[front cover]
Aetna Mutual Funds
Annual
Report
October 31, 1996
Generation Funds
[Aetna logo]
<PAGE>
Table of Contents
President's Letter.............................................. 1
Investment Review............................................... 2
Portfolios of Investments:
Aetna Ascent................................................. 6
Aetna Crossroads............................................. 18
Aetna Legacy................................................. 30
Statements of Assets and Liabilities............................ 42
Statements of Operations........................................ 43
Statements of Changes in Net Assets............................. 44
Notes to Financial Statements................................... 47
Financial Highlights............................................ 53
Independent Auditors' Report.................................... 56
Special Meeting of Shareholders................................. 57
<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 actions to focus our Fund
management efforts. 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 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 stabile interest rate scenario continuing into 1997. Although this
may be favorable for investments in the bond markets, we are cautious or
somewhat neutral 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 US 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, implementation
processes and investment research.
Aetna Mutual Funds have shared in the continued growth of the mutual fund
industry in 1996. 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 Generation Funds Annual Report 1
<PAGE>
Aetna Ascent
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996*
1 Year Inception+
Select Class 20.94% 20.64%
<TABLE>
<CAPTION>
Jan-95 Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent (Select Class) 10000 10286 11010 11850 12362 12766 13350 14024 14114
S&P 500 10000 10974 12022 12978 13759 14498 15147 15615 16046
Russell 2000 10000 10461 11441 12572 12844 13499 14174 14223 14004
MSCI EAFE 10000 10194 10277 10713 11156 11486 11677 11671 11554
NAREIT 10000 9984 10571 11068 11526 11788 12311 13116 13506
SB Broad Inv. Grade Bond 10000 10506 11150 11362 11855 11649 11706 11924 12192
SB Non US World Bond 10000 11443 12003 11711 11953 11753 11801 12183 12411
91 Day T-Bill 10000 10148 10294 10436 10578 10712 10847 10991 11038
Ascent Index 10000 10517 11172 11765 12233 12575 12984 13319 13459
</TABLE>
Aetna Crossroads
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996*
1 Year Inception+
Select Class 17.66% 18.07%
<TABLE>
<CAPTION>
Jan-95 Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads (Select Class) 10000 10289 10930 11670 12105 12428 12875 13444 13566
S&P 500 10000 10974 12022 12978 13759 14498 15147 15615 16046
Russell 2000 10000 10461 11441 12572 12844 13499 14174 14223 14004
MSCI EAFE 10000 10194 10277 10713 11156 11486 11677 11671 11554
NAREIT 10000 9984 10571 11068 11526 11788 12311 13116 13506
SB Broad Inv. Grade Bond 10000 10506 11150 11362 11855 11649 11706 11924 12192
SB Non US World Bond 10000 11443 12003 11711 11953 11753 11801 12183 12411
91 Day T-Bill 10000 10148 10294 10436 10578 10712 10847 10991 11038
Crossroads Index 10000 10520 11145 11627 12076 12294 12613 12920 13081
</TABLE>
2
<PAGE>
Aetna Legacy
Growth of $10,000
Average Annual Total Returns for the Year Ended
October 31, 1996*
1 Year Inception+
Select Class 14.11% 15.46%
<TABLE>
<CAPTION>
Jan-95 Oct-96
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy (Select Class) 10000 10303 10870 11489 11889 12102 12471 12863 13019
S&P 500 10000 10974 12022 12978 13759 14498 15147 15615 16046
Russell 2000 10000 10461 11441 12572 12844 13499 14174 14223 14004
MSCI EAFE 10000 10194 10277 10713 11156 11486 11677 11671 11554
NAREIT 10000 9984 10571 11068 11526 11788 12311 13116 13506
SB Broad Inv. Grade Bond 10000 10506 11150 11362 11855 11649 11706 11924 12192
SB Non US World Bond 10000 11443 12003 11711 11953 11753 11801 12183 12411
91 Day T-Bill 10000 10148 10294 10436 10578 10712 10847 10991 11038
Legacy Index 10000 10523 11118 11489 11921 12019 12253 12530 12712
</TABLE>
* 'Total Return' is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The Standard
& Poor's 500 Stock Index, Russell 2000 Small Cap Stock Index, Morgan Stanley
Capital International Europe, Australia and Far East Index, National Association
Real Estate REIT Index, Salomon Brothers Broad Investment Grade Index, and
Salomon Brothers Non-U.S. World Government Bond Index are unmanaged broad based
market indicies used to benchmark performance of each asset class.
+ Date of inception for the Select Class shares was January 4, 1995.
Aetna Generation Funds
Returns for the twelve month period ended October 31, 1996 were quite favorable
as each of the three Generation Funds outperformed its relative benchmark index
for the period. These benchmark indices are comprised of the seven stock and
bond indices listed below in weights that correspond to the particular
benchmark weights for each fund.
Fund Benchmark
Return Return
------ ------
Aetna Ascent 20.9% 16.4%
Aetna Crossroads 17.7% 13.7%
Aetna Legacy 14.1% 11.0%
Serving as a backdrop for this performance are returns for the various indices
for each of the asset classes in which the Generation Funds invest:
Index
Asset Class Benchmark Index Return
- ----------- --------------- ------
Large Cap Stocks S&P 500 24.1%
Small Cap Stocks Russell 2000 16.6%
International Stocks MSCI Europe, Australia & Far East 10.8%
Real Estate Stocks NAREIT 24.7%
Domestic Bonds Salomon Broad 5.9%
International Bonds S.B. Non-U.S. WGBI 5.6%
Cash Equivalents U.S. 90 Day T-Bill 5.3%
Aetna Generation Funds Annual Report 3
<PAGE>
Our asset allocation disciplines guided us to underweight bonds in favor of cash
throughout the year, and to overweight stocks during most the year. On balance,
although our asset allocation shifts helped us both control risk and enhance
return, it was our security selection disciplines which contributed most to our
investment success.
We made significant improvements in both our investment research and in our
portfolio implementation processes over the past year, which together, we
believe, 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 process 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 have the potential to provide superior returns. These efforts, combined
with our solid asset allocation analysis, will continue to support the
investment strategies of the Generation Funds in the days ahead.
4
<PAGE>
Asset Allocation
<TABLE>
<CAPTION>
Notional Value Economic
Aetna Ascent Portfolio of Futures* Exposure* Benchmark Range
- ------------ --------- ---------- --------- --------- -----
<S> <C> <C> <C> <C> <C>
Large Cap Stocks 39% (24)% 15% 20% 0-60%
Small Cap Stocks 19% (5)% 14% 20% 0-40%
Real Estate Stocks 16% 0 % 16% 20% 0-40%
U.S. Dollar Bonds 0% 10 % 10% 10% 0-30%
International Stocks 22% 3 % 25% 20% 0-40%
International Bonds 0% 4 % 4% 10% 0-20%
Cash Equivalents 4% 12 % 16% 0% 0-30%
-- -- -- --
Total 100% 0 % 100% 100%
Notional Value Economic
Aetna Crossroads Portfolio of Futures* Exposure* Benchmark Range
- ---------------- --------- ---------- --------- --------- -----
Large Cap Stocks 32% (18)% 14% 15% 0-45%
Small Cap Stocks 13% (2)% 11% 15% 0-30%
Real Estate Stocks 13% 0 % 13% 15% 0-30%
U.S. Dollar Bonds 3% 16 % 19% 25% 0-70%
International Stocks 19% 1 % 20% 15% 0-30%
International Bonds 0% 4 % 4% 10% 0-20%
Cash Equivalents 20% (1)% 19% 5% 0-30%
-- -- -- --
Total 100% 0 % 100% 100%
Notional Value Economic
Aetna Legacy Portfolio of Futures* Exposure* Benchmark Range
- ---------------- --------- ---------- --------- --------- -----
Large Cap Stocks 19% (10)% 9% 10% 0-30%
Small Cap Stocks 9% (1)% 8% 10% 0-20%
Real Estate Stocks 8% 0 % 8% 10% 0-20%
U.S. Dollar Bonds 6% 24 % 30% 40% 0-100%
International Stocks 12% 1 % 13% 10% 0-20%
International Bonds 0% 4 % 4% 10% 0-20%
Cash Equivalents 46% (18)% 28% 10% 0-30%
-- -- -- --
Total 100% 0 % 100% 100%
</TABLE>
* "Notional value" refers to the economic value at risk, or the exposure to the
financial instruments underlying the 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 futures
positions.
Aetna Generation Funds Annual Report 5
<PAGE>
Portfolio of Investments
October 31, 1996
- ------------------------------------------------------------------------------
Aetna Ascent
- ------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
Common Stocks (94.9%)
United States (73.1%)
Aerospace and Defense (0.1%)
United Technologies Corp. 200 $ 25,750
--------
Apparel (1.3%)
Collins & Aikman Corp.+ 16,000 96,000
Gap, Inc. 1,800 52,200
Jones Apparel Group, Inc.+ 100 3,125
Liz Claiborne, Inc. 4,400 185,899
--------
337,224
--------
Autos and Auto Equipment (0.8%)
Chrysler Corp. 4,200 141,225
Kaydon Corp. 1,400 57,050
--------
198,275
--------
Banks (3.3%)
BanPonce Corp. 800 21,000
Charter One Financial, Inc. 1,575 68,414
Commercial Federal Corp. 3,700 154,938
Corus Bankshares, Inc. 2,000 61,500
First Citizens Bancshares, Inc. Class A 100 6,725
GreenPoint Financial Corp. 600 27,900
NationsBank Corp. 300 28,275
New York Bancorp, Inc. 5,000 169,374
North Fork Bancorp., Inc 4,800 151,800
Riggs National Corp. 2,000 34,250
Star Banc Corp. 800 72,000
USBANCORP, Inc. 1,700 66,300
--------
862,476
--------
Building Materials and Construction (1.8%)
Armstrong World Industries, Inc. 2,100 140,175
Number of Market
Shares Value
---------- ----------
Champion Enterprises, Inc.+ 3,824 $ 75,524
Coachmen Industries, Inc. 400 11,200
Granite Construction, Inc, 3,750 72,188
Lennar Corp. 2,100 46,725
Texas Industries, Inc. 500 28,375
Tredegar Industries, Inc. 2,100 80,325
----------
454,512
----------
Chemicals (1.3%)
Arcadian Corp. 5,900 145,288
Cytec Industries+ 4,200 150,150
Monsanto Co. 700 27,738
----------
323,176
----------
Commercial Services (1.0%)
Billing Information Concepts+ 100 2,613
Culligan Water Technologies, Inc.+ 4,100 153,750
Morrison Health Care, Inc. 800 9,700
PMT Services, Inc.+ 4,800 96,000
----------
262,063
----------
Computer Software (4.0%)
BMC Software, Inc.+ 900 74,700
Cadence Design Systems, Inc.+ 4,275 156,038
Cisco Systems, Inc.+ 4,100 253,687
Computer Associates International, Inc. 2,725 161,116
Compuware Corp.+ 3,400 179,349
Microsoft Corp.+ 1,100 150,975
Reynolds & Reynolds Co. 2,200 58,025
----------
1,033,890
----------
Computers and Office Equipment (1.9%)
Compaq Computer Corp.+ 900 62,663
6 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
-------- --------
United States (continued)
Computers and Office Equipment (continued)
CompUSA, Inc.+ 400 $ 18,500
Dell Computer Corp.+ 2,200 179,024
EMC Corp.+ 700 18,375
Gateway 2000, Inc.+ 1,300 61,181
HBO & Co. 200 12,025
Herman Miller, Inc. 300 12,938
HMT Technology Corp.+ 4,000 55,500
Sun Microsystems, Inc.+ 500 30,500
Wallace Computer Services, Inc. 200 5,875
Western Digital Corp.+ 700 33,950
--------
490,531
--------
Diversified (1.1%)
Harsco Corp. 900 57,488
Oakley, Inc.+ 1,200 17,850
Ruddick Corp. 4,200 54,600
Textron, Inc. 1,600 142,000
VF Corp. 100 6,538
--------
278,476
--------
Education (0.4%)
ITT Educational Services, Inc.+ 2,700 98,213
--------
Electrical and Electronics (2.2%)
Atmel Corp.+ 200 5,075
Intel Corp. 3,600 395,549
Novellus Systems, Inc.+ 1,100 45,375
Siliconix, Inc.+ 400 7,300
Symbol Technologies, Inc.+ 2,500 112,188
--------
565,487
--------
Electrical Equipment (1.0%)
Belden, Inc. 2,300 66,125
General Electric Co. 500 48,375
Raychem Corp. 400 31,250
SCI Systems, Inc.+ 400 19,900
Number of Market
Shares Value
-------- --------
Tektronix, Inc. 1,800 $ 70,425
Vitesse Semiconductor Corp.+ 900 28,688
--------
264,763
--------
Financial Services (3.0%)
Alex Brown & Sons, Inc. 800 45,400
Bear Stearns Co., Inc. 2,940 69,458
BHC Financial, Inc. 3,200 51,200
Merrill Lynch & Co., Inc. 1,100 77,275
Morgan Stanley Group, Inc. 900 45,225
North American Mortgage Co. 7,400 154,475
Olympic Financial Ltd.+ 400 6,350
PHH Corp. 1,800 53,550
Salomon, Inc. 400 18,050
SunAmerica, Inc. 200 7,500
Travelers, Inc. 3,850 208,862
Vermont Financial Services Corp. 1,300 44,850
--------
782,195
--------
Foods and Beverages (0.7%)
Coca-Cola Co. 400 20,200
Hershey Foods Corp. 1,800 87,075
Morningstar Group, Inc.+ 2,600 43,875
Riser Foods, Inc. Class A 800 21,500
Supervalu, Inc. 500 14,875
--------
187,525
--------
Health Services (2.7%)
Allegiance Corp.+ 60 1,125
