<PAGE>
GREENWICH STREET SERIES FUND
ANNUAL REPORT FOR
SYMPHONY
A Tax-Deferred Variable Annuity
[LOGO]
EQUITY INDEX PORTFOLIO
MONEY MARKET PORTFOLIO
EQUITY INCOME PORTFOLIO
EMERGING GROWTH PORTFOLIO
GROWTH AND INCOME PORTFOLIO
INTERNATIONAL EQUITY PORTFOLIO
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
DECEMBER 31, 1999
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ANNUAL REPORT FOR GREENWICH STREET SERIES FUNDS
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DEAR INVESTOR:
We are pleased to provide you with the annual report for 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 year ended December 31, 1999. This letter briefly
discusses general economic and market conditions.
In addition, a detailed comparison 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 expenses associated with the subaccount. 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. We hope you find this report useful and
informative. Any discussion of the Portfolios' holdings are as of December 31,
1999. Please refer to pages eleven to forty-six for a list of the Portfolios'
holdings. We hope you find this report to be useful and informative.
<TABLE>
<CAPTION>
The Performance of the Greenwich Street Series Fund (1) (12/31/98-12/31/99)
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<S> <C>
Money Market................................................. 4.03 %
Diversified Strategic Income................................. 1.72
Equity Income................................................ (4.75)
Equity Index (Class I shares)................................ 20.68
Growth and Income............................................ 10.66
Emerging Growth.............................................. 107.14
International Equity......................................... 66.20
</TABLE>
MARKET AND ECONOMIC OVERVIEW
The year and the decade ended with stock market indexes around the world posting
exceptional returns. All of the major U.S. stock market indexes set new records
for 1999 and for the fifth year in a row posted double-digit returns. The 85.59%
return of the NASDAQ Composite Index(2) for the year was the best in history by
a major U.S. stock market index.
The technology sector, comprised of companies in telecommunications, the
Internet and computer hardware and software businesses posted the biggest gains
for the year. The historic return of the NASDAQ Composite Index was attributed
to the fact that it holds the biggest percentage of technology companies among
the major stock market indexes.
Large-capitalization stocks, as measured by the Standard & Poor's 500 Index(3)
("S&P 500") (which returned 21.03% for the year) and small-capitalization growth
stocks as measured by the Russell 1000 Growth Index(4) (which advanced 33.16% in
1999) continued their unprecedented growth. The worldwide economic recovery
continued in 1999, with most foreign stock markets ending the year on a high
note.
Perhaps the most striking aspect about the stock market's double-digit returns
in 1999 was that they were achieved while interest rates increased. The Federal
Reserve Board ("Fed") raised interest rates three times in 1999 as an
inflationary precaution. Rising interest rates generally lead to a decline in
stock prices. However, most stock investors' remained optimistic that the U.S.
economy would continue its remarkable growth and stock prices continued to
advance. Fueling this optimism was strong corporate profits, rising personal
income and record consumer and investor confidence.
Conversely, bond investors did not react positively to the actions of the Fed
and the bond market experienced its worst year since 1994. The overall bond
market recorded losses in 1999 in response to the Fed's interest rate hikes and
concerns
- ---------------
(1) Please note that data represents past performance, which is not indicative
of future results. The investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
(2) The NASDAQ Composite Index is comprised of approximately 4,500 stocks traded
over the counter. It is a value-weighted index calculated on price change
only and does not include income.
(3) The Standard & Poor's 500 Index is a market capitalization-weighted measure
of 500 widely held common stocks.
(4) The Russell 1000 Growth Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of
the total market capitalization of the Russell 3000 Index.
1
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regarding inflation. Bond market losses increased with the length of maturities.
The yield on the bellwether 30-year government bond increased 1.39 percentage
points in 1999 to 6.48%. At the end of 1998, the 30-year bond yielded 5.09%.
The U.S. Gross Domestic Product ("GDP"), which represents the total output of
goods and services, increased at an annual rate of 5.6% in the third quarter.
The rate was much higher than the Fed's target rate of 3%. If the economy
continues to grow at this rate through February 2000, the current U.S. expansion
will become the longest on record.
The international stock markets performed well in 1999. In Europe, the stellar
performance of the stock markets was due to reports of strengthening economies
and corporate restructuring efforts. In Latin America, many markets advanced
significantly. Mexico continued to benefit from the doubling in the world price
of oil and Brazil rebounded from its devaluation of its currency earlier in the
year. The Asian markets also participated in the rally of global markets. The
financial crises that negatively impacted many markets in 1998 appeared to be a
thing of the past. The Japanese stock market gained 36.78% in 1999 and the Hong
Kong stock market advanced 68.80%.
In our view, we expect continued volatility in the global financial markets due
to ongoing uncertainty regarding inflation and the future direction of interest
rates. We anticipate the worldwide economic recovery will continue as investors
regain confidence. However, the strength of the U.S. economy may lead the Fed to
raise rates in 2000. Over the long-term, it is our view that the fundamentals
for both stocks and bonds remain favorable.
MONEY MARKET PORTFOLIO
The primary investment objective of the Money Market Portfolio ("Portfolio") is
to obtain maximum current income to the extent consistent with the preservation
of capital and maintenance of liquidity. Please note that an investment in the
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.
In the view of the manager, robust economic growth should prompt the Fed to
continue to tighten monetary policy in 2000(5). The manager thinks that many
investors expect several tightenings in 25 basis point increments totaling 75
basis points. (A basis point is .01% or one one-hundredth of a percent of
yield.) However, the manager thinks that Fed Chairman Alan Greenspan will do
whatever is necessary to slow down economic growth to a more sustainable pace.
In fact, further rate increases beyond 75 basis points are very possible.
Higher inflation, which could come from higher commodity prices, tight labor
markets and rising overseas growth will affect the pace of future Fed
tightenings.
In keeping with our higher interest rate forecasts, the manager anticipates
positioning the Portfolio's average life below 60 days over the next several
months. 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.
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
The investment objective of the Diversified Strategic Income Portfolio
("Portfolio") is to provide investors with high current income. The Portfolio's
managers follow a flexible investment approach that emphasizes both
diversification and balance. Based on their analysis of current economic and
market conditions, the team allocates assets across three classes of bonds: U.S.
government and mortgage securities, high-yield corporate bonds and foreign
government securities.
For the year ended December 31, 1999, the Portfolio returned 1.72% compared to
the Lehman Brothers Aggregate Bond Index return of a negative 0.82% for the same
period. (Past performance is not indicative of future results. The Lehman
Brothers Aggregate Bond Index is made up of U.S. Treasury bonds, government
agency bonds, mortgage-backed securities and corporate bonds.)
High Yield Bonds
During 1999, the U.S. bond market continued its decline as a result of investor
concerns over strong economic growth, potentially higher inflation and a more
restrictive Fed monetary policy. In fact, the Fed raised short-term interest
rates three times in 1999 for a total of 0.75% in an effort to control economic
growth and help contain inflation.
1999 turned out to be one of the worst years in bond market history in terms of
performance. Not surprisingly, the high yield bond market generated the best
performance returns versus other types of bonds given the strength of the
domestic economy.
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(5) On February 2, 2000, after this letter was written, the Fed raised interest
rates by 0.25%, to 5.75%.
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However, with the dramatic increase in overall interest rates, the high yield
bond market was only able to generate modestly positive total returns as the
high current yields offered offset price declines.
During 1999, basic industry positions were added to the Portfolio on the
assumption that stronger economic growth would benefit a number of the
industrial segments of the economy. The Portfolio's manager also maintained
healthy weightings in the fast-growing telecommunications, and media (i.e.,
cable TV and broadcasting) sectors. The strongest performing industry sectors in
the high yield market during 1999 were in basic materials such as forest
products, metals, mining, and chemicals as well as media and telecommunications.
The weakest industry sectors included restaurants, healthcare and textile and
apparel.
Several of the Portfolio's holdings significantly contributed to its
performance. They include: Tembec, a paper and forest products company; Nextel,
a fast growing wireless communications company; Nextlink, a fast-growing
telecommunications company; and PSInet, a major Internet telecommunications
company.
The repositioning of the Portfolio during the first half of the year benefited
its performance in the second half of 1999. Moreover, the Portfolio's continued
emphasis on better quality issues and increased emphasis on basic industry
issues contributed to the Portfolio's relative outperformance versus its peer
group.
During the first half of 1999, higher quality issues actually did not perform as
well as lower quality issues by a meaningful margin because of their higher
sensitivity to rising U.S. Treasury rates. Given the managers' relatively higher
quality orientation versus the peer group, return performance was negatively
impacted in the first half of 1999. The Portfolio lagged its high yield peer
group since a number of its high yield fund competitors emphasized a combination
of lower quality issues, emerging market debt as well as common and preferred
stock. During the second half of 1999, a sharp reversal of these trends
occurred. Lower quality issues dramatically underperformed in the second half of
1999 due to rising default rates.
The Portfolio's manager does not attribute rising defaults in the high yield
bond market to a deteriorating economy. He believes that rising defaults may be
a natural fallout from the massive amount of new issuance in the past three
years when a great deal of merger and acquisition activity took place.
A number of defaults are occurring among the less viable companies that are
simply not competitive in today's more challenging economic environment. Given
the Portfolio's quality orientation, there were no defaults in the Portfolio in
1999. The Portfolio's manager has and will continue to maintain style purity in
the Portfolio with a meaningful emphasis on better quality issues. It is his
view that this is not the time to get reckless with respect to credit risk.
The Portfolio's manager has reduced the Portfolio's holdings in underperforming
companies and selectively raised exposure to improving credits during the
period. The plan is to selectively add attractively priced credits in an effort
to add more balance. In terms of quality, the Portfolio's exposure to the middle
B-rated segment of the market has been increased. In the view of the managers,
in a period of rising rates, a yield-oriented strategy may be prudent.
The Portfolio's manager expects a continuation of solid economic growth with
only a modest upward bias to inflation. He thinks both the stock market as well
as the high yield bond market should do better than U.S. Treasuries. In
addition, the manager will continue to focus closely on some of the stronger
companies in select commodity sectors such as paper, energy and steel where
conditions appear to be improving.
Government Securities
The U.S. economy was characterized by strong growth, low unemployment and
increased consumer and investor confidence. To ward off any inflationary
pressures, the Fed raised interest rates three times in 1999, effectively taking
back the three interest rate cuts implemented in 1998 following the various
economic crises overseas. With the global economic recovery underway, investors
focused their attention on forgotten areas of the stock market and maintained
their enthusiasm for the technology sector.
During 1999, the Portfolio maintained an emphasis on mortgage-backed securities
and U.S. Treasuries in an attempt to mimic the characteristics of the five to
10-year benchmark. Looking forward, the manager believes this strategy should
continue to be effective in 2000.
Global Government Bonds
The world economy demonstrated exceptional signs of resilience following the
series of economic and stock market crises that took place in 1998. However, the
trend of lower interest rates reversed in 1999 as the Fed raised interest rates
three times, effectively "taking back" the three interest rate cuts imposed in
the fall of 1998. The actions of the Fed largely contributed to the negative
performance of the overall bond market.
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However, the continued growth of the U.S. economy and many economies overseas
should allow bonds to trade in a range around fair value for some time to come.
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 and other equity securities of U.S. 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. The Portfolio presently has 55% of its assets invested
in electric utilities, 24% in natural gas companies and 21% in
telecommunications companies.
For the year ended December 31, 1999, the Portfolio posted a total return of a
negative 4.75% compared to the S&P 500 return of 21.03%. (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
the changes in the level of interest rates than to the broad-based stock market.
The Portfolio witnessed a significant outflow of funds throughout last year. The
Portfolio began the reporting period with total assets of approximately $37.5
million, and ended the year with $20.9 million. As a consequence of this
continuous drain of capital, the Portfolio's managers looked to preserve assets
as best as possible in a difficult market environment for the utilities sector,
while simultaneously meeting the capital outflow needs.
The Portfolio's holdings in the communications industry positively contributed
to performance during the reporting period. More specifically, investments in
Nextlink Communications, MediaOne Group, Montana Power Co. and MCI WorldCom
significantly added to the value of the Portfolio. Holdings in the traditional
electric and gas utilities sectors adversely affected the Portfolio during 1999.
EQUITY INDEX PORTFOLIO
The Equity Index Portfolio ("Portfolio") is managed to provide investment
results that, before expenses, match the price and yield performance of S&P 500.
For the year ended December 31, 1999, the Portfolio's Class I shares posted a
total return of 20.68% compared to the 21.03% return of the S&P 500 for the same
period. From their inception on March 22, 1999 through December 31, 1999, the
Portfolio's Class II shares returned 13.96%. In comparison, for the period
beginning March 31, 1999 through December 31, 1999, the S&P 500 returned 15.29%.
(Past performance is not indicative of future results.)
The U.S. stock market has continued its historically unprecedented rise for
another year. While interest rates have gone up this year, their adverse impact
on stock prices has been more than offset by strong earnings growth in 1999 and
money flows continue to be robust.
The most persuasive argument for the strength of the market is the significant
gain in productivity. According to statistics compiled by the Bureau of Labor
Statistics, the ratio of productivity growth to output growth has been above the
historical norm in 4 out of the last 6 years -- often by wide margins.
The magnitude and duration of this long bull market in stocks is unparalleled
and evidenced by the historically high price/earnings ratios for many large cap
stocks. (The price/earnings ratio is the price of a stock divided by its
earnings per share.)
The breadth of the current market run is also worth consideration. Last year,
50% of the top quintile momentum stocks were in the technology or
telecommunications sector. This year, that figure is up to 70%. The strong U.S.
stock market is in fact, segmented into the have and have-nots. While the S&P
500 and the Russell 2000 Index of smaller companies both advanced by 21% in
1999, the NASDAQ 100 Index rose by over 100%. On the other hand, the Russell
1000 Value Index of more economically sensitive companies gained only 7%.
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 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.
4
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GROWTH AND INCOME PORTFOLIO
The Growth and Income Portfolio ("Portfolio") seeks income and long-term capital
growth. 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 year
ended December 31, 1999, the Portfolio had a return of 10.66% versus the total
return of 21.03% for the S&P 500. (Past performance is not indicative of future
results.)
Last year's strong performance was a continuation of a multi-year bull market in
large-capitalization growth stocks. Solid earnings reports and the continued
strength of the U.S. economy contributed to the increase in share prices. The
positive stock market performance contrasted with the performance of the U.S.
bond market, where yields rose and returns were negative for longer maturity
issues. Bond investors feared that the continued strength of the economy would
lead to inflation. In an attempt to prevent inflation, the Fed raised interest
rates three times in 1999 by a total of 0.75%.
The Portfolio is widely diversified and participates in most of the major stock
market sectors. Due to the Portfolio's strategy of emphasizing companies that
pay dividends, the Portfolio is somewhat underweighted in the technology sector.
This underweight negatively impacted the Portfolio, as technology stocks
performed strongly in 1999. Additionally, the decline in the bond market
negatively impacted the Portfolio's corporate bond holdings.
The Portfolio is a fully invested fund. Under most market conditions, the
Portfolio will continue to be substantially invested in equities with a minimal
cash component.
During the last six months of the reporting period, three new companies were
added to the Portfolio -- Baxter International, Quaker Oats and PNC Bank. Baxter
International was added to the Portfolio due to the manager's belief that the
company was strengthening its position in hospital supplies, more specifically
in blood related supplies. Although Quaker Oaks is mainly known as a cereal
company, its Gatorade sports drink franchise, in the opinion of the manager, is
its most valuable product line. New corporate management is focused on
developing and expanding this product line which should have a positive effect
on the company's revenues. PNC Bank was added to the Portfolio due to its
prospects for future growth.
Several companies, including Albertson's, TCA Cable and Xerox were eliminated
from the Portfolio during the reporting period. The Portfolio originally held
American Stores, which was merged, into Albertson's. The position was eliminated
due to the difficulties in merging the American Store operations and the
challenges presented by a very competitive food-retailing environment. TCA Cable
was acquired by Cox Communications, a company that does not pay a dividend and
therefore was eliminated from the Portfolio. The Portfolio's position in Xerox
was sold due to problems in the Company's core copying business. These problems
largely contributed to their inability to meet earnings projections.
In 1999, U.S. stocks increased while bond prices declined. In the manager's
opinion, it is unlikely that the same will occur in 2000. The performance of the
markets will be in large part determined by the actions of the Fed. If the Fed
continues to raise interest rates, stock prices may be vulnerable. The manager
continues to believe however, that the Fed will limit rate increases, as
inflation should remain low. Looking ahead, stocks should continue to perform
well, powered by strong earnings increases.
EMERGING GROWTH PORTFOLIO
The Emerging Growth Portfolio ("Portfolio") seeks capital appreciation by
investing primarily in common stocks of emerging growth companies, without
regard to market capitalization. The Portfolio focuses on domestic and foreign
companies that the manager believes are in the early stages of their life cycles
and have the potential to become major enterprises. The Portfolio posted a total
return of 107.14% for the year ended December 31, 1999, compared to the 85.59%
return of the NASDAQ Composite Index. (Past performance is not indicative of
future results.)
Special Shareholder Notice
On January 31, 2000, the Board of Trustees of Greenwich Street Series Fund
approved the following with respect to the Emerging Growth Portfolio
("Portfolio"):
1. The termination of Van Kampen Asset Management ("VKAM") as investment adviser
to the Portfolio. VKAM will be replaced by SSB Citi Fund Management LLC
("SSBC") commencing on February 20, 2000. SSBC will render investment
advisory services to the Portfolio on an interim basis pending approval by a
majority vote of shareholders of the Portfolio as defined in the Investment
Company Act of 1940, as amended. The interim investment and advisory
agreement between the Portfolio and SSBC is substantively identical to the
agreement with VKAM. SSBC employs a "bottom-up" stock fundamental analysis
process which may emphasize companies with some or all of the following
qualities: (i) new technologies, products or services; (ii) new cost reducing
measures; (iii) positive earnings; and
5
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(iv) changes in management. The interim agreement by its terms may be
effective until the earlier of 150 days or until the Portfolio's shareholders
have considered and ratified or rejected the investment advisory agreement.
2. The submission to shareholders of a new investment advisory agreement with
SSBC. The new agreement will have terms and conditions substantively
identical to the current and interim agreements; and if approved by a
majority vote of the Portfolio's shareholders, the new agreement will take
effect upon termination of the interim agreement.
Richard Freeman, investment officer of SSBC and managing director of Salomon
Smith Barney Inc., will be responsible for the day-to-day management of the
Portfolio. Mr. Freeman has 16 years of experience with SSBC or its predecessors.
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
managed the Portfolio from the "bottom up," meaning that they evaluate each
company individually before deciding to invest.
During 1999, the Portfolio was invested heavily in companies taking advantage of
burgeoning technologies such as the Internet and wireless communications. These
holdings significantly contributed to the performance of the Portfolio, as the
technology sector delivered the best return for the year.
Looking ahead, the managers envision a strong worldwide economy characterized by
low inflation and consistent earnings growth. This continued economic strength
may lead the Fed to raise interest rates that could affect the performance of
the stock market. The managers believe that regardless of what occurs in the
near future, the best long-term course of action is to maintain the Portfolio's
investment objective by focusing only on companies with rising earnings
expectations that reasonably valued.
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio ("Portfolio") seeks total return on its
assets from growth of capital and income. The Portfolio seeks to achieve its
objective by investing primarily in equity securities of foreign companies. For
the year ended December 31, 1999, the Portfolio posted a total return of 66.20%
compared to the MSCI EAFE Index which posted 26.96% for the same period. (Past
performance is not indicative of future results. The MSCI EAFE Index consists of
the equity total returns for Europe, Australasia, New Zealand and the Far East.)
International equity markets performed well compared to the U.S. market during
the past twelve months as many of the negative influences of 1998 dissipated.
Prompt policy responses by central financial institutions stemmed the anxieties
of the previous year. Ample financial liquidity fueled genuine recovery in many
troubled economies and the concurrent financial market rallies.
For many years, large capitalization U.S. growth stocks led global financial
markets. In recent months, however, international markets have assumed
leadership and provided strong absolute and relative returns. In the view of the
managers, the opportunities over the next several years, as measured by growth,
structural change and valuation, augur well for the performance of international
equities.
The Portfolio's outperformance of the MSCI EAFE Index can be largely attributed
to the Portfolio's Asian growth stocks holdings and the good performance of
small- and mid-capitalization stocks during the reporting period. The strength
of the Japanese yen also positively contributed to the performance of the
Portfolio.
The composition of the Portfolio changed during the reporting period, the result
of an increased commitment to Asian stocks as the Portfolio's realized profits
in selected European situations consistent with the Portfolio's risk parameters.
The Portfolio's European position at the end of the year was 55% and its Asian
position was 40%. Assets in Canada, Latin America, other emerging markets and
cash comprise the balance.
The performance of the European equity markets was flat for most of the past
year. Yet recent evidence has shown that, in conjunction with the Asian economic
recovery, business conditions are improving in Europe. The new European
currency, the Euro, after declining precipitously versus the U.S. dollar since
its January 1999 debut, has stabilized in recent months. (The Euro is the single
currency of the European Monetary Union that was adopted by Belgium, Germany,
Spain, France, Ireland, Italy, Luxembourg, the Netherlands, Austria, Portugal
and Finland on January 1, 1999.)
The most notable trend in Europe this year has been the exceptionally high level
of merger and acquisition activity, driven by industrial concentration and a
desire to build scale. Hostile takeovers in a number of industries
(telecommunications, financial
6
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services and energy) have served notice clearly to incumbent managements that
inferior strategic execution will no longer be tolerated. The availability of
capital to fund hostile takeovers is a new feature of the European investment
environment.
The developed Asian equity markets turned in exceptional performance during the
year, led by renewed confidence in Japan. After years of unremitting bad news
from Asia, growth resumed in many of the Asian economies (such as Korea,
Singapore, Taiwan and Thailand.) Currencies stabilized, allowing interest rates
to decline in many economies, causing a reallocation back to the equity markets
by many local investors.
Japan has embarked upon a major restructuring program after many years of
ineffective policies. The financial system is being revamped, interest rates are
at very low levels, and multinational companies has announced very significant
plans to lower expenses, improve productivity and boost returns on invested
capital. Economic growth has resumed and surveys of business expectations are
improving. While the managers are cognizant that the recovery in Japan is
fragile, they believe Japanese stocks are inexpensive in a global context given
the substantial changes likely to occur in the economy.
During the reporting period, several Asian companies were added to the
Portfolio, including: Matsushita Communications Industries, a Japanese company
which supplies mobile communications equipment in Japan, a deregulating telecom
marketplace; Softbank, a Japanese company with a well-diversified portfolio of
global Internet interests and opportunities; and Venture Manufacturing, an
outsourcing company based in Singapore which should benefit from the growth of
the global electronics industry and the growing trend of branded technology
leaders subcontracting their manufacturing to subcontractors.
Emerging markets rallied sharply earlier this year as the global financial
crisis eased. Prospects of accelerating global growth next year have caused
selected commodity prices to firm, benefiting the generally commodity dependant
export economies. The Portfolio has not added any significant new holding in the
emerging markets as year 2000 concerns and resultant problems, if any, are
likely to be most acute in those economies.
In closing, thank you for your investment in the Greenwich Street Series Fund.
We look forward to helping you pursue your financial goals in the new century.
Sincerely,
/s/ HEATH B. MCLENDON
Heath B. McLendon
Chairman
January 14, 2000
7
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PERFORMANCE COMPARISON -- DIVERSIFIED STRATEGIC INCOME PORTFOLIO AS OF 12/31/99
(UNAUDITED)
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<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------
<S> <C>
Year Ended 12/31/99 1.72%
Five Years Ended 12/31/99 8.62%
10/16/91* through 12/31/99 6.68%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 12/31/99 70.08%
* Commencement of operations
</TABLE>
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 December 31, 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 10000.00 10000.00
12/91 10140.00 10507.00
12/92 10284.00 11285.00
12/93 11576.00 12386.00
12/94 11251.00 12024.00
12/95 13071.00 14246.00
12/96 14530.00 14944.00
12/97 15713.00 16385.00
12/98 16720.00 17809.00
12/31/99 17008.00 17663.00
</TABLE>
- Diversified Strategic Income Portfolio
- -- Lehman Brothers Aggregate Bond Index
- --------------------------------------------------------------------------------
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 12/31/99 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- -----------------------------------------
<S> <C>
Year Ended 12/31/99 (4.75)%
Five Years Ended 12/31/99 14.08%
10/16/91* through 12/31/99 9.98%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 12/31/99 118.50%
* Commencement of operations
</TABLE>
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 December 31,
1999 with that of a similar
investment in the Variable
Annuity Lipper Equity Income
Funds Peer Group Average and
Standard & Poor's 500 Index ("S&P
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 S&P
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 466 equity
income funds as of December 31,
1999 which underlie variable
annuities.
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO VARIABLE ANNUITY LIPPER
----------------------- EQUITY INCOME FUNDS PEER STANDARD & POOR'S 500
GROUP AVERAGE INDEX
------------------------ ---------------------
<S> <C> <C> <C>
10/16/91 10000.00 10000.00 10000.00
12/91 10200.00 10559.00 10838.00
12/92 11397.00 11782.00 11668.00
12/93 12583.00 13758.00 12844.00
12/94 11308.00 14094.00 13012.00
12/95 14979.00 16510.00 17898.00
12/96 15876.00 18034.00 19988.00
12/97 19610.00 23075.00 26656.00
12/98 22941.00 25781.00 34279.00
12/31/99 21850.00 27204.00 41489.00
</TABLE>
- Equity Income Portfolio
-- Variable Annuity Lipper Equity Income Funds Peer Group Average
-- Standard & Poor's 500 Index
- --------------------------------------------------------------------------------
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
12/31/99 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------
<S> <C>
Year Ended 12/31/99 20.68%
Five Years Ended 12/31/99 27.62%
10/16/91* through 12/31/99 19.11%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 12/31/99 320.52%
* Commencement of operations
</TABLE>
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 December 31, 1999 with
that of a similar investment in
the Standard & Poor's 500 Index
("S&P 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 S&P 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
12/31/99 42052.00 41489.00
</TABLE>
- Equity Index Portfolio (Class I Shares)
- -- Standard & Poor's 500 Index
- --------------------------------------------------------------------------------
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 12/31/99
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------
<S> <C>
Year Ended 12/31/99 10.66%
Five Years Ended 12/31/99 18.94%
10/16/91* through 12/31/99 13.17%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
10/16/91* through 12/31/99 176.33%
* Commencement of operations
</TABLE>
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 December 31,
1999, with that of a similar
investment in the Variable
Annuity Lipper Growth & Income
Funds Peer Group Average and
Standard & Poor's 500 Index ("S&P
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 S&P
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 1,353
growth and income funds as of
December 31, 1999 which underlie
variable annuities.
