pont (E.I.) De Nemours 37,000 2,543,750
Eastman Chemical Co. 43,200 2,570,400
First Mississippi Corp. 8,900 303,713
Learonal, Inc. 18,800 397,150
Lyondell Petrochemical Co. 16,100 412,563
Morton International, Inc. 142,200 4,159,350
OM Group, Inc. 3,500 99,313
PPG Industries, Inc. 41,000 1,763,000
Praxair, Inc. 105,700 2,642,500
Sterling Chemicals, Inc.+ 49,700 577,763
Synalloy Corp. 3,600 68,625
The Geon Company 39,000 1,121,250
Union Carbide Corp. 140,100 4,675,838
Vigoro Corp. 8,400 348,600
-------------
29,062,565
-------------
Commercial Services (0.6%)
Barefoot, Inc. 8,000 110,500
Devry, Inc.+ 19,200 387,600
Franklin Quest Co.+ 17,100 410,400
Interim Services, Inc.+ 19,600 487,550
Jacobs Engineering Group Inc.+ 4,200 92,400
Jenny Craig Inc. 7,500 61,875
Kelly Services Inc. Class A 23,600 601,800
Manpower Inc. 19,000 484,500
Paychex, Inc. 3,750 136,875
Regis Corp. 3,200 60,400
Robert Half International Inc.+ 13,200 338,250
Rollins Inc 9,700 232,800
Service Corp. International 69,300 2,191,613
True North Communications, Inc. 23,900 451,113
-------------
6,047,676
-------------
Computer Software (0.8%)
Analysts International Corp. 4,900 126,788
BMC Software, Inc.+ 17,700 1,362,900
Boole & Babbage, Inc.+ 2,300 70,438
Cadence Design Systems, Inc.+ 22,800 738,150
Cheyenne Software, Inc. 6,000 111,000
Computer Language Research, Inc. 700 6,825
33
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments (continued)
Number of
Shares Market Value
------------ -------------
Computer Software (continued)
Control Data Systems, Inc. 8,300 $ 74,181
Exabyte Corp. 900 12,431
FTP Software Inc. 48,300 1,461,075
INSO Corp.+ 2,200 130,213
Kronos, Inc.+ 4,300 160,713
Mapinfo Corp.+ 3,600 127,350
Medic Computer Systems, Inc. 2,200 85,250
Novell, Inc.+ 35,700 711,769
Oracle Systems Corp. 37,600 1,449,950
Phoenix Technologies Ltd.+ 12,200 131,150
Policy Management Systems Corp.+ 12,600 579,600
PRI Automation, Inc.+ 2,900 95,700
Reynolds & Reynolds 22,400 660,800
Triad Systems Corp.+ 22,700 163,156
-------------
8,259,439
-------------
Computers & Office Equipment (3.7%)
Ceridian Corp. 61,900 2,282,563
Comdisco, Inc. 21,000 637,875
Dell Computer Corp. 14,800 890,775
Gateway 2000, Inc.+ 4,800 109,500
HBO and Co. 3,700 202,113
International Business Machines Corp. 169,600 16,281,600
Key Tronic Corp. 20,000 321,250
Microsoft Corp.+ 42,600 3,852,638
Planar Systems, Inc.+ 13,600 302,600
Read-Rite Corp.+ 92,000 2,455,250
Silicon Graphics, Inc.+ 2,254 89,878
Sun Microsystems, Inc.+ 154,300 7,493,194
The MacNeal-Schwendler Corp. 26,000 364,000
Xerox Corp. 38,100 4,467,225
-------------
39,750,461
-------------
Consumer Products (0.5%)
Block Drug Co. Class A 2,600 90,025
Consolidated Papers Inc. 14,100 812,513
Dekalb Genetics Corp. Class B 8,000 351,000
Eastman Kodak Co. 33,000 2,000,625
Fieldcrest Cannon, Inc.+ 22,700 490,888
First Brands Corp. 4,500 192,938
Guilford Mills, Inc. 3,100 75,563
Helene Curtis Industries, Inc. 10,800 307,800
Maybelline, Inc. 38,000 779,000
Phillips-Van Heusen Corp. 4,000 62,000
-------------
5,162,352
-------------
Diversified (2.4%)
Astec Industies, Inc.+ 12,000 135,000
BIC Corp. 3,100 121,675
Dover Corp. 80,600 5,863,650
Griffon Corp.+ 44,600 356,800
Harsco Corp. 12,900 680,475
