<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter..................................................... 1
GROWTH AND INCOME FUNDS:
Investment Review...................................................... 3
Portfolios of Investments:
Aetna Balanced Fund................................................... 12
Aetna Growth and Income Fund.......................................... 21
Aetna Real Estate Securities Fund..................................... 29
Statements of Assets and Liabilities................................... 30
Statements of Operations............................................... 32
Statements of Changes in Net Assets.................................... 33
Notes to Financial Statements.......................................... 39
Additional Information................................................. 45
Financial Highlights................................................... 46
</TABLE>
<PAGE>
PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in the Aetna Series Funds. We are pleased to provide you
with this Semi-Annual Report on the funds you have chosen to help pursue your
investment goals. Please note that the format has been changed from two reports
that combined all of our different investment categories to five individual
reports: Capital Appreciation, Growth & Income, Income, Index Plus and
Generations. These reports will provide detailed information on the performance
of your funds.
The financial market environment has changed dramatically since you received the
last Aetna Series Fund Annual Report. At October 31, 1998, there prevailed an
atmosphere of deep anxiety as the immediately preceding 12-month period had been
marked by high market volatility, default on Russian debts and the collapse of a
prominent U.S. hedge fund. Confidence in the global economic outlook was shaken,
which culminated in a sharp sell-off in U.S. and global stock markets.
Today, those fears seem misplaced. With the U.S. economy contributing its
remarkable combination of robust growth and negligible inflation, the global
economic and financial picture is on the mend. U.S. and foreign stock markets
have rebounded, risk premiums are shrinking and capital is once again flowing to
emerging markets. Within the U.S., small- and mid-cap stocks have begun to
participate more meaningfully in the ongoing bull market as improvement in
corporate earnings has broadened out to more cyclically sensitive businesses.
Credit spreads have diminished for lower-rated debt securities and the REIT
sector has shown signs of improvement. The S&P 500 Index and the Dow Jones
Industrial Average ("the Dow") both finished 1998 with double-digit returns the
fourth year in a row. The Dow, which has a more cyclical bias than the S&P 500
Index, managed to reach an unprecedented 10,000 by the end of March and closed
at 10,789 on April 30, 1999! Of course, there is no guaranty that the markets
will continue to reflect this trend.
I am pleased to report that at Aetna Series Fund, Inc. and Aeltus Investment
Management, Inc., we have continued to work to further improve our products and
services:
CLASS "B" SHARES WERE INTRODUCED on March 1. This new class of shares has a
back-end load contingent on redemption rather than a front-end load. It was
designed for the mid- to longer-term investor, making it particularly
attractive for investing in our enhanced index funds.
AETNA INDEX PLUS LARGE CAP FUND AND AETNA INDEX PLUS MID CAP FUND
outperformed their benchmarks for the one-year period ending April 30,
1999.
NEW SIMPLIFIED PROSPECTUSES were introduced on March 1. Plain English
wording and clear graphics make them truly "user-friendly." We recommend
that you keep them with your other Aetna Series Fund records.
COMPUTER SYSTEMS INITIATIVES, specifically year 2000 dating issues, have
remained a high priority. We have completed remediation and plan to
complete testing all of Aeltus' relevant computer systems by mid-1999. In
addition, on January 1, we successfully converted our operating systems to
accept the new Euro currency, the new standard monetary unit of the eleven
countries that comprise the European Monetary Union.
With more than $50 billion in assets under management, Aeltus Investment
Management, Inc., investment adviser to the Aetna Series Funds, continues to
rank among the largest of investment management firms. This kind of size and
market presence is important to you as an investor as it gives us the ability to
continue to bring you competitive product offerings as well as quality customer
service.
We appreciate the continued confidence you have placed in us and look forward to
an ongoing and mutually prosperous relationship.
Sincerely,
/s/ J. Scott Fox
J. Scott Fox
President
Aetna Series Fund, Inc.
1
<PAGE>
AETNA BALANCED FUND
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Lehman 60% S&P 500/50%
Balanced Brothers Lehman
Fund S&p 500 Aggregate Aggregate
(Class I) Index Bond Index Bond Index
<S> <C> <C> <C> <C>
Jan-92 10,000 10,000 10,000 10,0000
10,020 9,747 9,872 9,797
10,309 9,932 10,271 10,068
10,459 10,245 10,712 10,433
Dec-92 10,669 10,760 10,741 10,758
10,989 11,231 11,185 11,219
11,119 11,286 11,481 11,373
11,449 11,577 11,781 11,668
Dec-93 11,709 11,845 11,788 11,833
11,398 11,396 11,450 11,429
11,268 11,444 11,332 11,412
11,531 12,004 11,401 11,775
Dec-94 11,509 12,002 11,444 11,794
12,053 13,170 12,021 12,720
13,078 14,428 12,753 13,758
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Average Annual Total Returns
for the period ended April 30, 1999*
- ----------------------------------------
1 Year 5 Years Inception
- ----------------------------------------
<S> <C> <C> <C>
Class I 11.04% 16.60% 13.07%
- ----------------------------------------
Class A:
POP (1) 4.42% 14.48% 11.38%
NAV (2) 10.79% 15.85% 12.29%
- ----------------------------------------
Class B:
w/CDSC (3) 4.91% 15.21% 11.94%
NAV 9.91% 15.43% 11.94%
- ----------------------------------------
Class C:
w/CDSC (4) 8.85% 15.42% 11.93%
NAV 9.85% 15.42% 11.93%
- ----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (01/03/92), adjusted for fees and expenses charged to
the appropriate class. Class I, Class A, Class B and Class C shares participate
in the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA BALANCED FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Balanced Fund Class I shares generated a 13.20% total return, net of
fund expenses, for the six month period ended April 30, 1999. The benchmark, 60%
Standard & Poor's (S&P) 500 Index(a)/40% Lehman Brothers Aggregate Bond
Index(b), returned 13.29% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
Three interest rate cuts by the Federal Reserve from September through November
1998 have helped calm fears of deflation and global instability that were
rampant in late summer of 1998. The economic environment continues to be one of
strong domestic growth combined with tame inflation. In late February, signs of
a budding recovery in the Japanese economy as well as other parts of Asia,
triggered a boom in oil prices and a surge in cyclical stocks. Until this surge
in cyclical stocks, growth
See Definition of Terms. 3
<PAGE>
stocks such as technology and internet issues had led the equity markets higher.
Within the bond market, we have seen a reversal of much of the market movement
of the third quarter of last year, including rising U.S. Treasury yields and
declining risk premiums.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
The Fund's modest underperformance versus the benchmark over the past six months
has been due to an overweighting in small cap stocks. The negative impact of
this allocation was nearly offset by favorable large cap stock and bond issue
selection. Large cap performance benefited from an overweight position in large
growth issues while bond performance benefited from an overweighting in
corporate issues, particularly high yield securities.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Absent any action by the Federal Reserve to raise or lower interest rates, we
expect rates for U.S. Treasuries to have low volatility and a reasonably
favorable environment for stocks going forward. With strong domestic growth,
weak foreign growth, high productivity gains and low inflation, the Federal
Reserve is unlikely to change policy at this time. However, the risks are skewed
in favor of increasing interest rates over the intermediate term if the budding
Japanese recovery continues to take hold and the rise in oil prices spreads to
more general inflationary pressures. The Fund's asset allocation targets as of
April 30, 1999 were as follows: 45% large company stocks, 14% small company
stocks, 39% bonds and 2% cash.
LARGE CAP PORTFOLIO SECTOR BREAKDOWN:
<TABLE>
<CAPTION>
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR STOCKS 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 3.2% 3.5% (0.3)%
Commercial Services 3.5% 1.9% 1.6%
Consumer Discretionary 15.6% 12.1% 3.5%
Consumer Non-Discretionary 4.9% 7.9% (3.0)%
Energy 5.3% 6.9% (1.6)%
Finance 16.1% 16.4% (0.3)%
Healthcare 8.4% 11.2% (2.8)%
Manufacturing 11.2% 10.0% 1.2%
Technology 18.6% 19.5% (0.9)%
Utilities 13.2% 10.6% 2.6%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Microsoft Corp. 2.4%
Intel Corp. 1.3%
Wal-Mart Stores, Inc. 1.2%
General Electric Co. 1.2%
Cisco Systems, Inc. 1.1%
AT&T Corp. 1.0%
Lucent Technologies, Inc. 0.9%
Citigroup Inc. 0.8%
America Online, Inc. 0.8%
MCI Worldcom, Inc. 0.7%
</TABLE>
4 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE INCOME HOLDINGS ASSETS
<S> <C>
Government National Mortgage Association, 8.00%, 12/15/23 2.5%
Federal National Mortgage Association, 6.50%, 11/01/28 1.7%
Government National Mortgage Association, 7.50%, 12/15/23 1.6%
Government National Mortgage Association, 7.00%, 12/15/28 1.5%
Federal Home Loan Mortgage Association, 6.00%, 01/01/29 1.4%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
See Definition of Terms. 5
<PAGE>
AETNA GROWTH AND INCOME FUND
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Growth
and Income
Fund S&P 500
(Class I) Index
<S> <C> <C>
Jan-92 10,000 10,000
9,940 9,747
9,940 9,932
10,299 10,245
10,779 10,760
11,060 11,231
10,929 11,286
11,199 11,577
11,489 11,845
11,149 11,396
11,093 11,444
11,413 12,004
11,449 12,002
12,127 13,170
13,225 14,428
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
for the period ended April 30, 1999*
- ----------------------------------------
1 Year 5 Years Inception
- ----------------------------------------
<S> <C> <C> <C>
Class I 7.52% 22.18% 16.51%
- ----------------------------------------
Class A:
POP (1) 1.12% 20.07% 14.84%
NAV (2) 7.29% 21.51% 15.78%
- ----------------------------------------
Class B:
w/CDSC (3) 1.47% 20.78% 15.35%
NAV 6.47% 20.97% 15.35%
- ----------------------------------------
Class C:
w/CDSC (4) 5.55% 20.97% 15.35%
NAV 6.50% 20.97% 15.35%
- ----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (01/03/92), adjusted for fees and expenses charged to
the appropriate class. Class I, Class A, Class B and Class C shares participate
in the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA GROWTH AND INCOME FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Growth and Income Fund Class I shares generated a 19.44% total return,
net of fund expenses, for the six month period ended April 30, 1999. The
benchmark, Standard & Poor's (S&P) 500 Index(a), returned 22.32% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The six month period ended April 30, 1999 was unusual in several respects.
First, returns were unusually high for stocks, although some of the strengths
can be explained as a recovery from the Asian crisis of late summer 1998.
Second, this rise in the equity market took place in the face of a declining
bond market, as interest rates rose in reaction to signals of increased economic
growth in the U.S. and abroad and renewed inflationary concerns. Third, the best
stocks returns were concentrated in a remarkably few large cap growth stocks,
particularly internet-related and other technology stocks.
6 See Definition of Terms.
<PAGE>
Despite the strong U.S. economy, credit spreads (the yield difference between
A-rated corporate and U.S. Treasury bonds) remained unusually wide during the
past six months, generally signaling investor nervousness. Our research shows
that investors tend to choose larger "safe haven" stocks over smaller "riskier"
stocks in this type of an environment. Certainly this research appears to be
borne out by the performance of the S&P 500 Index during this period. The S&P
500 Index again led all other major asset classes in performance for the past
six months. Because Aetna Growth and Income Fund invests in other asset classes
to better diversify and reduce risk in the Fund, even its double-digit
performance trailed behind the S&P 500's.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
Two of our major strategic investment themes held back our performance during
the period compared to the S&P 500 Index: diversification and value. The S&P
500's astonishing 22.32% performance far outpaced the other major asset classes
in which the Fund invests, including mid and small cap stocks, international
stocks, real estate stocks and cash.
<TABLE>
<CAPTION>
Asset Class Benchmark Index Index Return
<S> <C> <C>
Large Company Stocks S&P 500 (a) 22.32%
Mid Company Stocks S&P Midcap 400 (c) 18.86%
Small Company Stocks Russell 2000 (d) 15.16%
International Stocks MSCI EAFE (e) 15.44%
Real Estate Stocks NAREIT (f) 2.01%
Domestic Bonds Salomon Broad (g) 0.73%
Cash Equivalents U.S. 90 Day T-Bill (h) 2.21%
</TABLE>
We use relative value to help us make investment decisions at all levels: asset
allocation, industry rotation and stock selection. Essentially, we look for
situations where relative values have strayed from the historical norm and
position the Fund to benefit when conditions move back towards the norm.
Unfortunately, for the most part, the assets which were undervalued at the
beginning of the period by our measures became more undervalued.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Small cap stocks and other diversifying equity asset classes remain inexpensive
relative to the favored large cap growth stocks which have skyrocketed to
astronomical prices. We will be watching for a narrowing of credit spreads and
other indications that conditions are more favorable for resuming a more
diversified asset class structure.
We believe diversification and value investing are appropriate investment
strategies for the long-term. We expect the current divergence of performance
between large cap U.S. stocks and other equity classes and between growth stocks
and value stocks will reverse. It appears that this reversal may have begun.
Asset class returns for the month of April show that the S&P 500 Index trailed
all other major equity asset classes. In addition, April also marked the
beginning of what seems to be a rotation out of growth stocks and into value
stocks. In the near-term, we expect an increased level of volatility as a result
of this reversal, but we remain confident that the Fund is well positioned to
benefit from these trends.
<TABLE>
<CAPTION>
Asset Allocation:
% of Fund Notional Value* Economic Exposure*
Asset Class 04/30/99 of Futures of Options 04/30/99 10/31/98
<S> <C> <C> <C> <C> <C>
Large Cap Stocks 75% 8% -- 83% 71%
Mid Cap Stocks 2% -- -- 2% 3%
Small Cap Stocks 6% -- (6)% -- 1%
International Stocks 5% -- -- 5% 4%
Real Estate Stocks 4% -- -- 4% 8%
Convertible Securities 1% -- -- 1% 1%
Special Situations** 3% -- -- 3% 3%
Cash Equivalents 4% (8)% 6% 2% 9%
--------------------------------------------------------------------------------------------
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 the value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
** The special situations category was created to take advantage of investment
opportunities which are "special" in the sense that they do not fit well into
our normal valuation and modeling framework. The largest category within this
group is initial public offerings, but other categories include spin-offs, newly
created securities, and stocks of companies which derive their value from
something other than current assets, earnings and dividends.
See Definition of Terms. 7
<PAGE>
Large Cap Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 2.6% 3.5% (0.9)%
Commercial Services 2.5% 1.9% 0.6%
Consumer Discretionary 22.4% 12.1% 10.3%
Consumer Non-Discretionary 2.5% 7.9% (5.4)%
Energy 4.6% 6.9% (2.3)%
Finance 17.5% 16.4% 1.1%
Healthcare 11.0% 11.2% (0.2)%
Manufacturing 9.2% 10.0% (0.8)%
Technology 18.4% 19.5% (1.1)%
Utilities 9.3% 10.6% (1.3)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 2.7%
Microsoft Corp. 2.4%
Tyco International Ltd. 2.0%
Procter & Gamble Co. 1.9%
Hewlett Packard Co. 1.9%
Providian Financial Corp. 1.8%
General Motors Corp. 1.7%
Chase Manhattan Corp. 1.6%
Sprint Corp. 1.6%
Apple Computer, Inc. 1.6%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
8 See Definition of Terms.
<PAGE>
AETNA REAL ESTATE SECURITIES FUND
Growth of $10,000
<TABLE>
<CAPTION>
Aetna
Real Estate NAREIT
Securities Equity
Fund REIT
(Class I) Index
<S> <C> <C>
Feb-98 10,000 10,000
9,660 9,680
9,030 8,927
8,320 8,384
8,270 8,703
8,840 8,890
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
for the period ended April 30, 1999*
- ----------------------------------------
1 Year Inception
- ----------------------------------------
<S> <C> <C>
Class I -8.48% -9.47%
- ----------------------------------------
Class A:
POP (1) -13.89% -13.89%
NAV (2) -8.64% -9.67%
- ----------------------------------------
Class B:
w/CDSC (3) -13.80% -13.18%
NAV -9.26% -10.27%
- ----------------------------------------
Class C:
w/CDSC (4) -10.24% -11.05%
NAV -9.36% -10.35%
- ----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For the period prior to the inception of Class B and Class C, the
performance is calculated by using the performance of Class I since its
inception date (02/02/98), adjusted for fees and expenses. Class I, Class A,
Class B and Class C shares participate in the same portfolio of securities. Past
performance is no guarantee of future results. Investment return and principal
of an investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost.
AETNA REAL ESTATE SECURITIES FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Real Estate Securities Fund Class I shares generated a 6.25% total
return, net of fund expenses, for the six month period ended April 30, 1999. The
benchmark, NAREIT Equity REIT Index(f), returned 2.01% for the same period.
WHAT ECONOMIC AND FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
After disappointing returns in 1998, real estate securities seem to be
participating in the sector rotation occurring in the broader market from large
growth towards value-oriented and smaller stocks. During the month of April
1999, REITs gained 9.7%, producing a positive total return year-to-date and
outperforming the S&P 500 Index and the Russell 2000 Index by 5.8% and 0.7%,
respectively. We believe reports of value investors, including Warren Buffett,
entering the group contributed to renewed interest in REITs. Also, during
several recent sell-offs in the broad market, REITs provided good downside
protection.
See Definition of Terms. 9
<PAGE>
Real estate capital markets remained lukewarm during the period with commercial
mortgage-backed security and high-grade REIT debt markets recovering, while
public equity markets remained largely closed to REITs. After the end of the
period, however, the market successfully supported the first large scale REIT
add-on equity offering this year. Although the floodgates of equity issuance are
not likely to open, a psychological barrier appears to have been overcome.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
The Fund's largest overweight remained the multifamily sector, which had a
positive impact on performance this period. An overweight in Camden Property
Trust boosted returns in the last two months of the period. Although the Fund's
exposure to healthcare REITs was reduced during the period; an overweight
position to healthcare produced a drag on performance as nursing home operators
began to digest the impact of a new government reimbursement policy.
The Fund's underweighting of the hotel sector, which was a significant
contributor to 1998's outperformance, hurt relative returns in the period.
However, favorable stock selection within the hotel sector (including an
overweight in Starwood Hotels & Resort Worldwide, Inc. and an underweight of
Patriot American Hospitality, Inc.) partially offset the negative industry
impact.
WHAT IS YOUR OUTLOOK GOING FORWARD?
From an industry standpoint, we believe the apartment sector appears positioned
to perform well in this environment. With household formation growth expected to
continue and supply under control in most markets, we feel comfortable with
exposure to this sector. On the other hand, the health care sector could face a
protracted period of uncertainty and negative psychology as the financial impact
of changes in the nursing home industry trickles down to healthcare REITs.
We continue to believe real estate securities should provide attractive total
returns from current levels due to evidence of equilibrium conditions in
property markets and the continuance of attractive absolute and relative REIT
valuations. We believe the group will continue to be bolstered by consistent
earnings performance, the perception of healthy real estate market conditions,
the existence of issuers whose stock is valued below their break-up value and
companies demonstrating their ability to digest recent growth. Following strong
first quarter 1999 earnings and several private buyouts and mergers, we believe
the recent strength in the REIT group is sustainable.
The Fund invests in real estate investment securities that involve certain risks
including management skills, changes in general or regional economy, changes in
property value and refinancing.