<TABLE>
<CAPTION>
VARIABLE ANNUITY LIPPER STANDARD & POOR'S
GROWTH AND INCOME GROWTH & INCOME FUNDS 500 INDEX
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 34279.00
12/31/99 27633.00 29973.00 41489.00
</TABLE>
- Growth and Income Portfolio
- -- Variable Annuity Lipper Growth & Income Funds Peer Group
- -- Standard & Poor's 500 Index
- --------------------------------------------------------------------------------
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 12/31/99 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------
<S> <C>
Year Ended 12/31/99 107.14%
Five Years Ended 12/31/99 42.10%
12/3/93* through 12/31/99 32.69%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
12/3/93* through 12/31/99 458.10%
* Commencement of operations
</TABLE>
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 December 31,
1999 with that of a similar
investment in the NASDAQ
Composite Index
("NASDAQ"). Index information is
available at month-end only;
therefore, the closest month-end
to inception date of the
Portfolio has been used. The
NASDAQ 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 10000.00 10000.00
12/93 10410.00 10297.00
12/94 9631.00 9968.00
12/95 13762.00 13947.00
12/96 16215.00 17115.00
12/97 19646.00 20819.00
12/98 26943.00 29071.00
12/31/99 55810.00 53949.00
</TABLE>
- Emerging Growth Portfolio
- -- NASDAQ Composite Index
- --------------------------------------------------------------------------------
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 12/31/99
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------
<S> <C>
Year Ended 12/31/99 66.20%
Five Years Ended 12/31/99 20.60%
12/3/93* through 12/31/99 15.09%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C>
12/3/93* through 12/31/99 134.98%
* Commencement of operations
</TABLE>
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 December
31, 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>
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
12/31/99 23498.00 19989.00
</TABLE>
- International Equity Portfolio
- -- Morgan Stanley EAFE Index
- --------------------------------------------------------------------------------
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 DECEMBER 31, 1999
- --------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 59.9%
$100,000 Abbey National N.A. matures 2/3/00.......................... 6.04% $ 99,452
125,000 ABN-AMRO Bank matures 1/26/00............................... 6.30 124,457
125,000 American Express Credit Corp. matures 1/26/00............... 6.25 124,462
125,000 ANZ Delaware Inc. matures 2/7/00............................ 6.04 124,232
125,000 AT&T Corp. matures 1/27/00.................................. 6.09 124,454
100,000 BCI Funding Corp. matures 2/8/00............................ 5.95 99,380
100,000 Bell South Financial Services matures 1/25/00............... 5.97 99,605
100,000 Bell South Telecommunication matures 2/2/00................. 6.20 99,454
151,000 BMW U.S. Capital Corp. matures 1/4/00....................... 5.00 150,938
100,000 CIT Group Holdings, Inc. matures 1/20/00.................... 6.04 99,683
100,000 Credito Italiano Delaware Inc. matures 1/7/00............... 6.36 99,895
125,000 Dresdner US Finance Inc. matures 1/7/00..................... 6.29 124,870
100,000 Ford Motor Credit Co. matures 1/10/00....................... 6.57 99,836
100,000 General Electric Capital Corp. matures 2/3/00............... 5.99 99,459
100,000 General Motors Acceptance Corp. matures 1/26/00............. 5.57 99,614
125,000 Goldman Sachs & Co. matures 2/3/00.......................... 6.09 124,313
125,000 GTE Funding matures 2/8/00.................................. 6.30 124,175
100,000 Halifax PLC matures 2/4/00.................................. 6.05 99,435
100,000 J.P. Morgan & Co. matures 1/18/00........................... 5.50 99,748
100,000 National Australia Funding Delaware matures 1/14/00......... 6.42 99,769
125,000 Oesterreich Kontrollbank matures 1/18/00.................... 6.63 124,610
100,000 Procter & Gamble Co. matures 1/27/00........................ 6.38 99,541
125,000 San Paolo US Finance Inc. matures 1/19/00................... 5.99 124,629
125,000 Unifunding Inc. matures 1/25/00............................. 5.99 124,507
150,000 Union Bank of Switzerland matures 1/3/00.................... 5.00 149,959
- --------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $2,840,477)................. 2,840,477
- --------------------------------------------------------------------------------------------------------
TIME DEPOSITS -- 15.8%
150,000 Bank Austriaiengellschaft matures 1/3/00.................... 4.75 150,000
150,000 Chase Manhattan Bank matures 1/3/00......................... 4.00 150,000
150,000 Paribas SA matures 1/3/00................................... 5.00 150,000
150,000 Republic National Bank of New York matures 1/3/00........... 5.25 150,000
150,000 Societe Generale matures 1/3/00............................. 5.00 150,000
- --------------------------------------------------------------------------------------------------------
TOTAL TIME DEPOSITS (Cost -- $750,000)...................... 750,000
- --------------------------------------------------------------------------------------------------------
FEDERAL AGENCY DISCOUNT NOTES -- 10.9%
158,000 Federal Farm Credit Bank matures 1/21/00.................... 5.80 157,493
100,000 Federal Home Loan Bank matures 1/14/00...................... 5.79 99,792
110,000 Federal Home Loan Mortgage Corp. matures 1/27/00............ 5.86 109,538
150,000 Federal National Mortgage Assocation matures 2/18/00........ 5.68 148,880
- --------------------------------------------------------------------------------------------------------
TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost -- $515,703)...... 515,703
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
YANKEE CERTIFICATES OF DEPOSIT -- 10.5%
$100,000 Bank of Montreal matures 1/13/00............................ 6.33% $ 100,000
100,000 Canadian Imperial Bank of Commerce matures 1/20/00.......... 6.43 100,000
100,000 Deutsche Bank matures 1/18/00............................... 6.20 100,002
100,000 Svenska Handelsbanken matures 1/14/00....................... 6.06 99,994
100,000 Westdeutsche Landesbank matures 2/2/00...................... 6.05 100,000
- --------------------------------------------------------------------------------------------------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost -- $499,996)..... 499,996
- --------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.9%
136,000 Morgan Guaranty, 3.00% due 1/3/00; Proceeds at
maturity -- $136,034;
(Fully collateralized by U.S. Treasury Note, 6.63% due
7/31/01;
Market value -- $136,161) (Cost -- $136,000)................ 136,000
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $4,742,176*)............. $4,742,176
- --------------------------------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECTOR -- 49.6%
$ 1,660,000 Federal Home Loan Bank, zero coupon to yield 7.297% due
3/16/23..................................................... $ 274,398
Federal National Mortgage Association:
3,221,416 6.000% due 10/1/12 through 9/1/13........................... 3,059,315
10,376,306 7.500% due 9/1/29........................................... 10,266,006
Government National Mortgage Association:
2,409,022 7.500% due 12/15/28 @....................................... 2,383,414
15,994,074 7.000% due 9/15/23 through 7/15/29 @........................ 15,454,275
2,000,200 8.000% due 11/15/29 through 12/15/29........................ 2,021,441
5,000,000 US Treasury Principal Strip, zero coupon to yield 6.668% due
11/15/09++.................................................. 2,528,700
- ------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT SECTOR (Cost -- $36,967,968).......... 35,987,549
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
HIGH YIELD SECTOR -- 34.8%
- --------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 34.4%
- --------------------------------------------------------------------------------------------------------
AEROSPACE -- 0.3%
200,000 B- Dunlop Standard Aero Holding, 11.875% due 5/15/09++......... 206,000
- --------------------------------------------------------------------------------------------------------
ALUMINUM -- 0.5%
Kaiser Aluminum & Chemical:
30,000 B1* Series B, 10.875% due 10/15/06.............................. 30,300
75,000 B1* Series D, 10.875% due 10/15/06.............................. 76,031
275,000 B3* 12.750% due 2/1/03++........................................ 275,688
- --------------------------------------------------------------------------------------------------------
382,019
- --------------------------------------------------------------------------------------------------------
APPAREL -- 0.1%
75,000 B- Tropical Sportswear International Corp., 11.000% due
6/15/08..................................................... 72,187
- --------------------------------------------------------------------------------------------------------
AUTO PARTS: OEM -- 0.7%
105,000 B Collins & Aikman Products, 11.500% due 4/15/06.............. 103,950
135,000 B Dura Operating Corp., 9.000% due 5/1/09..................... 127,238
Hayes Lemmerz International, Inc.:
40,000 B 11.000% due 7/15/06......................................... 42,100
40,000 B 8.250% due 12/15/08......................................... 36,800
125,000 B3* Key Plastics Inc., Series B, 10.250% due 3/15/07............ 58,750
105,000 B+ Tenneco Automotive Inc., 11.625% due 10/15/09 (b)++......... 107,494
- --------------------------------------------------------------------------------------------------------
476,332
- --------------------------------------------------------------------------------------------------------
AUTOMOTIVE AFTERMARKET -- 0.1%
95,000 B+ Exide Corp., 10.000% due 4/15/05++.......................... 91,675
- --------------------------------------------------------------------------------------------------------
BROADCASTING -- 0.1%
90,000 B Capstar Broadcasting, step bond to yield 11.002% due
2/1/09...................................................... 79,650
- --------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.9%
190,000 B Amatek Industries, 12.000% due 2/15/08...................... 182,400
200,000 B Atrium Cos. Inc., 10.500% due 5/1/09 (b).................... 196,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
BUILDING PRODUCTS -- 0.9% (CONTINUED)
$ 100,000 B NCI Building Systems Inc., 9.250% due 5/1/09................ $ 95,000
210,000 B+ Nortek Inc., 9.125% due 9/1/07.............................. 203,700
- --------------------------------------------------------------------------------------------------------
677,100
- --------------------------------------------------------------------------------------------------------
CABLE TELEVISION -- 4.0%
365,000 B+ Adelphia Communications Corp., 9.875% due 3/1/07............ 370,475
Adelphia Communications Corp. (Century Communications
Corp.):
410,000 BB- Zero coupon to yield 10.113% due 1/15/08.................... 182,450
65,000 BB- 8.375% due 11/15/17......................................... 58,500
95,000 B+ Charter Communications Holdings LLC, step bond to yield
9.920% due 4/1/11......................................... 56,050
200,000 BB- CSC Holdings, 10.500% due 5/15/16........................... 223,000
205,000 B Echostar DBS Corp., 9.375% due 2/1/09....................... 206,025
80,000 B+ Insight Midwest Capital, 9.750% due 10/1/09 (b)............. 83,200
270,000 B- NTL Communications Corp., 11.500% due 10/1/08............... 293,625
90,000 B- RCN Corp., step bond to yield 11.461% due 10/15/07.......... 64,575
165,000 BB- Rogers Cablesystems Ltd., 11.000% due 12/1/15............... 186,450
225,000 B+ Telewest Communications PLC, 11.250% due 11/1/08............ 246,375
720,000 B- United International Holdings, step bond to yield 11.869%
due 2/15/08................................................. 460,800
825,000 B United Pan-Europe Communications N.V., step bond to yield
12.500% due 8/1/09........................................ 474,375
- --------------------------------------------------------------------------------------------------------
2,905,900
- --------------------------------------------------------------------------------------------------------
CASINO AND GAMBLING -- 1.0%
365,000 B Harvey Casinos Resorts, 10.625% due 6/1/06.................. 374,581
120,000 B Hollywood Casino Corp. 11.250% due 5/1/07................... 125,400
30,000 B Hollywood Casino Shreveport, 13.000% due 8/1/06 (b)++....... 32,250
70,000 NR Jazz Casino Co. LLC, 5.867% due 11/15/09.................... 39,900
Sun International Hotels Limited:
50,000 Ba3* 9.000% due 3/15/07.......................................... 48,250
70,000 Ba3* 8.625% due 12/15/07......................................... 65,800
30,000 B- Venetian Casino Resort LLC, 12.250% due 11/15/04............ 26,250
- --------------------------------------------------------------------------------------------------------
712,431
- --------------------------------------------------------------------------------------------------------
CHEMICALS -- 0.9%
30,000 BB- Georgia Gulf Corp., 10.375% due 11/1/07 (b)................. 31,425
Huntsman ICI Chemicals:
575,000 B+ Zero coupon to yield 13.067% due 12/31/09 (b)............... 173,219
145,000 B+ 10.125% due 7/1/09 (b)...................................... 150,075
Lyondell Chemical:
170,000 BB 9.625% due 5/1/07........................................... 175,100
80,000 BB 9.875% due 5/1/07........................................... 83,000
55,000 B ZSC Specialty Chemicals PLC, 11.000% due 7/1/09 (b)......... 57,200
- --------------------------------------------------------------------------------------------------------
670,019
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
COAL MINING -- 0.4%
$ 390,000 Caa2* AEI Resources Inc., 10.500% due 12/15/05 (b)................ $ 276,900
35,000 B P&L Coal Holdings Corp., 9.625% due 5/15/08................. 34,125
- --------------------------------------------------------------------------------------------------------
311,025
- --------------------------------------------------------------------------------------------------------
CONSTRUCTION/AG EQUIPMENT/TRUCKS -- 0.2%
150,000 B Columbus McKinnon Corp., 8.500% due 4/1/08.................. 129,750
- --------------------------------------------------------------------------------------------------------
CONTAINERS/PACKAGING -- 0.7%
125,000 B AEP Industries Inc., 9.875% due 11/15/07.................... 121,250
15,000 B BWAY Corp., 10.250% due 4/15/07............................. 15,056
50,000 B Huntsman Packaging Corp., 9.125% due 10/1/07................ 48,500
135,000 B Stone Container, 11.500% due 8/15/06 (b).................... 143,944
50,000 B- Sweetheart Cup Corp., Inc., 10.500% due 9/1/03.............. 47,875
140,000 B- Tekni-Plex Inc., 11.250% due 4/1/07......................... 151,550
- --------------------------------------------------------------------------------------------------------
528,175
- --------------------------------------------------------------------------------------------------------
CONTRACT DRILLING -- 1.0%
140,000 B+ Parker Drilling Co., 9.750% due 11/15/06.................... 138,250
190,000 BB Pride International Inc., 10.000% due 6/1/09................ 194,275
300,000 BB- RBF Finance Co., 11.375% due 3/15/09........................ 324,750
40,000 Ba3* R&B Falcon Corp., 12.250% due 3/15/06....................... 44,300
- --------------------------------------------------------------------------------------------------------
701,575
- --------------------------------------------------------------------------------------------------------
DISCOUNT STORES -- 0.8%
390,000 B+ Ames Department Stores, 10.000% due 4/15/06................. 386,100
155,000 BB+ K-Mart Corp., 12.500% due 3/1/05............................ 175,344
- --------------------------------------------------------------------------------------------------------
561,444
- --------------------------------------------------------------------------------------------------------
DIVERSIFIED COMMERCIAL SERVICES -- 0.3%
250,000 B- Outsourcing Solutions, 11.000% due 11/1/06.................. 240,000
- --------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 0.1%
Amresco Inc.:
50,000 CCC- 10.000% due 3/15/04......................................... 30,000
85,000 CCC- 9.875% due 3/15/05.......................................... 51,000
- --------------------------------------------------------------------------------------------------------
81,000
- --------------------------------------------------------------------------------------------------------
DIVERSIFIED MANUFACTURING -- 0.3%
70,000 B- Blount International, Inc., 13.000% due 8/1/09 (b).......... 73,850
150,000 B+ Park-Ohio Industries, 9.250% due 12/1/07.................... 145,500
- --------------------------------------------------------------------------------------------------------
219,350
- --------------------------------------------------------------------------------------------------------
ENGINEERING AND CONSTRUCTION -- 0.8%
45,000 B- American Plumbing & Mechanical, 11.625% due 10/15/08........ 42,750
340,000 B Group Maintenance America Corp., 9.750% due 1/15/09......... 338,300
170,000 BB- Integrated Electrical Services, 9.375% due 2/1/09........... 168,725
- --------------------------------------------------------------------------------------------------------
549,775
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
ENVIRONMENTAL SERVICES -- 1.2%
$ 675,000 B+ Allied Waste Industries, Inc., 10.000% due 8/1/09 (b)++..... $ 604,125
165,000 B+ IT Group Inc., 11.250% due 4/1/09........................... 159,431
90,000 B+ URS Corp., 12.250% due 5/1/09............................... 94,725
- --------------------------------------------------------------------------------------------------------
858,281
- --------------------------------------------------------------------------------------------------------
FOOD DISTRIBUTORS -- 1.0%
70,000 B- Agrilink Foods Inc., 11.875% due 11/1/08.................... 69,300
650,000 B2* Carrols Corp., 9.500% due 12/1/08........................... 598,000
60,000 B- Premier International Foods PLC, 12.000% due 9/1/09 (b)..... 60,000
10,000 B SC International Services, 9.250% due 9/1/07................ 9,037
- --------------------------------------------------------------------------------------------------------
736,337
- --------------------------------------------------------------------------------------------------------
FOODS -- SPECIALTY/CANDY -- 0.2%
100,000 B- B&G Foods Inc., 9.625% due 8/1/07........................... 89,250
120,000 B Imperial Holly, 9.750% due 12/15/07......................... 87,000
- --------------------------------------------------------------------------------------------------------
176,250
- --------------------------------------------------------------------------------------------------------
FOREST PRODUCTS -- 0.6%
275,000 B Ainsworth Lumber, 12.500% due 7/15/07....................... 303,188
100,000 B+ Millar Western Forest Products, 9.875% due 5/15/08.......... 100,000
- --------------------------------------------------------------------------------------------------------
403,188
- --------------------------------------------------------------------------------------------------------
HOME FURNISHINGS -- 0.1%
75,000 B Falcon Products Inc., 11.375% due 6/15/09................... 72,000
- --------------------------------------------------------------------------------------------------------
HOMEBUILDING -- 0.5%
380,000 BB- US Home Corp., 8.875% due 2/15/09........................... 342,000
- --------------------------------------------------------------------------------------------------------
HOSPITAL/NURSING MANAGEMENT -- 0.4%
60,000 Ba3* Fresenius Medical Cap Trust., 7.875% due 2/1/08............. 54,750
270,000 B- Magellan Health Services, Inc., 9.000% due 2/15/08.......... 218,700
- --------------------------------------------------------------------------------------------------------
273,450
- --------------------------------------------------------------------------------------------------------
HOTELS/RESORTS -- 0.8%
270,000 B- Courtyard By Marriott, 10.750% due 2/1/08................... 264,600
140,000 BB HMH Properties Inc., 8.450% due 12/01/08.................... 130,200
185,000 B+ Intrawest Corp., 9.750% due 8/15/08......................... 182,225
- --------------------------------------------------------------------------------------------------------
577,025
- --------------------------------------------------------------------------------------------------------
INSURANCE COMPANIES -- 0.3%
125,000 Caa* SIG Capital Trust I, 9.500% due 8/15/27..................... 50,312
200,000 B Veritas Capital Trust, 10.000% due 1/1/28................... 150,500
- --------------------------------------------------------------------------------------------------------
200,812
- --------------------------------------------------------------------------------------------------------
INTERNET SERVICES -- 1.3%
60,000 Caa2* Cybernet Internet Services International, Inc. 14.000% due
7/1/09...................................................... 52,200
120,000 B- Exodus Communications, Inc., 10.750% due 12/15/09 (b)....... 122,100
PSInet Inc.:
200,000 B- 11.500% due 11/1/08......................................... 210,000
145,000 B- 11.000% due 8/1/09.......................................... 150,075
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
INTERNET SERVICES -- 1.3% (CONTINUED)
Verio Inc.:
$ 115,000 B- 10.375% due 4/1/05.......................................... $ 116,869
185,000 B- 11.250% due 12/1/08......................................... 195,175
125,000 B- 10.625% due 11/15/09 (b).................................... 128,437
- --------------------------------------------------------------------------------------------------------
974,856
- --------------------------------------------------------------------------------------------------------
LEISURE/MOVIES/ENTERTAINMENT -- 0.4%
70,000 B- AMC Entertainment Inc., 9.500% due 2/1/11................... 61,775
85,000 B- Premier Parks, Inc., step bond to yield 10.817% due
4/1/08...................................................... 57,800
150,000 B- SFX Entertainment, 9.125% due 2/1/08........................ 142,125
- --------------------------------------------------------------------------------------------------------
261,700
- --------------------------------------------------------------------------------------------------------
MACHINERY -- INDUSTRIAL COMPONENTS -- 0.1%
104,000 B- Alvey Systems Inc., 11.375% due 1/31/03..................... 107,640
- --------------------------------------------------------------------------------------------------------
MEDICAL SPECIALTIES -- 0.1%
70,000 B- Hanger Orthopedic Group, 11.250% due 6/15/09++.............. 72,450
- --------------------------------------------------------------------------------------------------------
METALS/MINERALS-OTHER -- 0.1%
115,000 B- Haynes International Inc., 11.625% due 9/1/04............... 95,163
- --------------------------------------------------------------------------------------------------------
MULTI-SECTOR COMPANIES -- 0.6%
425,000 B- Triarc Consumer & Beverage, 10.250% due 2/15/09 (b)......... 406,937
- --------------------------------------------------------------------------------------------------------
NEWSPAPERS -- 0.3%
220,000 B+ Garden State Newspapers, 8.625% due 7/1/11.................. 200,475
- --------------------------------------------------------------------------------------------------------
OIL AND GAS PRODUCTION -- 1.1%
105,000 B1* Belco Oil & Gas Corp., 8.875% due 9/15/07................... 100,800
55,000 B Canadian Forest Oil Corp., 10.500% due 1/15/06.............. 55,825
25,000 B Chesapeake Energy Corp., 9.625% due 5/1/05.................. 23,750
200,000 B Clark USA, 10.875% due 12/1/05.............................. 90,000
200,000 B1* Coda Energy Inc. (Belco Oil & Gas Corp.), 10.500% due
4/1/06...................................................... 204,500
140,000 B+ Nuevo Energy Co., 9.500% due 6/1/08......................... 140,175
150,000 B Stone Energy Corp., 8.750% due 9/15/07...................... 146,625
35,000 B+ Vintage Petroleum, 9.750% due 6/30/09....................... 36,225
- --------------------------------------------------------------------------------------------------------
797,900
- --------------------------------------------------------------------------------------------------------
OIL/GAS TRANSMISSION -- 0.1%
50,000 BB- Leviathan Gas & Pipeline Corp., 10.375% due 6/1/09.......... 51,938
- --------------------------------------------------------------------------------------------------------
PAPER -- 1.3%
140,000 B Doman Industries Limited, 8.750% due 3/15/04................ 120,400
325,000 CCC+ Repap New Brunswick, 10.625% due 4/15/05.................... 300,625
Riverwood International:
130,000 B- 10.625% due 8/1/07.......................................... 134,875
255,000 CCC+ 10.875% due 4/1/08.......................................... 252,450
180,000 BB+ Tembec Finance Corp., 9.875% due 9/30/05.................... 187,200
- --------------------------------------------------------------------------------------------------------
995,550
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
PHARMACEUTICALS -- 0.5%
$ 210,000 BB ICN Pharmaceuticals Inc., 9.250% due 8/15/05................ $ 207,375
110,000 B King Pharmaceuticals, Inc., 10.750% due 2/15/09++........... 117,425
- --------------------------------------------------------------------------------------------------------
324,800
- --------------------------------------------------------------------------------------------------------
PHOTOGRAPHIC PRODUCTS -- 0.5%
375,000 BB- Polaroid Corp., 11.500% due 2/15/06......................... 365,625
- --------------------------------------------------------------------------------------------------------
PRINTING/FORMS -- 0.1%
60,000 NR Merrill Corp., 12.000% due 5/1/09 (b)....................... 58,425
- --------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST -- 0.2%
75,000 NR Ocwen Asset Investment, 11.500% due 7/1/05.................. 63,750
101,000 Baa3* Trizec Finance Ltd., 10.875% due 10/15/05................... 105,545
- --------------------------------------------------------------------------------------------------------
169,295
- --------------------------------------------------------------------------------------------------------
RENTAL/LEASING COMPANIES -- 0.2%
120,000 BB- Avis Rent A Car Inc., 11.000% due 5/1/09.................... 126,900
- --------------------------------------------------------------------------------------------------------
RETAIL-FOOD CHAINS -- 0.1%
50,000 B+ Stater Bros. Holdings Inc., 10.750% due 08/15/06............ 50,250
- --------------------------------------------------------------------------------------------------------
RETAIL-OTHER SPECIALTY STORES -- 0.0%
45,000 B- Advance Stores Co., Inc., 10.250% due 4/15/08 (b)........... 39,150
- --------------------------------------------------------------------------------------------------------
SAVINGS AND LOANS ASSOCIATIONS -- 0.1%
100,000 CCC+ Ocwen Capital Trust I, 10.875% due 8/1/27................... 63,500
- --------------------------------------------------------------------------------------------------------
SEMICONDUCTORS -- 0.0%
15,000 B Fairchild Semiconductor, 10.125% due 3/15/07................ 15,300
- --------------------------------------------------------------------------------------------------------
STEEL/IRON ORE -- 0.9%
65,000 BB- The LTV Corp., 11.750% due 11/15/09 (b)..................... 67,925
125,000 B+ Russel Metals Inc., 10.000% due 6/1/09...................... 122,187
125,000 B+ WCI Steel Inc., 10.000% due 12/1/04......................... 127,500
315,000 B- WHX Corp., 10.500% due 4/15/05.............................. 308,700
- --------------------------------------------------------------------------------------------------------
626,312
- --------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.2%
Call-Net Enterprises, Inc.:
30,000 B+ Step bond to yield 12.787% due 8/15/08...................... 14,400
55,000 B+ 9.375% due 5/15/09.......................................... 45,650
Esprit Telecom:
100,000 B- 11.500% due 12/15/07........................................ 100,750
100,000 B- 10.875% due 6/15/08......................................... 99,500
Hermes Europe Rail:
100,000 B 11.500% due 8/15/07......................................... 103,250
170,000 B 10.375% due 1/15/09......................................... 169,150
ICG Communications Inc.:
55,000 B- Step bond to yield 12.930% due 9/15/05...................... 47,850
95,000 B- Step bond to yield 12.921% due 5/1/06....................... 72,200
KMC Telecom Holdings Inc.:
55,000 B- Step Bond to yield 15.836% due 2/15/08...................... 29,838
140,000 NR 13.500% due 5/15/09 (b)..................................... 138,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
TELECOMMUNICATIONS -- 4.2% (CONTINUED)
$ 290,000 B Level 3 Communications, step bond to yield 11.322% due
12/1/08..................................................... $ 175,450
Metromedia Fiber Network:
370,000 B+ 10.000% due 11/15/08........................................ 380,175
95,000 B+ 10.000% due 12/15/09........................................ 97,850
Nextlink Communications:
220,000 B Step bond to yield 12.066% due 6/1/09....................... 137,500
175,000 B Step bond to yield 12.125% due 12/1/09 (b).................. 104,563
155,000 B 10.750% due 6/1/09.......................................... 160,425
60,000 B2* Omnipoint Corp., 11.625% due 8/15/06........................ 64,050
30,000 B- Primus Telecom Group, 11.750% due 8/1/04.................... 29,700
160,000 B- Tele1 Europe BV, 13.000% due 5/15/09........................ 164,800
100,000 B- Versatel Telecom BV, 13.250% due 5/15/08.................... 107,000
355,000 B- Viatel Inc., 11.250% due 4/15/08............................ 355,000
155,000 BB- Williams Communications Group, Inc., 10.875% due 10/1/09.... 162,750
300,000 NR World Access, Inc., 13.250% due 1/15/08..................... 271,500
- --------------------------------------------------------------------------------------------------------
3,031,601
- --------------------------------------------------------------------------------------------------------
TELEPHONE-CELLULAR -- 2.5%
AirGate PCS, Inc.:
40,000 Caa1* Step bond to yield 13.548% due 10/1/09...................... 22,200
120,000 NR Step bond to yield 13.255% due 10/1/09 (c).................. 78,000
70,000 B- Centennial Cellular, 10.750% due 12/15/08................... 75,425
185,000 B Crown Castle International Corp., step bond to yield 11.116%
due 5/15/11................................................. 116,088
55,000 NR Dobson/Sygnet Communications Corp., 12.250% due 12/15/08.... 61,050
Microcell Telecommunications:
55,000 B3* Step bond to yield 11.842% due 6/1/06....................... 48,812
190,000 B- Step bond to yield 11.734% due 6/1/09....................... 123,025
125,000 B- Millicom International Cellular, step bond to yield 14.226%
due 6/1/06.................................................. 102,812
Nextel Communications:
80,000 B1* Step bond to yield 10.655% due 9/15/07...................... 60,200
255,000 B1* Step bond to yield 10.545% due 2/15/08...................... 180,412
35,000 B3* Nextel Partners Inc., step bond to yield 13.110% due
2/1/09...................................................... 23,100
360,000 NR Spectrasite Holdings Inc., step bond to yield 11.250% due
4/15/09..................................................... 191,700
Telesystems International:
45,000 CCC+ Series B, step bond to yield 15.746% due 6/30/07............ 27,450
330,000 CCC+ Series C, step bond to yield 11.624% due 11/1/07............ 181,500
320,000 B3* Triton PCS Inc., step bond to yield 11.258% due 5/1/08...... 227,200
105,000 CCC+ US Unwired Inc., step bond to yield 13.375 due 11/1/09
(b)......................................................... 62,475
VoiceStream Wireless Corp.:
90,000 B2* Step bond to yield 11.875% due 11/15/09 (b)................. 54,450
190,000 B2* 10.375% due 11/15/09 (b).................................... 195,700
- --------------------------------------------------------------------------------------------------------
1,831,599
- --------------------------------------------------------------------------------------------------------
TRANSPORTATION-MARINE -- 0.3%
210,000 B- Oglebay Norton Co., 10.000% due 2/1/09...................... 204,750
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
UNREGULATED POWER GENERATION -- 1.0%
AES Corp.:
$ 280,000 BB 10.250% due 7/15/06......................................... $ 283,500
235,000 Ba1* 9.500% due 6/1/09++......................................... 237,350
