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Previous: AETNA SERIES FUND INC, 497J, 1995-07-06 |
Next: STATE STREET RESEARCH PORTFOLIOS INC, N-30D, 1995-07-06 |
[Aetna logo] Aetna Life Insurance and
Annuity Company
151 Farmington Avenue
Hartford, CT 06156
203-273-0123
Dear Customer,
We are pleased to provide you with a copy of the Semi-Annual Report for the
Aetna Generation Funds for the period ended April 30, 1995.
The report covers the three diversified portfolios that comprise the Generation
Funds: Aetna Ascent, Aetna Crossroads and Aetna Legacy. Each one is an asset
allocation fund that allocates its investments among equities and fixed income
securities and is designed for investors with different investment horizons and
risk tolerances.
This Semi-Annual report provides you with information on the performance of the
funds. It contains unaudited financial statements and listings of individual
securities held by the Funds. Overall, it should give you a picture of how we
are managing your plan's retirement savings.
We are proud to bring you quality products that offer value and meet your
investment needs. Thank you for placing your trust in us and investing in Aetna
Mutual Funds.
Yours sincerely,
/sig/ Martin Conroy
Martin Conroy
Chief Administrative Officer
<PAGE>
AETNA GENERATION FUNDS SEMI-ANNUAL REPORT
TABLE OF CONTENTS
Statements of Assets and Liabilities 1
Statements of Operations 2
Statements of Changes in Net Assets 3
Notes to Financial Statements 4
Financial Highlights 10
Portfolio of Investments:
Aetna Ascent Fund 11
Aetna Crossroads Fund 29
Aetna Legacy Fund 47
<PAGE>
Aetna Generation Funds
Statements of Assets and Liabilities
April 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
<S> <C> <C> <C>
Assets:
Investments, at market value (Note 1) $27,870,398 $27,296,597 $26,787,536
Cash 9,856 4,174 2,538
Cash denominated in foreign currencies 581,055 79,416 252,875
Receivable for:
Dividends and interest 105,445 152,743 223,110
Investments sold 1,466,017 1,161,240 882,705
Fund shares sold 54 95 210
Recoverable taxes 1,312 644 542
Variation margin 0 858 17
Forward foreign currency exchange contracts (Note 5) 4,296,119 2,966,442 2,167,820
----------- ----------- -----------
Total assets 34,330,256 31,662,209 30,317,353
----------- ----------- -----------
Liabilities:
Payable for:
Investments purchased 3,383,683 2,141,787 1,657,022
Variation margin 3,416 0 0
Forward foreign currency exchange contracts (Note 5) 4,458,690 3,086,613 2,263,815
Other liabilities 35,399 42,561 42,594
----------- ----------- -----------
Total liabilities 7,881,188 5,270,961 3,963,431
----------- ----------- -----------
NET ASSETS $26,449,068 $26,391,248 $26,353,922
=========== =========== ===========
Net assets represented by:
Paid-in capital $25,200,054 $25,200,095 $25,200,210
Unrealized gain 1,023,831 887,981 706,462
Undistributed net investment income 276,840 312,450 354,943
Accumulated net realized gain (loss) (51,657) (9,278) 92,307
----------- ----------- -----------
NET ASSETS $26,449,068 $26,391,248 $26,353,922
=========== =========== ===========
Capital shares, $.001 par value
Select Class: Outstanding 2,520,005 2,520,009 2,520,020
Net Assets $26,449,068 $26,391,248 $26,353,922
Net Asset Value per share $10.50 $10.47 $10.46
Cost of Investments $26,682,259 $26,294,463 $25,996,824
</TABLE>
See Notes to Financial Statements 1
<PAGE>
Aetna Generation Funds
Statements of Operations
For the period of January 4, 1995 - April 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
<S> <C> <C> <C>
Investment income: (Note 1)
Dividends $177,675 $137,921 $90,790
Interest 217,921 292,220 381,086
---------- ---------- ----------
395,596 430,141 471,876
Foreign taxes withheld (4,388) (3,238) (2,319)
---------- ---------- ----------
Total investment income 391,208 426,903 469,557
---------- ---------- ----------
Expenses: (Note 2)
Investment advisory fee 65,247 65,309 65,433
Administrative service fee 20,390 20,409 20,448
Printing and postage expenses 1,651 1,651 1,651
Custody fees 2,442 2,442 2,442
Transfer agent fees 7,648 7,648 7,648
Audit fees 4,274 4,274 4,274
Directors' fees 3,275 3,275 3,275
State and federal fees 7,307 7,307 7,307
Miscellaneous 2,134 2,138 2,136
---------- ---------- ----------
Total expenses 114,368 114,453 114,614
---------- ---------- ----------
Net investment income 276,840 312,450 354,943
---------- ---------- ----------
Realized and unrealized gain (loss): (Note 1)
Realized gain (loss) on:
Sales of investments, excluding short-term investments 228,110 192,510 204,709
Futures and forward currency contracts (249,938) (192,946) (111,965)
Foreign currencies (29,829) (8,842) (437)
---------- ---------- ----------
Net realized gain (loss) (51,657) (9,278) 92,307
---------- ---------- ----------
Net change in unrealized gain (loss) on:
Investments 1,188,139 1,002,134 790,712
Futures and forward currency contracts (161,913) (99,685) (78,607)
Foreign currency related transactions (2,395) (14,468) (5,643)
---------- ---------- ----------
Net change in unrealized gain 1,023,831 887,981 706,462
---------- ---------- ----------
Net realized and change in unrealized gain 972,174 878,703 798,769
---------- ---------- ----------
Net increase in net assets resulting from operations $1,249,014 $1,191,153 $1,153,712
========== ========== ==========
</TABLE>
See Notes to Financial Statements 2
<PAGE>
Aetna Generation Funds
Statements of Changes in Net Assets
For the period of January 4, 1995 - April 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
<S> <C> <C> <C>
Operations:
Net investment income $276,840 $312,450 $354,943
Net realized gain (loss) (51,657) (9,278) 92,307
Net change in unrealized gain 1,023,831 887,981 706,462
----------- ----------- -----------
Net increase in net assets resulting from operations 1,249,014 1,191,153 1,153,712
----------- ----------- -----------
Fund share transactions: (Note 6)
Select Class:
Proceeds from shares sold 25,200,054 25,200,095 25,200,210
----------- ----------- -----------
Net increase in net assets from fund share transactions 25,200,054 25,200,095 25,200,210
----------- ----------- -----------
Change in net assets 26,449,068 26,391,248 26,353,922
Net assets:
Beginning of period 0 0 0
----------- ----------- -----------
End of period $26,449,068 $26,391,248 $26,353,922
=========== =========== ===========
End of period net assets includes undistributed
net investment income $276,840 $312,450 $354,943
=========== =========== ===========
</TABLE>
See Notes to Financial Statements 3
<PAGE>
AETNA GENERATION FUNDS
Notes to Financial Statements
April 30, 1995 (Unaudited)
1.Summary of Significant Accounting Policies
Aetna Series Fund, Inc. ("Company") is registered under the
Investment Company Act of 1940 as a diversified, open-end management
investment company incorporated under the laws of Maryland on June
17, 1991. The Articles of Incorporation permit the Company to offer
separate funds ("Funds") each of which has its own investment
objectives, policies and restrictions.
On January 4, 1995, Aetna Ascent, Aetna Crossroads, and Aetna Legacy
became available for sale. Shares of each Fund are available to all
investors including employers and employees who utilize the Funds as
investment options under retirement plans. The funds are authorized
to offer two classes of shares, the Select Class and the Adviser
Class. At this time, it is expected that these Funds will only
offer the Select Class. The Select Class is offered principally to
institutions and is not subject to sales charges or service fees.
Aetna Life Insurance and Annuity Company ("ALIAC") serves as the
Investment Adviser and principal underwriter to each Fund.
The following is a summary of significant accounting policies
consistently followed by the Funds in the preparation of their
financial statements. The policies are in conformity with generally
accepted accounting principles.
A.Valuation of Investments
Investments are stated at market values based upon closing sales
prices as reported on national securities exchanges or, for over-
the-counter securities, at the mean of the bid and asked prices.
Short-term investments maturing in more than sixty days for which
market quotations are readily available are valued at current
market value. Short-term investments maturing in less than sixty
days are valued at amortized cost which when combined with accrued
interest approximates market. Securities for which market
quotations are not considered to be readily available are valued
in good faith using methods approved by the Board of Directors.
The accounting records of the Funds are maintained in U.S.
dollars. Investment securities and other assets and liabilities
denominated in a foreign currency are translated into U.S. dollars
at the prevailing rates of exchange at the end of the period.
Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing
exchange rate on the respective dates of the transactions.
B.Futures and Forward Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy
and sell a specific amount of a commodity, security or financial
instrument including an index of stocks at a set price on a
future date. The Funds use futures contracts as a hedge against
declines in the value of
(continued) 4
<PAGE>
AETNA GENERATION FUNDS
Notes to Financial Statements
April 30, 1995 (Unaudited)
1.Summary of Significant Accounting Policies (continued)
B.Futures and Forward Foreign Currency Exchange Contracts
(continued)
portfolio securities. The Funds may also purchase futures
contracts to gain market exposure as it may be more cost effective
than purchasing individual securities.
Upon entering into a futures contract, the Funds are required to
deposit with a broker, an amount (initial margin) equal to a
percentage of the purchase price indicated by the futures
contract. Subsequent deposits (variation margin) are received or
paid each day by the Funds equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by the
Funds as unrealized gains or losses. When a contract is closed,
the Funds record a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and
the value at the time it was closed. Generally, futures contracts
are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to
pay or receive specific amounts of a currency at a future date in
exchange for another currency at an agreed upon exchange rate.
The Funds may use forward foreign currency exchange contracts to
hedge certain foreign currency assets. Contracts are recorded at
market value and marked-to-market daily.
The risks associated with futures and foreign currency exchange
contracts may arise from an imperfect correlation between the
change in market value of the securities held by the Funds and the
price of the contracts. Risks may also arise from an illiquid
secondary market, or from the inability of counterparties to meet
the terms of the contracts.
Realized and unrealized gains or losses on futures and foreign
currency exchange contracts are reflected in the accompanying
financial statements . For federal tax purposes, any futures
contracts and forward foreign currency exchange contracts which
remain open at year end are marked-to-market and the resultant net
gain or loss is included in federal taxable income.
C.Illiquid and Restricted Securities
Illiquid securities are securities that are not readily
marketable. Disposing of illiquid investments may involve time-
consuming negotiation and legal expenses, and it may be difficult
or impossible for the Funds to sell them promptly at an acceptable
price. Restricted securities are subject to legal or contractual
restrictions on resale and may not be publicly sold without
registration under the Federal Securities Act of 1933. Each Fund
may invest up to 15% of its total assets in illiquid securities.
Illiquid and restricted securities are valued using market
quotations when readily available. In the absence of market
quotations, the securities are valued based upon their fair value
determined under procedures approved by the Board of Directors.
The Funds will not pay the costs of disposition of restricted
securities other than ordinary brokerage fees, if any.
(continued) 5
<PAGE>
AETNA GENERATION FUNDS
Notes to Financial Statements
April 30, 1995 (Unaudited)
1.Summary of Significant Accounting Policies (continued)
D.Federal Income Taxes
As a qualified regulated investment company, each Fund is relieved
of federal income and excise taxes by distributing its net taxable
investment income and capital gains, if any, in compliance with
the applicable provisions of the Internal Revenue Code.
E.Other
Investment transactions are accounted for on the day following
trade date, except same day settlements which are accounted for on
the trade date. Interest income is recorded on an accrual basis.
Discounts and premiums on securities purchased are amortized over
the life of the respective security. Dividend income is recorded
on the ex-dividend date. Realized gains and losses from
investment transactions are determined on an identified cost
basis.
2.Investment Advisory, Management, Shareholder Service and
Distribution Fees
Each Fund pays the Investment Adviser a monthly fee at an annual
rate of 0.80% based on its average daily net assets. As each Fund's
net assets exceed predetermined thresholds, lower advisory fees are
applied.
The Company has entered into an administrative services agreement
under which ALIAC acts as administrator and provides certain
administrative and shareholder services and is responsible for the
supervision of other service providers. Each Fund pays ALIAC a
monthly fee at an annual rate of 0.25% based on average daily net
assets. As each Fund's net assets exceed predetermined thresholds,
lower advisory fees apply.
