<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter.......................................................1
Index Plus Funds:
Investment Review........................................................3
Portfolios of Investments:
Aetna Index Plus Bond Fund.............................................13
Aetna Index Plus Large Cap Fund........................................15
Aetna Index Plus Mid Cap Fund..........................................21
Aetna Index Plus Small Cap Fund........................................25
Statements of Assets and Liabilities....................................30
Statements of Operations................................................32
Statements of Changes in Net Assets.....................................34
Notes to Financial Statements...........................................40
Additional Information..................................................45
Financial Highlights....................................................46
Independent Auditors' Report............................................58
Generation Funds:
Investment Review.......................................................59
Portfolios of Investments:
Aetna Ascent Fund......................................................65
Aetna Crossroads Fund..................................................72
Aetna Legacy Fund......................................................79
Statements of Assets and Liabilities....................................86
Statements of Operations................................................87
Statements of Changes in Net Assets.....................................88
Notes to Financial Statements...........................................94
Additional Information.................................................103
Financial Highlights...................................................104
Independent Auditors' Report...........................................113
</TABLE>
<PAGE>
President's Letter
Dear Fellow Shareholder,
First, thank you for investing in Aetna Series Fund, Inc. Since you have
hundreds of other investment options from which to choose, we truly appreciate
the confidence you've placed in us to help you reach your investment goals. It's
a trust we are honored by and appreciate. While the enclosed annual report will
give you a detailed review of the funds you have chosen, I'd like to share a few
observations about the market in general and some specific news about the Aetna
Series Fund and its adviser, Aeltus Investment Management, Inc.
The past twelve months have been memorable for both the stock market and the
U.S. economy overall. It was a year of ups and downs in the market, with a
record high in July, followed by a severe correction during the third quarter.
Market volatility achieved and sustained levels not seen since the aftershocks
of the Crash of '87. Despite this volatility, there was plenty of good news. The
American economy was generally healthy, with low interest and inflation rates,
the federal budget deficit whittled away, and unemployment falling to the lowest
levels registered in many years. In addition, wages continued to grow, and
consumer confidence held steady. All of these positive factors have allowed the
U.S. stock market to recoup much of the ground lost during the correction,
despite ongoing economic problems in Asia, Russia and Latin America.
With so much happening "on the Street", the past year was also an exciting and
productive time for Aeltus and the Aetna Series Fund. In February we launched
seven new funds and introduced Class A and Class I shares, replacing the old
Adviser and Select classes. Then, on June 30, we introduced Class C shares,
offering a third investment option.
We also improved service to our shareholders. On July 4, the Aetna Series Fund
began a relationship with a new transfer agent, First Data Corporation, one of
the most prominent in the mutual fund industry, offering us increased ability to
respond to your evolving needs by adding new services in the future. In
addition, we introduced a reformatted consolidated statement that is easier to
read, provides helpful graphic illustrations and also reports distribution
summaries. Shareholders received the new statement at the end of the third
calendar quarter, and feedback has been positive. Our web site,
www.aetnafunds.com, was up and running in September. I invite you to use it to
get instant information about our funds, profiles on Aeltus portfolio managers
and updates on market developments.
In addition, we have been actively assessing and updating Aeltus' computer
systems with respect to "Year 2000" dating issues so they will be able to
perform their intended functions adequately after 1999. We look forward to
complete remediation and testing of all relevant systems by mid-1999.
Today, with almost $46 billion in assets under management, Aeltus is one of the
country's largest investment management firms. This leading position is
important to investors, because it represents the kind of size and strength that
will allow us to continue refining our existing investment management services
and products, adding new ones, and growing our staff to serve valued customers
like you.
Thank you for your continued confidence in the Aetna Series Fund and Aeltus
Investment Management, Inc. We look forward to a mutually prosperous new year.
Sincerely,
/s/ J. Scott Fox
- ----------------
J. Scott Fox
President
Aetna Series Fund, Inc.
1
<PAGE>
[Line Chart]
Aetna Index Plus Bond Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna
Index Plus Lehman Brothers
Bond Fund Aggregate
(Class I) Bond Index
<S> <C> <C>
Feb-98 10000 10000
10075 10089
10277 10293
Oct-98 10549 10649
</TABLE>
[end Line Chart]
<TABLE>
<CAPTION>
- -------------------------------------------
Average Annual Total Returns
for the period ended October 31, 1998*
- -------------------------------------------
Inception Date Inception*
- -------------------------------------------
<S> <C> <C>
Class I 02/04/98 5.48%
- -------------------------------------------
Class A: 02/04/98
POP (1) 2.13%
NAV (2) 5.29%
- -------------------------------------------
Class C: 06/30/98
w/CDSC (3) 4.04%
NAV 4.79%
- -------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. For the
period prior to the inception of Class C, the performance is calculated by using
the performance of Class I, adjusted for fees and expenses. Class I, Class A
and Class C shares participate in the same portfolio of securities.
Aetna Index Plus Bond Fund
How did the Fund perform during the period?
The Aetna Index Plus Bond Fund Class I shares generated a 5.48% total return,
net of fund expenses, for the period ended October 31, 1998. The benchmark,
Lehman Brothers Aggregate Bond Index(a), returned 6.49% for the same period.
What economic or financial market conditions impacted the Fund?
The most significant factor influencing the performance of the Fund since
inception but more particularly over the last six months, has been the
significant underperformance of the corporate bond sector. The Index Plus Bond
Fund strategy incorporates a 25% overweight in corporate bonds. Fear of a
potential recession caused corporate yield spreads to widen to levels seen only
twice in the last 15 years, in 1986 and in the recession of 1990/91. The
finance and Yankee sectors led this spread widening.
See Definition of Terms. 3
<PAGE>
What investments influenced the Fund's performance over the past nine months?
The Fund's overweight in corporate bonds, specifically finance, Yankee and BBB
rated securities caused the Fund to underperform its benchmark.
What is your outlook going forward?
Gauging the extent of the slowing in the U.S. economy and its consequences for
credit spreads will be the focus of bond investors in the upcoming months. The
Federal Reserve can be expected to act promptly to offset signs of weakness with
an additional cut in the Fed Funds rate to 4.75% by year-end. However, if a
large U.S. bank were threatened by market instability, or, if U.S. equities were
to decline precipitously, the Federal Reserve would ease rates even more
aggressively.
In this environment there will continue to be uncertainty regarding corporate
earnings and corporate bond spreads. Nevertheless, historically, overweighting
corporates at these wider spread levels has been profitable versus Treasuries
over an intermediate investment horizon. That pattern of performance recovery
is largely due to the Federal Reserve's past success in stimulating economic
growth once it begins lowering the Fed Funds rate.
<TABLE>
<CAPTION>
- ---------------------------------------
Quality Ratings
- ---------------------------------------
<S> <C>
AAA 59.3%
AA 1.7%
A 22.1%
BBB 15.3%
BB 1.6%
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------
Maturity Distribution
- ---------------------------------------
<S> <C>
0 - 1 years 5.7%
1 - 5 years 24.1%
5 - 10 years 18.2%
10 - 20 years 17.1%
20 + years 34.9%
</TABLE>
4 See Definition of Terms.
<PAGE>
[Line Chart]
Aetna Index Plus Large Cap Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Index Plus
Large Cap Fund S&P 500
(Class I) Index
<S> <C> <C>
Dec-96 10000 10000
10932 10673
13100 12879
Oct-97 12449 12396
13406 13340
15247 15186
15671 15365
Oct-98 15369 15124
</TABLE>
[end Line Chart]
<TABLE>
<CAPTION>
- ------------------------------------------------
Average Annual Total Returns
for the period ended October 31, 1998*
- ------------------------------------------------
Inception Date 1 Year Inception*
- ------------------------------------------------
<S> <C> <C> <C>
Class I 12/10/96 23.46% 25.53%
- ------------------------------------------------
Class A: 02/03/97
POP (1) 19.39% 22.88%
NAV (2) 23.09% 24.87%
- ------------------------------------------------
Class C: 06/30/98
w/CDSC (3) 21.74% 24.56%
NAV 22.49% 24.56%
- ------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. For periods
prior to the inception of Class A and Class C, the performance of each class is
calculated by using the performance of Class I, adjusted for fees and expenses
charged to the appropriate class. Class I, Class A and Class C shares
participate in the same portfolio of securities.
Aetna Index Plus Large Cap Fund
How did the Fund perform during the period?
The Aetna Index Plus Large Cap Fund Class I shares generated a 23.46% total
return, net of fund expenses, for the year ended October 31, 1998. The
benchmark, Standard & Poor's (S&P) 500 Index(a), returned 21.98% for the same
period. Among large blend funds tracked by Morningstar, Inc., Class I shares'
performance over the year ended October 31, 1998, ranked in the top 5% (out of
791 funds) and Class A shares' performance over the year ended October 31, 1998
placed it in the top 6% (out of 791 funds). This was excellent performance in a
period during which the majority of equity mutual funds underperformed large cap
benchmarks such as the S&P 500.
What economic or financial market conditions impacted the Fund?
As they say in the movies "Size Matters." Over the last twelve months, during
which the S&P Index ran up to 21.98%, the Russell 2000, a small cap index has
declined 11.84%. This spread (+33.82%), with one exception, is the largest
recorded since 1927 (Ibbotson small cap returns were used for this analysis
prior to 1990). Even spreads as wide as 25% in favor of the S&P
See Definition of Terms. 5
<PAGE>
have been rare throughout modern financial history, occurring briefly in April
1997, early in 1973 and then for six months in 1938. (The one exception occurred
in 1929, when from June of that year through May of the next, the spread was
consistently in excess of 33%.) The size effect is quite pronounced within the
S&P as well. In the ten months through October, the largest 50 stocks in the S&P
(rebalanced monthly) have risen 33.25% compared to a minus 18.15% for the
smallest fifty and 21.98% for the S&P itself. This concentration of performance
in the biggest names is the principal reason why active managers have had such a
difficult time beating the S&P 500. The Fund benefited from this effect because
the model used to evaluate the stocks in the S&P 500 rated the larger issues
more favorably and consequently overweighted them in the portfolio. It should be
noted that these issues were not favored because they were large, but because
they generally scored well on attributes such as low price to earnings, relative
performance and estimate revision, all of which are important determinants in
predicting which stocks are likely to do well.
What investments influenced the Fund's performance over the past twelve months?
The Fund was overweight in retail stocks (relative to the S&P 500) for the
entire period. This worked to the advantage of the Fund as these stocks
outperformed the index by a substantial margin during the first six months. An
underweighting in energy and raw materials also worked to the benefit of the
Fund as these two sectors have lagged over the last twelve months. A big
overweighting in finance detracted from the Fund's performance, especially in
the most recent three months, as these stocks underperformed across the board in
the July through October selloff.
What is your outlook going forward?
Many investors remain skeptical about the market as a result of the sharp third
quarter correction. However, given the emphatic nature of the recent rally and
the Fed's relatively prompt response to the worldwide deterioration in credit
conditions, the S&P could work its way higher over the next three to six months.
The combination of an easing Fed confirmed by advancing prices has historically
been quite bullish. It is likely that this time will prove to be no different.
It has rarely been right to fight both the Fed and the tape. Typically, what
tends to do well in this kind of an environment is technology, finance and
consumer cyclicals. The Fund is reasonably well positioned for this with an
overweight in tech and market weights in finance and consumer discretionary
issues. Longer term, the market has yet to come completely to terms with the
deflationary effects of the economic contraction in Asia, Russia and the likely
contraction in Latin America (especially Brazil). Corporate earnings could be in
for a rough patch over the next year or two and on balance, expectations are
still relatively high.
Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
% of
Common % of S&P Over/(Under)
Sector Stocks 500 Weighting
- -----------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.0% 3.5% (0.5)%
Commercial Services 2.0% 1.9% 0.1 %
Consumer Discretionary 11.8% 11.3% 0.5 %
Consumer Non-Discretionary 7.4% 10.2% (2.8)%
Energy 5.7% 7.8% (2.1)%
Finance 16.5% 16.1% 0.4 %
Healthcare 14.3% 12.7% 1.6 %
Manufacturing 10.2% 10.4% (0.2)%
Technology 15.3% 15.7% (0.4)%
Utilities 13.8% 10.4% 3.4 %
</TABLE>
6 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------
% of Net
Top Ten Equity Holdings Assets
- ---------------------------------------------
<S> <C>
Microsoft Corp. 4.5%
General Electric Co. 2.8%
Wal-Mart Stores, Inc. 2.7%
Merck & Co., Inc. 2.2%
Exxon Corp. 1.8%
Lucent Technologies, Inc. 1.7%
Cisco Systems, Inc. 1.7%
Eli Lilly & Co. 1.6%
American International Group, Inc. 1.6%
Intel Corp. 1.5%
</TABLE>
See Definition of Terms. 7
<PAGE>
[Line Chart]
Aetna Index Plus Mid Cap Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Index Plus S&P
Mid Cap Fund Midcap 400
(Class I) Index
<S> <C> <C>
Feb-98 10000 10000
11250 11290
10610 10429
Oct-98 10359 10109
</TABLE>
[end Line Chart]
<TABLE>
<CAPTION>
- -------------------------------------------
Average Annual Total Returns
for the period ended October 31, 1998*
- -------------------------------------------
Inception Date Inception*
- -------------------------------------------
<S> <C> <C>
Class I 02/03/98 3.60%
- -------------------------------------------
Class A: 02/03/98
POP (1) 0.30%
NAV (2) 3.40%
- -------------------------------------------
Class C: 06/30/98
w/CDSC (3) 2.24%
NAV 2.99%
- -------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. For the
period prior to the inception of Class C, the performance is calculated by using
the performance of Class I, adjusted for fees and expenses. Class I, Class A and
Class C shares participate in the same portfolio of securities.
Aetna Index Plus Mid Cap Fund
How did the Fund perform during the period?
The Aetna Index Plus Mid Cap Fund Class I shares generated a 3.60% total return,
net of fund expenses, for the period ended October 31, 1998. The benchmark,
Standard & Poor's (S&P) Midcap 400 Index(c), returned 1.09% for the same period.
What economic or financial market conditions impacted the Fund?
Twelve months ago the market was working its way through the Pacific Rim
financial crisis, the first serious exogenous shock to the system in a few
years. Prior to that, the environment was often referred to as Goldilocks-like
- - inflation was falling, profits were rising and stocks were soaring. Over the
last twelve months, a series of shocks such as the Long Term Capital debacle,
the Russian devaluation, continuing malaise in Asia, and a perceived threat of
over-capacity and global deflation have left the perception of a Goldilocks
economy tattered. Not surprisingly, the factors that have worked well in our
quantitative models during this shift in perception have been those that
emphasized growth of earnings. Some investors incorrectly assume that value
factors will perform well during periods of high uncertainty, but the historical
evidence suggests that when economic growth gets scarce the factors that work
best are factors that emphasize earnings growth - regardless of its
8 See Definition of Terms.
<PAGE>
price. This was true during the most recent period. The Fund has been able to
capture some of this shift due to an overemphasis of growth factors in the
quantitative model used in this strategy.
What investments influenced the Fund's performance over the past nine months?
The Fund benefited from an overweight position in America Online (the largest
stock in the Mid Cap index) for most of this period. The Fund also benefited
from an underweight position in the energy sector. Several large changes to the
underlying index detracted from performance due to the trading cost associated
with these changes.
What is your outlook going forward?
The inter-meeting reduction in the Fed Funds rate on October 15th changed the
character of this market. Before that corporate bond quality spreads were
extraordinarily wide, the long bond was trading through the Fed Funds rate, and
stocks were heading generally lower. The credit system was under enormous
stress that without action probably would have resulted in a sharp economic
downturn. The relaxation of rates has lessened this crisis (for instance credit
spreads have narrowed considerably) and therefore the markets perception of
economic conditions has changed once again. In this environment we would not
expect to see the same premium being paid for earnings growth as we had seen
during the crisis. If the economy remains on sound footing we would expect
stocks that are trading at reasonable values and are cyclical in nature to
become more favored in the market. However, the performance of our quantitative
systems will determine the performance of this Fund in the future, not our view
on the financial market outlook.
Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
% of
Common % of S&P Over/(Under)
Sector Stocks Midcap 400 Weighting
- ------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 4.2% 5.8% (1.6)%
Commercial Services 6.2% 5.5% 0.7 %
Consumer Discretionary 13.8% 12.7% 1.1 %
Consumer Non-Discretionary 3.1% 3.3% (0.2)%
Energy 2.3% 6.4% (4.1)%
Finance 16.1% 15.1% 1.0 %
Healthcare 10.9% 10.8% 0.1 %
Manufacturing 10.5% 10.9% (0.4)%
Technology 15.5% 17.7% (2.2)%
Utilities 17.4% 11.8% 5.6 %
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------
% of Net
Top Ten Equity Holdings Assets
- -----------------------------------------
<S> <C>
America Online, Inc. 4.8%
Compuware Corp. 1.9%
McKesson Corp. 1.6%
Crestar Financial Corp. 1.5%
SBC Communications, Inc. 1.4%
Danaher Corp. 1.4%
Century Telephone Enterprises 1.3%
Cintas Corp. 1.3%
Watson Pharmaceuticals, Inc. 1.3%
Harley-Davidson, Inc. 1.3%
</TABLE>
See Definition of Terms. 9
<PAGE>
[Line Chart]
Aetna Index Plus Small Cap Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Index Plus S&P
Small Cap Fund Smallcap 600
(Class I) Index
<S> <C> <C>
Feb-98 10000 10000
11190 11249
9980 9868
Oct-98 8871 8843
</TABLE>
[end Line Chart]
<TABLE>
<CAPTION>
- -------------------------------------------
Average Annual Total Returns
for the period ended October 31, 1998*
- -------------------------------------------
Inception Date Inception*
- -------------------------------------------
<S> <C> <C>
Class I 02/03/98 -11.30%
- -------------------------------------------
Class A: 02/03/98
POP (1) -14.06%
NAV (2) -11.40%
- -------------------------------------------
Class C: 06/30/98
w/CDSC (3) -12.53%
NAV -11.87%
- -------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. For the
period prior to the inception of Class C, the performance is calculated by using
the performance of Class I, adjusted for fees and expenses. Class I, Class A
and Class C shares participate in the same portfolio of securities.
Aetna Index Plus Small Cap Fund
How did the Fund perform during the period?
The Aetna Index Plus Small Cap Fund Class I shares generated a -11.30% total
return, net of fund expenses, for the period ended October 31, 1998. The
benchmark, Standard & Poor's (S&P) Smallcap 600 Index(d), returned -11.56% for
the same period.
What economic or financial market conditions impacted the Fund?
Twelve months ago the market was working its way through the Pacific Rim
financial crisis, the first serious exogenous shock to the system in a few
years. Prior to that, the environment was often referred to as Goldilocks-like
- - inflation was falling, profits were rising and stocks were soaring. Over the
last twelve months, a series of shocks such as the Long Term Capital debacle,
the Russian devaluation, continuing malaise in Asia, and a perceived threat of
over-capacity and global deflation have left the perception of a Goldilocks
economy tattered. Not surprisingly, the factors that have worked well in our
quantitative models during this shift in perception have been those that
emphasized growth of earnings. Some investors incorrectly assume that value
factors will perform well during periods of high uncertainty, but the historical
evidence suggests
10 See Definition of Terms.
<PAGE>
that when economic growth gets scarce the factors that work best are factors
that emphasize earnings growth - regardless of its price. This was true in
spades during the most recent period. The Fund has been able to capture some of
this shift due to an overemphasis of growth factors in the quantitative model
used in this strategy.
What investments influenced the Fund's performance over the past nine months?
The Fund benefited from an underweight position in the energy sector, but since
we maintain a minimum weight of 50% of the benchmarks sector weight we did not
capitalize on this position to the extent we might have without this risk
constraint. However, there will be other times that this risk constraint will
help the performance of the Fund.
There were several large changes to the underlying index which detracted from
performance, due to the trading cost associated with these changes.
What is your outlook going forward?
The inter-meeting reduction in the Fed Funds rate on October 15th changed the
character of this market. Before that corporate bond quality spreads were
extraordinarily wide, the long bond was trading through the Fed Funds rate, and
stocks were heading generally lower. The credit system was under enormous
stress that without action probably would have resulted in a sharp economic
downturn. The relaxation of rates has lessened this crisis (for instance credit
spreads have narrowed considerably) and therefore the markets perception of
economic conditions has changed once again. In this environment we would not
expect to see the same premium being paid for earnings growth as we had seen
during the crisis. If the economy remains on sound footing we would expect
stocks that are trading at reasonable values and are cyclical in nature to
become more favored in the market. However, the performance of our quantitative
systems will determine the performance of this Fund in the future, not our view
on the financial market outlook.
Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
% of
Common % of S&P Over/(Under)
Sector Stocks Smallcap 600 Weighting
- --------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.7% 3.8% (0.1)%
Commercial Services 10.4% 8.8% 1.6 %
Consumer Discretionary 22.9% 19.9% 3.0 %
Consumer Non-Discretionary 4.5% 3.9% 0.6 %
Energy 2.3% 5.7% (3.4)%
Finance 21.1% 16.6% 4.5 %
Healthcare 8.6% 11.4% (2.8)%
Manufacturing 9.9% 11.4% (1.5)%
Technology 12.0% 15.6% (3.6)%
Utilities 4.6% 2.9% 1.7 %
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------
% of Net
Top Ten Equity Holdings Assets
- -------------------------------------------
<S> <C>
Dekalb Genetics Corp. 1.7%
Vitesse Semiconductor Corp. 1.3%
Comair Holdings, Inc. 1.2%
CCB Financial Corp. 1.2%
Medimmune, Inc. 1.1%
American Bankers Insurance Group 1.1%
Acxiom Corp. 0.9%
Fremont General Corp. 0.9%
SEI Corp. 0.9%
Mohawk Industries 0.9%
</TABLE>
See Definition of Terms. 11
<PAGE>
Definition of Terms
(1) Public offering price (POP) is the price of a mutual fund share plus the
maximum sales charge levied at the time of purchase.
(2) Net asset value (NAV) is the value of all your fund's assets, minus any
liabilities, divided by the number of outstanding shares, not including any
initial or contingent deferred sales charge.
(3) Contingent deferred sales charge (CDSC) is a charge applied at the time of
the redemption and assumes redemption at the end of the period.
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index of corporate,
government and mortgage bonds.
(b) The Standard & Poor's (S&P) 500 Index is a value-weighted, unmanaged index
of 500 widely held stocks that assumes reinvestment of all dividends, and is
considered to be representative of the stock market in general.
(c) The Standard & Poor's (S&P) Midcap 400 Index is a value-weighted, unmanaged
index of 400 common stocks that assumes the reinvestment of all dividends, and
is considered to be representative of the stock market in general.
(d) The Standard & Poor's (S&P) Smallcap 600 Index is a value-weighted,
unmanaged index of 600 common stocks that assumes reinvestment of all dividends
and is considered to be representative of the stock market in general.
The opinions expressed reflect those of the portfolio manager only through
October 31, 1998. The manager's opinions are subject to change at any time
based on market and other conditions. The composition, industries and holdings
of the portfolio are subject to change.
12
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Bond
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------------ -------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (97.7%)
Agency Mortgage-Backed Securities (33.4%)
Federal Home Loan Mortgage Corp.,
6.50%, 06/01/28 ........................ $ 98,591 $ 99,454
Federal Home Loan Mortgage Corp.,
7.00%, 05/01/28 ........................ 99,731 101,881
Federal Home Loan Mortgage Corp.,
7.50%, 06/01/11 ........................ 184,866 189,504
Federal Home Loan Mortgage Corp. -
Convertible Loan, 9.50%, 05/01/20 ...... 119,858 127,986
Federal Home Loan Mortgage Corp. - Gold,
6.50%, 03/01/28 ........................ 481,220 485,431
Federal Home Loan Mortgage Corp. - Gold,
7.00%, 03/01/28 ........................ 668,787 683,208
Federal Home Loan Mortgage Corp. - Gold -
Convertible Intermediate, 6.00%,
09/01/12................................ 164,473 165,346
Federal Home Loan Mortgage Corp. - Gold -
Convertible Intermediate, 6.50%,
09/01/12................................ 277,105 281,608
Federal Home Loan Mortgage Corp. - Gold -
Convertible Intermediate, 7.00%,
11/01/12................................ 260,261 265,710
Federal National Mortgage Association,
4.75%, 11/14/03 ........................ 300,000 299,727
Federal National Mortgage Association,
6.00%, 07/01/13 ........................ 58,376 58,668
Federal National Mortgage Association,
6.00%, 10/01/28 ........................ 100,000 98,875
Federal National Mortgage Association,
6.50%, 08/01/28 ........................ 98,778 99,611
Federal National Mortgage Association,
7.50%, 01/01/28 ........................ 510,552 524,113
Federal National Mortgage Association,
7.50%, 04/01/28 ........................ 154,434 158,536
Government National Mortgage Association,
6.00%, 10/15/28 ........................ 100,000 99,219
Government National Mortgage Association,
7.00%, 08/15/25 ........................ 139,704 143,066
Government National Mortgage Association,
7.00%, 09/15/25 ........................ 44,419 45,487
Government National Mortgage Association,
7.00%, 09/15/25 ........................ 86,865 88,955
Government National Mortgage Association,
7.00%, 09/15/25 ........................ 48,997 50,176
Government National Mortgage Association,
7.00%, 05/15/28 ........................ 99,550 101,945
Government National Mortgage Association,
7.50%, 08/15/27 ........................ 471,240 486,114
Government National Mortgage Association,
9.50%, 11/15/21 ........................ 88,071 95,117
Government National Mortgage Association,
9.50%, 08/15/22 ........................ 349,270 377,212
------------
5,126,949
------------
Asset-Backed Securities (1.7%)
First NBC Credit Card Master Trust 1997-1
A, 6.15%, 09/15/04 ..................... 250,000 258,594
------------
<CAPTION>
Principal Market
Amount Value
------------ -------------
<S> <C> <C>
Electric and Telephone Bonds (4.5%)
AirTouch Communications, Inc., 7.13%,
07/15/01................................ $280,000 $ 291,292
Puget Sound Energy, Inc., 7.02%, 12/01/27 250,000 254,702
WorldCom, Inc., 6.95%, 08/15/28 ......... 150,000 154,829
------------
700,823
------------
Financial Bonds (12.6%)
Associates Corp. N.A., 6.88%, 11/15/08 .. 200,000 209,976
Chase Manhattan Corp., 7.13%, 06/15/09 .. 200,000 212,654
Ford Motor Credit Corp., 6.20%, 03/12/01 250,000 255,240
General Motors Acceptance Corp.,
7.00%, 08/15/01 ........................ 250,000 261,732
Ikon Capital Resources, 6.31%, 12/10/01 . 250,000 242,725
Lehman Brothers Holdings, 6.47%, 07/21/00 250,000 248,188
Merrill Lynch & Co., Inc., 6.50%,
04/01/01................................ 250,000 254,327
Salomon Smith Barney Holdings, 6.63%,
11/15/03................................ 250,000 256,115
------------
1,940,957
------------
Foreign and Supranationals (1.6%)
Panama (Republic of), 7.88%, 02/13/02 [beta] 250,000 240,625
------------
Foreign Bonds (10.2%)
Celulosa Arauco Constitution, 7.50%,
09/15/17................................ 50,000 33,250
Cia. Transporte Energia, 8.63%, 04/01/03
[beta].................................. 250,000 217,500
Hanson Overseas B.V., 7.38%, 01/15/03 ... 250,000 268,210
Norsk Hydro A/S, 7.75%, 06/15/23 ........ 250,000 268,230
Nova Gas Transmission, 7.25%, 07/06/99 .. 350,000 355,156
Quebec Province, 9.13%, 03/01/00 ........ 400,000 419,868
------------
1,562,214
------------
Other Public Corporate Bonds (10.9%)
AMR Corp., 9.75%, 03/15/00 .............. 250,000 262,448
Federal Express, 7.89%, 09/23/08 ........ 237,483 252,722
Federated Department Stores, Inc., 8.13%,
10/15/02................................ 200,000 213,668
Lockheed Martin Corp., 7.25%, 05/15/06 .. 210,000 226,302
Norfolk Southern Corp., 6.70%, 05/01/00 . 250,000 254,033
Royal Caribbean, 8.25%, 04/01/05 ........ 140,000 152,748
Sears Roebuck Acceptance Corp., 6.37%,
11/21/01................................ 300,000 307,560
------------
1,669,481
------------
U.S. Treasuries (22.8%)
U.S. Treasury Bond, 6.13%, 08/15/07 ..... 525,000 579,632
U.S. Treasury Bond, 6.75%, 08/15/26 ..... 155,000 185,854
U.S. Treasury Bond, 7.25%, 05/15/16 ..... 690,000 839,212
U.S. Treasury Bond, 8.13%, 05/15/21 ..... 510,000 689,535
U.S. Treasury Bond, 11.75%, 11/15/14 .... 135,000 212,246
U.S. Treasury Note, 10.75%, 08/15/05 .... 441,000 596,523
U.S. Treasury Note, 11.25%, 02/15/15 .... 110,000 183,545
U.S. Treasury Strip, Zero Coupon,
08/15/05................................ 288,000 210,272
------------
3,496,819
------------
Total Long-Term Bonds and Notes
(Cost $14,836,919) 14,996,462
------------
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Bond (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------------ --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (3.5%)
Federal Home Loan Mortgage Corp.,
5.42%, 11/02/98 ........................ $ 543,000 $ 543,000
-----------
Total Short-term Investments
(Cost $543,000) 543,000
-----------
Total Investments (Cost $15,379,919)(a) 15,539,462
Other assets less liabilities (183,054)
-----------
Total Net Assets $15,356,408
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at October 31,
1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains........................................... $ 246,185
Unrealized losses.......................................... (86,642)
-----------
Net unrealized gain....................................... $ 159,543
===========
</TABLE>
[beta] Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the
Securities Act of 1933, as amended. These securities have been determined
to be liquid under guidelines established by the Board of Directors.
Category percentages are based on net assets.