Beverly Enterprises+ 7,500 92,813
Genetics Institute, Inc.+ 100 6,550
Health Management Associates, Inc.+ 6,500 143,000
Invacare Corp. 1,400 39,200
Lincare Holdings, Inc.+ 1,600 60,000
Renal Treatment Centers, Inc.+ 4,600 123,050
Aetna Generation Funds Annual Report 7
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Ascent (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
United States (continued)
Health Services (continued)
Tenet Healthcare Corp.+ 600 $ 12,525
Universal Health Services, Inc.+ 2,400 60,000
Wellpoint Health Networks, Inc.+ 4,900 145,775
--------
684,038
--------
Hotels and Restaurants (0.8%)
HFS, Inc.+ 100 7,325
Marriott International, Inc. 300 17,063
Promus Hotel Corp.+ 4,300 136,525
Red Roof Inns, Inc.+ 3,200 42,800
--------
203,713
--------
Insurance (1.6%)
Allstate Corp. 500 28,063
AMBAC, Inc. 800 50,000
American Bankers Insurance Group 300 14,400
American National Insurance Co. 800 52,400
Compdent Corp.+ 1,700 58,438
Fremont General Corp. 2,250 66,094
ITT Hartford Group, Inc. 1,500 94,500
Kansas City Life Insurance Co. 400 22,400
Orion Capital Corp. 400 21,750
--------
408,045
--------
Machinery and Equipment (1.5%)
Case Corp. 1,000 46,500
Caterpillar, Inc. 100 6,863
Cooper Cameron Corp.+ 2,800 178,849
L.S. Starrett Co. Class A 800 19,600
Parker-Hannifin Corp. 100 3,788
The Manitowoc Co., Inc. 3,800 127,300
--------
382,900
--------
Number of Market
Shares Value
--------- ------
Media and Entertainment (2.3%)
Callaway Golf Co. 2,700 $ 82,688
Clear Channel Communications, Inc.+ 100 7,300
Coastcast Corp.+ 6,700 122,275
Harrah's Entertainment, Inc. 100 1,675
International Family
Entertainment, Inc.+ 5,800 103,675
International Game Technology 200 4,225
King World Production, Inc.+ 900 32,400
Penske Motorsports, Inc.+ 2,700 92,475
Regal Cinemas, Inc.+ 5,100 132,600
--------
579,313
--------
Medical Supplies (0.8%)
Baxter International, Inc. 300 12,488
Biomet, Inc. 500 8,063
Guidant Corp. 2,600 119,925
Hillenbrand Industries, Inc. 100 3,700
Mallinckrodt, Inc. 400 17,400
Medtronic, Inc. 300 19,313
OrNda HealthCorp.+ 600 16,350
--------
197,239
--------
Metals and Mining (1.4%)
AK Steel Holding Corp. 3,100 110,050
Cleveland-Cliffs, Inc. 700 28,700
Reliance Steel & Aluminum Co. 2,400 87,900
RMI Titanium Co.+ 700 16,888
Zeigler Coal Holding Co. 6,400 116,000
--------
359,538
--------
Oil and Gas (5.1%)
Amoco Corp. 1,700 128,775
Atlantic Richfield Co. 1,600 211,999
Camco International, Inc. 200 7,750
8 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
United States (continued)
Oil and Gas (continued)
Columbia Gas System, Inc. 2,000 $ 121,500
Edisto Resources Corp.+ 9,900 95,906
Exxon Corp. 4,100 363,362
Fina, Inc. Class A 1,000 51,125
Mobil Corp. 400 46,700
National Fuel Gas Co. 200 7,450
Newpark Resources, Inc.+ 2,400 90,000
Occidental Petroleum Corp. 600 14,700
Oneok, Inc. 900 24,188
Royal Dutch Petroleum Co. 100 16,538
Texaco, Inc. 700 71,138
The Williams Cos., Inc. 100 5,225
Tosco Corp. 200 11,225
USX-Marathon Group 2,600 56,875
---------
1,324,456
---------
Paper and Containers (0.1%)
Mead Corp. 300 17,025
---------
Pharmaceuticals (3.9%)
American Home
Products Corp. 2,300 140,875
Becton, Dickinson & Co. 2,200 95,700
Biogen, Inc.+ 1,200 89,400
Bristol-Myers Squibb Co. 500 52,875
Johnson & Johnson 5,854 288,309
Jones Medical Industries, Inc. 900 39,150
Merck & Co., Inc. 200 14,825
Pfizer, Inc. 1,000 82,750
Rhone-Poulenc Rorer, Inc. 1,000 67,125
Schering Plough 2,200 140,800
---------
1,011,809
---------
Number of Market
Shares Value
--------- ------
Printing and Publishing (1.5%)
Gannett Co., Inc. 2,000 $151,750
Lexmark International Group, Inc.+ 100 2,363
New York Times Co. 300 10,838
Tribune Co. 1,200 98,100
Washington Post Co. 400 131,600
--------
394,651
--------
Real Estate Investment Trusts (15.8%)
Ambassador Apartments, Inc. 2,700 54,675
Arden Realty Group, Inc.+ 2,200 49,775
Associated Estates Realty Corp. 9,500 194,749
Beacon Properties Corp. 8,700 255,562
CALI Realty Corp. 1,000 26,875
Camden Property Trust 1,300 35,425
CBL & Associates Properties, Inc. 6,800 160,650
Chelsea GCA Realty, Inc. 2,500 75,313
Colonial Properties Trust 7,800 206,699
Cousins Properties, Inc. 4,400 100,650
Crescent Real Estate Equities, Inc. 6,200 258,849
Developers Diversified Realty Corp. 2,000 67,250
Duke Realty Investments, Inc. 6,000 206,999
Equity Inns, Inc. 3,300 38,363
Equity Residential Properties Trust 3,200 117,600
Essex Property Trust, Inc. 9,400 243,224
Evans Withycombe Residential, Inc. 7,200 152,100
Excel Realty Trust, Inc. 6,400 140,000
First Industrial Realty Trust, Inc. 1,000 25,875
Highwood Properties, Inc. 7,400 212,749
Aetna Generation Funds Annual Report 9
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Ascent (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
United States (continued)
Real Estate Investment Trusts (continued)
Innkeepers USA Trust 20,000 $ 234,999
JDN Realty Corp. 800 20,000
Kimco Realty Corp. 6,350 183,355
Mid-America Apartment Communities, Inc. 1,100 27,913
National Golf Properties, Inc. 1,500 43,500
Oasis Residential, Inc. 6,900 146,625
Public Storage, Inc. 11,100 255,299
Reckson Associates Realty Corp. 700 24,938
Regency Realty Corp. 4,000 87,000
Security Capital Industrial Trust 1,191 21,587
Smith (Charles E.) Residential Realty Co. 2,100 51,188
South West Property Trust 1,850 27,750
Spieker Properties, Inc. 3,400 104,550
Walden Residential Properties, Inc. 9,800 229,074
----------
4,081,160
----------
Retail (6.0%)
American Stores Co. 100 4,138
Borders Group, Inc.+ 900 28,350
Carson Pirie Scott & Co.+ 5,900 146,763
Cash America International, Inc. 20,900 151,525
Claire's Stores, Inc. 50 850
Damark International, Inc.+ 8,800 78,100
Dayton Hudson Corp. 4,500 155,813
Federated Department Stores, Inc.+ 300 9,900
Number of Market
Shares Value
---------- ----------
Mercantile Stores Co., Inc. 400 $ 19,850
Pacific Sunwear of California+ 7,350 163,538
Ross Stores, Inc. 3,300 136,950
Safeway, Inc.+ 1,600 68,600
Sears, Roebuck & Co. 4,100 198,337
The Finish Line, Inc.+ 6,100 259,249
Tiffany & Co. 200 7,400
TJX Companies, Inc. 200 8,000
Tuesday Morning Corp.+ 2,500 48,438
Wet Seal, Inc.+ 300 9,450
Zale Corp.+ 2,700 52,313
----------
1,547,564
----------
Specialty Consumer Durables (0.1%)
Harley-Davidson, Inc. 400 18,050
----------
Telecommunications (0.8%)
360 Communications Co.+ 166 3,756
Ascend Communications, Inc.+ 500 32,688
Cascade Communications Corp.+ 2,300 167,037
LCI International, Inc.+ 200 6,375
Lucent Technologies, Inc. 1 38
----------
209,894
----------
Transportation (1.4%)
Alaska Air Group, Inc.+ 300 6,600
AMR Corp.+ 2,000 167,999
Atlantic Coast Airlines, Inc.+ 4,300 45,150
Canadian National Railway Co. 2,000 55,000
Comair Holdings, Inc. 3,675 73,959
10 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ----------
United States (continued)
Transportation (continued)
UAL Corp.+ 400 $ 18,950
USAir Group, Inc.+ 100 1,738
----------
369,396
----------
Utilities - Electric (2.0%)
Bangor
Hydro-Electric Co. 1,700 16,575
Commonwealth Energy System Co. 5,900 141,600
Consolidated Edison Co. of
New York, Inc. 500 14,625
Entergy Corp. 1,400 39,200
Long Island Lighting Corp. 6,600 119,625
Tucson Electric Power Co.+ 1,100 21,725
Unicom Corp. 6,600 171,599
----------
524,949
----------
Utilities - Oil and Gas (0.3%)
Energen Corp. 2,400 60,000
Valero Energy Corp. 500 11,875
----------
71,875
----------
Utilities - Telephone (1.0%)
AT&T Corp. 200 6,975
Bell Atlantic Corp. 200 12,050
Century Telephone Enterprises 1,300 41,763
NYNEX Corp. 4,200 186,899
----------
247,687
----------
Utilities - Water (0.1%)
California Water Service Co. 700 26,163
----------
Total United States 18,824,021
----------
Number of Market
Shares Value
------- -------
Foreign Common Stock (21.8%)
Australia (0.6%)
Australian Gas Light Co. Ltd.
(Oil and Gas) 11,000 $60,365
North Ltd. (Metals and Mining) 16,413 46,727
Reinsurance Australia Corp.
Ltd. (Insurance) 17,000 50,960
-------
Total Australia 158,052
-------
Austria (0.3%)
Austria Mikro Systeme International
AG (Electrical and Electronics) 280 17,829
VA Technologie AG (Commercial
Services) 400 55,975
-------
Total Austria 73,804
-------
Belgium (0.4%)
Cimenteries CBR Cementbedrijven
(Building Materials and
Construction) 800 63,097
G.I.B. Holdings Ltd. (Retail) 1,100 46,412
-------
Total Belgium 109,509
-------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities-Telephone) 800 59,600
-------
Canada (0.7%)
BCE, Inc. (Utilities - Telephone) 909 41,734
Dofasco, Inc. (Metals and Mining) 1,331 23,671
Domtar, Inc. (Paper and Containers) 4,500 39,260
Intertape Polymer Group, Inc.
(Paper and Containers) 1,500 34,562
Aetna Generation Funds Annual Report 11
<PAGE>
Portfolio of Investments
October 31, 1996
- -----------------------------------------------------------------------------
Aetna Ascent (continued)
- -----------------------------------------------------------------------------
Number of Market
Shares Value
------- -------
Canada (continued)
Petro-Canada (Oil and Gas) 1,600 $21,654
Royal Bank of Canada (Banks) 800 26,427
-------
Total Canada 187,308
-------
Chile (0.1%)
Empresa Nacional Electricidad
SA (Utilities - Electric) 1,900 34,913
-------
Denmark (1.0%)
Carli Gry International A/S+ (Apparel) 1,600 72,406
Falck A/S (Commercial Services) 250 67,537
ISS International Service System A/S
(Diversified) 2,500 70,978
Tele Danmark A/S (Utilities - Telephone) 1,000 50,416
-------
Total Denmark 261,337
-------
Finland (0.3%)
Huhtamaki Group (Diversified) 1,100 47,820
Neste (Oil and Gas) 1,500 31,281
-------
Total Finland 79,101
-------
France (1.2%)
Credit Local de France (Financial Services) 600 51,658
Elf Aquitaine SA (Oil and Gas) 600 48,017
Eridania Beghin-Say SA (Foods and
Beverages) 200 31,870
Pathe SA+ (Media and Entertainment) 250 67,489
PSA Peugeot (Autos and Auto Equipment) 200 20,868
Union des Assurance Federales (Insurance) 500 56,282
Number of Market
Shares Value
------- -------
France (continued)
Usinor Sacilor
(Metals and Mining) 2,300 $34,152
-------
Total France 310,336
-------
Germany (1.4%)
BASF AG (Chemicals) 1,200 38,382
Commerzbank AG (Banks) 2,500 56,090
Deutsche Pfandbrief &
Hypothekenbank AG (Banks) 1,100 45,070
Leifheit AG (Home Furnishings and
Appliances) 1,100 45,288
Schering AG (Pharmaceuticals) 600 48,216
Schmalbach Lubeca AG+
(Paper and Containers) 300 59,972
VEBA AG (Utilities - Electric) 1,200 64,100
-------
Total Germany 357,118
-------
Hong Kong (1.2%)
China Resources Enterprise Ltd.
(Real Estate Investment Trusts) 50,000 56,257
Guangnan Holdings (Commercial
Services) 70,000 47,528
HSBC Holdings Plc (Banks) 3,683 75,019
Hysan Development Co. Ltd.
(Real Estate Investment Trusts) 15,000 48,110
New World Development Co. Ltd.
(Real Estate Investment Trusts) 8,069 46,959
Regal Hotels International
(Hotels and Restaurants) 140,000 38,475
-------
Total Hong Kong 312,348
-------
12 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Indonesia (0.2%)
PT Citra Marga Nusaphala Persada
(Commercial Services) 60,000 $ 43,805
-------
Ireland (0.4%)
Golden Vale Plc (Foods and Beverages) 30,000 31,744
Irish Life Plc (Insurance) 7,000 30,141
Waterford Wedgewood Plc (Home
Furnishings and Appliances) 24,000 29,498
-------
Total Ireland 91,383
-------
Italy (1.1%)
Gemina S.p.A.+ (Financial Services) 110,000 49,184
Istituto Mobiliare Italiano S.p.A
(Financial Services) 6,800 53,836
Parmalat Finanziaria S.p.A
(Foods and Beverages) 23,160 33,220
Pirelli S.p.A
(Autos and Auto Equipment) 25,000 44,350
Stet Scocieta' Finaziaria
Telefonica S.p.A
(Telecommunications) 18,000 47,957
Telecom Italia S.p.A
(Utilities - Telephone) 20,000 44,581
-------
Total Italy 273,128
-------
Japan (5.0%)
AJL PEPS Trust
(Consumer Products) 1,900 35,388
Canon, Inc. (Computers and 3,000 57,500
Office Equipment)
Daibiru Corp. (Real Estate
Investment Trusts) 2,000 22,683
Daiichi Pharmaceutical
(Pharmaceuticals) 5,000 72,094
Number of Market
Shares Value
---------- -------
Japan (continued)
Fuji Photo Film (Chemicals) 2,000 $ 57,500
Furukawa Electric Co.
(Electrical Equipment) 8,000 42,483
Hitachi Koki (Electrical Equipment) 5,000 41,982
Hitachi Ltd. (Electrical and
Electronics) 6,000 53,279
Honda Motor Co. Ltd.
(Autos and Auto Equipment) 3,000 71,743
Ito-Yokado Co. Ltd. (Retail) 1,000 49,938
Komatsu Ltd. (Machinery and
Equipment) 5,000 40,971
Konica Corp. (Chemicals) 8,000 53,526
Matsushita Electric Industrial Co.