3.Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term
investments, for the period from January 4, 1995 through April 30,
1995 were:
Cost of Proceeds from
Purchases Sales
Ascent $31,911,189 $9,261,516
Crossroads 28,116,901 8,158,825
Legacy 24,243,173 6,542,709
(continued) 6
<PAGE>
AETNA GENERATION FUNDS
Notes to Financial Statements
April 30, 1995 (Unaudited)
4.Forward Foreign Currency Exchange Contracts
At April 30, 1995, Aetna Ascent, Aetna Crossroads, and Aetna Legacy
had the following open forward foreign currency exchange contracts
that obligate the Fund to deliver currencies at specified future
dates. The unrealized loss of $162,571, $120,171, and $95,995,
respectively, on these contracts is included in the accompanying
financial statements. The terms of the open contracts are as
follows:
Aetna Ascent:
Exchange Currency to U.S. $ Value Currency to be U.S. $ Value
Date be Delivered as of April Received as of April
30, 1995 30, 1995
5/17/95 3,410,000 $350,621 326,097 $326,097
Austrian U.S. Dollar
Shilling
- -------------------------------------------------------------------------------
5/16/95 8,740,000 306,672 281,481 281,481
Belgian Franc U.S. Dollar
- -------------------------------------------------------------------------------
5/16/95 1,280,000 300,681 275,458 275,458
Finnish U.S. Dollar
Markka
- -------------------------------------------------------------------------------
6/21/95 725,000 1,166,611 1,150,175 1,150,175
British Pound U.S. Dollar
- -------------------------------------------------------------------------------
5/10/95 80,665 80,665 50,000 80,704
U.S. Dollar British Pound
- -------------------------------------------------------------------------------
9/13/95 93,700,000 1,120,598 1,079,843 1,079,843
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------
9/13/95 319,274 319,274 25,700,000 311,648
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------
6/16/95 378,000 243,981 236,820 236,820
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------
6/24/95 616,000 99,004 95,135 95,135
Norwegian U.S. Dollar
Krone
- -------------------------------------------------------------------------------
8/17/95 1,150,000 184,828 173,167 173,167
Norwegian U.S. Dollar
Krone
- -------------------------------------------------------------------------------
4/28/95 398,000 285,755 285,591 285,591
Singapore U.S. Dollar
Dollar
----------- ----------
$4,458,690 $4,296,119
=========== ==========
Aetna Crossroads:
Exchange Currency to U.S. $ Value Currency to be U.S. $ Value
Date be Delivered as of April Received as of April
30, 1995 30, 1995
5/17/95 2,470,000 $254,764 237,003 $237,003
Austrian U.S. Dollar
Shilling
- -------------------------------------------------------------------------------
5/16/95 4,220,000 148,688 137,909 137,909
Belgian Franc U.S. Dollar
- -------------------------------------------------------------------------------
5/16/95 920,000 216,563 199,113 199,113
Finnish U.S. Dollar
Markka
- -------------------------------------------------------------------------------
(continued) 7
<PAGE>
AETNA GENERATION FUNDS
Notes to Financial Statements
April 30, 1995 (Unaudited)
4.Forward Foreign Currency Exchange Contracts (continued)
Aetna Crossroads (continued):
- -------------------------------------------------------------------------------
6/21/95 480,000 771,619 760,032 760,032
British Pound U.S. Dollar
- -------------------------------------------------------------------------------
9/13/95 60,800,000 737,285 697,479 697,479
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------
9/13/95 308,187 308,187 24,900,000 301,947
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------
6/16/95 362,000 234,167 228,839 228,839
Dutch U.S. Dollar
Guilder
- -------------------------------------------------------------------------------
5/24/95 462,000 74,344 71,508 71,508
Norwegian U.S. Dollar
Krone
- -------------------------------------------------------------------------------
8/17/95 900,000 144,988 136,716 136,716
Norwegian U.S. Dollar
Krone
- -------------------------------------------------------------------------------
4/28/95 273,000 196,008 195,896 195,896
Singapore U.S. Dollar
Dollar
----------- -----------
$3,086,613 $2,966,442
=========== ===========
Aetna Legacy:
Exchange Currency to U.S. $ Value Currency to be U.S. $ Value
Date be Delivered as of April Received as of April
30, 1995 30, 1995
5/17/95 1,390,000 $143,369 133,374 $133,374
Austrian U.S. Dollar
Shilling
- -------------------------------------------------------------------------------
5/16/95 6,340,000 223,385 207,190 207,190
Belgian Franc U.S. Dollar
- -------------------------------------------------------------------------------
5/16/95 710,000 167,130 153,663 153,663
Finnish U.S. Dollar
Markka
- -------------------------------------------------------------------------------
6/21/95 350,000 562,639 554,190 554,190
British Pound U.S. Dollar
- -------------------------------------------------------------------------------
9/13/95 35,000,000 424,424 393,890 393,890
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------
9/13/95 308,187 308,187 24,900,000 301,947
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------
6/16/95 240,000 155,249 151,716 151,716
Dutch U.S. Dollar
Guilder
- -------------------------------------------------------------------------------
5/24/95 356,000 57,287 55,102 55,102
Norwegian U.S. Dollar
Krone
- -------------------------------------------------------------------------------
8/17/95 595,000 95,853 90,384 90,384
Norwegian U.S. Dollar
Krone
- -------------------------------------------------------------------------------
4/28/95 126,292 126,292 176,000 126,364
U.S. Dollar Singapore
Dollar
----------- -----------
$2,263,815 $2,167,820
=========== ===========
(continued) 8
<PAGE>
AETNA GENERATION FUNDS
Notes to Financial Statements
April 30, 1995 (Unaudited)
5. Initial Capitalization
Each of the Funds was seeded with $25,200,000 on January 4, 1995.
6. Authorized Capital Shares and Capital Share Transactions
Each Fund is authorized to issue 100 million shares. For the period
January 4, 1995 through April 30, 1995, the funds sold the following
shares:
Aetna Ascent Aetna Crossroads Aetna Legacy
Shares sold 2,520,005 2,520,009 2,520,020
9
<PAGE>
Aetna Generation Funds
Financial Highlights
For the period of January 4, 1995 - April 30, 1995 (Unaudited)
Selected data for a fund share outstanding throughout the period:
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
<S> <C> <C> <C>
Net asset value, beginning of period $10.00 $10.00 $10.00
------- ------- -------
Net investment income .11 .12 .14
Net realized and unrealized gain .39 .35 .32
------- ------- -------
Net asset value, end of period $10.50 $10.47 $10.46
======= ======= =======
Total return 5.00% 4.70% 4.60%
Net assets, end of period (000's) $26,449 $26,391 $26,354
Ratio of total expenses to
average net assets* 1.39% 1.39% 1.39%
Ratio of net investment income to
average net assets* 3.37% 3.80% 4.30%
Portfolio turnover rate 45.70% 43.83% 38.77%
</TABLE>
* Annualized
Per share data calculated using average number of shares outstanding throughout
the period.
See Notes to Financial Statements 10
<PAGE>
Portfolio of Investments
April 30, 1995 (Unaudited)
Aetna Ascent Fund
<TABLE>
<CAPTION>
Number of Market
Common Stock Shares Value
<S> <C> <C>
Aerospace & Defense (1.25%)
Curtiss-Wright Corp. 600 $22,350
Lockheed Martin Corp. 2,700 155,925
McDonnell Douglas Corp. 1,000 62,000
Smiths Industries Plc 6,300 49,172
Watkins-Johnson Co. 1,500 59,438
-----------
348,885
-----------
Autos & Auto Equipment (1.11%)
Borg-Warner Automotive, Inc. 1,800 46,350
Breed Technologies, Inc. 1,600 32,200
Ford Motor Co. 2,700 72,900
Kaydon Corp. 1,100 30,250
Smith (A.O.) Corp. 1,900 45,363
TRW Inc. 700 52,062
Varity Corp. (a) 300 12,675
Wynn's International Inc. 800 18,600
-----------
310,400
-----------
Banks (3.85%)
AMMB Bhd 6,000 59,290
Anchor Bancorp Wisconsin, Inc. 1,400 46,638
BankAmerica Corp. 300 14,850
BBL-Banque Bruxelles Lamert SA 200 32,316
Citicorp 1,200 55,650
Citizens Banking Corp. 200 5,300
City National Corp. 5,300 53,663
Commerce Asset Holdings 15,000 65,607
Cullen/Frost Bankers, Inc. 1,900 70,300
F & M Bancorp 210 5,591
First American Corp. 1,600 55,400
First Citizens BancShares, Inc. 200 9,275
First Interstate Bancorp 700 53,813
Firstbank of Illinois Co. 500 13,563
Hibernia Corp. Class "A" 12,300 98,400
HSBC Holdings Plc 3,500 40,301
JSB Financial, Inc. 1,900 56,763
Midlantic Corp., Inc. 1,400 51,100
Old National Bancorp. 600 20,700
Queens County Bancorp, Inc. 600 18,375
See Notes to Portfolio of Investments. 11 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Banks (continued)
Silicon Valley Bancshares 6,000 $94,500
Star Banc Corp. 1,100 45,925
The Boston Bancorp 1,200 46,650
UMB Financial Corp. 1,900 59,850
-----------
1,073,820
-----------
Building Materials & Construction (1.56%)
American Buildings Co. (a) 1,800 33,413
Clayton Homes, Inc. 1,000 16,875
Granite Construction Inc. 1,900 38,356
IJM Corp. Bhd 16,000 53,135
Insituform Mid-America, Inc. 100 1,094
Kasler Holding Co. (a) 1,300 7,963
Malayan Cement Bhd 30,000 47,383
Metra Oy Class "B" 1,400 56,894
National Gypsum Co. (a) 200 9,825
Puerto Rican Cement Co., Inc. 200 5,875
Redman Industries, Inc. (a) 2,400 47,100
Stone & Webster, Inc. 500 14,875
Texas Industries 1,000 37,625
Tredegar Industries, Inc. 2,100 47,775
Vulcan Materials Co. 300 17,400
-----------
435,588
-----------
Chemicals (3.22%)
ARCO Chemical Co. 1,000 46,500
Cabot Corp. 2,000 78,500
du Pont (E.I.) de Nemours 300 19,763
Dyno Industrier AS 1,000 26,519
First Mississippi Corp. 2,100 52,500
Fuji Photo Film (a) 1,000 24,518
IMC Global, Inc. 1,300 63,863
Lyondell Petrochemical Co. 2,500 62,188
Morton International 1,000 31,000
Norsk Hydro AS 2,600 105,929
Olin Corp. 1,000 55,875
Sekisui Chemical Co. 4,000 49,988
Solvay SA Class "A" 150 80,659
Sterling Chemicals, Inc. 4,500 56,250
See Notes to Portfolio of Investments. 12 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Chemicals (continued)
Union Carbide Corp. Holding Co. 900 $28,800
Vigoro Corp. 1,600 63,800
Wellman, Inc. 1,900 51,300
-----------
897,952
-----------
Commercial Services (1.27%)
FlightSafety International, Inc. 1,500 73,875
Franklin Quest Co. (a) 600 19,950
Inchcape Plc 9,200 47,230
Interim Services, Inc. (a) 1,600 46,100
Jacobs Engineering Group Inc. (a) 700 13,825
Kelly Services Inc. Class "A" 1,800 61,200
Robert Half International, Inc. 500 13,188
Royal PTT Nederland N.V. (a) 700 24,443
True North Communications, Inc. 1,300 24,700
United Video Satellite Group Inc. Class "A" 1,200 30,450
-----------
354,961
-----------
Computer & Office Equipment (0.83%)
Ceridian Corp. 1,700 58,650
Compaq Computer Corp. 800 30,400
International Business Machines, Inc. 1,300 123,175
Sun Microsystems, Inc. 200 7,950
United Stationers, Inc. 700 12,075
-----------
232,250
-----------
Computer Software (1.97%)
Boole & Babbage, Inc. (a) 1,300 37,700
