<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
DEAR INVESTOR:
We are pleased to provide you with the semi-annual report for Greenwich Street
Series Fund -- Intermediate High Grade, Appreciation and Total Return Portfolios
("Portfolios") for the period ended June 30, 1999. We hope you find this report
to be useful and informative. This letter briefly discusses general economic and
market conditions. In addition, detailed comparisons showing the growth of a
hypothetical $10,000 invested in each Portfolio since inception can be found in
this report. All total return figures given in this report, both cumulative and
average annualized, exclude the effect of sales charges. Past performance is not
indicative of future results. A detailed summary of performance and current
holdings for each individual Portfolio can be found in the appropriate sections
that follow.
MARKET AND ECONOMIC OVERVIEW
1998's strong market performance continued into 1999, as stock investors enjoyed
substantial returns over the past six months. Although large-capitalization
stocks were once again the best performers, smaller-sized company stocks also
provided decent returns. Stocks reacted positively to evidence of a worldwide
recovery. U.S. multinationals reported stronger sales overseas, particularly in
Southeast Asia. The bond market's perception of this news was less favorable, as
most bond prices slipped. Partly in response to this stronger growth, the
Federal Reserve Board ("Fed") raised interest rates by 25 basis points in late
June.
In our view, stock market returns for the remainder of 1999 should depend
greatly on the actions of the Fed. While the Fed increased rates in June, the
capital markets reacted with relief when there were indications that this would
not be the first of many increases. If, however, the Fed were to increase rates
further, the stock market would become more vulnerable to a correction. This is
not our expectation, as we believe low inflation should deter future Fed rate
increases.
INTERMEDIATE HIGH GRADE PORTFOLIO
The investment objective of the Intermediate High Grade Portfolio is to provide
investors with as high a level of current income as is consistent with the
protection of capital. Under normal market conditions, the Intermediate High
Grade Portfolio will invest at least 65% of its assets in high-quality,
intermediate-term U.S. government securities and U.S. corporate bonds. For the
six months ended June 30, 1999, the Intermediate High Grade Portfolio had a
total return of a negative 2.50%, compared to the Lehman Brothers
Government/Corporate Bond Index total return of a negative 2.28%. (Past
performance is not indicative of future results. The Lehman Brothers
Government/Corporate Bond Index is a combination of publicly issued
intermediate- and long-term U.S. government bonds and corporate bonds.)
Interest rates rose over the last six months as the bond market and the Federal
Reserve returned to focus on the domestic economy instead of global turmoil. Fed
Chairman Alan Greenspan warned the bond market that he considered current
economic growth to be too strong. Mr. Greenspan suggested that the sustainable
economic growth rate is now 3% (i.e., 1% from growth in the labor force and 2%
from increased productivity). Recent economic growth has been closer to 4%. The
Fed Chairman believes that continued growth greater than 3% will lead to
imbalances in the economy and may increase inflationary pressures. He appears
especially worried that strong job growth in excess of available supply will
lead to inflationary wage gains. Mr. Greenspan also hinted that the interest
rate cuts of last fall might no longer be appropriate. The Fed took the first
step towards unwinding last fall's rate cuts when they raised the federal-funds
target rate on June 30, 1999 to 5% (i.e., a 25 basis point increase).
Looking towards the future, the managers expect interest rates to remain choppy
but to edge higher until the market sees Gross Domestic Product ("GDP") growth
slowing. As long as economic growth as measured by GDP is faster than the Fed's
3% annual growth rate target, the marketplace will price in additional
tightening from the Fed.
The wild card looking forward is the potential for the economy to slow down
early next year due to potential problems from the Y2K computer bug. This will
probably stop the Fed from tightening aggressively this year since any Fed
tightening now will still be impacting the economy in early 2000 potentially
exacerbating any economic slowdown from Y2K.
The Y2K situation presents the bond market with uncertainty. (During times of
uncertainty the bond market tends to favor U.S. Treasuries over spread products
such as corporate bonds and mortgage-backed securities). The managers will look
for
1
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SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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opportunities to lower their exposure to spread products over the next few
months so they take advantage of any opportunities that may present themselves
closer to year end.
APPRECIATION PORTFOLIO
For the six months ended June 30, 1999, the Appreciation Portfolio had a total
return of 9.64%. In comparison, the S&P 500 posted a total return of 12.38% for
the same period. The Appreciation Portfolio's investment objective is to provide
investors with long-term appreciation of capital. (Past performance is not
indicative of future results. The S&P 500 Index is an index composed of widely
held common stocks listed on the New York Stock Exchange, American Stock
Exchange and over-the-counter market.)
Entering April, the stock market was in a precarious position. Despite a pretty
good move in the popular averages through March, the vast majority of stocks
were actually declining. In the past, markets that had been led higher by
increasingly narrow leadership tended to have serious declines. With most stocks
languishing because of a lack of buying interest, it seemed only a matter of
time until the pressure from rising interest rates took its toll on the handful
of stocks that had been enjoying speculative bulges.
But in the first week of April, the market began a month of unprecedented
behavior. Instead of the whole market declining, it turned topsy-turvy. The
former leaders did indeed begin a declining phase, but the hundreds of stocks
that had been out of favor for years, particularly cyclical companies, (i.e.,
companies whose fortunes are tied closely to the overall economy) almost
miraculously began to rise. For most of April, the former laggards had their own
bull market.
Finally, in May and June, as interest rates continued to rise, the overall
market began to retreat. The big growth stocks that had been leaders for so
long, but faltered in April, have had some sporadic rallies, but generally
remain well below highs made earlier in the year. The cyclical stocks, having
gotten pricey during their April surge, have also retreated.
The events of the last six months have presented many portfolio managers with a
significant dilemma: to continue to buy a select group of expensive growth
stocks at record valuations hoping that their prices will go even higher, or buy
attractively valued, solid but unexciting businesses, whose stock prices
continue to lag, hoping that the market will eventually realize the value. The
Appreciation Portfolio has walked a fine line in trying to attain its
often-stated goal of allowing investors to participate in potential upside
appreciation while also trying to protect assets in times of market declines.
The manager has a good mixture of great growth companies bought at much lower
levels, and stocks with solid values that he hopes will be recognized as they
began to be in April. There were several changes to the Portfolio during the six
months under review. After they had a strong run early in the year he trimmed
pharmaceutical stocks such as Johnson & Johnson and Pfizer as valuations and
expectations reached frenzied levels. After a significant sell-off this sector
has come back down to more realistic levels, and he has repurchased some shares
sold at higher prices.
In addition, financial holdings such as Chase Manhattan Bank and Associates
First Capital were eliminated due to concerns over revenue growth and rising
interest rates. Proceeds were used to increase his weighting in the
telecommunications sector where companies such as GTE, Bell Atlantic and
Ameritech offer solid growth prospects at a significant discount to market
valuation levels. In addition, he also materially increased his position in AT&T
where new management is aggressively restructuring to accelerate growth.
Earlier this year holdings were increased in the energy sector, particularly
Royal Dutch and Texaco, where depressed oil prices offered an opportunity to buy
rapidly improving companies with good dividend yields at modest prices. In the
volatile technology sector, Texas Instruments, IBM and Lucent Technologies were
significant contributors to overall performance. Other stocks that posted strong
results over the last six months include CBS, Tyco International, and Viacom.
Allstate continued to drag on performance, but the manager remains convinced
that fundamentals are excellent, and the stock too inexpensive. America Online,
a stock the manager purchased in small quantities last summer during the
market's turmoil, grew through price appreciation to where it had become the
second largest position in the Portfolio. Despite the great promise of Internet
stocks, earnings are still elusive, so the manager cut the position in half
during the mania of late winter. He intends to maintain a modest position in AOL
for its prospects, but earnings and the valuations that investors put on those
earnings still carry a lot of weight in his decisions to buy, hold, or sell
stocks.
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As the third quarter begins, it is worth examining the current status of the
three factors that influence stock prices: earnings, interest rates and
psychology. The continued strength in the domestic economy probably has had a
positive effect on corporate earnings for the second quarter. Additionally, the
Asian economies, which are potential sources of demand for U.S. products, slowly
have begun to improve. U.S. consumers continue to take on additional debt to
make purchases, a sign of tremendous confidence, but also a trend that probably
is dependent on a continued bull market. Virtually all of the earnings increases
will be coming from either higher volume, or cost-cutting, because pricing power
for corporations remains practically non-existent. In addition to competition
from abroad, as well as worldwide overcapacity in many industries, the soaring
impact of the Internet on commerce is being felt by most companies.
One of the most striking effects of the Internet is its powerful deflationary
force. Price-cutting is rampant. Direct sales are eliminating a whole layer of
intermediaries with the attendant cuts in prices. Current earnings are coming in
well for many companies, but because of unintended consequences of Internet
commerce, the future is likely to hold as many unpleasant effects on some
corporations as it will opportunities for others.
The depressing effect on prices of the Internet, combined with excess capacity
for many industries, leads into a discussion of interest rates. The rise in
long-term interest rates from 4.75% in October to 6.15% in June is somewhat
mystifying. The manager had expected a rebound from low levels after the Russian
default and the accompanying hedge fund fiasco, but the rise from 5 1/2% and up
seems excessive. Simply put, deflationary forces in the world are still stronger
than inflationary ones. Despite a rise in short-term rates, designed to take
some excess steam out of the economy, long-term interest rates should recede.
Normally that would be a plus for stocks but, with price-earnings ratios already
at record high levels, it would take a massive rate decline to have an impact on
stock prices.
Psychology, the third factor in stock prices, remains a problem. Complacency is
rampant. There never has been such widespread belief in the stock market's
ability to keep rising at unrealistic rates. The bull market psychology has
taken stocks to valuation levels that seem dangerous, unless one accepts a new
paradigm. Obviously, many participants have bought into that concept. Margin
debt has soared, as speculators, flush with success over the past few years, add
to holdings with cheap borrowed money. Additionally, mutual fund managers have a
fear that has not been seen before -- not a fear of stocks going down, but
rather a fear of selling stocks, lest they go higher.
In summary, little has changed. Stocks are expensive, and interest rates are too
high. Good earnings could keep things afloat, but the closest things to bargains
are companies that nobody seems to want, except for the brief flurry in April.
The manager remains cautious unless he can make a better case for the valuations
people are willing to pay. Now that the Federal Reserve has conformed to
widespread expectations and raised short-term interest rates by a quarter point,
further complacency is likely, and it would not be surprising to see stocks
become even more speculative in the months ahead.
TOTAL RETURN PORTFOLIO
The Total Return Portfolio's investment objective is to provide investors with
total return, consisting of long-term capital appreciation and income. In
addition, the Portfolio may invest up to 35% of its assets in small-cap stocks.
For the six months ended June 30, 1999, the Total Return Portfolio had a total
return of 17.42%. In comparison, the S&P 500 posted a total return of 12.38% for
the same period. (Past performance is not indicative of future results. The S&P
500 Index is an index composed of widely held common stocks listed on the New
York Stock Exchange, American Stock Exchange and over-the-counter market.)
To achieve its objective, the Portfolio will primarily invest in a diversified
portfolio of dividend-paying common stocks. According to the manager, probably
the most important thing to happen in the last six months has been the growing
recognition that Fed Chairman Alan Greenspan, and his contemporaries around the
world, are determined to utilize monetary and fiscal policies in an aggressive
manner to stimulate GDP growth. World GDP growth in 1998 through 1999 is at the
lowest levels in 50 years and a continuation of recent levels of economic
activity would expose many countries and regions to political, economic and
social stresses. Ultimately this could adversely affect the U.S. economy, the
stock market and consumer confidence.
In return for greater growth, Greenspan and other central bank authorities are
willing to tolerate some increase in longer-term interest rate and inflation
risks. Interest rates have gone up more than 1% since late in 1998; however,
inflation has remained subdued. If one looks at growth in world money supply in
recent quarters, the substantial increase in this suggests that
3
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SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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possibly the best days for inflation are behind us and that it will drift into
the 3 through 3 1/2% range in the next one to two years.
This environment is positive for many economically sensitive stocks and less so
for growth stocks. In the last six months, the market has broadened out so that
the major indexes are no longer being driven by only a very limited number of
stocks, as was the case in 1998. Small and mid-cap issues also have much better
prospects in a reflationary world economy, that is one exhibiting higher levels
of growth.
The manager believes all-cap portfolios may outperform large cap portfolios in
the next five years. Total Return Portfolio has approximately 35% of its assets
in small and mid-cap stocks with market capitalizations between $1 to $10
billion because the manager believes these may outperform the S&P 500 and other
large cap indexes by a substantial amount in the coming years. (Please note that
the Portfolio's objective is suitable for investors who are willing to hold
their shares through periods of market fluctuations and the accompanying changes
in share values. Investors in the Total Return Portfolio must be comfortable
with the greater volatility of a fund that invests in small- and medium-sized
companies.)
With the S&P 500 Index P/E ratio now about 30x, it seems unlikely that P/E
ratios will expand further. Therefore the Index can be expected to track its
underlying earnings growth rate of 6% to 8% in the coming years.
In addition, sectors within the market, which should benefit from "reflation" or
faster world GDP growth, were overweighted. At the start of this decade, energy
and basic materials accounted for 22% of the S&P 500. By February of this year,
the combined total was less than 8%. No doubt, many mutual funds and investment
advisors were underweight these sectors or had no representation at all. It is
the manager's belief that these sectors should do very well should the world
economy begin growing at a faster rate in the next few years. Energy and basic
materials account for approximately 28% of the Total Return Portfolio at this
time.
Finally, the manager has found it appropriate, over the years, to invest in
leading companies which are out of favor for reasons he believes are temporary.
Often times, this provides an excellent entry point and an attractive
risk/reward ratio. Companies in energy, paper, chemicals, private mortgage
insurance, technology, and healthcare were added to the Portfolio or increased
in size utilizing this concept in the first six months of the year.
The following are some of the most important changes in the Portfolio in recent
months and quarters. Georgia Pacific, ALCOA, and Dow Chemical are among the
largest positions in the Portfolio and recently the manager added Archer-Daniels
Midland in the Basic Materials sector as well as Consolidated Papers. The
manager believes that many paper companies should be able to raise prices in the
months ahead.
In financial services, Allstate and MGIC are leaders respectively in personal
insurance and private mortgage insurance. Allstate and MGIC shares had declined
30%-50%, earlier this year, from their highs in 1998. The Portfolio's manager
used this as an opportunity to add these to the Portfolio.
In technology, Motorola and L.M. Ericsson were added to core holdings in Adobe
Systems and Texas Instruments. Both companies should benefit from the explosion
in world demand for wireless communications products and services.
In healthcare, Foundation Health Systems, a leading HMO, and McKesson Corp. were
added to the portfolio. Both purchases were made at prices very near lows over
the last several years. Other purchases in 1999 included Sempra Energy, Crown
Cork & Seal, and Rostelecom.
The manager believes the outlook for the markets is positive in the next few
months. He thinks that the long bond at 6% is probably near its peak and
earnings gains for many companies remain quite strong. Valuation levels,
however, for the overall stock market are not only high, but at levels rarely
seen this century. Much of the good news is priced into many stocks. The manager
believes that stocks will make solid progress in the period ahead but that
investor expectations of 20% or more annual appreciation will need to be
modified.
Total Return Portfolio is designed to provide investors with attractive
long-term returns with below market risk. It is also flexible enough to shift
assets into sectors and areas of the markets with better long-term prospects. It
is not wedded to any particular style of investing. This flexible approach, in
the judgment of the manager, will be necessary to provide investors with
attractive absolute and relative returns in the coming years.
4
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SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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In closing, we would like to thank you for your investment in the Greenwich
Street Series Fund. We look forward to helping you pursue your financial needs
in the years to come.
Sincerely,
/s/ HEATH B. MCLENDON
Heath B. McLendon
Chairman
July 15, 1999
5
<PAGE>
<TABLE>
<S> <C>
- -------------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- INTERMEDIATE HIGH GRADE PORTFOLIO AS OF 6/30/99 (UNAUDITED)
</TABLE>
[INTERMEDIATE HIGH GRADE PORTFOLIO LINE GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE HIGH GRADE PORTFOLIO GOVERNMENT/CORPORATE BOND INDEX
--------------------------------- -------------------------------
<S> <C> <C>
10/16/91 $10000 $10000
12/91 10240 10440
12/92 10781 11231
12/93 11643 12470
12/94 11287 12032
12/95 13292 14348
12/96 13518 14764
12/97 14690 15772
12/98 15687 16575
6/30/99 15296 16197
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ (2.50)%
Year Ended 6/30/99 0.55%
Five Years Ended 6/30/99 6.46%
10/16/91* through 6/30/99 5.67%
<CAPTION>
<S> <C>
CUMULATIVE TOTAL RETURN
-----------------------
10/16/91* through 6/30/99 52.96%
+ Total return is not annualized, as it may not
be representative of the total return for the
year.
* Commencement of operations
- ----------------------------------------------------
</TABLE>
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Intermediate High Grade
Portfolio on October 16, 1991
(commencement of operations)
through June 30, 1999 with that
of a similar investment in the
Lehman Brothers
Government/Corporate Bond Index.
Index information is available at
month-end only; therefore, the
closest month-end to inception
date of the Portfolio has been
used. The Lehman Brothers
Government/Corporate Bond Index
is a weighted composite of the
Lehman Brothers Government Bond
Index, which is a broad-based
index of all public debt
obligations of the U.S.
Government and its agencies and
has an average maturity of nine
years and the Lehman Brothers
Corporate Bond Index, which is
comprised of all public
fixed-rate non-convertible
investment-grade domestic
corporate debt, excluding
collateralized mortgage
obligations.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- APPRECIATION PORTFOLIO AS OF 6/30/99 (UNAUDITED)
[APPRECIATION PORTFOLIO LINE GRAPH]
<TABLE>
<CAPTION>
APPRECIATION PORTFOLIO STANDARD & POOR'S 500 STOCK INDEX
---------------------- ---------------------------------
<S> <C> <C>
10/16/91 $10000 $10000
12/91 10490 10838
12/92 11133 11668
12/93 11926 12844
12/94 11792 13012
12/95 15193 17898
12/96 18197 22005
12/97 22999 29345
12/98 27402 37779
6/30/99 30044 42409
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ 9.64%
Year Ended 6/30/99 15.81%
Five Years Ended 6/30/99 20.93%
10/16/91* through 6/30/99 15.34%
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 6/30/99 200.44%
+Total return is not annualized, as it may not
be representative of the total return for the
year.
* Commencement of operations
- ---------------------------------------------------
</TABLE>
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Appreciation Portfolio on
October 16, 1991 (commencement of
operations) through June 30, 1999
with that of a similar investment
in the Standard & Poor's 500
Stock Index. Index information is
available at month-end only;
therefore, the closest month-end
to inception date of the
Portfolio has been used. The
Standard & Poor's 500 Stock Index
is an unmanaged index composed of
500 widely held common stocks
listed on the New York Stock
Exchange, American Stock Exchange
and over-the-counter market.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
6
<PAGE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- TOTAL RETURN PORTFOLIO AS OF 6/30/99 (UNAUDITED)
[TOTAL RETURN PORTFOLIO LINE GRAPH]
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO STANDARD & POOR'S 500 STOCK INDEX
---------------------- ---------------------------------
<S> <C> <C>
12/3/93 $10000 $10000
12/93 10300 10121
12/94 11062 10253
12/95 13832 14103
12/96 17335 17340
12/97 20255 21109
12/98 21260 27176
6/30/99 24964 30506
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ 17.42%
Year Ended 6/30/99 17.35%
Five Years Ended 6/30/99 17.39%
12/3/93* through 6/30/99 17.83%
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
12/3/93* through 6/30/99 149.64%
+ Total return is not annualized, as it may
not be representative of the total return
for the year.
* Commencement of operations
- -------------------------------------------------
</TABLE>
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Total Return Portfolio on
December 3, 1993 (commencement of
operations) through June 30, 1999
with that of a similar investment
in the Standard & Poor's 500
Stock Index. Index information is
available at month-end only;
therefore, the closest month-end
to inception date of the
Portfolio has been used. The
Standard & Poor's 500 Stock Index
is an unmanaged index composed of
500 widely held common stocks
listed on the New York Stock
Exchange, American Stock Exchange
and over-the-counter market.
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
7
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 1999
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 37.9%
$ 440,000 U.S. Treasury Notes, 5.750% due 10/31/00.................... $ 442,138
750,000 U.S. Treasury Notes, 6.250% due 2/15/03..................... 761,805
500,000 U.S. Treasury Notes, 6.500% due 10/15/06.................... 516,310
1,000,000 U.S. Treasury Notes, 8.125% due 8/15/19..................... 1,206,420
1,000,000 Federal Home Loan Bank, 6.450% due 10/29/07................. 1,000,520
261,000 Federal National Mortgage Association, 5.125% due 3/13/04... 250,873
- --------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $4,213,111)........................................ 4,178,066
- --------------------------------------------------------------------------------------------------------------
FACE
AMOUNT RATING (a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 46.2%
AEROSPACE AND DEFENSE -- 0.9%
100,000 AA- Rockwell International, Notes, 6.750% due 9/15/02........... 101,375
- --------------------------------------------------------------------------------------------------------------
BANKS/SAVINGS AND LOANS -- 13.5%
500,000 AAA Bayerische Landesbank, N.Y., Sub. Notes, 5.875% due
12/1/08..................................................... 465,625
250,000 AA J.P. Morgan & Co., Series A, Unsubordinated Sr. Notes,
6.125% due 10/2/00.......................................... 250,625
250,000 AA Morgan Guaranty Trust Co., Sub. Notes, 7.375% due 2/1/02.... 255,000
500,000 AA- National Westminster Bank, N.Y., Sub. Notes, 9.450% due
5/1/01...................................................... 522,500
- --------------------------------------------------------------------------------------------------------------
1,493,750
- --------------------------------------------------------------------------------------------------------------
COSMETICS AND TOILETRIES -- 2.4%
250,000 AA Kimberly-Clark Corp., Debentures, 7.875% due 2/1/23......... 263,750
- --------------------------------------------------------------------------------------------------------------
ELECTRONICS/COMPUTERS -- 4.5%
500,000 A3* Philips Electronics Corp., Notes, 7.200% due 6/1/26......... 492,500
- --------------------------------------------------------------------------------------------------------------
FINANCE COMPANIES/CONSUMER CREDIT -- 10.4%
55,000 A1* Ford Motor Credit Co., Debentures, 9.500% due 4/15/00....... 56,727
500,000 AAA General Electric Capital Corp., Notes, 6.120% due 8/15/00... 503,570
250,000 AA Pitney Bowes Credit Corp., Notes, 8.550% due 9/15/09........ 283,125
300,000 A2* Xerox Capital Trust, Company Guaranteed Notes, 8.000% due
2/1/27...................................................... 301,875
- --------------------------------------------------------------------------------------------------------------
1,145,297
- --------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT -- 1.0%
100,000 AAA Quebec Province, Notes, 8.625% due 1/19/05.................. 109,875
- --------------------------------------------------------------------------------------------------------------
FUNERAL SERVICES AND RELATED ITEMS -- 4.5%
500,000 Baa1* Service Corp. International, Notes, 7.000% due 6/1/15....... 497,500
- --------------------------------------------------------------------------------------------------------------
INSURANCE COMPANIES -- 4.3%
500,000 A+ St. Paul Cos., Inc., Notes, 6.380% due 12/15/08............. 472,500
- --------------------------------------------------------------------------------------------------------------
OFFICE EQUIPMENT -- 2.2%
250,000 AA Pitney Bowes, Inc., Notes, 5.500% due 4/15/04............... 243,125
- --------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING (a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
SOVEREIGN DEBT -- 2.5%
$ 180,000 AAA Asian Development Bank, Debentures, 8.500% due 5/2/01....... $ 187,875
85,000 Aaa* Republic of Ireland, Notes, 7.125% due 7/15/02.............. 87,231
- --------------------------------------------------------------------------------------------------------------
275,106
- --------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $5,237,511)........ 5,094,778
- --------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 15.7%
584,645 Federal National Mortgage Association, 7.000% due 1/1/13.... 587,019
240,856 Federal National Mortgage Association, 7.000% due 2/1/13.... 241,834
930,801 Federal National Mortgage Association, 6.000% due 6/1/13.... 899,089
- --------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost -- $1,762,353)....... 1,727,942
- --------------------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $11,212,975)................. 11,000,786
- --------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.2%
26,000 Morgan Stanley Dean Witter & Co., 4.800% due 7/1/99;
Proceeds at maturity -- $26,003; (Fully collateralized by
U.S. Treasury Notes, Bonds and Bills, 0.000% to 7.750% due
10/14/99 to 11/15/27; Market value -- $26,722)
(Cost -- $26,000)........................................... 26,000
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $11,238,975**)........... $11,026,786
- --------------------------------------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service with the exception of
those identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 10 for a definition of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"C" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
<TABLE>
<S> <C> <C>
AAA -- Bonds rated "AAA" have the highest rating assigned by
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differ from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are somewhat more susceptible
to the adverse effects of changes in circumstances and
economic conditions than bonds in higher rated categories.
BB, B, -- Bonds rated BB, B, CCC and C are regarded, on balance, as
CCC, predominantly speculative with respect to the issuer's
CC and C capacity to pay interest and repay principal in accordance
with the terms of the obligation. BB indicates the lowest
degree of speculation and C the highest degree of
speculation. While such bonds will likely have some quality
and protective characteristics, these are outweighted by
large uncertainties or major risk exposures to adverse
conditions.
</TABLE>
Moody's Investors Service, Inc. ("Moody's") -- Numerical modifiers 1, 2, and 3
may be applied to each generic rating from "Aa" to "Ba," where 1 is the highest
and 3 the lowest rating within its generic category.
