Aetna Generation Funds
BUILD FOR
RETIREMENT. MANAGE
FOR LIFE.(SM)
Aetna
Mutual Funds
Annual Report
October 31, 1997
ANN.AETGEN-97 [Aetna logo]
Retirement Services(R)
<PAGE>
- --------------------------------------------------------------------------------
Table of Contents
- --------------------------------------------------------------------------------
President's Letter.............................................. 1
Investment Review............................................... 2
Portfolios of Investments:
Aetna Ascent Fund............................................. 6
Aetna Crossroads Fund......................................... 12
Aetna Legacy Fund............................................. 18
Statements of Assets and Liabilities............................ 24
Statements of Operations........................................ 25
Statements of Changes in Net Assets............................. 26
Notes to Financial Statements................................... 29
Additional Information.......................................... 35
Financial Highlights............................................ 36
Independent Auditors' Report.................................... 39
<PAGE>
President's Letter
Dear Fellow Shareholders,
We are pleased to bring you this annual report of the performance of your funds.
Thank you for your confidence in Aetna and your investment in Aetna Mutual
Funds.
Although past performance is no assurance of future results, we are very pleased
with the continued success of Aeltus Investment Management, Inc., subadvisor to
the Funds. As indicated in several of the individual portfolio reports,
improvements in our stock selection disciplines and quantitative research
capabilities have produced favorable results.
The past twelve months have given us a strong economy with higher domestic
production and low inflation rates. Increased revenues and reduced Federal
spending have brought us closer to a balanced budget. Interest rates began a
slow decline after reaching a peak in April. We expect the Federal Reserve to
maintain a stable economic policy with no near term increase in interest rates.
Overall, the U.S. economy should continue modest growth and low inflation. As a
result, our outlook for the bond market is neutral to slightly positive. We
believe volatility is likely to continue in the equity markets. Despite pressure
on corporate profits in an uncertain environment, we believe there will continue
to be investment opportunities in the coming months.
We expect slow recoveries for Japan and Asian economies following this year's
currency crisis. In Latin America, economies may be temporarily hindered by the
Asian Crisis, but we expect a Market rebound in 1998. For European Markets,
company restructuring and shareholder attention should provide equity holders a
solid return.
As I move on to new assignments within Aetna, J. Scott Fox, currently Treasurer
of the Funds, will assume the role of President of the Funds. I am proud to have
been the Funds' President for the past six years and look forward to continuing
to serve as a Director.
Aetna is pleased to help you meet your retirement and investment needs with
quality products and services. Thank you again for investing in our Funds.
Yours sincerely,
/s/ Shaun P. Mathews
Shaun P. Mathews
President
1
<PAGE>
***************************[Mountain Chart:]************************************
Aetna Ascent
Growth of $10,000
Average Annual Total Returns
for the Year or Period Ended October 31, 1997*
1 Year Inception+
------ ----------
Select Class 26.59% 22.81%
Adviser Class 24.86% 21.97%
Aetna Ascent Aetna Ascent
(Select Class) (Adviser Class) Ascent Composite
- -------------- --------------- ----------------
10,000 10,000 10,000
10,286 10,268 10,517
11,010 10,970 11,172
11,850 11,785 11,765
12,362 12,272 12,233
12,766 12,650 12,575
13,350 13,204 12,984
14,024 13,843 13,319
14,114 13,924 13,459
15,337 15,094 14,241
17,868 17,472 16,239
********************************************************************************
***************************[Mountain Chart:]************************************
Aetna Crossroads
Growth of $10,000
Average Annual Total Returns
for the Year or Period Ended October 31, 1997*
1 Year Inception+
------ ----------
Select Class 21.65% 19.41%
Adviser Class 19.81% 18.54%
Aetna Crossroads Aetna Crossroads
(Select Class) (Adviser Class) Crossroads Composite
- -------------- --------------- ----------------
10,000 10,000 10,000
10,289 10,270 10,520
10,930 10,890 11,145
11,670 11,606 11,627
12,105 12,015 12,076
12,428 12,313 12,294
12,875 12,732 12,613
13,444 13,269 12,920
13,566 13,382 13,081
14,492 14,248 13,686
16,504 16,117 15,342
********************************************************************************
***************************[Mountain Chart:]************************************
Aetna Legacy
Growth of $10,000
Average Annual Total Returns
for the Year or Period Ended October 31, 1997*
1 Year Inception+
------ ----------
Select Class 15.94% 15.69%
Adviser Class 14.17% 14.86%
Aetna Legacy Aetna Legacy
(Select Class) (Adviser Class) Legacy Composite
- -------------- --------------- ----------------
10,000 10,000 10,000
10,303 10,285 10,523
10,870 10,831 11,118
11,489 11,428 11,489
11,889 11,804 11,921
12,102 11,993 12,019
12,471 12,336 12,253
12,863 12,698 12,530
13,019 12,844 12,712
13,678 13,448 13,148
15,095 14,741 14,483
********************************************************************************
* 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 Select Class shares was January 4, 1995. The date of
inception for the Adviser Class shares was January 20, 1997. For periods prior
to that date, Adviser Class performance is calculated by using the performance
of the Select Class, adjusted for fees and expenses charged to the Adviser
Class. Select Class and Adviser Class shares participate in the same portfolio
of securities. Past performance is no guarantee of future results.
2
<PAGE>
Aetna Generation Funds
How did the Funds perform during the period?
Returns for the twelve month period ended October 31, 1997 were quite favorable
for each of the three Generation Funds (Ascent, Crossroads, and Legacy). Both
Select Class and Adviser Class shares outperformed their relative benchmark
indices for the period. These benchmark indices are comprised of the seven stock
and bond indices listed below in weights that correspond to the particular
benchmark weights for each Fund.
- -------------------------------------------------------------------------------
Fund Return Fund Return Benchmark Index
Generation Fund (Select Class) (Adviser Class)* Return
- -------------------------------------------------------------------------------
Ascent 26.59% 25.86% 20.66%
Crossroads 21.65% 20.81% 17.28%
Legacy 15.94% 15.17% 13.94%
*Performance is based on the one year return of the Select Class, adjusted for
fees and expenses charged to the Adviser Class, and does not reflect the
deduction of the 1% maximum contingent deferred sales charge.
What economic or financial market conditions impacted the Funds?
Serving as a backdrop for each Generation Fund's performance are the returns for
the various indices for each of the asset classes among which the Generation
Funds allocate investments (shown below). Again, the combination of these seven
indices in different weights comprise the overall benchmarks against which we
measure each Generation Fund's performance (shown above).
- -------------------------------------------------------------------------------
Index
Asset Class Benchmark Index + Return
- -------------------------------------------------------------------------------
Large Cap Stocks S&P 500 32.11%
Small Cap Stocks Russell 2000 29.33%
International Stocks MSCI EAFE 4.92%
Real Estate Stocks NAREIT 32.77%
U.S. Dollar Bonds Salomon Broad 8.82%
International Bonds S.B. Non-U.S. WGBI 1.04%
Cash Equivalents U.S. 90 Day T-Bill 5.24%
+ 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. 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. 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. 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. 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. 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. 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.
Large company stocks, such as those that make up the S&P 500, continued to
achieve above-average returns for the first several months of the period. Small
company stocks surged during 1997's third quarter, while international stocks
were subject to turmoil in the third and early fourth quarters, triggered by
plummeting Asian currencies and market downturns worldwide.
3
<PAGE>
What investments influenced the Funds' performance over the past twelve months?
In order to better control risk and pursue enhanced return potential over the
long run, the Generation Funds are designed to invest in a variety of asset
classes with varying degrees of risk. During these past twelve months, domestic
large company, small company and real estate stocks all had particularly strong
performance, especially when compared to international stocks, as represented by
the MSCI EAFE Index, which returned only 4.92%. Although the Funds were able to
outperform their relative benchmarks over these past twelve months, in
retrospect, cash allocations were somewhat too conservative, as the equity
market continued to climb despite its stretched valuation level. The Funds'
outperformance primarily stemmed from excellent stock selection results.
What is your outlook going forward?
To help us determine our allocation of assets to different investment classes,
we use forward earnings yield (earnings per share/price) as our barometer of
equity valuation, and compare it to the yield on the 10 year government bond. As
current spreads between equity forward earnings yields and the 10 year bond
remain low, our equity allocations are also somewhat low, as evidenced by the
allocation illustrations below. Relative valuation among domestic equities
favors small company stocks, and we remain somewhat overweight in the small
company asset category.
We have moved to a slightly overweighted position in international equities.
Even with their sell-off, Asian countries continue to rank poorly in our
analysis. Consequently, we remain underweight in Asian regions among our
international security holdings, as we believe recovery in Asia will not be
forthcoming soon. In other international holdings, we remain overweight in
Australia, Italy and Latin America, and continue a neutral weight position in
several European countries. Finally, we remain partially hedged against the
major currencies (for potential protection against sudden shifts in values),
with a heavier emphasis against the Japanese Yen. Below are the Generation
Funds' asset allocations as of October 31, 1997:
Asset Allocation:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
% of Notional Value* Economic Exposure*
Asset Class Investments of Futures 10/31/97 10/31/96 Benchmark Range
- -------------------------------------------------------------------------------------------------------------------
Ascent
- ------
<S> <C> <C> <C> <C> <C> <C>
Large Cap Stocks 10% -- 10% 15% 20% 0 - 60%
Small Cap Stocks 28% (2%) 26% 14% 20% 0 - 40%
Real Estate Stocks 13% -- 13% 16% 20% 0 - 40%
U.S. Dollar Bonds 14% -- 14% 10% 10% 0 - 30%
International Stocks 21% -- 21% 25% 20% 0 - 40%
International Bonds 0% 3% 3% 4% 10% 0 - 20%
Cash Equivalents 14% (1%) 13% 16% 0% 0 - 30%
---------- ------- --------- --------- ----------
100% -- 100% 100% 100%
========== ======= ========= ========= ==========
Crossroads
- ----------
Large Cap Stocks 7% -- 7% 14% 15% 0 - 45%
Small Cap Stocks 23% (3%) 20% 11% 15% 0 - 30%
Real Estate Stocks 10% -- 10% 13% 15% 0 - 30%
U.S. Dollar Bonds 30% -- 30% 19% 25% 0 - 70%
International Stocks 17% -- 17% 20% 15% 0 - 30%
International Bonds 0% 2% 2% 4% 10% 0 - 20%
Cash Equivalents 13% 1% 14% 19% 5% 0 - 30%
---------- ------- --------- --------- ----------
100% -- 100% 100% 100%
========== ======= ========== ======== ==========
4
<PAGE>
Asset Allocation: (continued)
- -------------------------------------------------------------------------------------------------------------------
% of Notional Value* Economic Exposure*
Asset Class Investments of Futures 10/31/97 10/31/96 Benchmark Range
- -------------------------------------------------------------------------------------------------------------------
Legacy
- ------
Large Cap Stocks 5% -- 5% 9% 10% 0 - 30%
Small Cap Stocks 14% (1%) 13% 8% 10% 0 - 20%
Real Estate Stocks 7% -- 7% 8% 10% 0 - 20%
U.S. Dollar Bonds 47% -- 47% 30% 40% 0 - 100%
International Stocks 13% -- 13% 13% 10% 0 - 20%
International Bonds 0% 4% 4% 4% 10% 0 - 20%
Cash Equivalents 14% (3%) 11% 28% 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.
