[FRONT COVER]
Aetna Mutual Funds
Annual
Report
October 31, 1996
[Aetna logo]
<PAGE>
Table of Contents
President's Letter..................................... 1
Investment Review...................................... 2
Portfolios of Investments:
Aetna Money Market Fund............................. 22
Aetna Government Fund............................... 27
Aetna Bond Fund..................................... 28
The Aetna Fund...................................... 30
Aetna Growth and Income Fund........................ 39
Aetna Growth Fund................................... 59
Aetna Small Company Fund............................ 61
Aetna International Growth Fund..................... 64
Statements of Assets and Liabilities................... 72
Statements of Operations............................... 76
Statements of Changes in Net Assets.................... 80
Notes to Financial Statements.......................... 88
Financial Highlights................................... 102
Independent Auditors' Report........................... 118
Special Meeting of Shareholders........................ 119
<PAGE>
President's Letter
Dear Fellow Shareholder:
Thank you for your confidence in Aetna and your investment in Aetna Mutual
Funds. We are pleased to bring you this annual report of the status and
performance of your Funds.
During the past few months, we have implemented several actions to focus our
Fund management efforts. At three separate Special Meetings, shareholders gave
strong approval of recommendations of the Board of Directors. We are pleased to
have Aeltus Investment Management, Inc. as subadvisor to the Funds; a decision
which allows Aetna to consolidate its investment management expertise. We also
completed liquidation of the Tax-Free Fund and the merger of the Asian Growth
Fund into the International Growth Fund. We appreciate your support of these
actions which we believe will better position the Funds to meet our
Shareholders' investment needs.
In the financial markets, the past year has seen a slowdown of the economy and
little change in interest rates. Inflation has remained remarkably stable
despite concerns earlier in the year. This trend has resulted in an increase in
bond prices and growth in the stock market. We see this moderate growth, low
inflation and stable interest rate scenario continuing into 1997. Although this
may be favorable for investments in the bond markets, we are cautious or
somewhat neutral to cautious about the performance of the stock markets in 1997.
The trend in our domestic economy has been reflected world-wide and has helped
rally the global equity market. With the exception of Japan, all major foreign
markets have performed well aided by the strengthening of the U.S. dollar and
increased exports.
Finally, additions to our investment staff have continued to enhance our
management and quantitative research capabilities. We are pleased with the
results of improvements in our stock selection disciplines, portfolio
implementation processes and investment research.
Aetna Mutual Funds have shared in the continued growth of the mutual fund
industry in 1996. Past performance is no assurance of future returns. We are
pleased to help you meet your retirement and investment needs by bringing you
quality products and services.
Thank you again for investing in our Funds.
Yours sincerely,
/s/Shaun P. Mathews
Shaun P. Mathews
President
Aetna Mutual Funds Annual Report 1
<PAGE>
Aetna Money Market Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year 3 Year Inception*
Select Class 5.44% 5.10% 4.56%
Adviser Class 5.44% n/a 4.55%
<TABLE>
<CAPTION>
Dec-91
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Money Market Fund (Select Class) 10000 10104 10210 10308 10404 10488 10572 10656 10744 10834 10934 11057 11205
Donoghue Public Money Market Funds 10000 10096 10184 10263 10334 10404 10472 10541 10611 10684 10773 10878 11003
Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Money Market Fund (Select Class) 11365 11536 11706 11875 12031 12187 12347 12402
Donoghue Public Money Market Funds 11148 11299 11446 11592 11731 11869 12009
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Donoghue
Public Money Market Funds represents the average return for the universe of
public money market funds.
* Date of inception for the Select Class was December 27, 1991, and April 15,
1994 for the Adviser Class.
Aetna Money Market Fund
The total return for Aetna Money Market Fund Select Class shares for the twelve
month period ended October 31, 1996 was 5.44%, exceeding the 4.89% return of the
average taxable money market fund as reported by IBC/Donoghue.+ As of October
31, 1996, the Fund reported a 7-day yield of 5.18% with an average portfolio
maturity of 52 days.
After remaining relatively short for most of the reporting period, the average
maturity of the Fund was lengthened over the past several months to reflect the
change in our outlook for short-term interest rates. We interpreted the
unchanged policy stance at the September FOMC (Federal Open Market Committee)
meeting as a signal that short-term interest rates would remain stable for the
remainder of the year.
The Fund was able to enhance average portfolio yield by increasing its
allocation to asset-backed securities. These are AAA-rated securities, generally
collateralized by a pool of assets such as automobile loans, credit card
receivables or computer leases. Investors are compensated with additional yield
for the special repayment schedules and increased complexity of the structure of
these securities. Incremental yield was also added through the selective use of
corporate and medium-term notes favored over commercial paper.
2
<PAGE>
Our near term strategy is to remain relatively neutral. The slowdown of the
economy in the third quarter points to below-trend growth for the second half of
the year. Thus far, the Federal Reserve has managed to leave interest rates
unchanged since early January. We expect more of the same into early 1997.
+ Aetna Money Market Adviser Class shares performance for the year ended October
31, 1996 was 5.44%. Select Class and Adviser Class shares participate in the
same portfolio of securities. Past performance is no guarantee of future
returns.
An investment in the Aetna Money Market Fund is neither insured nor guaranteed
by the United States Government, and there can be no assurance that the Fund
will be able to maintain a stable net asset value of $1.00 per share.
Quality Ratings
Tier 1 97.1%
Tier 2 2.9%
Maturity Distribution
1-30 days 48.4%
31-60 days 15.2%
61-90 days 6.2%
91-120 days 9.5%
121-180 days 10.6%
181-397 days 10.1%
Aetna Mutual Funds Annual Report 3
<PAGE>
Aetna Government Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year Inception*
Select Class 4.43% 5.34%
Adviser Class 2.75% 4.44%
<TABLE>
<CAPTION>
Dec-93 Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Government Fund (Select Class) 10000 9790 9739 9784 9811 10254 10779 10932 11380 11173 11196 11382 11583
Lehman Government Bond Index 10000 9699 9588 9629 9662 10118 10745 10935 11435 11176 11230 11419 11670
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period.
* Date of inception for the Select Class was December 22, 1993, and April 15,
1994 for the Adviser Class.
Aetna Government Fund
The total return of Aetna Government Fund Select Class shares for the twelve
month period ended October 31, 1996 was 4.43% versus a 5.12% return of the
Lehman Brothers Government Bond Index, an unmanaged index.+ The Fund's defensive
posture over the past several months did not allow it to fully participate in
the recent market rally. Relative to its peer group, the Shares' performance
ranked in the top 52% (187 out of 363) of the general government bond funds
monitored by Morningstar.+
Treasury yields at the end of the reporting period were relatively unchanged
from a year ago. The yield curve, which plots current bond yields against bond
maturities, steepened as 3-month Treasury Bill yields fell 0.35% while the
bellwether 30-year Treasury bond yield rose 0.31%. Bond prices fell earlier in
the year on fears of a stronger economy, stabilized mid year on mixed data and
then rallied in recent months on weaker economic data.
The technicals have also been favorable for bonds in recent months. The U.S.
markets have looked very attractive to outsiders as the dollar gathered strength
and concerns over higher interest rates began to subside. Strong overseas buying
has provided technical support to the bond market as foreign central bank
holdings of U.S. Treasuries reached record levels of $600 billion.
Within the Fund, mortgage-backed securities performed well in the first half of
the year but lagged in recent months as lower interest rates sparked concerns
over
4
<PAGE>
heightened mortgage prepayment activity. The overweighting in shorter-term
securities served the Fund well in the first half of the year, but had less of
an impact in the second half. The overweight allocation to government agency
securities contributed positively to performance as yield differentials to
Treasuries reached historically tight (low) levels.
Our near term outlook for the bond market is relatively neutral. The second half
of 1996 will come in at below trend economic growth which should allow the
Federal Reserve to leave rates relatively untouched. Although labor markets
remain tight, there appears to be few signs of inflationary pressure. The
moderate growth and low inflation scenario suggest to us that bond yields should
remain relatively stable into the early part of next year. The greatest risks to
the scenario are a strong rebound in domestic spending or a resurgence of growth
in Europe and/or Japan that would place some upward pressure on bond yields. We
will continue to monitor these and other possibilities quite closely.
+ Aetna Government Fund Adviser Class shares performance for the year ended
October 31, 1996 was 3.75%, (performance does not reflect the deduction of the
1% maximum contingent deferred sales charge), placing it in the top 79% (288 out
of 363) of Morningstar's general government bond fund universe. Select Class and
Adviser Class shares participate in the same portfolio of securities. Past
performance is no guarantee of future returns.
Quality Ratings
AAA 84.6%
A 4.5%
Cash or Equivalents 10.9%
Maturity Distribution
0-1 years 20.0%
1-5 years 18.3%
5-10 years 23.8%
10-20 years 29.0%
20 + years 8.9%
Aetna Mutual Funds Annual Report 5
<PAGE>
Aetna Bond Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year 3 Year Inception*
Select Class 5.09% 4.97% 6.72%
Adviser Class 3.27% n/a 6.31%
<TABLE>
<CAPTION>
Dec-91
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Bond Fund (Select Class) 10000 9900 10290 10860 10670 11160 11470 11771 11820 11530 11333 11428 11432
Lehman Aggregate Bond Index 10000 9872 10271 10712 10741 11185 11481 11781 11788 11450 11332 11401 11444
Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Bond Fund (Select Class) 11921 12610 12827 13379 13171 13225 13463 13696
Lehman Aggregate Bond Index 12021 12753 13003 13557 13317 13393 13641 13944
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period.
* Date of inception for the Select Class was December 27, 1991, and April 15,
1994 for the Adviser Class.
Aetna Bond Fund
Aetna Bond Fund Select Class shares generated a total return of 5.09% for the
twelve month period ended October 31, 1996, versus a 5.85% return for the Lehman
Brothers Aggregate Bond Index, an unmanaged index.+ The differential can be
attributed to the Fund's defensive strategy which did not allow full
participation in the recent market rally. In comparing performance to other high
quality corporate bond funds, the Fund had a respectable ranking in the top 54%
(124 out of 231) of that universe tracked by Morningstar.
Investment grade (or high quality) bonds barely earned their annual coupons as
interest rates finished slightly higher for the year. The yield curve, which
plots current bond yields against bond maturities, steepened modestly as 2-year
Treasury yields inched up 0.12% while the 30-year Treasury yields rose 0.31%.
The modest rise in yields at the end of the period belie the uncertainty and
volatility experienced by the market in the interim. Bond prices tumbled in the
first part of the year on fears of a strengthening economy, but eventually
stabilized over the summer months. Then, evidence of a slowing economy, a
strengthening dollar and strong overseas demand combined to boost bond prices,
causing the yield on long Treasury bonds to fall by 0.50%.
6
<PAGE>
During the first half of the year, mortgage-backed securities led performance as
interest rates rose early in the year while corporate bonds outperformed in the
second half of the period. The overall environment has been favorable for most
corporations as improved earnings helped strengthen credit quality profiles, an
occurrence that generally causes bond prices to rise. Good supply technicals and
strong investor demand brought yield differentials between corporate bonds and
Treasuries to near historically narrow levels. In turn, investors moved down the
quality spectrum and into other asset classes such as high yield and emerging
markets in the search for additional yield. As a result, lower quality bonds
generally outperformed higher rated bonds and these "alternative" asset classes
decisively outperformed investment grade bonds. Over the year, the Lehman
Brothers High Yield Index and Emerging Americas Index, both unmanaged indices,
returned 11.10% and 35.26%, respectively.
Going forward, we have moved to a neutral outlook on the economy and bond
market. Thus far, we believe, the evidence supports the thesis for moderate
economic growth with low inflation. A stable monetary policy should bode well
for corporate bonds, which will continue to represent the largest sector
allocation within the Fund. The recent modification of the Fund's investment
policy will serve to increase opportunities within the bond market and enhance
portfolio flexibility. However, our primary focus will continue to be on total
return through a diversified portfolio of high-quality corporate bonds.
+ Aetna Bond Fund Adviser Class shares performance for the year ended October
31, 1996 was 4.27%, (performance does not reflect the deduction of the 1%
maximum contingent deferred sales charge), placing it in the top 88% (204 out of
231) of Morningstar's high quality corporate bond fund universe. Select Class
and Adviser Class shares participate in the same portfolio of securities. Past
performance is no guarantee of future returns.
Quality Ratings
AAA 48.0%
AA 19.9%
A 11.2%
BBB 3.2%
BB 3.2%
Other 14.5%
Maturity Distribution
0-1 years 15.7%
1-5 years 30.7%
5-10 years 11.7%
10-20 years 20.3%
20 + years 21.6%
Aetna Mutual Funds Annual Report 7
<PAGE>
The Aetna Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year 3 Year Inception*
Select Class 17.63% 12.32% 10.78%
Adviser Class 15.83% n/a 10.31%
<TABLE>
<CAPTION>
Dec-91
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
The Aetna Fund (Select Class) 10000 10020 10309 10459 10669 10989 11119 11449 11709 11398 11268 11531 11509
Lehman Aggregate Bond Index 10000 9872 10271 10712 10741 11185 11481 11781 11788 11450 11332 11401 11444
S&P 500 Index 10000 9747 9932 10245 10760 11231 11286 11577 11845 11396 11444 12004 12002
60% S&P 500/40% Lehman Aggregate 10000 9797 10068 10433 10758 11219 11373 11668 11833 11429 11412 11775 11794
Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C>
The Aetna Fund (Select Class) 12053 13078 13890 14522 14907 15460 16066 16394
Lehman Aggregate Bond Index 12021 12753 13003 13557 13317 13393 13641 13944
S&P 500 Index 13170 14428 15575 16513 17400 18179 18741 19258
60% S&P 500/40% Lehman Aggregate 12720 13758 14520 15294 15671 16127 16553 16974
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period. All comparative
indices are unmanaged.
* Date of inception for the Select Class was December 27, 1991, and April 15,
1994 for the Adviser Class.
The Aetna Fund
The Aetna Fund Select Class shares generated a total return of 17.63% for the
twelve month period ended October 31, 1996, as compared to the 16.55% return of
the 60%/40% mix of the S&P 500 and the Lehman Aggregate Bond Index (both
unmanaged indices).+ The Fund performed exceptionally well compared with the
Morningstar Balanced Fund universe, ranking in the top 19% (32 out of 171) over
the one year period.
The Fund's positioning and performance is best explained by breaking down the
year into two distinct six month periods. The first six months, November 1995 to
April 1996, was characterized by strength in the economy, higher interest rates
and extreme strength in large and small company stocks. During the first six
month period, the Fund maintained an overweight position in the equity sector,
underweighted bonds and held relatively moderate cash positions which turned out
to be the correct mix given the returns. Large capitalization stock indices
(represented by the S&P 500) returned 13% while, small capitalization stock
indices (Russell 2000) outpaced large caps by a 5% margin during the first six
months, (both are unmanaged indices). The Fund's exposure to equities was the
major contributor to performance over this period. Additionally, the Fund was
overweight in both large and small cap technology stocks -- one of the leading
sectors over this period. Bond prices fell considerably over the period as
interest rates rose across the board for fear of an overheating economy and a
Federal Reserve rate hike. Our bond exposure posted a
8
<PAGE>
positive return and outperformed the Lehman Aggregate Bond Index over this
period due to the Fund's shorter duration and its modest emerging markets and
high-yield positions.
During the second six months (May to October 1996), large capitalization stocks
continued to produce strong returns, on the order of 9%, while small
capitalization stocks actually subtracted from performance with a 1.4% loss.
Bonds posted marginally positive performance for the period at 5.3%. In June and
July, we became more cautious on stocks and scaled back the allocation to a
neutral weight of 60% stocks, 40% bonds. In addition, the small cap weighting
was reduced to 10% of the total portfolio. The Fund remained slightly
underweight in bonds, while the proceeds of the equity sales increased the cash
position. Emerging market debt exposures had very strong year-to-date
performance, and profits were obtained from the sale of some of these
securities. Domestic high-yield debt was a negative contributor to performance
over this period, and the allocation to this sector was reduced.
Our view of the financial markets generally remains neutral-to-cautious, given
the very strong market performance we've seen year-to-date, and the slowing
trends in economic growth and in corporate earnings momentum into 1997. But on a
positive note, we believe the slowing growth trend, if accompanied by a benign
inflation environment, could present additional opportunities in the bond
market.
+ The Aetna Fund Adviser Class shares performance for the year ended October 31,
1996 was 16.83%, (performance does not reflect the deduction of the 1% maximum
contingent deferred sales charge), placing it in the top 24% (41 out of 171) of
Morningstar's Balanced Fund universe. Select Class and Adviser Class shares
participate in the same portfolio of securities. Past performance is no
guarantee of future returns.
Large Cap Portfolio Sector Breakdown
Over/(Under)
Portfolio S&P 500 Weighting
Basic Materials 2.6% 6.5% (3.9)%
Producer Goods & Services 23.8% 12.6% 11.2 %
Technology 12.7% 11.0% 1.7 %
Consumer Goods 37.0% 32.9% 4.1 %
Services 1.3% 2.4% (1.1)%
Financial Services 13.3% 14.8% (1.5)%
Utilities 9.3% 19.8% (10.5)%
Aetna Mutual Funds Annual Report 9
<PAGE>
Top Ten Equity Holdings
% of
Portfolio
United Technologies Corp. 1.1%
Travelers, Inc. 1.0%
Cisco Systems, Inc. 1.0%
SunAmerica, Inc. 1.0%
BMC Software, Inc. 1.0%
Nike, Inc. Class B .9%
TJX Companies, Inc. .9%
Intel Corp. .9%
Allied Signal, Inc. .9%
Computer Associates International, Inc. .9%
Top Five Fixed Income Holdings
% of
Portfolio
U.S. Treasury Note, 5.75%, 10/31/00 8.3%
U.S. Treasury Bond, 5.25%, 12/31/97 2.2%
U.S. Treasury Bond, 6.375%, 06/30/98 1.3%
African Development Bank, 8.8%, 09/01/19 1.3%
Commercial Credit Co., 8.7%, 6/15/09 1.2%
10
<PAGE>
Aetna Growth and Income Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year 3 Year Inception*
Select Class 25.69% 16.47% 12.87%
Adviser Class 23.70% n/a 12.50%
<TABLE>
<CAPTION>
Dec-91
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Growth & Income Fund
(Select Class) 10000 9940 9940 10299 10779 11060 10929 11199 11489 11149 11093 11413 11449
S&P 500 Index 10000 9747 9932 10245 10760 11231 11286 11577 11845 11396 11444 12004 12002
Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Growth & Income Fund
(Select Class) 12127 13225 14350 15056 15884 16701 17397 17945
S&P 500 Index 13170 14428 15575 16513 17400 18179 18741 19258
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period.
* Date of inception for the Select Class was December 27, 1991, and April 15,
1994 for the Adviser Class.
Aetna Growth and Income Fund
The S&P 500's 24.09% return for the twelve month period ended October 31, 1996
was well above long-term historical averages. Despite the fact that interest
rates trended somewhat higher during the year, corporate profit growth was
strong, and inflows into equity mutual funds helped provide buying support. The
total return for Aetna Growth and Income Fund Select Class shares over the same
period was 25.69%, slightly ahead of the S&P 500, an unmanaged index, placing
the Fund in the top 13% (63 out of 496) of all growth and income mutual funds
tracked by Morningstar for the period.+
In order to better control risk and pursue enhanced return potential over the
long run, we complement our large company U.S. stock holdings with investments
in a variety of asset classes outside of this core group. It so happens that
during the past twelve months, domestic large cap stocks, as represented by the
S&P 500, had a particularly strong showing relative to other asset classes. For
example, the Russell 2000 Small Cap Stock Index returned only 16.60% over the
period, and international stocks, as represented by the Morgan Stanley Europe,
Asia and Far East (EAFE) Index fared even worse, with a return of just 10.80%.
Thus, our strategic decision to structure the portfolio to be well-diversified,
which we strongly believe is a sound one, did not help us over the past year.
Aetna Mutual Funds Annual Report 11
<PAGE>
Instead, the outstanding performance of our stock selection disciplines led to
our excellent performance. We made significant improvements in both our
investment research and in our portfolio implementation processes over the past
year, which together provide a solid foundation for future investment
performance. Several key additions to our professional investment staff have
greatly enhanced our quantitative research and management capabilities. We have
amassed a noteworthy historical database of company financials, analyst earnings
estimates, insider buying and selling, stock returns, and economic variables,
and have done cutting-edge research to uncover evidence of past market
inefficiencies which we exploit in our portfolios. State-of-the-art hardware,
software, and databases enable us to analyze and rebalance our portfolios nearly
every trading day using an extremely efficient computer-based model which
quickly processes an enormous amount of market, economic, and company
information. Carefully constructed portfolio risk-control and optimization
techniques enable us to focus the risk in our portfolios upon those
characteristics which we believe will be rewarded, and to neutralize all other
risks. Fortunately, the characteristics we favor -- attractive valuation,
positive earnings momentum, and shareholder-oriented management -- were well
rewarded by the market over the past year, and we believe that they are likely
to continue to help guide us to stocks which offer the potential for superior
returns.
+ Aetna Growth and Income Adviser Class shares performance for the year ended
October 31, 1996 was 24.70%, (performance does not reflect the deduction of
the 1% maximum contingent deferred sales charge), placing it in the top 18%
(88 out of 496) of Morningstar's growth and income stock fund universe. Select
Class and Adviser Class shares participate in the same portfolio of
securities. Past performance is no guarantee of future returns.
Large Cap Portfolio Sector Breakdown
Over/(Under)
Portfolio S&P 500 Weighting
Basic Materials 0.4% 6.5% (6.1)%
Producer Goods & Services 10.8% 12.6% (1.8)%
Technology 18.6% 11.0% 7.6 %
Consumer Goods 30.4% 32.9% (2.5)%
Services 0.0% 2.4% (2.4)%
Financial Services 17.4% 14.8% 2.6 %
Utilities 22.4% 19.8% 2.6 %
12
<PAGE>
Top Ten Equity Holdings
% of
Portfolio
---------
Intel Corp. 2.3%
Cisco Systems, Inc. 1.9%
Bristol-Meyers Squibb Co. 1.8%
Travelers, Inc. 1.8%
BankAmerica Corp. 1.7%
Mobil Corp. 1.7%
NationsBank Corp. 1.6%
Chrysler Corp. 1.6%
Microsoft Corp. 1.5%
Dell Computer Corp. 1.5%
Notional Notional
% of Value Value Economic
Asset Allocation Portfolio of Options* of Futures* Exposure*
Large Cap Stocks 57% 0 % 9 % 66%
Mid Cap Stocks 14% (12)% (2)% 0%
Small Cap Stocks 11% 1 % (1)% 11%
International Stocks 6% 0 % 1 % 7%
Real Estate Stocks 4% 0 % 0 % 4%
Special Situations 3% 0 % 0 % 3%
Convertible Securities 2% 0 % 0 % 2%
Cash Equivalents 3% 11 % (7)% 7%
---- ----- ---- ----
Total 100% 0 % 0 % 100%
* "Notional value" refers to the economic value at risk, or the exposure to the
financial instruments underlying the options and futures positions. "Economic
exposure" reflects the Fund's exposure to both changes in value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
Aetna Mutual Funds Annual Report 13
<PAGE>
Aetna Growth Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year Inception*
Select Class 19.82% 19.71%
Adviser Class 17.97% 18.81%
<TABLE>
<CAPTION>
Dec-93 Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Growth Fund (Select Class) 10000 10250 9900 10552 10559 11343 12682 13883 14181 15048 15638 16322 16622
S&P 500 Index 10000 9621 9661 10134 10132 11119 12180 13149 13940 14689 15347 15821 16258
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period.
* Date of inception for the Select Class was December 23, 1993, and April 15,
1994 for the Adviser Class.
Aetna Growth Fund
The Aetna Growth Fund Select Class shares returned 19.82% for the twelve month
period ended October 31, 1996 versus the 24.09% return for the S&P 500, an
unmanaged index, over the same period.+ This performance placed the Fund in the
top 46% (400 out of 873) of all growth funds tracked by Morningstar for the
period.
For the past year, the equity markets have focused intensely on the pace and
direction of the U.S. economy and its effect on interest rates. During the
summer, there was a concern that a rapid rate of growth could stretch the
economy's resources, causing inflation to accelerate and prompt the Federal
Reserve to raise interest rates. With the perfect vision of hindsight, this fear
now appears unfounded as inflation has remained remarkably stable despite the
extended nature of this economic expansion. The spring and summer's economic
spurt ran counter to a decelerating trend in the rate of growth in corporate
profits. As a result of this profit trend, the stock market has increasingly
focused on companies exhibiting earnings growth reliability (stable growth) and
a rising trend in analysts' earnings estimates. The Growth Fund's continuing
emphasis on issues with strong current earnings characteristics at reasonable
prices prompted several portfolio moves to reflect these changing earnings
fundamentals.
14
<PAGE>
The Fund's exposure to the cyclically sensitive raw material and capital goods
sectors was reduced as weakening product prices suggested future erosion of
profit growth. The overweighting in this area was a drag on performance during
the year. The technology sector was extremely volatile with a sharp price
correction occurring during the early summer months. The security selection and
overweighting in that area were generally positive as a result of opportunistic
purchases and the strong performance of Intel Corporation. Exposure was
increased to the energy sector, particularly oil services, where stronger oil
prices have produced a profit revival after many years of stagnant growth. To
further recognize the trend of weakening corporate profit momentum, the
portfolio's exposure to companies with a more stable profit trend was increased
with new positions added in Coca Cola, Anheuser Busch and Monsanto. We
eliminated positions in Bay Networks, Temple Inland, Titan Wheel, Motorola, and
several other issues where profit and share price performance were below
expectations.
The changing sentiment in the U.S. fixed income market was a substantial
influence on the equity markets in 1996. The mood progressed from euphoria
during the winter months to gloom during the summer when employment growth and
inflation seemed on the verge of taking off. From a portfolio perspective, the
reversal in the course of the bond market helped performance. As interest rates
moved up to the 7% area, as measured by the 30-year Treasury bond, we increased
exposure to the financial sector by adding positions in Federal National
Mortgage Association and Salomon, Inc. In addition, an underweighting in the
relatively weak utility sector, where competitive pressures have hindered profit
growth, also contributed to portfolio performance during the year.
The Growth Fund's strategy is to highlight issues with strong earnings
characteristics. In fiscal 1996, good earnings growth was a necessity in a
market that severely punished earnings shortfalls. Notable performers in the
portfolio during the year include Intel Corporation, United Technologies, Sun
Microsystems and the Travelers Group. Issues that detracted from performance
were Hewlett Packard, Pharmacia & Upjohn, and Phelps Dodge.
If the economy continues to be moderate, and interest rates and inflation remain
subdued, corporate earnings growth should prove to be an important determinant
of market performance in the months ahead. The equity market is likely to remain
volatile with stock selection and group rotation critical to portfolio
performance. In such an environment, the Growth Fund's emphasis on issues
demonstrating above average sales and earnings momentum appears to be a
reasonable strategy.
+ Aetna Growth Fund Adviser Class shares performance for the year ended October
31, 1996 was 18.97%, (performance does not reflect the deduction of the 1%
maximum contingent deferred sales charge), placing it in the top 53% (463 out
of 873) of Morningstar's growth stock fund universe. Select Class and Adviser
Class shares participate in the same portfolio of securities. Past performance
is no guarantee of future returns.
Aetna Mutual Funds Annual Report 15
<PAGE>
Portfolio Sector Breakdown
% of Over/(Under)
Portfolio S&P 500 Weighting
Basic Materials 7.0% 6.5% .5 %
Producer Goods & Services 19.2% 12.6% 6.6 %
Technology 20.8% 11.0% 9.8 %
Consumer Goods 22.3% 32.9% (10.6)%
Services 7.3% 2.4% 4.9 %
Financial Services 17.2% 14.8% 2.4 %
Utilities 6.2% 19.8% (13.6)%
Top Ten Holdings
% of
Portfolio
Intel Corp. 4.4%
Tidewater, Inc. 4.2%
Travelers, Inc. 4.1%
United Technologies Corp. 3.6%
Wells Fargo & Co. 3.4%
Olin Corp. 3.2%
Franklin Resources, Inc. 3.2%
Delta & Pine Land Co. 3.2%
General Motors Class H 3.2%
Salomon, Inc. 3.2%
16
<PAGE>
Aetna Small Company Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year Inception*
Select Class 19.78% 18.69%
Adviser Class 18.02% 17.80%
<TABLE>
<CAPTION>
Dec-93 Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Small Company Growth Fund
(Select Class) 10000 10070 9650 10320 10130 11162 12525 14138 15010 16227 16459 16448 16228
S&P 500 Index 10000 9621 9661 10134 10132 11119 12180 13149 13940 14689 15347 15821 16258
Russell 2000 Index 10000 9735 9356 10006 9819 10271 11234 12343 12611 13254 13917 13965 13749
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period. Both comparative
indices indicated are unmanaged.
