[Front Cover]
Aetna Mutual Funds
Annual
Report
October 31, 1995
Generation Funds
[Aetna logo]
<PAGE>
Table of Contents
President's Letter 1
Investment Review 2
Portfolios of Investments:
Ascent Fund 6
Crossroads Fund 18
Legacy Fund 30
Statements of Assets and Liabilities 42
Statements of Operations 43
Statements of Changes in Net Assets 44
Notes to Financial Statements 45
Financial Highlights 53
Independent Auditors' Report 54
<PAGE>
President's Letter
Dear Fellow Shareholder,
We are very pleased to bring you this annual report of the status and
performance of your Funds.
The past year has seen a substantial recovery in the fixed income markets
which, combined with strong corporate earnings, has driven the stock market
advance. Actions of the Federal Reserve have been successful in controlling
domestic growth and inflation. The overall economic environment has made 1995
a very good year for domestic bond and stock investments. Currency
fluctuations played a major role affecting performance in international
markets.
For the future, our view of the financial markets remains positive. Despite
reaching record high levels, the stock market does not appear to be
overvalued. Moderate economic growth with low inflation should continue to
maintain interest rate levels favorable to the bond market. With careful
market selection and disciplined management strategies, we continue to be
optimistic about the growth potential of international investing.
Our asset allocation disciplines indicate that the Generation Funds should
continue to be weighted toward the equity asset classes. As corporate
earnings growth slows, careful stock selection and our investment strategies
should position us to benefit from changes in the market environment.
At $2.7 trillion in assets, the mutual fund industry, of which we are proud
to be a part of, continues to show strong growth. At Aetna Mutual Funds, we
thank you for investing in our products.
Yours sincerely,
/s/ Shaun P. Mathews
Shaun P. Mathews
President
1
<PAGE>
*********************************[LINE GRAPH]*********************************
Ascent
Growth of a $10,000 Investment
Ten Month Period
Ended 10/31/95
Select Class 16.70%
Aetna Ascent Dec-94 Oct-95
(Select Class) 10000 10290 11010 11850 11670
S&P 500 10000 10973 12019 12979 12932
Russell 2000 10000 10461 11442 12572 12009
MSCI EAFE 10000 10194 10276 10713 10428
NAREIT 10000 9984 10570 11067 10830
SB Broad Inv.
Grade Bond 10000 10506 11151 11362 11514
SB Non US
World Bond 10000 11443 12003 11711 11748
91 Day T-Bill 10000 10148 10295 10437 10484
Ascent Index 10000 10517 11171 11765 11558
*****************************************************************************
*********************************[LINE GRAPH]*********************************
Crossroads
Growth of a $10,000 Investment
Ten Month Period
Ended 10/31/95
Select Class 15.30%
Dec-94 Oct-95
Aetna Crossroads
(Select Class) 10000 10290 10930 11670 11530
S&P 500 10000 10973 12019 12979 12932
Russell 2000 10000 10461 11442 12572 12009
MSCI EAFE 10000 10194 10276 10713 10428
NAREIT 10000 9984 10570 11067 10830
SB Broad Inv.
Grade Bond 10000 10506 11151 11362 11514
SB Non US
World Bond 10000 11443 12003 11711 11748
91 Day T-Bill 10000 10148 10295 10437 10484
Crossroads Index 10000 10520 11144 11627 11504
*****************************************************************************
2 Aetna Generation Funds Annual Report
<PAGE>
*********************************[LINE GRAPH]*********************************
Legacy
Growth of a $10,000 Investment
Ten Month Period
Ended 10/31/95
Select Class 14.10%
Aetna Legacy Dec-94 Oct-95
(Select Class) 10000 10300 10870 11490 11410
S&P 500 10000 10973 12019 12979 12932
Russell 2000 10000 10461 11442 12572 12009
MSCI EAFE 10000 10194 10276 10713 10428
NAREIT 10000 9984 10570 11067 10830
SB Broad Inv.
Grade Bond 10000 10506 11151 11362 11514
SB Non US
World Bond 10000 11443 12003 11711 11748
91 Day T-Bill 10000 10148 10295 10437 10484
Crossroads Index 10000 10523 11117 11489 11449
*****************************************************************************
* 'Total Return' is calculated including reinvestment of income and capital
gain distributions. Past performance is no guarantee of future results. The
Standard & Poor's 500 Stock Index, Russell 2000 Small Cap Stock Index, Morgan
Stanley Capital International Europe, Australia and Far East Index, National
Association Real Estate REIT Index, Salomon Brothers Broad Investment Grade
Index, and Salomon Brothers Non-U.S. World Government Bond Index are
unmanaged broad based market indicies used to benchmark performance of each
asset class.
Aetna Generation Funds
Returns for the partial fiscal year ending October 31, 1995, were solid for
the Aetna Generation Funds which were launched on January 4, 1995. For the
ten month period, total returns for Ascent, Crossroads, and Legacy were
16.70%, 15.30%, and 14.10%, respectively.
The Generation Funds each have specific asset allocation strategies, which
correspond to their respective investment objectives. Each strategy contains
unique asset allocation ranges and benchmark allocations for the several
asset classes utilized by the Funds. Ascent, which is designed for investors
who have an investment horizon exceeding fifteen years and who have a high
level of risk tolerance, benefited from the strong performance of the equity
markets due to its regular emphasis on equity-oriented asset classes.
Crossroads, which is designed for investors who have an investment horizon
exceeding ten years or who have a moderate level of risk tolerance, also
benefited from strong equity market performance, but to a lesser degree than
Ascent, since it takes a more moderate approach to risk and potential return.
And Legacy, which is designed for investors who have an investment horizon
exceeding five years or who have a low level of risk tolerance, profited from
strong equity and fixed income markets in accordance with its low risk
profile.
Aetna Generation Funds Annual Report 3
<PAGE>
Most financial assets enjoyed a favorable environment during the past year,
and we participated in the rewards offered to investors. Returns were
particularly strong in large capitalization U.S. stocks and U.S. bonds. This
meant that those with a more "plain vanilla" orientation in their portfolios
were well rewarded. Our approach is to include healthy allocations to other,
more volatile "diversifying" asset classes, including small capitalization
U.S. stocks, international stocks and bonds, and real estate related stocks.
Unfortunately, on a year-to-date basis these diversifying asset classes have
not performed particularly well. For example, compared to returns of 29.32%
and 15.11% for the S&P 500 and the Lehman Aggregate Bond Index respectively
since the beginning of 1995, returns in the diversifying asset classes which
we emphasize were disappointing: the NAREIT Equity Index returned 12.21%, the
Russell 2000 Small Cap Stock Index returned 20.09%, the Europe, Australia,
and Far East (EAFE) Index returned 4.28%. We continue to see a good deal of
value in these asset classes, therefore we continue to emphasize them in the
Generation Funds. We believe that over the long term, a value-oriented
approach to asset allocation will add to return, and will do so with less
volatility. We remain undeterred in our enthusiasm for these asset classes,
which have only become more attractive due to their under-performance.
We were overweighted in the equity asset classes throughout the year, in
keeping with our asset allocation disciplines which indicated (as they do
still) that most equity asset classes were attractively valued relative to
bonds. Conversely, bonds were quite underweighted throughout the year, and
remain so. Compared to the expected return on bond investments, stock buyers
are being offered an expected return advantage which is well above normal.
However, the rate of corporate earnings growth will undoubtedly slow, and
some earnings disappointments are in store. Stock selection will be very
important, and we believe that we are well-positioned to benefit from such a
market environment.
Investment Summary
-----------------------------------------------------------
Asset Allocation as of October 31, 1995
-----------------------------------------------------------
Ascent Fund Portfolio Benchmark
------------------------------ ----------- ------------
Large Capitalization Stocks 27% 20%
Small Capitalization Stocks 21% 20%
International Stocks 23% 20%
Real Estate Stocks 25% 20%
U.S. Dollar Bonds 3% 10%
International Bonds 0% 10%
Cash Equivalents 1% 0%
----------- ------------
Total 100% 100%
4 Aetna Generation Funds Annual Report
<PAGE>
Crossroads Fund Portfolio Benchmark
------------------------------ ----------- ------------
Large Capitalization Stocks 26% 15%
Small Capitalization Stocks 17% 15%
International Stocks 19% 15%
Real Estate Stocks 20% 15%
U.S. Dollar Bonds 4% 25%
International Bonds 6% 10%
Cash Equivalents 8% 5%
----------- ------------
Total 100% 100%
Legacy Fund Portfolio Benchmark
------------------------------ ----------- ------------
Large Capitalization Stocks 23% 10%
Small Capitalization Stocks 14% 10%
International Stocks 13% 10%
Real Estate Stocks 15% 10%
U.S. Dollar Bonds 7% 40%
International Bonds 7% 10%
Cash Equivalents 21% 10%
----------- ------------
Total 100% 100%
Aetna Generation Funds Annual Report 5
<PAGE>
Portfolio of Investments
October 31, 1995
-----------------------------------------------------------------------------
Ascent Fund
-----------------------------------------------------------------------------
Number
of Market
Shares Value
-------- -----------
Common Stocks (92.2%)
Aerospace & Defense (0.0%)
McDonnell Douglas Corp. 200 $ 16,350
-----------
Apparel (0.5%)
Chic By H I S, Inc.+ 3,000 16,500
Coats Viyella Plc 10,800 31,867
Nike, Inc. 600 34,050
Oshkosh B'Gosh, Inc. 300 4,013
Phillips-Van Heusen 800 8,100
VF Corp. 100 4,788
-----------
99,318
-----------
Autos & Auto Equipment (0.9%)
Autoliv AB 300 17,205
Borg Warner Automotive, Inc. 1,000 29,500
Kaydon Corp. 1,400 40,425
Mitsubishi Motors Corp. 4,000 33,332
Smith (A.O.) Corp. 1,100 22,825
Snap-On, Inc. 200 8,475
Varity Corp.+ 300 10,875
Volvo AB Class B 800 18,002
-----------
180,639
-----------
Banks (6.0%)
AMMB Holdings Bhd 2,000 24,774
Bank of Montreal 900 19,907
Bank of New York Co., Inc. 900 37,800
BankAmerica Corp. 500 28,750
Banque Bruxelles Lambert SA 150 24,926
Canadian Imperial Bank of Commerce 1 25
Charter One Financial, Inc. 1,500 42,469
Chemical Banking Corp. 300 $ 17,063
CITICORP 400 25,950
City National Corp. 5,300 70,225
Coast Savings Financial, Inc.+ 800 21,100
Commerce Asset Holding Bhd 3,000 14,864
Cullen/Frost Bankers, Inc. 1,100 55,688
Development Bank of Singapore Ltd. 2,000 22,904
F & M Bancorp 110 2,874
First American Corp. (Tenn.) 800 35,050
First Chicago Corp. 500 33,938
First Citizens Bancshares Class A 100 5,300
First Interstate Bancorp 300 38,700
Firstbank of Illinois Co. 1,000 29,875
HSBC Holdings Plc 2,519 36,886
Kagoshima Bank 3,000 22,299
Keycorp 600 20,250
Mellon Bank Corp. 100 5,013
Michigan National Corp. 300 32,963
National City Bancshares, Inc. 500 22,844
NationsBank, Inc. 500 32,875
Northern Trust Corp. 500 23,750
Provident Bancorp 1,000 42,000
Queens County Bancorp, Inc. 1,400 56,350
Reliance Bancorp 3,300 48,056
River Forest Bancorp, Inc. 2,000 46,750
Royal Bank of Canada 800 17,918
Silicon Valley Bancshares+ 3,000 58,875
Star Banc Corp. 800 44,300
See Notes to Portfolio of Investments
6 Aetna Generation Funds Annual Report
<PAGE>
Sumimoto Bank of California 100 $ 2,350
Susquehanna Bancshares, Inc. 1,100 32,038
Union Bank 1,000 50,250
Union Planters Corp. 2,100 64,313
White River Corp.+ 400 14,250
-----------
1,226,512
-----------
Building Materials & Construction (2.5%)
American Buildings Co.+ 1,000 25,125
Champion Enterprises, Inc.+ 2,600 67,275
Continental Homes Holding Corp. 200 4,100
Elcor Corp. 300 6,300
Fujita Corp. 8,000 36,383
Granite Construction, Inc. 1,100 31,350
International Aluminum Corp. 300 9,113
Kon. Volker Stevin N.V. 300 19,271
Lindab AB Class B 800 17,415
Metra Oy Class B 1,000 43,324
Nippon Densetsu Kogyo 4,000 38,144
Pulte Corp. 200 6,325
Redman Industries, Inc.+ 1,300 34,125
Sanki Engineering 3,000 29,048
Security Capital Industrial Trust 1,500 24,563
Texas Industries, Inc. 500 26,313
Toll Brothers, Inc.+ 500 8,938
Tredegar Industries, Inc. 1,400 40,775
Webb (Del E.) Corp. 500 10,375
WHX Corp.+ 1,100 11,413
Wing Tai Holdings 16,000 27,711
-----------
517,386
-----------
Chemicals (2.7%)
ARCO Chemical Co. 700 $ 34,300
Dow Chemical Co. 200 13,725
du Pont (E.I.) de Nemours 200 12,475
Dyno Industrier AS 700 14,160
Eastman Chemical Co. 100 5,950
Fuji Photo Film 1,000 24,744
Geon Company (The) 1,900 47,263
Great Lakes Chemical Corp. 200 13,425
Lyondell Petrochemical Co. 1,900 40,613
Norsk Hydro AS 1,800 71,665
Novellus Systems, Inc.+ 400 27,500
PPG Industries, Inc. 300 12,750
Sekisui Chemical Co. 7,000 91,056
Sigma-Aldrich Corp. 300 14,325
Solvay SA Class A 100 50,387
Union Carbide Corp. 400 15,150
Vigoro Corp. 900 39,038
Wellman, Inc. 1,200 28,200
-----------
556,726
-----------
Commercial Services (0.8%)
GATX Corp. 1,200 57,000
Inchcape Plc 3,970 19,607
Manpower, Inc. 1,200 32,550
Robert Half International, Inc.+ 500 18,250
Royal PTT Nederland N.V. 526 18,475
WMX Technologies, Inc. 400 11,250
-----------
157,132
-----------
Computer Software (1.8%)
Acxiom Corp.+ 400 11,900
Applix Inc.+ 2,200 61,325
Aetna Generation Funds Annual Report 7
<PAGE>
Borland International, Inc.+ 900 $ 12,206
Cadence Design Systems, Inc.+ 2,850 91,913
Cirrus Logic, Inc.+ 1,300 54,681
Electronic Arts, Inc.+ 600 22,013
Hogan Systems, Inc.+ 4,900 43,794
Hyperion Software+ 200 9,775
Kronos, Inc.+ 100 4,688
Micro Warehouse, Inc.+ 400 17,900
Reynolds & Reynolds Co. Class A 1,100 39,188
Shiva Corp.+ 100 6,013
Softdesk, Inc.+ 100 2,288
-----------
377,684
-----------
Computers & Office Equipment (2.6%)
Acma Ltd 6,000 19,511
CANON, Inc. 2,000 34,232
Ceridian Corp.+ 200 8,700
Comdisco, Inc. 1,500 45,750
Compaq Computer Corp.+ 200 11,150
Dell Computer Corp.+ 1,000 46,563
Fujitsu Ltd. 4,000 47,729
HBO & Co. 100 7,063
In Focus Systems, Inc.+ 2,100 69,038
International Business Machines
Corp. 200 19,450
Komag, Inc.+ 400 22,825
Kurabo Industries 25,000 85,090
Microsoft Corp.+ 100 10,006
Read-Rite Corp.+ 2,400 83,850
Sun Microsystems, Inc.+ 100 7,813
United Stationers, Inc. 100 3,888
-----------
522,658
-----------
Consumer Products (0.1%)
Alberto-Culver Co. Class B 200 $ 6,275
Liz Claiborne, Inc. 300 8,513
Reckitt & Coleman Plc 1,183 12,563
-----------
27,351
-----------
Diversified (1.8%)
Alusuisse-Lonza Holding AG 15 11,456
Brady (WH) Co. 400 29,200
Dover Corp. 500 19,750
Harrisons & Crosfield Plc 14,028 32,095
Harsco Corp. 700 36,925
Illinois Tool Works, Inc. 100 5,813
Johnson Controls, Inc. 200 11,650
Katy Industries 6,500 66,625
Lonrho Plc 5,500 13,582
Opal, Inc.+ 200 3,025
Oriental Holdings Bhd 3,000 13,803
Polaris Industries, Inc. 2,250 63,000
Textron, Inc. 200 13,750
Varlen Corp. 1,680 45,360
-----------
366,034
-----------
Electrical & Electronics (4.3%)
Applied Materials, Inc.+ 200 10,038
Austria Mikro Systeme International 400 74,065
Cohu, Inc. 100 3,088
Cypress Semiconductor Corp.+ 1,400 49,350
Dallas Semiconductor Corp. 1,000 21,250
Hewlett Packard Co. 300 27,788
Hitachi Koki 5,000 44,599
See Notes to Portfolio of Investments
8 Aetna Generation Funds Annual Report
<PAGE>
Intel Corp. 100 $ 6,994
Kyocera Corp. 1,000 81,960
Lam Research Corp.+ 500 30,438
Logicon, Inc. 1,800 41,175
Matsushita Electric Industrial Co.