5
<PAGE>
Portfolio of Investments
October 31, 1997
Ascent
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
COMMON STOCKS (75.3%)
United States (54.0%)
Aerospace and Defense (0.3%)
Alliant Techsystems, Inc.+............ 500 $ 29,750
Gencorp, Inc.......................... 400 9,775
Gulfstream Aerospace Corp.+........... 500 14,500
Newport News Shipbuilding, Inc........ 100 2,150
Thiokol Corp.......................... 200 18,313
----------
74,488
----------
Auto Parts and Accessories (0.1%)
Arvin Industries, Inc................. 300 11,231
Lear Corp.+........................... 100 4,806
----------
16,037
----------
Autos and Auto Equipment (1.5%)
Borg Warner Automotive, Inc........... 300 16,350
Chrysler Corp......................... 1,100 38,775
Excel Industries, Inc................. 5,900 105,094
Ford Motor Co......................... 1,300 56,794
General Motors Corp................... 800 51,350
Westinghouse Air Brake Co............. 5,800 143,913
----------
412,276
----------
Banks (2.7%)
AmSouth Bancorporation................ 200 9,613
BankAmerica Corp...................... 1,200 85,800
Centura Banks, Inc.................... 1,200 69,450
Commerce Bancshares, Inc.............. 100 5,850
First Chicago NBD Corp................ 800 58,200
First of America Bank Corp............ 900 50,175
Firstfed Financial Corp.+............. 2,900 101,500
Golden West Financial Corp............ 300 26,025
Greenpoint Financial Corp............. 100 6,438
Imperial Bancorp+..................... 1,500 65,438
North Fork Bancorp, Inc............... 500 14,719
Provident Financial Group, Inc........ 200 9,200
Southtrust Corp....................... 300 14,400
Star Banc Corp........................ 100 4,906
State Street Corp..................... 500 27,875
USBANCORP, Inc........................ 1,900 123,500
Webster Financial Corp................ 1,500 92,438
----------
765,527
----------
Building Materials and Construction (2.6%)
Centex Construction Products, Inc..... 1,400 43,400
Centex Corp........................... 800 46,800
Continental Homes Holding Corp........ 5,300 159,662
Lone Star Industries, Inc............. 2,800 153,825
Martin Marietta Materials, Inc........ 100 3,488
National Steel Corp., Class B+........ 3,400 56,100
Southdown, Inc........................ 200 11,075
Texas Industries, Inc................. 1,900 90,131
Number of Market
Shares Value
--------- ----------
Building Materials and Construction (continued)
Tredegar Industries, Inc.............. 2,300 $ 160,712
USG Corp.+............................ 400 18,875
----------
744,068
----------
Chemicals (0.1%)
Lyondell Petrochemical Co............. 500 12,813
Sybron Chemicals, Inc.+............... 500 16,000
----------
28,813
----------
Commercial Services (0.9%)
ADVO, Inc.+........................... 8,600 192,962
Crescent Operating, Inc.+............. 300 6,975
Mail-Well, Inc.+...................... 700 24,238
Ogden Corp............................ 600 15,150
Olsten Corp........................... 100 1,525
Quintiles Transnational Corp.+........ 200 14,500
URS Corp.+............................ 700 11,113
----------
266,463
----------
Computer Software (1.5%)
BMC Software, Inc.+................... 200 12,075
CHS Electronics, Inc.+................ 600 14,663
Computer Learning Centers, Inc.+...... 2,900 131,225
Computer Task Group, Inc.............. 1,700 48,025
Hyperion Software Corp.+.............. 2,300 87,688
Microsoft Corp.+...................... 900 117,000
Symantec Corp.+....................... 700 15,313
----------
425,989
----------
Computers and Office Equipment (2.1%)
Compaq Computer Corp.+................ 3,500 223,124
Dell Computer Corp.+.................. 2,400 192,299
HBO & Co.............................. 300 13,050
Herman Miller, Inc.................... 300 14,663
International Business Machines, Inc.. 400 39,225
Magnetek, Inc.+....................... 600 12,188
Quantum Corp.+........................ 1,000 31,625
Smart Modular Technologies, Inc.+..... 100 4,975
Sun Microsystems, Inc.+............... 1,100 37,675
Virco Manufacturing Corp.............. 900 21,600
----------
590,424
----------
Consumer Products (0.6%)
Herbalife International, Inc.......... 4,500 112,500
Pilgrim's Pride Corp.................. 3,300 43,313
----------
155,813
----------
Diversified (0.2%)
Aeroquip-Vickers, Inc................. 800 41,650
Eaton Corp............................ 100 9,663
ITT Industries, Inc................... 500 15,781
----------
67,094
----------
Electrical Equipment (0.5%)
C & D Technologies, Inc............... 3,500 153,999
----------
6 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United States (continued)
Electronics (2.2%)
Applied Materials, Inc.+.............. 1,000 $ 33,375
AVX Corp.............................. 300 8,475
Cellstar Corp.+....................... 4,550 154,415
Intel Corp............................ 1,100 84,700
KLA Instruments Corp.+................ 1,100 48,331
National Semiconductor Corp.+......... 200 7,200
Technitrol, Inc....................... 2,700 83,363
Tektronix, Inc........................ 500 29,563
Texas Instruments, Inc................ 200 21,338
VLSI Technology, Inc.+................ 5,300 157,012
----------
627,772
----------
Financial Services (3.4%)
Ahmanson (H. F.) & Co................. 3,600 212,399
Bankers Trust New York Corp........... 700 82,600
Bear Stearns Co., Inc................. 412 16,351
Donaldson, Lufkin & Jenrette, Inc..... 500 35,125
E Trade Group, Inc.+.................. 1,000 30,875
Edwards (A.G.), Inc................... 450 14,766
FIRSTPLUS Financial Group, Inc.+...... 2,700 148,500
Lehman Brothers Holdings, Inc......... 400 18,825
Merrill Lynch & Co., Inc.............. 600 40,575
Metris Companies, Inc................. 100 4,225
Money Store, Inc. (The)............... 200 5,675
Morgan Stanley, Dean Witter,
Discover & Co....................... 895 43,855
Paine Webber Group, Inc............... 300 13,256
Parkway Properties, Inc............... 400 13,600
SLM Holding Corp...................... 100 14,038
Southwest Securities Group, Inc....... 600 13,350
SunAmerica, Inc....................... 1,200 43,125
Trans Financial, Inc.................. 4,400 140,800
Travelers Group, Inc.................. 800 56,000
----------
947,940
----------
Foods and Beverages (0.8%)
Canandaigua Wine Co., Inc., Class A+.. 100 4,963
Coors (Adolph) Co..................... 100 3,531
Dean Foods Co......................... 200 9,463
Earthgrains Co........................ 600 24,675
Kroger Co. (The)+..................... 900 29,363
Quaker Oats Co........................ 100 4,788
Suiza Foods Corp.+.................... 3,200 161,199
----------
237,982
----------
Health Services (0.2%)
Beverly Enterprises+.................. 2,300 34,356
Wellpoint Health Networks, Inc.+...... 200 9,150
----------
43,506
----------
Home Furnishings and Appliances (0.5%)
Ethan Allen Interiors, Inc............ 1,000 35,438
O'Sullivan Industries Holdings, Inc.+ 3,900 54,113
Number of Market
Shares Value
--------- ----------
Home Furnishings and Appliances (continued)
Rowe Furniture Corp................... 5,600 $ 37,800
Standard Pacific Corp................. 600 6,525
----------
133,876
----------
Hotels and Restaurants (0.5%)
Foodmaker, Inc.+...................... 8,000 131,500
Red Roof Inns, Inc.+.................. 800 12,300
Sonic Corp.+.......................... 400 10,300
----------
154,100
----------
Insurance (1.9%)
Allstate Corp......................... 700 58,056
American Bankers Insurance Group...... 1,800 67,275
Chartwell Re Corp..................... 1,300 42,088
Conseco, Inc.......................... 800 34,900
Delphi Financial Group, Inc.+......... 400 16,500
Equitable Co., Inc.................... 1,400 57,663
Everest Re Holdings, Inc.............. 300 11,288
Financial Security Assurance
Holdings Ltd........................ 700 30,450
John Alden Financial Corp............. 2,600 71,338
Old Republic International Corp....... 300 10,725
Reliance Group Holdings, Inc.......... 400 5,050
RLI Corp.............................. 500 20,750
Torchmark Corp........................ 900 35,888
Vesta Insurance Group, Inc............ 1,300 75,563
----------
537,534
----------
Machinery and Equipment (1.1%)
Caterpillar, Inc...................... 800 41,000
Cummins Engine Company, Inc........... 100 6,094
Manitowoc Co., Inc. (The)............. 3,600 109,125
Parker-Hannifin Corp.................. 200 8,363
Terex Corp.+.......................... 6,600 139,013
----------
303,595
----------
Media and Entertainment (0.6%)
Lin Television Corp.+................. 100 5,256
Midway Games, Inc.+................... 4,500 94,219
Panavision, Inc.+..................... 2,200 54,863
Speedway Motorsports, Inc.+........... 400 9,575
----------
163,913
----------
Medical Supplies (0.9%)
Maxxim Medical, Inc.+................. 5,200 116,350
Perrigo Co.+.......................... 900 13,838
Safeskin Corp.+....................... 400 18,150
Spine-Tech, Inc.+..................... 1,400 43,575
Vivus, Inc.+.......................... 2,700 71,213
----------
263,126
----------
Metals and Mining (1.2%)
AK Steel Holding Corp................. 300 12,638
LTV Corp.............................. 100 1,219
RMI Titanium Co.+..................... 4,500 106,875
7
<PAGE>
Portfolio of Investments (continued)
October 31, 1997
Ascent
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United States (continued)
Metals and Mining (continued)
Timken Co............................. 6,200 $ 207,699
Titanium Metals Corp.+................ 400 12,500
----------
340,931
----------
Oil and Gas (5.4%)
Ashland, Inc.......................... 300 14,306
Belco Oil & Gas Corp.+................ 5,100 110,288
Clayton Williams Energy, Inc.+........ 6,800 93,500
Cliffs Drilling Co.+.................. 3,000 218,062
Columbia Gas System, Inc.............. 2,000 144,500
Devon Energy Corp..................... 100 4,475
Input/Output, Inc.+................... 200 5,363
Kerr-Mcgee Corp....................... 700 47,294
Marine Drilling Co., Inc.+............ 4,900 145,163
Occidental Petroleum Corp............. 1,700 47,388
Oryx Energy Co.+...................... 1,000 27,563
Phillips Petroleum Co................. 1,200 58,050
SEACOR SMIT Holdings+................. 2,600 169,324
Texaco, Inc........................... 700 39,856
Tidewater, Inc........................ 200 13,138
Union Texas Petroleum Holdings, Inc... 700 15,925
USX-Marathon Group.................... 2,000 71,500
Veritas DGC, Inc.+.................... 3,100 126,906
Vintage Petroleum, Inc................ 7,400 169,274
----------
1,521,875
----------
Paper and Containers (0.4%)
Schweitzer-Mauduit International, Inc. 2,500 105,313
----------
Pharmaceuticals (0.9%)
Agouron Pharmaceuticals, Inc.+........ 200 9,125
Dura Pharmaceuticals, Inc.+........... 200 9,675
Immunex Corp.+........................ 200 12,800
Rexall Sundown, Inc.+................. 400 8,750
Schering Plough....................... 3,200 179,399
Theragenics Corp.+.................... 500 21,813
Watson Pharmaceuticals, Inc.+......... 400 12,700
----------
254,262
----------
Printing and Publishing (1.4%)
Big Flower Press Holdings, Inc.+...... 5,400 118,800
Central Newspapers, Inc., Class A..... 300 19,706
McClatchy Newspapers, Inc............. 1,200 39,375
Thomas Nelson, Inc.................... 3,700 43,013
Valassis Communications, Inc.+........ 5,700 168,149
----------
389,043
----------
Real Estate Investment Trusts (12.9%)
Alexandria Real Estate Equities, Inc.. 200 5,488
American Residential Investment
Trust, Inc.......................... 700 10,719
Apartment Investment & Management Co.. 3,900 138,206
Arden Realty Group, Inc............... 2,200 67,100
Brandywine Realty Trust............... 2,200 51,563
Number of Market
Shares Value
--------- ----------
Real Estate Investment Trusts (continued)
CALI Realty Corp...................... 1,700 $ 68,850
Capstone Capital Trust, Inc........... 10,300 243,337
CBL & Associates Properties, Inc...... 2,200 53,075
Colonial Properties Trust............. 7,800 221,324
Crescent Real Estate Equities, Inc.... 3,700 133,200
Criimi Mae, Inc....................... 1,700 26,988
Developers Diversified Realty Corp.... 1,700 67,150
Duke Realty Investments, Inc.......... 8,500 191,249
Eastgroup Properties, Inc............. 1,200 24,000
Equity Inns, Inc...................... 4,400 69,300
Equity Residential Properties Trust... 3,700 186,849
Essex Property Trust, Inc............. 4,800 164,399
Evans Withycombe Residential, Inc..... 1,000 25,250
Felcor Suite Hotels, Inc.............. 400 14,650
Glenborough Realty Trust, Inc......... 7,800 199,874
Glimcher Realty Trust................. 1,300 28,844
Health Care REIT, Inc................. 3,500 91,219
Home Properties of New York, Inc...... 1,300 35,425
Imperial Credit Commercial Mortgage
Investment Corp.+................... 400 6,600
Innkeepers USA Trust.................. 10,000 166,874
JDN Realty Corp....................... 5,600 191,099
Kimco Realty Corp..................... 6,250 199,999
Lexington Corporate Properties, Inc... 600 9,075
Oasis Residential, Inc................ 5,300 118,588
Prime Retail, Inc..................... 5,000 74,688
Regency Realty Corp................... 4,000 103,000
SL Green Realty Corp.+................ 600 15,038
Smith (Charles E.) Residential
Realty Co........................... 1,900 64,838
Sovran Self Storage, Inc.............. 3,600 105,750
Spieker Properties, Inc............... 3,400 133,025
Starwood Lodging Trust................ 1,700 101,681
Sunstone Hotel Investors, Inc......... 2,400 42,150
Tower Realty Trust, Inc.+............. 501 12,639
Walden Residential Properties, Inc.... 6,900 168,187
----------
3,631,290
----------
Retail (3.9%)
Ames Department Stores, Inc.+......... 11,900 185,193
Burlington Coat Factory Warehouse..... 2,400 39,750
Damark International, Inc.+........... 8,200 95,325
Dayton Hudson Corp.................... 800 50,250
Fingerhut Companies, Inc.............. 500 11,063
Funco, Inc.+.......................... 6,300 129,150
Goody's Family Clothing, Inc.+........ 300 7,856
Koger Equity, Inc..................... 1,500 32,438
Payless ShoeSource, Inc.+............. 200 11,150
Ross Stores, Inc...................... 4,500 168,187
Russ Berrie & Co., Inc................ 2,300 62,675
TJX Companies, Inc.................... 4,400 130,350
Tuesday Morning Corp.+................ 3,750 90,938
8 See Notes to Portfolio of Investments.
<PAGE>
Number of Market
Shares Value
--------- ----------
United States (continued)
Retail (continued)
Urban Shopping Centers, Inc........... 2,700 $ 87,413
----------
1,101,738
----------
Transportation (1.5%)
Airborne Freight Corp................. 100 6,338
Burlington Northern Santa Fe Corp..... 100 9,500
CNF Transportation, Inc............... 300 13,388
Continental Airlines, Inc., Class B+.. 300 12,975
CSX Corp.............................. 700 38,281
Roadway Express, Inc.................. 400 11,100
Trico Marine Services, Inc.+.......... 4,400 161,699
U.S. Freightways Corp................. 400 12,950
UAL Corp.+............................ 200 17,525
Yellow Corp.+......................... 5,600 153,650
----------
437,406
----------
Utilities - Oil and Gas (0.7%)
Energen Corp.......................... 3,300 119,419
NUI Corp.............................. 3,700 83,481
----------
202,900
----------
Utilities - Telephone (0.5%)
Alltel Corp........................... 400 14,150
Premiere Technologies, Inc.+.......... 3,900 132,600
----------
146,750
----------
Total United States 15,245,843
----------
Foreign Common Stocks (21.3%)
Argentina (0.2%)
Banco de Galicia y Buenos Aires SA
(Banks) +............................ 2,300 55,739
----------
Australia (0.7%)
Goodman Fielder Ltd. (Foods and
Beverages) ......................... 30,559 46,958
Santos Ltd. (Oil and Gas) ............ 13,200 60,850
Westpac Banking Corp. Ltd. (Banks) ... 10,400 60,698
Woolworth Ltd. (Foods and Beverages) . 13,705 44,341
----------
Total Australia 212,847
----------
Austria (0.1%)
VA Technologie AG (Commercial
Services) ........................... 200 35,546
----------
Belgium (0.2%)
Societe Generale De Belgique
(Financial Services) ............... 500 45,342
----------
Brazil (0.3%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ............ 400 40,600
Unibanco Brasileiros SA (Financial
Services) +......................... 1,200 32,700
Total Brazil ----------
73,300
----------
Canada (0.6%)
Canadian National Railway Co.
(Transportation) 2,000 107,875
Petro-Canada (Oil and Gas) ........... 3,600 74,097
----------
Total Canada 181,972
----------
Number of Market
Shares Value
--------- ----------
Chile (0.1%)
Cia. de Telecomuncaciones de Chile
(Utilities - Telephone) ............ 1,400 $ 38,850
----------
Denmark (0.9%)
Bang & Olufsen Holding Co.
(Electronics) ...................... 1,000 61,060
Carli Gry International A/S (Apparel) 1,000 49,463
Novo-Nordisk A/S (Pharmaceuticals) ... 600 65,029
Unidanmark A/S (Banks) ............... 1,000 67,624
----------
Total Denmark 243,176
----------
Finland (0.7%)
Huhtamaki Group (Diversified) ........ 1,700 70,076
Rautaruukki Oy (Metals and Mining) ... 5,700 53,500
UPM-Kymmene Corp. (Paper and
Containers) ........................ 1,500 33,412
Valmet Oyj (Diversified) ............. 3,200 50,162
----------
Total Finland 207,150
----------
France (2.0%)
Accor SA (Hotels and Restaurants) .... 400 74,635
Alcatel Alsthom (Telecommunications) . 400 48,367
Credit Commercial de France (Banks) .. 1,100 62,453
Elf Aquitaine SA (Oil and Gas) ....... 300 37,213
France Telecom SA
(Telecommunications) +.............. 2,000 75,851
Gemini Sogeti SA (Insurance) ......... 1,000 79,569
Lafarge SA
(Building Materials and
Construction) ...................... 700 43,829
Schneider SA (Machinery and
Equipment) ......................... 1,400 74,913
Union des Assurances Federales
(Insurance) ........................ 500 56,028
----------
Total France 552,858
----------
Germany (1.2%)
Adidas AG (Apparel) .................. 400 57,984
Bayerische Hypotheken-und
Wechsel-Bank AG (Banks) ............ 1,700 70,621
Deutsche Pfandbrief & Hypothekenbank
AG (Banks) ......................... 500 28,266
Gehe AG (Health Services) ............ 1,000 52,291
Mannesmann AG (Machinery and
Equipment) ......................... 100 42,297
Metro AG (Retail) .................... 720 31,709
SGL Carbon AG (Chemicals) ............ 500 70,302
----------
Total Germany 353,470
----------
Hong Kong (0.4%)
Hutchison Whampoa Ltd. (Diversified) ++ 6,000 41,529
Lai Sun Development Co., Ltd.
(Real Estate Investment Trusts) .... 42,000 17,388
Li & Fung Ltd. (Commercial Services) . 50,000 50,133
----------
Total Hong Kong 109,050
----------
Indonesia (0.1%)
Bank International Indonesia (Banks) . 51,000 10,964
Putra Surya Multidana (Financial
Services) +......................... 41,000 14,216
----------
Total Indonesia 25,180
----------
9
<PAGE>
Portfolio of Investments (continued)
October 31, 1997
Ascent
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Ireland (0.4%)
Irish Life Plc (Insurance) ........... 10,385 $ 54,679
Waterford Wedgewood
(Home Furnishings and Appliances) .. 51,794 59,996
----------
Total Ireland 114,675
----------
Italy (1.1%)
Assicurazioni Generali (Insurance) ... 2,200 49,268
Credito Italiano (Banks) ............. 20,000 53,427
La Rinascente S.p.A (Retail) ......... 8,600 63,858
Pirelli & Co. (Financial Services) ... 34,000 48,783
Telecom Italia Spa (Utilities -
Telephone) ......................... 15,000 94,163
----------
Total Italy 309,499
----------
Japan (3.2%)
Bank of Tokyo-Mitsubishi (Banks) ..... 3,000 39,162
Capcom Company
(Computers and Office Equipment) ... 2,000 33,259
Dai Nippon Ink & Chemicals, Inc.
