<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter..................................................... 1
GENERATION FUNDS:
Investment Review...................................................... 3
Portfolios of Investments:
Aetna Ascent Fund..................................................... 8
Aetna Crossroads Fund................................................. 15
Aetna Legacy Fund..................................................... 22
Statements of Assets and Liabilities................................... 29
Statements of Operations............................................... 31
Statements of Changes in Net Assets.................................... 32
Notes to Financial Statements.......................................... 38
Additional Information................................................. 45
Financial Highlights................................................... 46
</TABLE>
<PAGE>
PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in the Aetna Series Funds. We are pleased to provide you
with this Semi-Annual Report on the funds you have chosen to help pursue your
investment goals. Please note that the format has been changed from two reports
that combined all of our different investment categories to five individual
reports: Capital Appreciation, Growth & Income, Income, Index Plus and
Generations. These reports will provide detailed information on the performance
of your funds.
The financial market environment has changed dramatically since you received the
last Aetna Series Fund Annual Report. At October 31, 1998, there prevailed an
atmosphere of deep anxiety as the immediately preceding 12-month period had been
marked by high market volatility, default on Russian debts and the collapse of a
prominent U.S. hedge fund. Confidence in the global economic outlook was shaken,
which culminated in a sharp sell-off in U.S. and global stock markets.
Today, those fears seem misplaced. With the U.S. economy contributing its
remarkable combination of robust growth and negligible inflation, the global
economic and financial picture is on the mend. U.S. and foreign stock markets
have rebounded, risk premiums are shrinking and capital is once again flowing to
emerging markets. Within the U.S., small- and mid-cap stocks have begun to
participate more meaningfully in the ongoing bull market as improvement in
corporate earnings has broadened out to more cyclically sensitive businesses.
Credit spreads have diminished for lower-rated debt securities and the REIT
sector has shown signs of improvement. The S&P 500 Index and the Dow Jones
Industrial Average ("the Dow") both finished 1998 with double-digit returns -
the fourth year in a row. The Dow, which has a more cyclical bias than the S&P
500 Index, managed to reach an unprecedented 10,000 by the end of March and
closed at 10,789 on April 30, 1999! Of course, there is no guaranty that the
markets will continue to reflect this trend.
I am pleased to report that at Aetna Series Fund, Inc. and Aeltus Investment
Management, Inc., we have continued to work to further improve our products and
services:
CLASS "B" SHARES WERE INTRODUCED on March 1. This new class of shares has a
back-end load contingent on redemption rather than a front-end load. It was
designed for the mid- to longer-term investor, making it particularly
attractive for investing in our enhanced index funds.
AETNA INDEX PLUS LARGE CAP FUND AND AETNA INDEX PLUS MID CAP FUND
outperformed their benchmarks for the one-year period ending April 30,
1999.
NEW SIMPLIFIED PROSPECTUSES were introduced on March 1. Plain English
wording and clear graphics make them truly "user-friendly." We recommend
that you keep them with your other Aetna Series Fund records.
COMPUTER SYSTEMS INITIATIVES, specifically year 2000 dating issues, have
remained a high priority. We have completed remediation and plan to
complete testing all of Aeltus' relevant computer systems by mid-1999. In
addition, on January 1, we successfully converted our operating systems to
accept the new Euro currency, the new standard monetary unit of the eleven
countries that comprise the European Monetary Union.
With more than $50 billion in assets under management, Aeltus Investment
Management, Inc., investment adviser to the Aetna Series Funds, continues to
rank among the largest of investment management firms. This kind of size and
market presence is important to you as an investor as it gives us the ability to
continue to bring you competitive product offerings as well as quality customer
service.
We appreciate the continued confidence you have placed in us and look forward to
an ongoing and mutually prosperous relationship.
Sincerely,
/s/ J. Scott Fox
- ----------------
J. Scott Fox
President
Aetna Series Fund, Inc.
1
<PAGE>
AETNA ASCENT FUND
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Ascent Russell Aetna
Ascent Fund 3000 Composite
(Class I) Index Index
<S> <C> <C> <C>
Jan-95 10,000 10,000 10,000
10,286 10,901 10,572
11,010 11,927 11,221
11,850 13,001 11,811
Dec-95 12,362 13,680 12,293
12,766 14,428 12,655
13,350 15,030 13,043
14,024 15,473 13,429
Oct-96 14,114 15,757 13,592
15,510 17,587 14,558
15,337 15,802 13,472
17,744 18,961 15,325
Oct-97 17,868 18,578 15,283
18,225 19,778 15,800
19,822 22,462 16,890
18,930 22,238 16,535
Oct-98 17,528 21,642 15,960
19,184 25,254 17,009
Apr-99 19,792 26,393 17,642
</TABLE>
AETNA CROSSROADS FUND
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Salomon Crossroads
Crossroads Fund Broad Composite
(Class I) Index Index
<S> <C> <C> <C>
Jan-95 10,000 10,000 10,000
10,289 10,506 10,562
10,930 11,150 11,182
11,670 13,362 11,662
Dec-95 12,105 11,855 12,122
12,428 11,649 12,354
12,875 11,706 12,659
13,444 11,924 13,002
Oct-96 13,566 12,192 13,179
14,566 12,331 13,901
14,492 12,255 13,100
16,318 12,857 14,572
Oct-97 16,504 13,119 14,629
16,919 13,487 15,069
18,075 13,600 15,888
17,495 13,872 15,573
Oct-98 16,360 14,352 15,472
17,599 14,583 16,281
Apr-99 18,044 14,457 16,706
</TABLE>
AETNA LEGACY FUND
Growth of $10,000
<TABLE>
<CAPTION>
Aetna Salomon Legacy
Legacy Fund Broad Composite
(Class I) Index Index
<S> <C> <C> <C>
Jan-95 10,000 10,000 10,000
10,303 10,506 10,551
10,870 11,150 11,143
11,489 11,362 11,513
Dec-95 11,889 11,855 11,953
12,102 11,649 12,059
12,471 11,706 12,283
12,863 11,924 12,584
Oct-96 13,019 12,192 12,776
13,728 12,331 13,270
13,678 12,255 12,735
15,020 12,857 13,851
Oct-97 15,095 13,119 13,993
15,427 13,487 14,364
16,251 13,600 14,932
16,050 13,872 14,814
Oct-98 15,474 14,352 14,967
16,379 14,583 15,551
Apr-99 16,664 14,457 15,784
</TABLE>
See Definition of Terms. 3
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Average Annual Total Returns
for the period ended April 30, 1999*
- -----------------------------------------------------------------------
Ascent Crossroads Legacy
- -----------------------------------------------------------------------
1 Year Inception 1 Year Inception 1 Year Inception
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Class I -0.15% 17.13% -0.17% 14.65% 2.53% 12.55%
- -----------------------------------------------------------------------
Class A:
POP (1) -6.22% 14.89% -6.15% 12.45% -3.53% 10.41%
NAV (2) -0.50% 16.47% -0.42% 14.00% 2.36% 11.94%
- -----------------------------------------------------------------------
Class B:
w/CDSC (3) -6.09% 15.67% -6.14% 13.19% -3.43% 11.12%
NAV -1.15% 15.96% -1.20% 13.50% 1.57% 11.45%
- -----------------------------------------------------------------------
Class C:
w/CDSC (4) -2.09% 15.96% -2.14% 13.50% 0.60% 11.45%
NAV -1.13% 15.96% -1.18% 13.50% 1.58% 11.45%
- -----------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (01/04/95), adjusted for fees and expenses charged to
the appropriate class. Class I, Class A, Class B and Class C shares participate
in the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
The Ascent Fund has added the Russell 3000 Index as the primary benchmark.
Ascent is the most aggressive of the Generation Funds with a larger allocation
to equities. The Russell 3000 is a broad-based equity index which includes large
cap, mid cap, small cap and REIT securities which are reflective of the domestic
equity allocation of the Fund.
The Crossroads Fund and Legacy Fund have added the Salomon Smith Barney Broad
Investment Grade Bond (Salomon Broad) Index as the primary benchmark. Crossroads
and Legacy are the more conservative of the Generation Funds with a larger
allocation to fixed income securities. The Salomon Broad Index is a broad-based
bond index which is reflective of the domestic bond allocation of the Funds.
The secondary benchmarks for the Funds are the composite benchmarks which are
made up of seven asset class indices. The composite benchmark may serve as a
better comparison for the Fund because it is more representative of the actual
securities and allocations of the Funds.
AETNA GENERATION FUNDS
HOW DID THE FUND PERFORM DURING THE PERIOD?
For the six month period ended April 30, 1999, the performance for the
Generation Funds (Ascent, Crossroads and Legacy) and their respective benchmarks
and composite indices are listed below. The Composite 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 COMPOSITE INDEX
GENERATION FUND CLASS I BENCHMARK INDEX RETURN RETURN
<S> <C> <C> <C> <C>
Ascent 12.91% Russell 3000 (a) 21.96% 10.53%
Crossroads 10.31% Salomon Broad (b) 0.73% 7.98%
Legacy 7.69% Salomon Broad (b) 0.73% 5.46%
</TABLE>
4 See Definition of Terms.
<PAGE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
Serving as a backdrop for each of the Generation Funds' performance are the
returns for the various indices for each of the asset classes among which the
Generation Funds allocate investments (shown below) for the six month period
ended April 30, 1999.
<TABLE>
<CAPTION>
ASSET CLASS BENCHMARK INDEX INDEX RETURN
<S> <C> <C>
Large Company Stocks S&P 500 (c) 22.32%
Small/Mid Company Stocks Russell 2500 (d) 15.53%
International Stocks MSCI EAFE (e) 15.44%
Real Estate Stocks NAREIT (f) 2.01%
Domestic Bonds Salomon Broad (b) 0.73%
International Bonds S.B. Non-U.S. WGBI (g) -4.30%
Cash Equivalents U.S. 90 Day T-Bill (h) 2.21%
</TABLE>
WHAT INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST SIX MONTHS?
The following exhibits show the progression of asset allocation for each of the
three Generation Funds.
<TABLE>
<CAPTION>
ASSET ALLOCATION: % OF
INVESTMENT NOTIONAL VALUE* ECONOMIC EXPOSURE*
ASSET CLASS 04/30/99 OF FUTURES 04/30/99 10/31/98 BENCHMARK RANGE
<S> <C> <C> <C> <C> <C> <C>
ASCENT
- ------
Large Cap Stocks 38% -- 38% 18% 20% 0-60%
Small/Mid Cap Stocks 16% (8)% 8% 26% 20% 0-40%
International Stocks 10% -- 10% 14% 20% 0-40%
International Bonds -- 1% 1% -- 10% 0-20%
Real Estate Stocks 28% -- 28% 35% 20% 0-40%
Fixed Income 6% -- 6% 5% 10% 0-30%
Cash Equivalents 2% 7% 9% 2% -- 0-30%
--------------------------------------------------------------------------
100% -- 100% 100% 100%
================================================================
CROSSROADS
- ----------
Large Cap Stocks 28% -- 28% 14% 15% 0-45%
Small/Mid Cap Stocks 13% (7)% 6% 20% 15% 0-30%
International Stocks 10% 1% 11% 12% 15% 0-30%
International Bonds 2% 1% 3% 3% 10% 0-20%
Real Estate Stocks 23% -- 23% 26% 15% 0-30%
Fixed Income 19% -- 19% 15% 25% 0-70%
Cash Equivalents 5% 5% 10% 10% 5% 0-30%
--------------------------------------------------------------------------
100% -- 100% 100% 100%
================================================================
LEGACY
- ------
Large Cap Stocks 19% -- 19% 9% 10% 0-30%
Small/Mid Cap Stocks 9% (4)% 5% 13% 10% 0-20%
International Stocks 8% -- 8% 10% 10% 0-20%
International Bonds 4% 2% 6% 5% 10% 0-20%
Real Estate Stocks 14% -- 14% 17% 10% 0-20%
Fixed Income 35% -- 35% 26% 40% 0-100%
Cash Equivalents 11% 2% 13% 20% 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.
See Definition of Terms. 5
<PAGE>
In general, allocations to small cap stocks have been significantly reduced over
the last three months primarily in response to unusually wide credit spreads.
Historically, a widening credit spread (the yield difference between A-rated
corporate and U.S. Treasury bonds) is a sign of investor nervousness; our
research has shown that small cap stocks tend to underperform in this
environment. We remain overweight in REITs due to their high dividend yields
(over 7%), their high total return potential (over 15% assuming a conservative
dividend growth rate of 8%) and their risk-reducing characteristics
(low/negative correlation to most other asset classes).
Small cap stocks and other diversifying equity asset classes remain inexpensive
relative to the favored large cap growth stocks which have skyrocketed to
astronomical prices. We will be watching for a narrowing of credit spreads and
other indications that conditions are more favorable for resuming a more
diversified asset class structure.
Overall, our asset allocation decisions had a neutral impact on performance. We
credit the Generation Funds outperformance compared to their respective
composite indices primarily to excellent stock selection results.
WHAT IS YOUR OUTLOOK GOING FORWARD?
We continue to believe that diversification and value investing work well over
the long-term. We therefore believe that the divergence of performance between
large cap U.S. stocks and other equity classes and between growth stocks and
value stocks will reverse. It appears that this reversal may have begun. Asset
class returns for the month of April show that the S&P 500 Index trailed all
other major equity asset classes. In addition, April also marked the beginning
of what seems to be a rotation out of growth stocks and into value stocks. In
the near-term, we expect an increased level of volatility as a result of this
reversal, but we remain confident that the Funds are well positioned to benefit
from these trends.
The opinions expressed reflect those of the portfolio manager only through April
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
6 See Definition of Terms.
<PAGE>
DEFINITION OF TERMS
(1) On February 2, 1998, the Funds redesignated Adviser Class shares as Class A
shares. For periods prior to that date, Class A performance is calculated
by using the performance of Class I shares and deducting the Class A
front-end load and internal fees and expenses applicable to the Class A
shares. The maximum load for the Funds is 5.75%. The POP (public offering
price) returns reflect this maximum load.
(2) NAV (net asset value) returns are net of Fund expenses only and do not
reflect the deduction of a front-end load or contingent deferred sales
charges. This charge, if reflected, would reduce the performance results
shown.
(3) The Funds began offering Class B shares on March 1, 1999. For periods prior
to that date, Class B performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class B shares. Class B share returns with CDSC (contingent deferred
sales charge) reflect the deduction of a maximum CDSC, assuming full
redemption at the end of the period. The CDSC applies for all shares
redeemed prior to the end of the first six years of ownership. The CDSC
charges are as follows: Year 1 - 5%, Year 2 - 4%, Year 3 - 3%, Year 4 - 3%,
Year 5 - 2%, Year 6 - 1%.
(4) The Funds began offering Class C shares on June 30, 1998. For periods prior
to that date, Class C performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class C shares. Class C share returns for periods less than 18 months
reflect the deduction of the contingent deferred sales charge of 1%.
(a) The Russell 3000 Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.
(b) Salomon Smith Barney Broad Investment-Grade Bond (Salomon Broad) Index is
an unmanaged, market-weighted index that contains approximately 4,700
individually priced investment-grade bonds rated BBB or better. The index
includes U.S. Treasury/Agency issues, mortgage pass-through securities, and
corporate issues.
(c) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(d) The Russell 2500 Index consists of the smallest 500 securities in the
Russell 1000 Index and all 2,000 securities in the Russell 2000 Index. Each
of these indices assumes reinvestment of all dividends and is unmanaged.
(e) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) is a market value-weighted average of the performance of more
than 900 securities listed on the stock exchanges of countries in Europe,
Australia and the Far East. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
(f) The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(g) 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.
(h) Three-month Treasury bills are backed by full faith and credit of the U.S.
Government, short-term investments are equivalent to cash because their
maturity is only three months.
These are unmanaged indices and are not available for individual investment.
