TABLE OF CONTENTS
President's Letter.................................................... 1
INDEX PLUS FUNDS:
Investment Review..................................................... 3
Portfolios of Investments:
Aetna Index Plus Bond Fund.......................................... 12
Aetna Index Plus Large Cap Fund..................................... 13
Aetna Index Plus Mid Cap Fund....................................... 19
Aetna Index Plus Small Cap Fund..................................... 24
Statements of Assets and Liabilities.................................. 30
Statements of Operations.............................................. 32
Statements of Changes in Net Assets................................... 34
Notes to Financial Statements......................................... 38
Financial Highlights.................................................. 43
GENERATION FUNDS:
Investment Review..................................................... 51
Portfolios of Investments:
Aetna Ascent Fund................................................... 56
Aetna Crossroads Fund............................................... 63
Aetna Legacy Fund................................................... 71
Statements of Assets and Liabilities.................................. 78
Statements of Operations.............................................. 79
Statements of Changes in Net Assets................................... 80
Notes to Financial Statements......................................... 83
Financial Highlights.................................................. 91
<PAGE>
PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in the Aetna Series Fund, Inc. We are pleased to send
this semi-annual report on the funds you have chosen to help pursue your
investment goals.
It has been a good six months for the U.S. economy, delivering solid GDP growth
well in excess of most expectations. Meanwhile, inflation and interest rates
remained subdued and the U.S. dollar maintained a lofty valuation. The federal
deficit disappeared and the Federal Reserve maintained an unchanged monetary
policy. This favorable environment enabled the stock market to continue its
record-breaking climb despite a deceleration in reported corporate earnings.
The past six months have proven to be equally exciting for Aetna Series Fund
investors.
In February, we introduced seven new funds: AETNA MID CAP FUND, AETNA VALUE
OPPORTUNITY FUND, AETNA REAL ESTATE SECURITIES FUND, AETNA HIGH YIELD FUND,
AETNA INDEX PLUS BOND FUND, AETNA INDEX PLUS MID CAP FUND AND AETNA INDEX PLUS
SMALL CAP FUND. This further rounds out our family of funds to a total of
nineteen, providing you with a variety of options for diversifying your
portfolio.
The Aetna International Fund and the Aetna Small Company Fund significantly
outperformed their benchmarks, returning 21.64% and 15.92%, respectively, for
the six month period ending April 30, 1998.
Investors will now have increasingly greater access to the Aetna Series Fund.
Aetna acquired Financial Network Investment Corporation (FNIC) in July 1997.
FNIC is one of America's most respected financial planning firms, with 2,400
independent investment representatives ready to serve Aetna clients across the
country. We intend to continue building our distribution capabilities during
1998, reaching out to investors with our well-engineered products and services.
Aeltus' investment professionals have continued to command substantial media
recognition. Loyal followers of Louis Rukeyser's Wall $treet Week, aired on PBS,
have become better acquainted with John Kim, President and Chief Investment
Officer of Aeltus Investment Management, Inc., adviser to Aetna Series Fund,
through his regularly scheduled appearances on this program. And Jim Griffin,
Aeltus' Investment Strategist, was recently featured in Barron's where he
provided an overview of the U.S. markets as well as world economies.
With assets under management in excess of $47 billion, Aeltus has built the size
and strength that will allow us to continue refining existing products and
services, adding new ones, and growing our staff to better serve you.
Thank you for your continued confidence in the Aetna Series Fund and Aeltus
Investment Management.
Sincerely,
/s/ J. Scott Fox
J. Scott Fox
President
Aetna Series Fund, Inc.
1
<PAGE>
[START DESCRIPTION OF LINE CHART]
AETNA INDEX PLUS BOND FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
Inception+
- -------------------------------------
<S> <C>
Class I 0.75%
- -------------------------------------
Class A 0.67%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
02/98 04/98
<S> <C> <C>
Aetna Index Plus Bond Fund (Class I) $10,000 $10,075
Lehman Brothers Aggregate Bond Index $10,000 $10,089
</TABLE>
[END DESCRIPTION OF LINE CHART]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results.
+ Date of inception for both the Class I and Class A shares was February 4,
1998. Class I and Class A shares participate in the same portfolio of
securities.
AETNA INDEX PLUS BOND FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Index Plus Bond Fund (Index Plus Bond) Class I shares generated a
total return of 0.75%, net of fund expenses, between its inception on February
4, 1998 and April 30, 1998. During the three month period ended April 30, 1998,
the Lehman Brothers Aggregate Bond Index(a) returned 0.89%. Class A shares
returned 0.67% (performance does not reflect the deduction of the front end
sales charge) for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The Fund began on February 4, 1998. The strategy of the Fund incorporates a
neutral duration and yield curve position as well as an index weighting in
mortgage pass-throughs. The corporate bond portion of the Fund is overweight
compared to its index by approximately 25%.
Since inception, the fairly stable trading range for Treasuries, combined with
the strong first quarter earnings announcements and tame inflation resulted in
strong performance in the corporate sector.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST THREE MONTHS?
The Fund is overweight in the finance and Yankee* corporate sectors, which had
very good performance since the Fund's inception.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Two strong cross-currents are likely to keep interest rates in a trading range.
The first force - which will put downward pressure on rates - is the likelihood
of slower economic growth in the second quarter. Working against this favorable
force is the possibility that inflation will rise over the second half of the
year. Overall, inflation has benefited from a decline in commodity prices and an
appreciating U.S. dollar which have made imports inexpensive.
Continuation of this fine balance between positive and negative forces should
allow corporate bonds and mortgage pass-throughs to perform well. As overall
corporate earnings growth slows, however, corporate performance will become less
homogeneous. Thus, a continued emphasis on credit quality is warranted.
The current overweight in corporate bonds will be maintained and continued
vigilance with respect to the direction of credit quality and corporate spread
levels will be closely monitored.
* Yankee bonds are bonds issued by foreign corporations denominated in U.S.
dollars and sold in the United States.
See Definition of Indices. 3
<PAGE>
<TABLE>
<CAPTION>
QUALITY RATINGS
<S> <C>
AAA 55.8%
AA 1.8%
A 28.5%
BBB 13.9%
</TABLE>
<TABLE>
<CAPTION>
MATURITY DISTRIBUTION
<S> <C>
0-1 years 5.2%
1-5 years 30.4%
5-10 years 15.3%
10-20 years 16.8%
20+ years 32.3%
</TABLE>
4
<PAGE>
[START DESCRIPTION OF LINE CHART]
AETNA INDEX PLUS LARGE CAP FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
1 Year Inception+
- -------------------------------------
<S> <C> <C>
Class I 41.09% 35.48%
- -------------------------------------
Class A 40.33% 34.66%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
12/96 04/98
<S> <C> <C> <C> <C> <C>
Aetna Index Plus Large Cap Fund (Class I) $10,000 $10,932 $12,449 $13,561 $15,423
S&P 500 Index 10,000 10,795 12,429 13,820 15,733
</TABLE>
[END DESCRIPTION OF LINE CHART]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results.
+ Date of inception for the Class I (formerly Select Class) shares was December
10, 1996. The date of inception for the Class A (formerly Adviser Class) shares
was February 3, 1997. For periods prior to that date, Class A performance is
calculated by using the performance of Class I, adjusted for fees and expenses
charged to Class A. Class I and Class A shares participate in the same portfolio
of securities.
AETNA INDEX PLUS LARGE CAP FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Index Plus Large Cap Fund (Index Plus Large Cap, formerly Index Plus
Fund) Class I shares generated a total return of 22.48%, net of fund expenses,
for the six month period ended April 30, 1998. The Fund underperformed the
Standard & Poor's (S&P) 500 Index(b) which returned 22.50% for the same period.
Class I shares' performance over the one year period ending April 30, 1998,
placed it in the top 23% (out of 692 funds) among large blend funds tracked by
Morningstar, Inc. Class A shares returned 22.28% (performance does not reflect
the deduction of front end sales charge) for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The most significant factor influencing the Fund's performance over the last six
months was the dominance of the largest stocks included in the S&P 500. This
super-large stock effect was most prominent during the last two months of 1997
and the first two months of 1998, due to a "flight to quality" as a result of
the Asian crisis.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
The Fund benefited from overweight positions in technology and retail stocks,
which were two of the best performing sectors during the last six months.
Underweight positions in energy and raw materials stocks helped performance as
both sectors performed poorly relative to the index for the last six months.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The basic approach of the Fund is to own 400 to 450 of the stocks in the S&P
500, overweighting (relative to the weight of the stock in the index) those
stocks which are expected to outperform and underweighting those expected to
underperform. Stocks in the S&P 500 with very poor expected performance
(generally 10% to 15% of the S&P) are not owned at all. Other stocks, where
there is no strong expectation of either underperformance or outperformance, are
held at a weight in the fund equal to their weight in the S&P 500.
The Fund makes use of a quantitative model that ranks each stock in the S&P 500
on a variety of characteristics to determine the attractiveness of each issue.
Well ranked stocks are overweighted, poorly ranked stocks are underweighted (or
not owned at all) and indifferently ranked issues are market weighted.
The objective of the Fund is to outperform the S&P 500 while maintaining
portfolio characteristics that are substantially the same as the S&P 500. To
this end, sector weightings are constrained to avoid a large variance relative
to S&P 500 sector weightings.
See Definition of Indices. 5
<PAGE>
PORTFOLIO SECTOR BREAKDOWN:
<TABLE>
<CAPTION>
% OF % OF OVER/(UNDER)
SECTOR PORTFOLIO S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 2.8% 5.6% (2.8)%
Commercial Services 1.8% 2.5% (0.7)%
Consumer Discretionary 9.8% 14.0% (4.2)%
Consumer Non-Discretionary 9.1% 10.7% (1.6)%
Energy 5.2% 8.5% (3.3)%
Finance 22.8% 13.1% 9.7 %
Healthcare 11.1% 9.1% 2.0 %
Manufacturing 13.1% 11.1% 2.0 %
Technology 12.5% 12.2% 0.3 %
Utilities 11.8% 13.2% (1.4)%
</TABLE>
<TABLE>
<CAPTION>
TOP TEN EQUITY HOLDINGS % OF PORTFOLIO
<S> <C>
General Electric Co. 3.24%
Microsoft Corp. 2.67%
Coca-Cola Co. 2.11%
Lucent Technologies, Inc. 2.05%
Wal-Mart Stores, Inc. 1.79%
Merck & Co., Inc. 1.73%
AT&T Corp. 1.62%
Pfizer, Inc. 1.58%
Intel Corp. 1.56%
Royal Dutch Petroleum Co. 1.55%
</TABLE>
6
<PAGE>
[START DESCRIPTION OF LINE CHART]
AETNA INDEX PLUS MID CAP FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
Inception+
- -------------------------------------
<S> <C>
Class I 12.50%
- -------------------------------------
Class A 12.50%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
02/98 04/98
<S> <C> <C>
Aetna Index Plus Mid Cap Fund (Class I) $10,000 $11,250
S&P Mid Cap 400 Index 10,000 11,290
</TABLE>
[END DESCRIPTION OF LINE CHART]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results.
+ Date of inception for both the Class I and Class A shares was February 3,
1998. Class I and Class A shares participate in the same portfolio of
securities.
AETNA INDEX PLUS MID CAP FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Index Plus Mid Cap Fund (Index Plus Mid Cap) Class I and Class A
shares generated a total return of 12.50%, net of fund expenses (performance for
Class A does not reflect the deduction of the front end sales charge), between
its inception on February 3, 1998 and April 30, 1998. During the three month
period ended April 30, 1998, the Fund underperformed the Standard & Poor's (S&P)
Midcap 400 Index(c) which returned 12.90% during the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The most significant factor influencing the Fund's performance since inception
has been the outperformance of the stocks in the S&P Midcap 400 with the highest
price/earnings ratio. The Fund's performance was hurt by this effect because the
quantitative model used to rank the S&P Midcap 400 stocks favored the stocks
with the lowest price/earnings ratios and thus overweighted them in the
portfolio.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST THREE MONTHS?
The Fund benefited from overweight positions in finance and transportation
stocks, both of which have outperformed the index since the inception of the
Fund. The Fund also benefited from underweight positions in consumer
non-cyclical and electric utility stocks, both of which have performed poorly
relative to the index since February 1998. However, this positive performance
was more than offset by underweight positions in technology and retail stocks,
which were the two best performing sectors since the Fund's inception.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The basic approach of the Fund is to own 300 to 350 of the stocks in the S&P
Midcap 400, overweighting (relative to the weight of the stock in the index)
those stocks which are expected to outperform and underweighting those expected
to underperform. Stocks in the S&P Midcap 400 with very poor expected
performance (generally 10% to 15% of the S&P) are not owned at all. Other
stocks, where there is no strong expectation of either underperformance or
outperformance, are held at a weight in the Fund equal to their weight in the
S&P Midcap 400.
The Fund makes use of a quantitative model that ranks each stock in the S&P
Midcap 400 on a variety of characteristics to determine the attractiveness of
each issue. Well ranked stocks are overweighted, poorly ranked stocks are
underweighted (or not owned at all) and indifferently ranked issues are market
weighted.
See Definition of Indices. 7
<PAGE>
The objective of the Fund is to outperform the S&P Midcap 400 while maintaining
portfolio characteristics that are substantially the same as the S&P Midcap 400.
To this end, sector weightings are constrained to avoid a large variance
relative to S&P sector weightings.
PORTFOLIO SECTOR BREAKDOWN:
<TABLE>
<CAPTION>
% OF % OF OVER/(UNDER)
SECTOR PORTFOLIO S&P MIDCAP 400 WEIGHTING
<S> <C> <C> <C>
Basic Materials 6.6% 6.9% (0.3)%
Commercial Services 7.1% 6.5% 0.6 %
Consumer Discretionary 15.0% 15.1% (0.1)%
Consumer Non-Discretionary 3.9% 5.3% (1.4)%
Energy 6.4% 8.2% (1.8)%
Finance 19.3% 13.4% 5.9 %
Healthcare 7.2% 9.6% (2.4)%
Manufacturing 11.6% 9.9% 1.7 %
Technology 14.0% 12.0% 2.0 %
Utilities 8.9% 13.1% (4.2)%
</TABLE>
<TABLE>
<CAPTION>
TOP TEN EQUITY HOLDINGS % OF PORTFOLIO
<S> <C>
America Online, Inc. 3.13%
Franklin Resources, Inc. 2.28%
Compuware Corp. 1.68%
Cadence Design Systems, Inc. 1.42%
Coca-Cola Enterprises, Inc. 1.34%
Century Telephone Enterprises 1.29%
SouthTrust Corp. 1.16%
Staples, Inc. 1.14%
McKesson Corp. 1.09%
Bear Stearns Co., Inc. 1.08%
</TABLE>
8
<PAGE>
[START DESCRIPTION OF LINE CHART]
AETNA INDEX PLUS SMALL CAP FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
Inception+
- -------------------------------------
<S> <C>
Class I 11.90%
- -------------------------------------
Class A 11.80%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
02/98 04/98
<S> <C> <C>
Aetna Index Plus Small Cap Fund (Class I) $10,000 $11,190
S&P Small Cap 600 Index 10,000 11,249
</TABLE>
[END DESCRIPTION OF LINE CHART]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results.
+ Date of inception for both the Class I and Class A shares was February 3,
1998. Class I and Class A shares participate in the same portfolio of
securities.
AETNA INDEX PLUS SMALL CAP FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Index Plus Small Cap Fund (Index Plus Small Cap) Class I shares
generated a total return of 11.90%, net of fund expenses, between its inception
on February 3, 1998 and April 30, 1998. During the three month period ended
April 30, 1998, the Fund underperformed the Standard & Poor's (S&P) Smallcap 600
Index(d) which returned 12.49% for the same period. Class A shares returned
11.80% (performance does not reflect the deduction of the front end sales
charge) for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The most significant factor influencing the Fund's performance has been the
significant outperformance of the stocks in the S&P Smallcap 600 with the
highest price/earnings ratio for the months of February and March. The Fund's
performance was hurt by this effect because the quantitative model used to rank
the S&P Smallcap 600 stocks favored the stocks with the lowest price/earnings
ratios and thus overweighted them in the portfolio.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST THREE MONTHS?
The Fund benefited from overweight positions in finance and retail stocks, both
of which have outperformed the index since inception, along with an underweight
position in electric utility stocks, which performed poorly relative to the
index since the inception of the Fund. However, this positive performance was
more than offset by underweight positions in consumer non-cyclical and raw
material stocks, two of the best performing sectors since the Fund's inception.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The basic approach of the Fund is to own 500 to 550 of the stocks in the S&P
Smallcap 600, overweighting (relative to the weight of the stock in the index)
those stocks which are expected to outperform and underweighting those expected
to underperform. Stocks in the S&P Smallcap 600 with very poor expected
performance (generally 10% to 15% of the S&P) are not owned at all. Other
stocks, where there is no strong expectation of either underperformance or
outperformance, are held at a weight in the Fund equal to their weight in the
S&P Smallcap 600.
The Fund makes use of a quantitative model that ranks each stock in the S&P
Smallcap 600 on a variety of characteristics to determine the attractiveness of
each issue. Well ranked stocks are overweighted, poorly ranked stocks are
underweighted (or not owned at all) and indifferently ranked issues are market
weighted.
See Definition of Indices. 9
<PAGE>
PORTFOLIO SECTOR BREAKDOWN:
<TABLE>
<CAPTION>
% OF
% OF S&P SMALLCAP OVER/(UNDER)
SECTOR PORTFOLIO 600 WEIGHTING
<S> <C> <C> <C>
Basic Materials 3.8% 4.6% (0.8)%
Commercial Services 9.8% 7.7% 2.1 %
Consumer Discretionary 22.5% 24.6% (2.1)%
Consumer Non-Discretionary 1.5% 2.8% (1.3)%
Energy 5.2% 7.2% (2.0)%
Finance 19.2% 10.4% 8.8 %
Healthcare 7.3% 11.7% (4.4)%
Manufacturing 12.8% 11.4% 1.4 %
Technology 13.3% 14.0% (0.7)%
Utilities 4.6% 5.6% (1.0)%
</TABLE>
<TABLE>
<CAPTION>
TOP TEN EQUITY HOLDINGS % OF PORTFOLIO
<S> <C>
Sanmina Corp. 0.97%
Safeskin Corp. 0.94%
Fremont General Corp. 0.93%
Centura Banks, Inc. 0.86%
AMRESCO, Inc. 0.78%
Legg Mason, Inc. 0.78%
Platinum Technology, Inc. 0.76%
Raymond James Financial, Inc. 0.76%
CKE Restaurants, Inc. 0.74%
Orbital Sciences Corp. 0.74%
</TABLE>
10
<PAGE>
DEFINITION OF INDICES
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index of corporate,
government and mortgage bonds.
(b) The Standard & Poor's (S&P) 500 Index is a value-weighted, unmanaged index
of 500 widely held stocks that assumes the reinvestment of all dividends, and is
considered to be representative of the stock market in general.
(c) The Standard & Poor's (S&P) Midcap 400 Index is a value-weighted, unmanaged
index of 400 common stocks that assumes the reinvestment of all dividends and is
considered to be representative of the stock market in general.
(d) The Standard & Poor's (S&P) Smallcap 600 Index is a value-weighted,
unmanaged index of 600 common stocks that assumes the reinvestment of all
dividends and is considered to be representative of the stock market in general.
11
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS BOND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (93.9%)
U.S. TREASURIES (23.6%)
U.S. Treasury Bond, 6.13%, 08/15/07................... $525,000 $ 539,273
U.S. Treasury Bond, 6.38%, 01/15/00................... 400,000 405,061
U.S. Treasury Bond, 6.75%, 08/15/26................... 275,000 301,684
U.S. Treasury Bond, 7.25%, 05/15/16................... 690,000 784,228
U.S. Treasury Bond, 8.13%, 05/15/21................... 510,000 640,526
U.S. Treasury Note, 5.75%, 08/15/03................... 150,000 150,515
U.S. Treasury Note, 6.50%, 08/15/05................... 675,000 704,637
-------------
3,525,924
-------------
AGENCY MORTGAGE-BACKED SECURITIES (27.1%)
Federal Home Loan Mortgage Corp. - Convertible Loan,
9.50%, 05/01/20.................................... 152,178 162,783
Federal Home Loan Mortgage Corp. - Gold, 6.50%,
03/01/28........................................... 504,572 500,630
Federal Home Loan Mortgage Corp. - Gold, 7.00%,
03/01/28........................................... 695,305 704,649
Federal Home Loan Mortgage Corp. - Gold - Convertible
Intermediate, 6.00%, 09/01/12...................... 168,301 166,039
Federal Home Loan Mortgage Corp. - Gold - Convertible
Intermediate, 6.50%, 09/01/12...................... 292,133 293,868
Federal Home Loan Mortgage Corp. - Gold - Convertible
Intermediate, 7.00%, 11/01/12...................... 289,398 295,186
Federal National Mortgage Association, 7.50%, 01/01/28 573,369 588,958
Government National Mortgage Association, 7.00%,
09/15/25........................................... 49,454 50,103
Government National Mortgage Association, 7.00%,
09/15/25........................................... 102,655 104,003
Government National Mortgage Association, 7.00%,
09/15/25........................................... 58,505 59,273
Government National Mortgage Association, 7.00%,
08/15/25........................................... 154,670 156,700
Government National Mortgage Association, 7.50%,
08/15/27........................................... 494,436 508,345
Government National Mortgage Association, 9.50%,
08/15/22........................................... 437,359 473,578
-------------
4,064,115
-------------
ASSET-BACKED SECURITIES (1.7%)
First NBC Credit Card Master Trust 1997-1 A, 6.15%,
09/15/04........................................... 250,000 250,000
-------------
ELECTRIC AND TELEPHONE BONDS (3.6%)
Airtouch Communications, 7.13%, 07/15/01.............. 280,000 286,842
Puget Sound Energy, Inc., 7.02%, 12/01/27............. 250,000 254,369
-------------
541,211
-------------
FINANCIAL BONDS (16.3%)
Associates Corp. N.A., 6.875%, 11/15/08............... 200,000 206,624
Charles Schwab, 7.72%, 07/15/99....................... 500,000 507,835
Chase Manhatten Corp., 7.13%, 06/15/09................ 200,000 208,565
Ford Motor Credit Corp., 6.20%, 03/12/01.............. 250,000 250,738
General Motors Acceptance Corp., 7.00%, 08/15/01...... 250,000 256,204
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
FINANCIAL BONDS (CONTINUED)
Ikon Capital Resources, 6.31%, 12/10/01............... $250,000 $ 251,008
Lehman Brothers Holdings, 6.47%, 07/21/00............. 250,000 251,712
Merrill Lynch & Co., Inc., 6.50%, 04/01/01............ 250,000 253,115
Salomon Smith Barney Holdings, 6.63%, 11/15/03........ 250,000 253,265
-------------
2,439,066
-------------
FOREIGN BONDS (10.5%)
Celulosa Arauco Constitution, 7.50%, 09/15/17......... 50,000 47,958
Cia. Transporte Energia, 8.63%, 04/01/03++............. 250,000 250,000
Hanson Overseas B.V., 7.38%, 01/15/03................. 250,000 260,325
Norsk Hydro A/S, 7.75%, 06/15/23...................... 250,000 275,451
Nova Gas Transmission, 7.25%, 07/06/99................ 500,000 506,620
Santander Finance Issuances, 6.38%, 02/15/11.......... 230,000 224,069
-------------
1,564,423
-------------
OTHER PUBLIC CORPORATE BONDS (11.1%)
AMR Corp., 9.75%, 03/15/00............................ 250,000 265,380
Federal Express, 7.89%, 09/23/08...................... 250,000 264,131
Federated Department Stores, 8.13%, 10/15/02.......... 200,000 212,726
Lockheed Martin Corp., 7.25%, 05/15/06................ 210,000 221,408
Norfolk Southern Corp., 6.70%, 05/01/00............... 250,000 253,121
Royal Caribbean, 8.25%, 04/01/05...................... 140,000 150,107
Sears Roebuk Acceptance Corp., 6.37%, 11/21/01........ 300,000 301,800
-------------
1,668,673
-------------
TOTAL LONG-TERM BONDS AND NOTES (COST $14,133,566) 14,053,412
-------------
SHORT-TERM INVESTMENTS (5.2%)
Federal Home Loan Mortgage Corp., Comm. Paper, 5.45%,
05/01/98........................................... 772,000 772,000
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $772,000) 772,000
-------------
TOTAL INVESTMENTS (COST $14,905,566)(a) 14,825,412
OTHER ASSETS LESS LIABILITIES 145,225
-------------
TOTAL NET ASSETS $14,970,637
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at April 30, 1998, are
as follows:
Unrealized gains .................................. $ 2,125
Unrealized losses ................................. (82,279)
-------------
Net unrealized loss ............................ $ (80,154)
=============
</TABLE>
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
Category percentages are based on net assets.