(Chemicals) ........................ 13,000 49,830
Daiichi Pharmaceutical
(Pharmaceuticals) .................. 5,000 71,090
DDI Corp. (Utilities - Telephone) .... 8 26,740
Fuji Photo Film (Chemicals) .......... 2,000 72,504
Fujitec Co. Ltd.
(Building Materials and
Construction) ...................... 4,000 34,256
Hoya Corp. (Medical Supplies) ........ 1,000 34,755
Matsushita Kotobuki Electronics
Industries (Electronics) ........... 1,000 31,097
Minebea Co. Ltd. (Electronics) ....... 6,000 59,865
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) ............ 8,000 39,312
Mitsubishi Trust & Banking Corp.
(Banks) ............................ 4,000 49,223
Sekisui Chemical Co. (Chemicals) ..... 8,000 62,992
Sony Corp. (Electronics) ............. 1,100 91,369
Takefuji Corp. (Banks) ............... 1,000 44,483
TDK Corp. (Electronics) .............. 1,000 82,980
West Japan Railway (Transportation) .. 20 70,009
----------
Total Japan 892,926
----------
Malaysia (0.0%)
Leader Universal Holdings Bhd
(Diversified) ...................... 20,000 12,179
----------
Mexico (1.1%)
ALFA SA de C.V. (Diversified) ........ 8,143 59,477
Cifra SA (Retail) .................... 33,000 58,005
Grupo Financiero Banamex Accival
(Financial Services) +.............. 16,000 31,924
Grupo Radio Centro SA
(Media and Entertainment) .......... 3,600 45,900
Panamerican Beverages, Inc.
(Foods and Beverages) .............. 3,400 105,400
----------
Total Mexico 300,706
----------
Number of Market
Shares Value
--------- ----------
Netherlands (1.2%)
Akzo Nobel NV (Chemicals) ............ 400 $ 70,510
Fortis Amev NV (Financial Services) .. 1,233 48,476
ING Groep NV (Banks) ................. 1,203 50,520
Philips Electronics NV (Electronics) . 1,100 86,153
Vendex International NV (Retail) ..... 600 32,771
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Printing and Publishing) .......... 2,100 49,775
----------
Total Netherlands 338,205
----------
Norway (1.5%)
Det Sondenfjelds-Norske
Dampskibsselskab (Oil and Gas) +.... 3,000 67,280
Ocean Rig ASA (Oil and Gas) +......... 94,850 117,875
Saga Petroleum ASA, Class A (Oil and
Gas) ............................... 3,000 58,709
SAS Norge ASA (Transportation) ....... 3,000 50,567
Smedvig ASA (Oil and Gas) ............ 1,800 52,967
Tomra Systems ASA (Paper and
Containers) ........................ 2,800 71,994
----------
Total Norway 419,392
----------
Singapore (0.3%)
Clipsal Industries Ltd. (Electrical
Equipment) ......................... 13,000 33,670
Jardine Matheson Holdings
(Diversified) ...................... 8,000 51,200
----------
Total Singapore 84,870
----------
Spain (0.3%)
Cortefiel SA (Retail) ................ 518 18,531
Iberdrola SA (Utilities - Electric) .. 5,300 63,442
----------
Total Spain 81,973
----------
Sweden (0.6%)
Ericsson ADR (Telecommunications) .... 1,400 61,950
Frontec AB (Computer Software) +...... 3,700 32,876
Oxigene, Inc. (Pharmaceuticals) +..... 1,200 23,409
Skandia Forsakrings AB (Insurance) ... 900 42,089
----------
Total Sweden 160,324
----------
Switzerland (0.9%)
Credit Suisse Group (Banks) .......... 400 56,503
Georg Fischer AG (Machinery and
Equipment) ......................... 30 40,089
Kuoni Reisen AG (Commercial Services) 15 56,933
Novartis AG Registered Shares
(Health Services) .................. 40 62,819
Roche Holding AG (Pharmaceuticals)++.. 5 44,060
----------
Total Switzerland 260,404
----------
10 See Notes to Portfolio of Investments.
<PAGE>
Number of Market
Shares Value
--------- ----------
United Kingdom (2.9%)
BAA Plc (Transportation) ............. 4,056 $ 37,408
Bank of Scotland (Banks) ............. 6,800 56,102
Barclays Plc (Financial Services) .... 3,029 75,834
Boots Co. Plc (Retail) ............... 5,600 80,196
Glaxo Wellcome Plc (Pharmaceuticals) . 3,032 64,978
Granada Group Plc (Diversified) ...... 6,515 89,804
Iona Technologies Plc, ADR
(Consumer Products) +............... 3,000 47,438
Pearson Plc (Printing and Publishing) 5,100 66,707
Shell Transport & Trading Co. (Oil
and Gas) ........................... 10,800 76,562
Tomkins Plc (Diversified) ............ 12,300 63,115
Unilever Plc (Consumer Products) ..... 5,900 43,928
Vodafone Group Plc
(Telecommunications) ............... 11,000 59,949
Williams Plc (Machinery and
Equipment) ......................... 10,300 61,834
----------
Total United Kingdom 823,855
----------
Venezuela (0.3%)
Compania Anonima Nacional Telefonos
de Venezuela (Utilities - Telephone) 2,200 96,250
----------
Total Foreign Common Stocks 6,029,738
----------
Total Common Stocks (cost $18,400,464) 21,275,581
----------
PREFERRED STOCKS (0.2%)
Germany (0.2%)
Henkel KGAA (Chemicals) .............. 900 46,800
----------
Total Preferred Stocks (cost $48,688) 46,800
----------
Principal
Amount
----------
LONG-TERM BONDS AND NOTES (14.8%)
U.S. Government Obligations (10.4%)
U.S. Treasury Note, 6.50%, 10/15/06... $1,700,000 1,768,537
U.S. Treasury Note, 7.50%, 10/31/99... 700,000 724,281
U.S. Treasury Note, 7.50%, 11/15/01... 430,000 456,740
----------
Total U.S. Government Obligations (cost
$2,850,209) 2,949,558
----------
Corporate Bonds (4.4%)
Echostar Communications, Zero Coupon,
06/01/04............................ 250,000 222,499
Ford Motor Credit Corp., 6.63%,
06/30/03............................ 200,000 201,799
HSBC Americas Inc., 7.00%, 11/01/06... 100,000 101,287
Raytheon Co., 6.45%, 08/15/02......... 100,000 100,813
Skanidinavinska Enskilda Bank, 6.78%,
06/29/49............................ 200,000 202,499
Tenet Healthcare Corp., 7.88%,
01/15/03............................ 200,000 204,067
Time Warner, Inc., 9.13%, 01/15/13.... 175,000 206,421
----------
Total Corporate Bonds (cost $1,209,710) 1,239,385
----------
Total Long-Term Bonds and Notes (cost $4,059,919) 4,188,943
----------
Principal Market
Amount Value
---------- --------
SHORT-TERM INVESTMENTS (14.5%)
Dakota Certificates - Standard Credit
Card Master Trust, Comm. Paper,
5.62%, 11/06/97..................... $490,000 $ 489,771
Federal Home Loan Bank, Disc. Note,
5.60%, 11/03/97..................... 2,759,000 2,759,000
Jefferson Smurfit Finance Corp.,
Comm. Paper, 5.55%, 12/02/97........ 500,000 497,750
U.S. Treasury Bill, Time Deposit,
5.17%, 02/05/98@.................... 350,000 345,356
----------
Total Short-Term Investments (cost $4,091,816) 4,091,877
----------
TOTAL INVESTMENTS (cost $26,600,887)(a) 29,603,201
Other assets less liabilities (1,358,571)
----------
Total Net Assets $28,244,630
==========
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$26,633,052. Unrealized gains and losses, based on identified tax cost at
October 31, 1997, are as follows:
Unrealized gains ..................... $3,775,476
Unrealized losses .................... (805,327)
----------
Net unrealized gain ................ $2,970,149
==========
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at October 31, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at October 31, 1997 is shown
below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
Long Contracts
- -------------------
Canadian Bond
Future.......... 1 $ 85,050 Dec 97 $ 3,144
Long-Term German
Government Bond
Future ......... 3 418,802 Dec 97 5,578
French Notional
Bond Future .... 1 83,276 Dec 97 (139)
Swiss Government
Bond Future .... 3 241,958 Dec 97 1,396
Short Contracts
- -------------------
Russell 2000
Index Future ... 3 (678,450) Dec 97 24,075
---------- -----------
$ 150,636 $ 34,054
========== ===========
See Notes to Financial Statements. 11
<PAGE>
Portfolio of Investments
October 31, 1997
Crossroads
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
COMMON STOCKS (58.7%)
United States (41.5%)
Aerospace and Defense (0.2%)
Alliant Techsystems, Inc.+............ 400 $ 23,800
Gencorp, Inc.......................... 300 7,331
Gulfstream Aerospace Corp.+........... 300 8,700
Thiokol Corp.......................... 100 9,156
----------
48,987
----------
Auto Parts and Accessories (0.0%)
Arvin Industries, Inc................. 200 7,488
----------
Autos and Auto Equipment (1.0%)
Borg Warner Automotive, Inc........... 200 10,900
Chrysler Corp......................... 800 28,200
Excel Industries, Inc................. 2,600 46,313
Ford Motor Co......................... 800 34,950
General Motors Corp................... 500 32,094
Westinghouse Air Brake Co............. 4,600 114,138
----------
266,595
----------
Banks (1.7%)
AmSouth Bancorporation................ 200 9,613
BankAmerica Corp...................... 600 42,900
Commerce Bancshares, Inc.............. 100 5,850
Dime Bancorp, Inc..................... 100 2,400
First Chicago NBD Corp................ 500 36,375
First of America Bank Corp............ 100 5,575
Firstfed Financial Corp.+............. 901 31,545
Golden West Financial Corp............ 100 8,675
Imperial Bancorp+..................... 1,100 47,988
North Fork Bancorp, Inc............... 300 8,831
Southtrust Corp....................... 200 9,600
Star Banc Corp........................ 100 4,906
State Street Corp..................... 200 11,150
USBANCORP, Inc........................ 1,900 123,500
Webster Financial Corp................ 1,500 92,438
----------
441,346
----------
Building Materials and Construction (2.1%)
Centex Construction Products, Inc..... 1,200 37,200
Centex Corp........................... 500 29,250
Continental Homes Holding Corp........ 4,000 120,500
Florida Rock Industries, Inc.......... 500 27,500
Lone Star Industries, Inc............. 2,200 120,863
National Steel Corp., Class B+........ 2,300 37,950
Southdown, Inc........................ 200 11,075
Texas Industries, Inc................. 1,500 71,156
Tredegar Industries, Inc.............. 1,400 97,825
USG Corp.+............................ 200 9,438
----------
562,757
----------
Chemicals (0.1%)
Lyondell Petrochemical Co............. 300 7,688
Sybron Chemicals, Inc.+............... 300 9,600
----------
17,288
----------
Number of Market
Shares Value
--------- ----------
Commercial Services (0.4%)
ADVO, Inc.+........................... 3,100 $ 69,556
Crescent Operating, Inc.+............. 260 6,045
Mail-Well, Inc.+...................... 600 20,775
Ogden Corp............................ 400 10,100
Quintiles Transnational Corp.+........ 100 7,250
----------
113,726
----------
Computer Software (1.2%)
BMC Software, Inc.+................... 200 12,075
CHS Electronics, Inc.+................ 600 14,663
Computer Learning Centers, Inc.+...... 2,400 108,600
Computer Task Group, Inc.............. 600 16,950
Compuware Corp.+...................... 200 13,225
Cybermedia, Inc.+..................... 1,700 50,575
Microsoft Corp.+...................... 700 91,000
Symantec Corp.+....................... 500 10,938
----------
318,026
----------
Computers and Office Equipment (1.3%)
Compaq Computer Corp.+................ 2,250 143,437
Dell Computer Corp.+.................. 600 48,075
HBO & Co.............................. 200 8,700
International Business Machines, Inc.. 300 29,419
Magnetek, Inc.+....................... 400 8,125
Moore Corp. Ltd....................... 2,700 43,706
Quantum Corp.+........................ 600 18,975
Smart Modular Technologies, Inc.+..... 100 4,975
Sun Microsystems, Inc.+............... 700 23,975
Virco Manufacturing Corp.............. 100 2,400
----------
331,787
----------
Consumer Products (0.2%)
Herbalife International, Inc.......... 100 2,500
Pilgrim's Pride Corp.................. 2,500 32,813
Procter & Gamble Co................... 200 13,600
----------
48,913
----------
Diversified (0.2%)
Aeroquip-Vickers, Inc................. 600 31,238
Eaton Corp............................ 100 9,663
ITT Industries, Inc................... 300 9,469
----------
50,370
----------
Electrical Equipment (0.4%)
C & D Technologies, Inc............... 2,700 118,800
----------
Electronics (1.5%)