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Equity Office Properties Trust 5.4%
Equity Residential Properties Trust 5.0%
Camden Property Trust 4.4%
Vornado Realty Trust 4.4%
Starwood Hotels & Resort Worldwide, Inc. 4.3%
Brandywine Realty Trust 4.2%
PS Business Parks, Inc. 4.2%
Post Properties, Inc. 4.0%
Apartment Investment & Management Co. 4.0%
CBL & Associates Properties, Inc. 3.7%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
10 See Definition of Terms.
<PAGE>
DEFINITION OF TERMS
(1) On February 2, 1998, the Funds redesignated Adviser Class shares as Class A
shares. For periods prior to that date, Class A performance is calculated
by using the performance of Class I shares and deducting the Class A
front-end load and internal fees and expenses applicable to the Class A
shares. The maximum load for the Funds is 5.75%. The POP (public offering
price) returns reflect this maximum load.
(2) NAV (net asset value) returns are net of Fund expenses only and do not
reflect the deduction of a front-end load or contingent deferred sales
charges. This charge, if reflected, would reduce the performance results
shown.
(3) The Funds began offering Class B shares on March 1, 1999. For periods prior
to that date, Class B performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class B shares. Class B share returns with CDSC (contingent deferred
sales charge) reflect the deduction of a maximum CDSC, assuming full
redemption at the end of the period. The CDSC applies for all shares
redeemed prior to the end of the first six years of ownership. The CDSC
charges are as follows: Year 1 - 5%, Year 2 - 4%, Year 3 - 3%, Year 4 - 3%,
Year 5 - 2%, Year 6 - 1%.
(4) The Funds began offering Class C shares on June 30, 1998. For periods prior
to that date, Class C performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class C shares. Class C share returns for periods less than 18 months
reflect the deduction of the contingent deferred sales charge of 1%.
(a) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond
Index, Mortgage-Backed Securities Index and the Asset-Backed Securities
Index.
(c) The Standard & Poor's Midcap 400 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $3.6 billion. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
(d) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(e) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) is a 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. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
(f) The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(g) Salomon Smith Barney Broad Investment-Grade Bond (Salomon Broad) 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.
(h) Three-month Treasury bills are backed by full faith and credit of the U.S.
Government, short-term investments are equivalent to cash because their
maturity is only three months.
These are unmanaged indices and are not available for individual investment.
11
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
BALANCED
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMON STOCKS ( 56.7% )
AIR TRANSPORT ( 0.6% )
Airborne Freight Corp. .............. 1,000 $ 32,000
America West Holdings Corp. + ....... 16,500 344,437
AMR Corp. + ......................... 1,000 69,812
Delta Air Lines, Inc. ............... 1,000 63,438
FDX Corp. Holding Co. + ............. 800 90,050
Midwest Express Holdings, Inc. + .... 2,500 78,125
Southwest Airlines Co. .............. 2,250 73,266
US Airways Group, Inc. + ............ 900 48,994
------------
800,122
------------
ALUMINUM ( 0.1% )
Alcan Aluminum Ltd. ................. 900 28,575
Alcoa Inc. .......................... 2,000 124,500
Reynolds Metals Co. ................. 500 31,188
------------
184,263
------------
AUTO PARTS AND HARDWARE ( 0.2% )
Black & Decker Corp. ................ 700 39,725
CLARCOR, Inc. ....................... 1,700 31,875
Genuine Parts Co. ................... 1,300 39,000
Goodyear Tire & Rubber Co. (The) .... 900 51,469
Snap-On, Inc. ....................... 300 9,769
Standard Motor Products, Inc. ....... 2,200 51,150
Wynn's International, Inc. .......... 3,150 52,762
------------
275,750
------------
AUTOMOTIVE ( 1.0% )
Dana Corp. .......................... 700 32,988
Eaton Corp. ......................... 400 36,675
Ford Motor Co. ...................... 9,700 620,194
General Motors Corp. ................ 5,500 489,156
Johnson Controls, Inc. .............. 600 43,762
Monaco Coach Corp. + ................ 2,600 72,150
TRW, Inc. ........................... 900 37,744
------------
1,332,669
------------
BANKS AND THRIFTS ( 3.6% )
Bank of America Corp. ............... 8,215 591,480
Bank of New York Co., Inc. .......... 4,400 176,000
Bank One Corp. ...................... 5,466 322,494
BankBoston Corp. .................... 1,600 78,400
BB&T Corp. .......................... 1,800 71,888
Chase Manhattan Corp. ............... 6,800 562,700
Chemical Financial Corp. ............ 250 8,250
Citizens Banking Corp. .............. 4,700 153,044
Comerica, Inc. ...................... 850 55,303
Fifth Third Bancorp ................. 1,800 129,037
First Republic Bank + ............... 1,500 38,625
First Union Corp. ................... 4,606 255,057
Firstar Corp. ....................... 3,600 108,225
FirstFed Financial Corp. + .......... 3,800 65,788
Fleet Financial Group, Inc. ........ 3,100 133,494
Flushing Financial Corp. ............ 3,950 59,250
NUMBER OF MARKET
SHARES VALUE
------------ ------------
BANKS AND THRIFTS (CONTINUED)
Golden State Bancorp, Inc. .......... 3,800 $ 93,338
Golden West Financial Corp. ......... 500 50,063
Harbor Florida Bancshares, Inc. ..... 16,300 191,525
Huntington Bancshares Inc. .......... 1,230 43,588
J.P. Morgan & Co. ................... 1,100 148,225
KeyCorp ............................. 2,500 77,344
Mellon Bank Corp. ................... 1,300 96,606
Mercantile Bancorporation, Inc. ..... 900 51,300
National City Corp. ................. 1,600 114,800
Northern Trust Corp. ................ 800 74,500
PNC Bank Corp. ...................... 1,800 104,175
Republic New York Corp. ............. 400 23,500
Republic Security Financial Corp. ... 5,800 50,388
State Street Corp. .................. 800 70,000
Summit Bancorp. ..................... 1,000 42,375
Suntrust Banks, Inc. ................ 1,600 114,400
U.S. Bancorp ........................ 3,300 122,306
Wachovia Corp. ...................... 1,100 96,662
Washington Mutual, Inc. ............. 3,298 135,630
Wells Fargo & Co. ................... 7,800 336,862
------------
4,846,622
------------
BIOTECH AND MEDICAL PRODUCTS ( 0.8% )
Alza Corp. + ........................ 400 13,425
Amgen, Inc. + ....................... 4,100 251,894
Becton, Dickinson & Co. ............. 1,800 66,938
Bio-Technology General Corp. + ...... 16,600 117,756
Boston Scientific Corp. + ........... 2,200 93,637
Guidant Corp. ....................... 2,200 118,112
ICU Medical, Inc. + ................. 1,200 20,400
Maxxim Medical, Inc. + .............. 1,600 25,500
Medtronic, Inc. ..................... 3,200 230,200
Ocular Sciences, Inc. + ............. 200 6,100
Osteotech, Inc. + ................... 150 5,419
ResMed Inc. + ....................... 1,600 42,300
VISX, Inc. + ........................ 1,000 128,750
Xomed Surgical Products, Inc. + ..... 50 2,081
------------
1,122,512
------------
CHEMICALS ( 0.5% )
Dow Chemical Co. .................... 1,300 170,544
Du Pont (E.I.) de Nemours ........... 5,300 374,312
Eastman Chemical Co. ................ 500 27,844
Rohm & Haas Co. ..................... 800 35,850
Union Carbide Corp. ................. 500 25,937
------------
634,487
-------------
COMMERCIAL SERVICES ( 0.5% )
ADVO, Inc. + ........................ 3,200 63,200
Bell & Howell Co. + ................. 1,300 43,469
Consolidated Graphics, Inc. + ....... 900 38,363
GP Strategies Corp. + ............... 6,800 104,550
Interpublic Group of Co., Inc. (The) 900 69,806
Lason, Inc. + ....................... 1,200 47,475
</TABLE>
12 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
COMMERCIAL SERVICES (CONTINUED)
Mail-Well, Inc. + ................... 5,200 $ 67,925
Maximus, Inc. + ..................... 1,300 33,800
Omnicom Group, Inc. ................. 800 58,000
Paychex, Inc. ....................... 1,100 56,169
RCM Technologies, Inc. + ............ 3,300 42,900
RR Donnelley & Sons Co. ............. 1,000 35,375
World Color Press, Inc. + ........... 1,800 46,012
------------
707,044
------------
COMPUTERS ( 1.7% )
Compaq Computer Corp. ............... 9,312 207,774
Dell Computer Corp. + ............... 12,200 502,487
Gateway 2000, Inc. + ................ 900 59,569
Hewlett Packard Co. ................. 5,300 418,038
International Business Machines Corp. 4,400 920,425
Sun Microsystems, Inc. + ............ 3,600 215,325
Unisys Corp. + ...................... 1,200 37,725
------------
2,361,343
------------
CONGLOMERATE AND AEROSPACE ( 2.1% )
Alliant Techsystems Inc. + .......... 1,100 90,062
Aviall, Inc. + ...................... 3,500 55,781
Boeing Co. .......................... 5,400 219,375
General Dynamics Corp. .............. 1,000 70,250
General Electric Co. ................ 15,500 1,635,250
Goodrich (B. F.) Co. ................ 200 7,950
Kroll O' Gara Co. (The) + ........... 2,100 50,269
Lockheed Martin Corp. ............... 1,400 60,287
Moog, Inc. + ........................ 500 15,563
National Service Industries, Inc. ... 200 7,788
Raytheon Co. ........................ 2,300 161,575
Tenneco, Inc. ....................... 900 24,300
Textron, Inc. ....................... 1,200 110,550
Triumph Group, Inc. + ............... 1,900 51,538
United Technologies Corp. ........... 1,900 275,262
------------
2,835,800
------------
CONSUMER FINANCE ( 1.5% )
Associates First Capital Corp. ...... 3,704 164,134
Avis Rent A Car, Inc. + ............. 2,800 87,850
Capital One Financial Corp. ......... 700 121,581
Countrywide Credit Industries, Inc. . 800 36,250
Doral Financial Corp. ............... 4,100 72,263
Federal Home Loan Mortgage Corp. .... 5,800 363,950
Federal National Mortgage Association 6,700 475,281
Household International, Inc. ....... 2,100 105,656
MBNA Corp. .......................... 5,250 147,985
Rent-A-Center, Inc. ................. 2,000 62,000
Rental Service Corp. + .............. 12,500 282,031
Rollins Truck Leasing Corp. ......... 6,550 67,956
------------
1,986,937
------------
CONSUMER PRODUCTS ( 0.9% )
Avon Products, Inc. ................. 1,800 97,763
NUMBER OF MARKET
SHARES VALUE
------------ ------------
CONSUMER PRODUCTS (CONTINUED)
Clorox Co. .......................... 800 $ 92,300
Colgate-Palmolive Co. ............... 1,000 102,437
Gillette Co. ........................ 3,400 177,437
International Flavors & Fragrances,
Inc................................. 600 23,700
Kimberly-Clark Corp. ................ 2,300 141,019
Procter & Gamble Co. ................ 6,300 591,019
------------
1,225,675
------------
CONSUMER SERVICES ( 1.2% )
Activision, Inc. + .................. 5,400 56,362
Bob Evans Farms, Inc. ............... 1,400 25,638
Brinker International, Inc. + ....... 2,100 58,012
Buffets, Inc. + ..................... 5,100 51,000
Carnival Corp. ...................... 4,900 202,125
CEC Entertainment, Inc. + ........... 2,700 101,250
Cendant Corp. + ..................... 2,400 43,200
Education Management Corp. + ........ 3,800 75,762
Foodmaker, Inc. + ................... 3,100 74,787
H & R Block, Inc. ................... 500 24,063
Marriott International, Inc. ........ 900 37,688
McDonald's Corp. .................... 6,800 288,150
O'Charleys, Inc. + .................. 4,450 62,022
Prime Hospitality Corp. + ........... 25,100 305,906
Ruby Tuesday, Inc. .................. 4,100 74,825
Tricon Global Restaurants, Inc. + ... 580 37,338
Veterinary Centers of America, Inc. + 3,900 51,188
------------
1,569,316
------------
CONSUMER SPECIALTIES ( 0.2% )
Brunswick Corp. ..................... 600 14,400
Hasbro, Inc. ........................ 1,350 46,069
Jostens, Inc. ....................... 300 6,431
Russ Berrie & Co., Inc. ............. 4,700 127,781
Steinway Musical Instruments, Inc. + 2,100 49,481
------------
244,162
------------
DATA AND IMAGING SERVICES ( 6.1% )
3Com Corp. + ........................ 3,000 78,375
Advanced Digital Information Corp. .. 2,700 58,388
America Online, Inc. ................ 7,400 1,056,350
American Management Systems, Inc. + . 1,800 61,875
Autodesk, Inc. ...................... 200 5,950
Automatic Data Processing, Inc. ..... 2,800 124,600
Avant! Corp. + ...................... 8,100 109,350
BMC Software, Inc. + ................ 1,800 77,513
Cisco Systems, Inc. + ............... 12,750 1,454,297
Computer Associates International,
Inc................................. 3,050 130,197
Computer Sciences Corp. + ........... 600 35,738
Computer Task Group, Inc. ........... 2,200 40,975
Compuware Corp. + ................... 3,200 78,000
Eastman Kodak Co. ................... 1,700 126,862
Electronic Data Systems Corp. ....... 2,700 145,125
EMC Corp. + ......................... 4,200 457,537
Emulex Corp. + ...................... 1,200 52,950
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
DATA AND IMAGING SERVICES (CONTINUED)
<S> <C> <C>
Extreme Networks, Inc. + ............ 300 $ 16,631
First Data Corp. .................... 1,600 67,900
Fundtech Ltd. + ..................... 2,400 82,650
Henry (Jack) & Associates, Inc. ..... 600 19,800
Intergraph Corp. + .................. 25,400 169,862
InterVoice, Inc. + .................. 2,200 21,931
Microsoft Corp. + ................... 40,000 3,252,500
New Era of Networks, Inc. ........... 400 15,025
Novell, Inc. + ...................... 3,100 68,975
Oracle Corp. + ...................... 7,900 213,794
Peregrine Systems, Inc. + ........... 2,000 45,000
Pinnacle Systems, Inc. + ............ 1,800 97,875
Seagate Technology, Inc. + .......... 2,000 55,750
Software AG Systems, Inc. + ......... 4,200 34,650
Xircom, Inc. + ...................... 1,000 22,500
------------
8,278,925
------------
DISCRETIONARY RETAIL ( 3.7% )
AutoZone, Inc. + .................... 1,000 30,000
Central Garden & Pet Co. + .......... 4,800 67,200
Circuit City Stores, Inc. ........... 1,000 61,500
Costco Companies, Inc. + ............ 1,100 89,031
CSK Auto Corp. + .................... 2,000 50,000
Dayton Hudson Co. ................... 3,200 215,400
Dillards, Inc. ...................... 600 16,613
Dress Barn, Inc. + .................. 10,600 155,025
Federated Department Stores, Inc. + . 1,400 65,363
Fred Meyer, Inc. + .................. 1,000 54,125
Gap, Inc. ........................... 5,075 337,805
Genesco Inc. + ...................... 17,900 194,662
Home Depot, Inc. .................... 11,800 707,262
Insight Enterprises, Inc. + ......... 2,325 62,775
Kmart Corp. + ....................... 3,600 53,550
Kohl's Corp. + ...................... 800 53,150
Linens 'n Things, Inc. + ............ 2,400 109,800
Lowe's Co., Inc. .................... 2,900 152,975
May Department Stores Co. ........... 2,250 89,578
Musicland Stores Corp. + ............ 100 1,088
Nordstrom, Inc. ..................... 1,200 42,225
RARE Hospitality International, Inc. 2,600 46,800
Regis Corp. ......................... 3,450 88,406
Sears, Roebuck & Co. ................ 2,200 101,200
Staples, Inc. + ..................... 2,400 72,000
Tandy Corp. ......................... 800 57,950
The Limited, Inc. ................... 1,800 78,750
TJX Companies, Inc. ................. 2,500 83,281
Transport World Entertainment Corp. + 3,500 53,594
Tweeter Home Entertainment Group + .. 2,800 82,950
Wal-Mart Stores, Inc. ............... 36,000 1,656,000
Zale Corp. + ........................ 2,300 86,969
------------
5,017,027
------------
NUMBER OF MARKET
SHARES VALUE
------------ ------------
DIVERSIFIED FINANCIAL SERVICES ( 1.2% )
American Express Co. ................ 2,500 $ 326,719
Citigroup Inc. ...................... 14,483 1,089,846
Providian Financial Corp. ........... 1,050 135,516
Resource America, Inc. .............. 5,100 63,112
Transamerica Corp. .................. 1,000 71,250
------------
1,686,443
------------
DRUGS ( 3.6% )
Abbott Laboratories ................. 7,700 372,969
Allergan, Inc. ...................... 700 62,913
American Home Products Corp. ........ 4,000 244,000
Baxter International, Inc. .......... 1,100 69,300
Bristol-Myers Squibb Co. ............ 9,400 597,487
Eli Lilly & Co. ..................... 5,500 404,937
Johnson & Johnson ................... 6,400 624,000
Jones Medical Industries, Inc. ...... 1,800 57,825
King Pharmaceuticals, Inc. + ........ 4,800 132,600
Medicis Pharmaceutical Corp. + ...... 1,400 34,038
Merck & Co., Inc. ................... 10,900 765,725
Pfizer, Inc. ........................ 6,100 701,881
Pharmacia & Upjohn, Inc. ............ 3,700 207,200
Roberts Pharmaceutical Corp. + ...... 1,900 32,300
Schering Plough ..................... 7,000 338,187
Warner Lambert Co. .................. 4,100 278,544
------------
4,923,906
------------
ELECTRIC UTILITIES ( 1.5% )
Ameren Corp. ........................ 700 27,081
American Electric Power Co. ......... 1,400 58,012
Baltimore Gas & Electric Co. ........ 1,100 30,938
Black Hills Corp. ................... 2,400 54,300
Calpine Corp. + ..................... 4,700 200,337
Carolina Power & Light Co. .......... 1,100 44,344
Central & South West Corp. .......... 1,500 37,219
Central Hudson Gas & Electric Co. ... 2,000 74,250
Cinergy Corp. ....................... 1,200 35,775
Cleco Corp. ......................... 2,000 61,750
Consolidated Edison, Inc. ........... 1,800 81,787
Dominion Resources, Inc. ............ 1,400 57,575
DTE Energy Co. ...................... 800 32,650
Duke Energy Corp. ................... 1,800 100,800
Edison International ................ 2,900 71,050
Empire District Electric Co. ........ 1,800 39,488
Entergy Corp. ....................... 1,700 53,125
FirstEnergy Corp. ................... 1,500 44,531
FPL Group, Inc. ..................... 1,400 78,925
GPU, Inc. ........................... 900 34,313
Independent Energy Holdings + ....... 6,000 64,125
Northern States Power Co. ........... 1,000 24,125
Peco Energy Co. ..................... 1,100 52,181
PG&E Corp. .......................... 2,800 86,975
PP & L Resources, Inc. .............. 1,200 33,525
Public Service Enterprise Group, Inc. 1,600 64,000
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
ELECTRIC UTILITIES (CONTINUED)
<S> <C> <C>
Reliant Energy Inc. ................. 1,800 $ 50,963
Southern Co. ........................ 4,200 113,662
Texas Utilities Co. ................. 1,200 47,700
Unicom Corp. ........................ 1,600 62,100
UniSource Energy Corp. + ............ 15,200 164,350
------------
1,981,956
------------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.3% )
Harris Corp. ........................ 500 17,281
Mettler-Toledo International, Inc. + 2,800 73,150
Pitney Bowes, Inc. .................. 1,300 90,919
Virco Manufacturing Corp. ........... 2,920 54,750
Xerox Corp. ......................... 3,400 199,750
------------
435,850
------------
ELECTRONIC MEDIA ( 1.6% )
Ascent Entertainment Group, Inc. + .. 18,100 192,312
CBS Corp. + ......................... 3,900 177,694
Citadel Communications Corp. + ...... 2,900 81,200
Clear Channel Communications, Inc. + 1,400 97,300
Comcast Corp. ....................... 1,700 111,669
International Speedway Corp. ........ 1,900 97,850
Kushner-Locke Co. (The) + ........... 2,600 30,062
Mediaone Group, Inc. + .............. 1,900 154,969
Metro Networks, Inc. + .............. 1,400 63,000
SBS Broadcasting SA + ............... 5,800 182,700
TCI Music, Inc. + ................... 1,900 86,925
Time Warner, Inc. ................... 6,000 420,000
Viacom, Inc. + ...................... 3,400 138,975
Walt Disney Co. (The) ............... 9,600 304,800
------------
2,139,456
------------
FOOD AND BEVERAGE ( 1.9% )
Anheuser-Busch Co., Inc. ............ 4,000 292,500
Archer-Daniels-Midland Co. .......... 1,785 26,775
Beringer Wine Estates Holdings, Inc.