<TABLE>
<S> <C> <C>
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are
generally referred to as "gilt edge." Interest payments are
protected by a large or by an exceptionally stable margin
and principal is secure. While the various protective
elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are
considered adequate but elements may be present which
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade
obligations, i.e., they are neither highly protected nor
poorly secured. Interest payments and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements;
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate, and thereby not well safeguarded during both good
and bad times over the future. Uncertainty of position
characterizes bonds in this class.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</TABLE>
10
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 79.6%
AIRLINES -- 0.6%
27,000 Alaska Airgroup Inc. (a).................................... $ 1,127,250
20,000 AMR Corp. (a)............................................... 1,365,000
- ---------------------------------------------------------------------------------------
2,492,250
- ---------------------------------------------------------------------------------------
BASIC MATERIALS -- 3.0%
39,000 Air Products Chemical Inc. ................................. 1,569,750
11,500 Dow Chemical Co. ........................................... 1,459,063
37,000 E.I. du Pont de Nemours & Co. .............................. 2,527,562
14,000 Great Lakes Chemical Corp. ................................. 644,875
33,000 Hercules Inc. .............................................. 1,297,313
47,000 PPG Industries, Inc. ....................................... 2,775,938
49,000 St. Joe Co. ................................................ 1,323,000
- ---------------------------------------------------------------------------------------
11,597,500
- ---------------------------------------------------------------------------------------
BROADCASTING -- 4.9%
98,000 CBS Corp. (a)............................................... 4,256,875
37,000 Infinity Broadcasting Corp. (a)............................. 1,100,750
83,000 Meredith Corp. ............................................. 2,873,875
54,000 SBS Broadcasting SA (a)..................................... 1,741,500
31,000 Time Warner Inc. ........................................... 2,278,500
62,000 USA Networks, Inc. (a)...................................... 2,487,750
29,000 Viacom Inc., Class B Shares (a)............................. 1,276,000
91,000 Walt Disney Co. (a)......................................... 2,803,937
- ---------------------------------------------------------------------------------------
18,819,187
- ---------------------------------------------------------------------------------------
CAPITAL GOODS -- 2.7%
57,000 AlliedSignal, Inc. ......................................... 3,591,000
40,000 Emerson Electric Co. ....................................... 2,515,000
26,000 Johnson Controls, Inc. ..................................... 1,802,125
14,000 Lockheed Martin Corp. (a)................................... 521,500
33,000 Parker-Hannifin Corp. ...................................... 1,509,750
7,000 Raytheon Co., Class A Shares (a)............................ 482,125
- ---------------------------------------------------------------------------------------
10,421,500
- ---------------------------------------------------------------------------------------
CONSUMER DURABLES -- 2.2%
12,229 DaimlerChrysler AG (a)...................................... 1,086,852
30,053 Delphi Automotive Systems Corp. ............................ 557,859
34,000 Ford Motor Co. ............................................. 1,918,875
49,000 General Motors Corp. ....................................... 3,234,000
27,000 Goodyear Tire & Rubber Co. ................................. 1,587,938
- ---------------------------------------------------------------------------------------
8,385,524
- ---------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 7.0%
23,000 Bestfoods................................................... 1,138,500
63,000 Eastman Kodak Co. .......................................... 4,268,250
40,000 Gillette Co. ............................................... 1,640,000
48,000 H.J. Heinz Co. ............................................. 2,406,000
17,000 Hannaford Brothers Co. ..................................... 909,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 7.0% (CONTINUED)
13,000 Hershey Foods Corp. ........................................ $ 771,875
83,000 Kimberly-Clark Corp. ....................................... 4,731,000
48,000 Kroger Co. (a).............................................. 1,341,000
28,500 Newell Rubbermaid, Inc. .................................... 1,325,250
22,000 The Procter & Gamble Co. ................................... 1,963,500
92,000 Ralston-Ralston Purina Group................................ 2,800,250
31,000 Safeway, Inc. (a)........................................... 1,534,500
20,000 Wm. Wrigley Jr. Co. ........................................ 1,800,000
- ---------------------------------------------------------------------------------------
26,629,625
- ---------------------------------------------------------------------------------------
CONSUMER SERVICES -- 7.8%
65,000 Cendant Corp. (a)........................................... 1,332,500
10,000 Dal-Tile International Inc. (a)............................. 113,750
22,000 FDX Corp. (a)............................................... 1,193,500
83,000 First Data Corp. ........................................... 4,061,812
49,000 Gannett Co., Inc. .......................................... 3,497,376
19,500 Gap Inc. (a)................................................ 982,312
62,000 Home Depot, Inc. ........................................... 3,995,126
56,000 Masco Corp. ................................................ 1,617,000
21,000 Mattel, Inc. ............................................... 555,187
96,000 McDonald's Corp. ........................................... 3,966,000
17,000 MediaOne Group, Inc. (a).................................... 1,264,376
49,000 Mettler Toledo International (a)............................ 1,215,812
45,000 PepsiCo, Inc. .............................................. 1,740,938
90,000 Wal-Mart Stores, Inc. ...................................... 4,342,500
- ---------------------------------------------------------------------------------------
29,878,189
- ---------------------------------------------------------------------------------------
DIVERSIFIED CONGLOMERATE -- 8.2%
166 Berkshire Hathaway Inc., Class A Shares (a)................. 11,437,400
67,000 Canadian Pacific Ltd. ...................................... 1,595,437
84,000 General Electric Co. ....................................... 9,334,500
33,000 Minnesota Mining and Manufacturing Co. ..................... 2,868,938
66,000 Tyco International Ltd. .................................... 6,253,500
- ---------------------------------------------------------------------------------------
31,489,775
- ---------------------------------------------------------------------------------------
ENERGY -- 6.1%
16,000 The AES Corp. (a)........................................... 930,000
13,000 BP Amoco PLC................................................ 1,410,501
41,000 Exxon Corp. ................................................ 3,162,125
15,000 Halliburton Co. ............................................ 678,750
51,000 Mobil Corp. ................................................ 5,049,000
30,000 Nabors Industries, Inc. (a)................................. 733,125
73,000 Royal Dutch Petroleum Co. .................................. 4,398,250
47,000 Schlumberger Ltd. .......................................... 2,993,313
43,000 SLI, Inc. (a)............................................... 1,161,000
33,000 Texaco, Inc. ............................................... 2,062,500
28,000 Tidewater, Inc. ............................................ 854,000
- ---------------------------------------------------------------------------------------
23,432,564
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 10.8%
160,000 Allstate Corp. ............................................. $ 5,740,000
16,000 American Express Co. ....................................... 2,082,000
45,000 American International Group, Inc. ......................... 5,267,812
144,000 Bank of New York Co., Inc. ................................. 5,283,000
49,000 Chubb Corp. ................................................ 3,405,500
25,000 CNA Financial Corp. (a)..................................... 1,007,812
71,000 Fannie Mae.................................................. 4,854,626
15,000 First Virginia Banks, Inc. ................................. 736,875
29,000 H&R Block, Inc. ............................................ 1,450,000
81,200 Household International, Inc. .............................. 3,846,850
31,000 Merrill Lynch & Co., Inc. .................................. 2,478,062
17,000 National City Corp. ........................................ 1,113,500
42,000 Washington Mutual, Inc. .................................... 1,485,750
62,200 Wells Fargo Co. ............................................ 2,659,050
- ---------------------------------------------------------------------------------------
41,410,837
- ---------------------------------------------------------------------------------------
HEALTH CARE -- 9.1%
112,000 Abbott Laboratories Inc. ................................... 5,096,000
53,000 American Home Products Corp. ............................... 3,047,500
34,000 Amgen, Inc. (a)............................................. 2,069,750
20,000 Becton Dickinson & Co. (a).................................. 600,000
77,000 Bristol-Myers Squibb Co. ................................... 5,423,688
65,000 Chiron Corp. (a)............................................ 1,348,750
37,000 Eli Lilly and Co. .......................................... 2,650,125
34,000 Johnson & Johnson........................................... 3,332,000
62,000 Merck & Co., Inc. .......................................... 4,588,000
45,000 Pfizer Inc. ................................................ 4,938,750
30,000 Warner-Lambert Co. ......................................... 2,081,250
- ---------------------------------------------------------------------------------------
35,175,813
- ---------------------------------------------------------------------------------------
TECHNOLOGY -- 11.5%
33,000 America Online, Inc. (a).................................... 3,646,500
68,000 Cisco Systems, Inc. (a)..................................... 4,386,000
24,000 Hewlett-Packard Co. ........................................ 2,412,000
88,000 Intel Corp. ................................................ 5,236,000
45,500 International Business Machines Corp. ...................... 5,880,875
75,000 Lucent Technologies Inc. ................................... 5,057,812
71,000 Microsoft Corp. (a)......................................... 6,403,311
80,000 Novell, Inc. (a)............................................ 2,120,000
35,000 Texas Instruments Inc. ..................................... 5,075,000
71,000 Xerox Corp. ................................................ 4,193,438
- ---------------------------------------------------------------------------------------
44,410,936
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATION -- 5.7%
48,000 Ameritech Corp. ............................................ $ 3,528,000
118,000 AT&T Corp. ................................................. 6,585,875
62,000 Bell Atlantic Corp. ........................................ 4,053,250
77,000 GTE Corp. .................................................. 5,832,750
24,000 MCI WorldCom, Inc. (a)...................................... 2,070,000
- ---------------------------------------------------------------------------------------
22,069,875
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $222,107,974)................... 306,213,575
- ---------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 20.4%
$78,696,000 Morgan Stanley Dean Witter & Co., 4.800% due 7/1/99;
Proceeds at maturity -- $78,706,493; (Fully collateralized
by U.S. Treasury Notes, Bonds and Bills, 0.000% to 7.750%
due 10/14/99 to 11/15/27; Market value -- $80,882,734)
(Cost -- $78,696,000)....................................... 78,696,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $300,803,974**).......... $384,909,575
- ---------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 89.9%
BASIC MATERIALS -- 17.7%
180,000 Alcoa Inc................................................... $ 11,137,500
500,000 Archer-Daniels Midland Co................................... 7,718,750
275,000 Asia Pulp & Paper Co. Ltd. (a).............................. 2,646,875
375,000 Brush Wellman Inc........................................... 6,796,875
125,000 Consolidated Papers Inc. (b)................................ 3,343,750
65,000 Dow Chemical Corp. (a)...................................... 8,246,875
250,000 Georgia-Pacific Group (a)(c)................................ 11,843,750
299,500 Oregon Steel Mills Inc...................................... 3,987,094
200,000 RTI International Metals, Inc. (b).......................... 2,937,500
- --------------------------------------------------------------------------------------------------
58,658,969
- --------------------------------------------------------------------------------------------------
CAPITAL GOODS -- 0.8%
100,000 Crown Cork and Seal Inc..................................... 2,850,000
- --------------------------------------------------------------------------------------------------
COMMUNICATION SERVICES -- 10.9%
165,000 AT&T Corp. (a).............................................. 9,209,062
200,000 Comsat Corp................................................. 6,500,000
225,000 Ericsson LM Telephone -- Sponsored ADR (a).................. 7,410,938
75,000 GTE Corp.................................................... 5,681,250
136,750 Rostelecom -- Sponsored ADR (a)............................. 1,341,859
95,000 US West Communications Group................................ 5,581,250
- --------------------------------------------------------------------------------------------------
35,724,359
- --------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS -- 2.1%
101,200 Pantry, Inc................................................. 1,631,850
250,000 Toys "R" Us, Inc. (b)....................................... 5,171,875
- --------------------------------------------------------------------------------------------------
6,803,725
- --------------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 4.9%
200,000 Fleming Cos., Inc........................................... 2,325,000
225,000 Fox Entertainment Group..................................... 6,060,938
200,000 PepsiCo, Inc................................................ 7,737,500
- --------------------------------------------------------------------------------------------------
16,123,438
- --------------------------------------------------------------------------------------------------
ENERGY -- 9.9%
100,000 Chevron Corp. (b)........................................... 9,518,750
150,000 Enron Corp.................................................. 12,262,500
190,000 Halliburton Co. (b)......................................... 8,597,500
150,000 Union Pacific Resources (a)................................. 2,446,875
- --------------------------------------------------------------------------------------------------
32,825,625
- --------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 26.4%
85,000 Allstate Corp............................................... $ 3,049,375
75,000 American Express Co......................................... 9,759,375
270,000 Bank of New York Co., Inc. (a).............................. 9,905,625
50,000 BankAmerica Corp. (b)....................................... 3,665,625
60,000 Chase Manhattan Corp. (b)................................... 5,197,500
230,000 Mellon Bank Corp. (a)(b).................................... 8,366,250
400,000 MeriStar Hotels & Resorts, Inc.............................. 1,375,000
135,000 MGIC Investment Corp. (a)................................... 6,564,375
175,000 Rouse Co.................................................... 4,440,625
200,000 Shurgard Storage Centers, Inc............................... 5,425,000
410,000 Simon Property Group Inc. (a)............................... 10,403,750
290,000 Spieker Properties Inc...................................... 11,273,750
290,200 TriNet Corporate Realty Trust, Inc.......................... 8,034,913
- --------------------------------------------------------------------------------------------------
87,461,163
- --------------------------------------------------------------------------------------------------
HEALTH CARE -- 6.2%
75,000 American Home Products Corp. (b)............................ 4,312,500
100,000 Bristol-Myers Squibb Co..................................... 7,043,750
400,000 Foundation Health Systems, Inc.............................. 6,000,000
100,000 McKesson HBOC, Inc.......................................... 3,212,500
- --------------------------------------------------------------------------------------------------
20,568,750
- --------------------------------------------------------------------------------------------------
TECHNOLOGY -- 8.9%
150,000 Adobe Systems Inc........................................... 12,323,437
150,000 Geoworks Corp............................................... 450,000
100,000 Motorola, Inc. (b).......................................... 9,475,000
50,000 Texas Instruments Inc. (b).................................. 7,250,000
- --------------------------------------------------------------------------------------------------
29,498,437
- --------------------------------------------------------------------------------------------------
UTILITIES -- 2.1%
300,760 Sempra Energy (b)........................................... 6,804,695
- --------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $224,640,015)................... 297,319,161
- --------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 4.9%
150,000 Cyprus Amax Minerals Co., Exchangeable 0.00% (b)............ 6,900,000
125,000 KMart Financing Corp., Exchangeable 7.75%................... 7,312,500
100,000 Merrill Lynch & Co., Inc., Exchangeable 6.25%............... 2,043,750
- --------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $14,520,750)................. 16,256,250
- --------------------------------------------------------------------------------------------------
OPTIONS PURCHASED -- 0.1%
6,500 S&P 500 Index Put @ $1,275, Expire 12/18/99 (b)
(Cost -- $598,195).......................................... 290,875
- --------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $239,758,960)................ 313,866,286
- --------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 5.1%
$16,824,000 Morgan Stanley Dean Witter & Co., 4.800% due 7/1/99;
Proceeds at maturity -- $16,826,243; (Fully collateralized
by U.S. Treasury Notes, Bonds, and Bills, 0.000% to 7.750%
due 10/14/99 to 11/15/27; Market value -- $17,160,492)
(Cost -- $16,824,000)....................................... $ 16,824,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $256,582,960**).......... $330,690,286
- --------------------------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 12).
(b) Non-income producing security.
(c) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments, at cost...................................... $11,212,975 $222,107,974 $239,758,960
Repurchase agreements, at cost............................ 26,000 78,696,000 16,824,000
- --------------------------------------------------------------------------------------------------------
Investments, at value..................................... $11,000,786 $306,213,575 $313,866,286
Repurchase agreements, at value........................... 26,000 78,696,000 16,824,000
Cash...................................................... 822 4 817
Collateral for securities on loan (Note 12)............... -- -- 37,501,296
Receivable for securities sold............................ -- 2,357,940 --
Dividends and interest receivable......................... 160,145 295,548 789,315
- --------------------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 11,187,753 387,563,067 368,981,714
- --------------------------------------------------------------------------------------------------------
LIABILITIES:
Investment advisory fees payable.......................... 12,682 176,463 153,450
Administration fees payable............................... 6,152 64,168 58,281
Payable for securities on loan (Note 12).................. -- -- 37,501,296
Payable for securities purchased.......................... -- 5,077,709 --
Payable for options written (Note 6)...................... -- -- 378,125
Accrued expenses.......................................... 10,695 14,868 33,592
- --------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 29,529 5,333,208 38,124,744
- --------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $11,158,224 $382,229,859 $330,856,970
- --------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of beneficial interest................ $ 1,138 $ 16,863 $ 17,070
Capital paid in excess of par value....................... 11,436,419 286,194,196 246,210,494
Undistributed net investment income....................... 331,303 1,802,732 4,508,699
Accumulated net realized gain (loss) from security
transactions and options............................... (398,447) 10,110,467 5,557,327
Net unrealized appreciation (depreciation) of investments
and options............................................ (212,189) 84,105,601 74,563,380
- --------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $11,158,224 $382,229,859 $330,856,970
- --------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING.......................................... 1,137,867 16,863,442 17,069,595
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE.................................. $9.81 $22.67 $19.38
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $ 396,925 $ 1,450,479 $ 769,785
Dividends................................................. -- 1,551,782 4,009,435
Less: Foreign withholding tax............................. -- (44,886) --
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 396,925 2,957,375 4,779,220
- -----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 3)......................... 24,208 816,733 838,022
Administration fees (Note 3).............................. 12,104 296,994 304,735
Audit and legal........................................... 8,309 7,835 8,828
Pricing service fees...................................... 7,580 -- --
Shareholder and system servicing fees..................... 6,178 6,199 5,951
Shareholder communications................................ 2,361 11,405 19,836
Trustees' fees............................................ 1,392 5,951 9,472
Custody................................................... 766 5,356 5,703
Other..................................................... 1,516 1,242 9,788
- -----------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 64,414 1,151,715 1,202,335
- -----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME....................................... 332,511 1,805,660 3,576,885
- -----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND OPTIONS (NOTES 4 AND 6):
Realized Gain (Loss) From:
Security transactions (excluding short-term
securities).......................................... 2,882 11,779,168 8,329,265
Options written........................................ -- -- (2,772,248)
- -----------------------------------------------------------------------------------------------------------
NET REALIZED GAIN......................................... 2,882 11,779,168 5,557,017
- -----------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) of
Investments and Options:
Beginning of period.................................... 433,931 69,832,939 33,497,171
End of period.......................................... (212,189) 84,105,601 74,563,380
- -----------------------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)...... (646,120) 14,272,662 41,066,209
- -----------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS AND OPTIONS.................. (643,238) 26,051,830 46,623,226
- -----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........... $(310,727) $27,857,490 $50,200,111
- -----------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE
30, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income..................................... $ 332,511 $ 1,805,660 $ 3,576,885
Net realized gain......................................... 2,882 11,779,168 5,557,017
Change in net unrealized appreciation (depreciation)...... (646,120) 14,272,662 41,066,209
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... (310,727) 27,857,490 50,200,111
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (857,354) (2,559,066) (7,694,640)
Net realized gains........................................ -- (5,751,019) (11,613,579)
- --------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (857,354) (8,310,085) (19,308,219)
- --------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 13):
Net proceeds from sale of shares.......................... 99,443 128,860,093 5,524,316
Net asset value of shares issued for reinvestment of
dividends.............................................. 857,354 8,310,085 19,308,219
Cost of shares reacquired................................. (1,872,761) (20,167,979) (23,082,881)
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (915,964) 117,002,199 1,749,654
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (2,084,045) 136,549,604 32,641,546
NET ASSETS:
Beginning of period....................................... 13,242,269 245,680,255 298,215,424
- --------------------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $11,158,224 $382,229,859 $330,856,970
- --------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $331,303 $1,802,732 $4,508,699
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
<TABLE>
<S> <C>
- ----------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE YEAR ENDED DECEMBER 31, 1998
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income..................................... $ 854,971 $ 2,558,410 $ 8,151,084
Net realized gain (loss).................................. (81,875) 4,800,221 11,418,624
Change in net unrealized appreciation (depreciation)...... 198,678 26,619,992 (6,451,325)
- --------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 971,774 33,978,623 13,118,383
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (935,810) (2,031,402) (7,063,001)
Net realized gains........................................ -- (7,904,924) (8,487,441)
- --------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (935,810) (9,936,326) (15,550,442)
- --------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 13):
Net proceeds from sale of shares.......................... 1,549,115 102,247,406 36,729,615
Net asset value of shares issued for reinvestment of
dividends.............................................. 935,810 9,936,326 15,550,442
Cost of shares reacquired................................. (4,378,779) (34,679,798) (25,638,306)
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (1,893,854) 77,503,934 26,641,751
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (1,857,890) 101,546,231 24,209,692
NET ASSETS:
Beginning of year......................................... 15,100,159 144,134,024 274,005,732
- --------------------------------------------------------------------------------------------------------
END OF YEAR*.............................................. $13,242,269 $245,680,255 $298,215,424
- --------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $856,146 $2,556,138 $8,626,454
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Intermediate High Grade, Appreciation and Total Return Portfolios
("Portfolios") are separate investment portfolios of the Greenwich Street Series
Fund ("Fund"). The Fund, a Massachusetts business trust, is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. Shares of the Fund can be acquired through
investing in an individual flexible premium deferred combination fixed and
variable annuity contract or a certificate evidencing interest in a master group
flexible premium deferred annuity offered by certain insurance companies. The
Fund offers seven other managed investment portfolios: Money Market, Diversified
Strategic Income, Equity Income, Equity Index, Growth and Income, Emerging
Growth and International Equity Portfolios. The financial statements and
financial highlights for the other portfolios are presented in a separate
shareholder report.
The significant accounting policies consistently followed by the Portfolios
are: (a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing prices on such
markets or, if there were no sales during the day, at current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value was so
established is likely to have significantly changed the value then the fair
value of those securities will be determined by consideration of other factors
by or under the direction of the Board of Trustees or its delegates;
over-the-counter securities are valued on the basis of the bid price at the
close of business on each day; U.S. government and agency obligations are valued
at the average between the bid and the ask prices; (c) securities maturing
within 60 days are valued at cost plus accreted discount, or minus amortized
premium, which approximates value; (d) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on the accrual
basis; (e) dividend income is recorded on the ex-dividend date; foreign dividend
income is recorded on the ex-dividend date or as soon as practical after the
Fund determines the existence of a dividend declaration after exercising
reasonable due diligence; (f) gains or losses on the sale of securities are
calculated by using the specific identification method; (g) dividends and
distributions to shareholders are recorded by the Fund on the ex-dividend date;
(h) the accounting records of the Fund are maintained in U.S. dollars. All
assets and liabilities denominated in foreign currencies are translated into
U.S. dollars based on the rate of exchange of such currencies against U.S.
dollars on the date of valuation. Purchases and sales of securities, and income
and expenses are translated at the rate of exchange quoted on the respective
date that such transactions are recorded. Differences between income and expense
amounts recorded and collected or paid are adjusted when reported by the
custodian bank; (i) each Portfolio intends to comply with the requirements of
the Internal Revenue Code of 1986, as amended, pertaining to regulated
investment companies and to make distributions of taxable income sufficient to
relieve it from substantially all federal income and excise tax; (j) the
character of income and gains to be distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At December 31, 1998, reclassifications were made to the capital
accounts of the Intermediate High Grade, Appreciation and Total Return
Portfolios, respectively, to reflect permanent book/tax differences and income
and gains available for distributions under income tax regulations. Accordingly,
for the Total Return Portfolio, portions of accumulated net investment income
and accumulated net realized gains amounting to $14 and $520, respectively, were
reclassified to paid-in capital. Net investment income, net realized gains and
net assets were not affected by these changes; and (k) estimates and assumptions
are required to be made regarding assets, liabilities and changes in net assets
resulting from operations when financial statements are prepared. Changes in the
economic environment, financial markets and any other parameters used in
determining these estimates could cause actual results to differ.
2. DIVIDENDS
The Portfolios declare and distribute dividends from net investment income
annually. Net realized capital gains, if any, are also declared and distributed
annually.
3. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Fund, on behalf of the Portfolios, has entered into an investment
advisory agreement ("Advisory Agreement") with SSBC Fund Management Inc.
("SSBC"), formerly known as Mutual Management Corp. SSBC is a wholly-owned
subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), which in turn is a
wholly-owned subsidiary of Citigroup Inc. Under the Advisory Agreement, the
Intermediate High Grade, Appreciation and Total Return Portfolios each pay an
investment advisory fee calculated at the annual rates of 0.40%, 0.55% and
0.55%, respectively, of the value of their average daily net assets. These fees
are calculated daily and paid monthly.
22
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Fund, on behalf of the Portfolios, has entered into an administration
agreement with SSBC. Under the agreement, each Portfolio pays an administration
fee calculated at the annual rate of 0.20% of the value of their average daily
net assets. These fees are calculated daily and paid monthly.
For the six months ended June 30, 1999, Salomon Smith Barney Inc. ("SSB"),
another subsidiary of SSBH, received brokerage commissions of $49,305.
No officer, Director or employee of SSB or its affiliates receives any
compensation from the Fund for serving as a Trustee or officer of the Fund.
4. INVESTMENTS
During the six months ended June 30, 1999, the aggregate costs of purchases
and proceeds from sales of investments (including maturities, but excluding
short-term securities) were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Intermediate High Grade..................................... $ 3,427,551 $ 4,737,238
Appreciation................................................ 132,965,618 55,089,812
Total Return................................................ 63,407,506 57,566,190
- ----------------------------------------------------------------------------------------
</TABLE>
At June 30, 1999, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
PORTFOLIO APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Intermediate High Grade.................................... $ 34,447 $ (246,636) $ (212,189)
Appreciation............................................... 86,007,356 (1,901,755) 84,105,601
Total Return............................................... 81,557,945 (7,450,619) 74,107,326
- ---------------------------------------------------------------------------------------------------------
</TABLE>
5. FUTURES CONTRACTS
The Intermediate High Grade and Total Return Portfolios may from time to
time enter into futures contracts.
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities are
also segregated up to the current market value of the futures contracts. During
the period the futures contract is open, changes in the value of the contract
are recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are received or made and recognized as assets
due from or liabilities due to broker, depending upon whether unrealized gains
or losses are incurred. When the contract is closed, the Portfolio records a
realized gain or loss equal to the difference between the proceeds from (or cost
of) the closing transaction and the Portfolio's basis in the contract.
The Portfolio enters into such contracts to hedge a portion of its
portfolio. The Portfolio bears the market risk that arises from changes in the
value of the financial instruments and securities indices (futures contracts).
At June 30, 1999, there were no open futures contracts in the Portfolios.
23
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. OPTION CONTRACTS
The Intermediate High Grade and Total Return Portfolios may from time to
time enter into options contracts.
Premiums paid when put or call options are purchased by the Portfolio,
represent investments, which are "marked to market" daily. When a purchased
option expires, the Portfolio will realize a loss in the amount of the premium
paid. When the Portfolio enters into a closing sales transaction, the Portfolio
will realize a gain or loss depending on whether the sales proceeds from the
closing sales transaction are greater or less than the premium paid for the
option. When the Portfolio exercises a put option, it will realize a gain or
loss from the sale of the underlying security and the proceeds from such sale
will be decreased by the premium originally paid. When the Portfolio exercises a
call option, the cost of the security which the Portfolio purchases upon
exercise will be increased by the premium originally paid.
At June 30, 1999, there were no open purchased call or put options in the
Portfolios.
When a Portfolio writes a call option or a put option, an amount equal to
the premium received by the Portfolio is recorded as a liability, the value of
which is marked-to-market daily. When a written option expires, the Portfolio
realizes a gain equal to the amount of the premium received. When the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain or
loss depending upon whether the cost of the closing transaction is greater or
less than the premium originally received, without regard to any unrealized gain
or loss on the underlying security, and the liability related to such option is
eliminated. When a written call option is exercised, the Portfolio realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale are increased by the premium originally received. When a written put option
is exercised, the amount of the premium originally received will reduce the cost
of the security which the Portfolio purchased upon exercise. When written index
options are exercised, settlement is made in cash.
The risk associated with purchasing options is limited to the premium
originally paid. The Portfolio enters into options for hedging purposes. The
risk in writing a covered call option is that the Portfolio gives up the
opportunity to participate in any increase in the price of the underlying
security beyond the exercise price. The risk in writing a put option is that the
Fund is exposed to the risk of loss if the market price of the underlying
security declines.
The following covered call options transactions occurred in the Total
Return Portfolio during the six months ended June 30, 1999:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
- -------------------------------------------------------------------------------------
<S> <C> <C>
Options written, outstanding at December 31, 1998........... 1,750 $ 1,525,949
Options written during the six months ended June 30, 1999... 2,500 1,422,534
Options cancelled in closing purchase transactions.......... (2,500) (2,114,304)
- -------------------------------------------------------------------------------------
Options written, outstanding at June 30, 1999............... 1,750 $ 834,179
- -------------------------------------------------------------------------------------
</TABLE>
The following table represents the written call option contracts open at
June 30, 1999:
<TABLE>
<CAPTION>
NUMBER OF STRIKE
CONTRACTS EXPIRATION PRICE VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
750 American Express Co......................................... 1/14/99 170 $(290,625)
1,000 McKesson HBOC Inc........................................... 1/14/99 50 (87,500)
- -------------------------------------------------------------------------------------------------------
Total Options Written (Premium received -- $834,179)........ $(378,125)
- -------------------------------------------------------------------------------------------------------
</TABLE>
7. REPURCHASE AGREEMENTS
The Portfolios purchase (and their custodian takes possession of) U.S.
government securities from banks and securities dealers subject to agreements to
resell the securities to the sellers at a future date (generally, the next
business day) at an agreed upon higher repurchase price. The Portfolio requires
continual maintenance of the market value of the collateral in amounts at least
equal to the repurchase price.
24
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. REVERSE REPURCHASE AGREEMENTS
The Intermediate High Grade Portfolio may enter into reverse repurchase
agreements.
A reverse repurchase agreement involves a sale by the Portfolio of
securities that it holds with an agreement by the Portfolio to repurchase the
same securities at an agreed upon price and date. A reverse repurchase agreement
involves risk that the market value of the securities sold by the Portfolio may
decline below the repurchase price of the securities. The Portfolio will
establish a segregated account with its custodian, in which the Portfolio will
maintain cash, U.S. government securities or other liquid high grade obligations
equal in value to its obligations with respect to the reverse repurchase
agreements.
At June 30, 1999, there were no open reverse repurchase agreements in the
Portfolio.
9. SECURITIES TRADED ON A WHEN-ISSUED OR TO-BE-ANNOUNCED BASIS
The Intermediate High Grade and Total Return Portfolios may from time to
time purchase securities on a when-issued or to-be-announced ("TBA") basis.
In a TBA transaction, the Portfolio commits to purchasing or selling
securities for which specific information is not yet known at the time of the
trade, particularly the face amount and maturity date in GNMA transactions.
Securities purchased on a TBA basis are not settled until they are delivered to
the Portfolio, normally 15 to 45 days later. These transactions are subject to
market fluctuations and their current value is determined in the same manner as
for other securities.
At June 30, 1999, there were no when-issued or TBA securities held in the
Portfolios.
10. MORTGAGE ROLL TRANSACTIONS
The Intermediate High Grade Portfolio has the ability to participate in
mortgage roll transactions.
A mortgage roll transaction involves a sale by the Portfolio of securities
that it holds with an agreement by the Portfolio to repurchase similar
securities at an agreed upon price and date. The securities repurchased will
bear the same interest rate as those sold, but generally will be collateralized
by pools of mortgages with different prepayment histories than those securities
sold. Proceeds of the sale and the income from these investments will be
invested, together with any additional income from the Portfolio exceeding the
yield on the securities sold.
At June 30, 1999, there were no open mortgage roll transactions in the
Portfolio.
11. SHORT SALES AGAINST THE BOX
The Total Return Portfolio has the ability to engage in short sales against
the box.
A short sale against the box is a short sale of common stock such that,
when the short position is open, the Portfolio involved owns an equal amount of
the stock or preferred stocks or debt securities, convertible or exchangeable,
without payment of further consideration, into an equal number of shares of
common stock sold short. The proceeds of the sale will be held by the broker
until the settlement date, when the Portfolio delivers the stock or the
convertible or exchangeable securities to close out its short position. Although
prior to delivery a Portfolio will have to pay an amount equal to any dividends
paid on the common stock sold short, the Portfolio will receive the dividends
from the stock or, the preferred stock or the interest from the convertible or
exchangeable debt securities plus a portion of the interest earned from the
proceeds of the short sale. The Portfolio will deposit, in a segregated account
with the Fund's custodian, the common stock or convertible preferred stock or
debt securities in connection with short sales against the box.
At June 30, 1999, the Portfolio had no open short sales against the box.
12. LENDING OF SECURITIES
The Portfolios have an agreement with the custodian whereby the custodian
may lend securities owned by the Portfolios to brokers, dealers and other
financial organizations, and receive a lenders fee. Fees earned by the
Portfolios on securities lending are recorded in interest income. Loans of
securities by the Portfolios are collateralized by cash, U.S. Government
securities or high quality money market instruments that are maintained at all
times in an amount at least equal to the current
25
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
market value of the loaned securities, plus a margin which may vary depending on
the type of securities loaned. The custodian establishes and maintains the
collateral in a segregated account. The Portfolios maintain exposure for the
risk of any losses in the investment of amounts received as collateral.
At June 30, 1999, the Total Return Portfolio had loaned common stocks
having a value of $36,566,443 and holds the following collateral for loaned
securities:
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilbao Vizcaya, 5.875% due 7/1/99................... $10,904,120
Bank of Montreal, 5.250% due 7/1/99....................... 7,585,475
Bank of Montreal, 5.937% due 7/1/99....................... 1,438,199
Banque Paribas, 5.875% due 7/1/99......................... 11,505,122
Barclays Bank PLC, 5.750% due 7/1/99...................... 6,068,380
- -------------------------------------------------------------------------
Total....................................................... $37,501,296
- -------------------------------------------------------------------------
</TABLE>
Interest income earned by the Total Return Portfolio from securities loaned
for the six months ended June 30, 1999 was $8,083.
13. SHARES OF BENEFICIAL INTEREST
At June 30, 1999, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in shares
for each portfolio were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
INTERMEDIATE HIGH GRADE PORTFOLIO
Shares sold................................................. 9,171 141,698
Shares issued on reinvestment............................... 88,387 88,618
Shares reacquired........................................... (174,750) (402,084)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (77,192) (171,768)
- --------------------------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
Shares sold................................................. 5,790,455 5,173,374
Shares issued on reinvestment............................... 378,247 498,739
Shares reacquired........................................... (917,184) (1,753,512)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 5,251,518 3,918,601
- --------------------------------------------------------------------------------------------------
TOTAL RETURN PORTFOLIO
Shares sold................................................. 300,502 2,063,766
Shares issued on reinvestment............................... 1,018,904 888,597
Shares reacquired........................................... (1,245,047) (1,511,097)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 74,359 1,441,266
- --------------------------------------------------------------------------------------------------
</TABLE>
14. CAPITAL LOSS CARRYFORWARDS
At December 31, 1998, the following Portfolio had, for Federal income tax
purposes, capital loss carryforwards available to offset future realized gains.