200,000 BB+ Calpine Corp., 10.500% due 5/15/06.......................... 210,500
- --------------------------------------------------------------------------------------------------------
731,350
- --------------------------------------------------------------------------------------------------------
WHOLESALE DISTRIBUTORS -- 0.1%
60,000 B Buhrman U.S. Inc., 12.250% due 11/1/09 (b).................. 62,400
35,000 B- Fisher Scientific International, 9.000% due 2/1/08.......... 33,688
- --------------------------------------------------------------------------------------------------------
96,088
- --------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $25,651,501)....... 24,934,304
- --------------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS AND NOTES -- 0.0%
CONTRACT DRILLING -- 0.0%
20,000 B- Parker Drilling Co., 5.500% due 8/1/04 (Cost -- $14,269).... 14,000
- --------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
COMMON STOCK -- 0.0%
TELECOMMUNICATIONS-OTHER -- 0.0%
942 World Access, Inc. (d) (Cost -- $16,190).................... 18,146
- --------------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.3%
- --------------------------------------------------------------------------------------------------------
SAVINGS AND LOANS ASSOCIATIONS -- 0.1%
2,400 California Federal Preferred Capital Corp., 9.125% Series A,
Exchangeable................................................ 54,150
- --------------------------------------------------------------------------------------------------------
HOSPITAL/NURSING MANAGEMENT -- 0.2%
150,000 Fresenius Medical Cap Trust, 9.000%......................... 144,375
- --------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $215,850).................... 198,525
- --------------------------------------------------------------------------------------------------------
WARRANTS -- 0.1% (d)
- --------------------------------------------------------------------------------------------------------
BROADCASTING -- 0.0%
150 Australis Holdings, Expire 10/30/01 (b)..................... 1
450 UIH Australia, Expire 5/15/06............................... 13,500
- --------------------------------------------------------------------------------------------------------
13,501
- --------------------------------------------------------------------------------------------------------
CABLE TELEVISION -- 0.0%
750 Wireless One Inc., Expire 10/19/00.......................... 186
- --------------------------------------------------------------------------------------------------------
INTERNET SERVICES -- 0.0%
60 Cybernet Internet Services International, Inc., Expire
7/1/09 (b).................................................. 4,830
125 Splitrock Service, Expire 7/15/08........................... 11,750
225 WAM! Net Inc., Expire 3/1/05................................ 5,119
- --------------------------------------------------------------------------------------------------------
21,699
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS-OTHER -- 0.1%
150 RSL Communications Ltd., Expire 11/15/06.................... $ 6,000
110 Tele1 Europe BV, Expire 5/15/09 (b)......................... 19,250
100 Versatel Telecom, Expire 5/15/08 (b)........................ 41,000
- --------------------------------------------------------------------------------------------------------
66,250
- --------------------------------------------------------------------------------------------------------
TELEPHONE-CELLULAR -- 0.0%
100 Iridium World Communications, Expire 7/15/05 (b)............ 1
- --------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $17,869)............................ 101,637
- --------------------------------------------------------------------------------------------------------
TOTAL HIGH YIELD SECTOR (Cost -- $25,915,679)............... 25,266,612
- --------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
INTERNATIONAL SECTOR -- 15.6%
- --------------------------------------------------------------------------------------------------------
BONDS -- 15.6%
- --------------------------------------------------------------------------------------------------------
CANADA -- 0.3%
300,000 KFW International Finance, 9.500% due 5/13/02............... 220,937
- --------------------------------------------------------------------------------------------------------
EUROPE -- 4.1%
2,000,000 EUR Buoni Poliennali Del Tes, 3.250% due 4/15/04................ 1,887,039
225,000 EUR Dolphin Telecom., step bond to yield 11.481% due 6/1/08..... 108,809
150,000 EUR Kappa Beheer BV, 10.625 due 7/15/09 (b)..................... 159,436
300,000 EUR Republic of Italy, 6.000% due 4/2/04........................ 313,522
500,000 EUR Republic of Portugal, 6.000% due 2/16/04.................... 520,875
- --------------------------------------------------------------------------------------------------------
2,989,681
- --------------------------------------------------------------------------------------------------------
GERMANY -- 4.1%
2,000,000 EUR Bundesobligation, 3.250% due 2/17/04........................ 1,904,368
1,000,000 EUR Bundesobligation, 3.500% due 11/11/03....................... 966,692
175,000 Esprit Telecom, 11.500% due 12/15/07........................ 91,502
100,000 Texon International, 10.000% due 2/1/08++................... 45,332
- --------------------------------------------------------------------------------------------------------
3,007,894
- --------------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 7.0%
500,000 European Investment Bank, 8.000% due 6/10/03................ 832,741
50,000 EUR Head Holding GMBH, 10.750% due 7/15/06 (b).................. 52,893
500,000 Interamer Development Bank, 7.125% due 11/26/04............. 818,051
75,000 EUR Jazztel PLC, 13.250% due 12/15/09 (b)....................... 75,939
2,000,000 United Kingdom Treasury, 6.500% due 12/7/03................. 3,260,258
- --------------------------------------------------------------------------------------------------------
5,039,882
- --------------------------------------------------------------------------------------------------------
UNITED STATES -- 0.1%
100,000 EUR NTL Communications Corp., step bond to yield 11.397% due
11/15/09.................................................... 58,938
- --------------------------------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $12,012,264)........................... 11,317,332
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.0%
EUROPE -- 0.0%
175 Tele1 Europe BV warrant, Expire 5/15/09 (d)(Cost -- $0)..... $ 30,885
- --------------------------------------------------------------------------------------------------------
TOTAL INTERNATIONAL SECTOR (Cost -- $12,012,264)............ 11,348,217
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $74,895,911**)........... $72,602,378
- --------------------------------------------------------------------------------------------------------
</TABLE>
@ Security segregated by custodian for open forward foreign currency
contracts.
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*) 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) Security issued with attached warrants.
(d) Non-income producing security.
+ Face amount represents local currency, unless otherwise indicated.
++ All or a portion of this security is on loan (See Note 16).
** Aggegate cost for Federal income tax purposes is substantially the same.
See page 47 for definition of ratings.
CURRENCY ABBREVIATION:
EUR -- Euro
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 85.4%
- -----------------------------------------------------------------------------------------
GAS -- 9.1%
18,000 Coastal Corp. .............................................. $ 637,875
15,000 Southwest Gas Corp. ........................................ 345,000
30,000 Williams Cos. Inc. ......................................... 916,875
- -----------------------------------------------------------------------------------------
1,899,750
- -----------------------------------------------------------------------------------------
TELECOMMUNICATION -- 21.2%
3,750 AT&T Corp. ................................................. 190,313
10,000 Bell Atlantic Corp. ........................................ 615,625
20,250 MCI WorldCom, Inc. (a)...................................... 1,074,516
17,000 MediaOne Group, Inc. ....................................... 1,305,813
6,000 NEXTLINK Communications Inc., Class A Shares (a)............ 498,375
15,000 SBC Communications Inc. .................................... 731,250
- -----------------------------------------------------------------------------------------
4,415,892
- -----------------------------------------------------------------------------------------
UTILITIES -- 55.1%
25,000 Cinergy Corp. .............................................. 603,125
25,000 CMS Energy Corp. ........................................... 779,688
5,000 Consolidated Edison Co. of New York, Inc. .................. 172,500
15,000 Consolidated Natural Gas Co. ............................... 974,062
30,000 DQE Inc. ................................................... 1,038,750
30,000 Edison International........................................ 785,624
27,000 El Paso Energy Corp. ....................................... 1,047,937
20,000 Energen Corp. .............................................. 361,250
10,000 Energy East Corp. .......................................... 208,125
20,000 FirstEnergy Corp. .......................................... 453,750
30,000 The Montana Power Co. ...................................... 1,081,875
15,000 National Fuel Gas Co. ...................................... 697,500
25,000 Niagara Mohawk Power Co. (a)................................ 348,438
18,457 NSTAR....................................................... 747,509
21,000 Peco Energy Co. ............................................ 729,750
14,500 Pinnacle West Capital Co. .................................. 443,155
30,000 Unicom Corp. ............................................... 1,005,000
- -----------------------------------------------------------------------------------------
11,478,038
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $12,919,181).................... 17,793,680
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(b) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
CORPORATE BONDS AND NOTES -- 14.6%
$250,000 AA- Dayton Power & Light Co., First Mortgage, 8.150% due
1/15/26..................................................... $ 243,438
Duquesne Light Co., First Collateral Trust:
200,000 A3* 8.375% due 5/15/24.......................................... 196,250
250,000 A3* 7.550% due 6/15/25.......................................... 227,500
200,000 AA- Idaho Power Co., First Mortgage, 8.750% due 3/15/27......... 201,000
300,000 Aa2* Kentucky Utilities Co., First Mortgage, 8.550% due
5/15/27..................................................... 298,125
Madison Gas & Electric Co., First Mortgage:
200,000 AA 8.500% due 4/15/22.......................................... 198,000
500,000 AA 7.700% due 2/15/28.......................................... 461,875
New York State Electric & Gas Corp., First Mortgage:
250,000 A 8.300% due 12/15/22......................................... 243,750
250,000 A 7.450% due 7/15/23.......................................... 229,375
400,000 AA+ Wisconsin Electric Power Co., First Mortgage, 7.050% due
8/1/24...................................................... 353,500
425,000 AA+ Wisconsin Public Service Corp., First Mortgage, 7.125% due
7/1/23...................................................... 379,312
- -----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $3,199,797)........ 3,032,125
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $16,118,978**)........... $20,825,805
- -----------------------------------------------------------------------------------------------------
</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.
24
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
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EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
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<C> <S> <C>
COMMON STOCK -- 97.5%
- ---------------------------------------------------------------------------------------------
BASIC INDUSTRIES -- 3.4%
12,364 Air Products & Chemicals, Inc. ............................. $ 414,966
11,726 Alcan Aluminium Ltd. ....................................... 482,964
19,759 Alcoa, Inc. ................................................ 1,639,997
5,050 Allegheny Technologies, Inc. ............................... 113,309
10,535 Allied Waste Industries, Inc. (a)........................... 92,840
6,045 Avery Dennison Corp. ....................................... 440,528
21,215 Barrick Gold Corp. ......................................... 375,240
2,819 Bemis, Inc. ................................................ 98,311
7,262 Bethlehem Steel Corp. (a)................................... 60,818
3,132 Boise Cascade Corp. ........................................ 126,846
5,146 Champion International Corp. ............................... 318,730
11,810 Dow Chemical Co. ........................................... 1,578,111
56,293 E.I. du Pont de Nemours & Co. .............................. 3,708,301
6,683 Engelhard Corp. ............................................ 126,142
1,617 FMC Corp. (a)............................................... 92,673
8,762 Freeport-McMoRan Copper & Gold, Inc., Class B Shares........ 185,097
9,190 Georgia Pacific Corp. ...................................... 466,393
3,137 Great Lakes Chemical Corp. ................................. 119,794
5,737 Hercules, Inc. ............................................. 159,919
13,974 Homestake Mining Co. ....................................... 109,172
8,152 Ikon Office Solutions, Inc. ................................ 55,535
10,495 Inco Ltd. .................................................. 246,633
22,272 International Paper Co. .................................... 1,256,975
4,780 ITT Industries Inc. ........................................ 159,830
29,294 Kimberly-Clark Corp. ....................................... 1,911,433
5,499 Louisiana Pacific Corp. .................................... 78,361
5,513 Mead Corp. ................................................. 239,471
8,410 Molex, Inc. ................................................ 476,742
34,276 Monsanto Co. ............................................... 1,221,083
396 Nacco Industries, Inc. ..................................... 22,003
9,145 Newmont Mining Corp. ....................................... 224,053
4,691 Nucor Corp. ................................................ 257,125
4,393 Phelps Dodge Corp. ......................................... 294,880
17,585 Placer Dome, Inc. .......................................... 189,038
1,511 Potlatch Corp. ............................................. 67,428
8,633 Praxair, Inc. .............................................. 434,348
6,068 Quintiles Transnational Corp. (a)........................... 113,396
3,440 Reynolds Metals Co. ........................................ 263,590
11,712 Rohm & Haas Co. ............................................ 476,532
5,502 Sigma-Aldrich Corp. ........................................ 165,404
7,199 Union Camp. Corp. .......................................... 480,533
25,757 United Technologies Corp. .................................. 1,674,205
4,746 USX-U.S. Steel Group........................................ 156,618
33,426 Waste Management, Inc. ..................................... 574,508
5,318 Westvaco Corp. ............................................. 173,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
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EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
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<C> <S> <C>
BASIC INDUSTRIES -- 3.4% (CONTINUED)
12,680 Weyerhaeuser Co. ........................................... $ 910,583
6,002 Willamette Industries, Inc. ................................ 278,718
4,736 Worthington Industries, Inc. ............................... 78,440
3,923 W.R. Grace & Co. (a)........................................ 54,432
- ---------------------------------------------------------------------------------------------
23,245,548
- ---------------------------------------------------------------------------------------------
BUILDING MATERIALS -- 0.0%
5,357 Vulcan Materials Co. ....................................... 213,945
- ---------------------------------------------------------------------------------------------
CAPITAL GOODS -- 6.2%
2,083 Armstrong World Industries, Inc. ........................... 69,520
5,997 The B.F. Goodrich Co. ...................................... 164,918
50,331 Boeing Co. ................................................. 2,091,882
1,268 Briggs & Stratton Corp. .................................... 67,995
19,161 Caterpillar, Inc. .......................................... 901,764
3,072 Centex Corp. ............................................... 75,840
5,068 Cooper Industries, Inc. .................................... 204,936
3,673 Crane Co. .................................................. 73,001
2,167 Cummins Engine, Inc. ....................................... 104,693
8,777 Dana Corp. ................................................. 262,761
7,704 Danaher Corp. .............................................. 371,718
12,535 Deere & Co. ................................................ 543,706
30,478 Delphi Automotive Systems Corp. ............................ 480,027
11,030 Dover Corp. ................................................ 500,485
3,948 Eaton Corp. ................................................ 286,724
23,439 Emerson Electric Co. ....................................... 1,344,813
4,136 Fluor Corp. ................................................ 189,738
1,983 Foster Wheeler Corp. ....................................... 17,599
10,849 General Dynamics Corp. ..................................... 572,285
176,783 General Electric Co. (a).................................... 27,357,169
16,222 Illinois Tool Works, Inc. .................................. 1,095,999
8,758 Ingersoll Rand Co. ......................................... 482,237
4,549 Johnson Controls, Inc. ..................................... 258,724
2,548 Kaufman & Broad Home Corp. ................................. 61,630
21,202 Lockheed Martin Corp. ...................................... 463,794
1,830 Milacron, Inc. ............................................. 28,136
3,378 Navistar International Corp. (a)............................ 160,033
3,791 Northrop Grumman Corp. ..................................... 204,951
3,014 Owens-Corning Fiberglass Corp. ............................. 58,208
8,133 Owens-Illinois.............................................. 203,833
4,246 Paccar, Inc. ............................................... 188,151
6,070 Parker Hannifin Corp. ...................................... 311,467
3,966 Progressive Corp. .......................................... 290,014
18,113 Raytheon Corp., Class B Shares.............................. 481,127
10,248 Rockwell International Corp. ............................... 490,623
4,869 Stanley Works............................................... 146,679
7,972 Textron, Inc. .............................................. 611,353
8,692 Thermo Electron Corp. (a)................................... 130,380
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
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<C> <S> <C>
CAPITAL GOODS -- 6.2% (CONTINUED)
3,080 Thomas & Betts Corp. ....................................... $ 98,175
3,169 Timken Co. ................................................. 64,766
6,591 TRW, Inc. .................................................. 342,320
- ---------------------------------------------------------------------------------------------
41,854,174
- ---------------------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.5%
4,658 Black & Decker Corp. ....................................... 243,380
4,231 Cooper Tire & Rubber Co. ................................... 65,845
13,216 Corning, Inc. .............................................. 1,704,038
1,674 Fleetwood Enterprises, Inc. ................................ 34,526
65,121 Ford Motor Co. ............................................. 3,479,903
34,511 General Motors Corp. ....................................... 2,508,518
9,565 Genuine Parts Co. .......................................... 237,331
8,479 Goodyear Tire & Rubber Co. ................................. 239,002
10,549 Leggett & Platt, Inc. ...................................... 226,144
24,189 Masco Corp. ................................................ 613,796
4,502 Maytag Corp. ............................................... 216,096
15,174 Newell Rubbermaid, Inc. .................................... 440,046
2,194 Pulte Corp. ................................................ 49,365
3,195 Snap-On, Inc. .............................................. 84,867
4,021 Whirlpool Corp. ............................................ 261,616
- ---------------------------------------------------------------------------------------------
10,404,473
- ---------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 7.2%
25,058 Anheuser-Busch Cos., Inc. .................................. 1,775,986
32,607 Archer-Daniels-Midland Co. ................................. 397,398
7,754 Autozone, Inc. (a).......................................... 250,551
13,010 Avon Products, Inc. ........................................ 429,330
1,601 Ball Corp. ................................................. 63,039
7,583 Bed Bath & Beyond Inc. (a).................................. 263,509
10,995 Best Buy Co., Inc. (a)...................................... 551,812
3,707 Brown-Forman Corp., Class B Shares.......................... 212,226
23,049 Campbell Soup Co. .......................................... 891,708
12,714 Clorox Co. ................................................. 640,468
133,093 The Coca Cola Co. .......................................... 7,752,667
22,969 Coca Cola Enterprises, Inc. ................................ 462,251
31,369 Colgate Palmolive Co. ...................................... 2,038,985
26,579 Conagra, Inc. .............................................. 599,689
1,973 Coors Adolph Co., Class B Shares............................ 103,583
6,642 Crown Cork & Seal Co., Inc. ................................ 148,615
4,180 Eastman Chemical Co. ....................................... 199,334
17,026 Eastman Kodak Co. .......................................... 1,127,972
16,037 FDX Corp. .................................................. 656,515
11,550 Fort James Corp. ........................................... 316,181
8,859 Fortune Brands, Inc. ....................................... 292,901
16,449 General Mills, Inc. ........................................ 588,052
57,783 Gillette Co. ............................................... 2,379,937
10,501 Hasbro, Inc. ............................................... 200,175
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 7.2% (CONTINUED)
7,420 Hershey Foods Corp. ........................................ $ 352,450
19,234 H.J. Heinz Co. ............................................. 765,754
5,654 International Flavors & Fragrances, Inc. ................... 213,439
21,804 Kellogg Co. ................................................ 671,836
3,213 Liz Claiborne, Inc. ........................................ 120,889
22,433 Mattel, Inc. ............................................... 294,433
73,002 McDonald's Corp. ........................................... 2,942,893
17,455 Nabisco Group Holdings Corp. ............................... 185,459
15,140 Nike Inc., Class B Shares................................... 750,376
17,496 Office Depot, Inc. ......................................... 191,363
78,355 PepsiCo, Inc. .............................................. 2,762,014
127,608 Philip Morris Cos., Inc. (b)................................ 2,958,910
2,499 Polaroid Corp. ............................................. 47,012
70,826 Procter & Gamble Co. ....................................... 7,759,874
7,233 Quaker Oats Co. ............................................ 474,666
17,484 Ralston Purina Group........................................ 487,367
3,129 Reebok International Ltd. (a)............................... 25,619
1,822 Russell Corp. .............................................. 30,519
49,049 Sara Lee Corp. ............................................. 1,082,144
23,355 Seagram Ltd. ............................................... 1,049,515
8,868 The Sherwin Williams Co. ................................... 186,228
8,238 Tricon Global Restaurants, Inc. (a)......................... 318,193
3,236 Tupperware Corp. ........................................... 54,810
30,840 Unilever NV, New York Shares................................ 1,678,853
9,340 UST, Inc. .................................................. 235,251
6,362 VF Corp. ................................................... 190,860
6,246 William Wrigley Jr. Co. .................................... 518,028
- ---------------------------------------------------------------------------------------------
48,691,639
- ---------------------------------------------------------------------------------------------
CONSUMER SERVICES -- 11.9%
46 Abercombie & Fitch Co., Class A Shares...................... 1,228
2,949 Alberto Culver Co., Class B Shares.......................... 76,121
22,796 Albertsons, Inc. ........................................... 735,171
3,562 American Greetings Corp., Class A Shares.................... 84,152
15,049 Bestfoods................................................... 791,013
5,094 Brunswick Corp. ............................................ 113,341
33,270 Carnival Corp. ............................................. 1,590,722
41,099 CBS Corp. .................................................. 2,627,767
38,297 Cendant Corp. (a)........................................... 1,017,264
7,495 CenturyTel, Inc. ........................................... 355,076
10,902 Circuit City Stores, Inc. .................................. 491,271
18,236 Clear Channel Communications, Inc. ......................... 1,627,563
40,553 Comcast Corp., Class A Shares............................... 2,037,788
6,079 Consolidated Stores Corp. .................................. 98,784
11,967 Costco Cos, Inc. (a)........................................ 1,091,989
21,129 CVS Corp. .................................................. 843,839
7,117 Darden Restaurants, Inc. ................................... 128,996
23,718 Dayton Hudson Corp. ........................................ 1,741,791
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 11.9% (CONTINUED)
3,867 Deluxe Corp. ............................................... $ 106,101
5,731 Dillard Department Stores, Inc., Class A Shares............. 115,695
14,299 Dollar General Corp. ....................................... 325,302
4,814 Dow Jones & Co. Inc. ....................................... 327,352
8,576 Dun & Bradstreet Corp. ..................................... 252,992
6,951 Ecolab, Inc. ............................................... 271,958
58,728 Eli Lilly & Co. ............................................ 3,905,412
7,750 Equifax, Inc. .............................................. 182,608
11,297 Federated Department Stores, Inc. (a)....................... 571,206
15,019 Gannett, Inc. .............................................. 1,224,986
46,168 Gap, Inc. .................................................. 2,123,728
1,995 Great Atlantic & Pacific Tea Co., Inc. ..................... 55,610
3,858 Harcourt General, Inc. ..................................... 155,284
6,970 Harrah's Entertainment, Inc (a)............................. 184,269
19,764 Hilton Hotels Corp. ........................................ 190,227
124,026 Home Depot, Inc. ........................................... 8,503,533
15,165 The Interpublic Group of Cos., Inc. ........................ 874,830
14,184 J.C. Penney Co. ............................................ 282,794
1,785 Jostens, Inc. .............................................. 43,398
26,681 Kmart Corp. (a)............................................. 268,478
4,475 Knight Ridder, Inc. ........................................ 266,263
8,807 Kohls Corp. ................................................ 635,755
44,933 Kroger Co. (a).............................................. 848,110
11,642 Limited, Inc. .............................................. 504,244
2,252 Longs Drug Stores Corp. .................................... 58,130
20,635 Lowes Corp. ................................................ 1,232,941
13,385 Marriott International, Inc. ............................... 422,464
17,997 May Department Stores Co. .................................. 580,403
10,576 McGraw Hill Cos., Inc. ..................................... 651,746
32,957 MediaOne Group, Inc. (a).................................... 2,531,510
2,816 Meredith Corp. ............................................. 117,391
10,205 Mirage Resorts, Inc. (a).................................... 156,264
2,091 National Service Industries, Inc. .......................... 61,685
9,216 New York Times Co., Class A Shares.......................... 452,736
7,511 Nordstrom, Inc. ............................................ 196,694
9,538 Omnicom Group, Inc. ........................................ 953,800
13,299 Paycheck Inc. .............................................. 531,960
3,105 The Pep Boys - Manny, Moe and Jack.......................... 28,333
6,867 R.R. Donnelley & Sons Co. .................................. 170,387
13,997 Rite Aid Corp. ............................................. 156,591
27,470 Safeway, Inc. (a)........................................... 976,902
4,443 Sealed Air Corp. (a)........................................ 230,203
20,454 Sears, Roebuck & Co. ....................................... 622,569
14,640 Service Corp. International................................. 101,565
992 Spring Industries, Inc. .................................... 39,618
25,148 Staples, Inc. (a)........................................... 521,821
7,372 SuperValu, Inc. ............................................ 147,440
17,800 Sysco Corp. ................................................ 704,213
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 11.9% (CONTINUED)
10,376 Tandy Corp. ................................................ $ 510,370
3,033 Temple Inland, Inc. ........................................ 199,988
69,323 Time Warner, Inc. .......................................... 5,021,585
3,187 Times Mirror Co., Class A Shares............................ 213,529
16,551 TJX Cos., Inc. ............................................. 338,261
13,367 Toys 'R' Us, Inc. (a)....................................... 191,315
12,779 Tribune Co. ................................................ 703,644
3,867 US Airways Group, Inc. (a).................................. 123,984
37,508 Viacom, Inc., Non Voting Shares (a)......................... 2,266,890
54,021 Walgreen Co. ............................................... 1,580,114
239,753 Wal-Mart Stores, Inc. ...................................... 16,572,926
111,223 Walt Disney Co. ............................................ 3,253,273
6,502 Wendy's International, Inc. ................................ 134,104
7,985 Winn Dixie Stores, Inc. .................................... 191,141
5,083 W.W. Grainger, Inc. ........................................ 243,031
- ---------------------------------------------------------------------------------------------
80,865,532
- ---------------------------------------------------------------------------------------------
ENERGY -- 6.3%
11,102 AES Corp. (a)............................................... 829,874
4,929 Amerada Hess Corp. ......................................... 279,721
6,832 Anadorka Petroleum Corp. ................................... 233,142
6,205 Apache Corp. ............................................... 229,197
3,856 Ashland, Inc. .............................................. 127,007
17,386 Atlantic Richfield Co. ..................................... 1,503,889
17,777 Baker Hughes, Inc. ......................................... 374,428
11,627 Burlington Resources, Inc. ................................. 384,418
35,360 Chevron Corp. .............................................. 3,063,060
8,496 Cinergy Corp. .............................................. 204,966
11,488 Coastal Corp. .............................................. 407,106
33,667 Conoco, Inc., Class B Shares................................ 837,467
8,108 Constellation Energy Group.................................. 235,132
1,475 Eastern Enterprises......................................... 84,720
18,655 Edison International........................................ 488,528
12,290 El Paso Energy Co. ......................................... 477,006