Ltd. 3,000 42,545
Micron Technology Inc. 100 7,063
Nintendo Co. Ltd.+ 1,000 73,549
Nokia AB Class A 1,500 85,823
Novo-Nordisk AS 200 25,428
Philips Electronics N.V. 600 23,163
Quickturn Design System, Inc.+ 1,300 13,325
Ramtron International Corp.+ 100 1,006
Rohm Co. 1,000 60,736
Seagate Technology, Inc.+ 1,500 67,125
Siliconix, Inc.+ 400 11,600
Telefonaktiebolaget 550 11,673
Tencor Instruments+ 400 17,100
Varian Associates, Inc. 1,000 51,375
-----------
882,256
-----------
Electrical Equipment (3.3%)
Adflex Solutions, Inc.+ 1,600 41,800
Allgon AB Class B 700 10,589
Arrow Electronics, Inc.+ 900 45,675
Avnet, Inc. 800 40,300
Draka Holding N.V. 500 13,765
FPL Group, Inc. 300 12,563
General Electric Co. 500 31,625
Hitachi Ltd. (Hit. Seisakusho) 6,000 61,617
International Rectifier Corp.+ 1,000 45,125
Kemet Corp.+ 600 20,550
Kent Electronics Corp.+ 1,000 $ 48,750
Marshall Industries+ 1,300 45,825
Mentor Graphics Corp.+ 2,400 50,700
Nichicon 1,000 13,497
Park Electrochemical Corp. 1,400 43,750
Sundstrand Corp. 1,500 91,875
Tektronix, Inc. 100 5,925
Texas Instruments, Inc. 600 40,950
-----------
664,881
-----------
Financial Services (4.6%)
Abbey National Plc 5,000 42,248
ABN Amro Holding N.V. 500 20,980
Alex Brown & Sons, Inc. 1,200 58,650
Algem Maatsch Voor Nijverhei 100 27,298
Banponce Corp. 400 15,450
Barclays Plc 1,700 19,930
BayBanks, Inc. 500 40,438
BHC Financial, Inc. 3,200 58,800
Citizens Bancorp 1,600 52,600
CNA Financial Corp.+ 100 11,400
Creditanstalt-Bankverein 500 24,924
Crestar Financial Corp. 1,000 57,000
Dean Witter Discover and Co. 100 4,975
Den Danske Bank 300 19,866
Fokus Banken AS+ 3,000 15,893
Greenpoint Financial Corp. 700 18,988
Household International, Inc. 100 5,625
Internationale Nederland 300 17,866
Jyske Bank AS 200 13,098
Leader Financial Corp. 800 28,600
Lion Land Bhd 11,000 11,895
Aetna Generation Funds Annual Report 9
<PAGE>
Merrill Lynch & Co., Inc. 300 $ 16,650
Morgan Keegan, Inc. 1,700 18,488
Orient Corp. 3,000 13,614
Oversea-Chinese Banking 2,000 23,470
Park National Corp. 100 4,525
RCSB Financial, Inc. 200 4,463
Schweizerische Bankverein 40 16,401
Societe Generale De Belg 200 15,047
Svenska Handelsbanke 1,000 17,536
TR Financial Corp. 700 17,413
Transamerica Corp. 200 13,550
Travelers, Inc. 500 25,250
Unitas Bank Ltd. Class A+ 9,500 23,039
United Carolina Bancshares, Inc. 1,200 42,900
United Overseas Bank Ltd. 2,600 22,791
US Bancorp Inc. 1,400 45,675
Vermont Financial Services 1,300 41,275
Yasuda Trust & Banking 3,000 13,409
-----------
942,020
-----------
Food & Beverages (3.0%)
Bols Wessanen CVA 12 237
Cadbury Schweppes Plc 4,300 35,485
Cerebos Pacific Ltd. 3,000 18,663
Coca-Cola Co. 200 14,375
ConAgra, Inc. 700 27,038
CPC International Inc. 400 26,550
Danisco AS 400 18,220
Hillsdown Holdings Plc 16,415 43,514
Hometown Buffet, Inc.+ 100 1,294
Hormel Foods Corp. 1,500 $ 34,500
Hudson Foods, Inc. Class A 1,300 18,363
Huhtamaki Group Class I 400 11,867
IBP, Inc. 1,000 59,875
International Multifoods Corp. 1,700 34,850
Katokichi 1,000 18,289
Kroger Co. (The)+ 100 3,338
McDonald's Corp. 800 32,800
Molson Companies Ltd. 1,400 22,509
Mondavi (Robert) Corp.+ 600 17,025
Morningstar Group, Inc.+ 2,600 20,800
Nestle SA Registered 15 15,706
Oester Brau-Beteiligungs 400 20,544
PepsiCo, Inc. 500 26,375
Safeway, Inc.+ 800 37,800
Sara Lee Corp. 300 8,813
Superfos AS 200 17,744
Supervalu, Inc. 500 15,375
-----------
601,949
-----------
Health Services (1.1%)
Invacare Corp. 1,400 35,000
Lincare Holdings, Inc.+ 1,400 35,088
Mine Safety Appliances Co. 800 40,600
Moore Corp. Ltd. 800 15,300
Nellcor, Inc.+ 700 40,425
Quorum Health Group, Inc.+ 500 10,781
Universal Health Services, Inc.+ 1,200 45,000
-----------
222,194
-----------
See Notes to Portfolio of Investments
10 Aetna Generation Funds Annual Report
<PAGE>
Home Furnishings & Appliances (0.2%)
Electrolux AB 400 $ 17,099
Leggett & Platt, Inc. 1,400 33,600
-----------
50,699
-----------
Hotels & Restaurants (0.3%)
Compass Group Plc 2,900 19,676
Hotel Properties Ltd. 10,000 15,128
Marriott International Inc. 300 11,063
Prime Hospitality Corp.+ 1,400 13,825
-----------
59,692
-----------
Household Products (0.2%)
National Presto Industries, Inc. 900 36,450
Premark International, Inc. 300 13,875
-----------
50,325
-----------
Insurance (4.0%)
Aegon N.V. 576 21,836
AFLAC, Inc. 1,500 61,125
Alleghany Corp. 300 53,850
Allstate Corp. 599 22,013
American Bankers Insurance Group 1,700 60,775
Baloise Holding Ltd. 5 10,251
Capital American Financial Corp. 100 1,963
Chubb Corp. 100 8,988
CMAC Investment Corp. 400 19,000
Commerce Group, Inc. 400 8,125
EA-Generali AG 150 41,018
Fremont General Corp. 1,500 43,500
Fund American Enterprises, Inc.+ 390 26,910
Guardian Royal Exchange Plc 7,200 $ 26,016
Home Beneficial Corp. Class B 400 9,850
Kansas City Life Insurance Co. 400 20,800
Loews Corp. 300 43,988
Orion Capital Corp. 400 16,400
Pxre Corp. 1,500 37,688
Reinsurance Group of America 1,700 58,438
Royal Insurance Holdings Plc 2,400 14,807
State Auto Financial Corp. 1,000 22,313
Transatlantic Holdings, Inc. 800 53,900
Transnational Re Corp. Class A+ 1,700 38,144
Transport Holdings, Inc.+ 2 80
UNI Storebrand AS+ 13,600 68,557
Winterthur Schweizerische
Versicherungs-Gesellschaft 15 10,044
Zurich Versicherungs-Gesellschaft 65 18,588
-----------
818,967
-----------
Machinery & Equipment (1.7%)
Acme-Cleveland Corp. 1,700 37,188
Barnes Group, Inc. 900 33,750
Blount, Inc. Class A 1,000 43,375
Central Sprinkler Corp.+ 2,100 67,725
Entergy Corp. 600 17,100
FSI International, Inc.+ 900 21,488
Jenbacher Werke AG 100 16,145
Koyo Seiko Co. Ltd. 3,000 23,913
L.S. Starrett Co. Class A 800 18,300
Aetna Generation Funds Annual Report 11
<PAGE>
Landis & Gyr 10 $ 6,027
Regal Beloit 800 14,400
Tsubakimoto Chain 7,000 32,862
Tsukishima Kikai 1,000 19,561
-----------
351,834
-----------
Media & Entertainment (1.1%)
Belo (A.H.) Corp. Class A 1,000 34,625
Callaway Golf Co. 2,700 44,213
Genting Bhd 1,000 8,612
Granada Group Plc 1,500 16,000
GTECH Holdings Corp.+ 1,200 29,400
King World Productions, Inc.+ 600 20,925
Media General, Inc. 1,200 33,300
Mirage Resorts, Inc.+ 1,000 32,750
-----------
219,825
-----------
Medical Supplies (0.5%)
Baxter International, Inc. 400 15,450
CONMED Corp.+ 1,500 52,875
GC Companies, Inc.+ 900 29,025
North American Biologicals, Inc.+ 1,300 10,481
-----------
107,831
-----------
Metals & Mining (1.9%)
AK Steel Holding Corp. 500 15,500
Alcan Aluminum Ltd. 600 18,975
Aluminum Co. of America 200 10,200
Carpenter Technology Corp. 1,200 45,450
Cleveland-Cliffs, Inc. 700 26,163
Cyprus Amax Minerals Co. 800 20,900
Dofasco, Inc. 1,307 $ 16,523
Georg Fischer AG 10 13,814
J & L Specialty Steel, Inc. 2,000 32,750
Kennametal, Inc. 1,200 37,350
Kon. Ned. Hoogovens En 20 684
Lukens, Inc. 400 12,300
Magma Copper Co. 500 8,375
Mueller Industries, Inc.+ 800 18,800
Phelps Dodge Corp. 200 12,675
Reliance Steel & Aluminum Co. 2,400 39,900
Schnitzer Steel Industries, Inc. 1,700 45,688
Shiloh Industries, Inc.+ 300 3,319
Svenskt Stal AB 1,600 16,015
-----------
395,381
-----------
Oil & Gas (2.5%)
Alberta Energy Co Ltd.+ 700 10,929
Atlantic Richfield Co. 200 21,350
Belden & Blake Corp.+ 1,300 19,338
Burmah Castrol Plc 2,200 34,193
Camco International, Inc. 200 4,575
Chesapeake Energy Corp.+ 300 8,775
Conwest Exploration Co. Ltd. 900 15,809
Diamond Shamrock, Inc. 1,600 41,200
Exxon Corp. 800 61,100
Falconbridge Ltd. 600 13,216
Fina, Inc. Class A 700 31,238
Halliburton Co. 300 12,450
Imperial Oil Ltd. 3 125
Leviathan Gas Pipeline Partners
L.P. 1,600 39,800
Lufkin Industries, Inc. 700 13,125
Mobil Corp. 400 40,300
See Notes to Portfolio of Investments
12 Aetna Generation Funds Annual Report
<PAGE>
Occidental Petroleum Corp. 200 $ 4,300
Oneok, Inc. 900 21,938
Petro-Canada 1,600 17,249
Royal Dutch Petroleum Co. 400 49,150
RPC, Inc.+ 900 6,975
Smith International, Inc.+ 1,300 20,800
Sun Company, Inc. 100 2,863
Texaco 200 13,625
-----------
504,423
-----------
Paper & Containers (2.4%)
Abitibi Price, Inc. 500 8,736
Asia Pulp & Paper Co. Ltd.+ 4,000 41,000
Bobst SA 5 7,567
Champion International Corp. 200 10,700
Chesapeake Corp. 2,700 82,688
Consolidated Papers, Inc. 1,400 80,150
Georgia-Pacific Corp. 100 8,250
Greif Brothers Corp. Class A 200 5,025
Leykam-Muerztaler Papier+ 350 13,809
MacMillan Bloedel Ltd. 900 11,877
Mayr-Melnhof Karton AG 100 5,832
Mead Corp. 300 17,288
Rayoner, Inc. 1,200 45,000
Repola Oy 2,100 40,644
Stone-Consolidated Corp.+ 600 8,309
Stora Kopparbergs 1,200 14,540
Temple-Inland, Inc. 300 13,650
Willamette Industries, Inc. 1,100 64,075
-----------
479,140
-----------
Pharmaceuticals (1.3%)
Becton, Dickinson & Co. 300 $ 19,500
Bio-Rad Labs, Inc. Class A+ 500 19,000
Bristol-Myers Squibb Co. 400 30,500
Cor Therapeutics+ 600 6,150
Immulogic Pharmaceutical Corp.+ 100 1,163
Immunex Corp.+ 100 1,263
Johnson & Johnson 200 16,300
Merck & Co., Inc. 300 17,250
Pfizer, Inc. 1,000 57,375
Rhone-Poulenc Rorer, Inc. 1,000 47,125
Schering Plough 600 32,175
Watson Pharmaceuticals, Inc.+ 400 18,000
-----------
265,801
-----------
Printing & Publishing (0.9%)
Banta Corp. 1,100 47,850
Central Newspapers, Inc. Class A 1,100 32,450
Gannett Co., Inc. 200 10,875
New York Times Co 300 8,325
Plenum Publishing Corp. 300 10,725
Pulitzer Publishing Co. 1,300 58,825
Tribune Co. 200 12,625
Wiley (John) & Sons, Inc. Class A 200 5,950
-----------
187,625
-----------
Real Estate Investment Trusts (25.0%)
Associated Estates Realty Corp. 14,100 289,050
Beacon Properties Corp. 12,900 280,575
BRE Properties, Inc. Class A 11,100 355,200
Cali Realty Corp. 2,900 56,550
Aetna Generation Funds Annual Report 13
<PAGE>
CBL & Associates Properties, Inc. 10,100 $ 214,625
Chelsea GCA Realty, Inc. 9,800 271,950
Colonial Properties Trust 11,500 287,500
Cousins Properties, Inc. 6,500 112,938
Crescent Real Estate Equities, Inc. 9,200 294,400
Developers Diversified Realty Corp. 3,000 85,500
Duke Realty Investments, Inc. 8,500 260,313
Equity Inns, Inc. 4,900 56,963
Equity Residential Properties Trust 4,100 114,800
Essex Property Trust, Inc. 8,600 156,950
Evans Withycombe Residential, Inc. 9,300 175,538
Excel Realty Trust, Inc. 13,700 258,588
HGI Realty, Inc. 900 19,913
Highwood Properties, Inc. 11,000 292,875
JDN Realty Corp. 800 16,300
Kimco Realty Corp. 4,000 147,500
Kranzco Realty Trust 1,200 18,300
Oasis Residential, Inc. 10,200 221,850
Prime Residential, Inc. 4,000 70,750
Regency Realty Corp. 4,000 68,000
Sekisui House 2,000 23,082
Smith (Charles E.) Residential
Realty Co. 3,100 72,075
South West Property Trust 2,750 33,344
Spieker Properties, Inc. 12,200 295,850
Storage Equities, Inc. 16,100 295,838
Walden Residential Properties, Inc. 14,600 268,229
-----------
5,115,346
-----------
Retail (2.7%)
Argyll Group Plc 2,600 $ 13,210
Burton Group Plc 26,600 42,392
Claire's Stores, Inc. 2,000 39,250
Colruyt SA 150 37,997
Familymart 1,000 42,154
Fastenal Co. 700 24,369
General Host Corp.+ 5,600 27,300
Hannaford Brothers, Co. 1,700 44,413
Hudson's Bay Co. 500 9,340
Ito-Yokado Co. Ltd. 1,000 54,673
JUSCO Co. 3,000 70,419