12 See Notes to Financial Statements.
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (93.8%)
AIR TRANSPORT (0.7%)
AMR Corp.+.......................................... 400 $ 60,950
Delta Air Lines, Inc................................ 300 34,875
Southwest Airlines Co............................... 850 23,322
US Airways Group, Inc.+............................. 400 28,450
-------------
147,597
-------------
ALUMINUM (0.2%)
Alcan Aluminum Ltd.................................. 300 9,750
Aluminum Co. of America............................. 400 31,000
Reynolds Metals Co.................................. 100 6,600
-------------
47,350
-------------
AUTO PARTS AND HARDWARE (0.3%)
Black & Decker Corp................................. 100 5,163
Briggs & Stratton Corp.............................. 100 4,525
Genuine Parts Co.................................... 300 10,800
Goodyear Tire & Rubber Co. (The).................... 300 21,000
Snap-On, Inc........................................ 200 8,463
Stanley Works....................................... 200 10,238
-------------
60,189
-------------
AUTOMOTIVE (2.8%)
Chrysler Corp....................................... 2,800 112,525
Dana Corp........................................... 400 23,650
Eaton Corp.......................................... 300 27,713
Ford Motor Co....................................... 5,300 242,805
General Motors Corp................................. 2,900 195,387
Johnson Controls, Inc............................... 200 11,875
TRW, Inc............................................ 200 10,563
-------------
624,518
-------------
BANKS AND THRIFTS (9.9%)
Ahmanson (H. F.) & Co............................... 400 30,500
Banc One Corp....................................... 1,710 100,569
Bank of New York Co., Inc........................... 900 53,156
BankAmerica Corp.................................... 2,400 203,999
BankBoston Corp..................................... 300 32,381
Bankers Trust New York Corp......................... 300 38,738
BB&T Corp........................................... 400 26,900
Chase Manhattan Corp................................ 1,100 152,418
Citicorp............................................ 1,200 180,599
Comerica, Inc....................................... 600 40,163
Fifth Third Bancorp................................. 775 42,625
First Chicago NBD Corp.............................. 1,000 92,875
First Union Corp.................................... 2,348 141,760
Fleet Financial Group, Inc.......................... 800 69,100
Golden West Financial Corp.......................... 200 21,063
Huntington Bancshares............................... 600 21,338
J.P. Morgan & Co.................................... 500 65,625
KeyCorp............................................. 1,000 39,688
Mellon Bank Corp.................................... 900 64,800
Mercantile Bancorporation, Inc...................... 300 16,613
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BANKS AND THRIFTS (CONTINUED)
National City Corp.................................. 900 $ 62,325
NationsBank Corp.................................... 2,400 181,799
Northern Trust Corp................................. 400 29,200
Norwest Corp........................................ 1,800 71,438
PNC Bank Corp....................................... 800 48,350
Republic New York Corp.............................. 200 26,750
State Street Corp................................... 600 42,900
Summit Bancorporation............................... 300 15,038
Suntrust Banks, Inc................................. 900 73,294
Synovus Financial Corp.............................. 300 10,556
U.S. Bancorp........................................ 626 79,502
Wachovia Corp....................................... 500 42,469
Washington Mutual, Inc.............................. 560 39,235
Wells Fargo & Co.................................... 100 36,850
-------------
2,194,616
-------------
BIOTECH AND MEDICAL PRODUCTS (0.8%)
Alza Corp.+......................................... 200 9,588
Amgen, Inc.+........................................ 300 17,888
Becton, Dickinson & Co.............................. 200 13,925
Biomet, Inc.+....................................... 100 3,000
Boston Scientific Corp.+............................ 200 14,463
Guidant Corp........................................ 600 40,125
Mallinckrodt, Inc................................... 100 3,225
Medtronic, Inc...................................... 1,300 68,413
-------------
170,627
-------------
CHEMICALS (1.3%)
Dow Chemical Co..................................... 500 48,344
Du Pont (E.I.) de Nemours........................... 2,800 203,874
Eastman Chemical Co................................. 200 13,750
Hercules, Inc....................................... 100 4,781
Rohm & Haas Co...................................... 100 10,781
-------------
281,530
-------------
COMMERCIAL SERVICES (0.3%)
Cognizant Corp...................................... 300 15,431
Deluxe Corp......................................... 100 3,350
Interpublic Group of Co., Inc....................... 300 19,163
Omnicom Group, Inc.................................. 400 18,950
RR Donnelley & Sons Co.............................. 300 13,219
Safety-Kleen Corp................................... 100 2,925
-------------
73,038
-------------
COMPUTERS (4.0%)
3Com Corp.+......................................... 400 13,700
Apple Computer, Inc.+............................... 500 13,688
Compaq Computer Corp................................ 3,614 101,418
Data General Corp.+................................. 100 1,525
Dell Computer Corp.+................................ 2,800 226,099
Digital Equipment Corp.+............................ 300 16,688
Hewlett Packard Co.................................. 2,500 188,280
International Business Machines, Inc................ 2,100 243,337
Sun Microsystems, Inc.+............................. 1,400 57,663
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMPUTERS (CONTINUED)
Unisys Corp.+....................................... 600 $ 13,463
-------------
875,861
-------------
CONGLOMERATE AND AEROSPACE (4.9%)
Computer Sciences Corp.+............................ 400 21,100
Crane Co............................................ 150 8,072
General Dynamics Corp............................... 400 16,900
General Electric Co................................. 8,500 723,562
Goodrich (B.F.) Co.................................. 100 5,381
Lockheed Martin Corp................................ 600 66,825
Loews Corp.......................................... 500 50,031
National Service Industries, Inc.................... 100 5,413
Northrop Grumman Corp............................... 300 31,706
Raytheon Co......................................... 500 28,344
Tenneco, Inc........................................ 500 21,531
Textron, Inc........................................ 400 31,300
United Technologies Corp............................ 700 68,906
-------------
1,079,071
-------------
CONSUMER FINANCE (2.9%)
Associates First Capital Corp....................... 1,253 93,675
Beneficial Corp..................................... 100 13,038
Countrywide Credit Industries, Inc.................. 500 24,188
Federal Home Loan Mortgage Corp..................... 2,500 115,780
Federal National Mortgage Association............... 4,800 287,399
Green Tree Financial Corp........................... 400 16,300
Household International, Inc........................ 300 39,431
MBNA Corp........................................... 1,500 50,813
-------------
640,624
-------------
CONSUMER PRODUCTS (2.4%)
Alberto-Culver Co................................... 200 5,875
American Greetings Corp............................. 100 4,625
Avon Products, Inc.................................. 300 24,656
Bestfoods........................................... 600 32,925
Clorox Co........................................... 200 16,775
Colgate-Palmolive Co................................ 700 62,781
Eastman Kodak Co.................................... 300 21,656
Gillette Co......................................... 600 69,263
International Flavors & Fragrances, Inc............. 200 9,788
Procter & Gamble Co................................. 3,400 279,437
Tricon Global Restaurants, Inc.+.................... 140 4,445
-------------
532,226
-------------
CONSUMER SERVICES (0.5%)
Cendant Corp.+...................................... 2,000 50,000
H & R Block, Inc.................................... 300 13,500
Hilton Hotels Corp.................................. 500 15,969
Mirage Resorts, Inc................................. 400 8,825
Service Corp. International......................... 400 16,500
Wendy's International, Inc.......................... 200 4,813
-------------
109,607
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
CONSUMER SPECIALTIES (0.2%)
Brunswick Corp...................................... 200 $ 6,500
Hasbro, Inc......................................... 300 11,044
Mattel, Inc......................................... 600 22,988
-------------
40,532
-------------
DATA AND IMAGING SERVICES (5.6%)
Automatic Data Processing, Inc...................... 700 46,856
Bay Networks, Inc.+................................. 400 9,375
Cisco Systems, Inc.+................................ 2,600 190,449
Computer Associates International, Inc.............. 2,500 146,405
EMC/MASS Corp.+..................................... 1,900 87,638
First Data Corp..................................... 800 27,100
Microsoft Corp.+.................................... 6,600 594,824
Oracle Corp.+....................................... 4,200 108,675
Parametric Technology Co.+.......................... 400 12,788
Polaroid Corp....................................... 100 4,400
-------------
1,228,510
-------------
DISCRETIONARY RETAIL (4.9%)
AutoZone, Inc.+..................................... 300 9,056
Consolidated Stores Corp.+.......................... 300 12,000
Costco Companies, Inc.+............................. 800 44,700
Dayton Hudson Corp.................................. 800 69,850
Dillards, Inc....................................... 300 10,988
Federated Department Stores, Inc.+.................. 400 19,675
Gap, Inc............................................ 1,650 84,872
Home Depot, Inc..................................... 1,800 125,324
J.C. Penney Co., Inc................................ 600 42,638
Kmart Corp.+........................................ 1,400 24,413
Lowe's Companies, Inc............................... 500 34,969
May Department Stores Co............................ 800 49,350
Nordstrom, Inc...................................... 200 13,088
Sears, Roebuck & Co................................. 900 53,381
Tandy Corp.......................................... 300 14,925
The Limited, Inc.................................... 800 26,850
TJX Companies, Inc.................................. 400 17,700
Toys "R" Us, Inc.+.................................. 700 19,294
Wal-Mart Stores, Inc................................ 7,900 399,443
Woolworth Corp.+.................................... 200 4,600
-------------
1,077,116
-------------
DIVERSIFIED FINANCIAL SERVICES (3.5%)
American Express Co................................. 1,700 173,399
American General Corp............................... 610 40,641
Morgan Stanley, Dean Witter, Discover & Co.......... 2,800 220,849
Transamerica Corp................................... 100 11,550
Travelers Group, Inc................................ 5,239 320,560
-------------
766,999
-------------
DRUGS (8.9%)
Abbott Laboratories................................. 1,900 138,937
American Home Products Corp......................... 1,600 148,999
Baxter International, Inc........................... 500 27,719
Bristol-Myers Squibb Co............................. 2,700 285,862
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DRUGS (CONTINUED)
Eli Lilly & Co...................................... 2,800 $ 194,774
Johnson & Johnson................................... 1,400 99,925
Merck & Co., Inc.................................... 3,200 385,599
Pfizer, Inc......................................... 3,100 352,818
Schering Plough..................................... 2,600 208,324
Warner Lambert Co................................... 700 132,430
-------------
1,975,387
-------------
ELECTRIC UTILITIES (1.4%)
Ameren Corp......................................... 100 3,963
American Electric Power Co.+........................ 300 14,325
Baltimore Gas & Electric Co......................... 200 6,300
Carolina Power & Light Co........................... 200 8,613
Central & South West Corp........................... 200 5,213
Cinergy Corp........................................ 200 6,975
Consolidated Edison................................. 500 22,625
Dominion Resources, Inc............................. 500 19,781
DTE Energy Co....................................... 600 23,513
Edison International................................ 600 17,888
Entergy Corp........................................ 400 9,950
FirstEnergy Corp.................................... 500 15,125
GPU, Inc............................................ 200 7,925
Houston Industries, Inc............................. 348 10,114
Northern States Power Co............................ 100 5,638
PacifiCorp.......................................... 500 11,625
Peco Energy Co.+.................................... 300 7,144
PG&E Corp........................................... 900 29,138
PP&L Resources, Inc................................. 200 4,613
Public Service Enterprise Group, Inc................ 400 13,425
Southern Co......................................... 1,500 39,750
Texas Utilities Co.................................. 422 16,880
Unicom Corp......................................... 500 17,375
-------------
317,898
-------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.7%)
Harris Corp......................................... 200 9,675
Perkin-Elmer Corp................................... 100 6,838
Pitney Bowes, Inc................................... 900 43,200
Tektronix, Inc...................................... 150 6,450
Xerox Corp.......................................... 800 90,800
-------------
156,963
-------------
ELECTRONIC MEDIA (1.1%)
CBS Corp............................................ 1,700 60,563
Clear Channel Communications, Inc.+................. 200 18,850
Comcast Corp........................................ 800 28,650
King World Production, Inc.+........................ 200 5,338
Tele-Communications, Inc.+.......................... 1,100 35,475
U.S. West Media Group............................... 600 22,650
Walt Disney Co. (The)............................... 600 74,588
-------------
246,114
-------------
FOOD AND BEVERAGE (5.2%)
Anheuser-Busch Co., Inc............................. 1,000 45,813
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
FOOD AND BEVERAGE (CONTINUED)
Archer-Daniels-Midland Co........................... 1,100 $ 23,650
Brown-Forman Corp................................... 100 5,663
Campbell Soup Co.................................... 500 25,656
Coca-Cola Co........................................ 6,200 470,424
Conagra, Inc........................................ 1,100 32,106
Coors (Adolph) Co................................... 100 3,575
Fortune Brands, Inc................................. 300 11,063
General Mills, Inc.................................. 300 20,269
Heinz (H.J.) Co..................................... 800 43,600
Hershey Foods Corp.................................. 200 14,650
Kellogg Co.......................................... 1,000 41,250
PepsiCo, Inc........................................ 3,600 142,874
Pioneer Hi-Bred International, Inc.................. 600 22,650
Quaker Oats Co...................................... 200 10,400
Ralston-Ralston Purina Group........................ 200 21,200
Sara Lee Corp....................................... 1,200 71,475
Unilever NV......................................... 1,600 119,399
Wrigley (Wm.) Jr. Co................................ 200 17,800
-------------
1,143,517
-------------
FOOD AND DRUG RETAIL (0.9%)
Albertson's, Inc.................................... 600 30,000
American Stores Co.................................. 600 14,400
CVS Corp............................................ 400 29,500
Kroger Co. (The)+................................... 500 20,938
Longs Drug Stores, Inc.............................. 100 2,894
Rite Aid Corp....................................... 600 19,275
SUPERVALU, INC...................................... 100 4,369
Sysco Corp.......................................... 600 14,288
Walgreen Co......................................... 1,300 44,850
Winn-Dixie Stores, Inc.............................. 300 11,288
-------------
191,802
-------------
FOREST PRODUCTS AND BUILDING MATERIALS (0.7%)
Armstrong World Industries, Inc..................... 100 8,575
Bemis Co., Inc...................................... 100 4,450
Champion International Corp......................... 200 10,763
Fort James Corp..................................... 600 29,775
International Paper Co.............................. 300 15,656
Masco Corp.......................................... 400 23,200
Owens Corning....................................... 100 4,156
Owens-Illinois, Inc.+............................... 400 15,825
Sealed Air Corp.+................................... 54 3,354
Union Camp Corp..................................... 200 12,075
Weyerhaeuser Co..................................... 400 23,050
Willamette Industries, Inc.......................... 300 11,644
-------------
162,523
-------------
GAS UTILITIES (0.5%)
Coastal Corp. (The)................................. 400 28,575
Columbia Gas System, Inc............................ 100 8,125
Consolidated Natural Gas Co......................... 200 11,500
Eastern Enterprises................................. 100 4,238
</TABLE>
15
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
GAS UTILITIES (CONTINUED)
Enron Corp.......................................... 300 $ 14,756
NICOR, Inc.......................................... 100 4,094
ONEOK, Inc.......................................... 100 4,050
Pacific Enterprises................................. 100 3,894
People's Energy Corp................................ 100 3,625
Williams Co., Inc. (The)............................ 600 18,975
-------------
101,832
-------------
HEALTH SERVICES (0.7%)
Cardinal Health, Inc................................ 200 19,250
HBO & Co............................................ 800 47,850
HEALTHSOUTH Corp.+.................................. 600 18,113
Humana, Inc.+....................................... 400 10,800
Manor Care, Inc..................................... 100 3,506
Tenet Healthcare Corp.+............................. 600 22,463
United Healthcare Corp.............................. 400 28,100
-------------
150,082
-------------
HEAVY MACHINERY (0.9%)
Case Corp........................................... 300 19,069
Caterpillar, Inc.................................... 1,600 91,100
Cummins Engine Company, Inc......................... 100 5,438
Deere & Co.......................................... 1,100 64,281
Navistar International Corp......................... 200 5,975
PACCAR, Inc......................................... 200 11,875
-------------
197,738
-------------
HOUSING AND FURNISHINGS (0.3%)
Centex Corp......................................... 200 6,950
Fleetwood Enterprises, Inc.......................... 100 4,619
Kaufman & Broad Home Corp........................... 100 2,906
Maytag Corp......................................... 400 20,600
Newell Co........................................... 400 19,325
Pulte Corp.......................................... 100 5,119
Whirlpool Corp...................................... 100 7,200
-------------
66,719
-------------
INDUSTRIAL SERVICES (0.1%)
Browning-Ferris Industries, Inc..................... 200 6,825
Fluor Corp.......................................... 100 4,725
Foster Wheeler Corp................................. 100 2,769
Laidlaw, Inc........................................ 500 6,969
Waste Management, Inc............................... 400 13,400
-------------
34,688
-------------
INSURANCE (4.4%)
Allstate Corp. (The)................................ 1,800 173,249
American International Group, Inc................... 2,450 322,327
Aon Corp............................................ 350 22,575
Chubb Corp.......................................... 500 39,469
CIGNA Corp.......................................... 200 41,388
Cincinnati Financial Corp........................... 100 12,738
Conseco, Inc........................................ 600 29,775
General Re Corp..................................... 200 44,713
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
INSURANCE (CONTINUED)
Hartford Financial Services Group, Inc.............. 300 $ 33,225
Jefferson-Pilot Corp................................ 150 8,803
Lincoln National Corp............................... 200 17,763
Marsh & McLennan Co., Inc........................... 600 54,675
MBIA, Inc........................................... 400 29,850
MGIC Investment Corp................................ 400 25,200
Progressive Corp.................................... 200 27,088
Safeco Corp......................................... 200 9,988
St. Paul Co., Inc................................... 256 21,732
SunAmerica, Inc..................................... 650 32,459
Torchmark Corp...................................... 400 17,825
UNUM Corp........................................... 200 10,750
-------------
975,592
-------------
INVESTMENT SERVICES (0.8%)
Charles Schwab Corp................................. 450 15,750
Lehman Brothers Holdings, Inc....................... 500 35,531
Merrill Lynch & Co., Inc............................ 1,200 105,300
Providian Financial Corp............................ 200 12,038
-------------
168,619
-------------
LEISURE TIME & SERVICES (0.0%)
Marriott International, Inc......................... 200 6,600
-------------
MAJOR TELECOMMUNICATIONS (6.2%)
Alltel Corp......................................... 300 12,825
Ameritech Corp...................................... 2,900 123,430
AT&T Corp........................................... 6,000 360,374
Bell Atlantic Corp.................................. 2,100 196,480
BellSouth Corp...................................... 2,500 160,468
GTE Corp............................................ 2,400 140,249
SBC Communications, Inc............................. 4,724 195,750
U.S. West Communications Group...................... 1,300 68,575
WorldCom, Inc.+..................................... 2,600 111,231
-------------
1,369,382
-------------
OIL (3.6%)
Ashland Oil, Inc.................................... 100 5,288
Atlantic Richfield Co............................... 300 23,400
Burlington Resources, Inc........................... 100 4,700
Chevron Corp........................................ 600 49,613
Exxon Corp.......................................... 2,700 196,930
Kerr-McGee Corp..................................... 100 6,600
Mobil Corp.......................................... 900 71,100
Pennzoil Co......................................... 100 6,406
Phillips Petroleum Co............................... 500 24,781
Royal Dutch Petroleum Co.+.......................... 6,100 345,030
Sun Company, Inc.+.................................. 200 8,088
Texaco, Inc......................................... 430 26,445
USX-Marathon Group.................................. 600 21,488
-------------
789,869
-------------
OIL SERVICES (0.9%)
Baker Hughes, Inc................................... 300 12,150
Halliburton Co...................................... 1,000 55,000
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
OIL SERVICES (CONTINUED)
Helmerich & Payne, Inc.............................. 200 $ 6,100
McDermott International, Inc........................ 200 8,275
Rowan Co., Inc.+.................................... 200 5,888
Schlumberger Ltd.................................... 1,300 107,738
Western Atlas, Inc.+................................ 100 7,900
-------------
203,051
-------------
OTHER TELECOMMUNICATIONS (3.1%)
AirTouch Communications, Inc.+...................... 1,400 74,375
DSC Communications Corp.+........................... 400 7,200
Frontier Corp....................................... 400 11,975
General Instrument Corp.+........................... 300 6,731
Lucent Technologies, Inc............................ 6,000 456,749
Northern Telecom Ltd................................ 1,300 79,138
Scientific Atlanta, Inc............................. 100 2,388
Tellabs, Inc.+...................................... 800 56,700
-------------
695,256
-------------
PRINT MEDIA (0.8%)
Dow Jones & Co., Inc................................ 200 9,738
Dun & Bradstreet Corp............................... 200 7,100
Equifax, Inc........................................ 300 11,606
Gannett Co., Inc.................................... 1,000 67,938
Harcourt General, Inc............................... 100 5,219
Knight-Ridder, Inc.................................. 200 11,663
McGraw-Hill Co., Inc................................ 200 15,488
Meredith Corp....................................... 200 8,600
New York Times Co................................... 200 14,188
Times Mirror Co..................................... 200 12,238
Tribune Co.......................................... 200 13,200
-------------
176,978
-------------
PRODUCER GOODS (3.1%)
Aeroquip-Vickers, Inc.+............................. 100 6,356
Allegheny Teledyne, Inc............................. 200 5,075
Allied Signal, Inc.................................. 1,500 65,719
Avery Dennison Corp................................. 400 20,950
Cincinnati Milacron, Inc............................ 100 3,106
Cooper Industries, Inc.............................. 400 26,750
Corning, Inc........................................ 400 16,000
Dover Corp.......................................... 400 15,800
Dresser Industries, Inc............................. 600 31,725
Ecolab, Inc......................................... 200 6,338
Emerson Electric Co................................. 1,200 76,350
FMC Corp.+.......................................... 100 7,756
General Signal Corp................................. 100 4,400
Grainger (W. W.), Inc............................... 100 10,894
Harnischfeger Industries, Inc....................... 100 2,825
Honeywell, Inc...................................... 300 27,938
Illinois Tool Works, Inc............................ 600 42,300
Ingersoll-Rand Co................................... 500 23,031
ITT Industries, Inc................................. 200 7,288
Minnesota Mining and Manufacturing Co............... 1,000 94,375
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
PRODUCER GOODS (CONTINUED)
Parker-Hannifin Corp................................ 350 $ 15,619
PPG Industries, Inc................................. 300 21,206
Raychem Corp........................................ 200 8,038
Sherwin-Williams Co................................. 200 7,125
Thermo Electron Corp.+.............................. 200 7,963
Thomas & Betts Corp................................. 100 5,838
Timken Co........................................... 200 7,988
Tyco International Ltd.............................. 2,000 109,000
-------------
677,753
-------------
SEMICONDUCTORS AND ELECTRONICS (2.2%)
AMP, Inc............................................ 400 15,725
Applied Materials, Inc.+............................ 700 25,288
Intel Corp.......................................... 4,300 347,493
KLA Instruments Corp.+.............................. 300 12,094
National Semiconductor Corp.+....................... 200 4,400
Texas Instruments, Inc.............................. 900 57,656
Viacom, Inc.+....................................... 300 17,400
-------------
480,056
-------------
SPECIALTY CHEMICALS (0.2%)
Air Products and Chemicals, Inc..................... 200 17,388
Engelhard Corp...................................... 100 2,113
Grace (W.R.) & Co................................... 100 2,031
Morton International, Inc........................... 200 6,400
Praxair, Inc........................................ 400 20,125
Sigma-Aldrich Corp.................................. 200 7,975
-------------
56,032
-------------
STEEL (0.1%)
Armco, Inc.+........................................ 200 1,375
Inland Steel Industries, Inc........................ 200 5,863
Nucor Corp.......................................... 100 5,994
USX-US Steel Group, Inc............................. 200 7,825
-------------
21,057
-------------
SURFACE TRANSPORT (0.5%)
Burlington Northern Santa Fe Corp................... 400 39,600
CSX Corp............................................ 400 21,000
FDX Corp. Holding Co.+.............................. 280 19,040
Norfolk Southern Corp............................... 900 30,094
-------------
109,734
-------------
TEXTILES AND APPAREL (0.2%)
Fruit of the Loom, Inc.+............................ 200 7,475
Liz Claiborne, Inc.................................. 200 9,838
Reebok International Ltd.+.......................... 100 2,938
VF Corp............................................. 400 20,800
-------------
41,051
-------------
TOBACCO (1.1%)
Philip Morris Co., Inc.............................. 6,300 235,068
UST, Inc............................................ 300 8,269
-------------
243,337
-------------
TOTAL COMMON STOCKS (COST $17,752,190) 20,709,641
-------------
</TABLE>
17
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
PREFERRED STOCKS (0.3%)
CHEMICALS (0.0%)
Union Carbide Corp.................................. 200 $ 9,700
-------------
ELECTRIC UTILITIES (0.3%)
Duke Energy Corp.................................... 813 47,052
FPL Group, Inc...................................... 300 18,619
-------------
65,671
-------------
TOTAL PREFERRED STOCKS (COST $62,015) 75,371
-------------
PRINCIPAL
AMOUNT
-----------
SHORT-TERM INVESTMENTS (6.9%)
Federal Home Loan Mortgage Corp., Comm. Paper,
5.45%, 05/01/98.................................. $ 1,415,000 1,415,000
U.S. Treasury, Comm. Paper, 5.05%, 08/20/98@........ 100,000 98,482
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $1,513,443) 1,513,482
-------------
TOTAL INVESTMENTS (COST $19,327,648)(A) 22,298,494
OTHER ASSETS LESS LIABILITIES (208,746)
-------------
TOTAL NET ASSETS $ 22,089,748
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$19,548,904. Unrealized gains and losses, based on identified tax cost at April
30, 1998, are as follows:
Unrealized gains .................................. $ 2,963,517
Unrealized losses ................................. (213,927)
-------------
Net unrealized gain ............................ $ 2,749,590
=============
</TABLE>
Information concerning open futures contracts at April 30, 1998 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
LONG CONTRACTS
S & P 500 Index Futures 1 $ 274,939 June 98 $ 4,852
============= ==============
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1998.
Category percentages are based on net assets.
18 See Notes to Financial Statements.
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (99.4%)
AIR TRANSPORT (0.8%)
Airborne Freight Corp...................................... 600 $ 23,775
Alaska Air Group, Inc.+.................................... 200 11,225
ASA Holdings, Inc.......................................... 200 7,600
CNF Transportation, Inc.................................... 600 23,175
------------
65,775
------------
AUTO PARTS AND HARDWARE (0.2%)
Bandag, Inc................................................ 100 5,569
Carlisle Co., Inc.......................................... 300 15,225
------------
20,794
------------
AUTOMOTIVE (2.3%)
Arvin Industries, Inc...................................... 500 20,469
Borg Warner Automotive, Inc................................ 300 18,656
Federal-Mogul Corp......................................... 400 25,875
Harley-Davidson, Inc....................................... 2,300 82,799
Meritor Automotive, Inc.................................... 1,000 25,813
Modine Manufacturing Co.................................... 300 11,156
Superior Industries International, Inc..................... 300 9,638
------------
194,406
------------
BANKS AND THRIFTS (8.5%)
Associated Banc-Corp.+..................................... 400 21,000
Charter One Financial, Inc................................. 400 27,075
City National Corp......................................... 400 14,875
Crestar Financial Corp..................................... 800 47,850
Dime Bancorp, Inc.......................................... 1,700 52,169
First Security Corp........................................ 1,200 29,400
First Tennessee National Corp.............................. 800 27,550
First Virginia Banks, Inc.................................. 500 27,938
Firststar Corp............................................. 1,000 37,313
Hibernia Corp.............................................. 1,300 26,569
Marshall & Ilsley Corp..................................... 700 40,950
Mercantile Bankshares Corp................................. 500 19,188
North Fork Bancorp, Inc.................................... 1,400 51,975
Old Kent Financial Corp.................................... 700 27,213
Pacific Century Financial Corp............................. 800 19,750
Regions Financial Corp..................................... 1,000 43,625
Southtrust Corp............................................ 2,300 98,180
TCF Financial Corp......................................... 900 29,306
Union Planters Corp........................................ 600 36,900
Wilmington Trust Corp...................................... 300 19,388
Zion Bancorporation........................................ 500 25,563
------------
723,777
------------
BIOTECH AND MEDICAL PRODUCTS (2.7%)
ATL Ultrasound, Inc.+...................................... 200 9,675
DENTSPLY International, Inc................................ 500 16,438
Genzyme Corp.+............................................. 600 18,563
Hillenbrand Industries, Inc................................ 500 31,188
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Mylan Laboratories, Inc.................................... 1,200 $ 32,550
Stryker Corp............................................... 700 31,500
Sybron International Corp.+................................ 1,000 26,500
Watson Pharmaceuticals, Inc.+.............................. 1,400 60,199
------------
226,613
------------
CHEMICALS (0.3%)
Cytec Industries+.......................................... 400 21,900
------------
COMMERCIAL SERVICES (3.3%)
ACNielsen Corp.+........................................... 400 11,200
Banta Corp................................................. 300 9,600
Cintas Corp................................................ 800 38,100
Corrections Corp. of America+.............................. 800 22,200
Kelly Services, Inc....................................... 600 22,200
Ogden Corp................................................. 500 15,375
Olsten Corp................................................ 500 6,844
Paychex, Inc............................................... 700 38,019
Robert Half International, Inc.+........................... 1,400 75,774
Standard Register Co....................................... 200 7,988
Viad Corp.................................................. 900 23,231
Wallace Computer Services, Inc............................. 300 10,819
------------
281,350
------------
COMPUTERS (0.2%)
Sequent Computer Systems, Inc.+............................ 400 7,850
Stratus Computer, Inc.+.................................... 200 8,713
------------
16,563
------------
CONGLOMERATE AND AEROSPACE (2.1%)
Gencorp, Inc............................................... 600 18,263
Lancaster Colony Corp...................................... 300 11,588
Litton Industries, Inc.+................................... 700 42,000
Newport News Shipbuilding, Inc............................. 700 19,031
Pittston Brink's Group..................................... 400 15,650
Sundstrand Corp............................................ 400 27,625
Thiokol Corp............................................... 800 43,100
------------
177,257
------------
CONSUMER FINANCE (1.6%)
Capital One Financial Corp................................. 500 48,031
Comdisco, Inc.............................................. 1,000 44,250
Finova Group, Inc. (The)................................... 500 29,281
GATX Corp.................................................. 200 16,575
------------
138,137
------------
CONSUMER PRODUCTS (0.4%)
Church & Dwight, Inc....................................... 200 6,163
Dial Corp.................................................. 800 19,500
First Brands Corp.......................................... 300 8,044
------------
33,707
------------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
CONSUMER SERVICES (1.9%)
Bob Evans Farms, Inc....................................... 600 $ 12,225
Brinker International, Inc.+............................... 600 14,400
Buffets, Inc.+............................................. 400 5,925
Cracker Barrel Old Country Store, Inc...................... 500 18,375
Lone Star Steakhouse & Saloon+............................. 300 6,375
Outback Steakhouse, Inc.+.................................. 500 19,063
Promus Hotel Corp.+........................................ 600 27,113
Sotheby's Holdings, Inc.................................... 300 6,919
Starbucks Corp.+........................................... 700 33,688
Stewart Enterprises, Inc................................... 800 20,600
------------
164,683
------------
CONSUMER SPECIALTIES (0.6%)
Electronic Arts, Inc.+..................................... 500 23,125
International Game Technology.............................. 1,100 30,594
------------
53,719
------------
DATA AND IMAGING SERVICES (11.3%)
America Online, Inc.+...................................... 3,300 263,999
BMC Software, Inc.+........................................ 900 84,205
Cadence Design Systems, Inc.+.............................. 3,300 119,830
Compuware Corp.+........................................... 2,900 141,737
Fiserv, Inc.+.............................................. 400 26,150
GTECH Holdings Corp.+...................................... 400 14,350
Keane, Inc.+............................................... 1,000 50,250
Mentor Graphics Corp.+..................................... 400 4,200
Network Associates, Inc.+.................................. 500 34,250
Policy Management Systems+................................. 100 8,063
Quantum Corp.+............................................. 2,200 51,700
Sterling Commerce, Inc.+................................... 700 29,794
Storage Technology Corp.+.................................. 500 42,219
Sungard Data Systems, Inc.+................................ 800 28,500
Symantec Corp.+............................................ 600 17,400
Symbol Technologies, Inc................................... 450 17,325
Synopsys, Inc.+............................................ 500 21,500
------------
955,472
------------
DISCRETIONARY RETAIL (9.5%)
Barnes & Noble, Inc.+...................................... 1,100 37,263
Bed, Bath & Beyond, Inc.+.................................. 600 29,550
Best Buy Co., Inc.+........................................ 700 49,175
BJ's Wholesale Club, Inc.+................................. 300 12,019
Claire's Stores, Inc....................................... 700 15,269
CompUSA, Inc.+............................................. 1,800 33,413
Dollar General Corp........................................ 1,500 56,813
Family Dollar Stores, Inc.................................. 1,300 44,200
Fingerhut Companies, Inc................................... 900 26,663
Fred Meyer, Inc.+.......................................... 1,600 71,799
General Nutrition Companies, Inc.+......................... 700 25,113
Kohl's Corp.+.............................................. 1,800 74,362
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DISCRETIONARY RETAIL (CONTINUED)
Land's End, Inc.+.......................................... 300 $ 11,063
Office Depot, Inc.+........................................ 2,400 79,499
Officemax, Inc.+........................................... 1,200 22,575
Payless ShoeSource, Inc.+.................................. 300 21,450
Proffitt's, Inc.+.......................................... 1,400 55,650
Staples, Inc.+............................................. 3,900 96,280
Tiffany & Co............................................... 200 9,100
U.S. Office Products Co.+.................................. 1,100 19,456
Viking Office Products, Inc.+.............................. 700 16,931
------------
807,643
------------
DRUGS (1.0%)
ICN Pharmaceuticals, Inc................................... 1,100 54,175
Omnicare, Inc.............................................. 600 20,550
Perrigo Co.+............................................... 700 9,056
------------
83,781
------------
ELECTRIC UTILITIES (5.1%)
Allegheny Energy, Inc...................................... 1,200 36,750
Black Hills Corp........................................... 150 3,141
Cleco Corp................................................. 200 6,425
CMS Energy Corp............................................ 900 39,319
Conectiv, Inc.............................................. 850 17,797
Hawaiian Electric Industries, Inc.......................... 200 8,100
Idaho Power Co............................................. 400 14,250
Interstate Energy Corp..................................... 200 6,313
IPALCO Enterprises, Inc.................................... 400 17,425
Kansas City Power & Light Co............................... 600 17,850
Midamerican Energy Holdings Corp........................... 900 19,013
Minnesota Power & Light Co................................. 500 20,375
Montana Power Co........................................... 900 33,469
Nevada Power Co............................................ 500 12,281
New England Electric System................................ 600 26,100
New York State Electric & Gas Corp......................... 500 20,875
Nipsco Industries, Inc..................................... 1,200 32,175
Oge Energy Corp............................................ 400 21,975
Pinnacle West Capital Corp................................. 700 30,975
Public Service Co. of New Mexico........................... 600 13,838
Puget Sound Energy, Inc.................................... 800 21,050
UtiliCorp United, Inc...................................... 400 15,050
------------
434,546
------------
ELECTRICAL MACHINERY AND INSTRUMENTS (2.2%)
Diebold, Inc............................................... 500 20,500
Herman Miller, Inc......................................... 1,600 48,300
Hon Industries, Inc........................................ 1,000 32,000
Lexmark International Group, Inc.+......................... 700 40,513
SCI Systems, Inc.+......................................... 900 37,069
Varian Associates, Inc..................................... 200 9,788
------------
188,170
------------
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
ELECTRONIC MEDIA (0.1%)
Houghton Mifflin Co........................................ 200 $ 6,513
------------
FOOD AND BEVERAGE (3.1%)
Coca-Cola Enterprises, Inc................................. 3,000 113,249
Dean Foods Co.............................................. 500 23,438
Dole Food Company, Inc..................................... 500 22,469
Flowers Industries, Inc.................................... 700 14,963
Hormel Foods Corp.......................................... 600 20,400
International Multifoods Corp.............................. 200 5,813
Interstate Bakeries Corp................................... 900 28,519
Lance, Inc................................................. 200 4,300
McCormick & Company, Inc................................... 400 13,700
Universal Foods Corp....................................... 300 15,169
------------
262,020
------------
FOOD AND DRUG RETAIL (0.1%)
Ruddick Corp............................................... 300 5,381
------------
FOREST PRODUCTS AND BUILDING MATERIALS (2.8%)
Bowater, Inc............................................... 300 16,781
Calmat Co.................................................. 200 5,238
Consolidated Papers, Inc................................... 300 19,856
Glatfelter (P.H.) Co....................................... 400 7,225
Martin Marietta Materials, Inc............................. 700 32,856
Rayoner, Inc............................................... 400 20,050
Sonoco Products Co......................................... 700 28,131
Southdown, Inc............................................. 500 35,375
Vulcan Materials Co........................................ 500 57,530
Wausau-Mosinee Paper Corp.................................. 600 12,713
------------
235,755
------------
GAS UTILITIES (0.8%)
AGL Resources, Inc......................................... 400 8,325
KeySpan Energy Corp........................................ 500 17,063
National Fuel Gas Co....................................... 300 13,800
Questar Corp............................................... 200 8,675
Washington Gas Light Co.................................... 600 16,313
------------
64,176
------------
HEALTH SERVICES (3.5%)
Allegiance Corp............................................ 600 27,375
Bergen Brunswig Corp....................................... 800 36,300
Beverly Enterprises, Inc.+................................. 1,100 17,325
Health Care & Retirement Corp.+............................ 600 24,450
Health Management Associates, Inc.+........................ 800 25,200
McKesson Corp.............................................. 1,300 91,893
NovaCare, Inc.+............................................ 600 8,363
PSS World Medical, Inc.+................................... 1,100 24,681
Quorum Health Group, Inc.+................................. 700 22,488
Total Renal Care Holdings, Inc.+........................... 600 19,875
------------
297,950
------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
HEAVY MACHINERY (0.3%)
AGCO Corp.................................................. 900 $ 24,075
------------
HOUSING AND FURNISHINGS (0.7%)
Clayton Homes, Inc......................................... 1,200 24,075
Leggett & Platt, Inc....................................... 700 36,356
------------
60,431
------------
INDUSTRIAL SERVICES (1.9%)
AES Corp.+................................................. 1,200 66,224
Granite Construction, Inc.................................. 300 8,869
Jacobs Engineering Group, Inc.+............................ 300 10,013
USA Waste Services, Inc.+.................................. 1,500 73,593
------------
158,699
------------
INSURANCE (3.2%)
Aflac, Inc................................................. 1,000 64,999
AMBAC, Inc................................................. 1,000 56,688
HSB Group, Inc............................................. 100 6,600
Old Republic International Corp............................ 1,300 58,824
PMI Group, Inc. (The)...................................... 200 16,250
Provident Companies, Inc................................... 1,300 50,781
Transatlantic Holdings, Inc................................ 200 15,363
------------
269,505
------------
INVESTMENT SERVICES (5.8%)
Bear Stearns Co., Inc...................................... 1,600 91,299
Edwards (A.G.), Inc........................................ 1,400 62,999
Franklin Resources, Inc.................................... 3,600 192,599
Paine Webber Group, Inc.................................... 1,700 76,180
T. Rowe Price Associates................................... 900 67,949
------------
491,026
------------
MISCELLANEOUS METALS (0.2%)
Brush Wellman, Inc......................................... 200 5,450
Minerals Technologies, Inc................................. 200 10,888
------------
16,338
------------
OIL (0.7%)
Lyondell Petrochemical Co.................................. 600 19,725
Ocean Energy, Inc.+........................................ 800 19,600
Valero Energy Corp......................................... 700 22,663
------------
61,988
------------
OIL SERVICES (4.8%)
BJ Services Co.+........................................... 600 22,500
Camco International, Inc................................... 500 33,938
Ensco International, Inc................................... 2,200 62,149
Global Marine, Inc.+....................................... 2,600 61,262
Nabors Industries, Inc.+................................... 800 20,150
Noble Drilling Corp.+...................................... 2,000 64,624
Parker Drilling Co.+....................................... 1,200 12,300
Smith International, Inc.+................................. 500 29,375
Transocean Offshore, Inc................................... 900 50,288
</TABLE>
21
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
OIL SERVICES (CONTINUED)
Varco International, Inc.+................................. 1,000 $ 30,750