14 See Notes to Financial Statements.
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Large Cap
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------- ------------
<S> <C> <C>
COMMON STOCKS (95.6%)
Air Transport (0.5%)
AMR Corp. + ............................ 1,100 $ 73,700
Delta Air Lines, Inc. .................. 500 52,781
Southwest Airlines Co. ................. 1,975 41,845
US Airways Group, Inc. + ............... 700 39,594
------------
207,920
------------
Aluminum (0.3%)
Alcan Aluminum Ltd. .................... 1,000 25,312
Aluminum Co. of America ................ 900 71,325
Reynolds Metals Co. .................... 500 29,969
------------
126,606
------------
Auto Parts and Hardware (0.3%)
Black & Decker Corp. ................... 400 20,675
Briggs & Stratton Corp. ................ 100 4,700
Genuine Parts Co. ...................... 700 22,050
Goodyear Tire & Rubber Co. (The) ....... 600 32,325
Snap-On, Inc. .......................... 200 7,087
SPX Corp. + ............................ 34 1,851
Stanley Works .......................... 200 6,000
------------
94,688
------------
Automotive (2.1%)
Chrysler Corp. ......................... 2,600 125,125
Dana Corp. ............................. 600 25,088
Eaton Corp. ............................ 300 20,306
Ford Motor Co. ......................... 7,800 423,150
General Motors Corp. ................... 2,400 151,350
Johnson Controls, Inc. ................ 200 11,250
TRW, Inc. .............................. 500 28,469
Union Pacific .......................... 400 19,050
------------
803,788
------------
Banks and Thrifts (6.1%)
Bank of New York Co., Inc. ............ 3,900 123,094
Bank One Corp. ......................... 4,778 233,525
BankAmerica Corp. ...................... 2,742 157,503
BankBoston Corp. ....................... 1,200 44,175
BB&T Corp. ............................. 1,000 35,687
Chase Manhattan Corp. .................. 3,400 193,162
Comerica, Inc. ......................... 900 58,050
Fifth Third Bancorp .................... 1,275 84,469
First Union Corp. ...................... 3,748 217,384
Fleet Financial Group, Inc. ........... 2,900 115,819
Golden West Financial Corp. ............ 200 18,138
Huntington Bancshares .................. 660 18,975
J.P. Morgan & Co. ...................... 300 28,275
KeyCorp ................................ 1,600 48,500
Mellon Bank Corp. ...................... 1,300 78,162
Mercantile Bancorporation, Inc. ....... 700 31,981
National City Corp. .................... 1,200 77,175
Northern Trust Corp. ................... 600 44,250
Norwest Corp. .......................... 3,000 111,562
<CAPTION>
Number of Market
Shares Value
------------- ------------
<S> <C> <C>
Banks and Thrifts (continued)
PNC Bank Corp. ......................... 1,100 $ 55,000
Regions Financial Corp. ................ 700 25,900
Republic New York Corp. ................ 400 16,725
State Street Corp. ..................... 600 37,425
Summit Bancorporation .................. 1,000 37,937
Suntrust Banks, Inc. ................... 1,100 76,656
Synovus Financial Corp. ................ 900 20,869
U.S. Bancorp ........................... 2,978 108,697
Union Planters Corp. ................... 500 23,219
Wachovia Corp. ......................... 700 63,612
Washington Mutual, Inc. ................ 2,112 79,068
Wells Fargo & Co. ...................... 300 111,000
------------
2,375,994
------------
Biotech and Medical Products (1.2%)
Alza Corp. + ........................... 200 9,575
Amgen, Inc. + .......................... 1,700 133,556
Becton, Dickinson & Co. ............... 1,600 67,400
Biomet, Inc. ........................... 600 20,363
Boston Scientific Corp. + .............. 700 38,106
Guidant Corp. .......................... 600 45,900
Mallinckrodt, Inc. .................... 100 2,850
Medtronic, Inc. ....................... 700 45,500
Monsanto Co. ........................... 2,700 109,688
------------
472,938
------------
Chemicals (1.2%)
Dow Chemical Co. ....................... 1,000 93,625
Du Pont (E.I.) de Nemours .............. 5,300 304,750
Eastman Chemical Co. ................... 200 11,750
Hercules, Inc. ........................ 500 16,656
Rohm & Haas Co. ........................ 800 27,000
Union Carbide Corp. .................... 600 23,100
------------
476,881
------------
Commercial Services (0.4%)
Deluxe Corp. ........................... 100 3,238
Interpublic Group of Co., Inc. ......... 600 35,100
Omnicom Group, Inc. .................... 1,100 54,381
Paychex, Inc. ......................... 900 44,775
RR Donnelley & Sons Co. ................ 300 12,937
------------
150,431
------------
Computers (5.1%)
3Com Corp. + ........................... 1,400 50,488
Apple Computer, Inc. + ................. 900 33,413
Ceridian Corp. + ....................... 300 17,213
Compaq Computer Corp. .................. 6,575 207,934
Computer Sciences Corp. ................ 1,100 58,025
Dell Computer Corp. + .................. 8,700 570,937
Electronic Data Systems Corp. .......... 800 32,550
Gateway 2000, Inc. + .................. 500 27,906
Hewlett Packard Co. .................... 1,600 96,300
International Business Machines Corp. .. 3,800 564,062
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Large Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Computers (continued)
Micron Technology, Inc. + .............. 800 $ 30,400
Motorola, Inc. ........................ 2,300 119,600
Seagate Technology, Inc. + ............ 900 23,738
Sun Microsystems, Inc. + ............... 2,000 116,500
Unisys Corp. + ......................... 1,400 37,275
------------
1,986,341
------------
Conglomerate and Aerospace (4.2%)
Boeing Co. ............................. 1,500 56,250
Crane Co. .............................. 225 6,483
General Dynamics Corp. ................. 700 41,431
General Electric Co. ................... 12,600 1,102,500
Goodrich (B. F.) Co. ................... 100 3,600
Lockheed Martin Corp. .................. 800 89,100
Loews Corp. ............................ 500 46,969
National Service Industries, Inc. ...... 100 3,588
Northrop Grumman Corp. ................. 300 23,925
Raytheon Co. + ......................... 800 46,450
Rockwell International Corp. ........... 600 24,637
Tenneco, Inc. .......................... 500 15,187
Textron, Inc. .......................... 600 44,625
United Technologies Corp. .............. 1,400 133,350
------------
1,638,095
------------
Consumer Finance (2.6%)
Associates First Capital Corp. ......... 1,853 130,636
Capital One Financial Corp. ............ 300 30,525
Countrywide Credit Industries, Inc. .... 500 21,594
Federal Home Loan Mortgage Corp. ....... 3,700 212,750
Federal National Mortgage Association .. 6,700 474,444
Household International, Inc. .......... 1,700 62,156
MBNA Corp. ............................. 4,100 93,531
------------
1,025,636
------------
Consumer Products (3.2%)
Alberto-Culver Co. ..................... 200 5,313
American Greetings Corp. ............... 100 4,013
Avon Products, Inc. .................... 1,000 39,687
Bestfoods .............................. 1,200 65,400
Clorox Co. ............................. 400 43,700
Colgate-Palmolive Co. .................. 1,100 97,212
Eastman Kodak Co. ...................... 1,300 100,750
Gillette Co. ........................... 1,700 76,394
International Flavors & Fragrances, Inc. 200 7,487
Kimberly-Clark Corp. ................... 2,500 120,625
Procter & Gamble Co. ................... 5,200 462,150
RJR Nabisco Holdings Corp. ............. 500 14,281
Unilever NV ............................ 2,600 195,650
------------
1,232,662
------------
Consumer Services (0.9%)
Cendant Corp. + ........................ 2,900 33,169
Darden Restaurants, Inc. ............... 900 14,850
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Consumer Services (continued)
H & R Block, Inc. ...................... 300 $ 13,444
Hilton Hotels Corp. .................... 500 10,031
Marriott International, Inc. ........... 900 24,188
McDonald's Corp. ....................... 2,800 187,250
Service Corp. International ............ 900 32,062
Tricon Global Restaurants, Inc. + ...... 540 23,490
------------
338,484
------------
Consumer Specialties (0.1%)
Brunswick Corp. ........................ 200 3,887
Hasbro, Inc. ........................... 300 10,519
Mattel, Inc. ........................... 1,000 35,875
------------
50,281
------------
Data and Imaging Services (7.7%)
Automatic Data Processing, Inc. ........ 1,200 93,375
BMC Software, Inc. + ................... 1,400 67,288
Cisco Systems, Inc. + .................. 10,300 648,900
Computer Associates International, Inc. 900 35,438
EMC/MASS Corp. + ....................... 3,300 212,437
First Data Corp. ....................... 1,500 39,750
Microsoft Corp. + ...................... 16,600 1,757,525
Novell, Inc. + ........................ 1,300 19,338
Oracle Corp. + ......................... 3,800 112,337
Peoplesoft, Inc. + ..................... 1,200 25,425
------------
3,011,813
------------
Discretionary Retail (6.3%)
AutoZone, Inc. + ....................... 300 7,894
Circuit City Stores, Inc. ............. 300 10,856
Consolidated Stores Corp. + ............ 300 4,931
Costco Companies, Inc. + ............... 1,400 79,450
Dayton Hudson Corp. .................... 2,800 118,650
Dillards, Inc. ......................... 300 9,319
Dollar General Corp. ................... 750 17,906
Federated Department Stores, Inc. + .... 1,000 38,438
Fred Meyer, Inc. + ..................... 500 26,656
Gap, Inc. .............................. 2,450 147,306
Home Depot, Inc. ...................... 10,100 439,350
J.C. Penney Co., Inc. .................. 400 19,000
Kmart Corp. + .......................... 2,900 40,962
Kohl's Corp. + ......................... 1,000 47,812
Lowe's Co., Inc. ....................... 2,100 70,744
May Department Stores Co. .............. 1,100 67,100
Nordstrom, Inc. ........................ 400 10,925
Sears, Roebuck & Co. ................... 1,500 67,406
Staples, Inc. + ........................ 1,500 48,937
Tandy Corp. ............................ 600 29,738
The Limited, Inc. ...................... 800 20,500
TJX Companies, Inc. .................... 1,800 34,088
Toys "R" Us, Inc. + .................... 700 13,694
Wal-Mart Stores, Inc. .................. 15,500 1,069,500
------------
2,441,162
------------
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Diversified Financial Services (2.4%)
American Express Co. ................... 2,500 $ 220,937
American General Corp. ................. 1,710 117,135
Citigroup Inc. ......................... 9,200 432,975
Morgan Stanley, Dean Witter, Discover &
Co..................................... 2,300 148,925
Transamerica Corp. ..................... 300 31,200
------------
951,172
------------
Drugs (12.0%)
Abbott Laboratories .................... 8,400 394,275
Allergan, Inc. ........................ 300 18,731
American Home Products Corp. ........... 5,300 258,375
Baxter International, Inc. ............. 1,200 71,925
Bristol-Myers Squibb Co. ............... 3,900 431,194
Eli Lilly & Co. ........................ 7,600 615,125
Johnson & Johnson ...................... 5,400 440,100
Merck & Co., Inc. ...................... 6,200 838,550
Pfizer, Inc. ........................... 5,300 568,756
Pharmacia & Upjohn, Inc. ............... 2,000 105,875
Schering Plough ........................ 4,800 493,800
Warner Lambert Co. ..................... 5,600 438,900
------------
4,675,606
------------
Electric Utilities (2.4%)
Ameren Corp. ........................... 500 19,969
American Electric Power Co. ............ 700 34,256
Baltimore Gas & Electric Co. ........... 600 18,825
Carolina Power & Light Co. ............. 700 32,113
Central & South West Corp. ............. 1,200 33,375
Cinergy Corp. .......................... 600 20,700
Consolidated Edison .................... 1,300 65,162
Dominion Resources, Inc. ............... 1,100 50,806
DTE Energy Co. ......................... 1,000 42,625
Duke Energy Corp. ...................... 1,413 91,404
Edison International ................... 1,300 34,288
Entergy Corp. .......................... 900 25,875
FirstEnergy Corp. ...................... 900 27,000
FPL Group, Inc. ........................ 1,200 75,075
GPU, Inc. .............................. 500 21,563
Houston Industries, Inc. ............... 1,148 35,660
Niagara Mohawk Power Corp. + ........... 800 11,700
Northern States Power Co. .............. 200 5,400
Peco Energy Co. ........................ 1,300 50,294
PG&E Corp. ............................. 1,400 42,612
PP & L Resources, Inc. ................ 200 5,425
Public Service Enterprise Group, Inc. .. 1,100 41,800
Southern Co. ........................... 2,800 78,925
Texas Utilities Co. .................... 922 40,337
Unicom Corp. ........................... 1,100 41,456
------------
946,645
------------
Electrical Machinery and Instruments (0.6%)
Harris Corp. ........................... 200 7,013
Perkin-Elmer Corp. ..................... 200 16,863
Pitney Bowes, Inc. .................... 1,300 71,581
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Electrical Machinery and Instruments (continued)
Xerox Corp. ............................ 1,300 $ 125,937
------------
221,394
------------
Electronic Media (1.2%)
Clear Channel Communications, Inc. + .. 800 36,450
King World Production, Inc. + .......... 200 5,250
Tele-Communications, Inc. + ............ 1,700 71,613
Time Warner, Inc. ...................... 2,200 204,187
Viacom, Inc. + ......................... 1,100 65,863
Walt Disney Co. (The) .................. 3,100 83,506
------------
466,869
------------
Food and Beverage (2.8%)
Anheuser-Busch Co., Inc. ............... 2,500 148,594
Archer-Daniels-Midland Co. ............. 855 14,268
Brown-Forman Corp. + ................... 100 6,794
Campbell Soup Co. ...................... 1,700 90,631
Coca-Cola Co. .......................... 3,800 256,975
Conagra, Inc. ......................... 1,900 57,831
Coors (Adolph) Co. ..................... 100 5,000
Fortune Brands, Inc. ................... 300 9,919
General Mills, Inc. .................... 600 44,100
Heinz (H.J.) Co. ....................... 1,800 104,625
Hershey Foods Corp. .................... 400 27,125
Kellogg Co. ............................ 600 19,800
PepsiCo, Inc. .......................... 2,400 81,000
Pioneer Hi-Bred International, Inc. .... 600 16,800
Quaker Oats Co. ........................ 700 41,344
Ralston-Ralston Purina Group ........... 1,100 36,712
Sara Lee Corp. ......................... 1,700 101,469
Wrigley (Wm.) Jr. Co. .................. 400 32,375
------------
1,095,362
------------
Food and Drug Retail (1.4%)
Albertson's, Inc. ...................... 1,300 72,231
American Stores Co. .................... 1,100 35,819
CVS Corp. .............................. 1,600 73,100
Kroger Co. (The) + ..................... 1,600 88,800
Longs Drug Stores, Inc. ................ 100 3,906
Rite Aid Corp. ......................... 1,000 39,688
SUPERVALU, Inc. ........................ 200 4,800
Sysco Corp. ............................ 1,300 35,019
Walgreen Co. ........................... 3,300 160,669
Winn-Dixie Stores, Inc. ................ 300 10,181
------------
524,213
------------
Forest Products and Building Materials (0.6%)
Armstrong World Industries, Inc. ....... 100 6,200
Bemis Co., Inc. ........................ 100 3,713
Crown Cork & Seal Co., Inc. ............ 400 12,750
Fort James Corp. ....................... 1,000 40,312
Georgia-Pacific Corp. .................. 400 20,700
Louisiana-Pacific Corp. ................ 700 12,425
Masco Corp. ............................ 1,600 45,100
Mead Corp. ............................. 500 15,813
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Large Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------- ------------
<S> <C> <C>
Forest Products and Building Materials (continued)
Owens Corning .......................... 100 $ 3,631
Owens-Illinois, Inc. + ................. 400 12,225
Sealed Air Corp. + ..................... 53 1,878
Temple-Inland, Inc. ................... 300 14,569
Weyerhaeuser Co. ....................... 800 37,450
Willamette Industries, Inc. ........... 500 15,500
------------
242,266
------------
Gas Utilities (0.5%)
Coastal Corp. (The) .................... 800 28,200
Columbia Energy Group................... 150 8,681
Consolidated Natural Gas Co. ........... 200 10,562
Eastern Enterprises .................... 100 4,106
Enron Corp. ............................ 1,300 68,575
NICOR, Inc. ............................ 100 4,238
ONEOK, Inc. ............................ 100 3,425
People's Energy Corp. .................. 100 3,688
Sempra Energy .......................... 850 22,100
Williams Co., Inc. (The) ............... 1,500 41,156
------------
194,731
------------
Health Services (0.9%)
Cardinal Health, Inc. .................. 800 75,650
Columbia/HCA Healthcare Corp. .......... 2,300 48,300
HBO & Co. .............................. 2,700 70,875
HCR Manor Care, Inc. + ................. 100 3,250
HEALTHSOUTH Corp. + .................... 1,600 19,400
Humana, Inc. + ......................... 400 7,575
IMS Health, Inc. ....................... 600 39,900
Tenet Healthcare Corp. + ............... 1,200 33,525
United Healthcare Corp. ................ 800 34,850
------------
333,325
------------
Heavy Machinery (0.2%)
Caterpillar, Inc. ...................... 1,500 67,500
Deere & Co. ............................ 300 10,613
Navistar International Corp. + ......... 200 4,175
PACCAR, Inc. .......................... 200 8,725
------------
91,013
------------
Housing and Furnishings (0.2%)
Centex Corp. ........................... 200 6,700
Fleetwood Enterprises, Inc. ............ 100 3,225
Kaufman & Broad Home Corp. ............. 100 2,856
Maytag Corp. ........................... 400 19,775
Newell Co. ............................. 700 30,800
Pulte Corp. ............................ 200 5,150
Rubbermaid, Inc. ....................... 500 16,594
Whirlpool Corp. ........................ 100 5,125
------------
90,225
------------
Industrial Services (0.4%)
AES Corp. + ............................ 700 28,656
Browning-Ferris Industries, Inc. ...... 600 21,263
Fluor Corp. ............................ 100 3,881
Laidlaw, Inc. .......................... 500 4,719
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Industrial Services (continued)
Milacron, Inc. ......................... 100 $ 1,938
Waste Management, Inc. ................. 2,300 103,787
------------
164,244
------------
Insurance (4.1%)
Allstate Corp. (The) ................... 4,500 193,781
American International Group, Inc. ..... 7,200 613,800
Aon Corp. .............................. 650 40,300
Chubb Corp. ............................ 700 43,050
CIGNA Corp. ............................ 1,100 80,231
Cincinnati Financial Corp. ............. 700 26,119
Conseco, Inc. .......................... 1,100 38,156
General Re Corp. ....................... 400 87,875
Hartford Financial Services Group, Inc. 900 47,812
Jefferson-Pilot Corp. .................. 450 27,338
Lincoln National Corp. ................. 400 30,350
Marsh & Mclennan Co., Inc. ............. 900 49,950
MBIA, Inc. ............................. 400 24,450
MGIC Investment Corp. .................. 700 27,300
Progressive Corp. ...................... 400 58,900
Provident Companies, Inc. ............. 500 14,531
Safeco Corp. ........................... 600 25,988
SLM Holding Corp. ...................... 800 32,050
St. Paul Co., Inc. ..................... 512 16,960
SunAmerica, Inc. ....................... 1,250 88,125
Torchmark Corp. ........................ 400 17,500
UNUM Corp. ............................. 600 26,663
------------
1,611,229
------------
Investment Services (0.5%)
Bear Stearns Co., Inc. (The) ........... 600 21,413
Charles Schwab Corp. ................... 950 45,541
Franklin Resources, Inc. ............... 700 26,469
Lehman Brothers Holdings, Inc. ......... 700 26,556
Merrill Lynch & Co., Inc. .............. 500 29,625
Providian Financial Corp. .............. 700 55,562
------------
205,166
------------
Major Telecommunications (8.1%)
Alltel Corp. ........................... 1,000 46,813
Ameritec Corp. ......................... 7,600 409,925
AT&T Corp. ............................. 7,000 435,750
Bell Atlantic Corp. .................... 6,300 334,687
BellSouth Corp. ........................ 6,800 542,725
GTE Corp. .............................. 5,000 293,438
MCI Worldcom, Inc. + ................... 6,912 381,888
SBC Communications, Inc. ............... 10,024 464,236
Sprint Corp. ........................... 1,400 107,450
U.S. WEST, Inc. ........................ 2,646 151,814
------------
3,168,726
------------
Oil (4.8%)
Amoco Corp. ............................ 3,700 207,662
Ashland Oil, Inc. ...................... 100 4,813
Atlantic Richfield Co. ................. 500 34,437
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Oil (continued)
Chevron Corp. .......................... 2,500 $ 203,750
Exxon Corp. ............................ 9,900 705,375
Mobil Corp. ............................ 3,200 242,200
Royal Dutch Petroleum Co. .............. 8,400 413,700
Sun Company, Inc. ...................... 200 6,863
Texaco, Inc. ........................... 800 47,450
USX-Marathon Group ..................... 600 19,612
------------
1,885,862
------------
Oil Services (0.1%)
McDermott International, Inc. .......... 200 5,863
Schlumberger, Ltd. .................... 800 42,000
------------
47,863
------------
Other Telecommunications (3.1%)
AirTouch Communications, Inc. + ........ 3,000 168,000
Ascend Communications, Inc. + .......... 700 33,775
Comcast Corp. .......................... 1,200 59,250
Frontier Corp. ......................... 400 12,025
General Instrument Corp. + ............. 300 7,706
Lucent Technologies, Inc. .............. 8,400 673,575
Mediaone Group Inc. + .................. 2,500 105,781
Northern Telecom Ltd. .................. 2,380 101,894
Tellabs, Inc. + ........................ 1,100 60,500
------------
1,222,506
------------
Print Media (0.6%)
Dow Jones & Co., Inc. ................. 200 9,163
Dun & Bradstreet Corp. ................. 700 19,862
Equifax, Inc. .......................... 300 11,606
Gannett Co., Inc. ...................... 1,000 61,875
Harcourt General, Inc. ................. 100 4,869
Knight-Ridder, Inc. .................... 200 10,188
McGraw-Hill Co., Inc. .................. 400 35,975
Meredith Corp. ......................... 200 7,400
New York Times Co. ..................... 400 11,300
Times Mirror Co. ....................... 200 11,088
Tribune Co. ............................ 500 28,812
------------
212,138
------------
Producer Goods (2.5%)
Aeroquip-Vickers, Inc. ................. 100 3,150
Allegheny Teledyne, Inc. ............... 200 4,113
Allied Signal, Inc. .................... 2,000 77,875
Avery Dennison Corp. ................... 700 29,006
Cooper Industries, Inc. ................ 400 17,650
Corning, Inc. .......................... 400 14,525
Dover Corp. ............................ 900 28,575
Ecolab, Inc. ........................... 600 17,925
Emerson Electric Co. ................... 1,800 118,800
FMC Corp. + ............................ 100 5,106
Grainger (W.W.), Inc. .................. 200 9,213
Honeywell, Inc. ........................ 600 47,925
Illinois Tool Works, Inc. .............. 1,300 83,362
Ingersoll-Rand Co. ..................... 1,000 50,500
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Producer Goods (continued)
ITT Industries, Inc. ................... 200 $ 7,150
Minnesota Mining and Manufacturing Co. . 1,500 120,000
Parker-Hannifin Corp. .................. 350 12,512
PPG Industries, Inc. ................... 900 51,469
Raychem Corp. .......................... 200 6,113
Sherwin-Williams Co. ................... 700 17,631
Thomas & Betts Corp. ................... 100 4,469
Timken Co. ............................. 200 3,563
Tyco International Ltd. ................ 4,200 260,137
------------
990,769
------------
Semiconductors and Electronics (1.7%)
AMP, Inc. .............................. 300 12,319
Intel Corp. ............................ 6,500 579,718
Pall Corp. ............................. 500 12,625
Texas Instruments, Inc. ................ 500 31,969
------------
636,631
------------
Specialty Chemicals (0.3%)
Air Products and Chemicals, Inc. ....... 1,000 37,750
Engelhard Corp. ........................ 700 14,700
Grace (W.R.) & Co. ..................... 100 1,738
Great Lakes Chemical Corp. ............. 300 12,487
Morton International, Inc. ............. 200 4,975
Praxair, Inc. .......................... 700 28,175
Sigma-Aldrich Corp. .................... 200 6,181
------------
106,006
------------
Steel (0.2%)
Armco, Inc. + .......................... 200 950
Barrick Gold Corp. ..................... 1,500 32,063
Nucor Corp. ............................ 100 4,531
Placer Dome, Inc. ...................... 1,100 17,325
USX-US Steel Group, Inc. ............... 200 4,650
------------
59,519
------------
Surface Transport (0.4%)
Burlington Northern Santa Fe Corp. ..... 1,900 58,663
CSX Corp. .............................. 800 31,400
FDX Corp. Holding Co. + ................ 580 30,486
Norfolk Southern Corp. ................. 1,500 49,406
------------
169,955
------------
Textiles and Apparel (0.1%)
Fruit of The Loom, Inc. + .............. 200 3,050
Liz Claiborne, Inc. .................... 200 5,875
Venator Group, Inc. .................... 200 1,688
VF Corp. ............................... 400 16,725
------------
27,338
------------
Tobacco (1.3%)
Philip Morris Co., Inc. ................ 9,400 480,575
UST, Inc. .............................. 1,100 37,400
------------
517,975
------------
Total Common Stocks
(Cost $32,918,684) 37,292,468
------------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Large Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (4.0%)
Federal Home Loan Mortgage Corp.,
5.42%, 11/02/98........................ $ 1,463,000 $ 1,463,000
U.S. Treasury Bill, 3.88%, 2/18/99 ..... 100,000 98,746
------------
Total Short-term Investments
(Cost $1,561,836) 1,561,746
------------
Total Investments (Cost $34,480,520)(a) 38,854,214
Other assets less liabilities 147,817
------------
Total Net Assets $39,002,031
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$35,248,527. Unrealized gains and losses, based on identified tax cost at
October 31, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................................. $4,236,773
Unrealized losses............................................ (631,086)
-----------
Net unrealized gain......................................... $3,605,687
===========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
20 See Notes to Financial Statements.
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Mid Cap
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
COMMON STOCKS (99.1%)
Air Transport (0.7%)
Airborne Freight Corp. ................ 600 $ 14,062
Alaska Air Group, Inc. + ............. 200 7,188
ASA Holdings, Inc. ................... 200 7,175
CNF Transportation, Inc. .............. 700 21,175
-----------
49,600
-----------
Auto Parts and Hardware (0.2%)
Carlisle Co., Inc. .................... 300 11,588
-----------
Automotive (2.3%)
Arvin Industries, Inc. ................ 200 7,925
Federal-Mogul Corp. ................... 700 37,931
Harley-Davidson, Inc. ................ 2,400 93,000
J.B. Hunt Transport Services, Inc. ... 600 10,050
Meritor Automotive, Inc. .............. 500 9,344
Modine Manufacturing Co. .............. 300 9,825
-----------
168,075
-----------
Banks and Thrifts (9.2%)
Associated Banc-Corp. ................. 400 14,050
Charter One Financial, Inc. ........... 945 25,928
City National Corp. ................... 900 30,769
Crestar Financial Corp. ............... 1,700 111,987
Dime Bancorp, Inc. .................... 1,700 40,481
First Security Corp. .................. 1,300 26,569
First Tennessee National Corp. ........ 900 28,519
First Virginia Banks, Inc. ........... 500 22,812
Firststar Corp. ....................... 1,100 62,425
Hibernia Corp. ........................ 900 15,019
Marshall & Ilsley Corp. ............... 800 39,000
Mercantile Bankshares Corp. ........... 500 16,313
North Fork Bancorp, Inc. .............. 1,000 19,875
Old Kent Financial Corp. .............. 1,970 82,863
Pacific Century Financial Corp. ....... 600 12,225
Provident Financial Group, Inc. ....... 300 11,559
SouthTrust Corp. ...................... 1,200 43,800
Sovereign Bancorp, Inc. ............... 1,200 15,750
TCF Financial Corp. ................... 600 14,138
Wilmington Trust Corp. ................ 300 16,519
Zion Bancorporation ................... 500 26,531
-----------
677,132
-----------
Biotech and Medical Products (5.3%)
Beckman Coulter Inc. .................. 200 9,400
Biogen, Inc. + ........................ 1,100 76,450
Chiron Corp. + ........................ 1,200 27,000
DENTSPLY International, Inc. .......... 500 12,875
Genzyme Corp. + ....................... 600 25,237
Hillenbrand Industries, Inc. .......... 500 29,594
Mylan Laboratories, Inc. .............. 900 30,994
Quintiles Transnational Corp. + ....... 600 27,150
Steris Corp. + ........................ 1,300 29,900
Sybron International Corp. + .......... 1,000 24,750
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Biotech and Medical Products (continued)
Watson Pharmaceuticals, Inc. + ........ 1,700 $ 94,562
-----------
387,912
-----------
Commercial Services (3.4%)
ACNielsen Corp. + ..................... 400 10,700
Cintas Corp. .......................... 1,800 96,300
Kelly Services, Inc. .................. 200 6,288
Manpower, Inc. ....................... 600 14,475
Ogden Corp. ........................... 500 13,438
Robert Half International, Inc. + ..... 1,300 52,162
Viad Corp. ............................ 1,400 38,412
Whitman Corp. ......................... 800 17,150
-----------
248,925
-----------
Computers (0.6%)
Arrow Electronics, Inc. + ............ 700 15,269
NCR Corp. + ........................... 800 26,900
-----------
42,169
-----------
Conglomerate and Aerospace (1.6%)
Cordant Technologies, Inc. ............ 300 12,206
Gencorp, Inc. ......................... 600 13,275
Lancaster Colony Corp. ................ 300 9,000
Lear Corp. + .......................... 500 16,063
Litton Industries, Inc. + ............ 300 19,575
Newport News Shipbuilding, Inc. ....... 700 18,419
Pittston Brink's Group ................ 400 11,900
Sundstrand Corp. ...................... 400 18,775
-----------
119,213
-----------
Consumer Finance (0.8%)
Comdisco, Inc. ....................... 1,000 15,438
Finova Group, Inc. (The) .............. 400 19,500
GATX Corp. ............................ 800 27,600
-----------
62,538
-----------
Consumer Products (1.1%)
Church & Dwight, Inc. ................. 200 6,138
Dial Corp. ............................ 800 22,050
Tyson Foods, Inc. .................... 2,200 50,600
-----------
78,788
-----------
Consumer Services (1.7%)
Bob Evans Farms, Inc. ................. 600 11,813
Brinker International, Inc. + ......... 600 14,512
Buffets, Inc. + ....................... 400 4,325
Cracker Barrel Old Country Store, Inc. 500 12,938
Outback Steakhouse, Inc. + ........... 500 17,312
Promus Hotel Corp. + .................. 600 19,125
Starbucks Corp. + ..................... 600 26,025
Stewart Enterprises, Inc. ............ 800 18,450
-----------
124,500
-----------
Data and Imaging Services (13.9%)
America Online, Inc. .................. 2,800 355,775
</TABLE>
See Notes to Portfolio of Investments. 21
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Mid Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Data and Imaging Services (continued)
American Standard Companies + ......... 500 $ 15,969
Cadence Design Systems, Inc. + ........ 1,500 32,062
Citrix Systems, Inc. + ................ 600 42,525
Compuware Corp. + ..................... 2,600 140,887
Electronic Arts, Inc. + ............... 800 32,900
Fiserv, Inc. + ....................... 600 27,900
Intuit Inc. + ......................... 400 20,200
Keane, Inc. + ......................... 1,000 33,250
Network Associates, Inc. + ............ 1,000 42,500
Platinum Technology, Inc. + ........... 500 8,219
Policy Management Systems Corp. + ..... 700 31,806
Siebel Systems, Inc. + ................ 600 12,263
Sterling Commerce, Inc. + ............. 700 24,675
Sterling Software, Inc. + ............. 1,200 31,425
Storage Technology Corp. + ............ 1,700 56,844
Sungard Data Systems, Inc. + .......... 1,400 47,250
Symantec Corp. + ...................... 600 9,600
Symbol Technologies, Inc. ............. 850 38,037
Synopsys, Inc. + ...................... 500 22,625
-----------
1,026,712
-----------
Discretionary Retail (6.7%)
Abercrombie & Fitch Co. + ............. 700 27,781
Barnes & Noble, Inc. + ................ 500 16,312
Bed Bath & Beyond, Inc. + ............. 2,000 55,125
Best Buy Co., Inc. + .................. 1,500 72,000
BJ's Wholesale Club, Inc. + ........... 300 10,781
Borders Group, Inc. + ................ 600 15,225
Dollar Tree Stores, Inc. + ............ 1,100 42,419
Family Dollar Stores, Inc. ............ 2,500 45,312
General Nutrition Companies, Inc. + .. 600 8,737
Hannaford Bros. Co. ................... 300 13,144
Office Depot, Inc. + .................. 3,500 87,500
Officemax, Inc. + ..................... 900 8,213
Payless ShoeSource, Inc. + ........... 300 14,081
Ross Stores, Inc. ..................... 700 22,750
Saks Inc. + ........................... 2,100 47,775
Tiffany & Co. ......................... 200 6,463
-----------
493,618
-----------
Drugs (0.8%)
Forest Laboratories, Inc. + ........... 600 25,087
ICN Pharmaceuticals, Inc. ............. 500 11,688
Omnicare, Inc. ........................ 600 20,738
-----------
57,513
-----------
Electric Utilities (8.4%)
Allegheny Energy, Inc. ................ 800 24,600
American Financial Group, Inc. ....... 400 14,025
Black Hills Corp. ..................... 150 3,872
CalEnergy Co., Inc. + ................. 600 16,425
Cleco Corp. ........................... 200 6,762
CMS Energy Corp. ...................... 700 30,844
Conectiv, Inc. ........................ 1,450 33,169
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Electric Utilities (continued)
Energy East Corp. ..................... 1,000 $ 48,875
Florida Progress Corp. ................ 1,800 75,487
Hawaiian Electric Industries, Inc. .... 200 7,925
Interstate Energy Corp. ............... 700 21,656
IPALCO Enterprises, Inc. .............. 800 36,700
Kansas City Power & Light Co. ......... 1,100 31,694
Midamerican Energy Holdings Corp. ..... 1,300 33,800
Minnesota Power, Inc. ................. 500 20,969
Montana Power Co. ..................... 700 30,319
Nevada Power Co. ...................... 500 12,625
New England Electric System ........... 400 16,275
Nipsco Industries, Inc. ............... 900 26,944
OGE Energy Corp. ...................... 800 21,250
Pinnacle West Capital Corp. ........... 1,300 56,956
Public Service Co. of New Mexico ...... 600 13,237
Puget Sound Energy, Inc. .............. 800 21,600
Utilicorp United, Inc. ................ 400 14,375
-----------
620,384
-----------
Electrical Machinery and Instruments (1.4%)
Diebold, Inc. ......................... 500 15,594
Lexmark International Group, Inc. + ... 1,200 83,925
-----------
99,519
-----------
Electronic Media (0.1%)
Houghton Mifflin Co. .................. 200 7,800
-----------
Food and Beverage (1.9%)
Dean Foods Co. ........................ 300 14,063
Dole Food Co., Inc. ................... 500 15,063
Flowers Industries, Inc. .............. 700 14,350
Hormel Foods Corp. .................... 600 19,537
IBP, Inc. ............................. 700 18,944
Interstate Bakeries Corp. ............. 500 12,531
Lance, Inc. ........................... 200 3,825
McCormick & Co., Inc. ................. 900 27,956
Universal Foods Corp. ................. 600 13,013
-----------
139,282
-----------
Food and Drug Retail (0.3%)
Ruddick Corp. ......................... 300 5,831
U.S. Foodservice + .................... 400 19,000
-----------
24,831
-----------
Forest Products and Building Materials (2.3%)
Calmat Co. ............................ 200 4,688
Consolidated Papers, Inc. ............. 600 14,437
Georgia-Pacific Corp. ................. 600 13,313
Martin Marietta Materials, Inc. ....... 600 29,437
Sonoco Products Co. ................... 770 21,849
Southdown, Inc. ....................... 500 27,219
Vulcan Materials Co. .................. 500 59,312
-----------
170,255
-----------
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Gas Utilities (1.5%)
El Paso Energy Corp. .................. 900 $ 31,894
Keyspan Energy ........................ 1,200 35,850
KN Energy, Inc. ....................... 400 19,875
National Fuel Gas Co. ................. 300 14,175
Questar Corp. ......................... 600 11,812
-----------
113,606
-----------
Health Services (4.9%)
Allegiance Corp. ...................... 1,600 59,500
Bergen Brunswig Corp. ................. 300 14,644
Beverly Enterprises, Inc. ............. 1,100 7,425
First Health Group Corp. + ............ 500 11,531
Health Management Associates, Inc. + .. 3,700 65,906
Lincare Holdings, Inc. + .............. 800 31,950
McKesson Corp. ........................ 1,500 115,500
NovaCare, Inc. + ...................... 600 2,475
PacifiCare Health Systems, Inc. + ..... 200 15,750
PSS World Medical, Inc. + ............. 500 11,063
Quorum Health Group, Inc. + ........... 700 10,150
Total Renal Care Holdings, Inc. + ..... 600 14,700
-----------
360,594
-----------
Housing and Furnishings (1.2%)
Clayton Homes, Inc. ................... 800 12,350
Herman Miller, Inc. ................... 1,700 37,506
Hon Industries, Inc. .................. 400 8,475
Leggett & Platt, Inc. ................. 1,400 32,725
-----------
91,056
-----------
Industrial Services (0.9%)
Allied Waste Industries, Inc. + ....... 2,000 43,250
Granite Construction, Inc. ............ 450 14,991
Jacobs Engineering Group, Inc. + ...... 300 9,787
-----------
68,028
-----------
Insurance (4.2%)
AFLAC, Inc. ........................... 1,800 68,625
AMBAC, Inc. ........................... 1,100 64,006
HSB Group, Inc. ....................... 400 16,150
Old Republic International Corp. ...... 1,850 35,150
PMI Group, Inc. (The) ................. 600 30,263
Protective Life Corp. ................. 900 33,356
Reliastar Financial Corp. ............. 1,400 61,337
-----------
308,887
-----------
Investment Services (1.5%)
Edwards (A.G.), Inc. .................. 600 20,738
Greenpoint Financial Corp. ............ 700 22,969
Paine Webber Group, Inc. .............. 1,100 36,781
T. Rowe Price & Associates ............ 900 32,006
-----------
112,494
-----------
Major Telecommunications (1.4%)
SBC Communications, Inc. .............. 2,284 105,770
-----------
Oil (0.6%)
Lyondell Petrochemical Co. ............ 500 8,438
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Oil (continued)
Tosco Corp. ........................... 1,300 $ 36,481
-----------
44,919
-----------
Oil Services (0.1%)
Varco International, Inc. + .......... 1,000 10,813
-----------
Other Telecommunications (7.3%)
Aliant Communications, Inc. ........... 200 5,644
American Water Works Co., Inc. ........ 1,100 35,131
Century Telephone Enterprises ......... 1,750 99,422
Cincinnati Bell Inc. .................. 1,000 25,938
Comcast Corp. ......................... 700 27,606
Comverse Technology, Inc. + ........... 300 13,800
Idacorp Inc. .......................... 400 12,500
Illinova Corp. ........................ 500 12,656
LG&E Energy Corp. ..................... 2,400 63,300
New Century Energies, Inc. ............ 900 43,481
Northeast Utilities + ................. 900 14,063
Potomac Electric Power Co. ............ 2,200 57,612
Qualcomm Incorporated ................. 500 27,813
Scana Corp. ........................... 800 27,050
TCA Cable TV, Inc. .................... 300 8,306
Teco Energy, Inc. ..................... 1,000 27,625
Vanguard Cellular Systems, Inc. + ..... 500 11,500
Wisconsin Energy Corp. ................ 800 24,500
-----------
537,947
-----------
Print Media (0.9%)
Media General, Inc. + ................. 300 13,425
Washington Post Co. ................... 100 53,100
-----------
66,525
-----------
Producer Goods (3.5%)
American Power Conversion Corp. + ..... 700 29,706
AMETEK, Inc. .......................... 300 6,356
Danaher Corp. ......................... 2,500 99,844
Donaldson Co., Inc. ................... 500 9,094
Ferro Corp. ........................... 400 10,200
Harsco Corp. .......................... 300 9,825
Kaydon Corp. .......................... 200 7,025
Mark IV Industries, Inc. .............. 400 6,150
Pentair, Inc. ......................... 300 11,288
Precision Castparts Corp. ............. 200 8,800
Premark International, Inc. ........... 600 19,012
RPM, Inc. ............................. 900 15,131
Teleflex, Inc. ........................ 300 11,606
Trinity Industries, Inc. .............. 300 11,138
Watts Industries, Inc. ................ 200 3,675
-----------
258,850
-----------
Semiconductors and Electronics (3.6%)
ADC Telecommunications, Inc. + ........ 900 20,700
Altera Corp. + ........................ 700 29,137
Avnet, Inc. ........................... 300 14,925
Covance, Inc. + ....................... 400 11,150
Hubbell, Inc. + ....................... 400 15,950
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Mid Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Semiconductors and Electronics (continued)
International Game Technology ......... 800 $ 18,050
Linear Technology Corp. ............... 500 29,812
Maxim Integrated Products, Inc. + ..... 900 32,119
Solectron Corp. + ..................... 1,100 62,975
Tech Data Corp. + ..................... 400 15,750
York International Corp. .............. 300 11,288
-----------
261,856
-----------
Specialty Chemicals (1.9%)
Albemarle Corp. ....................... 500 9,531
Cabot Corp. ........................... 500 14,031
Crompton & Knowles Corp. .............. 600 9,637
Dexter Corp. .......................... 200 5,850
Georgia Gulf Corp. .................... 200 3,413
Minerals Technologies Inc. ............ 200 9,113
NCH Corp. ............................. 100 6,850
NOVA Corp. + .......................... 500 14,437
Olin Corp. ............................ 500 13,844
Schulman (A.), Inc. ................... 400 7,950
Solutia, Inc. ......................... 1,800 39,487
Wellman, Inc. ......................... 300 3,769
-----------
137,912
-----------
Steel (0.2%)
Cleveland-Cliffs, Inc. ................ 200 7,937
Maxxam, Inc. + ........................ 100 5,294
-----------
13,231
-----------
Surface Transport (0.9%)
Arnold Industries, Inc. ............... 200 2,550
Kansas City Southern Industries, Inc. . 1,600 61,800
-----------
64,350
-----------
Textiles and Apparel (1.7%)
Burlington Industries, Inc. + ......... 400 3,700
Jones Apparel Group, Inc. + ........... 1,400 24,150
Shaw Industries, Inc. ................. 1,700 29,538
Unifi, Inc. ........................... 600 10,125
Warnaco Group, Inc. (The) ............. 900 23,006
Westpoint Stevens, Inc. + ............. 1,100 31,281
-----------
121,800
-----------
Tobacco (0.1%)
Universal Corp. ....................... 200 7,425
-----------
Total Common Stocks (Cost $6,939,205) 7,296,417
-----------
Total Investments (Cost $6,939,205)(a) 7,296,417
Other assets less liabilities 68,591
-----------
Total Net Assets $7,365,008
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$7,025,986. Unrealized gains and losses, based on identified tax cost at
October 31, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains ......................................... $ 830,016
Unrealized losses ........................................ (559,585)