7
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
ASCENT
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS ( 92.2% )
UNITED STATES ( 81.8% )
AIR TRANSPORT ( 0.6% )
Alaska Air Group, Inc. + ................ 400 $ 17,625
Continental Airlines, Inc. + ............ 100 4,319
Delta Air Lines, Inc. ................... 4,500 285,469
UAL Corp. + ............................. 250 20,187
-----------
327,600
-----------
AUTO PARTS AND HARDWARE ( 0.7% )
Black & Decker Corp. .................... 2,500 141,875
Cooper Tire & Rubber Co. ................ 10,100 221,569
-----------
363,444
-----------
AUTOMOTIVE ( 0.4% )
Ford Motor Co. .......................... 3,500 223,781
-----------
BANKS AND THRIFTS ( 3.7% )
Chase Manhattan Corp. ................... 4,800 397,200
Dime Bancorp, Inc. ...................... 400 9,225
Golden State Bancorp, Inc. .............. 7,300 179,306
Golden West Financial Corp. ............. 1,700 170,213
J.P. Morgan & Co. ....................... 2,600 350,350
Republic New York Corp. ................. 4,800 282,000
Washington Mutual, Inc. ................. 14,600 600,425
-----------
1,988,719
-----------
BIOTECH AND MEDICAL PRODUCTS ( 2.9% )
Alpharma, Inc. ++ ....................... 5,700 168,150
Amgen, Inc. + ........................... 4,600 282,612
Bio-Rad Labs, Inc. + .................... 3,900 109,200
Genentech, Inc. + ....................... 300 25,388
Guidant Corp. ........................... 800 42,950
Hanger Orthopedic Group, Inc. + ......... 5,700 83,362
MedImmune, Inc. + ....................... 1,900 104,737
Ocular Sciences, Inc. + ................. 2,900 88,450
OEC Medical Systems, Inc. + ............. 11,700 277,144
Osteotech, Inc. + ....................... 3,150 113,794
VISX, Inc. + ............................ 2,000 257,500
Xomed Surgical Products, Inc. + ......... 400 16,650
-----------
1,569,937
-----------
CHEMICALS ( 0.2% )
Union Carbide Corp. ..................... 1,800 93,375
-----------
COMMERCIAL SERVICES ( 0.7% )
Bowne & Co., Inc. ....................... 1,800 33,750
CDI Corp. + ............................. 900 23,906
Franklin Covey Co. + .................... 5,000 48,438
Galileo International, Inc. ............. 200 9,800
Modis Professional Services + ........... 1,300 15,031
Valassis Communications, Inc. + ......... 2,700 151,200
World Color Press, Inc. + ............... 2,900 74,131
-----------
356,256
-----------
COMPUTERS ( 2.4% )
Apple Computer, Inc. + .................. 8,800 404,800
Hewlett Packard Co. ..................... 6,100 481,137
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS (CONTINUED)
International Business Machines Corp. ... 1,000 $ 209,188
Melita International Corp. + ............ 7,900 97,763
Unisys Corp. + .......................... 2,300 72,306
-----------
1,265,194
-----------
CONGLOMERATE AND AEROSPACE ( 1.6% )
Boeing Co. .............................. 9,000 365,625
Cordant Technologies, Inc. .............. 700 32,288
Ducommun, Inc. + ........................ 3,500 39,812
General Electric Co. .................... 304 32,072
Goodrich (B. F.) Co. .................... 3,300 131,175
Loews Corp. ............................. 1,200 87,825
Northrop Grumman Corp. .................. 2,900 185,419
-----------
874,216
-----------
CONSUMER FINANCE ( 1.0% )
Countrywide Credit Industries, Inc. ..... 7,100 321,719
Crescent Operating, Inc. + .............. 300 1,181
Federal Home Loan Mortgage Corp. ........ 2,700 169,425
Federal National Mortgage Association ... 300 21,281
-----------
513,606
-----------
CONSUMER PRODUCTS ( 0.8% )
Blyth Industries, Inc. + ................ 300 6,825
Church & Dwight Co., Inc. ............... 500 21,406
Procter & Gamble Co. .................... 4,100 384,632
-----------
412,863
-----------
CONSUMER SERVICES ( 3.1% )
Extended Stay America, Inc. + ........... 26,700 280,350
Foodmaker, Inc. + ....................... 8,000 193,000
H & R Block, Inc. ....................... 4,200 202,125
Harrah's Entertainment, Inc. + .......... 2,900 63,800
Lakes Gaming, Inc. + .................... 2,775 26,709
Marriott International, Inc. ............ 4,600 192,625
National R.V. Holdings, Inc. + .......... 10,750 278,156
Park Place Entertainment Corp. + ........ 11,500 124,344
Promus Hotel Corp. + .................... 292 10,512
Sonic Corp. + ........................... 8,450 237,656
Tricon Global Restaurants, Inc. + ....... 1,100 70,813
-----------
1,680,090
-----------
CONSUMER SPECIALTIES ( 0.7% )
Brunswick Corp. ......................... 5,000 120,000
Russ Berrie & Co., Inc. ................. 1,800 48,938
THQ, Inc. + ............................. 7,000 183,750
-----------
352,688
-----------
DATA AND IMAGING SERVICES ( 4.7% )
Adobe Systems, Inc. ..................... 5,200 329,550
America Online, Inc. .................... 1,800 256,950
BMC Software, Inc. + .................... 4,000 172,250
Computer Associates International, Inc. . 8,400 358,575
Electronic Data Systems Corp. ........... 400 21,500
Electronics for Imaging, Inc. + ......... 500 23,656
Globix Corp. ............................ 300 14,063
</TABLE>
8 See Notes to Portfolio Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
Great Plains Software, Inc. + ........... 400 $ 12,225
Mercury Interactive Corp. + ............. 600 16,913
Microsoft Corp. + ....................... 9,400 764,337
Oracle Corp. + .......................... 10,050 271,978
Progress Software Corp. + ............... 3,300 75,075
Remedy Corp. + .......................... 2,000 35,000
Seagate Technology, Inc. + .............. 3,300 91,987
Symantec Corp. + ........................ 800 15,900
Xircom, Inc. + .......................... 2,500 56,250
-----------
2,516,209
-----------
DISCRETIONARY RETAIL ( 3.7% )
Abercrombie & Fitch Co. + ............... 1,200 114,150
American Eagle Outfitters, Inc. + ....... 5,575 416,731
Cato Corp. (The) ........................ 11,400 128,250
CDW Computer Centers, Inc. + ............ 300 26,850
Dayton Hudson Co. ....................... 900 60,581
Federated Department Stores, Inc. + ..... 7,300 340,819
Footstar, Inc. + ........................ 500 16,906
Gap, Inc. ............................... 2,000 133,125
Global DirectMail Corp. + ............... 2,900 44,225
Home Depot, Inc. ........................ 1,100 65,931
Kohl's Corp. + .......................... 400 26,575
Lowe's Co., Inc. ........................ 3,200 168,800
Musicland Stores Corp. + ................ 8,800 95,700
Tandy Corp. ............................. 600 43,463
TJX Companies, Inc. ..................... 6,000 199,875
Zale Corp. + ............................ 3,500 132,344
-----------
2,014,325
-----------
DIVERSIFIED FINANCIAL SERVICES ( 1.2% )
Citigroup Inc. .......................... 4,900 368,725
Providian Financial Corp. ............... 1,750 225,859
Trammell Crow Co. + ..................... 1,800 32,400
-----------
626,984
-----------
DRUGS ( 2.3% )
Abbott Laboratories ..................... 2,900 140,469
Allergan, Inc. .......................... 100 8,988
Bristol-Myers Squibb Co. ................ 7,300 464,006
Dura Pharmaceuticals, Inc. + ............ 3,000 36,000
Johnson & Johnson ....................... 3,400 331,500
Merck & Co., Inc. ....................... 2,200 154,550
Pfizer, Inc. ............................ 1,000 115,062
-----------
1,250,575
-----------
ELECTRIC UTILITIES ( 0.7% )
DTE Energy Co. .......................... 500 20,406
Florida Progress Corp. .................. 400 15,400
GPU, Inc. ............................... 3,000 114,375
Niagara Mohawk Holdings Inc. + .......... 6,100 81,588
PG&E Corp. .............................. 4,500 139,781
-----------
371,550
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- ------------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.4% )
Rockwell International Corp. ............ 4,000 $ 206,500
-----------
ELECTRONIC MEDIA ( 2.0% )
CBS Corp. + ............................. 10,300 469,294
Chris-Craft Industries, Inc. + .......... 618 29,046
Emmis Communications Corp. + ............ 900 40,500
International Speedway Corp. ............ 1,200 61,800
King World Production, Inc. + ........... 8,781 309,530
Pixar, Inc. + ........................... 400 16,600
Viacom, Inc. + .......................... 4,300 175,762
-----------
1,102,532
-----------
FOOD AND BEVERAGE ( 0.9% )
IBP, Inc. ............................... 1,301 26,334
J & J Snack Foods Corp. + ............... 5,100 110,925
M & F Worldwide Corp. + ................. 17,000 138,125
Michael Foods, Inc. ..................... 1,000 22,875
Quaker Oats Co. ......................... 3,100 200,144
Suiza Foods Corp. + ..................... 100 3,756
-----------
502,159
-----------
FOOD AND DRUG RETAIL ( 1.0% )
Safeway, Inc. + ......................... 6,500 350,594
SUPERVALU, Inc. ......................... 10,000 208,750
-----------
559,344
-----------
FOREST PRODUCTS AND BUILDING MATERIALS ( 1.4% )
Ball Corp. .............................. 100 5,494
Boise Cascade Corp. ..................... 3,100 124,775
Centex Construction Products, Inc. ...... 900 31,838
Georgia-Pacific Group ................... 2,100 194,250
Georgia-Pacific Corp. (Timber Group) .... 1,300 33,475
Lafarge Corp. ........................... 800 27,050
Lone Star Industries, Inc. .............. 3,500 124,906
Southdown, Inc. ......................... 500 32,031
Texas Industries, Inc. .................. 4,900 151,287
USG Corp. ............................... 400 23,350
Willamette Industries, Inc. ............. 100 4,675
-----------
753,131
-----------
GAS UTILITIES ( 0.5% )
Eastern Enterprises ..................... 2,600 93,437
Energen Corp. ........................... 6,600 113,850
KN Energy, Inc. ......................... 700 14,438
Sempra Energy ........................... 2,255 46,791
-----------
268,516
-----------
HEALTH SERVICES ( 0.8% )
Lincare Holdings Inc. + ................. 1,500 44,438
United Healthcare Corp. ................. 6,600 370,425
-----------
414,863
-----------
HOUSING AND FURNISHINGS ( 1.4% )
Centex Corp. ............................ 1,800 65,813
Kaufman & Broad Home Corp. .............. 1,600 38,900
Lennar Corp. ............................ 3,100 74,981
</TABLE>
See Notes to Portfolio of Investments. 9
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
ASCENT (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
HOUSING AND FURNISHINGS (CONTINUED)
MDC Holdings, Inc. ...................... 10,600 $ 208,025
Pulte Corp. ............................. 800 18,100
Ryland Group, Inc. ...................... 6,900 181,125
Winsloew Furniture, Inc. + .............. 5,600 174,300
-----------
761,244
-----------
INDUSTRIAL SERVICES ( 0.1% )
Dames & Moore Group ..................... 2,900 34,075
Modtech, Inc. + ......................... 425 3,772
Reckson Service Industries, Inc. + ...... 432 5,292
-----------
43,139
-----------
INSURANCE ( 1.6% )
Allstate Corp. (The) .................... 3,500 127,312
American General Corp. .................. 2,800 207,200
Conseco, Inc. ........................... 1,300 41,031
Lincoln National Corp. .................. 3,500 336,219
Marsh & McLennan Co., Inc. .............. 1,600 122,500
MGIC Investment Corp. ................... 1,000 48,563
-----------
882,825
-----------
INVESTMENT SERVICES ( 0.4% )
Bear Stearns Co., Inc. (The) ............ 3,000 139,875
Lehman Brothers Holdings Inc. ........... 1,000 55,563
-----------
195,438
-----------
MAJOR TELECOMMUNICATIONS ( 1.7% )
Bell Atlantic Corp. ..................... 3,300 190,162
BellSouth Corp. ......................... 10,700 478,825
Century Telephone Enterprises, Inc. ..... 350 14,088
Sprint Corp. ............................ 2,500 256,406
-----------
939,481
-----------
OIL ( 1.3% )
Ashland Oil, Inc. ....................... 2,100 88,725
Belco Oil & Gas Corp. ................... 11,900 90,737
Penn Virginia Corp. ..................... 6,200 122,450
Sunoco Inc. ............................. 5,300 189,475
Tesoro Petroleum Corp. + ................ 17,500 197,969
Ultramar Diamond Shamrock Corp. ......... 800 18,450
Union Pacific Resources Group Inc. ...... 700 9,800
-----------
717,606
-----------
OIL SERVICES ( 1.6% )
Atwood Oceanics, Inc. + ................. 2,900 101,137
Global Marine Inc. + .................... 1,800 26,775
Helmerich & Payne, Inc. ................. 11,300 290,975
Pool Energy Services Co. + .............. 2,600 46,638
Pride International, Inc. + ............. 9,100 106,356
SEACOR SMIT Holdings + .................. 700 37,056
Seitel, Inc. + .......................... 9,400 163,325
Transocean Offshore Inc. ................ 1,000 29,688
Trico Marine Services, Inc. + ........... 4,800 38,100
-----------
840,050
-----------
OTHER TELECOMMUNICATIONS ( 0.0% )
Cincinnati Bell Inc. .................... 200 4,525
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
OTHER TELECOMMUNICATIONS (CONTINUED)
Citizens Utilities Co. + ................ 406 $ 4,085
-----------
8,610
-----------
PRINT MEDIA ( 1.7% )
Harte-Hanks, Inc. ...................... 700 17,675
Knight-Ridder, Inc. ..................... 9,500 511,219
McClatchy Newspapers, Inc. ............. 200 7,175
Meredith Corp. .......................... 1,900 69,706
New York Times Co. ...................... 300 10,350
Times Mirror Co. ........................ 5,100 298,350
-----------
914,475
-----------
PRODUCER GOODS ( 2.2% )
FMC Corp. + ............................. 4,900 318,500
Honeywell, Inc. ......................... 900 85,275
Ingersoll-Rand Co. ...................... 2,400 166,050
Johnstown America Industries, Inc. + .... 3,700 67,525
Milacron, Inc. .......................... 5,700 131,100
RTI International Metals, Inc. + ........ 4,500 59,906
Tecumseh Products Co. ................... 400 24,450
Tyco International Ltd. ................. 2,026 164,594
Varlen Corp. ............................ 6,125 171,500
-----------
1,188,900
-----------
REAL ESTATE INVESTMENT TRUSTS ( 27.4% )
AMB Property Corp. ...................... 500 11,000
American Health Properties, Inc. ........ 1,300 25,756
Apartment Investment & Management Co. ... 17,900 717,119
Archstone Communities Trust ............. 6,800 154,275
Arden Realty Group, Inc. ................ 4,400 110,000
Avalon Bay Communities, Inc. ............ 6,573 230,055
Beacon Capital + + ...................... 8,600 130,075
Bedford Property Investors, Inc. ........ 1,600 27,500
Boston Properties, Inc. ................. 3,200 116,200
Boykin Lodging Co. ...................... 3,000 45,938
Brandywine Realty Trust ................. 17,600 332,200
Cabot Industrial Trust .................. 1,900 38,713
Camden Property Trust ................... 22,522 608,094
Captec Net Lease Realty, Inc. ........... 3,400 44,519
CBL & Associates Properties, Inc. ....... 25,900 636,169
Colonial Properties Trust ............... 14,500 396,937
Cousins Properties, Inc. ................ 5,100 177,225
Crescent Real Estate Equities, Inc. ..... 8,400 187,950
Criimi Mae, Inc. ........................ 8,500 19,656
Duke Realty Investments, Inc. ........... 19,500 458,250
Equity Office Properties Trust .......... 32,600 898,537
Equity One, Inc. ........................ 2,500 22,656
Equity Residential Properties Trust ..... 17,200 795,500
Essex Property Trust, Inc. .............. 6,300 198,844
First Industrial Realty Trust, Inc. ..... 8,200 220,375
Franchise Finance Corp. of America ...... 4,700 108,981
General Growth Properties, Inc. ......... 4,800 176,700
Glenborough Realty Trust, Inc. .......... 12,600 216,562
</TABLE>
10 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Glimcher Realty Trust ................... 2,100 $ 35,569
Golf Trust of America, Inc. ............. 6,900 153,094
Health Care REIT, Inc. .................. 16,700 392,450
Healthcare Realty Trust, Inc. ........... 17,373 378,949
Highwood Properties, Inc. ............... 5,800 149,350
Home Properties of New York, Inc. ....... 1,700 43,988
HRPT Properties Trust ................... 25,200 368,550
Imperial Credit Commercial Mortgage
Investment Corp. ....................... 1,600 15,700
Innkeepers USA Trust .................... 8,300 85,594
Kilroy Realty Corp. ..................... 4,100 96,606
Kimco Realty Corp. ...................... 15,750 618,187
Koger Equity, Inc. ...................... 6,800 99,875
Lexington Corporate Properties Trust .... 1,800 20,588
Liberty Property Trust .................. 15,300 369,112
LTC Properties, Inc. .................... 5,200 69,875
Meditrust Companies Corp. ............... 4,003 49,819
OMEGA Healthcare Investors, Inc. ........ 10,200 269,025
Parkway Properties, Inc. ................ 6,000 174,000
Post Properties, Inc. ................... 18,400 729,100
Prentiss Properties Trust ............... 3,100 67,038
Prime Retail, Inc. ...................... 5,000 43,125
PS Business Parks, Inc. ................. 32,400 757,350
Public Storage, Inc. .................... 11,434 318,723
Reckson Associates Realty Corp. ......... 5,700 128,250
Regency Realty Corp. .................... 8,300 179,487
RFS Hotel Investors, Inc. ............... 2,700 38,138
Simon Property Group, Inc. .............. 15,400 441,787
Sovran Self Storage, Inc. ............... 3,000 73,312
Starwood Financial Trust ................ 33 1,751
Starwood Hotels & Resort Worldwide, Inc. 19,200 704,400
Sun Communities, Inc. ................... 2,850 99,750
Tower Realty Trust, Inc. ................ 2,200 45,100
Vornado Operating Co. + ................. 375 2,625
Vornado Realty Trust .................... 7,500 292,500
Weeks Corp. ............................. 10,000 310,625
-----------
14,729,178
-----------
SEMICONDUCTORS AND ELECTRONICS ( 2.9% )
Applied Materials, Inc. + ............... 2,600 139,425
Integrated Circuit Systems, Inc. + ...... 1,600 32,400
Intel Corp. ............................. 8,200 501,737
Lattice Semiconductor Corp. + ........... 4,000 163,500
Level One Communications, Inc. + ........ 1,900 97,613
LSI Logic Corp. + ....................... 900 30,600
Lucent Technologies, Inc. ............... 3,200 192,400
MIPS Technologies, Inc. + ............... 600 23,850
Power Integrations, Inc. + .............. 500 19,625
Tellabs, Inc. + ......................... 1,700 186,256
Vitesse Semiconductor Corp. + ........... 4,000 185,250
-----------
1,572,656
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
SPECIALTY CHEMICALS ( 0.3% )
Albemarle Corp. ......................... 900 $ 19,800
Octel Corp. + ........................... 9,800 137,200
-----------
157,000
-----------
STEEL ( 0.0% )
Cleveland-Cliffs, Inc. .................. 300 11,944
-----------
TEXTILES AND APPAREL ( 0.8% )
K-Swiss Inc. ............................ 6,000 252,000
Nike, Inc. .............................. 3,100 192,781
-----------
444,781
-----------
TOBACCO ( 0.0% )
Schweitzer-Mauduit International, Inc. .. 200 3,313
-----------
TOTAL UNITED STATES (COST $41,947,363) 44,019,097
-----------
FOREIGN COMMON STOCKS ( 10.4% )
AUSTRALIA ( 0.2% )
Telstra Corp. Ltd. (Other
Telecommunications) + .................. 16,000 86,954
-----------
BELGIUM ( 0.1% )
Delhaize-le Lion SA (Food and Drug
Retail)................................. 850 74,459
-----------
CANADA ( 0.2% )
Canadian National Railway Co.