Applied Materials, Inc.+.............. 700 23,363
AVX Corp.............................. 100 2,825
Cellstar Corp.+....................... 3,950 134,052
Intel Corp............................ 600 46,200
KLA Instruments Corp.+................ 800 35,150
National Semiconductor Corp.+......... 100 3,600
Technitrol, Inc....................... 2,300 71,013
Tektronix, Inc........................ 300 17,738
12 See Notes to Portfolio of Investments.
<PAGE>
Number of Market
Shares Value
--------- ----------
United States (continued)
Electronics (continued)
Texas Instruments, Inc................ 200 $ 21,338
VLSI Technology, Inc.+................ 1,500 44,438
----------
399,717
----------
Financial Services (2.9%)
Ahmanson (H. F.) & Co................. 2,900 171,099
Bankers Trust New York Corp........... 600 70,800
Bear Stearns Co., Inc................. 281 11,152
Donaldson, Lufkin & Jenrette, Inc..... 300 21,075
E Trade Group, Inc.+.................. 800 24,700
Edwards (A.G.), Inc................... 300 9,844
FIRSTPLUS Financial Group, Inc.+...... 2,300 126,500
Lehman Brothers Holdings, Inc......... 200 9,413
Merrill Lynch & Co., Inc.............. 400 27,050
Money Store, Inc. (The)............... 200 5,675
Morgan Stanley, Dean Witter,
Discover & Co....................... 660 32,340
Paine Webber Group, Inc............... 200 8,838
Parkway Properties, Inc............... 900 30,600
SLM Holding Corp...................... 100 14,038
SunAmerica, Inc....................... 450 16,172
Trans Financial, Inc.................. 3,700 118,400
Travelers Group, Inc.................. 600 42,000
WSFS Financial Corp.+................. 1,600 28,800
----------
768,496
----------
Foods and Beverages (0.6%)
Coors (Adolph) Co..................... 100 3,531
Dean Foods Co......................... 100 4,731
Earthgrains Co........................ 700 28,788
Kroger Co. (The)+..................... 3,400 110,925
----------
147,975
----------
Health Services (0.1%)
Beverly Enterprises+.................. 1,600 23,900
Wellpoint Health Networks, Inc.+...... 100 4,575
----------
28,475
----------
Home Furnishings and Appliances (0.6%)
Ethan Allen Interiors, Inc............ 2,600 92,138
O' Sullivan Industries Holdings, Inc.+ 3,000 41,625
Rowe Furniture Corp................... 2,900 19,575
Standard Pacific Corp................. 400 4,350
----------
157,688
----------
Hotels and Restaurants (0.3%)
Foodmaker, Inc.+...................... 4,300 70,681
Sonic Corp.+.......................... 400 10,300
----------
80,981
----------
Number of Market
Shares Value
--------- ----------
Insurance (2.1%)
Allstate Corp......................... 500 $ 41,469
American Bankers Insurance Group...... 1,400 52,325
Chartwell Re Corp..................... 2,000 64,750
Cigna Corp............................ 400 62,100
Conseco, Inc.......................... 500 21,813
Delphi Financial Group, Inc.+......... 800 33,000
Equitable Co., Inc.................... 800 32,950
Everest Re Holdings, Inc.............. 200 7,525
Financial Security Assurance
Holdings Ltd........................ 2,500 108,750
First American Financial Corp......... 1,000 60,250
John Alden Financial Corp............. 200 5,488
Loews Corp............................ 200 22,338
Old Republic International Corp....... 300 10,725
Reliance Group Holdings, Inc.......... 300 3,788
RLI Corp.............................. 300 12,450
Torchmark Corp........................ 700 27,913
----------
567,634
----------
Machinery and Equipment (0.8%)
Ade Corp.+............................ 600 16,275
Caterpillar, Inc...................... 500 25,625
Commercial Intertech Corp............. 400 6,500
Cummins Engine Company, Inc........... 100 6,094
Manitowoc Co., Inc. (The)............. 1,950 59,109
Parker-Hannifin Corp.................. 100 4,181
Terex Corp.+.......................... 4,900 103,206
----------
220,990
----------
Media and Entertainment (1.1%)
Harvey's Casino Resorts............... 3,500 66,063
Lin Television Corp.+................. 100 5,256
Midway Games, Inc.+................... 3,900 81,656
Panavision, Inc.+..................... 2,200 54,863
Speedway Motorsports, Inc.+........... 3,000 71,813
----------
279,651
----------
Medical Supplies (1.0%)
Maxxim Medical, Inc.+................. 4,500 100,688
Perrigo Co.+.......................... 600 9,225
Safeskin Corp.+....................... 1,400 63,525
Spine-Tech, Inc.+..................... 1,100 34,238
Vivus, Inc.+.......................... 2,200 58,025
----------
265,701
----------
Metals and Mining (0.9%)
AK Steel Holding Corp................. 200 8,425
LTV Corp.............................. 100 1,219
RMI Titanium Co.+..................... 2,500 59,375
Timken Co............................. 3,800 127,300
Titanium Metals Corp.+................ 1,700 53,125
----------
249,444
----------
13
<PAGE>
Portfolio of Investments (continued)
October 31, 1997
Crossroads
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United States (continued)
Oil and Gas (3.8%)
Ashland, Inc.......................... 200 $ 9,538
Belco Oil & Gas Corp.+................ 2,200 47,575
Clayton Williams Energy, Inc.+........ 3,700 50,875
Cliffs Drilling Co.+.................. 2,400 174,449
Columbia Gas System, Inc.............. 800 57,800
Devon Energy Corp..................... 100 4,475
Input/Output, Inc.+................... 100 2,681
Kerr-Mcgee Corp....................... 400 27,025
Marine Drilling Co., Inc.+............ 3,800 112,575
Occidental Petroleum Corp............. 1,100 30,663
Oryx Energy Co.+...................... 600 16,538
Phillips Petroleum Co................. 800 38,700
SEACOR SMIT Holdings+................. 2,100 136,762
Texaco, Inc........................... 500 28,469
Tidewater, Inc........................ 200 13,138
Union Texas Petroleum Holdings, Inc... 500 11,375
USX-Marathon Group.................... 1,200 42,900
Veritas DGC, Inc.+.................... 2,000 81,875
Vintage Petroleum, Inc................ 5,400 123,525
----------
1,010,938
----------
Paper and Containers (0.6%)
BWay Corp.+........................... 1,700 32,619
Fort James Corp....................... 275 10,914
Schweitzer-Mauduit International, Inc. 2,600 109,525
----------
153,058
----------
Pharmaceuticals (0.7%)
Agouron Pharmaceuticals, Inc.+........ 200 9,125
Dura Pharmaceuticals, Inc.+........... 200 9,675
Immunex Corp.+........................ 200 12,800
Merck & Co., Inc...................... 200 17,850
Rexall Sundown, Inc.+................. 400 8,750
Theragenics Corp.+.................... 2,900 126,513
----------
184,713
----------
Printing and Publishing (0.7%)
Big Flower Press Holdings, Inc.+...... 1,500 33,000
Central Newspapers, Inc., Class A..... 200 13,138
Lexmark International Group, Inc.+.... 300 9,169
Valassis Communications, Inc.+........ 4,800 141,599
----------
196,906
----------
Real Estate Investment Trusts (9.3%)
Alexandria Real Estate Equities, Inc.. 400 10,975
American Residential Investment
Trust, Inc.......................... 600 9,188
Apartment Investment & Management Co.. 2,500 88,594
Arden Realty Group, Inc............... 1,300 39,650
Brandywine Realty Trust............... 900 21,094
Capstone Capital Trust, Inc........... 7,500 177,187
CBL & Associates Properties, Inc...... 5,900 142,337
Colonial Properties Trust............. 1,900 53,913
Number of Market
Shares Value
--------- ----------
Real Estate Investment Trusts (continued)
Crescent Real Estate Equities, Inc.... 3,000 $ 108,000
Developers Diversified Realty Corp.... 1,400 55,300
Duke Realty Investments, Inc.......... 7,000 157,499
Eastgroup Properties, Inc............. 1,000 20,000
Equity Inns, Inc...................... 5,000 78,750
Equity Office Properties Trust........ 300 9,169
Equity Residential Properties Trust... 3,000 151,499
Essex Property Trust, Inc............. 5,100 174,674
Evans Withycombe Residential, Inc..... 700 17,675
Felcor Suite Hotels, Inc.............. 300 10,988
Glenborough Realty Trust, Inc......... 5,000 128,125
Glimcher Realty Trust................. 1,100 24,406
Health Care REIT, Inc................. 1,400 36,488
Home Properties of New York, Inc...... 1,100 29,975
Imperial Credit Commercial Mortgage
Investment Corp.+................... 200 3,300
Innkeepers USA Trust.................. 6,500 108,469
JDN Realty Corp....................... 1,200 40,950
Kimco Realty Corp..................... 4,900 156,799
Lexington Corporate Properties, Inc... 400 6,050
Merry Land & Investment Co., Inc...... 1,300 28,356
National Golf Properties, Inc......... 1,800 58,388
Oasis Residential, Inc................ 4,500 100,688
Regency Realty Corp................... 2,100 54,075
SL Green Realty Corp.+................ 500 12,531
Smith (Charles E.) Residential
Realty Co........................... 600 20,475
Sovran Self Storage, Inc.............. 1,000 29,375
Spieker Properties, Inc............... 2,700 105,638
Starwood Lodging Trust................ 1,400 83,738
Sunstone Hotel Investors, Inc......... 3,100 54,444
Tower Realty Trust, Inc.+............. 401 10,114
Walden Residential Properties, Inc.... 2,400 58,500
----------
2,477,376
----------
Retail (3.5%)
Ames Department Stores, Inc.+......... 8,600 133,838
Burlington Coat Factory Warehouse..... 6,120 101,363
Damark International, Inc.+........... 5,700 66,263
Dayton Hudson Corp.................... 500 31,406
Fingerhut Companies, Inc.............. 400 8,850
Funco, Inc.+.......................... 5,700 116,850
Koger Equity, Inc..................... 6,300 136,237
NBTY, Inc.+........................... 2,400 52,650
Payless ShoeSource, Inc.+............. 100 5,575
Ross Stores, Inc...................... 2,300 85,963
Russ Berrie & Co., Inc................ 1,000 27,250
Tech Data Corp.+...................... 1,300 57,850
TJX Companies, Inc.................... 3,200 94,800
----------
918,895
----------
14 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United States (continued)
Telecommunications (0.2%)
CommNet Cellular, Inc.+............... 1,800 $ 62,325
----------
Transportation (1.0%)
Airborne Freight Corp................. 100 6,338
CNF Transportation, Inc............... 200 8,925
Continental Airlines, Inc., Class B+.. 200 8,650
Trico Marine Services, Inc.+.......... 3,900 143,324
U.S. Freightways Corp................. 300 9,713
UAL Corp.+............................ 100 8,763
Yellow Corp.+......................... 2,800 76,825
----------
262,538
----------
Utilities - Electric (0.0%)
Montana Power Co...................... 200 5,063
----------
Utilities - Oil and Gas (0.6%)
Energen Corp.......................... 2,200 79,613
NUI Corp.............................. 3,100 69,944
----------
149,557
----------
Utilities - Telephone (0.4%)
Premiere Technologies, Inc.+.......... 3,300 112,200
----------
Total United States 11,026,404
----------
Foreign Common Stocks (17.2%)
Argentina (0.2%)
Banco de Galicia y Buenos Aires SA
(Banks) +........................... 2,000 48,469
----------
Australia (0.6%)
Goodman Fielder Ltd. (Foods and
Beverages) ......................... 25,466 39,132
Santos Ltd. (Oil and Gas) ............ 10,200 47,021
Westpac Banking Corp. Ltd. (Banks) ... 7,700 44,940
Woolworth Ltd. (Foods and Beverages) . 10,227 33,088
----------
Total Australia 164,181
----------
Austria (0.1%)
VA Technologie AG (Commercial
Services) .......................... 150 26,659
----------
Belgium (0.3%)
G.I.B. Holdings Ltd. (Retail) ........ 600 30,416
Societe Generale De Belgique
(Financial Services) ............... 400 36,274
----------
Total Belgium 66,690
----------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ............ 300 30,450
Unibanco Brasileiros SA (Financial
Services) +......................... 1,000 27,250
----------
Total Brazil 57,700
----------
Canada (0.5%)
Canadian National Railway Co.
(Transportation) ................... 1,000 53,938
Petro-Canada (Oil and Gas) ........... 3,400 69,980
----------
Total Canada 123,918
----------
Number of Market
Shares Value
--------- ----------
Chile (0.1%)
Cia. de Telecomuncaciones de Chile
(Utilities - Telephone) ............ 1,100 $ 30,525
----------
Denmark (0.7%)
Bang & Olufsen Holding Co.
(Electronics) ...................... 700 42,742
Carli Gry International A/S (Apparel) 700 34,624
Novo-Nordisk A/S (Pharmaceuticals) ... 500 54,191
Unidanmark A/S (Banks) ............... 800 54,099
----------
Total Denmark 185,656
----------
Finland (0.5%)
Huhtamaki Group (Diversified) ........ 1,300 53,587
Rautaruukki Oy (Metals and Mining) ... 4,400 41,298
UPM-Kymmene Corp. (Paper and
Containers) ........................ 1,300 28,957
----------
Total Finland 123,842
----------
France (1.6%)
Accor SA (Hotels and Restaurants) .... 300 55,976
Alcatel Alsthom (Telecommunications) . 300 36,275
Credit Commercial de France (Banks) .. 800 45,420
Elf Aquitaine SA (Oil and Gas) ....... 200 24,809
France Telecom SA
(Telecommunications) +.............. 1,500 56,888
Gemini Sogeti SA (Insurance) ......... 800 63,655
Lafarge SA
(Building Materials and
Construction) ...................... 600 37,568
Schneider SA (Machinery and
Equipment) ......................... 1,000 53,509
Union des Assurances Federales
(Insurance) ........................ 450 50,425
----------
Total France 424,525
----------
Germany (1.0%)
Adidas AG (Apparel) .................. 300 43,488
Bayerische Hypotheken-und
Wechsel-Bank AG (Banks) ............ 1,300 54,005
Deutsche Pfandbrief & Hypothekenbank
AG (Banks) ......................... 400 22,613
Gehe AG (Health Services) ............ 800 41,832
Mannesmann AG (Machinery and
Equipment) ......................... 100 42,297
Metro AG (Retail) .................... 720 31,709
SGL Carbon AG (Chemicals) ............ 300 42,181
----------
Total Germany 278,125
----------
Hong Kong (0.3%)
Hutchison Whampoa Ltd. (Diversified) ++ 4,000 27,686
Lai Sun Development Co., Ltd.
(Real Estate Investment Trusts) .... 32,000 13,248
Li & Fung Ltd. (Commercial Services) . 40,000 40,106
----------
Total Hong Kong 81,040
----------
Indonesia (0.1%)
Bank International Indonesia (Banks) . 53,500 11,501
Putra Surya Multidana (Financial
Services) +......................... 31,500 10,922
----------
Total Indonesia 22,423
----------
15
<PAGE>
Portfolio of Investments (continued)
October 31, 1997
Crossroads
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Ireland (0.3%)
Irish Life Plc (Insurance) ........... 7,185 $ 37,831
Waterford Wedgewood
(Home Furnishings and Appliances) .. 39,195 45,402
----------
Total Ireland 83,233
----------
Italy (0.9%)
Assicurazioni Generali (Insurance) ... 1,600 35,831
Credito Italiano (Banks) ............. 10,000 26,714
La Rinascente S.p.A. (Retail) ........ 6,600 49,007
Pirelli & Co. (Financial Services) ... 27,000 38,739
Telecom Italia S.p.A. (Utilities -
Telephone) ......................... 15,000 94,163
----------
Total Italy 244,454
----------
Japan (2.7%)
Bank of Tokyo-Mitsubishi (Banks) ..... 2,000 26,108
Capcom Company
(Computers and Office Equipment) ... 2,000 33,259
Dai Nippon Ink & Chemicals, Inc.
(Chemicals) ........................ 10,000 38,330
Daiichi Pharmaceutical
(Pharmaceuticals) .................. 3,000 42,654
DDI Corp. (Utilities - Telephone) .... 5 16,712
Fuji Photo Film (Chemicals) .......... 1,000 36,252
Fujitec Co. Ltd.
(Building Materials and
Construction) ...................... 4,000 34,256
Hoya Corp. (Medical Supplies) ........ 1,000 34,755
Matsushita Kotobuki Electronics
Industries (Electronics) ........... 1,000 31,097
Minebea Co. Ltd. (Electronics) ....... 5,000 49,888
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) ............ 7,000 34,398
Mitsubishi Trust & Banking Corp.
(Banks) ............................ 3,000 36,917
Sekisui Chemical Co. (Chemicals) ..... 6,000 47,244
Sony Corp. (Electronics) ............. 800 66,450
Takefuji Corp. (Banks) ............... 1,000 44,483
TDK Corp. (Electronics) .............. 1,000 82,980
West Japan Railway (Transportation) .. 16 56,007
----------
Total Japan 711,790
----------
Malaysia (0.0%)
Leader Universal Holdings Bhd
(Diversified) ...................... 20,000 12,179
----------
Mexico (0.9%)
ALFA SA de C.V. (Diversified) ........ 6,069 44,328
Cifra SA (Retail) .................... 25,000 43,943
Grupo Financiero Banamex Accival
(Financial Services) +.............. 13,000 25,938
Grupo Radio Centro SA
(Media and Entertainment) .......... 2,800 35,700
Panamerican Beverages, Inc.