Weatherford Enterra, Inc.+................................. 400 20,025
------------
407,361
------------
OTHER TELECOMMUNICATIONS (3.7%)
360 Communications Co.+.................................... 1,700 51,956
Aliant Communications, Inc................................. 1,000 28,375
Century Telephone Enterprises.............................. 2,550 108,533
Qualcomm Incorporated+..................................... 1,000 56,250
Southern New England Telecommunications Corp............... 1,000 69,999
------------
315,113
------------
PRINT MEDIA (1.1%)
Belo Corp.................................................. 500 26,469
Media General, Inc......................................... 300 14,250
Washington Post Co......................................... 100 52,425
------------
93,144
------------
PRODUCER GOODS (4.3%)
Albany International Corp.................................. 200 5,700
American Power Conversion Corp.+........................... 900 28,969
AMETEK, Inc................................................ 300 9,131
Danaher Corp............................................... 600 43,125
Donaldson Company, Inc..................................... 500 12,688
Federal Signal Corp........................................ 300 6,431
Ferro Corp................................................. 400 11,525
Flowserve Corp............................................. 400 11,950
Fuller (H.B.) Co........................................... 100 6,275
Harsco Corp................................................ 300 13,800
Kaydon Corp................................................ 500 21,906
Kennametal, Inc............................................ 300 15,994
Magnetek, Inc.+............................................ 300 5,906
Mark Iv Industries, Inc.................................... 400 8,425
Pentair, Inc............................................... 300 12,975
Precision Castparts Corp................................... 200 12,425
Premark International, Inc................................. 600 20,025
RPM, Inc................................................... 900 15,525
Tecumseh Products Co....................................... 200 10,075
Teleflex, Inc.............................................. 300 12,750
Trinity Industries, Inc.................................... 800 40,800
U.S. Filter Corp.+......................................... 700 22,838
UCAR International, Inc.+.................................. 400 13,000
Watts Industries, Inc...................................... 200 5,125
------------
367,363
------------
SEMICONDUCTORS AND ELECTRONICS (3.0%)
Analog Devices, Inc.+...................................... 1,100 42,831
Avnet, Inc................................................. 300 18,506
Hubbell, Inc............................................... 400 19,725
Linear Technology Corp..................................... 600 48,300
Maxim Integrated Products, Inc.+........................... 900 36,338
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Molex, Inc................................................. 500 $ 14,313
Solectron Corp.+........................................... 1,000 44,313
Teradyne, Inc.+............................................ 600 21,900
Vishay Intertechnology, Inc.+.............................. 400 7,325
------------
253,551
------------
SPECIALTY CHEMICALS (2.6%)
Albemarle Corp............................................. 500 12,438
Cabot Corp................................................. 500 17,969
Crompton & Knowles Corp.+.................................. 600 17,963
Dexter Corp................................................ 200 8,263
Ethyl Corp................................................. 1,200 9,150
Georgia Gulf Corp.......................................... 600 15,413
Hanna (M. A.) Co........................................... 500 11,469
Lawter International, Inc.................................. 300 3,150
Lubrizol Corp.............................................. 600 22,125
NCH Corp................................................... 100 6,338
Olin Corp.................................................. 500 23,406
Schulman (A.), Inc......................................... 400 8,950
Solutia, Inc............................................... 2,000 56,750
Wellman, Inc............................................... 300 6,788
------------
220,172
------------
STEEL (0.7%)
AK Steel Holding Corp...................................... 900 18,900
Carpenter Technology Corp.................................. 300 17,419
Cleveland-Cliffs, Inc...................................... 200 11,200
Maxxam, Inc.+.............................................. 100 6,131
Oregon Steel Mills, Inc.................................... 300 7,125
------------
60,775
------------
SURFACE TRANSPORT (1.1%)
Arnold Industries, Inc..................................... 200 3,200
Illinois Central Corp...................................... 400 15,900
Kansas City Southern Industries, Inc....................... 1,500 67,780
Overseas Shipholding Group, Inc............................ 200 4,250
------------
91,130
------------
TEXTILES AND APPAREL (0.6%)
Burlington Industries, Inc.+............................... 400 7,000
Jones Apparel Group, Inc.+................................. 400 23,925
Unifi, Inc................................................. 600 22,988
------------
53,913
------------
TOBACCO (0.3%)
Universal Corp............................................. 800 29,950
------------
TOTAL COMMON STOCKS (COST $7,672,843) 8,434,622
------------
TOTAL INVESTMENTS (COST $7,672,843)(A) 8,434,622
OTHER ASSETS LESS LIABILITIES 49,717
------------
TOTAL NET ASSETS $ 8,484,339
============
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$7,672,987. Unrealized gains and losses, based on identified tax cost at April
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains .................................... $ 886,074
Unrealized losses ................................... (124,439)
------------
Net unrealized gain .............................. $ 761,635
============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 23
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (98.8%)
AIR TRANSPORT (1.6%)
Air Express International Corp............................. 800 $ 21,000
Comair Holdings, Inc....................................... 1,900 51,893
Expeditors International of Washington, Inc................ 600 25,500
Fritz Companies, Inc.+..................................... 600 8,775
Pittston Burlington Group.................................. 500 9,375
SkyWest, Inc............................................... 500 20,250
------------
136,793
------------
AUTO PARTS AND HARDWARE (1.5%)
Barnes Group, Inc.......................................... 700 21,919
CLARCOR, Inc............................................... 600 13,463
Myers Industries, Inc...................................... 700 17,413
SPX Corp.+................................................. 300 21,713
Standard Motor Products, Inc............................... 600 14,213
TBC Corp.+................................................. 1,100 9,763
Toro Co.................................................... 300 11,363
WD-40 Co................................................... 300 8,681
Wynn's International, Inc.................................. 300 6,750
------------
125,278
------------
AUTOMOTIVE (0.8%)
Gentex Corp.+.............................................. 600 20,250
Simpson Industries, Inc.................................... 900 12,488
Smith (A.O.) Corp.......................................... 400 18,050
Standard Products Co....................................... 600 19,200
------------
69,988
------------
BANKS AND THRIFTS (7.8%)
Astoria Financial Corp..................................... 600 35,175
CCB Financial Corp......................................... 500 54,374
Centura Banks, Inc......................................... 1,000 71,999
Commerce Bancorp, Inc...................................... 300 17,213
Commercial Federal Corp.................................... 800 29,000
Cullen/Frost Bankers, Inc.................................. 500 29,250
Downey Financial Corp...................................... 700 24,281
First Commercial Corp...................................... 600 44,174
FirstBank Puerto Rico...................................... 300 17,025
FirstMerit Corp............................................ 1,500 42,562
HUBCO, Inc................................................. 500 18,375
JSB Financial, Inc......................................... 200 11,063
Keystone Financial, Inc.................................... 900 35,100
Magna Group, Inc........................................... 800 47,299
Provident Financial Group, Inc............................. 800 42,349
Riggs National Corp........................................ 500 14,406
Sovereign Bancorp, Inc..................................... 2,640 49,829
St. Paul Bancorp, Inc...................................... 600 15,000
U.S. Trust Corp............................................ 300 21,300
UST Corp................................................... 600 16,913
Whitney Holding Corp....................................... 400 24,350
------------
661,037
------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BIOTECH AND MEDICAL PRODUCTS (3.6%)
ADAC Laboratories+......................................... 300 $ 6,525
Alpharma, Inc.............................................. 300 6,825
Ballard Medical Products................................... 500 12,563
Cooper Companies, Inc.+.................................... 500 19,219
Hologic, Inc.+............................................. 200 4,700
IDEXX Laboratories, Inc.+.................................. 800 17,700
MedImmune, Inc.+........................................... 1,000 52,749
Protein Design Labs, Inc.+................................. 700 22,400
Resound Corp.+............................................. 1,000 6,313
Respironics, Inc.+......................................... 300 5,006
Safeskin Corp.+............................................ 2,200 78,374
Spacelabs Medical, Inc.+................................... 200 3,575
Steris Corp.+.............................................. 800 47,049
Visx, Inc.+................................................ 300 13,238
Vital Signs, Inc........................................... 300 5,588
------------
301,824
------------
CHEMICALS (0.1%)
Quaker Chemical Corp....................................... 300 5,944
------------
COMMERCIAL SERVICES (5.9%)
ABM Industries, Inc........................................ 500 14,469
ADVO, Inc.+................................................ 900 25,763
Angelica Corp.............................................. 200 4,400
Billing Information Concepts+.............................. 300 8,400
Bowne & Co., Inc.+......................................... 800 33,050
Catalina Marketing Corp.+.................................. 700 36,399
CDI Corp.+................................................. 500 19,344
Central Parking Corp....................................... 1,100 51,562
Consolidated Graphics, Inc.+............................... 300 17,306
Devry, Inc.+............................................... 700 26,513
Franklin Covey Co.+........................................ 600 15,000
G & K Services, Inc........................................ 300 12,075
HA-LO Industries, Inc.+.................................... 900 30,206
Interim Services, Inc.+.................................... 1,600 52,199
Merrill Corp............................................... 800 16,600
NFO Worldwide, Inc.+....................................... 300 6,281
Norrell Corp............................................... 600 12,638
True North Communications, Inc............................. 800 24,400
Valassis Communications, Inc.+............................. 800 31,400
Volt Information Sciences, Inc.+........................... 400 13,300
World Color Press, Inc.+................................... 1,500 47,999
------------
499,304
------------
CONGLOMERATE AND AEROSPACE (2.3%)
AAR Corp................................................... 450 11,784
Alliant Techsystems, Inc.+................................. 500 31,969
Anixter International, Inc.+............................... 1,200 23,925
BE Aerospace, Inc.+........................................ 600 18,713
Kaman Corp................................................. 700 13,388
Orbital Sciences Corp.+.................................... 1,400 62,299
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
CONGLOMERATE AND AEROSPACE (CONTINUED)
Tracor, Inc.+.............................................. 600 $ 23,588
Triarc Co., Inc.+.......................................... 500 12,906
------------
198,572
------------
CONSUMER FINANCE (0.2%)
Rollins Truck Leasing Corp................................. 1,500 19,875
------------
CONSUMER PRODUCTS (0.1%)
Thor Industries, Inc....................................... 300 7,838
------------
CONSUMER SERVICES (3.0%)
Applebees International, Inc............................... 500 12,438
CapStar Hotel Co.+......................................... 400 12,850
CKE Restaurants, Inc....................................... 1,800 62,324
Consolidated Products, Inc.+............................... 400 8,150
Foodmaker, Inc.+........................................... 1,000 19,000
Grand Casinos, Inc.+....................................... 800 14,050
IHOP Corp.+................................................ 200 8,800
Landry's Seafood Restaurants, Inc.+........................ 600 17,100
Luby's Cafeterias, Inc..................................... 400 7,675
Marcus Corp................................................ 300 5,306
Prime Hospitality Corp.+................................... 800 16,550
Ruby Tuesday, Inc.......................................... 400 13,400
Rural/Metro Corp.+......................................... 200 6,500
Ryan's Family Steak Houses, Inc.+.......................... 900 9,000
Showbiz Pizza Time, Inc.+.................................. 700 27,038
Sonic Corp.+............................................... 300 9,600
TCBY Enterprises, Inc...................................... 400 3,525
------------
253,306
------------
CONSUMER SPECIALTIES (1.3%)
Arctic Cat, Inc............................................ 800 8,000
Broderbund Software, Inc.+................................. 400 7,150
Huffy Corp................................................. 300 4,913
Polaris Industries, Inc.................................... 500 17,813
Russ Berrie & Co., Inc..................................... 400 11,450
Scotts Co. (The)+.......................................... 500 18,250
Sola International, Inc.+.................................. 600 25,500
Sturm, Ruger & Co., Inc.................................... 700 13,781
------------
106,857
------------
DATA AND IMAGING SERVICES (4.8%)
Acxiom Corp.+.............................................. 800 19,400
Analysts International Corp................................ 500 14,500
BancTec, Inc.+............................................. 500 10,906
BISYS Group, Inc. (The)+................................... 400 15,800
Boole & Babbage, Inc.+..................................... 450 10,800
Ciber, Inc.+............................................... 800 26,000
Computer Task Group, Inc.+................................. 900 34,988
Digi International, Inc.+.................................. 700 18,638
Filenet Corp.+............................................. 300 16,350
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DATA AND IMAGING SERVICES (CONTINUED)
Gerber Scientific, Inc..................................... 400 $ 10,200
Harmon Industries, Inc..................................... 450 11,025
Henry (Jack) & Associates.................................. 300 10,425
Hyperion Software Corp.+................................... 500 21,688
Kronos, Inc.+.............................................. 100 3,600
National Computer Systems, Inc............................. 1,200 30,000
Platinum Technology, Inc.+................................. 2,500 63,749
Progress Software Corp.+................................... 500 16,000
Technology Solutions Co.+.................................. 500 16,063
Telxon Corp................................................ 300 9,694
Vantive Corp. (The)+....................................... 500 16,000
Wall Data, Inc.+........................................... 300 4,613
X-rite, Inc................................................ 400 5,175
Xylan Corp.+............................................... 800 22,775
------------
408,389
------------
DISCRETIONARY RETAIL (5.4%)
Books-a-Million, Inc.+..................................... 600 3,525
Building Material Holding Corp.+........................... 300 4,350
Cash America International, Inc............................ 600 10,200
Cato Corp. (The)........................................... 1,100 15,675
CPI Corp................................................... 200 5,188
Damark International, Inc.+................................ 400 4,250
Discount Auto Parts, Inc.+................................. 400 9,625
Dress Barn, Inc.+.......................................... 800 23,300
Eagle Hardware & Garden, Inc.+............................. 500 9,125
Fabri-Centers of America+.................................. 300 8,831
Footstar, Inc.+............................................ 600 23,888
Hancock Fabrics, Inc....................................... 800 11,900
Lillian Vernon Corp........................................ 200 3,450
Linens 'n Things, Inc.+.................................... 800 48,199
Mens Wearhouse, Inc.+...................................... 500 21,063
Michaels Stores, Inc.+..................................... 1,100 33,275
Microage, Inc.+............................................ 600 9,600
New England Business Service, Inc.......................... 200 6,638
O'Reilly Automotive, Inc.+................................. 400 11,000
Pier 1 Imports, Inc........................................ 1,300 34,288
Regis Corp................................................. 1,000 28,375
Ross Stores, Inc........................................... 900 41,680
Shopko Stores, Inc.+....................................... 500 17,313
Stein Mart, Inc.+.......................................... 600 21,150
Williams-Sonoma, Inc.+..................................... 1,000 54,937
------------
460,825
------------
DIVERSIFIED FINANCIAL SERVICES (0.8%)
AMRESCO, Inc.+............................................. 1,800 65,249
------------
ELECTRIC UTILITIES (1.8%)
Aquarion Co................................................ 200 6,488
</TABLE>
25
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
ELECTRIC UTILITIES (CONTINUED)
Central Hudson Gas & Electric Co........................... 400 $ 16,125
Central Vermont Public Service............................. 600 8,925
Commonwealth Energy System Co.............................. 500 19,125
Consumers Water Co......................................... 200 4,025
Eastern Utilities Association.............................. 500 13,125
Orange & Rockland Utilities, Inc........................... 300 12,394
Philadelphia Suburban Corp................................. 400 8,450
Southern California Water Co............................... 200 4,650
TNP Enterprises, Inc....................................... 500 16,125
United Illuminating Co..................................... 700 34,388
United Water Resources, Inc................................ 600 10,388
------------
154,208
------------
ELECTRICAL MACHINERY AND INSTRUMENTS (1.2%)
Coherent, Inc.+............................................ 400 9,500
Daniel Industries.......................................... 600 11,738
Dionex Corp.+.............................................. 300 16,013
Dynatech Corp.+............................................ 300 14,625
Fluke Corp................................................. 300 9,525
Interface, Inc............................................. 400 16,975
Technitrol, Inc............................................ 400 16,350
Trimble Navigation Ltd.+................................... 400 7,400
------------
102,126
------------
ELECTRONIC MEDIA (0.7%)
Carmike Cinemas+........................................... 200 6,063
Midway Games, Inc.+........................................ 800 14,800
Primark Corp.+............................................. 500 18,594
Westwood One, Inc.+........................................ 700 21,000
------------
60,457
------------
FOOD AND BEVERAGE (1.3%)
Canandaigua Brands, Inc.+.................................. 600 31,425
Earthgrains Co............................................. 400 18,700
Goodmark Foods, Inc........................................ 200 4,575
J & J Snack Foods Corp.+................................... 300 5,850
Nature's Sunshine Products, Inc............................ 300 7,350
NBTY, Inc.+................................................ 1,100 22,000
Smithfields Foods, Inc.+................................... 600 18,225
------------
108,125
------------
FOOD AND DRUG RETAIL (1.7%)
Casey's General Stores, Inc................................ 800 13,100
Express Scripts, Inc.+..................................... 200 16,000
Fleming Companies, Inc..................................... 900 16,875
Nash-Finch Co.............................................. 600 11,775
Richfood Holdings, Inc..................................... 800 21,950
Whole Foods Market, Inc.+.................................. 1,000 61,874
------------
141,574
------------
FOREST PRODUCTS AND BUILDING MATERIALS (1.6%)
AptarGroup, Inc............................................ 400 25,000
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Caraustar Industries, Inc.................................. 600 $ 20,550
Dravo Corp.+............................................... 500 5,125
Lone Star Industries, Inc.................................. 200 16,525
Medusa Corp................................................ 300 18,450
Republic Group, Inc........................................ 300 5,700
Shorewood Packaging Corp.+................................. 500 12,969
TJ International, Inc...................................... 400 12,450
Universal Forest........................................... 600 10,725
Watsco, Inc................................................ 300 8,775
------------
136,269
------------
GAS UTILITIES (1.9%)
Cascade Natural Gas Corp................................... 200 3,213
Connecticut Energy Corp.................................... 200 5,800
Energen Corp............................................... 800 17,850
KN Energy, Inc............................................. 800 46,949
New Jersey Resources Corp.................................. 400 15,100
Pennsylvania Enterprises, Inc.............................. 200 4,688
Piedmont Natural Gas, Inc.................................. 700 23,844
Public Service Co. of North Carolina....................... 300 6,150
Southwest Gas Corp......................................... 500 11,531
Southwestern Energy Co..................................... 400 4,625
Wicor, Inc................................................. 500 23,969
------------
163,719
------------
HEALTH CARE (0.3%)
Coventry Health Care+...................................... 600 10,163
Parexel International Corp.+............................... 500 16,750
------------
26,913
------------
HEALTH SERVICES (3.3%)
Access Health, Inc.+....................................... 700 23,625
American Oncology Resources, Inc.+......................... 500 7,500
Cerner Corp.+.............................................. 700 20,869
Genesis Health Ventures, Inc.+............................. 800 21,150
Integrated Health Services, Inc............................ 900 34,706
Lincare Holdings, Inc.+.................................... 500 40,562
Mariner Health Group, Inc.+................................ 700 12,688
Orthodontic Centers of America, Inc.+...................... 900 19,238
Owens & Minor, Inc......................................... 500 8,906
Patterson Dental Co.+...................................... 600 17,663
Pediatrix Medical Group, Inc.+............................. 300 12,656
Renal Care Group, Inc.+.................................... 400 15,300
Sierra Health Services, Inc.+.............................. 400 15,375
Universal Health Services, Inc.+........................... 500 28,781
------------
279,019
------------
HEAVY MACHINERY (1.2%)
Astec Industries, Inc.+.................................... 200 5,900
Blount, Inc................................................ 600 18,638
JLG Industries, Inc........................................ 700 11,419
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
HEAVY MACHINERY (CONTINUED)
Lindsay Manufacturing Co................................... 200 $ 9,375
Manitowoc Co., Inc. (The).................................. 600 27,975
Spartan Motors, Inc.+...................................... 600 4,538
Titan International, Inc................................... 400 7,800
Wabash National Corp....................................... 500 15,438
------------
101,083
------------
HOUSING AND FURNISHINGS (4.7%)
Bassett Furniture Industries, Inc.......................... 200 6,250
Champion Enterprises, Inc.+................................ 1,900 47,262
D.R. Horton, Inc........................................... 2,075 38,516
Dixie Group, Inc........................................... 500 6,281
Ethan Allen Interiors, Inc................................. 1,100 56,030
La-Z-Boy, Inc.............................................. 400 20,925
MDC Holdings, Inc.......................................... 900 15,469
Mohawk Industries, Inc.+................................... 1,100 33,963
National Presto Industries, Inc............................ 100 3,975
Oakwood Homes Corp......................................... 1,900 53,555
Pillowtex Corp............................................. 500 25,094
Royal Appliance Mfg. Co.+.................................. 800 4,400
Ryland Group, Inc.......................................... 700 14,656
Skyline Corp............................................... 200 6,075
Southern Energy Hampshire+................................. 400 4,425
Standard Pacific Corp...................................... 1,100 18,975
Toll Brothers, Inc.+....................................... 700 19,513
U.S. Home Corp.+........................................... 600 24,900
------------
400,264
------------
INDUSTRIAL SERVICES (0.8%)
Butler Manufacturing Co.................................... 400 14,925
Insituform Tecnolnologies+................................. 1,000 11,625
Morrison Knudsen Corp.+.................................... 1,300 15,519
Stone & Webster, Inc....................................... 500 22,313
------------
64,382
------------
INSURANCE (7.6%)
Allied Group, Inc.......................................... 600 17,925
Capital RE Corp............................................ 300 22,144
CMAC Investment Corp....................................... 900 58,105
Delphi Financial Group, Inc.+.............................. 306 17,442
Enhance Financial Services Group, Inc...................... 700 48,037
Executive Risk, Inc........................................ 300 20,006
Fidelity National Financial, Inc........................... 900 33,188
First American Financial Corp.............................. 800 56,849
Fremont General Corp....................................... 1,400 78,049
Frontier Insurance Group, Inc.............................. 1,100 29,150
Gallagher (Arthur J.) & Co................................. 400 17,550
Hilb Rogal & Hamilton Co................................... 300 5,363
Life Re Corp............................................... 300 21,600
Mutual Risk Management Ltd................................. 900 30,488
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
INSURANCE (CONTINUED)
NAC Re Corp................................................ 700 $ 35,000
Orion Capital Corp......................................... 1,000 55,749
Protective Life Corp....................................... 1,200 44,549
Selective Insurance Group, Inc............................. 1,200 33,000
Trenwick Group, Inc........................................ 300 11,550
Zenith National Insurance.................................. 400 11,250
------------
646,994
------------
INVESTMENT SERVICES (2.8%)
Dain Rauscher Corp......................................... 300 18,056
Dames & Moore Group........................................ 400 5,125
Eaton Vance Corp........................................... 700 34,300
Envoy Corp.+............................................... 400 16,850
Legg Mason, Inc............................................ 1,100 64,899
Pioneer Group, Inc......................................... 400 12,600
Piper Jaffray Companies, Inc............................... 500 18,563
Raymond James Financial, Inc............................... 1,950 63,496
------------
233,889
------------
MISCELLANEOUS METALS (0.2%)
Amcol International Corp................................... 700 9,581
Imco Recycling, Inc........................................ 400 7,400
------------
16,981
------------
OIL (0.9%)
Barrett Resources Corp.+................................... 600 22,275
HS Resources, Inc.+........................................ 300 4,856
KCS Energy, Inc............................................ 500 7,750
Plains Resources+.......................................... 300 6,300
Snyder Oil Corp............................................ 700 14,919
St. Mary Land & Exploration Co............................. 200 6,400
Vintage Petroleum, Inc..................................... 900 17,550
------------
80,050
------------
OIL SERVICES (2.3%)
Input/Output, Inc.+........................................ 1,600 39,799
Oceaneering International, Inc.+........................... 400 9,175
Offshore Logistics, Inc.+.................................. 500 11,813
Pool Energy Services Co.+.................................. 900 23,738
Pride International, Inc.+................................. 2,300 55,918
Seitel, Inc.+.............................................. 400 6,750
Tuboscope Vetco International Corp.+....................... 2,100 49,743
------------
196,936
------------
OTHER TELECOMMUNICATIONS (2.7%)
Allen Telecom, Inc.+....................................... 500 8,031
Aspect Telecommunications Corp.+........................... 1,000 28,750
California Microwave, Inc.+................................ 300 6,806
Comverse Technology, Inc.+................................. 700 33,163
Dialogic Corp.+............................................ 400 14,950
Digital Microwave Corp.+................................... 1,900 21,613
Inter-Tel Incorporated & Subsidiaries...................... 1,000 23,625
</TABLE>
27
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
OTHER TELECOMMUNICATIONS (CONTINUED)
P-Com, Inc.+............................................... 1,800 $ 35,438
Symmetricom, Inc.+......................................... 300 2,213
Tel-Save Holdings, Inc.+................................... 2,500 57,030
------------
231,619
------------
PRINT MEDIA (0.7%)
Plenum Publishing Corp..................................... 100 6,600
PMT Services, Inc.+........................................ 1,000 19,500
SEI Investments Co......................................... 400 29,550
Thomas Nelson, Inc......................................... 400 5,325
------------
60,975
------------
PRODUCER GOODS (7.3%)
Amcast Industrial Corp..................................... 200 4,313
Applied Industrial Technologies, Inc....................... 500 12,688
Applied Power, Inc......................................... 600 22,425
Baldor Electric Co......................................... 600 15,750
Belden, Inc................................................ 600 24,863
BMC Industries, Inc........................................ 700 12,775
Brady (W.H.) Co............................................ 400 12,200
Buckeye Technologies, Inc.+................................ 1,000 23,250
Cable Design Technologies+................................. 1,200 31,950
Castle (A.M.) & Co......................................... 700 16,625
Commercial Metals Co....................................... 300 10,013
Commonwealth Industries, Inc............................... 400 6,800
Global Industrial Technologies, Inc.+...................... 500 8,969
Griffon Corp.+............................................. 700 9,363
Halter Marine Group, Inc.+................................. 700 12,688
Hughes Supply, Inc......................................... 900 34,875
Intermet Corp.............................................. 500 10,500
Juno Lighting, Inc......................................... 500 10,813
Kuhlman Corp............................................... 400 19,600
Lilly Industries, Inc...................................... 600 11,288
Lydall, Inc.+.............................................. 300 5,569
MacDermid, Inc............................................. 900 26,944
McWhorter Technologies, Inc.+.............................. 200 5,200
Mueller Industries, Inc.+.................................. 400 27,075
O' Sullivan Corp........................................... 600 5,888
Oak Industries, Inc.+...................................... 300 10,894
Paxar Corp.+............................................... 800 11,850
Regal Beloit............................................... 500 15,375
Robbins & Myers, Inc....................................... 400 13,250
Roper Industries, Inc...................................... 500 15,500
SPS Technologies, Inc.+.................................... 600 37,087
Standex International Corp................................. 500 15,219
Steel Technologies, Inc.+.................................. 300 3,825
Thomas Industries, Inc..................................... 600 15,563
Tredegar Industries, Inc................................... 500 39,155
Valmont Industries......................................... 700 15,575
Wolverine Tube, Inc.+...................................... 300 11,813
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
PRODUCER GOODS (CONTINUED)
Zebra Technologies, Inc.+.................................. 500 $ 19,375
ZERO Corp.................................................. 300 9,244
------------
616,149
------------
SEMICONDUCTORS AND ELECTRONICS (8.3%)
Bell Industries, Inc.+..................................... 300 4,106
Benchmark Electronics, Inc.+............................... 400 8,975
Brightpoint, Inc.+......................................... 2,000 38,999
Burr-Brown Corp.+.......................................... 750 22,828
C-Cube Microsystems, Inc.+................................. 600 14,513
Cognex Corp.+.............................................. 700 16,931
CTS Corp................................................... 600 22,163
Dallas Semiconductor Corp.................................. 700 26,994
Electro Scientific Industries, Inc.+....................... 300 11,400
Etec Systems, Inc.+........................................ 400 22,700
Hadco Corp.+............................................... 300 11,475
Harman International Industries............................ 400 17,200
Helix Technology Corp...................................... 300 6,000
Innovex, Inc............................................... 400 10,225
Integrated Circuit Systems, Inc.+.......................... 300 4,538
International Rectifier Corp.+............................. 900 10,575
Kemet Corp.+............................................... 900 16,200
Kent Electronics Corp.+.................................... 500 11,000
Kulicke & Soffa Industries, Inc.+.......................... 400 8,600
Lattice Semiconductor Corp.+............................... 500 22,813
Marshall Industries+....................................... 300 9,731
Methode Electronics, Inc................................... 600 9,600
Microchip Technology, Inc.+................................ 900 25,538
Novellus Systems, Inc.+.................................... 600 28,725
Park Electrochemical Corp.................................. 300 7,725
Phototronics, Inc.+........................................ 1,000 36,874
Pioneer Standard Electronics............................... 1,000 12,563
Plexus Corp.+.............................................. 300 6,600
Sanmina Corp.+............................................. 900 80,999
SpeedFam International, Inc.+.............................. 300 8,700
Tech Data Corp.+........................................... 1,000 49,874
Three-Five Systems, Inc.+.................................. 200 3,925
Ultratech Stepper, Inc.+................................... 400 9,825
Unitrode Corp.+............................................ 1,100 17,600
Vanstar Corp.+............................................. 1,100 14,644
Vicor Corp.+............................................... 600 12,038
Vitesse Semiconductor Corp.+............................... 600 34,613
VLSI Technology, Inc.+..................................... 1,100 22,688
------------
700,497
------------
SPECIALTY CHEMICALS (0.8%)
Cambrex Corp............................................... 300 16,650
Chemed Corp................................................ 200 8,013
ChemFirst, Inc............................................. 500 13,313
OM Group, Inc.............................................. 500 22,156
</TABLE>
28 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
SPECIALTY CHEMICALS (CONTINUED)
Penford Corp............................................... 100 $ 3,500
Tetra Technologies+........................................ 200 4,788
------------
68,420
------------
STEEL (1.1%)
Lukens, Inc................................................ 300 10,406
Northwestern Steel & Wire Co.+............................. 900 3,684
Quanex Corp................................................ 300 8,794
Texas Industries, Inc...................................... 800 51,549
WHX Corp.+................................................. 1,000 15,688
------------
90,121
------------
SURFACE TRANSPORT (1.5%)
American Freightways Corp.+................................ 500 6,000
Arkanas Best Corp.+........................................ 1,000 10,500
Frozen Food Express Industries, Inc........................ 600 6,113
Heartland Express, Inc.+................................... 500 12,438
Landstar Systems, Inc.+.................................... 300 9,825
M.S. Carriers, Inc.+....................................... 400 13,600
Mesa Air Group, Inc.+...................................... 500 4,000
Railtex, Inc.+............................................. 200 2,963
U.S. Freightways Corp...................................... 1,000 35,750
Werner Enterprises, Inc.................................... 900 21,713
Yellow Corp.+.............................................. 400 7,175
------------
130,077
------------
TEXTILES AND APPAREL (2.7%)
Authentic Fitness Corp..................................... 500 9,063
Brown Group, Inc........................................... 400 6,375
Galey & Lord, Inc.+........................................ 400 10,450
Guilford Mills, Inc........................................ 900 25,425
Hartmarx Corp.+............................................ 800 6,300
Justin Industries.......................................... 600 9,375
Kellwood Co................................................ 500 15,969
Nautica Enterprises, Inc.+................................. 1,000 24,875
Oshkosh B'Gosh, Inc........................................ 400 15,400
Oxford Industries, Inc..................................... 400 14,250
Phillips-Van Heusen........................................ 500 5,906
St. John Knits, Inc........................................ 400 17,850
Stride Rite Corp........................................... 800 10,050
Timberland Co. (The)+...................................... 400 34,250
Wolverine World Wide, Inc.................................. 700 20,213
------------
225,751
------------
TOBACCO (0.2%)
Schweitzer-Mauduit International, Inc...................... 400 13,300
------------
TOTAL COMMON STOCKS (COST $7,678,568) 8,370,977
------------
TOTAL INVESTMENTS (COST $7,678,568)(A) 8,370,977
OTHER ASSETS LESS LIABILITIES 98,623
------------
TOTAL NET ASSETS $ 8,469,600
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$7,681,538. Unrealized gains and losses, based on identified tax cost at April
30, 1998, are as follows:
Unrealized gains .................................... $ 861,381
Unrealized losses ................................... (171,942)
------------
Net unrealized gain .............................. $ 689,439
============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 29
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments, at market value .........................................................................................
Cash .................................................................................................................
Receivable for:
Dividends and interest ............................................................................................
Investments sold ..................................................................................................
Fund shares sold ..................................................................................................
Variation margin ..................................................................................................
Reimbursment from Investment Adviser ..............................................................................
Other assets .........................................................................................................
Prepaid expenses .....................................................................................................
Deferred organizational expenses .....................................................................................
Total assets .............................................................................................
LIABILITIES:
Payable for:
Dividends to shareholders .........................................................................................
Investments purchased .............................................................................................
Fund shares redeemed ..............................................................................................
Other liabilities ....................................................................................................
Total liabilities ........................................................................................
NET ASSETS ........................................................................................................
NET ASSETS REPRESENTED BY:
Paid-in capital ......................................................................................................
Net unrealized gain (loss) on investments and open futures contracts..................................................
Undistributed net investment income ..................................................................................
Accumulated net realized gain on investments .........................................................................
NET ASSETS ........................................................................................................
CAPITAL SHARES:
Class I:
Outstanding .......................................................................................................
Net Assets ........................................................................................................
Net Asset Value, offering and redemption price per share (net assets divided by shares outstanding) ...............
Class A:
Outstanding .......................................................................................................
Net Assets ........................................................................................................
Net Asset Value, offering and redemption price per share (net assets divided by shares outstanding) ...............
Cost of investments ..................................................................................................
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS INDEX PLUS INDEX PLUS INDEX PLUS
BOND LARGE CAP MID CAP SMALL CAP
- ----------------- ---------------- ------------- --------------
<S> <C> <C> <C>
$ 14,825,412 $ 22,298,494 $ 8,434,622 $ 8,370,977
964 2,967 49,333 110,622
203,285 21,133 6,421 2,821
-- -- 307,663 113,492
-- 49,595 -- 600
-- 5,600 -- --
9,674 9,036 1,429 9,892
298 -- 4,335 4,261
-- 87 -- --
-- 5,811 -- --
- ---------------- ---------------- --------------- --------------
15,039,633 22,392,723 8,803,803 8,612,665
- ---------------- ---------------- --------------- --------------
68,996 -- -- --
-- 270,828 319,464 143,065
-- 13,159 -- --
-- 18,988 -- --
- ---------------- ---------------- --------------- --------------
68,996 302,975 319,464 143,065
- ---------------- ---------------- --------------- --------------
$ 14,970,637 $ 22,089,748 $ 8,484,339 $ 8,469,600
================ ================ =============== ==============
$ 15,047,982 $ 17,869,437 $ 7,543,443 $ 7,579,159
(80,154) 2,975,698 761,779 692,409
2,143 48,420 13,579 5,495
666 1,196,193 165,538 192,537
- ---------------- ---------------- --------------- --------------
$ 14,970,637 $ 22,089,748 $ 8,484,339 $ 8,469,600
================ ================ =============== ==============
1,493,713 1,327,969 741,188 741,903
$ 14,860,321 $ 18,156,576 $ 8,340,755 $ 8,299,063
$ 9.95 $ 13.67 $ 11.25 $ 11.19
11,087 288,900 12,767 15,254
$ 110,316 $ 3,933,172 $ 143,584 $ 170,537
$ 9.95 $ 13.61 $ 11.25 $ 11.18
$ 14,905,566 $ 19,327,648 $ 7,672,843 $ 7,678,568
</TABLE>
31
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF OPERATIONS
PERIOD ENDED APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ............................................................................................................
Interest .............................................................................................................
Foreign taxes withheld on dividends ..................................................................................
Total investment income ..................................................................................
INVESTMENT EXPENSES:
Investment advisory fee ..............................................................................................
Administrative services fees .........................................................................................
12b-1 and shareholder services fees ..................................................................................
Organizational expenses ..............................................................................................
Printing and postage .................................................................................................
Custody fees .........................................................................................................
Transfer agent fees ..................................................................................................
Audit fees ...........................................................................................................
Directors' fees ......................................................................................................
Registration fees ....................................................................................................
Miscellaneous ........................................................................................................
Expenses before reimbursement and waiver from Adviser ................................................................
Expenses reimbursement and waiver from Adviser .......................................................................
Total expenses ...........................................................................................
Net investment income ................................................................................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Sale of investments ...............................................................................................
Futures and forward foreign currency exchange contracts ...........................................................
Net realized gain on investments .........................................................................
Net change in unrealized gain or loss on:
Investments .......................................................................................................
Futures and forward foreign currency exchange contracts ...........................................................
Net change in unrealized gain or loss on investments .....................................................
Net realized and change in unrealized gain or loss on investments ....................................................
Net increase in net assets resulting from operations .................................................................