+................................... 1,400 55,125
Bestfoods ........................... 2,000 100,375
Brown-Forman Corp. + ................ 500 36,844
Campbell Soup Co. ................... 1,900 77,900
Canandiagua Brands, Inc. + .......... 1,300 66,950
Coca-Cola Co. ....................... 7,000 476,000
Coca-Cola Enterprises, Inc. ......... 1,900 65,550
Conagra, Inc. ....................... 2,000 49,750
Coors (Adolph) Co. .................. 300 16,050
Earthgrains Co. (The) ............... 1,700 36,019
Fortune Brands, Inc. ................ 600 23,700
General Mills, Inc. ................. 1,200 87,750
Heinz (H.J.) Co. .................... 2,200 102,712
Kellogg Co. ......................... 2,200 81,400
Michael Foods, Inc. ................. 1,000 22,875
PepsiCo, Inc. ....................... 6,900 254,869
Pioneer Hi-Bred International, Inc. . 1,500 56,062
Quaker Oats Co. ..................... 1,000 64,562
Ralston-Ralston Purina Group ........ 900 27,450
NUMBER OF MARKET
SHARES VALUE
------------ ------------
FOOD AND BEVERAGE (CONTINUED)
Robert Mondavi Corp. + .............. 1,300 $ 47,125
Sara Lee Corp. ...................... 5,200 115,700
Twinlab Corp. + ..................... 8,500 72,250
Unilever NV ......................... 3,200 207,800
Wrigley (Wm.) Jr. Co. ............... 600 53,213
------------
2,517,306
------------
FOOD AND DRUG RETAIL ( 0.7% )
Albertson's, Inc. ................... 1,800 92,700
American Stores Co. ................. 1,900 59,969
Casey's General Stores, Inc. ........ 6,300 83,475
CVS Corp. ........................... 2,500 119,062
Duane Reade, Inc. + ................. 1,500 40,219
Great Atlantic & Pacific Tea Co.,
Inc................................. 200 6,150
Kroger Co. (The) + .................. 1,800 97,762
Rite Aid Corp. ...................... 1,800 41,963
Safeway, Inc. + ..................... 3,300 177,994
SUPERVALU, Inc. ..................... 1,400 29,225
Sysco Corp. ......................... 1,800 53,437
Walgreen Co. ........................ 5,800 155,875
Winn-Dixie Stores, Inc. ............. 800 28,650
------------
986,481
------------
FOREST PRODUCTS AND BUILDING MATERIALS ( 0.8% )
Armstrong World Industries, Inc. .... 300 16,425
Centex Construction Products, Inc. .. 1,800 63,675
Crown Cork & Seal Co., Inc. ......... 500 16,250
Elcor Corp. ......................... 7,000 270,375
Fort James Corp. .................... 1,300 49,400
Georgia-Pacific Corp. ............... 700 64,750
Masco Corp. ......................... 2,200 64,625
Owens-Illinois, Inc. + .............. 900 26,100
Potlatch Corp. ...................... 2,800 116,025
Sealed Air Corp. + .................. 268 16,298
Shorewood Packaging Corp. + ......... 1,600 31,600
Simpson Manufacturing Co., Inc. + ... 1,600 74,000
Texas Industries, Inc. .............. 4,700 145,112
Watsco, Inc. ........................ 2,100 41,213
Westvaco Corp. ...................... 400 11,950
Weyerhaeuser Co. .................... 1,000 67,125
------------
1,074,923
------------
GAS UTILITIES ( 0.3% )
Coastal Corp. (The) ................. 1,600 61,200
Columbia Energy Group ............... 600 28,838
Consolidated Natural Gas Co. ........ 500 29,750
Enron Corp. ......................... 1,300 97,825
Piedmont Natural Gas, Inc. .......... 2,100 66,937
Southwest Gas Corp. ................. 3,400 97,112
Williams Co., Inc. (The) ............ 2,000 94,500
------------
476,162
------------
HEALTH SERVICES ( 0.4% )
Apria Healthcare Group Inc. ......... 8,600 134,375
Bindley Western Industries, Inc. .... 2,100 64,837
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
HEALTH SERVICES (CONTINUED)
<S> <C> <C>
Cardinal Health, Inc. ............... 1,500 $ 89,719
Humana, Inc. + ...................... 600 8,175
IMS Health, Inc. .................... 2,400 72,000
Kendle International, Inc. + ........ 800 14,750
McKesson HBOC, Inc. ................. 1,406 49,210
Priority Healthcare Corp. + ......... 940 47,646
United Healthcare Corp. ............. 700 39,288
------------
520,000
------------
HEAVY MACHINERY ( 0.3% )
Astec Industries, Inc. + ............ 100 3,875
Caterpillar, Inc. ................... 2,000 128,750
Cummins Engine Co., Inc. ............ 200 10,700
Manitowoc Co., Inc. (The) ........... 3,750 142,969
Navistar International Corp. + ...... 800 41,850
PACCAR, Inc. ........................ 700 39,200
------------
367,344
------------
HOUSING AND FURNISHINGS ( 0.5% )
Centex Corp. ........................ 600 21,938
Champion Enterprises, Inc. + ........ 2,600 48,262
ITI Technologies, Inc. + ............ 200 5,325
Kaufman & Broad Home Corp. .......... 2,100 51,056
Maytag Corp. ........................ 1,000 68,375
MDC Holdings, Inc. .................. 3,200 62,800
Newell Rubbermaid Inc. .............. 1,100 52,181
Ryland Group, Inc. .................. 2,700 70,875
Salton, Inc. + ...................... 5,700 193,800
Webb (Del E) Corp. .................. 4,800 111,000
Whirlpool Corp. ..................... 500 33,188
------------
718,800
------------
INDUSTRIAL SERVICES ( 0.5% )
Browning-Ferris Industries, Inc. .... 1,000 39,875
Dycom Industries, Inc. + ............ 1,600 73,100
Granite Construction, Inc. .......... 2,250 64,266
Insituform Technologies, Inc. + ..... 13,400 255,437
Jacobs Engineering Group, Inc. + .... 1,800 70,988
USA Waste Management, Inc. .......... 3,300 186,450
------------
690,116
------------
INSURANCE ( 1.8% )
Allstate Corp. (The) ................ 4,300 156,412
American Annuity Group, Inc. ........ 2,500 55,000
American General Corp. .............. 1,300 96,200
American International Group, Inc. .. 5,868 689,123
Aon Corp. ........................... 1,200 82,200
CIGNA Corp. ......................... 1,500 130,781
Cincinnati Financial Corp. .......... 1,000 40,375
CMAC Investment Corp. ............... 1,600 73,400
Conseco, Inc. ....................... 1,800 56,813
E.W. Blanch Holdings, Inc. .......... 300 17,663
FBL Financial Group, Inc. ........... 2,900 57,638
Fidelity National Financial, Inc. ... 2,453 44,767
Gallagher (Arthur J.) & Co. ......... 1,300 61,750
NUMBER OF MARKET
SHARES VALUE
------------ ------------
INSURANCE (CONTINUED)
Hartford Financial Services Group,
Inc................................. 1,600 $ 94,300
Hooper Holmes, Inc. ................. 5,000 79,688
Jefferson-Pilot Corp. ............... 750 50,531
Lincoln National Corp. .............. 500 48,031
Marsh & McLennan Co., Inc. .......... 1,700 130,156
MBIA, Inc. .......................... 800 53,800
Medical Assurance, Inc. + ........... 1,580 43,450
MGIC Investment Corp. ............... 400 19,425
Progressive Corp. ................... 500 71,750
Provident American Corp. + .......... 2,700 92,475
Safeco Corp. ........................ 500 19,875
St. Paul Co., Inc. .................. 850 24,384
Torchmark Corp. ..................... 800 27,350
Triad Guaranty, Inc. + .............. 2,600 40,950
UNUM Corp. .......................... 1,000 54,625
------------
2,412,912
------------
INVESTMENT SERVICES ( 1.2% )
Arm Financial Group, Inc. ........... 2,700 37,463
Bear Stearns Co., Inc. (The) ........ 735 34,269
Charles Schwab Corp. ................ 3,300 362,175
Conning Corp. ....................... 2,300 37,950
Duff & Phelps Credit Rating Co. ..... 1,300 74,100
Franklin Resources, Inc. ............ 1,500 60,000
Investment Technology Group, Inc. ... 4,900 169,662
Jefferies Group, Inc. ............... 4,900 112,088
Lehman Brothers Holdings Inc. ....... 700 38,894
Merrill Lynch & Co., Inc. ........... 1,800 151,088
Morgan Stanley Dean Witter & Co. .... 5,000 495,937
------------
1,573,626
------------
MAJOR TELECOMMUNICATIONS ( 4.6% )
AirTouch Communications, Inc. + ..... 4,600 429,525
ALLTEL Corp. ........................ 1,400 94,413
Ameritech Corp. ..................... 9,100 622,781
AT&T Corp. .......................... 27,450 1,386,225
Bell Atlantic Corp. ................. 7,600 437,950
BellSouth Corp. ..................... 15,600 698,100
Century Telephone Enterprises, Inc. . 1,200 48,300
Gilat Satellite Networks Ltd. ....... 500 26,000
GTE Corp. ........................... 4,800 321,300
MCI Worldcom, Inc. + ................ 11,758 966,361
SBC Communications, Inc. ............ 13,400 750,400
Sprint Corp. ........................ 2,400 246,150
Sprint PCS + ........................ 1,350 57,206
U.S. WEST, Inc. ..................... 2,509 131,252
------------
6,215,963
------------
OIL ( 2.1% )
Ashland Oil, Inc. ................... 500 21,125
Atlantic Richfield Co. .............. 900 75,544
Chevron Corp. ....................... 3,200 319,200
Devon Energy Corp. .................. 5,300 176,225
Exxon Corp. ......................... 11,500 955,219
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
OIL (CONTINUED)
<S> <C> <C>
Mobil Corp. ......................... 3,800 $ 398,050
Royal Dutch Petroleum Co. ........... 10,600 622,087
Sunoco Inc. ......................... 600 21,450
Union Pacific Resources Group Inc. .. 15,900 222,600
------------
2,811,500
------------
OIL SERVICES ( 0.7% )
BJ Services Co. + ................... 8,800 235,400
Friede Goldman International, Inc. + 2,000 37,375
Jersey Ray McDermott, S.A. + ........ 2,900 91,350
McDermott International, Inc. ....... 7,700 223,300
Schlumberger, Ltd. .................. 2,500 159,687
SEACOR SMIT Holdings + .............. 1,100 58,231
Seitel, Inc. + ...................... 8,300 144,213
Stolt Comex Seaway S.A. + ........... 1,800 22,500
------------
972,056
------------
OTHER TELECOMMUNICATIONS ( 0.2% )
Associated Group, Inc. + ............ 3,300 188,100
Powertel, Inc. + .................... 900 19,575
SkyTel Communications, Inc. + ....... 3,900 66,787
------------
274,462
------------
PRINT MEDIA ( 0.4% )
Dun & Bradstreet Corp. .............. 1,000 36,750
Equifax, Inc. ...................... 1,100 39,531
Factset Research Systems, Inc. + .... 1,100 51,288
Gannett Co., Inc. ................... 1,900 134,544
Knight-Ridder, Inc. ................. 500 26,906
McGraw-Hill Co., Inc. ............... 1,400 77,350
New York Times Co. .................. 1,800 62,100
Scholastic Corp. + .................. 1,200 56,737
Times Mirror Co. .................... 700 40,950
Tribune Co. ......................... 900 75,094
------------
601,250
------------
PRODUCER GOODS ( 2.1% )
AFC Cable Systems, Inc. + ........... 1,900 62,700
Allegheny Teledyne, Inc. ............ 1,200 26,850
Allied Signal, Inc. ................. 3,300 193,875
Applied Power, Inc. ................. 2,820 89,006
Avery Dennison Corp. ................ 900 61,425
Aviation Sales Co. + ................ 1,400 56,000
C & D Technologies, Inc. ............ 2,900 74,856
Cooper Industries, Inc. ............. 700 33,863
Corning, Inc. ....................... 1,100 62,975
Dover Corp. ......................... 1,300 48,019
Ecolab, Inc. ........................ 1,000 41,937
Emerson Electric Co. ................ 2,200 141,900
FMC Corp. + ......................... 200 13,000
General Cable Corp. ................. 3,200 47,600
Grainger (W.W.), Inc. ............... 600 30,113
Honeywell, Inc. ..................... 900 85,275
Hughes Supply, Inc. ................. 2,400 55,800
Illinois Tool Works, Inc. ........... 1,700 130,900
Ingersoll-Rand Co. .................. 1,500 103,781
NUMBER OF MARKET
SHARES VALUE
------------ ------------
PRODUCER GOODS (CONTINUED)
ITT Industries, Inc. ................ 800 $ 28,800
Kafus Environmental Industries Ltd. + 4,300 25,800
Lincoln Electric Holdings, Inc. ..... 2,400 49,500
MacDermid, Inc. ..................... 1,600 67,100
Minnesota Mining and Manufacturing
Co.................................. 2,200 195,800
MotivePower Industries, Inc. + ...... 2,400 40,950
Mueller Industries, Inc. + .......... 3,300 103,950
Parker-Hannifin Corp. ............... 600 28,163
PPG Industries, Inc. ................ 1,000 64,937
Precision Castparts Corp. ........... 3,500 149,625
Raychem Corp. ....................... 600 15,863
Sherwin-Williams Co. ................ 1,000 31,125
Smith (A.O.) Corp. .................. 2,250 56,812
Spartech Corp. ...................... 2,700 64,125
Thomas Industries, Inc. ............. 2,100 41,737
Timken Co. .......................... 200 4,463
Tredegar Industries, Inc. ........... 3,700 98,744
Tyco International Ltd. ............. 4,100 333,125
Varlen Corp. ........................ 3,025 84,700
Westinghouse Air Brake Co. .......... 2,200 49,087
------------
2,894,281
------------
REAL ESTATE INVESTMENT TRUSTS ( 0.4% )
CBL & Associates Properties, Inc. ... 2,200 54,037
Essex Property Trust, Inc. .......... 1,500 47,344
General Growth Properties, Inc. ..... 1,800 66,262
Health Care REIT, Inc. .............. 3,300 77,550
Jones Lang Laselle Inc. ............. 1,300 34,694
Koger Equity, Inc. .................. 3,300 48,469
Parkway Properties, Inc. ............ 1,800 52,200
Prentiss Properties Trust ........... 3,200 69,200
U.S. Restaurant Properties, Inc. .... 2,200 44,138
------------
493,894
------------
SEMICONDUCTORS AND ELECTRONICS ( 4.0% )
Applied Materials, Inc. + ........... 3,000 160,875
Ascend Communications, Inc. + ....... 1,200 115,950
AVT Corp. + ......................... 3,100 84,281
Burr-Brown Corp. + .................. 7,700 204,050
Cree Research, Inc. + ............... 1,900 79,800
CTS Corp. ........................... 4,100 218,838
DSP Communications, Inc. ............ 500 13,625
Esterline Technologies Corp. + ...... 4,600 64,975
Flextronics International Ltd. + .... 1,700 79,369
General Instrument Corp. + .......... 1,000 36,500
Intel Corp. ......................... 28,000 1,713,250
L-3 Communications Holdings, Inc. + . 1,700 82,981
Lucent Technologies, Inc. ........... 21,000 1,262,625
Micron Technology, Inc. + ........... 1,100 40,838
Motorola, Inc. ...................... 3,900 312,487
Nortel Networks Corp. ............... 3,100 211,381
Plantronics, Inc. + ................. 600 40,500
Plexus Corp. + ...................... 1,600 53,400
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
<S> <C> <C>
Solectron Corp. + ................... 2,000 $ 97,000
Tellabs, Inc. + ..................... 1,600 175,300
Terayon Communication Systems, Inc. + 4,600 185,725
Texas Instruments, Inc. ............. 2,500 255,312
------------
5,489,062
------------
SPECIALTY CHEMICALS ( 0.3% )
Air Products and Chemicals, Inc. .... 1,300 61,100
ChiRex Inc. + ....................... 2,600 67,600
Engelhard Corp. ..................... 700 13,431
Geon Co. (The) ...................... 5,400 165,375
Grace (W.R.) & Co. + ................ 500 7,969
Morton International, Inc. .......... 800 32,300
Praxair, Inc. ....................... 900 46,575
Sigma-Aldrich Corp. ................. 700 22,750
------------
417,100
------------
STEEL ( 0.1% )
Bethlehem Steel Corp. + ............. 12,100 110,413
Nucor Corp. ......................... 300 17,606
USX-US Steel Group, Inc. ............ 300 9,075
Worthington Industries .............. 300 4,144
------------
141,238
------------
SURFACE TRANSPORT ( 0.3% )
Burlington Northern Santa Fe Corp. .. 2,800 102,550
CSX Corp. ........................... 500 24,625
Knightsbridge Tankers Ltd. .......... 7,800 146,737
Laidlaw, Inc. ....................... 2,100 13,256
Norfolk Southern Corp. .............. 2,200 71,913
Union Pacific Corp. ................. 1,300 78,000
------------
437,081
------------
TEXTILES AND APPAREL ( 0.2% )
Liz Claiborne, Inc. ................. 500 16,531
Nike, Inc. .......................... 1,500 93,281
Oshkosh B'Gosh, Inc. ................ 200 3,963
Stride Rite Corp. ................... 11,000 128,562
VF Corp. ............................ 700 36,050
------------
278,387
------------
TOTAL COMMON STOCKS (COST $54,305,445) 76,954,209
------------
PREFERRED STOCKS ( 0.6% )
California Federal Preferred Capital
Corp. (Banks and Thrifts) .......... 12,000 322,125
Global Crossing Holdings Ltd.