To the extent that these carryforward losses can be used to offset net realized
capital gains, such gains, if any, will not be distributed. The amount and
expiration of the carryforwards are indicated below. Expiration occurs on
December 31 of the year indicated:
<TABLE>
<CAPTION>
2002 2004 2005 2006 TOTAL
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Intermediate High Grade
Portfolio $288,000 $4,000 $25,000 $84,000 $401,000
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
INTERMEDIATE HIGH GRADE PORTFOLIO 1999(1) 1998(2) 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $10.90 $10.89 $10.70 $10.60 $9.66 $10.69
- ---------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)............... 0.40 0.65 0.72 0.71 0.66 0.61
Net realized and unrealized gain
(loss)............................... (0.68) 0.07 0.21 (0.53) 1.00 (0.94)
- ---------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations....... (0.28) 0.72 0.93 0.18 1.66 (0.33)
- ---------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................... (0.81) (0.71) (0.74) (0.08) (0.72) (0.61)
Net realized gains...................... -- -- -- -- -- (0.09)
- ---------------------------------------------------------------------------------------------------------------------------
Total Distributions....................... (0.81) (0.71) (0.74) (0.08) (0.72) (0.70)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD............ $9.81 $10.90 $10.89 $10.70 $10.60 $9.66
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN.............................. (2.50)%++ 6.79% 8.67% 1.69% 17.76% (3.05)%
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)......... $11,158 $13,242 $15,100 $14,736 $16,152 $13,280
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)............................ 1.07%+ 0.93% 0.95% 0.90% 0.86% 0.85%
Net investment income................... 5.50+ 5.82 6.28 6.35 6.63 6.57
- ---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE................... 29% 60% 66% 116% 121% 90%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the Intermediate High Grade Portfolio, the Investment Adviser waived all
or part of its fees for the three-year period ended December 31, 1996. In
addition, IDS Life reimbursed expenses of $3,006 and $12,616 for the
two-year period ended December 31, 1995. If such fees were not waived and
expenses were not reimbursed, the per share effect on net investment income
and the expense ratios would have been as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
PER SHARE DECREASES TO WITHOUT FEE WAIVERS
NET INVESTMENT INCOME AND REIMBURSEMENTS
-------------------------- --------------------
1996 1995 1994 1996 1995 1994
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Intermediate High Grade Portfolio........................ $0.02 $0.01 $0.02 1.07% 0.94% 1.05%
</TABLE>
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
27
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
APPRECIATION PORTFOLIO 1999(1)(2) 1998(2) 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $21.16 $18.73 $15.86 $14.39 $11.54 $11.80
- ---------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.13 0.27 0.24 0.27 0.23 0.20
Net realized and unrealized gain
(loss)........................... 1.90 3.24 3.90 2.60 3.04 (0.32)
- ---------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 2.03 3.51 4.14 2.87 3.27 (0.12)
- ---------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... (0.16) (0.22) (0.21) (0.25) (0.21) (0.14)
Net realized gains.................. (0.36) (0.86) (1.06) (1.15) (0.21) --
- ---------------------------------------------------------------------------------------------------------------------------
Total Distributions................... (0.52) (1.08) (1.27) (1.40) (0.42) (0.14)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $22.67 $21.16 $18.73 $15.86 $14.39 $11.54
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................... 9.64%++ 19.15% 26.39% 19.77% 28.84% (1.12)%
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)..... $382,230 $245,680 $144,134 $101,232 $94,492 $80,823
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses............................ 0.77%+ 0.80% 0.80% 0.85% 0.97% 0.88%
Net investment income............... 1.21+ 1.36 1.68 1.59 1.65 1.75
- ---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 23% 22% 34% 39% 43% 61%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
28
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO 1999(1) 1998(2) 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $17.55 $17.62 $15.73 $12.75 $10.78 $10.30
- -----------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income (3).......... 0.24 0.49 0.37 0.26 0.43 0.34
Net realized and unrealized gain... 2.79 0.38 2.26 2.97 2.19 0.42*
- -----------------------------------------------------------------------------------------------------------
Total Income From Operations......... 3.03 0.87 2.63 3.23 2.62 0.76
- -----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.............. (0.48) (0.43) (0.21) (0.07) (0.41) (0.28)
Net realized gains................. (0.72) (0.51) (0.53) (0.18) (0.24) --
- -----------------------------------------------------------------------------------------------------------
Total Distributions.................. (1.20) (0.94) (0.74) (0.25) (0.65) (0.28)
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD....... $19.38 $17.55 $17.62 $15.73 $12.75 $10.78
- -----------------------------------------------------------------------------------------------------------
TOTAL RETURN......................... 17.42%++ 4.97% 16.84% 25.33% 25.04% 7.40%
- -----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S).... $330,857 $298,215 $274,006 $171,503 $78,042 $23,196
- -----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)....................... 0.79%+ 0.79% 0.79% 0.83% 1.00% 1.00%
Net investment income.............. 2.35+ 2.79 3.24 3.06 3.80 3.84
- -----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 21% 72% 75% 82% 81% 118%
- -----------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the Total Return Portfolio, the Investment Adviser waived all or part of
its fees for the year ended December 31, 1994. In addition, IDS Life
reimbursed expenses of $7,873 for the year ended December 31, 1994. If such
fees were not waived and expenses were not reimbursed, the per share effect
on net investment income and the expense ratios would have been as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
PER SHARE DECREASES TO WITHOUT WAIVERS
NET INVESTMENT INCOME AND REIMBURSEMENTS
---------------------- ------------------
1994 1994
---- ----
<S> <C> <C>
Total Return Portfolio................................... $0.01 1.11%
</TABLE>
* The amount shown in this caption for each share outstanding throughout the
period may not accord with the change in the aggregate gains and losses in
the portfolio securities for the period because of the timing of purchases
and withdrawals of shares in relation to the fluctuating market values of
the portfolio.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
29
<PAGE>
This report is submitted for the general
information of the owners of the
Greenwich Street Series Fund. It is not
authorized for distribution to
prospective investors unless accompanied
or preceded by an effective Prospectus
for the Fund, which contains information
concerning the Fund's investment
policies, fees and expenses, as well as
other pertinent information.
SYMPHONY
investments are sponsored and managed
by:
Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company and
IDS Life Insurance Company of New York
S6225-1 D (8/99)
<PAGE>
GREENWICH STREET SERIES FUND
SEMI-ANNUAL REPORT FOR
SYMPHONY
A Tax-Deferred Variable Annuity
[HARP GRAPHIC]
EQUITY INDEX PORTFOLIO
MONEY MARKET PORTFOLIO
EQUITY INCOME PORTFOLIO
EMERGING GROWTH PORTFOLIO
GROWTH AND INCOME PORTFOLIO
INTERNATIONAL EQUITY PORTFOLIO
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
JUNE 30, 1999
<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
Dear Investor:
We are pleased to provide the semi-annual report for the Greenwich Street Series
Fund -- Money Market, Diversified Strategic Income, Equity Income, Equity Index,
Growth and Income, Emerging Growth and International Equity Portfolios
("Portfolios") for the period ended June 30, 1999. We hope you find this report
to be useful and informative. This letter will briefly discuss general economic
and market conditions. In addition, detailed comparisons showing the growth of a
hypothetical $10,000 investment in each Portfolio since inception can be found
in this report (except for the Money Market Portfolio). A detailed summary of
performance and current holdings for each Portfolio can be found in the
appropriate sections that follow.
MARKET AND ECONOMIC OVERVIEW
The first half of 1999 was a period of economic growth at home and recovery
abroad. Following the events surrounding the Russian debt default in August of
1998 -- which included a decline in bond yields and a 0.75% decrease in interest
rates -- yields have increased. Investor optimism, however, was tempered by
concerns about inflation, interest rates and continued economic growth.
The long anticipated slowdown in U.S. economic activity again failed to happen
during the reporting period. Global stock markets continued to rise led by
better than expected profit growth and continued merger and acquisition
activity. The risks of higher U.S. economic growth were more fairly reflected in
the yield curve in the U.S. at the end of the first quarter of 1999 than they
were at the beginning.
The stronger than expected growth caused interest rates to rise in the first
quarter of 1999. The 30-year U.S. Treasury bond had its third worst quarter of
the 1990s. In fact, only the first quarters of 1994 and 1996 were worse. The
Lehman Government/Corporate Index declined about 1.2% in the first quarter of
1999. U.S. Treasuries underperformed as spreads narrowed in all sectors.
During the first half of 1999, U.S. economic growth continued at a robust pace,
posting a 4.3% annualized Gross Domestic Product ("GDP") growth rate for the
first quarter of 1999. Furthermore, the labor market continued to be tight, as
the unemployment rate fell to a 29-year low of 4.2% in March. Defying the
expectations of many economists, inflation -- as measured by the Consumer Price
Index ("CPI") -- was virtually absent. Productivity gains and sagging global
demand were credited with keeping inflation under control. However, in the month
of April, the CPI rose by 0.7%, its largest monthly increase in nine years.
This, coupled with signs that many world economies were in the nascent stages of
growth and recovery, deepened fears that inflationary pressures were reaching a
breaking point. These concerns brought about an increase in the yield of the
benchmark 30-year U.S. Treasury Bond, which gained 71 basis points between April
8 and June 24 to close at 6.16%.
To counter these inflationary pressures, the Federal Reserve Board ("Fed")
raised short-term interest rates by 0.25% in late June, and subsequently adopted
a neutral stance on monetary policy. Meanwhile, during the months of May and
June, the CPI remained unchanged, generating considerable optimism that
inflation was not about to break out. Further reports of rising U.S. jobless
claims added to the optimism.
The unwillingness of consumer spending to slow down keeps the Fed's monetary
policy on watch. With the world economic crisis abating, we cannot rule out the
possibility of the Fed raising rates before year-end. However, in our view, the
most likely case is that the Fed's monetary policy will remain neutral through
the third quarter of 1999. By next year we think that nominal growth should slow
below 5% and may allow room for additional short-term rates cuts. However, if
global economic growth accelerates unexpectedly and signs of inflation emerge
during the remainder of 1999, the Fed will not hesitate to raise rates again.
As measured by the S&P 500 Stock Index ("S&P 500"), the U.S. stock market
returned 12.39% during the first six months of 1999. Although large
capitalization stocks were once again the best performers, smaller-sized company
stocks also provided decent returns. Stocks reacted positively to evidence of a
worldwide recovery. U.S. multinationals reported stronger sales overseas,
particularly in Southeast Asia.
1
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SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
Major political and economic crosscurrents influenced the international equity
markets during the first half of the year. Despite rising interest rate
anxieties, global equity markets delivered positive returns. While investors
fretted about rising U.S. and Japanese bond yields, economic data showed that
many Asian countries have begun their recoveries from steep recessions of the
past two years. Performance of the European markets, for dollar-based investors,
lagged during the first half of 1999, primarily due to weakness of the new Euro
currency versus the U.S. dollar.
We believe that U.S. stock market returns for the remainder of 1999 should
depend greatly on the actions of the Fed, which increased interest rates in
June. The markets reacted with relief when there were indications that this
would not be the first of many increases. If, however, the Fed were to increase
rates further, the U.S. stock market would be vulnerable to a correction.
MONEY MARKET PORTFOLIO
Please note that an investment in the Money Market Portfolio ("Portfolio") is
not insured or guaranteed by the Federal Deposit Insurance Corporation or any
other government agency. Although the Portfolio seeks to preserve the value of
your investment at $1.00 per share, it is possible to lose money by investing in
the Portfolio. For the six months ended June 30, 1999, the Portfolio returned
1.86%.
The U.S. is now in its ninth year of economic expansion with growth at 4%. Weak
factors such as Asia, U.S. manufacturing and falling commodity prices have
reversed. This in turn led the Fed to change its monetary stance to a
"tightening bias" and raise interest rates at the June Federal Open Market
Committee ("FOMC") meeting from 4.75% to 5.00%. As a result, the short-term
yield curve has steepened by about 70 basis points in one-year certificates of
deposit from 5.00% in January to 5.70% in June. The Fed could raise interest
rates again if the economy continues to grow and does not slow down on its own.
During the reporting period, in anticipation of higher rates, the managers
shortened their average maturity from 41 days to 18 days. They would expect to
keep the average life below 60 days over the next several months in anticipation
of another interest rate hike in August or October of this year. Once again, due
to a strong economy and a high quality approved list of issuers, the credit
quality of the Portfolio's investments remains strong. The investment team has
added several large entities such as IBM and BellSouth Telecommunications.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
For the six months ended June 30, 1999, the Diversified Strategic Income
Portfolio ("Portfolio") returned 0.45% compared to the Lehman Brothers Aggregate
Bond Index return of a negative 1.37% for the same period. (The Lehman Brothers
Aggregate Bond Index is made up of U.S. Treasury bonds, government agency bonds,
mortgage-backed securities and corporate bonds.) What follows are brief
summaries of the economic and market conditions that affected the Portfolio's
three major sectors during the reporting period. Past performance is not
indicative of future results.
High-Yield Bonds
During the second quarter of 1999, the high yield bond market declined. U.S.
Treasury rates continued to move higher on fears that the Fed would raise
short-term interest rates in response to U.S. economic growth and inflationary
pressures. On June 30, 1999, the Fed raised short-term interest rates by 25
basis points and recently indicated that it may increase rates again later in
1999.
The high yield bond market and the investment grade corporate bond market were
not only negatively affected by the general increase in interest rates, but also
by the rush on the part of corporations to issue additional debt before interest
rates went even higher. This added supply caused the high yield bond market to
fall as investors retreated from the market.
With the rise in general interest rates and corresponding decline in U.S.
Treasury bond prices, compounded by heavy new issuance of corporate bonds during
the past three months, the better quality segments of the high yield bond market
continued to underperform the lower quality CCC/Caa rated issues. Although
higher quality issues have a lower risk of default, these issues tend to be more
sensitive to the movements of the U.S. Treasury market. At the same time, the
lower quality high yield issues tend to have a higher risk of default and tend
to be more economically sensitive, reacting more closely to stock market trends.
The lower quality segment of the high yield market clearly benefited from strong
domestic economic growth in the second quarter and the strong performance
returns generated by the domestic equity markets.
2
<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
The strongest performing industry sectors were basic materials (i.e., forest
products, metals, mining etc.) and energy. This was not surprising given the
higher risk of greater inflation caused by stronger than expected economic
growth both domestically and globally. The weakest industry sectors included
media (i.e., cable TV and broadcasting) and telecommunications. A number of
media and telecommunications companies rushed new issues into the market in the
second quarter of 1999, putting further pressure on the existing issues in these
sectors.
Some of the manager's recent additions include AES Corporation, an independent
power producer; Nextlink, a Competitive Local Exchange telecommunications
provider; Huntsman Chemical, a specialty chemical company; and Ames Department
Stores, a middle market retailer. We believe the middle B rated segment of the
high yield bond market represents the best value given continued economic
strength. In addition, the manager believes his current investment strategy
makes sense in this current environment where economic growth continues to be
strong. The Portfolio's average maturity of approximately 6 to 7 years on a
call-adjusted basis should continue to limit the impact of rising rates. The
manager remains bullish on the total return prospects of the high yield bond
market at current valuation levels, especially given the health of the economy.
For the remainder of 1999, the manager expects a continuation of solid economic
growth with a modest upward bias in inflation. These factors could result in a
modest increase in general interest rates. He anticipates that both the equity
markets and the high yield bond market should do better than U.S. Treasuries and
the middle quality high yield bonds should outperform. Moreover, he will
continue to focus closely on some of the stronger companies in select commodity
sectors such as paper, energy and steel. And while no guarantees can be made, he
expects the Portfolio's high yield bond to generate competitive returns over the
near term.
Government Securities
The first half of 1999 was a period of sustained economic growth at home and
recovery abroad. Following the events surrounding the Russian debt default in
August of 1998 -- which included a decline in bond yields and a 0.75% fall in
Fed funds -- yields have risen. Investor optimism, however, was tempered by
concerns about inflation and continued economic growth. In addition, both Russia
and Argentina remain economic hot spots and deserve close monitoring. The
reconstruction of Kosovo and peacekeeping efforts in that war-torn country will
also be an ongoing challenge.
Another issue facing the bond market is Y2K, a phrase referring to the fact that
some dates were coded into computers using only the last two digits of the year,
assuming the first two digits were "19." On or after January 1, 2000, some
computers may misread or not recognize dates and cause potential dislocations.
And while the extent of the Y2K problem is impossible to predict, it is safe to
say the immediate future promises to be very interesting.
During the first half of 1999, the Portfolio's holdings in mortgage-backed
securities approximated 70%. U.S. Treasuries with a maturity of 10 to 15 years
comprised the remainder of the Portfolio's assets. While U.S. Treasuries did not
help performance to date, we believe our strategy should perform well in the
second half of 1999.
Global Government Bonds
Investor confidence in stocks and emerging market bonds began to return in the
final months of 1998. The flight-to-quality trend that began in the summer of
1998 started to reverse in the fall as investors demonstrated an increased
willingness to accept greater risk. In addition, Brazil's decision to devalue
its currency in January 1999 helped to remove another source of uncertainty and
further bolstered confidence in the emerging market bond arena. As a result, the
historically wide spreads between emerging market bonds and other fixed income
assets contracted sharply.
European countries were the chief beneficiaries of this latest development.
European bond markets generally outperformed the U.S. Treasury market as many
investors sold off their U.S. Treasury securities in favor of higher-yielding
securities. In addition, continued interest rate cuts across Europe helped to
further boost bond market performance in the region.
Japan's bond market improved dramatically from being the worst-performing market
in the fourth quarter of 1998 to being the best-performing market in the first
quarter of 1999. Japanese government bonds fell after news of increased issuance
and the end of official purchases in the secondary market and recovered strongly
in the early months of 1999 after a 0.10% official interest rate cut.
As noted above, U.S. Treasury market performance suffered during the reporting
period. After generating a flat return for the fourth quarter of 1998, U.S.
Treasury securities lost roughly 1.78% in the first quarter of 1999. Stronger
than expected U.S.
3
<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
economic data helped to revive inflation fears in the U.S. and led to a shift in
the Fed monetary policy bias towards tightening.
With the exception of Japan, the world economy has shown exceptional signs of
resilence following the series of economic and stock market crises that took
place over the past eighteen months. At this time, it appears that even Brazil's
crises have had little of the predicted negative effect on the overall U.S.
economy, which continues full steam ahead. While Euroland economic growth slowed
in the second half of 1998, the manager believes this period of subpar growth
has bottomed out.
Consumer spending continues to power the U.S. economy ahead, with consumer
finances fueled by the rapid stock market gains so far this year, and the monies
released by mortgage refinancings that took advantage of the last six months'
historically low bond yields and mortgage rates. A 52% drop in energy prices
also helped to maintain spending by keeping inflation low, although this effect
has been reversed to some extent of late.
With growth outside of the U.S. reviving, and no signs of a slowdown in the U.S.
itself, this begs the question of what a world economic recovery means for bond
markets over the coming months. The manager believes that major world bond
markets, with the exception of Japan, are close to fair value, and will continue
to trade in a range around fair value levels for some time to come. This does
not mean that there is no downside risk to bond prices. In addition, he expects
Euroland 10-year bond yields to peak around 4.25%. In the current range-trading
market, we also remain bullish on the higher-yielding sovereign bonds of
Australia, New Zealand, Canada and Denmark.
EQUITY INCOME PORTFOLIO
The Equity Income Portfolio ("Portfolio") seeks to provide investors with
current income and, as a secondary goal, long-term capital appreciation. The
Portfolio will seek to achieve its goals principally through investment in
dividend-paying common stocks of companies whose prospects for dividend growth
and capital appreciation are considered by the Portfolio's managers to be
favorable. The Portfolio will normally invest at least 65% of its assets in
stocks. Under normal circumstances, the Portfolio will concentrate at least 25%
of its assets in the stocks and bonds of companies in the utility industry.
For the six months ended June 30, 1999, the Portfolio had a total return of
2.75% compared to the S&P 500 total return of 12.38%. (Past performance is not
indicative of future results.) The Portfolio focuses on the utility sector that
is viewed as a defensive, income-oriented group and is more sensitive to changes
in the level of interest rates than to the broad-based stock market.
The six months ended June 30, 1999 netted out as an uneventful period for this
Portfolio, even through the first and second halves of the reporting period
produced very different results. This pool of assets has been traditionally
structured in a very defensive manner, and as such its performance is tied to
how well (or poorly) utility investments and bonds behave in the marketplace. As
it was, if you were an investor in the first six months of this year, you would
have been better to ignore those two asset classes. The continued strength in
the domestic economy caused a rejuvenated interest in industrial cyclical stocks
in response to a better outlook for profits. Accordingly, value type stocks
generally outperformed growth issues and large-sized company stocks continued to
beat small-sized ones.
More specific to the Portfolio, utility stocks lost significant value during the
first three months of the year, then proceeded to recapture the whole loss in
the second quarter. Utility stocks ended the period virtually unchanged from the
start. Meanwhile, interest rates across the board (i.e., U.S. Treasuries,
corporate and utilities) all saw a rise in yields and a corresponding decline in
prices. The Portfolio, with about 50% of its assets invested in electric
utilities, 20% in natural gas companies, 15% in telecommunications firms and 15%
in bonds, did well to record a total return of 2.75%, outperforming its most
relevant market sectors.
EQUITY INDEX PORTFOLIO
The Equity Index Portfolio ("Portfolio") is managed to provide investment
results that, before the deduction of operating expenses, match the price and
yield performance of U.S. publicly traded common stocks, as measured by the S&P
500. For the six months ended June 30, 1999, the Portfolio posted a total return
of 12.13% on its Class I shares compared to the total return of the S&P 500 of
12.38% for the same period.
4
<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
The U.S. stock market finished the first half of 1999 firmly in positive
territory despite a rise in interest rates. Evidence of stronger-than-expected
economic growth prompted hopes of a meaningful earnings recovery during the
second quarter and, at the same time, triggered concerns about rising interest
rates. Both implications led to a rally in small cap and value stocks.
Interest rates began to climb in the month of May as investors worried about
inflation concerns on the heels of recent economic strength. First quarter GDP
growth was revised down to 4.1% from 4.5% but other indicators provided evidence
of continued strength in the economy. The stock market sagged during May under
the burden of lofty valuations and higher rates.
The Fed took center stage in the month of June as investors anxiously awaited
the next move in monetary policy. The bond and stock markets had clearly
anticipated a 25 basis point rate hike as a result of unexpected economic
strength. The decision to raise the federal funds rate by 25 basis points on
June 30, 1999 therefore, came as no surprise and markets rallied when the Fed
announced that it had now switched to a neutral bias in monetary policy.
The focus in the U.S. stock market has now switched from the earnings front to
the future direction of interest rates. The early second quarter earnings
reports project a healthy growth in corporate profits from the prior year. With
the stock market now trading well above Dow Jones Industrial Average ("DJIA")
10,000 and at unprecedented valuation levels, any further increase in interest
rates could trigger a compression in the Price/Earnings multiple for the market.
The Portfolio is designed to provide reliable exposure to the large cap segment
of the U.S. market through a broadly diversified portfolio structure. The
Portfolio matches the composition of the S&P 500 index and owns the constituent
index stocks at the appropriate index weight. The Portfolio, therefore, remains
neutral relative to the benchmark in terms of economic sectors, market
capitalization and the growth and value styles of investing.
GROWTH AND INCOME PORTFOLIO
The Growth and Income Portfolio ("Portfolio") seeks long-term capital growth and
income. The Portfolio invests in income-producing equity securities including
companies with consistent dividend-paying histories, the capacity to raise
dividends in the future and the potential for capital appreciation. For the six
months ended June 30, 1999, the Portfolio had a return of 9.38% versus the total
return of 11.43% for Lipper peer group average for the same period. Past
performance is not indicative of future results. (Lipper is a major independent
fund-tracking organization.)
Last year's strong performance continued into this one, as stock investors
enjoyed substantial returns over the past six months. Although large
capitalization stocks were once again the best performers, smaller stocks also
provided decent returns. Stocks reacted positively to evidence of a worldwide
recovery. U.S. multinationals reported stronger sales overseas, particularly in
Southeast Asia. The bond market's perception of this news was less favorable, as
most bond prices slipped. Partly in response to this stronger growth, the Fed
raised interest rates by 25 basis points in June.
The Portfolio is widely diversified, and participates in most of the major stock
market sectors. Due to the strategy of emphasizing stocks that pay dividends,
the Portfolio is somewhat underweighted in the technology sector. This
underweight penalized relative performance, however, as technology stocks
performed strongly over the last six months.
The manager has structured the Portfolio as a fully invested fund. As a result,
the cash portion (or short-term investments), if any, is only a very small
percentage of assets. Under most market conditions, the manager intends to
continue his substantial commitment to equities, with a minimal cash component.
Over the last six months, the manager has upped the number of individual
security holdings, increasing the Portfolio's diversification even further and
changing some of its top holdings. To implement this increased diversification,
the manager has traded more actively than usual over the last six months.
One way to look at the changes in the Portfolio is to examine the largest
holdings. International Business Machines and Intel, now among the top ten, were
not in the Portfolio six months ago. The manager purchased shares to increase
his exposure to the technology sector. Conversely, Nordstrom had been the
seventh largest stock in the fund. He sold out the position, as he thought
valuation was out of line with the retailer's growth prospects. Three names that
moved into the top ten were Ericsson, Automatic Data Processing and Mobil. All
of these companies were in the Portfolio previously. They rose to the top ten
due to the manager trimming other, larger positions that then became relatively
smaller. The remaining top five companies were among the top stocks previously:
General Electric, Ameritech, Hewlett-Packard, Merck and Johnson & Johnson.
5
<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
According to the manager, stock market returns for the remainder of 1999 should
depend greatly on the actions of the Fed which increased interest rates in June.
The markets reacted with relief when there were indications that this would not
be the first of many increases. If, however, the Fed were to increase rates
further, the stock market would be vulnerable to a correction. This is not the
manager's expectation, as he believes low inflation will deter Fed increases.
Given the relatively conservative posturing of the Portfolio, he would expect
better performance than many other equity funds if markets do turn more
volatile.
EMERGING GROWTH PORTFOLIO
The Emerging Growth Portfolio ("Portfolio") seeks capital appreciation by
investing at least 65% of its total assets in the common stocks of small- and
medium-sized foreign companies and domestic companies. The Portfolio focuses on
companies that are in the early stages of their life cycles and have the
potential to become major enterprises. The Portfolio posted a total return of
21.12% for the six months ended June 30, 1999, compared to the Lipper, Inc. peer
group average which had a total return of a negative 15.01% for the same period.
(Past performance is not indicative of future results.)
During the reporting period, the investment team looked for stocks with rising
earnings expectations and inexpensive valuations, and invested in those
companies they believed had the potential to outperform earnings expectations.
Conversely, the managers sold stocks if their underlying companies' earnings
estimates were declining or valuations became expensive. They consistently
manage the Portfolio from the "bottom up," meaning that they evaluate each
company individually before deciding to invest. As the reporting period went on,
it became more difficult to identify stocks that met their investment criteria.
The managers are anticipating continued market volatility. Concerns about
interest rates will make for an interesting summer, and questions about the year
2000 problem should be a factor in people's investment decisions -- although to
what extent is uncertain. They do think that companies' spending on the year
2000 problem may lead to a slowdown in the software industry, because companies
may be delaying their purchases of new software until after the new year. Also,
they continue to adjust to a new "day trading" stock market culture, which has
led to a new standard of volatility.
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio ("Portfolio") seeks total return from growth
of capital and income. The Portfolio seeks to achieve its objective by investing
at least 65% of its assets in a diversified blend of equity securities of
established non-U.S. issuers. For the six months ended June 30, 1999, the
International Equity Portfolio posted a total return of 9.12% compared to the
MSCI EAFE Index which posted 3.97% for the same period. (The MSCI EAFE Index
consists of the equity total returns for Europe, Australia, New Zealand and the
Far East. Past performance is not indicative of future results.)
While investors fretted about rising U.S. and Japanese bond yields, economic
data showed that many Asian countries have begun their recoveries from the steep
recessions of the past two years. Japanese measures to stimulate the depressed
economy, through fiscal spending and low interest rates appear to at least
temporarily have restored growth, though the sustainability of that growth
without continued government action is in doubt. More importantly, ailing
Japanese financial institutions have been allowed to fail. In recent months,
major Japanese multinational manufacturers have announced strategies to cut
costs and boost chronically low returns on investment.
Performance of the European markets, for dollar-based investors, lagged during
the first half of this year, primarily due to weakness of the new Euro currency
versus the dollar. The Euro declined, partially due to the policies of the
now-departed leftist Finance Minister of Germany, partially due to widening
yield spreads in the U.S., and partially due to the Balkans military conflict.
While the introduction of the Euro is off to a lackluster beginning, there is
little doubt that the unification of Europe is causing a mergers and acquisition
boom with nearly $500 billion of transactions.
In the view of the investment team, the outlook for corporations in Europe
remains bright despite the lackluster first half returns. Company managements
are restructuring and reengineering corporate structures, boosting return on
capital employed and paying more than lip service to the interests of minority
shareholders. The European economies are strengthening, improving the outlook
for earnings. Historically low European interest rates have forced individual
and institutional investors to address their long-neglected home equity markets
in the search for adequate investment returns.
6
<PAGE>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
During the past six months significant changes were made to the Portfolio.
Securities sold during the past six months include Pan American Beverages,
Wolford, Iona Technologies, INA, Getronics, Banco Popular, Novartis, Coca-Cola
Beverages, and Sema Group. In every instance, the sale was based on either
deteriorating fundamentals or the need for resources to finance our new
purchases. Those new positions include: Toronto Dominion Bank, one of Canada's
major financial services institutions, Telewest Communications, a leader in the
delivery of broadband communications services in the United Kingdom, Softbank,
the Japanese trend-setting developer of Internet services and alliances,
Singapore Press Holdings, the dominant newspaper published in Singapore with
growing electronic media interests, and Venture Manufacturing, the
Singapore-based electronics contract manufacturer.
As a result of divergent regional market performances and security selection,
the geographic composition of the Portfolio has changed markedly since the
beginning of the year. The European portion has declined from 80% to 64% while
the Pacific component has increased from 18% to 30%. Assets in Canada and Latin
America comprise the balance.
In closing, we thank you for your investment in the Greenwich Street Series
Fund -- Money Market, Diversified Strategic Income, Equity Income, Equity Index,
Growth and Income, Emerging Growth and International Equity Portfolios. We look
forward to helping you pursue your financial goals in the years ahead.
Sincerely,
/s/ Heath B. McLendon
Heath B. McLendon
Chairman
August 4, 1999
7
<PAGE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- DIVERSIFIED STRATEGIC INCOME PORTFOLIO AS OF 6/30/99
(UNAUDITED)
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ 0.45%
Year Ended 6/30/99 3.01%
Five Years Ended 6/30/99 8.43%
10/16/91* through 6/30/99 6.96%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 6/30/99 67.96%
</TABLE>
* Commencement of operations
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Diversified Strategic Income
Portfolio on October 16, 1991
(commencement of operations)
through June 30, 1999 with that
of a similar investment in the
Lehman Brothers Aggregate Bond
Index. Index information is
available at month-end only;
therefore, the closest month-end
to inception date of the
Portfolio has been used. Figures
for the Lehman Brothers
Aggregate Bond Index, an
unmanaged index, are composed of
the Lehman Intermediate
Government/Corporate Bond Index
and the Mortgage-Backed
Securities Index and includes
treasury issues, agency issues,
corporate bond issues and
mortgage-backed securities.
<TABLE>
<CAPTION>
DIVERSIFIED STRATEGIC INCOME LEHMAN BROTHERS AGGREGATE BOND
PORTFOLIO INDEX
---------------------------- ------------------------------
<S> <C> <C>
'10/16/91' 10000 10000
'12/91' 10140 10507
'12/92' 10284 11285
'12/93' 11576 12386
'12/94' 11251 12024
'12/95' 13071 14246
'12/96' 14530 14944
'12/97' 15713 16385
'12/98' 16720 17809
'6/30/99' 16796 17565
</TABLE>
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- EQUITY INCOME PORTFOLIO AS OF 6/30/99 (UNAUDITED)
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
-----------------------------
<S> <C>
Six Months Ended 6/30/99+ 2.75%
Year Ended 6/30/99 10.87%
Five Years Ended 6/30/99 16.15%
10/16/91* through 6/30/99 11.76%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
------------------------
<S> <C>
10/16/91* through 6/30/99 135.72%
</TABLE>
* Commencement of operations
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Equity Income Portfolio on
October 16, 1991 (commencement of
operations) through June 30, 1999
with that of a similar investment
in the Variable Annuity Lipper
Equity Income Funds Peer Group
Average and Standard & Poor's 500
Index. Index information is
available at month-end only;
therefore, the closest month-end
to inception date of the
Portfolio has been used. The
Standard & Poor's 500 Index is an
unmanaged index composed of 500
widely held common stocks listed
on the New York Stock Exchange,
American Stock Exchange and
over-the-counter market.