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS BOND INDEX PLUS MID CAP INDEX PLUS SMALL CAP
PERIOD FROM PERIOD FROM PERIOD FROM
FEBRUARY 4, 1998 INDEX PLUS LARGE CAP FEBRUARY 3, 1998 FEBRUARY 3, 1998
(COMMENCEMENT OF SIX MONTH PERIOD ENDED (COMMENCEMENT OF (COMMENCEMENT OF
OPERATIONS) TO APRIL 30, 1998 APRIL 30, 1998 OPERATIONS) TO APRIL 30, 1998 OPERATIONS) TO APRIL 30, 1998
- ----------------------------- ---------------------- ----------------------------- -----------------------------
<S> <C> <C> <C>
$ -- $ 111,600 $ 24,537 $ 16,115
210,301 13,731 3,563 4,023
---------------- ---------------- ---------------- ----------------
210,301 125,331 28,100 20,138
-- (153) -- (11)
---------------- ---------------- ---------------- ----------------
210,301 125,178 28,100 20,127
---------------- ---------------- ---------------- ----------------
12,367 33,219 8,691 8,759
3,533 12,209 1,931 1,946
61 4,905 70 74
-- 784 -- --
1,349 3,403 1,325 1,325
3,438 6,194 3,435 3,435
6,537 14,570 6,285 6,289
4,413 9,203 4,413 4,413
114 215 58 58
21,806 23,098 19,654 19,666
18 224 27 56
---------------- ---------------- ---------------- ----------------
53,636 108,024 45,889 46,021
(32,382) (51,790) (31,368) (31,389)
---------------- ---------------- ---------------- ----------------
21,254 56,234 14,521 14,632
---------------- ---------------- ---------------- ----------------
189,047 68,944 13,579 5,495
---------------- ---------------- ---------------- ----------------
666 1,202,281 165,538 192,537
-- 7,113 -- --
---------------- ---------------- ---------------- ----------------
666 1,209,394 165,538 192,537
---------------- ---------------- ---------------- ----------------
(80,154) 1,662,278 761,779 692,409
-- 4,852 -- --
---------------- ---------------- ---------------- ----------------
(80,154) 1,667,130 761,779 692,409
---------------- ---------------- ---------------- ----------------
(79,488) 2,876,524 927,317 884,946
---------------- ---------------- ---------------- ----------------
$ 109,559 $ 2,945,468 $ 940,896 $ 890,441
================ ================ ================ ================
</TABLE>
33
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS BOND
----------------
PERIOD FROM
FEBRUARY 4,
1998 TO
APRIL 30, 1998
(UNAUDITED)
----------------
<S> <C>
FROM OPERATIONS:
Net investment income .......................................................................... $ 189,047
Net realized gain on investments ............................................................... 666
Net change in unrealized gain or loss on investments ........................................... (80,154)
------------
Net increase in net assets resulting from operations ......................................... 109,559
------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income ................................................................. (185,687)
Class A:
From net investment income ................................................................. (1,217)
------------
Decrease in net assets from distributions to shareholders .................................... (186,904)
------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold .................................................................. 14,937,000
Net asset value of shares issued upon reinvestment of distributions ........................ 161
Class A:
Proceeds from shares sold .................................................................. 110,774
Net asset value of shares issued upon reinvestment of distributions ........................ 47
------------
Net increase in net assets from fund share transactions ..................................... 15,047,982
------------
Change in net assets ........................................................................... 14,970,637
NET ASSETS:
Beginning of period ............................................................................ --
------------
End of period .................................................................................. $14,970,637
============
End of period net assets includes undistributed net investment income .......................... $ 2,143
============
SHARE TRANSACTIONS:
Class I:
Number of shares sold ...................................................................... 1,493,697
Number of shares issued upon reinvestment of distributions ................................. 16
------------
Net increase ................................................................................. 1,493,713
============
Class A:
Number of shares sold ...................................................................... 11,082
Number of shares issued upon reinvestment of distributions ................................. 5
------------
Net increase ................................................................................. 11,087
============
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
------------------------------------------
SIX MONTH
PERIOD ENDED PERIOD FROM
APRIL 30, 1998 DECEMBER 10, 1996 TO
(UNAUDITED) OCTOBER 31, 1997
---------------- ---------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..........................................................$ 68,944 $ 119,623
Net realized gain on investments ............................................... 1,209,394 1,212,139
Net change in unrealized gain or loss on investments ........................... 1,667,130 1,308,568
---------------- -----------------
Net increase in net assets resulting from operations ........................ 2,945,468 2,640,330
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income ................................................ (110,122) (15,150)
From net realized gains on investments .................................... (1,021,541) --
Class A:
From net investment income ................................................ (14,875) --
From net realized gains on investments .................................... (203,799) --
---------------- -----------------
Decrease in net assets from distributions to shareholders ................... (1,350,337) (15,150)
---------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold ................................................. 11,560,854 18,542,645
Net asset value of shares issued upon reinvestment of distributions ....... 903,430 --
Cost of shares redeemed ................................................... (6,469,084) (10,225,784)
Class A:
Proceeds from shares sold ................................................. 1,779,993 1,878,106
Net asset value of shares issued upon reinvestment of distributions ....... 215,511 --
Cost of shares redeemed ................................................... (205,830) (110,404)
---------------- -----------------
Net increase in net assets from fund share transactions .................... 7,784,874 10,084,563
---------------- -----------------
Change in net assets ........................................................... 9,380,005 12,709,743
NET ASSETS:
Beginning of period ............................................................ 12,709,743 --
---------------- -----------------
End of period ..................................................................$ 22,089,748 $ 12,709,743
================ =================
End of period net assets includes undistributed net investment income ..........$ 48,420 $ 104,473
================ =================
SHARE TRANSACTIONS:
Class I:
Number of shares sold ..................................................... 893,112 1,730,172
Number of shares issued upon reinvestment of distributions ................ 76,110 --
Number of shares redeemed ................................................. (516,542) (854,883)
---------------- -----------------
Net increase ................................................................ 452,680 875,289
================ =================
Class A:
Number of shares sold ..................................................... 138,464 157,036
Number of shares issued upon reinvestment of distributions ................ 18,217 --
Number of shares redeemed ................................................. (16,086) (8,731)
---------------- -----------------
Net increase ................................................................ 140,595 148,305
================ =================
</TABLE>
35
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
-------------------
PERIOD FROM
FEBRUARY 3, 1998 TO
APRIL 30, 1998
(UNAUDITED)
-------------------
<S> <C>
FROM OPERATIONS:
Net investment income .......................................................... $ 13,579
Net realized gain on investments ............................................... 165,538
Net change in unrealized gain or loss on investments ........................... 761,779
---------------
Net increase in net assets resulting from operations ........................ 940,896
---------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold ................................................. 7,413,500
Class A:
Proceeds from shares sold ................................................. 130,443
Cost of shares redeemed ................................................... (500)
---------------
Net increase in net assets from fund share transactions .................... 7,543,443
---------------
Change in net assets ........................................................... 8,484,339
NET ASSETS:
Beginning of period ............................................................ --
---------------
End of period .................................................................. $ 8,484,339
===============
End of period net assets includes undistributed net investment income .......... $ 13,579
===============
SHARE TRANSACTIONS:
Class I:
Number of shares sold ..................................................... 741,234
Number of shares redeemed ................................................. (46)
---------------
Net increase ................................................................ 741,188
===============
Class A:
Number of shares sold ..................................................... 12,767
---------------
Net increase ................................................................ 12,767
===============
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
-----------------------
PERIOD FROM
FEBRUARY 3, 1998 TO
APRIL 30, 1998
(UNAUDITED)
----------------------
<S> <C>
FROM OPERATIONS:
Net investment income .......................................................... $ 5,495
Net realized gain on investments ............................................... 192,537
Net change in unrealized gain or loss on investments ........................... 692,409
--------------
Net increase in net assets resulting from operations ........................ 890,441
--------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold ................................................. 7,421,496
Cost of shares redeemed ................................................... (500)
Class A:
Proceeds from shares sold ................................................. 158,163
--------------
Net increase in net assets from fund share transactions .................... 7,579,159
--------------
Change in net assets ........................................................... 8,469,600
NET ASSETS:
Beginning of period ............................................................ --
--------------
End of period .................................................................. $ 8,469,600
==============
End of period net assets includes undistributed net investment income .......... $ 5,495
==============
SHARE TRANSACTIONS:
Class I:
Number of shares sold ..................................................... 741,949
Number of shares redeemed ................................................. (46)
--------------
Net increase ................................................................ 741,903
==============
Class A:
Number of shares sold ..................................................... 15,254
--------------
Net increase ................................................................ 15,254
==============
</TABLE>
37
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds (Funds), each of which
has its own investment objective, policies and restrictions.
The Company currently offers nineteen funds. This report covers Aetna Index Plus
Bond Fund, Aetna Index Plus Large Cap Fund, Aetna Index Plus Mid Cap Fund and
Aetna Index Plus Small Cap Fund.
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, Class I (formerly
Select Class shares) and Class A (formerly Adviser Class shares). Class I is
offered principally to institutions and is not subject to sales charges or
distribution fees. Class I shares were first made available as follows: Index
Plus Large Cap on December 10, 1996, Index Plus Mid Cap and Index Plus Small Cap
on February 3, 1998, and Index Plus Bond on February 4, 1998. Class A shares
are offered to all others and generally are subject to front end sales charges
payable upon purchase. Additionally, Class A shares are subject to a
distribution fee pursuant to Rule 12b-1 of the Act. Class A shares were first
made available to the public for Index Plus Large Cap on February 3, 1997.
Index Plus Mid Cap and Index Plus Small Cap were made available to the public on
February 3, 1998 and Index Plus Bond Fund on February 4, 1998.
The following is each Fund's investment objective:
AETNA INDEX PLUS BOND FUND (Index Plus Bond) seeks maximum total return,
consistent with preservation of capital, primarily through investment in
a diversified portfolio of fixed income securities, which will be chosen
to substantially replicate the characteristics of the Lehman Brothers
Aggregate Bond Index, an unmanaged index comprised of approximately 6,000
securities.
AETNA INDEX PLUS LARGE CAP FUND (Index Plus Large Cap, formerly Aetna
Index Plus Fund) seeks to outperform the total return performance of
publicly traded common stocks represented by the Standard and Poor's 500
Composite Stock Price Index, a stock market index comprised of 500 common
stocks selected by S&P.
AETNA INDEX PLUS MID CAP FUND (Index Plus Mid Cap) seeks to outperform
the total return performance of publicly traded common stocks represented
by the Standard and Poor's Midcap 400, a stock market index comprised of
400 common stocks selected by S&P, while maintaining a market level of
risk.
AETNA INDEX PLUS SMALL CAP FUND (Index Plus Small Cap) seeks to
outperform the total return performance of publicly traded common stocks
represented by the Standard and Poor's Smallcap 600 Index, a stock market
index comprised of 600 common stocks selected by S&P, while maintaining a
market level of risk.
Aeltus Investment Management, Inc. (Aeltus) serves as the Investment Adviser to
each Fund. Prior to February 2, 1998, the Investment Adviser was Aetna Life
Insurance and Annuity Company (ALIAC). Aetna Investment Services, Inc. (AISI)
was the principal underwriter for each Fund through April 30, 1998. On May 1,
1998, Aeltus Capital, Inc. became each Fund's principal underwriter.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
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.
38
<PAGE>
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 and fixed income investments for which
market quotations are not considered to be readily available are valued 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 foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
B. FUTURES 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 "sell" futures
contracts as a hedge against declines in the value of portfolio securities. 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 held by the Funds are closed prior to expiration.
The risks associated with futures 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 are reflected in the
accompanying financial statements. The amounts at risk under such futures may
exceed the amounts reflected in the financial statements. The notional amounts
(economic exposure) of these contracts are disclosed in the Portfolios of
Investments. For federal income tax purposes, any futures contracts which remain
open at year end are marked-to-market and the resultant net gain or loss is
reported to shareholders as 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 those sold under Rule 144A under the
Securities Act of 1933 (1933 Act) or are securities offered pursuant to Section
4(2) of the 1933 Act, and are subject to legal or contractual restrictions on
resale and may not be publicly sold without registration under the 1933 Act.
Each Fund may invest up to 15% of its total assets in illiquid securities (10%
in the case of Index Plus Large Cap). In the absence of market quotations, the
securities are valued based upon their fair value determined under procedures
approved by the Board of Directors. The Funds will not pay the costs of
disposition of restricted securities other than ordinary brokerage fees, if any.
Illiquid and restricted securities are valued using market quotations when
readily available.
39
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
D. DELAYED DELIVERY TRANSACTIONS
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' Portfolio of Investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract.
E. FEDERAL INCOME TAXES
As a qualified regulated investment company, each Fund is relieved of federal
income and excise taxes by distributing all of its net taxable investment income
and capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code.
F. DISTRIBUTIONS
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for losses deferred due to wash sales.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
H. DEFERRED ORGANIZATIONAL COSTS
Index Plus Large Cap paid organizational expenses in connection with its
start-up and initial registration. Organizational expenses are being amortized
over 60 months on a straight-line basis beginning with the commencement of
operations. If any or all of the shares representing initial capital of Index
Plus Large Cap are redeemed by any holder thereof prior to the end of the
amortization period, the proceeds will be reduced by the unamortized
organizational expense balance in the same proportion as the number of shares
redeemed bears to the number of initial shares outstanding immediately preceding
the redemption.
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICES AND DISTRIBUTION FEES
Each Fund pays the Investment Adviser a monthly fee expressed as a percentage of
the average daily net assets of each Fund. As each Fund's net assets exceed
predetermined thresholds, lower advisory fees are applied. Below are the Funds'
Investment Advisory fee ranges and the effective rates as of April 30, 1998:
<TABLE>
<CAPTION>
FEE EFFECTIVE
RANGE RATE
--------------------- ------------------------
<S> <C> <C>
Index Plus Bond 0.35%-0.275% 0.35%
Index Plus Large Cap 0.45%-0.375% 0.45%
Index Plus Mid Cap 0.45%-0.375% 0.45%
Index Plus Small Cap 0.45%-0.375% 0.45%
</TABLE>
40
<PAGE>
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICES AND DISTRIBUTION FEES (CONTINUED)
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Fund in
exchange for fees, payable by Aeltus, of up to 0.225% of the average daily net
assets of Class I. For the period February 1, 1998 through April 30, 1998,
Aeltus paid ALIAC $22,122.
Aeltus has served as the Investment Adviser for all Funds (except Index Plus
Large Cap) since inception. Prior to February 2, 1998, ALIAC served as Index
Plus Large Cap's Investment Adviser and Aeltus served as Sub-Adviser. As the
Sub-Adviser, Aeltus supervised the investment and reinvestment of cash and
securities and provided certain related administrative services for the Fund.
Effective February 2, 1998, the Company and Aeltus entered into an
administrative services agreement under which Aeltus 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 Aeltus
an administrative services fee at an annual rate of 0.10% of its average daily
net assets. Prior to February 2, 1998, ALIAC acted as administrator for Index
Plus Large Cap and was paid an administrative services fee at an annual rate of
0.25% of Index Plus Large Cap's average daily net assets.
The Shareholder Services Plan for the Class A (formerly Adviser Class) shares
terminated on December 31, 1997. Under the Shareholder Services Plan, AISI was
paid a service fee at an annual rate of 0.25% of the average daily net assets of
Class A of Index Plus Large Cap. This fee was used as compensation for expenses
incurred in servicing shareholders' accounts. For the period November 1, 1997
through December 31, 1997, Index Plus Large Cap paid AISI $824 in service fees.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Class A shares. The Distribution Plan provides for payments to the
principal underwriter at an annual rate of 0.25% (prior to January 1, 1998, the
12b-1 fee was 0.50%) of the average daily net assets of Class A shares of each
Fund. Amounts paid by the Funds are used to pay expenses incurred by the
principal underwriter in promoting the sale of Class A shares. For the period
ended April 30, 1998, the Funds paid AISI $4,286 in Rule 12b-1 fees. The plan
may be terminated upon a majority vote of the Company's independent directors.
Presently, the Funds' class-specific expenses are limited to Rule 12b-1 fees
incurred by Class A shares.
4. REIMBURSEMENT FROM INVESTMENT ADVISER
The Investment Adviser may, from time to time, make reimbursements to a Fund for
some or all of its operating expenses or it may waive fees. Reimbursement and
waiver arrangements, which may be terminated at any time without notice, will
increase a Fund's yield and total return. For the period ended April 30, 1998,
the reimbursements were as follows:
<TABLE>
<CAPTION>
FUND TOTAL
----------
<S> <C>
Index Plus Bond $32,382
Index Plus Large Cap 51,790
Index Plus Mid Cap 31,368
Index Plus Small Cap 31,389
</TABLE>
41
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended April 30, 1998 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Index Plus Bond $14,311,699 $ 51,325
Index Plus Large Cap 14,928,196 9,584,697
Index Plus Mid Cap 10,217,598 2,710,292
Index Plus Small Cap 9,534,725 2,048,694
</TABLE>
6. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 6.8 billion shares. Of those 6.8
billion, 100 million shares each of Class I and Class A shares have been
designated to the Funds listed below. As of April 30, 1998, the following shares
of the Funds were owned by Aetna and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A
--------- -------
<S> <C> <C>
Index Plus Bond 1,490,000 10,000
Index Plus Large Cap 813,115 --
Index Plus Mid Cap 740,000 10,000
Index Plus Small Cap 740,000 10,000
</TABLE>
42
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS
INDEX PLUS BOND
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 4, 1998 TO
APRIL 30, 1998
CLASS I (UNAUDITED)
- -------------------------------------------------------------------------------------------- -------------------------
<S> <C>
Net asset value, beginning of period ....................................................... $ 10.00
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................................................... 0.13
Net realized and change in unrealized gain or loss on investments ....................... (0.05)
-----------
Total from investment operations ................................................. 0.08
-----------
LESS DISTRIBUTIONS:
From net investment income .............................................................. (0.13)
-----------
Total distributions .............................................................. (0.13)
-----------
Net asset value, end of period ............................................................. $ 9.95
===========
Total return ............................................................................... 0.75%
Net assets, end of period (000's) .......................................................... $ 14,860
Ratio of total expenses to average net assets .............................................. 0.60%(1)
Ratio of net investment income to average net assets ....................................... 5.35%(1)
Ratio of net expense before reimbursement and waiver to average net assets ................. 1.52%(1)
Ratio of net investment income before reimbursement and waiver to average net assets ....... 4.43%(1)
Portfolio turnover rate .................................................................... 0.37%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
43
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS BOND
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 4, 1998 TO
APRIL 30, 1998
CLASS A (UNAUDITED)
- -------------------------------------------------------------------------------------------- ------------------------
<S> <C>
Net asset value, beginning of period ....................................................... $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................................................... 0.12
Net realized and change in unrealized gain or loss on investments ....................... (0.05)
---------
Total from investment operations ................................................. 0.07
---------
LESS DISTRIBUTIONS:
From net investment income .............................................................. (0.12)
---------
Total distributions .............................................................. (0.12)
---------
Net asset value, end of period ............................................................. $ 9.95
=========
Total return (does not reflect applicable sales charges) ................................... 0.67%
Net assets, end of period (000's) .......................................................... $ 110
Ratio of total expenses to average net assets .............................................. 0.85%(1)
Ratio of net investment income to average net assets ....................................... 5.10%(1)
Ratio of net expense before reimbursement and waiver to average net assets ................. 1.77%(1)
Ratio of net investment income before reimbursement and waiver to average net assets ....... 4.18%(1)
Portfolio turnover rate .................................................................... 0.37%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
44
<PAGE>
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED DECEMBER 10, 1996
APRIL 30, 1998 TO OCTOBER 31,
CLASS I (UNAUDITED) 1997
- ------------------------------------------------------------------------------- ---------------------- -----------------------
<S> <C> <C>
Net asset value, beginning of period .......................................... $ 12.43 $ 10.00
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...................................................... 0.06 0.12
Net realized and change in unrealized gain or loss on investments .......... 2.53 2.33
----------- -----------
Total from investment operations .................................... 2.59 2.45
----------- -----------
LESS DISTRIBUTIONS:
From net investment income ................................................. (0.13) (0.02)
From net realized gains on investments ..................................... (1.22) --
----------- -----------
Total distributions ................................................. (1.35) (0.02)
----------- -----------
Net asset value, end of period ................................................ $ 13.67 $ 12.43
=========== ===========
Total return .................................................................. 22.48% 24.49 %
Net assets, end of period (000's) ............................................. $ 18,157 $ 10,876
Ratio of total expenses to average net assets ................................. 0.70%(1) 0.70 %(1)
Ratio of net investment income to average net assets .......................... 1.00%(1) 1.15 %(1)
Ratio of net expense before reimbursement and waiver
to average net assets .................................................... 1.40%(1) 1.95 %(1)
Ratio of net investment income before reimbursement
and waiver to average net assets ......................................... 0.30%(1) (0.11)%(1)
Portfolio turnover rate ....................................................... 64.31% 82.31 %
Average commission rate paid per share on purchases of equity securities ...... $ 0.0387 $ 0.0382
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
45
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED FEBRUARY 3, 1997 TO
APRIL 30, 1998 OCTOBER 31,
CLASS A (UNAUDITED) 1997
- ------------------------------------------------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period .......................................... $ 12.36 $ 10.57
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...................................................... 0.04 0.02
Net realized and change in unrealized gain or loss on investments .......... 2.52 1.77
----------- -----------
Total from investment operations .................................... 2.56 1.79
----------- -----------
LESS DISTRIBUTIONS:
From net investment income ................................................. (0.09) --
From net realized gains on investments ..................................... (1.22) --
----------- -----------
Total distributions ................................................. (1.31) --
----------- -----------
Net asset value, end of period ................................................ $ 13.61 $ 12.36
=========== ===========
Total return (does not reflect applicable sales charges) ...................... 22.28 % 16.93 %
Net assets, end of period (000's) ............................................. $ 3,933 $ 1,833
Ratio of total expenses to average net assets ................................. 1.08 %(1) 1.45 %(1)
Ratio of net investment income to average net assets .......................... 0.62 %(1) 0.16 %(1)
Ratio of net expense before reimbursement and waiver
to average net assets .................................................... 1.78 %(1) 2.98 %(1)
Ratio of net investment income before reimbursement
and waiver to average net assets ......................................... (0.08)%(1) (1.36)%(1)
Portfolio turnover rate ....................................................... 64.31 % 82.31 %
Average commission rate paid per share on
equity securities traded ................................................. $ 0.0387 $ 0.0382
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
46
<PAGE>
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998 TO
APRIL 30, 1998
CLASS I (UNAUDITED)
- -------------------------------------------------------------------------------------------- ---------------------------
<S> <C>
Net asset value, beginning of period ....................................................... $ 10.00
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................................................... 0.02
Net realized and change in unrealized gain or loss on investments ....................... 1.23
-----------
Total from investment operations ................................................. 1.25
-----------
Net asset value, end of period ............................................................. $ 11.25
===========
Total return ............................................................................... 12.50 %
Net assets, end of period (000's) .......................................................... $ 8,341
Ratio of total expenses to average net assets .............................................. 0.75 %(1)
Ratio of net investment income to average net assets ....................................... 0.70 %(1)
Ratio of net expense before reimbursement and waiver to average net assets ................. 2.37 %(1)
Ratio of net investment income before reimbursement and waiver to average net assets ....... (0.92)%(1)
Portfolio turnover rate .................................................................... 33.26 %
Average commission rate paid per share on equity securities traded ......................... $ 0.0402
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
47
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998 TO
APRIL 30, 1998
CLASS A (UNAUDITED)
- -------------------------------------------------------------------------------------------- ----------------------------
<S> <C>
Net asset value, beginning of period ....................................................... $ 10.00
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................................................... 0.01
Net realized and change in unrealized gain or loss on investments ....................... 1.24
-----------
Total from investment operations ................................................. 1.25
-----------
Net asset value, end of period ............................................................. $ 11.25
===========
Total return (does not reflect applicable sales charges) ................................... 12.50 %
Net assets, end of period (000's) .......................................................... $ 144
Ratio of total expenses to average net assets .............................................. 1.00 %(1)
Ratio of net investment income to average net assets ....................................... 0.45 %(1)
Ratio of net expense before reimbursement and waiver to average net assets ................. 2.62 %(1)
Ratio of net investment income before reimbursement and waiver to average net assets ....... (1.17)%(1)
Portfolio turnover rate .................................................................... 33.26 %
Average commission rate paid per share on equity securities traded ......................... $ 0.0402
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
48
<PAGE>
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998
TO APRIL 30, 1998
CLASS I (UNAUDITED)
- -------------------------------------------------------------------------------------------- -------------------------
<S> <C>
Net asset value, beginning of period ....................................................... $ 10.00
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................................................... 0.01
Net realized and change in unrealized gain or loss on investments ....................... 1.18
-----------
Total from investment operations ................................................. 1.19
-----------
Net asset value, end of period ............................................................. $ 11.19
===========
Total return ............................................................................... 11.90 %
Net assets, end of period (000's) .......................................................... $ 8,299
Ratio of total expenses to average net assets .............................................. 0.75 %(1)
Ratio of net investment income to average net assets ....................................... 0.28 %(1)
Ratio of net expense before reimbursement and waiver to average net assets ................. 2.36 %(1)
Ratio of net investment income before reimbursement and waiver to average net assets ....... (1.33)%(1)
Portfolio turnover rate .................................................................... 25.16 %
Average commission rate paid per share on equity securities traded ......................... $ 0.0684
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
49
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998
TO APRIL 30, 1998
CLASS A (UNAUDITED)
- -------------------------------------------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ....................................................... $ 10.00
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net realized and change in unrealized gain or loss on investments ....................... 1.18
-----------
Total from investment operations ................................................. 1.18
-----------
Net asset value, end of period ............................................................. $ 11.18
===========
Total return (does not reflect applicable sales charges) ................................... 11.80 %
Net assets, end of period (000's) .......................................................... $ 171
Ratio of total expenses to average net assets .............................................. 1.00 %(1)
Ratio of net investment income to average net assets ....................................... 0.03 %(1)
Ratio of net expense before reimbursement and waiver to average net assets ................. 2.61 %(1)
Ratio of net investment income before reimbursement and waiver to average net assets ....... (1.58)%(1)
Portfolio turnover rate .................................................................... 25.16 %
Average commission rate paid per share on equity securities traded ......................... $ 0.0684
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
50
<PAGE>
[START DESCRIPTION OF LINE CHARTS]
AETNA ASCENT FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
1 Year Inception+
- -------------------------------------
<S> <C>
CLASS I 29.23% 22.88%
- -------------------------------------
CLASS A 28.64% 22.12%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Jan-95 Apr-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent Fund
(Class I) 10000 10286 11010 11850 12362 12766 13350 14024 14114 15337 17868 18225 19822
Ascent Composite 10000 10517 11172 11765 12233 12575 12984 13319 13459 14241 16239 16745 17902
</TABLE>
AETNA CROSSROADS FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
1 Year Inception+
- -------------------------------------
<S> <C>
CLASS I 24.73% 19.52%
- -------------------------------------
CLASS A 24.11% 18.72%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Jan-95 Apr-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads Fund
(Class I) 10000 10289 10930 11670 12105 12428 12875 13444 13566 14491 16503 16919 18075
Crossroads Composite 10000 10520 11145 11627 12076 12294 12613 12920 13081 13686 15342 15773 16631
</TABLE>
AETNA LEGACY FUND
Growth of $10,000
<TABLE>
<CAPTION>
Average Annual Total Returns
for the Period Ended April 30, 1998*
- -------------------------------------
1 Year Inception+
- -------------------------------------
<S> <C>
CLASS I 18.81% 15.75%
- -------------------------------------
CLASS A 18.24% 14.98%
- -------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Jan-95 Apr-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy Fund
(Class I) 10000 10303 10870 11489 11889 12102 12471 12863 13019 13678 15095 15427 16251
Legacy Composite 10000 10523 11118 11489 11921 12019 12253 12530 12712 13148 14483 14843 15433
</TABLE>
[END DESCRIPTION OF LINE CHARTS]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results.
+ Date of inception for the Class I (formerly Select Class) shares was January
4, 1995. The date of inception for the Class A (formerly Adviser Class) shares
was January 20, 1997. For periods prior to the date, Class A performance is
calculated by using the performance of Class I, adjusted for fees and expenses
charged to Class A. Class I and Class A shares participate in the same portfolio
of securities.
51
<PAGE>
AETNA GENERATION FUNDS
HOW DID THE FUNDS PERFORM DURING THE PERIOD?
Returns for the six-month period ended April 30, 1998 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.
<TABLE>
<CAPTION>
FUND RETURN FUND RETURN BENCHMARK INDEX
GENERATION FUND (CLASS I) (CLASS A)* RETURN
<S> <C> <C> <C>
Ascent 10.93% 10.80% 10.24%
Crossroads 9.53% 9.37% 8.40%
Legacy 7.67% 7.48% 6.55%
</TABLE>
*Performance is based on the six month return of Class A shares, adjusted for
fees and expenses charged to Class A, and does not reflect the deduction of the
front end sales charge.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
Serving as a backdrop for each Fund's performance are the returns for the
various indices representing the asset classes in which the Generation Funds
invest (shown below). Again, the combination of these seven indices in different
weights comprise the overall benchmarks against which we measure each Fund's
performance (shown above).
<TABLE>
<CAPTION>
INDEX
ASSET CLASS BENCHMARK INDEX RETURN
<S> <C> <C>
Large Cap Stocks S&P 500 (a) 22.50%
Small Cap Stocks Russell 2000 (b) 11.86%
International Stocks MSCI EAFE (c) 15.59%
Real Estate Stocks NAREIT (d) 0.69%
U.S. Dollar Bonds Salomon Broad (e) 3.69%
International Bonds S.B. Non-U.S. WGBI (f) (1.01)%
Cash Equivalents U.S. 90 Day T-Bill (g) 2.58%
</TABLE>
WHAT INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST SIX MONTHS?
For the entire six month period under review, U.S. large cap stocks appeared to
be expensive compared to other equity alternatives, causing us to hold a smaller
allocation of large cap stocks than our benchmark weights. The negative impact
of being underweight in large cap stocks, when the S&P 500 outperformed all
other asset classes, was offset by the positive outcomes of holding underweight
positions in real estate and international bonds. On the other hand, we held
overweight positions in small cap stocks, largely due to their attractiveness
relative to large cap stocks during the period. Overall, our asset allocation
decisions had a neutral impact on performance. We credit the Funds'
outperformance primarily to excellent stock selection results.
52 See Definition of Indices.
<PAGE>
[GRAPHS OMITTED]
The bar chart shows the asset class weights relative to benchmark weights for
the following asset classes for the Ascent, Crossroads and Legacy Funds:
o Large Cap
o Small Cap
o Real Estate
o International Stocks
o International Bonds
o U.S. Bonds
o Cash
The bar chart compares the weights on October 31, 1997, and April 30, 1998.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Due to the lagging year-to-date performance of real estate stocks, equity REITs
are attractively valued and in response, we have dramatically increased our real
estate targets to overweight positions and are in the process of building
positions. Relative valuation among domestic equities favors small cap stocks
and we remain overweight there. However, in an effort to reduce risk relative to
our benchmarks, we have increased our large cap holdings to a slightly
underweight position. In order to fund these purchases, we have reduced cash and
U.S. bond allocations. Essentially, the roughly 5% yield on cash and 6.5% yield
on corporate bonds was replaced with the 6% average yield on equity REITs with
much better capital appreciation potential.
We continue to favor selected international equity markets, particularly Europe,
and continue to underweight the Far East. We remain partially hedged against the
major currencies, with a heavier emphasis against the Yen. Foreign bonds still
look unattractive to us.
53
<PAGE>
ASSET ALLOCATION:
<TABLE>
<CAPTION>
% OF NOTIONAL VALUE* ECONOMIC EXPOSURE*
ASSET CLASS INVESTMENTS OF FUTURES 04/30/98 10/31/97 BENCHMARK RANGE
ASCENT
- ------
<S> <C> <C> <C> <C> <C> <C>
Large Cap Stocks 18% -- 18% 10% 20% 0 - 60%
Small Cap Stocks 27% -- 27% 26% 20% 0 - 40%
Real Estate Stocks 21% -- 21% 13% 20% 0 - 40%
U.S. Dollar Bonds 5% -- 5% 14% 10% 0 - 30%
International Stocks 19% 1% 20% 21% 20% 0 - 40%
International Bonds 0% 4% 4% 3% 10% 0 - 20%
Cash Equivalents 10% (5%) 5% 13% 0% 0 - 30%
--------------- -------------- ------------ ------------- ------------
100% -- 100% 100% 100%
=============== ============== ============ ============= ============
CROSSROADS
- ----------
Large Cap Stocks 13% -- 13% 7% 15% 0 - 45%
Small Cap Stocks 20% -- 20% 20% 15% 0 - 30%
Real Estate Stocks 16% -- 16% 10% 15% 0 - 30%
U.S. Dollar Bonds 21% -- 21% 30% 25% 0 - 70%
International Stocks 16% 1% 17% 17% 15% 0 - 30%
International Bonds 0% 3% 3% 2% 10% 0 - 20%
Cash Equivalents 14% (4%) 10% 14% 5% 0 - 30%
--------------- -------------- ------------ ------------- ------------
100% -- 100% 100% 100%
============ ============== ============ ============ ============
LEGACY
- ------
Large Cap Stocks 9% -- 9% 5% 10% 0 - 30%
Small Cap Stocks 13% -- 13% 13% 10% 0 - 20%
Real Estate Stocks 10% -- 10% 7% 10% 0 - 20%
U.S. Dollar Bonds 36% -- 36% 47% 40% 0 -100%
International Stocks 15% 1% 16% 13% 10% 0 - 20%
International Bonds 0% 2% 2% 4% 10% 0 - 20%
Cash Equivalents 17% (3%) 14% 11% 10% 0 - 30%
--------------- -------------- ------------ ------------- ------------
100% -- 100% 100% 100%
============== ============== ============ ============= ============
</TABLE>
* Notional value refers to the economic value at risk, or the exposure to the
financial instruments underlying the options and futures positions. Economic
exposure reflects the Fund's exposure to both changes in value of the portfolio
of investments as well as the financial instruments underlying the futures
positions.
54
<PAGE>
DEFINITION OF INDICES
(a) The Standard & Poor's 500 (S&P 500) Index is a value-weighted, unmanaged
index of 500 widely held stocks that assumes the reinvestment of all dividends,
and is considered to be representative of the stock market in general.
(b) The Russell 2000 Index consists of the smallest 2000 companies in the
Russell 3000 Index, and represents approximately 10% of the Russell 3000 total
market capitalization. The 3000 largest U.S. companies by market capitalization,
representing nearly 98% of the U.S. equity market, comprise the Russell 3000
Index. Both indices assume reinvestment of all dividends and are unmanaged.
(c) The Morgan Stanley Capital International-Europe, Australia, Far East (MSCI
EAFE) Index is an unmanaged, market value-weighted average of the performance of
more than 900 securities listed on the stock exchanges of countries in Europe,
Australia and the Far East.
