<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter.....................................................1
GROWTH & INCOME FUNDS:
Investment Review......................................................3
Portfolios of Investments:
Aetna Balanced Fund...................................................13
Aetna Growth and Income Fund..........................................22
Aetna Real Estate Securities Fund.....................................28
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 Fellow Shareholder,
Thank you for investing in the Aetna Series Fund, Inc. With nearly 9,000 mutual
funds available in today's market, we appreciate your confidence in us.
A brief review of the economy over the past six months lends some interesting
insights into the performance of financial markets. The U.S. economy grew at an
astonishing annualized rate of 7.3% in the fourth quarter of 1999 and 5.4% in
the first quarter of 2000, as measured by real Gross Domestic Product. The pace
of this wealth-induced growth, combined with other inflation concerns, has led
the Federal Reserve to raise the Federal Funds rate by 0.75% since November to
its current 6.00%, and the end is not yet in sight. Still, consumers remained
confident about the economy, and economic statistics continued to show strength.
Equity markets experienced significant volatility but ended positively despite
rising interest rates. Often extreme, this volatility plagued all facets of the
stock market during the first four months of 2000, but was most noticeable in
the technology sector. Domestic bonds produced positive returns despite interest
rate increases by the Federal Reserve, and short-term interest rates moved
higher than long-term interest rates.
The Fund and its advisor, Aeltus Investment Management, Inc., strive to
continuously improve its products and services. Here are some highlights of our
recent efforts:
o AETNA PRINCIPAL PROTECTION FUND II enjoyed a successful offering, as
investors committed nearly $130 million to the fund; AETNA PRINCIPAL
PROTECTION FUND III is in its offering period until May 30, 2000. These
innovative total-return funds offer investors downside protection - while
providing investors the opportunity for upside market potential.
o On December 22, 1999, Aeltus announced the acquisition of a minority equity
interest in ELIJAH ASSET MANAGEMENT, LLC (EAM), headquartered in San
Francisco. EAM is known as a skilled manager of specialized growth and
technology funds.
o AETNA TECHNOLOGY FUND was launched on March 1, 2000. Sub-advised by EAM,
this fund seeks long-term capital appreciation by investing primarily in
common stocks of companies in the technology sector.
o Your Board of Directors considered and agreed to submit to you a proposal
(proxy) to LIQUIDATE FOUR FUNDS: Aetna Mid Cap Fund, Aetna Real Estate
Securities Fund, Aetna High Yield Fund and Aetna Index Plus Bond Fund.
Proxy materials will be mailed to those of you in these funds on or about
May 30, 2000, with a proposed liquidation date on or before September 1,
2000.
o On March 31, five of our funds were recognized by Morningstar, Inc. with
four and five star ratings.
This is merely a sample of some of the ways we have set out to fulfill our
commitment to bringing you our best in products and services. Again, we very
much appreciate and value your continued confidence in our funds and in Aeltus.
Sincerely,
[Graphic; signature of J. Scott Fox]
J. Scott Fox
President
Aetna Series Fund, Inc.
A prospectus containing more complete information including charges and expenses
is available from your financial advisor, at www.aetnafunds.com, or by calling
800-238-6263, option 2. Read the prospectus carefully before investing.
1
<PAGE>
AETNA BALANCED FUND
Growth of $10,000
[Line chart data]
<TABLE>
<CAPTION>
60% S&P 500/
Aetna Balanced Lehman Brothers 40% Lehman Aggregate
Fund (Class I) S&P 500 Index Aggregate Bond Index Bond Index
<S> <C> <C> <C> <C>
Jan-92 10,000 10,000 10,000 10,000
10,020 9,747 9,872 9,797
10,309 9,932 10,271 10,068
10,459 10,245 10,712 10,433
Dec-92 10,669 10,760 10,741 10,758
10,989 11,231 11,185 11,219
11,119 11,286 11,481 11,373
11,449 11,577 11,781 11,668
Dec-93 11,709 11,845 11,788 11,833
11,398 11,396 11,450 11,429
11,268 11,444 11,332 11,412
11,531 12,004 11,401 11,775
Dec-94 11,509 12,002 11,444 11,794
12,053 13,170 12,021 12,720
13,078 14,428 12,753 13,758
13,890 15,575 13,003 14,520
Dec-95 14,522 16,513 13,557 15,294
14,907 17,400 13,317 15,671
15,460 18,181 13,393 16,129
16,066 18,743 13,641 16,555
Oct-96 16,394 19,260 13,944 16,975
17,289 21,575 14,094 18,264
17,040 22,095 14,182 18,580
19,685 26,439 14,877 21,107
Oct-97 19,602 25,447 15,183 20,813
20,417 27,384 15,604 21,991
22,145 31,174 15,725 23,865
22,211 31,542 16,043 24,230
Oct-98 21,711 31,047 16,598 24,441
24,175 36,281 16,862 27,029
24,588 37,975 16,712 27,689
24,522 37,915 16,433 27,497
Oct-99 24,922 39,014 16,686 28,155
25,719 40,032 16,551 28,523
Apr-00 26,943 41,818 16,923 29,570
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------
Average Annual Total Returns
for the period ended April 30, 2000*
----------------------------------------
1 Year 5 Years Inception
----------------------------------------
<S> <C> <C> <C>
Class I 9.63% 16.85% 12.64%
----------------------------------------
Class A:
POP (1) 3.15% 14.90% 11.14%
NAV (2) 9.42% 16.27% 11.94%
----------------------------------------
Class B:
w/CDSC (3) 3.65% 15.48% 11.53%
NAV 8.65% 15.70% 11.53%
----------------------------------------
Class C:
w/CDSC (4) 7.65% 15.69% 11.52%
NAV 8.65% 15.69% 11.52%
----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (01/03/92), adjusted for fees and expenses charged to
the appropriate class. Class I, Class A, Class B and Class C shares participate
in the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA BALANCED FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Balanced Fund Class I shares generated a 8.11% total return, net of
fund expenses, for the six month period ended April 30, 2000. The benchmark, 60%
Standard & Poor's (S&P) 500 Index(a)/40% Lehman Brothers Aggregate Bond
Index(b), returned 5.03% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The economy expanded at a 7.3% annual pace in the fourth quarter of 1999 and
continued to grow at a healthy pace of 5.4% in the first quarter of 2000, as
measured by real Gross Domestic Product. This wealth-induced growth, combined
with inflation concerns (increased labor costs, high oil prices, continued tight
labor markets and strong National Association of Pur-
See Definition of Terms. 3
<PAGE>
chasing Management prices paid index results) has led to a gradual tightening
strategy by the Federal Open Market Committee of the Federal Reserve Bank (the
"Fed"). Since November, the Federal Funds rate was increased 75 basis points to
6.00%, and the end of the tightening is not yet in sight. (One basis point is
equal to one hundredth of a percent, or 0.01%.) Despite the three rate hikes by
the Fed, consumers continued to be confident about the economy and economic
statistics continued to show strength.
Over the past six months, equity markets experienced significant volatility but
ended up advancing despite the rise in interest rates. Equity performance for
the period was led by small and mid cap stocks as measured by the Russell 2000
Index(d) (+18.72%) and the S&P MidCap 400 Index(c) (+21.26%). Large cap stocks,
as measured by the S&P 500 Index, came in considerably behind the Russell 2000
Index, returning 7.20%. (Market capitalization, or cap, is the value of a
company based on the market price of its stock. Market cap is calculated by
multiplying the number of shares outstanding by the current price of a single
share.)
After strong performance during the last two months of 1999, volatility plagued
large, mid and small cap stocks during the first four months of 2000. For those
four months, small and mid cap stocks ended in positive territory, posting a
gain of 4.15% but large cap stocks ended the same period with a negative 0.78%
return.
Despite the volatility, year to date sales of mutual funds remain strong. During
the first three months of 2000, Financial Research Corporation estimated that
mutual funds received inflows of $68.1 billion compared to $50.9 billion for the
same period a year ago.
Domestic bonds, as measured by the Lehman Brothers Aggregate Bond Index produced
a total return of 1.42% during the six month period, despite the Fed's rate
increases. The big story in Treasuries was not the change in yield levels as
much as the violent change in the shape of the yield curve, from a positively
sloped curve to an inverted one. (An inverted yield curve occurs when short-term
interest rates are higher than long-term interest rates.) While 30-year bond
yields declined 20 basis points, two-year bond yields increased 89 basis points.