---------
Net unrealized gain ..................................... $ 270,431
=========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
24 See Notes to Financial Statements.
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Small Cap
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
COMMON STOCKS (96.8%)
Air Transport (2.1%)
Air Express International Corp. 800 $ 16,800
Comair Holdings, Inc. .......... 2,300 75,612
Expeditors International of
Washington, Inc. .............. 400 13,550
Fritz Companies, Inc. + ........ 600 5,325
SkyWest, Inc. .................. 1,000 25,500
----------
136,787
----------
Auto Parts and Hardware (0.9%)
Barnes Group, Inc. ............. 300 7,875
CLARCOR, Inc. .................. 600 10,125
Myers Industries, Inc. ......... 300 7,200
Standard Motor Products, Inc. .. 600 13,350
TBC Corp. + .................... 1,100 7,631
WD-40 Co. ...................... 300 7,950
Wynn's International, Inc. ..... 300 5,644
----------
59,775
----------
Automotive (0.7%)
Gentex Corp. + ................. 1,200 17,625
Kirby Corp. + .................. 400 8,475
Simpson Industries, Inc. ....... 900 10,519
Smith (A.O.) Corp. ............. 300 6,131
Standard Products Co. .......... 300 4,706
----------
47,456
----------
Banks and Thrifts (8.7%)
American Management Systems,
Inc. + ....................... 1,400 42,962
AMRESCO, Inc. + ............... 700 4,856
Astoria Financial Corp. ........ 900 38,700
CCB Financial Corp. ............ 1,400 73,675
Centura Banks, Inc. ............ 500 34,500
Commerce Bancorp, Inc. ......... 750 30,469
Commercial Federal Corp. ....... 1,100 24,956
Cullen/Frost Bankers, Inc. ..... 400 21,300
Downey Financial Corp. ......... 1,135 26,602
FirstMerit Corp. ............... 1,100 29,150
HUBCO, Inc. .................... 715 19,305
JSB Financial, Inc. ............ 200 10,563
Keystone Financial, Inc. ....... 900 26,325
Macromedia Inc. + .............. 1,300 26,000
National Data Corp. ............ 600 20,325
Riggs National Corp. ........... 1,100 26,537
Silicon Valley Bancshares + .... 700 14,350
State Paul Bancorp, Inc. ....... 600 12,338
U.S. Trust Corp. ............... 700 44,581
UST Corp. ...................... 600 13,875
Whitney Holdings Corp. ......... 400 14,700
----------
556,069
----------
Biotech and Medical Products (4.2%)
ADAC Laboratories + ............ 700 20,738
Alpharma, Inc. ................. 300 8,306
Ballard Medical Products ....... 500 10,625
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Biotech and Medical Products (continued)
Cooper Companies, Inc. + ....... 500 $ 11,875
Curative Health Services,
Inc. + ....................... 500 13,625
Datascope Corp. + .............. 600 13,538
IDEXX Laboratories, Inc. + ..... 800 18,250
Incyte Pharmaceuticals, Inc. + . 500 15,250
Invacare Corp. ................. 500 11,250
MedImmune, Inc. + .............. 1,000 67,250
Resound Corp. + ................ 1,000 4,750
Safeskin Corp. + ............... 1,800 39,825
VISX, Inc. + ................... 500 25,062
Vital Signs, Inc. .............. 300 4,800
----------
265,144
----------
Chemicals (0.1%)
Quaker Chemical Corp. .......... 300 4,238
----------
Commercial Services (8.9%)
ABM Industries, Inc. ........... 500 14,000
ADVO, Inc. + ................... 900 22,894
Angelica Corp. ................. 200 3,488
Bowne & Co., Inc. .............. 1,400 18,812
Catalina Marketing Corp. + ..... 300 14,306
Central Parking Corp. .......... 1,000 41,937
Consolidated Graphics, Inc. + .. 500 23,719
Corn Products International,
Inc. .......................... 700 19,950
DAKALB Genetics Corp. .......... 1,200 109,950
Devry, Inc. + ................. 2,300 50,600
G & K Services, Inc. ........... 700 32,025
HA-LO Industries, Inc. + ....... 400 11,300
Interim Services, Inc. + ....... 1,700 36,125
Merrill Corp. .................. 300 5,025
NFO Worldwide, Inc. + .......... 300 2,813
PAREXEL International Corp. + .. 500 11,031
Pre-Paid Legal Services, Inc. +. 400 9,575
Service Experts, Inc. + ........ 600 18,112
Superior Services, Inc. + ...... 500 10,500
Thor Industries, Inc. .......... 300 6,675
True North Communications, Inc.. 800 18,900
Valassis Communications, Inc. + 800 31,900
Winnebago Industries, Inc. ..... 900 9,619
World Color Press, Inc. + ...... 1,400 42,525
----------
565,781
----------
Computers (0.6%)
Computer Task Group, Inc. ...... 400 12,250
Henry (Jack) & Associates, Inc. 600 27,375
----------
39,625
----------
Conglomerate and Aerospace (1.4%)
AAR Corp. ...................... 450 10,406
Alliant Techsystems, Inc. + .... 200 14,000
Anixter International, Inc. + .. 700 10,806
BE Aerospace, Inc. + ........... 600 12,900
Kaman Corp. .................... 700 11,375
Orbital Sciences Corp. + ....... 600 19,800
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Small Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Conglomerate and Aerospace (continued)
Triarc Co., Inc. + ............. 500 $ 7,813
----------
87,100
----------
Consumer Services (2.1%)
Applebee's International, Inc. . 500 10,187
CEC Entertainment, Inc. + ...... 700 19,775
CKE Restaurants, Inc. .......... 700 18,419
Consolidated Products, Inc. + .. 400 7,400
Foodmaker, Inc. + .............. 1,000 15,812
Grand Casinos, Inc. + .......... 800 7,050
IHOP Corp. + ................... 200 7,850
Luby's Cafeterias, Inc. ........ 400 5,950
Marcus Corp. ................... 300 4,613
Ruby Tuesday, Inc. ............. 800 13,500
Ryan's Family Steak Houses,
Inc. + ....................... 800 8,600
Sonic Corp. + .................. 450 8,550
TCBY Enterprises, Inc. ......... 400 2,825
----------
130,531
----------
Consumer Specialties (1.2%)
Huffy Corp. .................... 300 3,806
Polaris Industries, Inc. ....... 900 30,937
Russ Berrie & Co., Inc. ........ 400 7,900
Scotts Co. (The) + ............. 400 13,350
Sola International, Inc. + ..... 600 11,513
Sturm, Ruger & Co., Inc. ....... 700 9,669
----------
77,175
----------
Data and Imaging Services (5.4%)
Acxiom Corp. + ................. 2,400 60,300
Analysts International Corp. ... 400 7,025
BISYS Group, Inc. (The) + ...... 400 17,500
Boole & Babbage, Inc. + ........ 450 11,981
Ciber, Inc. + .................. 1,600 31,400
Digi International, Inc. + ..... 700 10,500
Filenet Corp. + ................ 1,200 11,100
Gerber Scientific, Inc. ........ 400 9,050
Harmon Industries, Inc. ........ 450 11,419
HNC Software Inc. + ............ 400 13,450
InterVoice, Inc. + ............. 500 14,250
Kronos, Inc. + ................. 100 3,600
Mercury Interactive Corp. + .... 600 24,900
National Computer Systems, Inc. 500 14,000
National Instruments Corp. + ... 600 16,425
Platinum Software Corp. ........ 900 8,438
Progress Software Corp. + ...... 650 16,941
Technology Solutions Co. + ..... 750 9,000
Telxon Corp. ................... 300 6,150
Xircom, Inc. + ................. 800 23,600
Xylan Corp. + .................. 1,600 25,600
----------
346,629
----------
Discretionary Retail (6.7%)
Ann Taylor Stores Corp. + ...... 900 26,100
Building Material Holding
Corp. + ....................... 300 3,338
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Discretionary Retail (continued)
Cash America International,
Inc. ......................... 400 $ 5,000
Cato Corp. (The) ............... 1,100 14,644
Cheesecake Factory, Inc. (The) + 700 13,388
Discount Auto Parts, Inc. + .... 400 9,650
Dress Barn, Inc. + ............. 800 11,300
Eagle Hardware & Garden, Inc. + 1,000 23,250
Footstar, Inc. + ............... 900 23,512
Goody's Family Clothing, Inc. + 1,100 11,756
Hancock Fabrics, Inc. .......... 800 6,950
Just For Feet, Inc. + .......... 1,200 20,325
Linens 'n Things, Inc. + ....... 1,600 49,500
Men's Wearhouse, Inc. + ........ 650 15,762
Michaels Stores, Inc. + ........ 500 10,000
New England Business Service,
Inc. ......................... 200 6,225
O'Reilly Automotive, Inc. + .... 800 31,300
Pier 1 Imports, Inc. ........... 3,350 30,987
Regis Corp. .................... 800 24,550
Shopko Stores, Inc. + .......... 500 15,656
Williams-Sonoma, Inc. + ........ 2,100 57,225
Zale Corp. + ................... 600 14,213
----------
424,631
----------
Drugs (0.6%)
Jones Medical Industries, Inc. . 500 16,156
Roberts Pharmaceutical Corp. + . 1,100 24,475
----------
40,631
----------
Electric Utilities (3.4%)
Aquarion Co. ................... 200 6,575
Central Hudson Gas & Electric
Co. ........................... 400 16,200
Central Vermont Public Service . 600 6,488
Commonwealth Energy System Co. . 500 18,656
Consumers Water Co. ............ 200 6,025
Eastern Utilities Association .. 500 12,969
Orange & Rockland Utilities,
Inc. ......................... 500 27,469
Philadelphia Suburban Corp. .... 1,000 24,562
Sierra Pacific Resources ....... 1,200 43,725
TNP Enterprises, Inc. .......... 500 16,875
United Illuminating Co. ........ 500 24,500
United Water Resources, Inc. ... 600 11,625
----------
215,669
----------
Electronic Media (0.7%)
Hollywood Park, Inc. + ......... 1,100 10,519
Metro Networks, Inc. + ......... 300 10,987
Primark Corp. + ................ 500 13,500
Westwood One, Inc. + ........... 600 10,800
----------
45,806
----------
Food and Beverage (1.8%)
Canandiagua Brands, Inc. + ..... 600 30,075
Earthgrains Co. (The) .......... 1,500 45,000
J & J Snack Foods Corp. + ...... 300 6,750
Natures Sunshine Products, Inc.. 300 4,762
NBTY, Inc. + ................... 2,300 18,400
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
----------- -----------
<S> <C> <C>
Food and Beverage (continued)
Ralcorp Holdings, Inc. + ....... 600 $ 10,575
----------
115,562
----------
Food and Drug Retail (1.6%)
Casey's General Stores, Inc. ... 1,800 25,200
Express Scripts, Inc. + ........ 300 29,306
Fleming Companies, Inc. ........ 900 9,169
Nash-Finch Co. ................. 600 9,075
Richfood Holdings, Inc. ........ 800 14,200
Whole Foods Market, Inc. + ..... 400 16,025
----------
102,975
----------
Forest Products and Building Materials (2.1%)
AptarGroup, Inc. ............... 800 21,400
Caraustar Industries, Inc. ..... 600 14,250
Delta & Pine Land Co. .......... 700 23,362
Florida Rock Industries, Inc. .. 400 9,925
Lone Star Industries, Inc. ..... 400 28,175
Republic Group, Inc. ........... 300 4,444
Shorewood Packaging Corp. + .... 750 12,000
TJ International, Inc. ......... 400 7,875
Universal Forest ............... 600 9,675
----------
131,106
----------
Gas Utilities (1.7%)
Atmos Energy Corp. ............. 500 14,844
Connecticut Energy Corp. ....... 200 5,600
New Jersey Resources Corp. ..... 400 15,375
Northwest Natural Gas Co. ...... 500 13,937
Pennsylvania Enterprises, Inc. . 200 4,950
Piedmont Natural Gas, Inc. ..... 500 17,375
Southwest Gas Corp. ............ 500 11,844
Wicor, Inc. .................... 1,000 24,375
----------
108,300
----------
Health Services (3.3%)
Access Health, Inc. + .......... 400 14,350
Bindley Western Industries,
Inc. ......................... 700 25,375
Cerner Corp. + ................. 600 13,425
Integrated Health Services, Inc. 900 14,569
Mariner Post-Acute Network,
Inc. + ........................ 700 4,069
MedQuist, Inc. + ............... 900 24,244
Orthodontic Centers of America,
Inc. + ....................... 900 17,044
Patterson Dental Co. + ......... 600 24,750
Pediatrix Medical Group, Inc. + 300 13,987
Renal Care Group, Inc. + ....... 650 18,931
Sierra Health Services, Inc. + . 600 13,987
Universal Health Services,
Inc. + ........................ 500 25,656
----------
210,387
----------
Heavy Machinery (1.3%)
Astec Industries, Inc. + ....... 200 10,250
Blount, Inc. + ................. 600 13,163
JLG Industries, Inc. ........... 1,500 24,844
Lindsay Manufacturing Co. ...... 300 4,875
Manitowoc Co., Inc. (The) ...... 300 10,500
<CAPTION>
Number of Market
Shares Value
------------ ----------
<S> <C> <C>
Heavy Machinery (continued)
Micros Systems Inc. + .......... 500 $ 11,031
Wabash National Corp. .......... 400 7,100
----------
81,763
----------
Housing and Furnishings (5.3%)
Bassett Furniture Industries,
Inc. ......................... 200 4,550
Champion Enterprises, Inc. + ... 1,700 33,787
D.R. Horton, Inc. .............. 2,075 32,941
Dixie Group, Inc. .............. 500 2,875
Ethan Allen Interiors, Inc. .... 1,000 34,375
Interface, Inc. ................ 1,600 19,700
La-Z-Boy, Inc. ................. 1,800 33,075
MDC Holdings, Inc. ............. 700 12,294
Mohawk Industries, Inc. + ...... 1,900 57,356
National Presto Industries,
Inc. ......................... 100 3,856
Oakwood Homes Corp. ............ 800 12,600
Pillowtex Corp. ................ 500 16,250
Ryland Group, Inc. ............. 700 17,413
Skyline Corp. .................. 200 6,213
Southern Energy Hampshire + .... 400 2,300
Standard Pacific Corp. ......... 1,100 10,656
Toll Brothers, Inc. + .......... 1,200 27,825
U.S. Home Corp. + .............. 200 6,325
----------
334,391
----------
Industrial Services (0.6%)
Butler Manufacturing Co. ....... 100 2,250
Insituform Tecnolnologies + .... 1,000 12,062
Morrison Knudsen Corp. + ....... 1,000 9,938
Watsco, Inc. ................... 750 12,703
----------
36,953
----------
Insurance (8.5%)
American Bankers Insurance Group 1,500 67,031
Americredit Corp. + ............ 2,000 26,750
Capital Re Corp. ............... 1,200 21,975
CMAC Investment Corp. .......... 400 16,750
Delphi Financial Group, Inc. + . 706 32,917
Enhance Financial Services
Group, Inc. ................... 1,600 39,300
Executive Risk, Inc. ........... 200 9,500
Fidelity National Financial,
Inc. .......................... 900 27,675
First American Financial Corp. . 1,800 56,363
Fremont General Corp. .......... 1,200 59,250
Frontier Insurance Group, Inc. . 10 163
Gallagher (Arthur J.) & Co. .... 400 16,950
Hilb Rogal & Hamilton Co. ...... 300 5,700
Life Re Corp. .................. 600 55,988
Mutual Risk Management Ltd. .... 1,300 43,956
NAC Re Corp. ................... 300 14,531
Orion Capital Corp. ............ 500 17,094
Selective Insurance Group, Inc. 500 9,156
Trenwick Group, Inc. ........... 300 9,975
Zenith National Insurance ...... 400 10,225
----------
541,249
----------
</TABLE>
See Notes to Portfolio of Investments. 27
<PAGE>
Index Plus Funds
Portfolio of Investments - October 31, 1998
Index Plus Small Cap (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
----------- -----------
<S> <C> <C>
Investment Services (5.4%)
Anchor Bancorp Wisconsin, Inc. . 600 $ 12,900
Banknorth Group, Inc. .......... 500 15,937
Carolina First Corp. ........... 600 13,838
Dain Rauscher Corp. ............ 200 6,800
Dames & Moore Group ............ 400 4,800
Eaton Vance Corp. .............. 500 11,188
Envoy Corp. + .................. 400 11,800
First Bancorp .................. 1,100 26,469
First Midwest Bancorp, Inc. .... 400 16,400
Legg Mason, Inc. ............... 900 23,906
MAF Bancorp, Inc. .............. 900 22,050
Pioneer Group, Inc. ............ 400 5,725
Premier Bancshare .............. 600 13,200
Queens County Bancorp, Inc. .... 450 13,416
Raymond James Financial, Inc. .. 850 19,497
SEI Investments Co. ............ 700 58,012
Susquehanna Bancshares, Inc. ... 600 13,575
Trustco Bank Corp. Ny .......... 460 12,880
United Bankshares, Inc. ........ 1,500 40,125
----------
342,518
----------
Miscellaneous Metals (0.2%)
Amcol International Corp. ...... 700 7,087
Imco Recycling, Inc. ........... 300 4,144
----------
11,231
----------
Oil (0.4%)
Devon Energy Corp. ............. 600 20,325
Plains Resources + ............. 300 5,100
----------
25,425
----------
Oil Services (0.3%)
Daniel Industries, Inc. ........ 600 8,325
Oceaneering International,
Inc. + ........................ 400 5,750
Seitel, Inc. + ................. 400 5,300
----------
19,375
----------
Other Telecommunications (1.0%)
American States Water Co. ...... 200 5,250
Aspect Telecommunications
Corp. + ....................... 1,700 25,713
California Microwave, Inc. + ... 300 2,306
Cilcorp, Inc. .................. 300 15,450
Dialogic Corp. + ............... 400 9,000
Inter-Tel Incorporated &
Subsidiaries................... 400 7,225
----------
64,944
----------
Producer Goods (5.3%)
Amcast Industrial Corp. ........ 200 3,425
Applied Power, Inc. ............ 600 16,537
Baldor Electric Co. ............ 600 12,600
Brady (W.H.) Co. ............... 400 9,200
Buckeye Technologies, Inc. + ... 600 12,000
Cable Design Technologies + .... 500 8,250
Castle (A.M.) & Co. ............ 200 3,725
Commercial Metals Co. .......... 300 7,988
Graco, Inc. .................... 900 23,737
<CAPTION>
Number of Market
Shares Value
----------- ----------
<S> <C> <C>
Producer Goods (continued)
Griffon Corp. + ................ 700 $ 6,869
Halter Marine Group, Inc. + .... 700 6,038
Hughes Supply, Inc. ............ 900 23,906
Intermet Corp. ................. 500 8,125
Juno Lighting, Inc. ............ 500 11,875
Kuhlman Corp. .................. 400 10,600
Lilly Industries, Inc. ......... 600 11,512
MacDermid, Inc. ................ 400 14,650
McWhorter Technologies, Inc. + . 200 4,075
Mueller Industries, Inc. + ..... 1,200 27,000
O'Sullivan Corp. ............... 600 4,875
Oak Industries, Inc. + ......... 300 8,119
Regal Beloit ................... 500 10,531
Robbins & Myers, Inc. .......... 400 9,450
SPS Technologies, Inc. + ....... 200 9,900
Standex International Corp. .... 500 12,344
Steel Technologies, Inc. ....... 300 2,119
Thomas Industries, Inc. ........ 600 10,875
Tredegar Industries, Inc. ...... 700 15,794
Valmont Industries ............. 700 11,025
Wolverine Tube, Inc. + ......... 300 6,356
Zebra Technologies, Inc. + ..... 500 16,375
----------
339,875
----------
Semiconductors and Electronics (4.5%)
Avid Technology, Inc. + ........ 400 10,350
Bell Industries, Inc. + ........ 300 2,981
Benchmark Electronics, Inc. + .. 400 9,425
Brightpoint, Inc. + ............ 1,000 12,250
Burr-Brown Corp. + ............. 600 11,138
C-Cube Microsystems, Inc. + .... 700 12,512
Commscope, Inc. + .............. 800 11,150
CTS Corp. ...................... 200 5,925
Dallas Semiconductor Corp. ..... 700 25,900
Etec Systems, Inc. + ........... 400 13,550
Harman International Industries 400 16,175
Lattice Semiconductor Corp. + .. 400 13,600
Methode Electronics, Inc. ...... 600 9,225
Plexus Corp. + ................. 300 7,463
Sanmina Corp. + ................ 800 32,800
Technitrol, Inc. ............... 300 8,175
Vicor Corp. + .................. 600 5,625
Vitesse Semiconductor Corp. + .. 2,500 80,625
----------
288,869
----------
Specialty Chemicals (0.8%)
Cambrex Corp. .................. 600 15,338
Chemed Corp. ................... 200 6,325
ChemFirst Inc. ................. 500 9,688
OM Group, Inc. ................. 500 16,312
Penford Corp. .................. 100 1,400
----------
49,063
----------
</TABLE>
28 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Steel (0.9%)
Northwestern Steel & Wire Co. + 900 $ 1,378
Quanex Corp. ................... 300 5,063
Reliance Steel & Aluminum Co. .. 400 12,375
Texas Industries, Inc. ......... 800 23,650
WHX Corp. + .................... 1,000 11,875
----------
54,341
----------
Surface Transport (2.2%)
American Freightways Corp. + ... 500 4,250
Fair Isaac & Co., Inc. ......... 300 12,038
Frozen Food Express Industries,
Inc. .......................... 600 5,550
Heartland Express, Inc. + ...... 500 9,000
Landstar Systems, Inc. + ....... 300 10,650
M.S. Carriers, Inc. + .......... 400 8,600
Rollins Truck Leasing Corp. .... 2,100 24,412
U.S. Freightways Corp. ......... 400 10,025
Werner Enterprises, Inc. ....... 1,125 20,250
Whittman-Hart, Inc. + .......... 1,600 31,800
Yellow Corp. + ................. 400 6,425
----------
143,000
----------
Textiles and Apparel (1.8%)
Brown Group, Inc. .............. 700 11,156
Galey & Lord, Inc. + ........... 400 5,450
Guilford Mills, Inc. .......... 900 11,250
Justin Industries .............. 600 8,700
Kellwood Co. ................... 500 13,625
Nautica Enterprises, Inc. + .... 1,000 20,687
Oshkosh B'Gosh, Inc. ........... 800 16,700
Oxford Industries, Inc. ........ 400 11,325
Phillips-Van Heusen ............ 500 4,594
Timberland Co. (The) + ......... 200 8,000
----------
111,487
----------
Tobacco (0.1%)
Schweitzer-Mauduit
International, Inc. ........... 400 7,275
----------
Total Common Stocks (Cost 6,163,136
$6,660,445) ----------
<CAPTION>
Principal
Amount
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (3.5%)
Federal Home Loan Mortgage
Corp.,
5.42%, 11/02/98 ............... $222,000 222,000
----------
Total Short-term Investments 222,000
(Cost $222,000) ----------
Total Investments (Cost
$6,882,445)(a) 6,385,136
Other assets less liabilities (18,869)
----------
Total Net Assets $6,366,267
==========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$6,955,436. Unrealized gains and losses, based on identified tax cost at
October 31, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains ............................................ $ 405,679
Unrealized losses ........................................... (975,979)
----------
Net unrealized loss ........................................ $(570,300)
==========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 29
<PAGE>
Index Plus Funds
Statements of Assets and Liabilities
October 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Assets:
Investments, at market value ..........................................
Cash ..................................................................
Receivable for:
Dividends and interest ...............................................
Investments sold .....................................................
Fund shares sold .....................................................
Reimbursement from Investment Adviser ................................
Prepaid expenses ......................................................
Deferred organizational expenses ......................................
Total assets .....................................................
Liabilities:
Payable for:
Dividends to shareholders ............................................
Investments purchased ................................................
Fund shares redeemed .................................................
Other liabilities .....................................................
Total liabilities ................................................
NET ASSETS ...........................................................
Net assets represented by:
Paid-in capital .......................................................
Net unrealized gain (loss) on investments .............................
Undistributed net investment income ...................................
Accumulated net realized gain (loss) on investments ...................
NET ASSETS ...........................................................
Capital Shares, $.001 par value:
Class I:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
Class A:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value and redemption price per share (net assets divided by
shares outstanding) ..................................................
Offering price (net asset value divided by 1 minus maximum sales load)
Class C:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
Cost of investments ...................................................
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Bond Index Plus Large Cap Index Plus Mid Cap Index Plus Small Cap
---------------- -------------------- ------------------ ----------------------
<S> <C> <C> <C>
$15,539,462 $38,854,214 $7,296,417 $6,385,136
619 1,947 64,473 670
210,424 46,775 7,825 3,919
-- 940,218 24,813 6,500
-- 114,053 -- 1,455
14,526 10,897 11,662 9,274
237 314 160 160
-- 5,000 -- --
----------- ----------- ---------- ----------
15,765,268 39,973,418 7,405,350 6,407,114
----------- ----------- ---------- ----------
66,289 -- -- --
299,967 923,335 -- --
3,000 5,300 3,000 3,000
39,604 42,752 37,342 37,847
----------- ----------- ---------- ----------
408,860 971,387 40,342 40,847
----------- ----------- ---------- ----------
$15,356,408 $39,002,031 $7,365,008 $6,366,267
=========== =========== ========== ==========
$15,149,429 $34,432,395 $7,086,957 $7,169,370
159,543 4,373,694 357,212 (497,309)
8,041 187,158 32,283 13,432
39,395 8,784 (111,444) (319,226)
----------- ----------- ---------- ----------
$15,356,408 $39,002,031 $7,365,008 $6,366,267
=========== =========== ========== ==========
1,475,597 2,299,061 675,295 660,731
$14,958,135 $31,670,686 $6,995,950 $5,861,994
$ 10.14 $ 13.78 $ 10.36 $ 8.87
27,616 468,731 25,981 39,411
$ 279,963 $ 6,421,698 $ 268,690 $ 348,984
$ 10.14 $ 13.70 $ 10.34 $ 8.86
$ 10.45 $ 14.12 $ 10.66 $ 9.13
11,675 66,214 9,716 17,557
$ 118,310 $ 909,647 $ 100,368 $ 155,289
$ 10.13 $ 13.74 $ 10.33 $ 8.84
$15,379,919 $34,480,520 $6,939,205 $6,882,445
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
Index Plus Funds
Statements of Operations
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income:
Dividends ..............................................................
Interest ...............................................................
Foreign taxes withheld on dividends ....................................
Total investment income ...........................................
Investment Expenses:
Investment advisory fee ................................................
Administrative services fees ...........................................
Distribution Plan and shareholder services fees ........................
Organizational expenses ................................................
Printing and postage ...................................................
Custody fees ...........................................................
Transfer agent fees ....................................................
Audit fees .............................................................
Directors' fees ........................................................
Registration fees ......................................................
Miscellaneous ..........................................................
Expenses before reimbursement and waiver from Investment Adviser .......
Expense reimbursement and waiver from Investment Adviser ...............
Total expenses ....................................................
Net investment income ..................................................
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments ...........................................................
Futures ...............................................................
Net realized gain (loss) on investments ...........................
Net change in unrealized gain or loss on:
Investments ...........................................................
Net change in unrealized gain or loss on investments ..............
Net realized and change in unrealized gain or loss on investments .
Net increase (decrease) in net assets resulting from operations ........
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Bond Index Plus Mid Cap Index Plus Small Cap
Period From Period From Period From
February 4, 1998 Index Plus Large Cap February 3, 1998 February 3, 1998
(Commencement of Year Ended (Commencement of (Commencement of
Operations) To October 31, October 31, Operations) To October 31, Operations) To October 31,
1998 1998 1998 1998
-------------------------- -------------------- -------------------------- ----------------------------
<S> <C> <C> <C>
$ -- $ 312,909 $ 67,093 $ 45,776
674,362 67,497 8,917 10,036
-------- ---------- --------- ---------
674,362 380,406 76,010 55,812
-- (1,579) -- (23)
-------- ---------- --------- ---------
674,362 378,827 76,010 55,789
-------- ---------- --------- ---------
39,396 102,550 25,868 24,996
11,256 27,653 5,748 5,555
616 12,230 608 682
-- 1,594 -- --
5,138 6,234 5,050 5,047
2,208 16,525 9,305 11,922
19,329 29,527 18,739 18,744
13,733 18,910 13,733 13,732
366 621 195 193
68,039 62,046 65,757 65,775
362 637 304 412
-------- ---------- --------- ---------
160,443 278,527 145,307 147,058
(92,308) (107,382) (101,580) (104,701)
-------- ---------- --------- ---------
68,135 171,145 43,727 42,357
-------- ---------- --------- ---------
606,227 207,682 32,283 13,432
-------- ---------- --------- ---------
39,395 152,556 (111,444) (319,226)
-- (130,571) -- --
-------- ---------- --------- ---------
39,395 21,985 (111,444) (319,226)
-------- ---------- --------- ---------
159,543 3,065,126 357,212 (497,309)
-------- ---------- --------- ---------
159,543 3,065,126 357,212 (497,309)
-------- ---------- --------- ---------
198,938 3,087,111 245,768 (816,535)
-------- ---------- --------- ---------
$805,165 $3,294,793 $ 278,051 $(803,103)
======== ========== ========= =========
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
Index Plus Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Bond
---------------------
Period From
February 4, 1998
(Commencement of
Operations)
to October 31, 1998
-------------------
<S> <C>
From Operations:
Net investment income................................... $ 606,227
Net realized gain on investments........................ 39,395
Net change in unrealized gain or loss on investments.... 159,543
-----------
Net increase in net assets resulting from operations... 805,165
-----------
Distributions to Shareholders:
Class I:
From net investment income............................. (589,116)
Class A:
From net investment income............................. (7,400)
Class C:
From net investment income............................. (1,670)
-----------
Decrease in net assets from distributions to
shareholders.......................................... (598,186)
-----------
From Fund Share Transactions:
Class I:
Proceeds from shares sold.............................. 14,938,009
Net asset value of shares issued upon reinvestment of
distributions......................................... 358
Payments for shares redeemed........................... (183,308)
Class A:
Proceeds from shares sold.............................. 279,721
Net asset value of shares issued upon reinvestment of
distributions......................................... 545
Payments for shares redeemed........................... (3,027)
Class C:
Proceeds from shares sold.............................. 117,060
Net asset value of shares issued upon reinvestment of
distributions......................................... 71
-----------
Net increase in net assets from fund share transactions 15,149,429
-----------
Net change in net assets................................ 15,356,408
Net Assets:
Beginning of period..................................... --
End of period........................................... $15,356,408
===========
End of period net assets includes undistributed net
investment income...................................... $ 8,041
===========
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Bond
---------------------
Period From
February 4, 1998
(Commencement of
Operations)
to October 31, 1998
-------------------
<S> <C>
Share Transactions:
Class I:
Number of shares sold.................................. 1,493,797
Number of shares issued upon reinvestment of
distributions......................................... 36
Number of shares redeemed.............................. (18,236)
-----------
Net increase........................................... 1,475,597
===========
Class A:
Number of shares sold.................................. 27,862
Number of shares issued upon reinvestment of
distributions......................................... 54
Number of shares redeemed.............................. (300)
-----------
Net increase........................................... 27,616
===========
Class C:
Number of shares sold.................................. 11,674
Number of shares issued upon reinvestment of
distributions......................................... 1
-----------
Net increase........................................... 11,675
===========
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
Index Plus Funds
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Large Cap
-----------------------------------
Period From
December 10, 1996
Year Ended (Commencement of
October 31, Operations)
1998 to October 31, 1997
----------- -------------------
<S> <C> <C>
From Operations:
Net investment income................... $ 207,682 $ 119,623
Net realized gain on investments........ 21,985 1,212,139
Net change in unrealized gain or loss on
investments............................ 3,065,126 1,308,568
------------ ------------
Net increase in net assets resulting
from operations....................... 3,294,793 2,640,330
------------ ------------
Distributions to Shareholders:
Class I:
From net investment income............. (110,122) (15,150)
From net realized gains on investments. (1,021,541) --
Class A:
From net investment income............. (14,875) --
From net realized gains on investments. (203,799) --
------------ ------------
Decrease in net assets from
distributions to shareholders......... (1,350,337) (15,150)
------------ ------------
From Fund Share Transactions:
Class I:
Proceeds from shares sold.............. 30,131,731 18,542,645
Net asset value of shares issued upon
reinvestment of distributions......... 903,430 --
Payments for shares redeemed........... (11,798,341) (10,225,784)
Class A:
Proceeds from shares sold.............. 4,645,148 1,878,106
Net asset value of shares issued upon
reinvestment of distributions......... 215,511 --
Payments for shares redeemed........... (619,211) (110,404)
Class C:
Proceeds from shares sold.............. 869,798 --
Payments for shares redeemed........... (234) --
------------ ------------
Net increase in net assets from fund
share transactions.................... 24,347,832 10,084,563
------------ ------------
Net change in net assets................ 26,292,288 12,709,743
Net Assets:
Beginning of period..................... 12,709,743 --
------------ ------------
End of period........................... $ 39,002,031 $ 12,709,743
============ ============
End of period net assets includes
undistributed net investment income.... $ 187,158 $ 104,473
============ ============
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Large Cap
-----------------------------------
Period From
December 10, 1996
Year Ended (Commencement of
October 31, Operations)
1998 to October 31, 1997
----------- -------------------
<S> <C> <C>
Share Transactions:
Class I:
Number of shares sold.................. 2,243,924 1,730,172
Number of shares issued upon
reinvestment of distributions......... 76,110 --
Number of shares redeemed.............. (896,262) (854,883)
------------ ------------
Net increase........................... 1,423,772 875,289
============ ============
Class A:
Number of shares sold.................. 349,075 157,036
Number of shares issued upon
reinvestment of distributions......... 18,217 --
Number of shares redeemed.............. (46,866) (8,731)
------------ ------------
Net increase........................... 320,426 148,305
============ ============
Class C:
Number of shares sold.................. 66,231 --
Number of shares redeemed.............. (17) --
------------ ------------
Net increase........................... 66,214 --
============ ============
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
Index Plus Funds
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Mid Cap
---------------------
Period From
February 3, 1998
(Commencement of
Operations)
to October 31, 1998
-------------------
<S> <C>
From Operations:
Net investment income................................... $ 32,283
Net realized loss on investments........................ (111,444)
Net change in unrealized gain or loss on investments.... 357,212
----------
Net increase in net assets resulting from operations... 278,051
----------
From Fund Share Transactions:
Class I:
Proceeds from shares sold.............................. 7,433,721
Payments for shares redeemed........................... (728,294)
Class A:
Proceeds from shares sold.............................. 336,925
Payments for shares redeemed........................... (60,728)
Class C:
Proceeds from shares sold.............................. 105,352
Payments for shares redeemed........................... (19)
----------
Net increase in net assets from fund share transactions 7,086,957
----------
Net change in net assets................................ 7,365,008
Net Assets:
Beginning of period..................................... --
End of period........................................... $7,365,008
==========
End of period net assets includes undistributed net
investment income...................................... $ 32,283
==========
Share Transactions:
Class I:
Number of shares sold.................................. 743,122
Number of shares redeemed.............................. (67,827)
----------
Net increase........................................... 675,295
==========
Class A:
Number of shares sold.................................. 32,119
Number of shares redeemed.............................. (6,138)
----------
Net increase........................................... 25,981
==========
Class C:
Number of shares sold.................................. 9,718
Number of shares redeemed.............................. (2)
----------
Net increase........................................... 9,716
==========
</TABLE>
38 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Index Plus Small Cap
----------------------
Period From
February 3, 1998
(Commencement of
Operations)
to October 31, 1998
-------------------
<S> <C>
From Operations:
Net investment income.................................. $ 13,432
Net realized loss on investments....................... (319,226)
Net change in unrealized gain or loss on investments... (497,309)
----------
Net decrease in net assets resulting from operations.. (803,103)
----------
From Fund Share Transactions:
Class I:
Proceeds from shares sold............................. 7,448,240
Payments for shares redeemed.......................... (840,268)
Class A:
Proceeds from shares sold............................. 398,453
Payments for shares redeemed.......................... (6,624)
Class C:
Proceeds from shares sold............................. 169,584
Payments for shares redeemed.......................... (15)
----------
Net increase in net assets from fund share
transactions......................................... 7,169,370
----------
Net change in net assets............................... 6,366,267
Net Assets:
Beginning of period.................................... --
End of period.......................................... $6,366,267
==========
End of period net assets includes undistributed net
investment income..................................... $ 13,432
==========
Share Transactions:
Class I:
Number of shares sold................................. 744,586
Number of shares redeemed............................. (83,855)
----------
Net increase.......................................... 660,731
==========
Class A:
Number of shares sold................................. 40,146
Number of shares redeemed............................. (735)
----------
Net increase.......................................... 39,411
==========
Class C:
Number of shares sold................................. 17,559
Number of shares redeemed............................. (2)
----------
Net increase.......................................... 17,557
==========
</TABLE>
See Notes to Financial Statements. 39
<PAGE>
Index Plus Funds
Notes to Financial Statements
October 31, 1998
- --------------------------------------------------------------------------------
1. Organization
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds (Funds), each of which
has its own investment objective, policies and restrictions.