ITT Corp. 66,400 7,802,000
Illinois Tool Works, Inc. 45,000 2,475,000
Kulicke & Soffa Industries, Inc. 29,000 1,924,875
Lydall, Inc. 6,000 132,000
NACCO Industries, Inc. Class A 22,400 1,341,200
Standex International Corp. 7,900 248,850
Textron Inc. 49,000 2,848,125
United Waste Systems, Inc. 12,200 436,150
VF Corp. 23,900 1,284,625
-------------
25,650,425
-------------
Electrical Equipment (3.8%)
3Com Corp. 8,300 556,100
ADFlex Solutions, Inc.+ 11,000 264,688
Number of
Shares Market Value
------------ -------------
Ametek, Inc. 12,200 $ 219,600
AMP Inc. 76,600 3,236,350
Avnet, Inc. 15,700 759,488
Baldor Electric Co. 10,900 312,013
Burr-Brown Corp.+ 16,050 433,350
Cellstar Corp. 13,100 302,938
Dionex Corp.+ 1,600 73,000
Emerson Electric 109,400 7,822,100
General Electric Co. 197,400 11,128,425
Itel Corp.+ 4,300 167,700
Kemet Corp.+ 4,500 236,813
Kent Electronics Corp.+ 6,300 238,613
Marshall Industries 5,600 187,600
Microchip Technology Corp.+ 68,200 2,489,300
Molex, Inc. 22,000 849,750
Park Electrochemical Corp. 25,900 1,311,188
Sundstrand Corp. 4,600 274,850
Tektronix, Inc. 58,900 2,900,825
Teradyne, Inc.+ 16,600 1,085,225
Texas Instruments, Inc. 43,500 5,823,563
Valmont Industries 5,900 125,006
-------------
40,798,485
-------------
Electrical & Electronics (1.8%)
CTS Corp. 4,600 140,300
Dovatron International Inc. 15,800 383,150
Dynatech Corp.+ 20,000 380,000
Esterline Technologies+ 50,500 1,142,563
FPL Group, Inc.+ 58,200 2,247,975
Glenayre Technologies, Inc.+ 11,550 591,938
Intel Corp. 105,000 6,647,813
Logicon, Inc. 2,900 129,050
Maxim Integrated Products, Inc. 13,100 668,100
Merix Corp. 12,200 366,000
Micron Technology Inc. 37,200 2,041,350
Motorola, Inc. 14,200 953,175
Pioneer Standard Electronics 2,500 61,875
Rogers Corp. 2,400 132,900
Seagate Technology, Inc.+ 9,900 388,575
Tandy Corp. 35,300 1,831,188
The Panda Project, Inc.+ 8,900 257,544
Unitrode Corp.+ 14,900 419,063
Wyle Laboratories 3,600 101,250
-------------
18,883,809
-------------
Financial Services (2.8%)
Advanta Corp. Class A 13,000 541,125
American General Corp. 73,800 2,490,750
Astoria Financial Corp. 36,700 1,316,613
AT&T Capital Corp. 6,800 181,900
Autofinance Group Inc. 23,700 385,125
BanPonce Corp. 4,600 163,875
BayBanks, Inc. 7,000 555,625
Bear Stearns Co., Inc. 12,000 256,500
BHC Financial Inc. 8,000 129,500
Citizens Bancorp 10,100 297,950
Dean Witter Discover And Co. 117,800 5,536,600
Deposit Guaranty Corp. 9,000 348,750
Duff & Phelps Corp. 31,700 340,775
Federal Home Loan Mortgage Corp. 24,000 1,650,000
First Empire State Corp. 2,800 480,200
First USA, Inc. 3,000 133,125
Great Financial Corp. 41,000 773,875
Greenpoint Financial Corp. 18,500 437,063
Home Financial Corp. 34,300 486,631
Household International, Inc. 32,700 1,618,650
34
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments (continued)
Number of
Shares Market Value
------------ -------------
Financial Services (continued)
IBS Financial Group 9,000 $ 124,313
Ideon Group, Inc. 52,200 515,475
John Nuveen & Company, Inc. 2,400 57,600
Keystone Financial, Inc. 4,600 129,088
Leader Financial Corp. 14,600 417,013
Mark Twain Bancshares, Inc. 3,100 99,588
Mercury Finance Co. 30,000 577,500
Morgan Keegan, Inc. 10,650 130,463