This inversion is due not solely to the lower supply of Treasuries in the long
end (much of the Treasuries buyback program will be concentrated in the long
end), but also reflects a Treasury market that expects the Fed to continue
raising the Fed Funds rate in order to slow the economy.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
Large Cap Stocks:
The large cap portion performed well during the period. The quantitative model
provided good discrimination between stocks with high relative returns and those
with low relative returns. The model's factors relating to equity analyst
earnings estimates and price momentum were particularly effective. The model's
P/E factor, like other value factors, performed poorly during the quarter. The
average return of the 10% of stocks in the S&P 500 with the lowest P/E was lower
than the average return of the 10% of stocks with the highest P/E by 40%. (The
Price/Earnings multiple, or P/E, is calculated by dividing the price of one
share by the earnings per share generated by the firm. A measure of the
attractiveness of a particular security, the P/E ratio gives investors an idea
of how much they are paying for earning power.)
Within the S&P 500 Index, smaller stocks generally underperformed larger stocks.
On an equally weighted basis, the S&P 500 rose 5.2% while the Index's market cap
weighted return was 7.2%. The large cap portion of the Fund benefited from the
large number of well-ranked stocks in the technology sector; that sector had the
highest absolute return during the period. Conversely, there were very few
well-ranked stocks in the consumer non-durables sector. Our resulting
underweight in that sector added to performance.
Mid and Small Cap Stocks:
The performance of the small to mid cap portion of the Fund was primarily due to
our overweighted position in two areas: biotechnology and technology. Our
decision to overweight biotechnology made a significant contribution to our
strong performance.
4 See Definition of Terms.
<PAGE>
In technology, we benefited primarily from strong stock selection. Our holdings
in energy, commercial services and raw materials generally added to performance,
while holdings in the financial and consumer discretionary area hurt
performance.
Fixed Income:
Fixed income performance within the Fund was negatively impacted by an exposure
to international bonds. These bonds underperformed as domestic growth continued
strong against foreign economies, and the U.S. dollar appreciated against the
Euro (the single European currency introduced in January 1999).
Underweighting our holdings in investment grade corporate bonds, agency bonds
and mortgage-backed securities had mixed results early in the period. However,
overweighting these sectors late in the period detracted from performance as
these sectors all underperformed Treasuries.
The impact of duration was mixed, although our short duration posture over much
of the period paid off as rates increased.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The impact of the five Fed interest rate hikes since June 1999 and the prospect
of additional Fed intervention could weigh heavily on equity markets over the
next few months. As investors, we are faced with these questions: when will the
economy begin to slow, and what will be the impact on the equity markets? If the
Fed has done its job correctly, the slowdown should be modest. Under these
conditions, equity markets could continue to show strength but perhaps at a
slower pace than prior years, and with a broader participation in the number of
stocks. Many of the factors that have positively influenced the economy and the
equity market are still intact. Those factors include low inflation,
productivity improvements, technological advances, and global economic strength.
This strong foundation should continue to have a positive effect on the
direction of the stock market.
On the bond side, we expect the yield curve to remain inverted until it appears
likely that the Fed is nearing its goal. With spreads at historically wide
levels, we are comfortable with an overweight position in totality across A- and
above rated corporate and agency issues, but expect to remain defensive and
trend toward underweight positions in BBB- rated securities. While we don't
think we will get back to historical averages any time soon, due to some of the
previously mentioned risk factors, we do think the risk/reward tradeoff is
attractive at current levels.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 3.2% 2.3% 0.9%
Commercial Services 2.4% 1.2% 1.2%
Consumer Discretionary 10.2% 11.1% (0.9)%
Consumer Non-Discretionary 3.9% 5.2% (1.3)%
Energy 8.0% 6.1% 1.9%
Finance 12.1% 12.8% (0.7)%
Healthcare 8.9% 10.4% (1.5)%
Manufacturing 9.7% 10.0% (0.3)%
Technology 34.3% 31.9% 2.4%
Utilities 7.3% 9.0% (1.7)%
</TABLE>
See Definition of Terms. 5
<PAGE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Intel Corp. 2.4%
Cisco Systems, Inc. 2.3%
General Electric Co. 1.8%
Microsoft Corp. 1.7%
Exxon Mobil Corp. 1.5%
Oracle Corp. 1.3%
Citigroup, Inc. 0.9%
Wal-Mart Stores, Inc. 0.9%
Hewlett Packard Co. 0.8%
International Business Machines Corp. 0.7%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE INCOME HOLDINGS ASSETS
<S> <C>
Government National Mortgage Association, 7.00%, 12/15/28 1.4%
Federal National Mortgage Association, 6.50%, 09/15/09 1.4%
Federal Home Loan Mortgage Association, 7.00%, 03/15/10 1.4%
Federal National Mortgage Association, 6.63%, 09/15/09 1.3%
Government National Mortgage Association, 7.50%, 12/15/23 1.3%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 2000. 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>
AETNA GROWTH AND INCOME FUND
Growth of $10,000
[Line chart data]
<TABLE>
<CAPTION>
Aetna Growth and
Income Fund (Class I) S&P 500 Index
<S> <C> <C>
Jan-92 10,000 10,000
9,940 9,747
9,940 9,932
10,299 10,245
Dec-92 10,779 10,760
11,060 11,231
10,929 11,286
11,199 11,577
Dec-93 11,489 11,845
11,149 11,396
11,093 11,444
11,413 12,004
Dec-94 11,449 12,002
12,127 13,170
13,225 14,428
14,350 15,575
Dec-95 15,056 16,513
15,884 17,400
16,701 18,181
17,397 18,743
Oct-96 17,955 19,260
20,306 21,575
20,225 22,095
24,486 26,439
Oct-97 24,677 25,447
25,126 27,384
28,458 31,174
27,667 31,542
Oct-98 25,619 31,047
30,374 36,281
30,599 37,975
31,267 37,915
Oct-99 31,511 39,014
32,626 40,032
Apr-00 34,161 41,818
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------
Average Annual Total Returns
for the period ended April 30, 2000*
----------------------------------------
1 Year 5 Years Inception
----------------------------------------
<S> <C> <C> <C>
Class I 11.64% 22.36% 15.90%
----------------------------------------
Class A:
POP (1) 4.98% 20.30% 14.42%
NAV (2) 11.38% 21.73% 15.23%
----------------------------------------
Class B:
w/CDSC (3) 5.98% 20.96% 14.75%
NAV 10.54% 21.15% 14.75%
----------------------------------------
Class C:
w/CDSC (4) 9.60% 21.15% 14.75%
NAV 10.51% 21.15% 14.75%
----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (01/03/92), adjusted for fees and expenses charged to
the appropriate class. Class I, Class A, Class B and Class C shares participate
in the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA GROWTH AND INCOME FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Growth and Income Fund Class I shares generated a 8.41% total return,
net of fund expenses, for the six month period ended April 30, 2000. The
benchmark, Standard & Poor's (S&P) 500 Index(a), returned 7.20% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
Most major equity markets experienced strong performance over the past six
months. Leading the way were small and mid cap stocks, as evidenced by increases
in the Russell 2000 Index(d), up 18.72%, and the S&P MidCap 400 Index(c), up
21.26%, compared to 7.20% for the S&P 500 Index, a typical measure of large cap
stocks. (Market capitalization, or cap, is the value of a company based on the
market price of its stock. Market cap is calculated by multiplying the number of
shares outstanding by the current price of a single share.) Our investments in
small and mid cap stocks contributed significantly to the Fund's outperformance.
See Definition of Terms. 7
<PAGE>
Growth stocks outperformed value stocks this period, with the S&P Growth
Index(i) up 10.82% compared to 2.64% for the S&P Value Index(j). Since the end
of February however, growth stocks have suffered as a result of increased
volatility in the technology sector, and value stocks have reaped the rewards of
investors looking for a safe haven. (Value stocks are those that appear
currently undervalued, typically selling at a low price/earnings ratio. Growth
stocks are those that have experienced and are expected to continue to
experience consistently high growth in operations and earnings, normally paying
little or no dividends.)
Although the Federal Reserve Bank (the Fed) implemented more interest rate
increases, thereby raising short-term interest rates to 6.00%, concerns around
reduced money supply continued to weigh down long-term interest rates, thus the
30-year Treasury bond yield fell from 6.25% to 5.96%.
The asset allocation breakdown is as follows:
<TABLE>
<CAPTION>
ASSET CLASS BENCHMARK INDEX INDEX RETURN
<S> <C> <C>
Large Company Stocks S&P 500 Index (a) 7.20%
Mid Company Stocks S&P MidCap 400 Index (c) 21.26%
Small Company Stocks Russell 2000 Index (d) 18.72%
International Stocks MSCI EAFE Index (e) 6.84%
Real Estate Stocks NAREIT Equity Index (f) 10.91%
Domestic Bonds Salomon Broad Index (g) 1.41%
Cash Equivalents U.S. 90 Day T-Bill (h) 2.66%
</TABLE>
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
Despite their recent volatility, investments in the technology sector were a
primary driver of performance. Overweighting the technology sector helped
performance, but it was primarily strong stock selection within the technology
sector that propelled us to outperforming our benchmark. The strongest
technology contributor was semiconductor equipment manufacturer Applied
Materials, which was up 127% for the period. Another big contributor was Yahoo!