* Date of inception for the Select Class was December 23, 1993, and April 15,
1994 for the Adviser Class.
Aetna Small Company Fund
The Aetna Small Company Fund Select Class shares returned 19.78% for the twelve
month period ended October 31, 1996, outpacing the 16.60% return for the Russell
2000, an unmanaged small capitalization stock index.+ The fund underperformed
the large cap stocks of the S&P 500 (which returned 24.09%) as investors favored
larger, more liquid stocks due to this year's economic uncertainty. This
performance placed the fund in the top 45% (172 out of 384) of Morningstar's
universe of small company funds.
Looking back, the Fund saw strong performance in the energy sector, consumer
cyclicals, financials, raw materials, and telephones. In energy we have been
overweighted in the oil service industry since late 1994, as we saw improving
fundamentals due to industry consolidation. We also were rewarded by investments
in selected exploration and production companies. In consumer cyclicals, the
Fund benefited from companies which significantly expanded their business
franchise, such as Fila Holdings, Wolverine World Wide, and Sun International
Hotels. Good results were also turned in by our investments in radio and
television, and the financial, raw materials, and telephone sectors provided
solid returns from selected issues.
The Fund's performance was hurt by our underweighting of the financial sector in
the first part of the year, and our overweighting of biotechnology stocks. Both
positions had added significantly to 1995's results, but later fell out of favor
as investors' concerns grew over the lack of liquidity. We have since increased
our weighting in
Aetna Mutual Funds Annual Report 17
<PAGE>
financials and lowered our exposure to biotechnology. And in general, our
performance was hurt by those issues whose earnings results did not meet
expectations.
While this market has been a tough one for small company issues,
we believe that over time, market pricing eventually returns to the underlying
value of the business entity. We continue to believe that our disciplined
strategy of focusing on those companies that have the strongest business
momentum and are selling at a reasonable price will continue to fare as well
into the future as they have done thus far.
+ Aetna Small Company Fund Adviser Class shares performance for the year ended
October 31, 1996 was 19.02%, (performance does not reflect the deduction of the
1% maximum contingent deferred sales charge), placing it in the top 51% (195 out
of 384) of Morningstar's small company fund universe. Select Class and Adviser
Class shares participate in the same portfolio of securities. Past performance
is no guarantee of future returns.
Portfolio Sector Breakdown
% of Over/(Under)
Sector Portfolio S&P 500 Weighting
- ------ ---------- --------- ------------
Basic Materials 14.3% 6.5% 7.8 %
Producer Goods & Services 12.6% 12.6% 0.0 %
Technology 10.6% 11.0% (0.4)%
Consumer Goods 23.9% 32.9% (9.0)%
Services 4.2% 2.4% 1.8 %
Financial Services 18.2% 14.8% 3.4 %
Utilities 16.2% 19.8% (3.6)%
Top Ten Holdings
% of
Portfolio
----------
Tucson Electric Power Co. 3.5%
National Data Corp. 3.4%
Delphi Financial Group, Inc. 2.7%
Sun International Hotels Ltd. 2.6%
BMC Industries, Inc. 2.4%
RCSB Financial, Inc. 2.4%
CapMAC Holdings, Inc. 2.3%
Crompton & Knowles Corp. 2.2%
Atlantic Tele-Network, Inc. 2.2%
Tyco Toys, Inc. 2.1%
18
<PAGE>
Aetna International Growth Fund
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996
1 Year 3 Year Inception
Select Class 15.61% 7.70% 7.10%
Adviser Class 13.67% n/a 6.66%
<TABLE>
<CAPTION>
Dec-91
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna International Growth Fund
(Select Class) 10000 9311 9521 9171 8921 9401 10011 10821 11620 11460 11571 11829 11627
MSCI EAFE Index 10000 8821 9016 9161 8816 9881 10883 11612 11720 12137 12766 12786 12665
Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna International Growth Fund
(Select Class) 11347 11484 12384 12437 13104 13806 13856 13927
MSCI EAFE Index 12910 13015 13568 14128 14547 14788 14781 14633
</TABLE>
Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The
performance of Adviser Class shares reflects the deduction of the maximum
contingent deferred sales charge for the applicable period.
* Date of inception for the Select Class was December 27, 1991, and April 15,
1994 for the Adviser Class.
Aetna International Growth Fund
The Aetna International Growth Fund Select Class shares returned 15.61% for the
twelve month period ended October 31, 1996, versus the 10.80% Morgan Stanley
Europe, Australia, and Far East (MSCI EAFE) index return, an unmanaged index,
outperforming it by 5%.+ Against its competitors, the Fund performed
exceptionally, placing in the top 19% (70 out of 361) of Morningstar's foreign
stock fund universe for the period. Importantly, the Fund has now also
outperformed the EAFE index on a three-year annualized basis, and has now
climbed to an above-average Morningstar ranking, top 24% (41 out of 171), for
the three year period ended October 31, 1996.
For the past year all major foreign markets performed well. The table below
lists returns for all popular benchmarks for the twelve month period.
Country Benchmark Twelve Month Return *
France CAC 18%
Germany DAX 23%
Hong Kong Hang Seng 28%
Italy MIB30 5%
Mexico Bolsa 40%
Japan TOPIX 10%
Malaysia KLSE 22%
United Kingdom FT-SE 100 13%
United States S&P 500 21%
* Returns are shown without dividends and are based in the local currency.
Aetna Mutual Funds Annual Report 19
<PAGE>
Lower interest rates, stronger economies, and the lack of inflationary threats
have helped spark the global equity rally. Our overweighting in Hong Kong helped
performance as this market rallied strongly on lower U.S. interest rates and the
potential rebound in the local property market.
The Fund's underweighting in Latin America hurt performance as this region's
economies continued to post surprising growth. Latin American economists predict
a 4% growth rate, a far cry from the negative growth that was experienced last
year. In Mexico, one-month interest rates are under 30%, versus 43% last year.
In addition, our overweighting in Scandinavia's strong markets helped
performance for the year.
One nation that has not quite rallied with the rest of the world is Japan, which
shows no signs of economic rebound despite record low interest rates. The Fund's
underweight exposure to this nation helped performance as the halt in Japan's
economic recovery appears to have stifled domestic investment, and with it,
market appreciation.
Scanning the rest of the globe, we note that German interest rates are at
all-time lows and the economy is showing signs of rebounding as industrial
production, consumer spending, and machinery orders are lifting the economy. All
major European economies are experiencing declining interest rates as
governments try to reach budget and deficit targets for economic monetary union.
Meanwhile, the United Kingdom is further along in the business cycle as the Bank
of England raised rates in October to help thwart its fast paced economy.
During this fiscal year, the U.S. Dollar rose 8% against the German Deutschemark
and 12% against the Japanese Yen as interest rate differentials currently favor
the dollar. Also, the Japanese and German governments have taken measures to
keep a stronger U.S. Dollar, which will boost their export industries.
Going into 1997, the markets will have to respond to several unique events. Will
economic monetary union occur? Will Hong Kong hand over to China diminished
investor appeal? Will the Japanese investors finally invest again in their own
market? We will continue to monitor these events and rebalance the Aetna
International Growth Fund accordingly.
+ Aetna International Growth Fund Adviser Class shares performance for the year
ended October 31, 1996 was 14.67%, (performance does not reflect the deduction
of the 1% maximum contingent deferred sales charge), placing it in the top 23%
(82 out of 361) of Morningstar's foreign stock fund universe. Select Class and
Adviser Class shares participate in the same portfolio of securities. Past
performance is no guarantee of future returns.
International investments involve risk not present in United States securities.
20
<PAGE>
Country Weightings
Portfolio MSCI EAFE
Japan 15.5% 35.2%
Hong Kong 10.6% 3.6%
United Kingdom 10.5% 18.2%
Germany 6.3% 7.3%
Malaysia 5.1% 2.6%
France 4.6% 6.7%
Italy 4.2% 2.7%
Sweden 4.0% 2.4%
Norway 3.6% 0.5%
Netherlands 3.4% 4.5%
Other 32.2% 16.3%
Top Ten Holdings
% of Portfolio
HSBC Holdings Plc (Hong Kong) 1.3%
Oy Nokia Ab (Finland) 1.2%
Hysan Development Co. Ltd. (Hong Kong) 1.2%
Great Eagle Holdings Ltd. (Hong Kong) 1.1%
Shell Transport & Trading Co. (United Kingdom) 1.1%
VEBA AG (Germany) 1.1%
Elf Aquitaine SA (France) 1.0%
Bank of East Asia Ltd. (Hong Kong) 1.0%
Matsushita Electric Industrial Co. Ltd. (Japan) 1.0%
Citic Pacific Ltd. (Hong Kong) 1.0%
Aetna Mutual Funds Annual Report 21
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
Principal
Amount Value
-------- ------
Asset-Backed Securities (13.3%)
Bridgestone/
Firestone
Master Trust,
Inc.+, 5.30%,
11/26/96 $5,000,000 $ 4,999,920
Capita Equipment
Receivables
Trust, 5.60%,
10/15/97 8,700,000 8,700,000
CARCO Auto Loan
Master Trust
1993-2,
3.225%,
11/15/98 4,500,000 4,500,000
Case Equipment
Loan Trust,
5.563%,
09/15/97 10,471,920 10,471,920
Dakota
Certificates -
Standard
Credit Card
Master
Trust 1+,
5.28%, 12/04/96 3,500,000 3,483,060
Dakota
Certificates -
Standard
Credit Card
Master
Trust 1+,
5.35%, 01/13/97 6,700,000 6,627,314
Dakota
Certificates -
Standard
Credit Card
Master
Trust 1+,
5.37%, 12/16/96 8,000,000 7,946,300
Nationsbank Auto
Owner Trust,
5.776%,
08/15/97 12,201,257 12,201,257
------------
58,929,771
------------
Certificates of Deposit (3.9%)
Advanta National
Bank, 5.20%,
11/15/96 6,000,000 6,000,000
Deutsche Bank
AG, New York
Branch, 5.22%,
02/28/97 $5,500,000 $ 5,500,000
Deutsche Bank
AG, New York
Branch, 5.32%,
03/06/97 6,000,000 6,000,000
------------
17,500,000
------------
Commercial Paper - Domestic (35.2%)
Avon Capital
Corp.+, 5.30%,
11/25/96 2,850,000 2,839,930
Avon Capital
Corp.+, 5.30%,
12/03/96 6,000,000 5,971,733
Avon Capital
Corp.+, 5.42%,
11/04/96 4,200,000 4,198,103
Avon Capital
Corp.+, 5.44%,
11/12/96 5,050,000 5,041,606
Ciesco L.P.,
5.32%, 02/12/97 1,700,000 1,674,124
Circuit City
Credit Card
Master Trust+,
5.30%, 11/12/96 7,000,000 7,000,000
Cooperative
Assoc. of
Tractor
Dealers, Inc.,
5.40%, 12/16/96 3,700,000 3,675,025
Cooperative
Assoc. of
Tractor
Dealers, Inc.,
5.52%, 12/19/96 2,100,000 2,084,544
Cooperative
Assoc. of
Tractor
Dealers, Inc.,
5.55%, 11/14/96 2,700,000 2,694,589
Countrywide Home
Loans, 5.36%,
01/22/97 2,000,000 1,975,582
22 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount Value
-------- ------
Commercial Paper - Domestic (continued)
Dealers Capital
Access Trust,
Inc., 5.30%,
12/20/96 $2,165,000 $ 2,149,382
Dealers Capital
Access Trust,
Inc., 5.32%,
12/31/96 775,000 768,128
Dealers Capital
Access Trust,
Inc., 5.35%,
11/15/96 1,500,000 1,496,879
Dealers Capital
Access Trust,
Inc., 5.43%,
02/14/96 1,800,000 1,771,493
Dean Witter
Discover &
Co., 5.38%,
01/29/97 4,000,000 3,946,798
Deer Park
Refining LP+,
5.39%, 11/13/96 2,700,000 2,700,023
EG&G, Inc.+,
5.28%, 11/12/96 1,000,000 998,387
EG&G, Inc.+,
5.35%, 11/13/96 2,100,000 2,096,255
EG&G, Inc.+,
5.35%, 11/14/96 2,500,000 2,495,170
Finova Capital
Corp., 5.40%,
11/13/96 2,600,000 2,595,320
Finova Capital
Corp., 5.55%,
02/10/97 5,000,000 4,922,146
Ford Motor
Credit Co.,
5.33%, 03/28/97 5,000,000 4,891,179
GE Capital
Corp., 5.34%,
04/30/97 3,000,000 2,919,900
General Signal
Corp.+, 5.30%,
12/27/96 2,700,000 2,677,740
Government
Development
Bank of Puerto
Rico, 5.30%,
12/09/96 $3,600,000 $ 3,579,860
Government
Development
Bank of Puerto
Rico, 5.30%,
12/16/96 4,600,000 4,569,525
GTE Corp.,
5.31%, 12/17/96 1,000,000 993,215
Hertz Corp.,
5.33%, 03/31/97 5,000,000 4,888,958
International
Lease Finance
Co., 5.44%,
11/19/96 2,200,000 2,194,016
Jefferson
Smurfit
Finance Corp.,
5.30%, 12/10/96 600,000 596,555
Jefferson
Smurfit
Finance Corp.,
5.45%, 03/17/97 1,600,000 1,567,058
Occidental
Petroleum,
5.55%, 12/20/96 4,100,000 4,069,028
Rohm & Haas Co.,
5.66%, 11/01/96 18,076,000 18,076,000
Sears Roebuck
Acceptance,
5.50%, 03/24/97 4,400,000 4,303,872
Transamerica
Finance Corp.,
5.33%, 11/18/96 5,400,000 5,386,409
Transamerica
Finance Group,
5.34%, 03/26/97 6,700,000 6,555,894
Transamerica
Finance Group,
5.47%, 11/18/96 3,500,000 3,490,959
Aetna Mutual Funds Annual Report 23
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Money Market Fund (continued)
- --------------------------------------------------------------------------------
Principal
Amount Value
-------- ------
Commercial Paper - Domestic (continued)
Whirlpool
Financial
Corp., 5.30%,
11/18/96 $5,500,000 $ 5,486,235
Whirlpool
Financial
Corp., 5.35%,
12/18/96 2,200,000 2,184,634
Whirlpool
Financial
Corp., 5.40%,
12/30/96 2,400,000 2,378,760
Whirlpool
Financial
Corp., 5.70%,
11/01/96 10,301,000 10,301,000
WMX
Technologies,
Inc.+, 5.43%,
01/24/97 2,000,000 1,974,660
------------
156,180,674
------------
Commercial Paper - Foreign (8.9%)
Abbey National
Europe, 5.52%,
02/26/97 7,500,000 7,500,237
Abbey National
North America,
5.30%, 11/29/96 3,000,000 2,987,633
Abbey National
Plc, 5.34%,
11/12/96 4,200,000 4,193,147
Central Hispano
NA Capital
Corp., 5.33%,
04/28/97 5,000,000 4,868,231
Central Hispano
NA Capital
Corp., 5.44%,
02/27/97 4,500,000 4,419,760
Central Hispano
NA Capital
Corp., 5.44%,
02/28/97 4,500,000 4,419,080
Province of
British
Columbia,
5.30%, 11/18/96 1,600,000 1,595,996
Province of
British
Columbia,
5.40%, 02/11/97 $5,100,000 $ 5,021,970
Svenska
Handelsbanken,
Inc., 5.40%,
02/28/97 4,500,000 4,419,675
------------
39,425,729
------------
Corporate Bonds (7.9%)
America Honda
Finance
Corp.+,
5.488%,
05/01/97 8,000,000 8,000,000
Discover Credit,
8.89%, 02/10/97 1,500,000 1,513,662
Finova Capital
Corp., 5.595%,
04/15/97 11,000,000 11,000,001
First National
Bank of
Boston, 5.47%,
03/31/97 4,000,000 4,000,000
GMAC Australia
Finance,
6.145%,
12/06/96 6,000,000 6,000,838
GMAC Europe
Finance,
6.375%,
11/21/96 2,000,000 2,000,454
Greyhound
Financial
Corp, 7.95%,
05/19/97 2,300,000 2,327,306
------------
34,842,261
------------
Corporate Notes (18.9%)
Advanta Corp.,
5.125%,
11/15/96 2,000,000 1,999,504
Advanta National
Bank, FRN,
5.783%,
09/18/97 3,150,000 3,150,979
British Columbia
Hydro & Power
Authority,
15.50%,
11/15/96 3,200,000 3,424,096
24 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount Value
-------- ------
Corporate Notes (continued)
Capital One
Bank, FRN,
6.233%,
02/03/97 $4,100,000 $ 4,104,117
Caterpillar
Inc., 9.125%,
12/15/96 400,000 401,600
Chrysler
Financial
Corp., 5.16%,
12/17/96 2,100,000 2,098,558
Chrysler
Financial
Corp., 6.25%,
11/15/96 6,000,000 6,000,504
Chrysler
Financial
Corp., 8.125%,
12/15/96 1,000,000 1,002,800
Corporate Asset
Funding Co.
Inc., FRN+,
5.787%,
12/02/96 8,000,000 7,999,865
Export-Import
Bank of Korea,
7.85%, 11/01/96 5,000,000 5,000,000
General Motors
Acceptance
Corp., 7.625%,
02/15/97 1,000,000 1,004,511
Golden West
Financial,
10.25%,
05/15/97 3,900,000 3,994,497
Household Bank
FSB, FRN,
5.46%, 09/19/97 15,540,000 15,538,629
International
Lease Finance
Corp., 6.375%,
11/01/96 1,200,000 1,200,000
Money Funding,
Inc., 8.125%,
04/07/97 2,930,000 2,954,000
PNC Bank NA,
FRN, 5.396%,
07/02/97 20,000,000 19,986,736
Public Service
Electric & Gas
Co., 8.75%,
11/01/96 $1,718,000 $ 1,718,000
Sears Roebuck &
Co., FRN,
5.588%,
05/12/97 2,100,000 2,100,657
------------
83,679,053
------------
Medium Term Notes (9.7%)
America Honda
Finance
Corp.+, 5.55%,
04/15/97 9,200,000 9,200,001
American Honda
Finance Corp.,
FRN+, 5.488%,
09/04/97 4,000,000 4,000,000
AT&T Capital
Corp., 5.45%,
11/01/96 6,000,000 6,000,000
BT Securities
Corp. Euro,
FRN, 5.883%,
02/03/97 2,100,000 2,100,906
Chrysler
Financial
Corp., 7.11%,
03/21/97 2,000,000 2,013,762
Columbia/HCA
Healthcare
Corp., FRN+,
5.455%,
07/28/97 2,750,000 2,749,772
Discover Credit,
7.76%, 05/13/97 4,200,000 4,236,675
Discover Credit,
7.81%, 03/18/97 5,000,000 5,038,797
General Motors
Acceptance
Corp., 6.445%,
04/13/98 6,500,000 6,502,373
General Motors
Acceptance
Corp., 7.75%,
01/17/97 1,000,000 1,004,861
------------
42,847,147
------------
Aetna Mutual Funds Annual Report 25
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Money Market Fund (continued)
- --------------------------------------------------------------------------------
Principal
Amount Value
-------- ------
U.S. Government Agency Obligations
(2.0%)
Federal National
Mortgage
Association,
4.84%, 02/18/97 $4,000,000 $ 4,000,992
Student Loan
Marketing
Association,
FRN, 5.20%,
01/21/97 5,000,000 5,000,573
------------
9,001,565
------------
Total Investments
(cost
$442,406,200) (a) 442,406,200
Other assets
less
liabilities 723,958
------------
Total Net Assets $443,130,158
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical. There
were no unrealized gains and losses as of October 31, 1996.
+ 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.
Category percentages are based on net assets.
26 See Notes to Financial Statements.
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Government Fund
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- ------
Long-Term Bonds and Notes (88.0%)
U.S. Treasury Obligations (31.0%)
U.S. Treasury
Note, 5.75%,
08/15/03 $2,000,000 $1,948,444
U.S. Treasury
Note, 6.50%,
05/31/01 1,500,000 1,525,079
-----------
3,473,523
-----------
U.S. Government Agency Obligations
(30.7%)
Private Export
Funding Corp.,
5.48%, 09/15/03 700,000 683,715
Small Business
Administration
91-20K, 8.25%,
11/01/11 838,213 880,753
Small Business
Administration
92-20K, 7.55%,
11/01/12 844,878 867,690
Student Loan
Marketing
Association,
6.22%, 07/23/97 1,000,000 1,005,000
-----------
3,437,158
-----------
U.S. Government Agency Mortgage-Backed
Securities (17.9%)
Government
National
Mortgage
Association,
9.00%, 05/15/16 478,456 506,266
Government
National
Mortgage
Association,
9.00%, 07/15/16 487,078 515,389
Government
National
Mortgage
Association,
7.00%, 04/15/26 998,831 980,416
-----------
2,002,071
-----------
Asset-Backed Securities (4.5%)
First Chicago
Master Trust
94I-A, 5.55%,
01/15/99 $ 500,000 $ 500,840
-----------
Foreign and Supranationals (3.9%)
Inter-American
Development
Bank, 12.25%,
12/15/08 300,000 432,000
-----------
Total Long-Term
Bonds and Notes
(cost
$9,920,267) 9,845,592
-----------
Short-Term Investments (10.8%)
Federal Home Loan
Mortgage Corp.,
Comm. Paper,
5.50%, 11/01/96 607,000 607,000
Student Loan
Marketing
Association,
Disc. Note,
5.53%, 11/01/96 600,000 600,000
-----------
Total Short-Term
Investments
(cost
$1,207,000) 1,207,000
-----------
Total Investments
(cost $11,127,267)
(a) 11,052,592
Other assets less
liabilities 135,645
-----------
Total Net Assets $11,188,237
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at October 31,
1996, are as follows:
Unrealized gains .......... $ 66,462
Unrealized losses ......... (141,137)
==========
Net unrealized loss ... $ (74,675)
==========
Category percentages are based on net assets.
See Notes to Financial Statements. Aetna Mutual Funds Annual Report 27
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Bond Fund
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- -------
28 See Notes to Portfolio of Investments.
Long-Term Bonds and Notes (86.9%)
U.S. Treasury Obligations (20.4%)
U.S. Treasury
Bond, 5.25%,
12/31/97 $2,500,000 $2,491,016
U.S. Treasury
Note, 5.875%,
04/30/98 1,000,000 1,003,437
U.S. Treasury
Note, 6.375%,
05/15/99 500,000 506,035
U.S. Treasury
Note, 6.875%,
03/31/00 2,000,000 2,055,305
-----------
6,055,793
-----------
U.S. Government Agency Obligations
(10.9%)
Private Export
Funding Corp.,
5.48%, 09/15/03 1,400,000 1,367,429
Small Business
Administration
92-20K, 7.55%,
11/01/12 844,878 867,690
Student Loan
Marketing
Association,
6.22%, 07/23/97 1,000,000 1,005,000
-----------
3,240,119
-----------
U.S. Government Agency Mortgage-Backed
Securities (8.0%)
Federal Home Loan
Mortgage Corp.,
7.875%, 12/01/22 790,628 811,162
Federal National
Mortgage
Association,
0.00%, 06/25/19 270,450 250,167
Government
National
Mortgage
Association,
7.00%, 04/15/26 1,013,164 994,484
Government
National
Mortgage
Association,
9.50%, 07/15/18 $ 288,756 $ 311,766
-----------
2,367,579
-----------
Asset-Backed Securities (3.4%)
First Chicago
Master Trust
94I-A, 5.55%,
01/15/99 1,000,000 1,001,680
-----------
Corporate Bonds (16.8%)
American Express
Credit Corp.,
8.50%, 06/15/99 1,000,000 1,056,835
Associates Corp.
N.A., 8.55%,
07/15/09 1,000,000 1,132,675
Commercial Credit
Co., 8.70%,
06/15/09 1,000,000 1,146,840
Paramount
Communications,
Inc., 7.50%,
07/15/23 500,000 430,565
Teleport
Communications,
0.00%, 07/01/07 1,000,000 642,500
TRW, Inc., 9.35%,
06/04/20 500,000 603,815
-----------
5,013,230
-----------
Foreign and Supranationals (17.7%)
African
Development
Bank, 8.80%,
09/01/19 250,000 297,460
China
International
Trust, 9.00%,
10/15/06 500,000 551,527
Inter-American
Development
Bank, 12.25%,
12/15/08 500,000 720,000
28 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- ------
Foreign and Supranationals (continued)
International Bank
For
Reconstruction &
Development,
9.25%, 07/15/17 $1,000,000$1,238,255
KFW International
Finance, 8.85%,
06/15/99 500,000 532,790
Korea Electric,
6.375%, 12/01/03 500,000 491,465
Rogers
Cablesystem,
10.00%, 03/15/05 500,000 511,250
Swire Pacific,
Ltd+, 8.50%,
09/29/04 500,000 537,210
United Mexican
States
Government+,
7.688%, 08/06/01 400,000 400,040
-----------
5,279,997
-----------
Non-Agency Mortgage-Backed Securities
(9.7%)
Marine Midland
1992-1, 8.00%,
04/25/23 943,807 963,568
Prudential Home
Mortgage, 7.00%,
12/25/07 830,526 818,068
Prudential Home
Mortgage, 7.50%,
06/25/07 643,950 645,661
Resolution Trust
Corp. 1991-17
B6, 8.20%,
09/25/21 465,714 468,239
-----------
2,895,536
-----------
Total Long-Term
Bonds and Notes
(cost $25,234,688) 25,853,934
-----------
Short-Term Investments (12.2%)
AT&T Capital
Corp., Comm.
Paper, 5.45%,
11/04/96 $1,200,000$1,199,455
Dealers Capital
Access Trust,
Inc., Comm.
Paper, 5.70%,
11/01/96 1,200,000 1,200,000
Koch Industries,
Inc.+, Comm.
Paper, 5.65%,
11/01/96 1,238,000 1,238,000
-----------
Total Short-Term
Investments
(cost $3,637,455) 3,637,455
-----------
Total Investments
(cost $28,872,143)
(a) 29,491,389
Other assets less
liabilities 249,653
-----------
$29,741,042
-----------
Total Net Assets
Notes to Portfolio of Investments
(a) The cost of investments for federal
income tax purposes is identical.
Unrealized gains and losses, based on
identified tax cost at October 31,
1996, are as follows:
Unrealized gains ........... $703,588
Unrealized losses .......... (84,342)
=========
Net unrealized gain .... $619,246
=========
+ 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.
Category percentages are based on net assets.
See Notes to Financial Statements. Aetna Mutual Funds Annual Report 29
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
The Aetna Fund
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Common Stocks (49.1%)
Aerospace and Defense (1.0%)
United
Technologies Corp. 7,500 $ 965,625
-----------
Apparel (2.7%)
Gap, Inc. 15,800 458,200
Liz Claiborne, Inc. 9,400 397,150
Nike, Inc. Class B 14,800 871,350
St. John Knits, Inc. 600 27,450
Tommy Hilfiger Corp.+ 13,500 702,000
Wolverine World
Wide, Inc. 1,500 37,125
-----------
2,493,275
-----------
Autos and Auto Equipment (0.9%)
Chrysler Corp. 19,400 652,325
Intermet Corp. 4,000 47,500
Kaydon Corp. 700 28,525
SPX Corp. 600 17,025
Tower
Automotive, Inc.+ 1,100 32,038
Wynn's
International,
Inc. 600 17,025
-----------
794,438
-----------
Banks (1.7%)
Bancorp Hawaii, Inc. 1,000 39,625
Boatmen's
Bancshares, Inc. 2,100 127,575
Cal Fed Bancorp,
Inc.+ 1,000 23,250
CCB Financial Corp. 1,000 57,000
City National Corp. 1,500 26,250
Community First
Bankshares, Inc. 2,000 49,500
Corus Bankshares,
Inc. 700 21,525
Cullen/Frost
Bankers, Inc. 1,900 $ 57,119
Hibernia Corp.