(d) The National Association of Real Estate Investment Trusts (NAREIT) Equity
REIT Index is an unmanaged, market-weighted average of the performance for
tax-qualified real estate investment trusts listed on the New York Stock
Exchange, American Stock Exchange and the NASDAQ National Market System.
(e) Salomon Brothers Broad Investment-Grade Bond Index is an unmanaged,
market-weighted index that contains approximately 4,700 individually priced
investment-grade bonds rated BBB or better. The index includes U.S.
Treasury/Agency issues, mortgage pass-through securities, and corporate issues.
(f) The Salomon Brothers Non-U.S. World Government Bond Index (S.B. Non-U.S.
WGBI) serves as an unmanaged benchmark to evaluate the performance of government
bonds with a maturity of one year or greater in the following 12 countries:
Japan, United Kingdom, Germany, France, Canada, the Netherlands, Australia,
Denmark, Italy, Belgium, Spain and Sweden.
(g) Three-month Treasury bills are government-backed short-term investments
considered to be risk-free, and equivalent to cash because their maturity is
only three months.
55
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
ASCENT
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (83.1%)
UNITED STATES (65.0%)
AIR TRANSPORT (1.3%)
Airborne Freight Corp............................... 300 $ 11,888
Alaska Air Group, Inc.+............................. 300 16,838
America West Holdings Corp.+........................ 8,000 241,999
AMR Corp.+.......................................... 600 91,425
Delta Air Lines, Inc................................ 600 69,750
Northwest Airlines Corp.+........................... 500 26,250
UAL Corp.+.......................................... 200 17,438
US Airways Group, Inc.+............................. 700 49,788
-------------
525,376
-------------
AUTO PARTS AND HARDWARE (0.2%)
Black & Decker Corp................................. 1,600 82,600
Echlin, Inc......................................... 100 4,731
-------------
87,331
-------------
AUTOMOTIVE (0.5%)
Chrysler Corp....................................... 2,200 88,413
Ford Motor Co....................................... 600 27,488
General Motors Corp................................. 1,200 80,850
-------------
196,751
-------------
BANKS AND THRIFTS (3.0%)
Ahmanson (H. F.) & Co............................... 1,400 106,750
AmSouth Bancorporation.............................. 200 12,475
Banc One Corp....................................... 500 29,406
BankAmerica Corp.................................... 900 76,500
Comerica, Inc....................................... 1,000 66,938
Commerce Bancshares, Inc............................ 200 9,800
Downey Financial Corp............................... 2,900 100,594
Fleet Financial Group, Inc.......................... 900 77,738
Golden West Financial Corp.......................... 1,500 157,969
Imperial Bancorp+................................... 1,500 43,969
NationsBank Corp.................................... 1,000 75,750
Republic New York Corp.............................. 500 66,875
Riggs National Corp................................. 900 25,931
SouthTrust Corp..................................... 350 14,941
State Street Corp................................... 1,000 71,500
Suntrust Banks, Inc................................. 1,000 81,438
USBANCORP, Inc...................................... 1,200 98,400
Washington Federal.................................. 400 11,250
Webster Financial Corp.............................. 800 27,100
WSFS Financial Corp.+............................... 2,600 55,575
-------------
1,210,899
-------------
BIOTECH AND MEDICAL PRODUCTS (2.6%)
ADAC Laboratories+.................................. 3,400 73,950
Alpharma, Inc....................................... 6,400 145,600
Arterial Vascular Engineering, Inc.+................ 1,800 63,675
ATL Ultrasound, Inc.+............................... 300 14,513
Centocor, Inc.+..................................... 100 4,219
Datascope Corp.+.................................... 400 11,250
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Genentech, Inc.+.................................... 500 $ 34,625
Hanger Orthopedic Group, Inc.+...................... 11,000 205,562
Hillenbrand Industries, Inc......................... 100 6,238
OEC Medical Systems, Inc.+.......................... 6,800 154,275
Quintiles Transnational Corp.+...................... 200 9,900
Safeskin Corp.+..................................... 800 28,500
Serologicals Corp.+................................. 3,000 90,000
Visx, Inc.+......................................... 5,000 220,624
Watson Pharmaceuticals, Inc.+....................... 100 4,300
-------------
1,067,231
-------------
CHEMICALS (0.0%)
Rohm & Haas Co...................................... 200 21,563
-------------
COMMERCIAL SERVICES (1.3%)
AccuStaff, Inc.+.................................... 500 17,938
Day Runner, Inc.+................................... 1,000 24,000
Deluxe Corp......................................... 1,600 53,600
Galileo International, Inc.......................... 5,200 209,949
Valassis Communications, Inc.+...................... 5,500 215,874
Viad Corp........................................... 100 2,581
-------------
523,942
-------------
COMPUTERS (1.1%)
Cabletron Systems, Inc.+............................ 2,000 26,500
Ceridian Corp.+..................................... 1,200 67,875
Dell Computer Corp.+................................ 2,100 169,575
Digital Equipment Corp.+............................ 400 22,250
Hewlett Packard Co.................................. 1,000 75,313
Sun Microsystems, Inc.+............................. 1,600 65,900
-------------
427,413
-------------
CONGLOMERATE AND AEROSPACE (0.6%)
Goodrich (B.F.) Co.................................. 1,200 64,575
Gulfstream Aerospace Corp.+......................... 200 8,388
Lockheed Martin Corp................................ 700 77,963
Loews Corp.......................................... 700 70,044
Thiokol Corp........................................ 300 16,163
United Technologies Corp............................ 100 9,844
-------------
246,977
-------------
CONSUMER FINANCE (0.6%)
Associates First Capital Corp....................... 446 33,305
Countrywide Credit Industries, Inc.................. 1,200 58,050
Crescent Operating, Inc.+........................... 300 6,563
Federal Home Loan Mortgage Corp..................... 2,100 97,256
Leasing Solutions, Inc.+............................ 1,700 46,963
Money Store, Inc. (The)............................. 200 6,575
-------------
248,712
-------------
CONSUMER PRODUCTS (0.7%)
American Greetings Corp............................. 1,000 46,250
Blyth Industries, Inc.+............................. 400 14,675
French Fragrances, Inc.+............................ 3,000 51,000
</TABLE>
56 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
CONSUMER PRODUCTS (CONTINUED)
M & F Worldwide Corp.+.............................. 3,900 $ 37,050
National R.V. Holdings, Inc.+....................... 2,600 99,775
Procter & Gamble Co................................. 400 32,875
Twinlab Corp.+...................................... 300 11,775
-------------
293,400
-------------
CONSUMER SERVICES (1.8%)
Anchor Gaming+...................................... 400 33,700
Brinker International, Inc.+........................ 100 2,400
Darden Restaurants, Inc............................. 3,900 62,400
Foodmaker, Inc.+.................................... 8,000 152,000
Grand Casinos, Inc.+................................ 11,500 201,968
Promus Hotel Corp.+................................. 92 4,157
Service Corp. International......................... 1,500 61,875
Sonic Corp.+........................................ 6,300 201,599
-------------
720,099
-------------
CONSUMER SPECIALTIES (0.3%)
Brunswick Corp...................................... 1,900 61,750
Russ Berrie & Co., Inc.............................. 1,800 51,525
-------------
113,275
-------------
DATA AND IMAGING SERVICES (2.2%)
Aspen Technology, Inc.+............................. 200 9,775
Avant! Corp.+....................................... 800 23,200
BMC Software, Inc.+................................. 200 18,713
Geotel Communications Corp.+........................ 100 2,763
JDA Software Group, Inc.+........................... 1,500 75,844
Keane, Inc.+........................................ 600 30,150
Manugistics Group, Inc.+............................ 3,200 192,000
Microsoft Corp.+.................................... 1,500 135,188
Oracle Corp.+....................................... 800 20,700
Progress Software Corp.+............................ 6,400 204,799
Project Software & Development, Inc.+.............. 2,400 63,600
Siebel Systems, Inc.+............................... 2,200 56,925
Symantec Corp.+..................................... 400 11,600
Visio Corp.+........................................ 800 39,600
-------------
884,857
-------------
DISCRETIONARY RETAIL (3.8%)
American Eagle Outfitters, Inc.+.................... 5,450 318,824
Ames Department Stores, Inc.+....................... 3,600 88,200
Cato Corp. (The).................................... 5,600 79,800
Costco Companies, Inc.+............................. 1,400 78,225
Dayton Hudson Corp.................................. 900 78,581
Dress Barn, Inc.+................................... 2,000 58,250
Federated Department Stores, Inc.+.................. 1,400 68,863
Fingerhut Companies, Inc............................ 500 14,813
Goody's Family Clothing, Inc.+...................... 300 14,850
Lowe's Co., Inc..................................... 1,100 76,931
Maxim Group, Inc. (The)+............................ 10,600 190,800
Micro Warehouse, Inc.+.............................. 300 4,688
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DISCRETIONARY RETAIL (CONTINUED)
Musicland Stores Corp.+............................. 100 $ 1,225
Office Depot, Inc.+................................. 500 16,563
Renters Choice, Inc.+............................... 2,500 68,438
Ross Stores, Inc.................................... 3,800 175,988
Sears, Roebuck & Co................................. 400 23,725
TJX Companies, Inc.................................. 3,800 168,150
-------------
1,526,914
-------------
DIVERSIFIED FINANCIAL SERVICES (0.7%)
Equitable Co., Inc. (The)........................... 200 12,275
Morgan Stanley, Dean Witter, Discover & Co.......... 1,195 94,256
Tower Realty Trust, Inc............................. 500 11,813
Trammell Crow Co.+.................................. 1,800 47,700
Travelers Group, Inc................................ 2,200 134,613
-------------
300,657
-------------
DRUGS (2.4%)
Abbott Laboratories................................. 1,400 102,375
Eli Lilly & Co...................................... 1,400 97,388
Medicis Pharmaceutical Corp.+....................... 3,600 153,900
Merck & Co., Inc.................................... 900 108,450
Pfizer, Inc......................................... 1,200 136,575
Rexall Sundown, Inc.+............................... 300 9,581
Roberts Pharmaceutical Corp.+....................... 14,300 243,099
Schering Plough..................................... 1,200 96,150
Theragenics Corp.+.................................. 1,200 34,200
-------------
981,718
-------------
ELECTRIC UTILITIES (0.0%)
DTE Energy Co....................................... 100 3,919
New York State Electric & Gas Corp.................. 400 16,700
-------------
20,619
-------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.6%)
Technitrol, Inc..................................... 2,700 110,363
Tektronix, Inc...................................... 750 32,250
Xerox Corp.......................................... 800 90,800
-------------
233,413
-------------
ELECTRONIC MEDIA (1.5%)
Chancellor Media Corp.+............................. 100 4,744
Gaylord Entertainment Co............................ 5,100 173,400
Midway Games, Inc.+................................. 8,100 149,850
Speedway Motorsports, Inc.+......................... 5,800 158,413
Walt Disney Co. (The)............................... 1,100 136,744
-------------
623,151
-------------
FOOD AND BEVERAGE (1.5%)
Canandaigua Brands, Inc.+........................... 2,700 141,413
Coors (Adolph) Co................................... 600 21,450
J & J Snack Foods Corp.+............................ 5,101 99,475
NBTY, Inc.+......................................... 700 14,000
Smithfields Foods, Inc.+............................ 4,000 121,500
Suiza Foods Corp.+.................................. 3,200 189,600
-------------
587,438
-------------
</TABLE>
57
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
ASCENT (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
FOOD AND DRUG RETAIL (0.5%)
CVS Corp............................................ 1,300 $ 95,875
Fleming Companies, Inc.............................. 700 13,125
Kroger Co. (The)+................................... 1,800 75,375
SUPERVALU, INC...................................... 100 4,369
-------------
188,744
-------------
FOREST PRODUCTS AND BUILDING MATERIALS (1.2%)
Ball Corp........................................... 100 3,863
Centex Construction Products, Inc................... 1,400 51,450
Crown Cork & Seal Co., Inc.......................... 1,200 62,475
Georgia-Pacific Corp................................ 900 64,313
Lafarge Corp........................................ 400 16,000
Lone Star Industries, Inc........................... 2,800 231,349
Owens Corning....................................... 400 16,625
Sonosight, Inc.+.................................... 100 819
Southdown, Inc...................................... 400 28,300
-------------
475,194
-------------
GAS UTILITIES (0.8%)
Columbia Gas System, Inc............................ 1,300 105,625
Energen Corp........................................ 6,600 147,263
Pacific Enterprises................................. 1,500 58,406
-------------
311,294
-------------
HEALTH SERVICES (0.1%)
Beverly Enterprises, Inc.+.......................... 1,000 15,750
Integrated Health Services, Inc..................... 700 26,994
NovaCare, Inc.+..................................... 800 11,150
-------------
53,894
-------------
HEAVY MACHINERY (0.2%)
Navistar International Corp......................... 1,600 47,800
PACCAR, Inc......................................... 800 47,500
-------------
95,300
-------------
HOUSING AND FURNISHINGS (3.1%)
Centex Corp......................................... 1,800 62,550
Department 56, Inc.+................................ 2,200 79,063
Ethan Allen Interiors, Inc.......................... 2,600 132,438
Fleetwood Enterprises, Inc.......................... 1,200 55,425
Kaufman & Broad Home Corp........................... 300 8,719
Lennar Corp......................................... 7,000 192,062
MDC Holdings, Inc................................... 10,600 182,188
Pulte Corp.......................................... 1,300 66,544
Ryland Group, Inc................................... 6,900 144,469
Standard Pacific Corp............................... 12,100 208,724
U.S. Home Corp.+.................................... 700 29,050
Webb (Del E.) Corp.................................. 2,800 73,325
-------------
1,234,557
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
INSURANCE (1.4%)
Allstate Corp. (The)................................ 2,600 $ 250,249
AMBAC, Inc.......................................... 300 17,006
Conseco, Inc........................................ 1,500 74,438
Everest Re Holdings, Inc............................ 100 4,125
Financial Security Assurance Holdings Ltd........... 700 41,913
Gallagher (Arthur J.) & Co.......................... 2,000 87,750
Old Republic International Corp..................... 300 13,575
SunAmerica, Inc..................................... 1,200 59,925
Torchmark Corp...................................... 400 17,825
-------------
566,806
-------------
INVESTMENT SERVICES (0.4%)
Bear Stearns Co., Inc. (The)........................ 312 17,804
Dames & Moore Group................................. 2,900 37,156
Donaldson, Lufkin & Jenrette, Inc................... 100 9,481
Edwards (A.G.), Inc................................. 350 15,750
Lehman Brothers Holdings, Inc....................... 800 56,850
Omega Worldwide, Inc.+.............................. 1,856 15,660
Providian Financial Corp............................ 200 12,038
-------------
164,739
-------------
MAJOR TELECOMMUNICATIONS (0.9%)
AT&T Corp........................................... 1,700 102,106
BellSouth Corp...................................... 1,900 121,956
MCI Communications Corp............................. 1,200 60,375
U.S. West Communications Group...................... 1,200 63,300
-------------
347,737
-------------
OIL (1.2%)
Ashland Oil, Inc.................................... 2,100 111,038
Clayton Williams Energy, Inc.+...................... 6,800 78,200
Comstock Resources, Inc.+........................... 1,200 15,450
Exxon Corp.......................................... 100 7,294
Lyondell Petrochemical Co........................... 500 16,438
Phillips Petroleum Co............................... 500 24,781
Sun Company, Inc.+.................................. 5,300 214,318
-------------
467,519
-------------
OIL SERVICES (1.4%)
Cliffs Drilling Co.+................................ 1,800 88,763
Helmerich & Payne, Inc.............................. 1,000 30,500
SEACOR SMIT Holdings+............................... 2,700 158,288
Trico Marine Services, Inc.+........................ 4,800 108,600
Veritas DGC, Inc.+.................................. 3,100 167,981
-------------
554,132
-------------
OTHER TELECOMMUNICATIONS (0.4%)
Aliant Communications, Inc.......................... 200 5,675
Century Telephone Enterprises, Inc.................. 300 12,769
Premiere Technologies, Inc.+........................ 3,900 124,313
-------------
142,757
-------------
</TABLE>
58 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
PRINT MEDIA (0.5%)
Hollinger International, Inc........................ 2,000 $ 31,000
Knight-Ridder, Inc.................................. 1,200 69,975
McClatchy Newspapers, Inc........................... 1,200 35,925
Thomas Nelson, Inc.................................. 2,500 33,281
Tribune Co.......................................... 700 46,200
-------------
216,381
-------------
PRODUCER GOODS (4.4%)
Aeroquip-Vickers, Inc.+............................. 900 57,206
Applied Power, Inc.................................. 1,800 67,275
C & D Technologies, Inc............................. 3,500 193,374
Cincinnati Milacron, Inc............................ 2,000 62,125
Cooper Industries, Inc.............................. 800 53,500
FMC Corp.+.......................................... 800 62,050
Gleason Corp........................................ 4,400 145,750
Graco, Inc.......................................... 4,350 149,803
Honeywell, Inc...................................... 900 83,813
Ingersoll-Rand Co................................... 1,300 59,881
ITT Industries, Inc................................. 500 18,219
Kaydon Corp......................................... 500 21,906
Parker-Hannifin Corp................................ 600 26,775
RMI Titanium Co.+................................... 4,500 100,406
Thomas & Betts Corp................................. 1,100 64,213
Timken Co........................................... 6,200 247,612
Tredegar Industries, Inc............................ 2,300 180,119
Trinity Industries, Inc............................. 200 10,200
Westinghouse Air Brake Co........................... 5,800 162,763
-------------
1,766,990
-------------
REAL ESTATE INVESTMENT TRUSTS (20.7%)
Alexandria Real Estate Equities, Inc................ 200 6,588
AMB Property Corp................................... 500 11,500
American Residential Investment Trust, Inc.......... 700 8,663
Apartment Investment & Management Co................ 10,700 399,912
Arden Realty Group, Inc............................. 2,000 56,125
Bay Apartment Communities, Inc...................... 2,200 81,400
Beacon Capital+++.................................... 8,600 176,300
Bedford Property Investors, Inc..................... 1,600 31,100
Berkshire Realty Co., Inc........................... 3,700 45,094
Boston Properties, Inc.............................. 3,000 99,188
Boykin Lodging Co................................... 13,000 305,499
Brandywine Realty Trust............................. 9,700 220,674
Burnham Pacific Properties, Inc..................... 2,200 31,075
Cabot Industrial Trust.............................. 1,900 42,988
Camden Property Trust............................... 4,022 117,895
Capstone Capital Trust, Inc......................... 10,300 245,912
Captec Net Lease Realty, Inc........................ 1,300 20,881
Carramerica Realty Corp............................. 2,700 78,975
CBL & Associates Properties, Inc.................... 12,300 302,118
Colonial Properties Trust........................... 7,800 231,562
Cornerstone Properties, Inc......................... 5,500 99,000
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Cousins Properties, Inc............................. 3,200 $ 96,800
Crescent Real Estate Equities, Inc.................. 8,400 286,649
Criimi Mae, Inc..................................... 3,000 44,813
Developers Diversified Realty Corp.................. 800 31,750
Duke Realty Investments, Inc........................ 8,500 202,405
Eastgroup Properties, Inc........................... 1,500 29,906
Equity Inns, Inc.................................... 21,100 311,224
Equity Office Properties Trust...................... 4,600 130,813
Equity Residential Properties Trust................. 5,400 265,274
Essex Property Trust, Inc........................... 6,300 207,899
Glenborough Realty Trust, Inc....................... 10,300 276,168
Glimcher Realty Trust............................... 1,300 27,625
Health Care REIT, Inc............................... 3,500 97,344
Home Properties of New York, Inc.................... 1,300 34,856
Hospitality Properties Trust........................ 3,200 102,800
Imperial Credit Commercial Mortgage Investment Corp. 800 11,550
Innkeepers USA Trust................................ 9,000 136,125
JDN Realty Corp..................................... 5,600 178,150
Kimco Realty Corp................................... 8,650 320,590
Koger Equity, Inc................................... 1,700 36,444
Lexington Corporate Properties Trust................ 1,800 26,100
LTC Properties, Inc................................. 10,400 202,799
Mack-Cali Realty Corp............................... 1,400 52,588
Meditrust Companies................................. 4,000 120,250
OMEGA Healthcare Investors, Inc..................... 7,000 243,249
Parkway Properties, Inc............................. 10,300 338,612
Post Properties, Inc................................ 6,900 281,605
Prentiss Properties Trust........................... 3,100 78,663
Prime Retail, Inc................................... 5,000 70,938
Reckson Associates Realty Corp...................... 2,700 66,150
Regency Realty Corp................................. 8,300 213,724
SL Green Realty Corp................................ 600 14,400
Sovran Self Storage, Inc............................ 3,000 83,063
Spieker Properties, Inc............................. 3,400 134,725
Starwood Lodging Trust.............................. 6,300 316,180
Sun Communities, Inc................................ 1,900 66,500
Sunstone Hotel Investors, Inc....................... 2,400 37,200
Urban Shopping Centers, Inc......................... 2,700 88,088
Walden Residential Properties, Inc.................. 4,200 102,375
Weeks Corp.......................................... 12,500 393,749
-------------
8,372,592
-------------
SEMICONDUCTORS AND ELECTRONICS (0.4%)
Intel Corp.......................................... 1,100 88,894
Sawtek, Inc.+....................................... 100 3,038
Viacom, Inc.+....................................... 1,400 81,200
-------------
173,132
-------------
SPECIALTY CHEMICALS (0.0%)
Wellman, Inc........................................ 400 9,050
-------------
</TABLE>
59
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
ASCENT (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
STEEL (0.3%)
Bethlehem Steel Corp.+.............................. 1,800 $ 28,013
Steel Dynamics, Inc.+............................... 2,100 48,038
USX-US Steel Group, Inc............................. 1,300 50,863
-------------
126,914
-------------
SURFACE TRANSPORT (0.2%)
Continental Airlines, Inc.+......................... 300 17,663
Norfolk Southern Corp............................... 1,400 46,813
Tidewater, Inc...................................... 400 15,850
U.S. Freightways Corp............................... 400 14,300
-------------
94,626
-------------
TEXTILES AND APPAREL (0.2%)
Burlington Industries, Inc.+........................ 800 14,000
Timberland Co. (The)+............................... 800 68,500
-------------
82,500
-------------
TOTAL UNITED STATES 26,286,594
-------------
FOREIGN COMMON STOCKS (18.1%)
AUSTRALIA (0.6%)
Goodman Fielder Ltd. (Food and Beverage) ........... 31,196 48,409
Mayne Nickless Ltd. (Commercial Services) .......... 15,500 83,698
Westpac Banking Corp. Ltd. (Banks and Thrifts) ..... 10,400 69,842
Woolworth Ltd. (Food and Beverage) ................. 13,911 47,889
-------------
TOTAL AUSTRALIA 249,838
-------------
BELGIUM (0.2%)
Societe Generale De Belgique
(Investment Services) +.......................... 500 77,093
-------------
BRAZIL (0.1%)
Telecomunicaciones Brasileiras SA
(Other Telecommunications) ...................... 400 48,725
-------------
CANADA (0.5%)
Canadian Imperial Bank of Commerce
(Banks and Thrifts) ............................. 2,000 71,100
Canadian National Railway Co.
(Surface Transport) ............................. 2,000 130,125
-------------
TOTAL CANADA 201,225
-------------
CHILE (0.1%)
Cia. de Telecomuncaciones de Chile S.A.
(Other Telecommunications) ...................... 1,400 35,088
-------------
DENMARK (0.5%)
Carli Gry International A/S
(Textiles and Apparel) +......................... 1,000 75,257
Novo-Nordisk A/S (Drugs) ........................... 600 97,323
Tele Danmark A/S (Major Telecommunications) ........ 500 42,013
-------------
TOTAL DENMARK 214,593
-------------
FINLAND (0.7%)
Huhtamaki Group (Diversified) ...................... 1,700 98,291
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
FINLAND (CONTINUED)
Oy Nokia Corp., ADR
(Other Telecommunications) ...................... 1,000 $ 66,875
Sampo Insurance Co. (Insurance) .................... 1,100 49,669
Valmet Oyj (Consumer Services) ..................... 4,100 67,956
-------------
TOTAL FINLAND 282,791
-------------
FRANCE (1.8%)
Accor SA (Consumer Services) +...................... 400 108,944
Alcatel Alsthom (Other Telecommunications) +........ 400 74,114
Credit Commercial de France
(Banks and Thrifts) +............................ 700 55,835
Danone (Food and Beverage) +........................ 200 47,194
Elf Aquitaine SA (Oil) +............................ 500 65,556
Gemini Sogeti SA (Insurance) ....................... 1,000 129,782
Lafarge SA
(Forest Products and Building Materials) ........ 700 66,071
Pernod Ricard (Food and Beverage) .................. 1,200 82,755
Union des Assurances Federales (Insurance) +........ 500 78,185
-------------
TOTAL FRANCE 708,436
-------------
GERMANY (1.1%)
BASF AG (Chemicals) +............................... 1,000 44,581
Bayerische Hypotheken-und Wechsel-Bank AG (Banks
and Thrifts) +................................... 700 39,944
Deutsche Pfandbrief & Hypothekenbank AG (Banks and
Thrifts) +....................................... 1,000 77,180
Gehe AG (Health Services) +......................... 1,000 51,825
Mannesmann AG (Heavy Machinery) +................... 100 79,354
VEBA AG (Electric Utilities) +...................... 700 46,147
Volkswagen AG (Automotive) +........................ 107 85,356
-------------
TOTAL GERMANY 424,387
-------------
HONG KONG (0.3%)
Hutchison Whampoa Ltd.
(Consumer Services) +............................ 6,000 37,103
National Mutual Asia Ltd. (Insurance) .............. 80,000 64,033
-------------
TOTAL HONG KONG 101,136
-------------
IRELAND (0.7%)
Allied Irish Banks (Banks and Thrifts) ............. 2,024 27,858
CRH Plc
(Forest Products and Building Materials) ........ 4,000 57,133
Iona Technologies Plc, ADR
(Data and Imaging Services) +.................... 3,000 93,375
Waterford Wedgewood
(Housing and Furnishings) ....................... 52,002 86,911
-------------
TOTAL IRELAND 265,277
-------------
ITALY (0.9%)
Banca Commerciale Italiana
(Banks and Thrifts) +............................ 8,000 40,453
Credito Italiano (Banks and Thrifts) +.............. 20,000 105,082
</TABLE>
60 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
ITALY (CONTINUED)
Istituto Nazionale delle Assicurazioni (Insurance) + 13,000 $ 38,847
La Rinascente S.p.A. (Discretionary Retail) +....... 8,600 86,148
Telecom Italia S.p.A.
(Major Telecommunications) +..................... 12,100 90,479
-------------
TOTAL ITALY 361,009
-------------
JAPAN (1.8%)
Fuji Photo Film (Chemicals) ........................ 2,000 71,293
Hoya Corp. (Biotech and Medical Products) +......... 3,000 99,448
Kao Corp. (Consumer Products) ...................... 2,000 29,441
Minebea Co. Ltd.
(Semiconductors and Electronics) ................ 6,000 67,207
Mizuno Corp. (Consumer Products) ................... 9,000 30,720
Nintendo Co. Ltd.
(Semiconductors and Electronics) ................ 800 73,503
Nippon Telegraph & Telephone
(Major Telecommunications) ...................... 120 105,351
Onward Kashiyama Co., Ltd.
(Textiles and Apparel) .......................... 3,000 38,598
Santen Pharmaceutical Co., Ltd. (Drugs) ............ 3,000 30,198
Seino Transportation Co., Ltd.
(Surface Transport) ............................. 6,000 34,648
Sony Corp. (Semiconductors and Electronics) ........ 1,100 91,660
Takefuji Corp. (Banks and Thrifts) ................. 1,000 52,600
-------------
TOTAL JAPAN 724,667
-------------
MEXICO (0.6%)
Cifra SA (Discretionary Retail) +................... 33,000 56,985
Grupo Financiero Banamex Accival
(Investment Services) +.......................... 16,000 49,661
Panamerican Beverages, Inc.
(Food and Beverage) ............................. 3,400 135,575
-------------
TOTAL MEXICO 242,221
-------------
NETHERLANDS (1.2%)
Akzo Nobel NV (Chemicals) .......................... 400 81,365
Hunter Douglas NV (Consumer Services) +............. 1,800 87,750
ING Groep NV (Banks and Thrifts) +.................. 1,203 78,175
KLM Royal Dutch Air Line (Surface Transport) +...... 2,100 82,524
Philips Electronics NV
(Semiconductors and Electronics) ................ 900 79,287
VNU-Verenigde Nederlandse Uitgeversbedrijven
Verenigd Bezit
(Print Media) ................................... 2,100 67,973
-------------
TOTAL NETHERLANDS 477,074
-------------
NORWAY (1.1%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ............................. 11,000 50,589
Det Sondenfjelds-Norske Dampskibsselskab (Oil) +.... 3,000 74,416
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
NORWAY (CONTINUED)
Merkantildata ASA (Data and Imaging Services) 4,500 $ 56,717
Ocean Rig ASA (Oil) +............................... 94,850 92,204
Saga Petroleum ASA (Oil) +.......................... 2,400 47,626
Tandberg Television ASA
(Other Telecommunications) +..................... 3,900 51,769
Tomra Systems ASA
(Forest Products and Building Materials) ........ 2,800 90,104
-------------
TOTAL NORWAY 463,425
-------------
SPAIN (0.6%)
Banco Santander (Banks and Thrifts) ................ 1,200 63,380
Cortefiel SA (Discretionary Retail) ................ 1,036 24,538
Iberdrola SA (Electric Utilities) .................. 5,300 85,195
Telefonica de Espana
(Major Telecommunications) ...................... 1,900 79,284
-------------
TOTAL SPAIN 252,397
-------------
SWEDEN (1.5%)
Astra AB (Drugs) ................................... 12,200 250,658
Celsius AB (Conglomerate and Aerospace) +........... 1,600 35,561
Ericsson ADR (Other Telecommunications) ............ 1,400 72,013
Mo Och Domsjoe AB
(Forest Products and Building Materials) ........ 1,400 43,418
SKF AB (Steel) ..................................... 2,800 56,443
Svenska Handelsbanken (Investment Services) ........ 1,000 45,356
WM-Data AB (Computers) +............................ 2,900 87,313
-------------
TOTAL SWEDEN 590,762
-------------
SWITZERLAND (1.1%)
Credit Suisse Group (Banks and Thrifts) +........... 400 88,004
Fischer (Georg) AG (Auto Parts and Hardware) ....... 200 77,336
Kuoni Reisen AG (Commercial Services) +............. 15 80,503
Nestle SA Registered Shares
(Food and Beverage) +............................ 50 97,004
Novartis AG Registered Shares
(Health Services) ............................... 40 66,136
Union Bank of Switzerland (Banks and Thrifts) ...... 30 48,322
-------------
TOTAL SWITZERLAND 457,305
-------------
UNITED KINGDOM (2.7%)
Bank of Scotland (Banks and Thrifts) ............... 6,844 84,107
Cadbury Schweppes Plc (Food and Beverage) .......... 3,600 52,487
Glaxo Wellcome Plc (Drugs) ......................... 1,832 51,766
Granada Group Plc (Consumer Services) +............. 4,561 78,548
Kingfisher Plc (Discretionary Retail) .............. 2,700 49,026
Lonrho Plc (Manufacturing) ......................... 5,125 37,211
Millennium Chemicals, Inc.
(Specialty Chemicals) ........................... 1,200 43,050
National Westminster Bank Plc
(Banks and Thrifts) ............................. 3,600 72,050
NFC Plc (Surface Transport) ........................ 17,800 53,422
Pearson Plc (Print Media) .......................... 3,100 48,567
</TABLE>
61
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
ASCENT (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Peninsular & Oriental Steam Navigation Co.
(Surface Transport) +............................ 4,400 $ 65,328
Royal & Sun Alliance Insurance Group Plc
(Insurance) +.................................... 4,100 45,587
Schroders (Banks and Thrifts) ...................... 1,000 49,040
Shell Transport & Trading Co. (Oil) ................ 8,500 63,243
Tesco Plc (Discretionary Retail) ................... 5,800 54,501
Tomkins Plc (Consumer Services) .................... 12,415 73,068
Unilever Plc (Consumer Products) ................... 5,900 62,839
Vodafone Group Plc
(Other Telecommunications) ...................... 11,078 121,322
-------------
TOTAL UNITED KINGDOM 1,105,162
-------------
TOTAL FOREIGN COMMON STOCKS 7,282,611
-------------
TOTAL COMMON STOCKS (COST $28,779,560) 33,569,205
-------------
PREFERRED STOCKS (0.6%)
GERMANY (0.6%)
Henkel KGAA (Chemicals) +........................... 900 70,215
Hugo Boss AG (Textiles and Apparel) +............... 50 89,161
SAP AG (Data and Imaging Services) +................ 200 99,749
-------------
TOTAL PREFERRED STOCKS (COST $198,906) 259,125
-------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (5.2%)
U.S. GOVERNMENT OBLIGATIONS (2.0%)
U.S. Treasury Bond, 6.63%, 02/15/27................. $ 50,000 54,133
U.S. Treasury Note, 6.50%, 10/15/06................. 225,000 235,791
U.S. Treasury Note, 7.50%, 10/31/99................. 500,000 513,592
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $782,889) 803,516
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (1.9%)
Federal National Mortgage Association-Convertible
Loan, 6.50%, 11/01/27............................ 246,986 244,747
Government National Mortgage Association, 7.00%,
02/15/28......................................... 499,086 505,638
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $751,809) 750,385
-------------
CORPORATE AND CONVERTIBLE BONDS (1.3%)
HSBC Americas, Inc., 7.00%, 11/01/06................ 100,000 102,264
Tenet Healthcare Corp., 7.88%, 01/15/03............. 200,000 204,581
Time Warner, Inc., 9.13%, 01/15/13.................. 175,000 210,559
-------------
TOTAL CORPORATE AND CONVERTIBLE BONDS (COST $490,187) 517,404
-------------
TOTAL LONG-TERM BONDS AND NOTES (COST $2,024,885) 2,071,305
-------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (9.5%)
Dakota Certificates-Standard Credit Card Master
Trust-1, Comm. Paper, 5.53%, 05/05/98++++........ $ 1,000,000 $ 999,386
Federal Home Loan Mortgage Corp., Comm. Paper,
5.45%, 05/01/98.................................. 2,484,000 2,484,000
U.S. Treasury, Comm. Paper, 5.03%, 08/20/98@........ 350,000 344,687
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $3,827,963) 3,828,073
-------------
TOTAL INVESTMENTS (COST $34,831,314)(a) 39,727,708
OTHER ASSETS LESS LIABILITIES 684,903
-------------
TOTAL NET ASSETS $ 40,412,611
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$34,890,045. Unrealized gains and losses, based on identified tax cost at April
30, 1998, are as follows:
Unrealized gains .................................. $ 5,463,041
Unrealized losses ................................. (625,378)
=============
Net unrealized gain ............................ $ 4,837,663
=============
</TABLE>
Information concerning open futures contracts at April 30, 1998 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
------------- ------------- -------------- ---------------
LONG CONTRACTS
- -------------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures ............. 8 $ 185,182 June 98 $ (5,489)
French Notional Bond
Futures ............. 2 169,703 June 98 (382)
Topix Index Futures .... 3 287,886 June 98 (6,509)
Swiss Government Bond
Futures ............. 2 167,936 June 98 (1,900)
------------- --------------
$ 810,707 $ (14,280)
============= ==============
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++ 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 April 30, 1998.