Inc. We held Yahoo in the Fund before it was added to the S&P 500 Index on
December 7, 1999 and benefited from the positive performance gain that usually
accompanies an addition to the Index. Our current underweight position has
protected us from the year-to-date volatility that Yahoo has experienced.
Technology holdings in mid cap stocks also had a positive impact on performance.
For example, Infospace Inc. was up 416%, SDL, Inc. was up 216% and BEA Systems,
Inc. was up 323%.
Slightly overweight positions and poor stock selection in the consumer cyclical
and transportation sectors had a negative impact on the Fund.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The impact of the five Fed interest rate hikes since June 1999 and the prospect
of additional Fed intervention could weigh heavily on equity markets over the
next few months. As investors, we are faced with the following questions: When
will the economy begin to slow, and what will be the impact on equity markets?
If the Fed has done its job correctly, an economic slowdown should be modest.
Under these conditions, equity markets could continue to show strength but
perhaps at a slower pace and across a broader spectrum of stocks than in prior
years. Many of the factors that have positively influenced the economy and the
equity markets are still intact. Those include low inflation, improved
productivity, technological advances, and global economic strength. This strong
foundation should continue to have a positive effect on the direction of the
stock market.
8 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
ASSET ALLOCATION: ECONOMIC EXPOSURE*
ASSET CLASS 04/30/00 10/31/99
<S> <C> <C>
Large Cap Stocks 83% 80%
Mid Cap Stocks 7% 2%
Small Cap Stocks 2% --
International Stocks 5% 5%
Real Estate Stocks -- 3%
Convertible Securities -- 1%
Special Situations** -- 3%
Cash Equivalents 3% 6%
-----------------------------------
100% 100%
===================================
</TABLE>
* Economic exposure reflects the Fund's exposure to both changes in the value of
the portfolio of investments as well as the financial instruments underlying the
options and futures positions.
** The special situations category was created to take advantage of investment
opportunities which are "special" in the sense that they do not fit well into
our normal valuation and modeling framework. The largest category within this
group is initial public offerings, but other categories include spin-offs, newly
created securities, and stocks of companies which derive their value from
something other than current assets, earnings and dividends.
DOMESTIC EQUITY PORTFOLIO BREAKDOWN:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.6% 2.3% (0.7)%
Commercial Services 0.6% 1.2% (0.6)%
Consumer Discretionary 10.1% 11.1% (1.0)%
Consumer Non-Discretionary 3.9% 5.2% (1.3)%
Energy 6.5% 6.1% 0.4%
Finance 12.3% 12.8% (0.5)%
Healthcare 10.7% 10.4% 0.3%
Manufacturing 10.7% 10.0% 0.7%
Technology 34.9% 31.9% 3.0%
Utilities 8.7% 9.0% (0.3)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
General Electric Co. 4.7%
Cisco Systems, Inc. 4.6%
Intel Corp. 4.5%
Exxon Mobil Corp. 3.3%
Citigroup, Inc. 2.2%
Microsoft Corp. 2.2%
Sun Microsystems, Inc. 1.9%
Nortel Networks Corp. 1.9%
Pfizer, Inc. 1.8%
Texas Instruments, Inc. 1.7%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
See Definition of Terms. 9
<PAGE>
AETNA REAL ESTATE SECURITIES FUND
Growth of $10,000
[Line chart data]
<TABLE>
<CAPTION>
Aetna Real Estate
Securities Fund NAREIT Equity
(Class I) REIT Index
<S> <C> <C>
Feb-98 10,000 10,000
9,660 9,680
9,030 8,927
Oct-98 8,320 8,384
8,270 8,703
8,840 8,890
8,726 8,688
Oct-99 8,104 8,048
8,239 8,195
Apr-00 8,967 8,766
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------
Average Annual Total Returns
for the period ended April 30, 2000*
----------------------------------------
1 Year Inception
----------------------------------------
<S> <C> <C>
Class I 1.43% -4.76%
----------------------------------------
Class A:
POP (1) -4.71% -7.48%
NAV (2) 1.11% -5.00%
----------------------------------------
Class B:
w/CDSC (3) -4.47% -6.91%
NAV 0.29% -5.70%
----------------------------------------
Class C:
w/CDSC (4) -0.61% -5.72%
NAV 0.34% -5.72%
----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For the period prior to the inception of Class B and Class C, the
performance is calculated by using the performance of Class I since its
inception date (02/02/98), adjusted for fees and expenses. Class I, Class A,
Class B and Class C shares participate in the same portfolio of securities. Past
performance is no guarantee of future results. Investment return and principal
of an investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost.
AETNA REAL ESTATE SECURITIES FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Real Estate Securities Fund Class I shares generated a 10.64% total
return, net of fund expenses, for the six month period ended April 30, 2000. The
benchmark, NAREIT Equity REIT Index(f), returned 10.91% for the same period.
WHAT ECONOMIC AND FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
March witnessed a broadening of U.S. equity markets as money poured out of the
momentum-driven technology and biotechnology stocks and into some of the more
traditional "old economy" stocks, such as those in the Dow Jones Industrial
Average. Real Estate Investment Trusts (REITs) enjoyed the attention as
investors began shifting their focus back to fundamental characteristics and
earnings quality as the basis for choosing attractive stocks. For the second
fiscal quarter ending April 30, 2000,
10 See Definition of Terms.
<PAGE>
the NAREIT Equity REIT Index returned 8.92%. In contrast, the Standard & Poor's
500 Index(a), a traditional measure of larger stocks, returned 4.46% and the
NASDAQ Composite(k), with its heavy concentration of technology stocks, returned
-2.02%.
There are a number of reasons why investors are regaining confidence in REITs:
o Valuations continue to remain attractive. Even with the recent surge in the
group's performance, REITs still trade at a 5-15% discount to their
underlying net asset values.
o Expected total returns for REITs are 15% on average in 2000. The average
REIT dividend yield is currently 8-9%, higher than that of most utilities.
Earnings growth has stabilized and is expected to range between 7-8% for
2000.
o REIT managers are proving that they can add shareholder value and generate
internal growth. With less access to the capital markets, REIT managers
have been re-deploying assets and cash to strengthen their property
portfolios. The free cash flow generated from these better-performing
properties has also been used to keep debt levels down and to buy back
stock, both of which are good for stock prices.
Continued interest rate increases remain a potential threat to earnings. Since
REITs typically finance themselves with short-term and long-term debt, interest
rate increases can have a negative impact on earnings as they raise the cost of
borrowing money.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
The Fund's performance was helped by a shift to an overweight position in the
office sector, taking advantage of the strong fundamentals of this group. Good
stock selection in the hotel and retail sectors also helped performance. We
reduced the Fund's holdings in the multi-family sector which had a positive
impact on performance, though stock selection in this sector slightly hurt the
Fund. We continue to be close to benchmark weight in the retail sector, and to
underweight healthcare and hotels.
WHAT IS YOUR OUTLOOK GOING FORWARD?
We expect the current volatility in the U.S. equity markets to continue in the
short-term. Notwithstanding, we believe REITs will hold their own in this
environment and finish the year higher. We expect REIT values to increase,
though remain significantly below the peak levels reached by the group in
October 1997. Based on current dividend yields, strong fundamentals and
continued equilibrium in the real estate markets, we believe REITs will produce
a 10-15% total return for fiscal 2000.
The Fund invests in real estate investment securities that involve certain risks
including management skills, changes in general or regional economy, changes in
property value and refinancing.
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Equity Residential Properties Trust 5.0%
Boston Properties, Inc. 4.9%
Equity Office Properties Trust 4.7%
Kimco Realty Corp. 4.2%
Simon Property Group, Inc. 4.0%
ProLogis Trust 3.9%
Spieker Properties, Inc. 3.6%
General Growth Properties, Inc. 3.0%
Apartment Investment & Management Co. 3.0%
Vornado Realty Trust 3.0%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 2000. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
See Definition of Terms. 11
<PAGE>
DEFINITION OF TERMS
(1) On February 2, 1998, the Funds redesignated Adviser Class shares as Class A
shares. For periods prior to that date, Class A performance is calculated
by using the performance of Class I shares and deducting the Class A
front-end load and internal fees and expenses applicable to the Class A
shares. The maximum load for the Funds is 5.75%. The POP (public offering
price) returns reflect this maximum load.
(2) NAV (net asset value) returns are net of Fund expenses only and do not
reflect the deduction of a front-end load or contingent deferred sales
charges. This charge, if reflected, would reduce the performance results
shown.