Koninklijke Ahold N.V. 521 19,718
Merkur Holding AG 35 7,791
Neiman Marcus Group, Inc. 1,900 32,538
Robinson & Co. Ltd. 4,000 16,966
Sears Roebuck & Co. 400 13,600
Tesco Plc 271 1,283
Waban, Inc.+ 2,200 34,375
Zale Corp.+ 1,800 26,663
-----------
558,451
-----------
Telecommunications (0.8%)
Ameritech Corp. 800 43,200
Case Corp. 1,000 38,125
Computer Associates International,
Inc. 250 13,750
GN Store Nord AS 200 14,818
Holophane Corp.+ 500 13,531
Lincoln Telecommunications Co. 2,400 41,700
Mobile Telecommunications
Technologies Corp.+ 100 2,850
-----------
167,974
-----------
See Notes to Portfolio of Investments
14 Aetna Generation Funds Annual Report
<PAGE>
Transportation (2.4%)
Alaska Air Group, Inc.+ 300 $ 4,463
American President Co. Ltd. 1,600 38,800
AMR Corp.+ 200 13,200
Bergesen d.y. AS Class B 1,500 30,824
British Airways Plc 800 5,744
Comair Holdings, Inc. 2,250 63,422
Det Norske Luftfartselskap AS 500 23,118
East Japan Railway Co. 13 61,411
Expeditors International of
Washington, Inc. 500 13,313
Florida East Coast Industries, Inc. 400 26,750
Guidant Corp. 1,600 51,200
Hornbeck Offshore Services, Inc.+ 200 2,900
Kobenhavns Lufthavne AS 200 15,000
Kvaerner AS 600 25,237
Malaysian International Shipping 4,000 10,539
Peninsular & Orient Steam
Navigation Co. 3,900 29,661
PHH Corp. 900 39,375
Singapore Airlines Ltd. 3,000 27,782
-----------
482,739
-----------
Utilities - Electric (5.2%)
Boston Edison Co. 1,300 35,588
California Energy Company, Inc.+ 1,500 27,188
Centerior Energy Corp. 2,500 25,000
Consolidated Edison Co. of New
York, Inc. 500 15,188
DQE, Inc. 700 19,250
Elektrowatt AG 30 9,054
General Public Utilities Corp. 900 $ 28,125
Hokkaido Electric Power Co. 2,000 46,359
Illinova Corp. 1,400 39,725
Interstate Power Co. (Del.) 700 20,300
Korea Electric Power ADR+ 2,000 49,500
LG&E Corp. 1,200 49,800
MDU Resources Group, Inc. 2,550 53,869
National Power Plc ADR 550 6,875
New England Electric System 900 35,100
New York State Electric & Gas Corp. 1,500 37,875
Nipsco Industries, Inc. 1,100 40,150
Northeast Utilities 800 19,800
Oklahoma Gas & Electric 900 36,000
Orange & Rockland Utilities, Inc. 1,300 45,663
Pacific Gas & Electric Co. 800 23,500
Peco Energy Co. 700 20,475
Pinnacle West Capital Corp. 2,500 68,750
Portland General Corp. 1,500 40,688
Powergen Plc ADR 550 9,144
Reunies Electrobel & Tractebel 150 54,873
San Diego Gas & Electric Co. 1,700 39,525
SCEcorp 1,400 23,800
Sierra Pacific Resources 2,400 56,100
Transalta Corp. 1,600 17,249
Unicom Corp. 700 22,925
Aetna Generation Funds Annual Report 15
<PAGE>
United Illuminating Co. 200 $ 7,600
Western Resources, Inc. 600 20,175
-----------
1,045,213
-----------
Utilities - Oil & Gas (1.7%)
Atlanta Gas Light Co. 800 30,900
Brooklyn Union Gas Co. (The) 1,800 45,225
Connecticut Energy Corp. 700 13,563
Energen Corp. 2,500 56,563
Mitchell Energy & Development Corp. 3,300 53,625
New Jersey Resources Corp. 1,100 27,500
OEMV AG 300 25,882
Petronas Gas Bhd+ 4,000 13,527
Union Texas Petroleum Holdings,
Inc. 1,500 27,000
Valero Energy Corp. 500 11,813
Washington Gas Light Co. 100 1,913
Wicor, Inc. 1,000 29,625
Williams Co., Inc. 200 7,725
-----------
344,861
-----------
Utilities - Telephone (1.2%)
AT&T Corp. 200 12,800
Bell Atlantic Corp. 200 12,725
BellSouth Corp. 200 15,300
Cable & Wireless Plc 5,700 37,235
Citizens Utilities Co.+ 1,360 14,960
DDI Corp. 3 24,324
Nippon Telephone & Telegraph Corp. 6 49,235
SBC Communications, Inc. 300 16,763
Southern New England Telecom. Corp. 1,100 $ 39,738
Sprint Corp. 800 30,800
-----------
253,880
-----------
Utilities - Water (0.2%)
SJW Corp. 500 17,563
Welsh Water Plc 1,833 21,783
-----------
39,346
-----------
Total Common Stocks
(cost $17,390,119) $18,860,443
-----------
Preferred Stocks (0.0%)
Utilities - Water (0.0%)
Welsh Water Plc 1,980 $ 3,249
-----------
Total Preferred Stocks
(cost $3,223) $ 3,249
-----------
Warrants (0.1%)
Morgan Stanley American Express
Hong Kong+ 8,000 $ 36,000
-----------
Total Warrants
(cost $39,390) $ 36,000
-----------
Principal Market
Amount Value
-------- -----------
U.S. Treasury Notes (2.1%)
U.S. Treasury Note, 9.25%, 01/15/96 $325,000 $ 327,373
U.S. Treasury Note, 5.125%,
03/31/96+++ 100,000 99,875
-----------
Total U.S. Treasury Notes
(cost $426,722) $ 427,248
-----------
Short Term Investments (5.5%)
Banc One Corp., Comm. Paper, 5.85%,
11/01/95 737,000 737,000
General Signal Corp., Comm. Paper,
5.85%, 11/07/95++ 350,000 349,659
See Notes to Portfolio of Investments
16 Aetna Generation Funds Annual Report
<PAGE>
Principal Market
Amount Value
-------- ------------
Mitsubishi Bank,
Corp. Note, 3.00%,
11/30/02 $40,000 $ 41,626
------------
Total Short Term Investments
(cost $1,126,659) $ 1,128,285
------------
Total Investments
(cost $18,986,113) (a) $20,455,225
Other assets less liabilities (22,283)
------------
Total Net Assets $20,432,942
------------
Notes to Portfolio of Investments
+ Non-income producing security
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the
Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of
Directors.
+++ Security pledged to cover initial margin deposits on open futures
contracts at October 31, 1995.
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at October 31,
1995 are as follows:
Unrealized gains $1,891,427
Unrealized losses (422,315)
-----------
Net unrealized gain $1,469,112
===========
See Notes to Financial Statements.
Category percentages are based on net assets.
Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- -------- --------- ------------
All Ordinaries Share Price
Index 3 $121,656 12/29/95 $ (5,249)
German DAX Index Future 2 310,644 12/14/95 (16,261)
Long-Term German Bonds
Future 2 323,208 12/06/95 7,243
CAC 40 Stock Index Future 1 75,283 12/29/95 (3,904)
Italian Government Bonds
Future 2 251,109 12/04/95 201
Hang Seng Index Future 2 126,678 11/29/95 65
------------
$(17,905)
============
Aetna Generation Funds Annual Report 17
<PAGE>
Portfolio of Investments
October 31, 1995
-----------------------------------------------------------------------------
Crossroads Fund
-----------------------------------------------------------------------------
Number
of Market
Shares Value
-------- ------------
Common Stocks (76.2%)
Aerospace & Defense (0.1%)
McDonnell Douglas Corp. 300 $ 24,525
------------
Apparel (0.3%)
Chic By H I S, Inc.+ 2,800 15,400
Coats Viyella Plc 8,100 23,900
Nike, Inc. 200 11,350
Oshkosh B'Gosh, Inc. 300 4,013
Phillips-Van Heusen 700 7,088
VF Corp. 100 4,788
------------
66,539
------------
Autos & Auto Equipment (0.7%)
Autoliv AB 200 11,470
Borg Warner Automotive, Inc. 900 26,550
Kaydon Corp. 700 20,213
Mitsubishi Motors Corp. 3,000 24,999
Smith (A.O.) Corp. 1,000 20,750
Snap-On, Inc. 200 8,475
Varity Corp.+ 300 10,875
Volvo AB Class B 600 13,502
------------
136,834
------------
Banks (4.6%)
AMMB Holdings Bhd 1,000 12,387
Bank of Montreal 1,200 26,543
Bank of New York Co., Inc. 700 29,400
BankAmerica Corp. 400 23,000
Banque Bruxelles Lambert SA 200 33,234
Canadian Imperial Bank of Commerce 1 25
Chemical Banking Corp. 300 17,063
CITICORP 400 $ 25,950
City National Corp. 4,700 62,275
Coast Savings Financial, Inc.+ 700 18,463
Commerce Asset Holding Bhd 4,000 19,819
Cullen/Frost Bankers, Inc. 1,000 50,625
Development Bank of Singapore Ltd. 1,000 11,452
F & M Bancorp 110 2,874
First American Corp. (Tenn.) 700 30,669
First Chicago Corp. 300 20,363
First Citizens Bancshares Class A 100 5,300
First Interstate Bancorp 100 12,900
Firstbank of Illinois Co. 500 14,938
HSBC Holdings Plc 1,888 27,646
JSB Financial, Inc. 1,000 30,813
Kagoshima Bank 2,000 14,866
Keycorp 600 20,250
Mellon Bank Corp. 100 5,013
Michigan National Corp. 100 10,988
National City Bancshares, Inc. 300 13,706
NationsBank, Inc. 500 32,875
Northern Trust Corp. 400 19,000
Provident Bancorp 900 37,800
Queens County Bancorp, Inc. 300 12,075
Reliance Bancorp 500 7,281
River Forest Bancorp, Inc. 1,600 37,400
Royal Bank of Canada 400 8,959
Silicon Valley Bancshares+ 2,000 39,250
Star Banc Corp. 600 33,225
See Notes to Portfolio of Investments
18 Aetna Generation Funds Annual Report
<PAGE>
Suffolk Bancorp 300 $ 10,650
Sumitomo Bank of California 100 2,350
Susquehanna Bancshares, Inc. 1,300 37,863
Union Bank 1,000 50,250
Union Planters Corp. 1,700 52,063
White River Corp.+ 300 10,688
------------
932,291
------------
Building Materials & Construction (2.4%)
American Buildings Co.+ 900 22,613
Champion Enterprises, Inc.+ 2,400 62,100
Continental Homes Holding Corp. 200 4,100
Elcor Corp. 200 4,200
Fujita Corp. 6,000 27,287
Granite Construction, Inc. 1,900 54,150
International Aluminum Corp. 300 9,113
Kon. Volker Stevin N.V. 250 16,059
Lindab AB Class B 800 17,415
Metra Oy Class B 800 34,659
Nippon Densetsu Kogyo 3,000 28,608
Puerto Rican Cement Co., Inc. 700 23,013
Pulte Corp. 200 6,325
Redman Industries, Inc.+ 1,200 31,500
Sanki Engineering 2,000 19,365
Security Capital Industrial Trust 1,400 22,925
Texas Industries, Inc. 500 26,313
Toll Brothers, Inc.+ 400 7,150
Tredegar Industries, Inc. 1,000 29,125
Webb (Del E.) Corp. 400 8,300
WHX Corp.+ 1,000 $ 10,375
Wing Tai Holdings 12,000 20,783
------------
485,478
------------
Chemicals (2.2%)
ARCO Chemical Co. 700 34,300
Dow Chemical Co. 200 13,725
du Pont (E.I.) de Nemours 200 12,475
Dyno Industrier AS 500 10,114
Eastman Chemical Co. 100 5,950
Fuji Photo Film 1,000 24,744
Geon Co. (The) 1,800 44,775
Great Lakes Chemical Corp. 200 13,425
Lyondell Petrochemical Co. 1,800 38,475
Norsk Hydro AS 1,300 51,758
Novellus Systems, Inc.+ 400 27,500
PPG Industries, Inc. 300 12,750
Sekisui Chemical Co. 3,000 39,024
Sigma-Aldrich Corp. 100 4,775
Solvay SA Class A 50 25,193
Union Carbide Corp. 500 18,938
Vigoro Corp. 800 34,700
Wellman, Inc. 1,100 25,850
------------
438,471
------------
Commercial Services (0.7%)
CPI Corp. 1,500 27,375
GATX Corp. 400 19,000
Inchcape Plc 4,697 23,198
Manpower, Inc. 1,100 29,838
Robert Half International, Inc.+ 400 14,600
Royal PTT Nederland N.V. 526 18,475
WMX Technologies, Inc. 400 11,250
------------
143,736
------------
Aetna Generation Funds Annual Report 19
<PAGE>
Computer Software (1.4%)
Acxiom Corp.+ 400 $ 11,900
Boole & Babbage, Inc.+ 100 3,638
Borland International, Inc.+ 700 9,494
Cadence Design Systems, Inc.+ 2,700 87,075
Cirrus Logic, Inc.+ 1,000 42,063
Electronic Arts, Inc.+ 600 22,013
Hogan Systems, Inc.+ 4,600 41,113
Hyperion Software+ 100 4,888
Kronos, Inc.+ 100 4,688
Micro Warehouse, Inc.+ 300 13,425
Reynolds & Reynolds Co. Class A 1,000 35,625
Softdesk, Inc.+ 100 2,288
------------
278,210
------------
Computers & Office Equipment (1.8%)
Acma Ltd. 4,000 13,007
CANON, Inc. 1,000 17,116
Ceridian Corp.+ 700 30,450
Comdisco, Inc. 1,200 36,600
Compaq Computer Corp.+ 200 11,150
Dell Computer Corp.+ 1,000 46,563
Fujitsu Ltd. 3,000 35,796
HBO & Co. 100 7,063
In Focus Systems, Inc.+ 1,500 49,313
International Business Machines Corp. 200 19,450
Komag, Inc.+ 200 11,413
Microsoft Corp.+ 100 10,006
Read-Rite Corp.+ 2,100 73,369
Sun Microsystems, Inc.+ 100 7,813
------------
369,109
------------