Category percentages are based on net assets.
62 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
CROSSROADS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (64.3%)
UNITED STATES (48.6%)
AIR TRANSPORT (1.0%)
Airborne Freight Corp............................... 200 $ 7,925
Alaska Air Group, Inc.+............................. 200 11,225
America West Holdings Corp.+........................ 6,500 196,624
AMR Corp.+.......................................... 500 76,188
Delta Air Lines, Inc................................ 500 58,125
Northwest Airlines Corp.+........................... 400 21,000
UAL Corp.+.......................................... 100 8,719
US Airways Group, Inc.+............................. 400 28,450
-------------
408,256
-------------
AUTO PARTS AND HARDWARE (0.1%)
Black & Decker Corp................................. 1,100 56,788
-------------
AUTOMOTIVE (0.4%)
Chrysler Corp....................................... 1,600 64,300
Ford Motor Co....................................... 400 18,325
General Motors Corp................................. 900 60,638
-------------
143,263
-------------
BANKS AND THRIFTS (1.8%)
AmSouth Bancorporation.............................. 200 12,475
Banc One Corp....................................... 100 5,881
BankAmerica Corp.................................... 700 59,500
Comerica, Inc....................................... 850 56,897
Commerce Bancshares, Inc............................ 150 7,350
Dime Bancorp, Inc................................... 100 3,069
Downey Financial Corp............................... 2,500 86,719
Fleet Financial Group, Inc.......................... 700 60,463
Golden West Financial Corp.......................... 1,100 115,844
NationsBank Corp.................................... 1,200 90,900
Republic New York Corp.............................. 400 53,500
Riggs National Corp................................. 700 20,169
SouthTrust Corp..................................... 200 8,538
State Street Corp................................... 700 50,050
Suntrust Banks, Inc................................. 800 65,150
Washington Federal.................................. 300 8,438
Webster Financial Corp.............................. 200 6,775
WSFS Financial Corp.+............................... 700 14,963
-------------
726,681
-------------
BIOTECH AND MEDICAL PRODUCTS (2.0%)
ADAC Laboratories+.................................. 2,200 47,850
Alpharma, Inc....................................... 5,200 118,300
Arterial Vascular Engineering, Inc.+................ 1,300 45,988
ATL Ultrasound, Inc.+............................... 200 9,675
Centocor, Inc.+..................................... 100 4,219
Conmed Corp.+....................................... 1,800 41,175
Datascope Corp.+.................................... 300 8,438
Genentech, Inc.+.................................... 400 27,700
Hanger Orthopedic Group, Inc.+...................... 4,200 78,488
Hillenbrand Industries, Inc......................... 100 6,238
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
OEC Medical Systems, Inc.+.......................... 3,200 $ 72,600
Quintiles Transnational Corp.+...................... 200 9,900
Safeskin Corp.+..................................... 2,800 99,750
Serologicals Corp.+................................. 2,600 78,000
Visx, Inc.+......................................... 3,700 163,262
-------------
811,583
-------------
CHEMICALS (0.1%)
Eastman Chemical Co................................. 400 27,500
Rohm & Haas Co...................................... 200 21,563
-------------
49,063
-------------
COMMERCIAL SERVICES (1.2%)
AccuStaff, Inc.+.................................... 400 14,350
Day Runner, Inc.+................................... 2,400 57,600
Deluxe Corp......................................... 1,000 33,500
Galileo International, Inc.......................... 4,300 173,612
Valassis Communications, Inc.+...................... 5,000 196,249
-------------
475,311
-------------
COMPUTERS (0.8%)
Cabletron Systems, Inc.+............................ 2,900 38,425
Ceridian Corp.+..................................... 900 50,906
Dell Computer Corp.+................................ 1,000 80,750
Digital Equipment Corp.+............................ 300 16,688
Hewlett Packard Co.................................. 1,000 75,313
Sun Microsystems, Inc.+............................. 1,200 49,425
-------------
311,507
-------------
CONGLOMERATE AND AEROSPACE (0.6%)
Goodrich (B.F.) Co.................................. 900 48,431
Gulfstream Aerospace Corp.+......................... 200 8,388
Lockheed Martin Corp................................ 500 55,688
Loews Corp.......................................... 500 50,031
Raytheon Co......................................... 1 55
Thiokol Corp........................................ 200 10,775
United Technologies Corp............................ 500 49,219
-------------
222,587
-------------
CONSUMER FINANCE (0.3%)
Associates First Capital Corp....................... 341 25,468
Countrywide Credit Industries, Inc.................. 900 43,538
Crescent Operating, Inc.+........................... 260 5,688
Leasing Solutions, Inc.+............................ 1,300 35,913
Money Store, Inc. (The)............................. 200 6,575
-------------
117,182
-------------
CONSUMER PRODUCTS (0.4%)
American Greetings Corp............................. 550 25,438
Blyth Industries, Inc.+............................. 300 11,006
National R.V. Holdings, Inc.+....................... 2,400 92,100
Procter & Gamble Co................................. 100 8,219
Twinlab Corp.+...................................... 200 7,850
-------------
144,613
-------------
</TABLE>
See Notes to Portfolio of Investments. 63
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
CONSUMER SERVICES (1.5%)
Anchor Gaming+...................................... 200 $ 16,850
Brinker International, Inc.+........................ 100 2,400
Darden Restaurants, Inc............................. 2,900 46,400
Foodmaker, Inc.+.................................... 4,300 81,700
Grand Casinos, Inc.+................................ 8,100 142,256
Harvey's Casino Resorts............................. 3,500 94,938
Promus Hotel Corp.+................................. 92 4,157
Service Corp. International......................... 1,100 45,375
Sonic Corp.+........................................ 5,100 163,199
-------------
597,275
-------------
CONSUMER SPECIALTIES (0.2%)
Brunswick Corp...................................... 1,400 45,500
Russ Berrie & Co., Inc.............................. 1,000 28,625
-------------
74,125
-------------
DATA AND IMAGING SERVICES (1.8%)
Apex PC Solutions, Inc.+............................ 3,400 101,575
Aspen Technology, Inc.+............................. 100 4,888
Avant! Corp.+....................................... 2,400 69,600
BMC Software, Inc.+................................. 200 18,713
Cadence Design Systems, Inc.+....................... 400 14,525
Compuware Corp.+.................................... 200 9,775
Fiserv, Inc.+....................................... 1 65
Geotel Communications Corp.+........................ 100 2,763
Keane, Inc.+........................................ 500 25,125
Manugistics Group, Inc.+............................ 1,000 60,000
Microsoft Corp.+.................................... 1,300 117,163
Oracle Corp.+....................................... 600 15,525
Progress Software Corp.+............................ 5,000 160,000
Siebel Systems, Inc.+............................... 1,900 49,163
Symantec Corp.+..................................... 300 8,700
Visio Corp.+........................................ 1,300 64,350
-------------
721,930
-------------
DISCRETIONARY RETAIL (2.6%)
American Eagle Outfitters, Inc.+.................... 5,050 295,424
Ames Department Stores, Inc.+....................... 2,900 71,050
Costco Companies, Inc.+............................. 1,100 61,463
Dayton Hudson Corp.................................. 700 61,119
Dress Barn, Inc.+................................... 1,800 52,425
Federated Department Stores, Inc.+.................. 1,100 54,106
Fingerhut Companies, Inc............................ 400 11,850
Lowe's Co., Inc..................................... 900 62,944
Maxim Group, Inc. (The)+............................ 8,000 144,000
Micro Warehouse, Inc.+.............................. 200 3,125
Office Depot, Inc.+................................. 300 9,938
Renters Choice, Inc.+............................... 1,500 41,063
Ross Stores, Inc.................................... 2,300 106,519
Sears, Roebuck & Co................................. 300 17,794
TJX Companies, Inc.................................. 1,300 57,525
-------------
1,050,345
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DIVERSIFIED FINANCIAL SERVICES (0.6%)
Equitable Co., Inc. (The)........................... 100 $ 6,138
Morgan Stanley, Dean Witter, Discover & Co.......... 960 75,720
Tower Realty Trust, Inc............................. 400 9,450
Trammell Crow Co.+.................................. 1,300 34,450
Travelers Group, Inc................................ 1,600 97,900
-------------
223,658
-------------
DRUGS (1.9%)
Abbott Laboratories................................. 1,100 80,438
Eli Lilly & Co...................................... 1,100 76,519
Medicis Pharmaceutical Corp.+....................... 3,500 149,625
Merck & Co., Inc.................................... 700 84,350
Pfizer, Inc......................................... 1,200 136,575
Rexall Sundown, Inc.+............................... 200 6,388
Roberts Pharmaceutical Corp.+....................... 800 13,600
Schering Plough..................................... 900 72,113
Theragenics Corp.+.................................. 5,000 142,500
-------------
762,108
-------------
ELECTRIC UTILITIES (0.0%)
DTE Energy Co....................................... 100 3,919
New York State Electric & Gas Corp.................. 300 12,525
-------------
16,444
-------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.3%)
Harris Corp......................................... 900 43,538
Lexmark International Group, Inc.+.................. 200 11,575
Xerox Corp.......................................... 600 68,100
-------------
123,213
-------------
ELECTRONIC MEDIA (1.2%)
Chancellor Media Corp.+............................. 100 4,744
Gaylord Entertainment Co............................ 4,200 142,800
Midway Games, Inc.+................................. 6,100 112,850
Speedway Motorsports, Inc.+......................... 4,700 128,369
Walt Disney Co. (The)............................... 800 99,450
-------------
488,213
-------------
FOOD AND BEVERAGE (1.1%)
Canandaigua Brands, Inc.+........................... 2,200 115,225
Coors (Adolph) Co................................... 500 17,875
J & J Snack Foods Corp.+............................ 7,100 138,450
NBTY, Inc.+......................................... 500 10,000
Quaker Oats Co...................................... 200 10,400
Smithfields Foods, Inc.+............................ 400 12,150
Suiza Foods Corp.+.................................. 2,300 136,275
-------------
440,375
-------------
FOOD AND DRUG RETAIL (0.4%)
CVS Corp............................................ 1,000 73,750
Fleming Companies, Inc.............................. 2,400 45,000
Kroger Co. (The)+................................... 1,300 54,438
-------------
173,188
-------------
</TABLE>
64 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
FOREST PRODUCTS AND BUILDING MATERIALS (1.1%)
Ball Corp........................................... 100 $ 3,863
Centex Construction Products, Inc................... 1,200 44,100
Crown Cork & Seal Co., Inc.......................... 900 46,856
Florida Rock Industries, Inc........................ 400 11,000
Georgia-Pacific Corp................................ 700 48,875
Lafarge Corp........................................ 200 8,000
Lone Star Industries, Inc........................... 2,200 181,774
Mead Corp........................................... 1,100 38,088
Owens Corning....................................... 300 12,469
Sonosight, Inc.+.................................... 66 540
Southdown, Inc...................................... 300 21,225
-------------
416,790
-------------
GAS UTILITIES (0.5%)
Columbia Gas System, Inc............................ 600 48,750
Energen Corp........................................ 4,400 98,175
Pacific Enterprises................................. 1,200 46,725
-------------
193,650
-------------
HEALTH SERVICES (0.2%)
Beverly Enterprises, Inc.+.......................... 700 11,025
Integrated Health Services, Inc..................... 500 19,281
NovaCare, Inc.+..................................... 600 8,363
Pediatrix Medical Group, Inc.+...................... 600 25,313
-------------
63,982
-------------
HEAVY MACHINERY (0.2%)
Case Corp........................................... 600 38,138
Navistar International Corp......................... 800 23,900
PACCAR, Inc......................................... 100 5,938
-------------
67,976
-------------
HOUSING AND FURNISHINGS (2.3%)
Centex Corp......................................... 1,400 48,650
Department 56, Inc.+................................ 1,600 57,500
Ethan Allen Interiors, Inc.......................... 2,000 101,875
Fleetwood Enterprises, Inc.......................... 900 41,569
Kaufman & Broad Home Corp........................... 200 5,813
Lennar Corp......................................... 5,800 159,138
MDC Holdings, Inc................................... 9,000 154,688
Pulte Corp.......................................... 900 46,069
Ryland Group, Inc................................... 5,800 121,438
Standard Pacific Corp............................... 9,300 160,425
U.S. Home Corp.+.................................... 600 24,900
-------------
922,065
-------------
INSURANCE (1.6%)
Allstate Corp. (The)................................ 1,200 115,500
American Bankers Insurance Group.................... 1,400 86,013
Conseco, Inc........................................ 1,100 54,588
Financial Security Assurance Holdings Ltd........... 2,500 149,688
First American Financial Corp....................... 800 56,850
Gallagher (Arthur J.) & Co.......................... 1,500 65,813
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
INSURANCE (CONTINUED)
MGIC Investment Corp................................ 800 $ 50,400
Old Republic International Corp..................... 200 9,050
SunAmerica, Inc..................................... 650 32,459
-------------
620,361
-------------
INVESTMENT SERVICES (0.7%)
Ahmanson (H. F.) & Co............................... 800 61,000
Bear Stearns Co., Inc. (The)........................ 181 10,328
Dames & Moore Group................................. 6,500 83,281
Donaldson, Lufkin & Jenrette, Inc................... 100 9,481
Lehman Brothers Holdings, Inc....................... 600 42,638
Omega Worldwide, Inc.+.............................. 1,538 12,977
Paine Webber Group, Inc............................. 100 4,481
Providian Financial Corp............................ 800 48,150
-------------
272,336
-------------
MAJOR TELECOMMUNICATIONS (0.7%)
AT&T Corp........................................... 1,400 84,088
BellSouth Corp...................................... 1,400 89,863
MCI Communications Corp............................. 800 40,250
U.S. West Communications Group...................... 900 47,475
-------------
261,676
-------------
OIL (0.9%)
Ashland Oil, Inc.................................... 1,700 89,888
Clayton Williams Energy, Inc.+...................... 3,700 42,550
Comstock Resources, Inc.+........................... 900 11,588
Mobil Corp.......................................... 200 15,800
Phillips Petroleum Co............................... 400 19,825
Sun Company, Inc.+.................................. 3,900 157,706
-------------
337,357
-------------
OIL SERVICES (0.9%)
Helmerich & Payne, Inc.............................. 800 24,400
SEACOR SMIT Holdings+............................... 2,200 128,975
Trico Marine Services, Inc.+........................ 3,900 88,238
Veritas DGC, Inc.+.................................. 2,000 108,375
-------------
349,988
-------------
OTHER TELECOMMUNICATIONS (0.1%)
Century Telephone Enterprises, Inc.................. 300 12,769
Premiere Technologies, Inc.+........................ 1,200 38,250
-------------
51,019
-------------
PRINT MEDIA (0.2%)
Knight-Ridder, Inc.................................. 900 52,481
New York Times Co................................... 400 28,375
-------------
80,856
-------------
PRODUCER GOODS (2.6%)
Aeroquip-Vickers, Inc.+............................. 600 38,138
C & D Technologies, Inc............................. 2,700 149,175
Cincinnati Milacron, Inc............................ 1,400 43,488
Commercial Intertech Corp........................... 400 8,625
Cooper Industries, Inc.............................. 600 40,125
</TABLE>
65
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
PRODUCER GOODS (CONTINUED)
FMC Corp.+.......................................... 300 $ 23,269
Gleason Corp........................................ 2,600 86,125
Graco, Inc.......................................... 4,350 149,803
Honeywell, Inc...................................... 600 55,875
Ingersoll-Rand Co................................... 1,000 46,063
Kaydon Corp......................................... 400 17,525
Parker-Hannifin Corp................................ 500 22,313
RMI Titanium Co.+................................... 2,700 60,244
Thomas & Betts Corp................................. 800 46,700
Timken Co........................................... 3,800 151,763
Tredegar Industries, Inc............................ 1,300 101,806
Trinity Industries, Inc............................. 100 5,100
-------------
1,046,137
-------------
REAL ESTATE INVESTMENT TRUSTS (15.4%)
Alexandria Real Estate Equities, Inc................ 400 13,175
AMB Property Corp................................... 300 6,900
American Residential Investment Trust, Inc.......... 600 7,425
Apartment Investment & Management Co................ 7,700 287,787
Arden Realty Group, Inc............................. 1,300 36,481
Bay Apartment Communities, Inc...................... 800 29,600
Beacon Capital+++.................................... 6,500 133,250
Bedford Property Investors, Inc..................... 1,400 27,213
Berkshire Realty Co., Inc........................... 3,100 37,781
Boston Properties, Inc.............................. 2,200 72,738
Boykin Lodging Co................................... 11,700 274,949
Brandywine Realty Trust............................. 2,700 61,425
Burnham Pacific Properties, Inc..................... 1,600 22,600
Cabot Industrial Trust.............................. 1,500 33,938
Camden Property Trust............................... 3,415 100,102
Capstone Capital Trust, Inc......................... 7,500 179,062
Captec Net Lease Realty, Inc........................ 900 14,456
Carramerica Realty Corp............................. 2,000 58,500
CBL & Associates Properties, Inc.................... 9,600 235,799
Colonial Properties Trust........................... 4,700 139,531
Cornerstone Properties, Inc......................... 4,000 72,000
Cousins Properties, Inc............................. 1,200 36,300
Crescent Real Estate Equities, Inc.................. 6,000 204,749
Criimi Mae, Inc..................................... 3,000 44,813
Developers Diversified Realty Corp.................. 600 23,813
Duke Realty Investments, Inc........................ 7,000 166,687
Eastgroup Properties, Inc........................... 2,500 49,844
Equity Inns, Inc.................................... 15,400 227,149
Equity Office Properties Trust...................... 3,400 96,688
Equity Residential Properties Trust................. 4,250 208,780
Essex Property Trust, Inc........................... 5,100 168,299
Glenborough Realty Trust, Inc....................... 7,700 206,455
Glimcher Realty Trust............................... 1,100 23,375
Health Care REIT, Inc............................... 1,400 38,938
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Healthcare Realty Trust, Inc........................ 2,900 $ 81,563
Home Properties of New York, Inc.................... 1,100 29,494
Imperial Credit Commercial Mortgage Investment Corp. 600 8,663
Innkeepers USA Trust................................ 5,800 87,725
JDN Realty Corp..................................... 1,200 38,175
Kimco Realty Corp................................... 6,500 240,905
Koger Equity, Inc................................... 6,800 145,775
Lexington Corporate Properties Trust................ 1,300 18,850
LTC Properties, Inc................................. 4,300 83,850
Mack-Cali Realty Corp............................... 1,300 48,831
Meditrust Companies................................. 2,900 87,181
Merry Land & Investment Co., Inc.................... 1,300 27,381
National Golf Properties, Inc....................... 1,800 55,913
OMEGA Healthcare Investors, Inc..................... 5,800 201,549
Parkway Properties, Inc............................. 7,400 243,274
Post Properties, Inc................................ 5,200 212,224
Prentiss Properties Trust........................... 2,200 55,825
Reckson Associates Realty Corp...................... 2,000 49,000
Regency Realty Corp................................. 6,600 169,949
SL Green Realty Corp................................ 500 12,000
Spieker Properties, Inc............................. 2,700 106,988
Starwood Lodging Trust.............................. 4,800 240,899
Storage Trust Realty................................ 9,500 230,374
Sun Communities, Inc................................ 1,400 49,000
Sunstone Hotel Investors, Inc....................... 3,100 48,050
Walden Residential Properties, Inc.................. 1,700 41,438
Weeks Corp.......................................... 5,600 176,399
-------------
6,131,877
-------------
SEMICONDUCTORS AND ELECTRONICS (0.2%)
Intel Corp.......................................... 200 16,163
Sawtek, Inc.+....................................... 100 3,038
Viacom, Inc.+....................................... 1,100 63,800
-------------
83,001
-------------
SPECIALTY CHEMICALS (0.0%)
Wellman, Inc........................................ 300 6,788
-------------
STEEL (0.2%)
Bethlehem Steel Corp.+.............................. 1,300 20,231
Steel Dynamics, Inc.+............................... 1,600 36,600
USX-US Steel Group, Inc............................. 900 35,213
-------------
92,044
-------------
SURFACE TRANSPORT (0.2%)
Continental Airlines, Inc.+......................... 200 11,775
Norfolk Southern Corp............................... 1,500 50,156
Tidewater, Inc...................................... 300 11,888
U.S. Freightways Corp............................... 300 10,725
-------------
84,544
-------------
</TABLE>
66 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
TEXTILES AND APPAREL (0.3%)
Burlington Industries, Inc.+........................ 600 $ 10,500
Liz Claiborne, Inc.................................. 400 19,675
Timberland Co. (The)+............................... 900 77,063
-------------
107,238
-------------
TOTAL UNITED STATES 19,327,393
-------------
FOREIGN COMMON STOCKS (15.7%)
AUSTRALIA (0.6%)
Goodman Fielder Ltd. (Food and Beverage) ........... 42,003 65,179
Mayne Nickless Ltd. (Commercial Services) .......... 12,200 65,878
Westpac Banking Corp. Ltd. (Banks and Thrifts) ..... 7,700 51,710
Woolworth Ltd. (Food and Beverage) ................. 17,282 59,494
-------------
TOTAL AUSTRALIA 242,261
-------------
BELGIUM (0.2%)
Societe Generale De Belgique
(Investment Services) +.......................... 400 61,675
-------------
BRAZIL (0.1%)
Telecomunicaciones Brasileiras SA
(Other Telecommunications) ...................... 300 36,544
-------------
CANADA (0.3%)
Canadian Imperial Bank of Commerce
(Banks and Thrifts) ............................. 1,500 53,325
Canadian National Railway Co.
(Surface Transport) ............................. 1,000 65,063
-------------
TOTAL CANADA 118,388
-------------
CHILE (0.1%)
Cia. de Telecomuncaciones de Chile S.A.
(Other Telecommunications) ...................... 1,100 27,569
-------------
DENMARK (0.6%)
Carli Gry International A/S
(Textiles and Apparel) +......................... 700 52,680
Novo-Nordisk A/S (Drugs) ........................... 500 81,103
Olicom A/S (Computers) +............................ 2,000 59,037
Tele Danmark A/S (Major Telecommunications) ........ 700 58,818
-------------
TOTAL DENMARK 251,638
-------------
FINLAND (0.7%)
Huhtamaki Group (Diversified) ...................... 1,300 75,164
Oy Nokia Corp., ADR
(Other Telecommunications) ...................... 600 40,125
Sampo Insurance Co. (Insurance) .................... 900 40,638
UPM-Kymmene Corp.
(Forest Products and Building Materials) ........ 2,000 60,021
Valmet Oyj (Consumer Services) ..................... 4,000 66,299
-------------
TOTAL FINLAND 282,247
-------------
FRANCE (1.7%)
Accor SA (Consumer Services) +...................... 300 81,708
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
FRANCE (CONTINUED)
Alcatel Alsthom (Other Telecommunications) +........ 400 $ 74,114
Credit Commercial de France
(Banks and Thrifts) +............................ 800 63,811
Danone (Food and Beverage) +........................ 300 70,790
Elf Aquitaine SA (Oil) +............................ 600 78,667
Gemini Sogeti SA (Insurance) ....................... 800 103,826
Lafarge SA
(Forest Products and Building Materials) ........ 600 56,632
Pernod Ricard (Food and Beverage) .................. 900 62,066
Union des Assurances Federales (Insurance) +........ 450 70,367
-------------
TOTAL FRANCE 661,981
-------------
GERMANY (0.8%)
BASF AG (Chemicals) +............................... 800 35,665
Bayerische Hypotheken-und Wechsel-Bank AG (Banks
and Thrifts) +................................... 1,300 74,182
Deutsche Pfandbrief & Hypothekenbank AG (Banks and
Thrifts) +....................................... 800 61,744
Gehe AG (Health Services) +......................... 800 41,460
VEBA AG (Electric Utilities) +...................... 500 32,962
Volkswagen AG (Automotive) +........................ 107 85,356
-------------
TOTAL GERMANY 331,369
-------------
HONG KONG (0.2%)
Hutchison Whampoa Ltd.
(Consumer Services) +............................ 4,000 24,735
National Mutual Asia Ltd. (Insurance) .............. 76,000 60,831
-------------
TOTAL HONG KONG 85,566
-------------
IRELAND (0.6%)
Allied Irish Banks (Banks and Thrifts) ............. 6,024 82,912
CRH Plc
(Forest Products and Building Materials) ........ 2,000 28,567
Iona Technologies Plc, ADR
(Data and Imaging Services) +.................... 2,000 62,250
Waterford Wedgewood
(Housing and Furnishings) ....................... 39,352 65,769
-------------
TOTAL IRELAND 239,498
-------------
ITALY (0.6%)
Banca Commerciale Italiana
(Banks and Thrifts) +............................ 6,000 30,339
Credito Italiano (Banks and Thrifts) +.............. 10,000 52,541
Istituto Nazionale delle Assicurazioni (Insurance) + 11,000 32,871
La Rinascente S.p.A. (Discretionary Retail) +....... 6,600 66,114
Telecom Italia S.p.A.
(Major Telecommunications) +..................... 9,200 68,794
-------------
TOTAL ITALY 250,659
-------------
JAPAN (1.8%)
Fuji Photo Film (Chemicals) ........................ 1,000 35,647
Hoya Corp. (Biotech and Medical Products) +......... 1,000 33,149
</TABLE>
67
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
JAPAN (CONTINUED)
Kao Corp. (Consumer Products) ...................... 4,000 $ 58,881
Minebea Co. Ltd.
(Semiconductors and Electronics) ................ 8,000 89,609
Mizuno Corp. (Consumer Products) ................... 7,000 23,893
Nintendo Co. Ltd.
(Semiconductors and Electronics) ................ 700 64,315
Nippon Telegraph & Telephone
(Major Telecommunications) ...................... 100 87,792
Onward Kashiyama Co., Ltd.
(Textiles and Apparel) .......................... 6,000 77,197
Santen Pharmaceutical Co., Ltd. (Drugs) ............ 6,000 60,395
Seino Transportation Co., Ltd.
(Surface Transport) ............................. 12,000 69,295
Sony Corp. (Semiconductors and Electronics) ........ 800 66,662
Takefuji Corp. (Banks and Thrifts) ................. 1,000 52,600
-------------
TOTAL JAPAN 719,435
-------------
MEXICO (0.5%)
Cifra SA (Discretionary Retail) +................... 25,001 43,176
Grupo Financiero Banamex Accival
(Investment Services) +.......................... 13,000 40,350
Panamerican Beverages, Inc.
(Food and Beverage) ............................. 2,800 111,650
-------------
TOTAL MEXICO 195,176
-------------
NETHERLANDS (1.0%)
Akzo Nobel NV (Chemicals) .......................... 300 61,024
Hunter Douglas NV (Consumer Services) +............. 1,500 73,125
ING Groep NV (Banks and Thrifts) +.................. 937 60,890
KLM Royal Dutch Air Line (Surface Transport) +...... 1,700 66,805
Philips Electronics NV
(Semiconductors and Electronics) ................ 1,000 88,096
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Print Media) ................................... 2,100 67,973
-------------
TOTAL NETHERLANDS 417,913
-------------
NORWAY (0.9%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ............................. 8,500 39,092
Det Sondenfjelds-Norske Dampskibsselskab (Oil) +.... 1,900 47,130
Merkantildata ASA (Data and Imaging Services) 3,500 44,113
Ocean Rig ASA (Oil) +............................... 53,000 51,521
Saga Petroleum ASA (Oil) +.......................... 3,800 75,408
Tandberg Television ASA
(Other Telecommunications) +..................... 3,000 39,823
Tomra Systems ASA
(Forest Products and Building Materials) ........ 2,000 64,360
-------------
TOTAL NORWAY 361,447
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
SPAIN (0.7%)
Banco Santander (Banks and Thrifts) ................ 1,400 $ 73,943
Cortefiel SA (Discretionary Retail) ................ 2,800 66,319
Iberdrola SA (Electric Utilities) .................. 4,000 64,298
Telefonica de Espana
(Major Telecommunications) ...................... 1,400 58,419
-------------
TOTAL SPAIN 262,979
-------------
SWEDEN (1.0%)
Astra AB (Drugs) ................................... 1,700 34,928
Celsius AB (Conglomerate and Aerospace) +........... 1,300 28,893
Ericsson ADR (Other Telecommunications) ............ 1,100 56,581
Mo Och Domsjoe AB
(Forest Products and Building Materials) ........ 1,100 34,114
Skandinaviska Enskilda Banken
(Banks and Thrifts) ............................. 4,200 70,011
SKF AB (Steel) ..................................... 2,200 44,348
Svenska Handelsbanken (Investment Services) ........ 900 40,820
WM-Data AB (Computers) +............................ 2,300 69,248
-------------
TOTAL SWEDEN 378,943
-------------
SWITZERLAND (0.9%)
Credit Suisse Group (Banks and Thrifts) +........... 300 66,003
Fischer (Georg) AG (Auto Parts and Hardware) ....... 200 77,336
Kuoni Reisen AG (Commercial Services) +............. 12 64,403
Nestle SA Registered Shares
(Food and Beverage) +............................ 40 77,603
Novartis AG Registered Shares
(Health Services) ............................... 30 49,602
Union Bank of Switzerland (Banks and Thrifts) ...... 20 32,215
-------------
TOTAL SWITZERLAND 367,162
-------------
UNITED KINGDOM (2.4%)
Bank of Scotland (Banks and Thrifts) ............... 5,335 65,563
Cadbury Schweppes Plc (Food and Beverage) .......... 4,000 58,319
Glaxo Wellcome Plc (Drugs) ......................... 1,621 45,804
Granada Group Plc (Consumer Services) +............. 3,549 61,119
Kingfisher Plc (Discretionary Retail) .............. 2,000 36,316
Lonrho Plc (Manufacturing) ......................... 11,125 80,775
Millennium Chemicals, Inc.
(Specialty Chemicals) ........................... 400 14,350
National Westminster Bank Plc
(Banks and Thrifts) ............................. 2,700 54,037
NFC Plc (Surface Transport) ........................ 13,400 40,217
Pearson Plc (Print Media) .......................... 2,400 37,600
Peninsular & Oriental Steam Navigation Co.
(Surface Transport) +............................ 3,700 54,935
Royal & Sun Alliance Insurance Group Plc
(Insurance) +.................................... 3,200 35,580
Schroders (Banks and Thrifts) ...................... 800 39,232
Shell Transport & Trading Co. (Oil) ................ 6,600 49,107
Tesco Plc (Discretionary Retail) ................... 7,400 69,535
Tomkins Plc (Consumer Services) .................... 9,286 54,652
</TABLE>
68 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Unilever Plc (Consumer Products) ................... 4,500 $ 47,928
Vodafone Group Plc
(Other Telecommunications) ...................... 8,560 93,746
-------------
TOTAL UNITED KINGDOM 938,815
-------------
TOTAL FOREIGN COMMON STOCKS 6,231,265
-------------
TOTAL COMMON STOCKS (COST $21,913,655) 25,558,658
-------------
PREFERRED STOCKS (0.3%)
GERMANY (0.3%)
Henkel KGAA (Chemicals) +........................... 500 39,008
SAP AG (Data and Imaging Services) +................ 150 74,812
-------------
TOTAL PREFERRED STOCKS (COST $83,815) 113,820
-------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (20.2%)
U.S. GOVERNMENT OBLIGATIONS (9.5%)
U.S. Treasury Bond, 6.63%, 02/15/27................. $ 300,000 324,795
U.S. Treasury Note, 5.88%, 02/15/00................. 1,000,000 1,004,685
U.S. Treasury Note, 6.50%, 10/15/06................. 800,000 838,372
U.S. Treasury Note, 7.50%, 10/31/99................. 700,000 719,029
U.S. Treasury Note, 7.50%, 11/15/01................. 825,000 872,953
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $3,658,590) 3,759,834
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.3%)
Federal National Mortgage Association, 5.75%,
04/15/03......................................... 500,000 498,280
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $498,630) 498,280
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (5.6%)
Federal National Mortgage Association-Convertible
Loan, 6.50%, 02/01/28............................ 740,933 734,218
Government National Mortgage Association, 7.00%,
08/15/27......................................... 48,011 48,641
Government National Mortgage Association, 7.00%,
09/15/27......................................... 823,762 834,577
Government National Mortgage Association, 7.00%,
01/15/28......................................... 115,863 117,385
Government National Mortgage Association, 7.00%,
01/15/28......................................... 499,142 505,694
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $2,244,758) 2,240,515
-------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
CORPORATE AND CONVERTIBLE BONDS (3.8%)
American Re Corp., 7.45%, 12/15/26.................. $ 300,000 $ 325,967
Korea Development Bank., 7.12%, 09/17/01............ 150,000 142,857
National Australia Bank, 6.40%, 12/10/07............ 200,000 200,455
TCI Communications, Inc., 6.38%, 09/15/99........... 300,000 300,356
Tenet Healthcare Corp., 7.88%, 01/15/03............. 250,000 255,727
Time Warner, Inc., 9.13%, 01/15/13.................. 250,000 300,799
--------------
TOTAL CORPORATE AND CONVERTIBLE BONDS (COST $1,486,213) 1,526,161
--------------
TOTAL LONG-TERM BONDS AND NOTES (COST $7,888,191) 8,024,790
-------------
SHORT-TERM INVESTMENTS (13.5%)
Cooperative Assoc. of Tractor Dealers, Comm. Paper,
5.54%, 05/04/98.................................. 1,500,000 1,499,308
Dakota Certificates-Standard Credit Card Master
Trust-1, Comm. Paper, 5.53%, 05/05/98++++.......... 1,000,000 999,386
Federal Home Loan Mortgage Corp., Comm. Paper,
5.45%, 05/01/98.................................. 2,430,000 2,430,000
U.S. Treasury, Comm. Paper, 5.03%, 08/20/98@........ 450,000 443,169
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $5,371,722) 5,371,863
-------------
TOTAL INVESTMENTS (COST $35,257,383)(a) 39,069,131
OTHER ASSETS LESS LIABILITIES 682,389
-------------
TOTAL NET ASSETS $ 39,751,520
=============
</TABLE>
69
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$35,296,802. Unrealized gains and losses, based on identified tax cost at April
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains .................................. $ 4,203,449
Unrealized losses ................................. (431,120)
-------------
Net unrealized gain ............................ $ 3,772,329
=============
</TABLE>
Information concerning open futures contracts at April 30, 1998 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
------------- ------------- -------------- ---------------
LONG CONTRACTS
- -------------------------
<S> <C> <C> <C> <C>
All Ordinaries Share
Price Index (SFE) ... 1 $ 46,643 June 98 $ (815)
Long-Term German
Government Bond
Futures ............. 6 888,144 June 98 (3,720)
French Notional Bond
Futures ............. 1 83,654 June 98 349
Swiss Government Bond
Futures ............. 2 167,942 June 98 (1,907)
Topix Index Futures .... 4 384,537 June 98 (9,044)
------------- --------------
$ 1,570,920 $ (15,137)
============= ==============
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++ 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 April 30, 1998.