(Other Telecommunications) + ....... 4,000 462,000
------------
TOTAL PREFERRED STOCKS (COST
$700,000) 784,125
------------
PRINCIPAL
AMOUNT
------------
LONG-TERM BONDS AND NOTES ( 38.7% )
CORPORATE BONDS ( 20.0% )
Abitibi-Consolidated
Inc.,6.95%,04/01/08................. $ 650,000 638,937
ABN-Amro Bank NV,7.00%,04/01/08 ..... 815,000 842,091
PRINCIPAL MARKET
AMOUNT VALUE
------------ ------------
CORPORATE BONDS (CONTINUED)
Allied Waste North
America,7.38%,01/01/04.............. $ 600,000 $ 586,500
American General Finance Corp.,
8.45%,10/15/09 * ................... 1,000,000 1,154,820
BankAmerica Corp.,7.88%,12/01/02 .... 250,000 266,135
BCH Cayman Islands
Ltd.,7.70%,07/15/06................. 900,000 948,060
Capital One Bank,6.57%,01/27/03 ..... 650,000 654,738
Celulosa Arauco
Constitution,6.95%,09/15/05......... 600,000 573,221
Chemical Master Credit Card Trust,
7.09%,02/15/09 ..................... 660,000 694,855
Chrysler Financial
Corp.,5.25%,10/19/00................ 400,000 398,304
Comcast Cellular Holdings, Inc.,
9.50%,05/01/07 ..................... 1,000,000 1,142,500
Commercial Mortgage Acceptance Corp.,
5.80%,03/15/06 ..................... 433,928 425,673
Conoco Inc.,5.90%,04/15/04 .......... 340,000 338,300
CSX Corp.,7.45%,05/01/07 ............ 755,000 797,937
ERAC USA Finance Co.,6.95%,03/01/04
++.................................. 600,000 598,362
Exide Corp.,10.00%,04/15/05 ++ ...... 525,000 527,625
Federal Mogul Co.,7.50%,07/01/04 .... 850,000 850,731
First Empire Capital Trust
II,8.28%,06/01/27................... 500,000 516,150
Flag Ltd.,8.25%,01/30/08 ............ 375,000 372,187
Ford Motor Credit
Corp.,6.63%,10/01/28................ 1,130,000 1,084,698
Fred Meyer, Inc.,7.38%,03/01/05 ..... 700,000 726,348
Garden State
Newspapers,8.63%,07/01/11 ++ ....... 200,000 203,000
Globo Communicacoes,10.63%,12/05/08
++.................................. 400,000 320,000
Guidant Corp.,6.15%,02/15/06 ........ 800,000 779,488
Household Finance
Corp.,5.88%,09/25/04................ 850,000 838,091
HSBC America,7.81%,12/15/26 ++ ...... 750,000 696,540
IMC Global, Inc.,7.63%,11/01/05 ..... 700,000 729,967
Integrated Electric Services Inc.,
9.38%,02/01/09 ++ .................. 200,000 203,000
Isle of Capri Casinos,8.75%,04/15/09
++.................................. 250,000 248,125
Kaman Corp.,6.00%,03/15/12 .......... 424,000 419,760
Korean Development
Bank,7.90%,02/01/02................. 325,000 327,597
MBIA, Inc.,6.63%,10/01/28 ........... 550,000 519,167
Merrill Lynch & Co.,
Inc.,5.75%,11/04/02................. 650,000 646,951
Mohegan Tribal Gaming,8.13%,01/01/06 100,000 102,000
Norwest Financial,
Inc.,5.38%,09/30/03................. 300,000 293,427
Petroliam Nasional
Berhd,7.75%,08/15/15................ 325,000 298,838
Raytheon Co.,6.75%,08/15/07 ......... 1,000,000 1,026,600
Republic of Brazil,11.63%,04/15/04 # 350,000 338,625
Republic of
Philippines,9.88%,01/15/19.......... 600,000 616,602
Riggs Capital Trust,8.63%,12/31/26 ++ 300,000 292,137
Rite Aid Corp.,6.00%,10/01/03 ....... 850,000 827,220
Rogers Cantel, Inc.,9.38%,06/01/08 .. 400,000 440,000
Scotts Co. (The),8.63%,01/15/09 ..... 200,000 207,000
Tenet Healthcare Corp.,7.88%,01/15/03 300,000 296,727
Tenet Healthcare Corp.,8.00%,01/15/05 200,000 200,500
TV Guide Inc.,8.13%,03/01/09 ........ 300,000 306,000
Tyco International Group
SA,6.38%,06/15/05................... 650,000 654,970
USA Waste Management, Inc.,
6.13%,07/15/01 ..................... 880,000 881,452
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ ------------
CORPORATE BONDS (CONTINUED)
<S> <C> <C> <C> <C> <C>
WorldCom, Inc.,8.88%,01/15/06 ....... $ 258,000 $ 277,154
------------
TOTAL CORPORATE BONDS 27,129,110
------------
FOREIGN AND SUPRANATIONALS ( 1.8% )
African Development
Bank,8.80%,09/01/19................. 1,000,000 1,244,310
Argent-Global Bond (Republic of
Argentina,
11.38%,01/30/17 .................... 400,000 400,000
Banco de Galicia,10.00%,12/15/00 ++ . 350,000 358,750
United Mexican States Government,
11.38%,09/15/16 .................... 400,000 459,000
------------
TOTAL FOREIGN AND SUPRANATIONALS 2,462,060
------------
FOREIGN OBLIGATIONS ( 0.6% )
Columbia (Republic
of),10.88%,03/09/04................. 400,000 422,000
Panama (Republic of),9.38%,04/01/29 . 350,000 355,250
------------
TOTAL FOREIGN OBLIGATIONS 777,250
------------
NON-AGENCY MORTGAGE-BACKED SECURITIES ( 1.0% )
CS First Boston Mortgage Corp.,
6.48%,05/17/08 ..................... 500,000 494,531
DLJ Mortgage Acceptance Corp.,
8.10%,06/18/04 ..................... 350,000 330,313
Merrill Lynch Mortgage Investors,
Inc.,
7.71%,06/15/21 ..................... 521,640 524,021
------------
TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES 1,348,865
------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 15.1% )
Federal National Mortgage
Association,
6.00%,11/01/23 - 01/01/29 .......... 4,488,932 4,355,881
Federal National Mortgage
Association,
6.50%,11/01/28 - 12/01/28 .......... 3,907,993 3,884,453
Federal National Mortgage
Association,
9.50%,10/01/16 ..................... 668,069 713,772
GMAC Commercial Mortgage,
6.87%,08/15/07 ..................... 500,000 515,357
Government National Mortgage
Association,
6.50%,05/15/28 - 10/20/28 .......... 2,467,779 2,447,289
Government National Mortgage
Association,
7.00%,12/15/28 ..................... 1,998,203 2,027,536
Government National Mortgage
Association,
7.50%,12/15/23 ..................... 2,047,576 2,113,976
Government National Mortgage
Association,
8.00%,12/15/23 - 07/15/24 .......... 4,212,202 4,397,037
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES 20,455,301
------------
U.S. GOVERNMENT OBLIGATIONS ( 0.2% )
U.S. Treasury Note,5.75%,10/31/00 ... 325,000 328,198
------------
TOTAL LONG-TERM BONDS AND NOTES (COST $52,188,424) 52,500,784
------------
SHORT-TERM INVESTMENTS ( 3.3% )
Federal Home Loan Bank,4.80%,05/03/99 2,464,000 2,464,000
U.S. Treasury Bill,4.47%,08/19/99 @ . 100,000 98,659
PRINCIPAL MARKET
AMOUNT VALUE
------------ ------------
SHORT-TERM INVESTMENTS (CONTINUED)
VF Corp.,4.95%,05/03/99 ++ .......... $2,000,000 $ 2,000,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $4,562,659) 4,562,659
------------
TOTAL INVESTMENTS (COST $111,756,528)(A) 134,801,777
OTHER ASSETS LESS LIABILITIES 894,453
------------
TOTAL NET ASSETS $135,696,230
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$112,631,682. Unrealized gains and losses, based on identified tax cost at
April 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ......................... $24,474,322
Unrealized losses ........................ (2,304,227)
-----------
Net unrealized gain ................... $22,170,095
===========
</TABLE>
Information concerning open futures contracts at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
- --------------------
Russell 2000 Index
Futures ............. 7 $ 1,411,597 Jun 99 $ 104,015
=========== =========
</TABLE>
* Segregated securities for purchases of delayed delivery or when-issued
securities held at April 30, 1999.
+ 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.
# When-issued or delayed delivery security.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1999.
See Notes to Financial Statements. 19
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
Information concerning restricted securities at April 30, 1999 is shown
below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------------ -------------------
<S> <C> <C>
Banco de Galicia ..................... 11/25/98 $ 350,000
ERAC USA Finance Co. ................. 01/29/99 626,589
08/22/95 -
Exide Corp. .......................... 09/28/95 542,224
Garden State Newspapers .............. 03/10/99 198,105
Globo Communicacoes .................. 05/06/98 401,109
HSBC America ......................... 12/10/96 733,089
Integrated Electric Services Inc. .... 01/25/99 198,425
Isle of Capri Casinos ................ 04/20/99 250,000
Riggs Capital Trust .................. 12/10/96 300,000
VF Corp. ............................. 04/27/99 2,000,000
----------
$5,599,541
==========
</TABLE>
The market value of the total restricted securities above represent 4.01% of the
total net assets.
Category percentages are based on net assets.
20 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
GROWTH AND INCOME
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
COMMON STOCKS ( 94.3% )
UNITED STATES ( 89.9% )
AIR TRANSPORT ( 0.8% )
Airborne Freight Corp. .............. 5,600 $ 179,200
Alaska Air Group, Inc. + ............ 1,800 79,313
America West Holdings Corp. + ....... 40,300 841,262
Continental Airlines, Inc. + ........ 2,000 86,375
Delta Air Lines, Inc. ............... 63,300 4,015,594
UAL Corp. + ......................... 4,500 363,375
------------
5,565,119
------------
AUTO PARTS AND HARDWARE ( 1.0% )
Black & Decker Corp. ................ 87,700 4,976,975
Cooper Tire & Rubber Co. ............ 79,400 1,741,837
------------
6,718,812
------------
AUTOMOTIVE ( 1.8% )
Dura Automotive Systems, Inc. + ..... 4,100 117,363
General Motors Corp. ................ 127,900 11,375,106
------------
11,492,469
------------
BANKS AND THRIFTS ( 5.4% )
Bank One Corp. ...................... 7,452 439,668
Bank United Corp. ................... 3,500 141,313
Chase Manhattan Corp. ............... 130,700 10,815,425
Dime Bancorp, Inc. .................. 13,400 309,037
Fifth Third Bancorp ................. 38,100 2,731,294
Fleet Financial Group, Inc. ........ 21,500 925,844
Golden State Bancorp, Inc. .......... 36,200 889,162
Golden West Financial Corp. ......... 81,400 8,150,175
GreenPoint Financial Corp. .......... 9,800 343,000
J.P. Morgan & Co. ................... 67,000 9,028,250
Prime Bancshares, Inc. .............. 3,300 52,388
Republic New York Corp. ............. 10,700 628,625
Telebanc Financial Corp. + .......... 6,900 715,012
UnionBanCal Corp. ................... 7,200 245,700
Vermont Financial Services Corp. .... 4,400 135,575
------------
35,550,468
------------
BIOTECH AND MEDICAL PRODUCTS ( 3.6% )
Alpharma, Inc. ++ ................... 28,200 831,900
Amgen, Inc. + ....................... 117,000 7,188,187
Bio-Rad Labs, Inc. + ................ 45,800 1,282,400
Biogen, Inc. + ...................... 3,300 313,706
Datascope Corp. + ................... 29,200 830,375
Genentech, Inc. + ................... 3,500 296,188
Guidant Corp. ....................... 49,200 2,641,425
Hanger Orthopedic Group, Inc. + ..... 49,400 722,475
Mallinckrodt Inc. ................... 59,800 2,096,737
MedImmune, Inc. + ................... 9,400 518,175
OEC Medical Systems, Inc. + ......... 28,000 663,250
Osteotech, Inc. + ................... 40,350 1,457,644
Thermo BioAnalysis Corp. + .......... 89,400 1,519,800
VISX, Inc. + ........................ 25,200 3,244,500
------------
23,606,762
------------
NUMBER OF MARKET
SHARES VALUE
----------- ------------
UNITED STATES (CONTINUED)
CHEMICALS ( 0.5% )
Dow Chemical Co. .................... 25,600 $ 3,358,400
------------
COMMERCIAL SERVICES ( 1.3% )
Deluxe Corp. ........................ 171,600 5,941,650
Engineering Animation, Inc. + ....... 10,350 153,956
Galileo International, Inc. ......... 2,600 127,400
Modis Professional Services + ....... 40,200 464,813
Valassis Communications, Inc. + ..... 13,700 767,200
World Color Press, Inc. + ........... 34,700 887,019
-------------
8,342,038
-------------
COMPUTERS ( 4.7% )
Apple Computer, Inc. + .............. 222,500 10,235,000
Hewlett Packard Co. ................. 156,900 12,375,487
International Business Machines Corp. 26,900 5,627,144
Micron Electronics, Inc. + .......... 7,000 71,312
NCR Corp. + ......................... 9,200 377,200
Unisys Corp. + ...................... 72,500 2,279,219
-------------
30,965,362
-------------
CONGLOMERATE AND AEROSPACE ( 2.5% )
Boeing Co. .......................... 67,700 2,750,312
Cordant Technologies, Inc. .......... 15,100 696,488
Goodrich (B. F.) Co. ................ 174,500 6,936,375
Gulfstream Aerospace Corp. + ........ 9,400 458,250
Loews Corp. ......................... 67,800 4,962,112
United Technologies Corp. ........... 2,600 376,675
-------------
16,180,212
-------------
CONSUMER FINANCE ( 2.0% )
CompuCredit Corp. + ................. 8,400 134,400
Countrywide Credit Industries, Inc. . 193,100 8,749,843
Crescent Operating, Inc. + .......... 1,300 5,119
Federal Home Loan Mortgage Corp. .... 70,300 4,411,325
-------------
13,300,687
-------------
CONSUMER PRODUCTS ( 2.0% )
Church & Dwight Co., Inc. ........... 1,700 72,781
Dial Corp. .......................... 9,200 312,800
Procter & Gamble Co. ................ 133,200 12,495,825
-------------
12,881,406
-------------
CONSUMER SERVICES ( 2.7% )
Advantage Learning Systems, Inc. + .. 4,600 121,325
Darden Restaurants, Inc. ............ 254,700 5,682,994
Extended Stay America, Inc. + ....... 147,700 1,550,850
Lakes Gaming, Inc. + ................ 24,075 231,722
National R.V. Holdings, Inc. + ...... 67,500 1,746,562
Park Place Entertainment Corp. + .... 69,900 755,794
Sotheby's Holdings, Inc. ............ 8,400 358,050
Tricon Global Restaurants, Inc. + ... 117,800 7,583,375
-------------
18,030,672
-------------
CONSUMER SPECIALTIES ( 0.5% )
Brunswick Corp. ..................... 82,900 1,989,600
Hasbro, Inc. ........................ 10,050 342,956
</TABLE>
See Notes to Portfolio of Investments. 21
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
UNITED STATES (CONTINUED)
CONSUMER SPECIALTIES (CONTINUED)
<S> <C> <C>
THQ, Inc. + ......................... 46,900 $ 1,231,125
------------
3,563,681
------------
DATA AND IMAGING SERVICES ( 7.7% )
Adobe Systems, Inc. ................. 101,400 6,426,225
America Online, Inc. ................ 48,200 6,880,550
Avant! Corp. + ...................... 3,700 49,950
BMC Software, Inc. + ................ 69,600 2,997,150
Computer Associates International,
Inc................................. 199,200 8,503,350
Computer Horizons Corp. + ........... 1,200 16,950
Compuware Corp. + ................... 13,400 326,625
eBay Inc. + ......................... 2,400 499,500
Electronics for Imaging, Inc. + ..... 3,800 179,788
Extreme Networks, Inc. + ............ 400 22,175
Genesys Telecommunications
Laboratories, Inc. + ............... 31,100 555,912
Intuit Inc. + ....................... 8,600 740,675
Mercury Interactive Corp. + ......... 7,000 197,313
Microsoft Corp. + ................... 194,500 15,815,281
Mindspring Enterprises, Inc. + ...... 1,100 106,631
Oracle Corp. + ...................... 125,700 3,401,756
Progress Software Corp. + ........... 21,400 486,850
Quantum Corp. + ..................... 13,800 246,675
Seagate Technology, Inc. + .......... 108,900 3,035,587
Symantec Corp. + .................... 12,300 244,463
WorldGate Communications, Inc. + .... 3,000 85,500
Xircom, Inc. + ...................... 3,400 76,500
------------
50,895,406
------------
DISCRETIONARY RETAIL ( 7.1% )
Abercrombie & Fitch Co. + ........... 7,400 703,925
American Eagle Outfitters, Inc. + ... 22,900 1,711,775
Best Buy Co., Inc. + ................ 4,900 233,975
CDW Computer Centers, Inc. + ........ 3,300 295,350
CompUSA, Inc. + ..................... 8,900 62,300
Costco Companies, Inc. + ............ 32,500 2,630,469
CSK Auto Corp. + .................... 11,000 275,000
Dayton Hudson Co. ................... 24,600 1,655,887
Federated Department Stores, Inc. + . 125,200 5,845,275
Footstar, Inc. + .................... 6,300 213,019
Gap, Inc. ........................... 126,900 8,446,781
Global DirectMail Corp. + ........... 10,300 157,075
Hollywood Entertainment Corp. + ..... 19,600 483,875
Kmart Corp. + ....................... 18,900 281,138
Kohl's Corp. + ...................... 11,100 737,456
Linens 'n Things, Inc. + ............ 5,600 256,200
Lowe's Co., Inc. .................... 193,500 10,207,125
Musicland Stores Corp. + ............ 111,500 1,212,562
Tandy Corp. ......................... 16,500 1,195,219
TJX Companies, Inc. ................. 282,000 9,394,125
Tuesday Morning Corp. + ............. 6,300 122,850
NUMBER OF MARKET
SHARES VALUE
----------- -------------
UNITED STATES (CONTINUED)
DISCRETIONARY RETAIL (CONTINUED)
Zale Corp. + ........................ 13,400 $ 506,688
------------
46,628,069
------------
DIVERSIFIED FINANCIAL SERVICES ( 3.0% )
Citigroup Inc. ...................... 103,201 7,765,875
Providian Financial Corp. ........... 93,600 12,080,250
------------
19,846,125
------------
DRUGS ( 5.1% )
Abbott Laboratories ................. 168,300 8,152,031
Bristol-Myers Squibb Co. ............ 63,300 4,023,506
Johnson & Johnson ................... 79,000 7,702,500
Merck & Co., Inc. ................... 83,600 5,872,900
Pfizer, Inc. ........................ 58,700 6,754,169
Roberts Pharmaceutical Corp. + ...... 63,700 1,082,900
------------
33,588,006
------------
ELECTRIC UTILITIES ( 1.0% )
Allegheny Energy, Inc. .............. 4,600 156,688
Black Hills Corp. ................... 8,000 181,000
Cleco Corp. ......................... 6,300 194,513
DTE Energy Co. ...................... 20,700 844,819
Florida Progress Corp. .............. 9,800 377,300
Minnesota Power, Inc. ............... 9,200 193,775
Niagara Mohawk Holdings Inc. + ...... 301,500 4,032,562
OGE Energy Corp. .................... 13,500 319,781
SIGCORP, Inc. ....................... 12,600 363,037