Class A 800 8,900
HUBCO, Inc. 2,575 55,363
Imperial Bancorp+ 2,400 46,500
Liberty Bancorp,
Inc. Oklahoma 800 31,000
Magna Group, Inc. 1,000 28,000
Mercantile
Bankshares Corp. 1,700 51,213
ML Bancorp, Inc. 4,000 55,750
NationsBank Corp. 5,700 537,225
North Side Savings
Bank Bronx NY 1,000 48,250
Provident Bancorp 1,050 46,528
Provident
Bankshares Corp. 1,050 37,800
Riggs National
Corp. 3,000 51,375
Security Capital
Corp. 800 52,800
Silicon Valley
Bancshares+ 900 23,513
TR Financial Corp. 1,600 48,600
Westamerica
Bancorp. 700 35,525
Zion Bancorporation 600 54,300
-----------
1,614,486
-----------
Building Materials and Construction
(0.5%)
ABT Building
Products Corp.+ 2,000 42,000
Ameron, Inc. 700 28,963
Apogee
Enterprises, Inc. 800 30,800
Arvin Industries,
Inc. 1,200 27,450
Centex Corp. 700 21,088
Champion
Enterprises, Inc.+ 5,428 107,203
30 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Building Materials and Construction
(continued)
Continental Homes
Holding Corp. 2,500 $ 40,625
Granite
Construction, Inc. 2,650 51,013
NCI Building
Systems, Inc.+ 1,100 36,025
Oakwood Homes Corp. 1,800 47,700
Texas Industries, Inc. 900 51,075
Tredegar
Industries, Inc. 600 22,950
-----------
506,892
-----------
Chemicals (1.5%)
Cytec Industries+ 1,400 50,050
Fuller (H.B.) Co. 700 29,225
Learonal, Inc. 1,100 24,338
Monsanto Co. 18,700 740,988
Olin Corp. 12,000 510,000
-----------
1,354,601
-----------
Commercial Services (1.0%)
Carriage Services,
Inc.+ 1,000 22,625
Daisytek
International
Corp.+ 1,000 38,250
Electro Rent Corp.+ 2,000 46,000
May & Speh, Inc.+ 2,500 41,563
Measurex Corp. 2,200 56,650
Service Corp.
International 17,600 501,600
Stewart
Enterprises, Inc. 1,500 51,375
United Waste
Systems, Inc.+ 1,600 55,000
US Filter Corp.+ 1,800 62,100
Wackenhut Corp.
Class B 2,200 $ 29,425
-----------
904,588
-----------
Computer Software (3.3%)
Applix, Inc.+ 1,000 24,250
BMC Software, Inc.+ 10,800 896,400
Brooktrout
Technology, Inc.+ 500 16,125
Cadence Design
Systems, Inc.+ 8,400 306,600
Cisco Systems, 14,800 915,750
Inc.+
Computer
Associates
International,
Inc. 13,775 814,447
Rational
Software Corp.+ 800 30,700
-----------
3,004,272
-----------
Computers and Office Equipment (1.4%)
Comdisco, Inc. 1,900 56,763
Compaq
Computer Corp.+ 6,100 424,713
Converse
Technology, Inc.+ 1,000 35,000
DH Technology,
Inc.+ 2,000 46,500
Herman Miller, Inc. 1,000 43,125
Sun
Microsystems,
Inc.+ 10,900 664,900
Wallace Computer
Services, Inc. 2,000 58,750
-----------
1,329,751
-----------
Consumer Products (0.6%)
Gillette Co. 5,600 418,600
Helen of Troy Ltd.+ 3,500 63,875
Lewis Galoob
Toys, Inc.+ 1,800 48,375
-----------
530,850
-----------
Aetna Mutual Funds Annual Report 31
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
The Aetna Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Diversified (3.1%)
Allied Signal, Inc. 12,500 $ 818,750
Day Runner, Inc.+ 800 22,400
Deere & Co. 16,600 693,050
DT Industries, Inc. 1,600 63,200
Eastern Enterprises 1,400 53,900
Harsco Corp. 900 57,488
Robbins & Myers, Inc. 1,000 22,500
Textron, Inc. 3,800 337,250
Tyco
International, 15,200 754,300
Ltd.
-----------
2,822,838
-----------
Electrical and Electronics (1.5%)
BMC Industries, Inc. 1,700 50,363
Computer
Products, Inc.+ 3,000 59,250
CTS Corp. 300 12,600
DuPont
Photomasks, Inc.+ 1,900 69,350
Eltron
International,
Inc.+ 1,700 60,138
Hadco Corp.+ 1,000 30,375
Intel Corp. 7,700 846,038
KU Energy Corp. 2,000 59,250
Logicon, Inc. 1,000 41,375
Symbol
Technologies,
Inc.+ 1,000 44,875
Technitrol, Inc. 2,000 66,250
Waters Corp.+ 1,900 58,900
-----------
1,398,764
-----------
Electrical Equipment (2.6%)
Berg Electronics
Corp.+ 2,000 56,500
Fluke Corp. 1,500 60,000
General Electric Co. 7,800 754,650
Honeywell, Inc. 9,300 $ 577,763
Jabil Circuit,
Inc.+ 2,400 57,600
LeCroy Corp.+ 600 17,700
Microchip
Technology, Inc.+ 1,500 54,375
Raychem Corp. 8,600 671,875
Rexel, Inc.+ 1,800 26,100
Sanmina Corp.+ 1,400 64,050
SCI Systems, Inc.+ 1,000 49,750
Valmont Industries 1,500 51,750
-----------
2,442,113
-----------
Financial Services (4.7%)
Alex Brown &
Sons, Inc. 600 34,050
Astoria
Financial Corp.+ 1,900 67,213
Chase Manhattan
Corp. 7,900 677,425
ContiFinancial
Corp.+ 2,000 65,000
Great Financial
Corp. 1,900 55,575
Green Tree
Financial Corp. 14,800 586,450
Imperial Credit
Industries, Inc.+ 3,000 54,375
MBNA Corp. 5,400 203,850
Metris
Companies, Inc.+ 100 2,375
Money Store, Inc.
(The) 2,400 61,800
Olympic
Financial Ltd.+ 1,100 17,463
Quick & Reilly
Group, Inc. 800 21,100
Raymond James
Financial, Inc. 2,000 48,750
RCSB Financial, Inc. 1,400 40,600
SunAmerica, Inc. 24,200 907,500
32 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Financial Services (continued)
T. Rowe Price
Associates 13,200 $ 450,450
Travelers, Inc. 17,050 924,963
Union Planters Corp. 1,525 52,970
WFS Financial,
Inc.+ 2,600 54,600
-----------
4,326,509
-----------
Foods and Beverages (1.9%)
Coca-Cola Co. 11,000 555,500
Hershey Foods Corp. 12,300 595,013
Interstate
Bakeries Corp. 14,800 627,150
-----------
1,777,663
-----------
Health Services (0.7%)
HEALTHSOUTH Corp.+ 16,500 618,750
Universal Health
Services, Inc.+ 1,000 25,000
-----------
643,750
-----------
Home Furnishings and Appliances (0.2%)
Bush Industries,
Inc., Class A 800 13,300
Carlisle Cos., Inc. 1,000 56,875
Ethan Allen
Interiors, Inc. 1,700 60,775
Mohawk
Industries, Inc.+ 1,000 24,250
-----------
155,200
-----------
Hotels and Restaurants (1.7%)
Consolidated
Products, Inc.+ 1,600 27,200
Foodmaker, Inc.+ 5,500 53,625
HFS, Inc.+ 8,800 644,600
Hilton Hotels Corp. 24,400 741,150
Quality Dining,
Inc.+ 1,500 $ 32,250
Red Lion Hotels,
Inc.+ 1,800 54,000
Sun International
Hotels Ltd.+ 1,100 51,975
-----------
1,604,800
-----------
Insurance (1.5%)
American Bankers
Insurance Group 1,100 52,800
American
International
Group, Inc. 6,100 662,613
American
Travelers Corp.+ 850 29,219
Capital RE Corp. 1,200 46,500
CapMAC
Holdings, Inc. 1,500 50,063
CMAC
Investment Corp. 800 55,300
Delphi Financial
Group, Inc.+ 1,000 28,125
Enhance Financial
Services Group,
Inc. 1,700 56,738
Fremont General
Corp. 1,950 57,281
Horace Mann
Educators Corp. 1,600 54,800
Markel Corp.+ 600 52,200
Orion Capital Corp. 1,100 59,813
Protective Life
Corp. 900 31,050
Reliastar
Financial Corp. 1,000 53,000
Selective
Insurance Group,
Inc. 1,300 44,525
Vesta Insurance
Group, Inc. 1,400 35,875
-----------
1,369,902
-----------
Aetna Mutual Funds Annual Report 33
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
The Aetna Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Machinery and Equipment (0.7%)
Case Corp. 10,400 $ 483,600
Cooper
Cameron Corp.+ 1,000 63,875
Gleason Corp. 1,000 30,125
Global Industrial
Technologies,
Inc.+ 1,200 22,350
Hughes Supply, Inc. 1,000 38,000
JLG Industries, Inc. 2,900 43,500
-----------
681,450
-----------
Media and Entertainment (0.8%)
Cannondale Corp.+ 1,700 32,725
Fleetwood
Enterprises, Inc. 1,300 43,875
K2, Inc. 2,000 46,000
Omnicom Group, Inc. 12,200 606,950
Univision
Communications
Inc.+ 1,300 43,875
-----------
773,425
-----------
Medical Supplies (0.2%)
Coherent, Inc.+ 1,600 62,400
Hologic, Inc.+ 1,800 40,950
OrNda HealthCorp.+ 2,100 57,225
-----------
160,575
-----------
Metals and Mining (0.5%)
AK Steel
Holding Corp. 1,000 35,500
Brush Wellman, Inc. 1,400 26,425
Commercial Metals
Co. 1,500 46,500
Gibraltar Steel
Corp.+ 600 14,550
Mueller
Industries, Inc.+ 1,300 52,325
Olympic Steel,
Inc.+ 2,200 55,000
Oregon
Metallurgical
Corp.+ 1,500 $ 47,250
Penn Engineering &
Manufacturing
Corp. 3,100 55,025
Reliance Steel &
Aluminum Co. 700 25,638
RMI Titanium Co.+ 1,000 24,125
Shiloh Industries,
Inc.+ 3,000 49,500
Wolverine Tube,
Inc.+ 700 27,913
-----------
459,751
-----------
Oil and Gas (3.9%)
BJ Services Co.+ 500 22,438
Camco
International,
Inc. 1,000 38,750
Cliffs Drilling
Co.+ 1,100 47,163
Halliburton Co. 11,700 662,513
Helmerich &
Payne, Inc. 1,300 70,363
Marine Drilling
Co., Inc.+ 1,800 24,975
Mobil Corp. 4,200 490,350
NorAm Energy Corp. 4,000 61,500
Reading &
Bates Corp.+ 2,000 57,500
Santa Fe Energy
Resources, Inc.+ 4,200 59,850
Schlumberger Ltd. 7,500 743,438
Seacor Holdings+ 700 37,800
Smith
International, Inc.+ 1,600 60,800
Swift Energy Co.+ 2,200 53,900
Tesoro
Petroleum Corp.+ 4,500 66,375
Texaco, Inc. 4,800 487,800
Tidewater, Inc. 11,500 503,125
34 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Oil and Gas (continued)
Tuboscope Vetco
International
Corp.+ 3,900 $ 59,475
Vintage Petroleum,
Inc. 1,400 41,300
-----------
3,589,415
-----------
Paper and Containers (0.1%)
Caraustar
Industries, Inc. 1,500 43,875
Sealed Air Corp.+ 1,000 38,875
-----------
82,750
-----------
Pharmaceuticals (4.5%)
American Home
Products Corp. 8,700 532,875
Amgen, Inc.+ 13,100 803,194
IDEC
Pharmaceuticals
Corp.+ 2,200 47,575
Johnson & Johnson 15,006 739,046
Medeva Plc 2,000 34,250
Merck & Co., Inc. 7,800 578,175
Pfizer, Inc. 9,400 777,850
Schering Plough 10,500 672,000
-----------
4,184,965
-----------
Printing and Publishing (0.0%)
Meredith Corp. 600 30,150
-----------
Real Estate Investment Trusts (0.2%)
Bre Properties,
Inc. Class A 600 13,800
CWM Mortgage
Holdings, Inc. 2,000 41,500
Patriot American
Hospitality, Inc. 1,000 35,125
Public Storage, Inc. 1,600 36,800
Starwood
Lodging Trust 1,300 $ 58,500
-----------
185,725
-----------
Retail (3.4%)
Borders Group, Inc.+ 1,400 44,100
Carson Pirie
Scott & Co.+ 2,200 54,725
Claire's Stores,
Inc. 2,450 41,650
Compucom
Systems, Inc.+ 1,400 13,650
Dayton Hudson Corp. 20,200 699,425
Eagle Hardware &
Garden, Inc.+ 1,000 28,625
Friedman's, Inc.
Class A+ 1,400 22,925
Inacom Corp.+ 1,700 53,763
Insight
Enterprises,
Inc.+ 1,200 40,800
Laclede Gas Co. 1,200 28,050
Meyer (Fred), Inc.+ 700 24,588
Pier 1 Imports,
Inc. 2,700 37,800
Revco D.S., Inc.+ 900 27,113
Ross Stores, Inc. 1,400 58,100
Safeway, Inc.+ 16,600 711,725
Sears, Roebuck
& Co. 7,000 338,625
TJX Companies, Inc. 21,300 852,000
Wet Seal, Inc.+ 700 22,050
Zale Corp.+ 2,600 50,375
-----------
3,150,089
-----------
Telecommunications (0.7%)
Digital Systems
International,
Inc.+ 3,000 40,875
PictureTel Corp.+ 1,000 27,000
Aetna Mutual Funds Annual Report 35
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
The Aetna Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Telecommunications (continued)
U.S. Robotics Corp.+ 8,500 $ 534,438
-----------
602,313
-----------
Transportation (0.6%)
Avondale
Industries, Inc.+ 2,900 47,488
Burlington
Northern Santa Fe 4,700 387,163
Comair Holdings,
Inc. 2,425 48,803
Heartland
Express, Inc.+ 1,350 29,700
SkyWest, Inc. 1,000 15,000
-----------
528,154
-----------
Utilities - Electric (0.7%)
Calenergy, Inc.+ 1,800 52,200
Central Hudson Gas
& Electric Co. 1,800 54,000
Central Maine
Power Co. 2,000 23,500
Central Vermont
Public Service 4,300 53,213
Commonwealth
Energy System Co. 2,000 48,000
Idaho Power Co. 1,700 52,913
IES Industries,
Inc. 1,200 36,900
Interstate Power 1,400 42,525
Co.
Public Service Co.
of New Mexico 1,400 26,250
TNP Enterprises,
Inc. 1,800 46,575
Tucson Electric
Power Co.+ 1,400 27,650
United
Illuminating Co. 1,600 53,200
Washington Water
Power Co. 2,000 38,250
WPL Holdings, Inc. 2,000 56,250
WPS Resources Corp. 1,800 $ 53,550
-----------
664,976
-----------
Utilities - Oil and Gas (0.2%)
Atmos Energy Corp. 2,000 47,500
NUI Corp. 2,200 43,725
People's Energy
Corp. 1,500 52,875
Washington Gas
Light Co. 1,200 26,850
Wicor, Inc. 1,500 53,438
-----------
224,388
-----------
Utilities - Water (0.1%)
American Water
Works Co., Inc. 2,700 55,013
-----------
Total Common
Stocks (cost
$35,116,413) 45,413,456
-----------
Principal Market
Amount Value
-------- -------
Long-Term Bonds and Notes (29.3%)
U.S. Government and Agency Obligations
(13.1%)
U.S. Treasury
Bond, 5.25%,
12/31/97 $2,000,000$1,992,813
U.S. Treasury
Bond, 6.25%,
06/30/98 1,200,000 1,211,250
U.S. Treasury
Bond, 6.375%,
03/31/01 1,000,000 1,011,875
U.S. Treasury
Bond, 7.625%,
02/15/25 250,000 278,633
U.S. Treasury
Note, 5.75%,
10/31/00 7,700,000 7,618,188
-----------
Total U.S. Government
(cost $11,966,339) 12,112,759
-----------
Corporate and Convertible Bonds (9.3%)
American General
Finance, 8.45%,
10/15/09 1,000,000 1,120,490
36 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
---------- -------
Corporate and Convertible Bonds
(continued)
BCH Cayman Islands
Ltd., 7.70%,
07/15/06 $ 900,000 $ 934,101
Centennial
Cellular Corp.,
10.125%, 05/15/05 450,000 441,000
CMS Energy,
9.875%, 10/01/99 750,000 785,625
Commercial Credit
Co., 8.70%,
06/15/09 1,000,000 1,146,840
Exide Corp.,
10.00%, 04/15/05 525,000 535,500
Kaman Corp.,
6.00%, 03/15/12 499,000 422,903
MFS
Communications,
Inc., 0.00%,
01/15/06 350,000 248,500
News America
Holdings, 8.50%,
02/23/25 700,000 774,442
Rogers Cantel,
Inc., 9.375%,
06/01/08 400,000 404,000
Tele-Communcations,
Inc., 9.80%,
02/01/12 800,000 829,376
Viacom, Inc.,
8.00%, 07/07/06 1,000,000 940,000
-----------
Total Corporate and
Convertible
Bonds (cost $8,283,917 8,582,777
-----------
Foreign and Supranationals (5.4%)
African
Development
Bank, 8.80%,
09/01/19 1,000,000 1,189,840
App International
Finance, 10.25%,
10/01/00 350,000 356,563
App International
Finance, 11.75%,
10/01/05 200,000 207,750
Poland Discount
Bond, 6.438%,
10/27/24 $1,000,000$ 957,500
Poland Non-US Glb
Reg'd, 4.00%,
10/27/14 1,000,000 825,625
Swire Pacific,
Ltd++, 8.50%,
09/29/04 1,000,000 1,074,420
Transport De Gas
Del Sur, 7.75%,
12/23/98 400,000 395,160
-----------
Total Foreign and
Supranationals
(cost
$4,619,992) 5,006,858
-----------
Non-Agency Mortgage-Backed Securities
(1.5%)
Merrill Lynch
Mortgage
Investors, Inc.,
7.66%, 06/15/21 861,947 882,015
Resolution Trust
Corp. 1991-17
B6, 8.20%,
09/25/21 465,714 468,239
-----------
Total Non-Agency
Mortgage-Backed
Securities
(cost $1,339,756) 1,350,254
-----------
Total Long-Term
Bonds and Notes
(cost $26,210,004) 27,052,648
-----------
Short-Term Investments (20.9%)
AT&T Capital
Corp., Comm.
Paper, 5.45%,
11/04/96 4,000,000 3,998,183
Cooperative
Association of
Tractor Dealers
Inc., Comm.
Paper, 5.65%,
11/01/96 3,000,000 3,000,000
Corning Inc.,
Comm. Paper,
5.65%, 11/01/96 3,022,000 3,022,000
Aetna Mutual Funds Annual Report 37
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
The Aetna Fund (continued)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
---------- -------
Short-Term Investments (continued)
Dealers Capital
Access Trust,
Inc., Comm.
Paper, 5.70%,
11/01/96 $2,800,000$2,800,000
Enron Corp., Comm.
Paper, 5.80%,
11/01/96 3,000,000 3,000,000
Koch Industries,
Inc., Comm.
Paper, 5.65%,
11/01/96++ 3,093,000 3,093,000
U.S. Treasury
Bill, Time
Deposit, 4.95%,
11/14/96 210,000 209,607
U.S. Treasury
Bill, Time
Deposit, 5.14%,
11/14/96 200,000 199,626
-----------
Total Short-Term
Investments
(cost
$19,322,437) 19,322,416
-----------
Total Investments
(cost
$80,648,854) (a) 91,788,520
Other assets less
liabilities 619,567
-----------
Total Net Assets $92,408,087
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$80,722,089. Unrealized gains and losses, based on identified tax cost at
October 31, 1996, are as follows:
Unrealized gains .......... $11,477,802
Unrealized losses ......... (411,371)
============
Net unrealized gain ... $11,066,431
============
+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.
Category percentages are based on net assets.
38 See Notes to Financial Statements.
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Common Stocks (93.5%)
United States (87.8%)
Aerospace and Defense (0.4%)
General
Dynamics Corp. 1,800 $ 123,525
Gulfstream
Aerospace Corp.+ 9,400 222,075
McDonnell
Douglas Corp. 13,800 752,100
United
Technologies Corp. 5,100 656,625
------------
1,754,325
------------
Agriculture (0.1%)
Pioneer Hi-Bred
International,
Inc. 4,100 275,213
------------
Apparel (0.7%)
Donna Karan
International,
Inc.+ 3,700 68,450
Gap, Inc. 15,400 446,600
Jones Apparel
Group, Inc.+ 2,200 68,750
Liz Claiborne,
Inc. 50,800 2,146,300
Payless
ShoeSource,
Inc.+ 2,076 70,325
------------
2,800,425
------------
Autos and Auto Equipment (1.6%)
Chrysler Corp. 182,400 6,133,199
Dura Automotive
Systems, Inc.+ 2,100 50,400
Kaydon Corp. 2,800 114,100
------------
6,297,699
------------
Banks (5.8%)
Bank United Corp.+ 3,500 93,188
BanPonce Corp. 5,200 136,500
Charter One
Financial, Inc. 2,520 $ 109,463
City National
Corp. 13,700 239,750
Comerica, Inc. 3,300 175,313
Commercial
Federal Corp. 12,400 519,250
First Chicago
Corp. 79,278 4,043,177
First Union Corp. 76,300 5,550,824
GreenPoint
Financial Corp. 14,900 692,850
Investors
Financial
Services Corp. 7,200 186,300
NationsBank Corp. 66,000 6,220,499
New York
Bancorp, Inc. 44,400 1,504,050
North Fork
Bancorp., Inc. 62,100 1,963,913
ONBANCorp, Inc. 1,000 28,750
Star Banc Corp. 8,700 783,000
------------
22,246,827
------------
Building Materials and Construction
(0.7%)
Centex Corp. 40,300 1,214,038
Champion
Enterprises,
Inc.+ 20,476 404,401
Granite
Construction, Inc. 8,700 167,475
Lennar Corp. 11,300 251,425
Lone Star
Industries, Inc. 6,700 246,225
Masco Corp. 4,500 141,188
Texas Industries,
Inc. 6,700 380,225
Tredegar
Industries, Inc. 1,650 63,113
------------
2,868,090
------------
See Notes to Portfolio of Investments. Aetna Mutual Funds Annual Report 39
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (contiued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Chemicals (1.3%)
Arcadian Corp. 99,100 $ 2,440,338
Crompton &
Knowles Corp. 1 18
Cytec Industries+ 46,500 1,662,375
Monsanto Co. 13,500 534,938
PPG Industries,
Inc. 300 17,100
Rexene Corp. 27,000 354,375
------------
5,009,144
------------
Commercial Services (0.2%)
APAC
Teleservices,
Inc.+ 900 41,513
Apollo Group,
Inc., Class A+ 11,000 302,500
Billing
Information
Concepts+ 2,500 65,313
FactSet Research
Systems, Inc.+ 3,300 79,200
Kindercare
Learning 2,700 53,325
Centers, Inc.+
Metzler Group,
Inc. 1,300 30,306
PhyMatrix Corp.+ 3,500 58,188
Quintiles
Transnational
Corp.+ 100 6,575
Sabre Group
Holdings, Inc.+ 1,800 54,900
Wackenhut Corp.
Class B 5,100 68,213
------------
760,033
------------
Computer Software (5.2%)
American
Management
Systems, Inc.+ 2,400 75,900
BMC Software,
Inc.+ 10,000 $ 830,000
Cadence Design
Systems, Inc.+ 18,300 667,950
CCC Information
Services Group+ 800 15,000
Cisco Systems,
Inc.+ 116,800 7,226,999
Computer
Associates
International,
Inc. 55,350 3,272,568
Compuware Corp.+ 3,800 200,450
DecisionOne Corp.+ 4,200 59,850
Document
Sciences Corp.+ 700 8,925
DST Systems, Inc.+ 1,800 55,350
Edify Corp.+ 1,900 26,481
Engineering
Animation, Inc.+ 2,800 68,600
IKOS Systems,
Inc.+ 2,700 48,263
Kronos, Inc.+ 1,450 42,231
Memco Software
Ltd.+ 700 12,775
Microsoft Corp.+ 41,800 5,737,049
Sterling
Commerce, Inc.+ 1,000 28,125
The Learning Co.+ 1,800 36,563
Viasoft, Inc.+ 30,100 1,482,425
------------
19,895,504
------------
Computers and Office Equipment (5.4%)
Cabletron
Systems, Inc.+ 5,600 349,300
Compaq
Computer Corp.+ 46,800 3,258,449
CompUSA, Inc.+ 28,400 1,313,500
Dell Computer
Corp.+ 70,500 5,736,937
EMC Corp.+ 15,200 399,000
Harris Corp. 3,900 244,238
40 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Computers and Office Equipment
(continued)
HBO & Co. 4,200 $ 252,525
Herman Miller, Inc. 6,900 297,563
Sun
Microsystems,
Inc.+ 76,800 4,684,799
Wallace Computer
Services, Inc. 3,600 105,750
Western Digital
Corp.+ 85,300 4,137,049
------------
20,779,110
------------
Consumer Products (0.4%)
Carson, Inc.+ 1,400 22,750
Eastman Kodak Co. 19,200 1,531,200
Equity
Marketing, Inc.+ 7,200 150,300
------------
1,704,250
------------
Diversified (1.7%)
Amway Asia
Pacific Ltd. 1,500 53,813
Harsco Corp. 6,500 415,188
NACCO
Industries, Inc. 7,500 346,875
Oakley, Inc.+ 4,200 62,475
Paragon Trade
Brands, Inc.+ 14,600 383,250
Robbins & Myers,
Inc. 15,900 357,750
Ruddick Corp. 28,300 367,900
Textron, Inc. 38,200 3,390,249
U.S. Industries,
Inc.+ 47,800 1,290,600
------------
6,668,100
------------
Electrical and Electronics (2.6%)
ADT Ltd.+ 12,800 252,800
Atmel Corp.+ 22,600 573,475
Cymer, Inc.+ 470 $ 11,045
Integrated
Packaging
Assembly Corp.+ 900 7,875
Intel Corp. 79,800 8,768,024
Symbol
Technologies,
Inc.+ 2,200 98,725
VLSI Technology,
Inc. 2,100 36,225
Waters Corp.+ 7,000 217,000
------------
9,965,169
------------
Electrical Equipment (2.8%)
Belden, Inc. 15,600 448,500
Berg
Electronics
Corp.+ 9,100 257,075
General Electric
Co. 28,400 2,747,700
Raychem Corp. 46,000 3,593,749
SCI Systems, Inc.+ 7,100 353,225
Tektronix, Inc. 86,700 3,392,137
------------
10,792,386
------------
Financial Services (3.5%)
Alex Brown &
Sons, Inc. 4,000 227,000
Bear Stearns Co.,
Inc. 23,100 545,738
Beneficial Corp. 200 11,700
Chase
Manhattan Corp. 15,612 1,338,729
ContiFinancial
Corp.+ 2,200 71,500
Merrill Lynch &
Co., Inc. 35,800 2,514,950
Metris
Companies, Inc.+ 24,500 581,875
Olympic
Financial Ltd.+ 9,000 142,875
PHH Corp. 8,000 238,000
RCSB Financial,
Inc. 5,000 145,000
Aetna Mutual Funds Annual Report 41
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Financial Services (continued)
Salomon, Inc. 10,600 $ 478,325
SunAmerica, Inc. 4,300 161,250
Travelers Group,
Inc. 127,330 6,907,652
------------
13,364,594
------------
Foods and Beverages (2.1%)
Coca-Cola Co. 54,500 2,752,249
Hershey Foods
Corp. 13,600 657,900
Interstate
Bakeries Corp. 8,800 372,900
Kroger Co. (The) 76,500 3,413,812
Ralcorp
Holdings, Inc.+ 1,700 35,700
Riser Foods, Inc.