Category percentages are based on net assets.
70 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
LEGACY
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (46.0%)
UNITED STATES (32.1%)
AIR TRANSPORT (0.7%)
Airborne Freight Corp............................... 100 $ 3,963
Alaska Air Group, Inc.+............................. 100 5,613
America West Holdings Corp.+........................ 2,400 72,599
AMR Corp.+.......................................... 100 15,238
Delta Air Lines, Inc................................ 200 23,250
Northwest Airlines Corp.+........................... 200 10,500
UAL Corp.+.......................................... 100 8,719
US Airways Group, Inc.+............................. 200 14,225
-------------
154,107
-------------
AUTO PARTS AND HARDWARE (0.1%)
Black & Decker Corp................................. 400 20,650
-------------
AUTOMOTIVE (0.3%)
Chrysler Corp....................................... 600 24,113
Ford Motor Co....................................... 100 4,581
General Motors Corp................................. 400 26,950
-------------
55,644
-------------
BANKS AND THRIFTS (1.5%)
Ahmanson (H. F.) & Co............................... 300 22,875
BankAmerica Corp.................................... 300 25,500
Comerica, Inc....................................... 300 20,081
Dime Bancorp, Inc................................... 100 3,069
Downey Financial Corp............................... 800 27,750
Fifth Third Bancorp................................. 300 16,500
Firstfed Financial Corp.+........................... 800 36,600
Fleet Financial Group, Inc.......................... 300 25,913
Golden West Financial Corp.......................... 400 42,125
Republic New York Corp.............................. 100 13,375
Riggs National Corp................................. 300 8,644
SouthTrust Corp..................................... 50 2,134
State Street Corp................................... 300 21,450
Suntrust Banks, Inc................................. 300 24,431
Washington Federal.................................. 100 2,813
Webster Financial Corp.............................. 100 3,388
WSFS Financial Corp.+............................... 800 17,100
-------------
313,748
-------------
BIOTECH AND MEDICAL PRODUCTS (1.5%)
ADAC Laboratories+.................................. 200 4,350
Alpharma, Inc....................................... 2,400 54,600
Arterial Vascular Engineering, Inc.+................ 500 17,688
Centocor, Inc.+..................................... 100 4,219
Genentech, Inc.+.................................... 100 6,925
Hanger Orthopedic Group, Inc.+...................... 3,900 72,880
OEC Medical Systems, Inc.+.......................... 1,700 38,569
Osteotech, Inc.+.................................... 1,000 22,063
Quintiles Transnational Corp.+...................... 100 4,950
Safeskin Corp.+..................................... 200 7,125
Serologicals Corp.+................................. 800 24,000
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Visx, Inc.+......................................... 1,300 $ 57,363
-------------
314,732
-------------
CHEMICALS (0.1%)
Rohm & Haas Co...................................... 100 10,781
-------------
COMMERCIAL SERVICES (0.8%)
AccuStaff, Inc.+.................................... 200 7,175
Day Runner, Inc.+................................... 600 14,400
Deluxe Corp......................................... 500 16,750
Galileo International, Inc.......................... 1,500 60,563
Valassis Communications, Inc.+...................... 1,800 70,649
-------------
169,537
-------------
COMPUTERS (0.5%)
Ceridian Corp.+..................................... 400 22,625
Dell Computer Corp.+................................ 600 48,450
Hewlett Packard Co.................................. 300 22,594
Sun Microsystems, Inc.+............................. 500 20,594
-------------
114,263
-------------
CONGLOMERATE AND AEROSPACE (0.4%)
Goodrich (B.F.) Co.................................. 300 16,144
Gulfstream Aerospace Corp.+......................... 100 4,194
Lockheed Martin Corp................................ 200 22,275
Loews Corp.......................................... 200 20,013
Thiokol Corp........................................ 100 5,388
United Technologies Corp............................ 200 19,688
-------------
87,702
-------------
CONSUMER FINANCE (0.2%)
Associates First Capital Corp....................... 131 9,796
Countrywide Credit Industries, Inc.................. 200 9,675
Federal Home Loan Mortgage Corp..................... 400 18,525
Money Store, Inc. (The)............................. 100 3,288
-------------
41,284
-------------
CONSUMER PRODUCTS (0.3%)
American Greetings Corp............................. 200 9,250
Blyth Industries, Inc.+............................. 200 7,338
National R.V. Holdings, Inc.+....................... 800 30,700
Procter & Gamble Co................................. 100 8,219
Twinlab Corp.+...................................... 100 3,925
-------------
59,432
-------------
CONSUMER SERVICES (0.8%)
Darden Restaurants, Inc............................. 1,200 19,200
Foodmaker, Inc.+.................................... 600 11,400
Grand Casinos, Inc.+................................ 3,600 63,225
Promus Hotel Corp.+................................. 100 4,519
Service Corp. International......................... 200 8,250
Sonic Corp.+........................................ 1,900 60,800
-------------
167,394
-------------
</TABLE>
See Notes to Portfolio of Investments. 71
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
LEGACY (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
CONSUMER SPECIALTIES (0.2%)
Brunswick Corp...................................... 500 $ 16,250
Russ Berrie & Co., Inc.............................. 600 17,175
-------------
33,425
-------------
DATA AND IMAGING SERVICES (1.2%)
Apex PC Solutions, Inc.+............................ 1,500 44,813
BMC Software, Inc.+................................. 100 9,356
Cadence Design Systems, Inc.+....................... 200 7,263
Keane, Inc.+........................................ 100 5,025
Manugistics Group, Inc.+............................ 400 24,000
Microsoft Corp.+.................................... 500 45,063
Oracle Corp.+....................................... 200 5,175
Progress Software Corp.+............................ 1,900 60,800
Project Software & Development, Inc.+.............. 1,000 26,500
Siebel Systems, Inc.+............................... 200 5,175
Symantec Corp.+..................................... 100 2,900
Veritas Software Corp.+............................. 100 5,475
Visio Corp.+........................................ 500 24,750
-------------
266,295
-------------
DISCRETIONARY RETAIL (1.9%)
American Eagle Outfitters, Inc.+.................... 1,900 111,149
Ames Department Stores, Inc.+....................... 1,300 31,850
Costco Companies, Inc.+............................. 400 22,350
Dayton Hudson Corp.................................. 300 26,194
Dress Barn, Inc.+................................... 700 20,388
Federated Department Stores, Inc.+.................. 400 19,675
Fingerhut Companies, Inc............................ 100 2,963
Lowe's Co., Inc..................................... 300 20,981
Maxim Group, Inc. (The)+............................ 2,800 50,400
Micro Warehouse, Inc.+.............................. 100 1,563
Office Depot, Inc.+................................. 100 3,313
Ross Stores, Inc.................................... 1,100 50,944
Sears, Roebuck & Co................................. 100 5,931
TJX Companies, Inc.................................. 900 39,825
-------------
407,526
-------------
DIVERSIFIED FINANCIAL SERVICES (0.4%)
Equitable Co., Inc. (The)........................... 100 6,138
Morgan Stanley, Dean Witter, Discover & Co.......... 365 28,789
Tower Realty Trust, Inc............................. 200 4,725
Trammell Crow Co.+.................................. 600 15,900
Travelers Group, Inc................................ 500 30,594
-------------
86,146
-------------
DRUGS (1.0%)
Abbott Laboratories................................. 400 29,250
Eli Lilly & Co...................................... 400 27,825
Medicis Pharmaceutical Corp.+....................... 1,300 55,575
Merck & Co., Inc.................................... 300 36,150
Pfizer, Inc......................................... 400 45,525
Rexall Sundown, Inc.+............................... 100 3,194
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DRUGS (CONTINUED)
Roberts Pharmaceutical Corp.+....................... 300 $ 5,100
Schering Plough..................................... 100 8,013
Theragenics Corp.+.................................. 400 11,400
-------------
222,032
-------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.1%)
Lexmark International Group, Inc.+.................. 100 5,788
Xerox Corp.......................................... 200 22,700
-------------
28,488
-------------
ELECTRONIC MEDIA (0.8%)
Chancellor Media Corp.+............................. 100 4,744
Gaylord Entertainment Co............................ 1,600 54,400
Midway Games, Inc.+................................. 2,300 42,550
Speedway Motorsports, Inc.+......................... 800 21,850
Walt Disney Co. (The)............................... 300 37,294
-------------
160,838
-------------
FOOD AND BEVERAGE (0.7%)
Canandaigua Brands, Inc.+........................... 900 47,138
Coors (Adolph) Co................................... 200 7,150
J & J Snack Foods Corp.+............................ 1,700 33,150
NBTY, Inc.+......................................... 200 4,000
Suiza Foods Corp.+.................................. 1,000 59,250
-------------
150,688
-------------
FOOD AND DRUG RETAIL (0.4%)
CVS Corp............................................ 400 29,500
Fleming Companies, Inc.............................. 400 7,500
Kroger Co. (The)+................................... 900 37,688
-------------
74,688
-------------
FOREST PRODUCTS AND BUILDING MATERIALS (0.8%)
Centex Construction Products, Inc................... 400 14,700
Crown Cork & Seal Co., Inc.......................... 300 15,619
Florida Rock Industries, Inc........................ 1,000 27,500
Georgia-Pacific Corp................................ 200 15,438
Lafarge Corp........................................ 100 4,000
Lone Star Industries, Inc........................... 900 74,362
Mead Corp........................................... 500 17,313
Owens Corning....................................... 100 4,156
Southdown, Inc...................................... 100 7,075
-------------
180,163
-------------
GAS UTILITIES (0.3%)
Energen Corp........................................ 2,400 53,550
Pacific Enterprises................................. 500 19,469
-------------
73,019
-------------
HEALTH SERVICES (0.2%)
Beverly Enterprises, Inc.+.......................... 400 6,300
Integrated Health Services, Inc..................... 200 7,713
MedQuist, Inc.+..................................... 500 24,375
NovaCare, Inc.+..................................... 300 4,181
</TABLE>
72 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
HEALTH SERVICES (CONTINUED)
Pediatrix Medical Group, Inc.+...................... 100 $ 4,219
-------------
46,788
-------------
HEAVY MACHINERY (0.1%)
Case Corp........................................... 300 19,069
Navistar International Corp......................... 300 8,963
-------------
28,032
-------------
HOUSING AND FURNISHINGS (1.4%)
Centex Corp......................................... 600 20,850
Department 56, Inc.+................................ 700 25,156
Ethan Allen Interiors, Inc.......................... 700 35,656
Fleetwood Enterprises, Inc.......................... 400 18,475
Kaufman & Broad Home Corp........................... 100 2,906
Lennar Corp......................................... 2,000 54,875
MDC Holdings, Inc................................... 3,300 56,719
Pulte Corp.......................................... 300 15,356
Ryland Group, Inc................................... 400 8,375
Standard Pacific Corp............................... 3,200 55,200
-------------
293,568
-------------
INSURANCE (1.0%)
Allstate Corp. (The)................................ 800 76,999
Conseco, Inc........................................ 400 19,850
Financial Security Assurance Holdings Ltd........... 1,000 59,875
First American Financial Corp....................... 100 7,106
Gallagher (Arthur J.) & Co.......................... 500 21,938
Old Republic International Corp..................... 100 4,525
SunAmerica, Inc..................................... 250 12,484
Torchmark Corp...................................... 100 4,456
-------------
207,233
-------------
INVESTMENT SERVICES (0.3%)
Bear Stearns Co., Inc. (The)........................ 45 2,568
Dames & Moore Group................................. 2,500 32,031
Donaldson, Lufkin & Jenrette, Inc................... 100 9,481
Lehman Brothers Holdings, Inc....................... 200 14,213
Paine Webber Group, Inc............................. 50 2,241
Providian Financial Corp............................ 100 6,019
-------------
66,553
-------------
MAJOR TELECOMMUNICATIONS (0.5%)
AT&T Corp........................................... 500 30,031
BellSouth Corp...................................... 500 32,094
MCI Communications Corp............................. 300 15,094
U.S. West Communications Group...................... 400 21,100
-------------
98,319
-------------
OIL (0.6%)
Ashland Oil, Inc.................................... 700 37,013
Clayton Williams Energy, Inc.+...................... 2,800 32,200
Comstock Resources, Inc.+........................... 300 3,863
Phillips Petroleum Co............................... 100 4,956
Sun Company, Inc.+.................................. 1,400 56,613
-------------
134,645
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
OIL SERVICES (0.8%)
Cliffs Drilling Co.+................................ 200 $ 9,863
Helmerich & Payne, Inc.............................. 400 12,200
McDermott International, Inc........................ 400 16,550
SEACOR SMIT Holdings+............................... 900 52,763
Trico Marine Services, Inc.+........................ 1,700 38,463
Veritas DGC, Inc.+.................................. 900 48,769
-------------
178,608
-------------
OTHER TELECOMMUNICATIONS (0.3%)
Century Telephone Enterprises, Inc.................. 150 6,384
Premiere Technologies, Inc.+........................ 1,600 51,000
-------------
57,384
-------------
PRINT MEDIA (0.2%)
Hollinger International, Inc........................ 200 3,100
Knight-Ridder, Inc.................................. 300 17,494
McClatchy Newspapers, Inc........................... 525 15,717
-------------
36,311
-------------
PRODUCER GOODS (1.1%)
Aeroquip-Vickers, Inc.+............................. 300 19,069
C & D Technologies, Inc............................. 800 44,200
Cooper Industries, Inc.............................. 200 13,375
Dresser Industries, Inc............................. 200 10,575
FMC Corp.+.......................................... 200 15,513
Gleason Corp........................................ 600 19,875
Honeywell, Inc...................................... 200 18,625
Ingersoll-Rand Co................................... 400 18,425
ITT Industries, Inc................................. 200 7,288
Kaydon Corp......................................... 200 8,763
Parker-Hannifin Corp................................ 200 8,925
RMI Titanium Co.+................................... 1,100 24,544
Thomas & Betts Corp................................. 300 17,513
Timken Co........................................... 200 7,988
Westinghouse Air Brake Co........................... 300 8,419
-------------
243,097
-------------
REAL ESTATE INVESTMENT TRUSTS (10.0%)
AMB Property Corp................................... 200 4,600
American Residential Investment Trust, Inc.......... 200 2,475
Apartment Investment & Management Co................ 1,800 67,274
Arden Realty Group, Inc............................. 500 14,031
Bay Apartment Communities, Inc...................... 400 14,800
Beacon Capital+++................................... 2,300 47,150
Bedford Property Investors, Inc..................... 600 11,663
Berkshire Realty Co., Inc........................... 1,400 17,063
Boston Properties, Inc.............................. 800 26,450
Boykin Lodging Co................................... 3,400 79,899
Brandywine Realty Trust............................. 1,500 34,125
Burnham Pacific Properties, Inc..................... 600 8,475
Cabot Industrial Trust.............................. 600 13,575
Camden Property Trust............................... 1,062 31,130
Capstone Capital Trust, Inc......................... 3,600 85,949
</TABLE>
73
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
LEGACY (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Captec Net Lease Realty, Inc........................ 400 $ 6,425
Carramerica Realty Corp............................. 700 20,475
CBL & Associates Properties, Inc.................... 1,000 24,563
Colonial Properties Trust........................... 1,300 38,594
Cornerstone Properties, Inc......................... 1,400 25,200
Cousins Properties, Inc............................. 400 12,100
Crescent Real Estate Equities, Inc.................. 1,700 58,013
Criimi Mae, Inc..................................... 500 7,469
Developers Diversified Realty Corp.................. 300 11,906
Duke Realty Investments, Inc........................ 3,100 73,818
Eastgroup Properties, Inc........................... 4,100 81,743
Equity Inns, Inc.................................... 5,400 79,649
Equity Office Properties Trust...................... 1,200 34,125
Equity Residential Properties Trust................. 1,450 71,230
Essex Property Trust, Inc........................... 1,800 59,400
Facility Realty Trust, Inc.+........................ 2,000 18,500
General Growth Properties........................... 1,300 46,638
Glenborough Realty Trust, Inc....................... 2,800 75,074
Glimcher Realty Trust............................... 500 10,625
Health Care REIT, Inc............................... 1,600 44,500
Healthcare Realty Trust, Inc........................ 700 19,688
Home Properties of New York, Inc.................... 500 13,406
Imperial Credit Commercial Mortgage Investment Corp. 300 4,331
Innkeepers USA Trust................................ 3,700 55,963
JDN Realty Corp..................................... 2,500 79,530
Kimco Realty Corp................................... 2,400 88,949
Koger Equity, Inc................................... 1,700 36,444
Lexington Corporate Properties Trust................ 600 8,700
LTC Properties, Inc................................. 400 7,800
Mack-Cali Realty Corp............................... 500 18,781
Meditrust Companies................................. 1,000 30,063
Parkway Properties, Inc............................. 2,700 88,762
Post Properties, Inc................................ 1,900 77,543
Prentiss Properties Trust........................... 1,000 25,375
Prime Retail, Inc................................... 500 7,094
Reckson Associates Realty Corp...................... 700 17,150
Regency Realty Corp................................. 1,400 36,050
SL Green Realty Corp................................ 200 4,800
Sovran Self Storage, Inc............................ 1,400 38,763
Spieker Properties, Inc............................. 1,200 47,550
Starwood Lodging Trust.............................. 1,800 90,337
Storage Trust Realty................................ 2,200 53,350
Sun Communities, Inc................................ 501 17,514
Weeks Corp.......................................... 200 6,300
-------------
2,132,949
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
SEMICONDUCTORS AND ELECTRONICS (0.1%)
Intel Corp.......................................... 100 $ 8,081
Viacom, Inc.+....................................... 400 23,200
-------------
31,281
-------------
STEEL (0.2%)
Bethlehem Steel Corp.+.............................. 500 7,781
Steel Dynamics, Inc.+............................... 600 13,725
USX-US Steel Group, Inc............................. 300 11,738
-------------
33,244
-------------
SURFACE TRANSPORT (0.1%)
Continental Airlines, Inc.+......................... 100 5,888
Norfolk Southern Corp............................... 300 10,031
Tidewater, Inc...................................... 100 3,963
U.S. Freightways Corp............................... 100 3,575
-------------
23,457
-------------
TEXTILES AND APPAREL (0.2%)
Burlington Industries, Inc.+........................ 300 5,250
Timberland Co. (The)+............................... 500 42,813
-------------
48,063
-------------
TOTAL UNITED STATES 6,852,114
-------------
FOREIGN COMMON STOCKS (13.9%)
AUSTRALIA (0.5%)
Goodman Fielder Ltd. (Food and Beverage) ........... 21,010 32,602
Mayne Nickless Ltd. (Commercial Services) .......... 3,400 18,360
Westpac Banking Corp. Ltd. (Banks and Thrifts) ..... 3,600 24,176
Woolworth Ltd. (Food and Beverage) ................. 7,370 25,372
-------------
TOTAL AUSTRALIA 100,510
-------------
BELGIUM (0.2%)
Societe Generale De Belgique
(Investment Services) +.......................... 300 46,256
-------------
BRAZIL (0.2%)
Telecomunicaciones Brasileiras SA
(Other Telecommunications) ...................... 300 36,544
-------------
CANADA (0.3%)
Canadian Imperial Bank of Commerce
(Banks and Thrifts) ............................. 900 31,995
Canadian National Railway Co.
(Surface Transport) ............................. 500 32,531
-------------
TOTAL CANADA 64,526
-------------
CHILE (0.1%)
Cia. de Telecomuncaciones de Chile S.A.
(Other Telecommunications) ...................... 700 17,544
-------------
DENMARK (0.4%)
Carli Gry International A/S
(Textiles and Apparel) +......................... 500 37,629
</TABLE>
74 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
DENMARK (CONTINUED)
Novo-Nordisk A/S (Drugs) ........................... 200 $ 32,441
Tele Danmark A/S (Major Telecommunications) ........ 200 16,805
-------------
TOTAL DENMARK 86,875
-------------
FINLAND (0.5%)
Huhtamaki Group (Diversified) ...................... 800 46,255
Oy Nokia Corp., ADR
(Other Telecommunications) ...................... 400 26,750
Sampo Insurance Co. (Insurance) .................... 500 22,577
Valmet Oyj (Consumer Services) ..................... 1,100 18,232
-------------
TOTAL FINLAND 113,814
-------------
FRANCE (1.5%)
Accor SA (Consumer Services) +...................... 200 54,472
Alcatel Alsthom (Other Telecommunications) +........ 200 37,057
Credit Commercial de France
(Banks and Thrifts) +............................ 500 39,882
Danone (Food and Beverage) +........................ 100 23,597
Elf Aquitaine SA (Oil) +............................ 300 39,334
Gemini Sogeti SA (Insurance) ....................... 300 38,935
Lafarge SA
(Forest Products and Building Materials) ........ 300 28,316
Pernod Ricard (Food and Beverage) .................. 500 34,481
Union des Assurances Federales (Insurance) +........ 100 15,637
-------------
TOTAL FRANCE 311,711
-------------
GERMANY (0.8%)
BASF AG (Chemicals) +............................... 400 17,832
Bayerische Hypotheken-und Wechsel-Bank AG (Banks
and Thrifts) +................................... 800 45,651
Deutsche Pfandbrief & Hypothekenbank AG (Banks and
Thrifts) +....................................... 400 30,872
Gehe AG (Health Services) +......................... 400 20,730
VEBA AG (Electric Utilities) +...................... 300 19,777
Volkswagen AG (Automotive) +........................ 53 42,279
-------------
TOTAL GERMANY 177,141
-------------
HONG KONG (0.1%)
Hutchison Whampoa Ltd.
(Consumer Services) +............................ 3,000 18,552
National Mutual Asia Ltd. (Insurance) .............. 14,000 11,206
-------------
TOTAL HONG KONG 29,758
-------------
IRELAND (0.4%)
Allied Irish Banks (Banks and Thrifts) ............. 2,024 27,858
CRH Plc
(Forest Products and Building Materials) ........ 2,000 28,567
Waterford Wedgewood
(Housing and Furnishings) ....................... 15,307 25,583
-------------
TOTAL IRELAND 82,008
-------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
ITALY (0.7%)
Banca Commerciale Italiana
(Banks and Thrifts) +............................ 3,000 $ 15,170
Credito Italiano (Banks and Thrifts) +.............. 10,000 52,541
Istituto Nazionale delle Assicurazioni (Insurance) + 6,000 17,929
La Rinascente S.p.A. (Discretionary Retail) +....... 4,000 40,069
Telecom Italia S.p.A.
(Major Telecommunications) +..................... 2,000 14,955
-------------
TOTAL ITALY 140,664
-------------
JAPAN (1.2%)
Hoya Corp. (Biotech and Medical Products) +......... 1,000 33,149
Kao Corp. (Consumer Products) ...................... 2,000 29,441
Minebea Co. Ltd.
(Semiconductors and Electronics) ................ 3,000 33,603
Mizuno Corp. (Consumer Products) ................... 4,000 13,653
Nintendo Co. Ltd.
(Semiconductors and Electronics) ................ 300 27,564
Nippon Telegraph & Telephone
(Major Telecommunications) ...................... 30 26,338
Onward Kashiyama Co., Ltd.
(Textiles and Apparel) .......................... 2,000 25,732
Santen Pharmaceutical Co., Ltd. (Drugs) ............ 2,000 20,132
Seino Transportation Co., Ltd.
(Surface Transport) ............................. 2,000 11,549
Sony Corp. (Semiconductors and Electronics) ........ 300 24,998
-------------
TOTAL JAPAN 246,159
-------------
MEXICO (0.5%)
Cifra SA (Discretionary Retail) +................... 15,000 25,902
Grupo Financiero Banamex Accival
(Investment Services) +.......................... 8,000 24,831
Panamerican Beverages, Inc.
(Food and Beverage) ............................. 1,400 55,825
-------------
TOTAL MEXICO 106,558
-------------
NETHERLANDS (1.1%)
Akzo Nobel NV (Chemicals) .......................... 200 40,683
Hunter Douglas NV (Consumer Services) +............. 400 19,500
ING Groep NV (Banks and Thrifts) +.................. 526 34,181
KLM Royal Dutch Air Line (Surface Transport) +...... 500 19,648
Philips Electronics NV
(Semiconductors and Electronics) ................ 500 44,048
Vendex International NV (Discretionary Retail) +.... 500 32,071
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Print Media) ................................... 1,300 42,078
-------------
TOTAL NETHERLANDS 232,209
-------------
</TABLE>
75
<PAGE>
AETNA GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1998 (UNAUDITED)
LEGACY (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
NORWAY (0.8%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ............................. 4,600 $ 21,156
Det Sondenfjelds-Norske Dampskibsselskab (Oil) +.... 1,200 29,766
Merkantildata ASA (Data and Imaging Services) 2,000 25,208
Ocean Rig ASA (Oil) +............................... 43,750 42,529
Saga Petroleum ASA (Oil) +.......................... 1,000 19,844
Tandberg Television ASA
(Other Telecommunications) +..................... 1,700 22,566
-------------
TOTAL NORWAY 161,069
-------------
SPAIN (0.6%)
Banco Santander (Banks and Thrifts) ................ 500 26,408
Cortefiel SA (Discretionary Retail) ................ 1,600 37,897
Iberdrola SA (Electric Utilities) .................. 2,200 35,364
Telefonica de Espana
(Major Telecommunications) ...................... 800 33,383
-------------
TOTAL SPAIN 133,052
-------------
SWEDEN (0.6%)
Astra AB (Drugs) ................................... 900 18,491
Celsius AB (Conglomerate and Aerospace) +........... 700 15,558
Ericsson ADR (Other Telecommunications) ............ 700 36,006
Mo Och Domsjoe AB
(Forest Products and Building Materials) ........ 600 18,608
SKF AB (Steel) ..................................... 1,200 24,190
WM-Data AB (Computers) +............................ 700 21,076
-------------
TOTAL SWEDEN 133,929
-------------
SWITZERLAND (1.0%)
Credit Suisse Group (Banks and Thrifts) +........... 200 44,002
Fischer (Georg) AG (Auto Parts and Hardware) ....... 100 38,668
Kuoni Reisen AG (Commercial Services) +............. 10 53,669
Nestle SA Registered Shares
(Food and Beverage) +............................ 20 38,802
Novartis AG Registered Shares
(Health Services) ............................... 20 33,068
Union Bank of Switzerland (Banks and Thrifts) ...... 10 16,107
-------------
TOTAL SWITZERLAND 224,316
-------------
UNITED KINGDOM (2.4%)
Bank of Scotland (Banks and Thrifts) ............... 6,240 76,684
Cadbury Schweppes Plc (Food and Beverage) .......... 1,500 21,870
Glaxo Wellcome Plc (Drugs) ......................... 515 14,552
Granada Group Plc (Consumer Services) +............. 2,030 34,960
Kingfisher Plc (Discretionary Retail) .............. 1,100 19,974
Lonrho Plc (Manufacturing) ......................... 2,125 15,429
Millennium Chemicals, Inc.
(Specialty Chemicals) ........................... 400 14,350
National Westminster Bank Plc
(Banks and Thrifts) ............................. 1,500 30,021
NFC Plc (Surface Transport) ........................ 7,500 22,509
Pearson Plc (Print Media) .......................... 1,500 23,500
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Peninsular & Oriental Steam Navigation Co.
(Surface Transport) +............................ 1,800 $ 26,725
Royal & Sun Alliance Insurance Group Plc
(Insurance) +.................................... 1,700 18,902
Schroders (Banks and Thrifts) ...................... 400 19,616
Shell Transport & Trading Co. (Oil) ................ 3,600 26,785
Tesco Plc (Discretionary Retail) ................... 2,400 22,552
Tomkins Plc (Consumer Services) .................... 5,754 33,865
Unilever Plc (Consumer Products) ................... 2,500 26,627
Vodafone Group Plc
(Other Telecommunications) ...................... 5,237 57,354
-------------
TOTAL UNITED KINGDOM 506,275
-------------
TOTAL FOREIGN COMMON STOCKS 2,950,918
-------------
TOTAL COMMON STOCKS (COST $8,317,251) 9,803,032
-------------
PREFERRED STOCKS (0.4%)
GERMANY (0.4%)
Henkel KGAA (Chemicals) +........................... 500 39,008
SAP AG (Data and Imaging Services) +................ 100 49,875
-------------
TOTAL PREFERRED STOCKS (COST $64,635) 88,883
-------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (34.9%)
U.S. GOVERNMENT OBLIGATIONS (17.4%)
U.S. Treasury Note, 5.88%, 02/15/00................. $ 250,000 251,171
U.S. Treasury Note, 6.50%, 05/31/02................. 600,000 617,811
U.S. Treasury Note, 6.50%, 10/15/06................. 1,175,000 1,231,359
U.S. Treasury Note, 7.50%, 10/31/99................. 1,000,000 1,027,185
U.S. Treasury Note, 7.50%, 11/15/01................. 560,000 592,550
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $3,639,842) 3,720,076
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (9.4%)
Federal National Mortgage Association, 5.75%,
04/15/03......................................... 500,000 498,280
Federal National Mortgage Association -
Conventional Loan, 6.50%, 02/01/28............... 494,128 489,649
Government National Mortgage Association, 7.00%,
04/15/27......................................... 421,875 427,413
Government National Mortgage Association, 7.00%,
02/15/28......................................... 241,660 244,832
Government National Mortgage Association, 7.00%,
02/15/28......................................... 334,637 339,030
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $2,002,403) 1,999,204
-------------
CORPORATE AND CONVERTIBLE BONDS (8.1%)
American Re Corp., 7.45%, 12/15/26.................. 400,000 434,623
Korea Development Bank., 7.12%, 09/17/01............ 200,000 190,475
National Australia Bank, 6.40%, 12/10/07............ 300,000 300,684
TCI Communications, Inc., 6.38%, 09/15/99........... 200,000 200,237
</TABLE>
76 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
CORPORATE AND CONVERTIBLE BONDS (CONTINUED)
Tenet Healthcare Corp., 7.88%, 01/15/03............. $ 175,000 $ 179,008
Time Warner, Inc., 9.13%, 01/15/13.................. 350,000 421,119
-------------
TOTAL CORPORATE AND CONVERTIBLE BONDS (COST $1,675,265) 1,726,146
-------------
TOTAL LONG-TERM BONDS AND NOTES (COST $7,317,510) 7,445,426
-------------
SHORT-TERM INVESTMENTS (16.9%)
Cooperative Assoc. of Tractor Dealers, Comm. Paper,
5.54%, 05/04/98.................................. 800,000 799,631
Dakota Certificates-Standard Credit Card Master
Trust-1, Comm. Paper, 5.53%, 05/05/98++++.......... 800,000 799,508
Federal Home Loan Mortgage Corp., Comm. Paper,
5.45%, 05/01/98.................................. 1,612,000 1,612,000
U.S. Treasury, Comm. Paper, 5.03%, 08/20/98@........ 400,000 393,928
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $3,604,942) 3,605,067
-------------
TOTAL INVESTMENTS (COST $19,304,338)(a) 20,942,408
OTHER ASSETS LESS LIABILITIES 387,520
-------------
TOTAL NET ASSETS $ 21,329,928
=============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$19,317,198. Unrealized gains and losses, based on identified tax cost at April
30, 1998, are as follows:
Unrealized gains .................................. $ 1,828,418
Unrealized losses ................................. (203,208)
-------------
Net unrealized gain ............................ $ 1,625,210
=============
</TABLE>
Information concerning open futures contracts at April 30, 1998 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
------------- ------------- -------------- ---------------
LONG CONTRACTS
- -------------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures ............. 2 $ 295,552 June 98 $ (975)
French Notional Bond
Futures ............. 1 83,654 June 98 349
Topix Index Futures .... 2 192,288 June 98 (4,541)
Swiss Government Bond
Futures ............. 1 83,971 June 98 (953)
------------- --------------
$ 655,465 $ (6,120)
============= ==============
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++ 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 April 30, 1998
Category percentages are based on net assets.