------------
6,663,475
------------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.1% )
SCI Systems, Inc. + ................. 2,255 85,831
Waters Corp. + ...................... 7,000 735,875
------------
821,706
------------
ELECTRONIC MEDIA ( 0.9% )
Capstar Broadcasting Corp. + ........ 18,500 490,250
CBS Corp. + ......................... 12,800 583,200
Entercom Communications Corp. + ..... 8,200 304,425
Infinity Broadcasting Corp. + ....... 7,200 199,350
International Speedway Corp. ........ 30,900 1,591,350
Jacor Communications, Inc. + ........ 10,000 802,500
USA Networks, Inc. + ................ 8,400 313,950
Viacom, Inc. + ...................... 32,400 1,324,350
Young Broadcasting Corp. + .......... 6,200 262,725
------------
5,872,100
------------
FOOD AND BEVERAGE ( 0.2% )
Aurora Foods, Inc. + ................ 23,700 352,538
Delta & Pine Land Co. ............... 6,600 224,400
IBP, Inc. ........................... 29,300 593,325
M & F Worldwide Corp. + ............. 28,100 228,313
Quaker Oats Co. ..................... 1,300 83,931
Suiza Foods Corp. + ................. 2,100 78,881
------------
1,561,388
------------
FOOD AND DRUG RETAIL ( 3.2% )
Casey's General Stores, Inc. ........ 49,100 650,575
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
UNITED STATES (CONTINUED)
FOOD AND DRUG RETAIL (CONTINUED)
<S> <C> <C>
CVS Corp. ........................... 75,700 $ 3,605,212
Duane Reade, Inc. + ................. 2,700 72,394
Longs Drug Stores, Inc. ............. 54,500 1,873,438
Safeway, Inc. + ..................... 150,000 8,090,625
SUPERVALU, Inc. ..................... 315,200 6,579,800
------------
20,872,044
------------
FOREST PRODUCTS AND BUILDING MATERIALS ( 1.6% )
Ball Corp. .......................... 23,500 1,291,031
Boise Cascade Corp. ................. 83,800 3,372,950
Georgia-Pacific Corp. ............... 24,300 2,247,750
Georgia-Pacific Corp. ............... 21,800 561,350
Lafarge Corp. ....................... 11,100 375,319
Lone Star Industries, Inc. .......... 29,100 1,038,506
Masco Corp. ......................... 15,800 464,125
Owens Corning ....................... 16,500 587,812
Southdown, Inc. ..................... 6,200 397,188
USG Corp. ........................... 6,200 361,925
Willamette Industries, Inc. ......... 2,900 135,575
------------
10,833,531
------------
GAS UTILITIES ( 1.3% )
Columbia Energy Group ............... 36,700 1,763,894
Eastern Enterprises ................. 34,300 1,232,656
Energen Corp. ....................... 86,600 1,493,850
Enron Corp. ......................... 8,000 602,000
KN Energy, Inc. ..................... 12,600 259,875
Sempra Energy ....................... 138,199 2,867,629
Southwest Gas Corp. ................. 10,100 288,481
------------
8,508,385
------------
HEALTH SERVICES ( 1.0% )
Lincare Holdings Inc. + ............. 20,600 610,275
MEDE AMERICA Corp. + ................ 500 13,000
PacifiCare Health Systems, Inc. + ... 5,300 422,841
United Healthcare Corp. ............. 97,600 5,477,800
------------
6,523,916
------------
HOUSING AND FURNISHINGS ( 2.1% )
Centex Corp. ........................ 147,000 5,374,687
Kaufman & Broad Home Corp. .......... 119,000 2,893,188
Lennar Corp. ........................ 15,700 379,744
Pulte Corp. ......................... 167,400 3,787,425
Ryland Group, Inc. .................. 49,700 1,304,625
------------
13,739,669
------------
INDUSTRIAL SERVICES ( 0.0% )
Reckson Service Industries, Inc. + .. 1,812 22,197
------------
INSURANCE ( 3.3% )
Allstate Corp. (The) ................ 216,400 7,871,550
Conseco, Inc. ....................... 54,000 1,704,375
Guarantee Life Companies, Inc. ...... 15,000 300,000
Hartford Life, Inc. ................. 9,800 512,663
LandAmerica Financial Group, Inc. ... 4,500 126,000
Lincoln National Corp. .............. 86,400 8,299,800
NUMBER OF MARKET
SHARES VALUE
----------- -------------
UNITED STATES (CONTINUED)
INSURANCE (CONTINUED)
MGIC Investment Corp. ............... 57,000 $ 2,768,062
Nationwide Financial Services, Inc. . 4,800 222,600
------------
21,805,050
------------
INVESTMENT SERVICES ( 1.6% )
Investors Financial Services Corp. .. 2,000 72,750
Lehman Brothers Holdings Inc. ....... 45,600 2,533,650
Morgan Stanley Dean Witter & Co. .... 79,980 7,933,016
------------
10,539,416
------------
MAJOR TELECOMMUNICATIONS ( 5.1% )
ALLTEL Corp. ........................ 86,000 5,799,625
Bell Atlantic Corp. ................. 126,000 7,260,750
BellSouth Corp. ..................... 221,600 9,916,600
Century Telephone Enterprises, Inc. . 5,525 222,381
Sprint Corp. ........................ 102,600 10,522,913
------------
33,722,269
------------
OIL ( 1.0% )
Ashland Oil, Inc. ................... 103,600 4,377,100
Sunoco Inc. ......................... 21,400 765,050
Tesoro Petroleum Corp. + ............ 98,600 1,115,413
Union Pacific Resources Group Inc. .. 16,000 224,000
------------
6,481,563
------------
OIL SERVICES ( 1.0% )
Atwood Oceanics, Inc. + ............. 1,800 62,775
BJ Services Co. + ................... 17,600 470,800
Cal Dive International, Inc. + ...... 12,000 384,000
Global Marine Inc. + ................ 23,700 352,538
Helmerich & Payne, Inc. ............. 134,900 3,473,675
McDermott International, Inc. ....... 7,000 203,000
Pride International, Inc. + ......... 85,100 994,606
Santa Fe International Corp. ........ 5,200 111,800
SEACOR SMIT Holdings + .............. 3,600 190,575
Transocean Offshore Inc. ............ 9,900 293,906
------------
6,537,675
------------
OTHER TELECOMMUNICATIONS ( 0.2% )
Aerial Communications, Inc. + ....... 16,100 128,800
Allegiance Telecom, Inc. + .......... 4,200 193,200
Global TeleSystems Group, Inc. + ... 3,000 198,375
Rhythms NetConnections Inc. + ....... 3,000 247,500
Teligent, Inc. + .................... 8,600 467,625
------------
1,235,500
------------
PRINT MEDIA ( 2.1% )
Factset Research Systems, Inc. + .... 10,500 489,563
Knight-Ridder, Inc. ................. 154,300 8,303,269
McClatchy Newspapers, Inc. ......... 20,725 743,509
Meredith Corp. ...................... 1,900 69,706
New York Times Co. .................. 117,000 4,036,500
------------
13,642,547
------------
PRODUCER GOODS ( 3.8% )
C & D Technologies, Inc. ............ 16,900 436,231
Corning, Inc. ....................... 1,687 96,581
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
UNITED STATES (CONTINUED)
PRODUCER GOODS (CONTINUED)
<S> <C> <C>
Hanover Compressor Co. + ............ 15,000 $ 430,312
Ingersoll-Rand Co. .................. 135,500 9,374,906
Johnstown America Industries, Inc. + 17,200 313,900
Milacron, Inc. ...................... 6,600 151,800
SLI, Inc. + ......................... 15,000 411,563
Special Metals Corp. + .............. 6,600 36,713
Tower Automotive, Inc. + ............ 6,500 149,500
Tyco International Ltd. ............. 159,494 12,958,860
Varlen Corp. ........................ 18,750 525,000
------------
24,885,366
------------
REAL ESTATE INVESTMENT TRUSTS ( 3.5% )
AMB Property Corp. .................. 1,700 37,400
American Health Properties, Inc. .... 5,500 108,969
Archstone Communities Trust ......... 22,900 519,544
Arden Realty Group, Inc. ............ 12,600 315,000
Avalon Bay Communities, Inc. ........ 6,191 216,685
Beacon Capital + + .................. 26,000 393,250
Bedford Property Investors, Inc. .... 3,000 51,563
Boston Properties, Inc. ............. 5,100 185,194
Boykin Lodging Co. .................. 5,800 88,813
Brandywine Realty Trust ............. 22,200 419,025
Cabot Industrial Trust .............. 4,100 83,538
Camden Property Trust ............... 17,877 482,679
Captec Net Lease Realty, Inc. ....... 7,900 103,441
Carramerica Realty Corp. ............ 7,900 195,525
CBL & Associates Properties, Inc. ... 28,800 707,400
Colonial Properties Trust ........... 14,500 396,937
Cornerstone Properties, Inc. ........ 14,300 233,269
Cousins Properties, Inc. ............ 3,400 118,150
Crescent Real Estate Equities, Inc. . 27,600 617,550
Criimi Mae, Inc. .................... 20,100 46,481
Crown America Realty Trust .......... 12,000 87,000
Duke Realty Investments, Inc. ....... 24,600 578,100
Eastgroup Properties, Inc. .......... 4,850 87,603
Equity Office Properties Trust ...... 60,200 1,659,262
Equity One, Inc. .................... 5,600 50,750
Equity Residential Properties Trust . 27,849 1,288,016
Essex Property Trust, Inc. .......... 8,900 280,906
FelCor Lodging Trust Inc. ........... 200 4,788
First Industrial Realty Trust, Inc. . 8,300 223,063
Franchise Finance Corp. of America .. 13,900 322,306
Gables Residential Trust ............ 6,900 164,306
General Growth Properties, Inc. ..... 13,900 511,694
Glenborough Realty Trust, Inc. ...... 22,200 381,562
Glimcher Realty Trust ............... 6,800 115,175
Golf Trust of America, Inc. ......... 4,300 95,406
Health Care REIT, Inc. .............. 39,300 923,550
Healthcare Realty Trust, Inc. ....... 9,855 214,962
Highwood Properties, Inc. ........... 9,200 236,900
Home Properties of New York, Inc. ... 2,900 75,038
NUMBER OF MARKET
SHARES VALUE
----------- ------------
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
HRPT Properties Trust ............... 43,100 $ 630,337
Imperial Credit Commercial Mortgage
Investment Corp. ................... 4,000 39,250
Kilroy Realty Corp. ................. 7,800 183,788
Kimco Realty Corp. .................. 29,050 1,140,212
Koger Equity, Inc. .................. 10,700 157,156
Liberty Property Trust .............. 15,000 361,875
Manufactured Home Communities, Inc. . 7,000 177,188
Meditrust Companies Corp. ........... 11,400 141,788
MeriStar Hospitality Corp. .......... 4,002 92,046
National Health Investors, Inc. ..... 800 20,100
OMEGA Healthcare Investors, Inc. .... 18,500 487,937
Parkway Properties, Inc. ............ 5,600 162,400
Post Properties, Inc. ............... 29,100 1,153,087
Prentiss Properties Trust ........... 16,400 354,650
Prime Retail, Inc. .................. 17,000 146,625
Prison Realty Trust ................. 12,200 237,900
ProLogis Trust ...................... 6,800 142,800
PS Business Parks, Inc. ............. 16,900 395,037
Public Storage, Inc. ................ 28,204 786,186
Reckson Associates Realty Corp. ..... 10,100 227,250
Regency Realty Corp. ................ 6,300 136,238
RFS Hotel Investors, Inc. ........... 6,300 88,988
Shurgard Storage Centers, Inc. ...... 700 18,856
Simon Property Group, Inc. .......... 23,100 662,681
SL Green Realty Corp. ............... 4,600 91,425
Spieker Properties, Inc. ............ 3,200 125,600
Starwood Hotels & Resort Worldwide,
Inc................................. 13,000 476,937
Sun Communities, Inc. ............... 5,850 204,750
Sunstone Hotel Investors, Inc. ...... 4,100 37,669
Tanger Factory Outlet Centers, Inc. . 3,100 79,825
Tower Realty Trust, Inc. ............ 1,900 38,950
United Dominion Realty Trust, Inc. .. 5,767 62,716
Urban Shopping Centers, Inc. ........ 7,900 252,800
Vornado Realty Trust ................ 16,200 631,800
Walden Residential Properties, Inc. . 3,500 66,938
Weeks Corp. ......................... 5,600 173,950
------------
22,808,535
------------
SEMICONDUCTORS AND ELECTRONICS ( 5.1% )
ADC Telecommunications, Inc. + ...... 7,700 368,156
Altera Corp. + ...................... 3,000 216,750
Comverse Technology, Inc. + ......... 2,701 173,202
Intel Corp. ......................... 291,800 17,854,512
L-3 Communications Holdings, Inc. + . 3,200 156,200
Lattice Semiconductor Corp. + ....... 27,600 1,128,150
Level One Communications, Inc. + .... 11,800 606,225
Linear Technology Corp. ............. 8,500 483,438
LSI Logic Corp. + ................... 25,900 880,600
Lucent Technologies, Inc. ........... 101,400 6,096,675
Tellabs, Inc. + ..................... 39,000 4,272,937
Vitesse Semiconductor Corp. + ....... 25,800 1,194,863
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
<S> <C> <C>
Xilinx, Inc. + ...................... 8,200 $ 374,125
------------
33,805,833
------------
SPECIALTY CHEMICALS ( 0.1% )
Albemarle Corp. ..................... 17,101 376,220
Solutia, Inc. ....................... 7,800 190,125
------------
566,345
------------
TEXTILES AND APPAREL ( 0.0% )
Gerber Childrenswear, Inc. + ........ 3,600 27,900
------------
TOBACCO ( 0.0% )
Schweitzer-Mauduit International,
Inc................................. 1,000 16,563
------------
TOTAL UNITED STATES (COST $489,570,747) 592,006,667
------------
FOREIGN COMMON STOCKS ( 4.4% )
AUSTRALIA ( 0.0% )
Telstra Corp. Ltd.
(Other Telecommunications) + ....... 44,500 241,840
------------
BELGIUM ( 0.0% )
Delhaize-le Lion SA (Food and Drug
Retail)............................. 2,100 183,957
------------
CANADA ( 0.1% )
BCE Inc. (Other Telecommunications) . 13 594
Canadian National Railway Co.
(Surface Transport) ................ 7,000 441,972
------------
TOTAL CANADA 442,566
------------
DENMARK ( 0.1% )
Carli Gry International A/S
(Textiles and Apparel) ............. 20,800 503,790
Tele Danmark A/S
(Other Telecommunications) ......... 2,200 227,247
------------
TOTAL DENMARK 731,037
------------
FINLAND ( 0.1% )
Nokia Corp., ADR
(Other Telecommunications) ......... 6,200 459,963
Tieto Corp. (Data and Imaging
Services)........................... 4,000 159,539
-------------
TOTAL FINLAND 619,502
-------------
FRANCE ( 0.4% )
Accor SA (Consumer Services) ........ 800 211,168
Axa (Insurance) ..................... 1,300 168,066
Carrefour SA (Food and Drug Retail) . 300 238,040
Elf Aquitaine SA (Oil) .............. 2,400 373,246
Gemini Sogeti SA
(Data and Imaging Services) ........ 2,400 367,406
Groupe Danone (Food and Beverage) ... 700 187,364
Scor (Insurance) .................... 4,000 199,742
Societe Generale (Banks and Thrifts) 1,700 304,669
NUMBER OF MARKET
SHARES VALUE
----------- ------------
FRANCE (CONTINUED)
STMicroelectronics
(Semiconductors and Electronics) + . 2,400 $ 250,354
Vivendi (Conglomerate and Aerospace) 2,200 514,610
------------
TOTAL FRANCE 2,814,665
------------
GERMANY ( 0.3% )
Adidas-Salomon AG (Textiles and
Apparel)............................ 2,000 197,203
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + .............. 3,000 195,827
Buderus AG
(Forest Products and Building
Materials).......................... 500 169,801
DaimlerChrysler AG (Automotive) ..... 2,432 240,442
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) ............. 3,900 325,956
Douglas Holding AG (Discretionary
Retail)............................. 2,700 124,257
Fresenius Medical Care AG
(Biotech and Medical Products) ..... 3,000 161,867
Gehe AG (Health Services) ........... 5,400 248,513
Mannesmann AG (Producer Goods) ...... 4,300 566,830
------------
TOTAL GERMANY 2,230,696
------------
HONG KONG ( 0.0% )
VTech Holdings Ltd.
(Electrical Machinery and
Instruments)........................ 68,000 232,501
------------
IRELAND ( 0.2% )
Allied Irish Banks (Banks and
Thrifts)............................ 14,065 227,666
CRH Plc
(Forest Products and Building
Materials).......................... 26,328 519,474
Waterford Wedgewood
(Housing and Furnishings) .......... 342,879 333,730
------------
TOTAL IRELAND 1,080,870
------------
ITALY ( 0.2% )
Banca Commerciale Italiana
(Banks and Thrifts) ................ 12,100 99,722
Banca del Nazionale Lavoro
(Banks and Thrifts) + .............. 107,600 367,690
Istituto Nazionale delle
Assicurazioni (Insurance) + ........ 58,500 154,726
Mediaset SpA (Electronic Media) ..... 23,300 202,132
Telecom Italia SpA
(Other Telecommunications) ......... 44,000 468,758
------------
TOTAL ITALY 1,293,028
------------
JAPAN ( 0.4% )
Asatsu-DK Inc. (Commercial Services) 5,000 125,456
Mizuno Corp. (Consumer Specialties) . 90,000 278,222
NTT Mobile Communication Network,
Inc. (Other Telecommunications) + .. 60 351,862
Orix Corp. (Consumer Finance) ....... 3,400 273,732
Seino Transportation Co. Ltd.
(Surface Transport) ................ 67,000 404,700
Shohkoh Fund & Co. (Consumer Finance) 800 469,149
SoftBank Corp.
(Semiconductors and Electronics) ... 3,200 425,987
------------
TOTAL JAPAN 2,329,108
------------
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
MEXICO ( 0.0% )
Cemex SA de CV
(Forest Products and Building
Materials).......................... 20,000 $ 92,857
------------
NETHERLANDS ( 1.1% )
Akzo Nobel NV (Specialty Chemicals) . 4,200 189,956
ING Groep NV
(Diversified Financial Services) ... 6,931 427,495
Koninklijke Ahold NV
(Food and Drug Retail) ............. 8,398 312,297
Nutreco Holding NV (Food and Drug
Retail)............................. 5,000 202,863
Royal Dutch Petroleum Co. (Oil) ..... 90,200 5,293,612
TNT Post Group NV (Air Transport) ... 5,200 140,285
United Pan-Europe Communications NV
(Other Telecommunications) + ....... 4,900 253,756
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ...................... 7,200 291,741
------------
TOTAL NETHERLANDS 7,112,005
------------
NORWAY ( 0.2% )
Det Sondenfjelds-Norske
Dampskibsselskab (Oil Services) + .. 5,116 42,379
Merkantildata ASA
(Data and Imaging Services) ........ 18,600 186,322
Ocean Rig ASA (Oil Services) + ...... 871,200 309,924
Petroleum Geo-Services (Oil Services)
+................................... 17,300 292,166
Tomra Systems ASA (Producer Goods) .. 3,000 119,438
------------
TOTAL NORWAY 950,229
------------
SINGAPORE ( 0.0% )
United Overseas Bank Ltd.