Class A 28,000 752,500
------------
7,985,061
------------
Health Services (1.3%)
Allegiance Corp.+ 3,820 71,625
Beverly
Enterprises+ 160,800 1,989,900
FPA Medical
Management,
Inc.+ 15,800 294,275
Genetics
Institute, Inc.+ 1,700 111,350
Health Management
Associates,
Inc.+ 2,750 60,500
Invacare Corp. 3,800 106,400
Lincare
Holdings, Inc.+ 9,900 371,250
MedPartners, Inc.+ 2,800 59,150
Renal Treatment
Centers, Inc.+ 50,000 1,337,500
Sunrise Assisted
Living, Inc.+ 1,000 23,000
Tenet
Healthcare
Corp.+ 26,100 $ 544,838
------------
4,969,788
------------
Home Furnishings and Appliances (0.1%)
Rowe Furniture
Corp. 9,500 67,688
Sunbeam Corp. 6,900 169,913
------------
237,601
------------
Hotels and Restaurants (0.9%)
HFS, Inc.+ 2,500 183,125
Interstate Hotels
Co.+ 700 18,900
Marriott
International,
Inc. 43,800 2,491,125
Red Roof Inns,
Inc.+ 33,700 450,738
RFS Hotel
Investors Inc. 11,300 183,625
Sun International
Hotels Ltd.+ 3,700 174,825
------------
3,502,338
------------
Insurance (3.1%)
Allstate Corp. 12,200 684,725
AMBAC, Inc. 16,600 1,037,500
Bankers Life
Holding Corp. 7,600 187,150
Compdent Corp.+ 21,000 721,875
Conseco, Inc. 69,200 3,702,199
Everest Re
Holdings, Inc. 9,400 239,700
Fremont General
Corp. 4,965 145,847
Guarantee Life
Companies, Inc. 20,000 390,000
IPC Holdings Ltd 11,900 255,850
ITT Hartford
Group, Inc. 57,600 3,628,799
42 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Insurance (continued)
Meadowbrook
Insurance
Group, Inc. 10,000 $ 255,000
Mutual Risk
Management Ltd. 7,866 251,712
Orion Capital
Corp. 5,900 320,813
RISCORP, Inc.+ 2,500 12,500
------------
11,833,670
------------
Machinery and Equipment (0.8%)
Case Corp. 6,600 306,900
Caterpillar, Inc. 13,900 953,888
Cooper
Cameron Corp.+ 19,200 1,226,400
Global Industrial
Technologies,
Inc.+ 5,100 94,988
National-
Oilwell, Inc.+ 15,000 348,750
Parker-Hannifin
Corp. 7,700 291,638
Stanley Works 600 16,950
------------
3,239,514
------------
Media and Entertainment (1.7%)
American Portable+ 16,100 122,763
Callaway Golf Co. 17,600 539,000
Clear Channel
Communications,
Inc.+ 1,800 131,400
Coastcast Corp.+ 122,100 2,228,325
Golden Bear
Golf, Inc.+ 1,000 18,000
Harrah's
Entertainment,
Inc. 1,600 26,800
Heritage Media
Corp. Class A 3,500 53,375
International
Game Technology 5,900 $ 124,638
Jones Intercable,
Inc.+ 900 9,900
King World
Production,
Inc.+ 46,000 1,656,000
Omnicom Group,
Inc. 3,826 190,344
Premier Parks,
Inc.+ 2,000 63,500
Regal Cinemas,
Inc.+ 14,100 366,600
Renaissance
Communications+ 21,700 767,638
Young
Broadcasting
Corp.+ 2,500 71,250
------------
6,369,533
------------
Medical Supplies (2.1%)
Baxter
International, Inc. 19,100 795,038
Bio-Rad Labs,
Inc. Class A+ 500 12,125
Biomet, Inc. 18,500 298,313
DePuy, Inc.+ 10,000 175,000
Fisher Scientific
International 41,900 1,880,263
Guidant Corp. 47,497 2,190,799
Hillenbrand
Industries, Inc. 2,100 77,700
Mallinckrodt, Inc. 10,400 452,400
OrNda HealthCorp.+ 6,700 182,575
Sola
International,
Inc.+ 54,500 1,968,813
Steris Corp.+ 1,300 49,075
------------
8,082,101
------------
Metals and Mining (2.1%)
AK Steel
Holding Corp. 93,900 3,333,449
Cleveland-Cliffs,
Inc. 3,900 159,900
Aetna Mutual Funds Annual Report 43
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Metals and Mining (continued)
Mueller
Industries, Inc.+ 4,900 $ 197,225
RMI Titanium Co.+ 150,300 3,625,987
Titanium Metals
Corp.+ 5,500 169,125
Zeigler Coal
Holding Co. 33,600 609,000
------------
8,094,686
------------
Oil and Gas (9.5%)
Amoco Corp. 58,090 4,400,317
Atlantic
Richfield Co. 38,300 5,074,749
Belco Oil &
Gas Corp.+ 3,300 82,088
Camco
International,
Inc. 30,300 1,174,125
Columbia Gas
System, Inc. 14,600 886,950
Diamond Offshore
Drilling, Inc.+ 36,800 2,240,200
Exxon Corp. 2,400 212,700
Mobil Corp. 55,400 6,467,949
National Fuel Gas
Co. 44,000 1,639,000
Occidental
Petroleum Corp. 13,700 335,650
Oneok, Inc. 20,600 553,625
Phillips
Petroleum Co. 8,900 364,900
Royal Dutch
Petroleum Co. 22,300 3,687,862
Tesoro
Petroleum Corp.+ 15,500 228,625
Texaco, Inc. 49,500 5,030,437
The Williams
Cos., Inc. 2,900 151,525
Tosco Corp. 1,000 $ 56,125
Unocal Corp. 70,300 2,574,738
USX-Marathon Group 53,300 1,165,938
------------
36,327,503
------------
Paper and Containers (1.1%)
Caraustar
Industries, Inc. 16,100 470,925
Fort Howard Corp.+ 143,700 3,682,312
Mead Corp. 5,100 289,425
------------
4,442,662
------------
Pharmaceuticals (8.0%)
Abbott
Laboratories 18,000 911,250
American Home
Products Corp. 75,500 4,624,374
Becton,
Dickinson & Co. 63,600 2,766,599
Bristol-Myers
Squibb Co. 66,700 7,053,524
Eli Lilly & Co. 3,500 246,750
Johnson & Johnson 101,096 4,978,977
Jones Medical
Industries, Inc. 29,325 1,275,638
Merck & Co., Inc. 39,000 2,890,874
Pfizer, Inc. 30,400 2,515,600
Rhone-Poulenc
Rorer, Inc. 5,800 389,325
Schering Plough 45,800 2,931,199
------------
30,584,110
------------
Printing and Publishing (2.0%)
Gannett Co., Inc. 42,800 3,247,449
Lexmark
International
Group, Inc.+ 2,600 61,425
Meredith Corp. 2,600 130,650
New York Times Co. 12,800 462,400
44 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Printing and Publishing (continued)
Tribune Co. 26,000 $ 2,125,500
Washington Post
Co. 4,600 1,513,400
------------
7,540,824
------------
Real Estate Investment Trusts (3.8%)
Ambassador
Apartments, Inc. 7,300 147,825
American General
Hospitality
Corp. 4,200 83,475
AMLI Residential
Properities
Trust 4,300 94,600
Apartment
Investment &
Management Co. 10,000 232,500
Arden Realty
Group, Inc.+ 7,500 169,688
Associated
Estates Realty
Corp. 9,300 190,650
Beacon
Properties Corp. 18,500 543,438
Bre Properties,
Inc. Class A 2,800 64,400
CALI Realty Corp. 4,300 115,563
Camden Property
Trust 10,000 272,500
Carr Realty Corp. 6,700 168,338
CBL & Associates
Properties, Inc. 8,400 198,450
Centerpoint
Properties Corp. 900 24,750
Chelsea GCA
Realty, Inc. 9,500 286,188
Colonial
Properties Trust 10,600 280,900
Commercial Net
Lease Realty 1,600 22,000
Cousins
Properties, Inc. 2,800 $ 64,050
Crescent Real
Estate
Equities, Inc. 14,400 601,200
Crown America
Realty Trust 16,800 130,200
Developers
Diversified
Realty Corp. 19,600 659,050
Duke Realty
Investments,
Inc. 17,600 607,200
Equity Inns, Inc. 13,600 158,100
Equity
Residential
Properties Trust 10,800 396,900
Essex Property
Trust, Inc. 6,800 175,950
Evans Withycombe
Residential,
Inc. 5,500 116,188
Excel Realty
Trust, Inc. 9,500 207,813
Fairfield
Communities,
Inc.+ 22,000 470,250
First Industrial
Realty Trust,
Inc. 5,500 142,313
General Growth
Properties 2,900 73,225
Healthcare Realty
Trust, Inc. 8,400 206,850
Highwood
Properties, Inc. 19,800 569,250
Home Properties
of New York,
Inc. 400 8,000
Horizon Group,
Inc. 4,200 88,725
Innkeepers USA
Trust 7,500 88,125
Kimco Realty Corp. 15,150 437,456
LTC Properties,
Inc. 3,800 64,600
Aetna Mutual Funds Annual Report 45
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Real Estate Investment Trusts (continued)
Macerich Co. (The) 5,500 $ 121,000
Manufactured Home
Communities, Inc. 900 17,550
MGI Properties, Inc. 4,600 87,975
Mid-America
Apartment
Communities, Inc. 5,200 131,950
National Golf
Properties, Inc. 8,400 243,600
National Health
Investors, Inc. 7,400 258,075
Oasis
Residential,
Inc. 18,600 395,250
OMEGA Healthcare
Investors, Inc. 4,700 142,763
Patriot American
Hospitality,
Inc. 6,400 224,800
Post Properties,
Inc. 11,700 462,150
Price REIT, Inc. 1,300 42,575
Public Storage,
Inc. 30,800 708,400
Ramco-Gerhenson
Properties 1,125 18,563
Realty Income
Corp. 2,500 57,500
Reckson
Associates
Realty Corp. 3,200 114,000
Rouse Co. 3,400 86,275
Security Capital
Industrial Trust 14,300 259,188
Simon Debartolo
Group, Inc. 22,408 591,011
Smith (Charles
E.) Residential
Realty Co. 2,400 58,500
South West
Property Trust 17,975 269,625
Spieker
Properties, Inc. 15,000 $ 461,250
Starwood Lodging
Trust 5,700 256,500
Storage USA, Inc. 2,200 76,450
Sun Communities,
Inc. 1,200 34,350
Tanger Factory
Outlet Centers,
Inc. 7,100 172,175
Universal Health
Realty Income
Trust 600 11,475
Vornado Realty
Trust 11,900 511,700
Walden
Residential
Properties, Inc. 10,400 243,100
Weeks Corp. 2,600 74,425
Weingarten Realty
Investors 7,900 303,163
Winston Hotels, Inc. 6,500 81,250
------------
14,677,298
------------
Retail (6.5%)
American Stores
Co. 18,900 781,988
Borders Group,
Inc.+ 64,800 2,041,200
Carson Pirie
Scott & Co.+ 22,400 557,200
Claire's Stores,
Inc. 1,025 17,425
Dayton Hudson
Corp. 130,500 4,518,562
Fabri-Centers of
America Class B+ 400 5,200
Footstar, Inc.+ 979 21,535
Hasbro, Inc. 1,400 54,425
Hibbett Sporting
Goods, Inc.+ 1,100 22,550
May Department
Stores Co. 5,400 255,825
Melville Corp. 3,400 126,650
46 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Retail (continued)
Pacific Sunwear
of California+ 83,850 $ 1,865,663
Ross Stores, Inc. 88,300 3,664,449
Safeway, Inc.+ 15,500 664,563
Saks Holdings,
Inc.+ 1,700 59,500
Sears, Roebuck
& Co. 91,500 4,426,312
Talbots, Inc. 3,500 99,750
The Finish Line,
Inc.+ 500 21,250
Tiffany & Co. 3,200 118,400
TJX Companies,
Inc. 75,300 3,011,999
U.S. Office
Products Co.+ 1,800 52,200
United Auto
Group, Inc.+ 700 24,063
Urban Shopping
Centers, Inc. 3,800 97,850
Vons
Companies, Inc.+ 7,300 404,238
Wet Seal, Inc.+ 60,800 1,915,200
Williams-
Sonoma, Inc.+ 2,800 77,000
Zale Corp.+ 4,800 93,000
------------
24,997,997
------------
Specialty Consumer Durables (0.1%)
Harley-Davidson,
Inc. 7,700 347,463
------------
Telecommunications (1.3%)
360
Communications
Co.+ 13,384 302,813
Ascend
Communications,
Inc.+ 47,200 3,085,699
Aspect
Telecommunications
Corp.+ 3,601 214,260
Cascade
Communications
Corp.+ 6,000 $ 435,750
Cellular
Communications
International,
Inc.+ 5,000 156,875
DSP
Communications,
Inc.+ 1,200 45,600
LCC
International,
Inc.+ 2,600 38,025
LCI
International, 3,600 114,750
Inc.+
Lightbridge, Inc.+ 300 2,888
Lucent
Technologies,
Inc. 13,310 625,590
Teleport
Communications
Group, Inc.+ 2,100 51,450
------------
5,073,700
------------
Transportation (0.4%)
Canadian National
Railway Co. 10,100 277,750
Comair Holdings,
Inc. 17,625 354,703
Continental
Airlines, Inc.,
Class B+ 5,400 135,675
Eagle USA
Airfreight,
Inc.+ 1,400 38,150
UAL Corp.+ 10,000 473,750
US Xpress
Enterprises,
Inc.+ 8,900 80,100
USAir Group, Inc.+ 1,500 26,063
------------
1,386,191
------------
Utilities - Electric (6.5%)
Boston Edison Co. 87,800 2,107,200
Calenergy, Inc.+ 6,088 176,552
Aetna Mutual Funds Annual Report 47
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Utilities - Electric (continued)
Central Hudson
Gas & Electric
Co. 56,900 $ 1,707,000
Commonwealth
Energy System
Co. 25,900 621,600
Edison
International 187,400 3,701,149
Entergy Corp. 136,900 3,833,199
GPU, Inc. 26,700 877,763
Long Island
Lighting Corp. 160,200 2,903,624
Nevada Power Co. 26,500 539,938
Public Service
Co. of New
Mexico 37,600 705,000
Public Service
Enterprise
Group, Inc. 36,500 980,938
Texas Utilities
Co. 88,500 3,584,249
Tucson Electric
Power Co.+ 32,100 633,975
Unicom Corp. 96,100 2,498,600
------------
24,870,787
------------
Utilities - Oil and Gas (0.3%)
Coastal Corp.
(The) 9,900 425,700
UtiliCorp United,
Inc. 28,500 773,063
------------
1,198,763
------------
Utilities - Telephone (1.7%)
AT&T Corp. 24,100 840,488
Century Telephone
Enterprises 6,100 195,963
NYNEX Corp. 105,100 4,676,949
Southern New
England
Telecommunications
Corp. 21,900 815,775
Sprint Corp. 5,000 $ 196,250
------------
6,725,425
------------
Total United States 337,667,884
------------
Foreign Common Stocks (5.7%)
Argentina (0.1%)
Banco Frances del
Rio de la Plata
SA (Banks) 9,000 236,250
Quilmes
Industrial SA
(Foods and
Beverages) 7,500 78,750
------------
Total Argentina 315,000
------------
Australia (0.1%)
Australian Gas
Light Co. Ltd.
(Oil and Gas) 26,000 142,681
North Ltd.
(Metals and
Mining) 52,315 148,939
Reinsurance
Australia Corp.
Ltd.
(Insurance) 60,000 179,858
------------
Total Australia 471,478
------------
Austria (0.1%)
Austria Mikro
Systeme
International
AG (Electrical
and
Electronics) 210 13,372
Oesterreichische
Elektrizitaetswirt-
schafts AG
(Utilities-
Electric) 1,200 83,607
Strabag
Oesterreich AG
(Building
Materials and
Construction) 420 25,285
48 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Austria (continued)
VA Technologie AG
(Commercial
Services) 1,200 $ 167,925
------------
Total Austria 290,189
------------
Belgium (0.2%)
Cimenteries CBR
Cementbedrijven
(Building
Materials and
Construction) 3,050 240,558
Electrabel SA
(Utilities -
Electric) 600 139,275
G.I.B. Holdings
Ltd. (Retail) 6,100 257,377
------------
Total Belgium 637,210
------------
Brazil (0.1%)
Telecomunicacoes
Brasileiras SA
(Utilities -
Telephone) 3,700 275,650
------------
Canada (0.3%)
BCE, Inc.
(Utilities -
Telephone) 3,435 157,662
Dofasco, Inc.
(Metals and
Mining) 4,912 87,357
Domtar, Inc.
(Paper and
Containers) 17,000 148,314
Intertape Polymer
Group, Inc.
(Paper and
Containers) 5,000 115,206
Petro-Canada (Oil
and Gas) 16,700 226,017
Royal Bank
of Canada
(Banks) 9,900 327,030
------------
Total Canada 1,061,586
------------
Chile (0.0%)
Empresa Nacional
Electricidad SA
(Utilities -
Electric) 5,000 $ 91,875
------------
Denmark (0.2%)
Carli Gry
International
A/S+ (Apparel) 6,300 285,100
Falck A/S
(Commercial
Services) 500 135,073
ISS International
Service System
A/S
(Diversified) 11,800 335,016
Tele Danmark A/S
(Utilities -
Telephone) 3,200 161,331
------------
Total Denmark 916,520
------------
Finland (0.1%)
Huhtamaki Group
(Diversified) 3,500 152,155
Neste (Oil and
Gas) 8,000 166,830
------------
Total Finland 318,985
------------
France (0.3%)
Credit Local de
France
(Financial
Services) 2,500 215,242
Elf Aquitaine SA
(Oil and Gas) 1,500 120,042
Eridania
Beghin-Say SA
(Foods and
Beverages) 1,200 191,222
Pathe SA+ (Media
and
Entertainment) 590 159,275
PSA Peugeot
(Autos and Auto
Equipment) 980 102,255
Aetna Mutual Funds Annual Report 49
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
France (continued)
Union des
Assurances
Federales
(Insurance) 2,200 $ 247,641
Usinor Sacilor
(Metals and
Mining) 7,900 117,304
------------
Total France 1,152,981
------------
Germany (0.3%)
BASF AG
(Chemicals) 3,000 95,955
Commerzbank AG
(Banks) 7,500 168,269
Deutsche
Pfandbrief &
Hypothekenbank
AG (Banks) 5,100 208,961
Leifheit AG (Home
Furnishings and
Appliances) 3,000 123,513
Schering AG
(Pharmaceuticals) 2,000 160,719
Schmalbach Lubeca
AG+ (Paper and
Containers) 500 99,954
VEBA AG
(Utilities -
Electric) 4,800 256,399
------------
Total Germany 1,113,770
------------
Hong Kong (0.2%)
Great Eagle
Holdings Ltd.
(Real Estate
Investment
Trusts) 11,000 35,352
Hong Kong Land
Holdings Ltd.
(Real Estate
Investment
Trusts) 68,000 151,640
HSBC Holdings Plc
(Banks) 10,680 217,542
Hong Kong (continued)
Hysan Development
Co. Ltd. (Real
Estate
Investment
Trusts) 35,000 $ 112,256
New World
Development Co.
Ltd. (Real
Estate
Investment
Trusts) 27,231 158,477
Regal Hotels
International
(Hotels and
Restaurants) 350,000 96,187
------------
Total Hong Kong 771,454
------------
Indonesia (0.0%)
Asia Pulp & Paper
Co. Ltd.+
(Paper and
Containers) 3,000 29,625
P.T. Pasifik
Satelit Nusantara
ADR+ (Telecom-
munications) 4,100 55,350
Steady Safe
(Foreign-Registered
shares)
(Transportation) 34,000 32,854
------------
Total Indonesia 117,829
------------
Ireland (0.1%)
Adare Printing
Group Plc
(Printing and
Publishing) 12,000 108,907
Golden Vale Plc
(Foods and
Beverages) 85,000 89,942
Irish Life Plc
(Insurance) 20,000 86,116
Waterford
Wedgewood Plc
(Home
Furnishings and
Appliances) 76,000 93,410
------------
Total Ireland 378,375
------------
50 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Italy (0.3%)
Istituto
Mobiliare
Italiano S.p.A.
(Financial
Services) 24,100 $ 190,801
Parmalat
Finanziaria
S.p.A. (Foods
and Beverages) 106,800 153,190
Pirelli S.p.A.
(Autos and Auto
Equipment) 103,500 183,609
Stet Scocieta'
Finaziaria
Telefonica S.p.A.
(Telecom-
munications) 75,000 199,822
Telecom Italia
S.p.A.
(Utilities -
Telephone) 108,300 241,405
------------
Total Italy 968,827
------------
Japan (1.3%)
AJL PEPS Trust
(Consumer
Products) 6,400 119,200
Canon, Inc.
(Computers and
Office
Equipment) 13,000 249,165
Daibiru Corp.
(Real Estate
Investment
Trusts) 7,000 79,392
Daiichi
Pharmaceutical
(Pharmaceuticals) 20,000 288,377
Exedy Corp.
(Autos and Auto
Equipment) 9,000 143,221
Fuji Photo Film
(Chemicals) 7,000 201,248
Furukawa Electric
Co. (Electrical
Equipment) 33,000 175,242
Japan (continued)
Hitachi Koki
(Electrical
Equipment) 23,000 $ 193,116
Hitachi Ltd.
(Electrical and
Electronics) 26,000 230,877
Honda Motor Co.
Ltd. (Autos and
Auto Equipment) 12,000 286,970
Ito-Yokado Co.
Ltd. (Retail) 4,000 199,754
Komatsu Ltd.
(Machinery and
Equipment) 18,000 147,494
Konica Corp.
(Chemicals) 35,000 234,174
Matsushita
Electric
Industrial Co.
Ltd.
(Electrical and
Electronics) 18,000 288,025
Mitsubishi Heavy
Industries Ltd.
(Aerospace and
Defense) 19,000 146,167
Mizuno Corp.
(Consumer
Products) 20,000 154,915
Nintendo Co. Ltd.
(Electrical and
Electronics) 4,000 256,022
Nippon Densetsu
Kogyo (Building
Materials and
Construction) 20,000 219,799
Nippon Telegraph
& Telephone
(Utilities-
Telephone 39 272,595
Rohm Co.
(Electrical and
Electronics) 3,000 178,038
Aetna Mutual Funds Annual Report 51
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Japan (continued)
Sanyo Shinpan
Finance Co.
(Financial
Services) 3,700 $ 225,110
Shin-Etsu
Chemical Co.
(Chemicals) 5,250 90,008
Shinmaywa
Industries Ltd.
(Autos and Auto
Equipment) 15,000 129,901
TDK Corp.
(Electrical and
Electronics) 2,000 117,461
Tsukishima Kikai
(Machinery and
Equipment) 5,100 99,543
West Japan
Railway+
(Transportation) 70 228,943
------------
Total Japan 4,954,757
------------
Malaysia (0.1%)
AMMB Holdings Bhd
(Financial
Services) 20,000 135,357
Lion Land Bhd
(Financial
Services) 95,000 95,126
Magnum Corp. Bhd
(Media and
Entertainment) 500 863
MBF Capital Bhd
(Financial
Services) 85,000 117,072
Oriental
Holdings Bhd
(Diversified) 12,600 85,774
------------
Total Malaysia 434,192
------------
Mexico (0.1%)
ALFA, SA de C.V.
(Diversified) 51,658 212,144
Mexico (continued)
Panamerican
Beverages, Inc.
(Foods and
Beverages) 5,500 $ 239,938
Transportacion
Maritima
Mexicana SA de
CV
(Transportation) 7,000 49,000
Tubos de Acero de
Mexico SA+
(Metals and
Mining) 7,000 77,875
------------
Total Mexico 578,957
------------
Netherlands (0.2%)
ABN Amro
Holding N.V.
(Financial
Services) 1,750 98,959
Fortis Amev N.V.
(Financial
Services) 3,696 110,494
ING Groep N.V.
(Banks) 3,357 104,715
Philips
Electronics N.V.
(Electrical and
Electronics) 4,200 148,099
Vendex
International
N.V.+ (Retail) 4,108 165,929
------------
Total Netherlands 628,196
------------
Norway (0.3%)
Den norske Bank
ASA (Banks) 90,550 301,113
Merkantildata ASA
(Computer
Software) 6,000 92,232
Orkla ASA
(Diversified) 4,800 307,190
52 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Norway (continued)
Schibsted ASA
(Printing and
Publishing) 17,400 $ 266,109
------------
Total Norway 966,644
------------
Philippines (0.0%)
DMCI Holdings,
Inc.+ (Building
Materials and
Construction) 160,000 115,677
------------
Singapore (0.1%)
Clipsal
Industries Ltd.
(Electrical
Equipment) 40,000 128,000
Singapore
Airlines Ltd.
(Transportation) 16,000 140,810
Wing Tai Holdings
Ltd.+
(Diversified) 74,000 181,719
------------
Total Singapore 450,529
------------
South Korea (0.0%)
Korea Electric
Power Corp.
(Utilities -
Electric) 7,000 126,000
------------
Spain (0.2%)
Cubiertas y Mzov
SA (Building
Materials and
Construction) 3,750 268,288
Empresa Nacional
de Electricidad
SA (Utilities -
Electric) 2,000 122,534
Repsol SA (Oil
and Gas) 5,400 176,435
Telefonica de
Espana
(Utilities -
Telephone) 5,000 100,412
------------
Total Spain 667,669
------------
Sweden (0.2%)
Enator AB+
(Commercial
Services) 6,000 $ 133,444
Frontec AB+
(Computer
Software) 10,000 143,194
Skandinaviska
Enskilda Banken
(Banks) 24,000 201,080
Sparbanken
Sverige AB
(Banks) 11,500 182,191
Volvo AB (Autos
and Auto
Equipment) 10,300 214,173
------------
Total Sweden 874,082
------------
Switzerland (0.1%)
Baloise Holding
Ltd.
(Insurance) 50 104,868
Electrowatt AG
(Utilities -
Electric) 600 228,804
------------
Total Switzerland 333,672
------------
Taiwan (0.0%)
ASE Test Ltd.
ADR+
(Electrical and
Electronics) 3,000 41,250
China Steel
Corp.++ (Metals
and Mining) 5,000 96,938
------------
Total Taiwan 138,188
------------
United Kingdom (0.7%)
Allied Domecq Plc
(Foods and
Beverages) 22,231 171,955
Bank of Scotland
(Banks) 48,678 224,326
British Airways
Plc
(Transportation) 6,400 57,737
Aetna Mutual Funds Annual Report 53
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United Kingdom (continued)
Burton Group Plc
(Retail) 79,200 $ 192,487
Commercial Union
Plc (Insurance) 10,000 105,602
D.F.S. Furniture
Co. Plc (Home
Furnishings and
Appliances) 12,920 114,767
Granada Group Plc
(Diversified) 18,980 273,373
Hillsdown
Holdings Plc
(Foods and
Beverages) 50,560 144,492
Inchcape Plc
(Retail) 35,140 165,658
Ladbroke Group
Plc (Media and
Entertainment) 38,724 125,801
Medeva Plc
(Pharmaceuticals) 47,317 204,570
Mirror Group Plc
(Printing and
Publishing) 42,800 162,042
National Power
Plc (Utilities
- Electric) 5,350 145,119
Shell Transport &
Trading Co.
(Oil and Gas) 15,700 257,576
Slough Estates
Plc (Real
Estate
Investment
Trusts) 25,000 100,961
Standard
Chartered Plc
(Banks) 12,000 129,556
Whitbread Plc
(Foods and
Beverages) 17,000 199,593
------------
Total United
Kingdom 2,775,615
------------
Total Foreign
Common Stocks $21,925,907
------------
Total Common
Stocks
(cost
$294,468,731) 359,593,791
------------
Preferred Stocks (2.2%)
United States (2.1%)
Alexander &
Alexander++
(Financial
Services) 3,700 167,425
AMC Entertainment
(Media and
Entertainment) 1,250 39,063
BankAmerica Corp.