Cadence Design Systems, Inc. (a) 4,000 129,000
Hogan Systems, Inc. (a) 8,700 73,950
Peoplesoft Inc. (a) 1,200 61,800
Policy Management Systems (a) 100 5,038
Reynolds & Reynolds Co. 2,300 60,950
Stratus Computer, Inc. (a) 2,800 83,300
Sungard Data Systems, Inc. (a) 1,200 55,650
Wavefront Technologies, Inc. (a) 2,400 42,000
-----------
549,388
-----------
See Notes to Portfolio of Investments. 13 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Diversified (3.40%)
Acma Ltd. 9,000 $27,126
BIC Corp. 1,100 37,263
Brady (WH) Co. 600 31,500
Brascan Ltd. Class "A" 1,300 17,435
Brau-Union Goess-Reining. AG 600 38,620
Cyrk International, Inc. 800 11,500
Eastern Enterprises 300 8,963
Griffon Corp. (a) 2,700 20,925
Harrisons & Crosfield Plc 19,600 48,891
Harsco Corp. 1,400 66,674
Hartwall Oy AB 3,000 49,331
Insilco Corp. 2,200 59,674
ITT Corp. 500 52,250
Lonrho Plc 17,000 45,141
Quixote Corp. 7,000 83,125
Spieker Properties, Inc. 7,600 148,199
SPS Technologies, Inc. (a) 1,900 60,087
Trinova Corp. 400 13,900
United Waste Systems, Inc. 500 14,313
Varlen Corp. 3,000 69,750
Westmont Bhd 10,000 43,334
-----------
948,001
-----------
Electrical & Electronics (3.06%)
Applied Materials, Inc. 200 12,350
Austria Mikro Systeme International 600 59,719
Bell Industries, Inc. 500 10,063
Cohu, Inc. 100 3,650
CTS Corp. 1,100 36,438
Dynatech Corp. 3,900 67,275
Esterline Technologies Corp. (a) 700 11,813
FPL Group, Inc. 400 14,700
General Electric Co. 1,200 67,200
Intel Corp. 100 10,244
Kyocera Corp. 1,000 77,363
Logicon Inc. 1,600 59,200
Marshall Industries 3,700 102,211
Matsushita Electric Industrial Co. Ltd. 2,000 33,563
Maxim Integrated Products, Inc. 1,400 51,100
See Notes to Portfolio of Investments. 14 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Electrical & Electronics (continued)
Rohm Co. 1,000 $46,299
Seagate Technology, Inc. 2,300 73,312
Tracor Inc. 1,500 19,406
Unitrode Corp. 1,100 22,825
Varian Associates, Inc. 1,600 73,600
-----------
852,331
-----------
Electrical Equipment (2.07%)
Arrow Electronics, Inc. 1,700 79,050
Avnet, Inc. 1,400 62,300
Cubic Corp. 500 10,188
Emerson Electric 900 60,525
Franklin Electric Co. 800 25,600
Hitachi Ltd. (Hit. Seisakusho) 4,000 40,705
Kuhlman Corp. 3,900 45,825
Mitsubishi Electric Corp. 4,000 28,374
Park Electrochemical Corp. 1,200 45,000
Sundstrand Corp. 1,300 72,150
Tektronix, Inc. 1,100 50,050
Teleflex Inc. 1,400 57,924
-----------
577,691
-----------
Financial Services (4.49%)
Abbey National Plc 10,300 77,077
Algem Maatsch Voor Nijve 150 40,001
Astoria Financial Corp. 3,300 112,405
Autofinance Group 2,200 32,863
Bank of Montreal 800 16,314
Bank of New York Co., Inc. 3,300 108,488
Banponce Corp. 400 12,925
Barclays Plc 4,700 48,332
Baybanks, Inc. 900 56,138
Canadian Imperial Bank of Commerce 500 12,447
Creditanstalt-Bankverein 800 45,899
Development Bank of Singapore 3,000 32,078
First Bank System, Inc. 2,500 101,250
Foothill Group Inc. Class "A" 3,200 69,600
Kagoshima Bank 3,000 26,815
Morgan Keegan Inc. 1,700 26,775
See Notes to Portfolio of Investments. 15 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Financial Services (continued)
Nippon Shinpan Co. 3,000 $23,780
Orient Corp. 5,000 27,374
Oversea-Chinese Banking 3,000 32,723
Park National Corp. 300 13,913
River Forest Bancorp., Inc. 1,000 36,625
Royal Bank of Canada 600 13,172
Sanyo Shinpan Finance Co. 1,000 81,766
Societe Generale De Belgique 350 26,527
Suffolk Bancorp. 700 19,075
Transmedia Network Inc. 1,800 22,050
Travelers Group, Inc. 700 28,963
Unitas Bank Ltd. Class "A" (a) 14,000 41,438
United Overseas Bank Ltd. 3,000 31,216
Yasuda Trust & Banking 4,000 32,373
-----------
1,250,402
-----------
Food & Beverage (3.71%)
American Maize-Products Co. Class "A" 1,500 49,500
Anheuser Busch Co. 700 40,688
Archer-Daniels-Midland Co. 3,100 56,575
Associated British Foods 4,000 41,777
Bols Wessanen Cva 1,200 25,482
Cadbury Schweppes Plc 6,400 46,090
Cerebos Pacific Ltd. 5,000 30,858
Coca-Cola Co. (The) 1,000 58,125
Conagra, Inc. 1,600 53,200
Guinness Anchor Bhd 32,000 51,579
Hillsdown Holdings Plc 23,400 69,290
Hormel Foods Corp. 1,600 43,800
Hudson Foods, Inc. Class "A" 1,300 22,425
IBP, Inc. 2,000 74,000
Kellogg Co. 100 6,350
Kroger Co. (The) 300 7,650
Luby's Cafeterias Inc. 2,300 43,700
Molson Co. Ltd. (The) 1,000 15,248
Oester Brau-Beteiligungs 600 30,846
Pilgrims Pride Corp. 600 4,800
Safeway, Inc. 1,400 52,500
Sanderson Farms, Inc. 400 4,650
See Notes to Portfolio of Investments. 16 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Food & Beverage (continued)
Sara Lee Corp. 100 $2,788
Sealright Co., Inc. 600 10,650
Super Food Services, Inc. 800 8,900
Thorn Apple Valley 1,500 27,000
Tyson Foods, Inc. 3,000 70,689
Unilever N.V. 300 40,218
Universal Foods Corp. 1,400 45,500
-----------
1,034,878
-----------
Health Services (1.39%)
Columbia/HCA Healthcare Corp. 400 16,800
Express Scripts, Inc. Class "A" 2,100 61,688
Homedco Group, Inc. (a) 1,100 62,837
Humana, Inc. (a) 2,000 39,000
Invacare Corp. 1,300 51,025
Mine Safety Appliances Co. 400 18,000
Quorum Health Group, Inc. 1,700 34,850
Ren Corp. USA (a) 2,100 34,125
TECNOL Medical Products, Inc. (a) 700 13,125
Universal Health Services, Inc. (a) 2,100 55,388
-----------
386,838
-----------
Health Technology (0.18%)
Acuson Corp. (a) 2,900 33,350
Stryker Corp. 400 18,000
-----------
51,350
-----------
Home Furnishings (0.47%)
Lancaster Colony Corp. 1,900 66,738
Leggett & Platt, Inc. 1,700 65,450
-----------
132,188
-----------
Hotels & Restaurants (0.35%)
Bertucci's, Inc. 2,700 22,950
Compass Group Plc 8,700 46,693
Hotel Properties Ltd. 15,000 27,987
-----------
97,630
-----------
See Notes to Portfolio of Investments. 17 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Household Products (0.78%)
First Brands Corp. 400 $15,400
Oneida Ltd. 500 7,500
Premark International, Inc. 1,000 48,250
Procter & Gamble Co. 400 27,950
Reckitt & Coleman Plc 4,500 46,420
Springs Industries, Inc. Class "A" 1,200 46,650
Toro Co. 900 25,988
-----------
218,158
-----------
Insurance (4.08%)
Aegon N.V. 300 23,331
Aflac, Inc. 2,400 99,000
Allied Group, Inc. 1,300 37,863
American Travellers Corp. 1,600 32,000
Capital American Financial Corp. 400 8,750
Cmac Investment Corp. 800 29,600
Commerce Group, Inc. 600 10,350
Ea-Generali AG 200 52,645
FHP International Corp. 2,200 52,525
Fund American Enterprises 790 56,979
Gallagher (Arthur J.) & Co. 700 23,975
Guardian Royal Exchange 10,600 32,155
Healthwise of America, Inc. 1,700 48,025
Home Beneficial Corp. 700 14,088
Kansas City Life Insurance Co. 400 17,200
Loews Corp. 500 50,938
Maxicare Health Plans, Inc. 3,000 47,063
Ohio Casualty Corp. 1,400 41,038
Orion Capital Corp. 800 28,100
PennCorp. Financial Group, Inc. 1,200 20,700
Reinsurance Group of America 3,000 74,625
Reliastar Financial Corp. 666 23,893
Royal Insurance Holdings Plc 8,000 39,009
Security-Connecticut Corp. 1,200 30,000
St. Paul Companies, Inc. 2,100 101,061
State Auto Financial Corp. 1,100 18,288
UNI Storebrand AS 20,000 74,896
Unitrin, Inc. 1,000 48,250
-----------
1,136,347
-----------
See Notes to Portfolio of Investments. 18 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Machinery (1.68%)
Bearings, Inc. 1,200 $37,200
Camco International Inc. 2,800 66,150
Caterpillar, Inc. 200 11,700
Christiana Co. (a) 400 10,800
Clarcor, Inc. 200 4,200
Danaher Corp. 2,200 65,450
FSI International, Inc. 800 36,900
Katy Industries 5,200 47,450
Koyo Seiko Co., Ltd. 3,000 31,564
L.S. Starrett Co. Class "A" 300 6,900
Modine Manufacturing Co. 2,900 98,600
Tecumseh Products Co. Class "A" 1,000 50,000
-----------
466,914
-----------
Media & Entertainment (1.62%)
Advo, Inc. 2,200 44,275
AMC Entertainment, Inc. (a) 500 5,500
Belo (A.H.) Corp. 1,000 60,125
Capital Cities/ABC, Inc. 300 25,350
Coachmen Industries, Inc. 3,000 50,250
E.W. Scripps Co. 1,500 42,938
Genting Bhd 8,000 72,897
Granada Group Plc 4,500 41,242
Media General, Inc. 1,900 61,750
Park Communications, Inc. 1,000 30,438
Walt Disney Co. 300 16,613
-----------
451,378
-----------
Medical Supplies (0.57%)
Amsco International, Inc. (a) 3,400 42,925
Cardinal Health Inc. 300 13,838
Nellcor, Inc. (a) 1,400 58,274
Respironics, Inc. (a) 2,200 31,625
Sybron International Corp. (a) 300 11,138
-----------
157,800
-----------
See Notes to Portfolio of Investments. 19 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Metals & Mining (1.73%)
Alcan Aluminum Ltd. 900 $25,538
Alumax Inc. (a) 500 14,125
Barrick Gold Corp. 200 4,825
British Steel Plc 20,500 55,754
Brush Wellman, Inc. 700 13,825
Carpenter Technology Corp. 200 12,075
Citation Corp. 2,300 38,094
Cleveland-Cliffs, Inc. 1,200 43,950
Commercial Metals Co. 1,500 39,750
Dofasco, Inc. 1,100 13,742
Kennametal, Inc. 2,100 70,350
Konik. Ned. Hoogovens CVA 600 23,159
Magma Copper Co. 2,700 45,225
Noranda, Inc. 1,100 19,299
Schnitzer Steel Industries, Inc. 2,900 63,800
-----------
483,511
-----------
Oil & Gas (3.06%)
Alberta Energy Co. Ltd. 1,000 15,432
Burmah Castrol Plc 3,300 46,362
Conwest Exploration Co. 600 11,023
Crown Central Petroleum Corp. 400 5,850
Deeptech International Inc. 7,900 49,375
Exxon Corp. 1,200 83,550
Falconbridge Ltd. 1,000 15,432
Global Industries Ltd. 1,000 25,875
Hughes Supply 900 17,438
Imperial Oil Ltd. 600 21,329
Mobil Corp. 1,100 104,363
Newfield Exploration Co. 3,000 69,000
Oneok, Inc. 1,500 28,687
Panhandle Eastern Corp. 600 14,400
Penn Virginia Corp. 1,800 60,300
Quaker State Corp. 1,000 14,250
Royal Dutch Petrloeum Co. ADR 1,000 124,000
Royal Dutch Petroleum Co. 500 61,802
Santa Fe Pacific Pipeline Partners, L.P. 1,500 55,500
Shell Transport Class "A" 400 28,500
-----------
852,468
-----------
See Notes to Portfolio of Investments. 20 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Paper & Containers (2.79%)
Abitibi Price Inc. 800 $11,170
Avery Dennison Corp. 600 24,375
Ball Corp. 1,600 54,800
Chesapeake Corp. 4,800 148,800
Consolidated Papers, Inc. 1,400 68,600
Enso-Gutzeit Oy 6,000 54,123
Glatfelter (P.H.) Co. 2,200 39,600
Industrials Oxygen Inc. 48,000 57,347
International Paper Co. 200 15,400
Kuala Lumpur Kepong Bhd 20,000 57,508
Leykam-Muerztaler Papier 500 20,307
Macmillan Bloedel Ltd. 1,400 18,261
Mead Corp. 100 5,175
Rayoner Inc. 1,600 53,000
Repola Oy 3,100 62,408
Stone-Consolidated Corp. 900 11,243
Willamette Industries, Inc. 1,500 76,313
-----------
778,430
-----------
Personal Care (0.34%)
Alberto-Culver Co. 300 9,450
Helene Curtis Industries, Inc. 500 17,188
Maybelline Inc. 1,000 22,000
Tambrands, Inc. 1,100 45,787
-----------
94,425
-----------
Pharmaceuticals (1.44%)
Allergan, Inc. 200 5,425
Barr Laboratories, Inc. (a) 2,000 42,000
Becton, Dickinson & Co. 500 27,875
Bristol-Myers Squibb Co. 700 45,588
Marion Merrell Dow, Inc. 3,000 71,624
Pfizer Inc. 500 43,313
Schering Plough 500 37,688
Smithkline Beecham Plc 1,400 54,425
Walgreen Co. 400 18,800
Warner Lambert Co. 400 31,900
Watson Pharmaceuticals, Inc. 700 21,700
-----------
400,338
-----------
See Notes to Portfolio of Investments. 21 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Printing & Publishing (1.27%)