The Variable Annuity Lipper
Equity Income Funds Peer Group
Average is composed of 448 equity
income funds as of June 30, 1999
which underlie variable
annuities.
<TABLE>
<CAPTION>
VARIABLE ANNUITY LIPPER EQUITY
EQUITY INCOME PORTFOLIO INCOME FUNDS PEER GROUP AVERAGE STANDARD & POOR'S 500 INDEX
----------------------- ------------------------------- ---------------------------
<S> <C> <C> <C>
'10/16/91' 10000 10000.00 10000.00
'12/91' 10200 10559.00 10838.00
'12/92' 11397 11782.00 11668.00
'12/93' 12583 13758.00 12844.00
'12/94' 11308 14094.00 13012.00
'12/95' 14979 16510.00 17898.00
'12/96' 15876 18034.00 19988.00
'12/97' 19610 23075.00 26656.00
'12/98' 22941 25781.00 34316.00
'6/30/99' 23572 28109.00 38522.00
</TABLE>
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
8
<PAGE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- EQUITY INDEX PORTFOLIO (CLASS I SHARES) AS OF 6/30/99
(UNAUDITED)
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ 12.13%
Year Ended 6/30/99 22.68%
Five Years Ended 6/30/99 26.93%
10/16/91* through 6/30/99 19.34%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 6/30/99 290.73%
</TABLE>
* Commencement of operations
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Equity Index Portfolio (Class
I shares) on October 16, 1991
(commencement of operations)
through June 30, 1999 with that
of a similar investment in the
Standard & Poor's 500 Index.
Index information is available at
month-end only; therefore, the
closest month-end to inception
date of the Portfolio has been
used. The Standard & Poor's 500
Index is an unmanaged index
composed of 500 widely held
common stocks listed on the New
York Stock Exchange, American
Stock Exchange and
over-the-counter market.
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO STANDARD & POOR'S 500 INDEX
---------------------- ---------------------------
<S> <C> <C>
'10/16/91' 10000.00 10000.00
'12/91' 10620.00 10838.00
'12/92' 11335.00 11668.00
'12/93' 12316.00 12844.00
'12/94' 12421.00 13012.00
'12/95' 16870.00 17898.00
'12/96' 20526.00 19988.00
'12/97' 27127.00 26656.00
'12/98' 34823.00 34279.00
'6/30/99' 39073.00 38522.00
</TABLE>
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- GROWTH AND INCOME PORTFOLIO AS OF 6/30/99 (UNAUDITED)
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ 9.38%
Year Ended 6/30/99 10.58%
Five Years Ended 6/30/99 18.99%
10/16/91* through 6/30/99 13.92%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 6/30/99 173.15%
</TABLE>
* Commencement of operations
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Growth and Income Portfolio on
October 16, 1991 (commencement of
operations) through June 30,
1999, with that of a similar
investment in the Variable
Annuity Lipper Growth & Income
Funds Peer Group Average and
Standard & Poor's 500 Index.
Index information is available at
month-end only; therefore, the
closest month-end to inception
date of the Portfolio has been
used. The Standard & Poor's 500
Index is an unmanaged index
composed of 500 widely held
common stocks listed on the New
York Stock Exchange, American
Stock Exchange and
over-the-counter market.
The Variable Annuity Lipper
Growth & Income Funds Peer Group
Average is composed of 1,149
growth and income funds as of
June 30, 1999 which underlie
variable annuities.
<TABLE>
<CAPTION>
VARIABLE ANNUITY LIPPER S&P 500 INDEX
GROWTH AND INCOME GROWTH & INCOME FUNDS -------------
PORTFOLIO PEER GROUP
----------------- -----------------------
<S> <C> <C> <C>
'10/16/91' 10000.00 10000.00 10000.00
'12/91' 10140.00 10746.00 10838.00
'12/92' 10996.00 11551.00 11668.00
'12/93' 11995.00 12802.00 12844.00
'12/94' 11611.00 12646.00 13012.00
'12/95' 15152.00 16514.00 17898.00
'12/96' 18157.00 18211.00 19988.00
'12/97' 22321.00 22950.00 26656.00
'12/98' 24972.00 26590.00 34316.00
'6/30/99' 27315.00 29629.00 38522.00
</TABLE>
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
9
<PAGE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- EMERGING GROWTH PORTFOLIO AS OF 6/30/99 (UNAUDITED)
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
<S> <C>
Six Months Ended 6/30/99+ 21.12%
Year Ended 6/30/99 36.09%
Five Years Ended 6/30/99 28.84%
12/3/93* through 6/30/99 23.63%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
12/3/93* through 6/30/99 226.33%
</TABLE>
* Commencement of operations
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in Emerging Growth Portfolio on
December 3, 1993 (commencement of
operations) through June 30, 1999
with that of a similar investment
in the NASDAQ Composite Index.
Index information is available at
month-end only; therefore, the
closest month-end to inception
date of the Portfolio has been
used. The NASDAQ Composite Index
is a market capitalization
price-only index that tracks the
performance of domestic common
stocks traded on the regular
NASDAQ market as well as foreign
common stocks and ADRs traded on
the National Market System.
<TABLE>
<CAPTION>
EMERGING GROWTH PORTFOLIO NASDAQ COMPOSITE INDEX
------------------------- ----------------------
<S> <C> <C>
12/3/93 10000 10000
12/93 10410 10297
12/94 9631 9968
12/95 13762 13947
12/96 16215 17115
12/97 19646 20819
12/98 26943 29071
6/30/99 32633 35612
</TABLE>
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- INTERNATIONAL EQUITY PORTFOLIO AS OF 6/30/99
(UNAUDITED)
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------
<S> <C>
Six Months Ended 6/30/99+ 9.12%
Year Ended 6/30/99 9.12%
Five Years Ended 6/30/99 10.70%
12/3/93* through 6/30/99 8.09%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
12/3/93* through 6/30/99 54.27%
</TABLE>
* Commencement of operations
+ Total return is not annualized, as it
may not be representative of the total
return for the year.
The chart to the right compares
the growth in value of a
hypothetical $10,000 investment
in International Equity Portfolio
on December 3, 1993 (commencement
of operations) through June 30,
1999 with that of a similar
investment in the Morgan Stanley
EAFE Index. Index information is
available at month-end only;
therefore, the closest month-end
to inception date of the
Portfolio has been used. The
Morgan Stanley EAFE Index is a
composite index consisting of
equity total returns for the
countries of Europe, Australia,
New Zealand and countries in the
Far East, weighted based on each
country's gross domestic product.
<TABLE>
<CAPTION>
SYMPHONY INTERNATIONAL EQUITY
PORTFOLIO MORGAN STANLEY EAFE INDEX
----------------------------- -------------------------
<S> <C> <C>
12/3/93 10000.00 10000.00
12/93 10050.00 10724.00
12/94 9210.00 10850.00
12/95 10020.00 12103.00
12/96 12163.00 12873.00
12/97 11897.00 13120.00
12/98 14138.00 15744.00
6/30/99 15427.00 16369.00
</TABLE>
- --------------------------------------------------------------------------------
The performance shown represents past performance and is not a guarantee of
future results. A mutual fund's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends. The returns do not reflect expenses associated with the subaccount
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the performance shown.
10
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 1999
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 78.3%
$175,000 ABN AMRO Bank matures 9/2/99................................ 5.00% $ 173,488
200,000 Ameritech Corp. matures 7/7/99.............................. 5.41 199,820
150,000 Bell Atlantic Financial Services matures 7/8/99............. 5.11 149,851
100,000 Chase Manhattan Bank Corp. matures 7/12/99.................. 4.90 99,853
200,000 DaimlerChrysler N.A. Holdings matures 9/14/99............... 5.13 197,890
200,000 Dresdner Bank matures 8/11/99............................... 5.25 198,811
200,000 General Electric Capital Corp. mature 7/14/99 to 7/15/99.... 4.90 to 4.99 199,635
176,000 General Motors Acceptance Corp. matures 7/22/99............. 4.88 175,503
200,000 Generale Bank matures 7/12/99............................... 4.88 199,705
200,000 Goldman, Sachs & Co. matures 7/8/99......................... 4.99 199,806
150,000 GTE Funding matures 7/7/99.................................. 4.96 149,877
200,000 Harris Bank matures 9/23/99................................. 5.17 200,000
200,000 IBM Credit Corp. matures 7/15/99............................ 5.00 199,613
200,000 International Lease Finance matures 7/12/99................. 4.99 199,696
100,000 J.P. Morgan & Co. matures 7/12/99........................... 4.97 99,852
200,000 Nestle Capital Corp. matures 7/1/99......................... 5.23 200,000
200,000 Oesterreichische Kontrollbank matures 8/2/99................ 5.04 199,109
200,000 Sara Lee Corp. matures 7/1/99............................... 4.91 200,000
200,000 Shell Oil matures 7/15/99................................... 4.97 199,615
100,000 Transamerica Finance Corp. matures 7/20/99.................. 4.88 99,744
100,000 Union Bank of Switzerland matures 12/14/99.................. 5.27 97,635
200,000 USAA Capital Corp. matures 7/7/99........................... 4.88 199,838
- --------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $3,839,341)............... 3,839,341
- --------------------------------------------------------------------------------------------------------
TIME DEPOSITS -- 20.4%
200,000 Bank Austriengesellschaft matures 7/1/99.................... 5.63 200,000
200,000 Bank of Nova Scotia matures 7/6/99.......................... 4.88 200,000
200,000 Paribas SA matures 7/1/99................................... 5.75 200,000
200,000 Republic National Bank of New York matures 7/1/99........... 5.75 200,000
200,000 Westdeutsche Landesbank matures 7/6/99...................... 4.89 200,000
- --------------------------------------------------------------------------------------------------------
TOTAL TIME DEPOSIT (Cost -- $1,000,000)................... 1,000,000
- --------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.3%
63,000 Morgan Stanley Dean Witter & Co., 4.80% due 7/1/99; Proceeds
at maturity -- $63,008; (Fully collateralized by U.S.
Treasury Notes, 6.25% to 7.25% due 7/31/99 to 8/15/25;
Market (value -- $64,268) (Cost -- $63,000)................. 63,000
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $4,902,341*)........... $4,902,341
- --------------------------------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECTOR -- 47.7%
$ 1,660,000 Federal Home Loan Bank, zero coupon to yield 7.297% due
3/16/23..................................................... $ 295,248
124,207 Federal Home Loan Mortgage Corp., 9.000% due 1/1/20 through
2/1/20#..................................................... 131,698
35,880 Federal Home Loan Mortgage Corp., 7.500% due 1/1/23......... 36,844
396,180 Federal Home Loan Mortgage Corp., 7.000% due 7/1/24 through
9/1/24...................................................... 394,013
413,986 Federal National Mortgage Association 7 Year Balloon, 6.000%
due 4/1/05.................................................. 402,858
3,386,737 Federal National Mortgage Association, 6.000% due 10/1/12
through 9/1/13#............................................. 3,278,785
5,328 Federal National Mortgage Association, 6.000% due 3/1/28#... 5,024
105,196 Federal National Mortgage Association, 6.500% due 9/1/28.... 101,941
10,500,000 Federal National Mortgage Association, 7.500% due 12/1/29
@........................................................... 10,634,531
94,318 Government National Mortgage Association, 8.000% due 5/15/17
through 5/15/21............................................. 97,059
819,508 Government National Mortgage Association, 9.000% due
11/15/16 through 8/15/24.................................... 870,465
2,845,793 Government National Mortgage Association, 7.500% due 2/15/24
through 12/15/28#........................................... 2,883,130
3,835,000 Government National Mortgage Association, 7.500% due
12/15/28 @.................................................. 3,882,938
3,055,000 Government National Mortgage Association, 7.000% due
2/22/29#@................................................... 3,024,450
231,374 Government National Mortgage Association, 6.000% due 3/15/29
through 4/15/29#............................................ 217,418
13,841,115 Government National Mortgage Association, 7.000% due 9/15/23
through 6/15/29............................................. 13,711,285
4,820,000 US Treasury Principal Strip, zero coupon to yield 6.364% due
11/15/09.................................................... 2,555,998
- ------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT SECTOR (Cost -- $42,850,624).......... 42,523,685
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
HIGH YIELD SECTOR -- 31.1%
- --------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 30.3%
- --------------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.4%
145,000 B1* BE Aerospace, 9.500% due 11/1/08............................ 146,813
200,000 B- Fairchild Corp., 10.750% due 4/15/09 (b).................... 197,000
- --------------------------------------------------------------------------------------------------------
343,813
- --------------------------------------------------------------------------------------------------------
AIRLINES -- 0.4%
200,000 BB- Continental Airlines, 8.000% due 12/15/05++................. 190,000
200,000 B- Dunlop Standard Aero Holding, 11.875% due 5/15/09 (b)++..... 201,000
- --------------------------------------------------------------------------------------------------------
391,000
- --------------------------------------------------------------------------------------------------------
AUTOMOBILE/AUTO PARTS/TRUCK MANUFACTURING -- 0.7%
100,000 NR Advance Stores Co., Inc., 10.250% due 4/15/08 (b)........... 96,250
120,000 BB- Avis Rent A Car Inc., 11.000% due 5/1/09 (b)................ 120,450
105,000 B Collins & Aikman Products, 11.500% due 4/15/06.............. 107,100
135,000 B Dura Operating Corp., 9.000% due 5/1/09 (b)................. 130,275
145,000 B1* Exide Corp., 10.000% due 4/15/05++.......................... 144,638
- --------------------------------------------------------------------------------------------------------
598,713
- --------------------------------------------------------------------------------------------------------
BROADCASTING-TV, CABLE AND RADIO -- 2.8%
90,000 B- Capstar Broadcasting, step bond to yield 11.002% due
2/1/09...................................................... 75,600
10,000 BB- Century Communications, 8.750% due 10/1/07.................. 9,925
Charter Communications Holdings LLC:
95,000 B+ Step bond to yield 9.920% due 4/1/11 (b).................... 59,138
40,000 B+ 8.625% due 4/1/09 (b)....................................... 38,500
210,000 B- Citadel Broadcasting, 9.250% due 11/15/08................... 216,825
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
BROADCASTING-TV, CABLE AND RADIO -- 2.8% (CONTINUED)
$ 200,000 BB- CSC Holdings, 10.500% due 5/15/16........................... $ 226,000
205,000 B Echostar DBS Corp., 9.375% due 2/1/09 (b)................... 209,613
Rogers Cablesystems Ltd.:
450,000 BB+ 10.000% due 12/1/07......................................... 486,000
165,000 BB- 11.000% due 12/1/15......................................... 189,750
360,000 NR Spectrasite Holdings Inc., step bond to yield 11.250% due
4/15/09 (b)++............................................... 205,200
225,000 B+ Telewest Communications PLC, 11.250% due 11/1/08............ 256,500
100,000 B+ TV Azteca, 10.500% due 2/15/07.............................. 74,250
720,000 B United International Holdings, step bond to yield 11.869%
due 2/15/08................................................. 478,800
- --------------------------------------------------------------------------------------------------------
2,526,101
- --------------------------------------------------------------------------------------------------------
BUILDING/CONSTRUCTION -- 3.1%
275,000 B Ainsworth Lumber, 12.500% due 7/15/07....................... 306,625
190,000 B Amatek Industries, 12.000% due 2/15/08 (b).................. 181,450
75,000 B- American Plumbing & Mechanical, 11.625% due 10/15/08 (b).... 72,375
200,000 B Atrium Cos. Inc., 10.500% due 5/1/09 (b).................... 197,000
235,000 BB Building Materials Corp., 8.000% due 12/1/08................ 220,313
150,000 B Columbus McKinnon Corp., 8.500% due 4/1/08.................. 146,250
140,000 Ba1* D.R. Horton Inc., 8.000% due 2/1/09......................... 132,300
340,000 B Group Maintenance America Corp., 9.750% due 1/15/09 (b)++... 336,600
170,000 NR Integrated Electrical Services, 9.375% due 2/1/09 (b)....... 167,450
100,000 B NCI Building Systems Inc., 9.250% due 5/1/09 (b)............ 100,000
Nortek Inc.:
265,000 B+ 9.125% due 9/1/07........................................... 264,338
85,000 B+ 8.875% due 8/1/08 (b)....................................... 87,338
210,000 B- Oglebay Norton Co., 10.000% due 2/1/09...................... 202,650
380,000 BB- US Home Corp., 8.875% due 2/15/09........................... 361,000
- --------------------------------------------------------------------------------------------------------
2,775,689
- --------------------------------------------------------------------------------------------------------
CELLULAR AND OTHER WIRELESS -- 0.8%
100,000 CCC+ Centennial Cellular, 10.750% due 12/15/08 (b)............... 103,500
50,000 B- Microcell Telecommunications, step bond to yield 11.945% due
6/1/09...................................................... 28,375
50,000 B- Millicom International Cellular, step bond to yield 11.769%
due 6/1/06.................................................. 37,000
180,000 B- Nextel Communications, step bond to yield 10.492% due
2/15/08++................................................... 124,650
150,000 BB- Orange PLC, 9.000% due 6/1/09 (b)........................... 150,375
70,000 B3* Telecorp PCS Inc., step bond to yield 12.626% due 4/15/09... 39,200
Telesystems International:
15,000 CCC+ Series B, step bond to yield 12.785% due 6/30/07............ 7,950
300,000 CCC+ Series C, step bond to yield 11.066% due 11/1/07............ 135,000
200,000 B3* Triton PCS Inc., step bond to yield 11.504% due 5/1/08...... 129,500
- --------------------------------------------------------------------------------------------------------
755,550
- --------------------------------------------------------------------------------------------------------
CHEMICALS -- 0.7%
110,000 NR Huntsman Corp., 9.500% due 7/1/07 (b)....................... 105,600
75,000 B+ Huntsman ICI Chemicals, 10.125% due 7/1/09 (b).............. 75,375
125,000 B- Key Plastics Inc., Series B, 10.250% due 3/15/07............ 122,500
Lyondell Chemical:
170,000 BB 9.625% due 5/1/07 (b)....................................... 174,675
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
CHEMICALS -- 0.7% (CONTINUED)
$ 115,000 BB 9.875% due 5/1/07 (b)....................................... $ 117,300
- --------------------------------------------------------------------------------------------------------
595,450
- --------------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE MANUFACTURING -- 0.9%
390,000 B AEI Resources Inc., 10.500% due 12/15/05 (b)................ 382,200
104,000 B- Alvey Systems Inc., 11.375% due 1/31/03..................... 104,780
150,000 B+ Park-Ohio Industries, 9.250% due 12/1/07.................... 148,875
140,000 B- Tekni-Plex Inc., 11.250% due 4/1/07......................... 148,750
- --------------------------------------------------------------------------------------------------------
784,605
- --------------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE SERVICES -- 0.4%
100,000 BB- Cia Latino Americana, 11.625% due 6/1/04 (b)................ 59,500
35,000 B Consolidated Container Co., 10.125% due 7/15/09 (b)......... 35,350
165,000 B+ IT Group Inc., 11.250% due 4/1/09 (b)....................... 158,813
120,000 BB- United Rentals Inc., 9.250% due 1/15/09..................... 119,400
- --------------------------------------------------------------------------------------------------------
373,063
- --------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.9%
AES Corp.:
280,000 B+ 10.250% due 7/15/06......................................... 287,000
270,000 Ba1* 9.500% due 6/1/09........................................... 278,100
200,000 BB Calpine Corp., 10.500% due 5/15/06.......................... 216,000
- --------------------------------------------------------------------------------------------------------
781,100
- --------------------------------------------------------------------------------------------------------
ELECTRONICS/COMPUTERS -- 1.8%
375,000 BB- Polaroid Corp., 11.500% due 2/15/06++....................... 393,750
PSInet Inc.:
100,000 B- 10.000% due 2/15/05......................................... 100,250
200,000 B- 11.500% due 11/1/08......................................... 210,000
90,000 B+ URS Corp., 12.250% due 5/1/09 (b)........................... 90,225
Unisys Corp.:
65,000 BB- Sr. Notes, 12.000% due 4/15/03.............................. 71,013
200,000 BB- 11.750% due 10/15/04........................................ 223,500
Verio Inc.:
115,000 B- 10.375% due 4/1/05++........................................ 116,437
185,000 B- 11.250% due 12/1/08......................................... 194,250
250,000 B- ViaSystems Inc., 9.750% due 6/1/07.......................... 219,375
- --------------------------------------------------------------------------------------------------------
1,618,800
- --------------------------------------------------------------------------------------------------------
FINANCE COMPANIES/CONSUMER CREDIT -- 1.7%
Amresco Inc.:
50,000 CCC+ 10.000% due 3/15/04......................................... 41,500
85,000 CCC+ 9.875% due 3/15/05.......................................... 69,063
90,000 BB Caithness Coso Fund Corp., 9.05% due 12/15/09 (b)........... 88,425
285,000 BB+ Dr. Structured Finance, 8.375% due 8/15/15.................. 279,753
75,000 BB+ Ocwen Asset Investment, 11.500% due 7/1/05.................. 65,625
100,000 B- Ocwen Capital Trust I, 10.875% due 8/1/27................... 78,500
250,000 B- Outsourcing Solutions, 11.000% due 11/1/06++................ 245,000
300,000 BB- RBF Finance Co., 11.375% due 3/15/09 (b).................... 310,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
FINANCE COMPANIES/CONSUMER CREDIT -- 1.7% (CONTINUED)
$ 135,000 B Stone Container, 11.500% due 8/15/06 (b).................... $ 145,800
180,000 BB+ Tembec Finance Corp., 9.875% due 9/30/05.................... 187,200
- --------------------------------------------------------------------------------------------------------
1,511,366
- --------------------------------------------------------------------------------------------------------
FOOD/BEVERAGE -- 1.6%
100,000 B- B&G Foods Inc., 9.625% due 8/1/07........................... 94,000
650,000 B- Carrols Corp., 9.500% due 12/1/08........................... 622,375
105,000 B+ Chiquita Brands International Inc., 10.000% due 6/15/09..... 105,263
200,000 B Imperial Holly, 9.750% due 12/15/07......................... 198,000
40,000 B SC International Services, 9.250% due 9/1/07................ 40,900
425,000 B- Triarc Consumer & Beverage, 10.250% due 2/15/09 (b)......... 411,188
- --------------------------------------------------------------------------------------------------------
1,471,726
- --------------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS/HOSPITAL SUPPLIES -- 0.4%
35,000 B- Fisher Scientific International, 9.000% due 2/1/08.......... 33,250
60,000 B+ Fresenius Medical Cap Trust, 7.875% due 2/1/08.............. 55,800
70,000 B- Hanger Orthopedic Group, 11.250% due 6/15/09 (b)............ 70,875
210,000 BB ICN Pharmaceuticals Inc., 9.250% due 8/15/05................ 211,050
- --------------------------------------------------------------------------------------------------------
370,975
- --------------------------------------------------------------------------------------------------------
HOTEL/GAMING -- 2.6%
300,000 B- Courtyard By Marriott, 10.750% due 2/1/08................... 306,750
125,000 BB+ Harrahs Operating Co. Inc., 7.875% due 12/15/05............. 121,250
365,000 B Harvey Casinos Resorts, 10.625% due 6/1/06.................. 377,775
HMH Properties Inc.:
150,000 BB 7.875% due 8/1/08........................................... 138,000
200,000 BB 8.450% due 12/1/08++........................................ 190,000
115,000 B Hollywood Park Inc., 9.250% due 2/15/07..................... 113,850
115,000 B+ Horseshoe Gaming Holdings, 8.625% due 5/15/09 (b)........... 111,550
380,000 BB+ International Game Technology, 7.875% due 5/15/04 (b)....... 373,350
180,000 B Isle of Capri Casinos, 8.750% due 4/15/09 (b)............... 169,200
Station Casinos Inc.:
95,000 B+ 10.125% due 3/15/06......................................... 98,562
315,000 B+ 8.875% due 12/1/08.......................................... 308,700
- --------------------------------------------------------------------------------------------------------
2,308,987
- --------------------------------------------------------------------------------------------------------
INSURANCE COMPANIES -- 0.3%
125,000 BB+ SIG Capital Trust I, 9.500% due 8/15/27..................... 93,750
200,000 B Veritas Capital Trust, 10.000% due 1/2/28................... 160,000
- --------------------------------------------------------------------------------------------------------
253,750
- --------------------------------------------------------------------------------------------------------
LEISURE/AMUSEMENT/MOTION PICTURES -- 0.4%
250,000 B Regal Cinemas, 9.500% due 6/1/08............................ 234,375
150,000 B- SFX Entertainment, 9.125% due 2/1/08........................ 147,000
- --------------------------------------------------------------------------------------------------------
381,375
- --------------------------------------------------------------------------------------------------------
METALS/MINING -- 1.0%
125,000 B- Haynes International Inc., 11.625% due 9/1/04............... 118,125
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
METALS/MINING -- 1.0% (CONTINUED)
Kaiser Aluminum & Chemical:
$ 50,000 B3* 12.750% due 2/1/03.......................................... $ 50,750
75,000 B1* 10.875% due 10/15/06........................................ 78,375
195,000 Ba3* National Steel Corp., 9.875% due 3/1/09..................... 198,413
125,000 B+ Russel Metals Inc., 10.000% due 6/1/09...................... 125,625
35,000 B+ WCI Steel Inc., 10.000% due 12/1/04......................... 35,700
315,000 B WHX Corp., 10.500% due 4/15/05.............................. 299,250
- --------------------------------------------------------------------------------------------------------
906,238
- --------------------------------------------------------------------------------------------------------
OIL/NATURAL GAS -- 2.0%
105,000 B Belco Oil & Gas Corp., 8.875% due 9/15/07................... 101,850
200,000 B+ Clark USA, 10.875% due 12/1/05.............................. 171,250
200,000 B Coda Energy Inc. (Belco Oil & Gas Corp.), 10.500% due
4/1/06...................................................... 203,500
50,000 BB- Leviathan Gas & Pipeline Corp., 10.375% due 6/1/09 (b)...... 51,500
160,000 B Nationsrent Inc., 10.375% due 12/15/08...................... 158,800
15,000 B+ Nuevo Energy Co., 9.500% due 4/15/06........................ 14,925
225,000 BB- Ocean Energy, 10.375% due 10/15/05.......................... 237,375
210,000 B+ Parker Drilling Co., 9.750% due 11/15/06++.................. 195,300
95,000 BB Pride International Inc., 10.000% due 6/1/09................ 96,662
340,000 NR R&B Falcon Corp., 12.250% due 3/15/06 (b)................... 348,075
150,000 B2* Stone Energy Corp., 8.750% due 9/15/07...................... 145,500
35,000 B+ Vintage Petroleum, 9.750% due 6/30/09....................... 35,875
- --------------------------------------------------------------------------------------------------------
1,760,612
- --------------------------------------------------------------------------------------------------------
PACKAGING/CONTAINERS -- 0.5%
155,000 B AEP Industries Inc., 9.875% due 11/15/07.................... 155,388
50,000 B Huntsman Packaging Corp., 9.125% due 10/1/07................ 49,500
220,000 B Packaging Corp. of America, 9.625% due 4/1/09 (b)........... 222,200
- --------------------------------------------------------------------------------------------------------
427,088
- --------------------------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS/PRINTING -- 1.3%
40,000 B Cadmus Communications Corp., 9.750% due 6/1/09 (b).......... 40,150
120,000 B+ Garden State Newspapers, 8.625% due 7/1/11 (b).............. 112,800
125,000 BB+ Malette Inc., 12.250% due 7/15/04........................... 132,969
355,000 CCC+ Repap New Brunswick, 10.625% due 4/15/05++.................. 284,888
Riverwood International:
130,000 B- 10.625% due 8/1/07.......................................... 133,250
255,000 CCC+ 10.875% due 4/1/08.......................................... 247,988
185,000 BB+ Tembec Industries Inc., 8.625% due 6/30/09.................. 184,538
- --------------------------------------------------------------------------------------------------------
1,136,583
- --------------------------------------------------------------------------------------------------------
REAL ESTATE DEVELOPMENT/REITS -- 0.3%
Intrawest Corp.:
40,000 B+ 9.750% due 8/15/08.......................................... 40,600
125,000 B+ 9.750% due 8/15/08 (b)...................................... 126,875
101,000 BB+ Trizec Finance Ltd., 10.875% due 10/15/05................... 110,090
- --------------------------------------------------------------------------------------------------------
277,565
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
RETAIL -- 0.8%
$ 115,000 B Advantica Restaurant Group, 11.250% due 1/15/08............. $ 110,113
315,000 B+ Ames Department Stores, 10.000% due 4/15/06 (b)............. 308,700
75,000 B Falcon Products Inc., 11.375% due 6/15/09 (b)............... 75,375
155,000 BB+ K-Mart Corp., 12.500% due 3/1/05............................ 188,713
- --------------------------------------------------------------------------------------------------------
682,901
- --------------------------------------------------------------------------------------------------------
TELEPHONE/COMMUNICATIONS -- 4.4%
Crown Castle International Corp.:
70,000 B Step bond to yield 10.876% due 5/15/11...................... 40,950
115,000 B 9.000% due 5/15/11.......................................... 112,988
95,000 NR E.Spire Communications Inc., step bond to yield 10.547% due
7/1/08...................................................... 35,150
Espirit Telecom:
100,000 B- 11.500% due 12/15/07........................................ 102,500
100,000 B- 10.875% due 6/15/08......................................... 105,750
300,000 NR Facilicom International, 10.500% due 1/15/08................ 232,500
15,000 B Fairchild Semiconductor, 10.125% due 3/15/07................ 14,775
Hermes Europe Rail:
100,000 B 11.500% due 8/15/07......................................... 105,000
200,000 B 10.375% due 1/15/09++....................................... 203,000
Intermedia Communications:
60,000 B Step bond to yield 11.212% due 7/15/07...................... 42,900
115,000 B 9.500% due 3/1/09........................................... 111,550
90,000 B3* IXC Communications Inc., 9.000% due 4/15/08................. 85,950
155,000 B- KMC Telecom Holdings Inc., 13.500% due 5/15/09 (b).......... 155,194
215,000 B Level 3 Communications, step bond to yield 11.065% due
12/1/08++................................................... 132,763
450,000 NR Metromedia Fiber Network, 10.000% due 11/15/08 (b).......... 463,500
Metronet Communications:
70,000 B Step bond to yield 12.567% due 6/15/08...................... 52,150
200,000 B 12.000%, due 8/15/07........................................ 230,500
300,000 B 10.625% due 11/1/08 (b)..................................... 337,500
NTL Communications Corp.:
400,000 B- Step bond to yield 12.375% due 10/1/08++.................... 273,000
150,000 B- 11.500% due 10/1/08......................................... 162,000
Nextlink Communications:
220,000 B Step bond to yield 12.066% due 6/1/09++..................... 128,700
155,000 B 10.750% due 6/1/09++........................................ 159,263
55,000 B- Primus Telecom Group, 11.750% due 8/1/04.................... 55,825
110,000 B- Tele1 Europe BV, 13.000% due 5/15/09 (b).................... 114,675
100,000 NR Versatel Telecom BV, 13.250% due 5/15/08++.................. 104,000
355,000 B3* Viatel Inc., 11.250% due 4/15/08............................ 357,662
75,000 CCC+ WAM! Net Inc., step bond to yield 13.250% due 3/1/05........ 45,750
- --------------------------------------------------------------------------------------------------------
3,965,495
- --------------------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.1%
45,000 B+ Stena Line AB, 10.625% due 6/1/08........................... 33,750
- --------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $27,290,336)....... 27,032,295
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
COMMON STOCK -- 0.1%
- --------------------------------------------------------------------------------------------------------
CELLULAR AND OTHER WIRELESS -- 0.1%
1,416 Nextel Communications Inc. (c)
(Cost -- $54,086)........................................... $ 71,096
- --------------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.4%
- --------------------------------------------------------------------------------------------------------
BANKING -- 0.1%
2,400 California Federal Preferred Capital Corp., 9.1250% Series
A, Exchangeable............................................. 62,700
- --------------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS/HOSPITAL SUPPLIES --0.1%
150,000 Fresenius Medical Cap Trust, 9.000%......................... 148,500
- --------------------------------------------------------------------------------------------------------
TELEPHONE/COMMUNICATIONS -- 0.2%
1,750 Dobson Communications, 13.000% (b).......................... 176,750
- --------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $390,850).................... 387,950
- --------------------------------------------------------------------------------------------------------
WARRANTS (c) -- 0.3%
- --------------------------------------------------------------------------------------------------------
BROADCASTING-TV, CABLE, AND RADIO -- 0.0%
150 Australis Holdings, Expire 10/30/01 (b)..................... 0
450 UIH Australia, Expire 5/15/06............................... 900
750 Wireless One Inc., Expire 10/19/00.......................... 187
- --------------------------------------------------------------------------------------------------------
1,087
- --------------------------------------------------------------------------------------------------------
CELLULAR AND OTHER WIRELESS -- 0.0%
100 Iridium World Communications, Expire 7/15/05................ 10
- --------------------------------------------------------------------------------------------------------
TELEPHONE/COMMUNICATIONS -- 0.3%
400 Allegiance Telecom Inc., Expire 2/3/08...................... 16,400
400 COLT Telecom Group, Expire 12/31/06 (b)..................... 232,000
150 RSL Communications Ltd., Expire 11/15/06.................... 5,850
125 Splitrock Service, Expire 7/15/08........................... 8,750
100 Versatel Telecom, Expire 5/15/08 (b)........................ 5,000
225 WAM! Net Inc., Expire 3/1/05................................ 5,119
- --------------------------------------------------------------------------------------------------------
273,119
- --------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $6,155)............................. 274,216
- --------------------------------------------------------------------------------------------------------
TOTAL HIGH YIELD SECTOR (Cost -- $27,741,427)............... 27,765,557
- --------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
INTERNATIONAL SECTOR -- 13.2%
- --------------------------------------------------------------------------------------------------------
BONDS -- 13.2%
- --------------------------------------------------------------------------------------------------------
AUSTRALIA -- 0.9%
400,000 New South Wales Treasury Corp., 12.000% due 12/1/01......... 301,562
700,000 Queensland Treasury Corp., 8.000% due 5/14/03............... 494,549
- --------------------------------------------------------------------------------------------------------
796,111
- --------------------------------------------------------------------------------------------------------
CANADA -- 0.8%
650,000 Government of Canada, 11.750% due 2/1/03.................... 527,672
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
CANADA -- 0.8% (CONTINUED)
300,000 KFW International Finance, 9.500% due 5/13/02............... $ 221,336
- --------------------------------------------------------------------------------------------------------
749,008
- --------------------------------------------------------------------------------------------------------
EUROPE -- 2.6%
225,000 Dolphin Telecom., step bond to yield 11.481% due 6/1/08..... 113,700
500,000 Kingdom of Spain, 6.000% due 1/31/08........................ 562,935
300,000 Republic of Italy, 6.000% due 4/2/04........................ 334,481
500,000 Republic of Portugal, 6.000% due 2/16/04.................... 556,798
500,000 Societe Nationale Chemins De France, 9.375% due 3/12/01..... 563,605
175,000 Tele1 Europe BV, 13.000% due 5/15/09 (b) (d)................ 187,696
- --------------------------------------------------------------------------------------------------------
2,319,215
- --------------------------------------------------------------------------------------------------------
GERMANY -- 0.2%
175,000 Esprit Telecom, 11.500% due 12/15/07........................ 99,882
100,000 Texon International, 10.000% due 2/1/08++................... 47,189
- --------------------------------------------------------------------------------------------------------
147,071
- --------------------------------------------------------------------------------------------------------
NEW ZEALAND -- 2.3%
4,000,000 New Zealand Government, 5.500% due 4/15/03.................. 2,087,473
- --------------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 5.7%
500,000 European Investment Bank, 8.000% due 6/10/03................ 841,030
500,000 Interamer Development Bank, 7.125% due 11/26/04............. 825,031
170,000 Telewest Communications PLC, step bond to yield 9.875% due
4/15/09 (b)................................................. 179,539
2,000,000 United Kingdom Treasury, 8.000% due 12/7/00................. 3,279,003
- --------------------------------------------------------------------------------------------------------
5,124,603
- --------------------------------------------------------------------------------------------------------
UNITED STATES -- 0.7%
300,000 Argentina Discount, 6.000% due 3/31/23 (e).................. 211,500
500,000 United Mexican States Series B, 6.250% due 12/31/19......... 370,937
- --------------------------------------------------------------------------------------------------------
582,437
- --------------------------------------------------------------------------------------------------------
TOTAL INTERNATIONAL SECTOR (Cost -- $12,305,091)............ 11,805,918
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 8.0%
$ 7,110,000 CIBC Oppenheimer Corp., 4.650% due 7/1/99;
Proceeds at maturity -- $7,110,918; (Fully collateralized by
U.S. Treasury Notes, 5.375% due 6/30/00;
Market value -- $7,253,372) (Cost -- $7,110,000)............ $ 7,110,000
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $90,007,142**)........... $89,205,160
- --------------------------------------------------------------------------------------------------------