(Foods and Beverages) .............. 2,800 86,800
----------
Total Mexico 236,709
----------
Netherlands (1.0%)
Akzo Nobel NV (Chemicals) ............ 300 52,882
Number of Market
Shares Value
--------- ----------
Netherlands (continued)
Fortis Amev NV (Financial Services) .. 411 $ 16,159
ING Groep NV (Banks) ................. 937 39,349
Philips Electronics NV (Electronics) . 600 46,993
Vendex International NV (Retail) ..... 900 49,157
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Printing and Publishing) .......... 2,100 49,775
----------
Total Netherlands 254,315
----------
Norway (1.1%)
Det Sondenfjelds-Norske
Dampskibsselskab (Oil and Gas) +.... 1,900 42,611
Ocean Rig ASA (Oil and Gas) +......... 74,200 92,212
Saga Petroleum ASA, Class A (Oil and
Gas) ............................... 2,400 46,967
SAS Norge ASA (Transportation) ....... 2,500 42,139
Smedvig ASA (Oil and Gas) ............ 1,000 29,426
Tomra Systems ASA (Paper and
Containers) ........................ 2,000 51,424
----------
Total Norway 304,779
----------
Singapore (0.3%)
Clipsal Industries Ltd. (Electrical
Equipment) ......................... 10,000 25,900
Jardine Matheson Holdings
(Diversified) ...................... 6,800 43,520
----------
Total Singapore 69,420
----------
Spain (0.4%)
Cortefiel SA (Retail) ................ 1,400 50,083
Iberdrola SA (Utilities - Electric) .. 4,000 47,881
----------
Total Spain 97,964
----------
Sweden (0.5%)
Ericsson ADR (Telecommunications) .... 1,100 48,675
Frontec AB (Computer Software) +...... 2,800 24,879
Oxigene, Inc. (Pharmaceuticals) +..... 900 17,557
Skandia Forsakrings AB (Insurance) ... 1,100 51,442
----------
Total Sweden 142,553
----------
Switzerland (0.7%)
Credit Suisse Group (Banks) .......... 300 42,377
Georg Fischer AG (Machinery and
Equipment) ......................... 20 26,726
Kuoni Reisen AG (Commercial Services) 12 45,546
Novartis AG Registered Shares
(Health Services) .................. 30 47,114
Roche Holding AG (Pharmaceuticals)++.. 4 35,248
----------
Total Switzerland 197,011
----------
United Kingdom (2.1%)
Bank of Scotland (Banks) ............. 5,300 43,727
Barclays Plc (Financial Services) .... 1,019 25,512
Boots Co. Plc (Retail) ............... 4,200 60,147
Glaxo Wellcome Plc (Pharmaceuticals) . 2,021 43,312
Granada Group Plc (Diversified) ...... 5,013 69,100
Iona Technologies Plc, ADR
(Consumer Products) +............... 2,000 31,625
16 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United Kingdom (continued)
Pearson Plc (Printing and Publishing) 4,000 $ 52,319
Shell Transport & Trading Co. (Oil
and Gas) ........................... 6,600 46,788
Tomkins Plc (Diversified) ............ 9,200 47,208
Unilever Plc (Consumer Products) ..... 4,500 33,504
Vodafone Group Plc
(Telecommunications) ............... 8,500 46,324
Williams Plc (Machinery and
Equipment) ......................... 7,700 46,225
----------
Total United Kingdom 545,791
----------
Venezuela (0.1%)
Compania Anonima Nacional Telefonos
de Venezuela (Utilities -
Telephone) ......................... 900 39,375
----------
Total Foreign Common Stocks 4,573,326
----------
Total Common Stocks (cost $13,506,488) 15,599,730
----------
PREFERRED STOCKS (0.1%)
Germany (0.1%)
Henkel KGAA (Chemicals) .............. 500 26,000
----------
Total Preferred Stocks (cost $26,274) 26,000
----------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (31.4%)
U.S. Government Obligations (24.4%)
U.S. Treasury Bond, 6.63%, 02/15/27... $250,000 265,077
U.S. Treasury Note, 5.88%, 02/15/00... 500,000 502,187
U.S. Treasury Note, 6.50%, 05/31/02... 300,000 308,718
U.S. Treasury Note, 6.50%, 10/15/06... 2,050,000 2,132,647
U.S. Treasury Note, 7.50%, 10/31/99... 1,800,000 1,862,437
U.S. Treasury Note, 7.50%, 11/15/01... 1,325,000 1,407,398
-----------
Total U.S. Government Obligations (cost
$6,305,093) 6,478,464
-----------
Corporate Bonds (7.0%)
American Re Corp., 7.45%, 12/15/26.... 300,000 320,913
Echostar Communications, 0.00%,
06/01/04............................ 150,000 133,500
Ford Motor Credit Corp., 6.63%,
06/30/03............................ 300,000 302,699
Korea Development Bank, 7.12%,
09/17/01............................ 150,000 148,365
Raytheon Co., 6.45%, 08/15/02......... 300,000 302,437
Skanidinavinska Enskilda Bank, 6.78%,
06/29/49............................ 100,000 101,250
Tenet Healthcare Corp., 7.88%,
01/15/03............................ 250,000 255,084
Time Warner, Inc., 9.13%, 01/15/13.... 250,000 294,888
----------
Total Corporate Bonds (cost $1,814,939) 1,859,136
----------
Total Long-Term Bonds and Notes (cost $8,120,032) 8,337,600
-----------
Principal Market
Amount Value
--------- ----------
SHORT-TERM INVESTMENTS (13.5%)
Dakota Certificates - Standard Credit
Card Master Trust, Comm. Paper,
5.62%, 11/06/97..................... $ 502,000 $ 501,765
Federal Home Loan Bank, Disc. Note,
5.60%, 11/03/97..................... 2,142,000 2,142,000
Jefferson Smurfit Finance Corp.,
Comm. Paper, 5.55%, 11/14/97........ 500,000 499,152
U.S. Treasury Bill, Time Deposit,
5.17%, 02/05/98@.................... 450,000 444,029
----------
Total Short-Term Investments (cost
$3,586,848) 3,586,946
----------
TOTAL INVESTMENTS (cost $25,239,642)(a) 27,550,276
Other assets less liabilities (975,768)
----------
Total Net Assets $26,574,508
==========
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$25,262,683. Unrealized gains and losses, based on identified tax cost at
October 31, 1997, are as follows:
Unrealized gains ..................... $2,890,611
Unrealized losses .................... (603,018)
----------
Net unrealized gain ................ $2,287,593
==========
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at October 31, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at October 31, 1997 is shown
below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
Long Contracts
- -------------------
Canadian Bond
Future ......... 1 $ 85,050 Dec 97 $ 3,144
Long-Term German
Government Bond
Future ......... 3 418,802 Dec 97 5,578
French Notional
Bond Future .... 1 83,276 Dec 97 (139)
Swiss Government
Bond Future .... 2 161,305 Dec 97 931
Short Contracts
- -------------------
Russell 2000
Index Future ... 4 (904,600) Dec 97 32,100
---------- -----------
$(156,167) $ 41,614
========== ===========
See Notes to Financial Statements. 17
<PAGE>
Portfolio of Investments
October 31, 1997
Legacy
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
COMMON STOCKS (39.4%)
United States (26.0%)
Aerospace and Defense (0.0%)
Gencorp, Inc.......................... 100 $ 2,444
Gulfstream Aerospace Corp.+........... 100 2,900
Newport News Shipbuilding, Inc........ 100 2,150
----------
7,494
----------
Auto Parts and Accessories (0.0%)
Arvin Industries, Inc................. 100 3,744
----------
Autos and Auto Equipment (0.8%)
Borg Warner Automotive, Inc........... 100 5,450
Chrysler Corp......................... 400 14,100
Excel Industries, Inc................. 2,200 39,188
Ford Motor Co......................... 400 17,475
General Motors Corp................... 200 12,838
Westinghouse Air Brake Co............. 2,100 52,106
----------
141,157
----------
Banks (1.0%)
AmSouth Bancorporation................ 100 4,806
Centura Banks, Inc.................... 400 23,150
City National Corp.................... 100 3,006
Dime Bancorp, Inc..................... 200 4,800
Firstfed Financial Corp.+............. 1,000 35,000
Golden West Financial Corp............ 100 8,675
Imperial Bancorp+..................... 400 17,450
North Fork Bancorp, Inc............... 200 5,888
Southtrust Corp....................... 100 4,800
State Street Corp..................... 100 5,575
USBANCORP, Inc........................ 1,000 64,999
----------
178,149
----------
Building Materials and Construction (1.4%)
Centex Construction Products, Inc..... 400 12,400
Centex Corp........................... 200 11,700
Continental Homes Holding Corp........ 1,400 42,175
Florida Rock Industries, Inc.......... 900 49,500
Lone Star Industries, Inc............. 900 49,444
National Steel Corp., Class B+........ 1,200 19,800
Southdown, Inc........................ 100 5,538
Texas Industries, Inc................. 400 18,975
Tredegar Industries, Inc.............. 800 55,899
USG Corp.+............................ 100 4,719
----------
270,150
----------
Chemicals (0.1%)
Lyondell Petrochemical Co............. 200 5,125
Sybron Chemicals, Inc.+............... 200 6,400
----------
11,525
----------
Commercial Services (0.4%)
ACNielsen Corp.+...................... 200 4,575
ADVO, Inc.+........................... 2,400 53,849
Number of Market
Shares Value
--------- ----------
Commercial Services (continued)
Galileo International, Inc.+.......... 100 $ 2,513
Mail-Well, Inc.+...................... 300 10,388
Ogden Corp............................ 200 5,050
Quintiles Transnational Corp.+........ 100 7,250
----------
83,625
----------
Computer Software (0.7%)
BMC Software, Inc.+................... 100 6,038
CHS Electronics, Inc.+................ 450 10,997
Computer Learning Centers, Inc.+...... 1,000 45,250
Computer Task Group, Inc.............. 600 16,950
Cybermedia, Inc.+..................... 200 5,950
Microsoft Corp.+...................... 300 39,000
Symantec Corp.+....................... 200 4,375
----------
128,560
----------
Computers and Office Equipment (1.2%)
Compaq Computer Corp.+................ 1,500 95,624
Dell Computer Corp.+.................. 1,000 80,124
HBO & Co.............................. 100 4,350
Herman Miller, Inc.................... 100 4,888
Moore Corp. Ltd....................... 600 9,713
Quantum Corp.+........................ 200 6,325
Sun Microsystems, Inc.+............... 300 10,275
Virco Manufacturing Corp.............. 400 9,600
----------
220,899
----------
Consumer Products (0.3%)
Herbalife International, Inc.......... 1,300 32,500
Pilgrim's Pride Corp.................. 1,000 13,125
Procter & Gamble Co................... 100 6,800
----------
52,425
----------
Diversified (0.1%)
Aeroquip-Vickers, Inc................. 200 10,413
ITT Industries, Inc................... 200 6,313
----------
16,726
----------
Electrical Equipment (0.3%)
C & D Technologies, Inc............... 1,100 48,400
----------
Electronics (1.0%)
Applied Materials, Inc.+.............. 300 10,013
Cellstar Corp.+....................... 1,600 54,299
Intel Corp............................ 300 23,100
KLA Instruments Corp.+................ 300 13,181
National Semiconductor Corp.+......... 100 3,600
Technitrol, Inc....................... 1,000 30,875
Texas Instruments, Inc................ 100 10,669
VLSI Technology, Inc.+................ 1,300 38,513
----------
184,250
----------
Financial Services (1.7%)
Ahmanson (H. F.) & Co................. 1,100 64,899
Bankers Trust New York Corp........... 200 23,600
18 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United States (continued)
Financial Services (continued)
Bear Stearns Co., Inc................. 145 $ 5,755
Chase Manhattan Corp.................. 100 11,538
Donaldson, Lufkin & Jenrette, Inc..... 100 7,025
E Trade Group, Inc.+.................. 300 9,263
Edwards (A.G.), Inc................... 100 3,281
FIRSTPLUS Financial Group, Inc.+...... 1,000 54,999
Lehman Brothers Holdings, Inc......... 100 4,706
Merrill Lynch & Co., Inc.............. 200 13,525
Money Store, Inc. (The)............... 100 2,838
Morgan Stanley, Dean Witter,
Discover & Co....................... 265 12,985
Paine Webber Group, Inc............... 100 4,419
Parkway Properties, Inc............... 400 13,600
SunAmerica, Inc....................... 150 5,391
Trans Financial, Inc.................. 1,400 44,800
Travelers Group, Inc.................. 300 21,000
WSFS Financial Corp.+................. 700 12,600
----------
316,224
----------
Foods and Beverages (0.4%)
Dean Foods Co......................... 100 4,731
Earthgrains Co........................ 400 16,450
Kroger Co. (The)+..................... 1,800 58,724
----------
79,905
----------
Health Services (0.1%)
Beverly Enterprises+.................. 700 10,456
Wellpoint Health Networks, Inc.+...... 100 4,575
----------
15,031
----------
Home Furnishings and Appliances (0.4%)
Carlisle Co., Inc..................... 100 4,325
Ethan Allen Interiors, Inc............ 1,400 49,613
Standard Pacific Corp................. 200 2,175
Stanley Furniture Co., Inc.+.......... 600 14,850
----------
70,963
----------
Hotels and Restaurants (0.2%)
Foodmaker, Inc.+...................... 2,600 42,738
----------
Insurance (1.2%)
Allstate Corp......................... 200 16,588
American Bankers Insurance Group...... 500 18,688
Conseco, Inc.......................... 200 8,725
Delphi Financial Group, Inc.+......... 300 12,375
Equitable Co., Inc.................... 500 20,594
Everest Re Holdings, Inc.............. 100 3,763
Financial Security Assurance
Holdings Ltd........................ 1,000 43,500
John Alden Financial Corp............. 600 16,463
Loews Corp............................ 100 11,169
Old Republic International Corp....... 100 3,575
Reliance Group Holdings, Inc.......... 100 1,263
RLI Corp.............................. 400 16,600
Number of Market
Shares Value
--------- ----------
Insurance (continued)
Torchmark Corp........................ 300 $ 11,963
Vesta Insurance Group, Inc............ 600 34,875
----------
220,141
----------
Machinery and Equipment (0.5%)
Caterpillar, Inc...................... 200 10,250
Manitowoc Co., Inc. (The)............. 1,350 40,922
Parker-Hannifin Corp.................. 100 4,181
Terex Corp.+.......................... 2,200 46,338
----------
101,691
----------
Media and Entertainment (0.1%)
Midway Games, Inc.+................... 1,200 25,125
----------
Medical Supplies (0.3%)
Maxxim Medical, Inc.+................. 400 8,950
Perrigo Co.+.......................... 300 4,613
Safeskin Corp.+....................... 100 4,538
Spine-Tech, Inc.+..................... 500 15,563
Vivus, Inc.+.......................... 900 23,738
----------
57,402
----------
Metals and Mining (0.9%)
AK Steel Holding Corp................. 100 4,213
Schnitzer Steel Industries, Inc....... 1,300 37,863
Timken Co............................. 3,000 100,499
Titanium Metals Corp.+................ 800 25,000
----------
167,575
----------
Oil and Gas (2.4%)
Ashland, Inc.......................... 100 4,769
Belco Oil & Gas Corp.+................ 2,000 43,250
Clayton Williams Energy, Inc.+........ 2,800 38,500
Cliffs Drilling Co.+.................. 1,000 72,687
Input/Output, Inc.+................... 100 2,681
Kerr-Mcgee Corp....................... 200 13,513
Marine Drilling Co., Inc.+............ 1,600 47,400
Occidental Petroleum Corp............. 500 13,938
Oryx Energy Co.+...................... 300 8,269
Phillips Petroleum Co................. 1,100 53,213
SEACOR SMIT Holdings+................. 900 58,612
Tesoro Petroleum Corp.+............... 800 13,000
Texaco, Inc........................... 200 11,388
Tidewater, Inc........................ 100 6,569
Union Texas Petroleum Holdings, Inc... 200 4,550
USX-Marathon Group.................... 600 21,450
Veritas DGC, Inc.+.................... 900 36,844
----------
450,633
----------
Paper and Containers (0.3%)
Fort James Corp....................... 137 5,437
Schweitzer-Mauduit International, Inc. 1,000 42,125
----------
47,562
----------
19
<PAGE>
Portfolio of Investments (continued)
October 31, 1997
Legacy
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
United States (continued)
Pharmaceuticals (0.1%)
Agouron Pharmaceuticals, Inc.+........ 100 $ 4,563
Dura Pharmaceuticals, Inc.+........... 100 4,838
Immunex Corp.+........................ 100 6,400
Rexall Sundown, Inc.+................. 200 4,375
Watson Pharmaceuticals, Inc.+......... 200 6,350
----------
26,526
----------
Printing and Publishing (0.8%)
Big Flower Press Holdings, Inc.+...... 1,200 26,400
Central Newspapers, Inc., Class A..... 100 6,569
McClatchy Newspapers, Inc............. 1,425 46,758
Thomas Nelson, Inc.................... 1,100 12,788
Valassis Communications, Inc.+........ 1,900 56,049
----------
148,564
----------
Real Estate Investment Trusts (6.5%)
American Residential Investment
Trust, Inc.......................... 200 3,063
Apartment Investment & Management Co.. 1,500 53,156
Arden Realty Group, Inc............... 1,000 30,500
Brandywine Realty Trust............... 1,000 23,438
CALI Realty Corp...................... 500 20,250
Capstone Capital Trust, Inc........... 4,300 101,587
Colonial Properties Trust............. 1,100 31,213
Crescent Real Estate Equities, Inc.... 1,300 46,800
Developers Diversified Realty Corp.... 1,000 39,500
Duke Realty Investments, Inc.......... 3,100 69,749
Eastgroup Properties, Inc............. 1,900 38,000
Equity Inns, Inc...................... 1,300 20,475
Equity Residential Properties Trust... 1,000 50,500
Essex Property Trust, Inc............. 1,400 47,950
Evans Withycombe Residential, Inc..... 300 7,575
Felcor Suite Hotels, Inc.............. 100 3,663
Glenborough Realty Trust, Inc......... 2,300 58,937
Glimcher Realty Trust................. 500 11,094
Health Care REIT, Inc................. 1,600 41,700
Home Properties of New York, Inc...... 500 13,625
Imperial Credit Commercial Mortgage
Investment Corp.+................... 100 1,650
Innkeepers USA Trust.................. 4,900 81,768
JDN Realty Corp....................... 2,500 85,312
Kimco Realty Corp..................... 3,450 110,399
Lexington Corporate Properties, Inc... 200 3,025
Oasis Residential, Inc................ 3,200 71,599
Prime Retail, Inc..................... 500 7,469
Regency Realty Corp................... 1,400 36,050
SL Green Realty Corp.+................ 200 5,013
Sovran Self Storage, Inc.............. 800 23,500
Spieker Properties, Inc............... 1,200 46,950
Starwood Lodging Trust................ 600 35,888
Tower Realty Trust, Inc.+............. 201 5,064
----------
1,226,462
----------
Number of Market
Shares Value
--------- ----------
Retail (1.6%)
Ames Department Stores, Inc.+......... 4,400 $ 68,474
Damark International, Inc.+........... 1,100 12,788
Dayton Hudson Corp.................... 200 12,563
Fingerhut Companies, Inc.............. 100 2,213
Funco, Inc.+.......................... 2,400 49,200
Koger Equity, Inc..................... 1,100 23,788
Payless ShoeSource, Inc.+............. 100 5,575
Ross Stores, Inc...................... 1,700 63,537
Russ Berrie & Co., Inc................ 700 19,075
TJX Companies, Inc.................... 1,600 47,400
----------
304,613
----------
Transportation (0.6%)
Airborne Freight Corp................. 100 6,338
CNF Transportation, Inc............... 100 4,463
Continental Airlines, Inc., Class B+.. 100 4,325
CSX Corp.............................. 200 10,938
Trico Marine Services, Inc.+.......... 1,100 40,425
U.S. Freightways Corp................. 100 3,238
UAL Corp.+............................ 100 8,763
Yellow Corp.+......................... 1,300 35,669
----------
114,159
----------
Utilities - Electric (0.0%)
MDU Resources Group, Inc.............. 300 8,513
----------
Utilities - Oil and Gas (0.4%)
Energen Corp.......................... 1,200 43,425
NUI Corp.............................. 1,500 33,844
----------
77,269
----------
Utilities - Telephone (0.2%)
Premiere Technologies, Inc.+.......... 1,000 34,000
----------
Total United States 4,882,200
----------
Foreign Common Stocks (13.4%)
Argentina (0.2%)
Banco de Galicia y Buenos Aires SA
(Banks) +........................... 1,500 36,352
----------
Australia (0.5%)
Goodman Fielder Ltd. (Foods and
Beverages) ......................... 20,373 31,306
Santos Ltd. (Oil and Gas) ............ 4,700 21,666
Westpac Banking Corp. Ltd. (Banks) ... 3,600 21,011
Woolworth Ltd. (Foods and Beverages) . 7,262 23,495
----------
Total Australia 97,478
----------
Austria (0.1%)
VA Technologie AG (Commercial
Services) .......................... 100 17,773
----------
Belgium (0.3%)
G.I.B. Holdings Ltd. (Retail) ........ 400 20,277
Societe Generale De Belgique
(Financial Services) ............... 300 27,205
----------
Total Belgium 47,482
----------
20 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Brazil (0.2%)
Telecomunicacoes Brasileiras SA
(Utilities - Telephone) ............ 300 $ 30,450
Unibanco Brasileiros SA (Financial
Services) +......................... 600 16,350
----------
Total Brazil 46,800
----------
Canada (0.3%)
Canadian National Railway Co.