Consumer Products (0.3%)
Alberto-Culver Co. Class B 200 $ 6,275
Block Drug Co., Inc. 1,000 38,625
Liz Claiborne, Inc. 300 8,513
Reckitt & Coleman Plc 1,261 13,391
------------
66,804
------------
Diversified (1.8%)
Alusuisse-Lonza Holding AG 10 7,637
Brady (WH) Co. 300 21,900
Dover Corp. 500 19,750
Harrisons & Crosfield Plc 10,231 23,408
Harsco Corp. 700 36,925
Illinois Tool Works, Inc. 100 5,813
Johnson Controls, Inc. 100 5,825
Katy Industries 5,600 57,400
Lonrho Plc 4,400 10,865
Opal, Inc.+ 200 3,025
Oriental Holdings Bhd 3,000 13,803
Polaris Industries, Inc. 1,950 54,600
SPS Technologies, Inc.+ 1,000 39,000
Textron, Inc. 300 20,625
Varlen Corp. 1,610 43,470
------------
364,046
------------
Electrical & Electronics (3.7%)
Applied Materials, Inc.+ 200 10,038
Austria Mikro Systeme International 250 46,291
Cohu, Inc. 100 3,088
Cypress Semiconductor Corp.+ 1,200 42,300
Dallas Semiconductor Corp. 500 10,625
Hewlett Packard Co. 300 27,788
See Notes to Portfolio of Investments
20 Aetna Generation Funds Annual Report
<PAGE>
Hitachi Koki 4,000 $ 35,679
Intel Corp. 100 6,994
Kyocera Corp. 1,000 81,960
Lam Research Corp.+ 500 30,438
Logicon, Inc. 1,800 41,175
Matsushita Electric Industrial Co. Ltd. 2,000 28,363
Micron Technology, Inc. 100 7,063
Nintendo Co. Ltd. 1,000 73,549
Nokia AB Class A 1,100 62,937
Novo-Nordisk AS 100 12,714
Phillips Electronics N.V. 600 23,163
Quickturn Design System, Inc.+ 800 8,200
Ramtron International Corp.+ 100 1,006
Rohm Co. 1,000 60,736
Seagate Technology, Inc.+ 1,200 53,700
Siliconix, Inc.+ 300 8,700
Telefonaktiebolaget 550 11,673
Tencor Instruments+ 300 12,825
Unitrode Corp.+ 600 16,125
Varian Associates, Inc. 800 41,100
------------
758,230
------------
Electrical Equipment (2.8%)
Adflex Solutions, Inc.+ 1,500 39,188
Allgon AB Class B 500 7,564
Arrow Electronics, Inc.+ 900 45,675
Avnet, Inc. 700 35,263
Draka Holding N.V. 500 13,765
FPL Group, Inc. 300 12,563
General Electric Co. 400 25,300
Hitachi Ltd. (Hit. Seisakusho) 4,000 41,078
International Rectifier Corp.+ 900 $ 40,613
Kemet Corp.+ 600 20,550
Kent Electronics Corp.+ 1,000 48,750
Marshall Industries+ 1,200 42,300
Mentor Graphics Corp.+ 2,000 42,250
Park Electrochemical Corp. 1,200 37,500
Sundstrand Corp. 1,300 79,625
Texas Instruments, Inc. 600 40,950
------------
572,934
------------
Financial Services (3.3%)
Abbey National Plc 1,600 13,519
ABN Amro Holding N.V. 400 16,784
Alex Brown & Sons, Inc. 1,100 53,763
Banponce Corp. 200 7,725
Barclays Plc 1,300 15,241
BayBanks, Inc. 500 40,438
Bear Stearns Co., Inc. 1,800 35,775
BHC Financial, Inc. 3,000 55,125
Citizens Bancorp 1,500 49,313
CNA Financial Corp.+ 100 11,400
Creditanstalt-Bankverein 350 17,447
Crestar Financial Corp. 300 17,100
Dean Witter Discover and Co. 100 4,975
Den Danske Bank 300 19,866
Greenpoint Financial Corp. 300 8,138
Household International, Inc. 100 5,625
Internationale Nederland 200 11,911
Jyske Bank AS 200 13,098
Leader Financial Corp. 800 28,600
Lion Land Bhd 9,000 9,733
Merrill Lynch & Co., Inc. 300 16,650
Aetna Generation Funds Annual Report 21
<PAGE>
Morgan Keegan, Inc. 1,200 $ 13,050
Orient Corp. 3,000 13,614
Oversea-Chinese Banking 1,000 11,735
Park National Corp. 100 4,525
Promise Co. Ltd. 200 7,883
RCSB Financial, Inc. 200 4,463
Schweizerische Bankverein 30 12,301
Societe Generale De Belg 300 22,570
Svenska Handelsbanke 800 14,029
TR Financial Corp. 600 14,925
Travelers, Inc. 500 25,250
United Carolina Bancshares, Inc. 1,000 35,750
United Overseas Bank Ltd. 2,400 21,038
Yasuda Trust & Banking 2,000 8,939
------------
662,298
------------
Food & Beverages (2.6%)
Cadbury Schweppes Plc 3,200 26,408
Cerebos Pacific Ltd. 2,000 12,442
Coca-Cola Co. 200 14,375
ConAgra, Inc. 700 27,038
CPC International Inc. 400 26,550
Danisco AS 300 13,665
Hillsdown Holdings Plc 6,976 18,492
Hometown Buffet, Inc.+ 100 1,294
Hormel Foods Corp. 800 18,400
Huhtamaki Group Class I 300 8,900
IBP, Inc. 900 53,888
International Multifoods Corp. 1,500 30,750
Katokichi 2,000 36,579
Kikkoman 3,000 21,419
Kroger Co. (The)+ 300 10,013
McDonald's Corp. 700 $ 28,700
Molson Companies Ltd. 800 12,862
Mondavi (Robert) Corp.+ 600 17,025
Morningstar Group, Inc.+ 100 800
Nestle SA Registered 10 10,471
Oester Brau-Beteiligungs 350 17,976
PepsiCo, Inc. 800 42,200
Safeway, Inc.+ 700 33,075
Sara Lee Corp. 300 8,813
Superfos AS 200 17,744
Supervalu, Inc. 600 18,450
------------
528,329
------------
Health Services (1.0%)
Columbia/HCA Healthcare Corp. 100 4,913
Invacare Corp. 1,400 35,000
Lincare Holdings, Inc.+ 1,200 30,075
Mine Safety Appliances Co. 500 25,375
Moore Corp. Ltd. 900 17,213
Nellcor, Inc.+ 600 34,650
Quorum Health Group, Inc.+ 500 10,781
Universal Health Services, Inc.+ 1,100 41,250
------------
199,257
------------
Home Furnishings (0.2%)
Electrolux AB 300 12,824
Leggett & Platt, Inc. 1,200 28,800
------------
41,624
------------
Hotels & Restaurants (0.3%)
Compass Group Plc 2,900 19,676
Hotel Properties Ltd. 7,000 10,590
Marriott International Inc. 300 11,063
Prime Hospitality Corp.+ 1,200 11,850
------------
53,179
------------
See Notes to Portfolio of Investments
22 Aetna Generation Funds Annual Report
<PAGE>
Household Products (0.2%)
National Presto Industries, Inc. 300 $ 12,150
Oneida Ltd. 300 4,950
Premark International, Inc. 300 13,875
------------
30,975
------------
Insurance (3.5%)
Aegon N.V. 576 21,836
AFLAC, Inc. 1,200 48,900
Alleghany Corp. 300 53,850
Allstate Corp. 400 14,700
American Bankers Insurance Group 1,600 57,200
Baloise Holding Ltd. 5 10,251
Capital American Financial Corp. 100 1,963
Chubb Corp. 100 8,988
CMAC Investment Corp. 400 19,000
Commerce Group, Inc. 300 6,094
EA-Generali AG 50 13,673
Fremont General Corp. 600 17,400
Fund American Enterprises, Inc.+ 390 26,910
General Re Corp. 100 14,488
Guardian Royal Exchange Plc 5,200 18,790
Home Beneficial Corp. Class B 400 9,850
Kansas City Life Insurance Co. 500 26,000
Loews Corp. 300 43,988
Maxicare Health Plans, Inc.+ 3,300 57,750
Orion Capital Corp. 400 16,400
Reinsurance Group of America 1,600 $ 55,000
Royal Insurance Holdings Plc 1,600 9,871
State Auto Financial Corp. 900 20,081
Transatlantic Holdings, Inc. 800 53,900
Transnational Re Corp. Class A+ 800 17,950
Transport Holdings, Inc.+ 2 80
UNI Storebrand AS+ 10,100 50,913
Winterthur Schweizerische
Versicherungs-Gesellschaft 10 6,696
Zurich Versicherungs-Gesellschaft 50 14,298
------------
716,820
------------
Machinery & Equipment (1.6%)
Acme-Cleveland Corp. 1,600 35,000
Barnes Group, Inc. 800 30,000
Blount, Inc. Class A 900 39,038
Central Sprinkler Corp.+ 1,700 54,825
Christiana Co.+ 700 18,463
Entergy Corp. 900 25,650
Fluor Corp. 100 5,650
FSI International, Inc.+ 800 19,100
Jenbacher Werke AG 50 8,072
Koyo Seiko Co. Ltd. 2,000 15,942
L.S. Starrett Co. Class A 700 16,013
Landis & Gyr 10 6,027
Regal Beloit 700 12,600
Tsubakimoto Chain 4,000 18,778
Tsukishima Kikai 1,200 23,473
------------
328,631
------------
Media & Entertainment (1.0%)
Belo Corp. Class A 900 31,163
Callaway Golf Co. 2,200 36,025
Aetna Generation Funds Annual Report 23
<PAGE>
Genting Bhd 3,000 $ 25,836
Granada Group Plc 800 8,533
GTECH Holdings Corp.+ 1,000 24,500
King World Productions, Inc.+ 600 20,925
Media General, Inc. 1,100 30,525
Mirage Resorts, Inc.+ 900 29,475
------------
206,982
------------
Medical Supplies (0.5%)
Baxter International, Inc. 400 15,450
CONMED Corp.+ 1,400 49,350
GC Companies, Inc.+ 800 25,800
North American Biologicals, Inc.+ 900 7,256
------------
97,856
------------
Metals & Mining (2.0%)
AK Steel Holding Corp. 400 12,400
Alcan Aluminum Ltd. 1,200 37,990
Allegheny Ludlum Corp. 700 11,813
Aluminum Co. of America 200 10,200
Carpenter Technology Corp. 600 22,725
Cleveland-Cliffs, Inc. 700 26,163
Cyprus Amax Minerals Co. 400 10,450
Dofasco, Inc. 500 6,320
Georg Fischer AG 5 6,907
J & L Specialty Steel, Inc. 1,900 31,113
Kennametal, Inc. 1,100 34,238
Lukens, Inc. 300 9,225
Magma Copper Co. 500 8,375
Mueller Industries, Inc.+ 600 14,100
Phelps Dodge Corp. 700 44,363
Rautaruukki Oy 4,800 26,333
Reliance Steel & Aluminum Co. 2,200 $ 36,575
Santa Fe Pacific Gold Corp. 300 2,963
Schnitzer Steel Industries, Inc. 1,600 43,000
Shiloh Industries, Inc.+ 300 3,319
Svenskt Stal AB 1,400 14,013
------------
412,585
------------
Oil & Gas (2.2%)
Alberta Energy Co Ltd.+ 700 10,929
Atlantic Richfield Co. 100 10,675
Burmah Castrol Plc 1,600 24,868
Camco International, Inc. 200 4,575
Chesapeake Energy Corp.+ 300 8,775
Diamond Shamrock, Inc. 500 12,875
Edisto Resources Corp.+ 900 5,625
Exxon Corp. 700 53,463
Fina, Inc. Class A 600 26,775
Halliburton Co. 500 20,750
Imperial Oil Ltd. 3 94
Leviathan Gas Pipeline Partners L.P. 1,500 37,313
Lufkin Industries, Inc. 600 11,250
Mobil Corp. 400 40,300
Occidental Petroleum Corp. 400 8,600
Oneok, Inc. 800 19,500
Panhandle Eastern Corp. 200 5,050
Petro-Canada 1,400 15,093
Petrofina SA 150 46,487
Royal Dutch Petroleum Co. 400 49,150
RPC, Inc.+ 800 6,200
Smith International, Inc.+ 1,200 19,200
Sun Company, Inc. 100 2,863
Texaco 200 13,625
------------
454,035
------------
See Notes to Portfolio of Investments
24 Aetna Generation Funds Annual Report
<PAGE>
Paper & Containers (2.1%)
Abitibi Price, Inc. 500 $ 8,736
Asia Pulp & Paper Co. Ltd.+ 3,000 30,750
Bobst SA 5 7,567
Champion International Corp. 200 10,700
Chesapeake Corp. 2,400 73,500
Consolidated Papers, Inc. 1,000 57,250
Georgia-Pacific Corp. 100 8,250
Greif Brothers Corp. Class A 200 5,025
Leykam-Muerztaler Papier+ 500 19,727
MacMillan Bloedel Ltd. 800 10,558
Mayr-Melnhof Karton AG 200 11,665
Mead Corp. 300 17,288
Rayoner, Inc. 1,100 41,250
Repola Oy 1,300 25,161
Stone-Consolidated Corp.+ 600 8,309
Stora Kopparbergs 1,000 12,117
Temple-Inland, Inc. 400 18,200
Willamette Industries, Inc. 1,000 58,250
------------
424,303
------------
Pharmaceuticals (1.2%)
Becton, Dickinson & Co. 300 19,500
Bio-Rad Labs, Inc. Class A+ 500 19,000
Bristol-Myers Squibb Co. 300 22,875
Cor Therapeutics+ 600 6,150
Immulogic Pharmaceutical Corp.+ 100 1,163
Immunex Corp.+ 100 1,263
Johnson & Johnson 200 16,300
Merck & Co., Inc. 300 17,250
Pfizer, Inc. 600 34,425
Rhone-Poulenc Rorer, Inc. 900 $ 42,413
Schering Plough 500 26,813
Watson Pharmaceuticals, Inc.+ 300 13,500
Yamanouchi Pharmaceuticals 1,000 22,299
------------
242,951
------------
Printing & Publishing (0.8%)
Banta Corp. 900 39,150
Central Newspapers, Inc. Class A 1,000 29,500
Gannett Co., Inc. 200 10,875
Plenum Publishing Corp. 300 10,725
Pulitzer Publishing Co. 1,150 52,038
Tribune Co. 200 12,625
Wiley (John) & Sons, Inc. Class A 200 5,950
------------
160,863
------------
Real Estate Investment Trusts (20.2%)
Associated Estates Realty Corp. 13,200 270,600
Beacon Properties Corp. 10,100 219,675
BRE Properties, Inc. Class A 1,500 48,000
Cali Realty Corp. 2,700 52,650
CBL & Associates Properties, Inc. 9,400 199,750
Chelsea GCA Realty, Inc. 7,800 216,450
Colonial Properties Trust 9,400 235,000
Cousins Properties, Inc. 6,000 104,250
Crescent Real Estate Equities, Inc. 6,600 211,200
Developers Diversified Realty Corp. 2,800 79,800
Duke Realty Investments, Inc. 7,800 238,875