Central Newspapers, Inc. Class "A" 1,900 $49,400
Gannett Co., Inc. 1,300 68,413
Lee Enterprises, Inc. 2,600 93,274
Plenum Publishing Corp. 500 15,000
Pulitzer Publishing Co. 2,000 80,750
Reader's Digest Association, Inc. 600 23,625
Tribune Co. 100 5,913
Wiley (John) & Sons, Inc. Class "A" 300 16,838
-----------
353,213
-----------
Real Estate Investment Trusts (9.67%)
Associated Estates Realty Corp. 3,700 73,075
Camden Property Trust 4,500 94,500
Chelsea GCA Realty, Inc. 1,300 31,688
Colonial Properties Trust 1,200 27,450
Cousins Properties, Inc. 7,400 123,950
Crescent Real Estate Equities, Inc. 11,600 333,500
Developers Diversified Realty Corp. 5,500 151,250
Duke Realty Investments, Inc. 8,900 242,524
Equity Residential Properties Trust 5,700 152,474
Essex Property Trust, Inc. 600 9,750
Excel Realty Trust, Inc. 1,200 22,950
Kimco Realty Corp. 700 26,425
Kranzco Realty Trust 8,700 148,988
Merry Land & Investment Co., Inc. 6,500 122,688
Mills Corp. 2,900 49,300
Mitsubishi Estate Co. Ltd. 3,000 36,063
Pelangi Bhd 43,000 52,070
Post Properties, Inc. 4,000 118,500
Security Capital Industrial Trust 2,400 37,500
Sekisui House 2,000 26,422
Shurgard Storage Centers Inc. Class "A" 1,500 34,875
Smith (Charles E.) Residential 600 13,650
South West Property Trust 2,750 32,656
Storage Equities, Inc. 3,600 58,050
Tan & Tan Development Bhd 40,000 42,605
United Dominion Realty Trust, Inc. 6,100 85,400
See Notes to Portfolio of Investments. 22 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Real Estate Investment Trusts (continued)
Vornado Realty Trust 5,000 $168,750
Weingarten Realty Investors 10,800 378,000
-----------
2,695,053
-----------
Retail (3.63%)
Arbor Drugs, Inc. 200 5,100
Argyll Group Plc 8,200 37,741
Blair Corp. 600 20,775
Bruno's, Inc. 5,900 71,538
Burton Group Plc 39,300 49,173
Circuit City Stores, Inc. 300 7,763
Citizen Watch Co., Ltd. (a) 4,000 28,707
Colruyt SA 250 64,913
D.I.Y. Home Warehouse Inc. (a) 4,500 32,625
Dollar General Corp. 500 11,625
Hannaford Brothers, Co. 2,200 58,025
Highwood Properties, Inc. 6,700 147,400
Horizon Outlet Centers, Inc. 1,500 33,000
Hudson's Bay Co. 700 12,860
Ito-Yokado Co. Ltd. 1,000 53,916
Koninklijke Ahold N.V. 800 27,574
Neiman Marcus Group, Inc. 4,100 59,963
Nike, Inc. 200 15,325
Office Depot, Inc. 300 6,825
Rhodes, Inc. 4,000 39,500
Robinson & Co. Ltd. 6,000 24,973
Tesco Plc 12,600 56,675
Tractor Supply Co. 700 15,006
Waban Inc. 3,300 54,863
Weis Markets, Inc. 1,500 39,187
Zale Corp. 3,200 37,400
-----------
1,012,452
-----------
Specialty Consumer Durables (0.86%)
Bio-Rad Laboratories, Inc. Class "A" 900 25,988
Calgon Carbon Corp. 9,500 116,374
Callaway Golf Co. 1,100 13,613
Coats Viyella Plc 10,000 32,669
See Notes to Portfolio of Investments. 23 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Specialty Consumer Durables (continued)
Department 56, Inc. 300 $11,100
Polaris Industries, Inc. 900 40,725
-----------
240,469
-----------
Telecommunications (0.73%)
Ameritech Corp. 1,700 76,500
AT&T Corp. 500 25,375
Computer Associates International, Inc. 200 12,875
Equifax, Inc. 2,500 80,937
Mastec, Inc. (a) 700 7,744
-----------
203,431
-----------
Textiles (0.49%)
Garan, Inc. 700 12,075
Guilford Mills, Inc. 900 22,275
Oshkosh B'Gosh, Inc. 500 8,125
Phillips-Van Heusen 2,700 41,513
VF Corp. 500 25,250
Wing Tai Holdings 16,000 27,097
-----------
136,335
-----------
Transportation (1.82%)
Arnold Industries, Inc. 500 8,938
British Airways Plc 4,800 30,937
Det Norske Luftfartselskap AS 800 32,271
East Japan Railway Co. 5 26,006
Expeditors International of Washington, Inc. 300 6,825
Florida East Coast Industries, Inc. 800 57,400
Harper Group, Inc. 500 9,563
Illinois Central 400 14,050
Intertrans Corp. 400 8,575
Keppel Corp. Ltd. 3,000 24,327
KLM Royal Dutch Air Lines NV 800 24,372
Kvaerner AS 900 41,225
Landstar Systems, Inc. 300 8,663
Peninsular & Orient Steam Navigation Co. 5,800 54,044
Pittston Service Group 1,800 42,750
Rollins Truck Leasing, Corp. 5,700 62,700
Rural/Metro Corp. 900 16,650
See Notes to Portfolio of Investments. 24 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Transportation (continued)
Singapore Airlines Ltd. 3,000 $28,847
Swift Transportation Co., Inc. 100 1,563
Werner Enterprises, Inc. 400 8,400
-----------
508,106
-----------
Utilities - Electric (5.05%)
American Water Works Co., Inc. 1,300 37,538
Bangor Hydro-Electric Co. 3,400 35,275
Black Hills Corp. 1,800 39,600
Boston Edison Co. 2,900 69,237
California Energy Co., Inc. 900 14,963
Central Hudson Gas & Electric 2,300 59,513
Central Maine Power Co. 3,400 37,825
CIPSCO, Inc. 1,300 37,700
DQE, Inc. 1,500 50,625
Florida Progress Corp. 2,300 70,150
General Public Utilities Corp. 1,700 48,450
Green Mountain Power Corp. 1,200 30,750
Hokkaido Electric Power 2,000 54,273
Illinova Corp. 2,200 51,150
Interstate Power Co. (Del.) 3,000 72,375
LG&E Corp. 1,200 46,350
National Power Plc - ADR 550 6,256
Nipsco Industries, Inc. 1,700 54,824
Oesterreichisch Elektrizatswits AG 700 46,280
Oklahoma Gas & Electric Co. 1,600 55,000
Peco Energy Co. 600 15,450
Pinnacle West Capital Corp. 2,400 51,600
Powergen Plc ADR 550 7,013
Puget Sound Power & Light Co. 2,300 48,875
Reunies Electrobel & Tracitebel SA 200 71,756
Rochester Gas & Electric Corp. 2,200 45,375
Scecorp 3,200 53,600
Transalta Corp. 1,500 15,432
Unicom Corp. 1,600 42,000
United Illuminating Co. 1,900 61,037
Wisconsin Energy Corp. 2,800 77,700
-----------
1,407,972
-----------
See Notes to Portfolio of Investments. 25 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Utilities - Oil & Gas (1.34%)
Atlanta Gas Light Co. 1,300 $47,450
Baltimore Gas & Electric 200 4,725
Brooklyn Union Gas Co. (The) 2,400 58,200
Colonial Gas Co. 2,400 47,700
Connecticut Energy Corp. 700 13,388
Laclede Gas Co. 600 11,325
New Jersey Resources Corp. 900 20,250
Northwest Natural Gas Co. 1,300 39,975
OEMV AG 500 51,821
Schlumberger, Ltd. 200 12,575
Union Texas Petroleum Holdings, Inc. 2,300 49,163
WestCoast Energy Inc. 1,000 15,891
-----------
372,463
-----------
Utilities - Telephone (1.60%)
Cable & Wireless Plc 8,400 54,275
Citizens Utilities Co. 2,600 31,850
DDI Corp. 5 44,037
MCI Communications Corp. 600 13,013
Nippon Telegraph & Telephone 4 35,373
Pacific Telesis Group 1,900 58,663
Southern New England Telecommunications Corp. 2,000 66,250
Sprint Corp. 2,200 72,600
Telekom Malaysia Bhd 10,000 68,847
-----------
444,908
-----------
Utilities - Water (0.16%)
California Water Service Co. 400 12,750
Welsh Water Plc (a) 3,300 32,873
-----------
45,623
-----------
Preferred Stock
Electrical & Electronics (0.12%)
Nokia A 800 32,699
-----------
Total Common & Preferred Stocks 22,027,046
-----------
See Notes to Financial Statements. 26 (continued)
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
Principal Market
Long Term Bonds & Notes Amount Value
U.S. Government & Agency Obligations (2.70%)
Student Loan Marketing Association, 7.82%, 10/14/99 175,000 $178,548
U.S. Treasury Bond, 7.50%, 11/15/24 175,000 177,625
U.S. Treasury Bond,10.375%, 11/15/12 175,000 217,930
U.S. Treasury Note, 7.50%, 1/31/97 175,000 177,625
-----------
751,728
-----------
Corporate Bonds & Notes
Finance Companies (1.91%)
Capital One Bank, 8.625%, 01/15/97 175,000 178,443
Ford Motor Credit Corp., FRN, 6.587%, 06/02/98 175,000 175,765
General Electric Capital Corp., 7.96%, 02/02/98 175,000 179,473
-----------
533,681
-----------
Foreign & Supranational Obligations (2.35%)
International Bank for Reconstruction and Development, 9.25%, 07/15/17 100,000 114,944
News American Holdings, 8.50%, 02/15/05 175,000 178,328
SNCB Belgium Rail, 8.875%, 12/01/24 175,000 187,431
South Africa Global Bond, 9.625%, 12/15/99 175,000 174,487
-----------
655,190
-----------
Total Long Term Bonds & Notes 1,940,599
-----------
Short-Term Investments (14.00%)
Fleetwood Credit Corp., 6.00%, 05/01/95 1,000,000 1,000,000
GTE South, Inc., 5.97%, 05/03/95 270,000 269,910
Koch Industries Incorp., 5.95%, 05/01/95 1,040,000 1,040,000
U.S. Treasury Note, 4.25%, 07/31/95 1,500,000 1,493,905
U.S. Treasury Note, 5.125%, 3/31/96 100,000 98,938
-----------
Total Short-Term Investments 3,902,753
-----------
Total Investments (cost $26,682,259) (b) $27,870,398
===========
</TABLE>
Notes to Portfolio of Investments
(a) Non-income producing security.
(b) The cost of investments for income tax purposes is identical. Unrealized
gains and losses, based on identified tax cost at April 30, 1995 are as
follows:
Unrealized gains $1,529,159
Unrealized losses 341,020
----------
Net unrealized gains $1,188,139
----------
See Notes to Financial Statements. 27
<PAGE>
Open Futures Contracts
April 30, 1995 (Unaudited)
At April 30, 1995, U.S. Treasury Note, 4.25%, 07/31/95, par value
$1,500,000 was pledged to cover margin requirements for open futures contracts.
(See Note 1 of Notes to Financial Statements.) Information concerning open
futures contracts is shown below:
<TABLE>
<CAPTION>
No. of Market Expiration Unrealized
Contracts Value Date Gain/(Loss)
<S> <C> <C> <C> <C>
Long positions:
Toronto 35 Index Futures 2 $165,255 June '95 ($1,837)
Long-Term German Gov't. Bond Futures 4 645,419 June '95 12,660
German Stock Index Futures 3 410,915 June '95 (25,284)
FT-SE 100 Share Index Futures 3 392,287 June '95 23,234
Dutch Government Bond Futures 3 478,678 June '95 3,050
Swiss Government Bond Futures 2 188,123 June '95 499
---------- --------
2,280,677 12,322
--------
Short positions:
TOPIX Stock Index Futures 2 (324,793) June '95 (11,664)
---------- --------
Total $1,955,884 $658
========== ========
</TABLE>
28
<PAGE>
Portfolio of Investments
April 30, 1995 (Unaudited)
Aetna Crossroads Fund
<TABLE>
<CAPTION>
Number of Market
Common Stock Shares Value
<S> <C> <C>
Aerospace & Defense (0.96%)
Curtiss-Wright Corp. 500 $18,625
Lockheed Martin Corporation 2,000 115,500
McDonnell Douglas Corp. 700 43,400
Smiths Industries Plc 4,600 35,903
Watkins-Johnson Co. 1,200 47,550
-----------
260,978
-----------
Autos & Auto Equipment (0.87%)
Borg-Warner Automotive, Inc. 1,400 36,050
Breed Technologies, Inc. 1,300 26,163
Ford Motor Co. 2,100 56,700
Kaydon Corp. 800 22,000
Smith (A.O.) Corp. 1,500 35,813
TRW Inc. 500 37,187
Varity Corp. (a) 200 8,450
Wynn's International Inc. 600 13,950
-----------
236,313
-----------
Banks (3.09%)
AMMB Bhd 4,000 39,527
Anchor Bancorp Wisconsin, Inc. 1,100 36,644
BankAmerica Corp. 300 14,850
BBL-Banque Bruxelles Lamert SA 250 40,395
Citicorp 900 41,737
Citizens Banking Corp. 200 5,300
City National Corp. 4,100 41,513
Commerce Asset Holdings 11,000 48,112
Cullen/Frost Bankers, Inc. 1,500 55,500
F & M Bancorp 210 5,591
First American Corp. 1,200 41,550
First Citizens BancShares, Inc. 200 9,275
First InterstateBancorp 500 38,438
Firstbank of Illinois Co. 400 10,850
Hibernia Corp. Class "A" 9,700 77,600
HSBC Holdings Plc 2,600 29,938
JSB Financial, Inc. 1,500 44,812
Midlantic Corp., Inc. 1,100 40,150
Old National Bancorp 500 17,250
Queens County Bancorp, Inc. 500 15,313
See Notes to Portfolio of Investments. 29 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Banks (continued)