(Transportation) ................... 500 26,969
Petro-Canada (Oil and Gas) ........... 1,800 37,048
----------
Total Canada 64,017
----------
Chile (0.1%)
Cia. de Telecomuncaciones de Chile
(Utilities - Telephone) ............ 700 19,425
----------
Denmark (0.4%)
Bang & Olufsen Holding Co.
(Electronics) ...................... 400 24,424
Carli Gry International A/S (Apparel) 500 24,732
Novo-Nordisk A/S (Pharmaceuticals) ... 200 21,676
----------
Total Denmark 70,832
----------
Finland (0.4%)
Huhtamaki Group (Diversified) ........ 800 32,977
Rautaruukki Oy (Metals and Mining) ... 2,500 23,465
UPM-Kymmene Corp. (Paper and
Containers) ........................ 1,000 22,275
----------
Total Finland 78,717
----------
France (1.3%)
Accor SA (Hotels and Restaurants) .... 200 37,317
Alcatel Alsthom (Telecommunications) . 200 24,183
Credit Commercial de France (Banks) .. 500 28,388
Elf Aquitaine SA (Oil and Gas) ....... 300 37,213
France Telecom SA
(Telecommunications) +.............. 800 30,340
Gemini Sogeti SA (Insurance) ......... 300 23,871
Lafarge SA
(Building Materials and
Construction) ...................... 300 18,784
Schneider SA (Machinery and
Equipment) ......................... 500 26,755
Union des Assurances Federales
(Insurance) ........................ 100 11,206
----------
Total France 238,057
----------
Germany (0.8%)
Adidas AG (Apparel) .................. 300 43,488
Bayerische Hypotheken-und
Wechsel-Bank AG (Banks) ............ 800 33,234
Gehe AG (Health Services) ............ 400 20,916
Metro AG (Retail) .................... 720 31,709
SGL Carbon AG (Chemicals) ............ 200 28,121
----------
Total Germany 157,468
----------
Hong Kong (0.3%)
Hutchison Whampoa Ltd. (Diversified) ++ 3,000 20,765
Lai Sun Development Co., Ltd.
(Real Estate Investment Trusts) .... 27,000 11,178
Li & Fung Ltd. (Commercial Services) . 24,000 24,064
----------
Total Hong Kong 56,007
----------
Number of Market
Shares Value
--------- ----------
Indonesia (0.1%)
Bank International Indonesia (Banks) . 27,000 $ 5,804
Putra Surya Multidana (Financial
Services) +......................... 16,000 5,548
----------
Total Indonesia 11,352
----------
Ireland (0.2%)
Irish Life Plc (Insurance) ........... 5,133 27,026
Waterford Wedgewood
(Home Furnishings and Appliances) .. 15,246 17,660
----------
Total Ireland 44,686
----------
Italy (0.6%)
Credito Italiano (Banks) ............. 10,000 26,714
La Rinascente S.p.A. (Retail) ........ 4,000 29,702
Pirelli & Co. (Financial Services) ... 20,000 28,696
Telecom Italia S.p.A. (Utilities -
Telephone) ......................... 5,000 31,388
----------
Total Italy 116,500
----------
Japan (1.7%)
Bank of Tokyo-Mitsubishi (Banks) ..... 1,000 13,054
Dai Nippon Ink & Chemicals, Inc.
(Chemicals) ........................ 6,000 22,998
Daiichi Pharmaceutical
(Pharmaceuticals) .................. 2,000 28,436
DDI Corp. (Utilities - Telephone) .... 4 13,370
Fujitec Co. Ltd.
(Building Materials and
Construction) ...................... 3,000 25,692
Hoya Corp. (Medical Supplies) ........ 1,000 34,755
Matsushita Kotobuki Electronics
Industries (Electronics) ........... 1,000 31,097
Minebea Co. Ltd. (Electronics) ....... 3,000 29,933
Mitsubishi Heavy Industries Ltd.
(Aerospace and Defense) ............ 3,000 14,742
Mitsubishi Trust & Banking Corp.
(Banks) ............................ 2,000 24,611
Sekisui Chemical Co. (Chemicals) ..... 3,000 23,622
Sony Corp. (Electronics) ............. 300 24,919
West Japan Railway (Transportation) .. 10 35,005
----------
Total Japan 322,234
----------
Malaysia (0.1%)
Leader Universal Holdings Bhd
(Diversified) ...................... 20,000 12,179
----------
Mexico (0.7%)
ALFA SA de C.V. (Diversified) ........ 3,386 24,731
Cifra SA (Retail) .................... 15,000 26,366
Grupo Financiero Banamex Accival
(Financial Services) +.............. 8,000 15,962
Grupo Radio Centro SA
(Media and Entertainment) .......... 1,700 21,675
Panamerican Beverages, Inc.
(Foods and Beverages) .............. 1,400 43,400
----------
Total Mexico 132,134
----------
Netherlands (0.8%)
Akzo Nobel NV (Chemicals) ............ 200 35,255
ING Groep NV (Banks) ................. 526 22,089
21
<PAGE>
Portfolio of Investments (continued)
October 31, 1997
Legacy
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- ----------
Netherlands (continued)
Philips Electronics NV (Electronics) . 500 $ 39,161
Vendex International NV (Retail) ..... 500 27,309
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Printing and Publishing) .......... 1,300 30,813
----------
Total Netherlands 154,627
----------
Norway (0.6%)
Det Sondenfjelds-Norske
Dampskibsselskab (Oil and Gas) +.... 1,200 26,912
Ocean Rig ASA (Oil and Gas) +......... 43,750 54,369
SAS Norge ASA (Transportation) ....... 2,000 33,711
----------
Total Norway 114,992
----------
Singapore (0.2%)
Clipsal Industries Ltd. (Electrical
Equipment) ......................... 7,000 18,130
Jardine Matheson Holdings
(Diversified) ...................... 3,600 23,040
----------
Total Singapore 41,170
----------
Spain (0.3%)
Cortefiel SA (Retail) ................ 800 28,619
Iberdrola SA (Utilities - Electric) .. 2,200 26,335
----------
Total Spain 54,954
----------
Sweden (0.4%)
Ericsson ADR (Telecommunications) .... 700 30,975
Frontec AB (Computer Software) +...... 2,000 17,771
Oxigene, Inc. (Pharmaceuticals) +..... 600 11,705
Skandia Forsakrings AB (Insurance) ... 400 18,706
----------
Total Sweden 79,157
----------
Switzerland (0.7%)
Credit Suisse Group (Banks) .......... 200 28,252
Kuoni Reisen AG (Commercial Services) 10 37,955
Novartis AG Registered Shares
(Health Services) .................. 20 31,410
Roche Holding AG (Pharmaceuticals)++.. 3 26,436
----------
Total Switzerland 124,053
----------
United Kingdom (1.9%)
Bank of Scotland (Banks) ............. 6,200 51,152
Barclays Plc (Financial Services) .... 8 200
Boots Co. Plc (Retail) ............... 2,600 37,234
Glaxo Wellcome Plc (Pharmaceuticals) . 1,415 30,325
Granada Group Plc (Diversified) ...... 3,010 41,490
Pearson Plc (Printing and Publishing) 1,500 19,620
Shell Transport & Trading Co. (Oil
and Gas) ........................... 9,900 70,181
Tomkins Plc (Diversified) ............ 5,700 29,248
Unilever Plc (Consumer Products) ..... 2,500 18,614
Vodafone Group Plc
(Telecommunications) ............... 5,200 28,340
Williams Plc (Machinery and
Equipment) ......................... 4,800 28,816
----------
Total United Kingdom 355,220
----------
Number of Market
Shares Value
--------- ----------
Venezuela (0.2%)
Compania Anonima Nacional Telefonos
de Venezuela (Utilities -
Telephone) ......................... 700 $ 30,625
----------
Total Foreign Common Stocks 2,524,291
----------
Total Common Stocks (cost $6,538,959) 7,406,491
----------
PREFERRED STOCKS (0.1%)
Germany (0.1%)
Henkel KGAA (Chemicals) .............. 500 26,000
----------
Total Preferred Stocks (cost $26,274) 26,000
----------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (47.7%)
U.S. Government Obligations (37.5%)
U.S. Treasury Bond, 6.63%, 02/15/27... $ 250,000 265,077
U.S. Treasury Note, 5.88%, 02/15/00... 250,000 251,093
U.S. Treasury Note, 6.50%, 05/31/02... 500,000 514,531
U.S. Treasury Note, 6.50%, 10/15/06... 1,500,000 1,560,473
U.S. Treasury Note, 6.88%, 05/15/06... 500,000 532,031
U.S. Treasury Note, 7.50%, 10/31/99... 2,600,000 2,690,188
U.S. Treasury Note, 7.50%, 11/15/01... 1,160,000 1,232,137
----------
Total U.S. Government Obligations (cost
$6,888,132) 7,045,530
----------
Corporate Bonds (10.2%)
American Re Corp., 7.45%, 12/15/26.... 400,000 427,885
Ford Motor Credit Corp., 6.63%,
06/30/03............................ 300,000 302,699
Korea Development Bank, 7.12%,
09/17/01............................ 200,000 197,820
Raytheon Co., 6.45%, 08/15/02......... 300,000 302,437
Skanidinavinska Enskilda Bank, 6.78%,
06/29/49............................ 100,000 101,249
Tenet Healthcare Corp., 7.88%,
01/15/03............................ 175,000 178,559
Time Warner, Inc., 9.13%, 01/15/13.... 350,000 412,843
----------
Total Corporate Bonds (cost $1,873,952) 1,923,492
----------
Total Long-Term Bonds and Notes (cost $8,762,084) 8,969,022
-----------
SHORT-TERM INVESTMENTS (14.5%)
Dakota Certificates - Standard Credit
Card Master Trust, Comm. Paper,
5.62%, 11/06/97..................... 397,000 396,814
Federal Home Loan Bank, Disc. Note,
5.60%, 11/03/97..................... 1,429,000 1,429,000
Jefferson Smurfit Finance Corp.,
Comm. Paper, 5.55%, 11/25/97........ 500,000 498,304
U.S. Treasury Bill, Time Deposit,
5.17%, 02/05/98@.................... 400,000 394,692
----------
Total Short-Term Investments (cost $2,718,723) 2,718,810
----------
TOTAL INVESTMENTS (cost $18,046,040)(a) 19,120,323
Other assets less liabilities (326,818)
----------
Total Net Assets $18,793,505
==========
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
$18,047,692. Unrealized gains and losses, based on identified tax cost at
October 31, 1997, are as follows:
Unrealized gains ..................... $1,435,589
Unrealized losses .................... (362,958)
----------
Net unrealized gain ................ $1,072,631
==========
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at October 31, 1997.
Category percentages are based on net assets.