The Company currently offers nineteen funds. This report covers Aetna Index Plus
Bond Fund (Index Plus Bond), Aetna Index Plus Large Cap Fund (Index Plus Large
Cap), Aetna Index Plus Mid Cap Fund (Index Plus Mid Cap) and Aetna Index Plus
Small Cap Fund (Index Plus Small Cap).
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 three classes of shares, Class I, Class A and
Class C. Class I is offered principally to institutions and is not subject to
sales charges or distribution fees. Class I shares were first made available as
follows: Index Plus Large Cap on December 10, 1996, Index Plus Mid Cap and Index
Plus Small Cap on February 3, 1998, and Index Plus Bond on February 4, 1998.
Class A and Class C shares are offered to accounts not eligible to buy Class I
shares. Class A shares are generally subject to a front end sales charge and a
distribution fee pursuant to Rule 12b-1 of the Act. Class A shares were first
made available to the public for Index Plus Large Cap on February 3, 1997. Index
Plus Mid Cap and Index Plus Small Cap were made available to the public on
February 3, 1998 and Index Plus Bond Fund on February 4, 1998. Class C shares
are generally subject to a contingent deferred sales charge on redemptions made
within eighteen months of purchase, a distribution fee pursuant to Rule 12b-1 of
the Act and a service fee. Class C shares were first made available to the
public on June 30, 1998.
The following is each Fund's investment objective:
Index Plus Bond seeks maximum total return, consistent with preservation of
capital, primarily through investment in a diversified portfolio of fixed
income securities, which will be chosen to substantially replicate the
characteristics of the Lehman Brothers Aggregate Bond Index, an unmanaged
index comprised of approximately 6,000 securities.
Index Plus Large Cap seeks to outperform the total return performance of
publicly traded common stocks represented by the Standard and Poor's (S&P)
500 Composite Stock Price Index, a stock market index comprised of 500
common stocks selected by S&P.
Index Plus Mid Cap seeks to outperform the total return performance of
publicly traded common stocks represented by the Standard and Poor's (S&P)
Midcap 400, a stock market index comprised of 400 common stocks selected by
S&P, while maintaining a market level of risk.
Index Plus Small Cap seeks to outperform the total return performance of
publicly traded common stocks represented by the Standard and Poor's (S&P)
Smallcap 600 Index, a stock market index comprised of 600 common stocks
selected by S&P, while maintaining a market level of risk.
Aeltus Investment Management, Inc. (Aeltus) serves as the Investment Adviser to
each Fund. Prior to February 2, 1998, the Investment Adviser was Aetna Life
Insurance and Annuity Company (ALIAC). Aetna Investment Services, Inc. (AISI)
was the principal underwriter for each Fund through April 30, 1998. On May 1,
1998, Aeltus Capital, Inc. (ACI) became each Fund's principal underwriter.
Aeltus, ALIAC, AISI and ACI are all 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.
40
<PAGE>
2. Summary of Significant Accounting Policies (continued)
A. Valuation of Investments
Investments are stated at market values based upon closing sales prices as
reported on national securities exchanges or, for over-the-counter securities,
at the mean of the bid and asked prices. Short-term investments maturing in more
than sixty days for which market quotations are readily available are valued at
current market value. Short-term investments maturing in less than sixty days
are valued at amortized cost, which when combined with accrued interest,
approximates market value. Securities and fixed income investments for which
market quotations are not considered to be readily available are valued using
methods approved by the Board of Directors.
The accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions. 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. Futures Contracts
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument including an
index of stocks at a set price on a future date. The Funds 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.
The risks associated with financial futures may arise from an imperfect
correlation between the change in market value of the securities held by the
Funds and the price of the contracts. Risks may also arise from an illiquid
secondary market or from the inability of counterparties to meet the terms of
the contracts.
Realized and unrealized gains or losses on financial futures are reflected in
the accompanying financial statements. The amounts at risk under such futures
may exceed the amounts reflected in the financial statements. For federal income
tax purposes, any futures contracts which remain open at year end are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
C. Illiquid and Restricted Securities
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are those sold under Rule 144A 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.
Each Fund may invest up to 15% of its total assets in illiquid securities (10%
in the case of Index Plus Large Cap). In the absence of market quotations, the
securities are valued based upon their fair value determined under procedures
approved by the Board of Directors. The Funds will not pay the costs of
disposition of restricted securities other than ordinary brokerage fees, if any.
Illiquid and restricted securities are valued using market quotations when
readily available.
41
<PAGE>
Index Plus Funds
Notes to Financial Statements (continued)
October 31, 1998
- --------------------------------------------------------------------------------
2. Summary of Significant Accounting Policies (continued)
D. Delayed Delivery Transactions
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' Portfolio of Investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract.
E. Federal Income Taxes
Each Fund has met the requirements to be taxed as a regulated investment company
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.
F. Distributions
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for futures contracts and certain losses
deferred due to transactions characterized as "wash sales" by federal 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.
G. Other
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
H. Deferred Organizational Costs
Index Plus Large Cap paid organizational expenses in connection with its
start-up and initial registration. Organizational expenses are being amortized
over 60 months on a straight-line basis beginning with the commencement of
operations. If any or all of the shares representing initial capital of Index
Plus Large Cap are redeemed by any holder thereof prior to the end of the
amortization period, the proceeds will be reduced by the unamortized
organizational expense balance in the same proportion as the number of shares
redeemed bears to the number of initial shares outstanding immediately preceding
the redemption.
3. Investment Advisory, Shareholder Services and Distribution Fees
Each Fund pays Aeltus a monthly advisory fee expressed as a percentage of the
average daily net assets of each Fund. As each Fund's net assets exceed
predetermined thresholds, lower advisory fees are applied. Below are the Funds'
annual Investment Advisory fee ranges and the annual effective rates before
waivers as of October 31, 1998:
<TABLE>
<CAPTION>
Fee Range Effective Rate
--------- --------------
<S> <C> <C>
Index Plus Bond 0.35%-0.275% 0.35%
Index Plus Large Cap 0.45%-0.375% 0.45%
Index Plus Mid Cap 0.45%-0.375% 0.45%
Index Plus Small Cap 0.45%-0.375% 0.45%
</TABLE>
42
<PAGE>
3. Investment Advisory, Shareholder Services and Distribution Fees (continued)
Aeltus has served as the Investment Adviser for all Funds (except Index Plus
Large Cap) since inception. Prior to February 2, 1998, ALIAC served as Index
Plus Large Cap's Investment Adviser and Aeltus served as Sub-Adviser. As the
Sub-Adviser, Aeltus supervised the investment and reinvestment of cash and
securities and provided certain related administrative services for the Fund.
Effective February 2, 1998, the Company and Aeltus entered into an
Administrative Services Agreement under which Aeltus acts as administrator and
provides certain administrative and shareholder services and is responsible for
the supervision of other service providers for each Fund. Each Fund pays Aeltus
an administrative services fee at an annual rate of 0.10% of its average daily
net assets. Prior to February 2, 1998, ALIAC acted as administrator for Index
Plus Large Cap and was paid an administrative services fee at an annual rate of
0.25% of Index Plus Large Cap's average daily net assets.
Aeltus has entered into a Service Agreement with 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 0.225% of the average daily assets associated
with these shares. For the period February 1, 1998 through October 31, 1998,
Aeltus paid ALIAC $80,051.
The Shareholder Services Plan for the Class A shares terminated on December 31,
1997. Under the Shareholder Services Plan, AISI was paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class A of Index Plus
Large Cap. This fee was used as compensation for expenses incurred in servicing
shareholders' accounts.
The Company has adopted a Shareholder Services Plan for the Class C. 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 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 and Class C shares. The Distribution Plan provides for payments
to the principal underwriter at an annual rate of 0.25% (prior to February 2,
1998, the 12b-1 fee was 0.50%) of the average daily net assets of Class A shares
of each Fund and 0.50% of the average daily net assets of 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 and Class C shares. The
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 Rule 12b-1 fees
incurred by Class A and Class C shares and service fees incurred by Class C
shares.
4. Reimbursement and Waiver from Investment Adviser
Aeltus may, from time to time, make reimbursements to a Fund for some or all of
its operating expenses or it may waive fees. Reimbursement and waiver
arrangements, which may be terminated at any time without notice, will increase
a Fund's yield and total return.
5. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the period ended October 31, 1998 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds From Sales
----------------- -------------------
<S> <C> <C>
Index Plus Bond $18,411,652 $ 3,029,085
Index Plus Large Cap 48,439,536 26,941,701
Index Plus Mid Cap 16,790,518 9,739,869
Index Plus Small Cap 14,180,636 7,200,966
</TABLE>
43
<PAGE>
Index Plus Funds
Notes to Financial Statements (continued)
October 31, 1998
- --------------------------------------------------------------------------------
6. Capital Loss Carryforwards
As of October 31, 1998 Index Plus Small Cap and Index Plus Mid Cap incurred
capital loss carryforwards of $246,235 and $24,662, respectively. These capital
loss carryforwards may be used to offset future capital gains until October 31,
2006, at which time the carryforwards will expire. It is the policy of each of
the Funds to reduce future distributions of realized gains to shareholders to
the extent of unexpired capital loss carryforwards.
7. Authorized Capital Shares
The Company is authorized to issue a total of 9.7 billion shares. Of those 9.7
billion shares, the following have been designated to the Funds described in
this report as follows: all of the Funds, have been designated 100 million
shares each of Class I, Class A and Class C shares. As of October 31, 1998, the
following shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
Class I Class A Class C
------- ------- -------
<S> <C> <C> <C>
Index Plus Bond 1,475,188 10,000 9,990
Index Plus Large Cap -- -- 7,057
Index Plus Mid Cap 672,294 10,000 9,158
Index Plus Small Cap 656,272 10,000 9,416
</TABLE>
44
<PAGE>
Index Plus Funds
Additional Information
October 31, 1998
- --------------------------------------------------------------------------------
Federal Tax Status of Dividends Declared During the Fiscal Year (Unaudited)
In accordance with federal tax authorities, certain portions of the dividends
taxable as ordinary income qualify for the corporate dividends received
deduction. The following percentages reflect the portions of such dividends
paid:
<TABLE>
<S> <C>
Index Plus Large Cap 13.76%
</TABLE>
In accordance with federal tax authorities, the following amount of dividends
which qualify to be taxed at long-term capital gain rates were paid during the
fiscal year ended October 31, 1998:
<TABLE>
<CAPTION>
Aggregate Per Share
--------- ---------
<S> <C> <C>
Index Plus Large Cap $5,930 $0.00591
</TABLE>
Year 2000 (Unaudited)
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 assurances 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>
Index Plus Funds
Financial Highlights
Index Plus Bond
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 4, 1998
(Commencement of
Operations)
CLASS I to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
Income from investment operations:
Net investment income ................................. 0.40
Net realized and change in unrealized gain or loss on
investments .......................................... 0.14
-------
Total from investment operations .................... 0.54
-------
Less distributions:
From net investment income ............................ (0.40)
-------
Total distributions ................................. (0.40)
-------
Net asset value, end of period ......................... $ 10.14
=======
Total return ........................................... 5.48%
Net assets, end of period (000's) ...................... $14,958
Ratio of total expenses to average net assets .......... 0.60%(1)
Ratio of net investment income to average net assets ... 5.39%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 1.42%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... 4.57%(1)
Portfolio turnover rate ................................ 20.86%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
46 See Notes to Financial Statements.
<PAGE>
Index Plus Bond
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 4, 1998
(Commencement of
Operations)
CLASS A to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $10.00
------
Income from investment operations:
Net investment income ................................. 0.38
Net realized and change in unrealized gain or loss on
investments........................................... 0.14
------
Total from investment operations .................... 0.52
------
Less distributions:
From net investment income ............................ (0.38)
------
Total distributions ................................. (0.38)
------
Net asset value, end of period ......................... $10.14
======
Total return ........................................... 5.29%
Net assets, end of period (000's) ...................... $ 280
Ratio of total expenses to average net assets .......... 0.85%(1)
Ratio of net investment income to average net assets ... 5.14%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 1.67%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... 4.32%(1)
Portfolio turnover rate ................................ 20.86%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 47
<PAGE>
Index Plus Funds
Financial Highlights (continued)
Index Plus Bond
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
CLASS C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $10.01
------
Income from investment operations:
Net investment income ................................. 0.16
Net realized and change in unrealized gain or loss on
investments .......................................... 0.11
------
Total from investment operations .................... 0.27
------
Less distributions:
From net investment income ............................ (0.15)
------
Total distributions ................................. (0.15)
------
Net asset value, end of period ......................... $10.13
======
Total return ........................................... 2.75%
Net assets, end of period (000's) ...................... $ 118
Ratio of total expenses to average net assets .......... 1.35%(1)
Ratio of net investment income to average net assets ... 4.64%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.17%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... 3.82%(1)
Portfolio turnover rate ................................ 20.86%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
48 See Notes to Financial Statements.
<PAGE>
Index Plus Large Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
December 10, 1996
Year Ended (Commencement
October 31, of Operations)
CLASS I 1998 to October 31, 1997
- ------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 12.43 $ 10.00
------- -------
Income from investment operations:
Net investment income .................... 0.13 0.12
Net realized and change in unrealized gain
or loss on investments .................. 2.57 2.33
------- -------
Total from investment operations ....... 2.70 2.45
------- -------
Less distributions:
From net investment income ............... (0.13) (0.02)
From net realized gains on investments ... (1.22) --
------- -------
Total distributions .................... (1.35) (0.02)
------- -------
Net asset value, end of period ............ $ 13.78 $ 12.43
======= =======
Total return .............................. 23.46% 24.49%
Net assets, end of period (000's) ......... $31,671 $10,876
Ratio of total expenses to average net
assets.................................... 0.70% 0.70%(1)
Ratio of net investment income to average
net assets ............................... 0.96% 1.15%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.17% 1.95%(1)
Ratio of net investment income before
reimbursement and waiver to average net
assets.................................... 0.49% (0.11)%(1)
Portfolio turnover rate ................... 124.16% 82.31%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 49
<PAGE>
Index Plus Funds
Financial Highlights (continued)
Index Plus Large Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 3, 1997
Year Ended (Date of Initial
October 31, Public Offering)
CLASS A 1998 to October 31, 1997
- ------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 12.36 $10.57
------- ------
Income from investment operations:
Net investment income .................... 0.09 0.02
Net realized and change in unrealized gain
or loss on investments .................. 2.56 1.77
------- ------
Total from investment operations ....... 2.65 1.79
------- ------
Less distributions:
From net investment income ............... (0.09) --
From net realized gains on investments ... (1.22) --
------- ------
Total distributions .................... (1.31) --
------- ------
Net asset value, end of period ............ $ 13.70 $12.36
======= ======
Total return .............................. 23.09% 16.93%
Net assets, end of period (000's) ......... $ 6,422 $1,833
Ratio of total expenses to average net
assets.................................... 0.99% 1.45%(1)
Ratio of net investment income to average
net assets ............................... 0.67% 0.16%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.46% 2.98%(1)
Ratio of net investment income before
reimbursement and waiver to average net
assets.................................... 0.20% (1.36)%(1)
Portfolio turnover rate ................... 124.16% 82.31%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
50 See Notes to Financial Statements.
<PAGE>
Index Plus Large Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
CLASS C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 14.17
-------
Income from investment operations:
Net investment income ................................. 0.01
Net realized and change in unrealized gain or loss on
investments .......................................... (0.44)
-------
Total from investment operations .................... (0.43)
-------
Net asset value, end of period ......................... $ 13.74
=======
Total return ........................................... (3.04)%
Net assets, end of period (000's) ...................... $ 910
Ratio of total expenses to average net assets .......... 1.43%(1)
Ratio of net investment income to average net assets ... 0.23%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 1.90%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (0.24)%(1)
Portfolio turnover rate ................................ 124.16%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 51
<PAGE>
Index Plus Funds
Financial Highlights (continued)
Index Plus Mid Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 3, 1998
(Commencement of
Operations)
CLASS I to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
Income from investment operations:
Net investment income ................................. 0.04
Net realized and change in unrealized gain or loss on
investments .......................................... 0.32
-------
Total from investment operations .................... 0.36
-------
Net asset value, end of period ......................... $ 10.36
=======
Total return ........................................... 3.60%
Net assets, end of period (000's) ...................... $ 6,996
Ratio of total expenses to average net assets .......... 0.75%(1)
Ratio of net investment income to average net assets ... 0.57%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.51%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (1.19)%(1)
Portfolio turnover rate ................................ 129.87%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
52 See Notes to Financial Statements.
<PAGE>
Index Plus Mid Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 3, 1998
(Commencement of
Operations)
CLASS A to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
Income from investment operations:
Net investment income ................................. 0.02
Net realized and change in unrealized gain or loss on
investments........................................... 0.32
-------
Total from investment operations .................... 0.34
-------
Net asset value, end of period ......................... $ 10.34
=======
Total return ........................................... 3.40%
Net assets, end of period (000's) ...................... $ 269
Ratio of total expenses to average net assets .......... 1.00%(1)
Ratio of net investment income to average net assets ... 0.32%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.76%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (1.44)%(1)
Portfolio turnover rate ................................ 129.87%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 53
<PAGE>
Index Plus Funds
Financial Highlights (continued)
Index Plus Mid Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
CLASS C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.92
-------
Income from investment operations:
Net investment income ................................. (0.01)
Net realized and change in unrealized gain or loss on
investments .......................................... (0.58)
-------
Total from investment operations .................... (0.59)
-------
Net asset value, end of period ......................... $ 10.33
=======
Total return ........................................... (5.40)%
Net assets, end of period (000's) ...................... $ 100
Ratio of total expenses to average net assets .......... 1.50%(1)
Ratio of net investment income to average net assets ... (0.18)%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 3.26%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (1.94)%(1)
Portfolio turnover rate ................................ 129.87%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
54 See Notes to Financial Statements.
<PAGE>
Index Plus Small Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 3, 1998
(Commencement of
Operations)
CLASS I to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
Income from investment operations:
Net investment income ................................. 0.02
Net realized and change in unrealized gain or loss on
investments .......................................... (1.15)
-------
Total from investment operations .................... (1.13)
-------
Net asset value, end of period ......................... $ 8.87
=======
Total return ........................................... (11.30)%
Net assets, end of period (000's) ...................... $ 5,862
Ratio of total expenses to average net assets .......... 0.75%(1)
Ratio of net investment income to average net assets ... 0.25%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.63%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (1.63)%(1)
Portfolio turnover rate ................................ 100.41%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 55
<PAGE>
Index Plus Funds
Financial Highlights (continued)
Index Plus Small Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
February 3, 1998
(Commencement of
Operations)
CLASS A to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
Income from investment operations:
Net realized and change in unrealized gain or loss on
investments .......................................... (1.14)
-------
Total from investment operations .................... (1.14)
-------
Net asset value, end of period ......................... $ 8.86
=======
Total return ........................................... (11.40)%
Net assets, end of period (000's) ...................... $ 349
Ratio of total expenses to average net assets .......... 1.00%(1)
Ratio of net investment income to average net assets ... 0.00%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.88%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (1.88)%(1)
Portfolio turnover rate ................................ 100.41%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
56 See Notes to Financial Statements.
<PAGE>
Index Plus Small Cap
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
CLASS C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.62
-------
Income from investment operations:
Net investment income ................................. (0.02)
Net realized and change in unrealized gain or loss on
investments .......................................... (1.76)
-------
Total from investment operations .................... (1.78)
-------
Net asset value, end of period ......................... $ 8.84
=======
Total return ........................................... (16.76)%
Net assets, end of period (000's) ...................... $ 155
Ratio of total expenses to average net assets .......... 1.50% (1)
Ratio of net investment income to average net assets ... (0.50)%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 3.38% (1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... (2.38)%(1)
Portfolio turnover rate ................................ 100.41%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 57
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders
Aetna Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of Aetna
Index Plus Bond Fund, Aetna Index Plus Large Cap Fund, Aetna Index Plus Mid Cap
Fund and Aetna Index Plus Small Cap Fund, portfolios of Aetna Series Fund, Inc.
(collectively the Index Plus Funds), including the portfolios of investments as
of October 31, 1998, and the related statements of operations for the year or
period then ended, and the statements of changes in net assets for each of the
years or periods in the two-year period then ended, and financial highlights for
Class I shares and Class A shares of Aetna Index Plus Bond Fund for the period
from February 4, 1998 (commencement of operations) to October 31, 1998, of Aetna
Index Plus Mid Cap Fund and Aetna Index Plus Small Cap Fund for the period from
February 3, 1998 (commencement of operations) to October 31, 1998, financial
highlights for Class I shares of Aetna Index Plus Large Cap Fund for the year
ended October 31, 1998 and the period from December 10, 1996 (commencement of
operations) to October 31, 1997, financial highlights for Class A shares of
Aetna Index Plus Large Cap Fund for the year ended October 31, 1998 and the
period from February 3, 1997 (date of initial public offering) to October 31,
1997, and financial highlights for Class C shares from June 30, 1998 (date of
initial public offering) to October 31, 1998. These financial statements and
financial highlights are the responsibility of the Index Plus Funds' management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1998 by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Index Plus Funds as of October 31, 1998, results of their operations for the
year or period then ended, changes in their net assets for each of the years or
periods in the two-year period then ended and financial highlights for each of
the years or periods specified in the first paragraph above in conformity with
generally accepted accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
December 11, 1998
58
<PAGE>
[Line Chart plot points]
Aetna Ascent Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna
Ascent Fund Ascent
(Class I) Composite
<S> <C> <C>
Jan-95 10000 10000
10286 10517
11010 11172
11850 11765
Dec-95 12362 12233
12766 12575
13350 12984
14024 13319
Oct-96 14114 13459
15510 14428
15337 13284
17744 15135
Oct-97 17868 15149
18225 15622
19822 16701
18930 16110
Oct-98 17528 15683
</TABLE>
Aetna Crossroads Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna
Crossroads Fund Crossroads
(Class I) Composite
<S> <C> <C>
Jan-95 10000 10000
10289 10520
10930 11145
11670 11627
Dec-95 12105 12076
12428 12294
12875 12613
13444 12920
Oct-96 13566 13081
14566 13811
14492 12962
16318 14437
Oct-97 16504 14531
16919 14840
18075 15752
17485 15398
Oct-98 16360 15268
</TABLE>
Aetna Legacy Fund
Growth of $10,000
<TABLE>
<CAPTION>
Aetna
Legacy Fund Legacy
(Class I) Composite
<S> <C> <C>
Jan-95 10000 10000
10303 10523
10870 11118
11489 11489
Dec-95 11889 11921
12102 12019
12471 12253
12863 12530
Oct-96 13019 12712
13728 13217
13678 12644
15020 13764
Oct-97 15095 13928
15427 14275
16251 14842
16050 14698
Oct-98 15474 14827
</TABLE>
[end Line Charts]
See Definition of Terms. 59
<PAGE>
<TABLE>
<CAPTION>
Average Annual Total Returns
for the period ended October 31, 1998*
- --------------------------------------------------------------------------------------
Ascent Crossroads Legacy
- --------------------------- ------------------ ------------------ ------------------
Inception Date 1 Year Inception* 1 Year Inception* 1 Year Inception*
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class I 01/04/95 -1.90% 15.84% -0.87% 13.76% 2.51% 12.11%
- --------------------------------------------------------------------------------------
Class A: 01/20/97
POP (1) -7.79% 13.39% -6.85% 11.32% -3.59% 9.74%
NAV (2) -2.17% 15.16% -1.17% 13.06% 2.29% 11.45%
- --------------------------------------------------------------------------------------
Class C: 06/30/98
-3.78% 14.70% -2.87% 12.62% 0.53% 11.01%
w/CDSC (3)
NAV -2.81% 14.70% -1.89% 12.62% 1.53% 11.01%
- --------------------------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. For periods
prior to the inception of Class A and Class C, the performance of each class is
calculated by using the performance of Class I, adjusted for fees and expenses
charged to the appropriate class. Class I, Class A and Class C shares
participate in the same portfolio of securities.
Aetna Generation Funds
How did the Fund perform during the period?
For the twelve-month period ended October 31, 1998, the Generation Funds
(Ascent, Crossroads and Legacy) have all underperformed their respective
benchmarks. These benchmark indices are comprised of the seven stock and bond
indices listed below in weights that correspond to the particular benchmark
weights for each Fund.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Fund Return Benchmark Index Fund -
Generation Fund (Class I) Return Benchmark
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Ascent -1.90% 3.52% -5.42%
Crossroads -0.87% 5.07% -5.94%
Legacy 2.51% 6.49% -3.98%
</TABLE>
What economic or financial market conditions impacted the Funds?
Serving as a backdrop for each of the Generation Funds' performance are the
returns as of October 31, 1998, for the various indices for each of the asset
classes among which the Generation Funds allocate investments (shown below).
Again, the combination of these seven indices in different weights comprise the
overall benchmarks against which we measure each Generation Fund's performance
(shown above).
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Index
Asset Class Benchmark Index Return
- -----------------------------------------------------------------------
<S> <C> <C>
Large Company Stocks S&P 500 (a) 21.98%
Small Company Stocks Russell 2000 (b) -11.84%
International Stocks MSCI EAFE (c) 9.95%
Real Estate Stocks NAREIT (d) -12.79%
Domestic Bonds Salomon Broad (e) 9.40%
International Bonds S.B. Non-U.S. WGBI (f) 12.81%
Cash Equivalents U.S. 90 Day T-Bill (g) 5.01%
</TABLE>
60 See Definition of Terms.
<PAGE>
The past year was an extremely difficult one for the Generation Funds, due
entirely to our asset allocation decisions. The following exhibits show the
progression of asset allocations for the three Generation Funds. We were hurt
by being underweight in large cap stocks, U.S. bonds, and foreign bonds, and by
being overweight in small cap stocks and equity real estate investments trusts
(REITs), positions that were driven by our analysis of the relative valuation of
these asset classes. In general, allocations to U.S. bonds and cash were
reduced over the course of the year, primarily to fund increases in large cap
stocks and equity REITs in response to improved valuation in these two asset
classes.
<TABLE>
<CAPTION>
Asset Allocation: % of Notional Value* Economic Exposure*
Asset Class Investment of Futures 10/31/98 10/31/97 Benchmark Range
<S> <C> <C> <C> <C> <C>
Ascent
- ------
Large Cap Stocks 18% -- 18% 10% 20% 0-60%
Small Cap Stocks 26% -- 26% 26% 20% 0-40%
International Stocks 14% -- 14% 21% 20% 0-40%
International Bonds -- -- -- 3% 10% 0-20%
Real Estate Stocks 35% -- 35% 13% 20% 0-40%
Fixed Income 5% -- 5% 14% 10% 0-30%
Cash Equivalents 2% -- 2% 13% -- 0-30%
--------------------------------------------------------------------------
100% -- 100% 100% 100%
==============================================================
Crossroads
- ----------
Large Cap Stocks 14% -- 14% 7% 15% 0-45%
Small Cap Stocks 20% -- 20% 20% 15% 0-30%
International Stocks 12% -- 12% 17% 15% 0-30%
International Bonds 2% 1% 3% 2% 10% 0-20%
Real Estate Stocks 26% -- 26% 10% 15% 0-30%
Fixed Income 15% -- 15% 30% 25% 0-70%
Cash Equivalents 11% (1)% 10% 14% 5% 0-30%
--------------------------------------------------------------------------
100% -- 100% 100% 100%
==============================================================
Legacy
- ------
Large Cap Stocks 9% -- 9% 5% 10% 0-30%
Small Cap Stocks 13% -- 13% 13% 10% 0-20%
International Stocks 10% -- 10% 13% 10% 0-20%
International Bonds 3% 2% 5% 4% 10% 0-20%
Real Estate Stocks 17% -- 17% 7% 10% 0-20%
Fixed Income 26% -- 26% 47% 40% 0-100%
Cash Equivalents 22% (2)% 20% 11% 10% 0-30%
--------------------------------------------------------------------------
100% -- 100% 100% 100%
==============================================================
</TABLE>
* Notional value refers to the economic value at risk or the exposure to the
financial instruments underlying the options and futures positions. Economic
exposure reflects the Fund's exposure to both changes in the value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
What investments influenced the Funds' performance over the past twelve months?
Relative value is the primary criteria in our asset allocation decisions. Early
in the year, our valuation disciplines indicated that large cap stocks were
overvalued relative to other equity asset classes, and consequently, we
maintained an underweight position in large cap stocks, and an overweight
position in small cap stocks and equity REITs. Over the course of the year,
these two equity asset classes became even more undervalued relative to large
cap stocks, and we increased our overweight positions as a result.
In addition, our analysis indicated that U.S. bond investors were being offered
an unusually small increment of yield compared to cash equivalents in
compensation for the greatly increased interest rate risk of bonds compared to
cash, so we trimmed back on our already underweight U.S. bond holdings.
International bonds likewise appeared to offer little
See Definition of Terms. 61
<PAGE>
incremental yield over U.S. bonds and cash (and often had lower yields) and
seemed likely to suffer if the U.S. dollar strengthened, so we kept our holdings
of foreign bonds fairly low.
[Line Chart plot points]
Small Cap Earnings/Price - S&P 500 Earnings/Price
As of 10/31/98
This graph shows the comparison between Small Cap Earnings/Price
to the S&P 500 Earnings/Price.
Source: I/B/E/S
REIT Dividend/Price - S&P 500 Earnings/Price
As of 10/31/98
This graph shows the comparison between REIT Dividend/Price
to the S&P 500 Earnings/Price.
Source: I/B/E/S & Nat'l Assoc. of REITs
[end Line Charts]
62 See Definition of Terms.
<PAGE>
What is your outlook going forward?
Diversification works well over the long-run. In the short-run, however, a
strategy of selling asset classes that have performed well recently and are
overvalued, and buying asset classes that have performed poorly recently and are
undervalued can appear foolish at times. Value disciplines rely upon a return
to historical valuation relationships, and will tend to underperform when
valuation relationships are moving away from the historical norm, as they have
over the past year.
The Generation Funds were designed for long-term investors. We designed the
benchmark portfolios to provide attractive risk/reward profiles over the
long-term, using long-term history as our guide, as shown below.
[Line Chart plot points]
Benchmark Performance
(1973 - 1997)
All Asset Classes
This graph shows Benchmark Performance, comparing Benchmarks
to Cash, Bonds, Balanced, Large Stocks and International Stocks.
[end Line Chart]
This year has seen an unprecedented divergence of performance between large cap
U.S. stocks and other equity asset classes. This gap should reverse at some
point and we believe the portfolios are positioned to benefit from the reversion
to more normal relationships. At the end of October 1998, the capital markets
appeared to be at an emotional extreme in the relative pricing of assets. At
such times, it is particularly important to have a thoroughly tested,
fundamentally sound set of investment disciplines and to stick to them. We
intend to do just that.