River Forest Bancorp, Inc. 3,600 145,350
The Bank of New York Co., Inc. 119,000 4,804,625
Travelers, Inc. 105,500 4,615,625
World Acceptance Corp.+ 2,400 81,000
-------------
29,822,272
-------------
Foods & Beverages (5.2%)
American Maize Products Co. Class A 9,300 315,038
Anheuser-Busch Co. 73,900 4,203,063
Archer-Daniels-Midland Co. 161,350 3,005,144
Cagle's, Inc. 3,500 58,625
Campbell Soup Co. 78,100 3,826,900
Coca-Cola Co. 163,000 10,391,250
ConAgra, Inc. 212,600 7,414,425
CPC International Inc. 90,000 5,557,500
Goodmark Foods, Inc. 3,700 58,275
Heinz (H.J.) Co. 30,000 1,331,250
Hormel Foods Corp. 17,200 449,350
Hudson Foods, Inc. Class A 18,700 259,463
IBP, Inc. 17,500 761,250
International Dairy Queen, Inc. 8,900 173,550
International Multifoods Corp. 20,100 452,250
Kroger Co. (The)+ 19,500 524,063
Luby's Cafeterias, Inc. 15,300 307,913
McDonald's Corp. 32,000 1,252,000
Mondavi (Robert) Corp.+ 7,300 127,750
Nash-Finch Co. 6,600 107,250
PepsiCo, Inc. 140,000 6,387,500
Ralston Purina Group 45,000 2,295,000
Richfood Holdings, Inc. 25,800 570,825
Safeway, Inc. 13,000 485,875
Sara Lee Corp. 196,600 5,603,100
-------------
55,918,609
-------------
Health Services (0.9%)
Bergen Brunswig Corp. Class A 10,000 228,750
Beverly Enterprises Inc.+ 10,102 125,009
Columbia/Hca Healthcare Corp. 104,000 4,498,000
Diagnostic Products Corp. 8,000 292,000
Health Management Associates Class A+ 5,500 160,875
Healthdyne Technologies Inc.+ 18,000 186,750
Horizon Healthcare Corp.+ 62,800 1,122,550
Integrated Health Services, Inc. 3,000 90,000
Invacare Corp. 3,500 146,125
Nellcor, Inc.+ 14,500 647,063
Ren Corp.-USA+ 13,500 216,844
Sun Healthcare Group, Inc.+ 3,600 56,700
Tecnol Medical Products Inc. 8,300 183,638
ThereTx, Inc.+ 21,000 278,250
Universal Health Services, Inc.+ 28,200 817,800
West Co., Inc. 2,200 61,600
-------------
9,111,954
-------------
Health Technology (0.6%)
Amsco International, Inc.+ 95,600 1,326,450
Barr Labs Inc.+ 5,700 123,263
Cordis Corp.+ 5,400 361,800
Number of
Shares Market Value
------------ -------------
Fresenius USA, Inc.+ 4,500 $ 59,063
Isomedix, Inc. 3,300 44,550
Life Technologies, Inc. 7,000 155,750
Puritan-Bennett Corp. 14,400 554,400
Research Industries Corp.+ 18,000 410,625
Rhone-Poulenc Rorer, Inc. 8,400 343,350
Sybron International Corp.+ 26,800 1,068,650
Watson Pharmaceuticals Inc.+ 41,300 1,605,538
-------------
6,053,439
-------------
Home Furnishings & Appliances (0.1%)
Kimball International, Inc. Class B 1,700 45,688
Lancaster Colony Corp. 7,700 273,350
Leggett & Platt, Inc. 15,600 686,400
-------------
1,005,438
-------------
Hotels & Restaurants (0.4%)
Marcus Corp. 2,500 75,625
Marriott International Inc. 78,700 2,823,363
Rio Hotel & Casino+ 56,000 763,000
Rock Bottom Restaurants, Inc.+ 4,200 121,275
Sholodge, Inc. 2,600 38,350
-------------
3,821,613
-------------
Household Products (1.0%)
Carnival Corp. 7,900 184,663
Gillette Co. 11,200 499,800
Oneida Ltd 1,900 28,025
Procter & Gamble Co. 100,600 7,230,625
Russell Corp. 42,400 1,219,000
Springs Industries, Inc. Class A 28,000 1,043,000
Tidewater, Inc. 2,300 57,788
Toro Co. 26,700 747,600
-------------
11,010,501
-------------
Insurance (2.2%)
AFLAC, Inc. 13,900 608,125
Alleghany Corp. 500 79,625