Information concerning open futures contracts at October 31, 1997 is shown
below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
Long Contracts
- -------------------
Canadian Bond
Future ......... 1 $ 85,050 Dec 97 $ 3,144
Long-Term German
Government Bond
Future ......... 3 418,802 Dec 97 5,578
French Notional
Bond Future .... 1 83,276 Dec 97 (139)
Swiss Government
Bond Future .... 1 80,653 Dec 97 465
Short Contracts
- -------------------
Russell 2000
Index Future ... 1 (226,150) Dec 97 8,025
---------- -----------
$ 441,631 $ 17,073
========== ===========
See Notes to Financial Statements. 23
<PAGE>
Aetna Generation Funds
Statements of Assets and Liabilities
October 31, 1997
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
----------- ----------- -----------
<S> <C> <C> <C>
Assets:
Investments, at market value ....................................... $29,603,201 $27,550,276 $19,120,323
Cash ............................................................... 28,908 69,722 98,341
Cash denominated in foreign currencies ............................. 105,699 51,488 146,059
Receivable for:
Dividends and interest ......................................... 68,587 126,464 132,304
Investments sold ............................................... 143,989 96,364 42,994
Fund shares sold ............................................... 20,826 11,000 6,501
Recoverable foreign taxes ...................................... 5,388 4,334 3,253
Reimbursement from Investment Adviser .......................... 8,429 4,463 5,376
Prepaid expenses ................................................... 525 505 407
Gross unrealized gain on forward foreign currency exchange
contracts .................................................... 12,153 9,440 5,619
------------ ------------ ------------
Total assets .............................................. 29,997,705 27,924,056 19,561,177
------------ ------------ ------------
Liabilities:
Payable for:
Investments purchased .......................................... 1,238,971 864,099 432,864
Fund shares redeemed ........................................... 377,592 353,115 239,468
Variation margin ............................................... 12,428 17,191 3,453
Other liabilities .............................................. 85,103 85,191 70,530
Gross unrealized loss on forward foreign currency exchange
contracts ................................................... 38,981 29,952 21,357
------------ ------------ ------------
Total liabilities ......................................... 1,753,075 1,349,548 767,672
------------ ------------ ------------
NET ASSETS ....................................................... $28,244,630 $26,574,508 $18,793,505
============ ============ ============
Net assets represented by:
Paid-in capital .................................................... $19,118,129 $19,685,103 $14,506,075
Net unrealized gain on investments, open futures contracts and
foreign currency related transactions........................ 3,002,971 2,325,942 1,075,790
Undistributed net investment income ................................ 639,928 713,418 681,957
Accumulated net realized gain on investments ....................... 5,483,602 3,850,045 2,529,683
------------ ------------ ------------
NET ASSETS ....................................................... $28,244,630 $26,574,508 $18,793,505
============ ============ ============
Capital Shares, $.001 par value:
Select Class:
Outstanding .................................................... 1,889,777 1,959,083 1,507,130
Net Assets ..................................................... $27,359,025 $26,027,592 $18,312,581
Net Asset Value, offering and redemption price per share (net
assets divided by shares outstanding) ........................ $ 14.48 $ 13.29 $ 12.15
Adviser Class:
Outstanding .................................................... 61,421 41,378 39,773
Net Assets ..................................................... $ 885,605 $ 546,916 $ 480,924
Net Asset Value, offering and redemption price per share (net
assets divided by shares outstanding) ........................ $ 14.42 $ 13.22 $ 12.09
Cost of investments ................................................ $26,600,887 $25,239,642 $18,046,040
Cost of cash denominated in foreign currencies ..................... $ 108,477 $ 54,682 $ 146,203
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Aetna Generation Funds
Statements of Operations
Year ended October 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
----------- ---------- -----------
<S> <C> <C> <C>
Investment Income:
Dividends ..................................................... $ 455,755 $ 337,918 $ 188,821
Interest ...................................................... 329,237 534,354 645,971
----------- ----------- -----------
784,992 872,272 834,792
Foreign taxes withheld on dividends............................ (10,193) (8,759) (5,126)
----------- ----------- -----------
Total investment income ................................. 774,799 863,513 829,666
----------- ----------- -----------
Investment Expenses:
Investment advisory fee ....................................... 202,834 186,369 151,110
Administrative services fees .................................. 63,386 58,240 47,222
12b-1 and shareholder service fees ............................ 2,243 1,061 1,068
Printing and postage fees ..................................... 20,573 19,719 19,444
Custody fees .................................................. 39,958 44,156 35,920
Transfer agent fees ........................................... 16,830 17,626 17,063
Audit fees .................................................... 18,641 18,570 18,965
Directors' fees ............................................... 1,826 1,568 527
Registration fees ............................................. 43,452 39,222 38,742
Miscellaneous expenses......................................... 1,084 971 406
----------- ----------- -----------
Expenses before reimbursement and waiver from Adviser ......... 410,827 387,502 330,467
Expense reimbursement and waiver from Adviser ................. (22,396) (20,265) (22,994)
----------- ----------- -----------
Total expenses .......................................... 388,431 367,237 307,473
----------- ----------- -----------
Net investment income ......................................... 386,368 496,276 522,193
----------- ----------- -----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Sale of investments ......................................... 5,873,538 4,256,715 2,729,181
Futures and forward currency exchange contracts ............. (74,924) (82,441) 131,637
Foreign currency related transactions ....................... (45,148) (26,885) (22,695)
----------- ----------- -----------
Net realized gain on investments ..................... 5,753,466 4,147,389 2,838,123
----------- ----------- -----------
Net change in unrealized gain or loss on:
Investments ................................................. (212,977) 8,689 (437,236)
Futures and forward currency exchange contracts ............. 12,216 2,838 (62,808)
Foreign currency related transactions ....................... (6,696) (6,474) (13)
----------- ----------- -----------
Net change in unrealized gain or loss on investments . (207,457) 5,053 (500,057)
----------- ----------- -----------
Net realized and change in unrealized gain on investments ..... 5,546,009 4,152,442 2,338,066
----------- ----------- -----------
Increase in net assets resulting from operations .............. $5,932,377 $4,648,718 $2,860,259
=========== =========== ===========
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Aetna Generation Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent
---------------------------------------
Year Ended Year Ended
October 31, October 31,
1997 1996
-------------- --------------
<S> <C> <C>
From Operations:
Net investment income .................................................... $ 386,368 $ 392,451
Net realized gain on investments ......................................... 5,753,466 2,176,624
Net change in unrealized gain or loss on investments ..................... (207,457) 1,796,792
------------- ------------
Net increase in net assets resulting from operations ................... 5,932,377 4,365,867
------------- ------------
Distributions to Shareholders:
Select Class:
From net investment income ........................................... (509,409) (677,906)
From net realized gains .............................................. (1,991,320) (1,734,904)
------------- ------------
Decrease in net assets from distributions to shareholders .............. (2,500,729) (2,412,810)
------------- ------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ............................................ 24,275,254 5,899,488
Net asset value of shares issued upon reinvestment of distributions .. 797,267 2,412,810
Payments for shares redeemed ......................................... (26,848,236) (4,946,576)
Adviser Class*:
Proceeds from shares sold ............................................ 877,110 --
Payments for shares redeemed ......................................... (40,134) --
------------- ------------
Net increase (decrease) in net assets from fund share transactions ..... (938,739) 3,365,722
------------- ------------
Change in net assets ..................................................... 2,492,909 5,318,779
Net Assets:
Beginning of year ........................................................ 25,751,721 20,432,942
------------- ------------
End of year .............................................................. $ 28,244,630 $25,751,721
============= ============
End of year net assets includes undistributed net investment income ...... $ 639,928 $ 438,100
============= ============
Share Transactions:
Select Class:
Number of shares sold ................................................ 1,863,827 491,477
Number of shares issued upon reinvestment of distributions ........... 64,924 219,147
Number of shares redeemed ............................................ (2,087,644) (412,682)
------------- ------------
Net increase (decrease) ................................................ (158,893) 297,942
============= ============
Adviser Class*:
Number of shares sold ................................................ 64,131 --
Number of shares redeemed ............................................ (2,710) --
------------- ------------
Net increase ........................................................... 61,421 --
============= ============
</TABLE>
* Period from January 20, 1997 to October 31, 1997.
See Notes to Financial Statements.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Crossroads
---------------------------------------
Year Ended Year Ended
October 31, October 31,
1997 1996
-------------- --------------
<S> <C> <C>
From Operations:
Net investment income .......................................................... $ 496,276 $ 483,217
Net realized gain on investments ............................................... 4,147,389 2,017,164
Net change in unrealized gain or loss on investments ........................... 5,053 1,046,520
------------- ------------
Net increase in net assets resulting from operations ......................... 4,648,718 3,546,901
------------- ------------
Distributions to Shareholders:
Select Class:
From net investment income ................................................. (569,299) (778,690)
From net realized gains .................................................... (1,905,254) (1,467,875)
------------- ------------
Decrease in net assets from distributions to shareholders .................... (2,474,553) (2,246,565)
------------- ------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold .................................................. 24,895,160 7,177,613
Net asset value of shares issued upon reinvestment of distributions ........ 984,645 2,246,565
Payments for shares redeemed ............................................... (24,955,529) (8,147,413)
Adviser Class*:
Proceeds from shares sold .................................................. 541,777 --
Payments for shares redeemed ............................................... (12,739) --
------------- ------------
Net increase in net assets from fund share transactions ...................... 1,453,314 1,276,765
------------- ------------
Change in net assets ........................................................... 3,627,479 2,577,101
Net Assets:
Beginning of year .............................................................. 22,947,029 20,369,928
------------- ------------
End of year .................................................................... $ 26,574,508 $22,947,029
============= ============
End of year net assets includes undistributed net investment income ............ $ 713,418 $ 481,685
============= ============
Share Transactions:
Select Class:
Number of shares sold ...................................................... 2,036,644 616,536
Number of shares issued upon reinvestment of distributions ................. 85,399 207,057
Number of shares redeemed .................................................. (2,049,555) (703,606)
------------- ------------
Net increase ................................................................. 72,488 119,987
============= ============
Adviser Class*:
Number of shares sold ...................................................... 42,345 --
Number of shares redeemed .................................................. (967) --
------------- ------------=
Net increase ................................................................. 41,378 --
============= ============
</TABLE>
* Period from January 20, 1997 to October 31, 1997.
See Notes to Financial Statements.
27
<PAGE>
Aetna Generation Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Legacy
---------------------------------------
Year Ended Year Ended
October 31, October 31,
1997 1996
-------------- --------------
<S> <C> <C>
From Operations:
Net investment income ......................................................... $ 522,193 $ 556,855
Net realized gain on investments .............................................. 2,838,123 1,742,131
Net change in unrealized gain or loss on investments .......................... (500,057) 499,927
------------- ------------
Net increase in net assets resulting from operations ........................ 2,860,259 2,798,913
------------- ------------
Distributions to Shareholders:
Select Class:
From net investment income ................................................ (623,441) (871,124)
From net realized gains ................................................... (1,697,678) (1,324,109)
------------- ------------
Decrease in net assets from distributions to shareholders ................... (2,321,119) (2,195,233)
------------- ------------
Fund Share Transactions:
Select Class:
Proceeds from shares sold ................................................. 17,595,612 4,634,832
Net asset value of shares issued upon reinvestment of distributions ....... 600,390 2,195,233
Payments for shares redeemed .............................................. (22,733,738) (4,758,475)
Adviser Class*:
Proceeds from shares sold ................................................. 495,655 --
Payments for shares redeemed .............................................. (29,360) --
------------- ------------
Net increase (decrease) in net assets from fund share transactions .......... (4,071,441) 2,071,590
------------- ------------
Change in net assets .......................................................... (3,532,301) 2,675,270
Net Assets:
Beginning of year ............................................................. 22,325,806 19,650,536
------------- ------------
End of year ................................................................... $ 18,793,505 $22,325,806
============= ============
End of year net assets includes undistributed net investment income ........... $ 681,957 $ 517,144
============= ============
Share Transactions:
Select Class:
Number of shares sold ..................................................... 1,553,745 414,022
Number of shares issued upon reinvestment of distributions ................ 54,930 206,513
Number of shares redeemed ................................................. (2,019,117) (425,820)
------------- ------------
Net increase (decrease) ..................................................... (410,442) 194,715
============= ============
Adviser Class*:
Number of shares sold ..................................................... 42,155 --
Number of shares redeemed ................................................. (2,382) --
------------- ------------
Net increase ................................................................ 39,773 --
============= ============
</TABLE>
* Period from January 20, 1997 to October 31, 1997.
See Notes to Financial Statements.
28
<PAGE>
Aetna Generation Funds
Notes to Financial Statements
October 31, 1997
- --------------------------------------------------------------------------------
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, each of which has its
own investment objective, policies and restrictions.
The Company currently offers twelve 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, the Select Class and
the Adviser Class. The Select Class is offered principally to institutions and
is not subject to sales charges or service fees. The Select Class shares were
first made available on January 4, 1995. The Adviser Class shares are offered to
all others and are subject to deferred sales charges payable upon redemption
within four calendar years after the year of purchase. Additionally, the Adviser
Class shares are subject to a shareholder service fee and distribution fees
pursuant to Rule 12b-1 of the Act. The Adviser Class shares were first made
available to the public January 20, 1997.
The following is a brief description of 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.
Aetna Life Insurance and Annuity Company (ALIAC) serves as the Investment
Adviser to each Fund. The principal underwriter for each Fund is Aetna
Investment Services, Inc. (AISI). Prior to August 1, 1997, the principal
underwriter was ALIAC. Aeltus Investment Management, Inc. (Aeltus) is employed
as a subadvisor to the Funds.
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.
B. Futures and Forward Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument including an
index of stocks at a set price on a future date. The Funds may enter into
futures contracts
29
<PAGE>
Aetna Generation Funds
Notes to Financial Statements (continued)
October 31, 1997
- -------------------------------------------------------------------------------
2. Summary of Significant Accounting Policies (continued)
B. Futures and Forward Foreign Currency Exchange Contracts (continued)
to manage the risk of changes in interest rates, equity prices, currency
exchange rates or in anticipation of future purchases and sales of securities.
Upon entering into a futures contract, the Funds are required to deposit with a
broker an amount (initial margin) equal to a percentage of the purchase price
indicated by the 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 are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Funds may use forward foreign currency
exchange contracts to hedge certain foreign currency assets. Contracts are
recorded at market value and marked-to-market daily.
The risks associated with futures and foreign currency exchange contracts may
arise from an imperfect correlation between the change in market value of the
securities held by the Funds and the price of the contracts. Risks may also
arise from an illiquid secondary market or from the inability of counterparties
to meet the terms of the contracts.
Realized and unrealized gains or losses on futures and foreign currency exchange
contracts are reflected in the accompanying financial statements. For federal
income tax purposes, any futures contracts and forward foreign currency exchange
contracts which remain open at year end are marked-to-market and the resultant
net gain or loss is 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 subject to legal or contractual
restrictions on resale and may not be publicly sold without registration under
the Securities Act of 1933 (1933 Act), under Rule 144A, or offered pursuant to
section 4(2) of 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 substantially all of its net taxable
investment income and capital gains, if any, in compliance with the applicable
provisions of the Internal Revenue Code.
E. Distributions
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for foreign currency transactions and
losses deferred due to wash sales.
30
<PAGE>
- --------------------------------------------------------------------------------
2. Summary of Significant Accounting Policies (continued)
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, over the life of the
security. Dividend income is recorded on the ex-dividend date. Realized gains
and losses from investment transactions are determined on an identified cost
basis.
3. Investment Advisory, Management, Shareholder Service and Distribution Fees
Each Fund pays the Investment Adviser a monthly fee at an annual rate of 0.80%
of its average daily net assets. As each Fund's net assets exceed predetermined
thresholds, lower advisory fees are applied.
Under the terms of a Subadvisory Agreement among the Funds, Aeltus supervises
the investment and reinvestment of cash and securities and provides certain
related administrative services for each Fund in exchange for fees, payable by
ALIAC, of up to 0.50% of each Fund's average daily net assets. For the year
ended October 31, 1997, ALIAC paid Aeltus $118,010 for Ascent, $108,888 for
Crossroads and $84,842 for Legacy, in accordance with the terms of the
agreement.
The Company has entered into an administrative services agreement under which
ALIAC acts as administrator and provides certain administrative and shareholder
services and is responsible for the supervision of other service providers for
each Fund. Each Fund pays ALIAC a monthly administrative services fee at an
annual rate of 0.25% of its average daily net assets.