Aetna Generation Funds Annual Report 25
<PAGE>
Equity Inns, Inc. 5,800 $ 67,425
Equity Residential Properties Trust 3,000 84,000
Essex Property Trust, Inc. 11,400 208,050
Evans Withycombe Residential, Inc. 9,500 179,313
Excel Realty Trust, Inc. 10,900 205,738
HGI Realty, Inc. 800 17,700
Highwood Properties, Inc. 8,700 231,638
JDN Realty Corp. 2,100 42,788
Kimco Realty Corp. 3,400 125,375
Kranzco Realty Trust 1,200 18,300
Prime Residential, Inc. 2,000 35,375
Oasis Residential, Inc. 9,500 206,625
Regency Realty Corp. 2,100 35,700
Sekisui House 2,000 23,082
Smith (Charles E.) Residential Realty Co. 1,700 39,525
South West Property Trust 2,250 27,281
Spieker Properties, Inc. 9,700 235,225
Storage Equities, Inc. 12,900 237,038
Walden Residential Properties, Inc. 11,700 214,941
------------
4,111,369
------------
Retail (1.8%)
Argyll Group Plc 2,100 10,670
Blair Corp. 100 2,950
Burton Group Plc 19,400 30,917
Circuit City Stores, Inc. 100 3,338
Claire's Stores, Inc. 1,600 31,400
Fastenal Co. 600 20,888
General Host Corp.+ 5,200 25,350
Hannaford Brothers Co. 1,600 41,800
Hudson's Bay Co. 500 9,340
JUSCO Co. 2,000 $ 46,946
Koninklijke Ahold N.V. 622 23,540
Longs Drug Stores, Inc. 200 8,000
Merkur Holding AG 30 6,678
Neiman Marcus Group, Inc. 1,800 30,825
Robinson & Co. Ltd. 3,000 12,724
Sears Roebuck & Co. 300 10,200
Tesco Plc 198 937
Waban, Inc.+ 1,800 28,125
Zale Corp.+ 1,700 25,181
------------
369,809
------------
Telecommunications (0.7%)
Ameritech Corp. 800 43,200
Case Corp. 800 30,500
Computer Associates International, Inc. 250 13,750
GN Store Nord AS 200 14,818
Holophane Corp.+ 400 10,825
Lincoln Telecommunications Co. 1,800 31,275
Mobile Telecommunications Technologies Corp.+ 100 2,850
------------
147,218
------------
Transportation (1.3%)
Alaska Air Group, Inc.+ 100 1,488
American President Co. Ltd. 1,400 33,950
AMR Corp.+ 100 6,600
Bergesen d.y. AS Class B 1,300 26,714
British Airways Plc 400 2,872
Det Norske Luftfartselskap AS 400 18,494
East Japan Railway Co. 7 33,068
See Notes to Portfolio of Investments
26 Aetna Generation Funds Annual Report
<PAGE>
Expeditors International of Washington, Inc. 400 $ 10,650
Florida East Coast Industries, Inc. 400 26,750
Flughafen Wien AG 300 19,253
Guidant Corp. 500 16,000
Hornbeck Offshore Services, Inc.+ 200 2,900
Kobenhavns Lufthavne AS 200 15,000
Peninsular & Orient Steam Navigation Co. 2,800 21,295
PHH Corp. 300 13,125
Singapore Airlines Ltd. 2,000 18,521
------------
266,680
------------
Utilities - Electric (3.9%)
Boston Edison Co. 1,000 27,375
California Energy Company, Inc.+ 1,400 25,375
Consolidated Edison Co. of New York, Inc. 600 18,225
DQE, Inc. 650 17,875
Elektrowatt AG 30 9,054
General Public Utilities Corp. 900 28,125
Hawaiian Electric Industries, Inc. 1,000 39,000
Hokkaido Electric Power Co. 1,000 23,180
Illinova Corp. 1,100 31,213
Interstate Power Co. (Del.) 1,600 46,400
Korea Electric Power ADR+ 1,000 24,750
LG&E Corp. 900 37,350
National Power Plc ADR 900 11,250
New England Electric System 600 23,400
New York State Electric & Gas Corp. 1,200 $ 30,300
Nipsco Industries, Inc. 900 32,850
Northeast Utilities 700 17,325
Oklahoma Gas & Electric 800 32,000
Orange & Rockland Utilities, Inc. 1,200 42,150
Pacific Gas & Electric Co. 700 20,563
Peco Energy Co. 400 11,700
Pinnacle West Capital Corp. 2,300 63,250
Portland General Corp. 800 21,700
Powergen Plc ADR 900 14,963
Reunies Electrobel & Tractebel 50 18,291
San Diego Gas & Electric Co. 500 11,625
SCEcorp 1,300 22,100
Sierra Pacific Resources 2,300 53,763
Transalta Corp. 800 8,625
Unicom Corp. 700 22,925
United Illuminating Co. 200 7,600
Western Resources, Inc. 400 13,450
------------
807,752
------------
Utilities - Oil & Gas (1.6%)
Atlanta Gas Light Co. 1,000 38,625
Brooklyn Union Gas Co. (The) 500 12,563
Connecticut Energy Corp. 500 9,688
Energen Corp. 2,300 52,038
Getty Petroleum Corp. 300 3,975
Indiana Energy, Inc. 1,100 23,238
Mitchell Energy & Development Corp. 3,100 50,375
New Jersey Resources Corp. 1,000 25,000
Aetna Generation Funds Annual Report 27
<PAGE>
OEMV AG 250 $ 21,569
Petronas Gas Bhd+ 3,000 10,146
Union Texas Petroleum Holdings, Inc. 1,200 21,600
Valero Energy Corp. 1,500 35,438
Washington Gas Light Co. 100 1,913
Wicor, Inc. 800 23,700
Williams Co., Inc. 200 7,725
------------
337,593
------------
Utilities - Telephone (1.3%)
AT&T Corp. 400 25,600
Bell Atlantic Corp. 200 12,725
BellSouth Corp. 400 30,600
Cable & Wireless Plc 4,100 26,783
Citizens Utilities Co.+ 1,249 13,739
DDI Corp. 3 24,324
Nippon Telephone & Telegraph Corp. 3 24,617
SBC Communications, Inc. 600 33,525
Southern New England Telecommunications Corp. 1,000 36,125
Sprint Corp. 700 26,950
------------
254,988
------------
Utilities - Water (0.1%)
SJW Corp. 400 14,050
Welsh Water Plc 1,333 15,842
------------
29,892
------------
Total Common Stocks
(cost $14,233,299) $15,523,196
------------
Preferred Stocks (0.0%)
Utilities - Water (0.0%)
Welsh Water Plc 1,440 $ 2,363
------------
Total Preferred Stocks
(cost $2,344) $ 2,363
------------
Warrants (0.1%)
Morgan Stanley American Express Hong Kong
Warrants+ 6,000 27,000
------------
Total Warrants
(cost $29,543) $ 27,000
------------
Principal Market
Amount Value
-------- ------------
Long Term Bonds & Notes (8.3%)
U.S. Treasury Securities (8.1%)
U.S. Treasury Note, 5.125%, 03/31/96+++ 100,000 $ 99,875
U.S. Treasury Note, 9.25%, 11/15/96 675,000 679,928
U.S. Treasury Note, 7.25%, 05/15/04 800,000 865,750
------------
1,645,553
------------
Corporate Obligations (0.2%)
Mitsubishi Bank, Corp. Note, 3.00%, 11/30/02 30,000 31,220
------------
Total Long Term Bonds & Notes
(cost $1,646,378) $ 1,676,773
------------
Short Term Investments (15.1%)
Banc One Corp., Comm. Paper, 5.85%, 11/01/95 211,000 $ 211,000
Dover Corp., Comm. Paper, 5.75%,
11/01/95++ 750,000 750,000
Fleetwood Credit Corp., Comm. Paper, 5.80%,
11/03/95++ 750,000 749,758
See Notes to Portfolio of Investments
28 Aetna Generation Funds Annual Report
<PAGE>
Principal Market
Amount Value
-------- ------------
Public Service Co. of
Colorado, Comm.
Paper, 5.85%,
11/06/95 750,000 $ 749,391
Quaker Oats Co.,
Comm. Paper, 5.80%,
11/09/95 625,000 624,194
------------
Total Short Term Investments
(cost $3,084,343) $ 3,084,343
------------
Total Investments
(cost $18,995,907)(a) $20,313,675
Other assets less liabilities 56,253
------------
Total Net Assets $20,369,928
------------
See Notes to Financial Statements
Notes to Portfolio of Investments
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the
Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of
Directors.
+++ Security pledged to cover initial margin deposits on open futures
contracts at October 31, 1995.
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at October 31,
1995 are as follows:
Unrealized gains $1,656,706
Unrealized losses (338,938)
-----------
Net unrealized gain $1,317,768
===========
Category percentages are based on net assets.
Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- -------- --------- ------------
All Ordinaries Share
Price Index 4 $162,208 12/29/95 $ (6,998)
Canada Government
Bonds Future 3 232,575 12/19/95 6,848
TSE 35 Index Future 1 90,848 12/14/95 (2,937)
German DAX Index
Future 2 310,644 12/14/95 (16,261)
Long-Term German Bonds
Future 2 323,208 12/06/95 7,243
CAC 40 Stock Index
Future 2 150,565 12/29/95 (7,807)
French Noton 1 114,414 12/18/95 347
Long Gilt Bonds Future 1 82,088 12/27/95 839
FTSE 100 Index Future 1 139,161 12/15/95 (1,854)
Italian Government
Bonds Future 2 250,969 12/04/95 351
10 Year Swiss Bonds
Future 2 180,922 12/18/95 5,403
Hang Seng Index Future 2 126,681 11/29/95 65
------------
$(14,761)
============
Aetna Generation Funds Annual Report 29
<PAGE>
Portfolio of Investments
October 31, 1995
-----------------------------------------------------------------------------
Legacy Fund
-----------------------------------------------------------------------------
Number
of Market
Shares Value
-------- ------------
Common Stocks (61.3%)
Aerospace & Defense (0.1%)
McDonnell Douglas Corp. 300 $24,525
------------
Apparel (0.2%)
Chic By H I S, Inc.+ 2,300 12,650
Coats Viyella Plc 5,400 15,934
Nike, Inc. 200 11,350
Oshkosh B'Gosh, Inc. 200 2,675
Phillips-Van Heusen 400 4,050
VF Corp. 100 4,788
------------
51,447
------------
Autos & Auto Equipment (0.4%)
Borg Warner Automotive, Inc. 700 20,650
Kaydon Corp. 500 14,438
Mitsubishi Motors Corp. 2,000 16,666
Smith (A.O.) Corp. 800 16,600
Varity Corp.+ 100 3,625
Volvo AB Class B 500 11,251
------------
83,230
------------
Banks (4.2%)
AMMB Holdings Bhd 1,000 12,387
Bank of Montreal 800 17,695
Bank of New York Co., Inc. 500 21,000
BankAmerica Corp. 400 23,000
Banque Bruxelles Lambert SA 300 49,852
Canadian Imperial Bank of
Commerce 1 25
Chemical Banking Corp. 300 17,063
CITICORP 300 19,463
City National Corp. 3,100 41,075
Coast Savings Financial,
Inc.+ 500 13,188
Commerce Asset Holding Bhd 3,000 $14,864
Cullen/Frost Bankers, Inc. 800 40,500
Development Bank of Singapore
Ltd. 2,000 22,904
F & M Bancorp 105 2,743
First American Corp. (Tenn.) 500 21,906
First Chicago Corp. 400 27,150
First Citizens Bancshares
Class A 100 5,300
First Interstate Bancorp 200 25,800
First Tennessee National
Corp. 600 32,250
Firstbank of Illinois Co. 400 11,950
HSBC Holdings Plc 1,364 19,973
JSB Financial, Inc. 800 24,650
Keycorp 500 16,875
Mellon Bank Corp. 100 5,013
Michigan National Corp. 100 10,988
National City Bancshares,
Inc. 200 9,138
NationsBank, Inc. 1,000 65,750
Northern Trust Corp. 300 14,250
Provident Bancorp 700 29,400
Queens County Bancorp, Inc. 300 12,075
River Forest Bancorp, Inc. 800 18,700
Royal Bank of Canada 500 11,199
Silicon Valley Bancshares+ 900 17,663
Star Banc Corp. 400 22,150
Suffolk Bancorp 300 10,650
Sumimoto Bank of California 100 2,350
UAL Corp.+ 150 26,381
Union Bank 800 40,200
See Notes to Portfolio of Investments
30 Aetna Generation Funds Annual Report
<PAGE>
Union Planters Corp. 1,300 $ 39,813
White River Corp.+ 300 10,688
------------
828,021
------------
Building Materials & Construction (1.9%)
American Buildings Co.+ 800 20,100
Champion Enterprises, Inc.+ 2,000 51,750
Continental Homes Holding
Corp. 200 4,100
Elcor Corp. 200 4,200
Fujita Corp. 4,000 18,192
Granite Construction, Inc. 1,500 42,750
International Aluminum Corp. 200 6,075
Kon. Volker Stevin N.V. 150 9,635
Lindab AB Class B+ 500 10,884
Metra Oy Class B 400 17,329
Nippon Densetsu Kogyo 2,000 19,072
Puerto Rican Cement Co., Inc. 600 19,725
Pulte Corp. 400 12,650
Redman Industries, Inc.+ 1,000 26,250
Sanki Engineering 2,000 19,365
Security Capital Industrial
Trust 1,000 16,375
Texas Industries, Inc. 400 21,050
Toll Brothers, Inc.+ 300 5,363
Tredegar Industries, Inc. 800 23,300
Webb (Del E.) Corp. 300 6,225
WHX Corp.+ 800 8,300
Wing Tai Holdings 8,000 13,856
------------
376,546
------------
Chemicals (1.5%)
ARCO Chemical Co. 600 29,400
Dow Chemical Co. 200 13,725
du Pont (E.I.) de Nemours 200 $ 12,475
Eastman Chemical Co. 100 5,950
Geon Company (The) 1,400 34,825
Great Lakes Chemical Corp. 200 13,425