Allied Group, Inc. 8,600 242,950
Allstate Corp. 17,300 512,513
American Bankers Insurance Group 27,000 853,875
American National Insurance Co. 4,500 272,813
Argonaut Group, Inc. 8,000 253,000
Capital American Financial Corp. 2,100 47,775
Capital Guaranty Corp. 3,700 66,600
Executive Risk, Inc. 5,100 96,900
Foremost Corp. of America 500 19,250
Fund American Enterprises, Inc. 4,600 328,325
Gainsco, Inc. 4,000 39,750
Healthwise of America, Inc.+ 36,100 929,575
Home Beneficial Corp. 2,100 43,838
Horace Mann Educators Corp. 41,000 943,000
Humana Inc.+ 156,292 2,754,647
Jefferson-Pilot Corp. 21,200 1,160,700
Lawyers Title Corp. 3,000 46,875
Life Partners Group, Inc. 16,500 330,000
Loews Corp. 2,100 254,100
Maxicare Health Plans, Inc.+ 3,100 47,663
MMI Companies Inc. 2,600 51,025
National Re Holdings Corp. 4,000 134,000
Old Republic International 17,300 451,963
Protective Life Corp. 21,200 577,700
Reinsurance Group of America 15,200 435,100
Reliastar Financial Corp. 31,500 1,204,875
RightCHOICE Managed Care, Inc.+ 6,100 73,200
Security-Connecticut Corp. 31,800 818,850
Selective Insurance Group 5,200 170,300
35
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments (continued)
Number of
Shares Market Value
------------ -------------
Insurance (continued)
St. Paul Companies, Inc. 174,400 $ 8,589,200
Transnational Re Corp. Class A 9,900 199,856
United Insurance Cos., Inc.+ 3,600 47,700
Unitrin, Inc. 9,500 451,250
Vesta Insurance Group, Inc. 19,500 670,313
Washington National Corp. 6,000 123,750
-------------
23,930,981
-------------
Machinery & Equipment (0.8%)
Acme-Cleveland Corp. 14,400 340,200
Barnes Group, Inc. 5,700 229,425
Blount, Inc. Class A 24,000 1,071,000
Clarcor, Inc. 7,000 160,125
Commercial Intertech Corp. 20,900 334,400
Danaher Corp. 22,700 686,675
Donaldson Co., Inc. 15,300 399,713
Fluor Corp. 20,400 1,060,800
FSI International, Inc.+ 52,000 1,222,000
Harnischfeger Industries, Inc. 10,000 346,250
IDEX Corp. 6,000 201,000
Indresco Inc.+ 14,100 218,550
JLG Industries, Inc. 10,500 274,313
Katy Industries 4,000 31,500
L.S. Starrett Co. Class A 2,400 54,300
Lindsay Manufacturing Co. 4,700 161,563
Modine Manufacturing Co. 6,900 254,438
Raymond Corp. (The) 12,810 261,004
Regal Beloit 18,900 292,950
Tecumseh Products Co. Class A 7,600 332,500
Watts Industries, Inc. 3,700 93,425
Zero Corp. 6,900 103,500
-------------
8,129,631
-------------
Media & Entertainment (1.3%)
Arctco Inc. 48,100 553,150
Belo Corp. Class A 19,800 606,375
Capital Cities/ABC, Inc. 50,000 5,400,000
Carmike Cinemas, Inc. Class A+ 7,500 181,875
Chris-Craft Industries Inc. 10,609 371,315
King World Productions, Inc.+ 8,600 348,300
Media General, Inc. 18,400 561,200
Mirage Resorts, Inc.+ 25,000 765,625
Outboard Marine Corp. 32,500 637,813
Regal Cinemas, Inc.+ 1,600 51,400
Viacom, Inc. Class B+ 15,200 704,900
Walt Disney Co. 69,600 3,871,500
-------------
14,053,453
-------------
Metals & Mining (1.5%)
AK Steel Holding Corp.+ 13,500 367,875
Alcan Aluminum Ltd. 70,300 2,126,575
Almuax, Inc.+ 21,000 653,625
Aluminum Co. of America 28,000 1,403,500
Asarco, Inc. 27,800 847,900
Ashland Coal Inc. 3,100 82,925
Brush Wellman Inc. 16,100 344,138
Castle, (A.M.) & Co. 7,300 132,313
Cleveland-Cliffs, Inc. 5,100 196,350