38,587 Enron Corp. ................................................ 1,712,297
186,110 Exxon Mobil Corp. .......................................... 14,993,487
12,422 First Energy Corp. ......................................... 281,824
23,828 Halliburton Co. ............................................ 959,077
4,703 Kerr McGee Corp. ........................................... 291,586
8,048 LSI Logic Corp. (a)......................................... 543,240
3,445 McDermott International, Inc. .............................. 31,220
6,249 New Century Energies, Inc. ................................. 189,813
19,935 Occidental Petroleum Corp. ................................. 431,094
7,976 Pactiv Corp. (a)............................................ 84,744
13,710 Phillips Petroleum Co. ..................................... 644,370
4,643 Rowan Cos., Inc. (a)........................................ 100,695
115,486 Royal Dutch Petroleum Co. (b)............................... 6,979,685
29,640 Schlumberger Ltd. .......................................... 1,667,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 6.3% (CONTINUED)
13,082 Sempra Energy............................................... $ 227,300
4,867 Sunoco Inc. ................................................ 114,375
29,825 Texaco, Inc. ............................................... 1,619,870
7,845 Tosco corp. ................................................ 213,285
5,738 Transocean Sedco Forex, Inc. ............................... 193,309
13,389 Union Pacific Resources Group, Inc. ........................ 170,710
12,979 Unocal Corp. ............................................... 435,608
16,751 USX-Marathon Group.......................................... 413,540
23,360 Williams Cos., Inc. ........................................ 713,940
- ---------------------------------------------------------------------------------------------
42,771,980
- ---------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 13.4%
8,111 Aetna Inc. ................................................. 452,695
14,280 AFLAC, Inc. ................................................ 673,837
43,475 Allstate Corp. ............................................. 1,043,400
24,127 American Express Co. ....................................... 4,011,114
13,274 American General Corp. ..................................... 1,007,165
83,448 American International Group, Inc. ......................... 9,022,815
21,225 AmSouth Bancorp. ........................................... 409,908
39,176 Associates First Capital Corp. ............................. 1,074,890
61,700 Bank One Corp. ............................................. 1,978,256
39,716 Bank of New York Co., Inc. ................................. 1,588,640
91,936 BankAmerica Corp. .......................................... 4,614,038
17,732 BB&T Corp. ................................................. 485,413
6,425 Bear Stearns & Co. ......................................... 274,669
10,678 Capital One Financial Corp. ................................ 514,546
44,085 Charles Schwab Corp. ....................................... 1,691,762
44,413 Chase Manhattan Corp. ...................................... 3,450,334
9,480 Chubb Corp. ................................................ 533,843
10,043 CIGNA Corp. ................................................ 809,089
8,920 Cincinnati Financial Corp. ................................. 278,192
181,703 Citigroup Inc. ............................................. 10,095,872
8,409 Comerica, Inc. ............................................. 392,595
17,694 Conseco, Inc. .............................................. 316,280
6,114 Countrywide Credit Industries, Inc. ........................ 154,378
55,212 Fannie Mae.................................................. 3,447,299
16,638 Fifth Third Bancorp. ....................................... 1,220,813
22,582 First Data Corp. ........................................... 1,113,575
53,217 First Union Corp. .......................................... 1,746,183
52,658 Firstar, Corp. ............................................. 1,112,400
49,354 FleetBoston Financial Corp. ................................ 1,718,136
13,495 Franklin Resources Inc. .................................... 432,683
37,425 Freddie Mac................................................. 1,761,314
8,655 Golden West Financial Corp. of Delaware..................... 289,942
5,308 H&R Block, Inc. ............................................ 232,225
11,905 Hartford Financial Services Group, Inc. .................... 563,998
25,324 Household International Inc. ............................... 943,318
12,250 Huntington Bancshares....................................... 292,469
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
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SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 13.4% (CONTINUED)
9,312 J.P. Morgan & Co., Inc. .................................... $ 1,179,132
5,659 Jefferson Pilot Corp. ...................................... 386,227
24,184 KeyCorp. ................................................... 535,071
6,467 Lehman Brothers Holding, Inc. .............................. 547,674
10,453 Lincoln National Corp. ..................................... 418,120
5,669 Loews Corp. ................................................ 344,037
14,347 Marsh & McLennan Cos., Inc. ................................ 1,372,829
5,430 MBIA, Inc. ................................................. 286,772
43,257 MBNA Corp. ................................................. 1,178,753
27,418 Mellon Bank Corp. .......................................... 933,926
19,970 Merrill Lynch & Co., Inc. .................................. 1,667,494
5,718 MGIC Investment Corp. ...................................... 344,152
30,021 Morgan Stanley Dean Witter & Co. ........................... 4,285,498
33,113 National City Corp. ........................................ 784,364
12,056 Northern Trust Corp. ....................................... 638,968
6,417 Old Kent Financial Corp. ................................... 227,001
7,635 PaineWebber Group, Inc. .................................... 296,333
15,788 PNC Bank Corp. ............................................. 702,565
7,633 Providian Corp. ............................................ 695,080
11,866 Regions Financial Corp. .................................... 298,133
7,077 Safeco Corp. ............................................... 176,040
8,625 SLM Holding Corp. .......................................... 364,406
9,053 SouthTrust Corp. ........................................... 342,317
12,185 St. Paul Cos., Inc. ........................................ 410,482
8,624 State Street Corp. ......................................... 630,091
9,336 Summit Bancorp. ............................................ 285,915
17,233 Suntrust Bank, Inc. ........................................ 1,185,846
14,931 Synovus Financial Corp. .................................... 296,754
6,428 T. Rowe Price Associates, Inc. ............................. 237,433
7,107 Torchmark Corp. ............................................ 206,547
90,915 Tyco International Ltd. .................................... 3,534,321
39,174 U.S. BanCorp. Of Oregon..................................... 932,831
7,591 Union Planters Corp. ....................................... 299,370
12,866 UNumProvident Corp. ........................................ 412,516
10,949 Wachovia Corp. ............................................. 744,531
31,222 Washington Mutual, Inc. .................................... 811,771
88,424 Wells Fargo & Co. .......................................... 3,575,645
- ---------------------------------------------------------------------------------------------
91,317,031
- ---------------------------------------------------------------------------------------------
HEALTHCARE -- 8.5%
82,901 Abbott Laboratories......................................... 3,010,343
7,088 Allergan, Inc. ............................................. 352,628
5,486 Alza Corp. (a).............................................. 189,953
70,369 American Home Products Corp. ............................... 2,775,176
55,039 Amgen, Inc. (a)............................................. 3,305,780
13,826 Aon Corp. .................................................. 553,040
3,096 Bausch & Lomb, Inc. ........................................ 211,881
15,650 Baxter International, Inc. ................................. 983,016
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 8.5% (CONTINUED)
13,444 Becton, Dickinson & Co. .................................... $ 359,627
6,017 Biomet, Inc. (a)............................................ 240,680
22,193 Boston Scientific Corp. (a)................................. 485,472
106,854 Bristol-Myers-Squibb Co. ................................... 6,858,691
15,035 Cardinal Health, Inc. ...................................... 719,800
30,288 Columbia/HCA Healthcare Corp. .............................. 887,817
2,741 C.R. Bard, Inc. ............................................ 145,273
16,496 Guidant Corp. .............................................. 775,312
21,021 Healthsouth Corp. .......................................... 112,988
8,989 Humana, Inc. (a)............................................ 73,597
16,605 IMS Health, Inc. ........................................... 451,447
74,941 Johnson & Johnson........................................... 6,978,881
3,835 Mallinckrodt Group, Inc. ................................... 122,000
5,370 Manor Care, Inc. (a)........................................ 85,920
15,089 McKesson HBOC, Inc. ........................................ 340,446
64,382 Medtronic, Inc. ............................................ 2,345,919
125,986 Merck & Co., Inc. .......................................... 8,448,936
2,461 Millipore Corp. ............................................ 95,056
6,622 Pall Corp. ................................................. 142,786
208,664 Pfizer, Inc. ............................................... 6,768,538
27,998 Pharmacia & Upjohn, Inc. ................................... 1,259,910
79,146 Schering-Plough Corp. ...................................... 3,338,972
4,528 St. Jude Medical, Inc. (a).................................. 138,953
16,795 Tenet Healthcare Corp. (a).................................. 394,683
9,164 United Healthcare Corp. .................................... 486,836
46,242 Warner Lambert Co. ......................................... 3,788,953
5,161 Watson Pharmaceutical, Inc. ................................ 184,828
3,389 Wellpoint Health Networks, Inc. ............................ 223,462
- ---------------------------------------------------------------------------------------------
57,637,600
- ---------------------------------------------------------------------------------------------
TECHNOLOGY -- 29.8%
18,608 3Com Corp. (a).............................................. 874,574
5,471 Adaptec, Inc. (a)........................................... 272,866
8,088 ADC Telecommunications, Inc. (a)............................ 586,886
6,478 Adobe Systems, Inc. ........................................ 435,644
7,883 Advanced Micro Devices, Inc. (a)............................ 228,114
120,445 America Online, Inc. ....................................... 9,086,070
9,399 Analog Devices, Inc. (a).................................... 874,107
4,555 Andrew Corp. (a)............................................ 86,259
8,692 Apple Computer, Inc. (a).................................... 893,646
20,374 Applied Materials, Inc. (a)................................. 2,581,131
3,247 Autodesk, Inc. ............................................. 109,586
33,710 Automatic Data Processing, Inc. ............................ 1,816,125
13,095 BMC Software, Inc. ......................................... 1,046,781
9,726 Cabletron Systems, Inc. (a)................................. 252,876
7,763 Ceridian Corp. (a).......................................... 167,390
176,234 Cisco Systems, Inc. (a)..................................... 18,879,067
4,843 Citrix Systems, Inc. (a).................................... 595,687
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 29.8% (CONTINUED)
91,516 Compaq Computer Corp. (a)................................... $ 2,476,651
29,075 Computer Association International, Inc. ................... 2,033,433
9,004 Computer Sciences Corp. (a)................................. 852,003
19,271 Compuware Corp. ............................................ 717,844
3,824 Comverse Technology, Inc. (a)............................... 553,524
136,861 Dell Computer Corp. (a)..................................... 6,979,910
25,374 Electronic Data Systems Corp. .............................. 1,698,472
54,818 EMC Corp. (a)............................................... 5,988,865
17,021 Gateway, Inc. (a)........................................... 1,226,574
9,413 General Instrument Corp. (a)................................ 800,105
54,925 Hewlett Packard Co. ........................................ 6,258,108
42,642 Honeywell International, Inc. .............................. 2,459,910
179,988 Intel Corp. ................................................ 14,815,261
97,143 International Business Machines Corp. ...................... 10,491,444
4,834 KLA-Tencor Corp. ........................................... 538,386
6,858 Lexmark Intl. Group, Inc., Class A Shares (a)............... 620,649
168,781 Lucent Technologies, Inc. .................................. 12,626,928
14,567 Micron Technology, Inc. (a)................................. 1,132,583
278,008 Microsoft Corp. (a)......................................... 32,457,433
21,657 Minnesota Mining & Manufacturing Co. ....................... 2,119,678
32,808 Motorola, Inc. ............................................. 4,830,978
9,276 National Semiconductor Corp. (a)............................ 397,129
7,772 Network Appliance, Inc. .................................... 645,562
19,556 Nextel Communications, Inc. ................................ 2,016,713
71,985 Nortel Networks Corp. ...................................... 7,270,485
17,934 Novell, Inc. (a)............................................ 716,239
76,675 Oracle Corp. (a)............................................ 8,592,392
14,544 Parametric Technology Corp. (a)............................. 393,597
5,559 PE Corp. - PE Biosystems Group.............................. 668,818
13,290 Peoplesoft, Inc. ........................................... 283,242
2,526 Perkin - Elmer, Corp. ...................................... 105,303
14,282 Pitney Bowes, Inc. ......................................... 689,997
9,336 PPG Industries, Inc. ....................................... 584,084
35,564 QUALCOMM, Inc. (a).......................................... 6,268,155
4,261 Scientific-Atlanta, Inc. ................................... 237,018
11,273 Seagate Technology, Inc. ................................... 524,898
1,438 Shared Medical Systems Corp. ............................... 73,248
9,917 Silicon Graphics, Inc. (a).................................. 97,311
15,794 Solectron Corp. ............................................ 1,502,403
84,150 Sun Microsystems, Inc. (a).................................. 6,516,365
2,474 Tektronix, Inc. ............................................ 96,177
21,674 Tellabs, Inc. (a)........................................... 1,391,200
9,184 Teradyne, Inc. (a).......................................... 606,144
43,239 Texas Instruments, Inc. .................................... 4,188,777
11,757 Unicom Corp. ............................................... 393,860
16,743 Unisys Corp. (a)............................................ 534,730
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 29.8% (CONTINUED)
35,914 Xerox Corp. ................................................ $ 814,796
17,170 Xilinx, Inc (a)............................................. 780,698
14,179 Yahoo!, Inc. (a)............................................ 6,135,076
- ---------------------------------------------------------------------------------------------
202,989,965
- ---------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.6%
7,935 AMR Corp. .................................................. 531,645
24,522 Burlington Northern Santa Fe Corp. ......................... 594,658
11,781 CSX Corp. .................................................. 369,627
7,095 Delta Air Lines, Inc. ...................................... 353,420
5,947 Kansas City Southern Industries, Inc. ...................... 443,794
20,617 Norfolk Southern Corp. ..................................... 422,649
3,445 Ryder Systems, Inc. ........................................ 84,186
27,383 Southwest Airlines Co. ..................................... 443,261
13,373 Union Pacific Corp. ........................................ 583,396
- ---------------------------------------------------------------------------------------------
3,826,636
- ---------------------------------------------------------------------------------------------
UTILITIES -- 8.7%
16,915 Alltel Corp. ............................................... 1,398,658
7,460 Ameren Corp. ............................................... 244,315
10,552 American Electric Power, Inc. .............................. 338,983
172,177 AT & T Corp. ............................................... 8,737,983
83,626 Bell Atlantic Corp. ........................................ 5,148,225
101,427 BellSouth Corp. ............................................ 4,748,051
8,576 Carolina Power & Light Co. ................................. 261,032
11,386 Central & South West Corp. ................................. 227,720
6,198 CMS Energy Corp. ........................................... 193,300
4,417 Columbia Energy Group....................................... 279,375
11,968 Consolidated Edison Co. of New York, Inc. .................. 412,895
5,159 Consolidated Natural Gas Co. ............................... 335,013
10,326 Dominion Resources, Inc. ................................... 405,294
7,837 DTE Energy Co. ............................................. 245,886
19,692 Duke Energy Corp. .......................................... 987,060
13,312 Entergy Corp. .............................................. 342,784
5,259 Florida Progress Corp. ..................................... 222,521
9,716 FPL Group, Inc. ............................................ 415,966
40,839 Global Crossing Ltd. (a).................................... 2,041,950
6,731 GPU, Inc. .................................................. 201,508
52,393 GTE Corp. .................................................. 3,696,981
152,881 MCI WorldCom, Inc. ......................................... 8,112,275
10,295 Niagara Mohawk Holding, Inc. (a)............................ 143,487
2,455 Nicor, Inc. ................................................ 79,788
8,405 Northern States Power Co. of Minnesota...................... 163,897
1,704 Oneok, Inc. ................................................ 42,813
9,984 Peco Energy Co. ............................................ 346,943
1,894 Peoples Energy Corp. ....................................... 63,449
20,557 PG&E Corp. ................................................. 421,419
4,545 Pinnacle West Capital Corp. ................................ 138,907
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 8.7% (CONTINUED)
7,861 PP&L Resources, Inc. ....................................... $ 179,818
11,689 Public Service Enterprise Group............................. 406,923
15,935 Reliant Energy, Inc. ....................................... 364,513
183,860 SBC Communications, Inc. ................................... 8,963,174
36,283 Southern Co. ............................................... 852,651
46,953 Sprint FON Group............................................ 3,160,524
23,249 Sprint PCS Group............................................ 2,383,023
14,860 Texas Utilities Co. ........................................ 528,459
27,184 U.S. West Inc. ............................................. 1,957,248
- ---------------------------------------------------------------------------------------------
59,194,811
- ---------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $554,221,814)................... 663,013,334
- ---------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM SECURITIES -- 0.3%
U.S. Treasury Bills (b):
$ 1,600,000 5.185% due 3/16/00(c)....................................... 1,583,536
175,000 5.270% due 3/16/00(c)....................................... 173,199
145,000 5.320% due 3/16/00(c)....................................... 143,508
- ---------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (Cost -- $1,899,188)............ 1,900,243
- ---------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.2%
14,969,000 J. P. Morgan Securities Inc., 3.00% due 1/3/00; Proceeds at
maturity -- $14,972,742; (Fully collateralized by U.S.
Treasury Notes and Bills, 0.00% to 6.625% due 3/30/00 to
1/15/08; Market value -- $15,268,412)
(Cost -- $14,969,000)....................................... 14,969,000
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $571,090,002*)........... $679,882,577
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Rate represents annualized yield to maturity.
(c) Security segregated by custodian for futures contracts commitments.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 91.8%
- -----------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 1.0%
5,000 SUPERVALU Inc. ............................................. $ 100,000
3,000 W.W. Grainger, Inc. ........................................ 143,437
- -----------------------------------------------------------------------------------------
243,437
- -----------------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.7%
5,000 Ford Motor Co. ............................................. 267,188
2,000 General Motors Corp. ....................................... 145,375
- -----------------------------------------------------------------------------------------
412,563
- -----------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 6.2%
3,000 Anheuser-Busch Cos., Inc. .................................. 212,625
3,000 Coca-Cola Co. .............................................. 174,750
1,000 Gillette Co. ............................................... 41,187
4,000 Kimberly Clark Corp. ....................................... 261,000
5,000 PepsiCo, Inc. .............................................. 176,250
4,000 Philip Morris Cos. Inc. .................................... 92,750
3,000 Procter & Gamble Co. ....................................... 328,687
2,000 Quaker Oats Co. ............................................ 131,250
3,000 VF Corp. ................................................... 90,000
- -----------------------------------------------------------------------------------------
1,508,499
- -----------------------------------------------------------------------------------------
CONSUMER SERVICES -- 5.0%
6,000 Comcast Corp., Special Class A Shares (a) .................. 301,500
3,000 Knight-Ridder, Inc. ........................................ 178,500
3,000 McDonald's Corp. ........................................... 120,938
5,000 New York Times Co., Class A Shares ......................... 245,625
5,000 Reader's Digest Association, Inc. .......................... 146,250
4,000 Starwood Hotels & Resorts Trust ............................ 94,000
4,000 The Walt Disney Co. ........................................ 117,000
- -----------------------------------------------------------------------------------------
1,203,813
- -----------------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY -- 15.0%
5,000 Hewlett Packard Co. ........................................ 569,688
6,000 IBM Corp. .................................................. 648,000
9,000 Intel Corp. ................................................ 740,813
6,000 LM Ericsson Telephone Co., ADR ............................. 394,125
6,000 Lucent Technologies Inc. ................................... 448,875
4,000 Motorola, Inc. ............................................. 589,000
4,000 United Technologies Corp. .................................. 260,000
- -----------------------------------------------------------------------------------------
3,650,501
- -----------------------------------------------------------------------------------------
ENERGY MINERALS -- 3.7%
6,000 Conoco Inc., Class A Shares ................................ 148,500
7,000 Exxon Mobil Corp. .......................................... 563,938
4,000 Phillips Petroleum Co. ..................................... 188,000
- -----------------------------------------------------------------------------------------
900,438
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
FINANCE -- 16.0%
6,000 A.G. Edwards, Inc. ......................................... $ 192,375
2,000 American International Group, Inc. ......................... 216,250
10,000 Arden Realty Group, Inc. ................................... 200,625
5,000 AXA Financial, Inc. ........................................ 169,375
5,000 BankAmerica Corp. .......................................... 250,938
4,200 Bear Stearns Cos. Inc. ..................................... 179,550
3,000 Chase Manhattan Corp. ...................................... 233,063
2,000 CIGNA Corp. ................................................ 161,125
6,000 Conseco, Inc. .............................................. 107,250
2,000 Fannie Mae ................................................. 124,875
3,000 First Union Corp. .......................................... 98,437
4,000 FleetBoston Financial Corp. ................................ 139,250
2,000 Goldman Sachs Group, Inc. .................................. 188,375
5,000 Greenpoint Financial Corp. ................................. 119,063
3,000 Hartford Financial Services Group, Inc. .................... 142,125
2,000 J.P. Morgan & Co., Inc. .................................... 253,250
5,000 KeyCorp. ................................................... 110,625
5,000 Mercury General Corp. ...................................... 111,250
3,000 Morgan Stanley Dean Witter & Co. ........................... 428,250
3,000 PNC Bank Corp. ............................................. 133,500
5,000 UnionBanCal Corp. .......................................... 197,187
5,000 Washington Mutual, Inc. .................................... 130,000
- -----------------------------------------------------------------------------------------
3,886,738
- -----------------------------------------------------------------------------------------
HEALTH SERVICES -- 0.8%
7,000 Columbia/HCA Healthcare Corp. .............................. 205,188
- -----------------------------------------------------------------------------------------
HEALTH TECHNOLOGY -- 8.7%
3,000 Abbott Laboratories ........................................ 108,937
1,000 American Home Products Corp. ............................... 39,437
1,000 Baxter International Inc. .................................. 62,812
5,000 Bristol-Myers Squibb Co. ................................... 320,937
4,000 Eli Lilly & Co. ............................................ 266,000
4,000 Johnson & Johnson .......................................... 372,500
6,000 Merck & Co., Inc. .......................................... 402,375
11,000 Mylan Laboratories Inc. .................................... 277,063
7,000 Pfizer Inc. ................................................ 227,063
1,000 Schering-Plough Corp. ...................................... 42,187
- -----------------------------------------------------------------------------------------
2,119,311
- -----------------------------------------------------------------------------------------
INDUSTRIAL SERVICES -- 0.9%
5,000 Fluor Corp. ................................................ 229,375
- -----------------------------------------------------------------------------------------
NON-ENERGY MINERALS -- 1.4%
4,000 Alcoa Inc. ................................................. 332,000
- -----------------------------------------------------------------------------------------
PROCESS INDUSTRIES -- 6.3%
5,000 Air Products & Chemicals, Inc. ............................. 167,812
2,000 Dow Chemical Co. ........................................... 267,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
PROCESS INDUSTRIES -- 6.3% (CONTINUED)
6,000 General Electric Co. ....................................... $ 928,500
4,000 Rohm and Haas Co. .......................................... 162,750
- -----------------------------------------------------------------------------------------
1,526,312
- -----------------------------------------------------------------------------------------
PRODUCER-MANUFACTURING -- 3.1%
4,000 Caterpillar Inc. ........................................... 188,250
4,000 Honeywell International, Inc. .............................. 230,750
4,000 Ingersoll-Rand Co. ......................................... 220,250
2,000 Johnson Controls, Inc. ..................................... 113,750
- -----------------------------------------------------------------------------------------
753,000
- -----------------------------------------------------------------------------------------
RETAIL TRADE -- 5.9%
4,500 Gap, Inc. .................................................. 207,000
4,500 Home Depot, Inc. ........................................... 308,531
5,000 Limited, Inc. .............................................. 216,563
5,000 May Department Stores Co. .................................. 161,250
6,000 TJX Cos. Inc. .............................................. 122,625
6,000 Wal-Mart Stores, Inc. ...................................... 414,750
- -----------------------------------------------------------------------------------------
1,430,719
- -----------------------------------------------------------------------------------------
TECHNOLOGY SERVICES -- 3.9%
9,000 Automatic Data Processing, Inc. ............................ 484,875
7,000 Electronic Data Systems Corp. .............................. 468,562
- -----------------------------------------------------------------------------------------
953,437
- -----------------------------------------------------------------------------------------
TRANSPORTATION -- 1.8%
17,000 Knightsbridge Tankers Ltd. ................................. 229,500
13,000 Southwest Airlines Co. ..................................... 210,437
- -----------------------------------------------------------------------------------------
439,937
- -----------------------------------------------------------------------------------------
UTILITIES -- 10.4%
6,000 AT&T Corp. ................................................. 304,500
1,000 Bell Atlantic Corp. ........................................ 61,563
6,000 BellSouth Corp. ............................................ 280,875
6,000 Coastal Corp. .............................................. 212,625
4,000 DTE Energy Co. ............................................. 125,500
3,000 Duke Energy Corp. .......................................... 150,375
4,000 Edison International ....................................... 104,750
6,000 Enron Corp. ................................................ 266,250
4,000 GTE Corp. .................................................. 282,250
5,000 PECO Energy Co. ............................................ 173,750
7,000 SBC Communications Inc. .................................... 341,250
3,000 US WEST, Inc. .............................................. 216,000
- -----------------------------------------------------------------------------------------
2,519,688
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $16,304,202).................... 22,314,956
- -----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCK -- 2.0%
ENERGY -- 2.0%
10,044 Unocal Corp., Convertible 6.250% (b) (Cost -- $485,250)..... $ 489,645
- -----------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE DEBENTURES -- 6.2%
- -----------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.1%
$500,000 General Motors Acceptance Corp., 7.000% due 9/15/02......... 498,125
500,000 Morgan Stanley Dean Witter & Co., 6.875% due 3/1/03......... 495,000
- -----------------------------------------------------------------------------------------
993,125
- -----------------------------------------------------------------------------------------
RETAIL TRADE -- 2.1%
500,000 Limited Inc., 7.800% due 5/15/02............................ 502,500
- -----------------------------------------------------------------------------------------
TOTAL CORPORATE DEBENTURES (Cost -- $1,559,315)............. 1,495,625
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $18,348,767*)............ $24,300,226
- -----------------------------------------------------------------------------------------
</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.