See Definition of Terms. 63
<PAGE>
- --------------------------------------------------------------------------------
Definition of Terms
- --------------------------------------------------------------------------------
(1)Public offering price (POP) is the price of a mutual fund share plus the
maximum sales charge levied at the time of purchase.
(2)Net asset value (NAV) is the value of all your fund's assets, minus any
liabilities, divided by the number of outstanding shares, not including any
initial or contingent deferred sales charge.
(3) Contingent deferred sales charge (CDSC) is a charge applied at the time of
the redemption and assumes redemption at the end of the period.
(a) The Standard & Poor's (S&P) 500 Index is a value-weighted, unmanaged index
of 500 widely held stocks that assumes reinvestment of all dividends, and is
considered to be representative of the stock market in general.
(b) The Russell 2000 Index consists of the smallest 2000 companies in the
Russell 3000 Index and represents approximately 11% of the Russell 3000 total
market capitalization. The 3000 largest U.S. companies by market capitalization,
representing nearly 98% of the U.S. equity market, comprise the Russell 3000
Index. Both indices assume reinvestment of all dividends and are unmanaged.
(c) The Morgan Stanley Capital International-Europe, Australia and Far East
(MSCI EAFE) Index 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.
(d) The National Association of Real Estate Investment Trusts (NAREIT) Equity
REIT Index is an unmanaged, market-weighted average of the performance for
tax-qualified real estate investment trusts listed on the New York Stock
Exchange, American Stock Exchange and the NASDAQ National Market System.
(e) Salomon Brothers Broad Investment-Grade Bond Index is an unmanaged,
market-weighted index that contains approximately 4,700 individually priced
investment-grade bonds rated BBB or better. The index includes U.S. Treasury/
Agency issues, mortgage pass-through securities, and corporate issues.
(f) The Salomon Brothers Non-U.S. World Government Bond Index (S.B. Non-U.S.
WGBI) serves as an unmanaged benchmark to evaluate the performance of government
bonds with a maturity of one year or greater in the following 12 countries:
Japan, United Kingdom, Germany, France, Canada, the Netherlands, Australia,
Denmark, Italy, Belgium, Spain and Sweden.
(g) Three-month Treasury bills are government-backed short-term investments
considered to be risk-free, and equivalent to cash because their maturity is
only three months.
The opinions expressed reflect those of the portfolio manager only through
October 31, 1998. The manager's opinions are subject to change at any time
based on market and other conditions. The composition, industries and holdings
of the portfolio are subject to change.
64
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Ascent
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
COMMON STOCKS (92.1%)
United States (79.2%)
Air Transport (0.7%)
AMR Corp. + ............................. 2,100 $ 140,700
Continental Airlines, Inc. + ............ 100 3,963
Delta Air Lines, Inc. ................... 1,100 116,119
UAL Corp. + ............................. 100 6,494
------------
267,276
------------
Auto Parts and Hardware (0.3%)
Black & Decker Corp. .................... 2,500 129,219
------------
Automotive (0.6%)
Dana Corp. .............................. 1,393 58,245
Ford Motor Co. .......................... 3,500 189,875
------------
248,120
------------
Banks and Thrifts (0.9%)
AmSouth Bancorporation .................. 200 8,038
Comerica, Inc. .......................... 1,000 64,500
Commerce Bancshares, Inc. ............... 100 4,356
Datastream Systems, Inc. + ............. 600 6,038
Dime Bancorp, Inc. ...................... 400 9,525
Downey Financial Corp. .................. 3,045 71,367
Golden West Financial Corp. ............. 1,200 108,825
Riggs National Corp. .................... 500 12,063
Suntrust Banks, Inc. .................... 1,000 69,687
Washington Federal, Inc. ................ 300 8,006
------------
362,405
------------
Biotech and Medical Products (4.2%)
ADAC Laboratories + ..................... 3,400 100,725
Alpharma, Inc. .......................... 6,400 177,200
Amgen, Inc. + ........................... 900 70,706
Arterial Vascular Engineering, Inc. + ... 1,800 55,350
Barr Laboratories, Inc. + ............... 3,300 112,819
Bio-Rad Labs, Inc. + .................... 3,900 86,044
Diagnostic Products Corp. ............... 600 13,538
Guidant Corp. ........................... 400 30,600
Hanger Orthopedic Group, Inc. + ......... 11,000 217,250
Marquette Medical Systems, Inc. + ...... 600 26,737
Maxxim Medical, Inc. + .................. 8,900 224,725
Mylan Laboratories, Inc. ................ 900 30,994
OEC Medical Systems, Inc. + ............. 6,800 170,000
Safeskin Corp. + ........................ 700 15,488
Serologicals Corp. + .................... 4,500 101,812
Thermo BioAnalysis Corp. + .............. 4,100 43,306
VISX, Inc. + ............................ 4,000 200,500
------------
1,677,794
------------
Commercial Services (1.5%)
Crossmann Communities, Inc. + .......... 800 18,200
Day Runner, Inc. + ...................... 1,000 20,000
Deluxe Corp. ............................ 1,600 51,800
Franklin Covey Co. + .................... 5,000 98,750
Galileo International, Inc. ............. 5,200 197,275
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Commercial Services (continued)
Modtech, Inc. + ......................... 500 $ 8,438
Valassis Communications, Inc. + ......... 5,500 219,312
------------
613,775
------------
Computers (1.0%)
Apple Computer, Inc. + .................. 900 33,413
Ceridian Corp. + ........................ 900 51,637
International Business Machines Corp..... 600 89,062
SPR, Inc. + ............................. 3,750 67,500
Sun Microsystems, Inc. + ................ 2,600 151,450
------------
393,062
------------
Conglomerate and Aerospace (1.2%)
Cordant Technologies, Inc. .............. 200 8,137
Ducommun Inc. + ......................... 3,500 56,000
Goodrich (B. F.) Co. .................... 3,300 118,800
Gulfstream Aerospace Corp. + ............ 200 8,850
Loews Corp. ............................. 1,200 112,725
Northrop Grumman Corp. .................. 800 63,800
United Technologies Corp. ............... 1,400 133,350
------------
501,662
------------
Consumer Finance (0.3%)
Countrywide Credit Industries, Inc. ..... 2,500 107,969
Crescent Operating, Inc. + .............. 300 1,481
Leasing Solutions, Inc. + ............... 1,700 17,319
------------
126,769
------------
Consumer Products (1.3%)
American Greetings Corp. ................ 1,000 40,125
Blyth Industries, Inc. + ................ 301 8,297
Intimate Brands, Inc. .................. 11,100 248,362
M & F Worldwide Corp. + ................. 3,900 38,756
National R.V. Holdings, Inc. + .......... 7,650 173,081
Twinlab Corp. + ......................... 600 13,313
------------
521,934
------------
Consumer Services (2.9%)
Anchor Gaming + ......................... 1,000 50,875
Applebee's International, Inc. .......... 8,700 177,262
Brinker International, Inc. + ........... 1,200 29,025
Darden Restaurants, Inc. ................ 3,900 64,350
Extended Stay America, Inc. + ........... 26,300 253,137
Foodmaker, Inc. + ....................... 8,000 126,500
Grand Casinos, Inc. + ................... 11,500 101,344
International Speedway Corp. ............ 1,200 37,050
Promus Hotel Corp. + .................... 292 9,308
RFS Hotel Investors, Inc. ............... 2,700 35,100
Sonic Corp. + ........................... 9,450 179,550
Tricon Global Restaurants, Inc. + ....... 2,400 104,400
------------
1,167,901
------------
Consumer Specialties (0.4%)
Brunswick Corp. ......................... 6,000 116,625
Russ Berrie & Co., Inc. ................. 1,800 35,550
------------
152,175
------------
</TABLE>
See Notes to Portfolio of Investments. 65
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Ascent (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
United States (Continued)
Data and Imaging Services (2.6%)
Avant! Corp. + .......................... 800 $ 13,650
Cisco Systems, Inc. + ................... 600 37,800
Computer Associates International, Inc. . 900 35,438
EMC/MASS Corp. + ........................ 1,100 70,812
JDA Software Group, Inc. + ............. 2,250 21,375
Keane, Inc. + ........................... 200 6,650
Microsoft Corp. + ....................... 900 95,287
Oracle Corp. + .......................... 4,300 127,119
Progress Software Corp. + ............... 3,300 86,006
Project Software & Development, Inc. + . 2,400 43,500
QLogic Corp. + .......................... 3,800 351,025
Siebel Systems, Inc. + .................. 2,200 44,963
Software AG Systems, Inc. + ............. 4,500 67,500
Synopsys, Inc. + ........................ 200 9,050
THQ, Inc. + ............................. 100 2,156
Veritas Software Corp. + ................ 100 5,013
Visio Corp. + ........................... 800 21,300
------------
1,038,644
------------
Discretionary Retail (3.9%)
Abercrombie & Fitch Co. + ............... 4,800 190,500
American Eagle Outfitters, Inc. + ....... 8,175 331,087
Ames Department Stores, Inc. + .......... 3,600 66,150
Cato Corp. (The) ........................ 13,700 182,381
Costco Companies, Inc. + ............... 100 5,675
Dayton Hudson Corp. ..................... 900 38,138
Dress Barn, Inc. + ...................... 2,000 28,250
Federated Department Stores, Inc. + ..... 2,300 88,406
Fingerhut Companies, Inc. ............... 300 2,531
Global DirectMail Corp. + ............... 1,200 17,100
Lowe's Co., Inc. ........................ 2,000 67,375
Micro Warehouse, Inc. + ................. 300 6,544
Musicland Stores Corp. + ................ 8,800 116,050
Office Depot, Inc. + .................... 500 12,500
Renters Choice, Inc. + .................. 2,500 62,031
Ross Stores, Inc. ....................... 3,200 104,000
Tandy Corp. ............................. 600 29,738
TJX Companies, Inc. ..................... 6,000 113,625
Transport World Entertainment Corp. + ... 604 12,458
Zale Corp. + ............................ 3,500 82,906
------------
1,557,445
------------
Diversified Financial Services (0.3%)
Morgan Stanley, Dean Witter, Discover &
Co...................................... 1,195 77,376
Trammell Crow Co. + ..................... 1,800 38,925
Transamerica Corp. ...................... 200 20,800
------------
137,101
------------
Drugs (3.3%)
Abbott Laboratories ..................... 2,900 136,119
Eli Lilly & Co. ......................... 800 64,750
Johnson & Johnson ....................... 1,800 146,700
Medicis Pharmaceutical Corp. + .......... 5,600 280,700
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
Drugs (continued)
Merck & Co., Inc. ....................... 1,500 $ 202,875
Rexall Sundown, Inc. + .................. 200 3,587
Roberts Pharmaceutical Corp. + .......... 14,300 318,175
Theragenics Corp. + ..................... 1,200 24,225
Warner Lambert Co. ...................... 2,000 156,750
------------
1,333,881
------------
Electric Utilities (0.3%)
Conectiv, Inc. .......................... 200 4,575
Energy East Corp. ....................... 200 9,775
Kansas City Power & Light Co. ........... 200 5,763
Niagara Mohawk Power Corp. + ............ 6,100 89,212
OGE Energy Corp. ........................ 500 13,281
------------
122,606
------------
Electrical Machinery and Instruments (0.3%)
Xerox Corp. ............................. 1,300 125,938
------------
Electronic Media (1.7%)
Cablevision Systems Corp. + ............. 7,400 357,050
Gaylord Entertainment Co. ............... 5,100 135,150
Pixar, Inc. + ........................... 100 4,750
Premier Parks Inc. + ................... 500 11,094
Speedway Motorsports, Inc. + ............ 5,800 121,800
USA Networks, Inc. + ................... 300 6,750
Viacom, Inc. + .......................... 900 53,887
------------
690,481
------------
Food and Beverage (1.0%)
Canandiagua Brands, Inc. + .............. 2,700 135,337
Earthgrains Co. (The) ................... 4,100 123,000
IBP, Inc. ............................... 700 18,944
J & J Snack Foods Corp. + ............... 5,100 114,750
Ralcorp Holdings, Inc. + ................ 1,400 24,675
------------
416,706
------------
Food and Drug Retail (1.3%)
Casey's General Stores, Inc. ............ 8,100 113,400
CVS Corp. ............................... 2,500 114,219
Fleming Companies, Inc. ................. 1,100 11,206
Kroger Co. (The) + ...................... 1,500 83,250
Longs Drug Stores, Inc. ................. 2,600 101,562
SUPERVALU, Inc. ......................... 4,500 108,000
U.S. Foodservice + ...................... 200 9,500
------------
541,137
------------
Forest Products and Building Materials (0.9%)
Ball Corp. .............................. 100 4,219
Boise Cascade Corp. ..................... 700 19,600
Centex Construction Products, Inc. ...... 1,400 47,075
Chesapeake Corp. ........................ 100 3,500
Georgia-Pacific Corp. ................... 1,300 55,450
Lafarge Corp. ........................... 200 6,738
Lone Star Industries, Inc. .............. 2,800 197,225
Owens Corning ........................... 1,000 36,312
</TABLE>
66 See Notes to Portfolio of Investments
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
United States (continued)
Southdown, Inc. ......................... 100 $ 5,444
------------
375,563
------------
Gas Utilities (0.7%)
Coastal Corp. (The) ..................... 500 17,625
Columbia Energy Corp..................... 1,500 86,813
Eastern Enterprises ..................... 400 16,425
Energen Corp. ........................... 6,600 118,800
Sempra Energy ........................... 2,255 58,630
------------
298,293
------------
Health Services (0.3%)
Integrated Health Services, Inc. ........ 3,800 61,513
Lincare Holdings, Inc. + ................ 1,500 59,906
Trigon Healthcare, Inc. + ............... 400 15,000
------------
136,419
------------
Housing and Furnishings (2.0%)
Centex Corp. ............................ 1,800 60,300
Fleetwood Enterprises, Inc. ............. 1,200 38,700
Kaufman & Broad Home Corp. .............. 2,900 82,831
Lennar Corp. ............................ 7,200 145,800
MDC Holdings, Inc. ...................... 10,600 186,162
Pulte Corp. ............................. 800 20,600
Ryland Group, Inc. ...................... 6,900 171,638
Standard Pacific Corp. .................. 12,100 117,219
------------
823,250
------------
Industrial Services (0.2%)
Fluor Corp. ............................. 500 19,406
Milacron, Inc. .......................... 400 7,750
RTI International Metals + .............. 4,500 66,938
------------
94,094
------------
Insurance (1.0%)
Allstate Corp. (The) .................... 3,500 150,719
Americredit Corp. + ..................... 300 4,012
CIGNA Corp. ............................. 700 51,056
Conseco, Inc. ........................... 1,700 58,969
MGIC Investment Corp. ................... 1,200 46,800
Old Republic International Corp. ........ 550 10,450
SunAmerica, Inc. ........................ 1,100 77,550
------------
399,556
------------
Investment Services (0.8%)
Dames & Moore Group ..................... 2,900 34,800
Golden State Bancorp, Inc. .............. 10,900 209,144
Lehman Brothers Holdings, Inc. .......... 500 18,969
Providian Financial Corp. ............... 500 39,687
------------
302,600
------------
Major Telecommunications (2.3%)
Alltel Corp. ............................ 2,400 112,350
AT&T Corp. .............................. 3,200 199,200
Bell Atlantic Corp. ..................... 3,300 175,312
BellSouth Corp. ......................... 2,500 199,531
Sprint Corp. ............................ 1,900 145,825
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
Major Telecommunications (continued)
U.S. WEST, Inc. ......................... 1,700 $ 97,538
------------
929,756
------------
Oil (1.0%)
Ashland Oil, Inc. ....................... 2,100 101,062
Clayton Williams Energy, Inc. + ......... 1,600 14,000
Sun Company, Inc. ....................... 5,300 181,856
Tesoro Petroleum Corp. + ................ 5,900 87,394
Tosco Corp. ............................. 1,100 30,869
------------
415,181
------------
Oil Services (0.7%)
Helmerich & Payne, Inc. ................. 1,000 23,813
McDermott International, Inc. ........... 2,100 61,556
Seitel, Inc. + .......................... 9,400 124,550
Trico Marine Services, Inc. + ........... 4,800 34,200
Veritas DGC, Inc. + ..................... 1,500 27,937
------------
272,056
------------
Other Telecommunications (0.7%)
Century Telephone Enterprises ........... 200 11,363
Cincinnati Bell Inc. .................... 200 5,188
Citizens Utilities Co. + ................ 403 3,627
Melita International Corp. + ............ 7,900 94,800
Nokia Corp., ADR ........................ 1,000 93,062
Tellabs, Inc. + ......................... 1,100 60,500
------------
268,540
------------
Print Media (0.6%)
Knight-Ridder, Inc. ..................... 2,000 101,875
McClatchy Co. .......................... 1,200 40,725
New York Times Co. ...................... 2,800 79,100
------------
221,700
------------
Producer Goods (2.4%)
C & D Technologies, Inc. ................ 7,000 170,625
Gleason Corp. ........................... 4,400 88,825
Graco, Inc. ............................. 4,350 114,731
Honeywell, Inc. ......................... 900 71,888
Ingersoll-Rand Co. ...................... 2,400 121,200
Kaydon Corp. ............................ 200 7,025
Tecumseh Products Co. ................... 100 5,200
Tredegar Industries, Inc. ............... 6,900 155,681
Trinity Industries, Inc. ................ 200 7,425
Tyco International Ltd. ................. 1,200 74,325
Varlen Corp. ............................ 4,900 146,387
------------
963,312
------------
Real Estate Investment Trusts (34.4%)
AMB Property Corp. ...................... 500 11,500
American Health Properties, Inc. ........ 1,300 28,925
Apartment Investment & Management Co. ... 17,900 625,381
Archstone Communities Trust ............. 3,400 68,425
</TABLE>
See Notes to Portfolio of Investments. 67
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Ascent (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
United States (continued)
Real Estate Investment Trusts (continued)
Arden Realty Group, Inc. ................ 4,400 $ 95,150
Avalon Bay Communities, Inc. ............ 6,573 211,158
Beacon Capital + [beta] ................. 8,600 149,640
Bedford Property Investors, Inc. ........ 1,600 28,600
Boykin Lodging Co. ...................... 3,000 42,750
Brandywine Realty Trust ................. 17,600 314,600
Burnham Pacific Properties, Inc. ....... 2,200 28,875
Cabot Industrial Trust .................. 1,900 38,000
Camden Property Trust ................... 22,522 605,279
Captec Net Lease Realty, Inc. ........... 3,400 42,925
CBL & Associates Properties, Inc. ....... 25,900 675,019
Colonial Properties Trust ............... 7,800 214,500
Cousins Properties, Inc. ................ 4,600 131,675
Crescent Real Estate Equities, Inc. .... 8,400 210,525
Criimi Mae, Inc. ........................ 8,500 11,688
Duke Realty Investments, Inc. ........... 8,500 202,937
Equity Office Properties Trust .......... 29,400 705,600
Equity One, Inc. ........................ 2,500 22,813
Equity Residential Properties Trust ..... 17,200 722,400
Essex Property Trust, Inc. .............. 6,300 197,662
First Industrial Realty Trust, Inc. ..... 6,000 153,750
Franchise Finance Corp. of America ...... 4,700 116,912
General Growth Properties, Inc. ......... 4,800 170,700
Glenborough Realty Trust, Inc. .......... 15,600 334,425
Glimcher Realty Trust ................... 2,100 33,994
Golf Trust of America, Inc. ............. 6,900 184,575
Health Care REIT, Inc. .................. 16,700 377,837
Healthcare Realty Trust, Inc. ........... 8,774 205,630
Highwood Properties, Inc. ............... 5,800 162,037
Home Properties of New York, Inc. ....... 1,700 45,688
HRPT Properties Trust ................... 25,200 401,625
Imperial Credit Commercial Mortgage
Investment Corp. ....................... 1,600 13,400
Innkeepers USA Trust .................... 8,300 95,450
Kilroy Realty Corp. ..................... 4,100 90,969
Kimco Realty Corp. ...................... 19,350 770,372
Koger Equity, Inc. ...................... 6,800 114,750
Lexington Corporate Properties Trust .... 1,800 22,500
Liberty Property Trust .................. 15,300 351,900
LTC Healthcare, Inc. + .................. 1,040 2,470
LTC Properties, Inc. .................... 10,400 178,100
Mack-Cali Realty Corp. .................. 4,700 139,237
Meditrust Companies ..................... 4,000 65,000
MeriStar Hospitality Corp. .............. 3,135 57,998
OMEGA Healthcare Investors, Inc. ........ 20,300 629,300
Parkway Properties, Inc. ................ 10,300 293,550
Patriot American Hospitality, Inc. ...... 4,700 41,713
Post Properties, Inc. ................... 18,400 711,850
Prentiss Properties Trust ............... 3,100 63,937
Prime Retail, Inc. ...................... 5,000 48,438
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
Real Estate Investment Trusts (continued)
PS Business Parks, Inc. ................. 32,400 $ 652,050
Public Storage, Inc. .................... 9,800 261,537
Reckson Associates Realty Corp. ......... 2,700 61,256
Reckson Service Industries + ............ 432 837
Regency Realty Corp. .................... 8,300 191,419
Simon Property Group .................... 7,000 209,562
Sovran Self Storage, Inc. ............... 3,000 76,875
Starwood Financial Trust ................ 33 2,343
Starwood Lodging Trust .................. 19,200 543,600
Sun Communities, Inc. ................... 2,850 95,297
Tower Realty Trust, Inc. ................ 500 10,125
Vornado Operating Co. + ................. 375 2,344
Vornado Realty Trust .................... 7,500 252,656
Weeks Corp. ............................. 10,000 290,625
------------
13,914,660
------------
Semiconductors and Electronics (0.7%)
Intel Corp. ............................. 1,800 160,538
Lattice Semiconductor Corp. + ........... 4,000 136,000
------------
296,538
------------
Specialty Chemicals (0.1%)
Engelhard Corp. ......................... 200 4,200
International Specialty Products, Inc. + 400 5,375
Millennium Chemicals, Inc. + ............ 300 7,312
Wellman, Inc. ........................... 300 3,769
------------
20,656
------------
Steel (0.2%)
Texas Industries, Inc. .................. 2,100 62,081
------------
Surface Transport (0.1%)
Burlington Northern Santa Fe Corp. ...... 900 27,787
Modis Professional Services + ........... 300 5,288
Tidewater, Inc. ......................... 200 5,662
------------
38,737
------------
Textiles and Apparel (0.1%)
Timberland Co. (The) + .................. 700 28,000
------------
Total United States (Cost $32,867,827) 31,987,023
------------
Foreign Common Stocks (12.9%)
Australia (0.6%)
Mayne Nickless Ltd. (Commercial
Services) + ............................ 15,500 71,185
Mayne Nickless Ltd. Rights (Commercial
Services) + ............................ 24,800 11,006
Telstra Corp. Ltd. (Other
Telecommunications) + .................. 26,100 103,137
Westpac Banking Corp. Ltd. (Banks and
Thrifts)................................ 10,626 64,340
------------
Total Australia 249,668
------------
Belgium (0.2%)
Delhaize-le Lion SA (Food and Beverage).. 850 72,660
------------
</TABLE>
68 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
Canada (0.3%)
Canadian National Railway Co. (Surface
Transport).............................. 2,000 $ 100,875
------------
Denmark (0.3%)
Den Danske Bank (Investment Services) ... 300 40,740
Tele Danmark A/S (Major
Telecommunications)..................... 500 54,478
------------
Total Denmark 95,218
------------
Finland (0.4%)
Helsingin Puhelin Oyj (Other
Telecommunications)..................... 1,000 54,778
Huhtamaki Group (Diversified) ........... 1,700 57,021
Tamro Oyj (Health Services) ............. 6,900 36,975
------------
Total Finland 148,774
------------
France (1.7%)
Accor SA (Consumer Services) ............ 300 63,002
Credit Commercial de France (Banks and
Thrifts) + ............................. 900 63,196
Elf Aquitaine SA (Oil) .................. 500 57,855
Etablissements Economiques du Casino
Guichard-Perrachon SA (Commercial
Services) + ............................ 600 59,708
Gemini Sogeti SA (Insurance) ............ 700 105,183
Groupe Danone (Food and Beverage) ....... 200 52,870
Lafarge SA (Forest Products and Building
Materials).............................. 700 71,549
Renault SA (Automotive) ................. 700 29,917
Rhone-Poulenc (Biotech and Medical
Products) + ............................ 1,200 54,850
Scor (Insurance) ........................ 600 34,400
Societe Generale (Banks and Thrifts) .... 300 39,680
Union des Assurances Federales
(Insurance) + .......................... 500 62,534
------------
Total France 694,744
------------
Germany (1.4%)
Bayericshe Hypo-und Vereinsb
(Chemicals) + .......................... 525 41,685
BHF-Bank AG (Banks and Thrifts) ......... 1,000 38,583
Daimler-Benz AG (Automotive) ............ 800 62,071
Deutsche Lufthansa AG (Air Transport) + . 1,400 30,812
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................... 1,000 79,098
Douglas Holding AG (Discretionary Retail) 700 39,180
Gehe AG (Health Services) ............... 1,000 75,173
Mannesmann AG (Producer Goods) .......... 1,000 98,419
Merck KGaA (Commercial Services) ........ 1,400 57,482
Volkswagen AG (Automotive) .............. 770 57,930
------------
Total Germany 580,433
------------
Ireland (0.4%)
Allied Irish Banks (Banks and Thrifts) .. 4,024 58,118
CRH Plc (Forest Products and Building
Materials).............................. 4,000 58,598
Waterford Wedgewood (Housing and
Furnishings)............................ 52,002 46,880
------------
Total Ireland 163,596
------------
Italy (0.7%)
Arnoldo Mondadori Editor (Print Media) .. 3,500 38,776
Banca Commerciale Italiana (Banks and
Thrifts)................................ 8,000 49,467
Credito Italiano (Banks and Thrifts) + .. 15,600 83,797
Istituto Nazionale delle Assicurazioni
(Insurance) + .......................... 13,000 35,828
<CAPTION>
Number of Market
Shares Value
------------ ------------
<S> <C> <C>
Italy (continued)
Telecom Italia SpA (Commercial Services) 12,100 $ 87,523
------------
Total Italy 295,391
------------
Japan (1.4%)
Fuji Photo Film (Chemicals) ............. 2,000 73,288
Hitachi Ltd. (Semiconductors and
Electronics)............................ 10,000 50,890
Kao Corp. (Consumer Products) ........... 5,000 101,265
Mizuno Corp. (Consumer Products) ........ 9,000 28,191
Nintendo Co. Ltd.
(Semiconductors and Electronics) ....... 800 67,693
NTT Mobile Communication Network, Inc.
(Other Telecommunications) ............. 20 72,258
Santen Pharmaceutical Co. Ltd. (Drugs) .. 3,000 51,465
Seino Transportation Co. Ltd. (Surface
Transport).............................. 11,000 64,191
Sony Corp. (Consumer Products) .......... 1,100 69,855
------------
Total Japan 579,096
------------
Mexico (0.2%)
Grupo Financiero Banamex Accival, SA de
CV (Banacci) (Banks and Thrifts) + ..... 16,000 16,090
Panamerican Beverages, Inc. (Food and
Beverage)............................... 2,200 44,550
------------
Total Mexico 60,640
------------
Netherlands (0.9%)
Akzo Nobel (Chemicals) .................. 1,600 62,195
Hunter Douglas NV (Consumer Services) ... 1,826 65,505
ING Groep NV (Banks and Thrifts) ........ 1,225 59,293
Koninklijke Ahold NV (Commercial
Services)............................... 1,515 50,373
Laurus Scrips (Food and Beverage) + ..... 9,100 22,900
Vendex N.V. (Discretionary Retail) + .... 1,300 33,062
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit (Print
Media).................................. 2,100 72,636
------------
Total Netherlands 365,964
------------
Norway (0.6%)
Det Sondenfjelds-Norske Dampskibsselskab
(Oil) + ................................ 7,000 99,224
Merkantildata Asa (Data and Imaging
Services)............................... 6,500 65,245
Ocean Rig ASA (Oil) + ................... 94,850 42,458
Tandberg Television ASA (Electronic
Media) + ............................... 3,900 35,973
------------
Total Norway 242,900
------------
Spain (0.4%)
Iberdrola SA (Electric Utilities) + ..... 5,300 85,444
Telefonica de Espana (Major
Telecommunications)..................... 1,900 85,632
------------
Total Spain 171,076
------------
Sweden (0.4%)
Celsius AB (Conglomerate and Aerospace) . 1,600 25,585
Industrial & Financial Systems (Data and
Imaging Services) + [double beta] ...... 3,700 35,026
Securitas AB (Consumer Services) ........ 4,800 58,948
Svenska Handelsbanken (Investment
Services) + ............................ 1,000 42,023
------------
Total Sweden 161,582
------------
Switzerland (0.9%)
Adecco SA (Surface Transport) ........... 100 39,876
Fischer (Georg) AG (Auto Parts and
Hardware)............................... 200 68,970
</TABLE>
See Notes to Portfolio of Investments. 69
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Ascent (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ --------------
<S> <C> <C>
Switzerland (continued)
Nestle SA Registered Shares (Food and
Beverage)............................... 50 $ 106,336
Novartis AG Registered Shares (Health
Services) + ............................ 40 72,072
Swiss Re (Insurance) .................... 20 44,543
UBS AG (Banks and Thrifts) .............. 150 41,150
------------
Total Switzerland 372,947
------------
United Kingdom (2.1%)
Bank of Scotland (Banks and Thrifts) + .. 6,904 75,038
Berisford Plc (Industrial Services) ..... 11,200 28,698
British Aerospace Plc
(Conglomerate and Aerospace) ........... 5,000 36,760
British Telecom Plc (Major
Telecommunications)..................... 11,800 154,337
Cable & Wireless Plc (Other
Telecommunications) + .................. 3,100 34,965
Glaxo Wellcome Plc (Drugs) .............. 1,848 57,440
Granada Group Plc (Consumer Services) + . 4,561 68,783
Kingfisher Plc (Discretionary Retail) ... 5,482 48,153
National Westminster Bank Plc (Banks and
Thrifts)................................ 3,600 60,832
Pearson Plc (Print Media) ............... 4,100 71,546
Peninsular & Oriental Steam Navigation
Co. (Surface Transport) + .............. 4,400 46,165
Railtrack Group (Surface Transport) ..... 1,100 29,419
Vodafone Group Plc (Consumer Products) .. 11,121 148,995
------------
Total United Kingdom 861,131
------------
Total Foreign Common Stocks 5,216,695
(Cost $4,813,001) ------------
Total Common Stocks (Cost $37,680,828) 37,203,718
------------
PREFERRED STOCKS (0.5%)
Germany (0.5%)
Henkel KGAA (Chemicals) ................. 900 76,894
Hugo Boss AG (Textiles and Apparel) + ... 50 77,890
SAP AG (Data and Imaging Services) + .... 100 48,727
------------
Total Preferred Stocks (Cost $160,546) 203,511
------------
Principal
Amount
------------
LONG-TERM BONDS AND NOTES (4.9%)
Corporate and Convertible Bonds (2.3%)
BCH Cayman Islands Ltd., 6.50%, 02/15/06 $100,000 98,010
Ford Motor Credit Corp., 6.63%, 10/01/28 60,000 57,457
Household Finance Corp., 5.88%, 09/25/04 45,000 44,308
HSBC Americas, Inc., 7.00%, 11/01/06 .... 100,000 103,070
International Lease Finance Corp., 5.56%,
09/18/01................................ 90,000 90,563
Norwest Financial, Inc., 5.38%, 09/30/03 45,000 44,746
Rite Aid Corp., 6.00%, 10/01/03 ......... 45,000 45,090
Tenet Healthcare Corp., 7.88%, 01/15/03 . 200,000 205,056
Time Warner, Inc., 9.13%, 01/15/13 ...... 175,000 211,272
USA Waste Services, 6.13%, 07/15/01 ..... 45,000 45,923
------------
Total Corporate and Convertible Bonds 945,495
(Cost $920,240) ------------
<CAPTION>
Principal Market
Amount Value
------------ -------------
<S> <C> <C>
U.S. Government Agency Mortgage-Backed Securities (1.8%)
Federal National Mortgage
Association-Convertible Loan, 6.50%,
11/01/27................................ $233,778 $ 235,750
Government National Mortgage Association,
7.00%, 02/15/28 ........................ 476,934 488,409
------------
Total U.S. Government Agency Mortgage-Backed 724,159
Securities (Cost $716,189) ------------
U.S. Government Obligations (0.8%)
U.S. Treasury Bond, 7.25%, 08/15/04 ..... 45,000 51,335
U.S. Treasury Note, 6.50%, 10/15/06 ..... 225,000 252,387
U.S. Treasury Note, 7.50%, 10/31/99 ..... 25,000 25,723
------------
Total U.S. Government Obligations 329,445
(Cost $298,217) ------------
Total Long-term Bonds and Notes 1,999,099
(Cost $1,934,646) ------------
SHORT-TERM INVESTMENTS (1.8%)
Federal Home Loan Bank, 5.40%, 11/02/98 . 613,000 613,000
U.S. Treasury Bill, 4.98%, 02/18/99 @ ... 100,000 98,746
------------
Total Short-term Investments 711,746
(Cost $711,507) ------------
Total Investments (Cost $40,487,527)(a) 40,118,074
-----------
Other assets less liabilities 292,484
-----------
Total Net Assets $40,410,558
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$40,571,967. Unrealized gains and losses, based on identified tax cost at
October 31, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................................ $ 3,603,297
Unrealized losses........................................... (4,057,190)
-----------
Net unrealized loss........................................ $ (453,893)
===========
</TABLE>
Information concerning open futures contracts at October 31, 1998 is shown
below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ------------ ------------- ---------------
Long Contracts
- -------------------
<S> <C> <C> <C> <C>
Swiss Government
Bond Futures .... 2 $181,521 Dec 98 $2,378
======== ======
</TABLE>
70 See Notes to Portfolio of Investments.
<PAGE>
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>
United Kingdom FTSE
100 Index .......... 1 $(89,075) Dec 98 $(3,282)
======== ========
</TABLE>
+ Non-income producing security.
[beta] Restricted security. This security has been determined to be
illiquid under guidelines established by the Board of
Directors.
[double beta] Securities that may be resold to "qualified institutional
buyers" under Rule 144A or securities offered pursuant to
section 4(2) of the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines
established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open
futures contracts at October 31, 1998.
Category percentages are based on net assets.