Silicon Valley Bancshares 4,600 $72,450
Star Banc Corp. 800 33,400
The Boston Bancorp 900 34,988
UMB Financial Corp. 1,500 47,250
-----------
842,433
-----------
Building Materials & Construction (1.11%)
American Buildings Co. (a) 1,400 25,988
Clayton Homes, Inc. 800 13,500
Granite Construction Inc. 1,500 30,281
IJM Corp. Bhd 12,000 39,851
Insituform Mid-America, Inc. 100 1,094
Kasler Holding Co. (a) 1,000 6,125
Metra Oy Class "B" 1,200 48,766
National Gypsum Co. (a) 200 9,825
Puerto Rican Cement Co., Inc. 200 5,875
Redman Industries, Inc. (a) 1,800 35,325
Stone & Webster, Inc. 400 11,900
Texas Industries 800 30,100
Tredegar Industries, Inc. 1,500 34,125
Vulcan Materials Co. 200 11,600
-----------
304,355
-----------
Chemicals (2.49%)
ARCO Chemical Co. 800 37,200
Cabot Corp. 1,500 58,875
du Pont (E.I.) de Nemours 300 19,763
Dyno Industrier AS 800 21,215
First Mississippi Corp. 1,600 40,000
Fuji Photo Film (a) 2,000 49,036
IMC Global, Inc. 1,100 54,037
Lyondell Petrochemical Co. 1,900 47,263
Morton International 700 21,700
Norsk Hydro AS 1,900 77,410
Olin Corp. 800 44,700
Solvay SA Class "A" 100 53,773
Sterling Chemicals, Inc. 3,400 42,500
Union Carbide Corp. Holding Co. 700 22,400
Vigoro Corp. 1,200 47,850
See Notes to Portfolio of Investments. 30 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Chemicals (continued)
Wellman, Inc. 1,600 $43,200
-----------
680,922
-----------
Commercial Services (1.00%)
FlightSafety International, Inc. 1,100 54,175
Franklin Quest Co. (a) 500 16,625
Inchcape Plc 6,700 34,396
Interim Services, Inc. (a) 1,300 37,456
Jacobs Engineering Group Inc. (a) 500 9,875
Kelly Services Inc. Class "A" 1,300 44,200
Robert Half International, Inc. 400 10,550
Royal PTT Nederland N.V. (a) 700 24,443
True North Communications, Inc. 1,000 19,000
United Video Satellite Group Inc. Class "A" 900 22,838
-----------
273,558
-----------
Computers & Office Equipment (0.54%)
Ceridian Corp. 1,200 41,400
International Business Machines, Inc. 1,000 94,750
Sun Microsystems, Inc. 100 3,975
United Stationers, Inc. 500 8,625
-----------
148,750
-----------
Computer Software (1.57%)
Boole & Babbage, Inc. (a) 1,000 29,000
Cadence Design Systems, Inc. (a) 3,200 103,200
Hogan Systems, Inc. (a) 6,800 57,800
Peoplesoft Inc. (a) 900 46,350
Reynolds & Reynolds Co. 1,700 45,050
Stratus Computer, Inc. (a) 2,400 71,400
Sungard Data Systems, Inc. (a) 900 41,738
Wavefront Technologies, Inc. (a) 1,900 33,250
-----------
427,788
-----------
Diversified (2.45%)
Acma Ltd 6,000 18,084
BIC Corp. 900 30,488
Brady (WH) Co. 500 26,250
Brau-Union Goess-Reining. AG 400 25,746
Cyrk International, Inc. 600 8,625
See Notes to Portfolio of Investments. 31 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Diversified (continued)
Eastern Enterprises 200 $5,975
Griffon Corp. (a) 2,100 16,275
Harrisons & Crosfield Plc 14,300 35,670
Harsco Corp. 1,000 47,625
Insilco Corp. 1,700 46,113
ITT Corp. 300 31,350
Lonrho Plc 12,400 32,926
Quixote Corp. 5,400 64,124
Spieker Properties, Inc. 5,800 113,100
SPS Technologies, Inc. (a) 1,500 47,438
Trinova Corp. 300 10,425
United Waste Systems, Inc. 400 11,450
Varlen Corp 2,300 53,475
Westmont Bhd 10,000 43,334
-----------
668,473
-----------
Electrical & Electronics (2.57%)
Applied Materials, Inc. 100 6,175
Austria Mikro Systeme International 300 29,859
Baltimore Gas & Electric 100 2,363
Bell Industries, Inc. 400 8,050
Cohu, Inc. 100 3,650
Compaq Computer Corp. 600 22,800
CTS Corp. 900 29,813
Dynatech Corp. 3,100 53,474
Esterline Technologies Corp. (a) 500 8,438
FPL Group, Inc. 300 11,025
General Electric Co. 900 50,400
Intel Corp. 100 10,244
Kuhlman Corp. 3,100 36,425
Logicon Inc. 1,300 48,100
Marshall Industries 2,900 80,112
Matsushita Electric Industrial Co. Ltd. 2,000 33,563
Maxim Integrated Products, Inc. 1,100 40,150
Philips Electronics N.V. 900 34,390
Rohm Co. 1,000 46,299
Seagate Technology, Inc. 1,800 57,375
Tracor Inc. 1,200 15,525
Unitrode Corp. 900 18,675
See Notes to Portfolio of Investments. 32 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Electrical & Electronics (continued)
Varian Associates, Inc. 1,200 $55,200
-----------
702,105
-----------
Electrical Equipment (1.45%)
Arrow Electronics, Inc. 1,300 60,450
Avnet, Inc. 1,100 48,950
Cubic Corp. 400 8,150
Emerson Electric 600 40,350
Franklin Electric Co. 600 19,200
Hitachi Ltd. (Hit. Seisakusho) 3,000 30,528
Mitsubishi Electric Corp. 3,000 21,281
Park Electrochemical Corp. 900 33,750
Sundstrand Corp. 1,000 55,500
Tektronix, Inc. 800 36,400
Teleflex Inc. 1,000 41,375
-----------
395,934
-----------
Financial Services (3.05%)
Abbey National Plc 3,900 29,185
Astoria Financial Corp. 2,500 85,155
Autofinance Group 1,700 25,394
Bank of Montreal 600 12,235
Bank of New York Co., Inc. 2,600 85,475
Banponce Corp. 200 6,463
Barclays Plc 3,400 34,964
Baybanks, Inc. 700 43,663
Canadian Imperial Bank of Commerce 500 12,447
Creditanstalt-Bankverein 500 28,687
Development Bank of Singapore 2,000 21,385
First Bank System, Inc. 1,900 76,950
Foothill Group Inc. Class "A" 2,500 54,375
Kagoshima Bank 3,000 26,815
Morgan Keegan Inc. 1,400 22,050
Orient Corp. 4,000 21,900
Oversea-Chinese Banking 2,000 21,816
Park National Corp. 200 9,275
Promise Co., Ltd. 1,000 43,680
River Forest Bancorp, Inc. 800 29,300
Royal Bank of Canada 600 13,172
See Notes to Portfolio of Investments. 33 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Financial Services (continued)
Societe Generale De Belg 400 $30,316
Suffolk Bancorp 500 13,625
Transmedia Network Inc. 1,400 17,150
Travelers Group, Inc. 500 20,687
United Overseas Bank Ltd. 2,000 20,811
Yasuda Trust & Banking 3,000 24,280
-----------
831,255
-----------
Food & Beverage (2.81%)
American Maize-Products Co. Class "A" 1,200 39,600
Anheuser Busch Co. 500 29,063
Archer-Daniels-Midland Co. 2,300 41,975
Associated British Foods 2,900 30,289
Cadbury Schweppes Plc 4,700 33,848
Cerebos Pacific Ltd 3,000 18,515
Coca-Cola Co. (The) 700 40,687
Conagra, Inc. 1,200 39,900
Guinness Anchor Bhd 24,000 38,685
Hillsdown Holdings Plc 9,800 29,019
Hormel Foods Corp. 1,200 32,850
Hudson Foods, Inc. Class "A" 1,000 17,250
IBP, Inc. 1,400 51,800
Kikkoman 4,000 33,563
Kroger Co. (The) 200 5,100
Luby's Cafeterias Inc. 1,700 32,300
Molson Co. Ltd. (The) 800 12,199
Oester Brau-Beteiligungs 500 25,705
Pilgrims Pride Corp. 500 4,000
Safeway, Inc. 1,100 41,250
Sanderson Farms, Inc. 300 3,488
Sara Lee Corp. 100 2,788
Sealright Co., Inc. 400 7,100
Super Food Services, Inc. 600 6,675
Thorn Apple Valley 1,100 19,800
Tyson Foods, Inc. 2,300 54,192
Unilever N.V. 300 40,218
Universal Foods Corp. 1,100 35,750
-----------
767,609
-----------
See Notes to Portfolio of Investments. 34 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Health Services (1.10%)
Columbia/HCA Healthcare Corp. 400 $16,800
Express Scripts, Inc. Class "A" 1,600 47,000
Homedco Group, Inc. (a) 900 51,413
Humana Inc. (a) 1,500 29,250
Invacare Corp. 1,000 39,250
Mine Safety Appliances Co. 300 13,500
Quorum Health Group, Inc. 1,300 26,650
Ren Corp. USA (a) 1,600 26,000
TECNOL Medical Products, Inc. (a) 500 9,375
Universal Health Services, Inc. (a) 1,600 42,200
-----------
301,438
-----------
Health Technology (0.15%)
Acuson Corp. (a) 2,300 26,450
Stryker Corp. 300 13,500
-----------
39,950
-----------
Home Furnishings (0.36%)
Lancaster Colony Corp. 1,400 49,175
Leggett & Platt, Inc. 1,300 50,050
-----------
99,225
-----------
Hotels & Restaurants (0.27%)
Bertucci's Inc. 2,100 17,850
Compass Group Plc 6,400 34,349
Hotel Properties Ltd 11,000 20,524
-----------
72,723
-----------
Household Products (0.59%)
First Brands Corp. 300 11,550
Oneida Ltd 400 6,000
Premark International, Inc. 700 33,775
Procter & Gamble Co. 300 20,963
Reckitt & Coleman Plc 3,300 34,041
Springs Industries, Inc. Class "A" 900 34,987
Toro Co. 700 20,213
-----------
161,529
-----------
See Notes to Portfolio of Investments. 35 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Insurance (3.13%)
Aegon N.V. 300 $23,333
Aflac, Inc. 1,800 74,250
Allied Group, Inc. 1,000 29,125
American Travellers Corp. 1,300 26,000
Capital American Financial Corp. 300 6,563
CMAC Investment Corp. 600 22,200
Commerce Group, Inc. 500 8,625
Ea-Generali AG 100 26,322
FHP International Corp. 1,700 40,588
Fund American Enterprises 590 42,554
Gallagher (Arthur J.) & Co. 500 17,125
Guardian Royal Exchange 7,700 23,358
Healthwise of America, Inc. 1,300 36,725
Home Beneficial Corp. 500 10,063
Kansas City Life Insurance Co. 300 12,900
Loews Corp. 400 40,750
Maxicare Health Plans, Inc. 2,300 36,081
Ohio Casualty Corp. 1,000 29,313
Orion Capital Corp. 600 21,075
PennCorp Financial Group, Inc. 900 15,525
Reinsurance Group of America 2,300 57,213
Reliastar Financial Corp. 490 17,579
Royal Insurance Holdings 5,900 28,769
Security-Connecticut Corp. 900 22,500
St. Paul Companies, Inc. 1,600 77,000
State Auto Financial Corp. 800 13,300
UNI Storebrand AS 15,000 56,170
Unitrin, Inc. 800 38,600
-----------
853,606
-----------
Machinery & Equipment (1.34%)
Bearings, Inc. 900 27,900
Camco International Inc. 2,200 51,975
Caterpillar, Inc. 100 5,850
Christiana Co. (a) 300 8,100
Clarcor, Inc. 100 2,100
Danaher Corp. 1,600 47,600
FSI International, Inc. 600 27,675
Katy Industries 4,100 37,413
See Notes to Portfolio of Investments. 36 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Machinery & Equipment (continued)
L.S. Starrett Co. Class "A" 200 $4,600
Modine Manufacturing Co. 2,300 78,200
Tecumseh Products Co. Class "A" 700 35,000
Tsukishima Kikai 2,000 38,086
-----------
364,499
-----------
Media & Entertainment (1.30%)
Advo, Inc. 1,700 34,213
AMC Entertainment, Inc. (a) 400 4,400
Belo (A.H.) Corp. 800 48,100
Capital Cities/ABC, Inc. 200 16,900
Coachmen Industries, Inc. 2,300 38,525
E.W. Scripps Co. 1,100 31,488
Genting Bhd 7,000 63,785
Granada Group Plc 3,300 30,244
Media General, Inc. 1,600 52,000
Park Communications, Inc. 800 24,350
Walt Disney Co. 200 11,075
-----------
355,080
-----------
Medical Supplies (0.43%)
Amsco International, Inc. (a) 2,700 34,088
Cardinal Health Inc. 200 9,225
Nellcor, Inc. (a) 1,000 41,625
Respironics, Inc. (a) 1,800 25,875
Sybron International Corp. (a) 200 7,425
-----------
118,238
-----------
Metals & Mining (1.57%)
Alcan Aluminum Ltd. 1,500 42,488
Alumax Inc. (a) 400 11,300
Barrick Gold Corp. 100 2,413
British Steel Plc 15,000 40,796
Brush Wellman, Inc. 500 9,875
Carpenter Technology Corp. 200 12,075
Citation Corp. 1,800 29,813
Cleveland-Cliffs, Inc. 900 32,963
Commercial Metals Co. 1,300 34,450
Kennametal Inc. 1,600 53,600
See Notes to Portfolio of Investments. 37 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Metals & Mining (continued)
Magma Copper Co. 2,000 $33,500
Noranda, Inc. 1,100 19,298
Rautaruukki Oy 7,000 55,907
Schnitzer Steel Industries, Inc. 2,300 50,600
-----------
429,078
-----------
Oil & Gas (2.88%)
Alberta Energy Co Ltd 1,000 15,432
Burmah Castrol Plc 2,400 33,718
Crown Central Petroleum Corp. 300 4,388
Deeptech International Inc. 6,200 38,750