</TABLE>
# Security is segregated by Custodian for "to-be-announced" trades.
@ Security is traded on a "to-be-announced" basis.
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors Service,
Inc.
(b) Securities exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(c) Non-income producing security.
(d) Security issued with attached warrants.
(e) Variable rate security.
++ All or a portion of this security is on loan (See Note 15).
+ Represents local currency.
** Aggegate cost for Federal income tax purposes is substantially the same.
See page 47 for definition of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 84.1%
- ------------------------------------------------------------------------------------
GAS -- 11.1%
18,000 Coastal Corp. .............................................. $ 720,000
25,000 MCN Corp. .................................................. 518,750
25,000 Sempra Energy............................................... 565,625
15,000 Southwest Gas Corp. ........................................ 429,375
30,000 Williams Cos. Inc. ......................................... 1,276,875
- ------------------------------------------------------------------------------------
3,510,625
- ------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 15.4%
3,750 AT&T Corp. ................................................. 209,297
10,000 Bell Atlantic............................................... 653,750
4,800 Covad Communications Group (a).............................. 255,900
13,500 MCI WorldCom, Inc. (a)...................................... 1,164,375
17,000 MediaOne Group, Inc. ....................................... 1,264,375
6,000 NEXTLINK Communications Inc., Class A Shares (a)............ 446,250
15,000 SBC Communications Inc. .................................... 870,000
- ------------------------------------------------------------------------------------
4,863,947
- ------------------------------------------------------------------------------------
UTILITIES -- 57.6%
10,000 American Electric Power Inc. ............................... 375,626
25,000 BEC Energy.................................................. 1,031,250
25,000 Cinergy Corp. .............................................. 800,000
25,000 CMS Energy Corp. ........................................... 1,046,875
10,000 Consolidated Edison Co. of New York, Inc. .................. 452,500
15,000 Consolidated Natural Gas Co. ............................... 911,250
30,000 DQE Inc. ................................................... 1,203,750
30,000 Edison International........................................ 802,500
27,000 El Paso Energy Corp......................................... 950,064
20,000 Energen Corp. .............................................. 372,500
10,000 Energy East Corp. .......................................... 260,000
20,000 Firstenergy Corp. .......................................... 620,000
12,000 FPL Group Inc. ............................................. 655,500
15,000 National Fuel Gas Co. ...................................... 727,500
15,000 New Century Energies Inc. .................................. 582,188
25,000 Niagara Mohawk Power Co. (a) ............................... 401,562
27,000 Nisource, Inc. ............................................. 696,938
30,000 Northeast Utilities......................................... 530,625
25,000 Northern States Power Co. .................................. 604,687
21,000 Peco Energy Co. ............................................ 879,375
14,500 Pinnacle West Capital Co. .................................. 583,625
15,000 Public Service Enterprise Group Inc. ....................... 613,125
25,000 Sierra Pacific Resources.................................... 909,375
15,000 The Montana Power Co. ...................................... 1,057,500
30,000 Unicom Corp. ............................................... 1,156,875
- ------------------------------------------------------------------------------------
18,225,190
- ------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $18,444,872).................... 26,599,762
- ------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(b) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
CORPORATE BONDS AND NOTES -- 15.9%
- --------------------------------------------------------------------------------------------------------
UTILITIES -- 15.9%
$250,000 AA- Dayton Power & Light Co., First Mortgage, 8.150% due
1/15/26..................................................... $ 259,374
Duquesne Light Co., First Collateral Trust:
200,000 A3* 8.375% due 5/15/24........................................ 204,500
250,000 A3* 7.550% due 6/15/25........................................ 240,000
200,000 AA- Idaho Power Co., First Mortgage, 8.750% due 3/15/27......... 210,500
300,000 Aa2* Kentucky Utilities Co., First Mortgage, 8.550% due
5/15/27..................................................... 318,000
Madison Gas & Electric Co., First Mortgage:
200,000 AA 8.500% due 4/15/22........................................ 211,250
500,000 AA 7.700% due 2/15/28........................................ 501,874
New York State Electric & Gas Corp., First Mortgage:
250,000 A 8.300% due 12/15/22....................................... 257,500
250,000 A 7.450% due 7/15/23........................................ 242,812
250,000 AA- Pacific Gas & Electric Co., 6.750% due 10/1/23.............. 230,000
500,000 A- Pennsylvania Power & Light Co., First Mortgage, 8.500% due
5/1/22...................................................... 516,875
500,000 A3* Texas Utilities Co., First Mortgage, 7.625% due 7/1/25...... 486,875
250,000 A Virginia Electric & Power Co., First Mortgage, 7.500% due
6/1/23...................................................... 244,062
400,000 AA+ Wisconsin Electric Power Co., First Mortgage, 7.050% due
8/1/24...................................................... 379,000
300,000 AA Wisconsin Power & Light Co., Notes, 8.600% due 3/15/27...... 319,500
425,000 AA+ Wisconsin Public Service Corp., First Mortgage, 7.125% due
7/1/23...................................................... 409,063
- --------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $5,043,066)........ 5,031,185
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100%(Cost -- $23,487,938**)............ $31,630,947
- --------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors Service,
Inc.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 47 for definition of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
22
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 94.9%
- -------------------------------------------------------------------------------------------------------
BASIC INDUSTRIES -- 4.2%
7,075 Air Products & Chemicals, Inc. ............................. $ 284,769
7,014 Alcan Aluminum Ltd. ........................................ 224,010
11,394 Alcoa, Inc. ................................................ 705,004
5,961 Allegheny Teledyne, Inc. ................................... 134,868
17,057 Allied Signal, Inc. ........................................ 1,074,591
11,523.......... Applied Materials, Inc. (a) 851,262
1,270 ASARCO, Inc. ............................................... 23,892
3,491 Avery Dennison Corp. ....................................... 210,769
11,976 Barrick Gold Corp. ......................................... 232,035
7,409 Battle Mountain Gold Corp. ................................. 18,059
1,648 Bemis, Inc. ................................................ 65,508
4,135 Bethlehem Steel Corp. (a)................................... 31,788
1,721 Boise Cascade Corp. ........................................ 73,788
2,922 Champion International Corp. ............................... 139,891
2,724 Cyprus Amax Minerals Corp. ................................. 41,371
6,766 Dow Chemical Co. ........................................... 858,436
34,794 E.I. du Pont de Nemours & Co. .............................. 2,376,865
3,821 Engelhard Corp. ............................................ 86,450
971 FMC Corp. (a)............................................... 66,331
5,090 Freeport-McMoRan Copper & Gold, Corp., Class B Shares....... 91,302
5,273 Georgia Pacific Corp. ...................................... 249,808
1,771 Great Lakes Chemical Corp. ................................. 81,577
3,081 Hercules, Inc. ............................................. 121,122
7,981 Homestake Mining Co. ....................................... 65,344
4,579 Ikon Office Solutions, Inc. ................................ 68,685
5,841 Inco Ltd. .................................................. 105,138
12,635 International Paper Co. .................................... 638,068
2,729 ITT Industries Inc. ........................................ 104,043
16,446 Kimberly-Clark Corp. ....................................... 937,422
3,315 Louisiana Pacific Corp. .................................... 78,731
3,167 Mead Corp. ................................................. 132,222
19,499 Monsanto Co. ............................................... 768,992
241 Nacco Industries, Inc. ..................................... 17,714
2,040 Nalco Chemical Co. ......................................... 105,825
5,123 Newmont Mining Corp. ....................................... 101,820
2,700 Nucor Corp. ................................................ 128,081
1,784 Phelps Dodge Corp. ......................................... 110,497
10,133 Placer Dome, Inc. .......................................... 119,696
854 Potlatch Corp. ............................................. 37,523
4,850 Praxair, Inc. .............................................. 237,347
2,016 Reynolds Metals Co. ........................................ 118,944
6,569 Rohm & Haas Co. ............................................ 281,646
3,102 Sigma-Aldrich Corp. ........................................ 106,825
4,083 Union Carbide Corp. ........................................ 199,046
14,859 United Technologies Corp. .................................. 1,065,205
2,667 USX-U.S. Steel Group........................................ 72,009
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 4.2% (CONTINUED)
18,775 Waste Management, Inc. ..................................... $ 1,009,156
3,058 Westvaco Corp. ............................................. 88,682
6,185 Weyerhaeuser Co. ........................................... 425,219
3,442 Willamette Industries, Inc. ................................ 158,547
2,891 Worthington Industries, Inc. ............................... 47,521
2,215 W.R. Grace & Co. (a)........................................ 40,701
- -------------------------------------------------------------------------------------------------------
15,414,145
- -------------------------------------------------------------------------------------------------------
CAPITAL GOODS -- 5.9%
1,234 Armstrong World Industries, Inc. ........................... 71,341
30,003 Boeing Co. ................................................. 1,325,758
716 Briggs & Stratton Corp. .................................... 41,349
4,836 Browning Ferris Industries, Inc. ........................... 207,948
10,977 Caterpillar, Inc. .......................................... 658,620
1,816 Centex Corp. ............................................... 68,214
2,908 Cooper Industries, Inc. .................................... 151,216
2,048 Crane Co. .................................................. 64,384
1,324 Cummins Engine, Inc. ....................................... 75,634
5,115 Dana Corp. ................................................. 235,610
4,174 Danaher Corp................................................ 242,614
7,107 Deere & Co. ................................................ 281,615
17,422 Delphi Automotive Systems Corp. ............................ 323,396
6,613 Dover Corp. ................................................ 231,455
2,206 Eaton Corp. ................................................ 202,952
13,402 Emerson Electric Co. ....................................... 842,651
2,309 Fluor Corp. ................................................ 93,515
1,224 Foster Wheeler Corp. ....................................... 17,289
3,934 General Dynamics Corp. ..................................... 269,479
100,884 General Electric Co. (b).................................... 11,210,735
2,284 Goodrich.................................................... 97,070
7,714 Illinois Tool Works, Inc. .................................. 632,548
5,131 Ingersoll Rand Co. ......................................... 331,591
2,615 Johnson Controls, Inc. ..................................... 181,252
1,419 Kaufman & Broad Home Corp. ................................. 35,298
12,175 Lockheed Martin Corp. ...................................... 453,519
1,128 Milacron, Inc. ............................................. 20,868
2,021 Navistar International Corp. (a)............................ 101,050
2,138 Northrop Grumman Corp. ..................................... 141,776
1,646 Owens-Corning Fiberglass Corp. ............................. 56,581
4,822 Owens-Illinois.............................................. 157,619
2,389 Paccar, Inc. ............................................... 127,513
3,343 Parker Hannifin Corp. ...................................... 152,942
2,243 Progressive Corp. .......................................... 325,235
2,429 Raychem Corp. .............................................. 89,873
10,362 Raytheon Corp., Class B Shares.............................. 729,226
5,872 Rockwell International Corp. ............................... 356,724
2,730 Stanley Works............................................... 87,872
4,657 Textron, Inc. .............................................. 383,329
4,914 Thermo Electron Corp. (a)................................... 98,587
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 5.9% (CONTINUED)
1,778 Thomas & Betts Corp. ....................................... $ 84,011
1,963 Timken Co. ................................................. 38,279
3,705 TRW, Inc. .................................................. 203,312
- -------------------------------------------------------------------------------------------------------
21,501,850
- -------------------------------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.6%
2,695 Black & Decker Corp. ....................................... 170,122
2,311 Case Corp. ................................................. 111,217
2,391 Cooper Tire & Rubber Co. ................................... 56,487
7,542 Corning, Inc. .............................................. 528,883
1,070 Fleetwood Enterprises, Inc. ................................ 28,288
37,312 Ford Motor Co. ............................................. 2,105,796
20,005 General Motors Corp. ....................................... 1,320,330
5,492 Genuine Parts Co. .......................................... 192,220
4,795 Goodyear Tire & Rubber Co. ................................. 282,006
10,360 Masco Corp. ................................................ 299,145
2,737 Maytag Corp. ............................................... 190,735
8,659 Newell Rubbermaid Co. ...................................... 402,644
1,368 Pulte Corp. ................................................ 31,550
2,052 Snap-On, Inc. .............................................. 74,257
2,344 Whirlpool Corp. ............................................ 173,456
- -------------------------------------------------------------------------------------------------------
5,967,136
- -------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 8.4%
14,665 Anheuser-Busch Cos., Inc. .................................. 1,040,298
18,151 Archer-Daniels-Midland Co. ................................. 280,206
4,644 Autozone, Inc. (a).......................................... 139,901
8,087 Avon Products, Inc. ........................................ 448,829
945 Ball Corp. ................................................. 39,926
2,115 Brown-Forman Corp., Class B Shares.......................... 137,872
13,456 Campell Soup Co. ........................................... 624,022
3,630 Clorox Co. ................................................. 387,729
76,087 Coca Cola Co. (b)........................................... 4,755,438
13,075 Coca Cola Enterprises, Inc. ................................ 388,981
9,004 Colgate Palmolive Co. ...................................... 889,145
15,111 Conagra, Inc. .............................................. 402,330
1,128 Coors Adolph Co., Class B Shares............................ 55,836
3,735 Crown Cork & Seal, Inc. .................................... 106,448
2,402 Eastman Chemical Co. ....................................... 124,304
9,931 Eastman Kodak Co. .......................................... 672,825
9,145 FDX Corp. .................................................. 496,116
6,805 Fort James Corp. ........................................... 257,739
5,116 Fortune Brands, Inc. ....................................... 211,675
2,106 Fruit of the Loom, Inc. (a)................................. 20,534
4,710 General Mills, Inc. ........................................ 378,566
34,191 Gillette Co. ............................................... 1,401,831
6,048 Hasbro, Inc. ............................................... 168,966
4,296 Hershey Foods Corp. ........................................ 255,075
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 8.4% (CONTINUED)
11,120 H.J. Heinz Co. ............................................. $ 557,390
3,289 International Flavors & Fragrances, Inc. ................... 145,949
12,505 Kellogg Co. ................................................ 412,665
1,952 Liz Claiborne, Inc. ........................................ 71,248
12,863 Mattel, Inc. ............................................... 340,066
41,904 McDonald's Corp. ........................................... 1,731,159
10,044 Nabisco Group Holdings Corp. ............................... 196,486
8,660 Nike Inc., Class B Shares................................... 548,286
11,476 Office Depot Inc. .......................................... 253,189
45,513 PepsiCo, Inc. .............................................. 1,760,784
74,395 Philip Morris Cos., Inc. (b)................................ 2,989,749
7,424 Pioneer Hi-Bred International, Inc. ........................ 289,072
1,358 Polaroid Corp. ............................................. 37,515
40,958 Procter & Gamble Co. ....................................... 3,655,502
4,181 Quaker Oats Co. ............................................ 277,514
9,988 Ralston Purina Group........................................ 304,010
1,691 Reebok International Ltd. (a)............................... 31,495
1,128 Russell Corp. .............................................. 21,966
27,833 Sara Lee Corp. ............................................. 631,461
13,171 Seagram Ltd. ............................................... 663,489
5,237 The Sherwin Williams Co. ................................... 145,327
4,758 Tricon Global Restaurants, Inc. (a)......................... 257,527
1,707 Tupperware Corp. ........................................... 43,528
17,606 Unilever NV................................................. 1,228,018
5,421 UST, Inc. .................................................. 158,564
3,685 VF Corp. ................................................... 157,534
3,586 William Wrigley Jr. Co. .................................... 322,740
- -------------------------------------------------------------------------------------------------------
30,916,825
- -------------------------------------------------------------------------------------------------------
CONSUMER SERVICES -- 11.8%
45 Abercrombie & Fitch Co., Class A Shares..................... 2,160
1,791 Alberto Culver Co., Class B Shares.......................... 47,685
12,994 Albertsons, Inc. ........................................... 669,996
2,034 American Greetings Corp., Class A Shares.................... 61,274
8,618 Bestfoods................................................... 426,591
2,847 Brunswick Corp. ............................................ 79,360
18,894 Carnival Corp. ............................................. 916,359
21,939 CBS Corp. .................................................. 952,975
23,633 Cendant Corp. (a)........................................... 484,476
3,429 CenturyTel Inc. ............................................ 136,303
3,106 Circuit City Stores, Inc. .................................. 288,858
10,240 Clear Channel Communications................................ 705,920
22,876 Comcast Corp., Class A...................................... 879,296
3,334 Consolidated Stores......................................... 90,018
6,776 Costco Companies, Inc. (a).................................. 542,503
12,063 CVS Corp. .................................................. 612,197
4,187 Darden Restaurants, Inc. ................................... 91,329
13,648 Dayton Hudson Corp. ........................................ 887,120
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 11.8% (CONTINUED)
2,433 Deluxe Corp. ............................................... $ 94,735
3,334 Dillard Department Stores, Inc., Class A Shares............. 117,107
6,815 Dollar General Corp. ....................................... 197,635
2,788 Dow Jones & Co. Inc. ....................................... 147,938
5,081 Dun & Bradstreet Corp. ..................................... 180,058
3,991 Ecolab, Inc. ............................................... 174,107
33,962 Eli Lilly & Co. ............................................ 2,432,528
4,493 Equifax, Inc. .............................................. 160,344
6,445 Federated Department Stores, Inc. (a)....................... 341,182
8,601 Gannett, Inc. .............................................. 613,896
26,491 Gap, Inc. .................................................. 1,334,509
1,131 Great Atlantic & Pacific Tea Co., Inc. ..................... 38,242
2,223 Harcourt General, Inc. ..................................... 114,623
3,940 Harrah's Entertainment, Inc. (a)............................ 86,680
8,039 Hilton Hotels Corp. ........................................ 114,053
45,711 Home Depot, Inc. ........................................... 2,945,503
4,329 Interpublic Group Co., Inc. ................................ 375,000
8,097 J.C. Penney Co. ............................................ 393,211
1,102 Jostens, Inc. .............................................. 23,211
2,134 King World Productions, Inc. ............................... 74,290
15,335 Kmart Corp. (a)............................................. 252,069
2,416 Knight Ridder, Inc. ........................................ 132,729
5,035 Kohls Corp. ................................................ 388,639
25,432 Kroger Co. (a).............................................. 710,507
10,311 Laidlaw, Inc., Class B Shares............................... 76,044
6,530 Limited, Inc. .............................................. 296,299
3,355 Loews Co, Inc. ............................................. 265,464
1,219 Longs Drug Stores Corp. .................................... 42,132
7,648 Marriott International, Inc. ............................... 285,844
10,278 May Department Stores Co. .................................. 420,113
6,101 McGraw Hill Cos., Inc. ..................................... 329,073
18,660 MediaOne Group, Inc. (a).................................... 1,387,838
1,575 Meredith Corp. ............................................. 54,534
6,097 Mirage Resorts, Inc. (a).................................... 102,125
1,281 National Service Industries, Inc. .......................... 46,116
5,434 New York Times Co., Class A Shares.......................... 200,039
4,429 Nordstrom, Inc. ............................................ 148,372
5,500 Omnicom Group, Inc. ........................................ 440,000
7,575 Paycheck Inc. .............................................. 241,453
1,544 Pep Boys - Manny, Moe and Jack.............................. 33,389
8,022 Rite Aid Corp. ............................................. 197,542
4,061 R.R. Donnelley & Sons Co. .................................. 150,511
15,343 Safeway, Inc. (a)........................................... 759,479
2,565 Sealed Air Corp. (a)........................................ 166,404
11,734 Sears, Roebuck & Co. ....................................... 522,896
8,358 Service Corp. International................................. 160,892
580 Spring Industries, Inc. .................................... 25,303
14,304 Staples, Inc. (a)........................................... 442,530
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 11.8% (CONTINUED)
3,703 Super Valu, Inc. ........................................... $ 95,121
10,225 Sysco Corp. ................................................ 304,833
5,936 Tandy Corp. ................................................ 290,122
1,741 Temple Inland Inc. ......................................... 118,823
36,765 Time Warner, Inc. .......................................... 2,702,228
2,223 Times Mirror Co., Class A Shares............................ 131,713
9,883 TJX Cos., Inc. ............................................. 329,227
7,643 Toys 'R' Us, Inc. (a)....................................... 158,115
3,667 Tribune Co. ................................................ 319,487
2,313 US Airways Group, Inc. (a).................................. 100,760
21,290 Viacom, Inc., Non Voting Shares (a)......................... 936,760
8,891 Vodafone AirTouch PLC-ADR................................... 1,751,527
2,860 W.W. Grainger, Inc. ........................................ 153,904
137,245 Wal-Mart Stores, Inc. ...................................... 6,622,071
30,847 Walgreen Co. ............................................... 906,131
63,455 Walt Disney Co. ............................................ 1,955,207
3,802 Wendy's International, Inc. ................................ 107,644
4,538 Winn Dixie Stores, Inc. .................................... 167,622
- -------------------------------------------------------------------------------------------------------
43,262,903
- -------------------------------------------------------------------------------------------------------
ENERGY -- 6.6%
5,863 AES Corp. (a)............................................... 340,787
2,763 Amerada Hess Corp. ......................................... 164,399
3,711 Anadorka Petroleum Corp. ................................... 136,611
3,479 Apache Corp. ............................................... 135,681
2,283 Ashland, Inc. .............................................. 91,605
9,936 Atlantic Richfield Co. ..................................... 830,277
10,125 Baker Hughes, Inc. ......................................... 339,188
5,474 Burlington Resources, Inc. ................................. 236,751
20,199 Chevron Corp. .............................................. 1,922,692
4,859 Cinergy Corp. .............................................. 155,488
6,595 Coastal Corp. .............................................. 263,800
4,557 Constellation Energy Group.................................. 135,001
698 Eastern Enterprises......................................... 27,746
10,765 Edison International........................................ 287,964
10,912 Enron Corp. ................................................ 892,056
74,879 Exxon Corp. (b)............................................. 5,775,043
7,260 First Energy Corp. ......................................... 225,060
13,626 Halliburton Co. ............................................ 616,577
1,595 Helmerich & Payne, Inc. .................................... 37,981
2,654 Kerr McGee Corp. ........................................... 133,198
4,421 LSI Logic Corp. (a)......................................... 203,919
1,794 McDermott International, Inc. .............................. 50,681
24,123 Mobil Corp. ................................................ 2,388,177
3,511 New Century Energies Inc. .................................. 136,271
10,701 Occidental Petroleum Corp. ................................. 226,059
7,761 Phillips Petroleum Co. ..................................... 390,475
2,569 Rowan Cos., Inc. (a)........................................ 47,366
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 6.6% (CONTINUED)
66,133 Royal Dutch Petroleum Co. (b)............................... $ 3,984,513
16,844 Schlumberger Ltd. .......................................... 1,072,752
7,409 Sempra Energy............................................... 167,629
3,429 Sonat Inc. ................................................. 113,586
2,784 Sunoco Inc. ................................................ 84,042
5,198 Tenneco, Inc. .............................................. 124,102
16,551 Texaco, Inc. ............................................... 1,034,438
7,713 Union Pacific Resources Group, Inc. ........................ 125,818
7,440 Unocal Corp. ............................................... 294,810
9,507 USX-Marathon Group.......................................... 309,572
13,337 Williams Cos., Inc. ........................................ 567,656
- -------------------------------------------------------------------------------------------------------
24,069,771
- -------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 15.9%
4,349 Aetna Inc. ................................................. 388,964
8,242 AFLAC Inc. ................................................. 394,586
24,839 Allstate Corp. ............................................. 891,099
13,888 American Express Co. ....................................... 1,807,176
7,748 American General Corp. ..................................... 584,006
38,192 American International Group, Inc. ......................... 4,470,851
5,378 Amsouth Bancorp. ........................................... 124,702
22,475 Associates First Capital Corp. ............................. 995,923
9,136 Bank of Boston Corp. ....................................... 467,078
23,507 Bank of New York Co., Inc. ................................. 862,413
36,390 Bank One Corp. ............................................. 2,167,479
53,821 BankAmerica Corp. .......................................... 3,945,752
9,673 BB&T Co. ................................................... 354,878
3,556 Bear Stearns & Co. ......................................... 166,243
6,102 Capital One................................................. 339,805
12,592 Charles Schwab Corp. ....................................... 1,383,546
26,078 Chase Manhattan Corp. ...................................... 2,259,007
4,985 Chubb Corp. ................................................ 346,458
6,263 CIGNA Corp. ................................................ 557,407
5,085 Cincinnati Financial Corp. ................................. 191,005
104,183 Citigroup Inc. ............................................. 4,948,693
4,834 Comerica, Inc. ............................................. 287,321