See Notes to Financial Statements. 71
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Crossroads
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
COMMON STOCKS (71.3%)
United States (59.9%)
Air Transport (0.5%)
AMR Corp. + ............................ 1,600 $ 107,200
Delta Air Lines, Inc. .................. 900 95,006
UAL Corp. + ............................ 100 6,494
------------
208,700
------------
Auto Parts and Hardware (0.3%)
Black & Decker Corp. ................... 1,900 98,206
Briggs & Stratton Corp. ................ 400 18,800
------------
117,006
------------
Automotive (0.4%)
Dana Corp. ............................. 650 27,178
Ford Motor Co. ......................... 2,600 141,050
------------
168,228
------------
Banks and Thrifts (0.7%)
AmSouth Bancorporation ................. 150 6,016
Comerica, Inc. ......................... 850 54,825
Datastream Systems, Inc. + ............ 400 4,025
Dime Bancorp, Inc. ..................... 300 7,144
Downey Financial Corp. ................. 2,625 61,523
Golden West Financial Corp. ............ 700 63,481
Riggs National Corp. ................... 400 9,650
Suntrust Banks, Inc. ................... 1,000 69,687
Washington Federal, Inc. ............... 200 5,338
WSFS Financial Corp. ................... 700 11,988
------------
293,677
------------
Biotech and Medical Products (3.1%)
ADAC Laboratories + .................... 2,200 65,175
Alpharma, Inc. ......................... 5,200 143,975
Amgen, Inc. + .......................... 600 47,138
Arterial Vascular Engineering, Inc. + .. 1,300 39,975
Barr Laboratories, Inc. + .............. 2,900 99,144
Bio-Rad Labs, Inc. + ................... 500 11,031
CONMED Corp. + ......................... 1,200 31,800
Guidant Corp. .......................... 300 22,950
Hanger Orthopedic Group, Inc. + ........ 4,200 82,950
Maxxim Medical, Inc. + ................. 7,300 184,325
Mylan Laboratories, Inc. ............... 700 24,106
OEC Medical Systems, Inc. + ............ 8,200 205,000
Safeskin Corp. + ....................... 800 17,700
Serologicals Corp. + ................... 3,900 88,237
Thermo BioAnalysis Corp. + ............. 2,200 23,238
VISX, Inc. + ........................... 3,300 165,412
------------
1,252,156
------------
Commercial Services (0.8%)
Crossmann Communities, Inc. + ......... 600 13,650
Day Runner, Inc. + ..................... 2,400 48,000
Deluxe Corp. ........................... 1,000 32,375
Franklin Covey Co. + ................... 800 15,800
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Commercial Services (continued)
Galileo International, Inc. ............ 4,300 $ 163,131
Modtech, Inc. + ........................ 400 6,750
URS Corp. + ............................ 800 13,500
Valassis Communications, Inc. + ........ 100 3,988
------------
297,194
------------
Computers (0.9%)
Apple Computer, Inc. + ................. 1,300 48,262
Ceridian Corp. + ....................... 1,000 57,375
International Business Machines Corp.... 500 74,219
SPR, Inc. + ............................ 2,700 48,600
Sun Microsystems, Inc. + ............... 2,000 116,500
------------
344,956
------------
Conglomerate and Aerospace (1.1%)
Cordant Technologies, Inc. ............. 100 4,069
Ducommun Inc. + ........................ 1,400 22,400
Goodrich (B. F.) Co. ................... 2,400 86,400
Gulfstream Aerospace Corp. + ........... 100 4,425
Kellstrom Industries, Inc. + .......... 2,100 47,250
Loews Corp. ............................ 1,000 93,937
Northrop Grumman Corp. ................. 1,000 79,750
United Technologies Corp. .............. 1,100 104,775
------------
443,006
------------
Consumer Finance (0.1%)
Avis Rent A Car, Inc. + ................ 200 4,075
Countrywide Credit Industries, Inc. .... 900 38,868
Crescent Operating, Inc. + ............. 260 1,284
Leasing Solutions, Inc. + .............. 1,300 13,244
------------
57,471
------------
Consumer Products (0.9%)
American Greetings Corp. ............... 550 22,069
Blyth Industries, Inc. + ............... 200 5,525
Intimate Brands, Inc. ................. 8,400 187,950
National R.V. Holdings, Inc. + ......... 5,700 128,962
Twinlab Corp. + ........................ 500 11,094
------------
355,600
------------
Consumer Services (2.0%)
Anchor Gaming + ........................ 500 25,438
Applebee's International, Inc. ......... 6,600 134,475
Brinker International, Inc. + .......... 900 21,769
Darden Restaurants, Inc. ............... 2,900 47,850
Extended Stay America, Inc. + .......... 17,500 168,437
Foodmaker, Inc. + ...................... 4,300 67,994
Grand Casinos, Inc. + .................. 8,100 71,381
Harvey's Casino Resorts ................ 3,500 89,031
International Speedway Corp. ........... 1,900 58,662
Promus Hotel Corp. + ................... 92 2,933
RFS Hotel Investors, Inc. .............. 1,900 24,700
</TABLE>
72 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United States (continued)
Consumer Services (continued)
Tricon Global Restaurants, Inc. + ...... 1,700 $ 73,950
------------
786,620
------------
Consumer Specialties (0.1%)
Brunswick Corp. ........................ 200 3,888
Russ Berrie & Co., Inc. ................ 1,000 19,750
------------
23,638
------------
Data and Imaging Services (2.1%)
Apex PC Solutions, Inc. + .............. 3,400 88,825
Avant! Corp. + ......................... 2,400 40,950
Cisco Systems, Inc. + .................. 250 15,750
Computer Associates International, Inc. 1,200 47,250
Compuware Corp. + ...................... 100 5,419
EMC/MASS Corp. + ....................... 801 51,547
Keane, Inc. + .......................... 200 6,650
Microsoft Corp. + ...................... 800 84,700
Oracle Corp. + ......................... 3,200 94,600
Progress Software Corp. + .............. 2,050 53,428
QLogic Corp. + ......................... 2,800 258,650
Siebel Systems, Inc. + ................. 1,900 38,831
Software AG Systems, Inc. + ............ 900 13,500
THQ, Inc. + ............................ 100 2,156
Veritas Software Corp. + ............... 100 5,013
Visio Corp. + .......................... 1,300 34,612
------------
841,881
------------
Discretionary Retail (4.2%)
Abercrombie & Fitch Co. + .............. 3,900 154,781
American Eagle Outfitters, Inc. + ...... 7,575 306,787
Ames Department Stores, Inc. + ......... 2,900 53,287
Cato Corp. (The) ....................... 11,300 150,431
Costco Companies, Inc. + .............. 100 5,675
Dayton Hudson Corp. .................... 900 38,138
Dress Barn, Inc. + ..................... 1,800 25,425
Federated Department Stores, Inc. + .... 1,800 69,187
Fingerhut Companies, Inc. .............. 300 2,531
Global DirectMail Corp. + .............. 2,300 32,775
Lowe's Co., Inc. ....................... 1,500 50,531
Micro Warehouse, Inc. + ................ 200 4,363
Musicland Stores Corp. + ............... 6,100 80,444
Office Depot, Inc. + ................... 300 7,500
Polo Ralph Lauren Corp. + .............. 3,400 70,762
Renters Choice, Inc. + ................. 1,500 37,219
Ross Stores, Inc. ...................... 2,100 68,250
Tandy Corp. ............................ 600 29,738
TJX Companies, Inc. .................... 2,600 49,238
Transport World Entertainment Corp. + .. 14,254 293,989
Zale Corp. + ........................... 5,800 137,387
------------
1,668,438
------------
Diversified Financial Services (0.3%)
Morgan Stanley, Dean Witter, Discover
& Co.. ................................ 960 62,160
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Diversified Financial Services (continued)
Trammell Crow Co. + .................... 1,300 $ 28,113
Transamerica Corp. ..................... 100 10,400
------------
100,673
------------
Drugs (1.5%)
Abbott Laboratories .................... 2,100 98,569
Eli Lilly & Co. ........................ 900 72,844
IDEC Pharmaceuticals Corp. + ........... 600 17,925
Johnson & Johnson ...................... 1,300 105,950
Medicis Pharmaceutical Corp. + ......... 700 35,087
Merck & Co., Inc. ...................... 1,000 135,250
Rexall Sundown, Inc. + ................. 100 1,794
Roberts Pharmaceutical Corp. + ......... 800 17,800
Theragenics Corp. + .................... 5,000 100,937
------------
586,156
------------
Electric Utilities (0.2%)
Conectiv, Inc. ......................... 100 2,287
Energy East Corp. ...................... 200 9,775
Niagra Mohawk Power Corp. + ............ 3,000 43,875
OGE Energy Corp. ....................... 300 7,969
------------
63,906
------------
Electrical Machinery and Instruments (0.2%)
Xerox Corp. ............................ 1,000 96,875
------------
Electronic Media (0.9%)
Cablevision Systems Corp. + ............ 2,200 106,150
Gaylord Entertainment Co. .............. 4,200 111,300
Pixar, Inc. + .......................... 100 4,750
Speedway Motorsports, Inc. + ........... 4,700 98,700
USA Networks, Inc. + .................. 300 6,750
Viacom, Inc. + ......................... 400 23,950
------------
351,600
------------
Food and Beverage (1.4%)
Aurora Foods, Inc. + ................... 400 7,000
Canandiagua Brands, Inc. + ............. 2,200 110,275
Earthgrains Co. (The) .................. 6,300 189,000
IBP, Inc. .............................. 600 16,237
J & J Snack Foods Corp. + .............. 7,100 159,750
Ralcorp Holdings, Inc. + ............... 1,100 19,388
Robert Mondavi Corp. + ................. 2,300 78,056
------------
579,706
------------
Food and Drug Retail (0.9%)
Casey's General Stores, Inc. ........... 5,300 74,200
CVS Corp. .............................. 2,000 91,375
Fleming Companies, Inc. ................ 2,400 24,450
Kroger Co. (The) + ..................... 1,200 66,600
Longs Drug Stores, Inc. ................ 700 27,344
SUPERVALU, Inc. ........................ 3,100 74,400
U.S. Foodservice + ..................... 200 9,500
------------
367,869
------------
Forest Products and Building Materials (0.7%)
Ball Corp. ............................. 100 4,219
Boise Cascade Corp. .................... 400 11,200
</TABLE>
See Notes to Portfolio of Investments. 73
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Crossroads (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United States (continued)
Forest Products and Building Materials (continued)
Centex Construction Products, Inc. ..... 1,200 $ 40,350
Chesapeake Corp. ....................... 100 3,500
Florida Rock Industries, Inc. .......... 400 9,925
Georgia-Pacific Corp. .................. 900 37,706
Lafarge Corp. .......................... 200 6,738
Lone Star Industries, Inc. ............. 2,200 154,962
Owens Corning .......................... 700 25,419
Southdown, Inc. ........................ 100 5,444
------------
299,463
------------
Gas Utilities (0.9%)
Coastal Corp. (The) .................... 2,600 91,650
Columbia Energy Group................... 900 52,088
Eastern Enterprises .................... 1,800 73,912
Energen Corp. .......................... 4,400 79,200
ONEOK, Inc. ............................ 700 23,975
Sempra Energy .......................... 1,804 46,904
------------
367,729
------------
Health Services (0.3%)
Integrated Health Services, Inc. ....... 1,800 29,138
Lincare Holdings, Inc. + ............... 1,600 63,900
Trigon Healthcare, Inc. + .............. 600 22,500
------------
115,538
------------
Housing and Furnishings (1.6%)
Centex Corp. ........................... 1,400 46,900
Fleetwood Enterprises, Inc. ............ 2,100 67,725
Kaufman & Broad Home Corp. ............. 2,200 62,838
Lennar Corp. ........................... 4,000 81,000
MDC Holdings, Inc. ..................... 9,000 158,062
Pulte Corp. ............................ 1,800 46,350
Ryland Group, Inc. ..................... 5,800 144,275
Standard Pacific Corp. ................. 3,200 31,000
------------
638,150
------------
Industrial Services (0.2%)
Fluor Corp. ............................ 400 15,525
Milacron, Inc. ......................... 400 7,750
RTI International Metals + ............. 2,700 40,163
------------
63,438
------------
Insurance (1.3%)
Allstate Corp. (The) ................... 2,400 103,350
American Bankers Insurance Group ....... 1,400 62,562
Americredit Corp. + .................... 300 4,013
CIGNA Corp. ............................ 1,000 72,937
Conseco, Inc. .......................... 2,800 97,125
First American Financial Corp. ......... 2,400 75,150
MGIC Investment Corp. .................. 1,000 39,000
Old Republic International Corp. ....... 200 3,800
SunAmerica, Inc. ....................... 650 45,825
------------
503,762
------------
Investment Services (0.5%)
Dames & Moore Group .................... 6,500 78,000
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Investment Sevices (continued)
Golden State Bancorp, Inc. ............. 6,900 $ 132,394
------------
210,394
------------
Major Telecommunications (1.5%)
Alltel Corp. ........................... 1,800 84,263
AT&T Corp. ............................. 2,500 155,625
Bell Atlantic Corp. .................... 600 31,875
BellSouth Corp. ........................ 1,800 143,662
Sprint Corp. ........................... 1,400 107,450
U.S. WEST, Inc. ........................ 1,600 91,800
------------
614,675
------------
Miscellaneous Metals (0.0%)
Titanium Metals Corp. .................. 1,500 15,656
------------
Oil (0.8%)
Ashland Oil, Inc. ...................... 1,700 81,812
Clayton Williams Energy, Inc. + ........ 900 7,875
Sun Company, Inc. ...................... 3,900 133,819
Tesoro Petroleum Corp. + ............... 5,000 74,063
Tosco Corp. ............................ 800 22,450
------------
320,019
------------
Oil Services (0.4%)
Helmerich & Payne, Inc. ................ 800 19,050
McDermott International, Inc. .......... 100 2,931
Seitel, Inc. + ......................... 5,800 76,850
Trico Marine Services, Inc. + .......... 3,900 27,787
Veritas DGC, Inc. + .................... 1,300 24,213
------------
150,831
------------
Other Telecommunications (0.5%)
Century Telephone Enterprises .......... 200 11,363
Cincinnati Bell Inc. ................... 200 5,188
Citizens Utilities Co. + ............... 302 2,718
Melita International Corp. + ........... 7,900 94,800
Nokia Corp., ADR........................ 600 55,837
Tellabs, Inc. + ........................ 600 33,000
------------
202,906
------------
Print Media (0.5%)
Knight-Ridder, Inc. .................... 1,500 76,406
McGraw-Hill Co., Inc. .................. 200 17,988
New York Times Co. ..................... 2,000 56,500
Thomas Nelson, Inc. ................... 2,900 37,156
------------
188,050
------------
Producer Goods (1.5%)
C & D Technologies, Inc. ............... 5,400 131,625
Gleason Corp. .......................... 2,600 52,487
Graco, Inc. ............................ 4,350 114,731
Honeywell, Inc. ........................ 600 47,925
Ingersoll-Rand Co. ..................... 1,800 90,900
Kaydon Corp. ........................... 100 3,513
Tecumseh Products Co. .................. 100 5,200
Tredegar Industries, Inc. .............. 3,900 87,994
Trinity Industries, Inc. ............... 100 3,712
</TABLE>
74 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United States (continued)
Producer Goods (continued)
Tyco International Ltd. ................ 900 $ 55,744
------------
593,831
------------
Real Estate Investment Trusts (25.9%)
AMB Property Corp. ..................... 300 6,900
American Health Properties, Inc. ....... 1,000 22,250
Apartment Investment & Management Co. .. 13,100 457,681
Archstone Communities Trust ............ 2,500 50,313
Arden Realty Group, Inc. ............... 3,200 69,200
Avalon Bay Communities, Inc. ........... 4,804 154,328
Beacon Capital + [beta] ................ 6,500 113,100
Bedford Property Investors, Inc. ....... 1,400 25,025
Brandywine Realty Trust ................ 4,700 84,013
Cabot Industrial Trust ................. 1,500 30,000
Camden Property Trust .................. 14,715 395,466
Captec Net Lease Realty, Inc. .......... 2,400 30,300
CBL & Associates Properties, Inc. ...... 19,600 510,825
Colonial Properties Trust .............. 4,700 129,250
Cousins Properties, Inc. ............... 3,400 97,325
Crescent Real Estate Equities, Inc. ... 6,000 150,375
Criimi Mae, Inc. ....................... 37,900 52,113
Duke Realty Investments, Inc. .......... 7,000 167,125
Equity Office Properties Trust ......... 21,600 518,400
Equity One, Inc. ....................... 1,800 16,425
Equity Residential Properties Trust .... 14,200 596,400
Essex Property Trust, Inc. ............. 5,100 160,012
First Industrial Realty Trust, Inc. .... 5,700 146,062
Franchise Finance Corp. of America ..... 3,500 87,062
General Growth Properties, Inc. ........ 3,500 124,469
Glenborough Realty Trust, Inc. ......... 11,400 244,387
Glimcher Realty Trust .................. 1,600 25,900
Golf Trust of America, Inc. ............ 3,200 85,600
Health Care REIT, Inc. ................. 13,800 312,225
Healthcare Realty Trust, Inc. .......... 9,289 217,699
Highwood Properties, Inc. .............. 5,400 150,862
Home Properties of New York, Inc. ...... 1,400 37,625
HRPT Properties Trust .................. 18,900 301,219
Imperial Credit Commercial Mortgage
Investment Corp. ...................... 1,200 10,050
Innkeepers USA Trust ................... 5,800 66,700
Kilroy Realty Corp. .................... 3,000 66,563
Kimco Realty Corp. ..................... 14,900 593,206
Koger Equity, Inc. ..................... 6,800 114,750
Kranzco Realty Trust ................... 7,400 110,075
Lexington Corporate Properties Trust ... 1,300 16,250
Liberty Property Trust ................. 3,800 87,400
LTC Healthcare, Inc. + ................. 430 1,021
LTC Properties, Inc. ................... 4,300 73,638
Mack-Cali Realty Corp. ................. 3,600 106,650
Meditrust Companies .................... 2,900 47,125
MeriStar Hospitality Corp. ............. 2,288 42,328
National Golf Properties, Inc. ......... 1,800 51,300
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Real Estate Investment Trusts (continued)
OMEGA Healthcare Investors, Inc. ....... 15,200 $ 471,200
Parkway Properties, Inc. ............... 7,400 210,900
Patriot American Hospitality, Inc. ..... 3,600 31,950
Post Properties, Inc. .................. 14,400 557,100
Prentiss Properties Trust .............. 2,300 47,438
Prime Retail, Inc. ..................... 2,200 21,313
PS Business Parks, Inc. ................ 24,300 489,037
Public Storage, Inc. ................... 5,500 146,781
Reckson Associates Realty Corp. ........ 2,000 45,375
Reckson Service Industries + ........... 320 620
Regency Realty Corp. ................... 12,200 281,362
Simon Property Group ................... 7,200 215,550
Sovran Self Storage, Inc. .............. 900 23,063
Starwood Financial Trust ............... 33 2,343
Starwood Lodging Trust ................. 14,300 404,869
Sun Communities, Inc. .................. 2,100 70,219
Tower Realty Trust, Inc. ............... 400 8,100
Vornado Operating Co. + ................ 280 1,750
Vornado Realty Trust ................... 5,600 188,650
Weeks Corp. ............................ 5,600 162,750
------------
10,337,362
------------
Semiconductors and Electronics (0.4%)
Intel Corp. ............................ 1,800 160,538
------------
Specialty Chemicals (0.1%)
Albemarle Corp. ........................ 100 1,906
Engelhard Corp. ........................ 200 4,200
International Specialty Products, Inc. + 400 5,375
Millennium Chemicals, Inc. + ........... 300 7,312
Wellman, Inc. ......................... 200 2,513
------------
21,306
------------
Steel (0.1%)
Texas Industries, Inc. ................. 1,400 41,388
------------
Surface Transport (0.1%)
Burlington Northern Santa Fe Corp. ..... 600 18,525
Continental Airlines, Inc. + ........... 100 3,963
Modis Professional Services + .......... 200 3,525
Tidewater, Inc. ........................ 200 5,662
------------
31,675
------------
Textiles and Apparel (0.0%)
Timberland Co. (The) + ................. 100 4,000
------------
Total United States (Cost $24,820,184) 23,886,067
------------
Foreign Common Stocks (11.4%)
Australia (0.5%)
Mayne Nickless Ltd. (Commercial
Services) + ........................... 12,200 56,029
Mayne Nickless Ltd. Rights (Commercial
Services) + ........................... 19,520 8,663
Telstra Corp. Ltd. (Other
Telecommunications) + ................. 22,500 88,911
Westpac Banking Corp. Ltd. (Banks and
Thrifts)............................... 7,867 47,635
------------
Total Australia 201,238
------------
</TABLE>
See Notes to Portfolio of Investments. 75
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Crossroads (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Belgium (0.1%)
Delhaize-le Lion SA (Food and Beverage) 550 $ 47,015
------------
Canada (0.1%)
Canadian National Railway Co.
(Surface Transport) ................... 1,000 50,437
------------
Denmark (0.3%)
Den Danske Bank (Investment Services) .. 300 40,740
Tele Danmark A/S (Major
Telecommunications).................... 700 76,269
------------
Total Denmark 117,009
------------
Finland (0.3%)
Helsingin Puhelin Oyj
(Other Telecommunications) ............ 800 43,823
Huhtamaki Group (Diversified) .......... 1,300 43,604
Tamro Oyj (Health Services) ............ 6,000 32,152
------------
Total Finland 119,579
------------
France (1.7%)
Accor SA (Consumer Services) ........... 300 63,002
Credit Commercial de France (Banks and
Thrifts) + ............................ 800 56,174
Elf Aquitaine SA (Oil) ................. 600 69,426
Etablissements Economiques du Casino
Guichard-Perrachon SA (Commercial
Services) + ........................... 600 59,708
Gemini Sogeti SA (Insurance) ........... 600 90,157
Groupe Danone (Food and Beverage) ...... 300 79,305
Lafarge SA
(Forest Products and Building
Materials)............................. 600 61,328
Renault SA (Automotive) ................ 600 25,643
Rhone-Poulenc
(Biotech and Medical Products) + ...... 1,000 45,708
Scor (Insurance) ....................... 500 28,667
Societe Generale (Banks and Thrifts) ... 300 39,680
Union des Assurances Federales
(Insurance) + ......................... 450 56,280
------------
Total France 675,078
------------
GERMANY (1.3%)
Bayericshe Hypo-und Vereinsb
(Chemicals) + ......................... 975 77,415
BHF-Bank AG (Banks and Thrifts) ........ 900 34,724
Daimler-Benz AG (Automotive) ........... 700 54,312
Deutsche Lufthansa AG (Air Transport) + 1,200 26,410
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) ................... 800 63,278
Douglas Holding AG (Discretionary
Retail)................................ 700 39,181
Gehe AG (Health Services) .............. 800 60,138
Mannesmann AG (Producer Goods) ......... 700 68,894
Merck KGaA (Commercial Services) ....... 1,200 49,270
Volkswagen AG (Automotive) ............. 770 57,930
------------
Total Germany 531,552
------------
Ireland (0.4%)
Allied Irish Banks (Banks and Thrifts) . 6,024 87,004
CRH Plc
(Forest Products and Building
Materials)............................. 4,000 58,598
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Ireland (continued)
Waterford Wedgewood
(Housing and Furnishings) ............. 39,352 $ 35,476
------------
Total Ireland 181,078
------------
Italy (0.6%)
Arnoldo Mondadori Editor (Print Media) . 4,500 49,855
Banca Commerciale Italiana (Banks and
Thrifts)............................... 6,000 37,100
Credito Italiano (Banks and Thrifts) + . 10,000 53,716
Istituto Nazionale delle Assicurazioni
(Insurance) + ......................... 11,000 30,316
Telecom Italia SpA (Commercial Services) 9,200 66,547
------------
Total Italy 237,534
------------
JAPAN (1.5%)
Fuji Photo Film (Chemicals) ............ 2,000 73,288
Hitachi Ltd. (Semiconductors and
Electronics)........................... 9,000 45,801
Kao Corp. (Consumer Products) .......... 4,000 81,012
Mizuno Corp. (Consumer Products) ....... 7,000 21,926
Nintendo Co. Ltd.
(Semiconductors and Electronics) ...... 700 59,231
NTT Mobile Communication Network, Inc.
(Other Telecommunications) ............ 10 36,129
Santen Pharmaceutical Co. Ltd. (Drugs) . 6,000 102,929
Seino Transportation Co. Ltd. (Surface
Transport)............................. 12,000 70,027
Sony Corp. (Consumer Products) ......... 800 50,804
Takefuji Corp. (Banks and Thrifts) ..... 1,000 53,293
------------
Total Japan 594,440
------------
Mexico (0.2%)
Grupo Financiero Banamex Accival, SA de
CV (Banacci) (Banks and Thrifts) + .... 13,001 13,076
Panamerican Beverages, Inc.
(Food and Beverage) ................... 2,800 56,700
------------
Total Mexico 69,776
------------
Netherlands (0.8%)
Akzo Nobel (Chemicals) ................. 1,200 46,646
Hunter Douglas NV (Consumer Services) .. 1,522 54,599
ING Groep NV (Banks and Thrifts) ....... 955 46,224
Koninklijke Aholkd NV (Commercial
Services).............................. 1,313 43,657
Laurus Scrips (Food and Beverage) + .... 6,300 15,854
Vendex N.V. (Discretionary Retail) + ... 900 22,890
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd
Bezit (Print Media) ................... 2,100 72,636
------------
Total Netherlands 302,506
------------
Norway (0.3%)
Det Sondenfjelds-Norske Dampskibsselskab
(Oil) + ............................... 1,900 26,932
Merkantildata Asa (Data and Imaging
Services).............................. 4,800 48,181
Ocean Rig ASA (Oil) + .................. 53,000 23,724
Tandberg Television ASA (Electronic
Media) + .............................. 3,000 27,672
------------
Total Norway 126,509
------------
Spain (0.3%)
Iberdrola SA (Electric Utilities) + .... 4,000 64,486
</TABLE>
76 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Spain (continued)
Telefonica de Espana
(Major Telecommunications) ............ 1,400 $ 63,097
------------
Total Spain 127,583
------------
Sweden (0.4%)
Celsius AB (Conglomerate and Aerospace) 1,300 20,788
Industrial & Financial Systems (Data and
Imaging Services) + [double beta] ..... 3,300 31,239
Securitas AB (Consumer Services) ....... 4,400 54,035
Svenska Handelsbanken (Investment
Services) + ........................... 900 37,821
------------
Total Sweden 143,883
------------
Switzerland (0.8%)
Adecco SA (Surface Transport) .......... 100 39,876
Fischer (Georg) AG (Auto Parts and
Hardware).............................. 200 68,971
Nestle SA Registered Shares (Food and
Beverage).............................. 40 85,069
Novartis AG Registered Shares (Health
Services) + ........................... 40 72,072
Swiss Re (Insurance) ................... 15 33,407
UBS AG (Banks and Thrifts) ............. 100 27,433
------------
Total Switzerland 326,828
------------
United Kingdom (1.7%)
Bank of Scotland (Banks and Thrifts) + . 5,382 58,496
Berisford Plc (Industrial Services) .... 9,600 24,598
British Aerospace Plc
(Conglomerate and Aerospace) .......... 9,100 66,903
British Telecom Plc
(Major Telecommunications) ............ 3,500 45,778
Cable & Wireless Plc (Other
Telecommunications) + ................. 2,800 31,582
Glaxo Wellcome Plc (Drugs) ............. 1,635 50,820
Granada Group Plc (Consumer Services) + 3,549 53,521
Kingfisher Plc (Discretionary Retail) .. 4,060 35,662
National Westminster Bank Plc
(Banks and Thrifts) ................... 2,700 45,624
Pearson Plc (Print Media) .............. 3,600 62,821
Peninsular & Oriental Steam Navigation
Co. (Surface Transport) + ............. 3,700 38,820
Railtrack Group (Surface Transport) .... 1,700 45,466
Vodafone Group Plc (Consumer Products) . 8,593 115,126
------------
Total United Kingdom 675,217
------------
Total Foreign Common Stocks 4,527,262
(Cost $4,174,682) ------------
Total Common Stocks 28,413,329
(Cost $28,994,866) ------------
PREFERRED STOCKS (0.4%)
Germany (0.4%)
Henkel KGAA (Chemicals) ................ 500 42,719
Hugo Boss AG (Textiles and Apparel) + .. 20 31,156
SAP AG (Data and Imaging Services) + ... 150 73,090
------------
Total Preferred Stocks (Cost $126,446) 146,965
------------
<CAPTION>
Principal Market
Amount Value
------------ -----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (16.6%)
Corporate and Convertible Bonds (9.1%)
American Re Corp., 7.45%, 12/15/26 ..... $ 300,000 $ 323,517
BankAmerica Corp., 7.88%, 12/01/02 ..... 200,000 214,456
BCH Cayman Islands Ltd., 6.50%, 02/15/06 300,000 294,030
Ford Motor Credit Corp., 6.63%, 10/01/28 210,000 201,100
GTE Corp., 9.38%, 12/01/00 ............. 100,000 108,407
Household Finance Corp., 5.88%, 09/25/04 145,000 142,770
International Lease Finance Corp.,
5.56%, 09/18/01 ....................... 215,000 216,344
Korean Development Bank, 7.13%, 09/17/01 150,000 133,158
MBIA, Inc., 6.63%, 10/01/28 ............ 200,000 196,432
National Australia Bank, 6.40%, 12/10/07 200,000 201,898
Norwest Financial, Inc., 5.38%, 09/30/03 145,000 144,182
Rite Aid Corp., 6.00%, 10/01/03 ........ 145,000 145,290
Simon Debartolo Group, Inc.,6.63%,
06/15/03 [double beta] ................ 300,000 293,502
TCI Communications, Inc., 6.38%,
09/15/99............................... 300,000 303,939
Tenet Healthcare Corp., 7.88%, 01/15/03 250,000 256,320
Time Warner, Inc., 9.13%, 01/15/13 ..... 250,000 301,817
USA Waste Management, Inc., 6.13%,
07/15/01............................... 145,000 147,974
------------
Total Corporate and Convertible Bonds 3,625,136
(Cost $3,613,426) ------------
U.S. Government Agency Mortgage-Backed Securities (6.7%)
Federal National Mortgage Association -
Convertible Loan, 6.50%, 02/01/28 ..... 678,977 684,707
Federal National Mortgage Corp.,
5.75%, 04/15/03 ....................... 500,000 519,163
Government National Mortgage
Association, 7.00%, 08/15/27 .......... 45,101 46,186
Government National Mortgage
Association, 7.00%, 09/15/27 .......... 789,751 808,752
Government National Mortgage
Association, 7.00%, 01/15/28 .......... 115,258 118,031
Government National Mortgage
Association, 7.00%, 01/15/28 .......... 482,090 493,689
------------
Total U.S. Government Agency Mortgage-Backed 2,670,528
Securities (Cost $2,626,576) ------------
U.S. Government Obligations (0.8%)
U.S. Treasury Bond, 7.25%, 08/15/04 .... 295,000 336,530
------------
Total U.S. Government Obligations
(Cost $331,732) 336,530
------------
Total Long-term Bonds and Notes 6,632,194
(Cost $6,571,734) ------------
SHORT-TERM INVESTMENTS (10.0%)
Federal Home Loan Bank, 5.40%, 11/02/98 3,898,000 3,898,000
U.S. Treasury Bill, 4.98%, 02/18/99 @ .. 100,000 98,746
------------
Total Short-term Investments 3,996,746
(Cost $3,996,507) ------------
</TABLE>
See Notes to Portfolio of Investments. 77
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Crossroads (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
-----------
<S> <C>
Total Investments (Cost $39,689,553)(a) $39,189,234
Other assets less liabilities 694,996
------------
Total Net Assets $39,884,230
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$39,748,047. Unrealized gains and losses, based on identified tax cost at
October 31, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains........................................... $ 2,828,382
Unrealized losses.......................................... (3,387,195)
-----------
Net unrealized loss....................................... $ (558,813)
===========
</TABLE>
Information concerning open futures contracts at October 31, 1998 is shown
below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- --------- ------------ -----------
Long Contracts
- --------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures ............. 2 $311,345 Dec 98 $1,298
Swiss Government
Bond Futures ........ 2 181,521 Dec 98 2,378
--------- ------
$492,866 $3,676
========= ======
</TABLE>
+ Non-income producing security.
[beta] Restricted security. This security has been determined to be
illiquid under guidelines established by the Board of
Directors.
[double beta] Securities that may be resold to "qualified institutional
buyers" under Rule 144A or securities offered pursuant to
section 4(2) of the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines
established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open
futures contracts at October 31, 1998.
Category percentages are based on net assets.