(Banks and Thrifts) ................ 10,000 77,355
------------
SPAIN ( 0.0% )
Telefonica de Espana
(Major Telecommunications) ......... 4,386 205,792
------------
SWEDEN ( 0.2% )
Autoliv, Inc. (Automotive) .......... 7,000 243,847
Electrolux AB (Housing and
Furnishings)........................ 8,400 170,777
Industrial & Financial Systems
(Data and Imaging Services) + ++ ... 24,125 193,608
Securitas AB (Commercial Services) .. 24,000 356,676
Skandinaviska Enskilda Banken
(Banks and Thrifts) ................ 13,800 180,478
Swisscom AG
(Other Telecommunications) + ....... 7,600 280,250
------------
TOTAL SWEDEN 1,425,636
------------
SWITZERLAND ( 0.4% )
Adecco SA (Commercial Services) ..... 500 252,553
Fischer (Georg) AG (Producer Goods) . 800 298,466
Novartis AG Registered Shares (Drugs)
+................................... 265 388,679
Roche Holding AG (Drugs) ............ 51 600,965
Swiss Common
(Other Telecommunications) + ....... 1,200 441,393
UBS AG (Banks and Thrifts) .......... 850 289,204
------------
TOTAL SWITZERLAND 2,271,260
------------
NUMBER OF MARKET
SHARES VALUE
----------- ------------
UNITED KINGDOM ( 0.7% )
Bank of Scotland (Banks and Thrifts) 40,441 $ 605,561
British Aerospace Plc
(Conglomerate and Aerospace) ....... 18,835 141,017
British Telecom Plc
(Other Telecommunications) ......... 10,085 169,523
Cable & Wireless Plc
(Other Telecommunications) + ....... 6,000 86,172
Dixons Group Plc (Discretionary
Retail)............................. 23,358 499,068
General Electric Co. Plc
(Conglomerate and Aerospace) ....... 22,600 239,617
Glaxo Wellcome Plc (Drugs) .......... 6,534 193,365
Granada Group Plc (Electronic Media)
+................................... 22,145 473,507
Kingfisher Plc (Discretionary Retail) 19,058 285,373
National Westminster Bank Plc
(Banks and Thrifts) ................ 14,900 359,138
Provident Financial Plc (Consumer
Finance)............................ 12,100 202,030
SmithKline Beecham Plc (Drugs) ...... 26,900 356,022
Vodafone Group Plc
(Other Telecommunications) ......... 22,509 414,968
WPP Group Plc (Commercial Services) . 46,100 407,499
------------
TOTAL UNITED KINGDOM 4,432,860
------------
TOTAL FOREIGN COMMON STOCKS (COST $23,017,990) 28,767,764
------------
TOTAL COMMON STOCKS (COST $512,588,737) 620,774,731
------------
PREFERRED STOCKS ( 0.3% )
UNITED STATES ( 0.3% )
Case Corp. (Heavy Machinery) + ++ ... 800 64,341
Chancellor Media Corp.
(Electronic Media) + ............... 1,400 214,733
Equity Residential Properties
(Real Estate Investment Trusts) + .. 2,100 54,075
Ingersoll-Rand Co. (Producer Goods) + 4,200 136,237
International Paper Co. (Forest
Products
and Building Materials) + ++ ....... 700 37,800
Kaufman & Broad Home Corp.
(Housing and Furnishings) + ........ 19,200 163,200
Lincoln National Corp. (Insurance) + 5,600 148,400
Merrill "Dg" (Strypes)
(Discretionary Retail) + ........... 5,300 217,300
Merrill CBR (Investment Services) + . 2,100 90,300
Owens-Illinois, Inc.
(Forest Products and Building
Materials) + ....................... 1,400 56,700
Salomon, Inc. (Investment Services) + 5,200 364,000
Tanger Factory Outlet Centers, Inc.
(Real Estate Investment Trusts) + .. 4,200 100,537
Union Planters Co. (Banks and
Thrifts) + ......................... 1,400 75,950
------------
TOTAL UNITED STATES 1,723,573
------------
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
FOREIGN PREFERRED STOCKS ( 0.0% )
GERMANY ( 0.0% )
<S> <C> <C>
Hugo Boss AG (Textiles and Apparel) + 120 $ 170,754
TOTAL FOREIGN 170,754
-------------
TOTAL PREFERRED STOCKS (COST $1,778,962) 1,894,327
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS
--------------
PUT OPTIONS PURCHASED ( 0.0% )
<S> <C> <C>
Russell 2000 Index, Strike $390,
June 99............................. 5,000 22,188
Russell 2000 Index, Strike $400,
June 99............................. 87,600 514,650
S&P Midcap 400 Index, Strike $375,
June 99............................. 3,000 21,375
-------------
TOTAL PUT OPTIONS PURCHASED (COST $1,695,706) 558,213
-------------
PRINCIPAL
AMOUNT
--------------
LONG-TERM BONDS AND NOTES ( 1.2% )
CORPORATE BONDS ( 1.2% )
Agnico-Eagle Mines
Ltd.,3.50%,01/27/04................. $ 100,000 64,000
Alza Corp.,5.00%,05/01/06 ........... 70,000 76,563
American Express Credit Corp.,
1.13%,02/19/03 ..................... 180,000 222,750
Automatic Data Processing, Inc.,
Zero Coupon,02/20/12 ............... 30,000 35,363
Baker Hughes, Inc.,Zero
Coupon,05/05/08..................... 175,000 126,219
Brightpoint Convertible,
Zero Coupon,03/11/18 ............... 245,000 55,125
Checkpoint Systems,
Inc.,5.25%,11/01/05................. 88,000 67,760
Comcast Corp.,Zero Coupon,05/15/59 .. 530,000 390,212
Comverse Technology, Inc.,
5.75%,10/01/06 ++ .................. 400,000 854,000
Continental Airlines,
Inc.,6.75%,04/15/06 ++ ............. 140,000 200,900
Credence Systems Corp.,5.25%,09/15/02
++.................................. 300,000 250,500
Einstein/Noah Bagel
Corp.,7.25%,06/01/04................ 370,000 214,994
EMC Corp.,3.25%,03/15/02 ++ ........ 340,000 1,597,364
Fremont General Corp.,
Zero Coupon,10/12/13 ............... 370,000 288,600
Hewlett Packard Co.,
Zero Coupon,10/14/17 ++ ............ 630,000 365,400
Home Depot, Inc.,3.25%,10/01/01 ..... 140,000 360,500
Homebase, Inc.,5.25%,11/01/04 ....... 210,000 157,763
Integrated Health Services, Inc.,
5.75%,01/01/01 ..................... 105,000 67,463
Kerr-McGee Corp.,7.50%,05/15/14 ..... 50,000 50,000
Marriott International, Inc.,
Zero Coupon,03/25/11 ++ ............ 270,000 214,988
NAC Re Corp.,5.25%,12/15/02 ++ ...... 70,000 72,800
National Semiconductor Corp.,
6.50%,10/01/02 ++ .................. 350,000 295,312
Office Depot, Inc.,Zero
Coupon,12/11/07..................... 275,000 262,281
PRINCIPAL MARKET
AMOUNT VALUE
----------- ------------
CORPORATE BONDS (CONTINUED)
Ogden Corp.,5.75%,10/20/02 .......... $ 70,0000 $ 66,150
Ogden Corp.,6.00%,06/01/02 .......... 25,000 23,875
Pennzenergy Co.,4.90%,08/15/08 ...... 39,000 42,023
Phycor, Inc.,4.50%,02/15/03 ......... 105,000 59,981
Phymatrix Corp.,6.75%,06/15/03 ...... 200,000 94,000
Pioneer Financial
Services,6.50%,04/01/03............. 105,000 111,300
Roche Holdings,Zero Coupon,05/06/12
++.................................. 875,000 453,906
Tel-Save Holding, Inc.,5.00%,12/15/04
++.................................. 100,000 74,625
Thermo Instrument System,
4.50%,10/15/03 ++ .................. 70,000 61,950
Tribune Co.,Zero Coupon,05/15/29 .... 290,000 428,112
U.S. Cellular Corp.,Zero
Coupon,06/15/15..................... 175,000 79,406
Vantive Corp.,4.75%,09/01/02 ++ ..... 70,000 51,100
Veterinary Centers of America, Inc.,
5.25%,05/01/06 ++ .................. 35,000 25,550
------------
TOTAL LONG-TERM BONDS AND NOTES (COST $6,200,376) 7,862,835
------------
SHORT-TERM INVESTMENTS ( 4.1% )
Federal Home Loan Bank,4.80%,05/03/99 11,963,000 11,963,000
Sprint Capital Corp.,5.00%,05/12/99
++.................................. 10,800,000 10,786,500
U.S. Treasury Bill,4.43%,08/19/99 @ . 4,200,000 4,143,678
------------
TOTAL SHORT-TERM INVESTMENTS (COST $26,893,682) 26,893,178
------------
TOTAL INVESTMENTS (COST $549,157,463)(A) 657,982,984
OTHER ASSETS LESS LIABILITIES 856,810
------------
TOTAL NET ASSETS $658,839,794
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$553,869,998. Unrealized gains and losses, based on identified tax cost at
April 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains ......................... $124,788,986
Unrealized losses ........................ (20,676,000)
------------
Net unrealized gain ................... $104,112,986
============
</TABLE>
Information concerning open futures contracts at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
- --------------------
DAX Index Futures ..... 2 $ 277,260 Jun 99 $ 16,373
S&P 500 Index Future .. 160 52,749,411 Jun 99 710,589
------------ ---------
$ 53,026,671 $ 726,962
============ =========
</TABLE>
See Notes to Portfolio of Investments. 27
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
--------- ---------- ---------- -------------
SHORT CONTRACTS
- -------------------
<S> <C> <C> <C> <C>
TOPIX Index Futures 7 $ (742,293) Jun 99 $ (47,795)
============ ===========
</TABLE>
Information concerning options written at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
NO. OF EXERCISE EXPIRATION MARKET
CONTRACTS PRICE DATE VALUE
----------- ---------- ------------ ----------------
CALL OPTIONS
- ----------------------
<S> <C> <C> <C> <C>
Russell 2000 Index.... 50 $390.00 Jun99 $ (236,250)
Russell 2000 Index.... 876 400.00 Jun99 (3,394,500)
S&P Midcap 400 Index.. 30 375.00 Jun99 (83,813)
-----------
$(3,714,563)
===========
</TABLE>
+ 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.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1999.
Information concerning restricted securities at April 30, 1999 is shown
below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
--------------- ---------------
<S> <C> <C>
Beacon Capital ........................ 03/17/98 $ 520,000
Case Corp. ............................ 05/16/95 61,800
Comverse Technology, Inc. ............. 10/02/96 400,000
Continental Airlines, Inc. ............ 03/26/96 148,047
Credence Systems Corp. ................ 09/04/97 300,000
EMC Corp. ............................. 03/06/97 340,000
Hewlett Packard Co. ................... 10/08/97 355,522
Industrial & Financial Systems ........ 06/12/97 132,492
International Paper Co. ............... 07/13/95 35,000
03/19/96-
Marriott International, Inc. .......... 05/22/96
162,313
NAC Re Corp. .......................... 12/28/92 69,745
National Semiconductor Corp. .......... 09/22/95 350,000
Roche Holdings ........................ 04/29/97 386,734
Sprint Capital Corp. .................. 04/12/99 10,786,500
Tel-Save Holding, Inc. ................ 12/05/97 100,000
Thermo Instrument System .............. 10/10/96 70,000
Vantive Corp. ......................... 08/15/97 70,000
Veterinary Centers of America, Inc. ... 06/20/96 34,431
-----------
$14,322,584
===========
</TABLE>
The market value of the total restricted securities above represent 2.43% of the
total net assets.
Category percentages are based on net assets.
28 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
REAL ESTATE
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMON STOCKS ( 93.3% )
REAL ESTATE INVESTMENT TRUSTS ( 93.3% )
Apartment Investment & Management Co. ... 4,600 $ 184,287
Archstone Communities Trust ............. 2,200 49,913
Arden Realty Group, Inc. ................ 600 15,000
Avalon Bay Communities, Inc. ............ 1,600 56,000
Beacon Capital + + ...................... 6,600 99,825
Bedford Property Investors, Inc. ........ 2,000 34,375
Boston Properties, Inc. ................. 1,000 36,313
Brandywine Realty Trust ................. 10,300 194,412
Camden Property Trust ................... 7,600 205,200
Captec Net Lease Realty, Inc. ........... 300 3,928
CBL & Associates Properties, Inc. ....... 7,000 171,937
Chateau Communities, Inc. ............... 1,400 40,688
Colonial Properties Trust ............... 4,900 134,137
Cousins Properties, Inc. ................ 1,500 52,125
Criimi Mae, Inc. ........................ 7,800 18,038
Equity Office Properties Trust .......... 9,100 250,819
Equity One, Inc. ........................ 900 8,156
Equity Residential Properties Trust ..... 5,000 231,250
Essex Property Trust, Inc. .............. 4,800 151,500
First Industrial Realty Trust, Inc. ..... 2,500 67,188
Franchise Finance Corp. of America ...... 1,100 25,506
General Growth Properties, Inc. ......... 2,500 92,031
Glenborough Realty Trust, Inc. .......... 7,200 123,750
Golf Trust of America, Inc. ............. 2,800 62,125
Health Care REIT, Inc. .................. 5,900 138,650
Healthcare Realty Trust, Inc. ........... 1,600 34,900
Home Properties of New York, Inc. ....... 700 18,113
HRPT Properties Trust ................... 2,800 40,950
Imperial Credit Commercial Mortgage
Investment Corp. ....................... 500 4,906
Kilroy Realty Corp. ..................... 1,600 37,700
Kimco Realty Corp. ...................... 3,800 149,150
Koger Equity, Inc. ...................... 5,700 83,719
Kranzco Realty Trust .................... 2,100 29,400
Liberty Property Trust .................. 4,600 110,975
OMEGA Healthcare Investors, Inc. ........ 700 18,463
Parkway Properties, Inc. ................ 2,400 69,600
Post Properties, Inc. ................... 4,700 186,237
Prime Retail, Inc. ...................... 900 7,763
PS Business Parks, Inc. ................. 8,300 194,012
Public Storage, Inc. .................... 1,716 47,834
Reckson Associates Realty Corp. ......... 1,900 42,750
Regency Realty Corp. .................... 5,600 121,100
Simon Property Group, Inc. .............. 4,400 126,225
Sovran Self Storage, Inc. ............... 400 9,775
Starwood Hotels & Resort Worldwide, Inc. 5,430 199,213
Tower Realty Trust, Inc. ................ 800 16,400
Trizec Hahn Corp. ....................... 300 6,375
Vornado Operating Co. + ................. 260 1,820
Vornado Realty Trust .................... 5,200 202,800
NUMBER OF MARKET
SHARES VALUE
------------ -----------
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Weeks Corp. ............................. 3,800 $ 118,037
-----------
TOTAL COMMON STOCKS (COST $4,861,943) 4,325,370
-----------
PRINCIPAL
AMOUNT
----------
SHORT-TERM INVESTMENTS ( 6.1% )
Federal Home Loan Bank,4.80%,05/03/99 ... $280,000 280,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $280,000) 280,000
-----------
TOTAL INVESTMENTS (COST $5,141,943)(A) 4,605,370
OTHER ASSETS LESS LIABILITIES 29,815
-----------
TOTAL NET ASSETS $4,635,185
===========
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$5,181,112. Unrealized gains and losses, based on identified tax cost at
April 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains.............................. $ 75,076
Unrealized losses............................. (650,818)
----------
Net unrealized loss.......................... $(575,742)
==========
</TABLE>
+ Non-income producing security.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
Information concerning restricted securities at April 30, 1999 is shown
below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
-------------- ---------
<S> <C> <C>
Beacon Capital ................. 03/17/98 $132,000
========
</TABLE>
The market value of the total restricted securities above represent 2.15% of the
total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 29
<PAGE>
GROWTH AND INCOME FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
GROWTH AND
BALANCED INCOME REAL ESTATE
------------- --------------- ----------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value.................. $134,801,777 $657,982,984 $4,605,370
Cash ................... 9,838 139,313 534
Cash denominated in
foreign currencies .... -- 1,773,017 --
Receivable for:
Dividends and interest 733,106 556,842 9,525
Investments sold ...... 422,576 4,382,920 --
Fund shares sold ...... 67,208 1,234,341 15,128
Recoverable foreign
taxes.................. -- 41,551 --
Reimbursement from
Investment Adviser .... -- -- 12,700
Prepaid expenses ....... 1,758 9,768 47
Gross unrealized gain on
forward foreign
currency exchange
contracts.............. -- 179,258 --
------------ ------------ ----------
Total assets ...... 136,036,263 666,299,994 4,643,304
------------ ------------ ----------
LIABILITIES:
Payable for:
Investments purchased . 164,399 2,652,559 --
Fund shares redeemed .. 14,974 32,515 --
Variation margin ...... 2,450 427,016 --
Other liabilities ...... 158,210 600,841 8,119
Gross unrealized loss on
forward foreign
currency exchange
contracts.............. -- 32,706 --
Options written, at
market value (Premium
received, Growth and
Income, $1,906,145) ... -- 3,714,563 --
------------ ------------ ----------
Total liabilities . 340,033 7,460,200 8,119
------------ ------------ ----------
NET ASSETS............. $135,696,230 $658,839,794 $4,635,185
============ ============ ==========
NET ASSETS REPRESENTED BY:
Paid-in capital ........ $108,560,933 $493,600,043 $5,378,849
Net unrealized gain
(loss) on investments,
open futures contracts,
options and foreign
currency related
transactions........... 23,149,264 107,864,242 (536,573)
Undistributed net
investment income ..... 939,556 1,485,394 92,575
Accumulated net realized
gain (loss) on
investments............ 3,046,477 55,890,115 (299,666)
------------ ------------ ----------
NET ASSETS ............ $135,696,230 $658,839,794 $4,635,185
============ ============ ==========
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
GROWTH AND
BALANCED INCOME REAL ESTATE
------------- --------------- ----------------
<S> <C> <C> <C>
CAPITAL SHARES, $.001 PAR
VALUE:
Class I:
Outstanding ........... 8,980,216 38,094,309 466,893
Net Assets ............ $122,748,337 $621,024,238 $3,983,916
Net Asset Value,
offering and
redemption price per
share (net assets
divided by shares
outstanding).......... $ 13.67 $ 16.30 $ 8.53
Class A:
Outstanding ........... 875,359 2,230,529 45,285
Net Assets ............ $ 11,950,965 $ 36,246,118 $ 385,628
Net Asset Value and
redemption price per
share (net assets
divided by shares
outstanding).......... $ 13.65 $ 16.25 $ 8.52
Offering price (net
asset value divided by
1 minus maixmum sales
load)................. $ 14.48 $ 17.24 $ 9.04
Class B:
Outstanding ........... 7,991 15,646 16,920
Net Assets ............ $ 109,092 $ 254,656 $ 144,114
Net Asset Value,
offering and
redemption price per
share (net assets
divided by shares
outstanding).......... $ 13.65 $ 16.28 $ 8.52
Class C:
Outstanding ........... 65,356 81,163 14,298
Net Assets ............ $ 887,836 $ 1,314,782 $ 121,527
Net Asset Value,
offering and
redemption price per
share (net assets
divided by shares
outstanding).......... $ 13.58 $ 16.20 $ 8.50
Cost of investments .... $111,756,528 $549,157,463 $5,141,943
Cost of cash denominated
in foreign currencies . $ -- $ 1,760,024 $ --
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
GROWTH AND INCOME FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
GROWTH AND
BALANCED INCOME REAL ESTATE
------------ ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ......................... $ 423,848 $ 4,240,027 $ 140,272
Interest .......................... 1,803,045 962,158 4,906
----------- ------------ ---------
2,226,893 5,202,185 145,178
Foreign taxes withheld on dividends (450) (17,843) (8)
----------- ------------ ---------
Total investment income ........ 2,226,443 5,184,342 145,170
----------- ------------ ---------
INVESTMENT EXPENSES:
Investment advisory fee ........... 510,388 2,214,759 17,235
Administrative services fees ...... 63,798 334,526 2,154
Distribution Plan and shareholder
services fees .................... 14,569 45,178 1,157
Printing and postage .............. 5,953 29,236 817
Custody fees ...................... 29,248 40,589 1,665
Transfer agent fees ............... 58,641 223,568 8,951
Audit fees ........................ 15,913 26,989 14,840
Directors' fees ................... 988 5,172 30
Registration fees ................. 28,455 37,315 25,467
Miscellaneous Expenses ............ 2,383 14,306 206
----------- ------------ ---------
Expenses before reimbursement and
waiver from Investment Adviser ... 730,336 2,971,638 72,522
Expense reimbursement and waiver
from Investment Adviser .......... -- -- (43,389)
----------- ------------ ---------
Net expenses ................... 730,336 2,971,638 29,133
----------- ------------ ---------
Net investment income ............. 1,496,107 2,212,704 116,037
----------- ------------ ---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ...................... 3,293,694 46,810,396 (143,877)
Options Written .................. -- (3,417,590) --
Futures and forward foreign
currency exchange contracts ...... 36,667 15,482,510 --
Foreign currency related
transactions...................... -- (300,158) --
----------- ------------ ---------
Net realized gain (loss) on
investments................... 3,330,361 58,575,158 (143,877)
----------- ------------ ---------
Net change in unrealized gain or loss on:
Investments ...................... 10,723,719 61,077,082 301,991
Options Written .................. -- 930,232 --
Futures and forward foreign
currency exchange contracts ...... 104,015 (3,503,791) --
Foreign currency related
transactions...................... -- 29,236 --
----------- ------------ ---------
Net change in unrealized gain
or loss on investments ....... 10,827,734 58,532,759 301,991
----------- ------------ ---------
Net realized and change in
unrealized gain or loss on
investments....................... 14,158,095 117,107,917 158,114
----------- ------------ ---------
Net increase in net assets
resulting from operations ........ $15,654,202 $119,320,621 $ 274,151
=========== ============ =========
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
BALANCED
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 1,496,107 $ 3,012,205
Net realized gain on investments........... 3,330,361 5,269,236
Net change in unrealized gain or loss on
investments............................... 10,827,734 3,918,441