(Surface Transport) .................... 2,000 126,250
-----------
DENMARK ( 0.2% )
Carli Gry International A/S
(Textiles and Apparel) ................. 3,000 72,662
Tele Danmark A/S (Other
Telecommunications)..................... 500 51,647
-----------
TOTAL DENMARK 124,309
-----------
FINLAND ( 0.3% )
Nokia Corp., ADR (Other
Telecommunications)..................... 2,000 148,375
------------
FRANCE ( 1.3% )
Accor SA (Consumer Services) ............ 200 52,792
Axa (Insurance) ......................... 400 51,713
Carrefour SA (Food and Drug Retail) ..... 100 79,347
Elf Aquitaine SA (Oil) .................. 500 77,760
Gemini Sogeti SA (Data and Imaging
Services)............................... 700 107,160
Groupe Danone (Food and Beverage) ....... 200 53,532
Scor (Insurance) ........................ 1,000 49,935
Societe Generale (Banks and Thrifts) .... 300 53,765
STMicroelectronics
(Semiconductors and Electronics) + ..... 600 62,589
Vivendi (Conglomerate and Aerospace) .... 400 93,565
-----------
TOTAL FRANCE 682,158
-----------
GERMANY ( 0.8% )
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + .................. 1,125 73,435
DaimlerChrysler AG (Automotive) ......... 804 79,488
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................... 1,000 83,578
Douglas Holding AG (Discretionary Retail) 700 32,215
Gehe AG (Health Services) ............... 1,000 46,021
</TABLE>
See Notes to Portfolio of Investments. 11
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
ASCENT (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
GERMANY (CONTINUED)
Mannesmann AG (Producer Goods) .......... 1,000 $ 131,821
-----------
TOTAL GERMANY 446,558
-----------
HONG KONG ( 0.1% )
VTech Holdings Ltd.
(Electrical Machinery and Instruments) . 14,000 47,868
-----------
IRELAND ( 0.4% )
Allied Irish Banks (Banks and Thrifts) .. 4,024 65,135
CRH Plc
(Forest Products and Building Materials) 4,051 79,930
Waterford Wedgewood
(Housing and Furnishings) .............. 52,002 50,614
-----------
TOTAL IRELAND 195,679
-----------
ITALY ( 0.7% )
Banca Commerciale Italiana (Banks and
Thrifts)................................ 8,000 65,932
Banca del Nazionale Lavoro
(Banks and Thrifts) + .................. 19,700 67,319
Istituto Nazionale delle Assicurazioni
(Insurance) + .......................... 25,600 67,709
Mediaset SpA (Electronic Media) ......... 5,100 44,244
Telecom Italia SpA (Other
Telecommunications)..................... 12,100 128,908
-----------
TOTAL ITALY 374,112
-----------
JAPAN ( 1.1% )
Fuji Heavy Industries Ltd. (Automotive) . 10,000 67,021
Kita Kyushu Coca-Cola Bottling Co.
(Food and Beverage) .................... 1,100 53,634
Mizuno Corp. (Consumer Specialties) ..... 9,000 27,822
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ........... 20 117,287
Seino Transportation Co. Ltd.
(Surface Transport) .................... 11,000 66,443
SoftBank Corp.
(Semiconductors and Electronics) ....... 1,000 133,121
Sony Corp. (Housing and Furnishings) .... 600 56,047
Terumo Corp. (Biotech and Medical
Products)............................... 3,000 65,346
-----------
TOTAL JAPAN 586,721
-----------
NETHERLANDS ( 1.2% )
Akzo Nobel NV (Specialty Chemicals) ..... 1,600 72,364
ING Groep NV (Diversified Financial
Services)............................... 1,225 75,556
Koninklijke Ahold NV (Food and Drug
Retail)................................. 1,515 56,338
Nutreco Holding NV (Food and Drug Retail) 1,500 60,859
Royal Dutch Petroleum Co. (Oil) ......... 3,700 217,144
TNT Post Group NV (Air Transport) ....... 1,400 37,769
United Pan-Europe Communications NV
(Other Telecommunications) + ........... 1,300 67,323
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit (Print
Media).................................. 2,100 85,091
-----------
TOTAL NETHERLANDS 672,444
-----------
NORWAY ( 0.3% )
Det Sondenfjelds-Norske Dampskibsselskab
(Oil Services) + ....................... 1,166 9,659
Merkantildata ASA (Data and Imaging
Services)............................... 6,500 65,113
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
NORWAY (CONTINUED)
Ocean Rig ASA (Oil Services) + .......... 185,750 $ 66,079
-----------
TOTAL NORWAY 140,851
-----------
SWEDEN ( 0.6% )
Autoliv, Inc. (Automotive) .............. 1,800 62,704
Electrolux AB (Housing and Furnishings) . 2,200 44,727
Industrial & Financial Systems
(Data and Imaging Services) + ++ ....... 4,625 37,117
Securitas AB (Commercial Services) ...... 4,800 71,335
Skandinaviska Enskilda Banken
(Banks and Thrifts) .................... 4,200 54,928
Svenska Cellulosa AB (Consumer Products) 2,100 53,804
-----------
TOTAL SWEDEN 324,615
-----------
SWITZERLAND ( 0.5% )
Adecco SA (Commercial Services) ......... 100 50,511
Fischer (Georg) AG (Producer Goods) ..... 100 37,308
Novartis AG Registered Shares (Drugs) + . 40 58,669
Roche Holding AG (Drugs) ................ 5 58,918
UBS AG (Banks and Thrifts) .............. 250 85,060
-----------
TOTAL SWITZERLAND 290,466
-----------
UNITED KINGDOM ( 2.4% )
Bank of Scotland (Banks and Thrifts) .... 6,905 103,395
British Aerospace Plc
(Conglomerate and Aerospace) ........... 5,034 37,689
British Telecom Plc (Other
Telecommunications)..................... 11,901 200,049
Cable & Wireless Plc
(Other Telecommunications) + ........... 4,000 57,448
Dixons Group Plc (Discretionary Retail) . 3,100 66,235
General Electric Co. Plc
(Conglomerate and Aerospace) ........... 5,800 61,495
Glaxo Wellcome Plc (Drugs) .............. 1,848 54,689
Granada Group Plc (Electronic Media) + .. 4,610 98,572
Kingfisher Plc (Discretionary Retail) ... 5,520 82,656
National Westminster Bank Plc
(Banks and Thrifts) .................... 3,600 86,771
Provident Financial Plc (Consumer
Finance)................................ 2,900 48,421
SmithKline Beecham Plc (Drugs) .......... 5,200 68,822
Vodafone Group Plc
(Other Telecommunications) ............. 11,160 205,742
WPP Group Plc (Commercial Services) ..... 10,800 95,466
-----------
TOTAL UNITED KINGDOM 1,267,450
-----------
TOTAL FOREIGN COMMON STOCKS (COST $4,450,606) 5,589,269
-----------
TOTAL COMMON STOCKS (COST $46,397,969) 49,608,366
-----------
PREFERRED STOCKS ( 0.1% )
GERMANY ( 0.1% )
Hugo Boss AG (Textiles and Apparel) + ... 50 71,147
-----------
TOTAL PREFERRED STOCKS (COST $73,497) 71,147
-----------
</TABLE>
12 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES ( 6.1% )
CORPORATE BONDS ( 2.9% )
BCH Cayman Islands Ltd.,6.50%,02/15/06 .. $ 100,000 $ 99,189
Capital One Bank,6.57%,01/27/03 ......... 150,000 151,093
Chemical Master Credit Card Trust,
7.09%,02/15/09 ......................... 60,000 63,169
Conoco Inc.,5.90%,04/15/04 .............. 30,000 29,850
CVS Corp.,5.50%,02/15/04 ................ 100,000 98,500
Ford Motor Credit Corp.,6.63%,10/01/28 .. 60,000 57,595
General Motors Acceptance Corp.,
6.18%,05/15/33 ......................... 160,000 156,940
Guidant Corp.,6.15%,02/15/06 ............ 75,000 73,077
Household Finance Corp.,5.88%,09/25/04 .. 45,000 44,370
HSBC Americas, Inc.,7.00%,11/01/06 ...... 100,000 102,017
Norwest Financial, Inc.,5.38%,09/30/03 .. 45,000 44,014
Rite Aid Corp.,6.00%,10/01/03 ........... 45,000 43,794
Tenet Healthcare Corp.,7.88%,01/15/03 ... 200,000 197,818
Time Warner, Inc.,9.13%,01/15/13 ........ 175,000 213,090
Tyco International Group
SA,6.13%,01/15/09....................... 160,000 156,456
USA Waste Management, Inc.,6.13%,07/15/01 45,000 45,074
-----------
TOTAL CORPORATE BONDS (COST $1,571,879) 1,576,046
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 2.7% )
Federal National Mortgage Association,
6.00%,06/01/28 - 02/01/29 .............. 349,091 338,618
Federal National Mortgage
Association-Convertible
Loan,6.50%,11/01/27..................... 210,639 209,702
Government National Mortgage Association,
6.50%,01/15/29 ......................... 301,432 300,092
Government National Mortgage Association,
7.00%,02/15/28 ......................... 423,548 430,666
Government National Mortgage Association,
8.00%,07/15/24 ......................... 163,556 170,733
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $1,459,116) 1,449,811
-----------
U.S. GOVERNMENT OBLIGATIONS ( 0.5% )
U.S. Treasury Note,6.25%,02/28/02 ....... 200,000 205,562
U.S. Treasury Note,7.50%,10/31/99 ....... 25,000 25,324
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $230,154) 230,886
-----------
TOTAL LONG-TERM BONDS AND NOTES (COST $3,261,149) 3,256,743
-----------
SHORT-TERM INVESTMENTS ( 0.5% )
U.S. Treasury Bill,4.42%,08/19/99 @ ..... 200,000 197,318
U.S. Treasury Bill,4.43%,08/19/99 @ ..... 100,000 98,659
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $296,019) 295,977
-----------
TOTAL INVESTMENTS (COST $50,028,634)(A) 53,232,233
OTHER ASSETS LESS LIABILITIES 594,493
-----------
TOTAL NET ASSETS $53,826,726
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for feeeral tax purposes amounts to $50,319,780.
Unrealized gains and losses, based on identified tax cost at April 30, 1999,
are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains........................................ $ 5,724,359
Unrealized losses ...................................... (2,811,906)
-----------
Net unrealized gain .................................. $ 2,912,453
===========
</TABLE>
Information concerning open futures contracts at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ----------- ------------- ----------------
Long Contracts
- ----------------------
<S> <C> <C> <C> <C>
Long-Term EURO
Bond Futures.......... 1 $ 123,332 May 99 $ 1,788
Swiss Government Bond
Futures............... 2 174,852 Jun 99 1,392
TOPIX Index Futures... 2 196,468 Jun 99 22,955
----------- ---------
$ 496,652 $ 26,135
=========== =========
Short Contracts
- -------------------
Russell 2000 Index
Futures.............. 21 $(4,257,125) Jun 99 $(289,900)
=========== =========
</TABLE>
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1999.
See Notes to Financial Statements. 13
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
ASCENT (CONTINUED)
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
Information concerning restricted securities at April 30, 1999 is shown
below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
----------- ----------
<S> <C> <C>
Beacon Capital ..................... 03/17/98 $172,000
Industrial & Financial Systems ..... 06/12/97 48,763
--------
$220,763
========
</TABLE>
The market value of the total restricted securities above represent 0.31% of the
total net assets.
Category percentages are based on net assets.
14 See Notes to Financial Statements.
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
CROSSROADS
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS ( 73.5% )
UNITED STATES ( 64.1% )
AIR TRANSPORT ( 0.7% )
Alaska Air Group, Inc. + .............. 300 $ 13,219
America West Holdings Corp. + ......... 5,400 112,725
Continental Airlines, Inc. + .......... 100 4,319
Delta Air Lines, Inc. ................. 3,000 190,312
UAL Corp. + ........................... 50 4,037
-----------
324,612
-----------
AUTO PARTS AND HARDWARE ( 0.5% )
Black & Decker Corp. .................. 1,900 107,825
Cooper Tire & Rubber Co. .............. 6,700 146,981
-----------
254,806
-----------
AUTOMOTIVE ( 0.4% )
Ford Motor Co. ........................ 2,600 166,237
General Motors Corp. .................. 200 17,788
-----------
184,025
-----------
BANKS AND THRIFTS ( 2.4% )
Chase Manhattan Corp. ................. 3,200 264,800
Golden State Bancorp, Inc. ............ 5,500 135,094
Golden West Financial Corp. ........... 1,100 110,137
J.P. Morgan & Co. ..................... 1,700 229,075
Republic New York Corp. ............... 3,200 188,000
UnionBanCal Corp. ..................... 300 10,238
Washington Mutual, Inc. ............... 5,200 213,850
-----------
1,151,194
-----------
BIOTECH AND MEDICAL PRODUCTS ( 2.4% )
Alpharma, Inc. ++ ..................... 4,200 123,900
Amgen, Inc. + ......................... 3,100 190,456
Bio-Rad Labs, Inc. + .................. 3,900 109,200
Copley Pharmaceutical, Inc. + ......... 2,400 22,800
Genentech, Inc. + ..................... 200 16,925
Guidant Corp. ......................... 600 32,212
Hanger Orthopedic Group, Inc. + ....... 3,500 51,187
MedImmune, Inc. + ..................... 1,400 77,175
Ocular Sciences, Inc. + ............... 1,200 36,600
OEC Medical Systems, Inc. + ........... 6,500 153,969
Osteotech, Inc. + ..................... 2,000 72,250
Thermo BioAnalysis Corp. + ............ 2,600 44,200
VISX, Inc. + .......................... 1,500 193,125
Xomed Surgical Products, Inc. + ....... 300 12,488
-----------
1,136,487
-----------
CHEMICALS ( 0.4% )
Union Carbide Corp. ................... 3,300 171,188
-----------
COMMERCIAL SERVICES ( 0.3% )
CDI Corp. + ........................... 700 18,594
Deluxe Corp. .......................... 2,200 76,175
Franklin Covey Co. + .................. 2,400 23,250
Galileo International, Inc. ........... 100 4,900
Modis Professional Services + ......... 1,100 12,719
-----------
135,638
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS ( 1.9% )
Apple Computer, Inc. + ................ 5,900 $ 271,400
Hewlett Packard Co. ................... 4,100 323,387
International Business Machines Corp. . 900 188,269
Melita International Corp. + .......... 7,900 97,763
Unisys Corp. + ........................ 1,100 34,581
-----------
915,400
-----------
CONGLOMERATE AND AEROSPACE ( 1.2% )
Boeing Co. ............................ 6,000 243,750
Cordant Technologies, Inc. ............ 500 23,063
Ducommun, Inc. + ...................... 1,400 15,925
Goodrich (B. F.) Co. .................. 2,400 95,400
Kellstrom Industries, Inc. + .......... 2,100 38,719
Loews Corp. ........................... 1,000 73,187
Northrop Grumman Corp. ................ 1,100 70,331
-----------
560,375
-----------
CONSUMER FINANCE ( 0.9% )
Countrywide Credit Industries, Inc. ... 4,800 217,500
Crescent Operating, Inc. + ............ 260 1,024
Federal Home Loan Mortgage Corp. ...... 1,900 119,225
Federal National Mortgage Association . 1,300 92,218
-----------
429,967
-----------
CONSUMER PRODUCTS ( 0.4% )
Blyth Industries, Inc. + .............. 200 4,550
Church & Dwight Co., Inc. ............. 500 21,406
Procter & Gamble Co. .................. 2,000 187,625
-----------
213,581
-----------
CONSUMER SERVICES ( 1.9% )
Extended Stay America, Inc. + ......... 19,700 206,850
Foodmaker, Inc. + ..................... 4,300 103,738
H & R Block, Inc. ..................... 2,700 129,937
Lakes Gaming, Inc. + .................. 2,025 19,491
Marriott International, Inc. .......... 2,800 117,250
National R.V. Holdings, Inc. + ........ 7,900 204,412
Park Place Entertainment Corp. + ...... 8,100 87,581
Promus Hotel Corp. + .................. 92 3,312
Tricon Global Restaurants, Inc. + ..... 500 32,188
-----------
904,759
-----------
CONSUMER SPECIALTIES ( 0.4% )
Brunswick Corp. ....................... 1,700 40,800
Russ Berrie & Co., Inc. ............... 1,000 27,188
THQ, Inc. + ........................... 5,700 149,625
-----------
217,613
-----------
DATA AND IMAGING SERVICES ( 3.1% )
Adobe Systems, Inc. ................... 3,400 215,475
America Online, Inc. .................. 1,200 171,300
BMC Software, Inc. + .................. 3,000 129,187
Computer Associates International, Inc. 5,300 226,244
Electronic Data Systems Corp. ......... 200 10,750
Electronics for Imaging, Inc. + ....... 301 14,253
</TABLE>
See Notes to Portfolio of Investments 15
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
CROSSROADS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
Globix Corp. .......................... 200 $ 9,375
Microsoft Corp. + ..................... 6,400 520,400
Oracle Corp. + ........................ 1,150 31,122
Progress Software Corp. + ............. 2,050 46,637
Rational Software Corp. + ............. 300 8,888
Remedy Corp. + ........................ 1,400 24,500