78 See Notes to Financial Statements.
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Legacy
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
COMMON STOCKS (48.5%)
United States (39.6%)
Air Transport (0.3%)
AMR Corp. + ............................ 600 $ 40,200
Delta Air Lines, Inc. .................. 400 42,225
------------
82,425
------------
Auto Parts and Hardware (0.2%)
Black & Decker Corp. ................... 800 41,350
Briggs & Stratton Corp. ................ 100 4,700
------------
46,050
------------
Automotive (0.3%)
Dana Corp. ............................. 185 7,735
Ford Motor Co. ......................... 1,100 59,675
------------
67,410
------------
Banks and Thrifts (0.6%)
Comerica, Inc. ......................... 301 19,396
Datastream Systems, Inc. + ............. 200 2,013
Dime Bancorp, Inc. ..................... 100 2,381
Downey Financial Corp. ................. 840 19,687
Dsp Group, Inc. + ..................... 1,400 22,400
Fifth Third Bancorp .................... 200 13,250
FirstFed Financial Corp. + ............. 1,600 26,200
Golden West Financial Corp. ............ 300 27,206
Riggs National Corp. ................... 100 2,412
Suntrust Banks, Inc. ................... 100 6,969
Washington Federal, Inc. ............... 100 2,669
------------
144,583
------------
Biotech and Medical Products (1.9%)
ADAC Laboratories + .................... 200 5,925
Alpharma, Inc. ......................... 2,400 66,450
Amgen, Inc. + .......................... 200 15,712
Arterial Vascular Engineering, Inc. + .. 500 15,375
Barr Laboratories, Inc. + .............. 200 6,838
Bio-Rad Labs, Inc. + ................... 300 6,619
Diagnostic Products Corp. .............. 200 4,513
Guidant Corp. .......................... 100 7,650
Hanger Orthopedic Group, Inc. + ........ 1,900 37,525
Marquette Medical Systems, Inc. + ...... 200 8,913
Maxxim Medical, Inc. + ................. 2,600 65,650
Mylan Laboratories, Inc. ............... 300 10,331
OEC Medical Systems, Inc. + ............ 1,700 42,500
Osteotech, Inc. + ...................... 1,000 25,187
Serologicals Corp. + ................... 1,200 27,150
Thermo BioAnalysis Corp. + ............. 4,100 43,306
VISX, Inc. + ........................... 1,200 60,150
------------
449,794
------------
Commercial Services (1.0%)
Crossmann Communities, Inc. + .......... 200 4,550
Day Runner, Inc. + ..................... 600 12,000
Deluxe Corp. ........................... 500 16,187
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Commercial Services (continued)
Franklin Covey Co. + ................... 3,200 $ 63,200
Galileo International, Inc. ............ 1,500 56,906
Modtech, Inc. + ........................ 100 1,688
URS Corp. + ............................ 2,700 45,562
Valassis Communications, Inc. + ........ 1,000 39,875
------------
239,968
------------
Computers (0.4%)
Ceridian Corp. + ....................... 400 22,950
International Business Machines Corp. .. 100 14,844
SPR, Inc. + ............................ 1,250 22,500
Sun Microsystems, Inc. + ............... 700 40,775
------------
101,069
------------
Conglomerate and Aerospace (0.7%)
Ducommun Inc. + ........................ 1,500 24,000
Goodrich (B. F.) Co. ................... 1,100 39,600
Loews Corp. ............................ 400 37,575
Northrop Grumman Corp. ................. 300 23,925
United Technologies Corp. .............. 500 47,625
------------
172,725
------------
Consumer Finance (0.1%)
Countrywide Credit Industries, Inc. .... 700 30,231
------------
Consumer Products (0.6%)
American Greetings Corp. ............... 200 8,025
Blyth Industries, Inc. + ............... 100 2,763
Intimate Brands, Inc. .................. 3,500 78,312
National R.V. Holdings, Inc. + ......... 1,950 44,119
Twinlab Corp. + ........................ 200 4,437
------------
137,656
------------
Consumer Services (1.4%)
Applebee's International, Inc. ......... 2,300 46,862
Brinker International, Inc. + .......... 400 9,675
Darden Restaurants, Inc. ............... 1,200 19,800
Extended Stay America, Inc. + .......... 7,000 67,375
Foodmaker, Inc. + ...................... 600 9,488
Grand Casinos, Inc. + .................. 3,600 31,725
International Speedway Corp. ........... 1,300 40,137
Promus Hotel Corp. + ................... 100 3,188
Red Roof Inns, Inc. + .................. 1,100 19,044
RFS Hotel Investors, Inc. .............. 600 7,800
Sonic Corp. + .......................... 2,850 54,150
Tricon Global Restaurants, Inc. + ...... 700 30,450
------------
339,694
------------
Consumer Specialties (0.1%)
Brunswick Corp. ........................ 900 17,494
Russ Berrie & Co., Inc. ................ 600 11,850
------------
29,344
------------
</TABLE>
See Notes to Portfolio of Investments. 79
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Legacy (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United States (continued)
Data and Imaging Services (1.4%)
Apex PC Solutions, Inc. + .............. 1,500 $ 39,187
Avant! Corp. + ......................... 900 15,356
Cisco Systems, Inc. + .................. 200 12,600
EMC/MASS Corp. + ....................... 400 25,750
Microsoft Corp. + ...................... 300 31,763
Oracle Corp. + ......................... 1,300 38,431
Progress Software Corp. + .............. 550 14,334
Project Software & Development, Inc. + . 1,000 18,125
QLogic Corp. + ......................... 1,300 120,087
Siebel Systems, Inc. + ................. 200 4,088
Veritas Software Corp. + ............... 100 5,013
Visio Corp. + .......................... 500 13,313
------------
338,047
------------
Discretionary Retail (2.6%)
Abercrombie & Fitch Co. + .............. 1,700 67,469
American Eagle Outfitters, Inc. + ...... 2,850 115,425
Ames Department Stores, Inc. + ......... 1,300 23,887
Cato Corp. (The) ....................... 2,600 34,612
Dayton Hudson Corp. .................... 500 21,188
Dress Barn, Inc. + ..................... 700 9,888
Federated Department Stores, Inc. + .... 800 30,750
Fingerhut Companies, Inc. .............. 100 844
Global DirectMail Corp. + .............. 1,400 19,950
Lowe's Co., Inc. ....................... 600 20,213
Micro Warehouse, Inc. + ................ 100 2,181
Musicland Stores Corp. + ............... 3,200 42,200
Office Depot, Inc. + ................... 100 2,500
Ross Stores, Inc. ...................... 1,000 32,500
Tandy Corp. ............................ 200 9,913
TJX Companies, Inc. .................... 1,800 34,087
Transport World Entertainment Corp. + .. 6,000 123,750
Zale Corp. + ........................... 1,900 45,006
------------
636,363
------------
Diversified Financial Services (0.1%)
Trammell Crow Co. + .................... 600 12,975
Transamerica Corp. ..................... 100 10,400
------------
23,375
------------
Drugs (1.0%)
Abbott Laboratories .................... 800 37,550
Eli Lilly & Co. ........................ 700 56,656
Johnson & Johnson ...................... 500 40,750
Medicis Pharmaceutical Corp. + ......... 600 30,075
Merck & Co., Inc. ...................... 500 67,625
Roberts Pharmaceutical Corp. + ......... 300 6,675
Theragenics Corp. + .................... 400 8,075
------------
247,406
------------
Electric Utilities (0.1%)
Central & South West Corp. ............. 300 8,344
Conectiv, Inc. ......................... 100 2,288
Niagara Mohawk Power Corp. + ........... 1,400 20,475
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Electric Utilities (continued)
OGE Energy Corp. ....................... 100 $ 2,656
------------
33,763
------------
Electrical Machinery and Instruments (0.2%)
Xerox Corp. ............................ 400 38,750
------------
Electronic Media (0.6%)
Cablevision Systems Corp. + ............ 1,200 57,900
Gaylord Entertainment Co. .............. 1,500 39,750
Premier Parks Inc. + ................... 700 15,531
Speedway Motorsports, Inc. + ........... 800 16,800
USA Networks, Inc. + ................... 100 2,250
Viacom, Inc. + ......................... 200 11,975
------------
144,206
------------
Food and Beverage (1.0%)
Aurora Foods, Inc. + ................... 100 1,750
Canandiagua Brands, Inc. + ............. 800 40,100
Earthgrains Co. (The) .................. 2,200 66,000
IBP, Inc. .............................. 200 5,413
J & J Snack Foods Corp. + .............. 1,700 38,250
R.h. Donnelley Corp. ................... 2,680 37,520
Ralcorp Holdings, Inc. + ............... 1,000 17,625
Robert Mondavi Corp. + ................. 1,200 40,725
------------
247,383
------------
Food and Drug Retail (0.8%)
Casey's General Stores, Inc. ........... 5,800 81,200
CVS Corp. .............................. 900 41,119
Fleming Companies, Inc. ................ 400 4,075
Kroger Co. (The) + ..................... 500 27,750
Longs Drug Stores, Inc. ................ 400 15,625
SUPERVALU, Inc. ........................ 1,300 31,200
U.S. Foodservice + ..................... 100 4,750
------------
205,719
------------
Forest Products and Building Materials (0.5%)
Boise Cascade Corp. .................... 100 2,800
Centex Construction Products, Inc. ..... 400 13,450
Florida Rock Industries, Inc. .......... 1,000 24,812
Georgia-Pacific Corp. .................. 300 12,569
Lafarge Corp. .......................... 100 3,369
Lone Star Industries, Inc. ............. 900 63,393
Owens Corning .......................... 300 10,894
------------
131,287
------------
Gas Utilities (0.6%)
Coastal Corp. (The) .................... 1,100 38,775
Eastern Enterprises .................... 500 20,531
Energen Corp. .......................... 2,400 43,200
NICOR, Inc. ............................ 500 21,188
Sempra Energy .......................... 751 19,526
------------
143,220
------------
Health Services (0.4%)
Integrated Health Services, Inc. ....... 1,100 17,806
Lincare Holdings, Inc. + ............... 1,100 43,931
MedQuist, Inc. + ...................... 1,000 26,938
</TABLE>
80 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United States (continued)
Health Services (continued)
Trigon Healthcare, Inc. + .............. 200 $ 7,500
------------
96,175
------------
Housing and Furnishings (1.0%)
Centex Corp. ........................... 600 20,100
Fleetwood Enterprises, Inc. ............ 600 19,350
Kaufman & Broad Home Corp. ............. 700 19,994
Lennar Corp. ........................... 1,900 38,475
MDC Holdings, Inc. ..................... 3,300 57,956
Pulte Corp. ............................ 600 15,450
Ryland Group, Inc. ..................... 400 9,950
Standard Pacific Corp. ................. 3,200 31,000
Winsloew Furniture, Inc. + ............. 1,200 25,350
------------
237,625
------------
Industrial Services (0.1%)
Fluor Corp. ............................ 200 7,763
Milacron, Inc. ......................... 100 1,938
RTI International Metals + ............. 1,100 16,362
------------
26,063
------------
Insurance (0.8%)
Allstate Corp. (The) ................... 1,300 55,981
Americredit Corp. + .................... 100 1,338
CIGNA Corp. ............................ 400 29,175
Conseco, Inc. .......................... 600 20,812
First American Financial Corp. ......... 1,600 50,100
MGIC Investment Corp. .................. 400 15,600
Old Republic International Corp. ....... 150 2,850
SunAmerica, Inc. ....................... 350 24,675
------------
200,531
------------
Investment Services (0.3%)
Dames & Moore Group .................... 2,500 30,000
Golden State Bancorp, Inc. ............. 1,900 36,456
Lehman Brothers Holdings, Inc. ......... 100 3,794
Providian Financial Corp. .............. 100 7,937
------------
78,187
------------
Major Telecommunications (1.1%)
Alltel Corp. ........................... 700 32,769
AT&T Corp. ............................. 1,000 62,250
Bell Atlantic Corp. .................... 600 31,875
BellSouth Corp. ........................ 700 55,868
Sprint Corp. ........................... 600 46,050
U.S. WEST, Inc. ........................ 600 34,425
------------
263,237
------------
Miscellaneous Metals (0.0%)
Titanium Metals Corp. .................. 1,000 10,438
------------
Oil (0.5%)
Ashland Oil, Inc. ...................... 700 33,687
Clayton Williams Energy, Inc. + ........ 600 5,250
Octel Corp. + .......................... 200 2,888
Sun Company, Inc. ...................... 1,300 44,606
Tesoro Petroleum Corp. + ............... 1,800 26,663
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Oil (continued)
Tosco Corp. ............................ 400 $ 11,225
------------
124,319
------------
Oil Services (0.2%)
Helmerich & Payne, Inc. ................ 400 9,525
McDermott International, Inc. .......... 800 23,450
Seitel, Inc. + ......................... 300 3,975
Trico Marine Services, Inc. + .......... 1,700 12,112
------------
49,062
------------
Other Telecommunications (0.3%)
Century Telephone Enterprises .......... 50 2,841
Citizens Utilities Co. + ............... 100 900
Melita International Corp. + ........... 500 6,000
Nokia Corp., ADR........................ 400 37,225
Tellabs, Inc. + ........................ 400 22,000
------------
68,966
------------
Print Media (0.3%)
Knight-Ridder, Inc. .................... 600 30,562
McClatchy Co. .......................... 525 17,817
McGraw-Hill Co., Inc. .................. 100 8,994
New York Times Co. ..................... 800 22,600
------------
79,973
------------
Producer Goods (0.6%)
C & D Technologies, Inc. ............... 1,600 39,000
Gleason Corp. .......................... 600 12,112
Honeywell, Inc. ........................ 200 15,975
Ingersoll-Rand Co. ..................... 700 35,350
Tyco International Ltd. ................ 400 24,775
Varlen Corp. ........................... 300 8,963
------------
136,175
------------
Real Estate Investment Trusts (17.0%)
AMB Property Corp. ..................... 200 4,600
American Health Properties, Inc. ....... 300 6,675
Apartment Investment & Management Co. .. 1,800 62,887
Archstone Communities Trust ............ 1,000 20,125
Arden Realty Group, Inc. ............... 1,000 21,625
Avalon Bay Communities, Inc. ........... 1,668 53,585
Beacon Capital + [beta] ................ 2,300 40,020
Bedford Property Investors, Inc. ....... 600 10,725
Brandywine Realty Trust ................ 5,100 91,162
Cabot Industrial Trust ................. 2,400 48,000
Camden Property Trust .................. 5,962 160,229
Captec Net Lease Realty, Inc. .......... 1,000 12,625
Carramerica Realty Corp. ............... 700 15,750
CBL & Associates Properties, Inc. ...... 8,700 226,744
Chateau Communities, Inc. .............. 800 23,500
Colonial Properties Trust .............. 1,300 35,750
Cousins Properties, Inc. ............... 1,000 28,625
Crescent Real Estate Equities, Inc. .... 1,700 42,606
Criimi Mae, Inc. ....................... 13,900 19,113
Developers Diversified Realty Corp. .... 600 11,325
</TABLE>
See Notes to Portfolio of Investments. 81
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Legacy (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United States (continued)
Real Estate Investment Trusts (continued)
Duke Realty Investments, Inc. .......... 3,100 74,012
Equity Inns, Inc. ...................... 2,200 23,100
Equity Office Properties Trust ......... 8,400 201,600
Equity One, Inc. ....................... 600 5,475
Equity Residential Properties Trust .... 4,650 195,300
Essex Property Trust, Inc. ............. 1,800 56,475
First Industrial Realty Trust, Inc. .... 1,800 46,125
Franchise Finance Corp. of America ..... 1,300 32,338
General Growth Properties, Inc. ........ 3,700 131,581
Glenborough Realty Trust, Inc. ......... 4,000 85,750
Glimcher Realty Trust .................. 500 8,094
Golf Trust of America, Inc. ............ 2,300 61,525
Health Care REIT, Inc. ................. 4,200 95,025
Healthcare Realty Trust, Inc. .......... 3,766 88,277
Highwood Properties, Inc. .............. 1,500 41,906
Home Properties of New York, Inc. ...... 600 16,125
HRPT Properties Trust .................. 2,300 36,656
Imperial Credit Commercial Mortgage
Investment Corp. ...................... 500 4,188
Innkeepers USA Trust ................... 3,700 42,550
Kilroy Realty Corp. .................... 1,100 24,406
Kimco Realty Corp. ..................... 6,300 250,819
Koger Equity, Inc. ..................... 1,700 28,688
Konover Property Trust + ............... 2,000 13,875
Kranzco Realty Trust ................... 7,300 108,587
Lexington Corporate Properties Trust ... 600 7,500
Liberty Property Trust ................. 6,000 138,000
LTC Healthcare, Inc. + ................. 40 95
LTC Properties, Inc. ................... 400 6,850
Mack-Cali Realty Corp. ................. 1,200 35,550
Meditrust Companies .................... 1,000 16,250
MeriStar Hospitality Corp. ............. 762 14,097
OMEGA Healthcare Investors, Inc. ....... 5,900 182,900
Parkway Properties, Inc. ............... 4,600 131,100
Patriot American Hospitality, Inc. ..... 1,400 12,425
Post Properties, Inc. .................. 5,500 212,781
Prentiss Properties Trust .............. 1,000 20,625
Prime Retail, Inc. ..................... 900 8,719
PS Business Parks, Inc. ................ 10,400 209,300
Reckson Associates Realty Corp. ........ 700 15,881
Reckson Service Industries + ........... 112 217
Regency Realty Corp. ................... 4,200 96,862
Simon Property Group ................... 2,200 65,862
Sovran Self Storage, Inc. .............. 1,400 35,875
Starwood Financial Trust ............... 16 1,136
Starwood Lodging Trust ................. 5,400 152,887
Sun Communities, Inc. .................. 2,800 93,625
Tower Realty Trust, Inc. ............... 201 4,061
Vornado Operating Co. + ................ 70 438
Vornado Realty Trust ................... 1,400 47,163
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Real Estate Investment Trusts (continued)
Weeks Corp. ............................ 200 $ 5,813
------------
4,124,160
------------
Semiconductors and Electronics (0.2%)
Intel Corp. ............................ 500 44,594
------------
Specialty Chemicals (0.0%)
Albemarle Corp. ........................ 100 1,906
Engelhard Corp. ........................ 100 2,100
Millennium Chemicals, Inc. + ........... 100 2,438
------------
6,444
------------
Steel (0.2%)
Texas Industries, Inc. ................. 1,200 35,475
------------
Surface Transport (0.1%)
Burlington Northern Santa Fe Corp. ..... 300 9,262
Modis Professional Services + .......... 100 1,763
Tidewater, Inc. ........................ 100 2,831
------------
13,856
------------
Textiles and Apparel (0.0%)
Timberland Co. (The) + ................. 100 4,000
------------
Total United States (Cost $9,964,708) 9,629,748
------------
Foreign Common Stocks (8.9%)
Australia (0.3%)
Mayne Nickless Ltd. (Commercial
Services) + ........................... 3,400 15,615
Mayne Nickless Ltd. Rights (Commercial
Services) + ........................... 5,440 2,414
Telstra Corp. Ltd. (Other
Telecommunications) + ................. 8,200 32,403
Westpac Banking Corp. Ltd. (Banks and
Thrifts)............................... 3,678 22,270
------------
Total Australia 72,702
------------
Belgium (0.1%)
Delhaize-le Lion SA (Food and Beverage) 280 23,935
------------
Canada (0.1%)
Canadian National Railway Co.
(Surface Transport) ................... 500 25,219
------------
Denmark (0.2%)
Den Danske Bank (Investment Services) .. 100 13,580
Tele Danmark A/S (Major
Telecommunications).................... 200 21,791
------------
Total Denmark 35,371
------------
Finland (0.3%)
Helsingin Puhelin Oyj
(Other Telecommunications) ............ 400 21,911
Huhtamaki Group (Diversified) .......... 800 26,834
Tamro Oyj (Health Services) ............ 2,900 15,540
------------
Total Finland 64,285
------------
France (1.3%)
Accor SA (Consumer Services) ........... 200 42,001
Credit Commercial de France (Banks and
Thrifts) + ............................ 500 35,109
</TABLE>
82 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
France (Continued)
Elf Aquitaine SA (Oil) ................. 300 $ 34,713
Etablissements Economiques du Casino
Guichard-Perrachon SA (Commercial
Services) + ........................... 300 29,854
Gemini Sogeti SA (Insurance) ........... 300 45,078
Groupe Danone (Food and Beverage) ...... 100 26,435
Lafarge SA
(Forest Products and Building
Materials)............................. 300 30,664
Renault SA (Automotive) ................ 300 12,822
Rhone-Poulenc (Biotech and Medical
Products) + ........................... 500 22,854
Scor (Insurance) ....................... 300 17,200
Societe Generale (Banks and Thrifts) ... 100 13,227
Union des Assurances Federales
(Insurance) + ......................... 100 12,507
------------
Total France 322,464
------------
Germany (1.1%)
Bayericshe Hypo-und Vereinsb
(Chemicals) + ......................... 600 47,640
BHF-Bank AG (Banks and Thrifts) ........ 400 15,433
Daimler-Benz AG (Automotive) ........... 300 23,276
Deutsche Lufthansa AG (Air Transport) + 600 13,205
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) ................... 400 31,639
Douglas Holding AG (Discretionary
Retail)................................ 300 16,792
Gehe AG (Health Services) .............. 400 30,069
Mannesmann AG (Producer Goods) ......... 300 29,526
Merck KGaA (Commercial Services) ....... 600 24,635
Volkswagen AG (Automotive) ............. 330 24,827
------------
Total Germany 257,042
------------
Ireland (0.3%)
Allied Irish Banks (Banks and Thrifts) . 2,024 29,233
CRH Plc (Forest Products and Building
Materials)............................. 2,000 29,299
Waterford Wedgewood (Housing and
Furnishings)........................... 15,307 13,799
------------
Total Ireland 72,331
------------
Italy (0.4%)
Arnoldo Mondadori Editor (Print Media) . 1,500 16,618
Banca Commerciale Italiana (Banks and
Thrifts)............................... 3,000 18,550
Credito Italiano (Banks and Thrifts) + . 5,000 26,858
Istituto Nazionale delle Assicurazioni
(Insurance) + ......................... 6,000 16,536
Telecom Italia SpA (Commercial Services) 2,000 14,467
------------
Total Italy 93,029
------------
Japan (1.0%)
Fuji Photo Film (Chemicals) ............ 1,000 36,644
Hitachi Ltd. (Semiconductors and
Electronics)........................... 4,000 20,356
Kao Corp. (Consumer Products) .......... 2,000 40,506
Mizuno Corp. (Consumer Products) ....... 4,000 12,529
Nintendo Co. Ltd.
(Semiconductors and Electronics) ...... 300 25,385
NTT Mobile Communication Network, Inc.
(Other Telecommunications) ............ 10 36,129
Santen Pharmaceutical Co. Ltd. (Drugs) . 2,000 34,310
Seino Transportation Co. Ltd. (Surface
Transport)............................. 5,000 29,178
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
Japan (Continued)
Sony Corp. (Consumer Products) ......... 300 $ 19,051
------------
Total Japan 254,088
------------
Mexico (0.1%)
Grupo Financiero Banamex Accival, SA de
CV (Banacci) (Banks and Thrifts) + .... 8,000 8,045
Panamerican Beverages, Inc. (Food and
Beverage).............................. 900 18,225
------------
Total Mexico 26,270
------------
Netherlands (0.6%)
Akzo Nobel (Chemicals) ................. 800 31,097
Hunter Douglas NV (Consumer Services) .. 405 14,529
ING Groep NV (Banks and Thrifts) ....... 536 25,944
Koninklijke Ahold NV (Commercial
Services).............................. 606 20,149
Laurus Scrips (Food and Beverage) + .... 2,800 7,046
Vendex N.V. (Discretionary Retail) + ... 400 10,173
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ......................... 1,300 44,965
------------
Total Netherlands 153,903
------------
Norway (0.3%)
Det Sondenfjelds-Norske Dampskibsselskab
(Oil) + ............................... 1,200 17,010
Merkantildata Asa (Data and Imaging
Services).............................. 2,000 20,075
Ocean Rig ASA (Oil) + .................. 43,750 19,584
Tandberg Television ASA (Electronic
Media) + .............................. 1,700 15,680
------------
Total Norway 72,349
------------
Spain (0.3%)
Iberdrola SA (Electric Utilities) + .... 2,200 35,467
Telefonica de Espana (Major
Telecommunications).................... 800 36,056
------------
Total Spain 71,523
------------
Sweden (0.3%)
Celsius AB (Conglomerate and Aerospace) 1,700 27,184
Industrial & Financial Systems (Data and
Imaging Services) + [double beta] ..... 1,600 15,146
Securitas AB (Consumer Services) ....... 3,300 40,527
------------
Total Sweden 82,857
------------
Switzerland (0.7%)
Adecco SA (Surface Transport) .......... 50 19,938
Fischer (Georg) AG (Auto Parts and
Hardware).............................. 100 34,485
Nestle SA Registered Shares (Food and
Beverage).............................. 20 42,534
Novartis AG Registered Shares
(Health Services) + ................... 20 36,036
Swiss Re (Insurance) ................... 10 22,272
UBS AG (Banks and Thrifts) ............. 50 13,717
------------
Total Switzerland 168,982
------------
United Kingdom (1.5%)
Bank of Scotland (Banks and Thrifts) + . 6,295 68,419
Berisford Plc (Industrial Services) .... 4,800 12,299
British Aerospace Plc
(Conglomerate and Aerospace) .......... 3,000 22,056
British Telecom Plc (Major
Telecommunications).................... 1,700 22,235
</TABLE>
See Notes to Portfolio of Investments. 83
<PAGE>
Generation Funds
Portfolio of Investments - October 31, 1998
Legacy (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Market
Shares Value
------------ -----------
<S> <C> <C>
United Kingdom (Continued)
Cable & Wireless Plc (Other
Telecommunications) + ................. 1,300 $ 14,663
Glaxo Wellcome Plc (Drugs) ............. 520 16,163
Granada Group Plc (Consumer Services) + 2,030 30,614
Kingfisher Plc (Discretionary Retail) .. 2,232 19,605
National Westminster Bank Plc
(Banks and Thrifts) ................... 1,500 25,347
Pearson Plc (Print Media) .............. 1,500 26,175
Peninsular & Oriental Steam Navigation
Co. (Surface Transport) + ............. 1,800 18,886
Railtrack Group (Surface Transport) .... 800 21,396
Vodafone Group Plc (Consumer Products) . 5,257 70,431
------------
Total United Kingdom 368,289
------------
Total Foreign Common Stocks 2,164,639
(Cost $1,981,359) ------------
Total Common Stocks (Cost $11,946,067) 11,794,387
------------
PREFERRED STOCKS (0.4%)
Germany (0.4%)
Henkel KGAA (Chemicals) ................ 500 42,719
Hugo Boss AG (Textiles and Apparel) + .. 10 15,578
SAP AG (Data and Imaging Services) + ... 100 48,727
------------
Total Preferred Stocks (Cost $114,829) 107,024
------------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (29.1%)
Corporate and Convertible Bonds (16.6%)
American Re Corp., 7.45%, 12/15/26 ..... $ 400,000 431,356
BankAmerica Corp., 7.88%, 12/01/02 ..... 250,000 268,070
BCH Cayman Islands Ltd., 6.50%, 02/15/06 300,000 294,030
Capital One Bank, 6.66%, 06/19/00 ...... 300,000 303,291
Ford Motor Credit Corp., 6.63%, 10/01/28 120,000 114,914
GTE Corp., 9.38%, 12/01/00 ............. 200,000 216,814
Household Finance Corp., 5.88%, 09/25/04 150,000 147,693
International Lease Finance Corp.,
5.56%, 09/18/01 ....................... 220,000 221,375
Korean Development Bank, 7.13%, 09/17/01 200,000 177,544
National Australia Bank, 6.40%, 12/10/07 300,000 302,847
Norwest Financial, Inc., 5.38%, 09/30/03 150,000 149,154
Rite Aid Corp., 6.00%, 10/01/03 ........ 150,000 150,300
Simon Debartolo Group, Inc., 6.63%,
06/15/03 [double beta] ................ 300,000 293,502
TCI Communications, Inc., 6.38%,
09/15/99............................... 200,000 202,626
Tenet Healthcare Corp., 7.88%, 01/15/03 175,000 179,424
Time Warner, Inc., 9.13%, 01/15/13 ..... 350,000 422,544
USA Waste Management, Inc., 6.13%,
07/15/01............................... 150,000 153,077
------------
Total Corporate and Convertible Bonds 4,028,561
(Cost $4,000,998) ------------
U.S. Government Agency Mortgage-Backed Securities (10.9%)
Federal National Mortgage Association -
Conventional Loan, 6.50%, 02/01/28 .... 438,024 441,720
<CAPTION>
Principal Market
Amount Value
------------ -----------
<S> <C> <C>
U.S. Government Agency Mortgage-Backed Securities (continued)
Federal National Mortgage Corp.,
5.75%, 04/15/03 ....................... $ 500,000 $ 519,163
Government National Mortgage
Association, 7.00%, 04/15/27 .......... 414,595 424,570
Government National Mortgage
Association, 7.00%, 02/15/28 .......... 230,934 236,491
Government National Mortgage
Association, 7.00%, 02/15/28 .......... 332,832 340,840
Government National Mortgage
Association, 7.50%, 12/15/23 .......... 675,884 697,217
------------
Total U.S. Government Agency Mortgage-Backed 2,660,001
Securities (Cost $2,624,661) ------------
U.S. Government Obligations (1.6%)
U.S. Treasury Note, 6.50%, 10/15/06 .... 350,000 392,602
------------
Total U.S. Government Obligations 392,602
(Cost $352,084) ------------
Total Long-Term Bonds and Notes 7,081,164
(Cost $6,977,743) ------------
SHORT-TERM INVESTMENTS (21.0%)
Federal Home Loan Bank, 5.40%, 11/02/98 3,216,000 3,216,000
Republic Industries Funding Corp.,
5.25%, 11/05/98 ....................... 900,000 899,606
Sheffield Receivables Corp., 5.20%,
11/13/98 [double beta] ................ 900,000 898,570
U.S. Treasury Bill, 4.98%, 02/18/99 @ .. 100,000 98,746
------------
Total Short-Term Investments 5,112,922
(Cost $5,112,684) ------------
Total Investments (Cost $24,151,323)(a) 24,095,497
Other assets less liabilities 239,351
------------
Total Net Assets $24,334,848
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$24,174,042. Unrealized gains and losses, based on identified tax cost at
October 31, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains.......................................... $ 1,308,896
Unrealized losses......................................... (1,387,441)
-----------
Net unrealized loss...................................... $ (78,545)
===========
</TABLE>
84 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments (continued)
Information concerning open futures contracts at October 31, 1998 is shown
below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ------------ ------------- ----------------
Long Contracts
- --------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures.... 2 326,144 Dec 98 (1,857)
Swiss Government
Bond Futures 1 90,760 Dec 98 1,189
---------- --------
$416,904 $ (668)
========== ========
</TABLE>
+ Non-income producing security.
[beta] Restricted security. This security has been determined to be
illiquid under guidelines established by the Board of
Directors.
[double beta] Securities that may be resold to "qualified institutional
buyers" under Rule 144A or securities offered pursuant to
section 4(2) of the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines
established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open
futures contracts at October 31, 1998.
Category percentages are based on net assets.
See Notes to Financial Statements. 85
<PAGE>
Generations Funds
Statements of Assets and Liabilities
October 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
----------- ----------- -----------
<S> <C> <C> <C>
Assets:
Investments, at market value . $40,118,074 $39,189,234 $24,095,497
Cash ......................... 10,939 7,535 3,668
Cash denominated in foreign
currencies................... 213,572 184,714 85,385
Receivable for:
Dividends and interest ...... 93,289 132,251 112,058
Investments sold ............ 469,270 672,045 147,204
Fund shares sold ............ 19,079 43,822 16,167
Recoverable foreign taxes ... 6,680 6,341 3,193
Reimbursement from Investment
Adviser...................... 16,526 14,311 18,743
Prepaid expenses ............. 650 603 413
Gross unrealized gain on
forward foreign currency
exchange contracts .......... 16,611 21,369 15,519
----------- ----------- -----------
Total assets ............ 40,964,690 40,272,225 24,497,847
----------- ----------- -----------
Liabilities:
Payable for:
Investments purchased ....... 359,188 189,236 54,024
Variation margin ............ 1,605 299 262
Other liabilities ............ 73,158 70,551 55,938
Gross unrealized loss on
forward foreign currency
exchange contracts .......... 120,181 127,909 52,775
----------- ----------- -----------
Total liabilities ....... 554,132 387,995 162,999
----------- ----------- -----------
NET ASSETS................... $40,410,558 $39,884,230 $24,334,848
=========== =========== ===========
Net Assets represented By:
Paid-in capital .............. $39,203,236 $38,975,049 $23,420,052
Net unrealized loss on
investments, open futures
contracts and foreign
currency related transactions (477,277) (604,538) (95,507)
Undistributed net investment
income....................... 604,312 672,476 465,846
Accumulated net realized gain
on investments .............. 1,080,287 841,243 544,457
----------- ----------- -----------
NET ASSETS .................. $40,410,558 $39,884,230 $24,334,848
=========== =========== ===========
Capital Shares, $.001 par value
Class I:
Outstanding ................. 3,411,474 3,395,414 2,188,800
Net Assets .................. $38,011,731 $37,620,492 $22,351,934
Net Asset Value, offering and
redemption price per share
(net assets divided by shares
outstanding)................. $ 11.14 $ 11.08 $ 10.21
Class A:
Outstanding ................. 204,315 191,175 178,629
Net Assets .................. $ 2,266,080 $ 2,105,303 $ 1,812,226
Net Asset Value and
redemption price per share
(net assets divided by shares
outstanding)................. $ 11.09 $ 11.01 $ 10.15
Offering price (net asset
value divided by 1 minus
maximum sales load) ......... $ 11.77 $ 11.68 $ 10.77
Class C:
Outstanding ................. 11,950 14,347 16,773
Net Assets .................. $ 132,747 $ 158,435 $ 170,688
Net Asset Value, offering and
redemption price per share
(net assets divided by shares
outstanding)................. $ 11.11 $ 11.04 $ 10.18
Cost of investments .......... $40,487,527 $39,689,553 $24,151,323
Cost of cash denominated in
foreign currencies .......... $ 216,522 $ 185,748 $ 87,008
</TABLE>
86 See Notes to Financial Statements.
<PAGE>
Generation Funds
Statements of Operations
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
Year Ended Year Ended Year Ended
October 31, October 31, October 31,
1998 1998 1998
------------ ------------ --------------
<S> <C> <C> <C>
Investment Income:
Dividends ......................... $ 867,858 $ 659,714 $ 267,478
Interest .......................... 342,932 776,198 720,097
----------- ----------- -----------
1,210,790 1,435,912 987,575
Foreign taxes withheld on dividends (11,821) (9,597) (4,868)
----------- ----------- -----------
Total investment income ...... 1,198,969 1,426,315 982,707
----------- ----------- -----------
Investment Expenses:
Investment advisory fee ........... 295,978 295,895 174,700
Administrative services fees ...... 47,924 47,989 28,950
Distribution Plan and shareholder
services fees .................... 5,795 5,009 4,820
Printing and postage .............. 12,944 12,090 10,005
Custody fees ...................... 46,933 44,941 41,241
Transfer agent fees ............... 34,005 30,671 26,116
Audit fees ........................ 20,513 20,518 20,456
Directors' fees ................... -- 198 504
Registration fees ................. 67,385 65,056 62,217
Miscellaneous expenses ............ 1,686 1,720 1,334
----------- ----------- -----------
Expenses before reimbursement and
waiver from Investment Adviser ... 533,163 524,087 370,343
Expense reimbursement and waiver
from Investment Adviser .......... (69,924) (61,513) (94,604)
----------- ----------- -----------
Total expenses ............... 463,239 462,574 275,739
----------- ----------- -----------
Net investment income ............. 735,730 963,741 706,968
----------- ----------- -----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments ...................... 1,167,860 876,438 594,774
Futures and forward foreign
currency exchange contracts ..... 192,361 172,055 72,134
Foreign currency related
transactions..................... (961) (2,558) (6,290)
----------- ----------- -----------
Net realized gain on
investments................... 1,359,260 1,045,935 660,618
----------- ----------- -----------
Net change in unrealized gain or
loss on:
Investments ...................... (3,371,767) (2,810,953) (1,130,109)
Futures and forward foreign
currency exchange contracts ..... (111,703) (123,966) (39,259)
Foreign currency related
transactions..................... 3,222 4,439 (1,929)
----------- ----------- -----------
Net change in unrealized gain
or loss on investments ...... (3,480,248) (2,930,480) (1,171,297)
----------- ----------- -----------
Net realized and change in
unrealized gain or loss on
investments....................... (2,120,988) (1,884,545) (510,679)
----------- ----------- -----------
Net increase (decrease) in net
assets resulting from operations . $(1,385,258) $ (920,804) $ 196,289
=========== =========== ===========
</TABLE>
See Notes to Financial Statements. 87
<PAGE>
Generation Funds
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent
---------------------------
Year Ended Year Ended
October 31, October 31,
1998 1997
----------- -----------
<S> <C> <C>
From Operations:
Net investment income......................... $ 735,730 $ 386,368
Net realized gain on investments.............. 1,359,260 5,753,466
Net change in unrealized gain or loss on
investments.................................. (3,480,248) (207,457)
----------- ------------
Net increase (decrease) in net assets
resulting from operations................... (1,385,258) 5,932,377
----------- ------------
Distributions to Shareholders:
Class I:
From net investment income................... (895,077) (509,409)
From net realized gains...................... (5,380,645) (1,991,320)
Class A:
From net investment income................... (35,138) --
From net realized gains...................... (223,061) --
----------- ------------
Decrease in net assets from distributions to
shareholders................................ (6,533,921) (2,500,729)
----------- ------------
From Fund Share Transactions:
Class I:
Proceeds from shares sold.................... 20,176,464 24,275,254
Net asset value of shares issued upon
reinvestment of distributions............... 6,263,647 797,267
Payments for shares redeemed................. (8,242,505) (26,848,236)
Class A:
Proceeds from shares sold.................... 1,663,123 877,110
Net asset value of shares issued upon
reinvestment of distributions............... 258,199 --
Payments for shares redeemed................. (177,343) (40,134)
Class C:
Proceeds from shares sold.................... 143,534 --
Payments for shares redeemed................. (12) --
----------- ------------
Net increase (decrease) in net assets from
fund share transactions..................... 20,085,107 (938,739)
----------- ------------
Net change in net assets...................... 12,165,928 2,492,909
Net Assets:
Beginning of period........................... 28,244,630 25,751,721
----------- ------------
End of period................................. $40,410,558 $ 28,244,630
=========== ============
End of period net assets includes
undistributed net investment income.......... $ 604,312 $ 639,928
=========== ============
</TABLE>
88 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ascent
---------------------------
Year Ended Year Ended
October 31, October 31,
1998 1997
----------- -----------
<S> <C> <C>
Share Transactions:
Class I:
Number of shares sold........................ 1,608,863 1,863,827
Number of shares issued upon reinvestment of
distributions............................... 539,997 64,924
Number of shares redeemed.................... (627,163) (2,087,644)
----------- ------------
Net increase (decrease)...................... 1,521,697 (158,893)
=========== ============
Class A:
Number of shares sold........................ 135,610 64,131
Number of shares issued upon reinvestment of
distributions............................... 22,333 --
Number of shares redeemed.................... (15,049) (2,710)
----------- ------------
Net increase................................. 142,894 61,421
=========== ============
Class C:
Number of shares sold........................ 11,951 --
Number of shares redeemed.................... (1) --
----------- ------------
Net increase................................. 11,950 --
=========== ============
</TABLE>
See Notes to Financial Statements. 89
<PAGE>
Generation Funds
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Crossroads
---------------------------
Year Ended Year Ended
October 31, October 31,
1998 1997
----------- -----------
<S> <C> <C>
From Operations:
Net investment income......................... $ 963,741 $ 496,276
Net realized gain on investments.............. 1,045,935 4,147,389
Net change in unrealized gain or loss on
investments.................................. (2,930,480) 5,053
----------- ------------
Net increase (decrease) in net assets
resulting from operations................... (920,804) 4,648,718
----------- ------------
Distributions to Shareholders:
Class I:
From net investment income................... (1,119,675) (569,299)
From net realized gains...................... (3,810,051) (1,905,254)
Class A:
From net investment income................... (34,108) --
From net realized gains...................... (95,586) --
----------- ------------
Decrease in net assets from distributions to
shareholders................................ (5,059,420) (2,474,553)
----------- ------------
From Fund Share Transactions:
Class I:
Proceeds from shares sold.................... 20,876,851 24,895,160
Net asset value of shares issued upon
reinvestment of distributions............... 4,929,726 984,645
Payments for shares redeemed................. (8,482,094) (24,955,529)
Class A:
Proceeds from shares sold.................... 1,927,272 541,777
Net asset value of shares issued upon
reinvestment of distributions............... 129,555 --
Payments for shares redeemed................. (260,730) (12,739)
Class C:
Proceeds from shares sold.................... 169,379 --
Payments for shares redeemed................. (13) --
----------- ------------
Net increase in net assets from fund share
transactions................................ 19,289,946 1,453,314
----------- ------------
Net change in net assets...................... 13,309,722 3,627,479
Net Assets:
Beginning of period........................... 26,574,508 22,947,029
----------- ------------
End of period................................. $39,884,230 $ 26,574,508
=========== ============
End of period net assets includes
undistributed net investment income.......... $ 672,476 $ 713,418
=========== ============
</TABLE>
90 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Crossroads
---------------------------
Year Ended Year Ended
October 31, October 31,
1998 1997
----------- -----------
<S> <C> <C>
Share Transactions:
Class I:
Number of shares sold........................ 1,687,088 2,036,644
Number of shares issued upon reinvestment of
distributions............................... 429,905 85,399
Number of shares redeemed.................... (680,662) (2,049,555)
----------- ------------
Net increase................................. 1,436,331 72,488
=========== ============
Class A:
Number of shares sold........................ 160,752 42,345
Number of shares issued upon reinvestment of
distributions............................... 11,315 --
Number of shares redeemed.................... (22,270) (967)
----------- ------------
Net increase................................. 149,797 41,378
=========== ============
Class C:
Number of shares sold........................ 14,348 --
Number of shares redeemed.................... (1) --
----------- ------------
Net increase................................. 14,347 --
=========== ============
</TABLE>
See Notes to Financial Statements. 91
<PAGE>
Generation Funds
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Legacy
---------------------------
Year Ended Year Ended
October 31, October 31,
1998 1997
----------- -----------
<S> <C> <C>
From Operations:
Net investment income......................... $ 706,968 $ 522,193
Net realized gain on investments.............. 660,618 2,838,123
Net change in unrealized gain or loss on
investments.................................. (1,171,297) (500,057)
----------- ------------
Net increase in net assets resulting from
operations.................................. 196,289 2,860,259
----------- ------------
Distributions to Shareholders:
Class I:
From net investment income................... (951,871) (623,441)
From net realized gains...................... (2,397,573) (1,697,678)
Class A:
From net investment income................... (61,980) --
From net realized gains...................... (157,499) --
----------- ------------
Decrease in net assets from distributions to
shareholders................................ (3,568,923) (2,321,119)
----------- ------------
From Fund Share Transactions:
Class I:
Proceeds from shares sold.................... 12,105,973 17,595,612
Net asset value of shares issued upon
reinvestment of distributions............... 2,902,692 600,390
Payments for shares redeemed................. (7,810,811) (22,733,738)
Class A:
Proceeds from shares sold.................... 1,559,872 495,655
Net asset value of shares issued upon
reinvestment of distributions............... 219,481 --
Payments for shares redeemed................. (240,347) (29,360)
Class C:
Proceeds from shares sold.................... 177,142 --
Payments for shares redeemed................. (25) --
----------- ------------
Net increase (decrease) in net assets from
fund share transactions..................... 8,913,977 (4,071,441)
----------- ------------
Net change in net assets...................... 5,541,343 (3,532,301)
Net Assets:
Beginning of period........................... 18,793,505 22,325,806
----------- ------------
End of period................................. $24,334,848 $ 18,793,505
=========== ============
End of period net assets includes
undistributed net investment income.......... $ 465,846 $ 681,957
=========== ============
</TABLE>
See Notes to Financial Statements. 92
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Legacy
---------------------------
Year Ended Year Ended
October 31, October 31,
1998 1997
----------- -----------
<S> <C> <C>
Share Transactions:
Class I:
Number of shares sold........................ 1,123,731 1,553,745
Number of shares issued upon reinvestment of
distributions............................... 284,275 54,930
Number of shares redeemed.................... (726,336) (2,019,117)
----------- ------------
Net increase (decrease)...................... 681,670 (410,442)
=========== ============
Class A:
Number of shares sold........................ 140,358 42,155
Number of shares issued upon reinvestment of
distributions............................... 21,629 --
Number of shares redeemed.................... (23,131) (2,382)
----------- ------------
Net increase................................. 138,856 39,773
=========== ============
Class C:
Number of shares sold........................ 16,775 --
Number of shares redeemed.................... (2) --
----------- ------------
Net increase................................. 16,773 --
=========== ============
</TABLE>
See Notes to Financial Statements. 93
<PAGE>
Generation Funds
Notes to Financial Statements
October 31, 1998
- --------------------------------------------------------------------------------
1. Organization
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds (Funds), each of which
has its own investment objective, policies and restrictions.
The Company currently offers nineteen funds. This report covers Aetna Ascent
Fund (Ascent), Aetna Crossroads Fund (Crossroads) and Aetna Legacy Fund
(Legacy), collectively the Generation Funds or Funds.
Shares of each Fund are available to all investors including employers and
employees who utilize the Funds as investment options under retirement plans.
The Funds are authorized to offer three classes of shares, Class I, Class A and
Class C. Class I is offered principally to institutions and is not subject to
sales charges or distribution fees. Class I shares were first made available on
January 4, 1995. Class A and Class C shares are offered to accounts not eligible
to buy Class I shares. Class A shares are generally subject to a front end sales
charge and a distribution fee pursuant to Rule 12b-1 of the Act. Class A shares
were first made available to the public on January 20, 1997. Class C shares are
generally subject to a contingent deferred sales charge on redemptions made
within eighteen months of purchase, a distribution fee pursuant to Rule 12b-1 of
the Act and a service fee. Class C shares were first made available to the
public on June 30, 1998.
The following is each Fund's investment objective:
Ascent seeks to provide capital appreciation.
Crossroads seeks to provide total return (i.e., income and capital
appreciation, both realized and unrealized).
Legacy seeks to provide total return consistent with preservation of
capital.
Aeltus Investment Management, Inc., (Aeltus) serves as the Investment Adviser to
each Fund. Prior to February 2, 1998, the Investment Adviser was Aetna Life
Insurance and Annuity Company (ALIAC). Aetna Investment Services, Inc. (AISI)
was the principal underwriter for each Fund through April 30, 1998. On May 1,
1998, Aeltus Capital, Inc. (ACI) became each Fund's principal underwriter.
Aeltus, ALIAC, AISI and ACI are all 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.
A. Valuation of Investments
Investments are stated at market values based upon closing sales prices as
reported on national securities exchanges or, for over-the-counter securities,
at the mean of the bid and asked prices. Short-term investments maturing in more
than sixty days for which market quotations are readily available are valued at
current market value. Short-term investments maturing in less than sixty days
are valued at amortized cost, which when combined with accrued interest,
approximates market value. Securities and fixed income investments for which
market quotations are not considered to be readily available are valued using
methods approved by the Board of Directors.
The accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions. 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.
94
<PAGE>
- --------------------------------------------------------------------------------
2. Summary of Significant Accounting Policies (continued)
B. Futures and Forward Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument including an
index of stocks at a set price on a future date. The Funds 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 financial futures and forward foreign currency
exchange contracts may arise from an imperfect correlation between the change in
market value of the securities held by the Funds and the price of the contracts.
Risks may also arise from an illiquid secondary market or from the inability of
counterparties to meet the terms of the contracts.
Realized and unrealized gains or losses on 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.
C. Illiquid and Restricted Securities
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are those sold under Rule 144A 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.
Each Fund may invest up to 15% of its total assets in illiquid securities.
Illiquid and restricted securities are valued using market quotations when
readily available. In the absence of market quotations, the securities are
valued based upon their fair value determined under procedures approved by the
Board of Directors. The Funds will not pay the costs of disposition of
restricted securities other than ordinary brokerage fees, if any. Below is a
summary of illiquid and restricted securities held as of October 31, 1998:
<TABLE>
<CAPTION>
% of Net
Cost Market Value Assets
---- ------------ ------
<S> <C> <C> <C>
Ascent $172,000 $149,640 0.4%
Crossroads 130,000 113,100 0.3%
Legacy 46,000 40,020 0.2%
</TABLE>
95
<PAGE>
Generation Funds
Notes to Financial Statements (continued)
October 31, 1998
- --------------------------------------------------------------------------------
2. Summary of Significant Accounting Policies (continued)
D. Federal Income Taxes
Each Fund has met the requirements to be taxed as a regulated investment company
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.
E. Distributions
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for foreign currency transactions, certain
futures contracts, certain investments in foreign equity securities and certain
losses deferred due to transactions characterized as "wash sales" by federal 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.
F. Other
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. Investment Advisory, Shareholder Service and Distribution Fees
Each Fund pays Aeltus a monthly advisory fee at an annual rate of 0.80% of its
average daily net assets. As each Fund's net assets exceed predetermined
thresholds, lower advisory fees are applied.
Aeltus has served as the Investment Adviser for all Funds since February 2,
1998. Prior to February 2, 1998, ALIAC served as the Funds' Investment Adviser
and Aeltus served as Sub-Adviser. As Sub-Adviser, Aeltus supervised the
investment and reinvestment of cash and securities and provided certain related
administrative services. For the period November 1, 1997 through February 1,
1998, ALIAC received $112,249 from the Funds, of which it paid $80,286 to
Aeltus.
Effective February 2, 1998, the Company and Aeltus entered into an
Administrative Services Agreement under which Aeltus acts as administrator and
provides certain administrative and shareholder services and is responsible for
the supervision of other service providers for each Fund. Each Fund pays Aeltus
an administrative services fee at an annual rate of 0.10% of its average daily
net assets. Prior to February 2, 1998, ALIAC acted as administrator for each
Fund and was paid an administrative services fee at an annual rate of 0.25% of
each Fund's average daily net assets.
Aeltus has entered into a Service Agreement with 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 February 1, 1998 through October
31, 1998, Aeltus paid ALIAC $288,344.
The Shareholder Services Plan for Class A shares terminated on December 31,
1997. Under the Shareholder Services Plan, AISI was paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class A shares of each
Fund. This fee was used as compensation for expenses incurred in servicing
shareholders' accounts.
The Company has adopted a Shareholder Services Plan for the 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 C shares. This fee is used as
compensation for expenses incurred in servicing shareholders' accounts.
96
<PAGE>
- --------------------------------------------------------------------------------
3. Investment Advisory, Shareholder Service and Distribution Fees (continued)
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for Class A and Class C shares. The Distribution Plan provides for payments to
the principal underwriter at an annual rate of 0.25% (prior to February 2, 1998,
the 12b-1 fee was 0.50%) of the average daily net assets of Class A shares of
each Fund and 0.75% of the average daily net assets of 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 and Class C shares. The
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 Rule 12b-1 fees
incurred by Class A and Class C shares and service fees incurred by Class C
shares.
4. Reimbursement and Waiver From Investment Adviser
Aeltus may, from time to time, make reimbursements to a Fund for some or all of
its operating expenses or it may waive fees. Reimbursement and waiver
arrangements, which may be terminated at any time without notice, will increase
a Fund's yield and total return.
5. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the year ended October 31, 1998 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Ascent $51,643,242 $35,498,885
Crossroads 49,953,117 36,603,496
Legacy 23,530,662 20,284,839
</TABLE>
6. Forward Foreign Currency Exchange Contracts
As of October 31, 1998, Ascent, Crossroads and Legacy had the following open
forward foreign currency exchange contracts that obligate the Funds to deliver
currencies at specified future dates. The Funds' net unrealized loss of
$103,570, $106,540 and $37,256, respectively, on these contracts, are included
in the accompanying financial statements. The terms of the open contracts are as
follows:
<TABLE>
<CAPTION>
Ascent
- ------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1998 be Received October 31, 1998 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Buy
- ----------------
<S> <C> <C> <C> <C> <C>
11/23/98 110,958 $110,958 210,000 $113,033 $2,075
U.S. Dollar Dutch Guilder
- --------------------------------------------------------------------------------------------------------------
11/3/98 24,104 24,104 39,000 23,637 (467)
U.S. Dollar German Deutschemark
- --------------------------------------------------------------------------------------------------------------
2/19/99 31,413 31,413 250,000 32,256 843
U.S. Dollar Hong Kong Dollar
- --------------------------------------------------------------------------------------------------------------
2/19/99 16,216 16,216 130,000 16,773 557
U.S. Dollar Hong Kong Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 20,941 20,941 2,760,000 23,837 2,896
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------------------------------
</TABLE>
97
<PAGE>
Generation Funds
Notes to Financial Statements (continued)
October 31, 1998
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Ascent (continued)
- -----------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1998 be Received October 31, 1998 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Buy (continued)
- ----------------------------
<S> <C> <C> <C> <C> <C>
12/17/98 117,028 $117,028 13,720,000 $118,492 $1,464
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------------------------------
11/24/98 171,769 171,769 1,305,000 177,023 5,254
U.S. Dollar Norwegian Krone
- --------------------------------------------------------------------------------------------------------------
11/2/98 164,097 164,097 220,000 164,033 (64)
U.S. Dollar Swiss Franc
- --------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
11/3/98 428,000 68,224 68,129 68,129 (95)
Danish Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/23/98 419,000 225,528 221,365 221,365 (4,163)
Dutch Guilder U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/16/98 903,000 163,390 160,334 160,334 (3,056)
French Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/21/98 1,643,000 298,029 301,214 301,214 3,185
French Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/3/98 422,000 255,762 239,093 239,093 (16,669)
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/8/98 178,000 108,156 103,064 103,064 (5,092)
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
2/19/99 380,000 49,029 47,637 47,637 (1,392)
Hong Kong Dollar U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/27/98 18,490,000 159,193 130,211 130,211 (28,982)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 42,420,000 366,358 323,077 323,077 (43,281)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 3,050,000 26,341 25,817 25,817 (524)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 7,500,000 64,773 64,616 64,616 (157)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
1/27/99 8,800,000 76,502 75,472 75,472 (1,030)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/24/98 870,000 118,015 111,818 111,818 (6,197)
Norwegian Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/24/98 435,000 59,008 55,051 55,051 (3,957)
Norwegian Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/2/98 203,000 151,357 146,676 146,676 (4,681)
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
</TABLE>
98
<PAGE>
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Ascent (continued)
- -----------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1998 be Received October 31, 1998 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Sell (continued)
- ----------------------------
<S> <C> <C> <C> <C> <C>
11/2/98 17,000 $12,675 12,956 $12,956 $281
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/2/98 220,000 164,615 164,671 164,671 56
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/3/98 540,000 69,502 69,128 69,128 (374)
Swedish Krona U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
($103,570)
==============
<CAPTION>
Crossroads
- ----------
<S> <C> <C> <C> <C> <C>
Contracts to Buy
- ----------------
11/23/98 95,107 95,107 180,000 96,886 1,779
U.S. Dollar Dutch Guilder
- --------------------------------------------------------------------------------------------------------------
2/19/99 28,900 28,900 230,000 29,675 775
U.S. Dollar Hong Kong Dollar
- --------------------------------------------------------------------------------------------------------------
2/19/99 11,226 11,226 90,000 11,612 386
U.S. Dollar Hong Kong Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 81,032 81,032 10,680,000 92,237 11,205
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------------------------------
12/17/98 110,716 110,716 12,980,000 112,101 1,385
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------------------------------
11/24/98 102,667 102,667 780,000 105,807 3,140
U.S. Dollar Norwegian Krone
- --------------------------------------------------------------------------------------------------------------
11/2/98 141,720 141,720 190,000 141,665 (55)
U.S. Dollar Swiss Franc
- --------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
11/3/98 358,000 57,066 56,987 56,987 (79)
Danish Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/23/98 356,000 191,618 188,081 188,081 (3,537)
Dutch Guilder U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/16/98 1,260,000 227,986 223,722 223,722 (4,264)
French Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/21/98 1,223,000 221,844 224,214 224,214 2,370
French Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/3/98 385,000 233,337 218,130 218,130 (15,207)
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
</TABLE>
99
<PAGE>
Generation Funds
Notes to Financial Statements (continued)
October 31, 1998
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Crossroads (continued)
- ----------------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1998 be Received October 31, 1998 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Sell (continued)
- -----------------------------
<S> <C> <C> <C> <C> <C>
12/8/98 181,000 $109,978 104,801 $104,801 ($5,177)
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
2/19/99 320,000 41,288 40,115 40,115 (1,173)
Hong Kong Dollar U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/27/98 32,690,000 281,450 230,211 230,211 (51,239)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 34,110,000 294,589 259,787 259,787 (34,802)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 6,770,000 58,469 58,327 58,327 (142)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
1/27/99 15,620,000 135,790 133,962 133,962 (1,828)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/24/98 520,000 70,538 66,834 66,834 (3,704)
Norwegian Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/24/98 260,000 35,269 32,904 32,904 (2,365)
Norwegian Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/3/98 502,000 64,611 64,263 64,263 (348)
Swedish Krona U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/2/98 173,000 128,989 125,000 125,000 (3,989)
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/2/98 17,000 12,675 12,956 12,956 281
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/2/98 190,000 142,168 142,216 142,216 48
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
($106,540)
==================
<CAPTION>
Legacy
- ------
Contracts to Buy
- ----------------
<S> <C> <C> <C> <C> <C>
11/23/98 42,270 42,270 80,000 43,060 790
U.S. Dollar Dutch Guilder
- --------------------------------------------------------------------------------------------------------------
2/19/99 5,026 5,026 40,000 5,161 135
U.S. Dollar Hong Kong Dollar
- --------------------------------------------------------------------------------------------------------------
2/19/99 8,731 8,731 70,000 9,032 301
U.S. Dollar Hong Kong Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 80,956 80,956 10,670,000 92,151 11,195
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------------------------------
</TABLE>
100
<PAGE>
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Legacy (continued)
- ------------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1998 be Received October 31, 1998 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Buy (continued)
- ----------------------------
<S> <C> <C> <C> <C> <C>
12/17/98 42,137 $42,137 4,940,000 $42,664 $527
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------------------------------
11/24/98 41,462 41,462 315,000 42,730 1,268
U.S. Dollar Norwegian Krone
- --------------------------------------------------------------------------------------------------------------
11/2/98 74,589 74,589 100,000 74,560 (29)
U.S. Dollar Swiss Franc
- --------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
11/3/98 143,000 22,794 22,763 22,763 (31)
Danish Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/23/98 168,000 90,427 88,757 88,757 (1,670)
Dutch Guilder U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/16/98 608,600 110,121 108,061 108,061 (2,060)
French Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/21/98 583,000 105,752 106,882 106,882 1,130
French Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/3/98 180,000 109,093 101,983 101,983 (7,110)
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/8/98 112,000 68,053 64,849 64,849 (3,204)
German Deutschemark U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
2/19/99 110,000 14,193 13,790 13,790 (403)
Hong Kong Dollar U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/27/98 6,540,000 56,307 46,056 46,056 (10,251)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 21,190,000 183,006 161,386 161,386 (21,620)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 3,510,000 30,314 29,711 29,711 (603)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/17/98 1,480,000 12,782 12,751 12,751 (31)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
1/27/99 8,950,000 77,806 76,758 76,758 (1,048)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/24/98 210,000 28,486 26,991 26,991 (1,495)
Norwegian Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/24/98 105,000 14,243 13,288 13,288 (955)
Norwegian Krone U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/3/98 241,000 31,018 30,852 30,852 (166)
Swedish Krona U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
11/2/98 91,000 67,850 65,751 65,751 (2,099)
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
</TABLE>
101
<PAGE>
Generation Funds
Notes to Financial Statements (continued)
October 31, 1998
- --------------------------------------------------------------------------------
6. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Legacy (continued)
- ------------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered October 31, 1998 be Received October 31, 1998 Gain (Loss)
---- ------------ ---------------- ----------- ---------------- -----------
Contracts to Sell (continued)
- -----------------------------
<S> <C> <C> <C> <C> <C>
11/2/98 9,000 $6,711 6,859 $6,859 $148
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
12/2/98 100,000 74,825 74,850 74,850 25
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------------------------------
($37,256)
================
</TABLE>
7. Authorized Capital Shares
The Company is authorized to issue a total of 9.7 billion shares. Of those 9.7
billion, 100 million shares each of Class I, Class A and Class C have been
designated to the Funds listed below. As of October 31, 1998, the following
shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
Class I Class A Class C
------- ------- -------
<S> <C> <C> <C>
Ascent -- -- 8,006
Crossroads -- -- 8,210
Legacy -- -- 9,328
</TABLE>
8. Certain Reclassifications
In accordance with generally accepted accounting principles, the following
reclassifications were made in order to present the Funds' capital accounts on a
tax basis. These reclassifications have no impact on the net asset value of the
Funds.
<TABLE>
<CAPTION>
Accumulated
Undistributed Net Net Realized Gain
Investment Income on Investments
Increase/(Decrease) Increase/(Decrease)
------------------- -------------------
<S> <C> <C>
Ascent $158,868 $(158,868)
Crossroads 149,100 (149,100)
Legacy 90,772 (90,772)
</TABLE>
102
<PAGE>
Generation Funds
Additional Information
October 31, 1998
- --------------------------------------------------------------------------------
Federal Tax Status of Dividends Declared During the Fiscal Year (Unaudited)
In accordance with federal tax authorities, certain portions of the dividends
taxable as ordinary income qualify for the corporate dividends received
deduction. The following percentages reflect the portions of such dividends
paid:
<TABLE>
<CAPTION>
<S> <C>
Ascent 10.19%
Crossroads 9.15%
Legacy 6.81%
</TABLE>
In accordance with federal tax authorities, the Funds paid the following amounts
of dividends which qualify to be taxed at long-term capital gain rates:
<TABLE>
<CAPTION>
<S> <C> <C>
Aggregate Per Share
--------- ---------
Ascent $2,483,415 $1.22
Crossroads 1,849,651 0.80
Legacy 1,404,094 0.89
</TABLE>
Year 2000 (Unaudited)
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 assurances 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.
103
<PAGE>
Generation Funds
Financial Highlights
Ascent
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
January 4, 1995
Year Ended Year Ended Year Ended (Commencement of
October 31, October 31, October 31, Operations)
Class I 1998 1997 1996 to October 31, 1995
- ---------------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ... $ 14.48 $ 12.57 $ 11.67 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income 0.24 0.21 0.21 0.25
Net realized and change in unrealized
gain or loss on investments .......... (0.41) 2.92 2.04 1.42
------- ------- ------- -------
Total from investment operations..... (0.17) 3.13 2.25 1.67
------- ------- ------- -------
Less distributions:
From net investment income............. (0.41) (0.25) (0.38) --
From net realized gains on investments (2.76) (0.97) (0.97) --
------- ------- ------- -------
Total distributions (3.17) (1.22) (1.35) --
------- ------- ------- -------
Net asset value, end of period ......... $ 11.14 $ 14.48 $ 12.57 $ 11.67
======= ======= ======= =======
Total return ........................... (1.90)% 26.59% 20.94% 16.70%
Net assets, end of period (000's) ...... $38,012 $27,359 $25,752 $20,433
Ratio of total expenses to average
net assets ............................ 1.24% 1.52% 1.73% 1.38%(1)
Ratio of net
investment income to average net
assets ................................ 2.00% 1.53% 1.69% 2.80%(1)
Ratio of net expense before
reimbursement and waiver to average
net assets ............................ 1.43% 1.61% -- --
Ratio of net investment income
before reimbursement and waiver to
average net assets .................... 1.81% 1.44% -- --
Portfolio turnover rate................. 105.08% 162.80% 104.84% 164.09%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
104 See Notes to Financial Statements.
<PAGE>
Ascent
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
January 20, 1997
Year Ended (Date of Initial
October 31, Public Offering)
Class A 1998 to October 31, 1997
- ------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 14.42 $ 12.50
------- -------
Income from investment operations:
Net investment income .................... 0.20 0.15
Net realized and change in unrealized gain
or loss on investments .................. (0.40) 1.77
------- -------
Total from investment operations ....... (0.20) 1.92
------- -------
Less distributions:
From net investment income ............... (0.37) --
From net realized gains on investments ... (2.76) --
------- -------
Total distributions .................... (3.13) --
------- -------
Net asset value, end of period ............ $ 11.09 $ 14.42
======= =======
Total return .............................. (2.17)% 15.36%
Net assets, end of period (000's) ......... $ 2,266 $ 886
Ratio of total expenses to average net
assets.................................... 1.53% 2.08%(1)
Ratio of net investment income to average
net assets ............................... 1.71% 1.11%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.72% 2.35%(1)
Ratio of net investment income before
reimbursement and waiver to average net
assets.................................... 1.52% 0.83%(1)
Portfolio turnover rate ................... 105.08% 162.80%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 105
<PAGE>
Generation Funds
Financial Highlights (continued)
Ascent
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
Class C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 12.49
-------
Income from investment operations:
Net investment income ................................. 0.04
Net realized and change in unrealized gain or loss on
investments .......................................... (1.42)
-------
Total from investment operations .................... (1.38)
-------
Net asset value, end of period ......................... $ 11.11
=======
Total return ........................................... (11.05)%
Net assets, end of period (000's) ...................... $ 133
Ratio of total expenses to average net assets .......... 2.23%(1)
Ratio of net investment income to average net assets ... 1.01%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.42%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... 0.82%(1)
Portfolio turnover rate ................................ 105.08%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
106 See Notes to Financial Statements.
<PAGE>
Crossroads
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
January 4, 1995
Year Ended Year Ended Year Ended (Commencement of
October 31, October 31, October 31, Operations)
Class I 1998 1997 1996 to October 31, 1995
- ---------------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 13.29 $ 12.16 $ 11.53 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income 0.31 0.27 0.25 0.29
Net realized and change in unrealized
gain or loss on investments ............. (0.37) 2.16 1.64 1.24
------- ------- ------- -------
Total from investment operations........ (0.06) 2.43 1.89 1.53
------- ------- ------- -------
Less distributions:
From net investment income................ (0.45) (0.30) (0.44) --
From net realized gains on investments ... (1.70) (1.00) (0.82) --
------- ------- ------- -------
Total distributions..................... (2.15) (1.30) (1.26) --
------- ------- ------- -------
Net asset value, end of period ............ $ 11.08 $ 13.29 $ 12.16 $ 11.53
======= ======= ======= =======
Total return .............................. (0.87)% 21.65% 17.66% 15.30%
Net assets, end of period (000's) ......... $37,620 $26,028 $22,947 $20,370
Ratio of total expenses to average
net assets ............................... 1.24% 1.57% 1.74% 1.40%(1)
Ratio of net investment income to
average net assets ....................... 2.61% 2.13% 2.18% 3.26%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.40% 1.66% -- --
Ratio of net investment income before
reimbursement and waiver to average
net assets ............................... 2.45% 2.05% -- --
Portfolio turnover rate.................... 115.65% 161.75% 107.40% 166.93%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 107
<PAGE>
Generation Funds
Financial Highlights (continued)
Crossroads
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
January 20, 1997
Year Ended (Date of Initial
October 31, Public Offering)
Class A 1998 to October 31, 1997
- ------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 13.22 $ 11.67
------- -------
Income from investment operations:
Net investment income .................... 0.27 0.30
Net realized and change in unrealized gain
or loss on investments .................. (0.37) 1.25
------- -------
Total from investment operations ....... (0.10) 1.55
------- -------
Less distributions:
From net investment income ............... (0.41) --
From net realized gains on investments ... (1.70) --
------- -------
Total distributions .................... (2.11) --
------- -------
Net asset value, end of period ............ $ 11.01 $ 13.22
======= =======
Total return .............................. (1.17)% 13.28%
Net assets, end of period (000's) ......... $ 2,105 $ 547
Ratio of total expenses to average net
assets.................................... 1.52% 2.11%(1)
Ratio of net investment income to average
net assets ............................... 2.33% 1.64%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.68% 2.41%(1)
Ratio of net investment income before
reimbursement and waiver to average net
assets.................................... 2.17% 1.34%(1)
Portfolio turnover rate ................... 115.65% 161.75%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
108 See Notes to Financial Statements.
<PAGE>
Crossroads
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
Class C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 12.18
-------
Income from investment operations:
Net investment income ................................. 0.06
Net realized and change in unrealized gain or loss on
investments............................................ (1.20)
-------
Total from investment operations .................... (1.14)
-------
Net asset value, end of period ......................... $ 11.04
=======
Total return ........................................... (9.36)%
Net assets, end of period (000's) ...................... $ 158
Ratio of total expenses to average net assets .......... 2.24%(1)
Ratio of net investment income to average net assets ... 1.61%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.40%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... 1.45%(1)
Portfolio turnover rate ................................ 115.65%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 109
<PAGE>
Generation Funds
Financial Highlights (continued)
Legacy
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
January 4, 1995
Year Ended Year Ended Year Ended (Commencement of
October 31, October 31, October 31, Operations)
Class I 1998 1997 1996 to October 31, 1995
- ---------------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 12.15 $ 11.64 $ 11.41 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income .................... 0.35 0.32 0.29 0.33
Net realized and change in unrealized
gain or loss on investments ............. (0.07) 1.41 1.20 1.08
------- ------- ------- -------
Total from investment operations........ 0.28 1.73 1.49 1.41
------- ------- ------- -------
Less distributions:
From net investment income ............... (0.60) (0.33) (0.50) --
From net realized gains on investments ... (1.62) (0.89) (0.76) --
------- ------- ------- -------
Total distributions .................... (2.22) (1.22) (1.26) --
------- ------- ------- -------
Net asset value, end of period ............ $ 10.21 $ 12.15 $ 11.64 $ 11.41
======= ======= ======= =======
Total return .............................. 2.51% 15.94% 14.11% 14.10%
Net assets, end of period (000's) ......... $22,352 $18,313 $22,326 $19,651
Ratio of total expenses to average
net assets ............................... 1.24% 1.63% 1.73% 1.42%(1)
Ratio of net investment income to
average net assets ....................... 3.26% 2.77% 2.62% 3.75%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.67% 1.75% -- --
Ratio of net investment income before
reimbursement and waiver to average
net assets ............................... 2.83% 2.65% -- --
Portfolio turnover rate.................... 115.12% 158.71% 91.62% 179.88%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
110 See Notes to Financial Statements.
<PAGE>
Legacy
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
January 20, 1997
Year Ended (Date of Initial
October 31, Public Offering)
Class A 1998 to October 31, 1997
- ------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 12.09 $ 11.01
------- -------
Income from investment operations:
Net investment income .................... 0.31 0.29
Net realized and change in unrealized gain
or loss on investments .................. (0.06) 0.79
------- -------
Total from investment operations ....... 0.25 1.08
------- -------
Less Distributions:
From net investment income ............... (0.57) --
From net realized gains on investments ... (1.62) --
------- -------
Total distributions .................... (2.19) --
------- -------
Net asset value, end of period ............ $ 10.15 $ 12.09
======= =======
Total return .............................. 2.29% 9.81%
Net assets, end of period (000's) ......... $ 1,812 $ 481
Ratio of total expenses to average net
assets.................................... 1.53% 2.21%(1)
Ratio of net investment income to average
net assets ............................... 2.97% 2.39%(1)
Ratio of net expense before reimbursement
and waiver to average net assets ......... 1.96% 2.50%(1)
Ratio of net investment income before
reimbursement and waiver to average net
assets.................................... 2.54% 2.10%(1)
Portfolio turnover rate ................... 115.12% 158.71%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 111
<PAGE>
Generation Funds
Financial Highlights (continued)
Legacy
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Period From
June 30, 1998
(Date of Initial
Public Offering)
Class C to October 31, 1998
- -------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.72
-------
Income from investment operations:
Net investment income ................................. 0.08
Net realized and change in unrealized gain or loss on
investments........................................... (0.62)
-------
Total from investment operations .................... (0.54)
-------
Net asset value, end of period ......................... $ 10.18
=======
Total return ........................................... (5.04)%
Net assets, end of period (000's) ...................... $ 171
Ratio of total expenses to average net assets .......... 2.24%(1)
Ratio of net investment income to average net assets ... 2.26%(1)
Ratio of net expense before reimbursement and waiver to
average net assets .................................... 2.67%(1)
Ratio of net investment income before reimbursement and
waiver to average net assets .......................... 1.83%(1)
Portfolio turnover rate ................................ 115.12%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
112 See Notes to Financial Statements.
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders
Aetna Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of Aetna
Ascent Fund, Aetna Crossroads Fund and Aetna Legacy Fund, portfolios of Aetna
Series Fund, Inc. (collectively the Generation Funds), including the portfolios
of investments as of October 31, 1998, and the related statements of operations
for the year then ended, and the statements of changes in net assets for each of
the years in the two-year period then ended and financial highlights for Class I
shares for each of the years in the three-year period then ended and the period
from January 4, 1995 (commencement of operations) to October 31, 1995, financial
highlights for Class A shares for the year ended October 31, 1998 and the period
from January 20, 1997 (date of initial public offering) to October 31, 1997, and
financial highlights for Class C shares from June 30, 1998 (date of initial
public offering) to October 31, 1998. These financial statements and financial
highlights are the responsibility of the Generation Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1998 by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Generation Funds as of October 31, 1998, results of their operations for the
year then ended, changes in their net assets for each of the years in the
two-year period then ended and financial highlights for the years and periods
specified in the first paragraph above in conformity with generally accepted
accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
December 11, 1998
113