40
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 100.0%
- ---------------------------------------------------------------------------------------
COMPUTERS -- 1.2%
700 Gateway Inc. (a)............................................ $ 50,444
3,200 Sun Microsystems, Inc. (a).................................. 247,800
- ---------------------------------------------------------------------------------------
298,244
- ---------------------------------------------------------------------------------------
COMPUTER SOFTWARE -- 19.5%
4,000 Adobe Systems Inc........................................... 269,000
2,650 BEA Systems, Inc. (a)....................................... 185,335
3,800 BroadVision, Inc. (a)....................................... 646,237
1,100 Check Point Software Technologies Ltd. (a).................. 218,625
2,400 Citrix Systems, Inc. (a).................................... 295,200
1,200 Clarify, Inc. (a)........................................... 151,200
1,750 Electronic Arts Inc. (a).................................... 147,000
4,250 Exodus Communications, Inc. (a)............................. 377,453
600 i2 Technologies, Inc. ...................................... 117,000
2,600 Legato Systems, Inc. (a).................................... 178,913
1,500 Macromedia, Inc. (a)........................................ 109,687
1,700 Mercury Interactive Corp. (a)............................... 183,493
400 MicroStrategy Inc. (a)...................................... 84,000
900 Peregrine Systems, Inc. (a)................................. 74,362
600 Phone.com, Inc. (a)......................................... 69,563
400 Portal Software, Inc. (a)................................... 41,150
2,150 Rational Software Corp. (a)................................. 105,618
300 Razorfish Inc. (a).......................................... 28,538
1,200 RealNetworks, Inc. (a)...................................... 144,375
400 Scient Corp. (a)............................................ 34,575
4,400 Siebel Systems, Inc. (a).................................... 369,600
250 Sycamore Networks, Inc. (a)................................. 77,000
6,550 Veritas Software Corp. (a).................................. 937,468
600 Vignette Corp. (a).......................................... 97,800
- ---------------------------------------------------------------------------------------
4,943,192
- ---------------------------------------------------------------------------------------
CONSUMER DISTRIBUTION -- 3.0%
600 Ann Taylor Stores Corp. (a)................................. 20,663
1,200 BJ's Wholesale Club, Inc. (a)............................... 43,800
500 CDW Computer Centers, Inc. (a).............................. 39,313
400 Emulex Corp. (a)............................................ 45,000
2,500 Family Dollar Stores, Inc. ................................. 40,781
3,450 The Home Depot, Inc. ....................................... 236,540
2,800 Tiffany & Co. .............................................. 249,900
2,100 Williams Sonoma, Inc. ...................................... 96,600
- ---------------------------------------------------------------------------------------
772,597
- ---------------------------------------------------------------------------------------
CONSUMER DURABLES -- 2.1%
7,500 Gemstar International Group Ltd. (a)........................ 534,375
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 8.5%
2,700 AT&T Corp. -- Liberty Media Group, Class A Shares (a)....... $ 153,225
2,300 CBS Corp. (a)............................................... 147,056
1,800 Charter Communication Inc., Class A Shares (a).............. 39,375
3,200 Clear Channel Communications, Inc. (a)...................... 285,600
1,400 Comcast Corp. (a)........................................... 70,350
5,450 EchoStar Communication Corp. (a)............................ 531,375
1,100 Hispanic Broadcasting Corp. (a)............................. 101,441
1,875 Infinity Broadcasting Corp., Class A Shares (a)............. 67,852
300 InfoSpace.com, Inc. (a)..................................... 64,200
1,800 Omnicom Group Inc. ......................................... 180,000
400 Spanish Broadcasting Systems, Inc., Class A Shares (a)...... 16,100
1,100 TMP Worldwide Inc. (a)...................................... 156,200
2,500 Univision Communications Inc. (a)........................... 255,469
1,750 Valassis Communications, Inc. (a)........................... 73,937
- ---------------------------------------------------------------------------------------
2,142,180
- ---------------------------------------------------------------------------------------
DIVERSE ELECTRONIC PRODUCTS -- 5.2%
8,200 JDS Uniphase Corp. (a)...................................... 1,322,763
- ---------------------------------------------------------------------------------------
E.D.P. PERIPHERALS AND SERVICES -- 9.8%
1,000 Adaptec, Inc. (a)........................................... 49,875
4,050 America Online, Inc. (a).................................... 305,521
400 Ariba, Inc. (a)............................................. 70,950
300 Juniper Networks, Inc. (a).................................. 102,000
1,300 Network Solution, Inc. (a).................................. 282,831
1,400 QLogic Corp. (a)............................................ 223,825
700 Sapient Corp. (a)........................................... 98,656
4,400 VeriSign Inc. (a)........................................... 840,125
300 Viant Corp. (a)............................................. 29,700
1,125 Yahoo! Inc. (a)............................................. 486,773
- ---------------------------------------------------------------------------------------
2,490,256
- ---------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS AND DISTRIBUTORS -- 6.7%
1,600 Broadcom Corp., Class A Shares (a).......................... 435,800
1,100 CommScope, Inc. (a)......................................... 44,344
2,650 Concord EFS, Inc. (a)....................................... 68,237
3,550 EMC Corp. (a)............................................... 387,838
3,400 Flextronics International Inc. (a).......................... 156,400
1,000 Jabil Circuit, Inc. (a)..................................... 73,000
900 Sanmina Corp. (a)........................................... 89,887
1,100 SDL, Inc. (a)............................................... 239,800
1,700 Solectron Corp. (a)......................................... 161,713
800 Vishay Intertechnology, Inc. (a)............................ 25,300
- ---------------------------------------------------------------------------------------
1,682,319
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 1.4%
3,000 Apache Corp. ............................................... $ 110,813
1,700 BJ Services Co. (a)......................................... 71,081
1,200 Devon Energy Corp. ......................................... 39,450
1,800 Kerr-McGee Corp. ........................................... 111,600
200 Vastar Resources, Inc. ..................................... 11,800
- ---------------------------------------------------------------------------------------
344,744
- ---------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.2%
1,500 Capital One Financial Corp. ................................ 72,281
1,600 Lehman Brothers Holdings Inc. .............................. 135,500
500 Marsh & McLennan Cos., Inc. ................................ 47,844
1,000 UnionBanCal Corp. .......................................... 39,438
- ---------------------------------------------------------------------------------------
295,063
- ---------------------------------------------------------------------------------------
HEALTHCARE -- 3.3%
400 Affymetrix, Inc. (a)........................................ 67,875
2,150 Allergan, Inc. ............................................. 106,963
1,300 Biogen, Inc. (a)............................................ 109,850
600 Cree Research, Inc. (a)..................................... 51,225
2,600 Medimunne, Inc. (a)......................................... 431,275
1,000 QLT PhotoTherapeutics Inc. (a).............................. 58,750
- ---------------------------------------------------------------------------------------
825,938
- ---------------------------------------------------------------------------------------
PRECISION INSTRUMENTS -- 3.7%
1,000 Applied Materials, Inc. (a)................................. 126,688
1,250 KLA-Tencor Corp. (a)........................................ 139,218
1,600 Lam Research Corp. (a)...................................... 178,500
5,800 Network Appliance, Inc. (a)................................. 481,764
- ---------------------------------------------------------------------------------------
926,170
- ---------------------------------------------------------------------------------------
PRODUCER MANUFACTURING -- 2.8%
1,100 ASM Lithnography Holding N.V. (a)........................... 125,125
2,400 Corning Inc. ............................................... 309,450
600 E-Tek Dynamics, Inc. (a).................................... 80,775
3,200 Metromedia Fiber Network, Inc. (a).......................... 153,400
800 Zebra Technologies Corp., Class A Shares (a)................ 46,800
- ---------------------------------------------------------------------------------------
715,550
- ---------------------------------------------------------------------------------------
SEMICONDUCTORS -- 14.9%
2,650 Altera Corp. (a)............................................ 131,340
2,800 Analog Devices, Inc. (a).................................... 260,400
1,700 Applied Micro Circuits Corp. (a)............................ 216,325
8,650 Conexant Systems, Inc. (a).................................. 574,144
1,300 Cypress Semiconductor Corp. (a)............................. 42,087
6,350 LSI Logic Corp. (a)......................................... 428,625
600 Microchip Technology Inc. (a)............................... 41,063
1,300 Motorola, Inc. ............................................. 191,425
2,300 National Semiconductor Corp. (a)............................ 98,469
1,000 PMC-Sierra, Inc. (a)........................................ 160,312
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS -- 14.9% (CONTINUED)
2,850 RF Micro Devices, Inc. (a).................................. $ 195,047
1,850 STMicroelectronics N.V...................................... 280,160
1,714 Taiwan Semiconductor Manufacturing Co. Ltd. (a)............. 77,130
4,825 Texas Instruments Inc. ..................................... 467,422
5,850 Vitesse Semiconductor Corp. ................................ 306,759
6,250 Xilinx, Inc. (a)............................................ 284,180
- ---------------------------------------------------------------------------------------
3,754,888
- ---------------------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 13.8%
1,200 Advanced Fibre Communication, Inc. (a)...................... 53,625
1,100 Amdocs Ltd. (a)............................................. 37,950
400 Brocade Communication System, Inc. (a)...................... 70,800
1,800 Cisco Systems Inc. (a)...................................... 192,825
3,125 Comverse Technology, Inc. (a)............................... 452,344
200 Foundry Networks, Inc. (a).................................. 60,338
1,500 General Instrument Corp. (a)................................ 127,500
2,600 McLeodUSA Inc., Class A Shares (a).......................... 153,075
2,000 Nokia Corp., Sponsored ADR.................................. 380,000
3,150 Nortel Networks Corp. ...................................... 318,150
7,600 QUALCOMM Inc. (a)........................................... 1,339,500
2,300 Scientific-Atlanta, Inc. ................................... 127,938
2,450 Western Wireless Corp., Class A Shares (a).................. 163,536
- ---------------------------------------------------------------------------------------
3,477,581
- ---------------------------------------------------------------------------------------
UTILITIES-TELEPHONE -- 2.9%
1,200 Calpine Corp. (a)........................................... 76,800
400 Infonet Services Corp., Class B Shares (a).................. 10,500
2,600 Nextel Communication Inc., Class A Shares (a)............... 268,125
600 NEXTLINK Communication, Inc., Class A Shares (a)............ 49,838
1,100 Telephone and Data Systems, Inc. ........................... 138,600
1,300 VoiceStream Wireless Corp. (a).............................. 185,006
- ---------------------------------------------------------------------------------------
728,869
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $11,465,232*)............ $25,254,729
- ---------------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 98.4%
- -------------------------------------------------------------------------------------------------
CANADA -- 0.9%
8,000 The Toronto-Dominion Bank................................... $ 213,926
- -------------------------------------------------------------------------------------------------
FINLAND -- 5.5%
7,000 Nokia Oyj................................................... 1,344,237
- -------------------------------------------------------------------------------------------------
FRANCE -- 3.9%
4,000 Axa......................................................... 557,749
4,000 Sidel S.A. ................................................. 413,073
- -------------------------------------------------------------------------------------------------
970,822
- -------------------------------------------------------------------------------------------------
GERMANY -- 0.9%
600 Aixtron AG.................................................. 84,508
5,900 Stinnes AG.................................................. 127,207
- -------------------------------------------------------------------------------------------------
211,715
- -------------------------------------------------------------------------------------------------
HONG KONG -- 6.6%
383,340 Hong Kong & China Gas Co. Ltd. ............................. 525,190
75,000 Hutchinson Whampoa Ltd. .................................... 1,090,243
- -------------------------------------------------------------------------------------------------
1,615,433
- -------------------------------------------------------------------------------------------------
IRELAND -- 2.3%
38,998 Bank of Ireland............................................. 310,393
1,038 Independent Newspapers PLC.................................. 6,808
25,638 Irish Continental Group PLC................................. 262,822
- -------------------------------------------------------------------------------------------------
580,023
- -------------------------------------------------------------------------------------------------
ITALY -- 2.7%
60,000 Telecom Italia Mobile S.p.A. ............................... 668,635
- -------------------------------------------------------------------------------------------------
JAPAN -- 27.7%
17,000 Hosiden Corp. (a)........................................... 1,087,682
5 Japan Telecom Co., Ltd. .................................... 199,942
3,000 Matsushita Communication Industrial Co., Ltd. .............. 790,012
7,000 Murata Manufacturing Co., Ltd. ............................. 1,638,545
550 Shohkoh Fund & Co., Ltd. ................................... 216,985
1,000 Softbank Corp. ............................................. 953,868
3,500 Sony Corp. ................................................. 1,034,332
14,000 Terumo Corp. ............................................... 372,768
29,000 Tostem Corp. ............................................... 519,018
- -------------------------------------------------------------------------------------------------
6,813,152
- -------------------------------------------------------------------------------------------------
MEXICO -- 1.2%
160,800 Cifra S.A. de CV (b)........................................ 305,946
- -------------------------------------------------------------------------------------------------
NETHERLANDS -- 1.6%
10,659 IHC Caland NV............................................... 389,286
- -------------------------------------------------------------------------------------------------
NORWAY -- 2.7%
40,000 Tomra Systems ASA........................................... 679,321
- -------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------
<C> <S> <C>
SINGAPORE -- 5.9%
22,000 Singapore Press Holdings Ltd. .............................. $ 476,710
85,000 Venture Manufacturing Ltd. ................................. 974,490
- -------------------------------------------------------------------------------------------------
1,451,200
- -------------------------------------------------------------------------------------------------
SPAIN -- 0.9%
12,000 Indra Sistemas S.A. ........................................ 225,478
- -------------------------------------------------------------------------------------------------
SWEDEN -- 4.3%
58,000 Securitas AB, Class B Shares................................ 1,052,160
700 TeleLarm Care AB (b)........................................ 8,122
- -------------------------------------------------------------------------------------------------
1,060,282
- -------------------------------------------------------------------------------------------------
SWITZERLAND -- 3.9%
25,000 Mettler-Toledo International Inc. (b)....................... 954,688
- -------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 27.4%
55,000 Capita Group PLC............................................ 1,003,293
30,000 Colt Telecom Group PLC (b).................................. 1,547,315
5,200 Filtronic PLC............................................... 177,123
10,000 Guardian IT PLC............................................. 154,732
80,000 Hays PLC.................................................... 1,268,202
68,203 Misys PLC................................................... 1,038,249
25,000 Serco Group PLC............................................. 783,948
142,909 TeleWest Communications PLC (b)............................. 761,308
- -------------------------------------------------------------------------------------------------
6,734,170
- -------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $9,792,544)..................... 24,218,314
- -------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.6%
$ 389,000 CIBC Oppenheimer Corp., 2.250% due 1/3/00; Proceeds at 389,000
maturity -- $389,073; (Fully collateralized by U.S. Treasury
Bond, 5.750% due 11/15/00; Market value -- $397,715)
(Cost -- $389,000)..........................................
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $10,181,544*) $24,607,314
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 16).
(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
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investments, at amortized cost............................ $4,742,176 $74,895,911
Foreign currency, at cost................................. -- 836,770
- ---------------------------------------------------------------------------------------------
Investments, at value..................................... $4,742,176 $72,602,378
Foreign currency, at value................................ -- 836,937
Cash...................................................... 454 --
Collateral for securities on loan (Note 16)............... -- 4,201,460
Receivable for Fund shares sold........................... -- 77,269
Receivable for securities sold............................ -- --
Receivable from manager................................... 7,100 --
Receivable from broker -- variation margin................ -- --
Dividends and interest receivable......................... 2,468 992,253
Receivable for open forward foreign currency contracts
(Note 7)............................................... -- 265,928
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 4,752,198 78,976,225
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Payable for Fund shares purchased......................... -- 100,385
Investment advisory fees payable.......................... -- 28,589
Dividends payable......................................... 1,292 --
Administration fees payable............................... -- 12,706
Distribution fees payable................................. -- --
Payable to bank........................................... -- 559,842
Payable for securities on loan (Note 16).................. -- 4,201,460
Payable for open forward foreign currency contracts (Note
7)..................................................... -- 646
Accrued expenses.......................................... 24,520 37,981
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 25,812 4,941,609
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $4,726,386 $74,034,616
- ---------------------------------------------------------------------------------------------
NET ASSETS:
Par value of capital shares............................... $ 4,726 $ 7,094
Capital paid in excess of par value....................... 4,721,660 71,595,487
Undistributed (overdistributed) net investment income..... -- 6,352,423
Accumulated net realized gain (loss) on security
transactions, futures contracts and foreign
currencies............................................. -- (1,887,243)
Net unrealized appreciation (depreciation) of investments,
futures contracts and foreign currencies............... -- (2,033,145)
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $4,726,386 $74,034,616
- ---------------------------------------------------------------------------------------------
SHARES OUTSTANDING:
Class I Shares............................................ 4,726,392 7,094,062
Class II Shares (Note 3).................................. -- --
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE:
Class I Shares............................................ $1.00 $10.44
Class II Shares (Note 3).................................. -- --
- ---------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
- ----------------------------------------------------------
DECEMBER 31, 1999
- ----------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH EMERGING INTERNATIONAL
INCOME INDEX AND INCOME GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$16,118,978 $571,090,002 $18,348,767 $11,465,232 $10,181,544
-- -- -- -- 142
- --------------------------------------------------------------------------------------------
$20,825,805 $679,882,577 $24,300,226 $25,254,729 $24,607,314
-- -- -- -- 142
-- 896 -- 14,598 1,064
-- -- -- -- 1,009,500
-- 1,176,501 -- -- --
309,710 461,870 551,124 1,977,071 --
-- -- -- -- --
-- 37,400 -- -- --
113,879 568,316 63,911 2,174 13,123
-- -- -- -- --
- --------------------------------------------------------------------------------------------
21,249,394 682,127,560 24,915,261 27,248,572 25,631,143
- --------------------------------------------------------------------------------------------
43,815 1,995 45,742 132,895 190,722
8,867 97,830 9,874 15,702 16,730
-- -- -- -- --
3,941 39,480 4,388 5,391 3,937
-- 14,001 -- -- --
262,613 -- 493,258 -- --
-- -- -- -- 1,009,500
-- -- -- -- --
24,534 88,171 23,851 27,654 40,220
- --------------------------------------------------------------------------------------------
343,770 241,477 577,113 181,642 1,261,109
- --------------------------------------------------------------------------------------------
$20,905,624 $681,886,083 $24,338,148 $27,066,930 $24,370,034
- --------------------------------------------------------------------------------------------
$ 1,733 $ 19,015 $ 1,478 $ 817 $ 1,177
12,263,728 568,232,285 8,104,820 2,841,911 5,326,008
921,639 4,456,136 371,049 (1,618) 416,527
3,011,697 263,935 9,909,367 10,436,323 4,201,713
4,706,827 108,914,712 5,951,434 13,789,497 14,424,609
- --------------------------------------------------------------------------------------------
$20,905,624 $681,886,083 $24,338,148 $27,066,930 $24,370,034
- --------------------------------------------------------------------------------------------
1,733,036 18,250,968 1,477,827 817,419 1,177,203
-- 764,418 -- -- --
- --------------------------------------------------------------------------------------------
$12.06 $35.86 $16.47 $33.11 $20.70
-- $35.81 -- -- --
- --------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $228,371 $ 6,087,456
Dividends................................................. -- 15,600
Less: Foreign withholding tax............................. -- --
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 228,371 6,103,056
- -----------------------------------------------------------------------------------------------
EXPENSES:
Audit and legal........................................... 19,848 25,027
Custody................................................... 16,607 18,597
Investment advisory fees (Note 3)......................... 14,405 358,768
Shareholder and system servicing fees..................... 9,915 13,661
Administration fees (Note 3).............................. 7,610 159,452
Trustees' fees............................................ 1,855 6,647
Shareholder communications................................ 1,356 16,201
Distribution fees......................................... -- --
Pricing service fees...................................... -- 17,395
Other..................................................... 5,058 5,555
- -----------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 76,654 621,303
Less: Investment advisory and administration fee waivers
and expense reimbursement (Note 3)..................... (21,616) --
- -----------------------------------------------------------------------------------------------
NET EXPENSES.............................................. 55,038 621,303
- -----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................ 173,333 5,481,753
- -----------------------------------------------------------------------------------------------
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 (1,842,316)
Futures contracts...................................... -- --
Foreign currency transactions.......................... -- 765,608
- -----------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................................. 2 (1,076,708)
- -----------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) of
Investments, Futures Contracts and Foreign Currencies:
Beginning of year...................................... -- 1,113,112
End of year............................................ -- (2,033,145)
- -----------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)...... -- (3,146,257)
- -----------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND
FOREIGN CURRENCIES........................................ 2 (4,222,965)
- -----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........... $173,335 $ 1,258,788
- -----------------------------------------------------------------------------------------------
</TABLE>
* Represents net realized gains only from short-term securities for the Money
Market and Emerging Growth Portfolios.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
- -----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 1999
- -----------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH EMERGING INTERNATIONAL
INCOME INDEX AND INCOME GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 370,386 $ 948,894 $ 110,830 $ 35,527 $ 24,471
813,130 4,605,918 510,251 24,592 205,455
-- (39,357) (902) (405) (15,452)
- ----------------------------------------------------------------------------------------------------
1,183,516 5,515,455 620,179 59,714 214,474
- ----------------------------------------------------------------------------------------------------
23,441 29,237 21,261 21,966 20,330
2,470 90,719 2,225 18,001 14,638
134,493 556,038 139,088 155,879 182,496
24,310 27,878 14,941 17,735 11,681
59,774 222,721 61,817 41,568 42,940
4,103 13,950 1,976 3,300 1,947
5,047 94,831 2,253 3,517 7,337
-- 14,001 -- -- --
1,704 -- -- -- 3,318
5,000 9,861 3,748 8,579 707
- ----------------------------------------------------------------------------------------------------
260,342 1,059,236 247,309 270,545 285,394
-- -- -- -- --
- ----------------------------------------------------------------------------------------------------
260,342 1,059,236 247,309 270,545 285,394
- ----------------------------------------------------------------------------------------------------
923,174 4,456,219 372,870 (210,831) (70,920)
- ----------------------------------------------------------------------------------------------------
3,011,697 2,583,629 9,908,881 10,665,064 5,169,935
-- (2,252,622) -- -- --
-- -- -- -- (185)
- ----------------------------------------------------------------------------------------------------
3,011,697 331,007 9,908,881 10,665,064 5,169,750
- ----------------------------------------------------------------------------------------------------
9,765,976 32,871,535 13,187,934 8,147,095 8,437,076
4,706,827 108,914,712 5,951,434 13,789,497 14,424,609
- ----------------------------------------------------------------------------------------------------
(5,059,149) 76,043,177 (7,236,500) 5,642,402 5,987,533
- ----------------------------------------------------------------------------------------------------
(2,047,452) 76,374,184 2,672,381 16,307,466 11,157,283
- ----------------------------------------------------------------------------------------------------
$ (1,124,278) $ 80,830,403 $3,045,251 $16,096,635 $11,086,363
- ----------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 173,333 $ 5,481,753
Net realized gain (loss).................................. 2 (1,076,708)
Change in net unrealized appreciation (depreciation)...... -- (3,146,257)
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... 173,335 1,258,788
- -------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (173,333) (3,784,652)
Net realized gains........................................ (2) (980,275)
- -------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (173,335) (4,764,927)
- -------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 17):
Net proceeds from sale of shares.......................... 6,854,768 15,268,923
Net asset value of shares issued for reinvestment of
dividends.............................................. 181,632 4,764,927
Cost of shares reacquired................................. (6,981,251) (23,462,777)
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... 55,149 (3,428,927)
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... 55,149 (6,935,066)
NET ASSETS:
Beginning of year......................................... 4,671,237 80,969,682
- -------------------------------------------------------------------------------------------
END OF YEAR*.............................................. $ 4,726,386 $ 74,034,616
- -------------------------------------------------------------------------------------------
* Includes undistributed (overdistributed) net investment
income of: -- $6,352,423
- -------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
- -----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 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>
$ 923,174 $ 4,456,219 $ 372,870 $ (210,831) $ (70,920)
3,011,697 331,007 9,908,881 10,665,064 5,169,750
(5,059,149) 76,043,177 (7,236,500) 5,642,402 5,987,533
- -----------------------------------------------------------------------------------------
(1,124,278) 80,830,403 3,045,251 16,096,635 11,086,363
- -----------------------------------------------------------------------------------------
(1,468,909) (1,250,489) (576,238) -- (10,155)
(5,820,651) (1,775,984) (5,700,078) (3,686,844) (2,245,243)
- -----------------------------------------------------------------------------------------
(7,289,560) (3,026,473) (6,276,316) (3,686,844) (2,255,398)
- -----------------------------------------------------------------------------------------
433,151 434,136,254 588,380 1,667,463 864,397
7,289,560 3,026,473 6,276,316 3,686,844 2,255,398
(15,898,176) (10,247,287) (15,076,383) (11,844,324) (11,062,819)
- -----------------------------------------------------------------------------------------
(8,175,465) 426,915,440 (8,211,687) (6,490,017) (7,943,024)
- -----------------------------------------------------------------------------------------
(16,589,303) 504,719,370 (11,442,752) 5,919,774 887,941
37,494,927 177,166,713 35,780,900 21,147,156 23,482,093
- -----------------------------------------------------------------------------------------
$ 20,905,624 $681,886,083 $ 24,338,148 $ 27,066,930 $ 24,370,034
- -----------------------------------------------------------------------------------------
$921,639 $4,456,136 $371,049 $(1,618) $416,527
- -----------------------------------------------------------------------------------------
</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 17):
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
- --------------------------------------------------------------------------------
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"). 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 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 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, 1999, reclassifications were made to the Money
Market, 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. Accordingly, portions of accumulated
net realized gains amounting to $362 and $130 were reclassified to paid-in
capital for Diversified Strategic Income and Equity Income Portfolios,
respectively. Additionally, portions of accumulated net realized gains amounting
to $721 and overdistributed net investment income amounting to $1,368 were
reclassified to paid-in capital for Equity Index Portfolio. 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.