Seagate Technology, Inc. + ............ 2,500 69,687
Xircom, Inc. + ........................ 1,900 42,750
-----------
1,520,568
-----------
DISCRETIONARY RETAIL ( 3.8% )
Abercrombie & Fitch Co. + ............. 900 85,613
American Eagle Outfitters, Inc. + ..... 5,175 386,831
CDW Computer Centers, Inc. + .......... 200 17,900
Costco Companies, Inc. + .............. 500 40,469
Dayton Hudson Co. ..................... 3,000 201,937
Federated Department Stores, Inc. + ... 4,900 228,769
Footstar, Inc. + ...................... 400 13,525
Gap, Inc. ............................. 1,350 89,859
Global DirectMail Corp. + ............. 2,300 35,075
Hollywood Entertainment Corp. + ....... 1,800 44,438
Kohl's Corp. + ........................ 300 19,931
Lowe's Co., Inc. ...................... 2,400 126,600
Musicland Stores Corp. + .............. 4,400 47,850
Tandy Corp. ........................... 400 28,975
TJX Companies, Inc. ................... 2,600 86,613
Transport World Entertainment Corp. + . 10,454 160,077
Zale Corp. + .......................... 5,800 219,312
-----------
1,833,774
-----------
DIVERSIFIED FINANCIAL SERVICES ( 1.0% )
Citigroup Inc. ........................ 4,300 323,575
Providian Financial Corp. ............. 1,100 141,969
Trammell Crow Co. + ................... 1,300 23,400
-----------
488,944
-----------
DRUGS ( 2.0% )
Abbott Laboratories ................... 2,100 101,718
Allergan, Inc. ........................ 200 17,975
Bristol-Myers Squibb Co. .............. 4,800 305,100
Johnson & Johnson ..................... 3,300 321,750
Merck & Co., Inc. ..................... 1,600 112,400
Pfizer, Inc. .......................... 700 80,544
Roberts Pharmaceutical Corp. + ........ 800 13,600
-----------
953,087
-----------
ELECTRIC UTILITIES ( 0.3% )
DTE Energy Co. ........................ 300 12,244
Florida Progress Corp. ................ 300 11,550
Niagara Mohawk Holdings Inc. + ........ 3,000 40,125
OGE Energy Corp. ...................... 300 7,106
PG&E Corp. ............................ 3,100 96,294
-----------
167,319
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.3% )
Rockwell International Corp. .......... 2,600 $ 134,225
-----------
ELECTRONIC MEDIA ( 1.5% )
CBS Corp. + ........................... 7,500 341,719
Championship Auto Racing Teams, Inc. + 600 18,487
Chris-Craft Industries, Inc. + ........ 412 19,364
King World Production, Inc. + ......... 5,987 211,042
Pixar, Inc. + ......................... 300 12,450
Speedway Motorsports, Inc. + .......... 200 8,675
Viacom, Inc. + ........................ 2,300 94,012
-----------
705,749
-----------
FOOD AND BEVERAGE ( 0.6% )
IBP, Inc. ............................. 600 12,150
J & J Snack Foods Corp. + ............. 7,100 154,425
Michael Foods, Inc. ................... 700 16,013
Pilgrim's Pride Corp. ................. 400 7,450
Quaker Oats Co. ....................... 1,800 116,212
Suiza Foods Corp. + ................... 100 3,756
-----------
310,006
-----------
FOOD AND DRUG RETAIL ( 0.8% )
Casey's General Stores, Inc. .......... 3,800 50,350
CVS Corp. ............................. 100 4,763
Safeway, Inc. + ....................... 4,300 231,931
SUPERVALU, Inc. ....................... 4,500 93,937
-----------
380,981
-----------
FOREST PRODUCTS AND BUILDING MATERIALS ( 1.3% )
Ball Corp. ............................ 100 5,494
Boise Cascade Corp. ................... 3,000 120,750
Centex Construction Products, Inc. .... 1,200 42,450
Georgia-Pacific Group ................. 1,300 120,250
Georgia-Pacific Corp. (Timber Group) .. 800 20,600
Lafarge Corp. ......................... 500 16,906
Lone Star Industries, Inc. ............ 3,700 132,044
Southdown, Inc. ....................... 400 25,625
Texas Industries, Inc. ................ 4,300 132,762
USG Corp. ............................. 300 17,513
-----------
634,394
-----------
GAS UTILITIES ( 0.4% )
Eastern Enterprises ................... 1,900 68,281
Energen Corp. ......................... 4,400 75,900
KN Energy, Inc. ....................... 500 10,313
Sempra Energy ......................... 1,804 37,433
-----------
191,927
-----------
HEALTH SERVICES ( 0.5% )
Lincare Holdings Inc. + ............... 1,600 47,400
United Healthcare Corp. ............... 3,700 207,663
-----------
255,063
-----------
HOUSING AND FURNISHINGS ( 1.3% )
Centex Corp. .......................... 1,400 51,188
Kaufman & Broad Home Corp. ............ 400 9,725
Lennar Corp. .......................... 2,300 55,631
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
HOUSING AND FURNISHINGS (CONTINUED)
MDC Holdings, Inc. .................... 9,000 $ 176,625
Pulte Corp. ........................... 1,800 40,725
Ryland Group, Inc. .................... 5,800 152,250
Winsloew Furniture, Inc. + ............ 4,300 133,837
-----------
619,981
-----------
INDUSTRIAL SERVICES ( 0.2% )
Dames & Moore Group ................... 6,500 76,375
Modtech, Inc. + ....................... 340 3,018
Reckson Service Industries, Inc. + .... 320 3,920
-----------
83,313
-----------
INSURANCE ( 1.1% )
Allstate Corp. (The) .................. 2,400 87,300
American General Corp. ................ 900 66,600
Conseco, Inc. ......................... 1,400 44,187
Lincoln National Corp. ................ 2,300 220,944
Marsh & McLennan Co., Inc. ............ 1,300 99,531
MGIC Investment Corp. ................. 700 33,994
-----------
552,556
-----------
INVESTMENT SERVICES ( 0.1% )
Lehman Brothers Holdings Inc. ......... 700 38,894
-----------
MAJOR TELECOMMUNICATIONS ( 1.2% )
ALLTEL Corp. .......................... 100 6,744
Bell Atlantic Corp. ................... 1,400 80,675
BellSouth Corp. ....................... 6,900 308,775
Century Telephone Enterprises, Inc. ... 200 8,050
Sprint Corp. .......................... 1,700 174,356
-----------
578,600
-----------
MISCELLANEOUS METALS ( 0.0% )
Titanium Metals Corp. ................. 1,500 11,063
------------
OIL ( 1.2% )
Ashland Oil, Inc. ..................... 1,700 71,825
Belco Oil & Gas Corp. ................. 14,000 106,750
Penn Virginia Corp. ................... 4,800 94,800
Sunoco Inc. ........................... 3,900 139,425
Tesoro Petroleum Corp. + .............. 13,300 150,456
Union Pacific Resources Group Inc. .... 400 5,600
-----------
568,856
-----------
OIL SERVICES ( 1.3% )
Atwood Oceanics, Inc. + ............... 3,400 118,575
Global Marine Inc. + .................. 1,300 19,337
Helmerich & Payne, Inc. ............... 7,500 193,125
Pool Energy Services Co. + ............ 1,900 34,081
Pride International, Inc. + ........... 6,900 80,644
SEACOR SMIT Holdings + ................ 500 26,469
Seitel, Inc. + ........................ 5,800 100,775
Tidewater, Inc. ....................... 400 10,600
Transocean Offshore Inc. .............. 600 17,813
Trico Marine Services, Inc. + ......... 3,900 30,956
-----------
632,375
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
OTHER TELECOMMUNICATIONS ( 0.0% )
Cincinnati Bell Inc. .................. 200 $ 4,525
Citizens Utilities Co. + .............. 304 3,059
-----------
7,584
-----------
PRINT MEDIA ( 1.4% )
Knight-Ridder, Inc. ................... 6,700 360,544
McClatchy Co. ......................... 200 7,175
New York Times Co. .................... 1,700 58,650
Thomas Nelson, Inc. ................... 2,900 29,362
Times Mirror Co. ...................... 3,400 198,900
-----------
654,631
-----------
PRODUCER GOODS ( 1.1% )
FMC Corp. + ........................... 1,400 91,000
Ingersoll-Rand Co. .................... 1,800 124,537
Milacron, Inc. ........................ 4,200 96,600
Parker-Hannifin Corp. ................. 600 28,162
RTI International Metals, Inc. + ...... 2,700 35,944
Tecumseh Products Co. ................. 300 18,338
Trinity Industries, Inc. .............. 100 3,481
Tyco International Ltd. ............... 1,576 128,020
-----------
526,082
-----------
REAL ESTATE INVESTMENT TRUSTS ( 22.9% )
AMB Property Corp. .................... 300 6,600
American Health Properties, Inc. ...... 1,000 19,813
Apartment Investment & Management Co. . 13,100 524,819
Archstone Communities Trust ........... 5,000 113,437
Arden Realty Group, Inc. .............. 3,200 80,000
Avalon Bay Communities, Inc. .......... 4,804 168,140
Beacon Capital + + .................... 6,500 98,312
Bedford Property Investors, Inc. ...... 1,400 24,063
Boston Properties, Inc. ............... 2,400 87,150
Brandywine Realty Trust ............... 6,600 124,575
Cabot Industrial Trust ................ 1,500 30,563
Camden Property Trust ................. 14,715 397,305
Captec Net Lease Realty, Inc. ......... 2,400 31,425
CBL & Associates Properties, Inc. ..... 19,600 481,425
Colonial Properties Trust ............. 9,800 268,275
Cousins Properties, Inc. .............. 3,800 132,050
Crescent Real Estate Equities, Inc. ... 6,000 134,250
Criimi Mae, Inc. ...................... 21,900 50,644
Duke Realty Investments, Inc. ......... 15,100 354,850
Equity Office Properties Trust ........ 24,000 661,500
Equity One, Inc. ...................... 1,800 16,313
Equity Residential Properties Trust ... 14,200 656,750
Essex Property Trust, Inc. ............ 5,100 160,969
First Industrial Realty Trust, Inc. ... 6,900 185,437
Franchise Finance Corp. of America .... 3,500 81,156
General Growth Properties, Inc. ....... 3,500 128,844
Glenborough Realty Trust, Inc. ........ 8,900 152,969
Glimcher Realty Trust ................. 1,600 27,100
Golf Trust of America, Inc. ........... 3,200 71,000
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
CROSSROADS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Health Care REIT, Inc. ................ 13,800 $ 324,300
Healthcare Realty Trust, Inc. ......... 14,688 320,382
Highwood Properties, Inc. ............. 5,400 139,050
Home Properties of New York, Inc. ..... 3,500 90,562
HRPT Properties Trust ................. 18,900 276,412
Imperial Credit Commercial Mortgage
Investment Corp. ..................... 1,200 11,775
Innkeepers USA Trust .................. 5,800 59,812
Kilroy Realty Corp. ................... 3,000 70,687
Kimco Realty Corp. .................... 12,200 478,850
Koger Equity, Inc. .................... 6,800 99,875
Kranzco Realty Trust .................. 7,400 103,600
Lexington Corporate Properties Trust .. 1,300 14,869
Liberty Property Trust ................ 3,800 91,675
LTC Properties, Inc. .................. 2,100 28,219
Meditrust Companies Corp. ............. 2,900 36,069
National Golf Properties, Inc. ........ 1,801 45,248
OMEGA Healthcare Investors, Inc. ...... 7,600 200,450
Parkway Properties, Inc. .............. 4,200 121,800
Pennsylvania Real Estate Investment
Trust................................. 6,500 134,062
Post Properties, Inc. ................. 14,400 570,600
Prentiss Properties Trust ............. 2,300 49,738
Prime Retail, Inc. .................... 2,200 18,975
PS Business Parks, Inc. ............... 24,300 568,012
Public Storage, Inc. .................. 6,704 186,874
Reckson Associates Realty Corp. ....... 4,300 96,750
Regency Realty Corp. .................. 12,200 263,825
RFS Hotel Investors, Inc. ............. 1,900 26,838
Simon Property Group, Inc. ............ 11,400 327,037
Sovran Self Storage, Inc. ............. 900 21,994
Starwood Financial Trust .............. 33 1,751
Starwood Hotels & Resort Worldwide,
Inc................................... 14,300 524,631
Sun Communities, Inc. ................. 2,100 73,500
Tower Realty Trust, Inc. .............. 1,600 32,800
Vornado Operating Co. + ............... 280 1,960
Vornado Realty Trust .................. 5,600 218,400
Weeks Corp. ........................... 5,600 173,950
-----------
11,075,066
-----------
SEMICONDUCTORS AND ELECTRONICS ( 2.5% )
Applied Materials, Inc. + ............. 1,200 64,350
Integrated Circuit Systems, Inc. + .... 2,100 42,525
Intel Corp. ........................... 5,600 342,650
Lattice Semiconductor Corp. + ......... 1,500 61,313
Level One Communications, Inc. + ...... 2,300 118,162
LSI Logic Corp. + ..................... 4,000 136,000
Lucent Technologies, Inc. ............. 2,900 174,362
MIPS Technologies, Inc. + ............. 700 27,825
Park Electrochemical Corp. ............ 1,100 26,263
Power Integrations, Inc. + ............ 900 35,325
Tellabs, Inc. + ....................... 600 65,737
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Vitesse Semiconductor Corp. + ......... 2,400 $ 111,150
-----------
1,205,662
-----------
SPECIALTY CHEMICALS ( 0.1% )
Albemarle Corp. ....................... 800 17,600
Octel Corp. + ......................... 2,400 33,600
-----------
51,200
-----------
STEEL ( 0.0% )
Cleveland-Cliffs, Inc. ................ 200 7,963
-----------
TEXTILES AND APPAREL ( 0.3% )
Nike, Inc. ............................ 2,400 149,250
-----------
TOBACCO ( 0.0% )
Schweitzer-Mauduit International, Inc. 100 1,656
-----------
TOTAL UNITED STATES (COST $29,668,500) 30,940,414
-----------
FOREIGN COMMON STOCKS ( 9.4% )
AUSTRALIA ( 0.3% )
Telstra Corp. Ltd.
(Other Telecommunications) + ......... 22,500 122,278
-----------
BELGIUM ( 0.1% )
Delhaize-le Lion SA (Food and Drug
Retail)............................... 550 48,179
-----------
CANADA ( 0.1% )
Canadian National Railway Co.
(Surface Transport) .................. 1,000 63,125
-----------
DENMARK ( 0.2% )
Carli Gry International A/S
(Textiles and Apparel) ............... 1,800 43,597
Tele Danmark A/S (Other
Telecommunications)................... 700 72,306
-----------
TOTAL DENMARK 115,903
------------
FINLAND ( 0.2% )
Nokia Corp., ADR (Other
Telecommunications)................... 1,200 89,025
-----------
FRANCE ( 1.3% )
Accor SA (Consumer Services) .......... 200 52,792
Axa (Insurance) ....................... 300 38,785
Carrefour SA (Food and Drug Retail) ... 100 79,346
Elf Aquitaine SA (Oil) ................ 600 93,311
Gemini Sogeti SA (Data and Imaging
Services)............................. 600 91,852
Groupe Danone (Food and Beverage) ..... 300 80,299
Scor (Insurance) ...................... 500 24,968
Societe Generale (Banks and Thrifts) .. 300 53,765
STMicroelectronics
(Semiconductors and Electronics) + ... 500 52,157
Vivendi (Conglomerate and Aerospace) .. 300 70,174
-----------
TOTAL FRANCE 637,449
-----------
GERMANY ( 0.8% )
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + ................ 975 63,644
DaimlerChrysler AG (Automotive) ....... 703 69,502
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................. 800 66,862
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
GERMANY (CONTINUED)
Douglas Holding AG (Discretionary
Retail)............................... 700 $ 32,215
Gehe AG (Health Services) ............. 800 36,817
Mannesmann AG (Producer Goods) ........ 700 92,275
-----------
TOTAL GERMANY 361,315
-----------
HONG KONG ( 0.1% )
VTech Holdings Ltd.
(Electrical Machinery and Instruments) 12,000 41,030
------------
IRELAND ( 0.4% )
Allied Irish Banks (Banks and Thrifts) 6,024 97,509
CRH Plc
(Forest Products and Building
Materials)............................ 4,051 79,929
Waterford Wedgewood
(Housing and Furnishings) ............ 39,352 38,302
-----------
TOTAL IRELAND 215,740
-----------
ITALY ( 0.6% )
Banca Commerciale Italiana (Banks and
Thrifts).............................. 6,000 49,449
Banca del Nazionale Lavoro
(Banks and Thrifts) + ................ 17,100 58,434
Istituto Nazionale delle Assicurazioni
(Insurance) + ........................ 21,900 57,923
Mediaset SpA (Electronic Media) ....... 4,200 36,436
Telecom Italia SpA
(Other Telecommunications) ........... 9,200 98,013
-----------
TOTAL ITALY 300,255
-----------
JAPAN ( 0.9% )
Fuji Heavy Industries Ltd. (Automotive) 8,000 53,617
Kita Kyushu Coca-Cola Bottling Co.
(Food and Beverage) .................. 1,100 53,634
Mizuno Corp. (Consumer Specialties) ... 7,000 21,639
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ......... 10 58,644
Seino Transportation Co. Ltd.
(Surface Transport) .................. 12,000 72,484
SoftBank Corp.