(3) The Funds began offering Class B shares on March 1, 1999. For periods prior
to that date, Class B performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class B shares. Class B share returns with CDSC (contingent deferred
sales charge) reflect the deduction of a maximum CDSC, assuming full
redemption at the end of the period. The CDSC applies for all shares
redeemed prior to the end of the first six years of ownership. The CDSC
charges are as follows: Year 1 - 5%, Year 2 - 4%, Year 3 - 3%, Year 4 - 3%,
Year 5 - 2%, Year 6 - 1%.
(4) The Funds began offering Class C shares on June 30, 1998. For periods prior
to that date, Class C performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class C shares. Class C share returns for periods less than 18 months
reflect the deduction of the contingent deferred sales charge of 1%.
(a) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond
Index, Mortgage-Backed Securities Index and the Asset-Backed Securities
Index.
(c) The Standard & Poor's MidCap 400 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $3.6 billion. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
(d) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(e) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) is a market value-weighted average of the performance of more
than 900 securities listed on the stock exchanges of countries in Europe,
Australia and the Far East. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
(f) The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(g) Salomon Smith Barney Broad Investment-Grade Bond (Salomon Broad) Index is
an unmanaged, market-weighted index that contains approximately 4,700
individually priced investment-grade bonds rated BBB or better. The index
includes U.S. Treasury/Agency issues, mortgage pass-through securities, and
corporate issues.
(h) Three-month Treasury bills are backed by full faith and credit of the U.S.
Government, short-term investments are equivalent to cash because their
maturity is only three months.
(i) S&P 500 Growth Index is the Standard & Poor's 500 Growth Index. Companies
in each U.S. index are split into two groups based on price-to-book ratio
to create growth and value indices. The Growth index contains companies
with higher price-to-book ratios, while the Value index contains those with
lower ratios.
(j) S&P 500 Value Index is the Standard & Poor's 500 Value Index. Companies in
each U.S. index are split into two groups based on price-to-book ratio to
create growth and value indices. The Value index contains companies with
lower price-to-book ratios, while the Growth index contains those with
higher ratios.
(k) NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
The unmanaged indices described above are not available for individual
investment.
12
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
BALANCED
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS (58.7%)
AIR TRANSPORT (0.3%)
America West Holdings Corp. + ......... 14,600 $213,525
AMR Corp. + ........................... 200 6,813
Delta Air Lines, Inc. ................. 400 21,100
FedEx Corporation + ................... 1,500 56,531
SkyWest, Inc. ......................... 1,400 58,975
Southwest Airlines Co. ................ 1,375 29,820
---------------
386,764
---------------
ALUMINUM (0.1%)
Alcan Aluminum Ltd. ................... 1,300 42,575
Alcoa Inc. ............................ 1,900 123,263
Reynolds Metals Co. ................... 400 26,600
---------------
192,438
---------------
AUTO PARTS AND HARDWARE (0.1%)
Black & Decker Corp. .................. 700 29,444
Genuine Parts Co. ..................... 1,300 34,125
Goodyear Tire & Rubber Co. (The) ...... 500 13,813
Snap-On, Inc. ......................... 300 7,931
Stanley Works (The) ................... 400 11,800
---------------
97,113
---------------
AUTOMOTIVE (0.7%)
Dana Corp. ............................ 700 21,263
Delphi Automotive Systems Corp. ....... 3,144 60,129
Eaton Corp. ........................... 400 33,600
Ford Motor Co. ........................ 5,400 295,312
General Motors Corp. + ................ 4,600 430,675
Harley-Davidson, Inc. ................. 1,600 63,700
Johnson Controls, Inc. ................ 600 37,987
TRW, Inc. ............................. 400 23,400
---------------
966,066
---------------
BANKS AND THRIFTS (2.4%)
Astoria Financial Corp. ............... 5,200 143,325
Bank of America Corp. ................. 4,315 211,435
Bank of New York Co., Inc. ............ 4,200 172,462
Bank One Corp. ........................ 66 2,013
BB&T Corp. ............................ 1,800 47,925
Chase Manhattan Corp. ................. 5,400 389,137
Citizens Banking Corp. ................ 6,000 107,250
Comerica, Inc. ........................ 850 36,019
East West Bancorp, Inc. ............... 8,100 101,250
Fifth Third Bancorp ................... 1,800 113,625
First Tennessee National Corp. ........ 7,200 136,800
Firstar Corp. ......................... 2,581 64,202
FirstFed Financial Corp. + ............ 8,300 103,750
Fleet Boston Financial Corp. .......... 5,095 180,554
Golden West Financial Corp. ........... 800 27,300
Huntington Bancshares Inc. ............ 1,353 24,692
J.P. Morgan & Co. ..................... 1,100 141,213
Mellon Financial Corp. ................ 2,600 83,525
Northern Trust Corp. .................. 1,100 70,538
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
BANKS AND THRIFTS (CONTINUED)
Old Kent Financial Corp. .............. 600 $ 18,075
Peoples Heritage Financial Group, Inc. 9,000 117,563
PNC Bank Corp. ........................ 2,000 87,250
Regions Financial Corp. ............... 700 14,306
SouthTrust Corp. ...................... 1,000 23,875
State Street Corp. .................... 800 77,500
Summit Bancorp ........................ 1,000 25,375
Suntrust Banks, Inc. .................. 1,600 81,200
Synovus Financial Corp. ............... 1,600 29,700
U.S. Bancorp .......................... 1,800 36,563
Union Planters Co. .................... 700 19,819
Wachovia Corp. ........................ 1,100 68,956
Washington Mutual, Inc. ............... 98 2,505
Wells Fargo & Co. ..................... 7,800 320,287
Wilmington Trust Corp. ................ 1,200 55,350
---------------
3,135,339
---------------
BIOTECH AND MEDICAL PRODUCTS (1.4%)
Amgen, Inc. + ......................... 4,700 263,200
Bard (C.R.) Inc. ...................... 300 13,069
Bausch & Lomb, Inc. ................... 300 18,113
Becton, Dickinson & Co. ............... 1,200 30,750
Biogen, Inc. + ........................ 1,200 70,575
Biomet, Inc. .......................... 600 21,413
Cubist Pharmaceuticals, Inc. + ........ 1,700 54,612
Datascope Corp. + ..................... 5,200 172,250
Enzon, Inc. + ......................... 4,100 152,725
Genelabs Technologies, Inc. + ......... 1,500 7,875
Guidant Corp. + ....................... 1,700 97,537
IDEC Pharmaceuticals Corp. + .......... 900 57,600
Immunomedics, Inc. + .................. 7,300 105,850
Mallinckrodt Inc. ..................... 400 10,750
Medtronic, Inc. + ..................... 6,200 322,012
Pharmacyclics, Inc. + ................. 800 36,300
Protein Design Labs, Inc. + ........... 1,100 111,650
Saint Jude Medical, Inc. + ............ 500 15,594
SangStat Medical Corporation + ........ 4,000 115,000
SICOR Inc. + .......................... 18,800 212,675
---------------
1,889,550
---------------
CHEMICALS (0.4%)
Dow Chemical Co. ...................... 1,200 135,600
Du Pont (E.I.) de Nemours ............. 5,200 246,675
Hercules, Inc. ........................ 500 7,781
Rohm & Haas Co. ....................... 1,095 39,010
Union Carbide Corp. ................... 700 41,300
---------------
470,366
---------------
COMMERCIAL SERVICES (0.5%)
Deluxe Corp. .......................... 500 12,594
Getty Images, Inc. + .................. 6,400 194,400
Interpublic Group of Co., Inc. (The) .. 1,800 73,800
NOVA Corp. + .......................... 7,200 227,700
Omnicom Group, Inc. ................... 1,000 91,062
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMERCIAL SERVICES (CONTINUED)
Paychex, Inc. ......................... 1,150 $ 60,519