Ltd. (Electrical and Electronics) 4,000 64,006
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) 8,000 61,544
Mizuno Corp. (Consumer Products) 5,000 38,729
Nintendo Co. Ltd.
(Electrical and Electronics) 1,000 64,006
Nippon Densetsu Kogyo
(Building Materials and Construction) 4,000 43,960
Nippon Telegraph & Telephone
(Utilities - Telephone) 9 62,907
Rohm Co. (Electrical and Electronics) 1,000 59,346
Sanyo Shinpan Finance Co.
(Financial Services) 1,000 60,840
Aetna Generation Funds Annual Report 13
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Ascent (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ---------
Japan (continued)
Shin-Etsu Chemical Co. (Chemicals) 2,100 $ 36,003
Shinmaywa Industries Ltd.
(Autos and Auto Equipment) 4,000 34,640
Takara Standard (Building
Materials and Construction) 7,000 65,236
Tsukishima Kikai (Machinery and
Equipment) 1,000 19,518
West Japan Railway+ (Transportation) 20 65,412
---------
Total Japan 1,275,234
---------
Malaysia (0.4%)
AMMB Holdings Bhd (Financial Services) 4,000 27,071
Lion Land Bhd (Financial Services) 21,000 21,028
Oriental Holdings Bhd (Diversified) 7,000 47,652
---------
Total Malaysia 95,751
---------
Mexico (0.4%) ALFA, SA de C.V
(Diversified) 8,643 35,494
Panamerican Beverages, Inc.
(Foods and Beverages) 1,200 52,350
Tubos de Acero de Mexico SA+
(Metals and Mining) 1,800 20,025
---------
Total Mexico 107,869
---------
Netherlands (0.5%)
Fortis Amev N.V (Financial Services) 1,205 36,024
ING Groep N.V. (Banks) 774 24,128
Philips Electronics N.V
(Electrical and Electronics) 600 21,157
Number of Market
Shares Value
--------- ---------
Netherlands (continued)
Vendex International N.V.+ (Retail) 1,026 $ 41,442
---------
Total Netherlands 122,751
---------
Norway (0.7%)
Den norske Bank ASA (Banks) 11,000 36,579
Merkantildata ASA (Computer Software) 2,000 30,744
Orkla ASA (Diversified) 1,000 63,998
Schibsted ASA (Printing and Publishing) 3,000 45,881
---------
Total Norway 177,202
---------
Philippines (0.1%)
DMCI Holdings, Inc.+
(Building Materials and Construction) 40,000 28,919
---------
Singapore (0.5%)
Clipsal Industries Ltd. (Electrical Equipment) 13,000 41,600
Singapore Airlines Ltd. (Transportation) 5,000 44,003
Wing Tai Holdings Ltd.+ (Diversified) 16,000 39,291
---------
Total Singapore 124,894
---------
South Korea (0.1%)
Korea Electric Power Corp.
(Utilities - Electric) 2,000 36,000
---------
Spain (0.8%)
Banco Bilbao Vizcaya, SA (Banks) 1,000 48,637
Cubiertas y Mzov SA
(Building Materials and Construction) 700 50,080
Empresa Nacional de Electricidad SA
(Utilities - Electric) 1,000 61,267
14 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- ----------
Spain (continued)
Repsol SA (Oil and Gas) 1,700 $ 55,544
----------
Total Spain 215,528
----------
Sweden (0.7%)
Enator AB+ (Commercial 1,500 33,361
Services)
Skandinaviska Enskilda Banken 6,000 50,270
(Banks)
Sparbanken Sverige AB (Banks) 3,000 47,528
Volvo AB (Autos and Auto Equipment) 2,000 41,587
----------
Total Sweden 172,746
----------
Switzerland (0.3%)
Baloise Holding Ltd. (Insurance) 20 41,947
Electrowatt AG
(Utilities - Electric) 100 38,134
----------
Total Switzerland 80,081
----------
Taiwan (0.2%)
China Steel Corp.++
(Metals and Mining) 3,000 58,163
----------
United Kingdom (3.0%)
Allied Domecq Plc
(Foods and Beverages) 7,096 54,887
Bank of Scotland (Banks) 13,503 62,227
Boots Co. Plc (Retails) 5,000 50,806
British Airways Plc
(Transportation) 3,200 28,868
Burton Group Plc (Retail) 26,600 64,648
Commercial Union Plc (Insurance) 5,000 52,801
Cowie Group Plc (Autos and Auto 7,000 40,922
Equipment)
Granada Group Plc (Diversified) 3,015 43,426
Hillsdown Holdings Plc
(Foods and Beverages) 16,104 46,023
Inchcape Plc (Retail) 8,025 37,832
Number of Market
Shares Value
---------- ----------
United Kingdom (continued)
Ladbroke Group Plc
(Media and Entertainment) 18,229 $ 59,220
Medeva Plc (Pharmaceuticals) 12,081 52,231
Mirror Group Plc
(Printing and Publishing) 6,800 25,745
National Power Plc
(Utilities - Electric) 550 14,919
Shell Transport & Trading Co.
(Oil and Gas) 5,000 82,031
Whitbread Plc (Foods and Beverages) 4,000 46,963
----------
Total United Kingdom 763,549
----------
Total Foreign Common Stocks 5,610,429
----------
Total Common Stocks
(cost $21,270,169) 24,434,450
----------
Preferred Stocks (1.3%)
United States (0.8%)
BankAmerica Corp. (Banks) 2,300 210,449
----------
Total United States 210,449
----------
Foreign Preferred Stocks (0.5%)
Austria (0.1%)
Creditanstalt-Bankverein (Banks) 500 23,479
----------
Finland (0.3%)
Oy Nokia Ab (Telecommunications) 1,500 69,314
----------
Germany (0.1%)
Gerry Weber International AG (Apparel) 882 33,224
----------
Total Foreign Preferred Stocks 126,017
----------
Aetna Generation Funds Annual Report 15
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Ascent (continued)
- --------------------------------------------------------------------------------
Total Preferred Stocks
(cost $285,433) $ 336,466
-----------
Principal Market
Amount Value
--------- -----------
Short-Term Investments (3.4%)
Federal Home Loan Mortgage Corp.,
Comm. Paper, 5.50%, 11/01/96 $433,000 $ 433,000
U.S. Treasury Bill+++, Time
Deposit, 5.11%, 11/14/96 100,000 99,813
U.S. Treasury Bill+++, Time
Deposit, 5.14%, 11/14/96 100,000 99,813
U.S. Treasury Bill+++, Time
Deposit, 4.91%, 11/14/96 243,000 242,546
-----------
Total Short-Term Investments
(cost $875,195) 875,172
-----------
TOTAL INVESTMENTS
(cost $22,430,797)(a) 25,646,088
Other assets less
liabilities 105,633
-----------
Total Net Assets $25,751,721
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$22,448,009. Unrealized gains and losses, based on identified tax cost at
October 31, 1996, are as follows:
Unrealized gains ............ $3,660,894
Unrealized losses ........... (462,815)
===========
Net unrealized gain ......... $3,198,079
===========
+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.
16 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Information concerning open futures contracts at October 31, 1996 is shown
below:
<TABLE>
<CAPTION>
No. of Initital Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
10 Year Canadian Government Bonds 2 $ 158,601 Dec 96 $ 12,318
Future
TFE 35 Index Future 1 100,986 Dec 96 6,830
German Government Bond Future 1 162,776 Dec 96 5,584
DAX-30 German Stock Index Future 1 171,076 Dec 96 8,988
Long Gilt Future 4 333,375 Dec 96 9,770
FT-SE 100 Index Future 1 152,813 Dec 96 3,786
Topix Index Future 2 286,342 Dec 96 (6,242)
Dutch Government Bonds Future 1 155,823 Dec 96 4,983
10 Year Swiss Government Bonds Future 2 186,922 Dec 96 3,210
2 Year US Treasury Note Future 3 614,297 Dec 96 7,922
10 Year US Treasury Note Future 18 1,933,313 Dec 96 39,938
Short Contracts
Russell 2000 Index Future 7 (1,218,375) Dec 96 21,550
S & P 500 Index Future 10 (3,435,742) Dec 96 (112,509)
S & P Mid-Cap 400 Index Future 21 (2,531,175) Dec 96 (31,350)
---------- ---------
$(2,928,96) $(25,222)
========== ========
</TABLE>
Aetna Generation Funds Annual Report 17
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Crossroads
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
Common Stocks (75.3%)
United States (56.5%)
Aerospace and Defense (0.2%)
United Technologies Corp. 400 $ 51,500
--------
Apparel (0.6%)
Gap, Inc. 400 11,600
Jones Apparel Group, Inc.+ 100 3,125
Liz Claiborne, Inc. 3,000 126,749
--------
141,474
--------
Autos and Auto Equipment (0.7%)
Chrysler Corp. 3,800 127,774
Kaydon Corp. 700 28,525
--------
156,299
--------
Banks (2.8%)
BanPonce Corp. 400 10,500
Commercial Federal Corp. 2,500 104,688
Corus Bankshares, Inc. 1,600 49,200
First Citizens Bancshares, Inc. Class A 100 6,725
GreenPoint Financial Corp. 400 18,600
NationsBank Corp. 300 28,275
New York Bancorp, Inc. 3,400 115,174
North Fork Bancorp., Inc. 3,400 107,525
Riggs National Corp. 2,000 34,250
Santa Monica Bank 1,100 15,950
Star Banc Corp. 600 54,000
TR Financial Corp. 100 3,038
USBANCORP, Inc. 2,300 89,700
--------
637,625
--------
Building Materials and Construction (1.6%)
Champion Enterprises, Inc.+ 3,376 66,676
Coachmen Industries, Inc. 400 11,200
Number of Market
Shares Value
--------- ------
Granite Construction, Inc. 3,150 $ 60,638
Lennar Corp. 1,000 22,250
Lone Star Industries, Inc. 2,800 102,900
Puerto Rican Cement Co., Inc. 700 20,475
Texas Industries, Inc. 500 28,375
Tredegar Industries, Inc. 1,500 57,375
--------
369,889
--------
Chemicals (0.8%)
Arcadian Corp. 100 2,463
Cytec Industries+ 1,300 46,475
Monsanto Co. 400 15,850
Rexene Corp. 8,400 110,250
--------
175,038
--------
Commercial Services (0.4%)
Billing Information Concepts+ 1,700 44,413
Culligan Water Technologies, Inc.+ 1,400 52,500
Personnel Group of America, Inc.+ 200 5,525
--------
102,438
--------
Computer Software (3.1%)
Amisys Managed Care Systems+ 300 4,575
BMC Software, Inc.+ 600 49,800
Boole & Babbage, Inc.+ 150 4,613
Cadence Design Systems, Inc.+ 4,050 147,824
Cisco Systems, Inc.+ 3,200 197,999
Computer Associates International, Inc. 1,825 107,903
Compuware Corp.+ 2,400 126,599
Kronos, Inc.+ 150 4,369
Microsoft Corp.+ 200 27,450
Reynolds & Reynolds Co. 2,000 52,750
--------
723,882
--------
18 See Notes to Portfolio of Investments.
<PAGE>
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
Number of Market
Shares Value
------- -------
United States (continued)
Computers and Office Equipment (2.5%)
Compaq Computer Corp.+ 700 $ 48,738
CompUSA, Inc.+ 200 9,250
Dell Computer Corp.+ 1,500 122,062
EMC Corp.+ 500 13,125
FORE Systems, Inc.+ 3,500 139,124
Gateway 2000, Inc.+ 1,000 47,063
HBO & Co. 200 12,025
Herman Miller, Inc. 200 8,625
HMT Technology Corp.+ 4,600 63,825
Sun Microsystems, Inc.+ 1,200 73,200
Wallace Computer Services, Inc. 100 2,938
Western Digital Corp.+ 500 24,250
-------
564,225
-------
Diversified (0.9%)
Harsco Corp. 700 44,713
Oakley, Inc.+ 800 11,900
Ruddick Corp. 3,100 40,300
Textron, Inc. 1,200 106,500
VF Corp. 100 6,538
-------
209,951
-------
Electrical and Electronics (1.4%)
Atmel Corp.+ 200 5,075
Intel Corp. 2,300 252,712
Novellus Systems, Inc.+ 900 37,125
Opal, Inc.+ 300 2,588
Siliconix, Inc.+ 300 5,475
Symbol Technologies, Inc.+ 200 8,975
-------
311,950
-------
Electrical Equipment (0.4%)
Belden, Inc. 800 23,000
Number of Market
Shares Value
------- -------
General Electric Co. 400 $ 38,700
Raychem Corp. 400 31,250
SCI Systems, Inc.+ 200 9,950
-------
102,900
-------
Financial Services (2.0%)
Alex Brown & Sons, Inc. 800 45,400
Bear Stearns Co., Inc. 2,625 62,016
BHC Financial, Inc. 3,000 48,000
Donaldson, Lufkin & Jenrette, Inc. 300 9,638
Federal National Mortgage Association 600 23,475
Merrill Lynch & Co., Inc. 700 49,175
Morgan Stanley Group, Inc. 600 30,150
Olympic Financial Ltd.+ 300 4,763
PHH Corp. 600 17,850
Salomon, Inc. 300 13,538
SunAmerica, Inc. 100 3,750
Travelers, Inc. 2,900 157,324
-------
465,079
-------
Foods and Beverages (0.5%)
Coca-Cola Co. 400 20,200
Hershey Foods Corp. 1,400 67,725
Riser Foods, Inc. Class A 800 21,500
-------
109,425
-------
Health Services (2.2%)
Allegiance Corp.+ 100 1,875
Beverly Enterprises+ 5,100 63,113
Genetics Institute, Inc.+ 100 6,550
Health Management Associates, Inc.+ 4,200 92,400
Invacare Corp. 1,400 39,200
Lincare Holdings, Inc.+ 1,400 52,500
Renal Treatment Centers, Inc.+ 3,100 82,925
Aetna Generation Funds Annual Report 19
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Crossroads (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
------- -------
United States (continued)
Health Services (continued)
Tenet Healthcare Corp.+ 400 $ 8,350
Universal Health Services, Inc.+ 2,200 55,000
Vencor, Inc.+ 3,500 103,688
-------
505,601
-------
Home Furnishings and Appliances (0.4%)
Congoleum Corp.+ 1,300 18,038
Rowe Furniture Corp. 12,000 85,500
-------
103,538
-------
Hotels and Restaurants (0.2%)
HFS, Inc.+ 100 7,325
Marriott International, Inc. 300 17,063
Promus Hotel Corp.+ 900 28,575
-------
52,963
-------
Insurance (1.4%)
Allstate Corp. 400 22,450
AMBAC, Inc. 500 31,250
American Bankers Insurance Group 600 28,800
American National Insurance Co. 200 13,100
Compdent Corp.+ 700 24,063
Fremont General Corp. 900 26,438
ITT Hartford Group, Inc. 1,800 113,400
Kansas City Life Insurance Co. 500 28,000
Orion Capital Corp. 400 21,750
Presidential Life Corp. 1,000 11,375
-------
320,626
-------
Machinery and Equipment (1.0%)
Ade Corp.+ 600 5,325
Case Corp. 800 37,200
Caterpillar, Inc. 100 6,863
Cooper Cameron Corp.+ 2,300 146,912
Number of Market
Shares Value
------- -------
L.S. Starrett Co. Class A 700 $ 17,150
Parker-Hannifin Corp. 200 7,575
-------
221,025
-------
Media and Entertainment (1.3%)
Callaway Golf Co. 2,200 67,375
Coastcast Corp.+ 3,900 71,175
International Family Entertainment, Inc.+ 500 8,938
International Game Technology 200 4,225
King World Production, Inc.+ 700 25,200
Penske Motorsports, Inc.+ 3,000 102,750
Regal Cinemas, Inc.+ 600 15,600
-------
295,263
-------
Medical Supplies (0.6%)
Baxter International, Inc. 500 20,813
Biomet, Inc. 400 6,450
Guidant Corp. 1,800 83,025
Hillenbrand Industries, Inc. 100 3,700
Medtronic, Inc. 100 6,438
OrNda HealthCorp.+ 500 13,625
-------
134,051
-------
Metals and Mining (0.6%)
AK Steel Holding Corp. 400 14,200
Cleveland-Cliffs, Inc. 700 28,700
Reliance Steel & Aluminum Co. 2,200 80,575
Zeigler Coal Holding Co. 300 5,438
-------
128,913
-------
Oil and Gas (4.5%)