(Semiconductors and Electronics) ..... 800 106,497
Sony Corp. (Housing and Furnishings) .. 400 37,364
Terumo Corp. (Biotech and Medical
Products)............................. 2,000 43,564
-----------
TOTAL JAPAN 447,443
-----------
NETHERLANDS ( 1.1% )
Akzo Nobel NV (Specialty Chemicals) ... 1,201 54,277
ING Groep NV (Diversified Financial
Services)............................. 955 58,903
Koninklijke Ahold NV (Food and Drug
Retail)............................... 1,313 48,827
Nutreco Holding NV (Food and Drug
Retail)............................... 1,200 48,687
Royal Dutch Petroleum Co. (Oil) ....... 2,500 146,719
TNT Post Group NV (Air Transport) ..... 1,200 32,373
United Pan-Europe Communications NV
(Other Telecommunications) + ......... 1,100 56,966
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
NETHERLANDS (CONTINUED)
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ........................ 2,100 $ 85,091
-----------
TOTAL NETHERLANDS 531,839
-----------
NORWAY ( 0.3% )
Det Sondenfjelds-Norske
Dampskibsselskab
(Oil Services) + ..................... 316 2,618
Merkantildata ASA (Data and Imaging
Services)............................. 4,800 48,083
Ocean Rig ASA (Oil Services) + ........ 153,300 54,535
Tomra Systems ASA (Producer Goods) .... 1,200 47,775
--------------
TOTAL NORWAY 153,011
--------------
SWEDEN ( 0.5% )
Autoliv, Inc. (Automotive) ............ 1,200 41,802
Electrolux AB (Housing and Furnishings) 1,800 36,595
Industrial & Financial Systems
(Data and Imaging Services) + ++ ..... 4,125 33,104
Securitas AB (Commercial Services) .... 4,400 65,391
Skandinaviska Enskilda Banken
(Banks and Thrifts) .................. 3,300 43,158
Svenska Cellulosa AB (Consumer
Products)............................. 1,600 40,994
-----------
TOTAL SWEDEN 261,044
-----------
SWITZERLAND ( 0.6% )
Adecco SA (Commercial Services) ....... 100 50,511
Fischer (Georg) AG (Producer Goods) ... 100 37,308
Novartis AG Registered Shares (Drugs) + 40 58,669
Roche Holding AG (Drugs) .............. 5 58,918
UBS AG (Banks and Thrifts) ............ 200 68,048
-----------
TOTAL SWITZERLAND 273,454
-----------
UNITED KINGDOM ( 1.9% )
Bank of Scotland (Banks and Thrifts) .. 5,382 80,590
British Aerospace Plc
(Conglomerate and Aerospace) ......... 9,161 68,588
British Telecom Plc
(Other Telecommunications) ........... 3,530 59,337
Cable & Wireless Plc
(Other Telecommunications) + ......... 3,100 44,523
Dixons Group Plc (Discretionary Retail) 2,400 51,278
General Electric Co. Plc
(Conglomerate and Aerospace) ......... 4,800 50,892
Glaxo Wellcome Plc (Drugs) ............ 1,635 48,386
Granada Group Plc (Electronic Media) + 3,587 76,698
Kingfisher Plc (Discretionary Retail) . 4,088 61,213
National Westminster Bank Plc
(Banks and Thrifts) .................. 2,700 65,079
Provident Financial Plc (Consumer
Finance).............................. 2,400 40,072
SmithKline Beecham Plc (Drugs) ........ 3,600 47,646
Vodafone Group Plc
(Other Telecommunications) ........... 8,623 158,971
WPP Group Plc (Commercial Services) ... 6,400 56,572
-----------
TOTAL UNITED KINGDOM 909,845
-----------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
CROSSROADS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
TOTAL FOREIGN COMMON STOCKS (COST $3,712,668) $ 4,570,939
-----------
TOTAL COMMON STOCKS (COST $33,381,168) 35,511,353
-----------
PREFERRED STOCKS ( 0.0% )
GERMANY ( 0.0% )
Hugo Boss AG (Textiles and Apparel) + . 20 28,459
-----------
TOTAL PREFERRED STOCKS (COST $42,631) 28,459
-----------
<CAPTION>
PRINCIPAL
AMOUNT
--------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES ( 21.2% )
CORPORATE BONDS ( 10.8% )
BankAmerica Corp.,7.88%,12/01/02 ...... $ 200,000 212,908
BCH Cayman Islands Ltd.,6.50%,02/15/06 300,000 297,567
Capital One Bank,6.57%,01/27/03 ....... 400,000 402,916
Chemical Master Credit Card Trust,
7.09%,02/15/09 ....................... 145,000 152,657
Conoco Inc.,5.90%,04/15/04 ............ 70,000 69,650
CVS Corp.,5.50%,02/15/04 .............. 300,000 295,500
Ford Motor Credit Corp.,6.63%,10/01/28 210,000 201,581
General Motors Acceptance Corp.,
6.18%,05/15/33 ....................... 500,000 490,437
GTE Corp.,9.38%,12/01/00 .............. 100,000 105,670
Guidant Corp.,6.15%,02/15/06 .......... 150,000 146,154
Household Finance Corp.,5.88%,09/25/04 145,000 142,969
IMC Global, Inc.,7.63%,11/01/05 ....... 200,000 208,562
Korean Development Bank,7.13%,09/17/01 150,000 149,669
MBIA, Inc.,6.63%,10/01/28 ............. 200,000 188,788
National Australia Bank,6.40%,12/10/07 200,000 200,008
Norwest Financial, Inc.,5.38%,09/30/03 145,000 141,823
Raytheon Co.,6.15%,11/01/08 ++ ........ 200,000 196,264
Rite Aid Corp.,6.00%,10/01/03 ......... 145,000 141,114
Simon Debartolo Group,
Inc.,6.63%,06/15/03................... 300,000 297,480
Tenet Healthcare Corp.,7.88%,01/15/03 . 250,000 247,273
Time Warner, Inc.,9.13%,01/15/13 ...... 250,000 304,415
Tyco International Group
SA,6.13%,01/15/09..................... 500,000 488,925
USA Waste Management,
Inc.,6.13%,07/15/01................... 145,000 145,239
-----------
TOTAL CORPORATE BONDS (COST $5,264,354) 5,227,569
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 9.8% )
Federal National Mortgage Association,
6.00%,06/01/28 - 02/01/29 ............ 1,844,174 1,788,752
Federal National Mortgage Association -
Convertible Loan,6.50%,02/01/28 ...... 560,054 557,564
Government National Mortgage
Association,
6.50%,01/15/29 ....................... 753,580 750,230
Government National Mortgage
Association,
7.00%,08/15/27 - 01/15/28 ............ 1,286,446 1,380,064
Government National Mortgage
Association,
8.00%,07/15/24 ....................... 280,382 292,685
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $4,736,791) 4,697,295
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS ( 0.6% )
U.S. Treasury Note,5.25%,08/15/03 ..... $ 300,000 $ 299,859
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $302,868) 299,859
-----------
TOTAL LONG-TERM BONDS AND NOTES (COST $10,304,013) 10,224,723
-----------
SHORT-TERM INVESTMENTS ( 3.5% )
Federal Home Loan Bank,4.80%,05/03/99 . 1,379,000 1,379,000
U.S. Treasury Bill,4.42%,08/19/99 @ ... 200,000 197,318
U.S. Treasury Bill,4.43%,08/19/99 @ ... 100,000 98,659
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $1,675,019) 1,674,977
-----------
TOTAL INVESTMENTS (COST $45,402,831)(A) 47,439,512
OTHER ASSETS LESS LIABILITIES 845,139
-----------
TOTAL NET ASSETS $48,284,651
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for feeeral tax purposes amounts to $45,607,772.
Unrealized gains and losses, based on identified tax cost at April 30, 1999,
are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains........................................ $ 4,083,827
Unrealized losses ...................................... (2,252,087)
-----------
Net unrealized gain .................................. $ 1,831,740
===========
</TABLE>
Information concerning open futures contracts at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ----------- ------------- ----------------
Long Contracts
- ----------------------
<S> <C> <C> <C> <C>
Long-Term EURO
Bond Futures.......... 2 $ 246,643 May 99 $ 3,597
Swiss Government Bond
Futures............... 3 262,325 Jun 99 1,392
TOPIX Index Futures... 2 198,468 Jun 99 22,135
----------- ------------
$ 707,436 $ 28,595
=========== ============
</TABLE>
20 See Notes to Financial Statements.
<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>
Russell 2000 Index
Futures.............. 15 $(3,037,133) Jun 99 $ (210,742)
=========== =============
</TABLE>
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1999.
Information concerning restricted securities at April 30, 1999 is shown
below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------ ---------
<S> <C> <C>
Beacon Capital ..................... 03/17/98 $130,000
Industrial & Financial Systems ..... 06/12/97 43,491
Raytheon Co. ....................... 11/02/98 199,491
--------
$372,982
========
</TABLE>
The market value of the total restricted securities above represent 0.68% of the
total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 21
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
LEGACY
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS ( 49.9% )
UNITED STATES ( 42.3% )
AIR TRANSPORT ( 0.3% )
Alaska Air Group, Inc. + ............. 100 $ 4,406
Delta Air Lines, Inc. ................ 1,300 82,469
UAL Corp. + .......................... 100 8,075
-----------
94,950
-----------
AUTO PARTS AND HARDWARE ( 0.4% )
Black & Decker Corp. ................. 800 45,400
Cooper Tire & Rubber Co. ............. 3,000 65,813
-----------
111,213
-----------
AUTOMOTIVE ( 0.3% )
Ford Motor Co. ....................... 1,100 70,331
General Motors Corp. ................. 100 8,894
-----------
79,225
-----------
BANKS AND THRIFTS ( 1.2% )
Chase Manhattan Corp. ................ 1,400 115,850
Dime Bancorp, Inc. ................... 100 2,306
Golden State Bancorp, Inc. ........... 1,900 46,669
Golden West Financial Corp. .......... 400 40,050
J.P. Morgan & Co. .................... 700 94,325
Republic New York Corp. .............. 1,300 76,375
Washington Mutual, Inc. .............. 100 4,112
-----------
379,687
-----------
BIOTECH AND MEDICAL PRODUCTS ( 1.5% )
Alpharma, Inc. ++ .................... 1,800 53,100
Amgen, Inc. + ........................ 1,400 86,012
Bio-Rad Labs, Inc. + ................. 1,700 47,600
Copley Pharmaceutical, Inc. + ........ 3,000 28,500
Guidant Corp. ........................ 200 10,738
Hanger Orthopedic Group, Inc. + ...... 1,900 27,787
MedImmune, Inc. + .................... 600 33,075
Ocular Sciences, Inc. + .............. 800 24,400
OEC Medical Systems, Inc. + .......... 1,700 40,269
Osteotech, Inc. + .................... 900 32,512
VISX, Inc. + ......................... 700 90,125
Xomed Surgical Products, Inc. + ...... 100 4,163
-----------
478,281
-----------
CHEMICALS ( 0.1% )
Union Carbide Corp. .................. 600 31,125
-----------
COMMERCIAL SERVICES ( 0.3% )
CDI Corp. + .......................... 300 7,969
Deluxe Corp. ......................... 500 17,312
Franklin Covey Co. + ................. 1,000 9,688
Galileo International, Inc. .......... 100 4,900
Modis Professional Services + ........ 400 4,625
Valassis Communications, Inc. + ...... 1,000 56,000
-----------
100,494
-----------
COMPUTERS ( 1.1% )
Apple Computer, Inc. + ............... 2,600 119,600
Hewlett Packard Co. .................. 1,800 141,975
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS (CONTINUED)
International Business Machines Corp. 300 $ 62,756
Melita International Corp. + ......... 500 6,188
-----------
330,519
-----------
CONGLOMERATE AND AEROSPACE ( 0.8% )
Boeing Co. ........................... 2,700 109,687
Cordant Technologies, Inc. ........... 200 9,225
Ducommun, Inc. + ..................... 1,500 17,063
General Electric Co. ................. 101 10,656
Goodrich (B. F.) Co. ................. 1,100 43,725
Loews Corp. .......................... 400 29,275
Northrop Grumman Corp. ............... 600 38,362
-----------
257,993
-----------
CONSUMER FINANCE ( 0.7% )
Countrywide Credit Industries, Inc. .. 2,100 95,156
Federal National Mortgage Association 1,700 120,594
-----------
215,750
-----------
CONSUMER PRODUCTS ( 0.3% )
Blyth Industries, Inc. + ............. 100 2,275
Church & Dwight Co., Inc. ............ 200 8,563
Procter & Gamble Co. ................. 800 75,050
-----------
85,888
-----------
CONSUMER SERVICES ( 1.4% )
Extended Stay America, Inc. + ........ 8,700 91,350
Foodmaker, Inc. + .................... 600 14,475
H & R Block, Inc. .................... 1,100 52,937
Lakes Gaming, Inc. + ................. 900 8,663
Marriott International, Inc. ......... 2,200 92,125
National R.V. Holdings, Inc. + ....... 3,650 94,444
Park Place Entertainment Corp. + ..... 3,600 38,925
Promus Hotel Corp. + ................. 100 3,600
Sonic Corp. + ........................ 950 26,719
Tricon Global Restaurants, Inc. + .... 300 19,312
-----------
442,550
-----------
CONSUMER SPECIALTIES ( 0.2% )
Brunswick Corp. ...................... 700 16,800
Russ Berrie & Co., Inc. .............. 600 16,313
THQ, Inc. + .......................... 1,100 28,875
-----------
61,988
-----------
DATA AND IMAGING SERVICES ( 2.2% )
Adobe Systems, Inc. .................. 1,500 95,062
America Online, Inc. ................. 700 99,925
BMC Software, Inc. + ................. 1,200 51,675
Computer Associates International,
Inc.................................. 2,500 106,719
Electronic Data Systems Corp. ........ 100 5,375
Globix Corp. ......................... 100 4,688
Great Plains Software, Inc. + ........ 200 6,113
Microsoft Corp. + .................... 3,000 243,937
Oracle Corp. + ....................... 300 8,119
Progress Software Corp. + ............ 550 12,512
Remedy Corp. + ....................... 700 12,250
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
Seagate Technology, Inc. + ........... 1,100 $ 30,662
Symantec Corp. + ..................... 300 5,963
Xircom, Inc. + ....................... 700 15,750
-----------
698,750
-----------
DISCRETIONARY RETAIL ( 2.5% )
Abercrombie & Fitch Co. + ............ 400 38,050
American Eagle Outfitters, Inc. + .... 1,950 145,762
Cato Corp. (The) ..................... 2,600 29,250
CDW Computer Centers, Inc. + ......... 100 8,950
Costco Companies, Inc. + ............. 200 16,188
Dayton Hudson Co. .................... 700 47,119
Federated Department Stores, Inc. + .. 2,200 102,712
Footstar, Inc. + ..................... 200 6,763
Gap, Inc. ............................ 600 39,937
Global DirectMail Corp. + ............ 300 4,575
Hollywood Entertainment Corp. + ...... 1,000 24,687
Kohl's Corp. + ....................... 100 6,644
Lowe's Co., Inc. ..................... 1,000 52,750
Musicland Stores Corp. + ............. 3,200 34,800
Tandy Corp. .......................... 200 14,488
TJX Companies, Inc. .................. 1,800 59,962
Transport World Entertainment Corp. + 4,900 75,031
Zale Corp. + ......................... 1,900 71,844
-----------
779,512
-----------
DIVERSIFIED FINANCIAL SERVICES ( 0.5% )
Citigroup Inc. ....................... 1,600 120,400
Providian Financial Corp. ............ 150 19,359
Trammell Crow Co. + .................. 600 10,800
-----------
150,559
-----------
DRUGS ( 1.4% )
Abbott Laboratories .................. 1,300 62,969
Bristol-Myers Squibb Co. ............. 2,200 139,837
Johnson & Johnson .................... 1,500 146,250
Merck & Co., Inc. .................... 800 56,200
Pfizer, Inc. ......................... 300 34,519
Roberts Pharmaceutical Corp. + ....... 300 5,100
-----------
444,875
-----------
ELECTRIC UTILITIES ( 0.2% )
Allegheny Energy, Inc. ............... 100 3,406
DTE Energy Co. ....................... 200 8,163
Florida Progress Corp. ............... 100 3,850
GPU, Inc. ............................ 300 11,437
Niagara Mohawk Holdings Inc. + ....... 1,400 18,725
OGE Energy Corp. ..................... 100 2,369
PG&E Corp. ........................... 300 9,319
-----------
57,269
-----------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.2% )
Rockwell International Corp. ......... 1,000 51,625
-----------
ELECTRONIC MEDIA ( 1.1% )
CBS Corp. + .......................... 3,400 154,912
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRONIC MEDIA (CONTINUED)
Chris-Craft Industries, Inc. + ....... 206 $ 9,682
Emmis Communications Corp. + ......... 200 9,000
King World Production, Inc. + ........ 3,132 110,403
Pixar, Inc. + ........................ 100 4,150
Viacom, Inc. + ....................... 1,200 49,050
-----------
337,197
-----------
FOOD AND BEVERAGE ( 0.7% )
American Italian Pasta Co. + ......... 1,300 34,938
IBP, Inc. ............................ 200 4,050
J & J Snack Foods Corp. + ............ 1,700 36,975
M & F Worldwide Corp. + .............. 8,100 65,812
Michael Foods, Inc. .................. 300 6,863
Quaker Oats Co. ...................... 1,200 77,475
-----------
226,113
-----------
FOOD AND DRUG RETAIL ( 0.7% )
Casey's General Stores, Inc. ......... 2,300 30,475
Safeway, Inc. + ...................... 1,900 102,481
SUPERVALU, Inc. ...................... 3,700 77,238
-----------
210,194
-----------
FOREST PRODUCTS AND BUILDING MATERIALS ( 0.6% )
Boise Cascade Corp. .................. 800 32,200
Centex Construction Products, Inc. ... 400 14,150
Georgia-Pacific Corp. ................ 500 46,250
Georgia-Pacific Corp. ................ 300 7,725
Lafarge Corp. ........................ 200 6,762
Lone Star Industries, Inc. ........... 1,600 57,100
Owens Corning ........................ 100 3,563
Southdown, Inc. ...................... 200 12,812
USG Corp. ............................ 100 5,838
-----------
186,400
-----------
GAS UTILITIES ( 0.3% )
Eastern Enterprises .................. 1,400 50,312
Energen Corp. ........................ 2,400 41,400
KN Energy, Inc. ...................... 100 2,063
Sempra Energy ........................ 751 15,583
-----------
109,358
-----------
HEALTH SERVICES ( 0.4% )
Lincare Holdings Inc. + .............. 1,100 32,588
United Healthcare Corp. .............. 1,900 106,637
-----------
139,225
-----------
HOUSING AND FURNISHINGS ( 0.8% )
Centex Corp. ......................... 600 21,938
Lennar Corp. ......................... 1,000 24,188
MDC Holdings, Inc. ................... 3,300 64,762
O'Sullivan Industries + .............. 3,400 53,550
Pulte Corp. .......................... 600 13,575
Ryland Group, Inc. ................... 400 10,500
Winsloew Furniture, Inc. + ........... 1,800 56,025
-----------
244,538
-----------
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
LEGACY (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
INDUSTRIAL SERVICES ( 0.1% )
Dames & Moore Group .................. 2,500 $ 29,375
Modtech, Inc. + ...................... 85 754
Reckson Service Industries, Inc. + ... 112 1,372
-----------
31,501
-----------
INSURANCE ( 0.9% )
Allstate Corp. (The) ................. 1,300 47,288
American General Corp. ............... 600 44,400
Conseco, Inc. ........................ 300 9,469
Lincoln National Corp. ............... 1,000 96,062
Marsh & McLennan Co., Inc. ........... 900 68,906
MGIC Investment Corp. ................ 300 14,569
-----------
280,694
-----------
INVESTMENT SERVICES ( 0.1% )