RR Donnelley & Sons Co. ............... 1,000 21,250
Sabre Holdings Corporation ............ 505 17,643
---------------
698,968
---------------
COMPUTERS (3.2%)
Apple Computer, Inc. + ................ 1,200 148,875
Cabletron Systems, Inc. + ............ 1,600 36,600
Compaq Computer Corp. ................. 8,200 239,850
Cray, Inc. + .......................... 2,300 9,775
Dell Computer Corp. + ................. 12,100 606,512
Gateway, Inc. + ....................... 1,800 99,450
Hewlett Packard Co. ................... 7,300 985,500
International Business Machines Corp. . 8,800 982,300
Orbotech Ltd. + ....................... 1,250 106,562
Sun Microsystems, Inc. + .............. 10,100 928,569
Unisys Corp. + ........................ 2,100 48,694
---------------
4,192,687
---------------
CONGLOMERATE AND AEROSPACE (2.3%)
Alliant Techsystems, Inc. + ........... 1,100 76,588
Boeing Co. ............................ 4,200 166,687
General Dynamics Corp. ................ 1,000 58,500
General Electric Co. .................. 15,200 2,390,200
Goodrich (B.F.) Co. ................... 200 6,375
Loews Corp. ........................... 600 33,075
M-Systems Flash Disk Pioneers Ltd. + .. 1,300 85,800
National Service Industries, Inc. ..... 200 4,300
Northrop Grumman Corp. ................ 400 28,350
Perkin-Elmer Inc. + ................... 300 16,425
Textron, Inc. ......................... 700 43,356
United Technologies Corp. ............. 2,400 149,250
---------------
3,058,906
---------------
CONSUMER FINANCE (0.6%)
Capital One Financial Corp. ........... 1,200 52,589
Countrywide Credit Industries, Inc. ... 800 22,100
Federal National Mortgage Association . 4,800 289,500
Freddie Mac Corp. ..................... 3,700 169,969
Household International, Inc. ......... 2,400 100,200
MBNA Corp. ............................ 4,250 112,890
SLM Holding Corp. ..................... 800 25,050
---------------
772,298
---------------
CONSUMER PRODUCTS (0.6%)
Avon Products, Inc. ................... 1,500 62,250
Clorox Co. ............................ 600 22,050
Colgate-Palmolive Co. ................. 2,600 148,525
Gillette Co. .......................... 2,800 103,600
International Flavors & Fragrances,
Inc................................... 600 20,663
Kimberly-Clark Corp. .................. 2,900 168,381
Procter & Gamble Co. .................. 3,200 190,800
---------------
716,269
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
CONSUMER SERVICES (0.7%)
Brinker International, Inc. + ......... 7,100 $ 226,312
Cendant Corp. + ....................... 3,900 60,206
Darden Restaurants, Inc. .............. 900 16,594
H&R Block, Inc. ....................... 500 20,906
Harrah's Entertainment, Inc. + ........ 800 16,450
Hilton Hotels Corp. ................... 1,300 11,050
Marriott International, Inc. .......... 900 28,800
McDonald's Corp. ...................... 3,400 129,625
Metris Companies, Inc. ................ 2,100 78,750
Mirage Resorts, Inc. + ................ 1,200 24,450
Tricon Global Restaurants, Inc. + ..... 380 12,968
Veterinary Centers of America, Inc. + . 19,800 267,300
Wendy's International, Inc. ........... 900 20,138
---------------
913,549
---------------
CONSUMER SPECIALTIES (0.2%)
Brunswick Corp. ....................... 600 11,513
Hasbro, Inc. .......................... 1,350 21,516
Jostens, Inc. ......................... 300 7,406
Mattel, Inc. .......................... 1,000 12,250
Premier Parks Inc. + .................. 7,800 168,187
---------------
220,872
---------------
DATA AND IMAGING SERVICES (8.5%)
3Com Corp. + .......................... 800 31,550
Adobe Systems, Inc. ................... 800 96,750
America Online, Inc. + ................ 11,100 663,919
American Management Systems, Inc. + ... 4,700 173,900
Autodesk, Inc. ........................ 400 15,350
Automatic Data Processing, Inc. ....... 2,900 156,056
Banyan Systems, Inc. + ................ 7,500 104,062
BMC Software, Inc. + .................. 1,200 56,175
Ceridian Corp. + ...................... 900 19,519
Cisco Systems, Inc. + ................. 43,100 2,988,042
Citrix Systems, Inc. + ................ 1,000 61,063
Computer Associates International, Inc. 3,950 220,459
Computer Sciences Corp. + ............. 1,000 81,563
Eastman Kodak Co. ..................... 1,700 95,094
Electronic Data Systems Corp. ......... 2,300 158,125
EMC Corp. + ........................... 4,900 680,794
Entrust Technologies, Inc. + .......... 4,700 230,887
First Data Corp. ...................... 2,100 102,244
Go2Net, Inc. + ........................ 1,900 113,050
In Focus Systems, Inc. + .............. 5,900 176,631
Mercury Computer Systems, Inc. + ...... 3,300 126,844
Microsoft Corp. + ..................... 32,300 2,252,925
Network Appliance, Inc. + ............. 2,400 177,450
Novell, Inc. + ........................ 1,800 35,325
Oracle Corp. + ........................ 20,700 1,654,706
Parametric Technology Co. + ........... 1,300 10,603
Pinnacle Systems, Inc. + .............. 7,200 172,800
Scitex Corporation Ltd. + ............. 5,100 60,563
Seagate Technology, Inc. + ............ 500 25,406
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
DATA AND IMAGING SERVICES (CONTINUED)
Yahoo! Inc. + ......................... 3,100 $ 403,775
---------------
11,145,630
---------------
DISCRETIONARY RETAIL (2.9%)
AutoZone, Inc. + ...................... 1,000 22,938
Bed Bath & Beyond, Inc. + ............. 800 29,350
Best Buy Co., Inc. + .................. 1,300 104,975
Circuit City Stores, Inc. ............. 1,100 64,694
Consolidated Stores Corp. + ........... 700 8,706
Costco Wholesale Corp. + .............. 2,600 140,562
Dillards, Inc. ........................ 600 8,363
Dollar General Corp. .................. 1,300 29,738
Federated Department Stores, Inc. + ... 1,400 47,600
Gap, Inc. ............................. 5,712 209,916
Home Depot, Inc. ...................... 16,350 916,622
Insight Enterprises, Inc. + ........... 2,325 97,214
J.C. Penney Co., Inc. ................. 900 12,431
Kmart Corp. + ......................... 3,600 29,250
Kohl's Corp. + ........................ 1,800 86,400
Lowe's Co., Inc. ...................... 2,000 99,000
May Department Stores Co. ............. 1,450 39,875
Nordstrom, Inc. ....................... 400 11,125
Office Depot, Inc. + .................. 100 1,056
Sears, Roebuck & Co. .................. 2,000 73,250
Staples, Inc. + ....................... 2,400 45,750
Tandy Corp. ........................... 900 51,300
Target Corporation .................... 2,300 153,094
The Limited, Inc. ..................... 1,600 72,300
Toys "R" Us, Inc. + ................... 1,600 24,400
Tweeter Home Entertainment Group + .... 5,600 206,500
ValueVision International, Inc. + ..... 5,200 103,675
Wal-Mart Stores, Inc. ................. 20,300 1,124,112
---------------
3,814,196
---------------
DIVERSIFIED FINANCIAL SERVICES (1.2%)
American Express Co. .................. 2,200 330,138
Citigroup Inc. ........................ 20,524 1,219,895
Providian Financial Corp. ............. 450 39,628
---------------
1,589,661
---------------
DRUGS (3.4%)
Abbott Laboratories ................... 4,100 157,594
Allergan, Inc. ........................ 600 35,325
Alliance Pharmaceutical Corp. + ....... 8,300 65,881
American Home Products Corp. .......... 3,300 185,419
Baxter International, Inc. ............ 1,500 97,688
Bristol-Myers Squibb Co. .............. 9,800 513,887
Eli Lilly & Co. ....................... 2,900 224,206
Johnson & Johnson ..................... 3,500 288,750
Medicis Pharmaceutical Corp. + ........ 3,900 170,625
Merck & Co., Inc. ..................... 10,900 757,550
Pfizer, Inc. .......................... 18,200 766,675
Pharmacia Corporation ................. 5,694 284,344
Schering Plough ....................... 6,600 266,062
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
DRUGS (CONTINUED)
Warner Lambert Co. .................... 5,500 $ 625,969
---------------
4,439,975
---------------
ELECTRIC UTILITIES (1.1%)
AES Corp. + ........................... 1,000 89,938
Ameren Corp. .......................... 700 25,681
American Electric Power Co. ........... 500 18,313