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 SSB Citi Fund Management LLC
56
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
("SSBC"), formerly known as SSBC Fund Management Inc., a subsidiary of Salomon
Smith Barney Holding Inc. ("SSBH"), which, in turn, is a subsidiary of Citigroup
Inc., ("Citigroup"). 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 year ended December 31,
1999, for the Money Market Portfolio, SSBC has waived $8,710 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 year
ended December 31, 1999, for the Money Market Portfolio, SSBC has waived $5,806
of its administration fee.
In addition, SSBC has reimbursed expenses in the amount of $7,100 on behalf
of the Money Market Portfolio for the year ended December 31, 1999.
Effective October 1999, Smith Barney Private Trust Company ("Private
Trust"), another subsidiary of Citigroup, became the Fund's transfer agent and
PFPC Global Fund Services ("PFPC") became the sub-transfer agent. Private Trust
receives account fees and asset-based fees that vary according to the size and
type of account. PFPC is responsible for shareholder recordkeeping and financial
processing for all shareholder accounts and is paid by Private Trust. During the
period October 1, 1999 through December 31, 1999, each Portfolio paid transfer
agent fees of $1,250 to Private Trust.
For the year ended December 31, 1999, the Growth and Income, Emerging
Growth and International Equity Portfolios paid Salomon Smith Barney Inc.
("SSB"), another subsidiary of SSBH, brokerage commissions of $28, $1,596 and
$1,403, 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 (CONTINUED)
- --------------------------------------------------------------------------------
4. INVESTMENTS
During the year ended December 31, 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................................ $ 90,061,851 $86,799,020
Equity Income............................................... 806,816 15,353,615
Equity Index................................................ 491,748,981 10,869,787
Growth and Income........................................... 14,447,853 28,516,997
Emerging Growth............................................. 22,690,017 34,461,699
International Equity........................................ 3,641,968 14,416,161
- ----------------------------------------------------------------------------------------
</TABLE>
At December 31, 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................................ $ 552,085 $(2,845,618) $ (2,293,533)
Equity Income............................................... 5,487,095 (780,268) 4,706,827
Equity Index................................................ 135,376,772 (26,584,197) 108,792,575
Growth and Income........................................... 7,083,568 (1,132,109) 5,951,459
Emerging Growth............................................. 13,832,841 (43,344) 13,789,497
International Equity........................................ 14,527,358 (101,588) 14,425,770
- ----------------------------------------------------------------------------------------------------------
</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 December 31, 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........................ 3/00 44 $16,204,063 $16,326,200 $122,137
- ------------------------------------------------------------------------------------------------------------
</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 (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 December 31, 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 year ended December 31, 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 December 31, 1999, the Diversified Strategic Income Portfolio 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 BUY:
British Pound....................................... 35,500 $ 57,314 1/21/00 $ 139
- ------------------------------------------------------------------------------------------------------------
TO SELL:
Euro................................................ 6,438,516 6,497,134 1/21/00 242,866
Euro................................................ 55,985 56,495 1/21/00 680
Euro................................................ 57,333 58,566 6/15/00 545
Euro................................................ 75,000 76,613 6/15/00 1,005
Euro................................................ 460,688 470,594 6/15/00 (646)
British Pound....................................... 3,230,000 5,214,749 1/21/00 20,693
- ------------------------------------------------------------------------------------------------------------
265,143
- ------------------------------------------------------------------------------------------------------------
Total Net Unrealized Gain on Forward Foreign Currency
Contracts........................................... $265,282
- ------------------------------------------------------------------------------------------------------------
</TABLE>
59
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 December 31, 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 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 December 31, 1999, there were no TBA securities held by the Portfolios.
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
60
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
sold. Proceeds of the sale will be invested and the income from these
investments, together with any additional income from the Portfolio, in
securities exceeding the yield on the securities sold.
At December 31, 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 December 31, 1999, the Portfolios had no open short sales against the
box.
15. CAPITAL LOSS CARRYFORWARD
At December 31, 1999, the Diversified Strategic Income Portfolio had, for
Federal income tax purposes, approximately $1,725,000 of unused capital loss
carryforwards available to offset future capital gains expiring in 2007. To the
extent that these carryforward losses are used to offset capital gains, it is
probable that the gains so offset will not be distributed.
16. 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 December 31, 1999, the Portfolios listed below had loaned common stocks
and bonds which were collateralized by cash. The market value for the securities
on loan were as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- ------------------------------------------------------------------------
<S> <C>
Diversified Strategic Income................................ $4,104,329
International Equity........................................ 961,270
- ------------------------------------------------------------------------
</TABLE>
61
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
At December 31, 1999, the cash collateral held for the securities on loan
was as follows:
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- ------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Halifax PLC, 8.500% due 1/4/00............................ $ 194,018
Australia New Zealand London, 8.500% due 1/4/00........... 206,953
Fortis Bank, 9.000% due 1/4/00............................ 206,953
Bank of Ireland, 9.000% due 1/4/00........................ 206,953
Banque Bruxelle Lambert, 7.500% due 1/4/00................ 206,953
Paribas, 7.000% due 1/4/00................................ 129,345
Barclays Nassau, 5.000% due 1/3/00........................ 189,706
Credit Suisse, G.C., 5.000% due 1/3/00.................... 189,706
Sun Trust Bank, Atlanta, 4.500% due 1/3/00................ 189,706
Natwest Bank, N.A. Nassua, 4.500% due 1/3/00.............. 189,707
REPURCHASE AGREEMENTS:
Bear Stearns, 4.530% due 1/3/00........................... 776,072
C.S. First Boston, 3.750% due 1/3/00...................... 739,316
Merrill Lynch Securities/MLPFS, 4.630% due 1/3/00......... 776,072
- ------------------------------------------------------------------------
Total $4,201,460
- ------------------------------------------------------------------------
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- ------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Halifax PLC, 8.500% due 1/4/00............................ $ 46,617
Australia New Zealand London, 8.500% due 1/4/00........... 49,725
Fortis Bank, 9.000% due 1/4/00............................ 49,725
Bank of Ireland, 9.000% due 1/4/00........................ 49,725
Banque Bruxelle Lambert, 7.500% due 1/4/00................ 49,725
Paribas, 7.000% due 1/4/00................................ 31,078
Barclays Nassau, 5.000% due 1/3/00........................ 45,582
Credit Suisse, G.C., 5.000% due 1/3/00.................... 45,582
Sun Trust Bank, Atlanta, 4.500% due 1/3/00................ 45,582
Natwest Bank, N.A. Nassua, 4.500% due 1/3/00.............. 45,581
REPURCHASE AGREEMENTS:
Bear Stearns, 4.530% due 1/3/00........................... 186,470
C.S. First Boston, 3.750% due 1/3/00...................... 177,638
Merrill Lynch Securities/MLPFS, 4.630% due 1/3/00......... 186,470
- ------------------------------------------------------------------------
Total $1,009,500
- ------------------------------------------------------------------------
</TABLE>
Income earned by the Portfolios from securities loaned for the year ended
December 31, 1999 was as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- ---------------------------------------------------------------------
<S> <C>
Diversified Strategic Income Portfolio...................... $13,934
International Equity Portfolio.............................. 5,319
- ---------------------------------------------------------------------
</TABLE>
62
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
17. SHARES OF BENEFICIAL INTEREST
At December 31, 1999, the Fund had an unlimited number of shares of
beneficial interest authorized with a par value of $0.001 per share.
At December 31, 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..................................................... $542,826,784
Class II.................................................... 25,425,163
- --------------------------------------------------------------------------
</TABLE>
Transactions in shares for each portfolio were as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
MONEY MARKET PORTFOLIO
Shares sold................................................. 6,854,768 8,425,171
Shares issued on reinvestment............................... 181,632 211,918
Shares reacquired........................................... (6,981,251) (8,718,390)
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... 55,149 (81,301)
- ---------------------------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Shares sold................................................. 1,423,399 2,787,964
Shares issued on reinvestment............................... 464,871 420,732
Shares reacquired........................................... (2,221,018) (1,524,911)
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... (332,748) 1,683,785
- ---------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
Shares sold................................................. 27,849 44,887
Shares issued on reinvestment............................... 556,880 248,332
Shares reacquired........................................... (1,140,761) (1,013,794)
- ---------------------------------------------------------------------------------------------------
Net Decrease................................................ (556,032) (720,575)
- ---------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO -- CLASS I SHARES
Shares sold................................................. 12,557,783 4,762,662
Shares issued on reinvestment............................... 94,293 33,135
Shares reacquired........................................... (308,578) (386,788)
- ---------------------------------------------------------------------------------------------------
Net Increase................................................ 12,343,498 4,409,009
- ---------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO -- CLASS II SHARES (1)
Shares sold................................................. 772,514 --
Shares issued on reinvestment............................... 432 --
Shares reacquired........................................... (8,528) --
- ---------------------------------------------------------------------------------------------------
Net Increase................................................ 764,418 --
- ---------------------------------------------------------------------------------------------------
GROWTH AND INCOME PORTFOLIO
Shares sold................................................. 34,368 67,202
Shares issued on reinvestment............................... 399,003 254,438
Shares reacquired........................................... (892,426) (715,341)
- ---------------------------------------------------------------------------------------------------
Net Decrease................................................ (459,055) (393,701)
- ---------------------------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO
Shares sold................................................. 80,677 68,440
Shares issued on reinvestment............................... 201,467 192,913
Shares reacquired........................................... (542,032) (370,092)
- ---------------------------------------------------------------------------------------------------
Net Decrease................................................ (259,888) (108,739)
- ---------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
Shares sold................................................. 58,533 90,783
Shares issued on reinvestment............................... 165,838 8,751
Shares reacquired........................................... (731,874) (821,260)
- ---------------------------------------------------------------------------------------------------
Net Decrease................................................ (507,503) (721,726)
- ---------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from March 22, 1999 (inception date) to December 31, 1999.
63
<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 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR................. $1.000 $1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------------
Net investment income (1)........................ 0.040 0.043 0.044 0.047 0.052
Dividends from net investment income............. (0.040) (0.043) (0.044) (0.047) (0.052)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR....................... $1.000 $1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN....................................... 4.03% 4.40% 4.47% 4.80% 5.31%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S).................... $4,726 $4,671 $4,753 $5,888 $5,653
- ------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (1)..................................... 1.25% 1.24% 1.20% 0.75% 0.75%
Net investment income............................ 3.92 4.30 4.38 4.70 5.19
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED STRATEGIC INCOME PORTFOLIO 1999(2) 1998(2) 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR................ $10.90 $10.89 $10.98 $10.01 $ 9.18
- -------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (3)....................... 0.73 0.69 0.77 0.88 0.74
Net realized and unrealized gain (loss)......... (0.55) (0.01) 0.12 0.24 0.70
- -------------------------------------------------------------------------------------------------------------------
Total Income From Operations...................... 0.18 0.68 0.89 1.12 1.44
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................... (0.51) (0.67) (0.98) (0.15) (0.61)
Net realized gains.............................. (0.13) -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions............................... (0.64) (0.67) (0.98) (0.15) (0.61)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR...................... $10.44 $10.90 $10.89 $10.98 $10.01
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN...................................... 1.72% 6.41% 8.14% 11.16% 16.18%
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................... $74,035 $80,970 $62,558 $59,515 $59,316
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses........................................ 0.78% 0.78% 0.78% 0.84% 0.90%
Net investment income (3)....................... 6.88 6.38 7.29 7.94 7.73
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........................... 111% 86% 47% 106% 46%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the Money Market Portfolio, the Investment Adviser waived all or part of
its fees for the year ended December 31, 1999, 1998 and the two-year period
ended December 31, 1996. For the Money Market Portfolio, the Investment
Adviser also reimbursed expenses of $7,100 for the year ended December 31,
1999. 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 1998 1997 1996 1995
--------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Money Market......................... $0.005 $0.005 N/A $0.005 $0.005
<CAPTION>
EXPENSE RATIOS WITHOUT
WAIVERS AND REIMBURSEMENTS
---------------------------------------------------------------
PORTFOLIO 1999 1998 1997 1996 1995
--------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Money Market......................... 1.74% 1.74% N/A 1.25% 1.21%
</TABLE>
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Includes realized gains and losses from foreign currency transactions for
the year ended December 31, 1995.
64
<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 1998(1) 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $16.38 $15.31 $13.01 $12.35 $ 9.87
- ---------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income........................ 0.67 0.53 0.77 0.63 0.54
Net realized and unrealized gain (loss)...... (1.15) 1.94 2.28 0.11 2.56
- ---------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations............ (0.48) 2.47 3.05 0.74 3.10
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ (0.77) (0.71) (0.75) (0.08) (0.62)
Net realized gains........................... (3.07) (0.69) -- -- --
- ---------------------------------------------------------------------------------------------------------------------
Total Distributions............................ (3.84) (1.40) (0.75) (0.08) (0.62)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR................... $12.06 $16.38 $15.31 $13.01 $12.35
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN................................... (4.75)% 16.99% 23.52% 5.99% 32.47%
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................ $20,906 $37,495 $46,074 $45,616 $52,444
- ---------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses..................................... 0.87% 0.79% 0.77% 0.77% 0.95%
Net investment income........................ 3.09 3.43 4.42 4.53 4.95
- ---------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........................ 3% 43% 42% 28% 33%
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
EQUITY INDEX PORTFOLIO - CLASS I SHARES 1999(1) 1998(1) 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR............. $29.99 $23.59 $18.36 $15.58 $11.69
- ---------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income (2).................... 0.39 0.36 0.12 0.22 0.25
Net realized and unrealized gain............. 5.77 6.33 5.76 3.17 3.88
- ---------------------------------------------------------------------------------------------------------------------
Total Income From Operations................... 6.16 6.69 5.88 3.39 4.13
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................ (0.12) (0.08) (0.17) (0.23) (0.23)
Net realized gains........................... (0.17) (0.21) (0.48) (0.38) (0.01)
- ---------------------------------------------------------------------------------------------------------------------
Total Distributions............................ (0.29) (0.29) (0.65) (0.61) (0.24)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR................... $35.86 $29.99 $23.59 $18.36 $15.58
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN................................... 20.68% 28.46% 32.16% 21.68% 35.81%
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................ $ 654,514 $177,167 $35,351 $19,258 $15,230
- ---------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses (2)(3).............................. 0.28% 0.30% 0.76% 1.06% 1.00%
Net investment income........................ 1.20 1.36 1.08 1.37 1.84
- ---------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........................ 3% 5% 6% 7% 5%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) For the Equity Index Portfolio, the Investment Adviser waived all or part of
its fees for the year ended December 31, 1998 and the year ended December
31, 1995. In addition, IDS Life reimbursed expenses of $6,842 for the year
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 EXPENSE RATIOS WITHOUT
NET INVESTMENT INCOME WAIVERS AND REIMBURSEMENTS
------------------------------------ ----------------------------------
PORTFOLIO 1998 1997 1996 1995 1998 1997 1996 1995
--------- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Equity Index - Class I....................... $0.02 N/A N/A $0.02 0.42% N/A N/A 1.17%
</TABLE>
(3) 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.
65
<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..................................... 0.24
Net realized and unrealized gain.......................... 4.15
- ------------------------------------------------------------------------
Total Income From Operations................................ 4.39
- ------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..................................... (0.12)
Net realized gains........................................ (0.17)
- ------------------------------------------------------------------------
Total Distributions......................................... (0.29)
- ------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............................. $35.81
- ------------------------------------------------------------------------
TOTAL RETURN................................................ 13.96%++
- ------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)........................... $27,372
- ------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses.................................................. 0.51%+
Net investment income..................................... 0.93+
- ------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................................... 3%
- ------------------------------------------------------------------------
</TABLE>
(1) For the period from March 22, 1999 (inception date) to December 31, 1999.
(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.
66
<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 1998(1) 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR................ $18.47 $18.54 $16.43 $13.73 $10.75
- -------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income........................... 0.30 0.27 0.31 0.27 0.26
Net realized and unrealized gain................ 1.49 1.93 3.41 2.45 2.99
- -------------------------------------------------------------------------------------------------------------------
Total Income From Operations...................... 1.79 2.20 3.72 2.72 3.25
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................... (0.35) (0.33) (0.29) (0.02) (0.27)
Net realized gains.............................. (3.44) (1.94) (1.32) -- --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions............................... (3.79) (2.27) (1.61) (0.02) (0.27)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR...................... $16.47 $18.47 $18.54 $16.43 $13.73
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN...................................... 10.66% 11.88% 22.94% 19.83% 30.49%
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................... $24,338 $35,781 $43,214 $38,502 $35,158
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses........................................ 0.80% 0.72% 0.77% 0.83% 0.98%
Net investment income........................... 1.21 1.45 1.62 1.67 2.09
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........................... 47% 13% 17% 22% 17%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH PORTFOLIO 1999 1998(1) 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR................ $19.63 $16.87 $15.83 $13.76 $ 9.63
- -------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss(2).......................... (0.26) (0.15) (0.12) (0.10) (0.03)
Net realized and unrealized gain................ 17.91 5.98 3.32 2.55 4.16
- -------------------------------------------------------------------------------------------------------------------
Total Income From Operations...................... 17.65 5.83 3.20 2.45 4.13
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................... -- -- -- -- --
Net realized gains.............................. (4.17) (3.07) (2.16) (0.38) --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions............................... (4.17) (3.07) (2.16) (0.38) --
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR...................... $33.11 $19.63 $16.87 $15.83 $13.76
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN...................................... 107.14% 37.14% 21.16% 17.83% 42.89%
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................... $27,067 $21,147 $20,004 $18,901 $17,463
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)..................................... 1.30% 1.28% 1.26% 1.27% 1.20%
Net investment loss............................. (1.01) (0.88) (0.72) (0.64) (0.24)
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........................... 113% 98% 102% 84% 121%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) For the Emerging Growth Portfolio, the Investment Adviser waived all or part
of its fees for the year ended December 31, 1995. In addition, for the
Emerging Growth Portfolio, IDS Life reimbursed expenses of $5,265 for the
year 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
----------------- --------------
1995 1995
PORTFOLIO ---- ----
<S> <C> <C>
Emerging Growth......................................... $0.02 1.39%
</TABLE>
67
<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 1998(1) 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR................ $13.94 $11.78 $12.07 $ 9.98 $ 9.21
- ---------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)(2)................. (0.18) (0.03) (0.02) (0.02) 0.03
Net realized and unrealized gain (loss)......... 8.56 2.25 (0.24) 2.15 0.78
- ---------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations............... 8.38 2.22 (0.26) 2.13 0.81
- ---------------------------------------------------------------------------------------------------------------------------
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 YEAR...................... $20.70 $13.94 $11.78 $12.07 $ 9.98
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN...................................... 66.20% 18.84% (2.18)% 21.38% 8.80%
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................... $24,370 $23,482 $28,347 $33,337 $28,979
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)..................................... 1.33% 1.40% 1.31% 1.35% 1.43%
Net investment income (loss)(2)................. (0.33) (0.25) (0.23) (0.20) 0.35
- ---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........................... 17% 30% 21% 33% 34%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) Includes realized gains and losses from foreign currency transactions for
the year ended December 31, 1995.
(3) 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.
68
<PAGE>
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
GREENWICH STREET SERIES FUND:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the Money Market, Diversified Strategic Income,
Equity Income, Equity Index, Growth and Income, Emerging Growth, and
International Equity Portfolios ("Portfolios"), seven of the Portfolios
comprising the Greenwich Street Series Fund ("Fund") as of December 31, 1999,
the related statements of operations for the year then ended, the statements of
changes in net assets for each of the years in the two-year period then ended
and the financial highlights for each of the years in the five-year period then
ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian. As to securities sold
but not yet delivered, we performed other appropriate auditing procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial positions of the
Portfolios as of December 31, 1999, the results of their operations for the year
then ended, the changes in their net assets for each of the years in the
two-year period then ended and their financial highlights for each of the years
in the five-year period then ended, in conformity with generally accepted
accounting principles.
/s/ KPMG Peat Marwick LLP
New York, New York
February 11, 2000
69
<PAGE>
- --------------------------------------------------------------------------------
TAX INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
For Federal tax purposes the Fund hereby designates for the fiscal year ended
December 31, 1999:
- Percentages of ordinary dividends paid as qualifying for the corporate
dividends received deduction:
<TABLE>
<S> <C>
Equity Income Portfolio..................................... 43.34%
Equity Index Portfolio...................................... 63.66
Growth and Income Portfolio................................. 100.00
Diversified Strategic Income Portfolio...................... 0.97
</TABLE>
- Total long-term capital gain distributions paid:
<TABLE>
<S> <C>
Equity Income Portfolio..................................... $4,436,197
Equity Index Portfolio...................................... 1,054,894
Growth and Income Portfolio................................. 5,694,287
Emerging Growth Portfolio................................... 3,686,844
International Equity Portfolio.............................. 2,245,243
</TABLE>
The following percentages of ordinary dividends paid from net investment income
are derived from Federal obligations and may be exempt from taxation at the
state level:
<TABLE>
<S> <C>
Money Market Portfolio...................................... 1.48%
Diversified Strategic Income Port-folio..................... 1.37
Equity Index Portfolio...................................... 0.83
</TABLE>
70
<PAGE>
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<PAGE>
(This page intentionally left blank)
<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:
Salomon Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company and
IDS Life Insurance Company of New York
S6223 J (2/00)
<PAGE>
GREENWICH STREET SERIES FUND
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
DECEMBER 31, 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.
S6223 J (2/00)
<PAGE>
GREENWICH STREET SERIES FUND
ANNUAL REPORT FOR
SYMPHONY
A Tax-Deferred Variable Annuity
LOGO
INTERMEDIATE HIGH GRADE PORTFOLIO
APPRECIATION PORTFOLIO
TOTAL RETURN PORTFOLIO
DECEMBER 31, 1999
<PAGE>
ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
DEAR INVESTOR:
We are pleased to provide you with the annual report for Greenwich Street Series
Fund - Intermediate High Grade, Appreciation and Total Return Portfolios
("Portfolios") for the year ended December 31, 1999. This letter briefly
discusses general economic and market conditions.
In addition, a detailed comparison 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 expenses associated with the subaccounts. 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. Any discussion of the Portfolios' holdings
are as of December 31, 1999. Please refer to pages 8 through 16 for a list of
the Portfolios' holdings. We hope you find this report to be useful and
informative.