(Banks) 71,900 6,578,849
Case Corp.++
(Machinery and
Equipment) 800 94,400
Ceridian Corp.
(Computers and
Office
Equipment) 1,500 163,500
Corning
Delaware L.P.
(Foods and
Beverages) 1,100 61,600
Cyprus Amax
Minerals Co.
(Metals and
Mining) 2,900 155,513
Freeport McMoRan,
Inc. (Metals
and Mining) 2,000 58,000
International
Paper Co.++
(Paper and
Containers) 700 33,425
Sea Containers
Ltd.
(Diversified) 1,500 69,375
Tanger Factory
Outlet Centers,
Inc. (Retail) 4,200 91,350
54 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
United States (continued)
Preferred Stocks (continued)
Union Planters
Co. (Foods and
Beverages) 1,400 $ 60,200
Valero Energy
Corp.
(Utilities -
Oil and Gas) 2,800 148,400
William Cos.,
Inc.
(Commercial
Services) 2,100 176,400
------------
Total United
States 7,897,500
------------
Foreign Preferred Stocks (0.1%)
Austria (0.0%)
Creditanstalt-Bankverein
(Banks) 2,300 108,005
------------
Finland (0.1%)
Oy Nokia Ab
(Telecommunications) 5,700 263,393
------------
Germany (0.0%)
Gerry Weber
International
AG (Apparel) 3,906 147,133
------------
Total Foreign
Preferred
Stocks 518,531
------------
Total Preferred
Stocks (cost
$5,718,122) 8,416,031
------------
Principal Market
Amount Value
---------- ------------
Corporate and Convertible Bonds (1.8%)
Agnico-Eagle
Mines Ltd.,
3.50%, 01/27/04 $ 100,000 $ 92,029
Alza Corp.,
0.00%, 07/14/14 140,000 58,625
Alza Corp.,
5.00%, 05/01/06 70,000 67,375
Apache Corp.,
6.00%, 01/15/02 $ 30,000 $ 38,100
Automatic Data
Processing,
Inc., 0.00%,
02/20/12 200,000 110,327
Baker Hughes,
Inc., 0.00%,
05/05/08 525,000 392,698
Bindley Western,
6.50%, 10/01/02 70,000 72,100
Boston Market,
Inc., 0.00%,
06/01/15 270,000 87,075
Career Horizons,
Inc., 7.00%,
11/01/02 70,000 164,413
Carnival Corp.,
4.50%, 07/01/97 20,000 34,500
Checkpoint
Systems Inc.,
5.25%, 11/01/05 88,000 119,900
Cityscape
Financial
Corp.++, 6.00%,
05/01/06 90,000 90,675
Comverse
Technology,
Inc., 5.25%,
12/01/03 170,000 307,700
Comverse
Technology,
Inc.++, 5.75%,
10/01/06 400,000 399,000
Consolidated
Natural Gas
Co., 7.25%,
12/15/15 50,000 54,250
Continental
Airlines,
Inc.++, 6.75%,
04/15/06 140,000 142,800
Continental Homes
Holding Corp.,
6.875%, 11/01/02 50,000 49,000
Costco Wholesale,
Inc., 5.75%,
05/15/02 175,000 167,024
Aetna Mutual Funds Annual Report 55
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- ------
Corporate and Convertible Bonds
(continued)
Cross Timbers Oil
Co., 5.25%,
11/01/03 $ 70,000 $ 77,263
Fremont General
Corp., 0.00%,
10/12/13 370,000 214,600
Healthsouth Rehab
Corp., 5.00%,
04/01/01 35,000 70,744
Home Depot, Inc.,
3.25%, 10/01/01 70,000 70,263
Integrated Health
Services,
5.75%, 01/01/01 70,000 68,075
Marriott
International,
Inc.++, 0.00%,
03/25/11 270,000 153,900
NAC Re Corp.++,
5.25%, 12/15/02 70,000 68,600
National
Semiconductor
Corp.++, 6.50%,
10/01/02 350,000 327,469
Office Depot,
Inc., 0.00%,
12/11/07 100,000 64,500
Ogden Corp.,
6.00%, 06/01/02 25,000 23,375
Oryx Energy Co.,
7.50%, 05/15/14 50,000 47,125
Penzoil Co.,
6.50%, 01/15/03 35,000 55,388
Phycor Inc.,
4.50%, 02/15/03 105,000 106,181
Phymatrix Corp.,
6.75%, 06/15/03 $ 200,000 $ 166,500
Pioneer Financial
Services,
6.50%, 04/01/03 105,000 109,200
Pogo Producing,
5.50%, 03/15/04 70,000 142,975
Potomac Electric
Power, 7.00%,
01/15/18 $ 250,000 $ 255,938
Prime Hospitality
Corp., 7.00%,
04/15/02 55,000 78,306
Proffitt's, Inc.,
4.75%, 11/01/03 285,000 296,400
Richey
Electronics,
Inc.++, 7.00%,
03/01/06 141,000 126,195
Rite Aid Corp.,
0.00%, 07/24/06 800,000 452,000
Rotech Medical
Corp.++, 5.25%,
06/01/03 245,000 208,556
Sanmina Corp.++,
5.50%, 08/15/02 70,000 120,243
SCI Systems,
Inc.++, 5.00%,
05/01/06 55,000 67,375
Sholodge Inc.,
7.50%, 05/01/04 188,000 176,720
Theratx Inc.,
8.00%, 02/01/02 150,000 136,500
Thermo Instrument
System++,
4.50%, 10/15/03 70,000 69,913
US Cellular
Corp., 0.00%,
06/15/15 175,000 58,406
U.S. Filter
Corp., 6.00%,
09/15/05 235,000 451,200
US Office
Products Co.,
5.50%, 02/01/01 70,000 79,450
Veterinary
Centers of
America++,
5.25%, 05/01/06 105,000 89,250
------------
Total Corporate
and
Convertible
Bonds
(cost
$6,360,090) 6,880,201
------------
56 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- ------
Short-Term Investments (2.8%)
AT&T Capital
Corp., Comm.
Paper, 5.45%,
11/04/96 $8,521,000 $8,521,000
U.S. Treasury
Bill+++, Time
Deposit, 4.71%,
11/14/96 100,000 99,813
U.S. Treasury
Bill+++, Time
Deposit, 4.82%,
11/14/96 455,000 454,208
U.S. Treasury
Bill+++, Time
Deposit, 4.85%,
11/14/96 105,000 104,804
U.S. Treasury
Bill+++, Time
Deposit, 4.95%,
11/14/96 550,000 548,972
U.S. Treasury
Bill+++, Time
Deposit, 5.02%,
11/14/96 500,000 499,065
U.S. Treasury
Bill+++, Time
Deposit, 5.07%,
11/14/96 100,000 99,813
U.S. Treasury
Bill+++, Time
Deposit, 5.09%,
11/14/96 600,000 598,878
------------
Total Short-Term
Investments
(cost
$10,926,679) 10,926,553
------------
Number of Market
Contracts Value
---------- -----------
Call Options Purchased (0.1%)
Russell 2000
Index, Strike
$325, Dec 96 9,500 199,500
Total Call Options
Purchased
(cost $168,785) 199,500
------------
Number of Market
Contracts Value
---------- -----------
Put Options Purchased (0.3%)
S & P Midcap
Index, Strike
$230, Dec 96 33,000 $ 86,625
S & P Midcap
Index, Strike
$240, Dec 96 113,100 572,569
S & P Midcap
Index, Strike
$245, Dec 96 45,000 315,000
Total Put
Options
Purchased
(cost
$1,402,046) 974,194
------------
Total
Investments
(cost
$319,044,453)(a) 386,990,270
Other assets less
liabilities (2,568,780)
------------
Total Net Assets $384,421,490
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$319,559,778. Unrealized gains and losses, based on identified tax cost at
October 31, 1996, are as follows:
Unrealized gains .......... $72,239,553
Unrealized losses ......... (4,809,061)
============
Net unrealized gain ... $67,430,492
============
+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 requirements on open futures
contracts at October 31, 1996.
Category percentages are based on net assets.
See Notes to Financial Statements. Aetna Mutual Funds Annual Report 57
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth and Income Fund (continued)
- --------------------------------------------------------------------------------
Information concerning open futures contracts at October 31, 1996 is shown
below:
No. of Initital Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ----------- ---------- ----------
Long Contracts
All Ordinaries Shares
Price Index Future 2 $ 90,377 Dec 96 $ 2,716
TFE 35 Index Future 5 521,231 Dec 96 20,581
DAX-30 German Stock
Index Future 3 513,235 Dec 96 26,962
MIB 30 Index Future 1 93,933 Dec 96 2,882
Topix Index Future 6 860,253 Dec 96 (3,781)
FT-SE 100 Index Future 6 915,566 Dec 96 22,879
S&P 500 Index Future 93 32,615,376 Dec 96 383,349
Short Contracts
Russell 2000 Index Future 20 (3,392,500) Dec 96 (27,000)
S&P Mid-Cap 400
Index Future 50 (6,011,375) Dec 96 (89,875)
=========== ===========
$26,206,096 $ 338,713
=========== ===========
Information concerning options written at October 31, 1996 is shown below:
No. of Exercise Expiration Market
Contracts Price Date Value
--------- -------- --------- -----------
Put Options
Russell 2000 Index 95 $ 325 Dec 96 $ (49,282)
Call Options
S & P MidCap Index 330 230 Dec 96 (536,250)
S & P MidCap Index 1130 240 Dec 96 (1,032,037)
S & P MidCap Index 450 245 Dec 96 (270,000)
Sunbeam Corp. 17 20 Jan 97 (9,244)
===========
Total Deferred Premiums
on Written Options $(1,896,83)
===========
58 See Notes to Financial Statements.
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth Fund
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Common Stocks (96.2%)
Aerospace and Defense (9.7%)
Boeing Co. 15,000 $1,430,625
General Motors,
Class H 30,000 1,601,250
United
Technologies Corp. 14,000 1,802,500
-----------
4,834,375
-----------
Agriculture (3.2%)
Delta & Pine Land
Co. 45,000 1,620,000
-----------
Autos and Auto Equipment (2.8%)
Ford Motor Co. 45,000 1,406,250
-----------
Banks (3.4%)
Wells Fargo & Co. 6,333 1,691,703
-----------
Chemicals (6.0%)
Monsanto Co. 35,000 1,386,875
Olin Corp. 38,200 1,623,500
-----------
3,010,375
-----------
Computer Software (4.9%)
Cisco Systems,
Inc.+ 20,000 1,237,500
National Data Corp. 30,000 1,233,750
-----------
2,471,250
-----------
Computers and Office Equipment (3.0%)
Sun
Microsystems,
Inc.+ 25,000 1,525,000
-----------
Electrical and Electronics (9.0%)
Hewlett Packard Co. 30,000 1,323,750
Intel Corp. 20,000 2,197,499
Xilinx, Inc.+ 30,000 982,500
-----------
4,503,749
-----------
Electrical Equipment (3.0%)
Avnet, Inc. 30,000 1,511,250
-----------
Financial Services (13.2%)
Federal National
Mortgage
Association 35,000 $1,369,375
Franklin
Resources, Inc. 23,000 1,621,500
Salomon, Inc. 35,000 1,579,375
Travelers, Inc. 37,500 2,034,375
-----------
6,604,625
-----------
Foods and Beverages (6.1%)
Anheuser-Busch
Co., Inc. 40,000 1,540,000
Coca-Cola Co. 30,000 1,515,000
-----------
3,055,000
-----------
Hotels and Restaurants (4.8%)
Hilton Hotels Corp. 50,000 1,518,750
Quality Dining,
Inc.+ 40,000 860,000
-----------
2,378,750
-----------
Machinery and Equipment (2.7%)
Caterpillar, Inc. 20,000 1,372,500
-----------
Metals and Mining (2.3%)
Phelps Dodge Corp. 18,000 1,131,750
-----------
Oil and Gas (10.1%)
Burlington
Resources, Inc. 20,000 1,007,500
Pennzoil Co. 15,000 765,000
Schlumberger Ltd. 12,000 1,189,500
Tidewater, Inc. 47,500 2,078,125
-----------
5,040,125
-----------
Paper and Containers (1.7%)
Mead Corp. 15,000 851,250
-----------
Pharmaceuticals (7.4%)
Amgen, Inc.+ 18,500 1,134,281
Merck & Co., Inc. 20,000 1,482,500
See Notes to Portfolio of Investments. Aetna Mutual Funds Annual Report 59
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Growth Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Pharmaceuticals (continued)
Pharmacia &
Upjohn, Inc. 30,000 $1,080,000
-----------
3,696,781
-----------
Transportation (2.9%)
Burlington
Northern Santa Fe 17,500 1,441,563
-----------
Total Common
Stocks (cost
$39,942,053) 48,146,296
-----------
Principal Market
Amount Value
-------- -------
Short-Term Investments (3.8%)
Student Loan
Marketing
Association,
Disc. Note,
5.53%, 11/01/96 $1,925,000 $1,925,000
-----------
Total Short-Term
Investments
(cost
$1,925,000) 1,925,000
-----------
Total Investments
(cost $41,867,053)
(a) 50,071,296
Other assets less
liabilities 17,288
-----------
Total Net Assets $50,088,584
Notes to Portfolio of Investments
(a) The cost of investments for federal
income tax purposes is identical.
Unrealized gains and losses, based on
identified tax cost at October 31,
1996, are as follows:
Unrealized gains ......... $8,512,226
Unrealized losses ........ (307,983)
===========
Net unrealized gain .. $8,204,243
===========
+Non-income producing security.
Category percentages are based on net assets.
60 See Notes to Financial Statements.
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Small Company Fund
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Common Stocks (97.3%)
Aerospace and Defense (1.8%)
BE Aerospace, Inc.+ 30,000 $ 652,500
-----------
Apparel (1.0%)
Wolverine World
Wide, Inc. 13,750 340,313
-----------
Banks (5.1%)
Cullen/Frost
Bankers, Inc. 20,000 601,250
Dime Bancorp, Inc.+ 15,000 223,125
Keystone
Financial, Inc. 22,500 585,000
Provident
Bankshares Corp. 12,000 432,000
-----------
1,841,375
-----------
Building Materials and Construction
(5.7%)
Dayton Superior
Corp.+ 27,700 290,850
EMCOR Group, Inc.+ 25,000 365,625
Fibreboard Corp.+ 15,000 481,875
Lone Star
Industries, Inc. 15,000 551,250
Royal Plastics
Group Ltd.+ 20,000 375,000
-----------
2,064,600
-----------
Chemicals (6.1%)
Church & Dwight,
Inc. 25,000 537,500
Crompton &
Knowles Corp. 45,000 810,000
First Mississippi
Corp. 15,000 435,000
Fuller (H.B.) Co. 10,000 417,500
-----------
2,200,000
-----------
Commercial Services (1.6%)
CET Environmental
Services, Inc.+ 57,400 243,950
Western Staff
Services, Inc.+ 25,000 $ 343,750
-----------
587,700
-----------
Computer Software (5.0%)
Computer Task
Group, Inc. 15,000 566,250
National Data Corp. 30,000 1,233,750
-----------
1,800,000
-----------
Computers and Office Equipment (1.4%)
Amdahl Corp.+ 50,000 512,500
-----------
Consumer Products (2.1%)
Tyco Toys, Inc.+ 120,000 765,000
-----------
Electrical and Electronics (6.5%)
Aeroflex, Inc.+ 65,000 292,500
BMC Industries,
Inc. 30,000 888,750
Chips &
Technologies,
Inc.+ 20,000 397,500
Silicon Valley
Group, Inc.+ 45,000 748,125
-----------
2,326,875
-----------
Financial Services (2.4%)
RCSB Financial,
Inc. 30,000 870,000
-----------
Foods and Beverages (1.0%)
Unimark Group,
Inc.+ 37,500 370,313
-----------
Health Services (1.3%)
Curative
Technologies,
Inc.+ 20,000 455,000
-----------
Home Furnishings and Appliances (1.7%)
Sunbeam Corp., Inc. 25,000 615,625
-----------
Hotels and Restaurants (2.6%)
Sun International
Hotels Ltd.+ 20,000 945,000
-----------
See Notes to Financial Statements. Aetna Mutual Funds Annual Report 61
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Small Company Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Insurance (10.2%)
Allmerica
Financial Corp. 18,000 $ 546,750
Bankers Life
Holding Corp. 25,000 615,625
CapMAC
Holdings, Inc. 25,000 834,375
Delphi Financial
Group, Inc.+ 35,000 984,375
LaSalle Re
Holdings Ltd. 23,500 681,500
-----------
3,662,625
-----------
Machinery and Equipment (1.3%)
Global Industrial
Technologies,
Inc.+ 25,000 465,625
-----------
Media and Entertainment (5.0%)
Anacomp, Inc.+ 30,000 262,500
Osborn
Communications
Corp.+ 25,000 368,750
Telemundo
Group, Inc.+ 25,000 693,750
Topps Co., Inc.+ 120,000 457,500
-----------
1,782,500
-----------
Medical Supplies (4.4%)
Fisher Scientific
International 15,000 673,125
INAMED Corp.+ 40,000 360,000
PLC Systems, Inc.+ 25,000 559,375
-----------
1,592,500
-----------
Metals and Mining (3.8%)
Minerals
Technologies,
Inc. 10,000 392,500
Reynolds Metals Co. 10,000 562,500
Wolverine Tube,
Inc.+ 10,000 398,750
-----------
1,353,750
-----------
Oil and Gas (8.3%)
Basic Petroleum
International
Ltd.+ 25,000 $ 762,500
Camco
International,
Inc. 15,000 581,250
Chesapeake
Energy Corp.+ 10,000 582,500
Marine Drilling
Co., Inc.+ 40,000 555,000
World Fuel
Services Corp. 30,000 521,250
-----------
3,002,500
-----------
Pharmaceuticals (6.4%)
Alcide Corp.+ 35,000 743,750
American
Biogenetic
Sciences, Inc.+ 30,000 161,250
Biovail Corp.
International+ 20,000 585,000
Celgene Corp.+ 75,000 646,875
Draxis Health,
Inc.+ 50,000 178,125
-----------
2,315,000
-----------
Retail (3.7%)
CML Group, Inc. 120,000 585,000
United Auto
Group, Inc.+ 10,000 343,750
Waban, Inc.+ 15,000 391,875
-----------
1,320,625
-----------
Telecommunications (5.3%)
Associated Group,
Inc.+ 15,000 423,750
Atlantic
Tele-Network,
Inc.+ 45,000 793,125
Comsat Corp. 30,000 705,000
-----------
1,921,875
-----------
62 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Utilities - Electric (3.6%)
Tucson Electric
Power Co.+ 65,000 $1,283,749
-----------
Total Common
Stocks (cost
$31,479,476) 35,047,550
-----------
Principal Market
Amount Value
-------- -------
Short-Term Investments (4.0%)
Student Loan
Marketing
Association,
Disc. Note,
5.53%, 11/01/96 $1,440,000$1,440,000
-----------
Total Short-Term
Investments
(cost
$1,440,000) 1,440,000
-----------
Total Investments
(cost $32,919,476)
(a) 36,487,550
Other assets less
liabilities (478,358)
-----------
Total Net Assets $36,009,192
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount
to $32,936,704. Unrealized gains and losses, based on identified
tax cost at October 31, 1996, are as follows:
Unrealized gains .......... $5,216,354
Unrealized losses ......... (1,665,508)
===========
Net unrealized gain ... $3,550,846
===========
+Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. Aetna Mutual Funds Annual Report 63
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
International Growth Fund
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Common Stocks (92.4%)
Argentina (1.2%)
Banco Frances del
Rio de la Plata
SA (Banks) 23,500 $ 616,875
Quilmes Industrial
SA (Foods and
Beverages) 17,400 182,700
-----------
Total Argentina 799,575
-----------
Australia (2.0%)
Australian Gas
Light Co. Ltd.
(Oil and Gas) 71,849 394,325
North Ltd. (Metals
and Mining) 137,702 392,069
Reinsurance
Australia Corp.
Ltd. (Insurance) 195,000 584,594
-----------
Total Australia 1,370,988
-----------
Austria (0.6%)
VA Technologie AG
(Commercial
Services) 3,100 433,807
-----------
Belgium (1.0%)
Cimenteries CBR
Cementbedrijven
(Building
Materials and
Construction) 3,000 236,614
G.I.B. Holdings
Ltd. (Retail) 10,900 459,904
-----------
Total Belgium 696,518
-----------
Brazil (0.9%)
Telecomunicacoes
Brasileiras SA
(Utilities -
Telephone) 8,500 633,250
-----------
Canada (2.2%)
BCE, Inc.
(Utilities -
Telephone) 5,800 $ 266,192
Domtar, Inc.
(Paper and
Containers) 24,000 209,380
Intertape Polymer
Group, Inc.
(Paper and
Containers) 10,400 239,624
Petro-Canada (Oil
and Gas) 26,000 351,875
Royal Bank
of Canada
(Banks) 14,000 462,456
-----------
Total Canada 1,529,527
-----------
Chile (0.3%)
Empresa Nacional
Electricidad SA
(Utilities -
Electric) 12,000 220,500
-----------
Denmark (3.2%)
Carli Gry
International
A/S+ (Apparel) 11,600 524,950
Falck A/S
(Commercial
Services) 1,700 459,254
ISS International
Service System
A/S
(Diversified) 20,000 567,830
Tele Danmark A/S
(Utilities -
Telephone) 12,300 620,122
-----------
Total Denmark 2,172,156
-----------
Finland (1.2%)
Huhtamaki Group
(Diversified) 9,000 391,650
Neste (Oil and
Gas) 21,500 448,352
-----------
Total Finland 840,002
-----------
64 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
France (4.5%)
Credit Local de
France
(Financial
Services) 7,000 $ 602,678
Elf Aquitaine SA
(Oil and Gas) 8,450 676,238
Eridania
Beghin-Say SA
(Foods and
Beverages) 1,500 239,027
Le Carbone-
Lorraine
(Electrical and
Electronics) 860 127,951
Pathe SA+ (Media
and
Entertainment) 2,130 575,011
PSA Peugeot (Autos
and Auto
Equipment) 400 41,737
Union des
Assurances
Federales
(Insurance) 4,600 517,795
Usinor Sacilor
(Metals and
Mining) 20,000 296,973
-----------
Total France 3,077,410
-----------
Germany (5.6%)
BASF AG
(Chemicals) 10,700 342,242
Commerzbank AG
(Banks) 25,000 560,071
Deutsche
Pfandbrief &
Hypothekenbank
AG (Banks) 10,000 411,049
Leifheit AG (Home
Furnishings and
Appliances) 8,800 360,560
Moebel Walther AG
(Home
Furnishings and
Appliances) 5,000 309,278
Schering AG
(Pharmaceuticals) 6,200 499,253
Schmalbach Lubeca
AG+ (Paper and
Containers) 2,100 419,806
Germany (continued)
VEBA AG (Utilities
- Electric) 13,600 $ 725,927
Volkswagen AG
(Autos and Auto
Equipment) 520 204,897
-----------
Total Germany 3,833,083
-----------
Hong Kong (10.3%)
Bank of East Asia
Ltd. (Banks) 172,932 675,420
China Resources
Enterprise Ltd.
(Real Estate
Investment
Trusts) 470,000 528,821
Citic Pacific Ltd.
(Diversified) 135,000 656,467
Goldlion Holdings
Ltd. (Retail) 470,000 382,939
Great Eagle
Holdings Ltd.
(Real Estate
Investment
Trusts) 235,000 755,241
Guangnan Holdings
(Commercial
Services) 410,000 278,378
HKR International
Ltd. (Real
Estate
Investment
Trusts) 505,000 640,042
Hong Kong Land
Holdings Ltd.
(Real Estate
Investment
Trusts) 235,625 525,444
HSBC Holdings Plc
(Banks) 42,769 871,167
Hysan Development
Co. Ltd. (Real
Estate
Investment
Trusts) 240,000 769,759
New World
Development Co.
Ltd. (Real
Estate
Investment
Trusts) 95,739 557,176
Aetna Mutual Funds Annual Report 65
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
International Growth Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Hong Kong (continued)
Regal Hotels
International
(Hotels and
Restaurants) 1,500,000 $ 412,232
-----------
Total Hong Kong 7,053,086
-----------
Indonesia (1.4%)
Asia Pulp & Paper
Co. Ltd.+ (Paper
and Containers) 20,000 197,500
PT Citra Marga
Nusaphala
Persada
(Commercial
Services) 570,000 416,148
Steady Safe
(Foreign-Registered
shares)
(Transportation) 340,000 328,538
-----------
Total Indonesia 942,186
-----------
Ireland (1.8%)
Adare Printing
Group Plc
(Printing and
Publishing) 29,065 257,882
Golden Vale Plc
(Foods and
Beverages) 250,000 272,690
Irish Life Plc
(Insurance) 75,000 324,786
Waterford
Wedgewood (Home
Furnishings and
Appliances) 295,000 362,596
-----------
Total Ireland 1,217,954
-----------
Italy (4.0%)
Gemina S.p.A.+
(Financial
Services) 1,000,000 447,126
Istituto Mobiliare
Italiano S.p.A.
(Financial
Services) 82,300 651,572
Italy (continued)
Parmalat
Finanziaria
S.p.A. (Foods
and Beverages) 294,040 $ 421,761
Pirelli S.p.A.
(Autos and Auto
Equipment) 225,000 399,149
Stet Scocieta'
Finaziaria
Telefonica S.p.A.
(Telecom-
munications) 201,000 535,523
Stet Societa'
Finanziaria
Telefonica S.p.A.
(Telecom-
munications) 35,000 120,948
Telecom Italia
S.p.A.
(Utilities -
Telephone) 90,000 200,613
-----------
Total Italy 2,776,692
-----------
Japan (15.1%)
AJL PEPS Trust
(Consumer
Products) 14,700 273,788
Canon, Inc.
(Computers and
Office
Equipment) 29,000 555,829
Daibiru Corp.
(Real Estate
Investment
Trusts) 25,000 283,541
Daiichi
Pharmaceutical
(Pharmaceuticals) 41,000 591,173
Exedy Corp. (Autos
and Auto 14,000 222,789
Equipment)
Fuji Photo Film
(Chemicals) 13,000 373,747
Furukawa Electric
Co. (Electrical
Equipment) 79,000 419,518
Hitachi Koki
(Electrical
Equipment) 35,000 293,872
Hitachi Ltd.
(Electrical and
Electronics) 18,800 166,942
66 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Japan (continued)
Honda Motor Co.
Ltd. (Autos and
Auto Equipment) 22,000 $ 526,112
Ito-Yokado Co.
Ltd. (Retail) 7,000 349,569
Komatsu Ltd.
(Machinery and
Equipment) 49,000 401,512
Konica Corp.
(Chemicals) 57,000 381,370
Matsushita
Electric
Industrial Co.
Ltd. (Electrical
and Electronics) 42,000 672,059
Mitsubishi Heavy
Industries Ltd.
(Aerospace and
Defense) 82,000 630,825
Mizuno Corp.
(Consumer
Products) 35,000 271,101
Nintendo Co. Ltd.
(Electrical and
Electronics) 3,000 192,017
Nippon Telegraph &
Telephone
(Utilities -
Telephone) 90 629,066
Rohm Co.
(Electrical and
Electronics) 7,000 415,421
Sanyo Shinpan
Finance Co.
(Financial
Services) 8,500 517,144
Shinmaywa
Industries Ltd.
(Autos and Auto
Equipment) 50,000 433,005
Takara Standard
(Building
Materials and
Construction) 30,000 279,585
Japan (continued)
TDK Corp.
(Electrical and
Electronics) 11,000 $ 646,035
Tsukishima Kikai
(Machinery and
Equipment) 8,000 156,146
West Japan
Railway+
(Transportation) 200 654,123
-----------
Total Japan 10,336,289
-----------
Malaysia (4.9%)
AMMB Holdings Bhd
(Financial
Services) 85,000 575,256
Lion Land Bhd
(Financial
Services) 500,000 500,653
MBF Capital Bhd
(Financial
Services) 416,000 572,953
Metroplex Bhd
(Real Estate
Investment
Trusts) 500,000 575,850
Oriental Holdings
Bhd
(Diversified) 91,700 624,229
Sungei Way
Holdings Bhd
(Diversified) 90,000 512,922
-----------
Total Malaysia 3,361,863
-----------
Mexico (2.3%)
ALFA SA de C.V.