Exxon Corp. 900 62,663
Global Industries Ltd. 800 20,700
Hughes Supply 700 13,563
Imperial Oil Ltd. 500 17,774
Mobil Corp. 800 75,900
Newfield Exploration Co. 2,300 52,900
Oneok, Inc. 1,200 22,950
Panhandle Eastern Corp. 400 9,600
Penn Virginia Corp. 1,400 46,900
Petro-Canada 1,300 12,300
Petrofina SA 200 62,247
Quaker State Corp. 800 11,400
Royal Dutch Petrloeum Co. ADR 800 99,200
Royal Dutch Petroleum Co. 500 61,801
Saga Petroleum SA 3,000 43,635
Santa Fe Pacific Pipeline Partners, L.P. 1,200 44,400
Shell Transport Class "A" 300 21,375
Transcanada Pipelines Ltd. 1,200 15,873
-----------
787,469
-----------
Paper & Containers (2.28%)
Abitibi Price Inc. 800 11,170
Avery Dennison Corp. 500 20,313
Ball Corp. 1,200 41,100
Chesapeake Corp. 3,600 111,600
Consolidated Papers Inc. 1,000 49,000
Enso-Gutzeit Oy 4,800 43,298
Glatfelter (P.H.) Co. 1,700 30,600
See Notes to Portfolio of Investments. 38 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Paper & Containers (continued)
Industrials Oxygen Inc. 34,000 $40,620
International Paper Co. 100 7,700
Koninklijke Knp Bt 1,000 30,207
Kuala Lumpur Kepong Bhd 14,000 40,256
Leykam-Muerztaler Papier 700 28,430
Macmillan Bloedel Ltd 1,300 16,957
Mead Corp. 100 5,175
Rayoner Inc. 1,200 39,750
Repola Oy 1,900 38,250
Stone-Consolidated Corp. 900 11,243
Willamette Industries, Inc. 1,100 55,963
-----------
621,632
-----------
Personal Care (0.26%)
Alberto-Culver Co. 200 6,300
Helene Curtis Industries, Inc. 400 13,750
Maybelline Inc. 800 17,600
Tambrands, Inc. 800 33,300
-----------
70,950
-----------
Pharmaceuticals (0.99%)
Allergan, Inc. 100 2,713
Barr Laboratories, Inc. (a) 1,600 33,600
Becton, Dickinson & Co. 300 16,725
Bristol-Myers Squibb Co. 500 32,563
Marion Merrell Dow, Inc. 2,300 54,911
Pfizer Inc. 300 25,988
Schering Plough 400 30,150
Smithkline Beecham Plc 1,100 42,763
Walgreen Co. 300 14,100
Watson Pharmaceuticals, Inc. 500 15,500
-----------
269,013
-----------
Printing & Publishing (1.03%)
Central Newspapers, Inc. Class "A" 1,500 39,000
Gannett Co., Inc. 900 47,363
Lee Enterprises, Inc. 2,100 75,337
Plenum Publishing Corp. 400 12,000
Pulitzer Publishing Co. 1,750 70,655
See Notes to Portfolio of Investments. 39 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Printing & Publishing (continued)
Reader's Digest Association, Inc. 500 $19,688
Tribune Co. 100 5,913
Wiley (John) & Sons, Inc. Class "A" 200 11,225
-----------
281,181
-----------
Real Estate Investment Trusts (7.61%)
Associated Estates Realty Corp. 2,800 55,300
Camden Property Trust 3,400 71,400
Chelsea GCA Realty, Inc. 1,100 26,813
Colonial Properties Trust 900 20,588
Cousins Properties, Inc. 5,800 97,150
Crescent Real Estate Equities, Inc. 8,400 241,500
Developers Diversified Realty Corp. 4,200 115,500
Duke Realty Investments, Inc. 6,600 179,850
Equity Residential Properties Trust 4,400 117,700
Essex Property Trust, Inc. 400 6,500
Excel Realty Trust, Inc. 900 17,213
Kimco Realty Corp. 700 26,425
Kranzco Realty Trust 6,700 114,737
Merry Land & Investment Co., Inc. 5,400 101,925
Mills Corp. 2,400 40,800
Mitsubishi Estate Co. Ltd. 2,000 24,042
Pelangi Bhd 31,000 37,538
Post Properties, Inc. 3,400 100,725
Security Capital Industrial Trust 2,000 31,250
Sekisui House 2,000 26,422
Shurgard Storage Centers Inc. Class "A" 1,100 25,575
Smith (Charles E.) Residential 500 11,375
South West Property Trust 2,250 26,719
Storage Equities Inc. 2,700 43,538
Tan & Tan Development Bhd 45,000 47,931
United Dominion Realty Trust, Inc. 5,000 70,000
Vornado Realty Trust 3,900 131,623
Weingarten Realty Investors 7,600 266,000
-----------
2,076,139
-----------
See Notes to Portfolio of Investments. 40 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Retail (2.78%)
Arbor Drugs, Inc. 200 $5,100
Argyll Group Plc 6,000 27,616
Blair Corp. 500 17,313
Bruno's, Inc. 4,600 55,773
Burton Group Plc 28,700 35,910
Circuit City Stores, Inc. 200 5,175
Citizen Watch Co., Ltd. (a) 3,000 21,531
D.I.Y. Home Warehouse Inc. (a) 3,500 25,375
Dollar General Corp. 500 11,625
Hannaford Brothers, Co. 1,700 44,837
Highwood Properties, Inc. 5,200 114,400
Horizon Outlet Centers, Inc. 1,200 26,400
Hudson's Bay Company 700 12,860
Koninklijke Ahold N.V. 800 27,574
Neiman Marcus Group, Inc. 3,200 46,800
Nike, Inc. 100 7,663
Nintendo Corp Ltd 1,000 64,150
Office Depot, Inc. 200 4,550
Rhodes, Inc. 3,100 30,613
Robinson & Co. Ltd. 5,000 20,811
Tesco Plc 9,200 41,382
Tractor Supply Co. 600 12,863
Waban Inc. 2,500 41,562
Weis Markets, Inc. 1,100 28,738
Zale Corp. 2,500 29,219
-----------
759,840
-----------
Specialty Consumer Durables (0.59%)
Bio-Rad Laboratories, Inc. Class "A" 700 20,213
Calgon Carbon Corp. 7,500 91,875
Callaway Golf Co. 800 9,900
Department 56, Inc. 200 7,400
Polaris Industries, Inc. 700 31,675
-----------
161,063
-----------
Telecommunication (0.65%)
Ameritech Corp. 1,300 58,500
AT&T Corp. 400 20,300
Citizens Utilities Co. 2,000 24,500
See Notes to Portfolio of Investments. 41 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Telecommunication (continued)
Computer Associates International Inc. 100 $6,438
Equifax, Inc. 1,900 61,512
Mastec, Inc. (a) 500 5,531
-----------
176,781
-----------
Textiles (0.37%)
Garan, Inc. 500 8,625
Guilford Mills, Inc. 700 17,325
Oshkosh B'Gosh, Inc. 400 6,500
Phillips-Van Heusen 2,100 32,287
VF Corp. 300 15,150
Wing Tai Holdings 12,000 20,323
-----------
100,210
-----------
Transportation (1.20%)
Arnold Industries, Inc. 400 7,150
British Airways Plc 3,500 22,558
Det Norske Luftfartselskap AS 600 24,204
Expeditors International of Washington, Inc. 200 4,550
Florida East Coast Industries, Inc. 600 43,050
Harper Group, Inc. 400 7,650
Illinois Central 300 10,538
Intertrans Corp. 300 6,431
Keppel Corp. Ltd. 2,000 16,218
Laidlaw Inc. Class "B" 2,500 22,046
Landstar Systems, Inc. 200 5,775
Peninsular & Orient Steam Navigation Co. 4,200 39,135
Pittston Service Group 1,300 30,875
Rollins Truck Leasing, Corp. 4,400 48,400
Rural/Metro Corp. 700 12,950
Singapore Airlines Ltd. 2,000 19,232
Swift Transportation Co., Inc. 100 1,563
Werner Enterprises, Inc. 300 6,300
-----------
328,625
-----------
Utilities - Electric (3.87%)
American Water Works Co., Inc. 1,000 28,875
Bangor Hydro-Electric Co. 2,700 28,013
Black Hills Corp. 1,400 30,800
See Notes to Portfolio of Investments. 42 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Utilities - Electric (continued)
Boston Edison Co. 2,100 $50,137
California Energy Co., Inc. 700 11,638
Central Hudson Gas & Electric 1,800 46,575
Central Maine Power Co. 2,600 28,925
CIPSCO, Inc. 1,000 29,000
DQE, Inc. 1,100 37,125
EVN-Energie-Versorgung Neidr. AG 300 39,360
Florida Progress Corp. 1,800 54,900
General Public Utilities Corp. 1,300 37,050
Green Mountain Power Corp. 900 23,063
Hokkaido Electric Power 1,000 27,136
Illinova Corp 1,700 39,525
Interstate Power Co. (Del.) 2,300 55,486
LG&E Corp. 900 34,763
National Power Plc - ADR 900 10,238
Nipsco Industries, Inc. 1,300 41,925
Oklahoma Gas & Electric Co. 1,200 41,250
Peco Energy Co. 400 10,300
Pinnacle West Capital Corp. 1,800 38,700
Powergen Plc ADR 900 11,475
Puget Sound Power & Light Co. 1,800 38,250
Reunies Electrobel & Tracitebel SA 100 35,878
Rochester Gas & Electric Corp. 1,700 35,063
Scecorp 2,400 40,200
Transalta Corp. 1,300 13,374
Unicom Corp. 1,200 31,500
United Illuminating Co. 1,500 48,187
Wisconsin Energy Corp. 2,100 58,275
-----------
1,056,986
-----------
Utilities - Oil & Gas (1.00%)
Atlanta Gas Light Co. 1,000 36,500
Brooklyn Union Gas Co. (The) 1,900 46,073
Colonial Gas Co. 1,900 37,763
Connecticut Energy Corp. 500 9,563
Laclede Gas Co. 500 9,438
New Jersey Resources Corp. 700 15,750
Northwest Natural Gas Co. 1,000 30,750
OEMV AG 400 41,458
See Notes to Portfolio of Investments. 43 (continued)
<PAGE>
Number of Market
Common Stock (continued) Shares Value
Utilities - Oil & Gas (continued)
Schlumberger, Ltd. 100 $6,288
Union Texas Petroleum Holdings,Inc. 1,800 38,475
-----------
272,058
-----------
Utilities - Telephone (1.15%)
Cable & Wireless Plc 6,100 39,414
DDI Corp. 5 44,037
MCI Communications Corp. 400 8,675
Pacific Telesis Group 1,500 46,313
Southern New England Telecommunications Corp. 1,500 49,688
Sprint Corp. 1,700 56,100
Telekom Malaysia Bhd 10,000 68,848
-----------
313,075
-----------
Utilities - Water (0.12%)
California Water Service Co. 300 9,563
Welsh Water Plc (a) 2,400 23,907
-----------
33,470
-----------
Preferred Stock
Electrical & Electronics (0.12%)
Nokia 800 32,699
-----------
Total Common & Preferred Stocks 16,677,030
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Long Term Bonds & Notes (16.40%) Amount Value
<S> <C> <C>
U.S. Government & Agency Obligations (7.76%)
Student Loan Marketing Association, 7.82%, 10/14/99 345,000 $351,997
U.S. Treasury Bond, 10.375%, 11/15/12 690,000 859,264
U.S. Treasury Bond, 7.50%, 11/15/24 345,000 350,175
U.S. Treasury Note, 5.125%, 03/31/96 100,000 98,938
U.S. Treasury Note, 7.50%, 01/31/97 450,000 456,750
-----------
2,117,124
-----------
See Notes to Portfolio of Investments. 44 (continued)
<PAGE>
Principal Market
Long Term Bonds & Notes (continued) Amount Value
Corporate Bonds & Notes
Finance Companies (5.14%)
Capital One Bank, 8.625%, 01/15/97 345,000 $351,788
Ford Motor Credit Corp., FRN, 6.587%, 06/02/98 345,000 346,507
General Electric Capital Corp.,7.96%, 02/02/98 345,000 353,818
News American Holdings 8.50% 2/15/05 345,000 351,563
-----------
1,403,676
-----------
Foreign & Supranational Obligations (3.50%)
International Bank For Reconstruction and Development, 9.25%, 07/15/17 210,000 241,382
SNCB Belgium Rail, 8.875%, 12/01/24 345,000 369,510
South Africa Global Bond, 9.625%, 12/15/99 345,000 343,988
-----------
954,880
-----------
Total Long Term Bonds & Notes 4,475,680
-----------
Short-Term Investments (22.51%)
Baxter International Inc., Comm. Paper, 6.05%, 05/01/95 1,000,000 1,000,000
Fleetwood Credit Corp., Comm. Paper, 6.00%, 05/01/95 1,000,000 1,000,000
General American Tran., Comm. Paper, 6.08%, 05/02/95 200,000 199,966
GTE South, Inc., Comm. Paper, 5.97%, 05/02/95 100,000 99,983
Honeywell, Inc., Comm. Paper, 6.00%, 05/01/95 848,000 848,000
Koch Industries Incorp., Comm. Paper, 5.95%, 05/01/95 1,000,000 1,000,000
Texas Utilities Electric, Comm. Paper,6.05%, 05/01/95 1,000,000 1,000,000
U.S. Treasury Note, 4.25%, 07/31/95 1,000,000 995,938
-----------
Total Short-Term Investments 6,143,887
-----------
Total Investments (cost $26,294,463) (b) $35,635,112
===========
</TABLE>
Notes to Portfolio of Investments
(a) Non-income producing security.
(b) The cost of investments for income tax purposes is identical. Unrealized
gains and losses, based on identified tax cost at April 30, 1995 are as
follows:
Unrealized gains $1,259,819
Unrealized losses 257,685
----------
Net unrealized gains $1,002,134
----------
See Notes to Financial Statements. 45
<PAGE>
Open Futures Contracts
April 30, 1995 (Unaudited)
At April 30, 1995, U.S. Treasury Note, 4.25%, 07/31/95, par value
$1,000,000 was pledged to cover margin requirements for open futures contracts.