Amoco Corp. 1,400 106,050
Atlantic Richfield Co. 1,100 145,749
Camco International, Inc. 200 7,750
Clayton Williams Energy, Inc.+ 6,100 76,250
20 See Notes to Portfolio of Investments.
<PAGE>
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
Number of Market
Shares Value
------- -------
United States (continued)
Oil and Gas (continued)
Columbia Gas System, Inc. 1,500 $ 91,125
Exxon Corp. 3,300 292,462
Fina, Inc. Class A 800 40,900
Mobil Corp. 400 46,700
National Fuel Gas Co. 100 3,725
Occidental Petroleum Corp. 400 9,800
Phillips Petroleum Co. 200 8,200
Tesoro Petroleum Corp.+ 5,100 75,225
Texaco, Inc. 900 91,463
Tosco Corp. 100 5,613
USX-Marathon Group 1,800 39,375
---------
1,040,387
---------
Paper and Containers (0.0%)
Mead Corp. 200 11,350
---------
Pharmaceuticals (3.0%)
American Home Products Corp. 1,000 61,250
Becton, Dickinson & Co. 1,600 69,600
Biogen, Inc.+ 100 7,450
Bristol-Myers Squibb Co. 500 52,875
Johnson & Johnson 4,302 211,873
Jones Medical Industries, Inc. 450 19,575
Merck & Co., Inc. 300 22,238
Pfizer, Inc. 1,100 91,025
Rhone-Poulenc Rorer, Inc. 500 33,563
Schering Plough 1,800 115,199
---------
684,648
---------
Printing and Publishing (1.2%)
Gannett Co., Inc. 1,400 106,225
Number of Market
Shares Value
------- -------
Lexmark International
Group, Inc.+ 100 $ 2,363
Tribune Co. 900 73,575
Washington Post Co. 300 98,700
---------
280,863
---------
Real Estate Investment Trusts (12.6%)
Ambassador Apartments, Inc. 1,200 24,300
Arden Realty Group, Inc.+ 1,500 33,938
Associated Estates Realty Corp. 8,200 168,099
Beacon Properties Corp. 6,300 185,062
CALI Realty Corp. 800 21,500
Camden Property Trust 900 24,525
CBL & Associates Properties, Inc. 5,900 139,387
Colonial Properties Trust 5,900 156,349
Cousins Properties, Inc. 3,700 84,638
Crescent Real Estate Equities, Inc. 4,200 175,349
Developers Diversified Realty Corp. 1,700 57,163
Duke Realty Investments, Inc. 4,900 169,049
Equity Inns, Inc. 3,600 41,850
Equity Residential Properties Trust 1,700 62,475
Essex Property Trust, Inc. 7,300 188,887
Evans Withycombe Residential, Inc. 6,200 130,974
Excel Realty Trust, Inc. 4,400 96,250
First Industrial Realty Trust, Inc. 700 18,113
Highwood Properties, Inc. 500 14,375
Innkeepers USA Trust 13,000 152,749
JDN Realty Corp. 2,100 52,500
Aetna Generation Funds Annual Report 21
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Crossroads (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
United States (continued)
Real Estate Investment Trusts (continued)
Kimco Realty Corp. 5,000 $ 144,374
Mid-America Apartment Communities, Inc. 2,100 53,288
Oasis Residential, Inc. 5,900 125,374
Public Storage, Inc. 8,200 188,599
Reckson Associates Realty Corp. 500 17,813
Regency Realty Corp. 2,100 45,675
Security Capital Industrial Trust 975 17,672
Smith (Charles E.) Residential Realty Co. 1,100 26,813
South West Property Trust 1,450 21,750
Spieker Properties, Inc. 2,700 83,025
Walden Residential Properties, Inc. 7,300 170,637
---------
2,892,552
---------
Retail (3.7%)
American Stores Co. 100 4,138
Borders Group, Inc.+ 100 3,150
Cash America International, Inc. 3,700 26,825
Damark International, Inc.+ 6,000 53,250
Dayton Hudson Corp. 3,300 114,263
Federated Department Stores, Inc.+ 200 6,600
Mercantile Stores Co., Inc. 700 34,738
Pacific Sunwear of California+ 4,950 110,138
Ross Stores, Inc. 3,100 128,649
Safeway, Inc.+ 1,400 60,025
Sears, Roebuck & Co. 2,400 116,099
TJX Companies, Inc. 800 32,000
Wet Seal, Inc.+ 3,500 110,250
Number of Market
Shares Value
--------- ------
Zale Corp.+ 2,400 $ 46,500
---------
846,625
---------
Specialty Consumer Durables (0.1%)
Harley-Davidson, Inc. 300 13,538
---------
Telecommunications (0.7%)
360 Communications Co.+ 133 3,009
Ascend Communications, Inc.+ 300 19,613
Cascade Communications Corp.+ 1,700 123,462
LCI International, Inc.+ 200 6,375
Lucent Technologies, Inc. 1 30
---------
152,489
---------
Transportation (1.4%)
AMR Corp.+ 1,600 134,399
Atlantic Coast Airlines, Inc.+ 3,400 35,700
Canadian National Railway Co. 1,000 27,500
Comair Holdings, Inc. 1,800 36,225
Greenbrier Companies, Inc. 300 3,300
Northwest Airlines Corp.+ 2,100 69,563
UAL Corp.+ 400 18,950
---------
325,637
---------
Utilities - Electric (2.2%)
Bangor Hydro-Electric Co. 6,300 61,425
Commonwealth Energy System Co. 4,000 96,000
Consolidated Edison Co. of
New York, Inc. 600 17,550
Entergy Corp. 1,000 28,000
Long Island Lighting Corp. 2,700 48,938
Texas Utilities Co. 2,800 113,400
22 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
United States (continued)
Utilities - Electric (continued)
Tucson Electric Power Co.+ 1,000 $ 19,750
Unicom Corp. 4,400 114,399
----------
499,462
----------
Utilities - Oil and Gas (0.4%)
Energen Corp. 2,200 55,000
Valero Energy Corp. 1,500 35,625
----------
90,625
----------
Utilities - Telephone (0.9%)
AT&T Corp. 400 13,950
Bell Atlantic Corp. 100 6,025
Century Telephone Enterprises 900 28,913
NYNEX Corp. 2,900 129,049
Southern New England
Telecommunications Corp. 600 22,350
----------
200,287
----------
Utilities - Water (0.2%)
California Water Service Co. 1,400 52,325
----------
Total United States 12,974,443
----------
Foreign Common Stock (18.8%)
Australia (0.6%)
Australian Gas Light Co. Ltd.
(Oil and Gas) 9,000 49,390
North Ltd. (Metals and Mining) 12,309 35,043
Reinsurance Australia Corp.
Ltd. (Insurance) 15,000 44,965
----------
Total Australia 129,398
----------
Austria (0.2%)
Austria Mikro Systeme International AG
(Electrical and Electronics) 175 11,143
Number of Market
Shares Value
--------- ------
Austria (continued)
VA Technologie AG
(Commercial Services) 300 $ 41,981
----------
Total Austria 53,124
----------
Belgium (0.3%)
Cimenteries CBR Cementbedrijven
(Building Materials and Construction) 700 55,210
G.I.B. Holdings Ltd. (Retail) 600 25,316
----------
Total Belgium 80,526
----------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities-Telephone) 550 40,975
----------
Canada (0.6%)
BCE, Inc. (Utilities - Telephone) 808 37,097
Dofasco, Inc. (Metals and Mining) 508 9,034
Domtar, Inc. (Paper and Containers) 4,500 39,260
Intertape Polymer Group, Inc.
(Paper and Containers) 1,300 29,954
Petro-Canada (Oil and Gas) 1,400 18,948
Royal Bank of Canada (Banks) 400 13,213
----------
Total Canada 147,506
----------
Chile (0.1%)
Empresa Nacional Electricidad SA
(Utilities - Electric) 700 12,863
----------
Denmark (0.8%)
Carli Gry International A/S+ (Apparel) 1,100 49,779
Aetna Generation Funds Annual Report 23
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Crossroads (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
Denmark (continued)
Falck A/S (Commercial Services) 200 $ 54,029
ISS International Service System A/S
(Diversified) 1,300 36,909
Tele Danmark A/S (Utilities -
Telephone) 800 40,333
-------
Total Denmark 181,050
-------
Finland (0.3%)
Huhtamaki Group (Diversified) 900 39,126
Neste (Oil and Gas) 1,500 31,281
-------
Total Finland 70,407
-------
France (1.0%)
Credit Local de France (Financial
Services) 350 30,134
Elf Aquitaine SA (Oil and Gas) 400 32,011
Eridania Beghin-Say SA
(Foods and Beverages) 150 23,903
Pathe SA+ (Media and Entertainment) 200 53,992
PSA Peugeot (Autos and Auto Equipment) 150 15,651
Union des Assurances Federales
(Insurance) 450 50,654
Usinor Sacilor (Metals and Mining) 2,000 29,697
-------
Total France 236,042
-------
Germany (1.3%)
BASF AG (Chemicals) 1,200 38,382
Commerzbank AG (Banks) 1,500 33,654
Deutsche Pfandbrief & Hypothekenbank
AG (Banks) 800 32,778
Number of Market
Shares Value
--------- ------
Germany (continued)
Leifheit AG (Home Furnishings and
Appliances) 1,000 $ 41,171
Schering AG (Pharmaceuticals) 600 48,216
Schmalbach Lubeca AG+
(Paper and Containers) 250 49,977
VEBA AG (Utilities - Electric) 950 50,746
-------
Total Germany 294,924
-------
Hong Kong (1.0%)
China Resources Enterprise Ltd.
(Real Estate Investment Trusts) 50,000 56,257
Guangnan Holdings (Commercial
Services) 60,000 40,738
HSBC Holdings Plc (Banks) 1,849 37,663
Hysan Development Co. Ltd. (Real
Estate Investment Trusts) 10,000 32,073
New World Development Co. Ltd.
(Real Estate Investment Trusts) 5,043 29,349
Regal Hotels International
(Hotels and Restaurants) 80,000 21,986
-------
Total Hong Kong 218,066
-------
Indonesia (0.2%)
PT Citra Marga Nusaphala Persada
(Commercial Services) 50,000 36,504
-------
Ireland (0.3%)
Golden Vale Plc (Foods and Beverages) 22,000 23,279
Irish Life Plc (Insurance) 7,000 30,141
24 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
Ireland (continued)
Waterford Wedgewood Plc (Home
Furnishings and Appliances) 18,000 $ 22,123
-------
Total Ireland 75,543
-------
Italy (1.0%)
Gemina S.p.A.+ (Financial Services) 100,000 44,713
Istituto Mobiliare Italiano S.p.A.
(Financial Services) 5,100 40,377
Parmalat Finanziaria S.p.A.
(Foods and Beverages) 16,800 24,097
Pirelli S.p.A. (Autos and Auto
Equipment) 20,000 35,480
Stet Scocieta' Finaziaria Telefonica
S.p.A. (Telecommunications) 18,000 47,957
Telecom Italia S.p.A.
(Utilities - Telephone) 16,000 35,665
-------
Total Italy 228,289
-------
Japan (3.9%)
AJL PEPS Trust (Consumer Products) 1,400 26,075
Canon, Inc. (Computers and
Office Equipment) 3,000 57,500
Daibiru Corp. (Real
Estate Investment Trusts) 2,000 22,683
Daiichi Pharmaceutical
(Pharmaceuticals) 3,000 43,257
Fuji Photo Film (Chemicals) 1,000 28,750
Furukawa Electric Co.
(Electrical Equipment) 6,000 31,862
Hitachi Koki (Electrical Equipment) 4,000 33,585
Hitachi Ltd. (Electrical and
Electronics) 4,000 35,520
Number of Market
Shares Value
--------- ------
Japan (continued)
Honda Motor Co. Ltd.
(Autos and Auto Equipment) 2,000 $ 47,828
Ito-Yokado Co. Ltd. (Retail) 1,000 49,938
Konica Corp. (Chemicals) 7,000 46,835
Matsushita Electric
Industrial Co. Ltd. (Electrical
and Electronics) 3,000 48,004
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) 7,000 53,851
Mizuno Corp. (Consumer Products) 3,000 23,237
Nintendo Co. Ltd.