Commercial Metals Co. 11,400 307,800
Cyprus Amax Minerals Co. 51,100 1,456,350
Handy & Harman 16,000 248,000
J & L Specialty Steel, Inc. 53,500 1,029,875
Kennametal Inc. 17,000 599,250
Magma Copper Co.+ 30,300 492,375
Minerals Technologies, Inc. 7,200 259,200
Number of
Shares Market Value
------------ -------------
Mueller Industries Inc. 17,000 $ 837,250
Nucor Corp. 34,200 1,829,700
Phelps Dodge Corp. 42,000 2,478,000
-------------
15,693,001
-------------
Oil & Gas--6.2%
Apache Corp. 17,352 475,011
Atlantic Richfield Co. 43,000 4,719,250
Berry Petroleum Class A 7,000 68,250
Box Energy Corp. Class B+ 19,800 165,825
Cairn Energy USA, Inc.+ 40,000 432,500
Chesapeake Energy Corp.+ 34,000 875,500
Chevron Corp. 29,400 1,370,775
Coda Energy, Inc.+ 19,000 128,250
Diamond Shamrock, Inc. 1,800 46,350
Enron Oil & Gas Co. 2,700 58,725
Exxon Corp. 191,000 13,489,375
Halliburton Co. 13,200 471,900
Leviathan Gas Pipeline Partners L.P. 43,500 1,033,125
Mobil Corp. 106,000 10,176,000
Newfield Exploration Co.+ 12,500 354,688
Oneok, Inc. 34,200 731,025
Panhandle Eastern Corp. 36,200 882,375
Pride Petroleum Services, Inc.+ 28,000 208,250
Quaker State Corp. 5,300 79,500
Royal Dutch Petroleum Co. 134,700 16,416,563
Santa Fe Pacific Pipeline Partners L.P. 9,600 349,200
Schlumberger, Ltd. 100,000 6,212,500
Seitel, Inc. 6,000 186,000
Shell Transport and Trading Co. 72,700 5,261,663
Smith International, Inc.+ 63,000 1,055,250
Sonat Offshore Drilling Co. 27,000 776,250
Tesoro Petroleum Corp.+ 28,100 281,000
Tide West Oil Co.+ 7,900 88,875
Wiser Oil Co. 7,600 103,550
-------------
66,497,525
-------------
Paper & Containers (1.7%)
ACX Technologies Inc.+ 4,500 186,188
Aptargroup, Inc. 1,300 41,763
Avery Dennison Corp. 50,000 2,000,000
Ball Corp. 51,900 1,810,013
Champion International Corp. 43,100 2,246,588
Chesapeake Corp. 51,000 1,587,375
Georgia-Pacific Corp. 29,900 2,593,825
International Paper Co. 55,300 4,741,975
Longview Fibre Co 26,000 442,000
Mead Corp. 13,700 813,438
Rayoner, Inc. 16,400 582,200
Willamette Industries, Inc. 14,900 823,225
-------------
17,868,590
-------------
Pharmaceuticals (4.2%)
Allergan, Inc. 10,300 279,388
Becton, Dickinson & Co. 111,600 6,500,700
Bristol-Myers Squibb Co. 82,000 5,586,250
Foxmeyer Health Corp.+ 7,500 134,063
Johnson & Johnson 165,400 11,185,175
Marion Merrell Dow, Inc. 18,300 466,650
Medtronic, Inc. 56,800 4,380,700
Merck & Co., Inc. 13,000 637,000
Mylan Laboratories 44,000 1,353,000
Schering Plough 167,600 7,395,350
Smithkline Beecham Plc 113,400 5,131,350
Upjohn Co. 36,500 1,382,438
-------------
44,432,064
-------------
36
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments (continued)
Number of
Shares Market Value
------------ -------------
Pollution Control (0.4%)
Browning-Ferris Industries, Inc. 74,900 $ 2,705,763
WMX Technologies, Inc. 65,000 1,844,375
-------------
4,550,138
-------------
Printing & Publishing (1.2%)
American Media Inc. 32,000 220,000
American Publishing Co. 3,100 32,550
Banta Corp. 2,300 77,338
Cadmus Communications Corp. 18,400 434,700
Central Newspapers, Inc. Class A 6,100 180,713
Devon Group, Inc.+ 19,300 564,525
Gannett Company, Inc. 137,200 7,443,100
International Imaging Materials, Inc.+ 6,900 175,950
Lee Enterprises, Inc. 5,200 198,250