(Diversified) 130,402 541,993
Panamerican
Beverages, Inc.
(Foods and
Beverages) 10,600 462,425
Transportacion
Maritima
Mexicana SA de
CV
(Transportation) 38,500 269,500
Tubos de Acero de
Mexico SA+
(Metals and
Mining) 29,000 322,625
-----------
Total Mexico 1,596,543
-----------
Aetna Mutual Funds Annual Report 67
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
International Growth Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Netherlands (3.3%)
ABN Amro
Holding N.V.
(Financial
Services) 4,166 $ 235,580
Fortis Amev N.V.
(Financial
Services) 9,482 283,470
ING Groep N.V.
(Banks) 19,615 611,848
Philips
Electronics N.V.
(Electrical and
Electronics) 15,300 539,501
Vendex
International
N.V.+ (Retail) 15,298 617,910
-----------
Total Netherlands 2,288,309
-----------
Norway (3.4%)
Den norske Bank
ASA (Banks) 172,000 569,268
Merkantildata ASA
(Computer
Software) 27,000 415,046
Orkla ASA
(Diversified) 7,700 492,785
Schibsted ASA
(Printing and
Publishing) 29,800 455,750
Tomra Systems ASA
(Paper and
Containers) 30,000 425,869
-----------
Total Norway 2,358,718
-----------
Philippines (1.9%)
Ayala Land, Inc.
(Real Estate
Investment
Trusts) 247,500 263,699
C & P Homes, Inc.
(Building
Materials and
Construction) 1,147,950 524,178
DMCI Holdings,
Inc.+ (Building
Materials and
Construction) 586,000 423,668
Philippines (continued)
Sanitary Wares
Manufacturing
Corp.+ (Building
Materials and
Construction) 761,400 $ 57,945
-----------
Total Philippines 1,269,490
-----------
Singapore (1.5%)
Clipsal Industries
Ltd. (Electrical
Equipment) 120,000 384,000
Singapore
Airlines Ltd.
(Foreign-Registered
shares)
(Transportation) 12,000 105,607
Wing Tai Holdings
Ltd.+
(Diversified) 210,000 515,685
-----------
Total Singapore 1,005,292
-----------
South Korea (0.6%)
Korea Electric
Power Corp.
(Utilities -
Electric) 23,000 414,000
-----------
Spain (2.8%)
Banco Bilbao
Vizcaya, SA
(Banks) 6,300 306,413
Cubiertas y Mzov
SA (Building
Materials and
Construction) 7,000 500,804
Empresa Nacional
de Electricidad
SA (Utilities -
Electric) 9,000 551,402
Repsol SA (Oil and
Gas) 17,500 571,779
-----------
Total Spain 1,930,398
-----------
Sweden (3.9%)
Enator AB+
(Commercial
Services) 22,000 489,299
68 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ------
Sweden (continued)
Frontec AB+
(Computer
Software) 40,000 $ 572,778
Skandinaviska
Enskilda Banken
(Banks) 64,000 536,218
Sparbanken Sverige
AB (Banks) 33,000 522,812
Volvo AB (Autos
and Auto
Equipment) 25,700 534,397
-----------
Total Sweden 2,655,504
-----------
Switzerland (1.2%)
Baloise Holding
Ltd. (Insurance) 125 262,175
Electrowatt AG
(Utilities -
Electric) 1,450 552,951
-----------
Total Switzerland 815,126
-----------
Taiwan (0.4%)
China Steel Corp.+
(Metals and
Mining) 13,000 252,038
China Steel Corp.,
ADR++ (Metals
and Mining) 2,000 38,775
-----------
Total Taiwan 290,813
-----------
Thailand (0.7%)
Advanced Info
Service PCL
(Foreign-Registered
shares)
(Telecom
munications 15,000 203,490
Electricity
Generating
Public Co. Ltd.
(Foreign-Registered
shares)
(Utilities -
Electric) 102,000 295,942
-----------
Total Thailand 499,432
-----------
United Kingdom (10.2%)
Allied Domecq Plc
(Foods and
Beverages) 63,769 $ 492,208
Bank of Scotland
(Banks) 129,753 595,837
Barclays Bank
Restricted+
(Financial
Services) 1,122 17,604
Boots Co. Plc
(Retail) 30,000 304,348
British Airways
Plc
(Transportation) 16,600 149,484
Burton Group Plc
(Retail) 160,000 388,862
Commercial Union
Plc (Insurance) 30,200 319,655
Cowie Group Plc
(Autos and Auto
Equipment) 62,000 363,459
D.F.S. Furniture
Co. Plc (Home
Furnishings and
Appliances) 40,790 362,334
Granada Group Plc
(Diversified) 45,225 651,753
Hillsdown
Holdings Plc
(Foods and
Beverages) 185,424 525,383
Inchcape Plc
(Retail) 75,833 354,406
Ladbroke Group Plc
(Media and
Entertainment) 161,428 524,424
Medeva Plc
(Pharmaceuticals) 119,775 514,910
Mirror Group Plc
(Printing and
Publishing) 88,300 335,025
National Power Plc
(Utilities -
Electric) 4,000 108,500
Aetna Mutual Funds Annual Report 69
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
International Growth Fund (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
United Kingdom (continued)
Shell Transport &
Trading Co. (Oil
and Gas) 45,300 $ 742,829
Slough Estates Plc
(Real Estate
Investment
Trusts) 24,675 99,648
Whitbread Plc
(Foods and
Beverages) 14,000 164,143
-----------
Total United
Kingdom 7,014,812
-----------
Total Common
Stocks (cost
$59,256,510) 63,433,323
-----------
Preferred Stocks (1.7%)
Finland (1.2%)
Oy Nokia Ab
(Telecom
munications) 17,200 795,173
-----------
Germany (0.5%)
Gerry Weber
International AG
(Apparel) 9,434 358,482
-----------
Total Preferred Stocks
(cost $1,262,941) 1,153,655
-----------
Principal Market
Amount Value
Short-Term Investments (2.8%)
Lockheed Martin
Corp., Comm.
Paper, 11/01/96 $1,640,000$1,640,000
U.S. Treasury
Bill, Disc.
Note, 11/14/96 300,000 299,448
-----------
Total Short-Term
Investments
(cost $1,939,449) 1,939,448
-----------
Total Investments
(cost $62,458,900) (a) 66,526,426
Other assets less
liabilities 2,152,821
-----------
Total Net Assets $68,679,247
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$62,680,012. Unrealized gains and losses, based on identified tax cost at
October 31, 1996, are as follows:
Unrealized gains .......... $5,886,169
Unrealized losses ......... (2,039,75)
-----------
Net unrealized gain ... $3,846,414
===========
+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.
Category percentages are based on net assets.
Information concerning open futures contracts at October 31, 1996 is shown
below:
No. of Initital Expiration Unrealized
Contracts Value Date Gain/(Loss)
---------- ---------- ---------- ----------
TFE 35 Index Future 2 207,628 Dec 96 $ 9,075
==========
70 See Notes to Financial Statements.
<PAGE>
This page intentionally left blank.
Aetna Mutual Funds Annual Report 71
<PAGE>
Statements of Assets and Liabilities
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Money Market
- --------------------------------------------------------------------------------
Assets:
Investments, at market value .......................... $442,406,200
Cash .................................................. 43,913
Receivable for:
Dividends and interest .............................. 2,533,293
Investments sold .................................... --
Fund shares sold .................................... 9,109,699
Reimbursement from Investment Adviser ............... 179,793
Prepaid insurance ..................................... 3,227
Deferred organizational expenses ...................... 7,141
------------
Total assets ...................................... 454,283,266
------------
Liabilities:
Payable for:
Dividends ........................................... 358,096
Investments purchased ............................... 7,831,633
Fund shares redeemed ................................ 2,491,018
Other liabilities ..................................... 472,361
------------
Total liabilities ................................. 11,153,108
------------
NET ASSETS ............................................ $443,130,158
============
Net Assets represented by:
Paid-in capital ....................................... 443,130,158
Unrealized gain (loss) on investments ................. --
Undistributed (distributions in excess of)
net investment income ............................... --
Accumulated net realized gain (loss) on investments ... --
============
NET ASSETS ............................................ $443,130,158
============
Capital Shares, $.001 par value
Select Class:
Outstanding ....................................... 323,280,879
Net Assets ........................................ $323,280,879
Net Asset Value per share
(net assets divided by shares
outstanding)..................................... $ 1.00
Adviser Class:
Outstanding ....................................... 119,849,279
Net Assets ........................................ $119,849,279
Net Asset Value per share
(net assets divided by shares
outstanding)..................................... $ 1.00
Cost of Investments ................................... $442,406,200
72 See Notes to Financial Statements.
<PAGE>
--------------- --------- --------------
Government Fund Bond Fund The Aetna Fund
--------------- --------- --------------
$11,052,592 $29,491,389 $91,788,520
19 30,865 231,829
166,746 363,767 304,642
-- -- 708,779
15,227 16,748 19,521
7,283 8,310 --
400 724 1,058
-- 7,141 7,141
----------- ----------- ------------
11,242,267 29,918,944 93,061,490
----------- ----------- ------------
27,669 24,149 --
-- -- 407,729
188 108,639 113,449
26,173 45,114 132,225
----------- ----------- ------------
54,030 177,902 653,403
----------- ----------- ------------
$11,188,237 $29,741,042 $92,408,087
=========== =========== ============
$11,602,182 $29,957,393 $70,346,350
(74,675) 619,246 11,139,666
37,340 93,870 799,186
(376,610) (929,467) 10,122,885
=========== =========== ============
$11,188,237 $29,741,042 $92,408,087
=========== =========== ============
1,088,403 2,860,637 6,552,804
$10,661,816 $28,863,613 $88,625,463
$ 9.80 $ 10.09 $ 13.52
53,755 87,000 280,472
$ 526,421 $ 877,429 $ 3,782,624
$ 9.79 $ 10.09 $ 13.49
$11,127,267 $28,872,143 $80,648,854
Aetna Mutual Funds Annual Report 73
<PAGE>
Statements of Assets and Liabilities
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Growth and Income Fund
- --------------------------------------------------------------------------------
Assets:
Investments, at market value .......................... $386,990,270
Cash .................................................. 84,250
Cash denominated in foreign currencies ................ 523,488
Receivable for:
Dividends and interest .............................. 637,770
Investments sold .................................... 6,647,983
Fund shares sold .................................... 19,507
Recoverable taxes ................................... 11,558
Variation margin .................................... 245,207
Reimbursement from Investment Adviser ............... --
Prepaid insurance ..................................... 4,765
Deferred organizational expenses ...................... 7,169
Gross unrealized gain on forward
foreign currency exchange contracts ................ 93,191
------------
Total assets ...................................... 395,265,158
------------
Liabilities:
Payable for:
Dividends ........................................... --
Investments purchased ............................... 8,411,857
Fund shares redeemed ................................ 120,375
Variation margin .................................... --
Other liabilities ..................................... 405,675
Gross unrealized loss on forward
foreign currency exchange contracts ................ 8,948
Deferred premiums on written options,
at market value ..................................... 1,896,813
------------
Total liabilities ................................. 10,843,668
------------
NET ASSETS ............................................ $384,421,490
============
Net Assets represented by:
Paid-in capital ....................................... $250,623,957
Unrealized gain (loss) on investments ................. 68,216,720
Undistributed (distributions
in excess of) net investment income ................. 2,385,297
Accumulated net realized
gain (loss) on investments .......................... 63,195,516
============
NET ASSETS ............................................ $384,421,490
============
Capital Shares, $.001 par value
Select Class:
Outstanding ....................................... 24,001,609
Net Assets ........................................ $377,783,624
Net Asset Value per share
(net assets divided by shares
outstanding)...................................... $ 15.74
Adviser Class:
Outstanding ....................................... 422,969
Net Assets ........................................ $ 6,637,866
Net Asset Value per share
(net assets divided by shares
outstanding)..................................... $ 15.69
Cost of Investments ................................... $319,044,453
Cost of cash denominated in
foreign currencies .................................. $ 518,213
74 See Notes to Financial Statements.
<PAGE>
----------- ------------------ --------------------
Growth Fund Small Company Fund International Growth
----------- ------------------ --------------------
$50,071,296 $36,487,550 $66,526,426
2,561 4,062 208
-- -- 1,709,059
26,928 5,250 114,655
-- 161,120 2,103,466
74,226 1,143 19,040
-- -- 79,445
-- -- --
-- -- 5,613
833 155 1,098
-- -- 7,169
-- -- 155,122
----------- ----------- ------------
50,175,844 36,659,280 70,721,301
----------- ----------- ------------
-- -- --
-- 580,425 1,833,042
16,819 7,869 12,702
-- -- 43
70,441 61,794 169,919
-- -- 26,348
-- -- --
----------- ----------- ------------
87,260 650,088 2,042,054
----------- ----------- ------------
$50,088,584 $36,009,192 $68,679,247
=========== =========== ============
$37,462,831 $24,179,526 $59,096,086
8,204,243 3,568,074 4,202,505
22,987 -- 1,324,863
4,398,523 8,261,592 4,055,793
=========== =========== ============
$50,088,584 $36,009,192 $68,679,247
=========== =========== ============
3,167,253 2,189,882 3,884,310
$45,473,403 $32,124,793 $45,786,190
$ 14.36 $ 14.67 $ 11.79
325,750 269,433 1,944,814
$4,615,181 $3,884,399 $22,893,057
$ 14.17 $ 14.42 $ 11.77
$41,867,053 $32,919,476 $62,458,900
-- -- $ 1,710,833
Aetna Mutual Funds Annual Report 75
<PAGE>
Statements of Operations
Year ended October 31, 1996
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Money Market Fund
- --------------------------------------------------------------------------------
Investment Income:
Dividends ................................................. $ --
Interest .................................................. 21,850,822
------------
21,850,822
Foreign taxes withheld .................................... --
------------
Total investment income ................................. 21,850,822
------------
Investment Expenses:
Investment advisory fees .................................. 1,560,183
Administrative service fees ............................... 961,110
12b-1 and shareholder service fees ........................ 101,840
Amortization of organizational costs ...................... 8,594
Printing and postage ...................................... 123,286
Custody fees .............................................. 34,285
Transfer agent fees ....................................... 397,326
Audit fees ................................................ 12,109
Directors' fees ........................................... 15,284
State and federal fees .................................... 66,282
Miscellaneous ............................................. 48,494
------------
Expenses before reimbursement and waiver from Adviser ..... 3,328,793
Expenses reimbursement and waiver from Adviser ............ (2,160,644)
------------
Net investment expenses ................................. 1,168,149
------------
------------
Net investment income (loss) .............................. 20,682,673
------------
Net Realized and Unrealized Gain
(Loss):
Net realized gain (loss) on:
Sale of investments ..................................... --
Written options ......................................... --
Futures and forward foreign currency contracts .......... --
Foreign currency transactions ........................... --
------------
Net realized gain (loss) .............................. --
------------
Net change in unrealized gain or loss on:
Investments ............................................. --
Written options ......................................... --
Futures and forward foreign currency contracts .......... --
Foreign currency transactions ........................... --
------------
Net change in unrealized gain or loss ................. --
------------
------------
Net realized and change in unrealized gain (loss) on --
investments .............................................
------------
Increase in net assets resulting from operations .......... $20,682,673
============
76 See Notes to Financial Statements.
<PAGE>
--------------- --------- --------------
Government Fund Bond Fund The Aetna Fund
--------------- --------- --------------
$ -- $ -- $ 864,594
859,634 2,408,938 2,339,348
---------- ---------- ------------
859,634 2,408,938 3,203,942
-- -- (4,736)
---------- ---------- ------------
859,634 2,408,938 3,199,206
---------- ---------- ------------
67,466 174,209 687,346
33,733 87,105 214,796
4,074 15,911 19,775
-- 8,594 8,594
6,250 13,638 29,539
11,892 12,488 41,639
28,272 40,252 66,652
16,578 17,620 18,232
4,428 5,201 6,818
42,194 40,679 40,364
1,240 3,355 7,130
---------- ---------- ------------
216,127 419,052 1,140,885
(117,613) (141,557) --
---------- ---------- ------------
98,514 277,495 1,140,885
---------- ---------- ------------
761,120 2,131,443 2,058,321
---------- ---------- ------------
440,214 350,612 10,875,104
-- -- (122,437)
-- -- (524,090)
-- -- 20,888
---------- ---------- ------------
440,214 350,612 10,249,465
---------- ---------- ------------
(671,559) (865,587) 1,651,236
-- -- --
-- -- --
-- -- --
---------- ---------- ------------
(671,559) (865,587) 1,651,236
---------- ---------- ------------
(231,345) (514,975) 11,900,701
---------- ---------- ------------
$ 529,775 $1,616,468 $13,959,022
========== ========== ============
Aetna Mutual Funds Annual Report 77
<PAGE>
Statements of Operations
Year ended October 31, 1996
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Growth and Income Fund
- --------------------------------------------------------------------------------
Investment Income:
Dividends .............................................. $ 8,634,977
Interest ............................................... 693,130
------------
9,328,107
Foreign taxes withheld ................................. (87,106)
------------
Total investment income .............................. 9,241,001
------------
Investment Expenses:
Investment advisory fees ............................... 2,616,904
Administrative service fees ............................ 945,088
12b-1 and shareholder service fees ..................... 32,657
Amortization of organizational costs ................... 8,594
Printing and postage ................................... 130,142
Custody fees ........................................... 135,924
Transfer agent fees .................................... 85,575
Audit fees ............................................. 21,731
Directors' fees ........................................ 17,588
State and federal fees ................................. 49,720
Miscellaneous .......................................... 43,887
------------
Expenses before reimbursement and waiver from Adviser .. 4,087,810
Expenses reimbursement and waiver from Adviser ......... --
------------
Net investment expenses .............................. 4,087,810
------------
------------
Net investment income (loss) ........................... 5,153,191
------------
Net Realized and Unrealized Gain
(Loss):
Net realized gain (loss) on:
Sale of investments .................................. 62,460,922
Written options ...................................... (560,635)
Futures and forward foreign currency contracts ....... 2,033,397
Foreign currency transactions ........................ 24,451
------------
Net realized gain (loss) ........................... 63,958,135
------------
Net change in unrealized gain or loss on:
Investments .......................................... 16,863,863
Written options ...................................... (162,072)
Futures and forward foreign currency contracts ....... 714,930
Foreign currency transactions ........................ (32,029)
------------
Net change in unrealized gain or loss .............. 17,384,692
------------
------------
Net realized and change in unrealized
gain (loss) on investments ........................... 81,342,827
------------
Increase in net assets resulting from operations ....... $86,496,018
============
78 See Notes to Financial Statements.
<PAGE>
----------- ------------------ ------------------------
Growth Fund Small Company Fund International Growth Fund
----------- ------------------ ------------------------
$ 549,040 $ 243,538 $1,084,348
75,241 111,387 83,753
----------- ----------- ----------
624,281 354,925 1,168,101
(1,116) (3,084) (128,368)
----------- ----------- ----------
623,165 351,841 1,039,733
----------- ----------- ----------
296,559 330,302 389,220
105,914 97,148 114,478
23,653 20,104 167,007
-- -- 8,594
14,339 13,264 20,231
10,065 12,087 204,930
41,302 35,659 44,981
18,341 17,001 19,918
5,319 5,249 5,669
42,730 42,176 51,095
4,980 4,484 12,259
----------- ----------- ----------
563,202 577,474 1,038,382
-- -- --
----------- ----------- ----------
563,202 577,474 1,038,382
----------- ----------- ----------
59,963 (225,633) 1,351
----------- ----------- ----------
4,445,504 8,498,979 4,882,472
-- -- --
-- -- 1,362,397
-- -- (43,933)
----------- ----------- ----------
4,445,504 8,498,979 6,200,936
----------- ----------- ----------
3,234,043 (1,470,234) 2,898,392
-- -- --
-- -- (98,088)
-- -- (9,692)
----------- ----------- ----------
3,234,043 (1,470,234) 2,790,612
----------- ----------- ----------
7,679,547 7,028,745 8,991,548
----------- ----------- ----------
$7,739,510 $6,803,112 $8,992,899
=========== =========== ==========
Aetna Mutual Funds Annual Report 79
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Money Market Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
------------ ------------
From Operations:
Net investment income ........................... $ 20,682,673 $ 15,709,416
-------------- --------------
Increase in net assets resulting from operations 20,682,673 15,709,416
-------------- --------------
Distributions to Shareholders:
Select Class:
From net investment income .................... (15,289,546) (11,991,698)
Adviser Class:
From net investment income .................... (5,393,127) (3,717,718)
-------------- --------------
Decrease in net assets from distributions to
shareholders .................................. (20,682,673) (15,709,416)
-------------- --------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ..................... 365,382,830 303,179,867
Reinvestment of distributions ................. 11,942,795 9,929,370
Cost of shares redeemed ....................... (329,569,238) (199,341,125)
Adviser Class:
Proceeds from shares sold ..................... 313,079,417 113,465,548
Reinvestment of distributions ................. 5,181,096 3,576,944
Cost of shares redeemed ....................... (277,136,873) (85,667,348)
-------------- --------------
Net increase in net assets from fund share 88,880,027 145,143,256
transactions
-------------- --------------
Change in net assets ............................ 88,880,027 145,143,256
-------------- --------------
Net assets:
Beginning of period ............................. 354,250,131 209,106,875
============== ==============
End of period ................................... $ 443,130,158 $ 354,250,131
============== ==============
80 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Government Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
----------- ------------
From Operations:
Net investment income ........................... $ 761,120 $ 1,479,878
Net realized gain (loss) ........................ 440,214 (545,932)
Net change in unrealized gain or loss ........... (671,559) 1,737,685
------------- -------------
Increase in net assets resulting from operations 529,775 2,671,631
------------- -------------
Distributions to Shareholders:
Select Class:
From net investment income .................... (826,219) (1,440,305)
Adviser Class:
From net investment income .................... (30,691) (15,128)
------------- -------------
Decrease in net assets from distributions to
shareholders .................................. (856,910) (1,455,433)
------------- -------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ..................... 7,128,630 11,590,278
Reinvestment of distributions ................. 731,042 1,434,827
Cost of shares redeemed ....................... (16,037,046) (21,180,558)
Adviser Class:
Proceeds from shares sold ..................... 392,895 369,917
Reinvestment of distributions ................. 29,570 14,695
Cost of shares redeemed ....................... (288,026) (147,521)
------------- -------------
Net decrease in net assets from fund share (8,042,935) (7,918,362)
transactions
------------- -------------
Change in net assets ............................ (8,370,070) (6,702,164)
------------- -------------
Net assets:
Beginning of period ............................. 19,558,307 26,260,471
============= =============
End of period ................................... $ 11,188,237 $ 19,558,307
============= =============
End of period net assets includes undistributed
net investment income ......................... $ 37,340 $ 133,130
============= =============
Aetna Mutual Funds Annual Report 81
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Bond Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
----------- ------------
From Operations:
Net investment income ........................... $ 2,131,443 $ 2,900,860
Net realized gain (loss) ........................ 350,612 (287,323)
Net change in unrealized gain or loss ........... (865,587) 3,094,180
------------- -------------
Increase in net assets resulting from operations 1,616,468 5,707,717
------------- -------------
Distributions to Shareholders:
Select Class:
From net investment income .................... (2,228,451) (1,855,003)
Adviser Class:
From net investment income .................... (118,704) (896,133)
------------- -------------
Decrease in net assets from distributions to
shareholders .................................. (2,347,155) (2,751,136)
------------- -------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ..................... 16,737,268 11,304,362
Reinvestment of distributions ................. 1,969,778 1,689,033
Cost of shares redeemed ....................... (21,913,346) (9,913,625)
Adviser Class:
Proceeds from shares sold ..................... 723,229 240,905
Reinvestment of distributions ................. 117,153 895,776
Cost of shares redeemed ....................... (7,281,015) (20,043,606)
------------- -------------
Net decrease in net assets from fund share (9,646,933) (15,827,155)
transactions
------------- -------------
Change in net assets ............................ (10,377,620) (12,870,574)
------------- -------------
Net assets:
Beginning of period ............................. 40,118,662 52,989,236
============= =============
End of period ................................... $ 29,741,042 $ 40,118,662
============= =============
End of period net assets includes undistributed
net investment income ......................... $ 93,870 $ 203,781
============= =============
82 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. The Aetna Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
----------- -----------
From Operations:
Net investment income ........................ $ 2,058,321 $ 2,727,732
Net realized gain ............................ 10,249,465 5,062,065
Net change in unrealized gain or loss ........ 1,651,236 6,873,536
------------- -------------
Increase in net assets resulting
from operations 13,959,022 14,663,333
------------- -------------
Distributions to Shareholders:
Select Class:
From net investment income ................. (2,235,502) (2,366,265)
From realized gain on investments .......... (3,635,331) --
Adviser Class:
From net investment income ................. (43,474) (346,417)
From realized gain on investments .......... (74,327) --
------------- -------------
Decrease in net assets from
distributions to shareholders .............. (5,988,634) (2,712,682)
------------- -------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold .................. 8,853,321 18,047,983
Reinvestment of distributions .............. 5,822,307 2,339,294
Cost of shares redeemed .................... (17,683,736) (24,943,784)
Adviser Class:
Proceeds from shares sold .................. 2,316,316 890,189
Reinvestment of distributions .............. 113,883 306,603
Cost of shares redeemed .................... (287,278) (25,950,245)
------------- -------------
Net decrease in net assets
from fund share transactions ............... (865,187) (29,309,960)
------------- -------------
Change in net assets ......................... 7,105,201 (17,359,309)
------------- -------------
Net assets:
Beginning of period .......................... 85,302,886 102,662,195
============= =============
End of period ................................ $ 92,408,087 $ 85,302,886
============= =============
End of period net assets includes
undistributed net investment
income ..................................... $ 799,186 $ 988,683
============= =============
Aetna Mutual Funds Annual Report 83
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Growth and Income Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
------------ -----------
From Operations:
Net investment income ....................... $ 5,153,191 $ 5,732,043
Net realized gain ........................... 63,958,135 22,242,980
Net change in unrealized gain or loss ....... 17,384,692 40,657,050
------------- -------------
Increase in net assets
resulting from operations ................. 86,496,018 68,632,073
------------- -------------
Distributions to Shareholders:
Select Class:
From net investment income ................ (6,192,363) (3,718,581)
From realized gain on investments ......... (19,770,374) --
Adviser Class:
From net investment income ................ (31,982) (19,523)
From realized gain on investments ......... (154,880) --
------------- -------------
Decrease in net assets from
distributions to shareholders ............. (26,149,599) (3,738,104)
------------- -------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ................. 32,613,330 74,993,372
Reinvestment of distributions ............. 25,939,008 3,714,435
Cost of shares redeemed ................... (97,162,916) (87,967,109)
Adviser Class:
Proceeds from shares sold ................. 4,361,463 1,598,535
Reinvestment of distributions ............. 183,989 19,466
Cost of shares redeemed ................... (879,552) (5,332,821)
------------- -------------
Net decrease in net assets from
fund share transactions ................... (34,944,678) (12,974,122)
------------- -------------
Change in net assets ........................ 25,401,741 51,919,847
------------- -------------
Net assets:
Beginning of period ......................... 359,019,749 307,099,902
============= =============
End of period ............................... $384,421,490 $359,019,749
============= =============
End of period net assets includes
undistributed net investment income ....... $ 2,385,297 $ 2,597,556
============= =============
84 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Growth Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
----------- ------------
From Operations:
Net investment income ........................... $ 59,963 $ 111,223
Net realized gain ............................... 4,445,504 4,907,116
Net change in unrealized gain or loss ........... 3,234,043 3,776,468
------------- -------------
Increase in net assets resulting from operations 7,739,510 8,794,807
------------- -------------
Distributions to Shareholders:
Select Class:
From net investment income .................... (132,569) (218,963)
From realized gain on investments ............. (4,659,506) (15,187)
Adviser Class:
From net investment income .................... -- (3,720)
From realized gain on investments ............. (262,211) (348)
------------- -------------
Decrease in net assets from distributions to
shareholders .................................. (5,054,286) (238,218)
------------- -------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ..................... 25,918,850 16,700,945
Reinvestment of distributions ................. 4,792,222 234,137
Cost of shares redeemed ....................... (24,571,029) (15,489,540)
Adviser Class:
Proceeds from shares sold ..................... 3,140,744 1,319,960
Reinvestment of distributions ................. 260,073 4,068
Cost of shares redeemed ....................... (801,093) (267,563)
------------- -------------
Net increase in net assets from fund share 8,739,767 2,502,007
transactions
------------- -------------
Change in net assets ............................ $ 11,424,991 $ 11,058,596
------------- -------------
Net assets:
Beginning of period ............................. 38,663,593 27,604,997
============= =============
End of period ................................... $ 50,088,584 $ 38,663,593
============= =============
End of period net assets includes undistributed
net investment income ......................... $ 22,987 $ 95,593
============= =============
Aetna Mutual Funds Annual Report 85
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. Small Company Growth Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
----------- ------------
From Operations:
Net investment income ........................... $ (225,633) $ (7,728)
Net realized gain ............................... 8,498,979 4,597,414
Net change in unrealized gain or loss ........... (1,470,234) 3,558,853
------------- ------------
Increase in net assets resulting from operations 6,803,112 8,148,539
------------- ------------
Distributions to Shareholders:
Select Class:
From net investment income .................... -- (49,874)
From realized gain on investments ............. (3,463,485) --
Adviser Class:
From realized gain on investments ............. (159,638) --
------------- ------------
Decrease in net assets from distributions to
shareholders .................................. (3,623,123) (49,874)
------------- ------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ..................... 6,999,806 1,069,365
Reinvestment of distributions ................. 3,459,007 49,835
Cost of shares redeemed ....................... (14,903,155) (1,421,580)
Adviser Class:
Proceeds from shares sold ..................... 2,859,494 1,080,943
Reinvestment of distributions ................. 155,727 --
Cost of shares redeemed ....................... (537,089) (165,246)
------------- ------------
Net increase (decrease) in net assets from fund
share transactions ............................ (1,966,210) 613,317
------------- ------------
Change in net assets ............................ 1,213,779 8,711,982
------------- ------------
Net assets:
Beginning of period ............................. 34,795,413 26,083,431
============= ============
End of period ................................... $ 36,009,192 $34,795,413
============= ============
End of period net assets includes distributions
in excess of net investment income ............ $ -- $ (20,927)
============= ============
86 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
Aetna Series Fund, Inc. International Growth Fund
- --------------------------------------------------------------------------------
Year ended Year ended
October 31, October 31,
1996 1995
----------- ------------
From Operations:
Net investment income ...................... $ 1,351 $ 360,922
Net realized gain .......................... 6,200,936 970,715
Net change in unrealized gain or loss ...... 2,790,612 (1,638,125)
------------- -------------
Increase (decrease) in
net assets resulting
from operations .......................... 8,992,899 (306,488)
------------- -------------
Distributions to Shareholders:
Select Class:
From net investment income ............... (350,856) (510,337)
From realized gain on
investments ............................ (537,862) (2,093,986)
Adviser Class:
From net investment income ............... (152,316) (221,683)
From realized gain on investments ........ (505,447) (1,697,440)
------------- -------------
Decrease in net assets
from distributions to
shareholders ............................. (1,546,481) (4,523,446)
------------- -------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ................ 5,302,352 5,891,177
Proceeds from shares acquired
in merger .............................. 21,386,350 --
Reinvestment of distributions ............ 884,514 2,576,315
Cost of shares redeemed .................. (11,844,145) (12,040,660)
Adviser Class:
Proceeds from shares sold ................ 820,339 22,544,184
Proceeds from shares acquired
in merger .............................. 493,887 --
Reinvestment of distributions ............ 657,332 1,918,360
Cost of shares redeemed .................. (8,033,640) (22,619,626)
------------- -------------
Net increase (decrease) in
net assets from fund
share transactions ....................... 9,666,989 (1,730,250)
------------- -------------
Change in net assets ....................... 17,113,407 (6,560,184)
------------- -------------
Net assets:
Beginning of period ........................ 51,565,840 58,126,024
============= =============
End of period .............................. $ 68,679,247 $ 51,565,840
============= =============
End of period net assets
includes undistributed
net investment income .................... $ 1,324,863 $ 385,313
============= =============
Aetna Mutual Funds Annual Report 87
<PAGE>
Notes to Financial Statements
October 31, 1996
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. It was 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.