(Electrical and Electronics) 1,000 64,006
Nippon Densetsu Kogyo (Building
Materials and Construction) 3,000 32,970
Nippon Telegraph & Telephone
(Utilities - Telephone) 6 41,938
Rohm Co. (Electrical
and Electronics) 1,000 59,346
Shinmaywa Industries Ltd. (Autos and
Auto Equipment) 2,000 17,320
Takara Standard (Building
Materials and Construction) 6,000 55,917
Tsukishima Kikai
(Machinery and Equipment) 1,200 23,422
West Japan Railway+
(Transportation) 16 52,330
-------
Total Japan 896,174
-------
Aetna Generation Funds Annual Report 25
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Crossroads (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ------
Malaysia (0.3%)
AMMB Holdings Bhd
(Financial Services) 4,000 $ 27,071
Lion Land Bhd
(Financial Services) 19,000 19,025
Oriental Holdings Bhd (Diversified) 4,200 28,591
-------
Total Malaysia 74,687
-------
Mexico (0.4%) ALFA, SA de C.V.
(Diversified) 6,569 26,977
Panamerican Beverages, Inc.
(Foods and Beverages) 900 39,263
Tubos de Acero de Mexico SA+
(Metals and Mining) 1,700 18,913
-------
Total Mexico 85,153
-------
Netherlands (0.4%)
Fortis Amev N.V.
(Financial Services) 891 26,637
ING Groep N.V. (Banks) 514 16,033
Philips Electronics N.V.
(Electrical and Electronics) 600 21,157
Vendex International N.V.+ (Retail) 821 33,162
-------
Total Netherlands 96,989
-------
Norway (0.7%)
Den norske Bank ASA (Banks) 11,000 36,579
Merkantildata ASA (Computer Software) 2,000 30,744
Orkla ASA (Diversified) 800 51,198
Schibsted ASA
(Printing and Publishing) 2,500 38,234
-------
Total Norway 156,755
-------
Number of Market
Shares Value
--------- ------
Philippines (0.1%)
DMCI Holdings, Inc.+
(Building Materials and
Construction) 35,000 $ 25,304
-------
Singapore (0.4%)
Clipsal Industries Ltd.
(Electrical Equipment) 10,000 32,000
Singapore Airlines Ltd.
(Transportation) 3,000 26,402
Wing Tai Holdings Ltd.+
(Diversified) 12,000 29,468
-------
Total Singapore 87,870
-------
South Korea (0.1%)
Korea Electric Power Corp.
(Utilities - Electric) 1,000 18,000
-------
Spain (0.8%)
Banco Bilbao Vizcaya, SA (Banks) 800 38,910
Cubiertas y Mzov SA
(Building Materials and Construction) 600 42,926
Empresa Nacional de Electricidad SA
(Utilities - Electric) 800 49,014
Repsol SA (Oil and Gas) 1,400 45,742
-------
Total Spain 176,592
-------
Sweden (0.6%)
Enator AB+ (Commercial Services) 1,200 26,689
Skandinaviska Enskilda Banken (Banks) 4,000 33,513
Sparbanken Sverige AB (Banks) 2,500 39,607
Volvo AB (Autos and Auto Equipment) 1,800 37,428
-------
Total Sweden 137,237
-------
26 See Notes to Portfolio of Investments.
<PAGE>
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Switzerland (0.2%)
Baloise Holding Ltd. (Insurance) 10 $ 20,974
Electrowatt AG (Utilities - Electric) 80 30,507
----------
Total Switzerland 51,481
----------
Taiwan (0.2%)
China Steel Corp.++
(Metals and Mining) 3,000 58,163
----------
United Kingdom (2.8%)
Allied Domecq Plc
(Foods and Beverages) 5,058 39,123
Bank of Scotland (Banks) 11,014 50,757
Boots Co. Plc (Retail) 4,000 40,645
British Airways Plc
(Transportation) 3,200 28,868
Burton Group Plc (Retail) 19,400 47,150
Commercial Union Plc (Insurance) 5,000 52,801
Cowie Group Plc (Autos and Auto
Equipment) 6,500 37,999
Granada Group Plc (Diversified) 2,613 37,636
Hillsdown Holdings Plc
(Foods and Beverages) 9,656 27,595
Inchcape Plc (Retail) 7,762 36,592
Ladbroke Group Plc
(Media and Entertainment) 16,191 52,599
Medeva Plc Pharmaceuticals) 9,061 39,174
Mirror Group Plc
(Printing and Publishing) 5,200 19,687
National Power Plc
(Utilities - Electric) 900 24,413
Shell Transport & Trading Co.
(Oil and Gas) 4,000 65,625
Number of Market
Shares Value
---------- -------
United Kingdom (continued)
Whitbread Plc (Foods and Beverages) 3,200 $ 37,570
----------
Total United Kingdom 638,234
----------
Total Foreign Common Stocks 4,307,856
----------
Total Common Stocks
(cost $14,986,752) 17,282,299
----------
Preferred Stocks (1.1%)
United States (0.7%)
BankAmerica Corp. (Banks) 1,600 146,399
----------
Total United States 146,399
----------
Foreign Preferred Stocks (0.4%)
Austria (0.1%)
Creditanstalt-Bankverein350 (Banks) 16,436
----------
Finland (0.2%)
Oy Nokia Ab (Telecommunications) 1,100 50,830
----------
Germany (0.1%)
Gerry Weber International AG (Apparel) 756 28,477
----------
Total Foreign Preferred Stocks 95,743
----------
Total Preferred Stocks
(cost $210,108) 242,142
----------
Principal Market
Amount Value
-------- -------
U.S. Government Obligations (3.5%)
U.S. Treasury Note,
6.50%, 05/15/05...................... $800,000 $ 809,001
-----------
Total U.S. Government Obligations
(cost $834,601) 809,001
-----------
Aetna Generation Funds Annual Report 27
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Crossroads (continued)
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- -------
Short-Term Investments (20.0%)
Alamo Funding L.P.++, Comm.
Paper, 5.27%, 11/13/96 $800,000 $ 798,595
Baxter International++,
Comm. Paper, 5.30%, 11/04/96 800,000 799,647
Ciesco L.P. ++, Comm. Paper,
5.20%, 11/01/96 800,000 800,000
Corporate Asset Funding Co., Inc.++,
Comm. Paper, 5.37%, 11/04/96 647,000 646,710
Dakota Certificates - Standard Credit
Card Master Trust 1++, Asset-Backed
Securities, 5.25%, 11/15/96 898,000 896,167
U.S. Treasury Bill+++, Time
Deposit, 4.85%, 11/14/96 100,000 99,825
U.S. Treasury Bill+++, Time
Deposit, 4.95%, 11/14/96 550,000 548,972
-----------
Total Short-Term Investments
(cost $4,589,952) 4,589,916
-----------
TOTAL INVESTMENTS
(cost $20,621,413)(a) 22,923,358
Other assets less
liabilities 23,671
-----------
Total Net Assets $22,947,029
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$20,636,609. Unrealized gains and losses, based on identified tax cost at
October 31, 1996, are as follows:
Unrealized gains ............ $2,658,899
Unrealized losses ........... (372,150)
-----------
Net unrealized gain ......... $2,286,749
===========
+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.
28 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Information concerning open futures contracts at October 31, 1996 is shown
below:
<TABLE>
<CAPTION>
No. of Initital Expiration Unrealized
Contracts Value Date Gain/(Loss)
-------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
Long Contracts
10 Year Canadian Government Bonds 2 $ 158,593 Dec 96 $12,318
Future
German Government Bond Future 1 162,776 Dec 96 5,584
Long Gilt Future 3 250,031 Dec 96 7,328
Topix Index Future 1 141,006 Dec 96 (1,758)
Dutch Government Bonds Future 1 155,820 Dec 96 4,983
10 Year Swiss Government Bonds Future 2 186,914 Dec 96 3,210
2 Year US Treasury Note Future 9 1,846,047 Dec 96 20,609
10 Year US Treasury Note Future 21 2,255,531 Dec 96 46,594
Short Contracts
Russell 2000 Index Future 3 (519,875) Dec 96 6,950
S & P 500 Index Future 8 (2,756,209) Dec 96 (82,392)
S & P Mid-Cap 400 Index Future 14 (1,689,750) Dec 96 (18,600)
----------- --------
$ 190,884 $ 4,826
========== ========
</TABLE>
Aetna Generation Funds Annual Report 29
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Legacy
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Common Stocks (47.3%)
United States (35.6%)
Aerospace and Defense (0.1%)
United Technologies Corp. 200 $ 25,750
-------
Apparel (0.6%)
Gap, Inc. 1,600 46,400
Liz Claiborne, Inc. 2,000 84,500
-------
130,900
-------
Autos and Auto Equipment (0.5%)
Chrysler Corp. 400 13,450
Excel Industries, Inc. 4,300 65,038
Kaydon Corp. 500 20,375
-------
98,863
-------
Banks (2.1%)
BanPonce Corp. 2,600 68,250
Commercial Federal Corp. 1,400 58,625
Corus Bankshares, Inc. 800 24,600
First Citizens Bancshares, Inc. Class A 100 6,725
GreenPoint Financial Corp. 200 9,300
NationsBank Corp. 300 28,275
New York Bancorp, Inc. 2,300 77,913
North Fork Bancorp., Inc. 2,200 69,575
Riggs National Corp. 2,000 34,250
Star Banc Corp. 400 36,000
USBANCORP, Inc. 1,200 46,800
-------
460,313
-------
Building Materials and Construction (1.3%)
Champion Enterprises, Inc.+ 2,780 54,905
Coachmen Industries, Inc. 3,400 95,199
Number of Market
Shares Value
---------- -------
Granite Construction, Inc. 2,250 $ 43,313
Lennar Corp. 700 15,575
Puerto Rican Cement Co., Inc. 600 17,550
Texas Industries, Inc. 400 22,700
Tredegar Industries, Inc. 1,200 45,900
-------
295,142
-------
Chemicals (0.3%)
Arcadian Corp. 1,300 32,013
Cytec Industries+ 600 21,450
Monsanto Co. 300 11,888
-------
65,351
-------
Computer Software (2.4%)
BMC Software, Inc.+ 400 33,200
Cadence Design
Systems, Inc.+ 3,150 114,974
Cisco Systems, Inc.+ 2,100 129,937
Computer Associates
International, Inc. 925 54,691
Compuware Corp.+ 1,600 84,400
Microsoft Corp.+ 600 82,350
Reynolds & Reynolds Co. 1,400 36,925
-------
536,477
-------
Computers and Office Equipment (1.1%)
Compaq Computer Corp.+ 400 27,850
CompUSA, Inc.+ 200 9,250
Dell Computer Corp.+ 900 73,238
EMC Corp.+ 300 7,875
Gateway 2000, Inc.+ 700 32,944
Herman Miller, Inc. 100 4,313
HMT Technology Corp.+ 1,800 24,975
Sandisk Corp.+ 400 5,300
Sun Microsystems, Inc.+ 500 30,500
30 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
United States (continued)
Computers and Office Equipment (continued)
Wallace Computer Services, Inc. 100 $ 2,938
Western Digital Corp.+ 400 19,400
-------
238,583
-------
Diversified (0.5%)
Oakley, Inc.+ 400 5,950
Ruddick Corp. 2,200 28,600
Textron, Inc. 900 79,875
VF Corp. 100 6,538
-------
120,963
-------
Education (0.0%)
ITT Educational Services, Inc.+ 200 7,275
-------
Electrical and Electronics (0.7%)
Atmel Corp.+ 100 2,538
Intel Corp. 1,100 120,862
Novellus Systems, Inc.+ 600 24,750
Opal, Inc.+ 200 1,725
Siliconix, Inc.+ 300 5,475
Symbol Technologies, Inc.+ 100 4,488
-------
159,838
-------
Electrical Equipment (0.4%)
Belden, Inc. 600 17,250
General Electric Co. 400 38,700
Raychem Corp. 400 31,250
SCI Systems, Inc.+ 200 9,950
-------
97,150
-------
Financial Services (1.6%)
Alex Brown & Sons, Inc. 600 34,050
Bear Stearns Co., Inc. 2,100 49,613
BHC Financial, Inc. 2,400 38,400
Number of Market
Shares Value
---------- -------
Donaldson, Lufkin & Jenrette, Inc. 1,900 $ 61,038
Merrill Lynch & Co., Inc. 500 35,125
Morgan Stanley Group, Inc. 300 15,075
Olympic Financial Ltd.+ 200 3,175
PHH Corp. 400 11,900
Salomon, Inc. 100 4,513
SunAmerica, Inc. 100 3,750
Travelers, Inc. 1,950 105,787
-------
362,426
-------
Foods and Beverages (0.5%)
Coca-Cola Co. 400 20,200
Hershey Foods Corp. 600 29,025
Riser Foods, Inc. Class A 1,900 51,063
-------
100,288
-------
Health Services (1.0%)
Allegiance Corp.+ 60 1,125
Beverly Enterprises+ 5,400 66,825
Health Management Associates, Inc.+ 3,000 66,000
Invacare Corp. 1,000 28,000
Tenet Healthcare Corp.+ 500 10,438
Universal Health Services, Inc.+ 1,600 40,000
-------
212,388
-------
Home Furnishings and Appliances (0.1%)
Congoleum Corp.+ 1,100 15,263
Stanley Furniture Co., Inc.+ 800 14,900
-------
30,163
-------
Aetna Generation Funds Annual Report 31
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Legacy (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
------- -------
United States (continued)
Hotels and Restaurants (0.3%)
Griffin Gaming & Entertainment+ 1,500 $ 31,125
HFS, Inc.+ 100 7,325
Marriott International, Inc. 300 17,063
Promus Hotel Corp.+ 600 19,050
-------
74,563
-------
Insurance (0.4%)
Alleghany Corp.+ 4 820
Allstate Corp. 200 11,225
AMBAC, Inc. 400 25,000
Bankers Life Holding Corp. 100 2,463
Compdent Corp.+ 100 3,438
Fremont General Corp. 600 17,625
Kansas City Life Insurance Co. 300 16,800
Orion Capital Corp. 300 16,313
-------
93,684
-------
Machinery and Equipment (0.5%)
Case Corp. 700 32,550
Caterpillar, Inc. 100 6,863
Cooper Cameron Corp.+ 800 51,100
L.S. Starrett Co. Class A 500 12,250
Parker-Hannifin Corp. 100 3,788
-------
106,551
-------
Media and Entertainment (1.0%)
Callaway Golf Co. 1,600 49,000
Coastcast Corp.+ 3,000 54,750
International Family
Entertainment, Inc.+ 3,000 53,625
International Game Technology 100 2,113
Number of Market
Shares Value
------- -------
King World Production, Inc.+ 700 $ 25,200
Penske Motorsports, Inc.+ 600 20,550
Regal Cinemas, Inc.+ 300 7,800
-------
213,038
-------
Medical Supplies (0.3%)
Baxter International, Inc. 300 12,488
Biomet, Inc. 200 3,225
Guidant Corp. 900 41,513
Medtronic, Inc. 100 6,438
OrNda HealthCorp.+ 300 8,175
-------
71,839
-------
Metals and Mining (1.0%)
AK Steel Holding Corp. 300 10,650
Cleveland-Cliffs, Inc. 500 20,500
Reliance Steel & Aluminum Co. 1,800 65,925
RMI Titanium Co.+ 3,000 72,375
Zeigler Coal Holding Co. 3,000 54,375
-------
223,825
-------
Oil and Gas (3.1%)
Amoco Corp. 1,200 90,899
Atlantic Richfield Co. 700 92,749
Camco International, Inc. 200 7,750
Clayton Williams Energy, Inc.+ 1,900 23,750