The Performance of the Portfolios for the Year ended December 31, 1999:(1)
<TABLE>
<CAPTION>
TOTAL RETURNS
- ---------------------------------------------------------------------------
<S> <C>
Intermediate High Grade Portfolio........................... (3.69)%
Appreciation Portfolio...................................... 13.12%
Total Return Portfolio...................................... 22.02%
- ---------------------------------------------------------------------------
</TABLE>
MARKET AND ECONOMIC OVERVIEW
The year and the decade ended with stock market indexes around the world posting
exceptional returns. All of the major U.S. stock market indexes set new records
for 1999 and for the fifth year in a row posted double-digit returns. The 85.59%
return of the NASDAQ Composite Index(2) for the year was the best in history by
a major U.S. stock market index.
The technology sector, comprised of companies in telecommunications, the
Internet and computer hardware and software businesses, posted the biggest gains
for the year. The return of the NASDAQ Composite Index was due to the fact that
it holds the biggest percentage of technology companies among the major stock
market indexes.
Large-capitalization stocks, as measured by the Standard & Poor's 500 Index
("S&P 500 Index")(3) (which returned 21.03% for the year) and
small-capitalization growth stocks, as measured by the Russell 1000 Growth
Index(4) (which advanced 33.16%), continued their unprecedented growth. The
worldwide economic recovery continued in 1999, with most foreign stock markets
ending the year on a high note.
Perhaps the most striking aspect about the stock market's double-digit returns
in 1999 was that they were achieved while interest rates increased. The Federal
Reserve Board ("Fed") raised interest rates three times in 1999 as an
inflationary precaution. Rising interest rates generally lead to a decline in
stock prices. However, most stock investors remained optimistic that the U.S.
economy would continue its remarkable growth and stock prices continued to
advance. Conversely, bond investors' reaction to rising interest rates was less
favorable, as most bond prices slipped.
In our view, we expect continued volatility in the financial markets due to
ongoing uncertainty regarding inflation and the future direction of interest
rates. The strength of the U.S. economy may lead the Fed to raise rates in
2000.(5) Over the long-term, however, we think that the fundamentals for both
stocks and bonds remain favorable.
- ---------------
1 Please note that data represents past performance, which is not indicative of
future results. The investment return and principal value of an investment
will fluctuate so that an investor's shares, when redeemed, may be worth more
or less than their original cost.
2 The NASDAQ Composite Index is comprised of approximately 4,500 stocks traded
over the counter. It is a value-weighted index calculated on price change only
and does not include income.
3 The Standard & Poor's 500 Index is a market capitalization-weighted measure of
500 widely held common stocks.
4 The Russell 1000 Growth Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of the
total market capitalization of the Russell 3000 Index.
5 On Wednesday, February 2, 2000, the Fed raised interest rates 0.25% to 5.75%,
after this letter was written.
1
<PAGE>
ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
INTERMEDIATE HIGH GRADE PORTFOLIO
The investment objective of the Intermediate High Grade Portfolio ("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 Portfolio
invests primarily in high-quality, intermediate-term U.S. government securities
and U.S. corporate bonds. For the year ended December 31, 1999, the Portfolio
had a total return of a negative 3.69%, compared to the Lehman Brothers
Government/Corporate Bond Index total return of a negative 2.15%. (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.)
After several years of relatively low yields and rising prices, the U.S. bond
market declined sharply over the past year due in large part to investors'
concerns regarding inflation. The U.S. economy during 1999 was characterized by
unprecedented growth, low unemployment and a rise in oil and commodity prices
that largely contributed to the Fed's decision to raise interest rates three
times between June and November 1999, effectively offsetting the rate decreases
implemented in the fall of 1998. In management's opinion, the Fed probably would
have raised rates a fourth time in 1999 had it not been for the fears regarding
Y2K.
In the second half of 1999, the Portfolio's management expected to see a "flight
to quality" as the end of 1999 approached and fears of Y2K increased. In
anticipation of this development, the team increased the Portfolio's holdings in
U.S. Treasuries and eliminated those corporate bonds that reported
weaker-than-expected earnings. However, there was no true "flight to quality" in
the bond market as the end of 1999 approached and there were no major
disruptions to the economy.
Now that Y2K has passed, the Portfolio's management anticipates that the Fed
will continue to raise rates in 2000 until signs emerge that the economy is
slowing down to a "sustainable noninflationary pace."
APPRECIATION PORTFOLIO
For the year ended December 31, 1999, the Appreciation Portfolio ("Portfolio")
returned 13.12%. In comparison, the S&P 500 Index posted a total return of
21.03% for the same period. The Portfolio's investment objective is to provide
investors with long-term appreciation of capital. (Past performance is not
indicative of future results.)
By historical standards, the Portfolio's return was more than satisfactory. By
last year's standards, however, when some initial public offerings of stocks
went up several hundred percent in one day, and Internet stocks took flight, in
the opinion of the manager, the Portfolio's returns seem tame.
For the year ended December 31, 1999, the S&P 500 Index, which includes many
technology stocks, rose 21.03%. Although the Portfolio has owned and benefited
from, for some time, important positions in such first rate technology companies
such as Intel, Microsoft, Cisco Systems, Lucent and America Online, the
manager's reluctance to accept the risks that come with buying stocks selling
for extraordinarily high price-to-earnings ratios, definitely restrained results
in the fourth quarter, when virtually all of the action was in such stocks.
For U.S. stock market investors, there was much to celebrate in the decade of
the 1990s, topped off by an explosion of investor interest in the stock market
in 1999. According to the Securities Industry Association, an organization
comprised of 740 securities firms, nearly half of all households now own stocks,
just about double the number at the start of the decade. This stands in pleasant
contrast to the 1970s and 1980s, when the manager had to constantly remind
clients, or potential clients, of the wisdom of owning stocks. In the 1970s,
even with terrible inflation, the malaise in the markets and with retail
investors exiting the market in droves, rising dividends on blue chip stocks
provided evidence of the worth of equity ownership. People who stuck with stocks
were often rewarded in the 1980s, as the latent value in so many neglected
securities came to the surface through mergers or takeovers. Great growth
companies became recognized for the worth of their dominant worldwide
franchises. But at the start of the 1990s, it was still difficult to convince
more people that stocks were the preferred vehicle with which individuals could
accumulate wealth with their after-tax savings. But all of that changed
significantly over the past decade, culminating in a widespread belief among
many people that stocks, particularly technology stocks, are the only place to
be.
2
<PAGE>
ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
It is no accident that the economy and stock market of the United States have
become the envy of the rest of the world. For the last few years, the
Portfolio's manager has been talking or writing about the reasons for the major
turnaround from the 1970s when the U.S. was thought to be the world's doormat.
According to the manager, several factors have combined to bring us to this
exciting point in history. They include the deregulation of energy prices that
helped supplies to increase, kick-starting the reduction in inflation. Big tax
cuts of the early 1980s also made it more attractive for people to work and
invest by sharply lowering the onerous and punitive marginal tax rates on
personal income. The lower tax rates encouraged more investment by venture
capitalists to finance the grand ideas of many bright people. Both venture
capitalists and forward-thinking businesses could benefit from the ability to
offer their companies to the public and monetize their success. The manager
believes that this could only happen in a country like ours with a great history
of free and democratic markets, socioeconomic mobility and freedom to express
and create new and radical products and concepts. Painful corporate
restructuring, forced on managements by the threat of takeovers, restored
competitive cost structures to major U.S. industrial companies. All of these
factors coalesced in the blossoming and convergence of new technologies such as
wireless communications, fiber optics, integrated circuits, personal computers
and most recently, the Internet.
While 1999 set many records, there are also some major issues the Portfolio's
manager wants investors to consider as we enter a new century:
- More than 60% of the stocks on the New York Stock Exchange ("NYSE")
declined in 1999, despite record new highs for the popular averages.
- The S&P 500 Index has the highest price-to-earnings ratio on record,
higher by far than ratios seen at major market peaks in 1929 or 1972.
- The number of stocks making new lows each day has far exceeded those
stocks making new highs.
- Yields on bonds have been rising, normally a negative factor for
price-earnings ratios, but currently being for the most part ignored.
To sum up, the U.S. stock market has amply reflected the incredible turnaround,
growth and leadership position of our economy. And as it has picked up
adherents, the stock market has taken on a more speculative and narrow focus.
In order for the bull market to continue, the manager believes that buying
interest needs to broaden out to those areas of the market that contain good
companies, but which are regarded disdainfully as part of the "old economy."
Technology stocks as a category have taken on valuations that can best be
described as extreme. It is worth keeping in mind that the major expansion in
money supply that occurred in the second half of last year is likely to be
reined in now that Y2K fears have subsided. That could mean upward pressure on
interest rates, which normally spells contraction for valuations.
Perhaps most troubling is the fact that thousands of people are putting their
lifetime savings in stocks with triple-digit price-earnings ratios. It would be
great if some of the money that has gone into chasing price momentum got
recycled into the laggards, where values have been created through neglect.
That, in the manager's opinion, will determine the outcome of the market for the
first half of the year. If that does not occur, it is hard to imagine another
record-breaking market. At the end of the third quarter of 1999, the Portfolio's
manager believed that would happen. But in fact, the disparities between tech
stocks and "everything else" grew even wider.
In recent months, the manager has added a group of utility stocks to the
Portfolio, reflecting his belief that some conservative sectors of the market
are simply too cheap. He also is sticking to his expectations that insurance
stocks, including Berkshire Hathaway, represent solid values. According to the
manager, 2000 promises to be the most interesting year ever for the stock
market.
TOTAL RETURN PORTFOLIO
The Total Return Portfolio's ("Portfolio") 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 mid-
and small-cap stocks. For the year ended December 31, 1999, the Portfolio had a
total return of 22.02%. In comparison, the S&P 500 Index posted a total return
of 21.03% for the same period. (Past performance is not indicative of future
results.)
3
<PAGE>
ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
As value managers, the Portfolio's management was pleased with its performance
during a year in which nearly two-thirds of all stocks were flat or down in
price. The performance for many indexes was attributable to a few companies as
the 1999 market was one of the narrowest on record. The managers believe that
the valuations for some of the largest companies are excessive and that the
overall stock market may include more stocks in 2000.
Financial stocks were the largest holding in the Portfolio, accounting for
approximately 29% of the Portfolio's common stock holdings. Eleven percent of
that 29% is invested in Real Estate Investment Trusts (REITs) which the managers
believe are presently undervalued. An additional 7.5% of the Fund's financial
sector holdings is in purchases made during the year in those companies, in the
opinion of the managers, represented compelling values.
For example, at one point during the year, MGIC Investment, a leading mortgage
insurer saw its price fall 50% from a peak near $70. The Portfolio's share cost
of $35.32 was made near the lows for the year and at about 8.5x Year 2000
Earnings Per Share estimates. The stock now presently trades in the mid $50s.
The Portfolio's holdings in the basic materials sector is overweight at 18%
versus 3% for the S&P 500 Index. The managers believe that the best inflation
news is behind us and that world Gross Domestic Product ("GDP") growth may
increase the demand for natural resources and the products produced by companies
within the basic materials sector of the market. The basic materials sector was
8% of the S&P 500 Index at the beginning of the 1990s and now accounts for less
than 3% of the Index. The combination of depressed prices and improving
fundamentals are the basis for the managers' enthusiasm for many companies in
this industry. The Portfolio's managers also believe that earnings growth for
many basic materials companies may be substantially higher this year than for
most growth stocks.
The Portfolio's holding in the healthcare sector is also overweight at 14%
versus that of about 10% as represented by the S&P 500 Index. The managers
believe that there are many exciting changes to come and, while no guarantees
can be given, that should benefit this sector. In the managers' view, healthcare
will be politicised by the 2000 presidential election and many pharmaceutical
companies may be somewhat vulnerable in this environment. Late last year, the
Portfolio established a substantial position in McKesson, a leading drug
distribution company. The managers believe that broader healthcare coverage
should benefit companies such as McKesson.
Hospital management companies (HMOs) and hospitals underperformed in 1999 due to
negative investor sentiment. The managers' view of these two business groups
remains guarded. Yet, companies such as United Healthcare and Health Management
Associates were added to the Portfolio when their prices came down.
The Portfolio's holding in the energy sector was about 11% vs. an S&P 500 Index
weight of approximately 6% as of December 31, 1999. In the managers' view, this
sector should benefit from an expanding world economy. Energy service companies
are likely beneficiaries of higher spending by oil companies because rising
natural gas and oil prices have increased their cash flows.
The Fund's technology holding is substantially underweight at about 11% versus
its benchmark of 27% for the S&P 500 Index. This reflects the managers' belief
that shares in this sector are significantly overvalued.
In the opinion of the managers, e-commerce activities may eventually be taxed.
Sales taxes currently account for an average of 30% of state revenues and
government is unlikely to permit a significant decline of tax income. The
managers expect that the federal government eventually may impose a national
Internet tax to be distributed among the 50 states. In addition, the supply of
new Internet IPOs plus shares exiting the six-month lock-up period for previous
IPOs are likely to be an important factor affecting the pricing of Internet
shares in the next few months. It is the managers' opinion that most Internet
business plans are based on false premises, namely that ready access to capital
at favorable prices and rates is guaranteed in the future. If the Internet
"bubble" bursts, technology stocks may not be completely immune.
During 1999, the Portfolio had a much higher average weighting in technology
than the year-end figure indicates. During the year the Portfolio took
substantial profits in this area of the market because of high valuations and
the growing risks the manager sees to the sector in the first six months of
2000. However, in the long-term, it is clear that most portfolios, including the
Portfolio, will need to have substantial technology holdings to fulfill its
investment objective. The managers expect to use any future market volatility as
an opportunity to build back the Portfolio's technology holdings to levels more
representative of the overall market.
4
<PAGE>
ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
The managers' holdings in Adobe Systems, Motorola, and Texas Instruments
advanced between 126% and 220%. Each of these companies was purchased when they
were out-of-favor and has positively contributed to the performance of the
Portfolio.
Although the financial services sector had a difficult year, American Express
and MGIC Investment performed well. In the basic materials and energy sectors,
ALCOA, Georgia Pacific, Enron, Dow Chemical and Halliburton all outperformed the
overall market, as measured by the S&P 500 Index, by a substantial margin.
The underachievers in the Portfolio in 1999 included companies in steel,
retailing, financial services, beverages, drugs, and entertainment. REITs, in
general, had another difficult year as well. And while no guarantees can be
made, the managers are confident that these holdings should contribute
positively to the Portfolio in 2000.
In the managers' opinion, interest rates most likely will peak in the next three
to six months at about 7% for long-term bonds. Already they are seeing the
lowest level of bulls on bonds since the mid-1980s. Usually, readings of this
type lead the eventual peak in rates by two to four months. The managers believe
that many financial services companies, credit cyclicals, building stocks,
utilities, and transportation issues may do very well for the majority of the
upcoming year.
The managers also believe that the general outlook for the markets is positive
for the next few months. Yield stocks should cease being stock market
wallflowers and may provide attractive total returns over time. If market
returns are 10%, a likely occurrence in the managers' opinion, then a large
up-front yield will command increased investor interest. The managers are also
confident that select foreign companies may outperform domestic issues.
With this in mind, the managers think it will be important to have small- and
mid-cap representation in the Portfolio. In their view, share repurchases,
mergers, and occasional leveraged buyouts should begin to elevate valuations in
the small- and mid-cap segments of the stock market in the year to come.
Thank you for your investment in the Greenwich Street Series Fund - Intermediate
High Grade, Appreciation and Total Return Portfolios. We look forward to helping
you pursue your financial needs in the new century.
Sincerely,
/s/ HEATH B. MCLENDON
Heath B. McLendon
Chairman
January 18, 2000
5
<PAGE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- INTERMEDIATE HIGH GRADE PORTFOLIO AS OF 12/31/99
(UNAUDITED)
[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
12/31/99 15109 16218
</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 -- APPRECIATION PORTFOLIO AS OF 12/31/99 (UNAUDITED)
[APPRECIATION PORTFOLIO LINE GRAPH]
<TABLE>
<CAPTION>
APPRECIATION PORTFOLIO STANDARD & POOR'S 500 STOCK INDEX
---------------------- ---------------------------------
<S> <C> <C>
10/16/91 10000.00 10000.00
12/91 10490.00 10838.00
12/92 11133.00 11668.00
12/93 11926.00 12844.00
12/94 11792.00 13012.00
12/95 15193.00 17898.00
12/96 18197.00 22005.00
12/97 22999.00 29345.00
12/98 27402.00 37738.00
12/31/99 30998.00 45675.00
</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.
<TABLE>
<CAPTION>
- ---------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
----------------------------
Year Ended 12/31/99 (3.69)%
Five Years Ended 12/31/99 6.00 %
10/16/91* through 12/31/99 5.15 %
CUMULATIVE TOTAL RETURN
-----------------------
<S> <C> <C> <C>
10/16/91* through 12/31/99 51.09 %
* 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 December 31, 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.
<TABLE>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ----------------------------------------------------
Year Ended 12/31/99 13.12%
Five Years Ended 12/31/99 21.32%
10/16/91* through 12/31/99 14.77%
CUMULATIVE TOTAL RETURN
- ----------------------------------------------------
<S> <C> <C> <C>
10/16/91* through 12/31/99 209.98%
* 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 December 31,
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.
6
<PAGE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON -- TOTAL RETURN PORTFOLIO AS OF 12/31/99 (UNAUDITED)
[TOTAL RETURN PORTFOLIO LINE GRAPH]
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO STANDARD & POOR'S 500 STOCK INDEX
---------------------- ---------------------------------
<S> <C> <C>
12/3/93 10000.00 10000.00
12/93 10300.00 10121.00
12/94 11062.00 10253.00
12/95 13832.00 14103.00
12/96 17335.00 17340.00
12/97 20255.00 21109.00
12/98 21260.00 27146.00
12/31/99 25943.00 32855.00
</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.
<TABLE>
- -------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ---------------------------------------------------
Year Ended 12/31/99 22.02%
Five Years Ended 12/31/99 18.59%
12/3/93* through 12/31/99 16.98%
CUMULATIVE TOTAL RETURN
- ---------------------------------------------------
<S> <C> <C> <C>
12/3/93* through 12/31/99 159.43%
* 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 December 31,
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.
7
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS DECEMBER 31, 1999
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 54.8%
U.S. Treasury Notes:
$ 500,000 6.250% due 4/30/01.......................................... $ 500,320
1,750,000 6.250% due 2/15/03.......................................... 1,744,470
500,000 6.500% due 10/15/06......................................... 500,320
1,000,000 U.S. Treasury Bonds, 8.125% due 8/15/19..................... 1,139,250
1,000,000 Federal National Mortgage Association, 5.250% due 1/15/09... 881,800
- ------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $4,931,950)........................................ 4,766,160
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
RATING(A) AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
CORPORATE BONDS AND NOTES -- 25.6%
AEROSPACE AND DEFENSE -- 1.1%
100,000 AA- Rockwell International, Notes, 6.750% due 9/15/02........... 99,250
- ------------------------------------------------------------------------------------------------------------
BANKS/SAVINGS AND LOANS -- 10.7%
300,000 AAA Bayerische Landesbank, N.Y., Sub. Notes, 5.875% due
12/1/08..................................................... 268,875
250,000 AA- Morgan Guaranty Trust Co., Sub. Notes, 7.375% due 2/1/02.... 250,938
400,000 AA- National Westminster Bank, N.Y., Sub. Notes, 9.450% due
5/1/01...................................................... 413,000
- ------------------------------------------------------------------------------------------------------------
932,813
- ------------------------------------------------------------------------------------------------------------
COSMETICS AND TOILETRIES -- 2.9%
250,000 AA Kimberly-Clark Corp., Debentures, 7.875% due 2/1/23......... 247,812
- ------------------------------------------------------------------------------------------------------------
FINANCE COMPANIES/CONSUMER CREDIT -- 6.6%
261,000 Aaa* Fannie Mae, Notes, 5.125% due 2/13/04....................... 245,436
55,000 A+ Ford Motor Credit Co., Debentures, 9.500% due 4/15/00....... 55,468
250,000 AA Pitney Bowes Credit Corp., Notes, 8.550% due 9/15/09........ 268,750
- ------------------------------------------------------------------------------------------------------------
569,654
- ------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT -- 1.2%
100,000 AAA Quebec Province, Notes, 8.625% due 1/19/05.................. 105,750
- ------------------------------------------------------------------------------------------------------------
SOVEREIGN DEBT -- 3.1%
180,000 AAA Asian Development Bank, Debentures, 8.500% due 5/2/01....... 184,050
85,000 AA+ Republic of Ireland, Notes, 7.125% due 7/15/02.............. 85,638
- ------------------------------------------------------------------------------------------------------------
269,688
- ------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $2,357,841)........ 2,224,967
- ------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 17.7%
Federal National Mortgage Association (FNMA):
513,337 7.000% due 1/1/13........................................... 507,562
224,338 7.000% due 2/1/13........................................... 221,815
857,058 6.000% due 6/1/13........................................... 813,399
- ------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost -- $1,600,076)....... 1,542,776
- ------------------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $8,889,867).................. 8,533,903
- ------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
INTERMEDIATE HIGH GRADE PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 1.9%
$ 169,000 J.P. Morgan & Co. Inc., 3.000% due 1/3/00; Proceeds at
maturity -- $169,042;
(Fully collateralized by U.S. Treasury Bills and Notes,
0.000% to 6.625%
due 3/30/00 to 1/15/08; Market value -- $172,363)
(Cost -- $169,000).......................................... $ 169,000
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $9,058,867**)............ $8,702,903
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service except that those
identified by an asterisk (*) 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 (CONTINUED) DECEMBER 31, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 82.1%
AIRLINES -- 0.3%
43,500 Alaska Air Group Inc. (a)................................... $ 1,527,937
- ---------------------------------------------------------------------------------------
BASIC MATERIALS -- 4.8%
35,000 Alcoa Inc. ................................................. 2,905,000
73,000 Dow Chemical Co. ........................................... 9,754,625
56,000 E.I. du Pont de Nemours & Co. .............................. 3,689,000
56,000 Great Lakes Chemical Corp. ................................. 2,138,500
89,400 PPG Industries, Inc. ....................................... 5,593,088
59,000 St. Joe Co. ................................................ 1,434,438
- ---------------------------------------------------------------------------------------
25,514,651
- ---------------------------------------------------------------------------------------
BROADCASTING -- 7.4%
141,000 CBS Corp. (a)............................................... 9,015,187
65,900 Dow Jones & Co., Inc. ...................................... 4,481,200
111,500 Meredith Corp. ............................................. 4,648,156
76,500 SBS Broadcasting SA (a)..................................... 3,724,594
60,500 Time Warner Inc. ........................................... 4,382,469
68,500 USA Networks, Inc. (a)...................................... 3,784,625
46,500 Viacom Inc., Class B Shares (a)............................. 2,810,344
216,500 Walt Disney Co. ............................................ 6,332,625
- ---------------------------------------------------------------------------------------
39,179,200
- ---------------------------------------------------------------------------------------
CAPITAL GOODS -- 2.4%
72,000 Emerson Electric Co. ....................................... 4,131,000
93,000 Honeywell International Inc. ............................... 5,364,938
32,500 Johnson Controls, Inc. ..................................... 1,848,437
29,500 Parker-Hannifin Corp. ...................................... 1,513,719
- ---------------------------------------------------------------------------------------
12,858,094
- ---------------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.2%
45,053 Delphi Automotive Systems Corp. ............................ 709,585
46,500 Ford Motor Co. ............................................. 2,484,844
46,200 General Motors Corp. ....................................... 3,358,162
- ---------------------------------------------------------------------------------------
6,552,591
- ---------------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.6%
37,000 Bestfoods................................................... 1,944,812
57,000 Eastman Kodak Co. .......................................... 3,776,250
55,500 Gillette Co. ............................................... 2,285,906
74,500 H.J. Heinz Co. ............................................. 2,966,031
73,000 International Flavors & Fragrances Inc. .................... 2,755,750
106,000 Kimberly-Clark Corp. ....................................... 6,916,500
18,500 Newell Rubbermaid Inc. ..................................... 536,500
25,500 The Proctor & Gamble Co. ................................... 2,793,844
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 5.6% (CONTINUED)
83,500 Ralston-Ralston Purina Group................................ $ 2,327,562
37,700 Wm. Wrigley Jr. Co. ........................................ 3,126,744
- ---------------------------------------------------------------------------------------
29,429,899
- ---------------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.2%
60,000 Dal-Tile International Inc. (a)............................. 607,500
26,900 FDX Corp. (a)............................................... 1,101,219
136,500 First Data Corp. ........................................... 6,731,156
63,000 Gannett Co., Inc. .......................................... 5,138,438
38,500 Gap Inc. ................................................... 1,771,000
127,050 Home Depot, Inc. ........................................... 8,710,866
88,500 Masco Corp. ................................................ 2,245,687
179,000 McDonald's Corp. ........................................... 7,215,938
70,500 Mettler Toledo International Inc. (a)....................... 2,692,219
111,000 Pepsico, Inc. .............................................. 3,912,750
28,200 United Parcel Service Inc., Class A Shares.................. 1,945,800
96,500 Wal-Mart Stores, Inc. ...................................... 6,670,563
- ---------------------------------------------------------------------------------------
48,743,136
- ---------------------------------------------------------------------------------------
DIVERSIFIED CONGLOMERATE -- 8.9%
329 Berkshire Hathaway Inc., Class A Shares (a)................. 18,456,900
128,000 Canadian Pacific Ltd. ...................................... 2,760,000
46,800 Florida East Coast Industries, Inc. ........................ 1,953,900
89,400 General Electric Co. ....................................... 13,834,650
55,500 Minnesota Mining & Manufacturing Co. ....................... 5,432,063
113,000 Tyco International Ltd. .................................... 4,392,875
- ---------------------------------------------------------------------------------------
46,830,388
- ---------------------------------------------------------------------------------------
ENERGY -- 7.5%
38,000 BP Amoco PLC................................................ 2,253,876
12,000 CH Energy Group Inc. ....................................... 396,000
18,500 Chevron Corp. .............................................. 1,602,562
93,000 Conoco Inc., Class A shares................................. 2,301,750
188,009 Exxon Mobil Corp. .......................................... 15,146,475
21,600 Nabors Industries, Inc. (a)................................. 668,250
28,000 Reliant Energy, Inc. ....................................... 640,500
84,700 Royal Dutch Petroleum Co. .................................. 5,119,056
84,500 Schlumberger Ltd. .......................................... 4,753,125
40,400 SLI, Inc. (a)............................................... 547,925
28,000 Southern Co. ............................................... 658,000
37,000 Texaco Inc. ................................................ 2,009,562
38,000 Texas Utilities Co. ........................................ 1,351,375
44,900 Tidewater Inc. ............................................. 1,616,400
16,359 Transocean Sedco Forex Inc. ................................ 551,101
- ---------------------------------------------------------------------------------------
39,615,957
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 7.6%
161,500 Allstate Corp. ............................................. $ 3,876,000
500 American Express Co. ....................................... 83,125
73,450 American International Group, Inc. ......................... 7,941,781
64,500 Chubb Corp. ................................................ 3,632,156
93,000 Fannie Mae.................................................. 5,806,688
17,500 First Virginia Banks, Inc. ................................. 752,500
56,500 Horace Mann Educators Corp. ................................ 1,108,813
74,200 Household International, Inc. .............................. 2,763,950
57,000 Merrill Lynch & Co., Inc. .................................. 4,759,500
92,500 National City Corp. ........................................ 2,191,094
55,700 UNUM Provident Corp. ....................................... 1,785,881
56,000 Washington Mutual, Inc. .................................... 1,456,000