See Notes to Financial Statements. 77
<PAGE>
AETNA GENERATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
--------------- --------------- ----------------
<S> <C> <C> <C>
ASSETS:
Investments, at market value ........................................... $ 39,727,708 $ 39,069,131 $ 20,942,408
Cash ................................................................... 27,665 31,355 39,056
Cash denominated in foreign currencies ................................. 226,537 145,587 138,121
Receivable for:
Dividends and interest ............................................ 88,599 145,789 107,222
Investments sold .................................................. 661,864 481,205 163,543
Fund shares sold .................................................. 15,200 500 --
Recoverable foreign taxes ......................................... 6,143 4,903 3,300
Variation margin .................................................. 11,402 12,360 5,731
Reimbursement from Investment Adviser ............................. 3,840 17,507 5,847
Prepaid expenses ....................................................... 508 482 386
Gross unrealized gain on forward foreign currency exchange contracts.... 30,127 20,681 10,675
--------------- --------------- ----------------
Total assets ............................................... 40,799,593 39,929,500 21,416,289
--------------- --------------- ----------------
LIABILITIES:
Payable for:
Investments purchased ............................................. 225,584 113,201 27,967
Fund shares redeemed .............................................. 97,218 884 23,195
Other liabilities ...................................................... 41,643 47,427 26,088
Gross unrealized loss on forward foreign currency exchange contracts ... 22,537 16,468 9,111
--------------- --------------- ----------------
Total liabilities .......................................... 386,982 177,980 86,361
--------------- --------------- ----------------
NET ASSETS .......................................................... $ 40,412,611 $ 39,751,520 $ 21,329,928
=============== =============== ================
NET ASSETS REPRESENTED BY:
Paid-in capital ........................................................ $ 33,954,345 $ 34,379,249 $ 18,887,673
Net unrealized gain (loss) on investments, open
futures contracts and foreign currency related transactions ......... 4,888,211 3,800,228 1,632,711
Undistributed net investment income .................................... 263,910 342,017 231,020
Accumulated net realized gain on investments ........................... 1,306,145 1,230,026 578,524
--------------- --------------- ----------------
NET ASSETS .......................................................... $ 40,412,611 $ 39,751,520 $ 21,329,928
=============== =============== ================
CAPITAL SHARES, $.001 PAR VALUE:
Class I:
Outstanding ....................................................... 3,023,360 3,059,324 1,814,497
Net Assets ........................................................ $ 38,320,020 $ 37,778,027 $ 19,665,859
Net Asset Value, offering and redemption price per share
(net assets divided by shares outstanding) ..................... $ 12.67 $ 12.35 $ 10.84
Class A:
Outstanding ....................................................... 165,817 160,729 154,505
Net Assets ........................................................ $ 2,092,591 $ 1,973,493 $ 1,664,069
Net Asset Value, offering and redemption price per share
(net assets divided by shares outstanding) ..................... $ 12.62 $ 12.28 $ 10.77
Cost of investments .................................................... $ 34,831,314 $ 35,257,383 $ 19,304,338
Cost of cash denominated in foreign currencies ......................... $ 227,106 $ 145,364 $ 138,142
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
AETNA GENERATION FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
--------------- ------------- ---------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends .............................................................. $ 291,547 $ 214,644 $ 86,622
Interest ............................................................... 233,871 414,837 346,082
--------------- --------------- ---------------
525,418 629,481 432,704
Foreign taxes withheld on dividends .................................... (6,396) (5,207) (2,476)
--------------- --------------- ---------------
Total investment income ........................................ 519,022 624,274 430,228
--------------- --------------- ---------------
INVESTMENT EXPENSES:
Investment advisory fee ................................................ 130,931 131,410 77,514
Administrative services fees ........................................... 27,206 27,338 16,749
12b-1 and shareholder service fees ..................................... 2,683 1,942 2,164
Printing and postage fees .............................................. 4,422 4,489 3,229
Custody fees ........................................................... 13,743 15,587 13,705
Transfer agent fees .................................................... 18,572 16,211 13,329
Audit fees ............................................................. 11,621 11,617 11,333
Registration fees ...................................................... 19,784 23,819 21,081
Miscellaneous expenses ................................................. 618 582 465
--------------- --------------- ---------------
Expenses before reimbursement and waiver from Adviser .................. 229,580 232,995 159,569
Expenses reimbursement and waiver from Adviser ......................... (17,084) (20,221) (32,123)
--------------- --------------- ---------------
Total expenses ................................................. 212,496 212,774 127,446
--------------- --------------- ---------------
Net investment income .................................................. 306,526 411,500 302,782
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Sale of investments ................................................. 1,249,469 1,109,351 519,552
Futures and forward currency exchange contracts ..................... 191,442 186,637 94,238
Foreign currency related transactions ............................... (14,662) (10,370) (9,877)
--------------- --------------- ---------------
Net realized gain on investments ........................... 1,426,249 1,285,618 603,913
--------------- --------------- ---------------
Net change in unrealized gain or loss on:
Investments ......................................................... 1,894,080 1,501,114 563,787
Futures and forward currency exchange contracts ..................... (13,918) (32,026) (5,892)
Foreign currency related transactions ............................... 5,078 5,198 (974)
--------------- --------------- ---------------
Net change in unrealized gain or loss on investments ....... 1,885,240 1,474,286 556,921
--------------- --------------- ---------------
Net realized and change in unrealized gain or loss on investments ...... 3,311,489 2,759,904 1,160,834
--------------- --------------- ---------------
Net increase in net assets resulting from operations ................... $ 3,618,015 $ 3,171,404 $ 1,463,616
=============== =============== ===============
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
AETNA GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT
-------------------------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1998 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1997
---------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .......................................................... $ 306,526 $ 386,368
Net realized gain on investments ............................................... 1,426,249 5,753,466
Net change in unrealized gain or loss on investments ........................... 1,885,240 (207,457)
---------------- -----------------
Net increase in net assets resulting from operations ........................ 3,618,015 5,932,377
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income ................................................ (657,764) (509,409)
From net realized gains ................................................... (5,380,645) (1,991,320)
Class A:
From net investment income ................................................ (24,780) --
From net realized gains ................................................... (223,061) --
---------------- -----------------
Decrease in net assets from distributions to shareholders ................... (6,286,250) (2,500,729)
---------------- -----------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold ................................................. 13,220,812 24,275,254
Net asset value of shares issued upon reinvestment of distributions ....... 6,026,391 797,267
Payments for shares redeemed .............................................. (5,695,153) (26,848,236)
Class A:
Proceeds from shares sold ................................................. 1,109,195 877,110 (1)
Net asset value of shares issued upon reinvestment of distributions ....... 247,840 -- (1)
Payments for shares redeemed .............................................. (72,869) (40,134)(1)
---------------- -----------------
Net increase (decrease) in net assets from fund share transactions .......... 14,836,216 (938,739)
---------------- -----------------
Change in net assets ........................................................... 12,167,981 2,492,909
NET ASSETS:
Beginning of period ............................................................ 28,244,630 25,751,721
---------------- -----------------
End of period .................................................................. $ 40,412,611 $ 28,244,630
================ =================
End of period net assets includes undistributed net investment income .......... $ 263,910 $ 639,928
================ =================
SHARE TRANSACTIONS:
Class I:
Number of shares sold ..................................................... 1,024,150 1,863,827
Number of shares issued upon reinvestment of distributions ................ 520,864 64,924
Number of shares redeemed ................................................. (411,431) (2,087,644)
---------------- -----------------
Net increase (decrease) ..................................................... 1,133,583 (158,893)
================ =================
Class A:
Number of shares sold ..................................................... 88,767 64,131 (1)
Number of shares issued upon reinvestment of distributions ................ 21,495 -- (1)
Number of shares redeemed ................................................. (5,866) (2,710)(1)
---------------- -----------------
Net increase ................................................................ 104,396 61,421 (1)
================ =================
</TABLE>
(1) Period from January 20, 1997 to October 31, 1997.
See Notes to Financial Statements.
80
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CROSSROADS
---------------------------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1998 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1997
---------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..........................................................$ 411,500 $ 496,276
Net realized gain on investments ............................................... 1,285,618 4,147,389
Net change in unrealized gain or loss on investments ........................... 1,474,286 5,053
---------------- -----------------
Net increase in net assets resulting from operations ........................ 3,171,404 4,648,718
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income ................................................ (764,997) (569,299)
From net realized gains ................................................... (3,810,051) (1,905,254)
Class A:
From net investment income ................................................ (17,904) --
From net realized gains ................................................... (95,586) --
---------------- -----------------
Decrease in net assets from distributions to shareholders ................... (4,688,538) (2,474,553)
---------------- -----------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold ................................................. 14,241,445 24,895,160
Net asset value of shares issued upon reinvestment of distributions ....... 4,575,048 984,645
Payments for shares redeemed .............................................. (5,554,158) (24,955,529)
Class A:
Proceeds from shares sold ................................................. 1,400,419 541,777 (1)
Net asset value of shares issued upon reinvestment of distributions ....... 113,441 -- (1)
Payments for shares redeemed .............................................. (82,049) (12,739)(1)
---------------- -----------------
Net increase in net assets from fund share transactions ..................... 14,694,146 1,453,314
---------------- -----------------
Change in net assets ........................................................... 13,177,012 3,627,479
NET ASSETS:
Beginning of period ............................................................ 26,574,508 22,947,029
---------------- -----------------
End of period ..................................................................$ 39,751,520 $ 26,574,508
================ =================
End of period net assets includes undistributed net investment income ..........$ 342,017 $ 713,418
================ =================
SHARE TRANSACTIONS:
Class I:
Number of shares sold ..................................................... 1,130,156 2,036,644
Number of shares issued upon reinvestment of distributions ................ 400,617 85,399
Number of shares redeemed ................................................. (430,532) (2,049,555)
---------------- -----------------
Net increase ................................................................ 1,100,241 72,488
================ =================
Class A:
Number of shares sold ..................................................... 116,112 42,345 (1)
Number of shares issued upon reinvestment of distributions ................ 9,977 -- (1)
Number of shares redeemed ................................................. (6,738) (967)(1)
---------------- -----------------
Net increase ................................................................ 119,351 41,378 (1)
================ =================
</TABLE>
81
<PAGE>
AETNA GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LEGACY
----------------------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1998 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1997
---------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .......................................................... $ 302,782 $ 522,193
Net realized gain on investments ............................................... 603,913 2,838,123
Net change in unrealized gain or loss on investments ........................... 556,921 (500,057)
---------------- -----------------
Net increase in net assets resulting from operations ........................ 1,463,616 2,860,259
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income ................................................ (708,597) (623,441)
From net realized gains ................................................... (2,397,573) (1,697,678)
Class A:
From net investment income ................................................ (45,122) --
From net realized gains ................................................... (157,499) --
---------------- -----------------
Decrease in net assets from distributions to shareholders ................... (3,308,791) (2,321,119)
---------------- -----------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold ................................................. 5,709,409 17,595,612
Net asset value of shares issued upon reinvestment of distributions ....... 2,659,418 600,390
Payments for shares redeemed .............................................. (5,272,210) (22,733,738)
Class A:
Proceeds from shares sold ................................................. 1,179,623 495,655 (1)
Net asset value of shares issued upon reinvestment of distributions ....... 202,621 -- (1)
Payments for shares redeemed .............................................. (97,263) (29,360)(1)
---------------- -----------------
Net increase (decrease) in net assets from fund share transactions .......... 4,381,598 (4,071,441)
---------------- -----------------
Change in net assets ........................................................... 2,536,423 (3,532,301)
NET ASSETS:
Beginning of period ............................................................ 18,793,505 22,325,806
---------------- -----------------
End of period .................................................................. $ 21,329,928 $ 18,793,505
================ =================
End of period net assets includes undistributed net investment income .......... $ 231,020 $ 681,957
================ =================
SHARE TRANSACTIONS:
Class I:
Number of shares sold ..................................................... 522,712 1,553,745
Number of shares issued upon reinvestment of distributions ................ 261,496 54,930
Number of shares redeemed ................................................. (476,841) (2,019,117)
---------------- -----------------
Net increase (decrease) ..................................................... 307,367 (410,442)
================ =================
Class A:
Number of shares sold ..................................................... 103,803 42,155 (1)
Number of shares issued upon reinvestment of distributions ................ 20,042 -- (1)
Number of shares redeemed ................................................. (9,113) (2,382)(1)
---------------- -----------------
Net increase ................................................................ 114,732 39,773 (1)
================ =================
</TABLE>
(1) Period from January 20, 1997 to October 31, 1997.
See Notes to Financial Statements.
82
<PAGE>
AETNA GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds (Funds), each of which
has its own investment objective, policies and restrictions.
The Company currently offers nineteen funds. This report covers Aetna Ascent
Fund, Aetna Crossroads Fund and Aetna Legacy Fund, collectively the Generation
Funds or Funds.
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, Class I (formerly
Select Class shares) and Class A (formerly Adviser Class shares). Class I is
offered principally to institutions and is not subject to sales charges or
distribution fees. Class I shares were first made available on January 4, 1995.
Class A shares are offered to all others and generally are subject to front end
sales charges payable upon purchase. Additionally, Class A shares are subject
to a distribution fee pursuant to Rule 12b-1 of the Act. Class A shares were
first made available to the public on January 20, 1997.
The following is each Fund's investment objective:
AETNA ASCENT FUND (Ascent) seeks to provide capital appreciation.
AETNA CROSSROADS FUND (Crossroads) seeks to provide total return (i.e.,
income and capital appreciation, both realized and unrealized).
AETNA LEGACY FUND (Legacy) seeks to provide total return consistent with
preservation of capital.
Aeltus Investment Management, Inc., (Aeltus) serves as the Investment Adviser to
each Fund. Prior to February 2, 1998, the Investment Adviser was Aetna Life
Insurance and Annuity Company (ALIAC). Aetna Investment Services, Inc. (AISI)
was the principal underwriter for each Fund through April 30, 1998. On May 1,
1998, Aeltus Capital, Inc. became each Fund's principal underwriter.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
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 and fixed income investments for which
market quotations are not considered to be readily available are valued 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 foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. 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.
83
<PAGE>
AETNA GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
2. 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 "sell" futures
contracts as a hedge against declines in the valve of portfolio securities. 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 fluctuation in the
market value of the contract. These amounts are recorded by the Funds as
unrealized gains or losses. When a contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Generally, futures contracts held by the Funds are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Funds, where authorized, may use forward
foreign currency exchange contracts to hedge certain foreign currency assets.
Contracts are recorded at market value and marked-to-market daily.
The risks associated with futures and forward 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 forward foreign currency
exchange contracts are reflected in the accompanying financial statements. The
amounts at risk under such futures and forward foreign currency exchange
contracts may exceed the amounts reflected in the financial statements. The
notional amounts (economic exposure) of these contracts are disclosed in the
Portfolios of Investments and elsewhere in the Notes to 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 reported to shareholders as 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 those sold under Rule 144A under
the Securities Act of 1933 (1933 Act) or are securities offered pursuant to
section 4(2) of the 1933 Act, and are subject to legal or contractual
restrictions on resale and may not be publicly sold without registration under
the 1933 Act. Each Fund may invest up to 15% of its total assets in illiquid
securities. Illiquid and restricted securities are valued using market
quotations when readily available. In the absence of market quotations, the
securities are valued based upon their fair value determined under procedures
approved by the Board of Directors. The Funds will not pay the costs of
disposition of restricted securities other than ordinary brokerage fees, if any.
D. FEDERAL INCOME TAXES
As a qualified regulated investment company, each Fund is relieved of federal
income and excise taxes by distributing all of its net taxable investment income
and capital gains, if any, in compliance with the applicable provisions of the
Internal Revenue Code.
84
<PAGE>
- --------------------------------------------------------------------------------
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. INVESTMENT ADVISORY, 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.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Fund in
exchange for fees, payable by Aeltus, of up to 0.40% of the average daily net
assets of Class I. For the period February 1, 1998 through April 30, 1998,
Aeltus paid ALIAC $87,570.
Aeltus has served as the Investment Adviser for all Funds since February 2,
1998. Prior to February 2, 1998, ALIAC served as the Funds' Investment Adviser
and Aeltus served as Sub-Adviser. As Sub-Adviser, Aeltus supervised the
investment and reinvestment of cash and securities and provided certain related
administrative services. For the period November 1, 1997 through February 1,
1998, ALIAC collected $112,249 from the Funds, of which it paid $80,286 to
Aeltus.
Effective February 2, 1998, the Company and Aeltus entered into an
administrative services agreement under which Aeltus 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 Aeltus
an administrative services fee at an annual rate of 0.10% of its average daily
net assets. Prior to February 2, 1998, ALIAC acted as administrator for each
Fund and was paid an administrative services fee at an annual rate of 0.25% of
each Fund's average daily net assets. For the period November 1, 1997 through
February 1, 1998, ALIAC collected $48,322 in administrative services fees from
the Funds.
The Shareholder Services Plan for Class A (formerly Adviser Class) shares
terminated on December 31, 1997. Under the Shareholder Services Plan, AISI was
paid a service fee at an annual rate of 0.25% of the average daily net assets
of Class A of each Fund. This fee was used as compensation for expenses incurred
in servicing shareholders' accounts. For the period November 1, 1997 through
December 31, 1997, the Funds paid AISI $1,015 in service fees.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for Class A shares. The Distribution Plan provides for payments to the principal
underwriter at an annual rate of 0.25% (prior to January 1, 1998, the 12b-1
fee was 0.50%), of the average daily net assets of Class A shares of each Fund.
Amounts paid by the Funds were used to pay expenses incurred by the principal
underwriter in promoting the sale of Class A shares. For the period ended April
30, 1998, the Funds paid AISI $4,758 in Rule 12b-1 fees, net of reimbursement.
The plan may be terminated upon a majority vote of the Company's independent
directors.
Presently, the Funds' class-specific expenses are limited to Rule 12b-1 fees
incurred by Class A shares.
85
<PAGE>
AETNA GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
4. REIMBURSEMENT FROM INVESTMENT ADVISER
The Investment Adviser may, from time to time, make reimbursements to a Fund for
some or all of its operating expenses or it may waive fees. Reimbursement and
waiver arrangements, which may be terminated at any time without notice, will
increase a Fund's yield and total return. For the period ended April 30, 1998,
the reimbursements were as follows:
<TABLE>
<CAPTION>
NON-CLASS SPECIFIC CLASS SPECIFIC (CLASS A) FUND TOTAL
------------------ ------------------------ ----------
<S> <C> <C> <C>
Ascent $16,666 $418 $17,084
Crossroads 19,948 273 20,221
Legacy 31,799 324 32,123
</TABLE>
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended April 30, 1998 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Ascent $25,406,129 $18,153,544
Crossroads 26,654,986 19,469,206
Legacy 10,748,430 10,868,766
</TABLE>
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At April 30, 1998, Ascent, Crossroads and Legacy had the following open forward
foreign currency exchange contracts that obligate the Funds to deliver
currencies at specified future dates. The net unrealized gain of $7,590, $4,213
and $1,564, respectively on these contracts, are included in the accompanying
financial statements. The terms of the open contracts are as follows:
ASCENT
- ------
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1998 BE RECEIVED APRIL 30, 1998 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
5/18/1998 59,618 $59,618 122,000 $60,469 $851
U.S. Dollar Dutch Guilder
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 117,265 117,265 708,000 117,780 515
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 87,008 87,008 520,000 86,505 (503)
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
5/8/1998 61,206 61,206 110,000 61,350 144
U.S. Dollar German Deutschemark
- -------------------------------------------------------------------------------------------------------------------
5/26/1998 49,332 49,332 6,220,000 47,262 (2,070)
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 45,604 45,604 68,000 45,519 (85)
U.S. Dollar Swiss Franc
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
86
<PAGE>
- --------------------------------------------------------------------------------
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (CONTINUED)
ASCENT (CONTINUED)
- ------------------
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1998 BE RECEIVED APRIL 30, 1998 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO SELL
- -----------------
5/18/1998 75,000 $125,345 123,955 $123,955 ($1,390)
British Pound U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/15/1998 25,000 41,772 41,700 41,700 (72)
British Pound U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/18/1998 386,000 191,320 189,313 189,313 (2,007)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/22/1998 143,000 71,028 69,961 69,961 (1,067)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/22/1998 55,000 27,318 27,321 27,321 3
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 1,578,000 262,510 258,530 258,530 (3,980)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 2,160,000 360,076 359,401 359,401 (675)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/8/1998 130,000 72,504 71,093 71,093 (1,411)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/5/1998 273,000 152,504 151,247 151,247 (1,257)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
7/9/1998 335,000 187,552 183,060 183,060 (4,492)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/26/1998 38,450,000 292,159 306,927 306,927 14,768
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 43,600,000 332,230 343,433 343,433 11,203
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 6,580,000 50,140 49,621 49,621 (519)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
7/27/1998 8,810,000 67,513 68,454 68,454 941
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 109,000 72,964 74,666 74,666 1,702
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 228,000 152,621 149,612 149,612 (3,009)
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
$7,590
=================
</TABLE>
87
<PAGE>
AETNA GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (CONTINUED)
CROSSROADS
- ----------
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1998 BE RECEIVED APRIL 30, 1998 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
5/18/1998 39,017 $39,017 80,000 $39,652 $635
U.S. Dollar Dutch Guilder
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 78,963 78,963 476,000 79,186 223
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 71,949 71,949 430,000 71,533 (416)
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
5/8/1998 66,771 66,771 120,000 66,927 156
U.S. Dollar German Deutschemark
- -------------------------------------------------------------------------------------------------------------------
5/26/1998 26,649 26,649 3,360,000 25,531 (1,118)
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 36,885 36,885 55,000 36,815 (70)
U.S. Dollar Swiss Franc
- -------------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
5/18/1998 40,000 66,850 66,512 66,512 (338)
British Pound U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/15/1998 40,000 66,835 66,720 66,720 (115)
British Pound U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/18/1998 191,000 94,669 93,661 93,661 (1,008)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/22/1998 212,000 105,300 103,718 103,718 (1,582)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/22/1998 89,000 44,206 44,210 44,210 4
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 1,559,000 259,349 255,659 255,659 (3,690)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 1,704,000 284,059 283,527 283,527 (532)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/8/1998 120,000 66,927 65,624 65,624 (1,303)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/5/1998 240,000 134,069 132,964 132,964 (1,105)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
7/9/1998 177,000 99,095 96,721 96,721 (2,374)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
88
<PAGE>
- --------------------------------------------------------------------------------
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (CONTINUED)
CROSSROADS (CONTINUED)
- ----------------------
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1998 BE RECEIVED APRIL 30, 1998 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO SELL (CONTINUED)
- -----------------------------
5/26/1998 30,380,000 $230,840 240,030 $240,030 $9,190
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 27,390,000 208,712 215,735 215,735 7,023
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 4,950,000 37,719 37,329 37,329 (390)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
7/27/1998 19,370,000 148,436 150,505 150,505 2,069
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 87,000 58,238 59,618 59,618 1,380
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 184,000 123,168 120,742 120,742 (2,426)
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
$4,213
=================
</TABLE>
LEGACY
- ------
<TABLE>
<CAPTION>
CONTRACTS TO BUY
- ----------------
<S> <C> <C> <C> <C> <C>
5/18/1998 10,586 10,586 22,000 10,904 318
U.S. Dollar Dutch Guilder
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 19,576 19,576 118,000 19,630 54
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
5/13/1998 38,484 38,484 230,000 38,262 (222)
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
5/8/1998 22,257 22,257 40,000 22,309 52
U.S. Dollar German Deutschemark
- -------------------------------------------------------------------------------------------------------------------
5/26/1998 17,056 17,056 2,160,000 16,413 (643)
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 20,790 20,790 31,000 20,751 (39)
U.S. Dollar Swiss Franc
- -------------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
5/18/1998 30,000 50,138 49,582 49,582 (556)
British Pound U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/15/1998 10,000 16,709 16,680 16,680 (29)
British Pound U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/18/1998 155,000 76,825 75,944 75,944 (881)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/22/1998 55,000 27,319 26,908 26,908 (411)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
89
<PAGE>
AETNA GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (CONTINUED)
LEGACY (CONTINUED)
- ------------------
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1998 BE RECEIVED APRIL 30, 1998 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
CONTRACTS TO SELL (CONTINUED)
- -----------------------------
<S> <C> <C> <C> <C> <C>
5/13/1998 632,600 $105,237 103,633 $103,633 ($1,604)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 814,000 135,695 135,441 135,441 (254)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/8/1998 70,000 39,041 38,281 38,281 (760)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/5/1998 89,000 49,717 49,307 49,307 (410)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
7/9/1998 123,000 68,863 67,213 67,213 (1,650)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/26/1998 14,880,000 113,064 118,280 118,280 5,216
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 13,800,000 105,156 108,651 108,651 3,495
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
6/17/1998 2,430,000 18,517 18,325 18,325 (192)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
7/27/1998 6,660,000 51,037 51,748 51,748 711
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 53,000 35,478 36,307 36,307 829
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
5/5/1998 111,000 74,302 72,842 72,842 (1,460)
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
$1,564
=================
</TABLE>
7. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 6.8 billion shares. Of those 6.8
billion, 100 million shares each of Class I and Class A shares have been
designated to the Funds listed below. As of April 30, 1998, the following
shares of the Funds were owned by Aetna and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A
--------------------- ----------------------
<S> <C> <C>
Ascent 2,700,583 --
Crossroads 2,887,489 --
Legacy 1,686,131 --
</TABLE>
90
<PAGE>
AETNA GENERATION FUNDS
FINANCIAL HIGHLIGHTS
ASCENT
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED YEAR ENDED YEAR ENDED JANUARY 4, 1995 TO
APRIL 30, 1998 OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS I (UNAUDITED) 1997 1996 1995
- ----------------------------------------------------------- --------------- ------------ ------------- ------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ...................... $ 14.48 $ 12.57 $ 11.67 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................. 0.12 0.21 0.21 0.25
Net realized and change in unrealized gain or
loss on investments .................................. 1.17 2.92 2.04 1.42
----------- ----------- ----------- -----------
Total from investment operations ................ 1.29 3.13 2.25 1.67
----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income ............................. (0.34) (0.25) (0.38) --
From net realized gains on investments ................. (2.76) (0.97) (0.97) --
----------- ----------- ----------- -----------
Total distributions ............................. (3.10) (1.22) (1.35) --
----------- ----------- ----------- -----------
Net asset value, end of period ............................ $ 12.67 $ 14.48 $ 12.57 $ 11.67
=========== =========== =========== ===========
Total return .............................................. 10.93% 26.59% 20.94% 16.70%
Net assets, end of period (000's) ......................... $ 38,320 $ 27,359 $ 25,752 $ 20,433
Ratio of total expenses to average net assets ............. 1.28%(1) 1.52% 1.73% 1.38%(1)
Ratio of net investment income to average net assets ...... 1.89%(1) 1.53% 1.69% 2.80%(1)
Ratio of net expense before reimbursement and waiver
to average net assets ................................ 1.39%(1) 1.61% -- --
Ratio of net investment income before reimbursement
and waiver to average net assets ..................... 1.78%(1) 1.44% -- --
Portfolio turnover rate ................................... 62.37% 162.80% 104.84% 164.09%
Average commission rate paid per share on equity
securities traded .................................... $ 0.0321 $ 0.0342 $ 0.0349 --
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financal Statements.
91
<PAGE>
AETNA GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
ASCENT
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED JANUARY 20, 1997 TO
APRIL 30, 1998 OCTOBER 31,
CLASS A (UNAUDITED) 1997
- --------------------------------------------------------------------------- --------------------- -----------------------
<S> <C> <C>
Net asset value, beginning of period ...................................... $ 14.42 $ 12.50
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................................. 0.10 0.15
Net realized and change in unrealized gain or
loss on investments .................................................. 1.17 1.77
----------- -----------
Total from investment operations ................................ 1.27 1.92
----------- -----------
LESS DISTRIBUTIONS:
From net investment income ............................................. (0.31) --
From net realized gains on investments ................................. (2.76) --
----------- -----------
Total distributions ............................................. (3.07) --
----------- -----------
Net asset value, end of period ............................................ $ 12.62 $ 14.42
=========== ===========
Total return (does not reflect applicable sales charges) .................. 10.80% 15.36%
Net assets, end of period (000's) ......................................... $ 2,093 $ 886
Ratio of total expenses to average net assets ............................. 1.59%(1) 2.08%(1)
Ratio of net investment income to average net assets ...................... 1.58%(1) 1.11%(1)
Ratio of net expense before reimbursement and waiver
to average net assets ................................................ 1.75%(1) 2.35%(1)
Ratio of net investment income before reimbursement
and waiver to average net assets ..................................... 1.42%(1) 0.83%(1)
Portfolio turnover rate ................................................... 62.37% 162.80%
Average commission rate paid per share on equity
securities traded .................................................... $ 0.0321 $ 0.0342
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
92
<PAGE>
CROSSROADS
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED YEAR ENDED YEAR ENDED JANUARY 4, 1995 TO
APRIL 30, 1998 OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS I (UNAUDITED) 1997 1996 1995
- --------------------------------------------------------- ----------------- --------------- -------------- ------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period .................... $ 13.29 $ 12.16 $ 11.53 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.15 0.27 0.25 0.29
Net realized and change in unrealized gain
or loss on investments ............................. 0.95 2.16 1.64 1.24
----------- ----------- ----------- -----------
Total from investment operations .............. 1.10 2.43 1.89 1.53
----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income ........................... (0.34) (0.30) (0.44) --
From net realized gains on investments ............... (1.70) (1.00) (0.82) --
----------- ----------- ----------- -----------
Total distributions ........................... (2.04) (1.30) (1.26) --
----------- ----------- ----------- -----------
Net asset value, end of period .......................... $ 12.35 $ 13.29 $ 12.16 $ 11.53
=========== =========== =========== ===========
Total return ............................................ 9.53% 21.65% 17.66% 15.30%
Net assets, end of period (000's) ....................... $ 37,778 $ 26,028 $ 22,947 $ 20,370
Ratio of total expenses to average net assets ........... 1.28%(1) 1.57% 1.74% 1.40%(1)
Ratio of net investment income to average net assets .... 2.52%(1) 2.13% 2.18% 3.26%(1)
Ratio of net expense before reimbursement and
waiver to average net assets ....................... 1.41%(1) 1.66% -- --
Ratio of net investment income before reimbursement
and waiver to average net assets ................... 2.39%(1) 2.05% -- --
Portfolio turnover rate ................................. 69.36% 161.75% 107.40% 166.93%
Average commission rate paid per share on equity
securities traded .................................. $ 0.0300 $ 0.0309 $ 0.0350 --
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
93
<PAGE>
AETNA GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED JANUARY 20, 1997 TO
APRIL 30, 1998 OCTOBER 31,
CLASS A (UNAUDITED) 1997
- ----------------------------------------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period .................................. $ 13.22 $ 11.67
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............................................. 0.14 0.30
Net realized and change in unrealized gain or
loss on investments .............................................. 0.94 1.25
----------- -----------
Total from investment operations ............................ 1.08 1.55
----------- -----------
LESS DISTRIBUTIONS:
From net investment income ......................................... (0.32) --
From net realized gains on investments ............................. (1.70) --
----------- -----------
Total distributions ......................................... (2.02) --
----------- -----------
Net asset value, end of period ........................................ $ 12.28 $ 13.22
=========== ===========
Total return (does not reflect applicable sales charges) .............. 9.37% 13.28%
Net assets, end of period (000's) ..................................... $ 1,973 $ 547
Ratio of total expenses to average net assets ......................... 1.58%(1) 2.11%(1)
Ratio of net investment income to average net assets .................. 2.22%(1) 1.64%(1)
Ratio of net expense before reimbursement and
waiver to average net assets ..................................... 1.76%(1) 2.41%(1)
Ratio of net investment income before reimbursement
and waiver to average net assets ................................. 2.04%(1) 1.34%(1)
Portfolio turnover rate ............................................... 69.36% 161.75%
Average commission rate paid per share on equity securities traded .... $ 0.0300 $ 0.0309
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
94
<PAGE>
LEGACY
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED YEAR ENDED YEAR ENDED JANUARY 4, 1995 TO
APRIL 30, 1998 OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS I (UNAUDITED) 1997 1996 1995
- ---------------------------------------------------------- -------------- ----------- ----------- -----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ..................... $ 12.15 $ 11.64 $ 11.41 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.17 0.32 0.29 0.33
Net realized and change in unrealized gain or
loss on investments ................................. 0.62 1.41 1.20 1.08
----------- ----------- ----------- -----------
Total from investment operations ............... 0.79 1.73 1.49 1.41
----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income ............................ (0.48) (0.33) (0.50) --
From net realized gains on investments ................ (1.62) (0.89) (0.76) --
----------- ----------- ----------- -----------
Total distributions ............................ (2.10) (1.22) (1.26) --
----------- ----------- ----------- -----------
Net asset value, end of period ........................... $ 10.84 $ 12.15 $ 11.64 $ 11.41
=========== =========== =========== ===========
Total return ............................................. 7.67% 15.94% 14.11% 14.10%
Net assets, end of period (000's) ........................ $ 19,666 $ 18,313 $ 22,326 $ 19,651
Ratio of total expenses to average net assets ............ 1.30%(1) 1.63% 1.73% 1.42%(1)
Ratio of net investment income to average net assets ..... 3.14%(1) 2.77% 2.62% 3.75%(1)
Ratio of net expense before reimbursement and
waiver to average net assets ........................ 1.62%(1) 1.75% -- --
Ratio of net investment income before reimbursement
and waiver to average net assets .................... 2.82%(1) 2.65% -- --
Portfolio turnover rate .................................. 65.17% 158.71% 91.62% 179.88%
Average commission rate paid per share on equity
securities traded ................................... $ 0.0234 $ 0.0311 $ 0.0289 --
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
95
<PAGE>
AETNA GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
LEGACY
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH PERIOD FROM
PERIOD ENDED JANUARY 20, 1997 TO
APRIL 30, 1998 OCTOBER 31,
CLASS A (UNAUDITED) 1997
- ---------------------------------------------------------------------------------------- --------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ................................................... $ 12.09 $ 11.01
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................................................... 0.15 0.29
Net realized and change in unrealized gain or loss on investments ................... 0.62 0.79
----------- -----------
Total from investment operations ............................................. 0.77 1.08
----------- -----------
LESS DISTRIBUTIONS:
From net investment income .......................................................... (0.47) --
From net realized gains on investments .............................................. (1.62) --
----------- -----------
Total distributions .......................................................... (2.09) --
----------- -----------
Net asset value, end of period ......................................................... $ 10.77 $ 12.09
=========== ===========
Total return (does not reflect applicable sales charges) ............................... 7.48% 9.81%
Net assets, end of period (000's) ...................................................... $ 1,664 $ 481
Ratio of total expenses to average net assets .......................................... 1.60%(1) 2.21%(1)
Ratio of net investment income to average net assets ................................... 2.84%(1) 2.39%(1)
Ratio of net expense before reimbursement and waiver to average net assets ............. 1.98%(1) 2.50%(1)
Ratio of net investment income before reimbursement and waiver to average net assets ... 2.46%(1) 2.10%(1)
Portfolio turnover rate ................................................................ 65.17% 158.71%
Average commission rate paid per share on equity securities traded ..................... $ 0.0234 $ 0.0311
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
96