Meredith Corp. 11,000 279,125
Playboy Enterprises, Inc. 7,700 60,638
Pulitzer Publishing Co. 6,300 268,538
Scholastic Corp.+ 3,700 201,650
Tribune Co. 41,600 2,553,200
-------------
12,690,277
-------------
Real Estate Investment Trusts (0.0%)
Santa Anita Realty Enterprises, Inc 3,300 47,850
Smith (Charles E.) Residential Realty Co. 5,900 140,125
-------------
187,975
-------------
Retail (3.4%)
Albertson's, Inc. 130,600 3,885,350
Arbor Drugs, Inc. 7,350 119,438
Blair Corp. 7,000 240,625
Cardinal Health Inc. 13,000 614,250
Casey's General Stores, Inc. 14,600 260,063
Cash America International, Inc. 25,500 188,063
Circuit City Stores, Inc. 22,400 708,400
Delchamps, Inc. 2,500 47,188
Dollar General Corp. 23,700 749,513
Eli Lilly & Co. 31,300 2,457,050
Fay's Drug Co. 23,100 176,138
General Host Corp. 59,500 364,438
General Nutrition Co., Inc. 17,900 624,263
Hannaford Brothers, Co. 5,500 156,750
Harcourt General, Inc. 30,000 1,275,000
Hills Stores Co. 6,000 144,000
Laclede Gas Co. 2,200 43,175
Medicine Shoppe International, Inc. 3,400 118,150
Neiman Marcus Group, Inc. 52,000 741,000
Network Peripherals+ 50,000 1,100,000
Office Depot, Inc.+ 61,100 1,718,438
Oshkosh B'Gosh, Inc. 22,000 360,250
Rex Stores Corp. 17,500 245,000
Rite Aid Corp. 158,800 4,069,250
Russ Berrie & Co. Inc. 14,000 194,250
Sears, Roebuck & Co. 100,100 5,993,433
Shopko Stores, Inc. 3,600 38,700
St. Johns Knits, Inc. 10,000 448,750
Staples, Inc.+ 35,200 1,018,600
Wal-Mart Stores, Inc. 116,200 3,108,350
Walgreen Co. 91,600 4,591,450
Weis Markets, Inc. 4,500 124,875
-------------
35,924,200
-------------
Specialty Consumer Durables (0.3%)
Bio-Rad Labs, Inc. Class A+ 3,400 122,400
Collagen Corp. 33,500 569,500
Conmed Corp.+ 16,400 401,800
Number of
Shares Market Value
------------ -------------
Fusion Systems Corp. 24,400 $ 826,550
Polaris Industries, Inc. 30,900 1,243,725
Superior Surgical Manufacturing Co. 8,000 84,000
-------------
3,247,975
-------------
Telecommunications (0.9%)
Ameritech Corp. 106,000 4,664,000
Computer Associates International, Inc. 72,000 4,878,000
-------------
9,542,000
-------------
Transportation (0.8%)
Air Express International Corp. 2,000 47,500
AMR Corp.+ 39,200 2,925,300
Conrail Inc. 27,100 1,507,438
Expeditors International of Washington,
Inc. 5,400 122,175
Florida East Coast Railway Co. 5,200 383,500
Fritz Companies, Inc. 1,200 70,500
Harper Group, Inc. 2,100 34,650
Illinois Central 2,900 100,050
Landstar Systems, Inc.+ 37,500 965,625
M.S. Carriers, Inc.+ 8,900 165,763
PHH Corp. 14,000 623,000
Rural/Metro Corp. 13,000 286,000
Swift Transportation Co., Inc. 12,400 210,800
UAL Corp.+ 4,900 687,225
Wisconsin Central Transportation Corp. 400 19,450
-------------
8,148,976
-------------
Utilities -- Electric (2.9%)
American Water Works Co., Inc. 14,000 444,500
Boston Edison Co. 17,900 467,638
California Energy Co.+ 33,000 540,375
Central Hudson Gas & Electric 25,100 677,700
Central Maine Power Co. 27,500 326,563
Cipsco, Inc. 11,700 349,538
Consolidated Edison Co. of New York, Inc. 90,000 2,655,000
DGE, Inc. 20,850 489,975
General Public Utilities Corp. 10,200 303,450
Green Mountain Power Corp. 6,500 163,313
Illinova Corp. 7,600 192,850
Interstate Power Co. 18,000 434,250
LG&E Corp. 8,900 347,100