Carolina Power & Light Co. ............ 500 18,281
Central & South West Corp. ............ 1,500 32,531
Cinergy Corp. ......................... 700 18,725
CMS Energy Corp. ...................... 700 13,300
Consolidated Edison, Inc. ............. 1,100 38,706
Constellation Energy Group ............ 1,300 42,981
Dominion Resources, Inc. .............. 1,604 72,180
DTE Energy Co. ........................ 800 26,100
Duke Energy Corp. ..................... 1,700 97,750
Edison International Inc. ............. 1,900 36,219
Entergy Corp. ......................... 1,700 43,244
FirstEnergy Corp. ..................... 1,500 38,156
Florida Progress Corp. ................ 500 24,500
FPL Group, Inc. ....................... 800 36,150
GPU, Inc. ............................. 900 25,256
Independent Energy Holdings + ......... 6,000 234,000
Northern States Power Co. ............. 1,000 21,813
Peco Energy Co. ....................... 1,100 45,856
PG&E Corp. ............................ 2,000 51,875
Pinnacle West Capital Corp. ........... 400 14,050
PPL Corporation ....................... 1,200 28,650
Public Service Enterprise Group, Inc. . 1,600 57,400
Reliant Energy Inc. ................... 1,800 47,925
Southern Co. .......................... 4,200 104,737
Texas Utilities Co. ................... 1,200 40,425
Unicom Corp. .......................... 1,600 63,600
---------------
1,408,342
---------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.3%)
Lexmark International Group, Inc. + ... 900 106,200
Mettler-Toledo International, Inc. + .. 2,800 96,600
PE Corp-PE Biosystems Group ........... 1,200 72,000
Pitney Bowes, Inc. .................... 700 28,613
Rockwell International Corp. .......... 900 35,437
Xerox Corp. ........................... 1,600 42,300
---------------
381,150
---------------
ELECTRONIC MEDIA (0.9%)
Citadel Communications Corp. + ........ 3,900 152,344
Comcast Corp. + ....................... 2,200 88,138
Mediaone Group, Inc. + ................ 1,500 113,437
Time Warner, Inc. ..................... 3,000 269,812
Viacom, Inc. + ........................ 1,900 103,313
Walt Disney Co. (The) + ............... 10,000 433,125
---------------
1,160,169
---------------
FOOD AND BEVERAGE (1.5%)
Anheuser-Busch Co., Inc. .............. 2,400 169,350
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
FOOD AND BEVERAGE (CONTINUED)
Archer-Daniels-Midland Co. ............ 3,145 $ 31,253
Bestfoods ............................. 1,500 75,375
Brown-Forman Corp. + .................. 500 27,281
Campbell Soup Co. ..................... 1,400 36,400
Coca-Cola Co. ......................... 6,100 287,081
Coca-Cola Enterprises, Inc. ........... 2,500 53,281
Conagra, Inc. ......................... 2,000 37,750
Coors (Adolph) Co. .................... 300 15,300
Delta & Pine Land Co. ................. 11,600 243,600
Fortune Brands, Inc. .................. 600 15,000
General Mills, Inc. ................... 1,600 58,200
Heinz (H.J.) Co. ...................... 1,900 64,600
Kellogg Co. ........................... 1,000 24,438
PepsiCo, Inc. ......................... 7,600 278,825
Quaker Oats Co. ....................... 1,000 65,188
Ralston-Ralston Purina Group .......... 1,800 31,838
Sara Lee Corp. ........................ 4,400 66,000
Seagram Co. Ltd. ...................... 2,000 108,000
Suiza Foods Corp. + ................... 3,800 147,962
Unilever NV ........................... 2,757 125,616
Wrigley (Wm.) Jr. Co. + ............... 600 43,425
---------------
2,005,763
---------------
FOOD AND DRUG RETAIL (0.5%)
Casey's General Stores, Inc. .......... 16,400 191,675
CVS Corp. ............................. 1,900 82,650
Great Atlantic & Pacific Tea Co., Inc. 200 3,663
Kroger Co. (The) + .................... 2,000 37,125
Safeway, Inc. + ....................... 1,400 61,775
SUPERVALU, Inc. ....................... 1,400 28,962
Sysco Corp. ........................... 1,800 67,725
Walgreen Co. .......................... 5,300 149,062
Winn-Dixie Stores, Inc. ............... 800 13,250
---------------
635,887
---------------
FOREST PRODUCTS AND BUILDING MATERIALS (0.7%)
Armstrong World Industries, Inc. ...... 300 5,869
Boise Cascade Corp. ................... 500 16,281
Champion International Corp. .......... 600 39,450
Crown Cork & Seal Co., Inc. ........... 800 13,000
Fort James Corp. ...................... 700 16,756
Georgia-Pacific Corp. ................. 1,400 51,450
International Paper Co. ............... 2,100 77,175
Louisiana-Pacific Corp. ............... 16,900 226,038
Masco Corp. ........................... 1,200 26,925
Mead Corp. ............................ 500 17,406
Owens-Illinois, Inc. + ................ 800 10,800
Potlatch Corp. ........................ 5,100 201,131
Sealed Air Corp. + .................... 568 31,595
Temple-Inland Inc. .................... 400 20,050
Vulcan Materials Co. .................. 600 26,288
Westvaco Corp. ........................ 400 12,350
Weyerhaeuser Co. ...................... 1,100 58,781
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Willamette Industries, Inc. ........... 900 $ 34,369
---------------
885,714
---------------
GAS UTILITIES (0.5%)
Coastal Corp. (The) ................... 1,100 55,206
Columbia Energy Group ................. 600 37,650
El Paso Energy Corp. .................. 1,200 51,000
Enron Corp. ........................... 3,700 257,844
Sempra Energy ......................... 800 14,850
Southwest Gas Corp. ................... 6,300 120,094
Williams Co., Inc. (The) .............. 2,500 93,281
---------------
629,925
---------------
HEALTH SERVICES (0.6%)
Cardinal Health, Inc. ................. 1,600 88,100
Columbia/HCA Healthcare Corp. ......... 3,000 85,312
Covance, Inc. + ....................... 16,900 155,269
HEALTHSOUTH Corp. + ................... 2,100 16,931
IMPATH Inc. + ......................... 3,600 165,600
IMS Health, Inc. ...................... 1,000 17,063
Oxford Health Plans, Inc. + ........... 7,400 140,600
Tenet Healthcare Corp. + .............. 1,100 28,050
UnitedHealth Group Incorporated ....... 1,000 66,687
Wellpoint Health Networks, Inc. + ..... 400 29,500
---------------
793,112
---------------
HEAVY MACHINERY (0.1%)
Astec Industries, Inc. + .............. 1,300 32,662
Caterpillar, Inc. ..................... 900 35,494
Cummins Engine Co., Inc. .............. 200 7,113
Deere & Co. ........................... 1,300 52,487
Navistar International Corp. + ........ 800 28,000
PACCAR, Inc. .......................... 700 33,294
---------------
189,050
---------------
HOUSING AND FURNISHINGS (0.2%)
Centex Corp. .......................... 600 14,475
Ethan Allen Interiors, Inc. ........... 6,500 173,469
Leggett & Platt, Inc. ................. 900 19,238
Maytag Corp. .......................... 400 13,775
Newell Rubbermaid Inc. ................ 900 22,669
Whirlpool Corp. ....................... 500 32,562
---------------
276,188
---------------
INDUSTRIAL SERVICES (0.4%)
Catalytica, Inc. + .................... 20,200 224,725
Dycom Industries, Inc. + .............. 2,400 124,800
Fluor Corp. ........................... 500 16,781
Jacobs Engineering Group, Inc. + ...... 4,800 150,300
USA Waste Management, Inc. ............ 100 1,588
---------------
518,194
---------------
INSURANCE (1.8%)
AFLAC, Inc. ........................... 1,300 63,456
Allstate Corp. (The) .................. 2,000 47,250
American General Corp. ................ 1,300 72,800
American International Group, Inc. .... 7,360 807,300
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
INSURANCE (CONTINUED)
Chubb Corp. ........................... 500 $ 31,813
CIGNA Corp. ........................... 1,100 87,725
Cincinnati Financial Corp. ............ 1,000 40,313
Gallagher (Arthur J.) & Co. ........... 4,600 171,350
Hartford Financial Services Group, Inc. 700 36,531
Horace Mann Educators Corp. ........... 11,200 163,100
Jefferson-Pilot Corp. ................. 750 49,922
Lincoln National Corp. ................ 1,000 34,813
Marsh & McLennan Co., Inc. ............ 1,400 137,987
MBIA, Inc. ............................ 800 39,550
MGIC Investment Corp. ................. 800 38,250