Lyondell Petrochemical Co. 1,400 29,925
Norsk Hydro AS 700 27,870
Novellus Systems, Inc.+ 300 20,625
PPG Industries, Inc. 200 8,500
Sekisui Chemical Co. 2,000 26,016
Sigma-Aldrich Corp. 100 4,775
Union Carbide Corp. 600 22,725
Vigoro Corp. 700 30,363
Wellman, Inc. 900 21,150
------------
301,749
------------
Commercial Services (0.5%)
CPI Corp. 1,200 21,900
GATX Corp. 700 33,250
Inchcape Plc 1,444 7,132
Manpower, Inc. 800 21,700
Robert Half International,
Inc.+ 200 7,300
WMX Technologies, Inc. 300 8,438
------------
99,720
------------
Computer Software (1.2%)
Acxiom Corp.+ 300 8,925
Borland International, Inc.+ 600 8,138
Cadence Design Systems, Inc.+ 2,100 67,725
Cirrus Logic, Inc.+ 800 33,650
Electronic Arts, Inc.+ 500 18,344
Hogan Systems, Inc.+ 3,800 33,963
Aetna Generation Funds Annual Report 31
<PAGE>
Hyperion Software+ 100 $ 4,888
Kronos, Inc.+ 100 4,688
Micro Warehouse, Inc.+ 300 13,425
Reynolds & Reynolds Co. Class
A 700 24,938
Softdesk, Inc.+ 100 2,288
------------
220,972
------------
Computers & Office Equipment (1.7%)
Acma Ltd. 3,000 9,755
CANON, Inc. 1,000 17,116
Ceridian Corp.+ 900 39,150
Comdisco, Inc. 1,000 30,500
Compaq Computer Corp.+ 300 16,725
Dell Computer Corp.+ 800 37,250
Fujitsu Ltd. 2,000 23,864
In Focus Systems, Inc.+ 1,400 46,025
International Business
Machines Corp. 200 19,450
Komag, Inc.+ 200 11,413
Microsoft Corp.+ 100 10,006
Read-Rite Corp.+ 1,700 59,394
Sun Microsystems, Inc.+ 100 7,813
------------
328,461
------------
Consumer Products (0.1%)
Alberto-Culver Co. Class B 200 6,275
Liz Claiborne, Inc. 300 8,513
Reckitt & Coleman Plc 644 6,839
------------
21,627
------------
Diversified (1.6%)
Alusuisse-Lonza Holding AG 10 7,637
Brady (WH) Co. 300 21,900
Dover Corp. 500 $ 19,750
Harrisons & Crosfield Plc 7,493 17,144
Harsco Corp. 600 31,650
Illinois Tool Works, Inc. 100 5,813
Johnson Controls, Inc. 200 11,650
Katy Industries 4,400 45,100
Lonrho Plc 2,600 6,420
Opal, Inc.+ 100 1,513
Oriental Holdings Bhd 2,000 9,202
Polaris Industries, Inc. 1,650 46,200
SPS Technologies, Inc.+ 800 31,200
Textron, Inc. 300 20,625
Varlen Corp. 1,320 35,640
------------
311,444
------------
Electrical & Electronics (2.7%)
Applied Materials, Inc.+ 200 10,038
Austria Mikro Systeme
International 50 9,258
Cypress Semiconductor Corp.+ 1,000 35,250
Dallas Semiconductor Corp. 500 10,625
Hewlett Packard Co. 300 27,788
Hitachi Koki 3,000 26,759
Intel Corp. 100 6,994
Lam Research Corp.+ 400 24,350
Logicon, Inc. 1,400 32,025
Matsushita Electric
Industrial Co. Ltd. 1,000 14,182
Micron Technology, Inc. 100 7,063
Nintendo Co. Ltd. 1,000 73,549
Nokia AB Class A 800 46,714
Novo-Nordisk AS 100 12,714
Phillips Electronics N.V. 500 19,303
Quickturn Design System,
Inc.+ 700 7,175
See Notes to Portfolio of Investments
32 Aetna Generation Funds Annual Report
<PAGE>
Rohm Co. 1,000 $ 60,736
Seagate Technology, Inc.+ 1,000 44,750
Siliconix, Inc.+ 300 8,700
Telefonaktiebolaget 550 11,673
Tencor Instruments+ 200 8,550
Unitrode Corp.+ 500 13,438
Varian Associates, Inc. 200 10,275
------------
521,909
------------
Electrical Equipment (2.1%)
Adflex Solutions, Inc.+ 1,200 31,350
Arrow Electronics, Inc.+ 700 35,525
Avnet, Inc. 600 30,225
FPL Group, Inc. 300 12,563
General Electric Co. 500 31,625
Hitachi Ltd. (Hit.
Seisakusho) 3,000 30,808
International Rectifier
Corp.+ 700 31,588
Kemet Corp.+ 400 13,700
Kent Electronics Corp.+ 800 39,000
Marshall Industries+ 1,000 35,250
Park Electrochemical Corp. 1,000 31,250
Sundstrand Corp. 1,000 61,250
Tektronix, Inc. 100 5,925
Texas Instruments, Inc. 400 27,300
------------
417,359
------------
Financial Services (2.8%)
Abbey National Plc 900 7,605
ABN Amro Holding N.V. 300 12,588
Alex Brown & Sons, Inc. 900 43,988
Algem Maatsch Voor Nijverhei 150 40,948
Banponce Corp. 100 3,863
Barclays Plc 700 8,207
BayBanks, Inc. 400 $ 32,350
Bear Stearns Co., Inc. 1,600 31,800
BHC Financial, Inc. 2,400 44,100
Citizens Bancorp 1,200 39,450
CNA Financial Corp.+ 100 11,400
Creditanstalt-Bankverein 300 14,954
Crestar Financial Corp. 200 11,400
Dean Witter Discover and Co. 100 4,975
Den Danske Bank 300 19,866
Greenpoint Financial Corp. 200 5,425
Household International, Inc. 100 5,625
Internationale Nederland 200 11,911
Leader Financial Corp. 600 21,450
Lion Land Bhd 14,000 15,140
Merrill Lynch & Co., Inc. 500 27,750
Park National Corp. 100 4,525
Promise Co. Ltd. 200 7,883
RCSB Financial, Inc. 200 4,463
Schweizerische Bankverein 25 10,251
Svenska Handelsbanke 600 10,521
TR Financial Corp. 400 9,950
Travelers, Inc. 500 25,250
Unitas Bank Ltd. Class A+ 5,600 13,581
United Carolina Bancshares,
Inc. 800 28,600
Yasuda Trust & Banking 3,000 13,409
------------
543,228
------------
Food & Beverages (2.3%)
Cadbury Schweppes Plc 2,300 18,981
Cerebos Pacific Ltd. 2,000 12,442
Coca-Cola Co. 200 14,375
ConAgra, Inc. 500 19,313
CPC International, Inc. 800 53,100
Danisco AS 300 13,665
Aetna Generation Funds Annual Report 33
<PAGE>
Hillsdown Holdings Plc 5,076 $ 13,456
Hometown Buffet, Inc.+ 100 1,294
Hormel Foods Corp. 700 16,100
IBP, Inc. 800 47,900
International Multifoods
Corp. 1,100 22,550
Katokichi 1,000 18,289
Kikkoman 4,000 28,559
Kroger Co. (The)+ 100 3,338
McDonald's Corp. 1,400 57,400
Mondavi (Robert) Corp.+ 500 14,188
Nestle SA Registered 10 10,471
PepsiCo, Inc. 700 36,925
Safeway, Inc.+ 600 28,350
Sara Lee Corp. 200 5,875
Supervalu, Inc. 700 21,525
------------
458,096
------------
Health Services (0.9%)
Columbia/HCA Healthcare Corp. 100 4,913
Invacare Corp. 1,000 25,000
Lincare Holdings, Inc.+ 800 20,050
Mine Safety Appliances Co. 400 20,300
Moore Corp. Ltd. 1,700 32,513
Nellcor, Inc.+ 500 28,875
Quorum Health Group, Inc.+ 400 8,625
Universal Health Services,
Inc.+ 800 30,000
------------
170,276
------------
Home Furnishings & Appliances (0.2%)
Electrolux AB 300 12,824
Leggett & Platt, Inc. 1,000 24,000
------------
36,824
------------
Hotels & Restaurants (0.2%)
Compass Group Plc 1,800 $ 12,213
Hotel Properties Ltd. 5,000 7,564
Marriott International Inc. 300 11,063
Prime Hospitality Corp.+ 900 8,888
------------
39,728
------------
Household Products (0.2%)
National Presto Industries,
Inc. 200 8,100
Oneida Ltd. 200 3,300
Premark International, Inc. 300 13,875
Springs Industries, Inc.
Class A 100 4,288
------------
29,563
------------
Insurance (2.9%)
Aegon N.V. 576 21,836
AFLAC, Inc. 1,000 40,750
Alleghany Corp. 300 53,850
Allstate Corp. 278 10,217
American Bankers Insurance
Group 1,300 46,475
Baloise Holding Ltd. 5 10,251
Capital American Financial
Corp. 100 1,963
Chubb Corp. 100 8,988
CMAC Investment Corp. 300 14,250
Commerce Group, Inc. 300 6,094
EA-Generali AG 50 13,673
Fremont General Corp. 400 11,600
Fund American Enterprises,
Inc.+ 320 22,080
Guardian Royal Exchange Plc 3,800 13,731
Home Beneficial Corp. Class B 300 7,388
See Notes to Portfolio of Investments
34 Aetna Generation Funds Annual Report
<PAGE>
Kansas City Life Insurance
Co. 300 $ 15,600
Loews Corp. 200 29,325
Maxicare Health Plans, Inc.+ 2,400 42,000
Orion Capital Corp. 300 12,300
Reinsurance Group of America 1,300 44,688
Royal Insurance Holdings Plc 900 5,553
State Auto Financial Corp. 800 17,850
Transatlantic Holdings, Inc. 600 40,425
Transnational Re Corp. Class
A+ 1,200 26,925
Transport Holdings, Inc.+ 2 80
UNI Storebrand AS+ 6,700 33,774
Winterthur Schweizerische
Versicherungs-Gesellschaft 10 6,696
Zurich Versicherungs-
Gesellschaft 40 11,439
------------
569,801
------------
Machinery & Equipment (1.4%)
Acme-Cleveland Corp. 1,300 28,438
Barnes Group, Inc. 700 26,250
Blount, Inc. Class A 800 34,700
Central Sprinkler Corp.+ 1,300 41,925
Christiana Co.+ 200 5,275
Entergy Corp. 900 25,650
Fluor Corp. 100 5,650
FSI International, Inc.+ 700 16,713
Koyo Seiko Co. Ltd. 2,000 15,942
L.S. Starrett Co. Class A 500 11,438
Regal Beloit 600 10,800
Tsubakimoto Chain 4,000 18,778
Tsukishima Kikai 1,200 $ 23,473
------------
265,032
------------
Media & Entertainment (0.7%)
Belo Corp. Class A 800 27,700
Callaway Golf Co. 1,600 26,200
Chris-Craft Industries, Inc. 100 3,988
Granada Group Plc 600 6,400
GTECH Holdings Corp.+ 800 19,600
King World Productions, Inc.+ 700 24,413
Media General, Inc. 600 16,650
Mirage Resorts, Inc.+ 600 19,650
------------
144,601
------------
Medical Supplies (0.4%)
Baxter International, Inc. 400 15,450
CONMED Corp.+ 1,100 38,775
GC Companies, Inc.+ 700 22,575
North American Biologicals,
Inc.+ 900 7,256
------------
84,056
------------
Metals & Mining (1.6%)
AK Steel Holding Corp. 300 9,300
Alcan Aluminum Ltd. 900 28,490
Aluminum Co. of America 200 10,200
Carpenter Technology Corp. 400 15,150
Cleveland-Cliffs, Inc. 500 18,688
Cyprus Amax Minerals Co. 300 7,838
Dofasco, Inc. 906 11,455
Georg Fischer AG 5 6,907
J & L Specialty Steel, Inc. 1,500 24,563
Kennametal, Inc. 900 28,013
Lukens, Inc. 300 9,225
Magma Copper Co. 500 8,375
Mueller Industries, Inc.+ 400 9,400
Aetna Generation Funds Annual Report 35
<PAGE>
Phelps Dodge Corp. 700 $ 44,363
Rautaruukki Oy 2,000 10,972
Reliance Steel & Aluminum Co. 1,800 29,925
Schnitzer Steel Industries,
Inc. 1,200 32,250
Shiloh Industries, Inc.+ 300 3,319
Svenskt Stal AB 1,000 10,010
------------
318,443
------------
Oil & Gas (1.8%)
Atlantic Richfield Co. 200 21,350
Burmah Castrol Plc 1,200 18,651
Camco International, Inc. 200 4,575
Chesapeake Energy Corp.+ 200 5,850
Conwest Exploration Co. Ltd. 800 14,052
Diamond Shamrock, Inc. 400 10,300
Exxon Corp. 800 61,100
Falconbridge Ltd. 800 17,621
Fina, Inc. Class A 200 8,925
Halliburton Co. 300 12,450
Leviathan Gas Pipeline
Partners L.P. 1,200 29,850
Lufkin Industries, Inc. 400 7,500
Mobil Corp. 300 30,225
Occidental Petroleum Corp. 200 4,300
Oneok, Inc. 700 17,063
Petro-Canada 800 8,625
Royal Dutch Petroleum Co. 300 36,863
RPC, Inc.+ 700 5,425
Smith International, Inc.+ 1,000 16,000
Sun Company, Inc. 100 2,863
Texaco 200 13,625
------------
347,213
------------
Paper & Containers (1.6%)
Abitibi Price, Inc. 600 $ 10,483
Asia Pulp & Paper Co. Ltd.+ 2,000 20,500
Bobst SA 5 7,567
Champion International Corp. 200 10,700
Chesapeake Corp. 2,000 61,250
Consolidated Papers, Inc. 600 34,350
Georgia-Pacific Corp. 100 8,250
Greif Brothers Corp. Class A 200 5,025
Leykam-Muerztaler Papier+ 350 13,809
Mayr-Melnhof Karton AG 200 11,665
Mead Corp. 300 17,288
Rayoner, Inc. 900 33,750
Repola Oy 800 15,484
Stora Kopparbergs 800 9,694
Temple-Inland, Inc. 200 9,100
Willamette Industries, Inc. 900 52,425
------------
321,340
------------
Pharmaceuticals (1.1%)
Becton, Dickinson & Co. 300 19,500
Bio-Rad Labs, Inc. Class A+ 400 15,200
Bristol-Myers Squibb Co. 300 22,875
Cardinal Health, Inc. 100 5,138
Cor Therapeutics+ 400 4,100
Immulogic Pharmaceutical
Corp.+ 100 1,163
Immunex Corp.+ 100 1,263
Johnson & Johnson 200 16,300
Merck & Co., Inc. 300 17,250
Pfizer, Inc. 400 22,950
Rhone-Poulenc Rorer, Inc. 700 32,988
Schering Plough 400 21,450
See Notes to Portfolio of Investments
36 Aetna Generation Funds Annual Report
<PAGE>
Watson Pharmaceuticals, Inc.+ 300 $ 13,500
Yamanouchi Pharmaceuticals 1,000 22,299
------------
215,976
------------
Printing & Publishing (0.6%)
Central Newspapers, Inc.