MDU Resources Group, Inc. 2,300 68,425
Midwest Resources, Inc. 18,000 267,750
New York State Electric & Gas Corp. 8,300 194,013
Nipsco Industries, Inc. 20,400 693,600
Northern States Power Co. (Minn.) 15,000 691,875
Northwestern Public Service Co. 2,000 51,250
Oklahoma Gas & Electric 16,200 569,025
Orange & Rockland Utilities, Inc. 10,000 337,500
Pacific Gas & Electric Co. 100,000 2,900,000
Peco Energy Co. 69,300 1,914,413
Philadelphia Suburban Corp. 4,000 74,000
Pinnacle West Capital Corp. 27,900 683,550
Public Service Co. of New Mexico 45,400 646,950
SCEcorp 352,400 6,034,850
Sierra Pacific Resources 34,000 739,500
Southern California Water Co. 3,100 60,063
Southern Co. 100 2,238
TNP Enterprises, Inc. 9,000 145,125
Unicom Corp. 209,100 5,567,288
United Illuminating Co. 24,400 805,200
Wisconsin Energy Corp. 26,700 747,600
WPS Resources Corp. 17,200 503,100
-------------
31,089,567
-------------
37
<PAGE>
Aetna Investment Advisers Fund, Inc.
Portfolio of Investments (continued)
Number of
Shares Market Value
------------ -------------
Utilities -- Oil & Gas (0.5%)
Atlanta Gas Light Co. 17,200 $ 597,700
Brooklyn Union Gas Co. (The) 11,000 288,750
Cascade Natural Gas Corp. 800 11,200
Connecticut Energy Corp. 3,000 58,875
Energen Corp. 17,000 365,500
MCN Corp. 32,400 639,900
New Jersey Resources Corp. 7,100 164,188
Northwest Natural Gas Co. 4,100 127,356
Pacific Enterprises 59,400 1,455,300
Piedmont Natural Gas, Inc. 13,000 269,750
Public Service Co. of North Carolina 7,700 126,088
South Jersey Industries, Inc. 9,000 189,000
Southern Indiana Gas & Electric Co. 12,500 401,563
Union Texas Petroleum Holdings, Inc. 23,800 502,775
-------------
5,197,945
-------------
Utilities -- Telephone (3.1%)
AT&T Corp. 115,900 6,157,188
BCE Inc. Canadian 37,700 1,211,113
Bell Atlantic Corp. 120,000 6,720,000
BellSouth Corp. 80,800 5,130,800
Citizens Utilities Co.+ 495 5,878
GTE Corp. 70,000 2,388,750
Pacific Telesis Group 130,500 3,490,875
Southern New England Telecom. Corp. 19,200 676,800
Sprint Corp. 199,300 6,701,463
Tellabs, Inc.+ 17,600 845,900
Transaction Network Services, Inc.+ 3,800 61,750
-------------
33,390,517
-------------
Total Common Stocks 700,015,120
-------------
Preferred Stocks (0.4%)
Aerospace & Defense (0.1%)
Citicorp PERCS 35,916 727,299
-------------
Banks (0.3%)
Kaman Corp, 6.5%, Series 2 74,562 4,063,629
-------------
Total Preferred Stocks 4,790,928
-------------
Total Common and Preferred Stocks
(cost $602,262,692) $704,806,048
-------------
LONG TERM BONDS AND NOTES (30.7%)
Principal
Amount Market Value
------------ -------------
U.S. Government and Agency Obligations (12.6%)
Agency Mortgage-Backed Securities (2.1%)
Federal Home Mortgage Loan Corp., 6.00%,
11/15/08 $ 8,200,000 $ 7,682,334
Federal National Mortgage Association
1991-3 Z Tranche, 8.50%, 01/25/21 14,245,993 14,908,575
-------------
22,590,909
-------------
U.S. Government Obligations (10.5%)
U.S. Treasury Bond, 7.63%, 02/15/25 23,250,000 26,236,160
U.S. Treasury Note, 6.25%, 08/31/96 38,350,000 38,565,719
U.S. Treasury Note, 7.50%, 01/31/97 46,700,000 47,882,070
-------------
112,683,949
-------------
Total U.S. Government and Agency
Obligations 135,274,858
-------------
Principal
Amount Market Value