10,010 Conseco, Inc. .............................................. 304,679
3,492 Countrywide Credit Industries, Inc. ........................ 149,283
31,603 Fannie Mae.................................................. 2,160,855
20,431 Firstar, Corp. ............................................. 572,068
8,296 Fifth Third BanCorp. ....................................... 552,203
13,355 First Data Corp. ........................................... 653,560
29,836 First Union Corp. .......................................... 1,402,292
17,575 Fleet Financial Group, Inc. ................................ 779,891
7,789 Franklin Resources Inc. .................................... 316,428
21,463 Freddie Mac................................................. 1,244,854
1,715 Golden West Financial Corp. of Delaware..................... 168,070
3,005 H&R Block, Inc. ............................................ 150,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 15.9% (CONTINUED)
7,016 Hartford Financial Services Group, Inc. .................... $ 409,121
14,782 Household International Inc. ............................... 700,297
6,455 Huntington Bancshares....................................... 225,925
3,266 Jefferson Pilot Corp. ...................................... 216,168
5,472 J.P. Morgan & Co., Inc. .................................... 768,816
13,827 KeyCorp. ................................................... 444,192
3,681 Lehman Brothers Holding, Inc. .............................. 229,142
6,153 Lincoln National Corp. ..................................... 321,879
11,423 Lowes Corp. ................................................ 647,541
8,097 Marsh & McLennan Cos., Inc. ................................ 611,324
3,068 MBIA, Inc. ................................................. 198,653
24,768 MBNA Corp. ................................................. 758,520
16,092 Mellon Bank Corp. .......................................... 585,347
4,861 Mercantile Bancorp Inc. .................................... 277,685
11,346 Merrill Lynch & Co., Inc. .................................. 906,971
3,352 MGIC Investment Corp. ...................................... 162,991
17,589 Morgan Stanley Dean Witter & Co. ........................... 1,802,873
9,709 National City Corp. ........................................ 635,940
3,428 Northern Trust.............................................. 332,516
4,495 Paine Webber Inc. .......................................... 210,141
9,390 PNC Bank Corp. ............................................. 541,099
4,201 Provident Cos. ............................................. 168,040
4,406 Providian Corp. ............................................ 411,961
6,866 Regions Financial Corp. .................................... 263,912
3,245 Republic of New York Corp. ................................. 221,268
4,180 Safeco Corp. ............................................... 184,443
5,040 SLM Holding Corp. .......................................... 230,895
5,166 Southtrust Corp. ........................................... 198,245
4,958 State Street Corp. ......................................... 423,289
6,976 St. Paul Cos., Inc. ........................................ 221,924
5,302 Summit Bancorp.............................................. 221,690
9,912 Suntrust Bank, Inc. ........................................ 688,265
8,378 Synovus Financial Corp. .................................... 166,513
4,135 Torchmark Corp. ............................................ 141,107
3,823 Transamerica Corp. ......................................... 286,725
25,318 Tyco International Ltd. .................................... 2,398,881
4,387 Union Planters Corp. ....................................... 196,044
4,311 Unum Corp. ................................................. 236,027
22,435 U.S. BanCorp. .............................................. 762,790
6,245 Wachovia Corp. ............................................. 534,338
50,933 Wells Fargo & Co. .......................................... 2,177,386
18,318 Washington Mutual, Inc. .................................... 647,999
- -------------------------------------------------------------------------------------------------------
58,157,708
- -------------------------------------------------------------------------------------------------------
HEALTHCARE -- 9.8%
46,869 Abbott Laboratories 2,132,540
2,063 Allergan, Inc. ............................................. 228,993
3,138 Alza Corp. (a).............................................. 159,646
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 9.8% (CONTINUED)
40,413 American Home Products Corp. ............................... $ 2,323,748
15,796 Amgen, Inc. (a)............................................. 961,582
7,919 Aon Corp. .................................................. 326,659
1,740 Bausch & Lomb, Inc. ........................................ 133,110
9,010 Baxter International, Inc. ................................. 546,231
7,669 Becton, Dickinson & Co. .................................... 230,070
3,475 Biomet, Inc. (a)............................................ 138,131
12,198 Boston Scientific Corp. (a)................................. 535,950
61,216 Bristol-Myers-Squibb Co. ................................... 4,311,902
8,390 Cardinal Health, Inc. ...................................... 538,009
17,584 Columbia/HCA Healthcare Corp. .............................. 401,135
9,343 Guidant Corp. .............................................. 480,581
3,416 HCR Manor Care.............................................. 82,625
12,869 Healthsouth Corp. .......................................... 192,231
5,057 Humana, Inc. (a)............................................ 65,425
9,769 IMS Health, Inc. ........................................... 305,281
41,464 Johnson & Johnson........................................... 4,063,472
2,192 Mallinckrodt Group, Inc. ................................... 79,734
8,497 McKesson HBOC, Inc. ........................................ 272,966
18,009 Medtronic, Inc. ............................................ 1,402,451
72,808 Merck & Co., Inc. .......................................... 5,387,792
1,402 Millipore Corp. ............................................ 56,869
3,788 Pall Corp. ................................................. 84,046
39,904 Pfizer, Inc. ............................................... 4,379,464
15,651 Pharmacia & Upjohn, Inc. ................................... 889,172
45,403 Schering-Plough Corp. ...................................... 2,406,359
2,586 St. Jude Medical, Inc. (a).................................. 92,126
9,584 Tenet Healthcare Corp. (a).................................. 177,903
5,351 United Healthcare Corp. .................................... 335,106
26,225 Warner Lambert Co. ......................................... 1,819,359
2,913 Watson Pharmaceutical, Inc. ................................ 102,137
2,070 Wellpoint Health Networks, Inc. ............................ 175,691
- -------------------------------------------------------------------------------------------------------
35,818,496
- -------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 20.6%
11,212 3Com Corp. (a).............................................. 299,220
1,880 Adobe Systems, Inc. ........................................ 154,454
4,446 Advanced Micro Devices, Inc. (a)............................ 80,306
8,691 Alltel Corp. ............................................... 621,407
33,500 America Online, Inc. ....................................... 3,701,750
2,602 Andrew Corp. (a)............................................ 49,275
4,900 Apple Computer, Inc. (a).................................... 226,931
1,790 Autodesk, Inc. ............................................. 52,917
19,053 Automatic Data Processing, Inc. ............................ 838,332
7,278 BMC Software................................................ 393,012
5,256 Cabletron Systems, Inc. (a)................................. 68,328
4,480 Ceridian Corp. (a).......................................... 146,440
98,483 Cisco Systems, Inc. (a)..................................... 6,352,154
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 20.6% (CONTINUED)
52,453 Compaq Computer Corp. (a)................................... $ 1,242,480
16,509 Computer Association International, Inc. ................... 907,995
4,878 Computer Sciences Corp. (a)................................. 337,497
11,336 Compuware Corp. ............................................ 360,627
1,589 C.R. Bard, Inc. ............................................ 75,974
1,667 Data General Corp. (a)...................................... 24,276
78,171 Dell Computer Corp. (a)..................................... 2,892,327
1,368 EG&G, Inc. ................................................. 48,735
15,182 Electronic Data Systems Corp. .............................. 858,732
31,192 EMC Corp. (a)............................................... 1,715,560
4,318 Gateway 2000, Inc. (a)...................................... 254,762
5,285 General Instrument Corp. (a)................................ 224,613
2,485 Harris Corp. ............................................... 97,381
31,317 Hewlett Packard Co. ........................................ 3,147,359
3,900 Honeywell, Inc. ............................................ 451,913
55,974 IBM Corp. .................................................. 7,234,640
102,294 Intel Corp. ................................................ 6,086,493
2,702 KLA-Tencor Corp. ........................................... 175,292
93,765 Lucent Technologies......................................... 6,323,274
7,718 Micron Technology, Inc. (a)................................. 311,132
157,373 Microsoft Corp. (a)......................................... 14,193,077
12,430 Minnesota Mining & Manufacturing Co. ....................... 1,080,633
18,597 Motorola, Inc. ............................................. 1,762,066
5,228 National Semiconductor Corp. (a)............................ 132,334
2,247 Network Appliance, Inc. .................................... 125,551
9,119 Nextel Communications, Inc. ................................ 457,660
20,460 Nortel Networks Corp. ...................................... 1,776,184
10,403 Novell, Inc. (a)............................................ 275,680
44,394 Oracle Systems Corp. (a).................................... 1,648,127
8,278 Parametric Technology Corp. (a)............................. 114,857
1,573 PE Corp. - PE Biosystems Group.............................. 180,502
7,444 Peoplesoft, Inc. ........................................... 128,409
8,276 Pitney Bowes, Inc. ......................................... 531,733
5,351 PPG Industries.............................................. 316,043
2,311 Scientific Atlanta, Inc. ................................... 83,196
6,894 Seagate Technology, Inc. ................................... 176,659
831 Shared Medical Systems Corp. ............................... 54,223
5,724 Silicon Graphics, Inc. (a).................................. 93,731
7,803 Solectron Corp. ............................................ 520,363
23,847 Sun Microsystems, Inc. (a).................................. 1,642,462
1,479 Tektronix, Inc. ............................................ 44,647
12,087 Tellabs, Inc. (a)........................................... 816,628
12,082 Texas Instruments, Inc. .................................... 1,751,890
6,732 Unicom Corp. ............................................... 259,603
8,316 Unisys Corp. (a)............................................ 323,804
20,373 Xerox Corp. ................................................ 1,203,280
- -------------------------------------------------------------------------------------------------------
75,448,930
- -------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- 0.8%
4,755 AMR Corp. (a)............................................... $ 324,529
14,472 Burlington Northern Santa Fe................................ 448,632
6,668 CSX Corp. .................................................. 302,144
4,327 Delta Air Lines, Inc. ...................................... 249,343
3,420 Kansas City Southern Industries, Inc. ...................... 218,239
11,724 Norfolk Southern Corp. ..................................... 353,186
2,238 Ryder Systems, Inc. ........................................ 58,188
10,335 Southwest Airlines Co. ..................................... 321,677
7,646 Union Pacific Corp. ........................................ 445,857
- -------------------------------------------------------------------------------------------------------
2,721,795
- -------------------------------------------------------------------------------------------------------
UTILITIES -- 9.3%
4,214 Ameren Corp. ............................................... 161,712
5,918 American Electric Power, Inc. .............................. 222,295
33,866 Ameritech Corp. ............................................ 2,489,151
98,149 AT&T Corp. ................................................. 5,477,941
47,890 Bell Atlantic Corp. ........................................ 3,130,809
58,432 BellSouth Corp. ............................................ 2,739,000
4,669 Carolina Power & Light Co. ................................. 199,892
6,516 Central & South West Corp. ................................. 152,312
3,582 CMS Energy Corp. ........................................... 149,996
2,563 Columbia Energy Group....................................... 160,668
6,980 Consolidated Edison Co. of New York, Inc. .................. 315,845
2,927 Consolidated Natural Gas Co. ............................... 177,815
5,944 Dominion Resources Inc. .................................... 257,450
4,472 DTE Energy Co. ............................................. 178,880
11,247 Duke Energy Corp. .......................................... 611,556
7,651 Entergy Corp................................................ 239,094
2,995 Florida Progress Corp. ..................................... 123,731
5,559 FPL Group, Inc. ............................................ 303,660
5,351 Frontier Corp. ............................................. 315,709
3,905 GPU, Inc. .................................................. 164,742
29,966 GTE Corp. .................................................. 2,269,925
57,362 MCI WorldCom, Inc. ......................................... 4,947,473
5,739 Niagara Mohawk Power Corp. (a).............................. 92,183
1,420 Nicor, Inc. ................................................ 54,049
4,727 Northern States Power Co. of Minnesota...................... 114,334
962 Oneok, Inc. ................................................ 30,544
9,247 PacificCorp. ............................................... 169,914
5,893 Peco Energy Co. ............................................ 246,769
4,869 Pennsylvania Power & Light.................................. 149,722
1,128 Peoples Energy Corp. ....................................... 42,512
11,877 PG&E Corp. ................................................. 386,003
6,779 Public Service Enterprise Group............................. 277,092
9,128 Reliant Energy, Inc. ....................................... 252,161
60,532 SBC Communications, Inc. ................................... 3,510,856
21,484 Southern Co. ............................................... 569,326
26,674 Sprint Corp. ............................................... 1,408,721
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 9.3% (CONTINUED)
13,582 Sprint Corp. (PCS Group).................................... $ 775,872
8,642 Texas Utilities Co. ........................................ 356,483
15,531 U.S. West Inc. ............................................. 912,446
- -------------------------------------------------------------------------------------------------------
34,138,643
- -------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $286,307,569)................... 347,418,202
- -------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS -- 0.4%
$ 1,500,000 U.S. Treasury Bill due 9/16/99 (b) (Cost -- $1,485,563) 1,485,270
- -------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.7%
17,345,000 Morgan Stanley Dean Witter & Co., 4.800% due 7/1/99;
Proceeds at maturity -- $17,347,313; (Fully collateralized
by U.S. Treasury Notes and Bonds, 4,625% to 7.750% due
7/31/99 to 11/15/27; Market value -- $17,827,036)
(Cost -- $17,345,000)....................................... 17,345,000
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $305,138,132*)........... $366,248,472
- -------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Security segregated by Custodian for futures contract commitments.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 93.6%
- -----------------------------------------------------------------------------------------
AEROSPACE -- 1.8%
5,000 AlliedSignal Inc. .......................................... $ 315,000
4,000 United Technologies Corp. .................................. 286,750
- -----------------------------------------------------------------------------------------
601,750
- -----------------------------------------------------------------------------------------
AIRLINES -- 1.0%
11,000 Southwest Airlines Co. ..................................... 342,375
- -----------------------------------------------------------------------------------------
ALUMINUM -- 0.9%
5,000 Alcoa Inc. ................................................. 309,375
- -----------------------------------------------------------------------------------------
AUTOMOTIVE -- 0.7%
2,096 Delphi Automotive Systems Corp. ............................ 38,907
3,000 General Motors Corp. ....................................... 198,000
- -----------------------------------------------------------------------------------------
236,907
- -----------------------------------------------------------------------------------------
BANKS -- 2.8%
3,000 First Union Corp. .......................................... 141,000
6,000 Fleet Financial Group, Inc. ................................ 266,250
8,000 KeyCorp..................................................... 257,000
7,000 UnionBanCal Corp. .......................................... 252,875
- -----------------------------------------------------------------------------------------
917,125
- -----------------------------------------------------------------------------------------
CABLE TELEVISION -- 2.1%
6,000 Comcast Corp., Special Class A Shares (a) 230,625
8,000 TCA Cable TV, Inc. ......................................... 444,000
- -----------------------------------------------------------------------------------------
674,625
- -----------------------------------------------------------------------------------------
CHEMICALS -- 2.6%
7,000 Air Products & Chemicals, Inc. ............................. 281,750
2,000 Dow Chemical Co. ........................................... 253,750
7,000 Rohm and Haas Co. .......................................... 300,125
- -----------------------------------------------------------------------------------------
835,625
- -----------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.5%
3,000 W.W. Grainger, Inc. ........................................ 161,438
- -----------------------------------------------------------------------------------------
COMPUTERS -- 2.4%
6,000 IBM Corp. .................................................. 775,500
- -----------------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.6%
7,000 Leggett & Platt, Inc. ...................................... 194,688
- -----------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.8%
4,000 Anheuser - Busch Cos., Inc. ................................ 283,750
4,000 Coca-Cola Co. .............................................. 250,000
1,000 Gillette Co. ............................................... 41,000
6,000 Kimberly Clark.............................................. 342,000
8,000 PepsiCo, Inc. .............................................. 309,500
4,000 Procter & Gamble Co. ....................................... 357,000
- -----------------------------------------------------------------------------------------
1,583,250
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
DRUGS -- 1.8%
3,000 Abbott Laboratories......................................... $ 136,500
1,000 American Home Products Corp. ............................... 57,500
5,000 Bristol-Myers Squibb Co. ................................... 352,188
1,000 Schering-Plough Corp. ...................................... 53,000
- -----------------------------------------------------------------------------------------
599,188
- -----------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 1.7%
4,000 DTE Energy Co. ............................................. 160,000
6,000 Edison International........................................ 160,500
6,000 PECO Energy Co. ............................................ 251,250
- -----------------------------------------------------------------------------------------
571,750
- -----------------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 8.5%
10,000 Electronic Data Systems Corp. .............................. 565,625
7,000 Hewlett Packard Co. ........................................ 703,500
14,000 Intel Corp. ................................................ 833,000
6,000 Motorola, Inc. ............................................. 568,500
2,000 Xerox Corp. ................................................ 118,125
- -----------------------------------------------------------------------------------------
2,788,750
- -----------------------------------------------------------------------------------------
ENERGY -- 4.5%
8,000 Coastal Corp. .............................................. 320,000
4,000 Exxon Corp. ................................................ 308,500
6,000 Mobil Corp. ................................................ 594,000
5,000 Phillips Petroleum Co. ..................................... 251,563
- -----------------------------------------------------------------------------------------
1,474,063
- -----------------------------------------------------------------------------------------
ENTERTAINMENT -- 0.4%
4,000 The Walt Disney Co. ........................................ 123,250
- -----------------------------------------------------------------------------------------
FINANCE -- 10.0%
7,000 A.G. Edwards, Inc. ......................................... 225,750
7,000 BankAmerica Corp. .......................................... 513,188
5,000 Bear Stearns Cos. Inc. ..................................... 233,750
5,000 Chase Manhattan Corp. ...................................... 433,125
8,000 Conseco, Inc. .............................................. 243,500
2,000 Fannie Mae.................................................. 136,750
500 Goldman Sach Group, Inc. ................................... 36,125
8,000 Greenpoint Financial Corp. ................................. 262,500
2,000 J.P. Morgan & Co., Inc. .................................... 281,000
7,000 Mercury General Corp. ...................................... 238,000
4,000 Morgan Stanley Dean Witter & Co. ........................... 410,000
7,000 Washington Mutual, Inc. .................................... 247,625
- -----------------------------------------------------------------------------------------
3,261,313
- -----------------------------------------------------------------------------------------
FOOD WHOLESALERS -- 0.5%
6,000 SUPERVALU Inc. ............................................. 154,125
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
HEALTH -- 6.9%
5,000 Eli Lilly & Co. ............................................ $ 358,124
6,000 Johnson & Johnson........................................... 588,000
3,000 McKesson HBOC, Inc. ........................................ 96,375
8,000 Merck & Co., Inc. .......................................... 592,000
11,000 Mylan Laboratories Inc. .................................... 291,500
3,000 Pfizer Inc. ................................................ 329,250
- -----------------------------------------------------------------------------------------
2,255,249
- -----------------------------------------------------------------------------------------
INDUSTRIAL SERVICES -- 0.9%
7,000 Fluor Corp. ................................................ 283,500
- -----------------------------------------------------------------------------------------
INSURANCE -- 4.0%
3,000 American International Group, Inc. ......................... 351,187
3,000 CIGNA Corp. ................................................ 267,000
4,000 Equitable Companies Inc. ................................... 268,000
4,000 Hartford Financial Services Group, Inc. .................... 233,250
5,000 Provident Cos., Inc. ....................................... 200,000
- -----------------------------------------------------------------------------------------
1,319,437
- -----------------------------------------------------------------------------------------
MACHINERY -- 1.9%
5,000 Caterpillar Inc. ........................................... 300,000
5,000 Ingersoll - Rand Co. ....................................... 323,124
- -----------------------------------------------------------------------------------------
623,124
- -----------------------------------------------------------------------------------------
MANUFACTURING -- 1.0%
3,000 Johnson Controls, Inc. ..................................... 207,938
3,000 VF Corp. ................................................... 128,250
- -----------------------------------------------------------------------------------------
336,188
- -----------------------------------------------------------------------------------------
MEDICAL EQUIPMENT -- 0.5%
2,000 Medtronic, Inc. ............................................ 155,750
- -----------------------------------------------------------------------------------------
OIL AND GAS -- 0.7%
8,000 Conoco Inc., Class A Shares................................. 223,000
- -----------------------------------------------------------------------------------------
PRODUCER MANUFACTURER -- 4.3%
7,000 Ford Motor Co. ............................................. 395,063
9,000 General Electric Co. ....................................... 1,000,125
- -----------------------------------------------------------------------------------------
1,395,188
- -----------------------------------------------------------------------------------------
PUBLISHING -- 1.7%
3,000 Knight-Ridder, Inc. ........................................ 164,813
5,000 New York Times Co., Class A Shares.......................... 184,063
5,000 Reader's Digest Association, Inc. .......................... 198,750
- -----------------------------------------------------------------------------------------
547,626
- -----------------------------------------------------------------------------------------
REAL ESTATE -- 0.8%
10,000 Arden Realty Group, Inc. ................................... 246,250
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
RESTAURANT AND LODGING -- 0.9%
3,000 McDonald's Corp. ........................................... $ 123,938
6,000 Starwood Hotels & Resorts Trust............................. 183,375
- -----------------------------------------------------------------------------------------
307,313
- -----------------------------------------------------------------------------------------
RETAIL -- 5.7%
4,410 Albertsons, Inc. ........................................... 227,391
4,500 Gap, Inc. .................................................. 226,688
4,000 Home Depot, Inc. ........................................... 257,750
6,000 Limited, Inc. .............................................. 272,250
6,000 May Department Stores Co. .................................. 245,250
7,000 TJX Cos. Inc. .............................................. 233,187
8,000 Wal-Mart Stores, Inc. ...................................... 386,000
- -----------------------------------------------------------------------------------------
1,848,516
- -----------------------------------------------------------------------------------------
TECHNOLOGY SERVICES -- 1.9%
14,000 Automatic Data Processing, Inc. ............................ 616,000
- -----------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.6%
20,000 LM Ericsson Telephone Co., ADR.............................. 658,750
8,000 Lucent Technologies Inc. ................................... 539,500
2,000 SBC Communications Inc. .................................... 116,000
3,000 US WEST, Inc. .............................................. 176,250
- -----------------------------------------------------------------------------------------
1,490,500
- -----------------------------------------------------------------------------------------
TOBACCO -- 0.5%
4,000 Philip Morris Cos. Inc. .................................... 160,750
- -----------------------------------------------------------------------------------------
TRANSPORTATION -- 0.9%
17,000 Knightsbridge Tankers Ltd. ................................. 297,500
- -----------------------------------------------------------------------------------------
UTILITIES -- 8.8%
12,000 Ameritech Corp. ............................................ 882,000
9,000 AT&T Corp. ................................................. 502,311
1,000 Bell Atlantic Corp. ........................................ 65,375
7,000 BellSouth Corp. ............................................ 328,124
4,000 Duke Energy Corp. .......................................... 217,500
5,000 GTE Corp. .................................................. 378,750
6,000 MCI WorldCom, Inc. (a) 517,500
- -----------------------------------------------------------------------------------------
2,891,560
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $21,290,615).................... 30,602,548
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCK -- 1.7%
ENERGY -- 1.7%
10,044 Unocal Corp., Convertible 6.250% (b) (Cost -- $485,250)..... $ 562,464
- -----------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE DEBENTURES -- 4.7%
FINANCIAL SERVICES -- 3.1%
$500,000 General Motors Acceptance Corp., 7.000% due 9/15/02......... 506,875
500,000 Morgan Stanley Dean Witter & Co., 6.875% due 3/1/03......... 503,750
- -----------------------------------------------------------------------------------------
1,010,625
- -----------------------------------------------------------------------------------------
RETAIL TRADE -- 1.6%
500,000 Limited Inc., 7.800% due 5/15/02............................ 511,250
- -----------------------------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES (Cost -- $1,559,315)............. 1,521,875
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $23,335,180*)............ $32,686,887
- -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(a) Non-income producing security.
(b) Security is exempt from registration under rule 144A of
Securities Act of 1933. This security may be resold in
transactions that are exempt from registration, generally to
qualified institutional buyers.