Mutual Risk Management Ltd. ........... 3,900 61,181
Progressive Corp. ..................... 200 13,088
Radian Group Inc. ..................... 2,700 137,531
ReliaStar Financial Corp. ............. 4,800 206,700
St. Paul Co., Inc. .................... 850 30,281
Torchmark Corp. ....................... 800 20,050
UnumProvident Corp. ................... 800 13,600
---------------
2,304,591
---------------
INVESTMENT SERVICES (1.1%)
Bear Stearns Co., Inc. (The) .......... 771 33,057
Charles Schwab Corp. .................. 4,000 178,000
Franklin Resources, Inc. .............. 1,300 41,925
Investors Financial Services Corp. .... 400 32,650
Lehman Brothers Holdings Inc. ......... 1,000 82,062
Merrill Lynch & Co., Inc. ............. 2,300 234,456
Morgan Stanley Dean Witter & Co. ...... 8,300 637,025
National Discount Brokers Group, Inc. + 3,200 93,400
Paine Webber Group Inc. ............... 800 35,100
T. Rowe Price & Associates ............ 700 26,688
---------------
1,394,363
---------------
MAJOR TELECOMMUNICATIONS (3.0%)
ALLTEL Corp. .......................... 800 53,300
AT&T Corp. ............................ 15,850 739,997
Bell Atlantic Corp. ................... 7,500 444,375
BellSouth Corp. ....................... 8,800 428,450
CenturyTel, Inc. ...................... 700 17,150
GTE Corp. ............................. 4,700 318,425
MCI Worldcom, Inc. + .................. 7,437 337,918
Nextel Communications, Inc. + ......... 1,900 207,931
SBC Communications, Inc. .............. 16,827 737,233
Sprint Corp. .......................... 4,500 276,750
Sprint PCS + .......................... 2,200 121,000
U.S. WEST, Inc. ....................... 2,809 199,966
---------------
3,882,495
---------------
MISCELLANEOUS METALS (0.2%)
Barrick Gold Corp. .................... 1,700 28,581
Freeport-McMoRan Copper & Gold, Inc. + 1,600 15,400
Inco Ltd. + ........................... 1,000 15,625
Minerals Technologies Inc. ............ 2,500 115,625
Newmont Mining Corp. .................. 900 21,094
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
MISCELLANEOUS METALS (CONTINUED)
Phelps Dodge Corp. .................... 400 $ 18,500
---------------
214,825
---------------
OIL (3.6%)
Amerada Hess Corp. .................... 600 38,175
Anadarko Petroleum Corp. .............. 800 34,750
Apache Corp. .......................... 600 29,063
Ashland Oil, Inc. ..................... 500 17,063
Burlington Resources, Inc. ............ 1,200 47,175
Chevron Corp. ......................... 4,900 417,112
Conoco Inc. ........................... 3,000 74,625
Exxon Mobil Corp. ..................... 24,544 1,906,762
Kerr-McGee Corp. ...................... 400 20,700
Occidental Petroleum Corp. ............ 2,600 55,737
Phillips Petroleum Co. ................ 1,700 80,644
Royal Dutch Petroleum Co. ............. 15,600 895,050
Texaco, Inc. .......................... 3,800 188,100
Triton Energy Ltd. + .................. 9,400 342,512
Union Pacific Resources Group Inc. .... 700 13,431
Unocal Corp. .......................... 1,600 51,700
USX-Marathon Group .................... 1,600 37,300
Valero Energy Corp. ................... 9,000 261,000
Vintage Petroleum, Inc. + ............. 11,400 226,575
---------------
4,737,474
---------------
OIL SERVICES (0.7%)
BJ Services Co. + ..................... 5,500 386,375
Marine Drilling Companies, Inc. + ..... 8,900 231,400
McDermott International, Inc., ADR .... 24,300 197,437
Schlumberger, Ltd. .................... 1,400 107,188
Tosco Corp. ........................... 900 28,856
Transocean Sedco Forex Inc. ........... 561 26,367
---------------
977,623
---------------
OTHER TELECOMMUNICATIONS (0.2%)
CapRock Communications Corp. + ........ 4,500 150,750
IDT Corporation + ..................... 2,700 85,387
Net2Phone, Inc. + ..................... 1,300 57,363
---------------
293,500
---------------
PRINT MEDIA (0.6%)
Dow Jones & Co., Inc. ................. 500 32,438
Dun & Bradstreet Corp. ................ 1,000 30,125
Equifax, Inc. ......................... 1,100 26,881
Gannett Co., Inc. ..................... 1,300 83,037
Harcourt General, Inc. ................ 300 11,213
Knight-Ridder, Inc. ................... 500 24,531
McGraw-Hill Co., Inc. ................. 1,000 52,500
Meredith Corp. ........................ 6,100 169,656
New York Times Co. .................... 800 32,950
Reader's Digest Association, Inc. (The) 9,700 310,400
Tribune Co. ........................... 1,300 50,538
---------------
824,269
---------------
PRODUCER GOODS (1.9%)
Allegheny Technologies Incorporated ... 600 14,513
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
PRODUCER GOODS (CONTINUED)
Avery Dennison Corp. .................. 900 $ 59,062
C&D Technologies, Inc. ................ 2,900 186,869
Cable Design Technologies, Inc. + ..... 3,300 113,025
Cooper Industries, Inc. ............... 700 24,019
Corning, Inc. ......................... 1,800 355,500
Danaher Corp. ......................... 900 51,412
Dover Corp. ........................... 1,300 66,056
Ecolab, Inc. .......................... 1,000 39,062
Emerson Electric Co. .................. 2,200 120,725
FMC Corp. + ........................... 200 11,638
Grainger (W.W.), Inc. ................. 500 21,688
Honeywell International Inc. .......... 3,525 197,400
Illinois Tool Works, Inc. ............. 1,700 108,906
Ingersoll-Rand Co. .................... 1,200 56,325
ITT Industries, Inc. .................. 800 25,250
Littlefuse, Inc. + ................... 5,700 202,350
Minnesota Mining and Manufacturing Co. 2,200 190,300
Mueller Industries, Inc. + ............ 3,300 108,694
Pall Corp. ............................ 500 11,156
Parker-Hannifin Corp. ................. 600 27,900
PPG Industries, Inc. .................. 1,000 54,375
Sherwin-Williams Co. .................. 1,000 24,875
Thermo Electron Corp. + ............... 900 17,438
Thomas & Betts Corp. .................. 400 12,325
Tyco International Ltd. ............... 8,192 376,320
United Stationers, Inc. + ............. 900 30,037
---------------
2,507,220
---------------
REAL ESTATE INVESTMENT TRUSTS (0.1%)
Trizec Hahn Corp. ..................... 7,100 115,375
---------------
SEMICONDUCTORS AND ELECTRONICS (8.5%)
Adaptec, Inc. + ....................... 900 24,300
ADC Telecommunications, Inc. + ........ 2,200 133,650
Advanced Micro Devices Corp. + ........ 1,200 105,300
ANADIGICS, Inc. + ..................... 2,800 210,700
Analog Devices, Inc. + ................ 2,400 184,350
Applied Materials, Inc. + ............. 5,400 549,787
Comverse Technology, Inc. + ........... 1,200 107,025
Conexant Systems, Inc. + .............. 1,600 95,800
Flextronics International Ltd. + ...... 4,200 295,050
Galileo Technology Ltd. + ............. 12,300 216,019
General Semiconductor Corp. + ......... 9,500 190,000
Intel Corp. ........................... 24,300 3,081,544
KLA Instruments Corp. + ............... 1,200 89,850
Kulicke & Soffa Industries, Inc. + .... 1,900 148,794
L-3 Communications Holdings, Inc. + ... 4,700 250,275
LSI Logic Corp. + ..................... 2,200 137,500
Lucent Technologies, Inc. ............. 15,480 962,662
Micron Technology, Inc. + ............. 1,300 181,025
Molex, Inc. ........................... 1,100 60,431
Motorola, Inc. ........................ 4,575 544,711
National Semiconductor Corp. + ........ 1,100 66,825
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Nortel Networks Corp. ................. 7,000 $ 792,750
Plexus Corp. + ........................ 1,600 122,600
QUALCOMM Inc. + ....................... 5,300 574,719
Scientific-Atlanta, Inc. .............. 1,400 91,087
Solectron Corp. + ..................... 3,100 145,119
Tellabs, Inc. + ....................... 1,000 54,813
Teradyne, Inc. + ...................... 1,200 132,000
Texas Instruments, Inc. ............... 5,800 944,675
Transwitch Corp. + .................... 2,700 237,769
Varian Semiconductor Equipment
Associates, Inc. + ................... 2,900 195,025
Veeco Instruments Inc. + .............. 1,400 86,975
Xilinx, Inc. + ........................ 2,400 175,800
---------------
11,188,930
---------------
SPECIALTY CHEMICALS (0.3%)