Class A 800 23,600
Gannett Co., Inc. 200 10,875
Plenum Publishing Corp. 200 7,150
Pulitzer Publishing Co. 1,000 45,250
Scholastic Corp.+ 100 6,188
Tribune Co. 200 12,625
Wiley (John) & Sons, Inc.
Class A 200 5,950
------------
111,638
------------
Real Estate Investment Trusts (15.5%)
Associated Estates Realty
Corp. 10,800 221,400
Beacon Properties Corp. 6,400 139,200
BRE Properties, Inc. Class A 800 25,600
Cali Realty Corp. 2,200 42,900
CBL & Associates Properties,
Inc. 7,700 163,625
Chelsea GCA Realty, Inc. 5,900 163,725
Colonial Properties Trust 7,700 192,500
Cousins Properties, Inc. 4,900 85,138
Crescent Real Estate
Equities, Inc. 5,200 166,400
Developers Diversified Realty
Corp. 2,300 65,550
Duke Realty Investments, Inc. 6,300 192,938
Equity Inns, Inc. 5,900 68,588
Equity Residential Properties
Trust 2,400 $ 67,200
Essex Property Trust, Inc. 6,800 124,100
Evans Withycombe Residential,
Inc. 7,700 145,338
Excel Realty Trust, Inc. 500 9,438
HGI Realty, Inc. 600 13,275
Highwood Properties, Inc. 7,100 189,038
JDN Realty Corp. 2,800 57,050
Kimco Realty Corp. 2,000 73,750
Kranzco Realty Trust 900 13,725
Oasis Residential, Inc. 7,800 169,650
Prime Residential, Inc. 1,400 24,763
Regency Realty Corp. 1,400 23,800
Sekisui House 2,000 23,082
Smith (Charles E.)
Residential Realty Co. 1,200 27,900
South West Property Trust 1,125 13,641
Spieker Properties, Inc. 7,900 191,575
Storage Equities, Inc. 9,700 178,238
Walden Residential
Properties, Inc. 8,800 161,646
------------
3,034,773
------------
Retail (1.3%)
Argyll Group Plc 1,600 8,129
Blair Corp. 100 2,950
Burton Group Plc 14,100 22,471
Circuit City Stores, Inc. 100 3,338
Claire's Stores, Inc. 700 13,738
Fastenal Co. 500 17,406
General Host Corp.+ 4,200 20,475
Hannaford Brothers Co. 1,300 33,963
Hudson's Bay Co. 400 7,472
JUSCO Co. 1,000 23,473
Koninklijke Ahold N.V. 400 15,138
Aetna Generation Funds Annual Report 37
<PAGE>
Merkur Holding AG 25 $ 5,565
Neiman Marcus Group, Inc. 1,500 25,688
Robinson & Co. Ltd. 2,000 8,483
Sears Roebuck & Co. 300 10,200
Tesco Plc 146 691
Waban, Inc.+ 1,400 21,875
Zale Corp.+ 1,400 20,738
------------
261,793
------------
Telecommunications (0.5%)
Ameritech Corp. 600 32,400
Case Corp. 700 26,688
Computer Associates
International, Inc. 250 13,750
Holophane Corp.+ 200 5,413
Lincoln Telecommunications
Co. 1,400 24,325
Mobile Telecommunications
Technologies Corp.+ 100 2,850
------------
105,426
------------
Transportation (1.3%)
Alaska Air Group, Inc.+ 100 1,488
American President Co. Ltd. 1,200 29,100
AMR Corp.+ 100 6,600
Bergesen d.y. AS Class B 1,000 20,549
Det Norske Luftfartselskap AS 600 35,141
East Japan Railway Co. 6 28,344
Expeditors International of
Washington, Inc. 300 7,988
Florida East Coast
Industries, Inc. 300 20,063
Guidant Corp. 400 12,800
Hornbeck Offshore Services,
Inc.+ 200 $ 2,900
Kobenhavns Lufthavne AS 200 15,000
Kvaerner AS 400 16,825
Peninsular & Orient Steam
Navigation Co. 2,100 15,972
PHH Corp. 200 8,750
Singapore Airlines Ltd. 2,000 18,521
------------
240,041
------------
Utilities - Electric (3.1%)
Boston Edison Co. 800 21,900
California Energy Company,
Inc.+ 1,100 19,938
Consolidated Edison Co. of
New York, Inc. 1,100 33,413
DQE, Inc. 500 13,750
General Public Utilities
Corp. 700 21,875
Hokkaido Electric Power Co. 1,000 23,180
Illinova Corp. 1,000 28,375
Interstate Power Co. (Del.) 1,300 37,700
LG&E Corp. 600 24,900
National Power Plc ADR 1,150 14,375
New England Electric System 500 19,500
New York State Electric & Gas
Corp. 400 10,100
Nipsco Industries, Inc. 700 25,550
Northeast Utilities 500 12,375
Oklahoma Gas & Electric 700 28,000
Orange & Rockland Utilities,
Inc. 1,000 35,125
Pacific Gas & Electric Co. 400 11,750
Peco Energy Co. 300 8,775
See Notes to Portfolio of Investments
38 Aetna Generation Funds Annual Report
<PAGE>
Pinnacle West Capital Corp. 1,800 $ 49,500
Portland General Corp. 1,200 32,550
Powergen Plc ADR 1,150 19,119
Reunies Electrobel &
Tractebel 50 18,291
San Diego Gas & Electric Co. 400 9,300
SCEcorp 1,000 17,000
Sierra Pacific Resources 1,900 44,413
Unicom Corp. 800 26,200
Western Resources, Inc. 400 13,450
------------
620,404
------------
Utilities - Oil & Gas (1.4%)
Atlanta Gas Light Co. 800 30,900
Brooklyn Union Gas Co. (The) 1,200 30,150
Connecticut Energy Corp. 300 5,813
Energen Corp. 1,800 40,725
Getty Petroleum Corp. 200 2,650
Indiana Energy, Inc. 1,200 25,350
Mitchell Energy & Development
Corp. 3,300 53,625
New Jersey Resources Corp. 800 20,000
OEMV AG 100 8,627
Petronas Gas Bhd+ 2,000 6,764
Union Texas Petroleum
Holdings, Inc. 900 16,200
Washington Gas Light Co. 100 1,913
Wicor, Inc. 600 17,775
Williams Co. Inc. 200 7,725
------------
268,217
------------
Utilities - Telephone (1.2%)
AT&T Corp. 200 12,800
Bell Atlantic Corp. 200 $ 12,725
BellSouth Corp. 300 22,950
Cable & Wireless Plc 3,000 19,598
Citizens Utilities Co.+ 832 9,152
DDI Corp. 3 24,324
Nippon Telephone & Telegraph
Corp. 5 41,029
SBC Communications, Inc. 900 50,288
Southern New England
Telecommunications Corp. 800 28,900
Sprint Corp. 600 23,100
------------
244,866
------------
Utilities - Water (0.1%)
SJW Corp. 300 10,538
Welsh Water Plc 1,000 11,882
------------
22,420
------------
Total Common Stocks
(cost $10,997,530) $12,040,765
------------
Preferred Stocks (0.0%)
Utilities - Water (0.0%)
Welsh Water Plc 1,080 $ 1,772
------------
Total Preferred Stocks
(cost $1,758) $ 1,772
------------
Warrants (0.1%)
Morgan Stanley American
Express Hong Kong Warrants+ 4,000 $ 18,000
------------
Total Warrants
(cost $19,695) $ 18,000
------------
Principal Market
Amount Value
-------- ------------
Long Term Bonds and Notes (11.2%)
U.S. Government Obligations (11.1%)
U.S. Treasury Note, 9.25%,
01/15/96 $675,000 $ 679,928
Aetna Generation Funds Annual Report 39
<PAGE>
U.S. Treasury Note, 5.125%,
03/31/96+++ $ 100,000 $ 99,875
U.S. Treasury Note, 7.25%,
05/15/04 1,300,000 1,406,843
------------
2,186,646
------------
Corporate Obligations (0.1%)
Mitsubishi Bank, Corp. Note,
3%, 11/30/02 20,000 20,813
------------
Total Long Term Bonds and Notes
(cost $2,159,638) $ 2,207,459
------------
Short Term Investments (27.2%)
Banc One Corp., Comm. Paper,
5.85%, 11/1/95 697,000 697,000
Bridgestone Firestone, Comm.
Paper, 5.8%, 11/3/95++ 750,000 750,000
Burlington Northern Rail
Road, Comm. Paper, 5.85%,
11/6/95 500,000 499,594
See Notes to Financial Statements
Cargill Inc., Comm. Paper,
5.75%, 11/9/95 $ 750,000 $ 749,042
Cooper Industries, Inc.,
Comm. Paper, 5.77%, 11/8/95 750,000 749,159
Public Service Co. of
Colorado, Comm. Paper,
5.87%, 11/1/95 365,000 365,000
Quaker Oats Co., Comm. Paper,
5.8%, 11/7/95 750,000 749,275
Xerox Corp., Comm. Paper,
5.72%, 11/2/95 787,000 786,875
------------
Total Short Term Investments
(cost $5,345,945) $ 5,345,945
------------
Total Investments
(cost $18,524,566) (a) $19,613,941
Other assets less liabilities 36,595
------------
Total Net Assets $19,650,536
------------
Notes to Portfolio of Investments
+ Non-income producing security
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the
Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of
Directors.
+++ Security pledged to cover initial margin deposits on open futures
contracts at October 31, 1995.
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at October 31,
1995 are as follows:
Unrealized gains $1,337,736
Unrealized losses (248,361)
-----------
Net unrealized gain $1,089,375
===========
Category percentages are based on net assets.
40 Aetna Generation Funds Annual Report
<PAGE>
Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- -------- --------- ------------
All Ordinaries Share
Price Index 3 $121,656 12/29/95 $(5,249)
Canada Government
Bonds Future 3 232,575 12/19/95 6,848
Long-Term German Bonds
Future 2 323,208 12/06/95 7,243
DTB German DAX Index
Future 1 155,322 12/14/95 (8,130)
Long-Term German Bonds
Future 1 167,375 12/06/95 2,414
CAC 40 Stock Index
Future 1 75,283 12/29/95 (3,904)
French Noton 1 114,414 12/18/95 348
Long Gilt Bonds Future 2 164,177 12/27/95 1,677
FTSE 100 Index Future 1 139,161 12/15/95 (1,854)
Italian Government
Bonds Future 2 250,961 12/04/95 351
10 Year Swiss Bonds
Future 1 90,461 12/18/95 2,702
Hang Seng Index Future 1 63,339 11/29/95 32
------------
$ 2,478
============
Aetna Generation Funds Annual Report 41
<PAGE>
Statements of Assets and Liabilities
October 31, 1995
-------------------------- ----------- ----------- ------------
Aetna Generation Funds Ascent Crossroads Legacy
-------------------------- ----------- ----------- ------------
Assets:
Investments, at market
value (Note 1) $20,455,225 $20,313,675 $19,613,941
Cash 2,323 1,856 1,724
Cash denominated in
foreign currencies 26,362 65,835 61,078
Receivable for:
Dividends and interest 50,056 77,709 88,351
Investments sold 271,341 223,750 137,383
Fund shares sold 4,042 2,564 2,638
Recoverable taxes 2,563 1,940 1,389
Variation margin 6,197 11,951 9,910
Unrealized gain on
forward foreign
currency exchange
contracts (Note 4) 22,944 20,014 15,319
----------- ----------- ------------
Total assets 20,841,053 20,719,294 19,931,733
Liabilities:
Payable for:
Investments purchased 300,406 257,850 206,425
Fund shares redeemed 1,508 40 0
Unrealized loss on
forward foreign
currency exchange
contracts (Note 4) 62,509 49,109 32,595
Other liabilities 43,688 42,367 42,177
----------- ----------- ------------
Total liabilities 408,111 349,366 281,197
----------- ----------- ------------
NET ASSETS $20,432,942 $20,369,928 $19,650,536
=========== =========== ============
Net assets represented by:
Paid-in capital $16,691,145 $16,955,025 $16,505,926
Unrealized gain 1,413,636 1,274,369 1,075,920
Undistributed net
investment income 551,450 638,286 729,717
Accumulated net realized
gain (loss) 1,776,711 1,502,248 1,338,973
----------- ----------- ------------
Net Assets $20,432,942 $20,369,928 $19,650,536
=========== =========== ============
Capital Shares, $.001 par
value:
Outstanding 1,750,728 1,766,608 1,722,857
Net Assets $20,432,942 $20,369,928 $19,650,536
Net Asset Value per share $ 11.67 $ 11.53 $ 11.41
Cost of Investments $18,986,113 $18,995,907 $18,524,566
=========== =========== ============
See Notes to Financial Statements
42 Aetna Generation Funds Annual Report
<PAGE>
Statements of Operations
For the period from January 4, 1995 to October 31, 1995
----------------------------------- ---------- ---------- ----------
Aetna Generation Funds Ascent Crossroads Legacy
----------------------------------- ---------- ---------- ----------
Investment income: (Note 1)
Dividends $ 562,967 $ 459,610 $ 335,416
Interest 274,640 464,379 678,337
---------- ---------- ----------
837,607 923,989 1,013,753
Foreign taxes withheld (13,419) (11,056) (8,010)
---------- ---------- ----------
Total investment income 824,188 912,933 1,005,743
---------- ---------- ----------
Investment Expenses: (Note 2)
Investment advisory fee 157,225 156,356 155,255
Administrative service fee 49,133 48,861 48,517
Printing and Postage 212 212 212
Custody fees 27,173 30,023 33,699
Transfer agent fees 3,000 3,000 3,000
Audit fees 8,325 8,325 8,325
Directors' fees 9,800 9,800 9,800
State and federal fees 15,616 15,816 14,964
Miscellaneous 2,254 2,254 2,254
---------- ---------- ----------
Total investment expenses 272,738 274,647 276,026
---------- ---------- ----------
Net investment income 551,450 638,286 729,717
---------- ---------- ----------
Realized and unrealized gain:
(Notes 1, 3 and 4)
Realized gain (loss) on:
Sales of investments 1,930,573 1,563,458 1,315,015
Futures and forward currency
contracts (126,066) (43,753) 26,544
Foreign currencies (27,796) (17,457) (2,586)
---------- ---------- ----------
Net realized gain 1,776,711 1,502,248 1,338,973
---------- ---------- ----------
Net change in unrealized gain
(loss) on:
Investments 1,469,112 1,317,768 1,089,375
Futures and forward currency
contracts (57,470) (43,857) (14,798)
Foreign currency related
transactions 1,994 458 1,343
---------- ---------- ----------
Net change in unrealized gain 1,413,636 1,274,369 1,075,920
---------- ---------- ----------
Net realized and change in
unrealized gain 3,190,347 2,776,617 2,414,893
---------- ---------- ----------
Increase in net assets resulting
from operations $3,741,797 $3,414,903 $3,144,610
========== ========== ==========
Aetna Generation Funds Annual Report 43
<PAGE>
Statements of Changes in Net Assets
For the period from January 4, 1995 to October 31, 1995
- -------------------------------- ----------- ----------- ------------
Aetna Generation Funds Ascent Crossroads Legacy
- -------------------------------- ----------- ----------- ------------
Net investment income $ 551,450 $ 638,286 $ 729,717
Net realized gain on investments 1,776,711 1,502,248 1,338,973
Net change in unrealized gain on
investments 1,413,636 1,274,369 1,075,920
----------- ----------- ------------
Increase in net assets resulting
from operations 3,741,797 3,414,903 3,144,610
----------- ----------- ------------
From Fund Share Transactions:
(Note 5)
Proceeds from shares sold 25,819,671 26,042,671 26,237,824
Cost of shares redeemed (9,128,526) (9,087,646) (9,731,898)
----------- ----------- ------------
Increase in net assets from fund
share transactions 16,691,145 16,955,025 16,505,926
----------- ----------- ------------
Change in net assets 20,432,942 20,369,928 19,650,536
Net Assets:
Beginning of period 0 0 0
----------- ----------- ------------
End of period $20,432,942 $20,369,928 $19,650,536
=========== =========== ============
End of period net assets
includes undistributed net
investment income $ 551,450 $ 638,286 $ 729,717
=========== =========== ============
See Notes to Financial Statements
44 Aetna Generation Funds Annual Report
<PAGE>
Aetna Generation Funds
Notes to Financial Statements
October 31, 1995
1. Summary of Significant Accounting Policies
Aetna Series Fund, Inc. ("Company") is registered under the Investment
Company Act of 1940 as an 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, Ascent, Crossroads, and Legacy were each seeded by ALIAC
in the amount of $25,200,000 and became available for sale. At October 31,
1995, ALIAC and their related companies owned 1,705,378 shares, 1,694,881
shares, and 1,690,097 shares of Ascent, Crossroads, and Legacy, respectively.