(See Note 1 of Notes to Financial Statements.) Information concerning open
futures contracts is shown below:
<TABLE>
<CAPTION>
No. of Market Expiration Unrealized
Contracts Value Date Gain/(Loss)
<S> <C> <C> <C> <C>
Long-Term German Gov't. Bond Futures 6 $993,461 June '95 $23,873
German Stock Index Futures 2 273,943 June '95 (16,856)
FT-SE 100 Share Index Futures 2 261,525 June '95 15,489
TOPIX Stock Index Futures 1 150,857 June '95 (5,832)
Swiss Government Bond Futures 3 282,185 June '95 762
Dutch Government Bond Futures 3 478,678 June '95 3,050
---------- -------
Total $2,440,649 $20,486
========== =======
</TABLE>
46
<PAGE>
Portfolio of Investments
April 30, 1995 (Unaudited)
Aetna Legacy Fund
<TABLE>
<CAPTION>
Number of Market
Common Stocks Shares Value
<S> <C> <C>
Aerospace & Defense (0.63%)
Curtiss-Wright Corp. 300 $11,175
Lockheed Martin Corp. 1,300 75,075
McDonnell Douglas Corp. 500 31,000
Smiths Industries Plc 3,400 26,537
Watkins-Johnson Co. 600 23,775
-----------
167,562
-----------
Autos & Auto Equipment (0.49%)
Borg-Warner Automotive, Inc. 700 18,025
Breed Technologies, Inc. 700 14,088
Ford Motor Co. 1,300 35,100
Kaydon Corp. 300 8,250
Smith (A.O.) Corp. 800 19,100
TRW Inc. 300 22,312
Wynn's International Inc. 400 9,300
Varity Corp. (a) 100 4,225
-----------
130,400
-----------
Banks (1.99%)
AMMB Bhd 3,000 29,645
Anchor Bancorp Wisconsin, Inc. 600 19,988
BBL-Banque Bruxelles Lamert SA 400 64,632
Citicorp 600 27,825
Citizens Banking Corp. 100 2,650
City National Corp. 2,500 25,313
Commerce Asset Holdings 8,000 34,991
Cullen/Frost Bankers, Inc. 900 33,300
F & M Bancorp 105 2,796
First American Corp. 400 13,850
First Citizens BancShares, Inc. 100 4,638
First Interstate Bancorp 300 23,063
Firstbank of Illinois Co. 200 5,425
Hibernia Corp. Class "A" 5,000 40,000
HSBC Holdings Plc 1,900 21,878
JSB Financial, Inc. 800 23,900
Midlantic Corp., Inc. 700 25,550
Old National Bancorp 300 10,350
Queens County Bancorp, Inc. 300 9,188
Silicon Valley Bancshares 2,500 39,373
Star Banc Corp. 600 25,050
The Boston Bancorp 600 23,325
UMB Financial Corp. 800 25,200
-----------
531,930
-----------
Building Materials & Construction (0.63%)
American Buildings Co. (a) 700 12,994
Clayton Homes, Inc. 500 8,438
See Notes to Portfolio of Investments. 47 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Building Materials & Construction (continued)
Granite Construction Inc. 800 $16,150
IJM Corp. Bhd 8,000 26,566
Insituform Mid-America, Inc. 100 1,094
Kasler Holding Co. (a) 600 3,675
Metra Oy Class "B" 600 24,383
National Gypsum Co. (a) 100 4,913
Puerto Rican Cement Co., Inc. 100 2,938
Redman Industries, Inc. (a) 1,100 21,587
Stone & Webster, Inc. 200 5,950
Texas Industries 400 15,050
Tredegar Industries, Inc. 900 20,475
Vulcan Materials Co. 100 5,800
-----------
170,013
-----------
Chemicals (1.32%)
ARCO Chemical Co. 400 18,600
Cabot Corp. 900 35,325
du Pont (E.I.) de Nemours 300 19,762
First Mississippi Corp. 1,000 25,000
IMC Global, Inc. 600 29,475
Lyondell Petrochemical Co. 1,300 32,338
Morton International 500 15,500
Norsk Hydro AS 1,100 44,816
Olin Corp. 500 27,938
Sterling Chemicals, Inc. 2,100 26,250
Union Carbide Corp. Holding Co. 700 22,400
Vigoro Corp. 700 27,913
Wellman, Inc. 1,000 27,000
-----------
352,317
-----------
Commercial Services (0.57%)
FlightSafety International, Inc. 700 34,475
Franklin Quest Co. (a) 300 9,975
Inchcape Plc 4,900 25,155
Interim Services, Inc. (a) 700 20,169
Jacobs Engineering Group Inc. (a) 300 5,925
Kelly Services Inc. Class "A" 800 27,200
Robert Half International Inc. 200 5,275
True North Communications, Inc. 600 11,400
United Video Satellite Group Inc. Class "A" 500 12,687
-----------
152,261
-----------
Computers & Office Equipment (0.35%)
Ceridian Corp. 800 27,600
International Business Machines, Inc. 600 56,850
Sun Microsystems, Inc. 100 3,975
United Stationers, Inc. 300 5,175
-----------
93,600
-----------
See Notes to Portfolio of Investments. 48 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Computer Software (1.05%)
Boole & Babbage, Inc. (a) 500 $14,500
Cadence Design Systems, Inc. (a) 1,800 58,050
Hogan Systems, Inc. (a) 3,800 32,300
Peoplesoft, Inc. (a) 600 30,900
Reynolds & Reynolds Co. 1,200 31,800
Stratus Computer, Inc. (a) 2,400 71,400
Sungard Data Systems, Inc. (a) 500 23,188
Wavefront Technologies, Inc. (a) 1,100 19,250
-----------
281,388
-----------
Diversified (1.69%)
Acma Ltd. 4,000 12,056
BIC Corp. 500 16,938
Brady (WH) Co. 300 15,750
Brau-Union Goess-Reining. AG 300 19,310
Cyrk International, Inc. 300 4,313
Eastern Enterprises 200 5,975
Griffon Corp. (a) 1,100 8,525
Harrisons & Crosfield Plc 10,600 26,441
Harsco Corp. 600 28,575
Hartwall Oy AB 2,000 32,887
Insilco Corp. 900 24,413
ITT Corp. 200 20,900
Lonrho Plc 9,100 24,164
Quixote Corp. 3,400 40,375
Spieker Properties, Inc. 3,900 76,048
SPS Technologies, Inc. (a) 800 25,300
Trinova Corp. 200 6,950
United Waste Systems, Inc. 200 5,725
Varlen Corp, 1,200 27,900
Westmont Bhd 7,000 30,333
-----------
452,878
-----------
Electrical & Electronics (1.56%)
Applied Materials, Inc. 100 6,175
Bell Industries, Inc. 200 4,025
Compaq Computer Corp. 400 15,200
CTS Corp. 500 16,563
Dynatech Corp. 1,600 27,600
Esterline Technologies Corp. (a) 300 5,063
FPL Group, Inc. 200 7,350
General Electric Co. 600 33,600
Intel Corp. 100 10,244
Logicon Inc. 700 25,900
Marshall Industries 1,600 44,200
Maxim Integrated Products, Inc. 700 25,550
Nokia K 800 32,886
See Notes to Portfolio of Investments. 49 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Electrical & Electronics (continued)
Philips Electronics N.V. 700 $26,748
Rohm Co. 1,000 46,297
Seagate Technology, Inc. 1,100 35,063
Tracor Inc. 600 7,763
Unitrode Corp. 500 10,375
Varian Associates, Inc. 800 36,800
-----------
417,402
-----------
Electrical Equipment (0.92%)
Arrow Electronics, Inc. 800 37,200
Avnet, Inc. 700 31,150
Cubic Corp. 200 4,075
Emerson Electric 400 26,900
Franklin Electric Co. 300 9,600
Hitachi Ltd. (Hit. Seisakusho) 3,000 30,528
Kuhlman Corp. 1,700 19,975
Park Electrochemical Corp. 500 18,750
Sundstrand Corp. 600 33,300
Tektronix, Inc. 500 22,750
Teleflex Inc. 300 12,413
-----------
246,641
-----------
Financial Services (2.28%)
Abbey National Plc 2,900 21,701
Algem Maatsch Voor Nijve 200 53,334
Astoria Financial Corp. 1,400 47,688
Autofinance Group 1,000 14,938
Bank of Montreal 600 12,235
Bank of New York Co., Inc. 1,700 55,888
Banponce Corp. 100 3,231
Barclays Plc 2,500 25,709
Baybanks, Inc. 400 24,950
Canadian Imperial Bank of Commerce 500 12,447
Creditanstalt-Bankverein 800 45,898
Development Bank of Singapore 2,000 21,385
First Bank System, Inc. 1,200 48,600
Foothill Group Inc. Class "A" 1,300 28,275
Lion Land Bhd 28,000 32,317
Morgan Keegan Inc 700 11,025
Park National Corp. 100 4,638
Promise Co., Ltd. 1,000 43,680
River Forest Bancorp, Inc. 400 14,650
Royal Bank of Canada 500 10,977
Suffolk Bancorp 300 8,175
Transmedia Network Inc. 800 9,800
Travelers Group, Inc. 300 12,413
See Notes to Portfolio of Investments. 50 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Financial Services (continued)
Unitas Bank Ltd. Class "A" (a) 8,000 $23,679
Yasuda Trust & Banking 3,000 24,280
-----------
611,913
-----------
Food & Beverage (1.70%)
American Maize-Products Co. Class "A" 600 19,800
Anheuser Busch Co. 300 17,437
Archer-Daniels-Midland Co. 1,500 27,374
Associated British Foods 2,200 22,978
Bols Wessanen CVA 1,200 25,482
Cadbury Schweppes Plc 3,500 25,206
Cerebos Pacific Ltd. 3,000 18,515
Coca-Cola Co. (The) 500 29,063
Conagra, Inc. 800 26,600
Guinness Anchor Bhd 16,000 25,790
Hillsdown Holdings Plc 7,200 21,320
Hormel Foods Corp. 800 21,900
Hudson Foods, Inc. Class "A" 600 10,350
IBP, Inc. 900 33,300
Kroger Co. (The) 100 2,550
Luby's Cafeterias Inc. 900 17,100
Pilgrims Pride Corp. 300 2,400
Safeway, Inc. 700 26,250
Sanderson Farms, Inc. 200 2,325
Sara Lee Corp. 100 2,788
Sealright Co., Inc. 200 3,550
Super Food Services, Inc. 300 3,338
Thorn Apple Valley 800 14,400
Tyson Foods, Inc. 1,400 32,987
Universal Foods Corp. 700 22,750
-----------
455,553
-----------
Health Services (0.63%)
Columbia/HCA Healthcare Corp. 200 8,400
Express Scripts, Inc. Class "A" 800 23,500
Homedco Group, Inc. (a) 500 28,562
Humana Inc. (a) 1,000 19,500
Invacare Corp. 500 19,625
Mine Safety Appliances Co. 200 9,000
Quorum Health Group, Inc. 800 16,400
Ren Corp. USA (a) 900 14,625
TECNOL Medical Products, Inc. (a) 300 5,625
Universal Health Services, Inc. (a) 900 23,738
-----------
168,975
-----------
See Notes to Portfolio of Investments. 51 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Health Technology (0.09%)
Acuson Corp. (a) 1,200 $13,800
Stryker Corp. 200 9,000
-----------
22,800
-----------
Home Furnishings & Appliances (0.23%)
Lancaster Colony Corp. 900 31,613
Leggett & Platt, Inc. 800 30,800
-----------
62,413
-----------
Hotel & Restaurants (0.17%)
Bertucci's, Inc. 1,000 8,500
Compass Group Plc 4,700 25,225
Hotel Properties Ltd. 7,000 13,061
-----------
46,786
-----------
Household Products (0.41%)
First Brands Corp. 200 7,700
Oneida Ltd. 300 4,500
Premark International, Inc. 500 24,125
Procter & Gamble Co. 200 13,975
Reckitt & Coleman Plc 2,400 24,757
Springs Industries, Inc. Class "A" 600 23,325
Toro Co. 400 11,550
-----------
109,932
-----------
Insurance (1.92%)
Aegon N.V. 300 23,333
Aflac, Inc. 1,200 49,500
Allied Group, Inc. 600 17,475
American Travellers Corp. 800 16,000
Capital American Financial Corp. 200 4,375
CMAC Investment Corp. 400 14,800
Commerce Group, Inc. 300 5,175
FHP International Corp. 1,100 26,262
Fund American Enterprises 320 23,080
Gallagher (Arthur J.) & Co. 300 10,275
Guardian Royal Exchange 5,700 17,291
Healthwise of America, Inc. 800 22,600
Home Beneficial Corp. 300 6,038
Kansas City Life Insurance Co. 200 8,600
Loews Corp. 200 20,375
Maxicare Health Plans, Inc. 1,200 18,825
Ohio Casualty Corp. 600 17,588
Orion Capital Corp. 300 10,538
Penn Corp Financial Group, Inc. 500 8,625
Reinsurance Group of America 1,300 32,338
Reliastar Financial Corp. 314 11,265
See Notes to Portfolio of Investments. 52 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Insurance (continued)
Royal Insurance Holdings Plc 4,300 $20,968
Security-Connecticut Corp. 600 15,000
St. Paul Companies, Inc. 1,000 48,123
State Auto Financial Corp. 500 8,313
UNI Storebrand AS 10,000 37,448
Unitrin, Inc. 400 19,300
-----------
513,510
-----------
Machinery & Equipment (0.93%)
Bearings, Inc. 400 12,400
Caterpillar, Inc. 100 5,850
Christiana Co. (a) 200 5,400
Clarcor, Inc. 100 2,100
Danaher Corp. 1,000 29,750
FSI International, Inc. 400 18,450
Katy Industries 2,300 20,988
Koyo Seiko Co., Ltd. 3,000 31,564
L.S. Starrett Co. Class "A" 100 2,300
Modine Manufacturing Co. 1,800 61,200
Tecumseh Products Co. Class "A" 400 20,000
Tsukishima Kikai 2,000 38,086
-----------
248,088
-----------
Media & Entertainment (0.59%)
Advo, Inc. 1,000 20,125
AMC Entertainment, Inc. (a) 200 2,200
Belo (A.H.) Corp. 400 24,050
Capital Cities/ABC, Inc. 100 8,450
Coachmen Industries, Inc. 1,300 21,775
E.W. Scripps Co. 800 22,900
Granada Group Plc 2,400 21,995
Media General, Inc. 600 19,500
Park Communications, Inc. 400 12,175
Walt Disney Co. 100 5,538
-----------
158,708
-----------
Medical Supplies (0.26%)
Amsco International, Inc. (a) 1,600 20,200
Cardinal Health Inc. 100 4,613
Nellcor, Inc. (a) 600 24,974
Respironics, Inc. (a) 1,200 17,250
Sybron International Corp. (a) 100 3,713
-----------
70,750
-----------
Metals & Mining (1.08%)
Alcan Aluminum Ltd. 1,000 28,325
Alumax Inc. (a) 200 5,650
See Notes to Portfolio of Investments. 53 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Metals & Mining (continued)
Barrick Gold Corp. 100 $2,413
British Steel Plc 11,000 29,916
Brush Wellman Inc. 300 5,925
Carpenter Technology Corp. 100 6,038
Citation Corp. 900 14,906
Cleveland-Cliffs, Inc. 600 21,975
Commercial Metals Co. 700 18,550
Dofasco, Inc. 1,100 13,742
Kennametal, Inc. 1,000 33,500
Konik. Ned. Hoogovens CVA 600 23,159