The Company has adopted a Shareholder Services Plan for the Adviser Class
shares. Under the Shareholder Services Plan, AISI is paid a service fee at an
annual rate of 0.25% of the average daily net assets of the Adviser Class of
each Fund. This fee is used as compensation for expenses incurred in servicing
shareholders' accounts. For the year ended October 31, 1997, the Funds paid
ALIAC $518 and AISI $940 in service fees.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Adviser Class shares. The Distribution Plan provides for payments to
AISI at an annual rate of 0.50% of the average daily net assets of the Adviser
Class shares of each Fund. Amounts paid by the Funds are used to pay expenses
incurred by AISI in promoting the sale of the Adviser Class shares. For the year
ended October 31, 1997, the Funds paid ALIAC $907 and AISI $915 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 and
shareholder service fees incurred by the Adviser Class 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. The reimbursements were as follows:
Non-Class Specific Class Specific (Adviser) Fund Total
------------------ ------------------------ -----------
Ascent $21,845 $551 $22,396
Crossroads 19,968 297 20,265
Legacy 22,749 245 22,994
5. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the year ended October 31, 1997 were:
Cost of Purchases Proceeds from Sales
----------------- -------------------
Ascent $35,639,959 $40,568,900
Crossroads 31,396,774 30,027,046
Legacy 22,298,306 20,246,412
31
<PAGE>
Aetna Generation Funds
Notes to Financial Statements (continued)
October 31, 1997
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts
At October 31, 1997, 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 loss of $26,828,
$20,512 and $15,738, 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 October 31, 1997 be Received October 31, 1997 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Buy
- ----------------
<S> <C> <C> <C> <C> <C>
11/20/97 110,198 $110,198 4,090,000 $115,307 $5,109
U.S. Dollar Belgian Franc
- ------------------------------------------------------------------------------------------------------------------
11/12/97 83,491 83,491 10,070,000 83,886 395
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
11/20/97 4,090,000 115,306 108,688 108,688 (6,618)
Belgian Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
1/5/98 177,000 127,693 122,216 122,216 (5,477)
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
11/6/97 282,000 163,774 159,322 159,322 (4,452)
German Deutschemark U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
12/5/97 143,000 83,293 79,093 79,093 (4,200)
German Deutschemark U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
11/13/97 667,000 115,759 109,393 109,393 (6,366)
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
1/14/98 1,414,000 246,929 241,297 241,297 (5,632)
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
11/12/97 16,480,000 137,284 142,152 142,152 4,868
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
11/12/97 10,130,000 84,386 83,340 83,340 (1,046)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
12/17/97 39,940,000 334,530 336,311 336,311 1,781
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
12/17/97 24,150,000 202,276 200,932 200,932 (1,344)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------------------------
1/26/98 11,560,000 97,427 97,061 97,061 (366)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
12/18/97 162,000 83,759 81,612 81,612 (2,147)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
1/20/98 191,000 98,981 97,648 97,648 (1,333)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
($26,828)
================
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
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 October 31, 1997 be Received October 31, 1997 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Buy
- ----------------
<S> <C> <C> <C> <C> <C>
11/20/97 87,296 $87,296 3,240,000 $91,343 $4,047
U.S. Dollar Belgian Franc
- ---------------------------------------------------------------------------------------------------------------------
11/12/97 54,141 54,141 6,530,000 54,397 256
U.S. Dollar Japanese Yen
- ---------------------------------------------------------------------------------------------------------------------
12/18/97 17,137 17,137 34,000 17,579 442
U.S. Dollar Dutch Guilder
- ---------------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
11/20/97 3,240,000 91,343 86,100 86,100 (5,243)
Belgian Franc U.S. Dollar
- ----------------------------------------------------- ------------------------------------------------------------
1/5/98 134,000 96,672 92,529 92,529 (4,143)
Swiss Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
11/6/97 175,000 101,633 98,870 98,870 (2,763)
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
12/5/97 126,000 73,391 69,690 69,690 (3,701)
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
11/13/97 609,000 105,693 99,513 99,513 (6,180)
French Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
1/14/98 980,000 171,138 167,235 167,235 (3,903)
French Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
11/12/97 11,710,000 97,547 101,035 101,035 3,488
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
12/17/97 27,060,000 226,649 227,856 227,856 1,207
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
12/17/97 22,040,000 184,603 183,589 183,589 (1,014)
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
1/26/98 19,350,000 163,081 162,469 162,469 (612)
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
12/18/97 69,000 35,675 34,761 34,761 (914)
Dutch Guilder U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
1/20/98 212,000 109,863 108,384 108,384 (1,479)
Dutch Guilder U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------
($20,512)
===============
</TABLE>
33
<PAGE>
Aetna Generation Funds
Notes to Financial Statements (continued)
October 31, 1997
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
Legacy
- ------
<TABLE>
<CAPTION>
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1997 be Received October 31, 1997 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Buy
- ----------------
<S> <C> <C> <C> <C> <C>
11/20/97 54,964 $54,964 2,040,000 $57,512 $2,548
U.S. Dollar Belgian Franc
- -------------------------------------------------------------------------------------------------------------------
11/13/97 44,681 44,681 259,000 44,950 269
U.S. Dollar French Franc
- -------------------------------------------------------------------------------------------------------------------
11/12/97 41,954 41,954 5,060,000 42,151 197
U.S. Dollar Japanese Yen
- -------------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
11/20/97 2,040,000 57,512 54,211 54,211 (3,301)
Belgian Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
1/5/98 85,000 61,322 58,681 58,681 (2,641)
Swiss Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
11/6/97 146,000 84,791 82,486 82,486 (2,305)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
12/5/97 89,000 51,840 49,226 49,226 (2,614)
German Deutschemark U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
11/4/97 324,000 56,137 55,862 55,862 (275)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
11/13/97 493,600 85,664 79,308 79,308 (6,356)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
1/14/98 510,000 89,062 87,031 87,031 (2,031)
French Franc U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
11/12/97 6,390,000 53,231 54,746 54,746 1,515
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
11/12/97 1,760,000 14,662 14,480 14,480 (182)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
12/17/97 24,410,000 204,452 205,542 205,542 1,090
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
12/17/97 4,960,000 41,544 41,269 41,269 (275)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
1/26/98 790,000 6,658 6,633 6,633 (25)
Japanese Yen U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
12/18/97 73,000 37,743 36,776 36,776 (967)
Dutch Guilder U.S. Dollar
- -------------------------------------------------------------------------------------------------------------------
1/20/98 55,000 28,504 28,119 28,119 (385)
Dutch Guilder U.S. Dollar
- --------------------------------------------------------------------------------------------------------------------
($15,738)
=================
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
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 Select and Adviser Class shares have been
designated to the Funds. As of October 31, 1997, the following shares of the
Funds were owned by Aetna and its affiliates:
Select Adviser
------ -------
Ascent 1,685,189 --
Crossroads 1,834,345 --
Legacy 1,429,374 --
8. Certain Reclassifications
In accordance with generally accepted accounting principles, the following
reclassifications were made in order to present the Funds' capital accounts on a
tax basis. These reclassifications have no impact on the net asset value of the
Funds.
<TABLE>
<CAPTION>
Accumulated Accumulated
Undistributed Net Net Realized Gain/(Loss)
Paid-in Capital Investment Income on Investments
Increase/(Decrease) Increase/(Decrease) Increase/(Decrease)
---------------------- ----------------------- -----------------------------
<S> <C> <C> <C>
Ascent $ 12,410 $ 324,869 $ (337,279)
Crossroads 9,308 304,756 (314,064)
Legacy 6,204 266,061 (272,265)
</TABLE>
- --------------------------------------------------------------------------------
Additional Information (Unaudited)
Federal Tax Status of Dividends Declared During the Fiscal Year
All of the income dividends paid by each Fund were ordinary income for federal
income tax purposes. The percentages of dividends that qualified for the
corporate dividends received deduction were:
Ascent 9.52%
Crossroads 9.03%
Legacy 7.03%
35
<PAGE>
Aetna Generation Funds
Financial Highlights
Ascent
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period from
January 4,
1995 to
Year Ended October 31, October 31,
--------------------------------- --------------
SELECT CLASS 1997 1996 1995
- --------------------------------------------------------------------------- -------- --------- --------
<S> <C> <C> <C>
Net asset value, beginning of period ..................................... $ 12.57 $ 11.67 $ 10.00
-------- --------- --------
Income from investment operations:
Net investment income .................................................. 0.21 0.21 0.25
Net realized and change in unrealized gain (loss) on investments........ 2.92 2.04 1.42
-------- --------- --------
Total from investment operations ................................. 3.13 2.25 1.67
-------- --------- --------
Less distributions:
From net investment income ............................................. (0.25) (0.38) --
From net realized gains on investments ................................. (0.97) (0.97) --
-------- --------- --------
Total distributions .............................................. (1.22) (1.35) --
-------- --------- --------
Net asset value, end of period ........................................... $ 14.48 $ 12.57 $ 11.67
======== ========= ========
Total return ............................................................. 26.59% 20.94% 16.70%
Net assets, end of period (000's) ........................................ $27,359 $ 25,752 $20,433
Ratio of total expenses to average net assets ............................ 1.52% 1.73% 1.38%(1)
Ratio of net investment income to average net assets ..................... 1.53% 1.69% 2.80%(1)
Ratio of net expense before reimbursement and waiver to average net
assets ................................................................. 1.61% -- --
Ratio of net investment income before reimbursement and waiver to average
net assets ............................................................. 1.44% -- --
Portfolio turnover rate .................................................. 162.80% 104.84% 164.09%
Average commission rate paid per share on purchases of equity securities.. $0.0342 $ 0.0349 --
</TABLE>
<TABLE>
<CAPTION>
Period from
January 20, 1997
to October 31,
--------------
ADVISER CLASS 1997
- --------------------------------------------------------------------------- ---------
<S> <C>
Net asset value, beginning of period ..................................... $ 12.50
---------
Income from investment operations:
Net investment income .................................................. 0.15
Net realized and change in unrealized gain (loss) on investments........ 1.77
---------
Total from investment operations ................................. 1.92
---------
Net asset value, end of period ........................................... $ 14.42
=========
Total return (does not reflect applicable sales charges).................. 15.36%
Net assets, end of period (000's) ........................................ $ 886
Ratio of total expenses to average net assets ............................ 2.08%(1)
Ratio of net investment income to average net assets ..................... 1.11%(1)
Ratio of net expense before reimbursement and waiver to average net
assets ................................................................. 2.35%(1)
Ratio of net investment income before reimbursement and waiver to average
net assets ............................................................. 0.83%(1)
Portfolio turnover rate .................................................. 162.80%
Average commission rate paid per share on purchases of equity securities.. $ 0.0342
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
36
<PAGE>
Crossroads
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period from
January 4,
1995 to
Year Ended October 31, October 31,
-------------------------------- ---------------
SELECT CLASS 1997 1996 1995
- --------------------------------------------------------------------------- -------- --------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period ..................................... $ 12.16 $ 11.53 $ 10.00
-------- --------- ---------
Income from investment operations:
Net investment income .................................................. 0.27 0.25 0.29
Net realized and change in unrealized gain (loss) on investments........ 2.16 1.64 1.24
-------- --------- ---------
Total from investment operations ................................. 2.43 1.89 1.53
-------- --------- ---------
Less distributions:
From net investment income ............................................. (0.30) (0.44) --
From net realized gains on investments ................................. (1.00) (0.82) --
-------- --------- --------
Total distributions .............................................. (1.30) (1.26) --
-------- --------- --------
Net asset value, end of period ........................................... $ 13.29 $ 12.16 $ 11.53
======== ========= ========
Total return ............................................................. 21.65% 17.66% 15.30%
Net assets, end of period (000's) ........................................ $26,028 $ 22,947 $ 20,370
Ratio of total expenses to average net assets ............................ 1.57% 1.74% 1.40%(1)
Ratio of net investment income to average net assets ..................... 2.13% 2.18% 3.26%(1)
Ratio of net expense before reimbursement and waiver to average net
assets ................................................................. 1.66% -- --
Ratio of net investment income before reimbursement and waiver to average
net assets ............................................................. 2.05% -- --
Portfolio turnover rate .................................................. 161.75% 107.40% 166.93%
Average commission rate paid per share on purchases of equity securities.. $0.0309 $ 0.0350 --
</TABLE>
<TABLE>
<CAPTION>
Period from
January 20, 1997
to October 31,
--------------
ADVISER CLASS 1997
- --------------------------------------------------------------------------- --------
<S> <C>
Net asset value, beginning of period ..................................... $ 11.67
--------
Income from investment operations:
Net investment income .................................................. 0.30
Net realized and change in unrealized gain (loss) on investments........ 1.25
--------
Total from investment operations ................................. 1.55
--------
Net asset value, end of period ........................................... $ 13.22
========
Total return (does not reflect applicable sales charges).................. 13.28%
Net assets, end of period (000's) ........................................ $ 547
Ratio of total expenses to average net assets ............................ 2.11%(1)
Ratio of net investment income to average net assets ..................... 1.64%(1)
Ratio of net expense before reimbursement and waiver to average net
assets ................................................................. 2.41%(1)
Ratio of net investment income before reimbursement and waiver to average
net assets ............................................................. 1.34%(1)
Portfolio turnover rate .................................................. 161.75%
Average commission rate paid per share on purchases of equity securities.. $0.0309
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
37
<PAGE>
Aetna Generation Funds
Financial Highlights
Legacy
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period from
January 4,
1995 to
Year Ended October 31, October 31,
------------------------------- --------------
SELECT CLASS 1997 1996 1995
- --------------------------------------------------------------------------- -------- -------- --------
<S> <C> <C> <C>
Net asset value, beginning of period ..................................... $ 11.64 $ 11.41 $ 10.00
-------- -------- ---------
Income from investment operations:
Net investment income .................................................. 0.32 0.29 0.33
Net realized and change in unrealized gain (loss) on investments........ 1.41 1.20 1.08
-------- -------- ---------
Total from investment operations ................................. 1.73 1.49 1.41
-------- -------- ---------
Less distributions:
From net investment income ............................................. (0.33) (0.50) --
From net realized gains on investments ................................. (0.89) (0.76) --
-------- -------- ---------
Total distributions .............................................. (1.22) (1.26) --
-------- -------- ---------
Net asset value, end of period ........................................... $ 12.15 $ 11.64 $ 11.41
======== ======== =========
Total return ............................................................. 15.94% 14.11% 14.10%
Net assets, end of period (000's) ........................................ $18,313 $22,326 $ 19,651
Ratio of total expenses to average net assets ............................ 1.63% 1.73% 1.42%(1)
Ratio of net investment income to average net assets ..................... 2.77% 2.62% 3.75%(1)
Ratio of net expense before reimbursement and waiver to average net
assets ................................................................. 1.75% -- --
Ratio of net investment income before reimbursement and waiver to average
net assets ............................................................. 2.65% -- --
Portfolio turnover rate .................................................. 158.71% 91.62% 179.88%
Average commission rate paid per share on purchases of equity securities.. $0.0311 $0.0289 --
</TABLE>
<TABLE>
<CAPTION>
Period from
January 20,
1997
to October
31,
--------------
ADVISER CLASS 1997
- --------------------------------------------------------------------------- ---------
<S> <C>
Net asset value, beginning of period ..................................... $ 11.01
---------
Income from investment operations:
Net investment income .................................................. 0.29
Net realized and change in unrealized gain (loss) on investments........ 0.79
---------
Total from investment operations ................................. 1.08
---------
Net asset value, end of period ........................................... $ 12.09
=========
Total return (does not reflect applicable sales charges).................. 9.81%
Net assets, end of period (000's) ........................................ $ 481
Ratio of total expenses to average net assets ............................ 2.21%(1)
Ratio of net investment income to average net assets...................... 2.39%(1)
Ratio of net expense before reimbursement and waiver to average net
assets.................................................................. 2.50%(1)
Ratio of net investment income before reimbursement and waiver to average
net assets ............................................................. 2.10%(1)
Portfolio turnover rate .................................................. 158.71%
Average commission rate paid per share on purchases of equity securities.. $ 0.0311
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
38
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders
Aetna Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of Aetna
Ascent Fund, Aetna Crossroads Fund and Aetna Legacy Fund, portfolios of Aetna
Series Fund, Inc. (collectively the Generation Funds), including the portfolios
of investments, as of October 31, 1997, and the related statements of operations
for the year then ended, statements of changes in net assets for each of the
years in the two-year period then ended and financial highlights for Select
Class shares for each of the years in the two-year period then ended and the
period from January 4, 1995 (commencement of operations) to October 31, 1995 and
financial highlights of Adviser Class shares for the period from January 20,
1997 (date of initial public offering) to October 31, 1997. These financial
statements and financial highlights are the responsibility of the Generation
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1997 by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Generation Funds as of October 31, 1997, results of their operations for the
year then ended, changes in their net assets for each of the years in the
two-year period then ended and financial highlights for the years and periods
specified in the first paragraph above in conformity with generally accepted
accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
December 12, 1997
39
<PAGE>
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<PAGE>
Aetna Ascent
Aetna Crossroads
Aetna Legacy
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the corporation. The report is not
authorized for distribution to prospective investors in the corporation unless
preceded or accompanied by an effective prospectus.
Mutual funds are available through local representatives of
Aetna Investment Services, Inc., 151 Farmington Avenue, Hartford, CT 06156
Printed on recycled paper
ANN.AETGEN-97 [Aetna logo]