Exxon Corp. 2,300 203,837
Fina, Inc. Class A 200 10,225
Mobil Corp. 300 35,025
Occidental Petroleum Corp. 200 4,900
Phillips Petroleum Co. 100 4,100
32 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
United States (continued)
Oil and Gas (continued)
Tesoro Petroleum Corp.+ 7,400 $ 109,149
Texaco, Inc. 700 71,138
Tosco Corp. 100 5,613
USX-Marathon Group 1,000 21,875
-------
681,010
-------
Paper and Containers (0.0%)
Mead Corp. 100 5,675
-------
Pharmaceuticals (2.0%)
American Home Products Corp. 1,400 85,749
Becton, Dickinson & Co. 1,200 52,200
Biogen, Inc.+ 400 29,800
Bristol-Myers Squibb Co. 400 42,300
Johnson & Johnson 2,900 142,824
Jones Medical Industries, Inc. 450 19,575
Merck & Co., Inc. 300 22,238
Pfizer, Inc. 400 33,100
Schering Plough 400 25,600
-------
453,386
-------
Printing and Publishing (0.6%)
Gannett Co., Inc. 1,200 91,049
Lexmark International Group, Inc.+ 100 2,363
Tribune Co. 500 40,875
-------
134,287
-------
Real Estate Investment Trusts (8.3%)
Ambassador Apartments, Inc. 800 16,200
Arden Realty Group, Inc.+ 1,000 22,625
Beacon Properties Corp. 3,500 102,812
CALI Realty Corp. 600 16,125
Number of Market
Shares Value
---------- -------
Camden Property Trust 600 $ 16,350
CBL & Associates Properties, Inc. 4,200 99,224
Colonial Properties Trust 4,200 111,299
Cousins Properties, Inc. 2,600 59,475
Crescent Real Estate Equities, Inc. 2,200 91,849
Developers Diversified Realty Corp. 1,200 40,350
Duke Realty Investments, Inc. 3,400 117,299
Equity Inns, Inc. 3,200 37,200
Equity Residential Properties Trust 300 11,025
Essex Property Trust, Inc. 5,100 131,962
Evans Withycombe Residential, Inc. 4,200 88,724
Excel Realty Trust, Inc. 200 4,375
First Industrial Realty Trust, Inc. 450 11,644
Highwood Properties, Inc. 300 8,625
Innkeepers USA Trust 9,900 116,324
JDN Realty Corp. 2,800 70,000
Kimco Realty Corp. 3,450 99,618
MGI Properties, Inc. 3,900 74,588
Mid-America Apartment Communities, Inc. 600 15,225
Oasis Residential, Inc. 4,200 89,249
Public Storage, Inc. 5,300 121,899
Reckson Associates Realty Corp. 800 28,500
Regency Realty Corp. 1,400 30,450
Security Capital Industrial Trust 541 9,806
Smith (Charles E.) Residential Realty Co. 600 14,625
Aetna Generation Funds Annual Report 33
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Legacy (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
United States (continued)
Real Estate Investment Trusts (continued)
South West Property Trust 625 $ 9,375
Spieker Properties, Inc. 2,200 67,650
Walden Residential Properties, Inc. 4,700 109,862
----------
1,844,334
----------
Retail (2.5%)
American Stores Co. 100 4,138
Borders Group, Inc.+ 200 6,300
Carson Pirie Scott & Co.+ 100 2,488
Damark International, Inc.+ 3,800 33,725
Dayton Hudson Corp. 2,400 83,100
Federated Department Stores, Inc.+ 100 3,300
Mercantile Stores Co., Inc. 500 24,813
NBTY, Inc.+ 3,800 59,375
Pacific Sunwear of California+ 3,150 70,088
Ross Stores, Inc. 2,300 95,449
Safeway, Inc.+ 1,200 51,450
Sears, Roebuck & Co. 1,600 77,400
TJX Companies, Inc. 100 4,000
Zale Corp.+ 1,900 36,813
----------
552,439
----------
Specialty Consumer Durables (0.0%)
Harley-Davidson, Inc. 100 4,513
----------
Telecommunications (0.1%)
360 Communications Co.+ 200 4,525
Ascend Communications, Inc.+ 200 13,075
Number of Market
Shares Value
---------- -------
Cascade Communications Corp.+ 100 $ 7,263
Lucent Technologies, Inc. 1 38
----------
24,901
----------
Transportation (1.0%)
Alaska Air Group, Inc.+ 100 2,200
AMR Corp.+ 1,100 92,399
Atlantic Coast Airlines, Inc.+ 2,400 25,200
Canadian National Railway Co. 500 13,750
Comair Holdings, Inc. 1,500 30,188
Greenbrier Companies, Inc. 200 2,200
Northwest Airlines Corp.+ 1,500 49,688
----------
215,625
----------
Utilities - Electric (0.6%)
Bangor Hydro-Electric Co. 1,500 14,625
Commonwealth Energy System Co. 2,600 62,400
Entergy Corp. 800 22,400
Tucson Electric Power Co.+ 600 11,850
Unicom Corp. 800 20,800
----------
132,075
----------
Utilities - Oil and Gas (0.3%)
Energen Corp. 1,800 45,000
NUI Corp. 1,400 27,825
----------
72,825
----------
Utilities - Telephone (0.4%)
AT&T Corp. 200 6,975
NYNEX Corp. 1,900 84,550
----------
91,525
----------
----------
Total United States 7,937,965
----------
34 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Foreign Common Stocks (11.7%)
Australia (0.5%)
Australian Gas Light Co. Ltd.
(Oil and Gas) 6,600 $ 36,219
North Ltd. (Metals and Mining) 10,258 29,204
Reinsurance Australia Corp.
Ltd. (Insurance) 14,000 41,967
-------
Total Australia 107,390
-------
Austria (0.1%)
Austria Mikro Systeme International AG
(Electrical and Electronics) 60 3,821
VA Technologie AG
(Commercial Services) 200 27,987
-------
Total Austria 31,808
-------
Belgium (0.3%)
Cimenteries CBR Cementbedrijven
(Building Materials and Construction) 500 39,436
G.I.B. Holdings Ltd. (Retail) 400 16,877
-------
Total Belgium 56,313
-------
Brazil (0.1%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) 400 29,800
-------
Canada (0.5%) BCE, Inc.
(Utilities - Telephone) 505 23,186
Dofasco, Inc. (Metals and Mining) 922 16,397
Number of Market
Shares Value
---------- -------
Canada (continued)
Domtar, Inc. (Paper and Containers) 3,000 $ 26,173
Intertape Polymer Group, Inc.
(Paper and Containers) 1,100 25,345
Petro-Canada (Oil and Gas) 800 10,827
Royal Bank of Canada (Banks) 500 16,517
-------
Total Canada 118,445
-------
Chile (0.0%)
Empresa Nacional Electricidad SA
(Utilities - Electric) 500 9,188
-------
Denmark (0.4%)
Carli Gry International A/S+ (Apparel) 600 27,152
Falck A/S (Commercial Services) 100 27,015
ISS International Service System A/S
(Diversified) 600 17,035
Tele Danmark A/S (Utilities - Telephone) 400 20,166
-------
Total Denmark 91,368
-------
France (0.7%)
Credit Local de France
(Financial Services) 300 25,829
Elf Aquitaine SA (Oil and Gas) 300 24,008
Eridania Beghin-Say SA
(Foods and Beverages) 100 15,935
Pathe SA+ (Media and Entertainment) 150 40,494
PSA Peugeot (Autos
and Auto Equipment) 100 10,434
Aetna Generation Funds Annual Report 35
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Legacy (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
France (continued)
Union des Assurances Federales
(Insurance) 300 $ 33,769
Usinor Sacilor (Metals and
Mining) 1,100 16,334
-------
Total France 166,803
-------
Germany (0.7%)
BASF AG (Chemicals) 1,200 38,382
Commerzbank AG (Banks) 1,500 33,654
Deutsche Pfandbrief &
Hypothekenbank AG (Banks) 600 24,584
Leifheit AG (Home Furnishings and
Appliances) 500 20,585
Schering AG (Pharmaceuticals) 200 16,072
VEBA AG (Utilities - Electric) 600 32,050
-------
Total Germany 165,327
-------
Hong Kong (0.3%)
HSBC Holdings Plc (Banks) 1,336 27,213
New World Development Co. Ltd.
(Real Estate Investment Trusts) 3,026 17,611
Regal Hotels International
(Hotels and Restaurants) 76,000 20,886
-------
Total Hong Kong 65,710
-------
Ireland (0.2%)
Golden Vale Plc (Foods and
Beverages) 18,000 19,047
Waterford Wedgewood Plc Home
Furnishings and Appliances) 15,000 18,436
-------
Total Ireland 37,483
-------
Number of Market
Shares Value
---------- -------
Italy (0.7%)
Gemina S.p.A.+ (Financial Services) 90,000 $ 40,241
Istituto Mobiliare Italiano S.p.A.
(Financial Services) 2,800 22,168
Parmalat Finanziaria S.p.A.
(Foods and Beverages) 13,200 18,934
Pirelli S.p.A. (Autos and Auto
Equipment) 15,000 26,610
Stet Scocieta' Finaziaria
Telefonica S.p.A. (Telecommunications) 6,000 15,986
Telecom Italia S.p.A. (Utilities -
Telephone) 12,000 26,748
-------
Total Italy 150,687
-------
Japan (2.8%)
AJL PEPS Trust (Consumer Products) 1,000 18,625
Canon, Inc. (Computers and
Office Equipment) 2,000 38,333
Daibiru Corp. (Real Estate
Investment Trusts) 2,000 22,683
Daiichi Pharmaceutical (Pharmaceuticals) 2,000 28,838
Furukawa Electric Co. (Electrical
Equipment) 5,000 26,552
Hitachi Koki (Electrical Equipment) 3,000 25,189
Hitachi Ltd. (Electrical and
Electronics) 3,000 26,640
Honda Motor Co. Ltd. (Autos and
Auto Equipment) 1,000 23,914
36 See Notes to Portfolio of Investments.
<PAGE>
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Japan (continued)
Komatsu Ltd. (Machinery and Equipment) 3,000 $ 24,582
Konica Corp. (Chemicals) 4,000 26,763
Matsushita Electric Industrial Co.
Ltd. (Electrical and Electronics) 2,000 32,003
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) 3,000 23,079
Mizuno Corp. (Consumer Products) 2,000 15,491
Nintendo Co. Ltd.
(Electrical and Electronics) 1,000 64,006
Nippon Densetsu Kogyo (Building
Materials and Construction) 2,000 21,980
Nippon Telegraph & Telephone
(Utilities - Telephone) 5 34,948
Rohm Co. (Electrical and
Electronics) 1,000 59,346
Shin-Etsu Chemical Co. (Chemicals) 1,050 18,002
Shinmaywa Industries Ltd.
(Autos and Auto Equipment) 2,000 17,320
Takara Standard (Building
Materials and Construction) 2,000 18,639
Tsukishima Kikai
(Machinery and Equipment) 1,200 23,422
West Japan Railway+ (Transportation) 10 32,706
-------
Total Japan 623,061
-------
Number of Market
Shares Value
---------- -------
Malaysia (0.2%)
Lion Land Bhd (Financial Services) 24,000 $ 24,032
Oriental Holdings Bhd (Diversified) 2,800 19,061
-------
Total Malaysia 43,093
-------
Mexico (0.2%) ALFA, SA de C.V.
(Diversified) 5,186 21,297
Panamerican Beverages, Inc.
(Foods and Beverages) 700 30,538
-------
Total Mexico 51,835
-------
Netherlands (0.4%)
Fortis Amev N.V. (Financial Services) 891 26,637
ING Groep N.V. (Banks) 514 16,033
Philips Electronics N.V.
(Electrical and Electronics) 500 17,631
Vendex International N.V.+ (Retail) 615 24,841
-------
Total Netherlands 85,142
-------
Norway (0.2%)
Den norske Bank ASA (Banks) 6,000 19,952
Schibsted ASA (Printing and
Publishing) 2,200 33,646
-------
Total Norway 53,598
-------
Singapore (0.3%)
Clipsal Industries Ltd. (Electrical
Equipment) 7,000 22,400
Singapore Airlines Ltd. (Transportation) 2,000 17,601
Aetna Generation Funds Annual Report 37
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Legacy (continued)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Singapore (continued)
Wing Tai Holdings Ltd.+ (Diversified) 8,000 $ 19,645
----------
Total Singapore 59,646
----------
South Korea (0.1%)
Korea Electric Power Corp.
(Utilities - Electric) 900 16,200
----------
Spain (0.3%)
Cubiertas y Mzov SA (Building
Materials and Construction) 300 21,463
Repsol SA (Oil and Gas) 1,200 39,208
----------
Total Spain 60,671
----------
Sweden (0.5%)
Enator AB+ (Commercial Services) 1,000 22,241
Skandinaviska Enskilda Banken (Banks) 2,000 16,757
Sparbanken Sverige AB (Banks) 2,100 33,270
Volvo AB (Autos and Auto Equipment) 1,600 33,270
----------
Total Sweden 105,538
----------
Switzerland (0.2%)
Baloise Holding Ltd. (Insurance) 10 20,974
Electrowatt AG (Utilities - Electric) 60 22,880
----------
Total Switzerland 43,854
----------
United Kingdom (2.0%)
Allied Domecq Plc (Foods and Beverages) 2,242 17,342
Bank of Scotland (Banks) 6,750 31,107
Number of Market
Shares Value
---------- -------
United Kingdom (continued)
Burton Group Plc (Retail) 14,100 $ 34,268
Commercial Union Plc (Insurance) 5,000 52,801
Cowie Group Plc (Autos and Auto
Equipment) 6,000 35,076
Granada Group Plc (Diversified) 2,010 28,950
Hillsdown Holdings Plc (Foods and Beverages) 7,056 20,165
Inchcape Plc (Retail) 3,464 16,330
Ladbroke Group Plc (Media
and Entertainment) 16,152 52,472
Medeva Plc (Pharmaceuticals) 7,047 30,467
Mirror Group Plc (Printing and Publishing) 3,200 12,115
National Power Plc (Utilities - Electric) 1,150 31,194
Shell Transport & Trading Co. (Oil and Gas) 3,200 52,500
Whitbread Plc (Foods and Beverages) 2,800 32,874
----------
Total United Kingdom 447,661
----------
Total Foreign Common Stocks 2,620,621
----------
Total Common Stocks
(cost $9,030,697) 10,558,586
----------
Preferred Stocks (0.9%)
United States (0.5%)
BankAmerica Corp. (Banks) 1,300 118,949
----------
Total United States 118,949
----------
38 See Notes to Portfolio of Investments.
<PAGE>
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
Number of Market
Shares Value
---------- -------
Foreign Preferred Stocks (0.4%)
Austria (0.1%)
Creditanstalt-Bankverein (Banks) 500 $ 23,479
-----------
Finland (0.2%)
Oy Nokia Ab (Telecommunications) 800 36,967
-----------
Germany (0.1%)
Gerry Weber International AG (Apparel) 630 23,731
-----------
Total Foreign Preferred Stocks 84,177
-----------
Total Preferred Stocks
(cost $177,851) 203,126
-----------
Principal Market
Amount Value
----------- -----------
U.S. Government Obligations (5.9%)
U.S. Treasury Note, 6.50%, 05/15/05 $ 1,300,000 $ 1,314,627
-----------
Total U.S. Government Obligations
(cost $1,356,227) 1,314,627
-----------
Short-Term Investments (45.1%)
Alamo Funding L.P.++, Comm.