------------ ------------
Net increase in net assets resulting from
operations................................ 15,654,202 12,199,882
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (1,887,627) (2,517,099)
From net realized gains................... (5,225,036) (17,098,126)
Class A:
From net investment income................ (125,258) (124,633)
From net realized gains................... (374,055) (1,050,028)
Class C:
From net investment income................ (4,825) --
From net realized gains................... (16,008) --
------------ ------------
Decrease in net assets from distributions
to shareholders........................... (7,632,809) (20,789,886)
------------ ------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 14,499,112 14,655,810
Net asset value of shares issued upon
reinvestment of distributions............ 7,049,394 19,424,551
Payments for shares redeemed.............. (18,091,610) (19,929,395)
Class A:
Proceeds from shares sold................. 4,838,328 2,486,906
Net asset value of shares issued upon
reinvestment of distributions............ 446,010 1,086,605
Payments for shares redeemed.............. (1,463,341) (1,807,735)
Class B:
Proceeds from shares sold................. 208,991 --
Payments for shares redeemed.............. (105,793) --
Class C:
Proceeds from shares sold................. 731,225 219,047
Net asset value of shares issued upon
reinvestment of distributions............ 14,853 --
Payments for shares redeemed.............. (99,675) (35)
------------ ------------
Net increase in net assets from fund share
transactions.............................. 8,027,494 16,135,754
------------ ------------
Net change in net assets................... 16,048,887 7,545,750
NET ASSETS:
Beginning of period........................ 119,647,343 112,101,593
------------ ------------
End of period.............................. $135,696,230 $119,647,343
============ ============
End of period net assets includes
undistributed net investment income....... $ 939,556 $ 1,461,159
============ ============
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
GROWTH AND INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
BALANCED
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 1,082,395 1,132,731
Number of shares issued upon reinvestment
of distributions......................... 537,301 1,600,420
Number of shares redeemed................. (1,350,990) (1,531,060)
------------ ------------
Net increase.............................. 268,706 1,202,091
============ ============
Class A:
Number of shares sold..................... 362,639 191,352
Number of shares issued upon reinvestment
of distributions......................... 34,020 89,446
Number of shares redeemed................. (109,340) (140,421)
------------ ------------
Net increase.............................. 287,319 140,377
============ ============
Class B:
Number of shares sold..................... 15,708 --
Number of shares redeemed................. (7,717) --
------------ ------------
Net increase.............................. 7,991 --
============ ============
Class C:
Number of shares sold..................... 54,930 16,867
Number of shares issued upon reinvestment
of distributions......................... 1,136 --
Number of shares redeemed................. (7,575) (2)
------------ ------------
Net increase.............................. 48,491 16,865
============ ============
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
GROWTH AND INCOME
---------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income..................... $ 2,212,704 $ 4,682,686
Net realized gain on investments.......... 58,575,158 68,346,263
Net change in unrealized gain or loss on
investments.............................. 58,532,759 (49,393,211)
------------- -------------
Net increase in net assets resulting from
operations............................... 119,320,621 23,635,738
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............... (3,809,346) (4,791,113)
From net realized gains.................. (66,695,846) (111,685,312)
Class A:
From net investment income............... (144,319) (44,536)
From net realized gains.................. (3,028,420) (3,276,091)
Class C:
From net investment income............... (3,665) --
From net realized gains.................. (97,390) --
------------- -------------
Decrease in net assets from distributions
to shareholders.......................... (73,778,986) (119,797,052)
------------- -------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................ 28,183,200 87,079,753
Net asset value of shares issued upon
reinvestment of distributions........... 70,413,374 116,279,112
Payments for shares redeemed............. (135,573,573) (91,334,416)
Class A:
Proceeds from shares sold................ 116,842,286 33,833,963
Net asset value of shares issued upon
reinvestment of distributions........... 3,105,138 3,244,173
Payments for shares redeemed............. (109,280,489) (26,766,561)
Class B:
Proceeds from shares sold................ 350,288 --
Payments for shares redeemed............. (106,035) --
Class C:
Proceeds from shares sold................ 709,451 870,297
Net asset value of shares issued upon
reinvestment of distributions........... 90,440 --
Payments for shares redeemed............. (100,693) (304,290)
------------- -------------
Net increase (decrease) in net assets
from fund share transactions............. (25,366,613) 122,902,031
------------- -------------
Net change in net assets.................. 20,175,022 26,740,717
NET ASSETS:
Beginning of period....................... 638,664,772 611,924,055
------------- -------------
End of period............................. $ 658,839,794 $ 638,664,772
============= =============
End of period net assets includes
undistributed net investment income...... $ 1,485,394 $ 3,230,020
============= =============
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
GROWTH AND INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
GROWTH AND INCOME
---------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................... 1,783,669 5,298,233
Number of shares issued upon reinvestment
of distributions........................ 4,551,608 7,727,547
Number of shares redeemed................ (8,499,658) (5,721,922)
------------- -------------
Net increase (decrease).................. (2,164,381) 7,303,858
============= =============
Class A:
Number of shares sold.................... 7,418,160 2,255,360
Number of shares issued upon reinvestment
of distributions........................ 201,110 216,176
Number of shares redeemed................ (6,939,331) (1,806,982)
------------- -------------
Net increase............................. 679,939 664,554
============= =============
Class B:
Number of shares sold.................... 22,135 --
Number of shares redeemed................ (6,489) --
------------- -------------
Net increase............................. 15,646 --
============= =============
Class C:
Number of shares sold.................... 43,931 57,776
Number of shares issued upon reinvestment
of distributions........................ 5,861 --
Number of shares redeemed................ (6,011) (20,394)
------------- -------------
Net increase............................. 43,781 37,382
============= =============
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
REAL ESTATE
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 2, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income................... $ 116,037 $ 127,208
Net realized loss on investments........ (143,877) (155,789)
Net change in unrealized gain or loss on
investments............................ 301,991 (838,564)
---------- ----------
Net increase (decrease) in net assets
resulting from operations............. 274,151 (867,145)
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............. (137,846) --
Class A:
From net investment income............. (9,276) --
Class C:
From net investment income............. (3,548) --
---------- ----------
Decrease in net assets from
distributions to shareholders.......... (150,670) --
---------- ----------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold.............. 42,405 4,990,040
Net asset value of shares issued upon
reinvestment of distributions......... 2,120 --
Payments for shares redeemed........... (128,395) (198,474)
Class A:
Proceeds from shares sold.............. 342,924 301,137
Net asset value of shares issued upon
reinvestment of distributions......... 3,490 --
Payments for shares redeemed........... (238,755) (3,008)
Class B:
Proceeds from shares sold.............. 133,990 --
Class C:
Proceeds from shares sold.............. 22,000 108,520
Net asset value of shares issued upon
reinvestment of distributions......... 855 --
---------- ----------
Net increase in net assets from fund
share transactions.................... 180,634 5,198,215
---------- ----------
Net change in net assets................ 304,115 4,331,070
NET ASSETS:
Beginning of period..................... 4,331,070 --
---------- ----------
End of period........................... $4,635,185 $4,331,070
========== ==========
End of period net assets includes
undistributed net investment income.... $ 92,575 $ 127,208
========== ==========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
GROWTH AND INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
REAL ESTATE
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 2, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................. 5,304 499,402
Number of shares issued upon
reinvestment of distributions......... 265 --
Number of shares redeemed.............. (15,934) (22,144)
---------- ----------
Net increase (decrease)................ (10,365) 477,258
========== ==========
Class A:
Number of shares sold.................. 42,887 32,338
Number of shares issued upon
reinvestment of distributions......... 436 --
Number of shares redeemed.............. (30,024) (352)
---------- ----------
Net increase........................... 13,299 31,986
========== ==========
Class B:
Number of shares sold.................. 16,920 --
---------- ----------
Net increase........................... 16,920 --
========== ==========
Class C:
Number of shares sold.................. 2,642 11,549
Number of shares issued upon
reinvestment of distributions......... 107 --
---------- ----------
Net increase........................... 2,749 11,549
========== ==========
</TABLE>
38 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1999 (UNAUDITED)
================================================================================
1. ORGANIZATION
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds, each of which has its
own investment objective, policies and restrictions.
This report covers three funds, (each a Fund; collectively, the Funds), Aetna
Balanced Fund (Balanced), Aetna Growth and Income Fund (Growth and Income) and
Aetna Real Estate Securities Fund (Real Estate).
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 four classes of shares, Class I, Class A,
Class B and Class C. Class I is offered principally to institutions.
Shareholders not eligible to purchase Class I shares can purchase shares in any
other Class of the Funds. Information regarding sales charges and fees pursuant
to Rule 12b-1 of the Act are as follows:
CLASS I: No sales charges or distribution fees.
CLASS A: Generally subject to a front-end sales charge; distribution fees of
0.25% (of average net assets of the class per year.)
CLASS B: No front-end sales charge; contingent deferred sales charge (CDSC)
applies if you sell your shares within six years of purchase;
distribution fees of 0.75%; service fees of 0.25%; automatic
conversion to Class A shares after eight years.
CLASS C: No front-end sales charge; CDSC on redemptions made within 18 months
of purchase; distribution fees of 0.75%; service fees of 0.25%.
Shares in each Class were first made available to the public on the following
dates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
BALANCED December 27, 1991 April 15, 1994 March 1, 1999 June 30, 1998
GROWTH AND INCOME December 27, 1991 April 15, 1994 March 1, 1999 June 30, 1998
REAL ESTATE February 2, 1998 February 2, 1998 March 1, 1999 June 30, 1998
</TABLE>
The following is each Fund's investment objective:
BALANCED seeks to maximize total return with reasonable safety of principal by
investing in a diversified portfolio of stocks, bonds and money market
instruments.
GROWTH AND INCOME seeks long-term growth of capital and income through
investment in a diversified portfolio consisting primarily of common stocks
and securities convertible into common stocks believed to offer above-average
growth potential.
REAL ESTATE seeks maximum total return primarily through investment in a
diversified portfolio of equity securities of real estate companies, the
majority of which are real estate investment trusts.
Aeltus Investment Management, Inc. (Aeltus) serves as the Investment Adviser to
each Fund. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly-owned subsidiaries of Aetna Inc. (Aetna).
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.
39
<PAGE>
GROWTH AND INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
================================================================================
A. VALUATION OF INVESTMENTS
Investments are stated at market values based upon prices furnished by external
pricing sources 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. The Funds do not isolate the portion of
the results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in their market prices.
Such fluctuations are included in net realized and unrealized gain or loss on
investments.
B. OPTIONS CONTRACTS
The Funds may purchase put and call options and may write (sell) put options and
covered call options. The Funds engage in option transactions as a hedge against
adverse movements in the value of portfolio holdings or to increase market
exposure.
Option contracts are valued daily and unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the options
are traded. The Funds will realize a gain or loss upon the expiration or closing
of the option contract. When an option is exercised, the proceeds on sales of
the underlying security for a written call option, the purchase cost of the
security for a written put option, or the cost of the security for a purchased
put or call option is adjusted by the amount of premium received or paid.
Realized and unrealized gains or losses on option contracts are reflected in the
accompanying financial statements.
The risk in writing a call option is that the Funds give up the opportunity for
profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a loss
if the market price of the security decreases and the option is exercised. The
risk in buying an option is that the Funds pay a premium whether or not the
option is exercised. Risks may also arise from an illiquid secondary market or
from the inability of counterparties to meet the terms of the contract.
C. FUTURES AND FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument, including an
index of stocks, at a set price on a future date. The Funds invest in financial
futures contracts as a hedge against its existing portfolio securities, to
manage the risk of changes in interest rates, equity prices, currency exchange
rates or in anticipation of future purchases and sales of portfolio securities.
Upon entering into a futures contract, the Funds are required to deposit with a
broker an amount (initial margin) equal to a percentage of the purchase price
indicated by the futures contract. Subsequent deposits (variation margin) are
received or paid each day by the Funds equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by the Funds as
unrealized gains or losses. When a contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Generally,
futures contracts held by the Funds are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Funds, where authorized, may use forward
foreign currency exchange contracts to hedge against foreign currency exchange
rate risks on its non-U.S. dollar denominated portfolio securities. Contracts
are recorded at market value and marked-to-market daily.
The risks associated with futures and forward foreign currency exchange
contracts may arise from an imperfect correlation
40
<PAGE>
================================================================================
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 financial futures and forward foreign
currency exchange contracts are reflected in the accompanying financial
statements. The amounts at risk under such futures and forward foreign currency
exchange contracts may exceed the amounts reflected in the financial statements.
The notional amounts (economic exposure) of these contracts are disclosed in the
Portfolios of Investments and elsewhere in the Notes to Financial Statements.
For federal income tax purposes, any futures and forward foreign currency
exchange contracts which remain open at the end of the fiscal year are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
D. ILLIQUID AND RESTRICTED SECURITIES
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are those sold under Rule 144A of the
Securities Act of 1933 (1933 Act) or are securities offered pursuant to Section
4(2) of the 1933 Act, and are subject to legal or contractual restrictions on
resale and may not be publicly sold without registration under the 1933 Act.
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. Below is a
summary of illiquid and restricted securities held as of April 30, 1999:
<TABLE>
<CAPTION>
% OF NET
COST MARKET VALUE ASSETS
---- ------------ --------
<S> <C> <C> <C>
Growth and Income 520,000 393,250 0.06%
Real Estate 132,000 99,825 2.15%
</TABLE>
E. DELAYED DELIVERY TRANSACTIONS
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' Portfolio of Investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract. In connection with such purchases, the Funds are required
to hold liquid assets as collateral with the Funds' custodian sufficient to
cover the purchase price.
F. FEDERAL INCOME TAXES
Each Fund has met the requirements to be taxed as a regulated investment company
for the year ended October 31, 1998 and intends to meet the requirements for the
current year. As such, each Fund is relieved of federal income taxes by
distributing all of its net taxable investment income and capital gains, if any,
in compliance with the applicable provisions of the Internal Revenue Code.
Furthermore, by distributing substantially all of its net taxable investment
income and capital gains during the calendar year, each Fund will avoid federal
excise taxes in accordance with the applicable provisions of the Internal
Revenue Code. Thus, the financial statements contain no provision for federal
taxes.
G. DISTRIBUTIONS
Distributions from net investment income are based on taxable net income. Income
and capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These distributions from net investment income are based on taxable net income.
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, certain futures contracts, certain investments in foreign equity
securities and certain losses deferred due to transactions characterized as
"wash sales" by federal
41
<PAGE>
GROWTH AND INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
================================================================================
tax regulations. In addition, distributions of realized gains from sales of
securities held one year or less are taxable to shareholders at ordinary income
tax rates rather than preferred capital gain tax rates in accordance with the
applicable provisions of the Internal Revenue Code.
H. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICES AND DISTRIBUTION FEES
Each Fund pays Aeltus a monthly fee expressed as a percentage of the average
daily net assets of each Fund. As the Funds' net assets exceed predetermined
thresholds, lower advisory fees are applied. Below are the Funds' annual
investment advisory fee ranges and the annual effective rates before waivers as
of April 30, 1999:
<TABLE>
<CAPTION>
FEE EFFECTIVE
RANGE RATE
----- ---------
<S> <C> <C>
Balanced 0.80% - 0.65% 0.80%
Growth and Income 0.70% - 0.55% 0.66%
Real Estate 0.80% - 0.65% 0.80%
</TABLE>
The Company and Aeltus have entered into an Administrative Services Agreement
under which Aeltus acts as administrator and provides certain administrative and
shareholder services and is responsible for the supervision of other service
providers for each Fund. Each Fund pays Aeltus an administrative services fee at
an annual rate of 0.10% of its average daily net assets.
Aeltus has entered into a Service Agreement with Aetna Life Insurance and
Annuity Company (ALIAC) under which ALIAC will provide various administrative
and shareholder services to certain shareholders that purchased their shares
through ALIAC. In exchange for these services, Aeltus pays ALIAC a fee of up to
0.40% of the average daily net assets associated with those shares. For the
period November 1, 1998 through April 30, 1999, Aeltus paid ALIAC $1,311,506.