Lehman Brothers Holdings Inc. ........ 700 38,894
-----------
MAJOR TELECOMMUNICATIONS ( 0.8% )
Bell Atlantic Corp. .................. 600 34,575
BellSouth Corp. ...................... 2,900 129,775
Century Telephone Enterprises, Inc. .. 125 5,031
Sprint Corp. ......................... 700 71,794
-----------
241,175
-----------
MISCELLANEOUS METALS ( 0.0% )
Titanium Metals Corp. ................ 1,000 7,375
-----------
OIL ( 0.8% )
Ashland Oil, Inc. .................... 700 29,575
Belco Oil & Gas Corp. ................ 8,700 66,337
Penn Virginia Corp. .................. 2,300 45,425
Sunoco Inc. .......................... 1,300 46,475
Tesoro Petroleum Corp. + ............. 6,000 67,875
Ultramar Diamond Shamrock Corp. ...... 200 4,613
Union Pacific Resources Group Inc. ... 200 2,800
-----------
263,100
-----------
OIL SERVICES ( 0.7% )
Atwood Oceanics, Inc. + .............. 900 31,387
Global Marine Inc. + ................. 600 8,925
Helmerich & Payne, Inc. .............. 3,400 87,550
Pool Energy Services Co. + ........... 900 16,144
Pride International, Inc. + .......... 3,100 36,231
SEACOR SMIT Holdings + ............... 200 10,588
Seitel, Inc. + ....................... 300 5,213
Tidewater, Inc. ...................... 100 2,650
Transocean Offshore Inc. ............. 300 8,906
Trico Marine Services, Inc. + ........ 1,700 13,494
-----------
221,088
-----------
OTHER TELECOMMUNICATIONS ( 0.0% )
Citizens Utilities Co. + ............. 100 1,006
-----------
PRINT MEDIA ( 1.0% )
Harte-Hanks, Inc. ................... 200 5,050
Knight-Ridder, Inc. .................. 2,900 156,056
McClatchy Newspapers, Inc. .......... 100 3,588
New York Times Co. ................... 700 24,150
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
PRINT MEDIA (CONTINUED)
Pulitzer Publishing Co. .............. 500 $ 22,406
Times Mirror Co. ..................... 1,500 87,750
-----------
299,000
-----------
PRODUCER GOODS ( 1.0% )
FMC Corp. + .......................... 1,500 97,500
Honeywell, Inc. ...................... 900 85,275
Ingersoll-Rand Co. ................... 700 48,431
Milacron, Inc. ....................... 100 2,300
RTI International Metals, Inc. + ..... 1,100 14,644
Tecumseh Products Co. ................ 100 6,112
Tyco International Ltd. .............. 400 32,500
Varlen Corp. ......................... 375 10,500
-----------
297,262
-----------
REAL ESTATE INVESTMENT TRUSTS ( 14.1% )
AMB Property Corp. ................... 200 4,400
American Health Properties, Inc. ..... 300 5,944
Apartment Investment & Management Co. 1,800 72,112
Archstone Communities Trust .......... 2,000 45,375
Arden Realty Group, Inc. ............. 1,000 25,000
Avalon Bay Communities, Inc. ......... 1,668 58,380
Beacon Capital + + ................... 2,300 34,787
Bedford Property Investors, Inc. ..... 600 10,313
Boston Properties, Inc. .............. 1,900 68,994
Brandywine Realty Trust .............. 5,100 96,262
Cabot Industrial Trust ............... 2,400 48,900
Camden Property Trust ................ 5,962 160,974
Captec Net Lease Realty, Inc. ........ 1,000 13,094
Carramerica Realty Corp. ............. 700 17,325
CBL & Associates Properties, Inc. .... 8,700 213,694
Chateau Communities, Inc. ............ 800 23,250
Colonial Properties Trust ............ 2,600 71,175
Cousins Properties, Inc. ............. 1,200 41,700
Crescent Real Estate Equities, Inc. .. 1,700 38,037
Criimi Mae, Inc. ..................... 6,900 15,956
Developers Diversified Realty Corp. .. 600 9,488
Duke Realty Investments, Inc. ........ 3,100 72,850
Equity Inns, Inc. .................... 2,200 20,213
Equity Office Properties Trust ....... 9,200 253,575
Equity One, Inc. ..................... 600 5,438
Equity Residential Properties Trust .. 4,650 215,062
Essex Property Trust, Inc. ........... 1,800 56,812
First Industrial Realty Trust, Inc. .. 2,500 67,187
Franchise Finance Corp. of America ... 1,300 30,144
General Growth Properties, Inc. ...... 3,700 136,206
Glenborough Realty Trust, Inc. ....... 3,000 51,562
Glimcher Realty Trust ................ 500 8,469
Golf Trust of America, Inc. .......... 2,300 51,031
Health Care REIT, Inc. ............... 4,200 98,700
Healthcare Realty Trust, Inc. ........ 5,866 127,952
Highwood Properties, Inc. ............ 3,600 92,700
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Home Properties of New York, Inc. .... 1,600 $ 41,400
HRPT Properties Trust ................ 2,300 33,638
Imperial Credit Commercial Mortgage
Investment Corp. .................... 500 4,906
Kilroy Realty Corp. .................. 1,100 25,919
Kimco Realty Corp. ................... 5,300 208,025
Koger Equity, Inc. ................... 1,700 24,969
Konover Property Trust + ............. 2,000 12,125
Kranzco Realty Trust ................. 7,300 102,200
Lexington Corporate Properties Trust . 600 6,863
Liberty Property Trust ............... 6,000 144,750
LTC Properties, Inc. ................. 200 2,688
Meditrust Companies Corp. ............ 1,004 12,530
OMEGA Healthcare Investors, Inc. ..... 2,900 76,487
Parkway Properties, Inc. ............. 3,400 98,600
Pennsylvania Real Estate Investment
Trust................................ 2,600 53,625
Post Properties, Inc. ................ 5,500 217,937
Prentiss Properties Trust ............ 1,000 21,625
Prime Retail, Inc. ................... 900 7,763
PS Business Parks, Inc. .............. 10,400 243,100
Public Storage, Inc. ................. 516 14,384
Reckson Associates Realty Corp. ...... 1,600 36,000
Regency Realty Corp. ................. 4,200 90,825
RFS Hotel Investors, Inc. ............ 600 8,475
Simon Property Group, Inc. ........... 4,600 131,962
Sovran Self Storage, Inc. ............ 1,400 34,212
Starwood Financial Trust ............. 16 849
Starwood Hotels & Resort Worldwide,
Inc.................................. 5,400 198,112
Sun Communities, Inc. ................ 2,800 98,000
Tower Realty Trust, Inc. + ........... 600 12,300
Vornado Operating Co. + .............. 71 501
Vornado Realty Trust ................. 1,400 54,600
Weeks Corp. .......................... 200 6,213
-----------
4,388,644
-----------
SEMICONDUCTORS AND ELECTRONICS ( 1.8% )
Applied Materials, Inc. + ............ 1,100 58,987
Integrated Circuit Systems, Inc. + ... 1,600 32,400
Intel Corp. .......................... 2,400 146,850
Lattice Semiconductor Corp. + ........ 900 36,788
Level One Communications, Inc. + ..... 900 46,237
LSI Logic Corp. + .................... 300 10,200
Lucent Technologies, Inc. ............ 1,400 84,175
Park Electrochemical Corp. ........... 1,500 35,813
Power Integrations, Inc. + ........... 200 7,850
Tellabs, Inc. + ...................... 400 43,825
Vitesse Semiconductor Corp. + ........ 1,000 46,312
-----------
549,437
-----------
SPECIALTY CHEMICALS ( 0.3% )
Albemarle Corp. ...................... 300 6,600
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
SPECIALTY CHEMICALS (CONTINUED)
Octel Corp. + ........................ 5,800 $ 81,200
-----------
87,800
-----------
STEEL ( 0.0% )
Cleveland-Cliffs, Inc. ............... 100 3,981
-----------
TEXTILES AND APPAREL ( 0.5% )
K-Swiss Inc. ......................... 1,800 75,600
Nike, Inc. ........................... 1,100 68,406
-----------
144,006
-----------
TOBACCO ( 0.0% )
Schweitzer-Mauduit International, Inc. 100 1,656
-----------
TOTAL UNITED STATES (COST $12,524,623) 13,161,897
-----------
FOREIGN COMMON STOCKS ( 7.6% )
AUSTRALIA ( 0.1% )
Telstra Corp. Ltd.
(Other Telecommunications) + ........ 8,200 44,564
-----------
BELGIUM ( 0.1% )
Delhaize-le Lion SA (Food and Drug
Retail).............................. 280 24,528
-----------
CANADA ( 0.1% )
Canadian National Railway Co.
(Surface Transport) ................. 500 31,562
-----------
DENMARK ( 0.1% )
Carli Gry International A/S
(Textiles and Apparel) .............. 900 21,798
Tele Danmark A/S
(Other Telecommunications) .......... 200 20,659
-----------
TOTAL DENMARK 42,457
-----------
FINLAND ( 0.2% )
Nokia Corp., ADR
(Other Telecommunications) .......... 800 59,350
-----------
FRANCE ( 1.0% )
Accor SA (Consumer Services) ......... 100 26,396
Axa (Insurance) ...................... 200 25,857
Carrefour SA (Food and Drug Retail) .. 50 39,673
Elf Aquitaine SA (Oil) ............... 300 46,656
Gemini Sogeti SA (Data and Imaging
Services)............................ 300 45,926
Groupe Danone (Food and Beverage) .... 100 26,766
Scor (Insurance) ..................... 500 24,968
Societe Generale (Banks and Thrifts) . 100 17,922
STMicroelectronics
(Semiconductors and Electronics) + .. 300 31,294
Vivendi (Conglomerate and Aerospace) . 100 23,391
-----------
TOTAL FRANCE 308,849
-----------
GERMANY ( 0.6% )
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + ............... 600 39,166
DaimlerChrysler AG (Automotive) ...... 301 29,759
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) .............. 400 33,431
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
LEGACY (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
GERMANY (CONTINUED)
Douglas Holding AG (Discretionary
Retail).............................. 300 $ 13,806
Gehe AG (Health Services) ............ 400 18,408
Mannesmann AG (Producer Goods) ....... 300 39,546
-----------
TOTAL GERMANY 174,116
-----------
HONG KONG ( 0.1% )
VTech Holdings Ltd.
(Electrical Machinery and 6,000
Instruments)......................... 20,515
-----------
IRELAND ( 0.3% )
Allied Irish Banks (Banks and Thrifts) 2,024 32,762
CRH Plc
(Forest Products and Building
Materials)........................... 2,025 39,955
Waterford Wedgewood
(Housing and Furnishings) ........... 15,307 14,898
-----------
TOTAL IRELAND 87,615
-----------
ITALY ( 0.4% )
Banca Commerciale Italiana
(Banks and Thrifts) ................. 3,000 24,724
Banca del Nazionale Lavoro
(Banks and Thrifts) + ............... 8,300 28,363
Istituto Nazionale delle Assicurazioni
(Insurance) + ....................... 10,600 28,036
Mediaset SpA (Electronic Media) ...... 2,200 19,085
Telecom Italia SpA
(Other Telecommunications) .......... 3,900 41,549
-----------
TOTAL ITALY 141,757
-----------
JAPAN ( 0.8% )
Fuji Heavy Industries Ltd.
(Automotive)......................... 4,000 26,809
Mizuno Corp. (Consumer Specialties) .. 4,000 12,365
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ........ 10 58,644
Seino Transportation Co. Ltd.
(Surface Transport) ................. 5,000 30,201
SoftBank Corp.
(Semiconductors and Electronics) .... 600 79,873
Sony Corp. (Housing and Furnishings) . 200 18,682
Terumo Corp. (Biotech and Medical
Products)............................ 1,000 21,782
-----------
TOTAL JAPAN 248,356
-----------
NETHERLANDS ( 0.9% )
Akzo Nobel NV (Specialty Chemicals) .. 800 36,182
ING Groep NV
(Diversified Financial Services) .... 536 33,060
Koninklijke Ahold NV (Food and Drug
Retail).............................. 606 22,535
Nutreco Holding NV (Food and Drug
Retail).............................. 700 28,401
Royal Dutch Petroleum Co. (Oil) ...... 1,100 64,556
TNT Post Group NV (Air Transport) .... 600 16,187
United Pan-Europe Communications NV
(Other Telecommunications) + ........ 600 31,072
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ....................... 1,300 52,676
-----------
TOTAL NETHERLANDS 284,669
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
NORWAY ( 0.2% )
Det Sondenfjelds-Norske
Dampskibsselskab (Oil Services) + ... 200 $ 1,657
Merkantildata ASA
(Data and Imaging Services) ......... 2,000 20,035
Ocean Rig ASA (Oil Services) + ....... 83,750 29,793
-----------
TOTAL NORWAY 51,485
-----------
SWEDEN ( 0.5% )
Autoliv, Inc. (Automotive) ........... 600 20,901
Electrolux AB (Housing and
Furnishings)......................... 900 18,298
Industrial & Financial Systems
(Data and Imaging Services) + ++ .... 2,000 16,050
Securitas AB (Commercial Services) ... 3,300 49,043
Skandinaviska Enskilda Banken
(Banks and Thrifts) ................. 1,800 23,541
Svenska Cellulosa AB (Consumer
Products)............................ 900 23,059
-----------
TOTAL SWEDEN 150,892
-----------
SWITZERLAND ( 0.5% )
Adecco SA (Commercial Services) ...... 50 25,256
Fischer (Georg) AG (Producer Goods) .. 100 37,308
Novartis AG Registered Shares (Drugs)
+.................................... 20 29,334
Roche Holding AG (Drugs) ............. 2 23,567
UBS AG (Banks and Thrifts) ........... 150 51,036
-----------
TOTAL SWITZERLAND 166,501
-----------
UNITED KINGDOM ( 1.7% )
Bank of Scotland (Banks and Thrifts) . 6,295 94,261
British Aerospace Plc
(Conglomerate and Aerospace) ........ 3,020 22,611
British Telecom Plc
(Other Telecommunications) .......... 1,714 28,811
Cable & Wireless Plc
(Other Telecommunications) + ........ 1,700 24,416
Dixons Group Plc (Discretionary
Retail).............................. 1,300 27,776
General Electric Co. Plc
(Conglomerate and Aerospace) ........ 2,500 26,506
Glaxo Wellcome Plc (Drugs) ........... 920 27,226
Granada Group Plc (Electronic Media) + 2,052 43,876
Kingfisher Plc (Discretionary Retail) 2,247 33,646
National Westminster Bank Plc
(Banks and Thrifts) ................. 1,500 36,155
Provident Financial Plc (Consumer
Finance)............................. 1,200 20,036
SmithKline Beecham Plc (Drugs) ....... 1,800 23,823
Vodafone Group Plc
(Other Telecommunications) .......... 5,276 97,267
WPP Group Plc (Commercial Services) .. 3,200 28,286
-----------
TOTAL UNITED KINGDOM 534,696
-----------
TOTAL FOREIGN COMMON STOCKS (COST $1,884,171) 2,371,912
-----------
TOTAL COMMON STOCKS (COST $14,408,794) 15,533,809
-----------
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
PREFERRED STOCKS ( 0.0% )
GERMANY ( 0.0% )
Hugo Boss AG (Textiles and Apparel) + 10 $ 14,230
-----------
TOTAL PREFERRED STOCKS (COST $21,269) 14,230
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES ( 38.6% )
CORPORATE BONDS ( 17.6% )
BankAmerica Corp.,7.88%,12/01/02 ..... $ 250,000 266,135
BCH Cayman Islands Ltd.,6.50%,02/15/06 300,000 297,567
Capital One Bank,6.57%,01/27/03 ...... 150,000 151,093
Capital One Bank,6.66%,06/19/00 ...... 300,000 302,841
Chemical Master Credit Card Trust,
7.09%,02/15/09 ...................... 145,000 152,657
Conoco Inc.,5.90%,04/15/04 ........... 75,000 74,625
CVS Corp.,5.50%,02/15/04 ............. 300,000 295,500
Ford Motor Credit Corp.,6.63%,10/01/28 120,000 115,189
General Motors Acceptance Corp.,
6.18%,05/15/33 ...................... 540,000 529,672
GTE Corp.,9.38%,12/01/00 ............. 200,000 211,340
Guidant Corp.,6.15%,02/15/06 ......... 250,000 243,590
Household Finance Corp.,5.88%,09/25/04 150,000 147,899
IMC Global, Inc.,7.63%,11/01/05 ...... 200,000 208,562
Korean Development Bank,7.13%,09/17/01 200,000 199,558
National Australia Bank,6.40%,12/10/07 300,000 300,012
Norwest Financial, Inc.,5.38%,09/30/03 150,000 146,714
Raytheon Co.,6.15%,11/01/08 ++ ....... 125,000 122,665
Rite Aid Corp.,6.00%,10/01/03 ........ 150,000 145,980
Simon Debartolo Group,
Inc.,6.63%,06/15/03.................. 300,000 297,480
Tenet Healthcare Corp.,7.88%,01/15/03 175,000 173,091
Time Warner, Inc.,9.13%,01/15/13 ..... 350,000 426,181
Tyco International Group
SA,6.13%,01/15/09.................... 540,000 528,039
USA Waste Management,
Inc.,6.13%,07/15/01.................. 150,000 150,248
-----------
TOTAL CORPORATE BONDS (COST $5,500,937) 5,486,638
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 16.6% )
Federal National Mortgage Association,
6.00%,06/01/28 - 02/01/29 ........... 1,497,881 1,452,945
Federal National Mortgage Association,
6.50%,08/01/28 ...................... 397,096 395,331
Federal National Mortgage Association
- Conventional Loan,6.50%,02/01/28 .. 391,322 389,582
Government National Mortgage
Association,
6.50%,02/15/26 - 02/15/29 ........... 1,319,297 1,313,432
Government National Mortgage
Association,
7.00%,04/15/27 - 02/15/28 ........... 897,947 913,036
Government National Mortgage
Association,
7.50%,12/15/23 ...................... 554,935 572,931
Government National Mortgage
Association,
8.00%,07/15/24 ...................... 116,826 121,952
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $5,200,009) 5,159,209
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS ( 4.4% )
U.S. Treasury Note,5.25%,08/15/03 .... $ 300,000 $ 299,859
U.S. Treasury Note,5.63%,05/15/08 .... 500,000 507,500
U.S. Treasury Note,6.50%,08/15/05 -
10/15/06............................. 525,000 558,633
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $1,350,168) 1,365,992
-----------
TOTAL LONG-TERM BONDS AND NOTES (COST $12,051,114) 12,011,839
-----------
SHORT-TERM INVESTMENTS ( 9.9% )
Federal Home Loan Bank,4.80%,05/03/99 1,873,000 1,873,000
Paccar Financial Corp.,4.77%,05/12/99 1,000,000 998,808
U.S. Treasury Bill,4.42%,08/19/99 @ .. 100,000 98,659
U.S. Treasury Bill,4.43%,08/19/99 @ .. 100,000 98,659
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $3,069,153) 3,069,126
-----------
TOTAL INVESTMENTS (COST
$29,550,330)(A) 30,629,004
OTHER ASSETS LESS LIABILITIES 487,166
-----------
TOTAL NET ASSETS $31,116,170
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for feeeral tax purposes amounts to $29,631,274.
Unrealized gains and losses, based on identified tax cost at April 30, 1999,
are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains........................................ $ 1,989,207
Unrealized losses ...................................... (991,477)
------------
Net unrealized gain .................................. $ 997,730
===========
</TABLE>
Information concerning open futures contracts at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ----------- ------------- ----------------
Long Contracts
- ----------------------
<S> <C> <C> <C> <C>
Long-Term EURO
Bond Futures.......... 2 $ 246,643 May 99 $ 3,597
Swiss Government Bond
Futures............... 3 262,373 Jun 99 1,997
TOPIX Index Futures... 1 99,234 Jun 99 11,477
----------- ------------
$ 608,250 $ 17,071
=========== ============
</TABLE>
See Notes to Financial Statements. 27
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
LEGACY (CONTINUED)
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ----------- ------------- ----------------
Short Contracts
- -------------------
<S> <C> <C> <C> <C>
Russell 2000 Index
Futures.............. 6 $(1,219,992) Jun 99 $ (79,158)
=========== =============
</TABLE>
+ Non-income producing security.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1999.