* Aggregate cost for Federal income tax purposes is
substantially the same.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 93.4%
- ---------------------------------------------------------------------------------------
AEROSPACE -- 0.3%
1,000 Gulfstream Aerospace Corp. (a).............................. $ 67,563
- ---------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 9.1%
1,500 Adobe Systems Inc. ......................................... 123,234
800 Applied Micro Circuits Corp. (a)............................ 65,800
700 BroadVision Inc. (a)........................................ 51,625
1,900 Citrix Systems, Inc. (a).................................... 107,350
1,000 Clarify Inc. (a)............................................ 41,250
2,000 Compuware Corp. (a)......................................... 63,625
2,100 Concord EFS, Inc. (a)....................................... 88,856
2,200 Electronics for Imaging, Inc. (a)........................... 113,025
1,200 Exodus Communications, Inc. (a)............................. 143,924
800 Intuit Inc. (a)............................................. 72,100
2,100 Macromedia, Inc. (a)........................................ 74,025
1,800 Mercury Interactive Corp. (a)............................... 63,675
800 Microsoft Corp. (a)......................................... 72,150
2,800 MindSpring Enterprises, Inc. (a)............................ 124,075
3,300 Novell, Inc. (a)............................................ 87,450
3,500 Rational Software Corp. (a)................................. 115,281
1,000 RealNetworks, Inc. (a)...................................... 68,875
2,500 Siebel Systems, Inc. (a).................................... 165,938
2,000 Veritas Software Corp. (a).................................. 189,875
- ---------------------------------------------------------------------------------------
1,832,133
- ---------------------------------------------------------------------------------------
CONSUMER DISTRIBUTION -- 13.8%
2,200 American Eagle Outfitters, Inc. (a)......................... 100,100
1,600 Ann Taylor Stores Corp. (a)................................. 72,000
3,400 Bed Bath & Beyond Inc. (a).................................. 130,900
9,750 Best Buy Co., Inc. (a)...................................... 658,125
1,400 BJ's Wholesale Club, Inc. (a)............................... 42,087
4,200 Circuit City Stores - Circuit City Group................... 390,600
2,000 Consolidated Stores Corp. (a)............................... 54,000
4,600 Family Dollar Stores, Inc. ................................. 110,400
2,900 Home Depot, Inc. ........................................... 186,869
3,400 Lexmark International Group, Inc. (a)....................... 224,613
2,600 Lowe's Cos., Inc. .......................................... 147,388
800 Ross Stores, Inc. .......................................... 40,300
4,025 Staples, Inc. (a)........................................... 124,523
6,000 Tandy Corp. ................................................ 293,250
1,350 Tiffany & Co. .............................................. 130,275
2,400 TJX Cos., Inc. ............................................. 79,950
- ---------------------------------------------------------------------------------------
2,785,380
- ---------------------------------------------------------------------------------------
CONSUMER DURABLES -- 3.0%
4,500 Gemstar International Group Ltd. (a)........................ 293,624
1,900 Harley-Davidson, Inc. ...................................... 103,313
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER DURABLES -- 3.0% (CONTINUED)
3,500 Hasbro, Inc. ............................................... $ 97,781
1,600 Maytag Corp. ............................................... 111,500
- ---------------------------------------------------------------------------------------
606,218
- ---------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 3.0%
4,700 Abercrombie & Fitch Co. (a)................................. 225,600
3,045 Intimate Brands, Inc. ...................................... 144,257
2,700 Linens 'n Things, Inc. (a).................................. 118,125
600 NIKE, Inc., Class B Shares.................................. 37,988
1,100 Tommy Hilfiger Corp. (a).................................... 80,850
- ---------------------------------------------------------------------------------------
606,820
- ---------------------------------------------------------------------------------------
CONSUMER SERVICES -- 10.5%
600 Adelphia Communications Corp. (a)........................... 38,175
5,200 AT&T Corp. -- Liberty Media Group (a)....................... 191,100
800 Brinker International, Inc. (a)............................. 21,750
2,700 Cablevision Systems Corp. (a)............................... 189,000
2,300 CBS Corp. (a)............................................... 99,906
5,000 Clear Channel Communications, Inc. (a)...................... 344,688
3,000 Comcast Corp. (a)........................................... 115,313
1,600 Darden Restaurants, Inc. ................................... 34,900
500 Hispanic Broadcasting Corp. (a)............................. 37,938
800 Infospace.com, Inc. (a)..................................... 37,600
2,100 International Network Services (a).......................... 84,788
1,500 Mandalay Resort Group (a)................................... 31,688
1,400 Metris Cos., Inc. .......................................... 57,050
2,800 Omnicom Group Inc. ......................................... 224,000
3,500 Outback Steakhouse, Inc. (a)................................ 137,594
2,200 Outdoor Systems, Inc. (a)................................... 80,300
900 SFX Entertainment, Inc. (a)................................. 57,600
1,550 TMP Worldwide Inc. (a)...................................... 98,424
2,300 Univision Communications Inc. (a)........................... 151,800
2,050 Valassis Communications, Inc. (a)........................... 75,081
- ---------------------------------------------------------------------------------------
2,108,695
- ---------------------------------------------------------------------------------------
E.D.P. PERIPHERALS AND SERVICES -- 5.5%
1,500 Adaptec, Inc. (a)........................................... 52,969
300 Affiliated Computer Services, Inc. (a)...................... 15,187
3,800 America Online, Inc. (a).................................... 419,900
1,700 CNET, Inc. (a).............................................. 97,963
3,500 CSG Systems International, Inc. (a)......................... 91,656
1,650 Fiserv, Inc. (a)............................................ 51,666
800 QLogic Corp. (a)............................................ 105,600
600 Sapient Corp. (a)........................................... 33,975
1,400 SunGard Data Systems Inc. (a)............................... 48,300
2,200 VeriSign, Inc. (a).......................................... 189,750
- ---------------------------------------------------------------------------------------
1,106,966
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC COMPONENTS AND DISTRIBUTORS -- 6.6%
3,000 Broadcom Corp. (a).......................................... $ 433,688
3,700 EMC Corp. (a)............................................... 203,500
2,200 Flextronics International Inc. (a).......................... 122,100
1,100 Gentex Corp. (a)............................................ 30,800
1,800 Jabil Circuit, Inc. (a)..................................... 81,225
1,000 SDL, Inc. (a)............................................... 51,063
750 Solectron Corp. (a)......................................... 50,016
2,150 Uniphase Corp. (a).......................................... 356,900
- ---------------------------------------------------------------------------------------
1,329,292
- ---------------------------------------------------------------------------------------
ENERGY -- 0.9%
1,000 Amerada Hess Corp. ......................................... 59,500
2,400 Apache Corp. ............................................... 93,600
400 Vastar Resources, Inc. ..................................... 20,975
- ---------------------------------------------------------------------------------------
174,075
- ---------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.2%
3,500 Capital One Financial Corp. (a)............................. 194,906
5,100 Firstar Corp. .............................................. 142,800
1,300 First Tennessee National Corp. ............................. 49,805
800 The Hertz Corp., Class A Shares............................. 49,600
1,000 Knight/Trimark Group, Inc. (a).............................. 60,313
700 Marsh & McLennan Cos., Inc. ................................ 52,850
1,100 Northern Trust Corp. ....................................... 106,700
1,260 Old Kent Financial Corp. ................................... 52,763
1,400 Providian Financial Corp. .................................. 130,900
- ---------------------------------------------------------------------------------------
840,637
- ---------------------------------------------------------------------------------------
HEALTHCARE -- 8.4%
2,300 Allergan, Inc. ............................................. 255,300
500 Andrx Corp. (a)............................................. 38,563
2,000 Bausch & Lomb Inc. ......................................... 153,000
3,700 Biogen, Inc. (a)............................................ 237,956
1,000 Biomet, Inc. ............................................... 39,750
2,100 Boston Scientific Corp. (a)................................. 92,268
600 Cree Research, Inc. (a)..................................... 46,163
800 IDEC Pharmaceuticals Corp. (a).............................. 61,650
1,850 Immunex Corp. (a)........................................... 235,759
3,200 Medimmune, Inc. (a)......................................... 216,800
700 Minimed Inc. (a)............................................ 53,856
600 St. Jude Medical, Inc. ..................................... 21,375
300 TLC The Lazer Center Inc. (a)............................... 14,400
3,000 Visx, Inc. (a).............................................. 237,563
- ---------------------------------------------------------------------------------------
1,704,403
- ---------------------------------------------------------------------------------------
PRECISION INSTRUMENTS -- 3.0%
1,900 Applied Materials, Inc. (a)................................. 140,362
3,800 Network Appliance, Inc. (a)................................. 212,325
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
PRECISION INSTRUMENTS -- 3.0% (CONTINUED)
1,600 Teradyne, Inc. (a).......................................... $ 114,800
2,600 Waters Corp. (a)............................................ 138,125
- ---------------------------------------------------------------------------------------
605,612
- ---------------------------------------------------------------------------------------
PRODUCER MANUFACTURING -- 3.3%
1,300 ANTEC Corp. (a)............................................. 41,681
1,600 Danaher Corp................................................ 93,000
7,600 Metromedia Fiber Network, Inc. (a).......................... 273,124
2,700 Tyco International, Ltd. ................................... 255,825
- ---------------------------------------------------------------------------------------
663,630
- ---------------------------------------------------------------------------------------
RAW MATERIALS -- 0.6%
1,000 Ball Corp. ................................................. 42,250
400 Weyerhaeuser Co. ........................................... 27,500
1,100 Willamette Industries, Inc. ................................ 50,669
- ---------------------------------------------------------------------------------------
120,419
- ---------------------------------------------------------------------------------------
SEMICONDUCTORS -- 9.3%
5,000 Altera Corp. (a)............................................ 184,063
2,500 Analog Devices, Inc. (a).................................... 125,469
4,000 Conexant Systems, Inc. (a).................................. 232,250
6,100 LSI Logic Corp. (a)......................................... 281,363
1,800 Motorola, Inc. ............................................. 170,550
2,200 PMC-Sierra, Inc. (a)........................................ 129,663
2,000 RF Micro Devices, Inc. (a).................................. 149,250
2,000 STMicroelectronics N.V. .................................... 138,750
1,200 Taiwan Semiconductor Manufacturing Co. Ltd. (a)............. 40,800
1,300 Texas Instruments Inc. ..................................... 188,500
4,200 Xilinx, Inc. (a)............................................ 240,450
- ---------------------------------------------------------------------------------------
1,881,108
- ---------------------------------------------------------------------------------------
TELECOMMUNICATION EQUIPMENT -- 9.8%
2,822 Cisco Systems, Inc. (a)..................................... 182,018
3,250 Comverse Technology, Inc. (a)............................... 245,375
1,850 EchoStar Communications, Class A Shares (a)................. 283,858
1,700 General Instrument Corp. (a)................................ 72,250
800 McLeodUSA Inc., Class A Shares (a).......................... 44,000
3,500 Nokia Corp., Sponsored ADR.................................. 320,469
2,000 Nortel Networks Corp. (a)................................... 173,625
3,200 QUALCOMM Inc. (a)........................................... 459,200
3,000 Vitesse Semiconductor Corp. (a)............................. 202,313
- ---------------------------------------------------------------------------------------
1,983,108
- ---------------------------------------------------------------------------------------
TRANSPORTATION -- 0.5%
3,000 Southwest Airlines Co. ..................................... 93,375
- ---------------------------------------------------------------------------------------
UTILITIES-TELEPHONE -- 1.6%
1,250 CenturyTel, Inc. ........................................... 49,686
1,000 Global TeleSystems Group, Inc. (a).......................... 81,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES-TELEPHONE -- 1.6% (CONTINUED)
2,300 Level 3 Communications, Inc. (a)............................ $ 138,144
1,000 Nextel Communications, Inc. (a)............................. 50,188
- ---------------------------------------------------------------------------------------
319,018
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $13,162,315).................. 18,828,452
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS(B) -- 6.6%
$150,000 U. S. Treasury Bill, 4.420% due 9/2/99...................... 148,818
300,000 U. S. Treasury Bill, 4.430% due 9/2/99...................... 297,636
150,000 U. S. Treasury Bill, 4.440% due 9/2/99...................... 148,818
750,000 U. S. Treasury Bill, 4.580% due 9/23/99..................... 742,020
- ---------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost -- $1,337,334)...... 1,337,292
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $14,499,649*).......... $20,165,744
- ---------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Rate represents annualized yield to maturity.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 100.0%
- -------------------------------------------------------------------------------------------------
AUSTRALIA -- 1.8%
90,534 Coca-Cola Amatil Ltd. ...................................... $ 364,881
- -------------------------------------------------------------------------------------------------
CANADA -- 0.9%
4,000 The Toronto-Dominion Bank................................... 180,394
- -------------------------------------------------------------------------------------------------
FINLAND -- 4.9%
10,500 Nokia Oyj................................................... 961,406
- -------------------------------------------------------------------------------------------------
FRANCE -- 4.9%
4,000 Axa......................................................... 488,011
4,000 Sidel S.A. (a).............................................. 486,361
- -------------------------------------------------------------------------------------------------
974,372
- -------------------------------------------------------------------------------------------------
GERMANY -- 0.5%
5,900 Stinnes AG.................................................. 92,122
- -------------------------------------------------------------------------------------------------
GREECE -- 0.4%
3,500 Hellenic Telecommunications Organization S.A. .............. 75,019
- -------------------------------------------------------------------------------------------------
HONG KONG -- 7.4%
383,340 Hong Kong & China Gas Co. Ltd. ............................. 555,823
Hong Kong & China Gas Co. Ltd. Warrants, Expire 9/30/99
15,840 (b)......................................................... 2,572
100,000 Hutchinson Whampoa Ltd. .................................... 905,412
- -------------------------------------------------------------------------------------------------
1,463,807
- -------------------------------------------------------------------------------------------------
IRELAND -- 8.6%
51,092 Bank of Ireland............................................. 858,871
108,000 Independent Newspapers PLC.................................. 517,918
25,638 Irish Continental Group PLC................................. 332,489
- -------------------------------------------------------------------------------------------------
1,709,278
- -------------------------------------------------------------------------------------------------
ITALY -- 5.7%
20,000 Alleanza Assicurazioni S.p.A. (a)........................... 229,773
150,000 Telecom Italia Mobile S.p.A. (a)............................ 896,303
- -------------------------------------------------------------------------------------------------
1,126,076
- -------------------------------------------------------------------------------------------------
JAPAN -- 16.0%
17,000 Hosiden Corp. .............................................. 366,575
3,000 Matsushita Communication Industrial Co., Ltd. .............. 214,392
11,000 Murata Manufacturing Co., Ltd. ............................. 723,397
1,400 Shohkoh Fund & Co., Ltd. ................................... 1,003,965
800 Softbank Corp. ............................................. 161,996
3,500 Sony Corp. ................................................. 377,355
14,000 Terumo Corp. ............................................... 311,715
- -------------------------------------------------------------------------------------------------
3,159,395
- -------------------------------------------------------------------------------------------------
MEXICO -- 1.5%
160,800 Cifra S.A. de CV (b)........................................ 289,331
- -------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 1999
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------
<C> <S> <C>
NETHERLANDS -- 5.7%
10,346 IHC Caland NV............................................... $ 405,454
50,000 ING Groep NV Warrants, Expire 3/15/01 (b)................... 728,097
- -------------------------------------------------------------------------------------------------
1,133,551
- -------------------------------------------------------------------------------------------------
NORWAY -- 4.4%
23,000 Tomra Systems ASA........................................... 864,782
- -------------------------------------------------------------------------------------------------
SINGAPORE -- 5.2%
22,000 Singapore Press Holdings Ltd. .............................. 374,743
85,000 Venture Manufacturing Ltd. ................................. 654,038
- -------------------------------------------------------------------------------------------------
1,028,781
- -------------------------------------------------------------------------------------------------
SPAIN -- 0.7%
12,000 Indra Sistemas S.A. ........................................ 129,325
- -------------------------------------------------------------------------------------------------
SWEDEN -- 5.3%
70,000 Securitas AB, Class B Shares................................ 1,045,637
700 Telelarm Care AB (b)........................................ 8,109
- -------------------------------------------------------------------------------------------------
1,053,746
- -------------------------------------------------------------------------------------------------
SWITZERLAND -- 3.1%
25,000 Mettler-Toledo International Inc. (b)....................... 620,313
- -------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 23.0%
28,300 Boxmore International PLC................................... 57,323
55,000 Capita Group PLC............................................ 569,159
45,000 Colt Telecom Group PLC (b).................................. 944,829
10,000 Guardian IT PLC............................................. 89,061
100,000 Hays PLC.................................................... 1,043,505
68,000 Misys PLC................................................... 581,495
30,000 Serco Group PLC............................................. 676,229
131,000 TeleWest Communications PLC (b)............................. 584,380
- -------------------------------------------------------------------------------------------------
4,545,981
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $11,820,625*)............ $19,772,560
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 15).
(b) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"C" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
<TABLE>
<S> <C> <C>
AAA -- Bonds rated "AAA" have the highest rating assigned by
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differ from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are somewhat more susceptible
to the adverse effects of changes in circumstances and
economic conditions than bonds in higher rated categories.
BBB -- Bonds rated "BBB" are regarded as having an adequate
capacity to pay interest and repay principal. Whereas they
normally exhibit adequate protection parameters, adverse
economic conditions or changing circumstances are more
likely to lead to a weakened capacity to pay interest and
repay principal for bonds in this category than for bonds in
higher rated categories.
BB, B, CCC, -- Bonds rated "BB", "B", "CCC", "CC" and "C" are regarded, on
CC and C balance, as predominantly speculative with respect to the
issuer's capacity to pay interest and repay principal in
accordance with the terms of the obligation. "BB" indicates
the lowest degree of speculation and "C" the highest degree
of speculation. While such bonds will likely have some
quality and protective characteristics, these are outweighed
by large uncertainties or major risk exposures to adverse
conditions.
</TABLE>
Moody's Investors Service, Inc. ("Moody's") -- Numerical modifiers 1, 2 and 3
may be applied to each generic rating from "Aa" to "Ca," where 1 is the highest
and 3 the lowest ranking within its generic category.
<TABLE>
<S> <C> <C>
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are
generally referred to as "gilt edge." Interest payments are
protected by a large or by an exceptionally stable margin
and principal is secure. While the various protective
elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are
considered adequate but elements may be present which
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade
obligations; that is, they are neither highly protected nor
poorly secured. Interest payment and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements;
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate, and thereby not well safeguarded during both good
and bad times over the future. Uncertainty of position
characterizes bonds in this class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or
maintenance of other terms of the contract over any long
period of time may be small.
Caa -- Bonds rated "Caa" are of poor standing. Such issues may be
in default, or there may be present elements of danger with
respect to principal or interest.
Ca -- Bonds rated "Ca" represent obligations which are speculative
in a high degree. Such issues are often in default or have
other marked shortcomings.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investments, at Cost...................................... $4,902,341 $ 90,007,142
Foreign currency, at Cost................................. -- 19,201
- ----------------------------------------------------------------------------------------------
Investments, at Value..................................... $4,902,341 $ 89,205,160
Foreign currency, at Value................................ -- 18,910
Cash...................................................... 788 3,820,294
Collateral for securities on loan (Note 15)............... -- 3,235,800
Receivable for securities sold............................ -- 8,299,501
Receivable from broker -- variation margin................ -- --
Dividends and interest receivable......................... 5,015 1,128,517
Receivable for open forward foreign currency contracts
(Note 7)............................................... -- 97,377
- ----------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 4,908,144 105,805,559
- ----------------------------------------------------------------------------------------------
LIABILITIES:
Investment advisory fees payable.......................... 5,142 32,841
Dividends payable......................................... 8,627 --
Administration fees payable............................... 1,434 14,596
Payable for securities purchased.......................... -- 20,842,087
Payable to bank........................................... -- --
Payable for securities on loan (Note 15).................. -- 3,235,800
Distribution fees payable................................. -- --
Payable for open forward foreign currency contracts (Note
7)..................................................... -- 3,242
Accrued expenses.......................................... 13,726 43,275
- ----------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 28,929 24,171,841
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $4,879,215 $ 81,633,718
- ----------------------------------------------------------------------------------------------
NET ASSETS:
Par value of capital shares............................... $ 4,879 $ 7,917
Capital paid in excess of par value....................... 4,874,336 80,100,380
Undistributed (overdistributed) net investment income..... -- 2,740,860
Accumulated net realized gain (loss) from security
transactions, futures contracts and foreign
currencies............................................. -- (503,623)
Net unrealized appreciation (depreciation) of investments,
futures contracts and foreign currencies............... -- (711,816)
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $4,879,215 $ 81,633,718
- ----------------------------------------------------------------------------------------------
SHARES OUTSTANDING:
Class I Shares............................................ 4,879,221 7,916,980
Class II Shares (See Note 3).............................. -- --
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE:
Class I Shares............................................ $1.00 $10.31
Class II Shares (See Note 3).............................. -- --
- ----------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
- ----------------------------------------------------------
JUNE 30, 1999
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH EMERGING INTERNATIONAL
INCOME INDEX AND INCOME GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$23,487,938 $305,138,132 $23,335,180 $14,499,649 $11,820,625
-- -- -- -- 162
- --------------------------------------------------------------------------------------------
$31,630,947 $366,248,472 $32,686,887 $20,165,744 $19,772,560
-- -- -- -- 162
-- -- -- 50,392 410,700
-- -- -- -- 1,714,000
646,484 1,674,595 346,183 24,978 446,723
-- 50,000 -- -- --
180,016 285,235 65,716 3,415 25,993
-- -- -- -- 80
- --------------------------------------------------------------------------------------------
32,457,447 368,258,302 33,098,786 20,244,529 22,370,218
- --------------------------------------------------------------------------------------------
13,422 60,640 13,234 12,453 15,583
-- -- -- -- --
5,965 24,604 5,882 4,524 3,667
532,191 14,876,663 -- -- --
469,418 1,192,077 48,021 -- --
-- -- -- -- 1,714,000
-- 280 -- -- --
-- -- -- -- --
20,075 30,535 26,968 17,993 62,415
- --------------------------------------------------------------------------------------------
1,041,071 16,184,799 94,105 34,970 1,795,665
- --------------------------------------------------------------------------------------------
$31,416,376 $352,073,503 $33,004,681 $20,209,559 $20,574,553
- --------------------------------------------------------------------------------------------
$ 2,415 $ 10,565 $ 2,027 $ 1,044 $ 1,514
20,815,371 289,211,517 16,782,330 8,065,722 10,643,147
530,307 1,586,541 192,483 (101,425) (481,826)
1,925,274 74,228 6,676,163 6,578,123 2,460,278
8,143,009 61,190,652 9,351,678 5,666,095 7,951,440
- --------------------------------------------------------------------------------------------
$31,416,376 $352,073,503 $33,004,681 $20,209,559 $20,574,553
- --------------------------------------------------------------------------------------------
2,415,116 10,501,026 2,026,997 1,043,831 1,513,998
-- 64,357 -- -- --
- --------------------------------------------------------------------------------------------
$13.01 $33.32 $16.28 $19.36 $13.59
-- $33.31 -- -- --
- --------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $124,023 $ 2,991,591
Dividends................................................. -- 6,112
Less: Foreign withholding tax............................. -- --
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 124,023 2,997,703
- -----------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 3)......................... 8,653 182,517
Custody................................................... 6,700 9,222
Audit and legal........................................... 6,511 13,692
Shareholder and system servicing fees..................... 5,096 6,179
Administration fees (Note 3).............................. 3,775 81,119
Trustees' fees............................................ 849 3,296
Shareholder communications................................ 566 11,398
Distribution fees......................................... -- --
Pricing service fees...................................... -- 6,981
Other..................................................... 4,769 2,564
- -----------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 36,919 316,968
Less: Investment advisory and administration fee waivers
(Note 3)............................................... (5,851) --
- -----------------------------------------------------------------------------------------------
NET EXPENSES.............................................. 31,068 316,968
- -----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................ 92,955 2,680,735
- -----------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN CURRENCIES (NOTES 4, 5 AND 7):
Realized Gain (Loss) From:
Security transactions (excluding short-term
securities*).......................................... 2 (1,231,747)
Futures contracts...................................... -- --
Foreign currency transactions.......................... -- 727,752
- -----------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................................. 2 (503,995)
- -----------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) of
Investments, Futures Contracts and Foreign Currencies:
Beginning of period.................................... -- 1,113,112
End of period.......................................... -- (711,816)
- -----------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)...... -- (1,824,928)
- -----------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND
FOREIGN CURRENCIES........................................ 2 (2,328,923)
- -----------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $ 92,957 $ 351,812
- -----------------------------------------------------------------------------------------------
</TABLE>
* Represents net realized gains only from short-term securities for the Money
Market Portfolio.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
- ---------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH EMERGING INTERNATIONAL
INCOME INDEX AND INCOME GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 198,023 $ 293,003 $ 54,712 $ 15,531 $ 10,941
477,128 1,636,884 275,743 14,390 154,356
-- -- (902) (264) (13,048)
- -----------------------------------------------------------------------------------------
675,151 1,929,887 329,553 29,657 152,249
- -----------------------------------------------------------------------------------------
74,956 189,473 75,783 76,258 93,022
1,288 47,605 1,638 8,926 16,091
12,340 8,083 8,442 8,643 9,338
5,933 6,965 6,126 7,115 5,817
33,314 76,095 33,681 20,336 21,888
4,047 2,976 1,669 1,636 1,586
4,945 9,917 5,951 3,240 3,638
-- 280 -- -- --
1,484 -- -- -- 1,645
5,000 992 2,527 3,700 464
- -----------------------------------------------------------------------------------------
143,307 342,386 135,817 129,854 153,489
-- -- -- -- --
- -----------------------------------------------------------------------------------------
143,307 342,386 135,817 129,854 153,489
- -----------------------------------------------------------------------------------------
531,844 1,587,501 193,736 (100,197) (1,240)
- -----------------------------------------------------------------------------------------
1,925,142 677,913 6,676,245 6,596,423 2,475,926
-- (536,844) -- -- --
-- -- -- -- (15,644)
- -----------------------------------------------------------------------------------------
1,925,142 141,069 6,676,245 6,596,423 2,460,282
- -----------------------------------------------------------------------------------------
9,765,976 32,871,535 13,187,934 8,147,095 8,437,076
8,143,009 61,190,652 9,351,678 5,666,095 7,951,440
- -----------------------------------------------------------------------------------------
(1,622,967) 28,319,117 (3,836,256) (2,481,000) (485,636)
- -----------------------------------------------------------------------------------------
302,175 28,460,186 2,839,989 4,115,423 1,974,646
- -----------------------------------------------------------------------------------------
$ 834,019 $30,047,687 $3,033,725 $ 4,015,226 $1,973,406
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 92,955 $ 2,680,735
Net realized gain (loss).................................. 2 (503,995)
Change in net unrealized appreciation (depreciation)...... -- (1,824,928)
- ------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 92,957 351,812
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (92,957) (3,784,662)
Net realized gains........................................ -- (980,265)
- ------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (92,957) (4,764,927)
- ------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 16):
Net proceeds from sale of shares.......................... 3,383,065 9,451,058
Net asset value of shares issued for reinvestment of
dividends.............................................. 94,007 4,764,928
Cost of shares reacquired................................. (3,269,094) (9,138,835)
- ------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... 207,978 5,077,151
- ------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... 207,978 664,036
NET ASSETS:
Beginning of period....................................... 4,671,237 80,969,682
- ------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $ 4,879,215 $81,633,718
- ------------------------------------------------------------------------------------------
* Includes undistributed (overdistributed) net investment
income of: -- $2,740,860
- ------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
- -----------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH EMERGING INTERNATIONAL
INCOME INDEX AND INCOME GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 531,844 $ 1,587,501 $ 193,736 $ (100,197) $ (1,240)
1,925,142 141,069 6,676,245 6,596,423 2,460,282
(1,622,967) 28,319,117 (3,836,256) (2,481,000) (485,636)
- --------------------------------------------------------------------------------------
834,019 30,047,687 3,033,725 4,015,226 1,973,406
- --------------------------------------------------------------------------------------
(1,468,911) (1,249,998) (576,234) -- (10,151)
(5,820,649) (1,776,474) (5,700,082) (3,686,844) (2,245,247)
- --------------------------------------------------------------------------------------
(7,289,560) (3,026,472) (6,276,316) (3,686,844) (2,255,398)
- --------------------------------------------------------------------------------------
333,872 149,080,857 264,688 487,973 113,298
7,289,560 3,026,472 6,276,317 3,686,844 2,255,398
(7,246,442) (4,221,754) (6,074,633) (5,440,796) (4,994,244)
- --------------------------------------------------------------------------------------
376,990 147,885,575 466,372 (1,265,979) (2,625,548)
- --------------------------------------------------------------------------------------
(6,078,551) 174,906,790 (2,776,219) (937,597) (2,907,540)
37,494,927 177,166,713 35,780,900 21,147,156 23,482,093
- --------------------------------------------------------------------------------------
$31,416,376 $352,073,503 $33,004,681 $20,209,559 $20,574,553
- --------------------------------------------------------------------------------------
$530,307 $1,586,541 $192,483 $(101,425) $(481,826)
- --------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 211,221 $ 4,724,620
Net realized gain......................................... 59 210,998
Increase (decrease) in net unrealized appreciation........ -- (347,473)
- -------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 211,280 4,588,145
- -------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (211,278) (4,468,175)
Net realized gains........................................ -- --
- -------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (211,278) (4,468,175)
- -------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 16):
Net proceeds from sale of shares.......................... 8,425,171 30,385,689
Net asset value of shares issued for reinvestment of
dividends.............................................. 211,918 4,468,175
Cost of shares reacquired................................. (8,718,390) (16,561,693)
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (81,301) 18,292,171
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (81,299) 18,412,141
NET ASSETS:
Beginning of year......................................... 4,752,536 62,557,541
- -------------------------------------------------------------------------------------------
END OF YEAR*.............................................. $ 4,671,237 $ 80,969,682
- -------------------------------------------------------------------------------------------
* Includes undistributed (overdistributed) net investment
income of: -- $3,844,787
- -------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
- -----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH EMERGING INTERNATIONAL
INCOME INDEX AND INCOME GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 1,468,850 $ 1,231,761 $ 578,997 $ (176,291) $ (66,254)
5,820,781 1,771,175 5,699,928 3,689,801 5,397,150
(695,799) 21,481,836 (1,845,036) 2,696,829 (908,605)
- ---------------------------------------------------------------------------------------
6,593,832 24,484,772 4,433,889 6,210,339 4,422,291
- ---------------------------------------------------------------------------------------
(1,898,883) (249,653) (672,200) -- (121,294)
(1,821,123) (658,235) (3,971,293) (3,312,304) --
- ---------------------------------------------------------------------------------------
(3,720,006) (907,888) (4,643,493) (3,312,304) (121,294)
- ---------------------------------------------------------------------------------------
709,065 127,445,128 1,262,764 1,191,991 1,274,980
3,720,006 907,888 4,643,493 3,312,304 121,294
(15,882,004) (10,114,491) (13,129,695) (6,259,617) (10,562,558)
- ---------------------------------------------------------------------------------------
(11,452,933) 118,238,525 (7,223,438) (1,755,322) (9,166,284)
- ---------------------------------------------------------------------------------------
(8,579,107) 141,815,409 (7,433,042) 1,142,713 (4,865,287)
46,074,034 35,351,304 43,213,942 20,004,443 28,347,380
- ---------------------------------------------------------------------------------------
$37,494,927 $177,166,713 $ 35,780,900 $21,147,156 $ 23,482,093
- ---------------------------------------------------------------------------------------
$1,467,374 $1,249,038 $574,981 $(1,228) $(470,435)
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Money Market, Diversified Strategic Income, Equity Income, Equity
Index, Growth & Income, Emerging Growth and International Equity Portfolios
("Portfolios") are separate investment portfolios of the Greenwich Street Series
Fund ("Fund"), formerly known as the Smith Barney Series Fund. The Fund, a
Massachusetts business trust, is registered under the Investment Company Act of
1940, as amended, as a diversified, open-ended management investment company.
Shares of the Fund can be acquired through investing in an individual flexible
premium deferred combination fixed and variable annuity contract or a
certificate evidencing interest in a master group flexible premium deferred
annuity offered by certain insurance companies. The Fund offers three other
portfolios: Appreciation, Intermediate High Grade and Total Return Portfolios.
The financial statements and financial highlights for the other portfolios are
presented in a separate semi-annual report.
The significant accounting policies consistently followed by the Portfolios
are: (a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing prices on such
markets or, if there were no sales during the day, at current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value was so
established is likely to have significantly changed the value then the fair
value of those securities will be determined by consideration of other factors
by or under the direction of the Board of Trustees or its delegates;
over-the-counter securities are valued at the mean between the bid and asked
prices at the close of business on each day; U.S. government and agency
obligations are valued at the average between bid and ask prices; (c) securities
maturing within 60 days are valued at cost plus accreted discount, or minus
amortized premium, which approximates value; (d) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on the accrual
basis; (e) dividend income is recorded on the ex-dividend date; foreign dividend
income is recorded on the ex-dividend date or as soon as practical after the
Portfolios determine the existence of a dividend declaration after exercising
reasonable due diligence; (f) gains or losses on the sale of securities are
calculated by using the specific identification method; (g) dividends and
distributions to shareholders are recorded by the Portfolios on the ex-dividend
date; (h) the accounting records of the Portfolios are maintained in U.S.
dollars. All assets and liabilities denominated in foreign currencies are
translated into U.S. dollars based on the rate of exchange of such currencies
against U.S. dollars on the date of valuation. Purchases and sales of
securities, and income and expenses are translated at the rate of exchange
quoted on the respective date that such transactions are recorded. Differences
between income and expense amounts recorded and collected or paid are adjusted
when reported by the custodian bank; (i) each Portfolio intends to comply with
the requirements of the Internal Revenue Code of 1986, as amended, pertaining to
regulated investment companies and to make distributions of taxable income
sufficient to relieve it from substantially all Federal income and excise tax;
(j) the character of income and gains distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At December 31, 1998, reclassifications were made to the Diversified
Strategic Income, Equity Income, Equity Index, Growth and Income, Emerging
Growth and International Equity Portfolios capital accounts to reflect permanent
book/tax differences and income gains available for distributions under income
tax regulations. In addition, a portion of accumulated net realized gains
amounting to $21,284, $62 and $22,247 was reclassified to paid-in capital for
the Emerging Growth, Equity Income and Equity Index Portfolios, respectively.
Moreover, a portion of undistributed (overdistributed) net investment income
amounting to $2,597, ($176,240) and $54 was reclassified to paid-in capital for
the Growth and Income, Emerging Growth and Equity Index Portfolios. Net
investment income, net realized gains and net assets were not affected by this
change; and (k) estimates and assumptions are required to be made regarding
assets, liabilities and changes in net assets resulting from operations when
financial statements are prepared. Changes in the economic environment,
financial markets and any other parameters used in determining these estimates
could cause actual results to differ.
In addition, certain Portfolios may enter into forward exchange contracts
in order to hedge against foreign currency risk. These contracts are
marked-to-market daily, by recognizing the difference between the contract
exchange rate and the current market rate as an unrealized gain or loss.
Realized gains or losses are recognized when contracts are settled.
2. DIVIDENDS
The Money Market Portfolio declares dividends daily from net investment
income and distributes such dividends monthly. Net realized capital gains, if
any, are declared and distributed annually.
56
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
3. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Fund, on behalf of the Money Market, Diversified Strategic Income,
Equity Income, Growth and Income and International Equity Portfolios, has
entered into an investment advisory agreement with SSBC Fund Management Inc.
("SSBC"), formerly known as Mutual Management Corp. SSBC is a wholly-owned
subsidiary of Salomon Smith Barney Holdings Inc. ("SSBH"), which is in turn a
wholly-owned subsidiary of Travelers Group Inc. ("Travelers"). The Fund, on
behalf of the Equity Index Portfolio, has entered into an investment advisory
agreement with Travelers Investment Management Co. ("TIMCO"). In addition, the
Fund, on behalf of the Emerging Growth Portfolio, has entered into an investment
advisory agreement with Van Kampen American Capital Asset Management, Inc.
("VKAC"). Under each respective investment advisory agreement, the Portfolios
pay an investment advisory fee calculated at an annual rate of their respective
average daily net assets. These fees are calculated daily and paid monthly. For
the six months ended June 30, 1999, for the Money Market Portfolio, SSBC has
waived $3,511 of its investment advisory fee.
The respective advisers and annual rates are as follows:
<TABLE>
<CAPTION>
PORTFOLIO ADVISOR RATE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
Money Market SSBC Fund Management Inc. 0.30%
Diversified Strategic Income SSBC Fund Management Inc. 0.45
Equity Income SSBC Fund Management Inc. 0.45
Equity Index Travelers Investment Management Co. 0.15
Growth and Income SSBC Fund Management Inc. 0.45
Emerging Growth Van Kampen American Capital Asset Management, Inc. 0.75
International Equity SSBC Fund Management Inc. 0.85
- --------------------------------------------------------------------------------------------------------
</TABLE>
Smith Barney Global Capital Management, Inc. ("SBGCM") serves as
sub-investment adviser to the Diversified Strategic Income Portfolio and is paid
a monthly fee by SSBC calculated at an annual rate of 0.15% of the Portfolio's
average daily net assets. The Diversified Strategic Income Portfolio does not
make any direct payments to SBGCM.
The Fund, on behalf of the Portfolios, has also entered into an
administration agreement with SSBC. Under the agreement, each Portfolio pays an
administration fee calculated at an annual rate of 0.20% of the average daily
net assets; except for the Equity Index Portfolio which pays an administration
fee of 0.06%. These fees are calculated daily and paid monthly. For the six
months ended June 30, 1999, for the Money Market Portfolio, SSBC has waived
$2,340 of its administration fee.
For the six months ended June 30, 1999, the Growth and Income, Emerging
Growth and International Equity Portfolios paid Salomon Smith Barney Inc.
("SSB"), another subsidiary of SSBH, brokerage commissions of $180, $292 and
$570, respectively.
The Fund, on behalf of the Equity Index Portfolio, has adopted a plan
("Plan") pursuant to Rule 12b-1 under the 1940 Act for the Portfolio's Class II
shares. The Plan provides that the Fund, on behalf of the Portfolio, shall pay a
fee of up to 0.25% of the average daily net assets of the Portfolio attributable
to Class II shares.
No officer, Director or employee of SSB or its affiliates receives any
compensation from the Fund for serving as a Trustee or officer of the Fund.
57
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
4. INVESTMENTS
During the six months ended June 30, 1999, the aggregate costs of purchases
and proceeds from sales of investments (including maturities, but excluding
short-term securities) were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Diversified Strategic Income................................ $ 63,977,898 $47,971,550
Equity Income............................................... 806,816 6,901,884
Equity Index................................................ 146,972,644 4,101,979
Growth and Income........................................... 13,552,646 19,402,741
Emerging Growth............................................. 12,599,150 18,604,841
International Equity........................................ 2,630,397 8,682,500
- ----------------------------------------------------------------------------------------
</TABLE>
At June 30, 1999, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATION
PORTFOLIO APPRECIATION DEPRECIATION (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Diversified Strategic Income................................ $ 1,069,195 $(1,871,177) $ (801,982)
Equity Income............................................... 8,478,706 (335,697) 8,143,009
Equity Index................................................ 64,471,777 (3,361,437) 61,110,340
Growth and Income........................................... 9,991,886 (640,179) 9,351,707
Emerging Growth............................................. 5,897,107 (231,012) 5,666,095
International Equity........................................ 8,271,776 (319,841) 7,951,935
- ----------------------------------------------------------------------------------------------------------
</TABLE>
5. FUTURES CONTRACTS
The Diversified Strategic Income, Equity Income, Equity Index, Growth &
Income, Emerging Growth and International Equity Portfolios may from time to
time enter into futures contracts.