The Company has adopted a Shareholder Services Plan for the Class B and Class C
shares. Under the Shareholder Services Plan, ACI is paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class B and Class C
shares. This fee is used as compensation for expenses incurred in servicing
shareholders' accounts.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Class A, Class B, and Class C shares. The Distribution Plan provides for
payments to the principal underwriter at an annual rate of 0.25% of the average
daily net assets of Class A shares of each Fund and 0.75% of the average daily
net assets of Class B and Class C shares of each Fund. Amounts paid by the Funds
are used to pay expenses incurred by the principal underwriter in promoting the
sale of Class A, Class B and Class C shares. The Distribution Plan may be
terminated as to each class of shares upon a majority vote of the Company's
independent directors.
Presently, the Funds' class-specific expenses are limited to distribution fees
incurred by Class A, Class B and Class C shares and service fees incurred by
Class B and Class C shares.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse Real
Estate for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase a Fund's yield and total return.
42
<PAGE>
================================================================================
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended April 30, 1999 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Balanced $58,639,685 $47,786,449
Growth and Income 388,136,657 444,340,774
Real Estate 284,352 231,210
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
As of April 30, 1999, Real Estate incurred a capital loss carryforward of
$117,592. This capital loss carryforward may be used to offset future capital
gains until October 31, 2006, at which time the carryforward will expire. It is
the policy of each of the Funds to reduce future distributions of realized gains
to shareholders to the extent of the unexpired capital loss carryforward.
7. OPTIONS
All Funds may use options. For the period ended April 30, 1999, the following
reflects the written covered call activity:
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
--------------------
NUMBER OF PREMIUM REALIZED
GROWTH AND INCOME CONTRACTS RECEIVED GAIN (LOSS)
--------- -------- -----------
<S> <C> <C> <C>
Outstanding October
31, 1998 2,004 $4,287,813 $ --
Written 2,610 5,786,621 --
Closed (3,598) (8,133,970) (3,417,590)
Exercised (60) (34,319) --
---------------------------------------------------
Outstanding April 30,
1999 956 $1,906,145 $(3,417,590)
===================================================
</TABLE>
8. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of April 30, 1999, Growth and Income had open forward foreign currency
exchange contracts that obligate the Fund to deliver currencies at specified
future dates. The net unrealized gain of $146,552 on these contracts are
included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
GROWTH AND INCOME
- -----------------
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1999 BE RECEIVED APRIL 30, 1999 GAIN (LOSS)
---- ------------ --------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
6/25/99 87,644 $87,644 82,000 $86,350 ($1,294)
U.S. Dollar Euro
- ----------------------------------------------------------------------------------
6/25/99 724,914 724,914 680,000 716,072 (8,842)
U.S. Dollar Euro
- ----------------------------------------------------------------------------------
5/26/99 158,045 158,045 18,500,000 155,582 (2,463)
U.S. Dollar Japanese Yen
- ----------------------------------------------------------------------------------
7/27/99 459,330 459,330 54,680,000 463,725 4,395
U.S. Dollar French Franc
- ----------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
GROWTH AND INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
================================================================================
GROWTH AND INCOME (CONTINUED)
- -----------------------------
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1999 BE RECEIVED APRIL 30, 1999 GAIN (LOSS)
---- ------------ --------------- ----------- -------------- -----------
CONTRACTS TO SELL
- -----------------
<S> <C> <C> <C> <C> <C> <C>
5/4/99 834,000 $550,277 542,517 $542,517 ($7,760)
Australian Dollar U.S. Dollar
- ------------------------------------------------------------------------------------
5/6/99 28,000 45,109 45,276 45,276 167
British Pound U.S. Dollar
- ------------------------------------------------------------------------------------
5/4/99 328,000 347,218 349,406 349,406 2,188
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
5/12/99 679,770 718,911 771,851 771,851 52,940
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
6/25/99 776,124 817,295 850,496 850,496 33,201
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
7/19/99 1,161,653 1,220,781 1,258,941 1,258,941 38,160
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
5/6/99 60,750,000 510,182 504,736 504,736 (5,446)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
5/26/99 59,290,000 498,617 494,495 494,495 (4,122)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
5/26/99 7,510,000 63,158 61,750 61,750 (1,408)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
5/26/99 11,000,000 92,508 93,549 93,549 1,041
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
6/17/99 91,250,000 769,454 782,590 782,590 13,136
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
7/27/99 92,970,000 788,452 787,081 787,081 (1,371)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
6/7/99 1,513,000 998,030 1,032,060 1,032,060 34,030
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------
$146,552
=============
</TABLE>
9. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 12.6 billion shares. Of those 12.6
billion shares, the following have been designated to the Funds described in
this report as follows: all of the Funds have been allocated 100 million shares
each of Class I, Class A, Class B and Class C shares. As of April 30, 1999, the
following shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
Balanced 1,608,569 -- -- --
Growth and Income 5,115,693 -- -- --
Real Estate 454,361 10,000 12,706 10,582
</TABLE>
44
<PAGE>
GROWTH AND INCOME FUNDS
ADDITIONAL INFORMATION
APRIL 30, 1999 (UNAUDITED)
================================================================================
YEAR 2000
The Funds receive services from a number of providers which rely on the
effective functioning of their respective systems and the systems of others to
perform those services. It is generally recognized that certain systems in use
today may not be able to perform their intended functions adequately after 1999
because of the inability of computer systems and software to distinguish the
year 2000 from the year 1900. Aeltus is taking steps that it believes are
reasonably designed to address this potential "Year 2000" problem and to obtain
satisfactory information that comparable steps are being taken by each of the
Funds' other major service providers. There can be no assurance, however, that
these steps will be sufficient to avoid any adverse impact on the Funds from
this problem.
45
<PAGE>
GROWTH AND INCOME FUNDS
FINANCIAL HIGHLIGHTS
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH TEN MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, DECEMBER 31,
CLASS I (UNAUDITED) 1998 1997 1996 1995 1994 1993
- ------------------------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $ 12.84 $ 14.09 $ 13.52 $ 12.36 $ 10.65 $ 10.82 $ 10.18
-------- -------- -------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... 0.16 0.33 0.33 0.31 0.35 0.23 0.34
Net realized and change in
unrealized gain or loss on
investments................. 1.50 1.02 2.04 1.77 1.69 (0.28) 0.64
-------- -------- -------- ------- ------- ------- -------
Total from investment
operations................ 1.66 1.35 2.37 2.08 2.04 (0.05) 0.98
-------- -------- -------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .. (0.22) (0.32) (0.30) (0.35) (0.33) (0.12) (0.31)
From net realized gains on
investments................. (0.61) (2.28) (1.50) (0.57) -- -- (0.03)
-------- -------- -------- ------- ------- ------- -------
Total distributions ....... (0.83) (2.60) (1.80) (0.92) (0.33) (0.12) (0.34)
-------- -------- -------- ------- ------- ------- -------
Net asset value, end of period $ 13.67 $ 12.84 $ 14.09 $ 13.52 $ 12.36 $ 10.65 $ 10.82
======== ======== ======== ======= ======= ======= =======
Total return ................. 13.20% 10.81% 19.57% 17.63% 19.45% (0.42)% 9.84%
Net assets, end of period
(000's)...................... $122,748 $111,887 $105,813 $88,625 $83,941 $76,267 $63,982
Ratio of net expenses to
average net assets .......... 1.12%(1) 1.12% 1.24% 1.31% 1.27% 1.09%(1) 0.93%
Ratio of net investment income
to average net assets ....... 2.37%(1) 2.54% 2.43% 2.42% 3.14% 2.65%(1) 3.21%
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 1.12%(1) 1.12% 1.24% 1.31% 1.30% 1.32%(1) 1.34%
Portfolio turnover rate ...... 38.21% 84.55% 116.69% 117.88% 129.05% 86.10% 19.95%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
46 See Notes to Financial Statements.
<PAGE>
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH APRIL 15, 1994
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1998 1997 1996 1995 TO OCTOBER 31, 1994
- -------------------------------------- -------------- ----------- ----------- ----------- ----------- ---------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .. $ 12.83 $14.05 $ 13.49 $ 12.34 $ 10.62 $ 10.54
------- ------ ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................ 0.14 0.29 0.23 0.20 0.23 0.19
Net realized and change in unrealized
gain or loss on investments ......... 1.49 1.01 2.03 1.79 1.91 --
------- ------ ------- ------- ------- -------
Total from investment operations ... 1.63 1.30 2.26 1.99 2.14 0.19
------- ------ ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ........... (0.20) (0.24) (0.20) (0.27) (0.42) (0.11)
From net realized gains on investments (0.61) (2.28) (1.50) (0.57) -- --
------- ------ ------- ------- ------- -------
Total distributions ................ (0.81) (2.52) (1.70) (0.84) (0.42) (0.11)
------- ------ ------- ------- ------- -------
Net asset value, end of period ........ $ 13.65 $12.83 $ 14.05 $ 13.49 $ 12.34 $ 10.62
======= ====== ======= ======= ======= =======
Total return .......................... 13.00% 10.44% 18.64% 16.83% 18.32% 1.84%
Net assets, end of period (000's) ..... $11,951 $7,544 $ 6,289 $ 3,783 $ 1,362 $26,396
Ratio of net expenses to average net
assets................................ 1.37%(1) 1.44% 1.99% 2.07% 2.04% 1.87%(1)
Ratio of net investment income to
average net assets ................... 2.12%(1) 2.22% 1.68% 1.60% 2.61% 1.90%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ..... 1.37%(1) 1.44% 1.99% 2.07% 2.07% 2.06%(1)
Portfolio turnover rate ............... 38.21% 84.55% 116.69% 117.88% 129.05% 86.10%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 47
<PAGE>
GROWTH AND INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $13.00
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... 0.01
Net realized and change in unrealized gain or loss on
investments.............................................. 0.64
------
Total from investment operations ...................... 0.65
------
Net asset value, end of period ........................... $13.65
======
Total return ............................................. 5.00%
Net assets, end of period (000's) ........................ $ 109
Ratio of net expenses to average net assets .............. 2.15%(1)
Ratio of net investment income to average net assets ..... 1.34%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 2.15%(1)
Portfolio turnover rate .................................. 38.21%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
48 See Notes to Financial Statements.
<PAGE>
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $12.80 $13.27
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.09 0.07
Net realized and change in unrealized
gain or loss on investments ........... 1.48 (0.54)
------ ------
Total from investment operations .... 1.57 (0.47)
------ ------
LESS DISTRIBUTIONS:
From net investment income ............ (0.18) --
From net realized gains on investments (0.61) --
------ ------
Total distributions ................. (0.79) --
------ ------
Net asset value, end of period ......... $13.58 $12.80
====== ======
Total return ........................... 12.53% (3.54)%
Net assets, end of period (000's) ...... $ 888 $ 216
Ratio of net expenses to average net
assets................................. 2.11%(1) 2.11%(1)
Ratio of net investment income to
average net assets .................... 1.37%(1) 1.55%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.11%(1) 2.11%(1)
Portfolio turnover rate ................ 38.21% 84.55%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 49
<PAGE>
GROWTH AND INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH TEN MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, DECEMBER 31,
CLASS I (UNAUDITED) 1998 1997 1996 1995 1994 1993
- ------------------------------- -------------- ----------- ----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 15.26 $ 18.08 $ 15.74 $ 13.46 $ 11.11 $ 11.03 $ 10.51
-------- -------- -------- -------- -------- -------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ........ 0.05 0.12 0.15 0.19 0.21 0.12 0.19
Net realized and change in
unrealized gain or loss on
investments................... 2.82 0.51 5.00 3.09 2.27 0.04 0.50
-------- -------- -------- -------- -------- -------- -------
Total from investment
operations................. 2.87 0.63 5.15 3.28 2.48 0.16 0.69
-------- -------- -------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income ... (0.10) (0.13) (0.21) (0.24) (0.13) (0.08) (0.16)
From net realized gains on
investments................... (1.73) (3.32) (2.60) (0.76) -- -- (0.01)
-------- -------- -------- -------- -------- -------- -------
Total distributions ........ (1.83) (3.45) (2.81) (1.00) (0.13) (0.08) (0.17)
-------- -------- -------- -------- -------- -------- -------
Net asset value, end of period $ 16.30 $ 15.26 $ 18.08 $ 15.74 $ 13.46 $ 11.11 $ 11.03
======== ======== ======== ======== ======== ======== =======
Total return .................. 19.44% 3.80% 37.44% 25.69% 22.58% 1.40% 6.58%
Net assets, end of period
(000's)....................... $621,024 $614,493 $595,969 $377,784 $356,803 $301,360 $60,127
Ratio of net expenses to
average net assets ........... 0.87%(1) 0.88% 1.00% 1.08% 1.10% 0.92%(1) 1.13%
Ratio of net investment income
to average net assets ........ 0.67%(1) 0.71% 0.93% 1.35% 1.73% 1.51%(1) 1.77%
Ratio of expenses before
reimbursement and waiver to
average net assets ........... 0.87%(1) 0.88% 1.00% 1.08% 1.10% 1.03%(1) 1.27%
Portfolio turnover rate ....... 60.58% 160.48% 157.92% 106.09% 127.43% 54.13% 23.60%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
50 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH APRIL 15, 1994
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1998 1997 1996 1995 TO OCTOBER 31, 1994
- --------------------------------------- -------------- ----------- ----------- ----------- ----------- ---------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .. $ 15.22 $ 18.01 $ 15.69 $ 13.43 $ 11.08 $10.75
------- ------- ------- ------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................ 0.03 0.06 0.03 0.08 0.12 0.11
Net realized and change in unrealized
gain or loss on investments .......... 2.81 0.51 4.99 3.08 2.31 0.30
------- ------- ------- ------- ------- ------
Total from investment operations ... 2.84 0.57 5.02 3.16 2.43 0.41
------- ------- ------- ------- ------- ------
LESS DISTRIBUTIONS:
From net investment income ........... (0.08) (0.04) (0.10) (0.14) (0.08) (0.08)
From net realized gains on investments (1.73) (3.32) (2.60) (0.76) -- --
------- ------- ------- ------- ------- ------
Total distributions ................ (1.81) (3.36) (2.70) (0.90) (0.08) (0.08)
------- ------- ------- ------- ------- ------
Net asset value, end of period ........ $ 16.25 $ 15.22 $ 18.01 $ 15.69 $ 13.43 $11.08
======= ======= ======= ======= ======= ======
Total return .......................... 19.30% 3.42% 36.49% 24.70% 21.90% 3.71%
Net assets, end of period (000's) ..... $36,246 $23,603 $15,955 $ 6,638 $ 2,217 $5,740
Ratio of net expenses to average net
assets................................ 1.12%(1) 1.20% 1.75% 1.83% 1.84% 2.32%(1)
Ratio of net investment income to
average net assets ................... 0.43%(1) 0.39% 0.18% 0.55% 1.14% 1.74%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ..... 1.12%(1) 1.20% 1.75% 1.83% 1.84% 2.42%(1)
Portfolio turnover rate ............... 60.58% 160.48% 157.92% 106.09% 127.43% 54.13%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 51
<PAGE>
GROWTH AND INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $15.41
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... (0.01)
Net realized and change in unrealized gain or loss on
investments.............................................. 0.88
------
Total from investment operations ...................... 0.87
------
Net asset value, end of period ........................... $16.28
======
Total return ............................................. 5.65%
Net assets, end of period (000's) ........................ $ 255
Ratio of net expenses to average net assets .............. 1.87% (1)
Ratio of net investment income to average net assets ..... (0.32)%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 1.87% (1)
Portfolio turnover rate .................................. 60.58%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
52 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $15.22 $ 16.92
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.03) (0.01)
Net realized and change in unrealized
gain or loss on investments ........... 2.81 (1.69)
------ -------
Total from investment operations .... 2.78 (1.70)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.07) --
From net realized gains on investments (1.73) --
------ -------
Total distributions ................. (1.80) --
------ -------
Net asset value, end of period ......... $16.20 $ 15.22
====== =======
Total return ........................... 18.82% (10.05)%
Net assets, end of period (000's) ...... $1,315 $ 569
Ratio of net expenses to average net
assets................................. 1.87% (1) 1.86% (1)
Ratio of net investment income to
average net assets .................... (0.32)%(1) (0.27)%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.87% (1) 1.86% (1)
Portfolio turnover rate ................ 60.58% 160.48%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 53
<PAGE>
GROWTH AND INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 2, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS I (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 8.32 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.22 0.25
Net realized and change in unrealized
gain or loss on investments ........... 0.28 (1.93)
------ -------
Total from investment operations .... 0.50 (1.68)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.29) --
------ -------
Total distributions ................. (0.29) --
------ -------
Net asset value, end of period ......... $ 8.53 $ 8.32
====== =======
Total return ........................... 6.25% (16.80)%
Net assets, end of period (000's) ...... $3,984 $ 3,970
Ratio of net expenses to average net
assets................................. 1.30%(1) 2.00%(1)
Ratio of net investment income to
average net assets .................... 5.44%(1) 2.70%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 3.31%(1) 2.89%(1)
Portfolio turnover rate ................ 5.57% 63.79%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
54 See Notes to Financial Statements.
<PAGE>
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 2, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS A (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 8.30 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.21 0.25
Net realized and change in unrealized
gain or loss on investments ........... 0.29 (1.95)
------ -------
Total from investment operations .... 0.50 (1.70)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.28) --
------ -------
Total distributions ................. (0.28) --
------ -------
Net asset value, end of period ......... $ 8.52 $ 8.30
====== =======
Total return ........................... 6.22% (17.00)%
Net assets, end of period (000's) ...... $ 386 $ 266
Ratio of net expenses to average net
assets................................. 1.55%(1) 2.19%(1)
Ratio of net investment income to
average net assets .................... 5.19%(1) 2.51%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 3.56%(1) 3.08%(1)
Portfolio turnover rate ................ 5.57% 63.79%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 55
<PAGE>
GROWTH AND INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $7.87
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... 0.06
Net realized and change in unrealized gain or loss on
investments.............................................. 0.59
-----
Total from investment operations ...................... 0.65
-----
Net asset value, end of period ........................... $8.52
=====
Total return ............................................. 8.26%
Net assets, end of period (000's) ........................ $ 144
Ratio of net expenses to average net assets .............. 2.30%(1)
Ratio of net investment income to average net assets ..... 4.44%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 4.31%(1)
Portfolio turnover rate .................................. 5.57%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
56 See Notes to Financial Statements.
<PAGE>
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 8.29 $ 9.45
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.18 0.05
Net realized and change in unrealized
gain or loss on investments ........... 0.28 (1.21)
------ -------
Total from investment operations .... 0.46 (1.16)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.25) --
------ -------
Total distributions ................. (0.25) --
------ -------
Net asset value, end of period ......... $ 8.50 $ 8.29
====== =======
Total return ........................... 5.79% (12.28)%
Net assets, end of period (000's) ...... $ 122 $ 96
Ratio of net expenses to average net
assets................................. 2.30%(1) 3.00%(1)
Ratio of net investment income to
average net assets .................... 4.44%(1) 1.70%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 4.31%(1) 3.89%(1)
Portfolio turnover rate ................ 5.57% 63.79%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 57