Information concerning restricted securities at April 30, 1999 is shown
below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------ --------
<S> <C> <C>
Beacon Capital ..................... 03/17/98 $ 46,000
Industrial & Financial Systems ..... 06/12/97 21,087
Raytheon Co. ....................... 11/02/98 124,682
--------
$191,769
========
</TABLE>
The market value of the total restricted securities above represent 0.56% of the
total net assets.
Category percentages are based on net assets.
28 See Notes to Financial Statements.
<PAGE>
GENERATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------------ -------------- ----------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value.................... $53,232,233 $47,439,512 $30,629,004
Cash ..................... -- 1,646 1,481
Cash denominated in
foreign currencies ...... 455,482 369,919 155,226
Receivable for:
Dividends and interest .. 116,575 176,631 169,664
Investments sold ........ 710,708 452,717 197,178
Fund shares sold ........ 120,410 42,841 116,382
Recoverable foreign taxes 7,427 6,952 3,576
Variation margin ........ 2,913 -- --
Reimbursement from
Investment Adviser ...... 4,453 5,031 12,458
Prepaid expenses ......... 477 453 303
Gross unrealized gain on
forward foreign currency
exchange contracts ...... 43,207 33,273 17,446
----------- ----------- -----------
Total assets ........ 54,693,885 48,528,975 31,302,718
----------- ----------- -----------
LIABILITIES:
Payable for:
Investments purchased ... 341,972 146,725 118,589
Fund shares redeemed .... 202,828 13,898 1,000
Variation margin ........ -- 268 1,926
Other liabilities ........ 315,806 75,329 62,279
Gross unrealized loss on
forward foreign currency
exchange contracts ...... 6,553 8,104 2,754
----------- ----------- -----------
Total liabilities ... 867,159 244,324 186,548
----------- ----------- -----------
NET ASSETS .............. $53,826,726 $48,284,651 $31,116,170
=========== =========== ===========
NET ASSETS REPRESENTED BY:
Paid-in capital .......... $48,744,669 $44,710,892 $29,292,099
Net unrealized gain on
investments, open futures
contracts and foreign
currency related
transactions............. 2,975,894 1,877,388 1,030,658
Undistributed net
investment income ....... 380,291 466,825 330,184
Accumulated net realized
gain on investments ..... 1,725,872 1,229,546 463,229
----------- ----------- -----------
NET ASSETS .............. $53,826,726 $48,284,651 $31,116,170
=========== =========== ===========
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
GENERATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------------ -------------- ----------------
<S> <C> <C> <C>
CAPITAL SHARES, $.001 PAR
VALUE:
Class I:
Outstanding ............. 3,529,805 3,464,711 2,382,938
Net Assets .............. $42,564,578 $40,740,244 $25,126,099
Net Asset Value, offering
and redemption price per
share (net assets divided
by shares outstanding) . $ 12.06 $ 11.76 $ 10.54
Class A:
Outstanding ............. 740,557 625,890 534,491
Net Assets .............. $ 8,882,988 $ 7,310,367 $ 5,596,125
Net Asset Value and
redemption price per
share (net assets divided
by shares outstanding) . $ 11.99 $ 11.68 $ 10.47
Offering price (net asset
value divided by 1 minus
maximum sales load) .... $ 12.72 $ 12.39 $ 11.11
Class B:
Outstanding ............. 9,310 9,017 9,921
Net Assets .............. $ 112,097 $ 105,812 $ 104,396
Net Asset Value, offering
and redemption price per
share (net assets divided
by shares outstanding) . $ 12.04 $ 11.73 $ 10.52
Class C:
Outstanding ............. 188,712 10,960 27,613
Net Assets .............. $ 2,267,063 $ 128,228 $ 289,550
Net Asset Value, offering
and redemption price per
share (net assets divided
by shares outstanding) . $ 12.01 $ 11.70 $ 10.49
Cost of investments ...... $50,028,634 $45,402,831 $29,550,330
Cost of cash denominated
in foreign currencies ... $ 458,025 $ 373,903 $ 156,831
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
----------- ----------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............................ $ 591,854 $ 442,091 $ 181,604
Interest ............................. 151,077 402,549 441,996
---------- ---------- ----------
742,931 844,640 623,600
Foreign taxes withheld on dividends .. (4,129) (3,604) (1,768)
---------- ---------- ----------
Total investment income ......... 738,802 841,036 621,832
---------- ---------- ----------
INVESTMENT EXPENSES:
Investment advisory fee .............. 185,529 177,609 113,417
Administrative services fees ......... 23,191 22,201 14,177
Distribution Plan and shareholder
services fees ....................... 9,671 6,700 6,371
Printing and postage fees ............ 5,407 5,011 4,649
Custody fees ......................... 18,165 20,361 19,801
Transfer agent fees .................. 19,519 19,105 16,258
Audit fees ........................... 14,835 14,828 14,518
Directors' fees ...................... 403 389 246
Registration fees .................... 32,816 30,521 30,797
Miscellaneous expenses ............... 1,046 1,101 601
---------- ---------- ----------
Expenses before reimbursement and
waiver from Investment Adviser ...... 310,582 297,826 220,835
Expense reimbursement and waiver from
Investment Adviser .................. (23,260) (25,070) (44,604)
---------- ---------- ----------
Net expenses .................... 287,322 272,756 176,231
---------- ---------- ----------
Net investment income ................ 451,480 568,280 445,601
---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ......................... 1,831,055 1,283,119 463,869
Futures and forward foreign currency
exchange contracts ................. 21,769 38,551 39,159
Foreign currency related transactions (42,459) (33,136) (16,790)
---------- ---------- ----------
Net realized gain on investments 1,810,365 1,288,534 486,238
---------- ---------- ----------
Net change in unrealized gain or loss
on:
Investments ......................... 3,573,052 2,537,000 1,134,500
Futures and forward foreign currency
exchange contracts ................. (122,636) (54,114) (9,472)
Foreign currency related transactions 2,755 (960) 1,137
---------- ---------- ----------
Net change in unrealized gain or
loss on investments ............ 3,453,171 2,481,926 1,126,165
---------- ---------- ----------
Net realized and change in unrealized
gain or loss on investments ......... 5,263,536 3,770,460 1,612,403
---------- ---------- ----------
Net increase in net assets resulting
from operations...................... $5,715,016 $4,338,740 $2,058,004
========== ========== ==========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
ASCENT
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 451,480 $ 735,730
Net realized gain on investments........... 1,810,365 1,359,260
Net change in unrealized gain or loss on
investments............................... 3,453,171 (3,480,248)
----------- -----------
Net increase (decrease) in net assets
resulting from operations................ 5,715,016 (1,385,258)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (616,986) (895,077)
From net realized gains................... (1,057,935) (5,380,645)
Class A:
From net investment income................ (56,893) (35,138)
From net realized gains................... (103,034) (223,061)
Class C:
From net investment income................ (1,622) --
From net realized gains................... (3,811) --
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (1,840,281) (6,533,921)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 4,532,347 20,176,464
Net asset value of shares issued upon
reinvestment of distributions............ 1,672,894 6,263,647
Payments for shares redeemed.............. (4,874,029) (8,242,505)
Class A:
Proceeds from shares sold................. 6,984,606 1,663,123
Net asset value of shares issued upon
reinvestment of distributions............ 159,927 258,199
Payments for shares redeemed.............. (1,069,726) (177,343)
Class B:
Proceeds from shares sold................. 104,569 --
Class C:
Proceeds from shares sold................. 2,108,118 143,534
Net asset value of shares issued upon
reinvestment of distributions............ 1,886 --
Payments for shares redeemed.............. (79,159) (12)
----------- -----------
Net increase in net assets from fund share
transactions............................. 9,541,433 20,085,107
----------- -----------
Net change in net assets................... 13,416,168 12,165,928
NET ASSETS:
Beginning of period........................ 40,410,558 28,244,630
----------- -----------
End of period.............................. $53,826,726 $40,410,558
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 380,291 $ 604,312
=========== ===========
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
ASCENT
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 391,863 1,608,863
Number of shares issued upon reinvestment
of distributions......................... 146,617 539,997
Number of shares redeemed................. (420,149) (627,163)
----------- -----------
Net increase.............................. 118,331 1,521,697
=========== ===========
Class A:
Number of shares sold..................... 615,228 135,610
Number of shares issued upon reinvestment
of distributions......................... 14,078 22,333
Number of shares redeemed................. (93,064) (15,049)
----------- -----------
Net increase.............................. 536,242 142,894
=========== ===========
Class B:
Number of shares sold..................... 9,310 --
----------- -----------
Net increase.............................. 9,310 --
=========== ===========
Class C:
Number of shares sold..................... 183,362 11,951
Number of shares issued upon reinvestment
of distributions......................... 165 --
Number of shares redeemed................. (6,765) (1)
----------- -----------
Net increase.............................. 176,762 11,950
=========== ===========
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
CROSSROADS
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 568,280 $ 963,741
Net realized gain on investments........... 1,288,534 1,045,935
Net change in unrealized gain or loss on
investments............................... 2,481,926 (2,930,480)
----------- -----------
Net increase (decrease) in net assets
resulting from operations................ 4,338,740 (920,804)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (705,179) (1,119,675)
From net realized gains................... (816,288) (3,810,051)
Class A:
From net investment income................ (65,730) (34,108)
From net realized gains................... (79,578) (95,586)
Class C:
From net investment income................ (3,022) --
From net realized gains................... (4,365) --
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (1,674,162) (5,059,420)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 4,161,373 20,876,851
Net asset value of shares issued upon
reinvestment of distributions............ 1,521,467 4,929,726
Payments for shares redeemed.............. (4,922,441) (8,482,094)
Class A:
Proceeds from shares sold................. 5,411,870 1,927,272
Net asset value of shares issued upon
reinvestment of distributions............ 145,122 129,555
Payments for shares redeemed.............. (642,306) (260,730)
Class B:
Proceeds from shares sold................. 100,000 --
Class C:
Proceeds from shares sold................. 65,730 169,379
Net asset value of shares issued upon
reinvestment of distributions............ 4,090 --
Payments for shares redeemed.............. (109,062) (13)
----------- -----------
Net increase in net assets from fund share
transactions............................. 5,735,843 19,289,946
----------- -----------
Net change in net assets................... 8,400,421 13,309,722
NET ASSETS:
Beginning of period........................ 39,884,230 26,574,508
----------- -----------
End of period.............................. $48,284,651 $39,884,230
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 466,825 $ 672,476
=========== ===========
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
CROSSROADS
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 365,728 1,687,088
Number of shares issued upon reinvestment
of distributions......................... 135,121 429,905
Number of shares redeemed................. (431,552) (680,662)
----------- -----------
Net increase.............................. 69,297 1,436,331
=========== ===========
Class A:
Number of shares sold..................... 478,533 160,752
Number of shares issued upon reinvestment
of distributions......................... 12,968 11,315
Number of shares redeemed................. (56,786) (22,270)
----------- -----------
Net increase.............................. 434,715 149,797
=========== ===========
Class B:
Number of shares sold..................... 9,017 --
----------- -----------
Net increase.............................. 9,017 --
=========== ===========
Class C:
Number of shares sold..................... 5,810 14,348
Number of shares issued upon reinvestment
of distributions......................... 364 --
Number of shares redeemed................. (9,561) (1)
----------- -----------
Net increase (decrease)................... (3,387) 14,347
=========== ===========
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
LEGACY
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 445,601 $ 706,968
Net realized gain on investments........... 486,238 660,618
Net change in unrealized gain or loss on
investments............................... 1,126,165 (1,171,297)
----------- -----------
Net increase in net assets resulting from
operations............................... 2,058,004 196,289
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (507,672) (951,871)
From net realized gains................... (492,687) (2,397,573)
Class A:
From net investment income................ (68,465) (61,980)
From net realized gains................... (68,973) (157,499)
Class C:
From net investment income................ (5,126) --
From net realized gains................... (5,806) --
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (1,148,729) (3,568,923)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 5,015,276 12,105,973
Net asset value of shares issued upon
reinvestment of distributions............ 999,941 2,902,692
Payments for shares redeemed.............. (3,996,771) (7,810,811)
Class A:
Proceeds from shares sold................. 4,701,336 1,559,872
Net asset value of shares issued upon
reinvestment of distributions............ 137,247 219,481
Payments for shares redeemed.............. (1,196,785) (240,347)
Class B:
Proceeds from shares sold................. 100,000 --
Class C:
Proceeds from shares sold................. 202,151 177,142
Net asset value of shares issued upon
reinvestment of distributions............ 6,720 --
Payments for shares redeemed.............. (97,068) (25)
----------- -----------
Net increase in net assets from fund share
transactions............................. 5,872,047 8,913,977
----------- -----------
Net change in net assets................... 6,781,322 5,541,343
NET ASSETS:
Beginning of period........................ 24,334,848 18,793,505
----------- -----------
End of period.............................. $31,116,170 $24,334,848
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 330,184 $ 465,846
=========== ===========
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
LEGACY
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 484,200 1,123,731
Number of shares issued upon reinvestment
of distributions......................... 97,937 284,275
Number of shares redeemed................. (387,999) (726,336)
----------- -----------
Net increase.............................. 194,138 681,670
=========== ===========
Class A:
Number of shares sold..................... 458,889 140,358
Number of shares issued upon reinvestment
of distributions......................... 13,535 21,629
Number of shares redeemed................. (116,562) (23,131)
----------- -----------
Net increase.............................. 355,862 138,856
=========== ===========
Class B:
Number of shares sold..................... 9,921 --
----------- -----------
Net increase.............................. 9,921 --
=========== ===========
Class C:
Number of shares sold..................... 19,606 16,775
Number of shares issued upon reinvestment
of distributions......................... 660 --
Number of shares redeemed................. (9,426) (2)
----------- -----------
Net increase.............................. 10,840 16,773
=========== ===========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1999 (UNAUDITED)
================================================================================
1. ORGANIZATION
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds, each of which has its
own investment objective, policies and restrictions.
This report covers three funds (each a Fund; collectively, the Generation Funds
or Funds), Aetna Ascent Fund (Ascent), Aetna Crossroads Fund (Crossroads) and
Aetna Legacy Fund (Legacy).
Shares of each Fund are available to all investors including employers and
employees who utilize the Funds as investment options under retirement plans.
The Funds are authorized to offer four classes of shares, Class I, Class A,
Class B and Class C. Class I is offered principally to institutions.
Shareholders not eligible to purchase Class I shares can purchase shares in any
other Class of the Funds. Information regarding sales charges and fees pursuant
to Rule 12b-1 of the Act are as follows:
CLASS I: No sales charges or distribution fees.
CLASS A: Generally subject to a front-end sales charge; distribution fees
of (0.25% of average net assets of the class per year.)
CLASS B: No front-end sales charge; contingent deferred sales charge
(CDSC) applies if you sell your shares within six years of
purchase; distribution fees of 0.75%; service fees of 0.25%;
automatic conversion to Class A shares after eight years.
CLASS C: No front-end sales charge; CDSC on redemptions made within 18
months of purchase; distribution fees of 0.75%; service fees of
0.25%.
Shares in each Class were first made available to the public on the following
dates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- --------
<S> <C> <C> <C> <C>
ASCENT January 4, 1995 January 20, 1997 March 1, 1999 June 30, 1998
CROSSROADS January 4, 1995 January 20, 1997 March 1, 1999 June 30, 1998
LEGACY January 4, 1995 January 20, 1997 March 1, 1999 June 30, 1998
</TABLE>
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. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly-owned subsidiaries of Aetna Inc. (Aetna).
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of the Funds have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Although actual results could differ from these estimates, any
such differences are expected to be immaterial to the net assets of the Funds.
38
<PAGE>
================================================================================
A. VALUATION OF INVESTMENTS
Investments are stated at market values based upon prices furnished by external
pricing sources as reported on national securities exchanges or, for
over-the-counter securities, at the mean of the bid and asked prices. Short-term
investments maturing in more than sixty days for which market quotations are
readily available are valued at current market value. Short-term investments
maturing in less than sixty days are valued at amortized cost, which when
combined with accrued interest, approximates market value. Securities and fixed
income investments for which market quotations are not considered to be readily
available are valued using methods approved by the Board of Directors.
The accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions. The Funds do not isolate the portion of
the results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in their market prices.
Such fluctuations are included in net realized and unrealized gain or loss on
investments.
B. 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.
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
39
<PAGE>
GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
================================================================================
fair value determined under procedures approved by the Board of Directors. The
Funds will not pay the costs of disposition of restricted securities other than
ordinary brokerage fees, if any. Below is a summary of illiquid and restricted
securities held as of April 30, 1999:
<TABLE>
<CAPTION>
% OF NET
COST MARKET VALUE ASSETS
---- ------------ --------
<S> <C> <C> <C>
Ascent $172,000 $130,075 0.24%
Crossroads 130,000 98,313 0.20%
Legacy 46,000 34,788 0.11%
</TABLE>
D. FEDERAL INCOME TAXES
Each Fund has met the requirements to be taxed as a regulated investment company
for the year ended October 31, 1998 and intends to meet the requirement 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.
The Company and Aeltus have entered into an Administrative Services Agreement
under which Aeltus acts as administrator and provides certain administrative and
shareholder services and is responsible for the supervision of other service
providers for each Fund. Each Fund pays Aeltus an administrative services fee at
an annual rate of 0.10% of its average daily net assets.
Aeltus has entered into a Service Agreement with Aetna Life Insurance and
Annuity Company (ALIAC) under which ALIAC will provide various administrative
and shareholder services to certain shareholders that purchased their shares
through ALIAC. In exchange for these services, Aeltus pays ALIAC a fee of up to
0.40% of the average daily net assets associated with those shares. For the
period November 1, 1998 through April 30, 1999, Aeltus paid ALIAC $211,733.
The Company has adopted a Shareholder Services Plan for the Class B and Class C
shares. Under the Shareholder Services Plan, ACI is paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class B and Class C
shares. This fee is used as compensation for expenses incurred in servicing
shareholders' accounts.
40
<PAGE>
================================================================================
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for Class A, Class B and Class C shares. The Distribution Plan provides for
payments to the principal underwriter at an annual rate of 0.25% of the average
daily net assets of Class A shares of each Fund and 0.75% of the average daily
net assets of Class B and Class C shares of each Fund. Amounts paid by the Funds
are used to pay expenses incurred by the principal underwriter in promoting the
sale of Class A, Class B and Class C shares. The Distribution Plan may be
terminated as to each class of shares upon a majority vote of the Company's
independent directors.