Initial margin deposits made upon entering into futures contracts are
recognized as assets. The initial margin is segregated by the custodian as is
noted in the schedule of investments. During the period the futures contract is
open, changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received and recognized as assets due from or liabilities due to broker,
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Portfolio records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Portfolio's basis in the contract. The Portfolio enters into such contracts
to hedge a portion of its portfolio. The Portfolio bears the market risk that
arises from changes in the value of the financial instruments and securities
indices (futures contracts) and the credit risk should a counterparty fail to
perform under such contracts.
At June 30, 1999, the Equity Index Portfolio had the following open futures
contracts:
<TABLE>
<CAPTION>
EXPIRATION # OF BASIS MARKET UNREALIZED
FUTURES CONTRACTS BOUGHT MONTH/YEAR CONTRACTS VALUE VALUE GAIN
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Stock Index.......................... 9/99 8 $2,683,088 $2,763,400 $80,312
- ------------------------------------------------------------------------------------------------------------
</TABLE>
6. OPTION CONTRACTS
The Diversified Strategic Income, Equity Income, Equity Index, Growth &
Income, Emerging Growth and International Equity Portfolios may from time to
time enter into option contracts.
58
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Upon the purchase of a put option or a call option by the Portfolio, the
premium paid is recorded as an investment, the value of which is
marked-to-market daily. When a purchased option expires, the Portfolio will
realize a loss in the amount of the cost of the option. When the Portfolio
enters into a closing sales transaction, the Portfolio will realize a gain or
loss depending on whether the sales proceeds from the closing sales transaction
are greater or less than the cost of the option. When the Portfolio exercises a
put option, it will realize a gain or loss from the sale of the underlying
security and the proceeds from such sale will be decreased by the premium
originally paid. When the Portfolio exercises a call option, the cost of the
security which the Portfolio purchases upon exercise will be increased by the
premium originally paid.
At June 30, 1999, the Portfolios held no purchased call or put options.
When the Portfolio writes a call option or a put option, an amount equal to
the premium received by the Portfolio is recorded as a liability, the value of
which is marked-to-market daily. When a written option expires, the Portfolio
realizes a gain equal to the amount of the premium received. When the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain (or
loss if the cost of the closing purchase transaction exceeds the premium
received when the option was sold) without regard to any unrealized gain or loss
on the underlying security, and the liability related to such option is
eliminated. When a written call option is exercised, the Portfolio realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale are increased by the premium originally received. When a written put option
is exercised, the amount of the premium originally received will reduce the cost
of the security which the Portfolio purchased upon exercise. When written index
options are exercised, settlement is made in cash.
The risk associated with purchasing options is limited to the premium
originally paid. The Portfolio enters into options for hedging purposes. The
risk in writing a covered call option is that the Portfolio gives up the
opportunity to participate in any increase in the price of the underlying
security beyond the exercise price. The risk in writing a covered put option is
that the Portfolio is exposed to the risk of loss if the market price of the
underlying security declines.
During the six months ended June 30, 1999, the Portfolios did not write any
call or put options.
7. FORWARD FOREIGN CURRENCY CONTRACTS
The Diversified Strategic Income, Emerging Growth and International Equity
Portfolios have the ability to enter into forward foreign currency contracts.
At June 30, 1999, the Diversified Strategic Income and International Equity
Portfolios had open forward foreign currency contracts as described below. The
Portfolio bears the market risk that arises from changes in foreign currency
exchange rates. The unrealized gain (loss) on the contracts reflected in the
accompanying financial statements were as follows:
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
TO SELL:
Australian Dollars.................................. 1,180,000 $ 781,216 7/21/99 $(3,242)
European Currency Unit.............................. 2,040,000 2,107,156 7/21/99 8,671
European Currency Unit.............................. 182,418 189,675 9/15/99 5,644
European Currency Unit.............................. 224,936 233,884 9/15/99 3,266
Great British Pound................................. 3,200,000 5,044,814 7/21/99 52,338
Great British Pound................................. 104,989 165,770 9/22/99 2,454
New Zealand Dollar.................................. 3,990,000 2,115,152 7/21/99 25,004
- ------------------------------------------------------------------------------------------------------------
Total Unrealized Gain on Forward Foreign Currency
Contracts........................................... $94,135
- ------------------------------------------------------------------------------------------------------------
</TABLE>
59
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO BUY:
Japanese Yen.......................................... 54,158,466 $447,574 7/2/99 $80
- -----------------------------------------------------------------------------------------------------------
</TABLE>
8. REPURCHASE AGREEMENTS
The Portfolios purchase (and its custodian takes possession of) U.S.
government securities from banks and securities dealers subject to agreements to
resell the securities to the sellers at a future date (generally, the next
business day) at an agreed-upon higher repurchase price. The Portfolios require
continual maintenance of the market value of the collateral in amounts at least
equal to the repurchase price.
9. REVERSE REPURCHASE AGREEMENTS
The Diversified Strategic Income, Equity Income and International Equity
Portfolios may enter into reverse repurchase agreements for leveraging purposes.
A reverse repurchase agreement involves a sale by the Portfolio of
securities that it holds with an agreement by the Portfolio to repurchase the
same securities at an agreed upon price and date. A reverse repurchase agreement
involves risk that the market value of the securities sold by the Fund may
decline below the repurchase price of the securities. The Portfolio will
establish a segregated account with its custodian, in which the Portfolio will
maintain cash, U.S. government securities or other liquid high grade debt
obligations equal in value to its obligations with respect to the reverse
repurchase agreements.
At June 30, 1999, the Portfolios had no open reverse repurchase agreements.
10. CONCENTRATION OF RISK
Under normal market conditions, the Money Market Portfolio invests at least
25% of its assets in short-term bank instruments and the Equity Income Portfolio
invests at least 25% of its assets in the utility industry. Because of their
concentration policy, these Portfolios may be subject to greater risk and market
fluctuation than a portfolio that has securities representing a broader range of
investment alternatives. Various factors could adversely affect the ability and
inclination of companies in these industries to declare and pay dividends or
interest and the ability of holders of securities of such companies to realize
any value from the assets of the issuer upon liquidation or bankruptcy.
11. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves special risks and considerations not typically associated with
investing in U.S. companies and the U.S. government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S. Government.
12. SECURITIES TRADED ON A WHEN-ISSUED OR TO-BE-ANNOUNCED BASIS
The Diversified Strategic Income, Equity Income, Growth & Income, Emerging
Growth and International Equity Portfolios may from time to time purchase
securities on a when-issued or to-be-announced ("TBA") basis.
In a TBA transaction, the Portfolio commits to purchasing or selling
securities for which specific information is not yet known at the time of the
trade, particularly the face amount and maturity date in GNMA transactions.
Securities purchased on a TBA basis are not settled until they are delivered to
the Fund, normally 15 to 45 days later. Beginning on the date the Portfolio
enters into the TBA transaction, the custodian maintains cash, U.S. government
securities or other liquid high grade
60
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
debt obligations in a segregated account equal in value to the purchase price of
the TBA security. These transactions are subject to market fluctuations and
their current value is determined in the same manner as for other securities.
At June 30, 1999, there were three TBA securities held by the Diversified
Strategic Income Portfolio with a total cost of $15,750,762.
13. MORTGAGE ROLL TRANSACTIONS
The Diversified Strategic Income Portfolio has the ability to participate
in mortgage roll transactions.
A mortgage roll transaction involves a sale by the Fund of securities that
it holds with an agreement by the Portfolio to purchase similar securities at an
agreed upon price and date. The securities repurchased will bear the same
interest as those sold, but generally will be collateralized by pools of
mortgages with different prepayment histories than those securities sold.
Proceeds of the sale will be invested and the income from these investments,
together with any additional income from the Portfolio exceeding the yield on
the securities sold.
At June 30, 1999, there were no open mortgage roll transactions in the
Portfolio.
14. SHORT SALES AGAINST THE BOX
The Equity Income, Emerging Growth and International Equity Portfolios each
have the ability to engage in short sales against the box.
A short sale against the box is a short sale of common stock such that,
when the short position is open, the Portfolio involved owns an equal amount of
the stock or preferred stocks or debt securities, convertible or exchangeable,
without payment of further consideration, into an equal number of shares of
common stock sold short. The proceeds of the sale will be held by the broker
until the settlement date, when the Portfolio delivers the stock or the
convertible or exchangeable securities to close out its short position. Although
prior to delivery a Portfolio will have to pay an amount equal to any dividends
paid on the common stock sold short, the Portfolio will receive the dividends
from the stock or the preferred stock or the interest from the stock or
convertible or exchangeable debt securities plus a portion of the interest
earned from the proceeds of the short sale. The Portfolio will deposit in a
segregated account with the Fund's custodian, the common stock or convertible
preferred stock or debt securities in connection with short sales against the
box.
At June 30, 1999, the Portfolios had no open short sales against the box.
15. LENDING OF SECURITIES
The Diversified Strategic Income, Equity Income, Equity Index, Growth &
Income, Emerging Growth and International Equity Portfolios each have the
ability to lend its securities to brokers, dealers and other financial
organizations.
The Portfolio has an agreement with its custodian whereby the custodian may
lend securities owned by the Portfolio to brokers, dealers and other financial
organizations. Fees earned by the Portfolio on securities lending are recorded
in interest income. Loans of securities by the Portfolio are collateralized by
cash, U.S. government securities or high quality money market instruments that
are maintained at all times in an amount at least equal to the current market
value of the loaned securities, plus a margin which may vary depending on the
type of securities loaned. The custodian establishes and maintains the
collateral in a segregated account. The Fund maintains exposure for the risk of
any losses in the investment of amounts received as collateral.
At June 30, 1999, the Portfolios listed below had loaned common stocks and
bonds which were collateralized by cash. In addition, the International Equity
Portfolio had loaned common stocks collateralized by securities. The market
value for the securities on loan were as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- ------------------------------------------------------------------------
<S> <C>
Diversified Strategic Income................................ $3,227,426
International Equity........................................ 1,611,981
- ------------------------------------------------------------------------
</TABLE>
61
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At June 30, 1999, the cash collateral held for the securities on loan was
as follows:
<TABLE>
<CAPTION>
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
SECURITY DESCRIPTION VALUE
- ------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banca Commerciale Italiano, Singapo, 5.630% due 7/1/99.... $ 137,493
Bank of Austria, 6.000% due 7/1/99........................ 32,186
Credit Agricole Indozuez Singapore, 6.000% due 7/1/99..... 137,493
Deutsche Bank London, 6.000% due 7/1/99................... 137,493
Nordeutsche Landesbank Singapore, 5.630%, due 7/1/99...... 137,493
Rabobank, London, 6.000% due 7/1/99....................... 137,492
Societe Generale, 5.750% due 7/1/99....................... 137,493
Svenska London, 6.000% due 7/1/99......................... 137,492
Toronto Dominion-London, 6.000% due 7/1/99................ 137,493
Credit Commerciale de France Brusse, 6.130% due 7/1/99.... 137,493
Bayerische Landesbank, Munich, 6.130% due 7/1/99.......... 137,492
Abbey National London, 6.500% due 7/1/99.................. 137,493
Bank of Nova Scotia London, 6.500% due 7/1/99............. 137,493
Banque Bruxelles Lambert London, 6.630% due 7/1/99........ 137,493
Kredietbank, Brussels, 6.630% due 7/1/99.................. 137,493
Westdeutsche Landesbank Singapore, 6.250% due 7/1/99...... 137,493
Union Bank of Switzerland, G.C., 6.250% due 7/1/99........ 137,493
Halifax Plc, 5.880% due 7/1/99............................ 137,492
Fifth Third Bank, G.C., 5.500% due 7/1/99................. 49,997
REPURCHASE AGREEMENTS:
Banc of America Securities LLC, 6.050% due 7/1/99......... 128,887
COMMERCIAL PAPER:
Tulip Funding, 5.880% due 7/1/99.......................... 137,470
Ford Motor Credit Corp., 6.000% due 7/1/99................ 137,470
GE Capital International, 5.750% due 7/1/99............... 137,473
Sheffield Receivable Corp., 5.880% due 7/1/99............. 137,470
Associates First Capital, 5.800% due 7/1/99............... 137,470
- ------------------------------------------------------------------------
Total....................................................... $3,235,800
- ------------------------------------------------------------------------
</TABLE>
62
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
SECURITY DESCRIPTION VALUE
- ------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banca Commerciale Italiano, Singapo, 5.630% due 7/1/99.... $ 72,830
Bank of Austria, 6.000% due 7/1/99........................ 17,049
Credit Agricole Indozuez Singapore, 6.000% due 7/1/99..... 72,829
Deutsche Bank London, 6.000% due 7/1/99................... 72,830
Nordeutsche Landesbank Singapore, 5.630%, due 7/1/99...... 72,829
Rabobank, London, 6.000% due 7/1/99....................... 72,830
Societe Generale, 5.750% due 7/1/99....................... 72,829
Svenska London, 6.000% due 7/1/99......................... 72,830
Toronto Dominion-London, 6.000% due 7/1/99................ 72,830
Credit Commerciale de France Brusse, 6.130% due 7/1/99.... 72,830
Bayerische Landesbank, Munich, 6.130% due 7/1/99.......... 72,829
Abbey National London, 6.500% due 7/1/99.................. 72,830
Bank of Nova Scotia London, 6.500% due 7/1/99............. 72,830
Banque Bruxelles Lambert London, 6.630% due 7/1/99........ 72,830
Kredietbank, Brussels, 6.630% due 7/1/99.................. 72,830
Westdeutsche Landesbank Singapore, 6.250% due 7/1/99...... 72,830
Union Bank of Switzerland, G.C., 6.250% due 7/1/99........ 72,830
Halifax Plc, 5.880% due 7/1/99............................ 72,830
Fifth Third Bank, G.C., 5.500% due 7/1/99................. 26,483
REPURCHASE AGREEMENTS:
Banc of America Securities LLC, 6.050% due 7/1/99......... 68,271
COMMERCIAL PAPER:
Tulip Funding, 5.880% due 7/1/99.......................... 72,818
Associates First Capital, 5.800% due 7/1/99............... 72,818
Ford Motor Credit Corp., 6.000% due 7/1/99................ 72,817
GE Capital International, 5.750% due 7/1/99............... 72,820
Sheffield Receivable Corp., 5.880% due 7/1/99............. 72,818
- ------------------------------------------------------------------------
Total....................................................... $1,714,000
- ------------------------------------------------------------------------
</TABLE>
Income earned by the Portfolios from securities loaned for the six months
ended June 30, 1999 was as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- --------------------------------------------------------------------
<S> <C>
Diversified Strategic Income Portfolio...................... $9,810
International Equity Portfolio.............................. 3,300
- --------------------------------------------------------------------
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
16. SHARES OF BENEFICIAL INTEREST
At June 30, 1999, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in shares
for each portfolio were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
MONEY MARKET PORTFOLIO
Shares sold................................................. 3,383,065 8,425,171
Shares issued on reinvestment............................... 94,007 211,918
Shares reacquired........................................... (3,269,094) (8,718,390)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... 207,978 (81,301)
- --------------------------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Shares sold................................................. 861,780 2,787,964
Shares issued on reinvestment............................... 464,870 420,732
Shares reacquired........................................... (836,480) (1,524,911)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 490,170 1,683,785
- --------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
Shares sold................................................. 19,923 44,887
Shares issued on reinvestment............................... 556,880 248,332
Shares reacquired........................................... (450,755) (1,013,794)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... 126,048 (720,575)
- --------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO CLASS I SHARES
Shares sold................................................. 4,628,944 4,762,662
Shares issued on reinvestment............................... 94,293 33,135
Shares reacquired........................................... (129,681) (386,788)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 4,593,556 4,409,009
- --------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO CLASS II SHARES(1)
Shares sold................................................. 67,664 --
Shares issued on reinvestment............................... 432 --
Shares reacquired........................................... (3,739) --
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 64,357 --
- --------------------------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO
Shares sold................................................. 13,861 67,202
Shares issued on reinvestment............................... 399,003 254,438
Shares reacquired........................................... (322,749) (715,341)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... 90,115 (393,701)
- --------------------------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO
Shares sold................................................. 23,253 68,440
Shares issued on reinvestment............................... 201,467 192,913
Shares reacquired........................................... (258,196) (370,092)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (33,476) (108,739)
- --------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
Shares sold................................................. 7,866 90,783
Shares issued on reinvestment............................... 165,838 8,751
Shares reacquired........................................... (344,412) (821,260)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (170,708) (721,726)
- --------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from March 22, 1999 (inception date) to June 30, 1999.
At June 30, 1999, the total paid-in-capital for the Equity Index Portfolio
amounted to the following for each class:
<TABLE>
<CAPTION>
AMOUNT
- --------------------------------------------------------------------------
<S> <C>
Class I..................................................... $287,143,404
Class II.................................................... 2,078,678
- --------------------------------------------------------------------------
</TABLE>
64
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO 1999(1) 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
- ---------------------------------------------------------------------------------------------------------------------
Net investment income (2).............. 0.019 0.043 0.044 0.047 0.052 0.035
Dividends from net investment income... (0.019) (0.043) (0.044) (0.047) (0.052) (0.035)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................. 1.86%++ 4.40% 4.47% 4.80% 5.31% 3.56%
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)........ $4,879 $4,671 $4,753 $5,888 $5,653 $7,141
- ---------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)........................... 1.25%+ 1.24% 1.20% 0.75% 0.75% 0.75%
Net investment income.................. 3.73+ 4.30 4.38 4.70 5.19 3.65
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED STRATEGIC INCOME PORTFOLIO 1999(1)(3) 1998(3) 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..... $10.90 $10.89 $10.98 $10.01 $ 9.18 $10.07
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (4).............. 0.33 0.69 0.77 0.88 0.74 0.58
Net realized and unrealized gain
(loss).............................. (0.28) (0.01) 0.12 0.24 0.70 (0.86)
- -----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations...... 0.05 0.68 0.89 1.12 1.44 (0.28)
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.................. (0.51) (0.67) (0.98) (0.15) (0.61) (0.58)
Net realized gains..................... (0.13) -- -- -- -- --
Capital................................ -- -- -- -- -- (0.03)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions...................... (0.64) (0.67) (0.98) (0.15) (0.61) (0.61)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........... $10.31 $10.90 $10.89 $10.98 $10.01 $ 9.18
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................. 0.45%++ 6.41% 8.14% 11.16% 16.18% (2.81)%
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)........ $81,634 $80,970 $62,558 $59,515 $59,316 $55,260
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses............................... 0.78%+ 0.78% 0.78% 0.84% 0.90% 0.95%
Net investment income (4).............. 6.61+ 6.38 7.29 7.94 7.73 7.31
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.................. 60% 86% 47% 106% 46% 54%
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) For the Money Market Portfolio, the Investment Adviser waived all or part of
its fees for the six months ended June 30, 1999, the year ended December 31,
1998 and the three-year period ended December 31, 1996. For the Money Market
Portfolio, the Investment Adviser also reimbursed expenses of $16,616 for
the year ended December 31, 1994. If such fees were not waived and expenses
not reimbursed, the per share effect on net investment income and the
expense ratios would have been as follows:
<TABLE>
<CAPTION>
PER SHARE DECREASES TO
NET INVESTMENT INCOME
--------------------------------------------------------------------------
PORTFOLIO 1999(1) 1998 1997 1996 1995 1994
--------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Money Market......... $0.002 $0.005 N/A $0.005 $0.005 $0.005
<CAPTION>
EXPENSE RATIOS WITHOUT
WAIVERS AND REIMBURSEMENTS
------------------------------------------------------------------------------
PORTFOLIO 1999(1) 1998 1997 1996 1995 1994
--------- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Money Market......... 1.48%+ 1.74% N/A 1.25% 1.21% 1.26%
</TABLE>
(3) Per share amounts have been calculated using the monthly average shares
method.
(4) Includes realized gains and losses from foreign currency transactions for
the three years ended December 31, 1995.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
65
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO 1999(1)(2) 1998(2) 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $16.38 $15.31 $13.01 $12.35 $ 9.87 $11.55
- ------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income.............. 0.35 0.53 0.77 0.63 0.54 0.58
Net realized and unrealized gain
(loss).......................... 0.12 1.94 2.28 0.11 2.56 (1.75)
- ------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations......................... 0.47 2.47 3.05 0.74 3.10 (1.17)
- ------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.............. (0.77) (0.71) (0.75) (0.08) (0.62) (0.49)
Net realized gains................. (3.07) (0.69) -- -- -- (0.02)
- ------------------------------------------------------------------------------------------------------------------------
Total Distributions.................. (3.84) (1.40) (0.75) (0.08) (0.62) (0.51)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD....... $13.01 $16.38 $15.31 $13.01 $12.35 $ 9.87
- ------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN......................... 2.75%++ 16.99% 23.52% 5.99% 32.47% (10.20)%
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S).... $31,416 $37,495 $46,074 $45,616 $52,444 $44,417
- ------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses........................... 0.86%+ 0.79% 0.77% 0.77% 0.95% 0.84%
Net investment income.............. 3.20+ 3.43 4.42 4.53 4.95 5.51
- ------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 2% 43% 42% 28% 33% 21%
- ------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO - CLASS I
SHARES 1999(1)(2) 1998(2) 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $29.99 $23.59 $18.36 $15.58 $11.69 $11.90
- ------------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income (3).......... 0.21 0.36 0.12 0.22 0.25 0.23
Net realized and unrealized gain
(loss).......................... 3.41 6.33 5.76 3.17 3.88 (0.14)
- ------------------------------------------------------------------------------------------------------------------------
Total Income From Operations......... 3.62 6.69 5.88 3.39 4.13 0.09
- ------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.............. (0.12) (0.08) (0.17) (0.23) (0.23) (0.15)
Net realized gains................. (0.17) (0.21) (0.48) (0.38) (0.01) (0.15)
- ------------------------------------------------------------------------------------------------------------------------
Total Distributions.................. (0.29) (0.29) (0.65) (0.61) (0.24) (0.30)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD....... $33.32 $29.99 $23.59 $18.36 $15.58 $11.69
- ------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN......................... 12.13%++ 28.46% 32.16% 21.68% 35.81% 0.85%
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S).... $ 349,930 $177,167 $35,351 $19,258 $15,230 $10,225
- ------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)(4).................... 0.27%+ 0.30% 0.76% 1.06% 1.00% 1.00%
Net investment income.............. 1.25+ 1.36 1.08 1.37 1.84 2.10
- ------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 2% 5% 6% 7% 5% 1%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the year ended December 31, 1998, MMC agreed to reimburse expenses of
$114,983 related to the Equity Index Portfolio. In addition, for the Equity
Index Portfolio, the Investment Adviser waived all or part of its fees for
the two-year period ended December 31, 1995. In addition, IDS Life
reimbursed expenses of $6,842 and $25,496 for the two-year period ended
December 31, 1995. If such fees were not waived and expenses not reimbursed,
the per share effect on net investment income and the expense ratios would
have been as follows:
<TABLE>
<CAPTION>
PER SHARE DECREASES TO
NET INVESTMENT INCOME
-----------------------------------------------
PORTFOLIO 1998 1997 1996 1995 1994
--------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Equity Index.................................. $0.02 N/A N/A $0.02 $0.06
<CAPTION>
EXPENSE RATIOS WITHOUT
WAIVERS AND REIMBURSEMENTS
--------------------------------------------
PORTFOLIO 1998 1997 1996 1995 1994
--------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Equity Index.................................. 0.42% N/A N/A 1.17% 1.53%
</TABLE>
(4) As a result of the 0.30% voluntary expense limitation for the ratio of
expenses to average net assets, which became effective during 1998, the
investment manager will reimburse fees for the amount that exceeds the
limitation.
++ Total return is not annualized as it may not be representative of the total
return for the year.
+ Annualized.
66
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO - CLASS II SHARES 1999(1)(2)
- ------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $31.71
- ------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income..................................... 0.08
Net realized and unrealized gain.......................... 1.81
- ------------------------------------------------------------------------
Total Income From Operations................................ 1.89
- ------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..................................... (0.12)
Net realized gains........................................ (0.17)
- ------------------------------------------------------------------------
Total Distributions......................................... (0.29)
- ------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............................. $33.31
- ------------------------------------------------------------------------
TOTAL RETURN................................................ 6.02%++
- ------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)........................... $2,144
- ------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses.................................................. 0.46%+
Net investment income..................................... 0.96+
- ------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................................... 2%
- ------------------------------------------------------------------------
</TABLE>
(1) For the period from March 22, 1999 (inception date) to June 30, 1999
(unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
++ Total return is not annualized as it may not be representative of the total
return for the year.
+ Annualized.
67
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
GROWTH AND INCOME PORTFOLIO 1999(1)(2) 1998(2) 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $18.47 $18.54 $16.43 $13.73 $10.75 $11.37
- --------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)............. 0.15 0.27 0.31 0.27 0.26 0.27
Net realized and unrealized gain
(loss)............................. 1.45 1.93 3.41 2.45 2.99 (0.63)
- --------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations..... 1.60 2.20 3.72 2.72 3.25 (0.36)
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................. (0.35) (0.33) (0.29) (0.02) (0.27) (0.26)
Net realized gains.................... (3.44) (1.94) (1.32) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions..................... (3.79) (2.27) (1.61) (0.02) (0.27) (0.26)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.......... $16.28 $18.47 $18.54 $16.43 $13.73 $10.75
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................ 9.38%++ 11.88% 22.94% 19.83% 30.49% (3.20)%
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)....... $33,005 $35,781 $43,214 $38,502 $35,158 $29,625
- --------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3).......................... 0.81%+ 0.72% 0.77% 0.83% 0.98% 0.93%
Net investment income................. 1.15+ 1.45 1.62 1.67 2.09 2.52
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE................. 40% 13% 17% 22% 17% 77%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH PORTFOLIO 1999(1)(2) 1998(2) 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $19.63 $16.87 $15.83 $13.76 $ 9.63 $10.41
- --------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss) (3)...... (0.10) (0.15) (0.12) (0.10) (0.03) 0.00*
Net realized and unrealized gain
(loss)............................. 4.00 5.98 3.32 2.55 4.16 (0.78)
- --------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations..... 3.90 5.83 3.20 2.45 4.13 (0.78)
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................. -- -- -- -- -- (0.00)*
Net realized gains.................... (4.17) (3.07) (2.16) (0.38) -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions..................... (4.17) (3.07) (2.16) (0.38) -- (0.00)*
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.......... $19.36 $19.63 $16.87 $15.83 $13.76 $ 9.63
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................ 21.12%++ 37.14% 21.16% 17.83% 42.89% (7.48)%
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)....... $20,210 $21,147 $20,004 $18,901 $17,463 $11,539
- --------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3).......................... 1.28%+ 1.28% 1.26% 1.27% 1.20% 1.20%
Net investment loss................... (0.99)+ (0.88) (0.72) (0.64) (0.24) (0.17)
- --------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE................. 63% 98% 102% 84% 121% 66%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the Emerging Growth Portfolio, the Investment Adviser waived all or part
of its fees for the two-year period ended December 31, 1995. In addition,
for the Emerging Growth Portfolio, IDS Life reimbursed expenses of $5,265
and $18,068 for the two-year period ended December 31, 1995. If such fees
were not waived and expenses not reimbursed, the per share effect on net
investment income and the expense ratios would have been as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
PER SHARE WITHOUT
DECREASES TO NET WAIVERS AND
INVESTMENT INCOME REIMBURSEMENTS
------------------ ----------------
PORTFOLIO 1995 1994 1995 1994
--------- ---- ---- ---- ----
<S> <C> <C> <C> <C>
Emerging Growth............................................. $0.02 $0.01 1.39% 1.59%
</TABLE>
++ Total return is not annualized as it may not be representative of the total
return for the year.
+ Annualized.
* Amount represents less than $0.01.
68
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, except where noted:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO 1999(1)(2) 1998(2) 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $13.94 $11.78 $12.07 $ 9.98 $ 9.21 $10.05
- -------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss) (3)(4)... (0.03) (0.03) (0.02) (0.02) 0.03 0.00*
Net realized and unrealized gain
(loss)............................. 1.30 2.25 (0.24) 2.15 0.78 (0.84)
- -------------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations..... 1.27 2.22 (0.26) 2.13 0.81 (0.84)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................. (0.01) (0.06) (0.03) (0.04) (0.04) --
Net realized gains.................... (1.61) -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Distributions..................... (1.62) (0.06) (0.03) (0.04) (0.04) --
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.......... $13.59 $13.94 $11.78 $12.07 $ 9.98 $ 9.21
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN............................ 9.12%++ 18.84% (2.18)% 21.38% 8.80% (8.36)%
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)....... $20,575 $23,482 $28,347 $33,337 $28,979 $28,413
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (3)(5)....................... 1.40%+ 1.40% 1.31% 1.35% 1.43% 1.30%
Net investment income (loss)(4)....... (0.01)+ (0.25) (0.23) (0.20) 0.35 0.31
- -------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE................. 12% 30% 21% 33% 34% 12%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended June 30, 1999 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the International Equity Portfolio, the Investment Adviser waived all or
part of its fees for the year ended December 31, 1994. IDS Life reimbursed
expenses of $23,712 for the year ended December 31, 1994. If such fees were
not waived and expenses not reimbursed, the per share effect on net
investment income and the expense would have been $0.00* and 1.51%,
respectively.
(4) Includes realized gains and losses from foreign currency transactions for
the two-years ended December 31, 1995.
(5) During the year ended December 31, 1996 and the year ended December 31,
1995, the International Equity Portfolio has earned credits from the
custodian which reduce service fees incurred. If the credits are taken into
consideration, the ratios of expenses to average net assets would be 1.33%
and 1.37%, respectively.
++ Total return is not annualized as it may not be representative of the total
return for the year.
+ Annualized.
* Amount represents less than $0.01.
69
<PAGE>
This report is submitted for the general
information of the owners of the
Greenwich Street Series Fund. It is not
authorized for distribution to
prospective investors unless accompanied
or preceded by a current Prospectus for
the Fund, which contains information
concerning the Fund's investment
policies, fees and expenses, as well as
other pertinent information.
SYMPHONY
investments are sponsored and managed
by:
Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company and
IDS Life Insurance Company of New York
S6225 J (8/99)
<PAGE>
GREENWICH STREET SERIES FUND
SEMI-ANNUAL REPORT
EQUITY INDEX PORTFOLIO
MONEY MARKET PORTFOLIO
EQUITY INCOME PORTFOLIO
EMERGING GROWTH PORTFOLIO
GROWTH AND INCOME PORTFOLIO
INTERNATIONAL EQUITY PORTFOLIO
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
JUNE 30, 1999
<PAGE>
This report is submitted for the general
information of the owners of the
Greenwich Street Series Fund. It is not
authorized for distribution to
prospective investors unless accompanied
or preceded by a current Prospectus for
the Fund, which contains information
concerning the Fund's investment
policies, fees and expenses, as well as
other pertinent information.
S6225 J (8/99)