92,700 Wells Fargo Co. ............................................ 3,748,556
- ---------------------------------------------------------------------------------------
39,906,044
- ---------------------------------------------------------------------------------------
HEALTH CARE -- 9.3%
18,500 Abbott Laboratories......................................... 671,781
30,000 Alza Corp. (a).............................................. 1,038,750
78,500 American Home Products Corp. ............................... 3,095,844
105,000 Amgen Inc. (a).............................................. 6,306,562
103,500 Bristol-Myers Squibb Co. ................................... 6,643,406
77,500 Chiron Corp. (a)............................................ 3,284,062
57,500 Eli Lilly & Co. ............................................ 3,823,750
52,500 Johnson & Johnson........................................... 4,889,063
103,500 Merck & Co., Inc. .......................................... 6,940,969
178,900 Pfizer Inc. ................................................ 5,803,069
84,500 Warner-Lambert Co. ......................................... 6,923,719
- ---------------------------------------------------------------------------------------
49,420,975
- ---------------------------------------------------------------------------------------
TECHNOLOGY -- 13.0%
19,000 Agilent Technologies, Inc. (a).............................. 1,468,937
10,000 Amazon.com Inc (a).......................................... 761,250
74,500 America Online, Inc. (a).................................... 5,620,094
40,000 Belden Inc. ................................................ 840,000
84,700 Cisco Systems, Inc. (a)..................................... 9,073,487
30,000 Hewlett-Packard Co. ........................................ 3,418,125
85,000 Intel Corp. ................................................ 6,996,562
27,500 International Business Machines Corp. ...................... 2,970,000
113,000 Lucent Technologies Inc. ................................... 8,453,813
131,800 Microsoft Corp. (a)......................................... 15,387,650
30,000 Motorola, Inc. ............................................. 4,417,500
75,300 Novell, Inc. (a)............................................ 3,007,294
57,500 Texas Instruments Inc. ..................................... 5,570,313
32,700 Xerox Corp. ................................................ 741,881
- ---------------------------------------------------------------------------------------
68,726,906
- ---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS -- 4.9%
74,500 AT&T Corp. ................................................. $ 3,780,875
88,000 Bell Atlantic Corp. ........................................ 5,417,500
37,000 BellSouth Corp. ............................................ 1,732,062
122,500 GTE Corp. .................................................. 8,643,906
131,776 SBC Communications Inc. .................................... 6,424,080
- ---------------------------------------------------------------------------------------
25,998,423
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $330,647,944)................... 434,304,201
- ---------------------------------------------------------------------------------------
<CAPTION>
FACE
SECURITY VALUE
- ---------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 17.9%
$94,927,000 J.P. Morgan & Co., Inc. 3.000% due 1/3/00; Proceeds at
maturity -- $94,950,732;
(Fully collateralized by U.S. Treasury Bills and Notes,
0.000% to 6.625% due 3/30/00 to 1/15/08; Market
value -- $96,825,745) (Cost -- $94,927,000)................. 94,927,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $425,574,944*)........... $529,231,201
- ---------------------------------------------------------------------------------------
</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 (CONTINUED) DECEMBER 31, 1999
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 96.7%
BASIC MATERIALS -- 18.0%
180,000 Alcoa Inc. (a).............................................. $ 14,940,000
525,000 Archer-Daniels-Midland Co. ................................. 6,398,438
275,000 Asia Pulp & Paper Co. Ltd. (a)(b)........................... 2,165,625
375,000 Brush Wellman Inc. ......................................... 6,304,687
125,000 Consolidated Papers, Inc. .................................. 3,976,562
65,000 The Dow Chemical Co. (a).................................... 8,685,625
250,000 Georgia-Pacific Group (a)................................... 12,687,500
194,500 Oregon Steel Mills, Inc. ................................... 1,543,843
126,100 Wolverine Tube, Inc. (b).................................... 1,781,163
- --------------------------------------------------------------------------------------------------
58,483,443
- --------------------------------------------------------------------------------------------------
CAPITAL GOODS -- 2.0%
150,000 Crown Cork and Seal Co., Inc. (a)........................... 3,356,250
50,000 Deere & Co. ................................................ 2,168,750
50,000 Precision Castparts Corp. .................................. 1,312,500
- --------------------------------------------------------------------------------------------------
6,837,500
- --------------------------------------------------------------------------------------------------
COMMUNICATION SERVICES -- 7.0%
165,000 AT&T Corp. (a).............................................. 8,373,750
75,000 GTE Corp. .................................................. 5,292,188
136,750 Rostelecom (a)(b)........................................... 2,307,656
95,000 US WEST, Inc. .............................................. 6,840,000
- --------------------------------------------------------------------------------------------------
22,813,594
- --------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS -- 1.1%
250,000 Toys "R" Us, Inc. (b)....................................... 3,578,125
- --------------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 4.4%
160,500 Fleming Co., Inc. .......................................... 1,645,125
225,000 Fox Entertainment Group, Inc. (b)........................... 5,610,938
200,000 PepsiCo, Inc. .............................................. 7,050,000
- --------------------------------------------------------------------------------------------------
14,306,063
- --------------------------------------------------------------------------------------------------
ENERGY -- 10.6%
55,000 Baker Hughes Inc. .......................................... 1,158,438
100,000 Chevron Corp. .............................................. 8,662,500
275,000 Enron Corp. ................................................ 12,203,125
150,000 Halliburton Co. (a)......................................... 6,037,500
340,000 R&B Falcon Corp. (b)........................................ 4,505,000
150,000 Union Pacific Resources Group Inc. ......................... 1,912,500
- --------------------------------------------------------------------------------------------------
34,479,063
- --------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 18.3%
200,000 The Allstate Corp. (a)...................................... 4,800,000
65,000 Ambac Financial Group, Inc. ................................ 3,392,188
60,000 American Express Co. ....................................... 9,975,000
50,000 Bank of America Corp. ...................................... 2,509,375
250,000 Bank of New York Co., Inc. (a).............................. 10,000,000
100,000 Bank One Corp. ............................................. 3,206,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (CONTINUED) DECEMBER 31, 1999
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 18.3% (CONTINUED)
60,000 The Chase Manhattan Corp. .................................. $ 4,661,250
100,000 The CIT Group, Inc. ........................................ 2,112,500
60,000 MBIA, Inc. ................................................. 3,168,750
230,000 Mellon Financial Corp. ..................................... 7,834,375
135,000 MGIC Investment Corp. (a)................................... 8,125,313
- --------------------------------------------------------------------------------------------------
59,785,001
- --------------------------------------------------------------------------------------------------
HEALTH CARE -- 14.3%
269,400 AmeriSource Health Corp. (b)................................ 4,091,512
100,000 Bristol-Myers Squibb Co. ................................... 6,418,750
500,000 Foundation Health Systems Inc. (b).......................... 4,968,750
630,000 Health Management Associates, Inc. (b) ..................... 8,426,250
600,000 McKesson HBOC, Inc. (a)..................................... 13,537,500
175,000 United HealthCare Corp. (a)................................. 9,296,875
- --------------------------------------------------------------------------------------------------
46,739,637
- --------------------------------------------------------------------------------------------------
REAL ESTATE -- 10.4%
400,000 Meristar Hotels & Resort, Inc. (b).......................... 1,425,000
165,000 The Rouse Co. .............................................. 3,506,250
190,000 Shurgard Storage Centers, Inc. ............................. 4,405,625
400,000 Simon Property Group, Inc. ................................. 9,175,000
270,000 Spieker Properties, Inc. ................................... 9,838,125
322,230 Starwood Financial Inc. .................................... 5,457,770
- --------------------------------------------------------------------------------------------------
33,807,770
- --------------------------------------------------------------------------------------------------
TECHNOLOGY -- 10.6%
150,000 Adobe Systems Inc. (a)...................................... 10,087,500
100,000 Motorola, Inc. (a).......................................... 14,725,000
100,000 Texas Instruments Inc. ..................................... 9,687,500
- --------------------------------------------------------------------------------------------------
34,500,000
- --------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $241,301,606)................... 315,330,196
- --------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 3.3%
125,000 KMart Financing Corp., Exchangeable 7.750%.................. 5,468,750
200,000 Merrill Lynch Corp., Exchangeable 6.250%.................... 3,575,000
200,000 USX Corp., Exchangeable 6.750%.............................. 1,525,000
- --------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $12,627,549)................. 10,568,750
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $253,929,155*)........... $325,898,946
- --------------------------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 12).
(b) Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments, at cost...................................... $8,889,867 $330,647,944 $253,929,155
Repurchase agreements, at cost............................ 169,000 94,927,000 --
- --------------------------------------------------------------------------------------------------------
Investments, at value..................................... $8,533,903 $434,304,201 $325,898,946
Repurchase agreements, at value........................... 169,000 94,927,000 --
Cash...................................................... 486 270 43,213
Receivable for Fund shares sold........................... -- 615,227 --
Collateral for securities on loan (Note 12)............... -- -- 78,858,904
Receivable for securities sold............................ -- -- 4,111,290
Dividends and interest receivable......................... 165,330 496,891 825,560
- --------------------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 8,868,719 530,343,589 409,737,913
- --------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for Fund shares purchased......................... 13,061 38 335,207
Investment advisory fees payable.......................... 11,774 238,388 143,100
Administration fees payable............................... 5,698 86,687 54,517
Payable for securities purchased.......................... -- 546,874 --
Payable for securities on loan (Note 12).................. -- -- 78,858,904
Payable for options written (Note 6)...................... -- -- 6,250
Accrued expenses.......................................... 17,655 52,529 43,098
- --------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 48,188 924,516 79,441,076
- --------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $8,820,531 $529,419,073 $330,296,837
- --------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of beneficial interest................ $ 910 $ 22,637 $ 16,397
Capital paid in excess of par value....................... 9,204,314 415,340,732 233,437,975
Undistributed net investment income....................... 605,649 4,416,872 7,252,029
Accumulated net realized gain (loss) from security
transactions and options............................... (634,378) 5,982,575 17,354,905
Net unrealized appreciation (depreciation) of investments
and options............................................ (355,964) 103,656,257 72,235,531
- --------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $8,820,531 $529,419,073 $330,296,837
- --------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING.......................................... 910,251 22,636,591 16,396,944
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE.................................. $9.69 $23.39 $20.14
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest................................................. $ 739,621 $ 3,669,500 $ 1,032,390
Dividends................................................ -- 3,737,658 7,920,305
Less: Foreign withholding tax............................ -- (45,063) (8,117)
- ----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME.................................. 739,621 7,362,095 8,944,578
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 3)........................ 44,383 2,049,520 1,718,707
Audit and legal.......................................... 23,779 30,167 28,801
Administration fees (Note 3)............................. 22,191 745,280 624,984
Pricing service fees..................................... 18,244 -- --
Shareholder and system servicing fees.................... 14,880 15,025 15,001
Shareholder communications............................... 5,430 51,112 40,000
Trustees' fees........................................... 2,803 16,832 16,900
Custody.................................................. 752 19,835 11,501
Other.................................................... 2,254 14,935 8,279
- ----------------------------------------------------------------------------------------------------------
TOTAL EXPENSES........................................... 134,716 2,942,706 2,464,173
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME...................................... 604,905 4,419,389 6,480,405
- ----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND OPTIONS (NOTES 4 AND 6):
Realized Gain (Loss) From:
Security transactions (excluding short-term
securities)......................................... (231,097) 7,651,687 19,816,367
Options written....................................... -- -- (2,621,961)
- ----------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)................................. (231,097) 7,651,687 17,194,406
- ----------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) of
Investments and Options:
Beginning of year..................................... 433,931 69,832,939 33,497,171
End of year........................................... (355,964) 103,656,257 72,235,531
- ----------------------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)..... (789,895) 33,823,318 38,738,360
- ----------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS AND OPTIONS................. (1,020,992) 41,475,005 55,932,766
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS.......... $ (416,087) $ 45,894,394 $62,413,171
- ----------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER
31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
HIGH GRADE APPRECIATION RETURN
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income..................................... $ 604,905 $ 4,419,389 $ 6,480,405
Net realized gain (loss).................................. (231,097) 7,651,687 17,194,406
Changes in net unrealized appreciation (depreciation)..... (789,895) 33,823,318 38,738,360
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... (416,087) 45,894,394 62,413,171
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2):
Net investment income..................................... (857,354) (2,558,655) (7,694,332)
Net realized gains........................................ -- (5,751,430) (11,613,887)
- --------------------------------------------------------------------------------------------------------
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.......................... 177,720 281,938,611 11,969,720
Net asset value of shares issued for reinvestment of
dividends.............................................. 857,354 8,310,085 19,308,219
Cost of shares reacquired................................. (4,183,371) (44,094,187) (42,301,478)
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (3,148,297) 246,154,509 (11,023,539)
- --------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (4,421,738) 283,738,818 32,081,413
NET ASSETS:
Beginning of year......................................... 13,242,269 245,680,255 298,215,424
- --------------------------------------------------------------------------------------------------------
END OF YEAR*.............................................. $ 8,820,531 $529,419,073 $330,296,837
- --------------------------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $605,649 $4,416,872 $7,252,029
- --------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE YEAR ENDED DECEMBER
31, 1998
<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.
20
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
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, 1999, reclassifications were made to the capital
accounts of the Intermediate High Grade and Total Return Portfolios,
respectively, to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. 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.
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 SSB Citi Fund Management LLC
("SSBC"), formerly known as SSBC Fund Management Inc. 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.
21
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (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 year ended December 31, 1999, Salomon Smith Barney Inc. ("SSB"),
another subsidiary of SSBH, received brokerage commissions of $78,288.
Effective October 1999, Smith Barney Private Trust ("Private Trust"),
another subsidiary of Citigroup, became the Trust's transfer agent and PFPC
Global Fund Services ("PFPC") became the Trust's sub-transfer agent. Private
Trust receives account fees and asset-based fees that vary according to the
account size and type of account. PFPC is responsible for shareholder
recordkeeping and financial processing for all shareholder accounts. During the
period October 1, 1999 through December 31, 1999, each Portfolio, Appreciation,
Intermediate High Grade, and Total Return, paid transfer agent fees of $1,250,
respectively, to Private Trust.
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 year ended December 31, 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..................................... $ 7,718,600 $ 10,960,537
Appreciation................................................ 349,752,981 158,805,875
Total Return................................................ 129,190,362 120,067,759
- -----------------------------------------------------------------------------------------
</TABLE>
At December 31, 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.................................... $ 7,780 $ (363,744) $ (355,964)
Appreciation............................................... 110,937,695 (7,281,438) 103,656,257
Total Return............................................... 88,467,137 (16,497,346) 71,969,791
- ---------------------------------------------------------------------------------------------------------
</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 December 31, 1999, there were no open futures contracts in the
Portfolios.
22
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (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 December 31, 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 written put options transactions occurred in the Total Return
Portfolio during the year ended December 31, 1999:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
- -------------------------------------------------------------------------------------
<S> <C> <C>
Options written, outstanding at December 31, 1998........... 0 0
Options written during the year ended December 31, 1999..... 65 598,195
Options cancelled in closing purchase transactions.......... (65) (598,195)
- -------------------------------------------------------------------------------------
Options written, outstanding at December 31, 1999........... 0 $ 0
- -------------------------------------------------------------------------------------
</TABLE>
The following covered written call options transactions occurred in the
Total Return Portfolio during the year ended December 31, 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 year ended December 31, 1999..... 2,500 1,422,534
Options cancelled in closing purchase transactions.......... (3,250) (2,676,493)
- -------------------------------------------------------------------------------------
Options written, outstanding at December 31, 1999........... 1,000 $ 271,990
- -------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The following table represents the covered written call option contracts
open at December 31, 1999:
<TABLE>
<CAPTION>
NUMBER OF STRIKE
CONTRACTS EXPIRATION PRICE VALUE
- -----------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
1,000 McKesson HBOC Inc. (Premium received -- $271,990)........... 1/22/00 $50 $(6,250)
- -----------------------------------------------------------------------------------------------------
</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.
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 December 31, 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 December 31, 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, in securities
exceeding the yield on the securities sold.
At December 31, 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 stock 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
24
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 December 31, 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 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 December 31, 1999, the Total Return Portfolio had loaned common stocks
having a value of $78,207,711 and holds the following collateral for loaned
securities:
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------
<S> <C>
CERTIFICATE OF DEPOSIT:
Deutsche Bank, 6.040% due 1/3/00.......................... $ 2,639,756
COMMERCIAL PAPER:
Abby National, 6.2557% due 1/5/00......................... 3,115,177
Asset Securitiz, 5.9434% due 2/28/00...................... 3,462,414
Atlantis One, 5.9202% due 2/23/00......................... 3,420,818
Atlantis One, 5.9732% due 3/20/00......................... 1,994,742
Barton Capital, 6.220% due 1/5/00......................... 1,335,076
CC USA Disc., 5.9038% due 2/14/00......................... 6,409,553
CC USA Disc., 5.9029% due 2/25/00......................... 4,026,122
Corporate Receivables Corp., 6.1913% due 1/20/00.......... 5,695,617
Corporate Receivables Corp., 5.9966% due 1/26/00.......... 2,209,024
Morgan Stanley, 6.1336% due 1/28/00....................... 8,114,432
Moriarity Disc., 5.9797% due 2/14/00...................... 7,112,118
Moriarity Disc., 5.9495% due 2/18/00...................... 2,037,854
Sigma Finance, 6.0036% due 2/3/00......................... 1,309,973
Sigma Finance, 5.9591% due 2/10/00........................ 2,429,835
FLOATING RATE NOTE:
American Home, 5.5075% due 4/20/00........................ 1,910,171
Sigma Finance, 6.2538% due 4/4/00......................... 4,357,571
INTEREST BEARING NOTE:
Bank of Montreal, 6.680% due 1/14/00...................... 2,720,263
TIME DEPOSITS:
Caisse des Depots et Consig., 12.000% due 1/3/00.......... 488,904
Chase Manhattan Bank, 4.500% due 1/3/00................... 1,239,801
Marshal & Isley, 2.000% due 1/3/00........................ 84,942
Suntrust Bank, 4.500% due 1/3/00.......................... 896,324
Suntrust Bank, 13.000% due 1/3/00......................... 781,166
YANKEE CERTIFICATES OF DEPOSIT:
Toronto Dominio, 6.740% due 1/14/00....................... 11,067,251
- -------------------------------------------------------------------------
TOTAL....................................................... $78,858,904
- -------------------------------------------------------------------------
</TABLE>
Income earned by the Total Return Portfolio from securities loaned for the
year ended December 31, 1999 was $30,843.
25
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
13. SHARES OF BENEFICIAL INTEREST
At December 31, 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>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
INTERMEDIATE HIGH GRADE PORTFOLIO
Shares sold................................................. 17,222 141,698
Shares issued on reinvestment............................... 88,387 88,618
Shares reacquired........................................... (410,417) (402,084)
- ---------------------------------------------------------------------------------------------------
Net Decrease................................................ (304,808) (171,768)
- ---------------------------------------------------------------------------------------------------
APPRECIATION PORTFOLIO
Shares sold................................................. 12,629,480 5,173,374
Shares issued on reinvestment............................... 378,247 498,739
Shares reacquired........................................... (1,983,060) (1,753,512)
- ---------------------------------------------------------------------------------------------------
Net Increase................................................ 11,024,667 3,918,601
- ---------------------------------------------------------------------------------------------------
TOTAL RETURN PORTFOLIO
Shares sold................................................. 642,754 2,063,766
Shares issued on reinvestment............................... 1,018,903 888,597
Shares reacquired........................................... (2,259,949) (1,511,097)
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... (598,292) 1,441,266
- ---------------------------------------------------------------------------------------------------
</TABLE>
14. CAPITAL LOSS CARRYFORWARDS
At December 31, 1999, 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 2007 TOTAL
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Intermediate High Grade
Portfolio $288,000 $5,000 $24,000 $84,000 $110,000 $511,000
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31:
<TABLE>
<CAPTION>
INTERMEDIATE HIGH GRADE PORTFOLIO 1999 1998(1) 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR.............. $10.90 $10.89 $10.70 $10.60 $9.66
- --------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(2)...................... 0.77 0.65 0.72 0.71 0.66
Net realized and unrealized gain (loss)....... (1.17) 0.07 0.21 (0.53) 1.00
- --------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations............. (0.40) 0.72 0.93 0.18 1.66
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......................... (0.81) (0.71) (0.74) (0.08) (0.72)
- --------------------------------------------------------------------------------------------------------------------
Total Distributions............................. (0.81) (0.71) (0.74) (0.08) (0.72)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.................... $9.69 $10.90 $10.89 $10.70 $10.60
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN.................................... (3.69)% 6.79% 8.67% 1.69% 17.76%
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................. $8,821 $13,242 $15,100 $14,736 $16,152
- --------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)................................... 1.22% 0.93% 0.95% 0.90% 0.86%
Net investment income......................... 5.46 5.82 6.28 6.35 6.63
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......................... 71% 60% 66% 116% 121%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
APPRECIATION PORTFOLIO 1999 1998(1) 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR.............. $21.16 $18.73 $15.86 $14.39 $11.54
- --------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income......................... 0.13 0.27 0.24 0.27 0.23
Net realized and unrealized gain.............. 2.62 3.24 3.90 2.60 3.04
- --------------------------------------------------------------------------------------------------------------------
Total Income From Operations.................... 2.75 3.51 4.14 2.87 3.27
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......................... (0.16) (0.22) (0.21) (0.25) (0.21)
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)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.................... $23.39 $21.16 $18.73 $15.86 $14.39
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN.................................... 13.12% 19.15% 26.39% 19.77% 28.84%
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................. $529,419 $245,680 $144,134 $101,232 $94,492
- --------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................................... 0.79% 0.80% 0.80% 0.85% 0.97%
Net investment income......................... 1.18 1.36 1.68 1.59 1.65
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......................... 53% 22% 34% 39% 43%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) For the Intermediate High Grade Portfolio, the Investment Adviser waived all
or part of its fees for the two-year period ended December 31, 1996. In
addition, IDS Life reimbursed expenses of $3,006 for the year 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>
1996 1995
----- -----
<S> <C> <C>
Per Share Decrease to Net Investment Income................. $0.02 $0.01
Expenses Ratio Without Fee Waivers and Reimbursements....... 1.07% 0.94%
</TABLE>
27
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31:
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO 1999 1998(1) 1997 1996 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR.............. $17.55 $17.62 $15.73 $12.75 $10.78
- ----------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income......................... 0.42 0.49 0.37 0.26 0.43
Net realized and unrealized gain.............. 3.37 0.38 2.26 2.97 2.19
- ----------------------------------------------------------------------------------------------------------
Total Income From Operations.................... 3.79 0.87 2.63 3.23 2.62
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......................... (0.48) (0.43) (0.21) (0.07) (0.41)
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)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.................... $20.14 $17.55 $17.62 $15.73 $12.75
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN.................................... 22.02% 4.97% 16.84% 25.33% 25.04%
- ----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S)................. $330,297 $298,215 $274,006 $171,503 $78,042
- ----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................................... 0.79% 0.79% 0.79% 0.83% 1.00%
Net investment income......................... 2.07 2.79 3.24 3.06 3.80
- ----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......................... 41% 72% 75% 82% 81%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
- --------------------------------------------------------------------------------
TAX INFORMATION (UNAUDITED)
For Federal tax purposes the Fund hereby designates for the fiscal year ended
December 31, 1999:
- Percentages of ordinary dividends paid as qualifying for the dividends
received deduction:
<TABLE>
<S> <C>
Appreciation Portfolio.................................... 88.67%
Total Return Portfolio.................................... 67.96
</TABLE>
- Total long-term capital gain distributions paid:
<TABLE>
<S> <C>
Appreciation Portfolio.................................... $ 5,487,335
Total Return Portfolio.................................... 11,613,887
</TABLE>
A total of 28.44% of the ordinary dividends paid by the Intermediate High Grade
Portfolio from net investment income are derived from Federal obligations and
may be exempt from taxation at the state level.
28
<PAGE>
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
GREENWICH STREET SERIES FUND:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of the Intermediate High Grade,
Appreciation and Total Return Portfolios ("Portfolios") of Greenwich Street
Series Fund ("Fund") as of December 31, 1999, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two-year period then ended and the financial highlights
for each of the years in the five-year period then ended. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian. As to securities
purchased or sold but not yet received or delivered, we performed other
appropriate auditing procedures. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
Portfolios as of December 31, 1999, the results of their operations for the year
then ended, the changes in their net assets for each of the years in the
two-year period then ended and their financial highlights for each of the years
in the five-year period then ended, in conformity with generally accepted
accounting principles.
[KPMG Peat Marwick LLP
Signature]
New York, New York
February 11, 2000
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:
Salomon Smith Barney Inc.
and subsidiaries
SYMPHONY
is underwritten, issued and serviced by:
IDS Life Insurance Company and
IDS Life Insurance Company of New York
S6223-1 E (2/00)