Presently, the Funds' class-specific expenses are limited to distribution fees
incurred by Class A, Class B and Class C shares and service fees incurred by
Class B and Class C shares.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse each
Fund for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase a Fund's yield and total return.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the year ended April 30, 1999 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Ascent $32,233,788 $24,015,664
Crossroads 27,216,660 20,159,002
Legacy 17,185,396 9,912,591
</TABLE>
6. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of April 30, 1999, the Generation Funds had the following open forward
foreign currency exchange contracts that obligate the Funds to deliver
currencies at specified future dates. Ascent, Crossroads and Legacy's net
unrealized gain of $36,654, $25,169 and $14,692, 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 APRIL 30, 1999 BE RECEIVED APRIL 30, 1999 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
5/5/99 58,226 $58,226 36,000 $57,999 ($227)
U.S. Dollar British Pound
- --------------------------------------------------------------------------------------
6/25/99 61,992 61,992 58,000 61,077 (915)
U.S. Dollar Euro
- --------------------------------------------------------------------------------------
6/25/99 138,586 138,586 130,000 136,895 (1,691)
U.S. Dollar Euro
- --------------------------------------------------------------------------------------
7/27/99 113,908 113,908 13,560,000 114,998 1,090
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
5/4/99 116,000 76,537 75,458 75,458 (1,079)
Australian Dollar U.S. Dollar
- --------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
ASCENT (CONTINUED)
- ------------------
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1999 BE RECEIVED APRIL 30, 1999 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO SELL (CONTINUED)
- -----------------------------
5/4/99 231,000 $244,535 246,075 $246,075 $1,540
Euro U.S. Dollar
- --------------------------------------------------------------------------------------
5/12/99 175,164 185,250 198,892 198,892 13,642
Euro U.S. Dollar
- --------------------------------------------------------------------------------------
6/25/99 307,026 323,313 336,447 336,447 13,134
Euro U.S. Dollar
- --------------------------------------------------------------------------------------
7/19/99 128,814 135,371 139,602 139,602 4,231
Euro U.S. Dollar
- --------------------------------------------------------------------------------------
5/6/99 15,070,000 126,559 125,208 125,208 (1,351)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------
5/26/99 16,340,000 137,416 136,280 136,280 (1,136)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------
6/17/99 32,110,000 270,764 275,386 275,386 4,622
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------
7/27/99 10,450,000 88,623 88,469 88,469 (154)
Japanese Yen U.S. Dollar
- --------------------------------------------------------------------------------------
6/7/99 220,000 145,120 150,068 150,068 4,948
Swiss Franc U.S. Dollar
- --------------------------------------------------------------------------------------
$36,654
===============
<CAPTION>
CROSSROADS
- ----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
5/5/99 45,287 45,287 28,000 45,110 (177)
U.S. Dollar British Pound
- --------------------------------------------------------------------------------------
6/25/99 55,579 55,579 52,000 54,758 (821)
U.S. Dollar Euro
- --------------------------------------------------------------------------------------
6/25/99 149,247 149,247 140,000 147,427 (1,820)
U.S. Dollar Euro
- --------------------------------------------------------------------------------------
7/27/99 77,536 77,536 9,230,000 78,277 741
U.S. Dollar Japanese Yen
- --------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
5/4/99 86,000 56,743 55,943 55,943 (800)
Australian Dollar U.S. Dollar
- --------------------------------------------------------------------------------------
5/4/99 209,000 221,246 222,639 222,639 1,393
Euro U.S. Dollar
- --------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
================================================================================
<TABLE>
<CAPTION>
CROSSROADS (CONTINUED)
- ----------------------
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1999 BE RECEIVED APRIL 30, 1999 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO SELL (CONTINUED)
- -----------------------------
5/12/99 110,373 $116,728 125,324 $125,324 $8,596
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
6/25/99 280,292 295,160 307,151 307,151 11,991
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
7/19/99 169,091 177,698 183,253 183,253 5,555
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
5/6/99 10,250,000 86,080 85,161 85,161 (919)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
5/26/99 7,510,000 63,158 61,750 61,750 (1,408)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
5/26/99 30,430,000 255,911 253,795 253,795 (2,116)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
6/17/99 5,020,000 42,330 43,053 43,053 723
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
7/27/99 2,900,000 24,594 24,551 24,551 (43)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
6/7/99 190,000 125,330 129,604 129,604 4,274
Swiss Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------
$25,169
===============
<CAPTION>
LEGACY
- ------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
5/5/99 25,878 25,878 16,000 25,777 (101)
U.S. Dollar British Pound
- ----------------------------------------------------------------------------------------------
6/25/99 24,583 24,583 23,000 24,220 (363)
U.S. Dollar Euro
- ----------------------------------------------------------------------------------------------
6/25/99 85,284 85,284 80,000 84,244 (1,040)
U.S. Dollar Euro
- ----------------------------------------------------------------------------------------------
7/27/99 24,781 24,781 2,950,000 25,018 237
U.S. Dollar Japanese Yen
- ----------------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
5/4/99 41,000 27,052 26,671 26,671 (381)
Australian Dollar U.S. Dollar
- ----------------------------------------------------------------------------------------------
5/4/99 92,000 97,390 98,004 98,004 614
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
LEGACY (CONTINUED)
- ------------------
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED APRIL 30, 1999 BE RECEIVED APRIL 30, 1999 GAIN (LOSS)
---- ------------ -------------- ----------- -------------- -----------
CONTRACTS TO SELL (CONTINUED)
- -----------------------------
<S> <C> <C> <C> <C> <C>
5/12/99 58,236 $61,589 66,124 $66,124 4,535
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
6/25/99 147,304 155,118 161,419 161,419 6,301
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
7/19/99 72,603 76,298 78,683 78,683 2,385
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------------
5/6/99 3,280,000 27,546 27,252 27,252 (294)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
5/26/99 6,870,000 57,775 57,298 57,298 (477)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
6/17/99 7,820,000 65,941 67,067 67,067 1,126
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
7/27/99 6,640,000 56,312 56,214 56,214 (98)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------------
6/7/99 100,000 65,964 68,212 68,212 2,248
Swiss Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------
$14,692
===============
</TABLE>
7. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 12.6 billion shares. Of those 12.6
billion, 100 million shares each of Class I, Class A, Class B and Class C have
been designated to the Funds listed below. As of April 30, 1999, the following
shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
Ascent 3,482,477 576,054 8,921 2,346
Crossroads 3,441,811 517,416 9,017 --
Legacy 2,364,201 361,258 9,921 --
</TABLE>
44
<PAGE>
GENERATION FUNDS
ADDITIONAL INFORMATION
APRIL 30, 1999 (UNAUDITED)
================================================================================
YEAR 2000
The Funds receive services from a number of providers which rely on the
effective functioning of their respective systems and the systems of others to
perform those services. It is generally recognized that certain systems in use
today may not be able to perform their intended functions adequately after 1999
because of the inability of computer systems and software to distinguish the
year 2000 from the year 1900. Aeltus is taking steps that it believes are
reasonably designed to address this potential "Year 2000" problem and to obtain
satisfactory information that comparable steps are being taken by each of the
Funds' other major service providers. There can be no assurance, however, that
these steps will be sufficient to avoid any adverse impact on the Funds from
this problem.
45
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS
ASCENT
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 4, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1998 1997 1996 TO OCTOBER 31, 1995
- ------------------------------------------ -------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 11.14 $ 14.48 $ 12.57 $ 11.67 $ 10.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.11 0.24 0.21 0.21 0.25
Net realized and change in unrealized
gain or loss on investments ............. 1.30 (0.41) 2.92 2.04 1.42
------- ------- ------- ------- -------
Total from investment operations ...... 1.41 (0.17) 3.13 2.25 1.67
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .............. (0.18) (0.41) (0.25) (0.38) --
From net realized gains on investments .. (0.31) (2.76) (0.97) (0.97) --
------- ------- ------- ------- -------
Total distributions ................... (0.49) (3.17) (1.22) (1.35) --
------- ------- ------- ------- -------
Net asset value, end of period ........... $ 12.06 $ 11.14 $ 14.48 $ 12.57 $ 11.67
======= ======= ======= ======= =======
Total return ............................. 12.91% (1.90)% 26.59% 20.94% 16.70%
Net assets, end of period (000's) ........ $42,565 $38,012 $27,359 $25,752 $20,433
Ratio of net expenses to average
net assets .............................. 1.20%(1) 1.24% 1.52% 1.73% 1.38%(1)
Ratio of net investment income to average
net assets .............................. 1.99%(1) 2.00% 1.53% 1.69% 2.80%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............ 1.30%(1) 1.43% 1.61% -- --
Portfolio turnover rate .................. 53.08% 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.
46 See Notes to Financial Statements.
<PAGE>
ASCENT
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 20, 1997
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 1999 OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1998 TO OCTOBER 31, 1997
- --------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $11.09 $ 14.42 $ 12.50
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.10 0.20 0.15
Net realized and change in
unrealized gain or loss on
investments.............. 1.28 (0.40) 1.77
------ ------- -------
Total from investment
operations............. 1.38 (0.20) 1.92
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.17) (0.37) --
From net realized gains on
investments.............. (0.31) (2.76) --
------ ------- -------
Total distributions .... (0.48) (3.13) --
------ ------- -------
Net asset value, end of
period.................... $11.99 $ 11.09 $ 14.42
====== ======= =======
Total return .............. 12.69% (2.17)% 15.36%
Net assets, end of period
(000's)................... $8,883 $ 2,266 $ 886
Ratio of net expenses to
average net assets ....... 1.45%(1) 1.53% 2.08%(1)
Ratio of net investment
income to average net
assets.................... 1.74%(1) 1.71% 1.11%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.55%(1) 1.72% 2.35%(1)
Portfolio turnover rate ... 53.08% 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. 47
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
ASCENT
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $11.21
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... 0.02
Net realized and change in unrealized gain or loss on
investments.............................................. 0.81
------
Total from investment operations ...................... 0.83
------
Net asset value, end of period ........................... $12.04
======
Total return ............................................. 7.40%
Net assets, end of period (000's) ........................ $ 112
Ratio of net expenses to average net assets .............. 2.20%(1)
Ratio of net investment income to average net assets ..... 0.99%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 2.30%(1)
Portfolio turnover rate .................................. 53.08%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
48 See Notes to Financial Statements.
<PAGE>
ASCENT
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $11.11 $ 12.49
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.06 0.04
Net realized and change in unrealized
gain or loss on investments .......... 1.28 (1.42)
------ -------
Total from investment operations .... 1.34 (1.38)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.13) --
From net realized gains on investments (0.31) --
------ -------
Total distributions ................. (0.44) --
------ -------
Net asset value, end of period ......... $12.01 $ 11.11
====== =======
Total return ........................... 12.28% (11.05)%
Net assets, end of period (000's) ...... $2,267 $ 133
Ratio of net expenses to average net
assets................................. 2.18%(1) 2.23%(1)
Ratio of net investment income to
average net assets .................... 1.00%(1) 1.01%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.28%(1) 2.42%(1)
Portfolio turnover rate ................ 53.08% 105.08%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 49
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 4, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1998 1997 1996 TO OCTOBER 31, 1995
- ------------------------------------------ -------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 11.08 $ 13.29 $ 12.16 $ 11.53 $ 10.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.15 0.31 0.27 0.25 0.29
Net realized and change in unrealized
gain or loss on investments ............ 0.98 (0.37) 2.16 1.64 1.24
------- ------- ------- ------- -------
Total from investment operations ...... 1.13 (0.06) 2.43 1.89 1.53
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .............. (0.21) (0.45) (0.30) (0.44) --
From net realized gains on investments .. (0.24) (1.70) (1.00) (0.82) --
------- ------- ------- ------- -------
Total distributions ................... (0.45) (2.15) (1.30) (1.26) --
------- ------- ------- ------- -------
Net asset value, end of period ........... $ 11.76 $ 11.08 $ 13.29 $ 12.16 $ 11.53
======= ======= ======= ======= =======
Total return ............................. 10.31% (0.87)% 21.65% 17.66% 15.30%
Net assets, end of period (000's) ........ $40,740 $37,620 $26,028 $22,947 $20,370
Ratio of net expenses to average net
assets .................................. 1.20%(1) 1.24% 1.57% 1.74% 1.40%(1)
Ratio of net investment income to average
net assets .............................. 2.59%(1) 2.61% 2.13% 2.18% 3.26%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............ 1.31%(1) 1.40% 1.66% -- --
Portfolio turnover rate .................. 49.94% 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.
50 See Notes to Financial Statements.
<PAGE>
CROSSROADS
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 20, 1997
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 1999 OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1998 TO OCTOBER 31, 1997
- --------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $11.01 $ 13.22 $ 11.67
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.13 0.27 0.30
Net realized and change in
unrealized gain or loss on
investments.............. 0.98 (0.37) 1.25
------ ------- -------
Total from investment
operations............. 1.11 (0.10) 1.55
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.20) (0.41) --
From net realized gains on
investments.............. (0.24) (1.70) --
------ ------- -------
Total distributions .... (0.44) (2.11) --
------ ------- -------
Net asset value, end of
period.................... $11.68 $ 11.01 $ 13.22
====== ======= =======
Total return .............. 10.19% (1.17)% 13.28%
Net assets, end of period
(000's)................... $7,310 $ 2,105 $ 547
Ratio of net expenses to
average net assets ....... 1.45%(1) 1.52% 2.11%(1)
Ratio of net investment
income to average net
assets.................... 2.34%(1) 2.33% 1.64%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.56%(1) 1.68% 2.41%(1)
Portfolio turnover rate ... 49.94% 115.65% 161.75%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 51
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $11.09
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................................... 0.03
Net realized and change in unrealized gain or loss on
investments............................................. 0.61
------
Total from investment operations ...................... 0.64
------
Net asset value, end of period ........................... $11.73
======
Total return ............................................. 5.77%
Net assets, end of period (000's) ........................ $ 106
Ratio of net expenses to average net assets .............. 2.20%(1)
Ratio of net investment income to average net assets ..... 1.59%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 2.31%(1)
Portfolio turnover rate .................................. 49.94%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
52 See Notes to Financial Statements.
<PAGE>
CROSSROADS
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $11.04 $ 12.18
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.09 0.06
Net realized and change in unrealized
gain or loss on investments .......... 0.97 (1.20)
------ -------
Total from investment operations .... 1.06 (1.14)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.16) --
From net realized gains on investments (0.24) --
------ -------
Total distributions ................. (0.40) --
------ -------
Net asset value, end of period ......... $11.70 $ 11.04
====== =======
Total return ........................... 9.76% (9.36)%
Net assets, end of period (000's) ...... $ 128 $ 158
Ratio of net expenses to average net
assets................................. 2.20%(1) 2.24%(1)
Ratio of net investment income to
average net assets .................... 1.59%(1) 1.61%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.31%(1) 2.40%(1)
Portfolio turnover rate ................ 49.94% 115.65%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 53
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
LEGACY
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 4, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 1999 OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1998 1997 1996 TO OCTOBER 31, 1995
- ------------------------------------------ -------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 10.21 $ 12.15 $ 11.64 $ 11.41 $ 10.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.16 0.35 0.32 0.29 0.33
Net realized and change in unrealized
gain or loss on investments ............ 0.61 (0.07) 1.41 1.20 1.08
------- ------- ------- ------- -------
Total from investment operations ...... 0.77 0.28 1.73 1.49 1.41
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .............. (0.22) (0.60) (0.33) (0.50) --
From net realized gains on investments .. (0.22) (1.62) (0.89) (0.76) --
------- ------- ------- ------- -------
Total distributions ................... (0.44) (2.22) (1.22) (1.26) --
------- ------- ------- ------- -------
Net asset value, end of period ........... $ 10.54 $ 10.21 $ 12.15 $ 11.64 $ 11.41
======= ======= ======= ======= =======
Total return ............................. 7.69% 2.51% 15.94% 14.11% 14.10%
Net assets, end of period (000's) ........ $25,126 $22,352 $18,313 $22,326 $19,651
Ratio of net expenses to
average net assets ...................... 1.20%(1) 1.24% 1.63% 1.73% 1.42%(1)
Ratio of net investment income to average
net assets .............................. 3.19%(1) 3.26% 2.77% 2.62% 3.75%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............ 1.51%(1) 1.67% 1.75% -- --
Portfolio turnover rate .................. 41.96% 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.
54 See Notes to Financial Statements.
<PAGE>
LEGACY
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 20, 1997
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 1999 OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1998 TO OCTOBER 31, 1997
- --------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $10.15 $ 12.09 $ 11.01
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.15 0.31 0.29
Net realized and change in
unrealized gain or loss on
investments.............. 0.61 (0.06) 0.79
------ ------- -------
Total from investment
operations............. 0.76 0.25 1.08
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.22) (0.57) --
From net realized gains on
investments.............. (0.22) (1.62) --
------ ------- -------
Total distributions .... (0.44) (2.19) --
------ ------- -------
Net asset value, end of
period.................... $10.47 $ 10.15 $ 12.09
====== ======= =======
Total return .............. 7.55% 2.29% 9.81%
Net assets, end of period
(000's)................... $5,596 $ 1,812 $ 481
Ratio of net expenses to
average net assets ....... 1.45%(1) 1.53% 2.21%(1)
Ratio of net investment
income to average net
assets.................... 2.94%(1) 2.97% 2.39%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.76%(1) 1.96% 2.50%(1)
Portfolio turnover rate ... 41.96% 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. 55
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
LEGACY
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $10.08
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................................... 0.04
Net realized and change in unrealized gain or loss on
investments............................................. 0.40
------
Total from investment operations ...................... 0.44
------
Net asset value, end of period ........................... $10.52
======
Total return ............................................. 4.37%
Net assets, end of period (000's) ........................ $ 104
Ratio of net expenses to average net assets .............. 2.20%(1)
Ratio of net investment income to average net assets ..... 2.19%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 2.51%(1)
Portfolio turnover rate .................................. 41.96%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
56 See Notes to Financial Statements.
<PAGE>
LEGACY
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $10.18 $ 10.72
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.11 0.08
Net realized and change in unrealized
gain or loss on investments .......... 0.61 (0.62)
------ -------
Total from investment operations .... 0.72 (0.54)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.19) --
From net realized gains on investments (0.22) --
------ -------
Total distributions ................. (0.41) --
------ -------
Net asset value, end of period ......... $10.49 $ 10.18
====== =======
Total return ........................... 7.18% (5.04)%
Net assets, end of period (000's) ...... $ 290 $ 171
Ratio of net expenses to average net
assets................................. 2.20%(1) 2.24%(1)
Ratio of net investment income to
average net assets .................... 2.19%(1) 2.26%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.51%(1) 2.67%(1)
Portfolio turnover rate ................ 41.96% 115.12%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 57