Paper, 5.27%, 11/13/96 800,000 798,595
American Express Credit Corp.,
Comm. Paper, 5.23%, 11/08/96 800,000 799,186
Citicorp, Comm. Paper, 5.23%, 11/14/96 800,000 798,489
Cooperative Association of
Tractor Dealers Inc., Comm.
Paper, 5.65%, 11/01/96 800,000 799,299
Principal Market
Amount Value
----------- -----------
Corporate Asset Funding Co.,
Inc. ++, Comm. Paper, 5.37%, 11/04/96 $ 900,000 $ 899,597
Dakota Certificates - Standard
Credit Card Master Trust 1++, Asset-
Backed Securities, 5.25%, 11/15/96 800,000 798,367
General Signal Corp.++, Comm.
Paper, 5.27%, 11/12/96 800,000 798,712
Hertz Corp., Comm. Paper, 5.24%, 11/01/96 800,000 800,000
IBM Credit Corp., Comm. Paper, 5.22%,
11/04/96 800,000 799,652
Potomac Electric Power, Comm. Paper, 5.24%,
11/05/96 875,000 874,491
SallieMae, Disc. Note, 5.53%, 11/01/96 550,000 550,000
U.S. Treasury Bill+++, Time
Deposit, 4.91%, 11/14/96 550,000 548,972
Unocal Corp.++, Comm. Paper,
5.38%, 11/06/96 800,000 799,402
-----------
Total Short-Term Investments
(cost $10,064,807) 10,064,762
-----------
TOTAL INVESTMENTS
(cost $20,629,582)(a) 22,141,101
Other assets less
liabilities 184,705
-----------
Total Net Assets $22,325,806
Aetna Generation Funds Annual Report 39
<PAGE>
Portfolio of Investments
October 31, 1996
- --------------------------------------------------------------------------------
Aetna Legacy (continued)
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amount to
$20,641,038. Unrealized gains and losses, based on identified tax cost at
October 31, 1996, are as follows:
Unrealized gains ............ $1,752,394
Unrealized losses ........... (252,331)
-----------
Net unrealized gain ......... $1,500,063
===========
+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.
Information concerning open futures contracts at October 31, 1996 is shown
below:
<TABLE>
<CAPTION>
No. of Initital Expiration Unrealized
Contracts Value Date Gain/(Loss)
-------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
Long Contracts
10 Year Canadian Government Bonds 2 $ 158,593 Dec 96 $12,318
Future
German Government Bond Future 1 162,776 Dec 96 5,584
Long Gilt Future 3 250,031 Dec 96 7,328
FT-SE 100 Index Future 1 159,195 Dec 96 (2,809)
Topix Index Future 1 141,006 Dec 96 (1,758)
Dutch Government Bonds Future 1 155,820 Dec 96 4,983
10 Year Swiss Government Bonds Future 2 186,914 Dec 96 3,210
2 Year US Treasury Note Future 16 3,289,625 Dec 96 28,875
10 Year US Treasury Note Future 25 2,685,156 Dec 96 55,469
Short Contracts
Russell 2000 Index Future 1 (172,625) Dec 96 1,650
S & P 500 Index Future 5 (1,721,044) Dec 96 (53,081)
S & P Mid-Cap 400 Index Future 7 (846,025) Dec 96 (8,150)
----------- --------
$ 4,449,422 $53,619
=========== ========
</TABLE>
40 See Notes to Financial Statements.
<PAGE>
This page intentionally left blank.
Aetna Generation Funds Annual Report 41
<PAGE>
Statements of Assets and Liabilities
October 31, 1996
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Aetna Aetna Aetna Aetna
Generation Funds Ascent Crossroads Legacy
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
Assets:
Investments, at market value .. $25,646,088 $22,923,358 $22,141,101
Cash .......................... 3,627 3,631 2,271
Cash denominated in foreign
currencies .................. 215,137 170,031 97,690
Receivable for:
Investments sold ............ 310,732 120,763 152,794
Dividends and interest ...... 45,963 55,419 56,498
Fund shares sold ............ 13,835 3,502 915
Recoverable taxes ........... 1,751 1,341 954
Prepaid insurance ............. 332 337 394
Gross unrealized gain on
forward foreign currency 21,723 16,388 11,550
contracts ................... ----------- ----------- -----------
Total assets ............ 26,259,188 23,294,770 22,464,167
Liabilities:
Payable for:
Investments purchased ....... 338,935 209,388 73,825
Fund shares redeemed ........ 54,189 51,000 --
Variation margin ............ 59,871 39,511 18,091
Other liabilities ............. 52,981 44,892 45,420
Gross unrealized loss on
forward foreign currency 1,491 2,950 1,025
contracts ................... ----------- ----------- -----------
Total liabilities ....... 507,467 347,741 138,361
----------- ----------- -----------
NET ASSETS .................... $25,751,721 $22,947,029 $22,325,806
=========== =========== ===========
Net assets represented by:
Paid-in capital ............... $20,044,458 $18,222,481 $18,571,312
Unrealized gain on investments 3,210,428 2,320,889 1,575,847
Undistributed net investment 438,100 481,685 517,144
income ......................
Accumulated net realized gain
on investments .............. 2,058,735 1,921,974 1,661,503
=========== =========== ===========
NET ASSETS .................... $25,751,721 $22,947,029 $22,325,806
=========== =========== ===========
Capital Shares, $.001 par value:
Outstanding ................. 2,048,670 1,886,595 1,917,572
Net Asset Value per share
(net assets divided by shares
outstanding)............... $ 12.57 $ 12.16 $ 11.64
Cost of Investments ........... $22,430,797 $20,621,413 $20,629,582
Cost of cash denominated in
foreign currencies .......... $ 215,137 $ 169,700 $ 97,553
</TABLE>
42 See Notes to Financial Statements.
<PAGE>
Statements of Operations
Year ended October 31, 1996
- --------------------------------------------------------------------------------
Aetna Aetna Aetna Aetna
Generation Funds Ascent Crossroads Legacy
- --------------------------------------------------------------------------------
Investment Income:
Dividends ................ $ 712,082 $ 550,328 $ 386,301
Interest ................. 95,726 327,472 544,345
---------- ---------- ----------
807,808 877,800 930,646
Foreign taxes withheld ... (14,017) (10,325) (6,409)
---------- ---------- ----------
Total investment income 793,791 867,475 924,237
---------- ---------- ----------
Expenses:
Investment advisory fees . 185,916 177,185 169,807
Administrative service fees 58,099 55,370 53,065
Custody fees ............. 61,135 58,855 52,501
Transfer agent fees ...... 5,595 4,457 4,373
Directors' fees .......... 4,200 4,094 4,112
Audit fees ............... 21,341 21,341 21,341
Printing and postage ..... 20,251 18,464 17,645
State and federal fees ... 43,054 42,758 42,936
Miscellaneous expenses ... 1,749 1,734 1,602
---------- ---------- ----------
Total investment expenses 401,340 384,258 367,382
---------- ---------- ----------
Net investment income .... 392,451 483,217 556,855
---------- ---------- ----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Sale of investments .... 1,919,595 1,780,222 1,505,286
Futures and forward foreign
currency exchange transactions 257,092 241,242 242,416
Foreign currency transactions (63) (4,300) (5,571)
---------- ---------- ----------
Net realized gain on
investments ........ 2,176,624 2,017,164 1,742,131
---------- ---------- ----------
Net change in unrealized gain or
loss on:
Investments .......... 1,746,180 984,176 422,144
Futures and forward foreign
currency exchange contracts 52,481 62,122 78,941
Foreign currency transactions (1,869) 222 (1,158)
---------- ---------- ----------
Net change in unrealized gain
or loss on investments 1,795,792 1,046,520 499,927
---------- ---------- ----------
Net realized and change in
unrealized gain ........ 3,973,416 3,063,684 2,242,058
---------- ---------- ----------
Increase in net assets resulting
from operations ........ $4,365,867 $3,546,901 $2,798,913
========== ========== ==========
See Notes to Financial Statements. Aetna Generation Funds Annual Report 43
<PAGE>
Statements of Changes in Net Assets
- ------------------------------------------------------------------------------
Aetna Generation Funds Aetna Ascent
- ------------------------------------------------------------------------------
Period from
January 4, 1995
Year ended to
October 31, 1996 October 31, 1995
--------------- ----------
Net investment income .......................... $ 392,451 $ 551,450
Net realized gain on investments ............... 2,176,624 1,776,711
Net change in unrealized gain or loss on
investments .................................. 1,796,792 1,413,636
----------- -----------
Increase in net assets resulting from operations 4,365,867 3,741,797
----------- -----------
Distributions to Shareholders:
From net investment income ..................... (677,906) --
From net realized gain on investments .......... (1,734,904) --
----------- -----------
Decrease in net assets from distributions to
shareholders ................................. (2,412,810) --
----------- -----------
From Fund Share Transactions:
Proceeds from shares sold ...................... 5,899,488 25,819,671
Reinvestment of distributions .................. 2,412,810 --
Cost of shares redeemed ........................ (4,946,576) (9,128,526)
----------- -----------
Increase in net assets from fund share
transactions ................................. 3,365,722 16,691,145
----------- -----------
Change in net assets ........................... 5,318,779 20,432,942
----------- -----------
Net assets:
Beginning of period ............................ 20,432,942 --
=========== ===========
End of period .................................. $25,751,721 $20,432,942
=========== ===========
End of period net assets includes undistributed
net investment income ........................ $ 438,100 $ 551,450
=========== ===========
44 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
Aetna Generation Funds Aetna Crossroads
- --------------------------------------------------------------------------------
Period from
January 4, 1995
Year ended to
October 31, 1996 October 31, 1995
--------------- ----------
Net investment income ........................... $ 483,217 $ 638,286
Net realized gain on investments ................ 2,017,164 1,502,248
Net change in unrealized gain or loss on
investments ................................... 1,046,520 1,274,369
----------- -----------
Increase in net assets resulting from operations 3,546,901 3,414,903
----------- -----------
Distributions to Shareholders:
From net investment income ...................... (778,690) --
From net realized gain on investments ........... (1,467,875) --
----------- -----------
Decrease in net assets from distributions to
shareholders .................................. (2,246,565) --
----------- -----------
From Fund Share Transactions:
Proceeds from shares sold ....................... 7,177,613 26,042,671
Reinvestment of distributions ................... 2,246,565 --
Cost of shares redeemed ......................... (8,147,413) (9,087,646)
----------- -----------
Increase in net assets from fund share
transactions .................................. 1,276,765 16,955,025
----------- -----------
Change in net assets ............................ 2,577,101 20,369,928
----------- -----------
Net assets:
Beginning of period ............................. 20,369,928 --
=========== ===========
End of period ................................... $22,947,029 $20,369,928
=========== ===========
End of period net assets includes undistributed
net investment income ......................... $ 481,685 $ 638,286
=========== ===========
See Notes to Financial Statements. Aetna Generation Funds Annual Report 45
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Aetna Generation Funds Aetna Legacy
- --------------------------------------------------------------------------------
Period from
January 4, 1995
Year ended to
October 31, 1996 October 31, 1995
--------------- ----------
Net investment income ............................ $ 556,855 $ 729,717
Net realized gain on investments ................. 1,742,131 1,338,973
Net change in unrealized gain or loss on
investments .................................... 499,927 1,075,920
----------- -----------
Increase in net assets resulting from operations . 2,798,913 3,144,610
----------- -----------
Distributions to Shareholders:
From net investment income ....................... (871,124) --
From net realized gain on investments ............ (1,324,109) --
----------- -----------
Decrease in net assets from distributions to
shareholders ................................... (2,195,233) --
----------- -----------
From Fund Share Transactions:
Proceeds from shares sold ........................ 4,634,832 26,237,824
Reinvestment of distributions .................... 2,195,233 --
Cost of shares redeemed .......................... (4,758,475) (9,731,898)
----------- -----------
Increase in net assets from fund share
transactions ................................... 2,071,590 16,505,926
----------- -----------
Change in net assets ............................. 2,675,270 19,650,536
----------- -----------
Net assets:
Beginning of period .............................. 19,650,536 --
=========== ===========
End of period .................................... $22,325,806 $19,650,536
=========== ===========
End of period net assets includes undistributed
net investment income .......................... $ 517,144 $ 729,717
=========== ===========
46 See Notes to Financial Statements.
<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 each of which has its own investment objectives,
policies and restrictions.
On January 4, 1995, Aetna Ascent, Aetna Crossroads, and Aetna Legacy (Funds)
became available for sale. Aetna Ascent seeks to provide capital appreciation.
Aetna Crossroads seeks to provide total return (i.e., income and capital
appreciation, both realized and unrealized). Aetna Legacy seeks to provide total
return consistent with preservation of capital. Shares of each Fund are
available to all investors including employers and employees who utilize the
Funds as investment options under retirement plans. The Funds are authorized to
offer two classes of shares, the Select Class and the Adviser Class. At October
31, 1996, these Funds only offered the Select Class. The Select Class is offered
principally to institutions and is not subject to sales charges or service fees.
Aetna Life Insurance and Annuity Company (ALIAC) serves as the Investment
Adviser and principal underwriter to each Fund. Aeltus Investment Management,
Inc. (Aeltus) is employed as a subadvisor to the Funds.