Magma Copper Co. 2,100 35,175
Rautaruukki Oy 3,000 23,961
Schnitzer Steel Industries, Inc. 1,200 26,400
-----------
289,635
-----------
Oil & Gas (1.79%)
Burmah Castrol Plc 1,800 25,288
Camco International Inc. 1,200 28,350
Conwest Exploration Co. 600 11,023
Crown Central Petroleum Corp. 200 2,925
Deeptech International Inc. 3,500 21,875
Exxon Corp. 600 41,775
Falconbridge Ltd. 800 12,346
Global Industries Ltd. 400 10,350
Hughes Supply Co. 400 7,750
Mobil Corp. 500 47,437
Newfield Exploration Co. 1,300 29,900
Oneok, Inc. 700 13,388
Panhandle Eastern Corp. 300 7,200
Penn Virginia Corp. 800 26,800
Petro-Canada 1,200 11,354
Quaker State Corp. 500 7,125
Royal Dutch Petrloeum Co. ADR 500 62,000
Royal Dutch Petroleum Co. 300 37,081
Saga Petroleum SA 1,800 26,181
Santa Fe Pacific Pipeline Partners, L.P. 600 22,200
Shell Transport Class "A" 200 14,250
Transcanada Pipelines Ltd. 1,000 13,228
-----------
479,826
-----------
Paper & Containers (1.40%)
Abitibi Price Inc 900 12,566
Avery Dennison Corp. 300 12,188
Ball Corp. 700 23,975
Chesapeake Corp. 2,700 83,700
Consolidated Papers Inc. 600 29,400
Glatfelter (P.H.) Co. 900 16,200
See Notes to Portfolio of Investments. 54 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Paper & Containers (continued)
Industrials Oxygen Inc. 23,000 $27,479
International Paper Co. 100 7,700
Koninklijke Knp Bt 800 24,166
Kuala Lumpur Kepong Bhd 10,000 28,753
Leykam-Muerztaler Papier 500 20,307
Rayoner Inc. 800 26,500
Repola Oy 1,100 22,145
Willamette Industries, Inc. 800 40,700
-----------
375,779
-----------
Personal Care (0.15%)
Alberto-Culver Co. 100 3,150
Helene Curtis Industries, Inc. 200 6,875
Maybelline Inc. 400 8,800
Tambrands, Inc. 500 20,813
-----------
39,638
-----------
Pharmaceuticals (0.70%)
Allergan, Inc. 100 2,713
Barr Laboratories, Inc. (a) 900 18,900
Becton, Dickinson & Co. 200 11,150
Bristol-Myers Squibb Co. 300 19,538
Marion Merrell Dow, Inc. 1,500 35,812
Medtronic, Inc. 200 14,875
Pfizer Inc. 200 17,325
Schering Plough 300 22,613
Smithkline Beecham Plc 700 27,212
Walgreen Co. 200 9,400
Watson Pharmaceuticals, Inc. 300 9,300
-----------
188,838
-----------
Printing & Publishing (0.68%)
Central Newspapers, Inc. Class "A" 800 20,800
Gannett Co., Inc. 600 31,575
Lee Enterprises, Inc. 1,500 53,811
Plenum Publishing Corp. 200 6,000
Pulitzer Publishing Co. 1,000 40,375
Reader's Digest Association, Inc. 300 11,813
Scholastic Corp. 100 5,600
Tribune Co. 100 5,913
Wiley (John) & Sons, Inc. Class "A" 100 5,613
-----------
181,500
-----------
Real Estate Investment Trusts (5.22%)
Associated Estates Realty Corp. 1,900 37,525
Camden Property Trust 2,100 44,100
Chelsea GCA Realty, Inc. 500 12,188
See Notes to Portfolio of Investments. 55 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Real Estate Investment Trusts (continued)
Colonial Properties Trust 400 $9,150
Cousins Properties, Inc. 3,500 58,625
Crescent Real Estate Equities, Inc. 6,700 192,625
Developers Diversified Realty Corp. 2,700 74,250
Duke Realty Investments, Inc. 4,600 125,350
Equity Residential Properties Trust 2,900 77,575
Essex Property Trust, Inc. 300 4,875
Excel Realty Trust, Inc. 600 11,475
Kimco Realty Corp. 700 26,425
Kranzco Realty Trust 4,400 75,350
Merry Land & Investment Co., Inc. 2,600 49,075
Mills Corp. 1,100 18,700
Mitsubishi Estate Co. Ltd. 2,000 24,042
Pelangi Bhd 24,000 29,062
Post Properties, Inc. 1,600 47,400
Security Capital Industrial Trust 1,000 15,625
Sekisui House 2,000 26,422
Shurgard Storage Centers Inc. Class "A" 800 18,600
Smith (Charles E.) Residential 400 9,100
South West Property Trust 1,125 13,360
Storage Equities Inc. 1,800 29,025
Tan & Tan Development Bhd 28,000 29,823
United Dominion Realty Trust, Inc. 2,400 33,600
Vornado Realty Trust 2,600 87,750
Weingarten Realty Investors 6,200 217,000
-----------
1,398,097
-----------
Retail (1.49%)
Arbor Drugs, Inc. 200 5,100
Argyll Group Plc 4,400 20,251
Blair Corp. 300 10,388
Bruno's, Inc. 2,600 31,524
Burton Group Plc 21,100 26,401
Circuit City Stores, Inc. 100 2,588
D.I.Y. Home Warehouse Inc. (a) 2,000 14,500
Dollar General Corp. 250 5,813
Hannaford Brothers, Co. 1,000 26,375
Highwood Properties, Inc. 3,400 74,798
Horizon Outlet Centers, Inc. 600 13,200
Hudson's Bay Co. 600 11,023
Neiman Marcus Group, Inc. 1,800 26,325
Nike, Inc. 100 7,663
Office Depot, Inc. 100 2,275
Rhodes, Inc. 1,800 17,775
Robinson & Co. Ltd. 3,000 12,487
Tesco Plc 6,800 30,586
Waban Inc. 1,600 26,600
Weis Markets, Inc. 700 18,288
See Notes to Portfolio of Investments. 56 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Retail (continued)
Zale Corp. 1,400 $16,363
-----------
400,323
-----------
Specialty Consumer Durables (0.32%)
Bio-Rad Laboratories, Inc. Class "A" 400 11,550
Calgon Carbon Corp. 3,800 46,550
Callaway Golf Co. 500 6,188
Department 56, Inc. 100 3,700
Polaris Industries, Inc. 400 18,100
-----------
86,088
-----------
Telecommunications (0.35%)
Ameritech Corp. 800 36,000
AT&T Corp. 200 10,150
Computer Associates International, Inc. 100 6,437
Equifax, Inc. 1,200 38,850
Mastec, Inc. (a) 300 3,319
-----------
94,756
-----------
Textiles (0.23%)
Garan, Inc. 300 5,175
Guilford Mills, Inc. 400 9,900
Oshkosh B'Gosh, Inc. 200 3,250
Phillips-Van Heusen 1,300 19,987
VF Corp. 200 10,100
Wing Tai Holdings 8,000 13,549
-----------
61,961
-----------
Transportation (1.08%)
Arnold Industries, Inc. 200 3,575
British Airways Plc 2,600 16,758
Det Norske Luftfartselskap AS 600 24,204
East Japan Railway Co. 5 26,006
Expeditors International of Washington, Inc. 200 4,550
Florida East Coast Industries, Inc. 400 28,700
Harper Group, Inc. 200 3,825
Illinois Central 200 7,025
Intertrans Corp. 200 4,288
Keppel Corp. Ltd. 2,000 16,218
Kvaerner As 500 22,903
Landstar Systems, Inc. 100 2,888
Peninsular & Orient Steam Navigation Co. 3,100 28,885
Pittston Service Group 1,700 40,374
Rollins Truck Leasing, Corp. 2,500 27,500
Rural/Metro Corp. 400 7,400
Singapore Airlines Ltd. 2,000 19,232
Werner Enterprises, Inc. 200 4,200
-----------
288,531
-----------
See Notes to Portfolio of Investments. 57 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Utilities - Electric (2.76%)
American Water Works Co., Inc. 600 $17,325
Bangor Hydro-Electric Co. 1,500 15,563
Black Hills Corp. 900 19,800
Boston Edison Co. 1,500 35,812
California Energy Co., Inc. 400 6,650
Central Hudson Gas & Electric 1,000 25,874
Central Maine Power Co. 1,600 17,800
CIPSCO, Inc. 600 17,400
DQE, Inc. 800 27,000
EVN-Energie-Versorgung Neidr. AG 200 26,240
Florida Progress Corp. 1,100 33,550
General Public Utilities Corp. 800 22,800
Green Mountain Power Corp. 500 12,813
Hokkaido Electric Power 2,000 54,271
Illinova Corp. 1,100 25,575
Interstate Power Co. (Del.) 1,300 31,363
LG&E Corp. 600 23,175
National Power Plc - ADR 1,150 13,081
Nipsco Industries, Inc. 800 25,800
Oesterreichisch Elektrizatswits AG 400 26,446
Oklahoma Gas & Electric Co. 700 24,063
Peco Energy Co. 300 7,725
Pinnacle West Capital Corp. 1,200 25,800
Powergen Plc ADR 1,150 14,663
Puget Sound Power & Light Co. 1,100 23,375
Reunies Electrobel & Tracitebel SA 100 35,878
Rochester Gas & Electric Corp. 1,000 20,625
Scecorp 1,500 25,125
Unicom Corp. 700 18,375
United Illuminating Co. 800 25,700
Wisconsin Energy Corp. 1,400 38,850
-----------
738,517
-----------
Utilities - Oil & Gas (0.58%)
Atlanta Gas Light Co. 600 21,900
Baltimore Gas & Electric 100 2,363
Brooklyn Union Gas Co. (The) 1,200 29,100
Colonial Gas Co. 1,000 19,874
Connecticut Energy Corp. 300 5,738
Laclede Gas Co. 200 3,775
New Jersey Resources Corp. 400 9,000
Northwest Natural Gas Co. 600 18,450
Schlumberger, Ltd. 100 6,288
Union Texas Petroleum Holdings,Inc. 1,200 25,650
WestCoast Energy Inc. 800 12,713
-----------
154,851
-----------
See Notes to Portfolio of Investments. 58 (continued)
<PAGE>
Number of Market
Common Stocks (continued) Shares Value
Utilities - Telephone (0.96%)
Cable & Wireless Plc 4,500 $29,076
Citizens Utilities Co. 1,300 15,925
DDI Corp. 5 44,037
MCI Communications Corp. 300 6,506
Nippon Telegraph & Telephone 3 26,529
Pacific Telesis Group 900 27,788
Southern New England Telecommunications Corp. 1,000 33,125
Sprint Corp. 1,000 33,000
Telekom Malaysia Bhd 6,000 41,309
-----------
257,295
-----------
Utilities - Water (0.08%)
California Water Service Co. 100 3,188
Welsh Water Plc (a) 1,800 17,930
-----------
21,118
-----------
Total Common Stocks 10,522,573
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Long Term Bonds & Notes (30.51%) Amount Value
<S> <C> <C>
U.S. Government & Agency Obligations (14.89%)
Student Loan Marketing Association, 7.82%, 10/14/99 480,000 $489,734
U.S. Treasury Bond, 10.375%, 11/15/12 750,000 933,984
U.S. Treasury Bond, 7.50%, 11/15/24 755,000 766,325
U.S. Treasury Bond, 6.375%, 08/15/02 750,000 724,453
U.S. Treasury Note, 5.125%, 03/31/96 100,000 98,938
U.S. Treasury Note, 7.50%, 01/31/97 960,000 974,400
-----------
3,987,834
-----------
Corporate Bonds & Notes (8.04%)
Finance Companies
Capital One Bank, Corp. Note, 8.63%, 01/15/97 480,000 489,444
Ford Motor Credit Corp., FRN, 06/02/08 480,000 482,098
General Electric Capital Corp., Corp. Note, 7.96%, 02/02/98 480,000 492,268
News American Holdings, 8.50%, 02/15/05 480,000 489,131
U.S. Leasing Inc., MTN, 6.26%, 05/15/95 200,000 199,924
-----------
2,152,865
-----------
Foreign & Supranational Obligations (7.59%)
International Bank for Reconstruction and Development, 9.25%, 07/15/17 480,000 551,731
Province of Ontario, 7.75%, 06/04/02 480,000 488,342
SNCB Belgium Rail, 8.875%, 12/01/24 480,000 514,101
South Africa Global Bond, 9.63%, 12/15/99 480,000 478,592
-----------
2,032,766
-----------
Total Long Term Bonds & Notes 8,173,465
-----------
See Notes to Portfolio of Investments. 59 (continued)
<PAGE>
Principal Market
Amount Value
Short-Term Investments (30.21%)
Travelers Group, Inc., Comm. Paper, 5.97%, 05/01/95 936,000 $936,000
Baxter International Inc., Comm. Paper, 6.05%, 05/01/95 1,000,000 1,000,000
Texas Utilities Electric, Comm. Paper, 6.05%, 05/01/95 1,000,000 1,000,000
Texas Utilities Electric, Comm. Paper, 6.10%, 05/04/95 165,000 164,916
General Signal Corp., Comm. Paper, 6.10%, 05/08/95 1,000,000 998,814
Fleetwood Credit Corp., Comm. Paper, 6.00%, 05/25/95 1,000,000 996,000
Enron Corp., Comm. Paper, 6.05%, 05/02/95 1,000,000 999,831
Koch Industries Incorp., Comm. Paper, 5.95%, 05/01/95 1,000,000 1,000,000
U.S. Treasury Note, 4.25%, 07/31/95 1,000,000 995,937
-----------
Total Short-Term Investments 8,091,498
-----------
Total Investments (cost $25,996,824) (b) $26,787,536
===========
</TABLE>
Notes to Portfolio of Investments
(a) Non-income producing security.
(b) The cost of investments for income tax purposes is identical. Unrealized
gains and losses, based on identified tax cost at April 30, 1995 are as
follows:
Unrealized gains $953,921
Unrealized losses 163,209
--------
Net unrealized gains $790,712
--------
See Notes to Financial Statements. 60
<PAGE>
Open Futures Contracts
April 30, 1995 (Unaudited)
At April 30, 1995, U.S. Treasury Note, 4.25%, 07/31/95, par value
$1,000,000 was pledged to cover margin requirements for open futures contracts.
(See Note 1 of Notes to Financial Statements.) Information concerning open
futures contracts is shown below:
<TABLE>
<CAPTION>
No. of Market Expiration Unrealized
Contracts Value Date Gain/(Loss)
<S> <C> <C> <C> <C>
Long positions:
Toronto 35 Index Futures 1 $82,736 June '95 ($919)
Long-Term German Gov't. Bond Futures 7 1,114,856 June '95 28,612
German Stock Index Futures 2 273,943 June '95 (16,856)
FT-SE 100 Share Index Futures 1 130,762 June '95 7,745
Long Gilt Futures 4 332,234 June '95 (453)
Swiss Government Bond Futures 4 376,246 June '95 1,025
Dutch Government Bond Futures 4 638,238 June '95 4,066
----------- -------
2,949,015 23,220
----------- -------
Short positions:
TOPIX Stock Index Futures 2 (162,520) June '95 (5,832)
----------- -------
Total $2,786,495 $17,388
=========== =======
</TABLE>
61
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