------------ -------------
Corporate and Convertible Bonds and Notes (11.4%)
Aerospace & Defense (0.5%)
Kaman Corporation, 6.00%, 03/15/12 $ 6,275,000 $ 5,035,688
-------------
Asset-Backed Securities (1.7%)
General Motors Acceptance Corp., 6.15%,
01/16/01 18,700,000 18,178,831
-------------
Banks (1.0%)
Swire Pacific, Ltd., 8.50%, 09/29/04 10,000,000 10,525,000
-------------
Electric Utilities (0.6%)
CMS Energy, Zero Coupon, 10/01/99 6,000,000 6,138,534
-------------
Electrical Equipment (0.8%)
Centennial Cellular Corp., 10.13%, 05/15/05 9,150,000 9,104,250
-------------
Finance (0.7%)
American General, 8.45%, 10/15/09 7,000,000 7,967,274
-------------
Oil & Gas (0.1%)
Amoco Canada Petroleum Co. Ltd., 7.38%,
09/01/13 704,000 899,360
-------------
Miscellaneous (3.1%)
Beazer Homes USA, Senior Note, 9.00%,
03/01/04 3,700,000 3,311,500
News American Holdings, 8.50%, 02/23/25 9,300,000 10,243,671
Placer Dome Group, Inc., 0.30%, 01/01/10 41,300 1,078,963
Pitney Bowes Credit Corp., 8.55%, 09/15/09 13,100,000 15,124,854
Pittston Co., 4.00%, 07/01/97 3,249,000 3,045,938
-------------
32,804,926
-------------
Paper & Containers (1.1%)
Stone Container Corp., 9.88%, 02/01/01 11,980,000 11,980,000
-------------
Retail (0.9%)
Ralph's Grocery, 10.45%, 06/15/04 10,000,000 10,050,000
-------------
Telecommunications (0.9%)
Viacom Inc., 8.00%, 07/07/06 10,000,000 9,750,000
-------------
Total Corporate and Convertible Bonds and
Notes 122,433,863
-------------
Foreign and Supranationals (4.4%)
Foreign Bonds (4.4%)
Transprtadora de Gas Del Sur, 4,600,000 4,025,000
African Development Bank, 8.80%,
09/01/19 7,000,000 8,438,486
South Africa Global Bond, 9,500,000 9,877,027
Poland Discount Bond, 7.125%, 10/27/24 10,000,000 7,675,000
Poland Bearer Bond PDI, 3.25%, 10/27/14 29,200,000 17,447,000
-------------
Total Foreign and Supranationals 47,462,513
-------------
Non-Agency Mortgage Backed Securities (2.1%)
Asset-Backed Securities (2.1%)
American Southwest Financial Securities
Corp., 8.00%, 01/18/09 7,723,998 7,645,074
Kidder Peabody Acceptance Corp., 8.80%,
04/01/07 5,000,000 5,537,210
Kidder Peabody Acceptance Corp., 6.50%,
11/25/25 5,000,000 4,769,285
Chase Mortgage Finance 92 L4, 6.75%,
11/25/09 5,000,000 5,010,290
-------------
22,961,859
-------------
Total Long Term Bonds and Notes (cost
$313,454,405) 328,133,092
-------------
38
<PAGE>
SHORT-TERM INVESTMENTS (2.4%)
Principal
Amount Market Value
------------ -------------
ITT Financial Corp., 6.35%, 07/05/95 $
$ 1,651,000 1,650,418
U.S. Treasury Note, 4.25%, 07/31/95 2,000,000 1,997,344
Sprint Capital Corp., 6.50%, 07/05/95 15,224,000 15,218,502
TCI Communications, Inc., 6.675%,
07/03/95 2,000,000 2,000,000
TCI Communications, Inc., 6.55%, 07/05/95 5,000,000 4,998,181
-------------
Total-Short Term Investments (cost
$25,864,023) 25,864,445
-------------
TOTAL INVESTMENTS--(cost $941,581,120) (a) $1,058,803,585
=============
+Non-income producing security.
(a) The cost of investments for income tax purposes amounted to $941,725,614.
Unrealized gains and losses, based on identified tax cost at June 30, 1995
are as follows:
Unrealized gains $123,847,528
Unrealized losses (6,769,557)
-------------
Net unrealized gain $117,077,971
=============
39