The accompanying financial statements of the Funds have been prepared in
accordance 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
Investments are stated at market values based upon closing sales prices as
reported on national securities exchanges or, for over-the-counter securities,
at the mean of the bid and asked prices. Short-term investments maturing in more
than sixty days for which market quotations are readily available are valued at
current market value. Short-term investments maturing in less than sixty days
are valued at amortized cost which when combined with accrued interest
approximates market value. Securities for which market quotations are not
considered to be readily available are valued in good faith using methods
approved by the Board of Directors.
The accounting records of the Funds are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in a foreign
currency are translated into U.S. dollars at the prevailing rates of exchange at
the end of the period. Purchases and sales of securities, income receipts, and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective dates of the transactions.
Aetna Generation Funds Annual Report 47
<PAGE>
1. Summary of Significant Accounting Policies (continued)
B. Futures and Forward Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument including an
index of stocks at a set price on a future date. The Funds 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 portfolio securities.
Upon entering into a futures contract, the Funds are required to deposit with a
broker an amount (initial margin) equal to a percentage of the purchase price
indicated by the futures contract. Subsequent deposits (variation margin) are
received or paid each day by the Funds equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by the Funds as
unrealized gains or losses. When a contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Generally,
futures contracts are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Funds may use forward foreign currency
exchange contracts to hedge certain foreign currency assets. Contracts are
recorded at market value and marked-to-market daily.
The risks associated with futures and foreign currency exchange contracts may
arise from an imperfect correlation between the change in market value of the
securities held by the Funds and the price of the contracts. Risks may also
arise from an illiquid secondary market, or from the inability of counterparties
to meet the terms of the contracts.
Realized and unrealized gains or losses on futures and foreign currency exchange
contracts are reflected in the accompanying financial statements. For federal
income tax purposes, any futures contracts and forward foreign currency exchange
contracts which remain open at year end are marked-to-market and the resultant
net gain or loss is included in federal taxable income.
C. Illiquid and Restricted Securities
Illiquid securities are
securities that are not readily marketable. Disposing of illiquid investments
may involve time-consuming negotiation and legal expenses, and it may be
difficult or impossible for the Funds to sell them promptly at an acceptable
price. Restricted securities are subject to legal or contractual restrictions on
resale and may not be publicly sold without registration under the Federal
Securities Act of 1933. Each Fund may invest up to 15% of its total assets in
illiquid securities. Illiquid and restricted securities are valued using market
quotations when readily available. In the absence of market quotations, the
securities are valued based upon their fair value
48
<PAGE>
1. Summary of Significant Accounting Policies (continued)
determined under procedures approved by the Board of Directors. The Funds will
not pay the costs of disposition of restricted securities other than ordinary
brokerage fees, if any.
D. Federal Income Taxes
As a qualified regulated investment company, each Fund is relieved of federal
income and excise taxes by distributing its net taxable investment income and
capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code.
E. 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.
F. Other
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are amortized over the life of the respective security. Dividend
income is recorded on the ex-dividend date. Realized gains and losses from
investment transactions are determined on an identified cost basis.
2. Investment Advisory, Management, Shareholder Service and Distribution Fees
Each Fund pays the Investment Adviser a monthly fee at an annual rate of 0.80%
of its average daily net assets. As each Fund's net assets exceed predetermined
thresholds, lower advisory fees are applied.
The Company has entered into an administrative services agreement under which
ALIAC acts as administrator and provides certain administrative and shareholder
services and is responsible for the supervision of other service providers for
each Fund. Each Fund pays ALIAC a monthly fee at an annual rate of 0.25% of its
average daily net assets. As each Fund's net assets exceed predetermined
thresholds, lower advisory fees apply.
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, payable by ALIAC, of up to .50% of each Funds'
average daily net assets.
Aetna Generation Funds Annual Report 49
<PAGE>
3. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the year ended October 31, 1996 were:
Cost of Proceeds
Purchases from Sales
-------------- --------------
Aetna Ascent $24,561,363 $22,497,816
Aetna Crossroads 18,364,488 19,342,558
Aetna Legacy 11,736,233 15,171,183
4. Forward Foreign Currency Exchange Contracts
At October 31, 1996, Aetna Ascent, Aetna Crossroads, and Aetna Legacy had the
following open forward foreign currency exchange contracts that obligate the
Funds to deliver currencies at specified future dates. The net unrealized gains
of $20,232, $13,438, and $10,525, respectively, on these contracts are included
in the accompanying financial statements. The terms of the open contracts are as
follows:
Aetna Ascent:
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1996 be Received October 31, 1996 Gain (Loss)
<S> <C> <C> <C> <C> <C>
Contracts to Sell
2/10/97 71,000 $ 57,004 59,664 $ 59,664 $ 2,660
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------
3/3/97 447,000 297,759 299,393 299,393 1,634
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------
2/13/97 1,076,300 211,951 212,789 212,789 838
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------
1/24/97 51,900,000 461,866 465,638 465,638 3,772
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
3/13/97 30,500,000 273,232 281,295 281,295 8,063
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
3/17/97 24,710,000 221,485 226,241 226,241 4,756
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
4/18/97 160,000 95,424 93,933 93,933 (1,491)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------
$20,232
==========
Aetna Crossroads:
Contracts to Buy
3/13/97 173,292 $173,292 19,150,000 $171,554 $(1,738)
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------------
50
<PAGE>
4. Forward Foreign Currency Exchange Contracts (continued)
Aetna Crossroads: (continued)
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1996 be Received October 31, 1996 Gain (Loss)
Contracts to Sell
2/10/97 48,000 $ 38,538 40,336 $ 40,336 $ 1,798
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------
3/3/97 360,000 239,807 240,939 240,939 1,132
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------
2/13/97 812,600 160,022 160,409 160,409 387
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------
1/24/97 47,140,000 419,506 422,932 422,932 3,426
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
3/13/97 26,920,000 241,161 247,636 247,636 6,475
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
3/17/97 16,470,000 147,627 150,797 150,797 3,170
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
4/18/97 130,000 77,532 76,320 76,320 (1,212)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------
$13,438
==========
Aetna Legacy:
Contracts to Sell
2/10/97 39,000 $ 31,312 32,773 $ 32,773 $ 1,461
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------
3/3/97 208,000 138,555 139,916 139,916 1,361
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------
2/13/97 557,600 109,805 110,000 110,000 195
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------
1/24/97 27,380,000 243,659 245,649 245,649 1,990
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
3/13/97 12,150,000 108,845 112,657 112,657 3,812
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
3/17/97 14,190,000 127,190 129,921 129,921 2,731
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------
4/18/97 110,000 65,604 64,579 64,579 (1,025)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------
$10,525
==========
</TABLE>
5. 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 dividends that were qualifying dividends
for the corporate dividends received deduction were:
Aetna Ascent 40%
Aetna Crossroads 32%
Aetna Legacy 22%
Aetna Generation Funds Annual Report 51
<PAGE>
6. Authorized Capital Shares and Capital Shares Transactions
Each Fund is authorized to issue 100 million shares. Share transactions for each
Fund were as follows:
Aetna Ascent
Year ended January 4 to
October 31, 1996 October 31, 1995
Shares sold 491,477 2,573,924
Shares issued upon reinvestment 219,147 --
Shares redeemed (412,682) (823,196)
----------- -----------
Net increase 297,942 1,750,728
=========== ===========
Aetna Crossroads
Year ended January 4 to
October 31, 1996 October 31, 1995
Shares sold 616,536 2,593,512
Shares issued upon reinvestment 207,057 --
Shares redeemed (703,606) (826,904)
----------- -----------
Net increase 119,987 1,766,608
=========== ===========
Aetna Legacy
Year ended January 4 to
October 31, 1996 October 31, 1995
Shares sold 414,022 2,612,101
Shares issued upon reinvestment 206,513 --
Shares redeemed (425,820) (889,244)
----------- -----------
Net increase 194,715 1,722,857
=========== ===========
As of October 31, 1996, ALIAC owned 1,540,407 shares of Aetna Ascent, 1,323,385
shares of Aetna Crossroads and 1,525,699 shares of Aetna Legacy.
7. Certain Reclassifications
In accordance with Statement of Position 93-2, Aetna Ascent, Aetna Crossroads
and Aetna Legacy have reclassified $12,409, $9,309 and $6,204, respectively,
from paid in capital to accumulated undistributed net investment income and
$159,696, $129,563 and $95,492, respectively, from accumulated net realized gain
(loss) on investments to accumulated undistributed net investment income. These
reclassifications have no impact on the net asset value of the Funds and are
designed to present the Fund's capital accounts on a tax basis.
52
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Aetna Generation Funds Aetna Ascent
- --------------------------------------------------------------------------------
Year ended Period from
October January 4, 1995
31, 1996 to October 31, 1995
------------ ------------
<S> <C> <C>
Net asset value, beginning of period ................... $11.67 $10.00
------- --------
Income from investment operations:
Net investment income ................................ 0.21 0.25
Net realized and change in unrealized gain or loss .. 2.04 1.42
------- --------
Total .............................................. 2.25 1.67
Less distributions:
From net investment income ........................... (0.38) --
From net realized gain ............................... (0.97) --
======= ========
Net asset value, end of period ......................... $12.57 $11.67
======= ========
Total return ........................................... 20.94% 16.70%
Net assets, end of period (000's) ...................... $25,752 $20,433
Ratio of total investment expenses to average net 1.73% 1.38%
assets* ..............................................
Ratio of net investment income to average net assets* .. 1.69% 2.80%
Portfolio turnover rate ................................ 104.84% 164.09%
Average commission rate paid per share ................. $0.0349 --
</TABLE>
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Generation Funds Annual Report 53
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Aetna Generation Funds Aetna Crossroads
- --------------------------------------------------------------------------------
Year ended Period from
October January 4, 1995
31, 1996 to October 31, 1995
------------ ------------
<S> <C> <C>
Net asset value, beginning of period ................... $11.53 $10.00
------- --------
Income from investment operations:
Net investment income ................................ 0.25 0.29
Net realized and change in unrealized gain or loss .. 1.64 1.24
------- --------
Total .............................................. 1.89 1.53
Less distributions:
From net investment income ........................... (0.44) --
From net realized gain ............................... (0.82) --
======= ========
Net asset value, end of period ......................... $12.16 $11.53
======= ========
Total return ........................................... 17.66% 15.30%
Net assets, end of period (000's) ...................... $22,947 $20,370
Ratio of total investment expenses to average net 1.74% 1.40%
assets* ..............................................
Ratio of net investment income to average net assets* .. 2.18% 3.26%
Portfolio turnover rate ................................ 107.40% 166.93%
Average commission rate paid per share ................. $0.0350 --
</TABLE>
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
54
<PAGE>
Financial Highlights
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Aetna Generation Funds Aetna Legacy
- --------------------------------------------------------------------------------
Year ended Period from
October January 4, 1995
31, 1996 to October 31, 1995
------------ ------------
<S> <C> <C>
Net asset value, beginning of period ................... $11.41 $10.00
------- --------
Income from investment operations:
Net investment income ................................ 0.29 0.33
Net realized and change in unrealized gain or loss ... 1.20 1.08
------- --------
Total .............................................. 1.49 1.41
Less distributions:
From net investment income ........................... (0.50) --
From net realized gain ............................... (0.76) --
======= ========
Net asset value, end of period ......................... $11.64 $11.41
======= ========
Total return ........................................... 14.11% 14.10%
Net assets, end of period (000's) ...................... $22,326 $19,651
Ratio of total investment expenses to average net 1.73% 1.42%
assets* ..............................................
Ratio of net investment income to average net assets* .. 2.62% 3.75%
Portfolio turnover rate ................................ 91.62% 179.88%
Average commission rate paid per share ................. $0.0289 --
</TABLE>
*Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
Aetna Generation Funds Annual Report 55
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders
Aetna Series Fund, Inc.
We have audited the accompanying statements of assets and liabilities of Aetna
Ascent Fund, Aetna Crossroads Fund and Aetna Legacy Fund, portfolios of Aetna
Series Fund, Inc., (collectively the Generation Funds or Funds) including the
portfolios of investments, as of October 31, 1996, the related statements of
operations for the year then ended and the statements of changes in net assets
and financial highlights for the year then ended and the period from January 4,
1995 (commencement of operations) to October 31, 1995. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 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
Generation Funds as of October 31, 1996, the results of their operations for the
year then ended, and the changes in their net assets and the financial
highlights for the periods specified in the first paragraph above in conformity
with generally accepted accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
December 6, 1996
56
<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 each of
the Funds, ALIAC and Aeltus and approve a new Investment Advisory Agreement
between each Fund and ALIAC. 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:
Morton Ehrlich Sidney Koch
Maria T. Fighetti Shaun P. Mathews
David L. Grove Corine T. Norgard
Timothy A. Holt Richard G. Scheide
Daniel P. Kearney
Every individual named served as a Director prior to this election and there are
no other individuals currently serving as Directors of the Company. Every
individual received affirmative votes from 100% of the votes present at the
meeting. Votes present at the meeting were 1,827,775, 1,763,361, 1,786,812 for
Ascent Fund, Crossroads Fund and Lgacy Fund, respectively.
B. Approval of Subadvisory Agreement
Shareholders of the Fund voted to approve a Subadvisory Agreement with Aeltus
Investment Management, Inc., an affiliate of ALIAC. (See Note 2 for a
description of the services provided and the compensation arrangement defined
by the terms of the agreement.)
Results of the vote were:
Votes
Present Cast For Cast Against Abstaining
-----------------------------------------------------------
Aetna Ascent 1,827,775 93.9% 6.1% 0.0%
Aetna Crossroads 1,763,361 92.0% 8.0% 0.0%
Aetna Legacy 1,786,812 100.0% 0.0% 0.0%
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
Present Cast For Cast Against Abstaining
-----------------------------------------------------------
Aetna Ascent 1,827,775 93.9% 6.1% 0.0%
Aetna Crossroads 1,763,361 92.0% 8.0% 0.0%
Aetna Legacy 1,786,812 100.0% 0.0% 0.0%
Aetna Generation Funds Annual Report 57
<PAGE>
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[back cover]
Aetna Series Fund, Inc.
151 Farmington Avenue
Hartford, CT 06156-8962
Aetna Ascent Fund
Aetna Crossroads Fund
Aetna Legacy Fund
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the corporation. The report is not
authorized for distribution to prospective investors in the corporation unless
preceded or accompanied by an effective prospectus.
ANN.AET.1-2 (10/96) [recycle logo] Printed on recycled paper using soybean ink