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 diversified and are authorized to offer two classes of shares,
the Select Class and the Adviser Class. At this time, the Funds 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 Portfolios in the preparation of their financial statements.
These 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 value. 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
Aetna Generation Funds Annual Report 45
<PAGE>
stocks at a set price on a future date. The Funds use futures contracts as a
hedge against declines in the value of portfolio securities. The Funds may
also purchase futures contracts to gain market exposure as it may be more
cost effective than purchasing individual securities. Aetna Generation Funds
Annual Report
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
46 Aetna Generation Funds Annual Report
<PAGE>
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.
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.
Aetna Generation Funds Annual Report 47
<PAGE>
3. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term
investments, for the period from January 4, 1995 (commencement of operations)
to October 31, 1995 were:
Cost of Proceeds
Purchases from Sales
----------- ------------
Aetna Ascent $49,665,537 $34,025,968
Aetna Crossroads 44,672,771 31,004,848
Aetna Legacy 39,563,510 28,380,332
4. Forward Foreign Currency Exchange Contracts
At October 31, 1995, Ascent, Crossroads, and Legacy had the following open
forward foreign currency exchange contracts that obligate the Funds to
deliver currencies at specified future dates. The unrealized losses of
$39,565, $29,095, and $17,276, respectively, on these contracts is included
in the accompanying financial statements. The terms of the open contracts are
as follows:
Ascent:
<TABLE>
<CAPTION>
U.S. $ Value U.S. $ Value
as of as of Unrealized
Exchange Currency to be October 31, Currency to be October 31, Gain
Date Delivered 1995 Received 1995 (Loss)
---------- ---------------- -------------- ---------------- -------------- ----------
<S> <C> <C> <C> <C> <C>
12/13/95 2,430,000 $245,613 235,419 $235,419 (10,194)
Austrian
Schilling U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
12/13/95 22,222 22,222 220,000 22,237 15
Austrian
U.S. Dollar Schilling
---------- ---------------- -------------- ---------------- -------------- ----------
11/22/95 5,839,000 201,872 198,477 198,477 (3,395)
Belgian Franc U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
11/01/95 1,471 1,471 2,000 1,471 0
U.S. Dollar Canadian Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
11/09/95 135,000 119,008 116,772 116,772 (2,236)
Swiss Franc U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
11/09/95 8,847 8,847 10,000 8,815 (32)
U.S. Dollar Swiss Franc
---------- ---------------- -------------- ---------------- -------------- ----------
12/18/95 780,000 142,751 135,417 135,417 (7,334)
Danish Krone U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
12/18/95 16,470 16,470 90,000 16,471 1
U.S. Dollar Danish Krone
---------- ---------------- -------------- ---------------- -------------- ----------
12/21/95 960,000 226,199 216,851 216,851 (9,348)
Finnish Markka U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
48 Aetna Generation Funds Annual Report
<PAGE>
Ascent (continued):
---------- -------------- -------------- ------------ -------------- ----------
12/21/95 42,392 $ 42,392 180,000 $ 42,412 20
Finnish
U.S. Dollar Markka
---------- -------------- -------------- ------------ -------------- ----------
11/02/95 13,000 20,502 20,618 20,618 116
British Pound U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
11/03/95 13,000 20,502 20,493 20,493 (9)
British Pound U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
12/14/95 340,000 535,983 523,124 523,124 (12,859)
British Pound U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
12/14/95 41,072 41,072 26,000 40,987 (85)
British
U.S. Dollar Pound
---------- -------------- -------------- ------------ -------------- ----------
12/13/95 69,354,000 683,082 704,414 704,414 21,332
Japanese Yen U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
12/19/95 45,280,000 446,424 447,884 447,884 1,460
Japanese Yen U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
12/18/95 250,000 158,642 150,439 150,439 (8,203)
Dutch Guilder U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
12/18/95 24,480 24,480 38,000 24,114 (366)
Dutch
U.S. Dollar Guilder
---------- -------------- -------------- ------------ -------------- ----------
12/07/95 1,360,000 218,476 213,103 213,103 (5,373)
Norwegian
Krone U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
12/14/95 250,000 177,315 174,240 174,240 (3,075)
Singapore
Dollar U.S. Dollar
---------- -------------- -------------- ------------ -------------- ----------
$(39,565)
==========
</TABLE>
Crossroads:
<TABLE>
<CAPTION>
U.S. $ Value U.S. $ Value
as of as of Unrealized
Exchange Currency to be October 31, Currency to be October 31, Gain
Date Delivered 1995 Received 1995 (Loss)
---------- ---------------- -------------- ---------------- -------------- ----------
<S> <C> <C> <C> <C> <C>
12/13/95 1,790,000 $180,925 173,416 $173,416 (7,509)
Austrian
Schilling U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
12/13/95 12,121 12,121 120,000 12,129 8
Austrian
U.S. Dollar Schilling
---------- ---------------- -------------- ---------------- -------------- ----------
11/22/95 3,936,000 136,079 133,791 133,791 (2,288)
Belgian Franc U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
11/01/95 64,000 47,079 47,087 47,087 8
Canadian Dollar U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
11/09/95 107,100 94,413 92,639 92,639 (1,774)
Swiss Franc U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
11/09/95 8,847 8,847 10,000 8,815 (32)
U.S. Dollar Swiss Franc
---------- ---------------- -------------- ---------------- -------------- ----------
Aetna Generation Funds Annual Report 49
<PAGE>
Crossroads (continued):
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 650,000 $118,959 112,847 $112,847 (6,112)
Danish Krone U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 7,320 7,320 40,000 7,321 1
U.S. Dollar Danish Krone
---------- -------------- -------------- ------------- -------------- ----------
12/21/95 740,000 174,361 167,156 167,156 (7,205)
Finnish
Markka U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/21/95 32,971 32,971 140,000 32,987 16
Finnish
U.S. Dollar Markka
---------- -------------- -------------- ------------- -------------- ----------
11/02/95 4,000 6,308 6,344 6,344 36
British Pound U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
11/03/95 18,000 28,387 28,374 28,374 (13)
British Pound U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/14/95 240,000 378,341 369,264 369,264 (9,077)
British Pound U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/14/95 34,688 34,688 22,000 34,681 (7)
British
U.S. Dollar Pound
---------- -------------- -------------- ------------- -------------- ----------
12/13/95 62,302,000 613,625 633,137 633,137 19,512
Japanese Yen U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/19/95 18,600,000 183,381 183,813 183,813 432
Japanese Yen U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 250,000 158,642 150,439 150,439 (8,203)
Dutch Guilder U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 35,431 35,431 55,000 34,901 (530)
U.S. Dollar Dutch Guilder
---------- -------------- -------------- ------------- -------------- ----------
12/07/95 1,080,000 173,495 169,229 169,229 (4,266)
Norwegian
Krone U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/07/95 32,127 32,127 200,000 32,128 1
Norwegian
U.S. Dollar Krone
---------- -------------- -------------- ------------- -------------- ----------
12/14/95 170,000 120,576 118,483 118,483 (2,093)
Singapore
Dollar U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
$(29,095)
==========
</TABLE>
Legacy:
<TABLE>
<CAPTION>
U.S. $ Value U.S. $ Value
as of as of Unrealized
Exchange Currency to be October 31, Currency to be October 31, Gain
Date Delivered 1995 Received 1995 (Loss)
---------- ---------------- -------------- ---------------- -------------- ----------
<S> <C> <C> <C> <C> <C>
12/13/95 870,000 $87,936 84,286 $84,286 (3,650)
Austrian
Schilling U.S. Dollar
---------- ---------------- -------------- ---------------- -------------- ----------
12/13/95 7,070 7,070 70,000 7,075 5
Austrian
U.S. Dollar Schilling
---------- ---------------- -------------- ---------------- -------------- -----------
50 Aetna Generation Funds Annual Report
<PAGE>
Legacy (continued):
---------- -------------- -------------- ------------- -------------- ----------
11/22/95 2,878,000 $ 99,501 97,828 $ 97,828 (1,673)
Belgian Franc U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
11/09/95 85,500 75,372 73,956 73,956 (1,416)
Swiss Franc U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
11/09/95 9,732 9,732 11,000 9,697 (35)
U.S. Dollar Swiss Franc
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 460,000 84,186 79,861 79,861 (4,325)
Danish Krone U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 5,490 5,490 30,000 5,490 0
U.S. Dollar Danish Krone
---------- -------------- -------------- ------------- -------------- ----------
12/21/95 490,000 115,455 110,684 110,684 (4,771)
Finnish
Markka U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/21/95 23,551 23,551 100,000 23,562 11
Finnish
U.S. Dollar Markka
---------- -------------- -------------- ------------- -------------- ----------
11/02/95 2,000 3,154 3,172 3,172 18
British Pound U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
11/03/95 8,000 12,616 12,611 12,611 (5)
British Pound U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/14/95 160,000 252,227 246,176 246,176 (6,051)
British Pound U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/14/95 15,769 15,769 10,000 15,764 (5)
U.S. Dollar British Pound
---------- -------------- -------------- ------------- -------------- ----------
12/13/95 47,321,000 466,074 481,018 481,018 14,944
Japanese Yen U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/19/95 12,490,000 123,141 123,431 123,431 290
Japanese Yen U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 170,000 107,877 102,299 102,299 (5,578)
Dutch Guilder U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/18/95 28,345 28,345 44,000 27,921 (424)
U.S. Dollar Dutch Guilder
---------- -------------- -------------- ------------- -------------- ----------
12/07/95 780,000 125,302 122,220 122,220 (3,082)
Norwegian
Krone U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
12/07/95 20,833 20,883 130,000 20,884 1
Norwegian
U.S. Dollar Krone
---------- -------------- -------------- ------------- -------------- ----------
12/14/95 124,000 87,950 86,420 86,420 (1,530)
Singapore
Dollar U.S. Dollar
---------- -------------- -------------- ------------- -------------- ----------
$(17,276)
==========
</TABLE>
Aetna Generation Funds Annual Report 51
<PAGE>
5. Authorized Capital Shares and Capital Share Transactions
Each Fund is authorized to issue 100 million shares. For the period January
4, 1995 to October 31, 1995, the Funds sold and redeemed the following
shares:
-----------------------------------
Ascent Crossroads Legacy
-----------------------------------
Shares sold 2,573,924 2,593,512 2,612,101
Shares redeemed (823,196) (826,904) (889,244)
--------- ---------- ----------
Net increase 1,750,728 1,766,608 1,722,857
========= ========== ==========
52
<PAGE>
Financial Highlights
For the period from January 4, 1995 to October 31, 1995
Selected data for a fund share outstanding throughout the period:
------------------------------
Ascent Crossroads Legacy
------------------------------
Net asset value, beginning of
period $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income .25 .29 .33
Net realized and change in
unrealized gain 1.42 1.24 1.08
------- ---------- -------
Net asset value, end of period $ 11.67 $ 11.53 $ 11.41
======= ========== =======
Total return* 16.70% 15.30% 14.10%
Net assets, end of period (000's) 20,433 20,370 19,651
Ratio of total investment expenses
to average net assets** 1.38% 1.40% 1.42%
Ratio of total investment income to
average net assets** 2.80% 3.26% 3.75%
Portfolio turnover rate 164.09% 166.93% 179.88%
* Not annualized
** Annualized
Per share data calculated using average number of shares outstanding
throughout the period.
Aetna Generation Funds Annual Report 53
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders of
Aetna Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of
Legacy Fund, Crossroads Fund and Ascent Fund, portfolios of Aetna Series
Fund, Inc., (collectively the Generation Funds or Funds) including the
portfolios of investments, as of October 31, 1995, the related statements of
operations, statements of changes in net assets and financial highlights for
the period from January 4, 1995 (commencement of operations) to October 31,
1995. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of October 31, 1995 by correspondence with the custodian
and brokers. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Generation Funds as of October 31, 1995, the results of their operations, the
changes in their net assets and the financial highlights for the period from
January 4, 1995 to October 31, 1995 in conformity with generally accepted
accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
December 15, 1995
54 Aetna Generation Funds Annual Report
<PAGE>
[BLANK]
<PAGE>
[BLANK]
<PAGE>
[BLANK]
<PAGE>
[back cover]
Aetna Series Fund, Inc.
151 Farmington Avenue
Hartford, CT 06156-8962
BULK RATE
U.S. Postage
PAID
Boston, MA
Permit No. 9
Aetna Ascent Fund
Aetna Crossroads Fund
Aetna Legacy Fund
This report and the financial statements contained herein are submitted for
the general information of the shareholders of the corporation. The report is
not authorized for distribution to prospective investors in the corporation
unless preceded or accompanied by an effective prospectus.
ANN.AET.1-1 (10/95)
["Recycled" symbol] Printed on recycled paper using soybean ink