Shares of each Fund are available to all investors including employers and
employees who utilize the Funds as investment options under retirement plans.
Each Fund is diversified and offers two classes of shares, the Select Class and
the Adviser Class. The Select Class shares are offered principally to
institutions and are not subject to sales charges or service fees. The Adviser
Class shares are offered to all others and are subject to deferred sales charges
payable upon redemption within four calendar years after the year of purchase.
Additionally, the Adviser Class shares are subject to a shareholder service fee
and Rule 12b-1 distribution fees. The Adviser Class shares were first made
available to the public on April 15, 1994.
The Company offers the following Funds described in this report:
Aetna Money Market Fund (Money Market Fund) seeks to provide high current
return, consistent with the preservation of capital and liquidity, through
investment in high-quality money market instruments.
Aetna Government Fund (Government Fund) seeks to provide income consistent
with the preservation of capital throuh investment in securities issued or
guaranteed by the U.S. Government, its agencies or instrumentalities.
Aetna Bond Fund (Bond Fund) seeks to provide high total return (i.e., income
and capital appreciation) through investment in a diversified portfolio.
The Aetna Fund seeks to maximize total return with reasonable safety of
principal by investing in a diversified portfolio of stocks, bonds and money
market instruments.
Aetna Growth and Income Fund (Growth and Income Fund) seeks long-term growth
of capital and income through investment in a diversified portfolio
primarily of common stocks and convertible securities.
Aetna Growth Fund (Growth Fund) seeks growth of capital through investment
in a diversified portfolio primarily of common stocks and convertible
securities.
Aetna Small Company Fund (Small Company Fund) seeks growth of capital
through investment in a diversified portfolio primarily of common stocks and
convertible securities.
Aetna International Growth Fund (International Growth Fund) seeks long-term
capital growth primarily through investment in a diversified international
portfolio of common stocks principally traded in countries outside of North
America.
88
<PAGE>
1. Summary of Significant Accounting Policies (continued)
Effective October 15, 1996, by affirmative vote of the Board of Directors, the
Company has changed the name of Aetna Small Company Growth Fund to Aetna Small
Company Fund. The investment objective of the Fund remains unchanged.
The Board of Directors voted to liquidate the Aetna Tax-Free Fund. As a result,
the Fund has not been offered to new investors since October 13, 1995. A Plan of
Liquidation was approved by shareholders at a special shareholders meeting
called for this purpose on May 23, 1996. Accordingly, the Fund was liquidated on
June 24, 1996.
International Growth Fund and Aetna Asian Growth Fund (Asian Growth Fund)
entered into an Agreement and Plan of Reorganization, as of April 30, 1996,
whereby, subject to approval by shareholders of Asian Growth Fund and
International Growth Fund, International Growth Fund would acquire the assets
and assume the liabilities of Asian Growth Fund. A Plan of Reorganization and
Liquidation was approved by shareholders at a special shareholders meeting
called for this purpose on September 13, 1996. Accordingly, the Plan was
initiated and the merger consummated as of the close of business on September
13, 1996.
Aetna Life Insurance and Annuity Company (ALIAC) serves as the Investment
Adviser and principal underwriter to each Fund. Aeltus Investment Management,
Inc. (Aeltus) is employed as a subadviser to the Funds. Aeltus has been employed
as the subadviser for Growth Fund and Small Company Fund since their inception.
Effective August 1, 1996, Aeltus became the subadviser for all of the other
Company's Funds. Effective December 1, 1995, the subadvisory agreement with
Dunedin Fund Managers Ltd., as subadviser to the International Growth Fund, was
terminated.
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements.
The policies are in conformity with generally accepted accounting principles.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect amounts reported therein. Although actual results could differ from these
estimates, any such differences are expected to be immaterial to the net assets
of the Funds.
A. Valuation of Investments
Except in the Money Market Fund, 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
Aetna Mutual Funds Annual Report 89
<PAGE>
1. Summary of Significant Accounting Policies (continued)
approximates market. Securities for which market quotations are not considered
to be readily available are valued in good faith using methods approved by the
Board of Directors. The Money Market Fund, as permitted by rule 2a-7 of the
Investment Company Act of 1940, carries all investments at amortized cost which
approximates market value.
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. Option Contracts
The Funds (except Money Market Fund) may purchase and sell put and call options
and write covered call options as a hedge against adverse movements in the value
of portfolio holdings.
Option contracts are valued daily, and unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the options
are traded.
The Funds realize a gain or loss upon the expiration or closing of the option
contract. When an option is exercised, the proceeds on sales for a written call
option, the purchase cost for a written put option, or the cost of the security
for a purchased put or call option is adjusted by the amount of premium received
or paid. Realized and unrealized gains or losses on option contracts are
reflected in the accompanying financial statements.
The risk in writing a call option is that the Funds give up the opportunity for
profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a loss
if the market price of the security decreases and the option is exercised. The
risk in buying an option is that the Funds pay a premium whether or not the
option is exercised. Risks may also arise from an illiquid secondary market, or
from the inability of counterparties to meet the terms of the contract.
C. Futures and Forward Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument including an
index of stocks at a set price on a future date. The Funds may enter into
futures contracts to manage the risk of changes in interest rates, equity
prices, currency exchange rates or in anticipation of future purchases and sales
of securities.
Upon entering into a futures contract, the Funds are required to deposit with a
broker an amount (initial margin) equal to a percentage of the purchase price
indicated by the
90
<PAGE>
1. Summary of Significant Accounting Policies (continued)
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 held by the Funds
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, where authorized, 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 the end of the fiscal year are marked-to-market
and the resultant net gain or loss is included in federal taxable income.
D. 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% (10% in the
case of the Money Market Fund) of its total assets in illiquid securities.
Illiquid and restricted securities are valued using market quotations when
readily available. In the absence of market quotations, the securities are
valued based upon their fair value determined under procedures approved by the
Board of Directors. The Funds will not pay the costs of disposition of
restricted securities other than ordinary brokerage fees, if any.
E. 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.
Aetna Mutual Funds Annual Report 91
<PAGE>
1. Summary of Significant Accounting Policies (continued)
F. Distributions
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for foreign currency transactions and
losses deferred due to wash sales.
G. 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.
H. Deferred Organizational Costs
The Company paid organizational expenses in connection with the start-up and
initial registration of the Company. These organizational expenses have been
capitalized and allocated equally to the Money Market Fund, the Bond Fund, The
Aetna Fund, the Growth and Income Fund, and the International Growth Fund.
Organizational expenses are being amortized over 60 months on a straight-line
basis beginning with the commencement of operations. If any or all of the shares
representing initial capital of each Fund are redeemed by any holder thereof
prior to the end of the amortization period, the proceeds will be reduced by the
unamortized organizational expense balance in the same proportion as the number
of shares redeemed bears to the number of initial shares outstanding immediately
preceding the redemption.
2. Investment Advisory, Management, Shareholder Service and Distribution Fees
The Funds pay the Investment Adviser annual fees expressed as a percentage of
average daily net assets of each Fund. As the Funds' net assets exceed
predetermined thresholds, lower advisory fees are applied. Below are the Funds'
Investment Advisory fee ranges and the effective rates as of October 31, 1996:
Fee Effective Fee Effective
Range Rate Range Rate
Money Market Growth and
Fund .40% - .30% .40% Income Fund .70% - .55% .68%
Government Fund .50% - .40% .50% Growth Fund .70% - .55% .70%
Bond Fund .50% - .40% .50% Small Company
The Aetna Fund .80% - .65% .80% Fund .85% - .725% .85%
International
Growth Fund .85% - .70% .85%
92
<PAGE>
2. Investment Advisory, Management, Shareholder Service and Distribution Fees
(continued)
Presently, the Funds' class specific expenses are limited to Shareholder
Services and Distribution Plan expenses incurred by the Adviser Class shares. On
July 26, 1996, the Shareholders of each Fund voted to approve a subadvisory
agreement (the Subadvisory Agreement) among the Funds, ALIAC and ALIAC's
affiliate, Aeltus, which became effective August 1, 1996. Under the terms of the
Subadvisory Agreement, Aeltus supervises the investment and reinvestment of cash
and securities and provides certain related administrative services for each
Fund in exchange for fees up to .55% of each Funds' average daily net assets.
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 for
each Fund. Each Fund pays ALIAC a monthly fee at an annual rate based on average
daily net assets of 0.25% on the first $250 million. As each Fund's net assets
exceed $250 million, lower fees will apply.
The Funds have adopted a Shareholder Services Plan for the Adviser Class shares.
Under the Shareholder Service Plan, ALIAC is paid a service fee at an annual
rate of 0.25% (0.10% for the Money Market Fund) of the average daily net assets
of the Adviser Class of each Fund. This fee is used as compensation for expenses
incurred in servicing shareholder accounts. For the year ended October 31, 1996,
the Funds paid ALIAC $94,462 in service fees, net of waiver of $101,840 for the
Money Market Fund.
The Funds have adopted a Distribution Plan pursuant to Rule 12b-1 of the
Investment Company Act of 1940. The Distribution Plan provides for payments to
ALIAC at an annual rate of 0.50% of the average daily net assets of the Adviser
Class shares of each Fund, except for the Money Market Fund. Amounts paid by the
Funds are used to pay expenses incurred by ALIAC in promoting the sale of the
Adviser Class shares. For the year ended October 31, 1996, the Funds paid ALIAC
$188,719 in Rule 12b-1 fees. The plan may be terminated upon a majority vote of
the Funds' independent directors.
3. Reimbursement from Investment Adviser
The Investment Adviser may, from time to time, make reimbursements to a Fund for
some or all of its operating expenses or it may waive fees. Reimbursement and
waiver arrangements, which may be terminated at any time without notice, will
increase a Fund's yield and total return.
Aetna Mutual Funds Annual Report 93
<PAGE>
4.Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for all Funds except the Money Market Fund, for the year ended October 31, 1996:
Cost of Proceeds
Purchases from Sales
Money Market Fund...................... $10,498,442,693 $10,413,673,020
Government Fund........................ 6,089,506 12,668,094
Bond Fund.............................. 13,017,348 20,537,635
The Aetna Fund......................... 87,631,007 110,574,423
Growth and Income Fund................. 393,247,701 439,426,386
Growth Fund............................ 62,167,982 59,064,357
Small Company Fund..................... 59,944,930 64,375,869
International Growth Fund.............. 91,127,569 104,084,884
5. Options
All Funds except the Money Market Fund may use options. For the year ended
October 31, 1996, the following reflects the covered call and put option
activity:
Call Options Written Growth and Income Fund
Number of Deferred Realized
Contracts Premium Gain (Loss)
Received
Outstanding October 31, 1995 -- $ -- $ --
Written........................... 5,058 5,099,727 --
Canceled.......................... (2,928) (3,182,994) 482,428
Exercised......................... (181) (278,723) 278,723
Expired........................... (21) (5,231) --
======== ============= ===========
Outstanding October 31, 1996 1,928 $1,632,779 $761,151
======== ============= ===========
Call Options Growth and Income Fund
Purchased
Number of Premium Realized
Contracts Paid Gain (Loss)
Outstanding October 31, 1995 -- $ -- $ --
Written........................... 95 168,785 --
Canceled.......................... -- -- --
Exercised......................... -- -- --
Expired........................... -- -- --
======== =========== ===============
Outstanding October 31, 1996 95 $ 168,785 $ --
======== =========== ===============
94
<PAGE>
5. Options (continued)
Put Options Written Growth and Income Fund
Number of Deferred Realized
Contracts Premium Gain (Loss)
Received
Outstanding October 31, 1995 -- $-- $ --
Written............................. 95 101,962 --
Canceled............................ -- -- --
Exercised........................... -- -- --
Expired............................. -- -- --
======== ============= =============
Outstanding October 31, 1996 95 $101,962 $ --
======== ============= =============
Put Options Purchased Growth and Income Fund
Number of Premium Realized
Contracts Paid Gain (Loss)
Outstanding October 31, 1995 -- $ -- $ --
Written...................... 4,984 3,446,538 --
Canceled..................... (3,073) (2,044,492) (1,321,786)
Exercised.................... -- -- --
Expired...................... -- -- --
========= ============= =============
Outstanding October 31, 1996 1,911 $ 1,402,046 $(1,321,786)
========= ============= =============
6. Capital Loss Carryforwards
At October 31, 1996, for federal income tax purposes, the Funds had the
following capital loss carryforwards:
Capital Loss
Fund Carryforward Year of Expiration
Government Fund $ 271,000 2002
546,000 2003
------------------------------------------------------------------------------
Bond Fund 129,000 2001
800,000 2002
------------------------------------------------------------------------------
International Growth Fund 104,000 2002
2,700,000 2003
------------------------------------------------------------------------------
The Board of Directors will not distribute any realized gains until the capital
loss carryforwards have been offset or expire.
Aetna Mutual Funds Annual Report 95
<PAGE>
7. Forward Foreign Currency Exchange Contracts
At October 31, 1996, the Growth and Income Fund and the International Growth
Fund had the following open forward foreign currency exchange contracts that
obligate the Fund to deliver currencies at specified future dates. The net
unrealized gains of $84,243 and $128,774, respectively, on these contracts are
included in the accompanying financial statements. The terms of the open
contracts are as follows:
Growth and Income Fund:
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, be Received October 31, Gain (Loss)
1996 1996
Contracts to Buy
3/13/97 176,278 $176,278 19,480,000 $174,509 $(1,769)
U.S. Dollar Japanese Yen
-------------------------------------------------------------------------------
Contracts to Sell
2/10/97 266,000 213,565 223,529 223,529 9,964
Swiss Franc U.S. Dollar
-------------------------------------------------------------------------------
3/3/97 1,361,000 906,602 917,396 917,396 10,794
German Deutschemark U.S. Dollar
-------------------------------------------------------------------------------
2/13/97 4,170,800 821,339 822,938 822,938 1,599
French Franc U.S. Dollar
-------------------------------------------------------------------------------
1/24/97 183,410,000 1,632,192 1,645,523 1,645,523 13,331
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------
3/13/97 117,140,000 1,049,388 1,085,150 1,085,150 35,762
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------
3/17/97 112,970,000 1,012,593 1,034,334 1,034,334 21,741
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------
4/18/97 770,000 459,229 452,050 452,050 (7,179)
Dutch Guilder U.S. Dollar
-------------------------------------------------------------------------------
$84,243
=========
96
<PAGE>
7. Forward Foreign Currency Exchange Contracts (continued)
International Growth Fund:
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, be Received October 31, Gain (Loss)
1996 1996
Contracts to Sell
2/10/97 600,000 $481,740 501,489 $501,489 $19,749
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------
3/3/97 4,003,000 2,666,701 2,701,216 2,701,216 34,515
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------
2/13/97 11,360,800 2,237,147 2,237,832 2,237,832 685
French Franc U.S. Dollar
- --------------------------------------------------------------------------------
1/24/97 130,000,000 1,184,720 1,194,509 1,194,509 9,789
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------
3/13/97 245,000,000 2,195,627 2,283,284 2,283,284 87,657
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------
3/17/97 14,000,000 125,478 128,205 128,205 2,727
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------
4/18/97 2,820,000 1,681,909 1,655,561 1,655,561 (26,348)
Dutch Guilder U.S. Dollar
- --------------------------------------------------------------------------------
$128,774
=========
8. Authorized Capital Shares and Capital Share Transactions
The Company is authorized to issue a total of 4.8 billion shares. Of those 4.8
billion shares, 3.8 billion have been designated to the Funds described in this
report as follows: All of the Funds, except Money Market and International
Growth, have been allocated 100 million shares each of Select and Adviser Class
shares. Money Market has been allocated one billion shares each of Select and
Adviser Class shares and International Growth has been allocated 200 million
shares each of Select and Adviser Class shares. Share transactions for each Fund
were as follows:
Money Market Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 365,382,830 303,179,867 313,079,417 113,465,547
Shares issued upon
reinvestment 11,942,795 9,929,370 5,181,096 3,576,944
Shares redeemed (329,569,238) (199,341,125) (277,136,873) (85,667,348)
============= ============= ============= =============
Net increase 47,756,387 113,768,112 41,123,640 31,375,143
============= ============= ============= =============
Aetna Mutual Funds Annual Report 97
<PAGE>
8. Authorized Capital Shares and Capital Share Transactions (continued)
Government Fund
Select Adviser
--------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 713,747 1,193,587 39,879 38,421
Shares issued upon
reinvestment 74,064 136,326 3,012 1,326
Shares redeemed (1,613,555) (2,189,773) (29,591) (15,295)
============= ============= ============ ============
Net increase (decrease) (825,744) (859,860) 13,300 24,452
============= ============= ============ ============
Bond Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 1,648,950 1,140,369 71,509 24,045
Shares issued upon
reinvestment 194,746 170,990 11,487 91,739
Shares redeemed (2,175,384) (998,454) (710,934) (2,051,824)
============= ============= ============ =============
Net increase (decrease) (331,688) 312,905 (627,938) (1,936,040)
============= ============= ============ =============
The Aetna Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 697,153 1,654,411 183,243 78,916
Shares issued upon
reinvestment 478,258 216,866 9,351 29,573
Shares redeemed (1,414,565) (2,238,432) (22,472) (2,483,536)
============= ============= ============ =============
Net increase (decrease) (239,154) (367,155) 170,122 (2,375,047)
============= ============= ============ =============
Growth and Income Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 2,267,932 6,670,390 306,132 130,556
Shares issued upon
reinvestment 1,939,499 322,995 13,795 1,755
Shares redeemed (6,711,381) (7,621,288) (62,059) (485,408)
============= ============= ============ =============
Net increase (decrease) (2,503,950) (627,903) 257,868 (353,097)
============= ============= ============ =============
98
<PAGE>
8. Authorized Capital Shares and Capital Share Transactions (continued)
Growth Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 1,929,958 1,378,209 237,851 109,935
Shares issued upon
reinvestment 391,202 22,556 21,388 393
Shares redeemed (1,839,571) (1,236,680) (60,225) (22,400)
============= ============= ============ =============
Net increase 481,589 164,085 199,014 87,928
============= ============= ============ =============
Small Company Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Shares sold 482,151 86,407 199,296 88,948
Shares issued upon
reinvestment 254,901 4,983 11,630 --
Shares redeemed (1,025,158) (103,946) (37,416) (12,812)
============= ============= ============ =============
Net increase (decrease) (288,106) (12,556) 173,510 76,136
============= ============= ============ =============
International Growth Fund
Select Adviser
---------------------------- ---------------------------
Year ended Year ended Year ended Year ended
October 31, October 31, October 31, October 31,
1996 1995 1996 1995
Year ended Year ended Year ended Year ended
October 31, October October 31, October
1996 31,1995 1996 31,1995
Shares sold 1,148,784 576,518 133,505 2,284,778
Shares issued in 2,056,895 -- 48,739 --
merger
Shares issued upon
reinvestment 81,841 232,686 61,119 177,272
Shares redeemed (1,767,418) (1,168,155) (797,971) (2,277,588)
============= ============= ============ =============
Net increase (decrease) 1,520,102 (358,951) (554,608) 184,462
============= ============= ============ =============
As of October 31, 1996, the following shares of the Funds were owned by ALIAC
and its affiliates:
Select Adviser
Government Fund 531,601 --
Small Company Fund -- 1,677,111
International Growth Fund 1,954,755 1,770,196
Aetna Mutual Funds Annual Report 99
<PAGE>
9. Merger of Funds
On September 13, 1996, International Growth Fund acquired all of the assets and
liabilities of Asian Growth Fund, pursuant to a Plan of Reorganization and
Liquidation approved by shareholders on September 13, 1996. The acquisition was
accomplished by a tax free exchange of assets and liabilities of the Asian
Growth Fund for shares of the existing International Growth Fund, and the
distribution of such shares to the Asian Growth Fund's shareholders and the
subsequent termination of the Asian Growth Fund.
International Growth Fund issued the following shares in exchange for the assets
and liabilities, including unrealized appreciation and accumulated net realized
capital loss of the Asian Growth Fund:
International Growth Fund Asian Growth Fund
- --------------------------------------------------------------------------------
September September
13, 1996 Accumulated September 13, 1996
Share Shares Per Share Unrealized Net Gain 13, 1996 Per Share
Class Issued Value Gain (Loss) (Loss) Net Assets Value
- --------------------------------------------------------------------------------
Select 2,056,895 $11.57 $2,424,097 ($2,915,065) $23,797,864 $8.83
Adviser 48,739 11.57 57,441 (69,075) 563,909 8.83
Immediately after the exchange, combined net assets were: Select, $44,560,200
and Adviser, $22,406,468.
In connection with the merger, the International Growth Fund assumed
approximately $3,000,000 in capital loss carryforward which can be used by
International Growth Fund, subject to certain limitations, to offset future
capital gains. For the year ended October 31, 1996, the Fund utilized
approximately $185,000 of this carryforward against current period capital
gains.
10. Federal Tax Status of Dividends Declared During the Fiscal Year
All of the income dividends paid by each fund were ordinary income for federal
income tax purposes. The percentage of income dividends that were qualifying
dividends for the corporate dividends received deduction were:
The Aetna Fund 16%
Growth and Income Fund 40%
Growth Fund 21%
Small Company Fund 5%
100
<PAGE>
11. Certain Reclassifications
In accordance with Statement of Position 93-2, the Funds below had the following
reclassifications:
Accumulated Accumulated
Undistributed Net Net Realized Gain
Paid-in Investment Income (Loss) on Investments
Capital
----------- ----------------- ---------------------
Bond Fund $(105,801) $ 105,801 $ --
The Aetna Fund 31,158 (31,158)
Growth and Income Fund (43,383) 858,895 (815,512)
Small Company Fund 246,560 (246,560)
International Growth Fund 623,005 1,441,371 (2,064,376)
These reclassifications have no impact on the net asset value of the Funds and
are designed to present the Funds' capital accounts on a tax basis.
Aetna Mutual Funds Annual Report 101
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
--------------------------------------------------
Money Market Fund
--------------------------------------------------
Select Class
--------------------------------------------------
Ten-month
Year Year period Year Year
ended ended ended ended ended
October October October December December
31, 1996 31, 1995 31, 1994 31, 1993 31, 1992
--------- --------- --------- ---------- --------
Net asset value, beginning $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
of period ................
-------- -------- -------- -------- -------
Income from investment operations:
Net investment income .... 0.05 0.06 0.03 0.03 0.04
Less distributions:
From net investment (0.05) (0.06) (0.03) (0.03) (0.04)
income .................
======== ======== ======== ======== =======
Net asset value, end of $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
period ...................
======== ======== ======== ======== =======
Total return ............... 5.44% 5.95% 3.33% 3.29% 3.98%
Net assets, end of period $323,281 $275,524 $161,756 $107,844 $36,522
(000's) ..................
Ratio of total investment
expenses to average net 0.30% 0.27% 0.21% 0.00% 0.00%
assets* ..................
Ratio of net investment
income to average net 5.30% 5.78% 4.05% 3.33% 3.93%
assets* ..................
Ratio of net investment
expense before
reimbursement and waiver 0.83% 0.88% 0.85% 0.95% 1.04%
to average net assets* ...
Ratio of net investment
income before
reimbursement and waiver 4.78% 5.17% 3.38% 2.38% 2.87%
to average net assets* ...
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
102
<PAGE>
----------------------------
Money Market Fund
----------------------------
Adviser Class
----------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
--------- -------------------
Net asset value, beginning of period ............. $ 1.00 $ 1.00 $ 1.00
-------- ------- -------
Income from investment operations:
Net investment income .......................... 0.05 0.06 0.03
Less distributions:
From net investment income ..................... (0.05) (0.06) (0.03)
======== ======= =======
Net asset value, end of period ................... $ 1.00 $ 1.00 $ 1.00
======== ======= =======
Total return ..................................... 5.44% 5.95% 2.41%
Net assets, end of period (000's) ................ $119,849 $78,726 $47,350
Ratio of total investment expenses
to average net assets* ........................ 0.30% 0.26% 0.21%
Ratio of net investment income to
average net assets* ........................... 5.30% 5.79% 4.27%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* ........................ 0.93% 0.87% 0.92%
Ratio of net investment income
before reimbursement and waiver
to average net assets* ........................ 4.67% 5.19% 3.67%
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 103
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
----------------------------
Government Fund
----------------------------
Select Class
----------------------------
Ten-month
Year Year period
ended ended ended
October October October
31, 31, 31,
1996 1995 1994
--------- --------- ---------
Net asset value, beginning of period .......... $10.01 $ 9.41 $10.00
------- ------- -------
Income from investment operations:
Net investment income ....................... 0.56 0.64 0.40
Net realized and change in
unrealized gain (loss) .................... (0.13) 0.59 (0.63)
------- ------- -------
Total ..................................... 0.43 1.23 (0.23)
Less distributions:
From net investment income .................. (0.64) (0.63) (0.36)
======= ======= =======
Net asset value, end of period ................ $ 9.80 $10.01 $ 9.41
======= ======= =======
Total return .................................. 4.43% 13.58% (2.37)%
Net assets, end of period (000's) ............. $10,662 $19,154 $26,110
Ratio of total investment expenses
to average net assets* ...................... 0.70% 0.70% 0.41%
Ratio of net investment income
to average net assets* ...................... 5.67% 6.79% 5.29%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* .................... 1.57% 1.30% 1.16%
Ratio of net investment income
before reimbursement and waiver
to average net assets* ...................... 4.80% 6.19% 4.54%
Portfolio turnover rate ....................... 50.48% 117.31% 43.63%
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
104
<PAGE>
-----------------------------
Government Fund
-----------------------------
Adviser Class
-----------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
--------- -------------------
Net asset value, beginning of period ........... $10.00 $ 9.41 $9.67
------- ------- ------
Income from investment operations:
Net investment income ........................ 0.48 0.60 0.24
Net realized and change in
unrealized gain (loss)...................... (0.13) 0.56 (0.24)
------- ------- ------
Total ...................................... 0.35 1.16 0.00
Less distributions:
From net investment income ................... (0.56) (0.57) (0.26)
======= ======= ======
Net asset value, end of period ................. $ 9.79 $10.00 $9.41
======= ======= ======
Total return ................................... 3.75% 12.60% (0.06)%
Net assets, end of period (000's) .............. $ 526 $ 405 $ 151
Ratio of total investment expenses
to average net assets* ....................... 1.45% 1.51% 1.28%
Ratio of net investment income
to average net assets* ....................... 4.96% 6.02% 4.68%
Ratio of net investment expense before
reimbursement and waiver
to average net assets* ....................... 2.32% 2.11% 2.11%
Ratio of net investment income
before reimbursement and waiver
to average net assets* ....................... 4.09% 5.42% 3.85%
Portfolio turnover rate ........................ 50.48% 117.31% 43.63%
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 105
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
---------------------------------------------------
Bond Fund
---------------------------------------------------
Select Class
---------------------------------------------------
Ten-month
Year Year period Year Year
ended ended ended ended ended
October October October December December
31, 1996 31, 1995 31, 1994 31, 1993 31, 1992
-------- -------- -------- --------- ----------
Net asset value,
beginning of period .... $10.27 $ 9.58 $10.37 $ 9.99 $10.00
------- ------- ------- ------- -------
Income from investment operations:
Net investment income .. 0.65 0.65 0.52 0.55 0.53
Net realized and
change in unrealized
gain (loss) .......... (0.15) 0.65 (0.86) 0.45 0.16
------- ------- ------- ------- -------
Total ................ 0.50 1.30 (0.34) 1.00 0.69
Less distributions:
From net investment
income ............... (0.68) (0.61) (0.45) (0.55) (0.53)
In excess of net
investment income .... 0.00 0.00 0.00 (0.07) (0.17)
======= ======= ======= ======= =======
Net asset value,
end of period .......... $10.09 $10.27 $ 9.58 $10.37 $ 9.99
======= ======= ======= ======= =======
Total return ............. 5.09% 14.06% (3.31)% 10.20% 7.23%
Net assets, end
of period (000's) ...... $28,864 $32,778 $27,584 $46,788 $37,209
Ratio of total
investment expenses
to average net assets* . 0.75% 0.79% 0.76% 0.47% 0.05%
Ratio of net investment
income to average
net assets* ............ 6.16% 6.56% 6.29% 5.34% 5.44%
Ratio of net investment
expense before
reimbursement and
waiver to average
net assets* ............ 1.16% 1.06% 1.06% 1.01% 1.10%
Ratio of net investment
income before
reimbursement and
waiver to average
net assets* ............ 5.75% 6.25% 5.98% 4.80% 4.39%
Portfolio turnover rate .. 42.33% 56.99% 51.80% 50.01% 57.05%
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
106
<PAGE>
------------------------------
Bond Fund
------------------------------
Adviser Class
------------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
------------------------------
Net asset value, beginning of period .......... $10.27 $9.58 $ 9.92
------- ------ -------
Income from investment operations:
Net investment income ....................... 0.62 0.56 0.28
Net realized and change in
unrealized gain (loss)..................... (0.20) 0.66 (0.35)
------- ------ -------
Total ..................................... 0.42 1.22 (0.07)
Less distributions:
From net investment income .................. (0.60) (0.53) (0.27)
======= ====== =======
Net asset value, end of period ................ $10.09 $10.27 $ 9.58
======= ====== =======
Total return .................................. 4.27% 13.28% (0.68)%
Net assets, end of period (000's) ............. $ 877 $7,340 $25,405
Ratio of total investment
expenses to average net assets* ............. 1.50% 1.50% 1.49%
Ratio of net investment income
to average net assets* ...................... 5.47% 5.91% 5.36%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* ...................... 1.91% 1.82% 1.81%
Ratio of net investment income
before reimbursement and waiver
to average net assets* ...................... 5.06% 5.60% 5.04%
Portfolio turnover rate ....................... 42.33% 56.99% 51.80%
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 107
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
------------------------------------------------
The Aetna Fund
------------------------------------------------
Select Class
------------------------------------------------
Ten-month
Year Year period Year Year
ended ended ended ended ended
October October October December December
31, 1996 31, 1995 31, 1994 31, 1993 31, 1992
--------- --------- --------- ------------------
Net asset value, beginning of $12.36 $10.65 $10.82 $10.18 $10.00
period ......................
------- ------- ------- ------- -------
Income from investment operations:
Net investment income ....... 0.31 0.35 0.23 0.34 0.43
Net realized and change in
unrealized gain (loss) .... 1.77 1.69 (0.28) 0.64 0.24
------- ------- ------- ------- -------
Total ..................... 2.08 2.04 (0.05) 0.98 0.67
Less distributions:
From net investment income .. (0.35) (0.33) (0.12) (0.30) (0.39)
In excess of net investment 0.00 0.00 0.00 (0.01) (0.10)
income ....................
From realized gain on (0.57) 0.00 0.00 (0.03) 0.00
investments ...............
======= ======= ======= ======= =======
Net asset value, end of period $13.52 $12.36 $10.65 $10.82 $10.18
======= ======= ======= ======= =======
Total return .................. 17.63% 19.45% (0.42)% 9.84% 6.64%
Net assets, end of period $88,625 $83,941 $76,267 $63,982 $37,726
(000's) .....................
Ratio of total investment
expenses to average net 1.31% 1.27% 1.09% 0.93% 0.07%
assets* .....................
Ratio of net investment income
to average net assets* ...... 2.42% 3.14% 2.65% 3.21% 4.31%
Ratio of net investment
expense before reimbursement
and waiver to average net 1.31% 1.30% 1.32% 1.34% 1.47%
assets* .....................
Ratio of net investment income
before reimbursement and
waiver to average net 2.42% 3.11% 2.42% 2.79% 2.91%
assets* .....................
Portfolio turnover rate ....... 117.88% 129.05% 86.10% 19.95% 13.35%
Average commission rate paid $0.0557 -- -- -- --
per share ...................
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
108
<PAGE>
----------------------------
The Aetna Fund
----------------------------
Adviser Class
----------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
--------- -------------------
Net asset value, beginning of period ............. $12.34 $10.62 $10.54
------- ------- -------
Income from investment operations:
Net investment income .......................... 0.20 0.23 0.19
Net realized and change in
unrealized gain ............................... 1.79 1.91 0.00
------- ------- -------
Total ........................................ 1.99 2.14 0.19
Less distributions:
From net investment income ..................... (0.27) (0.42) (0.11)
From realized gain on investments .............. (0.57) 0.00 0.00
======= ======= =======
Net asset value, end of period ................... $13.49 $12.34 $10.62
======= ======= =======
Total return ..................................... 16.83% 18.32% 1.84%
Net assets, end of period (000's) ................ $3,783 $1,362 $26,396
Ratio of total investment expenses
to average net assets* ......................... 2.07% 2.04% 1.87%
Ratio of net investment income
to average net assets* ......................... 1.60% 2.61% 1.90%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* ......................... 2.07% 2.07% 2.06%
Ratio of net investment income
before reimbursement and waiver
to average net assets* ......................... 1.60% 2.58% 1.67%
Portfolio turnover rate .......................... 117.88% 129.05% 86.10%
Average commission rate paid per share ........... $0.0557 -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 109
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
--------------------------------------------------
Growth and Income Fund
--------------------------------------------------
Select Class
--------------------------------------------------
Ten-month
Year Year period Year Year
ended ended ended ended ended
October October October December December
31, 1996 31, 1995 31, 1994 31, 1993 31, 1992
--------- --------- --------- ------------------
Net asset value, beginning $ 13.46 $ 11.11 $ 11.03 $10.51 $10.00
of period.
-------- -------- -------- ------- -------
Income from investment operations:
Net investment income ..... 0.19 0.21 0.12 0.19 0.26
Net realized and change in
unrealized gain ......... 3.09 2.27 0.04 0.50 0.51
-------- -------- -------- ------- -------
Total ................... 3.28 2.48 0.16 0.69 0.77
Less distributions:
From net investment income (0.24) (0.13) (0.08) (0.16) (0.26)
From realized gain on (0.76) 0.00 0.00 (0.01) 0.00
investments .............
======== ======== ======== ======= =======
Net asset value, end of $ 15.74 $ 13.46 $ 11.11 $11.03 $10.51
period ....................
======== ======== ======== ======= =======
Total return ................ 25.69% 22.58% 1.40% 6.58% 7.81%
Net assets, end of period $377,784 $356,803 $301,360 $60,127 $31,473
(000's) ...................
Ratio of total investment
expenses to average net 1.08% 1.10% 0.92% 1.13% 0.33%
assets* ...................
Ratio of net investment
income to average net 1.35% 1.73% 1.51% 1.77% 2.83%
assets* ...................
Ratio of net investment
expense before
reimbursement and waiver 1.08% 1.10% 1.03% 1.27% 1.72%
to average net assets* ....
Ratio of net investment
income before
reimbursement and waiver 1.35% 1.73% 1.39% 1.55% 1.44%
to average net assets* ....
Portfolio turnover rate ..... 106.09% 127.43% 54.13% 23.60% 14.44%
Average commission rate paid
per share ................. $0.0505 -- -- -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
110
<PAGE>
-----------------------------
Growth and Income Fund
-----------------------------
Adviser Class
-----------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
-------- -------------------
Net asset value, beginning of period ........... $13.43 $11.08 $10.75
------- ------- ------
Income from investment operations:
Net investment income ........................ 0.08 0.12 0.11
Net realized and change in
unrealized gain ............................ 3.08 2.31 0.30
------- ------- ------
Total ...................................... 3.16 2.43 0.41
Less distributions:
From net investment income ................... (0.14) (0.08) (0.08)
From realized gain on investments ............ (0.76) 0.00 0.00
======= ======= ======
Net asset value, end of period ................. $15.69 $13.43 $11.08
======= ======= ======
Total return ................................... 24.70% 21.90% 3.71%
Net assets, end of period (000's) .............. $6,638 $2,217 $5,740
Ratio of total investment
expenses to average net assets* .............. 1.83% 1.84% 2.32%
Ratio of net investment
income to average net assets* ................ 0.55% 1.14% 1.74%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* ....................... 1.83% 1.84% 2.42%
Ratio of net investment income
before reimbursement and
waiver to average net assets* ................ 0.55% 1.14% 1.65%
Portfolio turnover rate ........................ 106.09% 127.43% 54.13%
Average commission rate paid
per share .................................... $0.0505 -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 111
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
-----------------------------
Growth Fund
-----------------------------
Select Class
-----------------------------
Ten-month
Year Year period
ended ended ended
October October October
31, 31, 31,
1996 1995 1994
--------- --------- ---------
Net asset value, beginning of period ........ $13.75 $10.78 $10.00
------- ------- -------
Income from investment operations:
Net investment income ..................... 0.03 0.04 0.09
Net realized and change in
unrealized gain ......................... 2.39 3.02 0.69
------- ------- -------
Total ................................... 2.42 3.06 0.78
Less distributions:
From net investment income ................ (0.05) (0.08) 0.00
From realized gain on investments ......... (1.76) (0.01) 0.00
======= ======= =======
Net asset value, end of period .............. $14.36 $13.75 $10.78
======= ======= =======
Total return ................................ 19.82% 28.79% 7.70%
Net assets, end of period (000's) ........... $45,473 $36,936 $27,188
Ratio of total investment expenses
to average net assets* .................... 1.28% 1.20% 0.92%
Ratio of net investment income
to average net assets* .................... 0.20% 0.36% 1.10%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* .................... 1.28% 1.30% 1.42%
Ratio of net investment income
before reimbursement and waiver
to average net assets* .................... 0.20% 0.26% 0.60%
Portfolio turnover rate ..................... 144.19% 171.75% 120.32%
Average commission rate
paid per share ............................ $0.0598 -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
112
<PAGE>
-----------------------------
Growth Fund
-----------------------------
Adviser Class
-----------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
--------- ---------------------
Net asset value, beginning
of period ................................. $13.63 $10.74 $10.26
------- ------- -------
Income from investment operations:
Net investment income ..................... (0.08) (0.06) (0.02)
Net realized and change in
unrealized gain ......................... 2.38 3.00 0.50
------- ------- -------
Total ................................... 2.30 2.94 0.48
Less distributions:
From net investment income ................ 0.00 (0.05) 0.00
From realized gain on
investments ............................. (1.76) 0.00 0.00
======= ======= =======
Net asset value, end of period .............. $14.17 $13.63 $10.74
======= ======= =======
Total return ................................ 18.97% 27.92% 4.58%
Net assets, end of period (000's) ........... $4,615 $1,727 $ 417
Ratio of total investment expenses
to average net assets* .................... 2.03% 2.03% 1.72%
Ratio of net investment income
to average net assets* .................... (0.59)% (0.47)% (0.25)%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* .................... 2.03% 2.14% 2.17%
Ratio of net investment
income before reimbursement
and waiver to average net assets* ......... (0.59)% (0.58)% (0.71)%
Portfolio turnover rate ..................... 144.19% 171.75% 120.32%
Average commission rate paid
per share ................................. $0.0598 -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 113
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
-----------------------------
Small Company Fund
-----------------------------
Select Class
-----------------------------
Ten-month
Year Year period
ended ended ended
October October October
31, 31, 31,
1996 1995 1994
--------- --------- ---------
Net asset value, beginning of period ........ $13.52 $10.39 $10.00
------- ------- -------
Income from investment operations:
Net investment income ..................... (0.08) 0.00 0.02
Net realized and change in
unrealized gain ......................... 2.64 3.15 0.37
------- ------- -------
Total ................................... 2.56 3.15 0.39
Less distributions:
From net investment income ................ 0.00 (0.02) 0.00
From realized gain on investments ......... (1.41) 0.00 0.00
======= ======= =======
Net asset value, end of period .............. $14.67 $13.52 $10.39
======= ======= =======
Total return ................................ 19.78% 30.39% 3.90%
Net assets, end of period (000's) ........... $32,125 $33,511 $25,879
Ratio of total investment expenses
to average net assets* .................... 1.44% 1.41% 1.15%
Ratio of net investment income
to average net assets* .................... (0.53)% (0.01)% 0.21%
Ratio of net investment
expense before reimbursement and
waiver to average net assets* ............. 1.44% 1.49% 1.58%
Ratio of net investment income before
reimbursement and waiver to
average net assets* ....................... (0.53)% (0.08)% (0.22)%
Portfolio turnover rate ..................... 163.21% 156.43% 116.28%
Average commission rate paid
per share ................................. $0.0575 -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
114
<PAGE>
------------------------------
Small Company Fund
------------------------------
Adviser Class
------------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
--------- ---------------------
Net asset value, beginning of period ........ $13.39 $10.35 $10.24
------- ------- -------
Income from investment operations:
Net investment income ..................... (0.18) (0.11) (0.04)
Net realized and change in
unrealized gain ......................... 2.62 3.15 0.15
------- ------- -------
Total ................................... 2.44 3.04 0.11
Less distributions:
From realized gain on investments ......... (1.41) 0.00 0.00
======= ======= =======
Net asset value, end of period .............. $14.42 $13.39 $10.35
======= ======= =======
Total return ................................ 19.02% 29.44% 0.98%
Net assets, end of period (000's) ........... $3,884 $1,285 $ 205
Ratio of total investment
expenses to average net assets* ........... 2.20% 2.23% 1.78%
Ratio of net investment income
to average net assets* .................... (1.26)% (0.89)% (0.72)%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* .................... 2.20% 2.30% 2.14%
Ratio of net investment income
before reimbursement and waiver
to average net assets* .................... (1.26)% (0.97)% (1.07)%
Portfolio turnover rate ..................... 163.21% 156.43% 116.28%
Average commission rate paid per share ...... $0.0575 --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 115
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
---------------------------------------------
International Growth Fund
---------------------------------------------
Select Class
---------------------------------------------
Ten-month
Year Year period Year Year
ended ended ended ended ended
October October October December December
31, 31, 31, 31, 31,
1996 1995 1994 1993 1992
--------- --------- --------- ------------------
Net asset value,
beginning of period ........ $10.62 $11.56 $11.17 $ 8.88 $10.00
------- ------- ------- ------- -------
Income from investment operations:
Net investment income ....... 0.03 0.11 0.06 0.05 0.06
Net realized and change in
unrealized gain (loss) .... 1.59 (0.09) 0.33 2.65 (1.15)
------- ------- ------- ------- -------
Total ..................... 1.62 0.02 0.39 2.70 (1.09)
Less distributions:
From net investment income .. (0.19) (0.40) 0.00 (0.05) (0.03)
In excess of net investment 0.00 0.00 0.00 (0.34) 0.00
income ....................
From realized gain on (0.26) (0.56) 0.00 (0.02) 0.00
investments ...............
------- ------- ------- ------- -------
Net asset value, end of period $11.79 $10.62 $11.56 $11.17 $ 8.88
======= ======= ======= ======= =======
Total return .................. 15.61% (0.04)% 3.49% 30.37% (10.84)%
Net assets, end of period $45,786 $25,102 $31,479 $39,847 $26,640
(000's) .....................
Ratio of total investment
expenses to average net 2.17% 1.37% 1.66% 1.48% 0.50%
assets* .....................
Ratio of net investment income
to average net assets* ...... 0.40% 1.02% 0.71% 0.50% 1.36%
Ratio of net investment
expense before reimbursement
and waiver to average net 2.17% 1.50% 1.80% 1.77% 2.98%
assets* .....................
Ratio of net investment income
before reimbursement and
waiver to average net 0.40% 0.88% 0.57% 0.20% (1.12)%
assets* .....................
Portfolio turnover rate ....... 135.92% 32.91% 81.67% 110.38% 81.74%
Average commission rate paid $0.0178 -- -- -- --
per share ...................
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
116
<PAGE>
----------------------------
International Growth Fund
----------------------------
Adviser Class
----------------------------
Period
Year Year from
ended ended April 15,
October October 1994 to
31, 31, October 31,
1996 1995 1994
--------- -------------------
Net asset value, beginning of period .............. $10.59 $11.51 $11.24
------- ------- -------
Income from investment operations:
Net investment income ........................... (0.05) 0.03 0.01
Net realized and change in unrealized gain 1.57 (0.20) 0.26
(loss) ........................................
------- ------- -------
Total ......................................... 1.52 (0.17) 0.27
Less distributions:
From net investment income ...................... (0.08) (0.27) 0.00
From realized gain on investments ............... (0.26) (0.48) 0.00
======= ======= =======
Net asset value, end of period .................... $11.77 $10.59 $11.51
======= ======= =======
Total return ...................................... 14.67% (0.81)% 2.40%
Net assets, end of period (000's) ................. $22,893 $26,464 $26,647
Ratio of total investment expenses
to average net assets* .......................... 2.94% 2.12% 0.27%
Ratio of net investment income
to average net assets* .......................... (0.42)% 0.27% 0.17%
Ratio of net investment expense
before reimbursement and waiver
to average net assets* .......................... 2.94% 2.25% 2.41%
Ratio of net investment income
before reimbursement and waiver
to average net assets* .......................... (0.42)% 0.14% 0.02%
Portfolio turnover rate ........................... 135.92% 32.91% 81.67%
Average commission rate paid per share ............ $0.0178 -- --
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Mutual Funds Annual Report 117
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders
Aetna Series Fund, Inc.
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments of Money Market Fund, Government Fund, Bond Fund,
The Aetna Fund, Growth and Income Fund, Growth Fund, Small Company Fund
(formerly Small Company Growth Fund) and International Growth Fund, portfolios
of Aetna Series Fund, Inc. (the Funds), as of October 31, 1996, and the related
statements of operations for the year then ended and statements of changes in
net assets for each of the years in the two-year period then ended and financial
highlights for Select Class shares for each of the years in the two-year period
ended October 31, 1996 and the ten-month period ended October 31, 1994 and
financial highlights for the Adviser Class shares for each of the years in the
two-year period ended October 31, 1996 and the period from April 15, 1994 (date
of initial public offering) to October 31, 1994 and the financial highlights for
each of the years in the two-year period ended December 31, 1993 for Select
Class shares of the Money Market Fund, Bond Fund, The Aetna Fund, Growth and
Income Fund and International Growth Fund. 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 audits 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, 1996 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 Funds as of October 31, 1996, the results of their operations
for the year then ended, and the changes in their net assets for each of the
years in the two-year period then ended and the financial highlights for the
years and periods specified in the first paragraph above in conformity with
generally accepted accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
December 6, 1996
118
<PAGE>
Special Meeting of Shareholders
(Unaudited)
On July 26, 1996, a Special Meeting of Shareholders of the Funds was held. At
the meeting, shareholders in the Company voted to elect nine Directors,
shareholders of each fund voted to approve a subadvisory agreement among their
respective Fund, ALIAC and Aeltus and approve a new Investment Advisory
Agreement between each Fund and ALIAC. In addition, shareholders of the Bond
Fund voted to approve a change of investment objective and investment policy.
Following is a brief description and the results of each vote.
A. Election of Directors
The following individuals were elected to serve as Directors of the Company.
Every individual named served as a Director prior to this election and there are
no other individuals currently serving as Directors to the Company.
Director Votes
Fund Present Cast For Withheld
Morton Ehrlich
Money Market Fund 249,937,105 98.6% 1.4%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 98.1 1.9
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.9 0.1
Small Company Fund 2,368,033 99.6 0.4
International Growth Fund 2,728,663 99.6 0.4
Maria T. Fighetti
Money Market Fund 249,937,105 98.6% 1.4%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 97.9 2.1
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.9 0.1
Small Company Fund 2,368,033 99.7 0.3
International Growth Fund 2,728,663 96.5 3.5
David L. Grove
Money Market Fund 249,937,105 98.6% 1.4%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 97.9 2.1
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.9 0.1
Small Company Fund 2,368,033 99.7 0.3
International Growth Fund 2,728,663 96.5 3.5
Aetna Mutual Funds Annual Report 119
<PAGE>
Director Votes
Fund Present Cast For Withheld
Timothy A. Holt
Money Market Fund 249,937,105 98.6% 1.4%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 98.1 1.9
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.3 0.7
Growth Fund 2,752,429 99.8 0.2
Small Company Fund 2,368,033 99.7 0.3
International Growth Fund 2,728,663 99.7 0.3
Daniel P. Kearney
Money Market Fund 249,937,105 98.5% 1.5%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 97.9 2.1
The Aetna Fund 4,259,798 99.2 0.8
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.7 0.3
Small Company Fund 2,368,033 99.4 0.6
International Growth Fund 2,728,663 99.3 0.7
Sidney Koch
Money Market Fund 249,937,105 98.4% 1.6%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 95.0 5.0
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.9 0.1
Small Company Fund 2,368,033 99.5 0.5
International Growth Fund 2,728,663 99.7 0.3
Shaun P. Mathews
Money Market Fund 249,937,105 98.6% 1.4%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 98.1 1.9
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.8 0.2
Small Company Fund 2,368,033 99.7 0.3
International Growth Fund 2,728,663 99.7 0.3
120
<PAGE>
Director Votes
Fund Present Cast For Withheld
Corine T. Norgard
Money Market Fund 249,937,105 98.3% 1.7%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 95.0 5.0
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.9 0.1
Small Company Fund 2,368,033 99.7 0.3
International Growth Fund 2,728,663 99.5 0.5
Richard G. Scheide
Money Market Fund 249,937,105 98.6% 1.4%
Government Fund 811,069 98.7 1.3
Bond Fund 2,294,486 98.0 2.0
The Aetna Fund 4,259,798 99.3 0.7
Growth and Income Fund 19,527,605 99.9 0.1
Growth Fund 2,752,429 99.9 0.1
Small Company Fund 2,368,033 99.6 0.4
International Growth Fund 2,728,663 99.7 0.3
B. Approval of Subadvisory Agreement
Shareholders of the Fund voted to approve a Subadvisory Agreement with Aeltus.
(See Footnote 2, page 92, for a description of the services provided and the
compensation arrangement defined by the terms of the agreement.)
Results of the vote were:
Votes
Fund Present Cast For Cast Against Abstaining
Money Market Fund 249,937,105 92.9% 2.9% 4.2%
Government Fund 811,069 92.4 0.4 7.2
Bond Fund 2,294,486 95.0 2.4 2.6
The Aetna Fund 4,259,798 96.8 0.9 2.3
Growth and Income Fund 19,527,605 98.4 1.3 0.3
Growth Fund 2,752,429 99.3 0.2 0.5
Small Company Fund 2,368,033 98.0 0.2 1.8
International Growth Fund 2,728,663 95.9 1.3 2.8
Aetna Mutual Funds Annual Report 121
<PAGE>
C. Approval of New Investment Advisory Agreement
Shareholders in each Fund voted to approve a new Investment Advisory Agreement
(Agreement) between each Fund and ALIAC. For all Funds, the Agreement was
updated in the following respects: the language was simplified where possible,
the liability provisions made it clear that ALIAC is liable to the Fund for
ALIAC's negligence, and it expanded ALIAC's ability to use brokerage commissions
to pay Fund expenses.
Results of the vote were:
Votes
Fund Present Cast For Cast Against Abstaining
Money Market Fund 249,937,105 92.7% 3.1% 4.2%
Government Fund 811,069 92.4 0.4 7.2
Bond Fund 2,294,486 94.5 3.4 2.1
The Aetna Fund 4,259,798 90.6 7.1 2.3
Growth and Income Fund 19,527,605 97.4 2.3 0.3
Growth Fund 2,752,429 99.4 0.2 0.4
Small Company Fund 2,368,033 98.0 0.2 1.8
International Growth Fund 2,728,663 74.0 23.2 2.8
D. Restatement of Investment Objectives and Policies
Shareholders of the Bond Fund voted to restate the investment objective and
related investment policy in order to expand the Bond Fund's authorized
investments to include securities considered to be "investment grade" in
addition to those considered "high quality." Essentially, this change allows the
Bond Fund to increase the range of available investments by permitting Bond
Fund's principal investments to be in the three highest rating categories rather
than only the two highest categories. Results of the vote were:
Votes
Present Cast For Cast Against Abstaining
Bond Fund 2,294,486 94.5% 3.4% 2.1%
122
<PAGE>
[BACK COVER]
Aetna Series Fund, Inc.
151 Farmington Avenue
Hartford, CT 06156-8962
Aetna Money Market Fund
Aetna Government Fund
Aetna Bond Fund
The Aetna Fund
Aetna Growth and Income Fund
Aetna Growth Fund
Aetna Small Company Fund
Aetna International Growth 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.2-2 (10/96) [Recycle symbol] Printed on recycled paper using soybean ink