Air Products and Chemicals, Inc. ...... 1,300 40,381
Cytec Industries Inc. + ............... 2,700 81,337
Engelhard Corp. ....................... 700 12,294
Grace (W.R.) & Co. + .................. 500 6,500
Great Lakes Chemical Corp. ............ 300 8,081
Olin Corp. ............................ 5,000 88,750
OM Group, Inc. ........................ 2,000 92,000
Praxair, Inc. ......................... 900 39,994
Sigma-Aldrich Corp. ................... 700 20,563
---------------
389,900
---------------
STEEL (0.0%)
Nucor Corp. ........................... 700 30,100
USX-US Steel Group, Inc. .............. 600 15,037
Worthington Industries ................ 300 3,713
---------------
48,850
---------------
SURFACE TRANSPORT (0.2%)
Burlington Northern Santa Fe Corp. .... 2,600 62,725
CSX Corp. ............................. 1,100 23,031
Kansas City Southern Industries, Inc. . 600 43,125
Norfolk Southern Corp. ................ 1,300 22,913
Union Pacific Corp. ................... 1,300 54,762
---------------
206,556
---------------
TEXTILES AND APPAREL (0.0%)
Liz Claiborne, Inc. ................... 500 23,156
VF Corp. .............................. 700 19,775
---------------
42,931
---------------
TOBACCO (0.2%)
Nabisco Group Holdings Corp. .......... 1,600 20,600
Philip Morris Co., Inc. ............... 11,100 242,813
UST, Inc. ............................. 900 13,500
---------------
276,913
---------------
TOTAL COMMON STOCKS (COST $53,246,461) 76,989,956
---------------
</TABLE>
18 See Notes to Portfolio of Investments
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
PREFERRED STOCKS (0.1%)
Global Crossing Holdings Ltd. (Other
Telecommunications)................... 750 $ 74,063
---------------
TOTAL PREFERRED STOCKS (COST $74,625) 74,063
---------------
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (32.2%)
CORPORATE BONDS (9.7%)
Allied Waste North
America,10.00%,08/01/09............... $ 105,000 72,187
Associates Corp. N.A.,5.80%,04/20/04 .. 70,000 65,403
Associates Corp. N.A.,6.25%,11/01/08 .. 530,000 476,030
AT&T Corp.,6.50%,03/15/29 ............. 255,000 215,108
Baker Hughes Inc.,6.25%,01/15/09 ...... 25,000 22,464
Baker Hughes Inc.,6.88%,01/15/29 ...... 60,000 50,348
Bank of America Corp.,5.75%,03/01/04 .. 80,000 75,015
Bank of America Corp.,5.88%,02/15/09 .. 215,000 189,490
Bank of America Corp.,7.80%,02/15/10 .. 220,000 218,464
Bombardier Capital Inc.,7.30%,12/15/02 185,000 182,225
BP Amoco PLC,5.90%,04/15/09 ........... 85,000 75,832
Capitol Records Inc.,8.38%,08/15/09 ... 58,000 58,377
Charter Communications Holding
LLC,10.25%,01/15/10................... 100,000 96,250
Chase Manhattan Corp.,7.00%,11/15/09 .. 475,000 446,106
CIT Holdings LLC,6.88%,02/16/05 ....... 225,000 216,418
Citigroup Inc.,6.20%,03/15/09 ......... 55,000 50,088
Coastal Corp.,6.50%,05/15/06 .......... 215,000 197,923
Comcast Cable
Communications,6.20%,11/15/08......... 75,000 65,812
Conoco Inc.,6.95%,04/15/29 ............ 70,000 62,761
Cox Communications Inc.,6.50%,11/15/02 175,000 169,526
Cox Communications Inc.,7.75%,08/15/06 160,000 156,122
CSC Holdings Inc.,7.88%,02/15/18 ...... 160,000 143,200
CSC Holdings Inc.,8.13%,07/15/09 ...... 165,000 162,937
DaimlerChrysler NA Holdings
Inc.,7.20%,09/01/09................... 471,000 453,013
Diageo Capital Plc,7.25%,11/01/09 ..... 210,000 207,467
Duke Energy Corp.,7.38%,03/01/10 ...... 170,000 167,662
Eastman Kodak Co.,6.50%,08/15/01 ...... 240,000 237,206
Edison International
Inc.,6.88%,09/15/04................... 180,000 175,952
El Paso Energy Corp.,6.63%,07/15/01 ... 175,000 172,888
ERAC USA Finance Co.,6.95%,03/01/04
[dble dag] 115,000 111,030
First Union National
Bank,7.88%,02/15/10................... 205,000 203,313
Flag Telecom Holding
Ltd.,11.63%,03/30/10.................. 75,000 69,938
Ford Motor Credit Corp.,7.38%,10/28/09 440,000 425,313
Ford Motor Credit Corp.,7.50%,03/15/05 370,000 365,967
General Motors Acceptance
Corp.,7.75%,01/19/10.................. 445,000 439,469
Global Crossing Holdings
Ltd.,9.13%,11/15/06................... 90,000 87,075
Global Crossing Holdings
Ltd.,9.50%,11/15/09................... 75,000 72,750
GTE California Inc.,7.65%,03/15/07 .... 190,000 189,058
GTE Corp.,6.70%,09/01/09 .............. 320,000 296,688
Honeywell International,7.50%,03/01/10 310,000 308,837
Household Finance Corp.,7.88%,03/01/07 120,000 118,759
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Huntsman ICI Chemicals,10.13%,07/01/09 $ 75,000 $ 74,250
ICG Holdings Inc.,Zero Coupon,05/01/06 130,000 104,000
ICG Holdings Inc.,Zero Coupon,03/15/07 30,000 19,500
Impsat Fiber Networks,13.75%,02/15/05 . 300,000 282,000
International Bank Reconstruction &
Development,7.00%,01/27/05 * ......... 50,000 49,578
Kaman Corp.,6.00%,03/15/12 ............ 51,000 43,860
Keyspan Gas East,7.88%,02/01/10 ....... 150,000 146,439
Lockheed Martin Corp.,8.50%,12/01/29 .. 225,000 220,081
MCI WorldCom, Inc.,6.95%,08/15/28 ..... 361,000 318,348
Metromedia International Group,
Inc.,10.00%,11/15/08.................. 20,000 19,150
MGC Communications Inc.,13.00%,04/01/10
[dble dag] ........................... 50,000 47,875
Morgan JP & Co. Inc.,6.00%,01/15/09 ... 225,000 196,981
Nextlink Communications,Zero
Coupon,06/01/09 50,000 29,500
Norwest Financial, Inc.,5.38%,09/30/03 200,000 187,810
Pepsi Bottling Holdings
Inc.,5.63%,02/17/09................... 265,000 233,086
Petroleum Geo-Services,7.50%,03/31/07 . 140,000 132,565
PP&L Transition Bond Co.
Llc,7.05%,06/25/09.................... 340,000 331,711
Qwest Communications International
Inc.,7.50%,11/01/08................... 130,000 124,985
Raytheon Co.,8.30%,03/01/10 ........... 115,000 113,390
Rohm & Haas Co.,7.85%,07/15/29 ........ 110,000 109,207
RSL Communications Plc,10.50%,11/15/08 105,000 87,150
Sempra Energy,7.95%,03/01/10 .......... 170,000 171,404
Telewest Communications PLC,Zero
Coupon,02/01/10....................... 85,000 47,600
Telewest Plc,11.00%,10/01/07 .......... 60,000 56,400
Tembec Industries Inc.,8.63%,06/30/09 . 60,000 58,200
Texaco Capital, Inc.,5.50%,01/15/09 ... 240,000 205,829
Textron Financial Corp.,7.13%,12/09/04 260,000 253,248
Time Warner Inc.,6.63%,05/15/29 ....... 140,000 116,277
Time Warner Inc.,8.11%,08/15/06 ....... 55,000 55,252
Tyco International Group
SA,6.38%,06/15/05..................... 260,000 241,855
U.S. West Communications
Group,7.20%,11/01/04.................. 185,000 181,224
United Technologies
Corp.,7.50%,09/15/29 [dble dag]....... 115,000 111,543
Viatel, Inc.,11.25%,04/15/08 .......... 50,000 43,000
Vodafone Airtouch Plc,7.63%,02/15/05 .. 190,000 189,287
Vodafone Airtouch Plc,7.75%,02/15/10 .. 140,000 140,210
Voicestream Wire,10.38%,11/15/09 ...... 30,000 30,525
Wal-Mart Stores,6.88%,08/10/09 ........ 145,000 139,177
Wal-Mart Stores,7.55%,02/15/30 ........ 230,000 230,996
Winstar Communications,
Inc.,12.50%,04/15/08.................. 30,000 28,950
---------------
TOTAL CORPORATE BONDS 12,742,914
---------------
FOREIGN OBLIGATIONS (3.4%)
Bundesobligation,Zero Coupon,11/26/04 . 1,400,000 1,238,439
Bundesrepub,Zero Coupon,07/04/07 ...... 1,650,000 1,568,903
French Treasury Note,Zero
Coupon,07/12/05....................... 900,000 817,381
NTL Inc.,Zero Coupon,02/01/06 ......... 50,000 46,250
Republic of Deutschland,Zero
Coupon,07/04/09....................... 850,000 730,995
---------------
TOTAL FOREIGN OBLIGATIONS 4,401,968
---------------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
BALANCED (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
<S> <C> <C>
NON-AGENCY MORTGAGE-BACKED SECURITIES (0.2%)
DLJ Mortgage Acceptance
Corp.,8.10%,06/18/04 ................. $ 350,000 $ 303,406
---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(18.1%)
Federal Home Loan Mortgage Corp.,Zero
Coupon,09/15/29....................... 585,977 363,675
Federal Home Loan Mortgage
Corp.,6.88%,01/15/05.................. 1,170,000 1,153,175
Federal Home Loan Mortgage
Corp.,7.00%,03/15/10.................. 1,810,000 1,771,827
Federal National Mortgage
Association,6.00%,01/01/29............ 1,222,296 1,107,706
Federal National Mortgage
Association,6.50%,11/01/28............ 99,581 93,109
Federal National Mortgage
Association,6.50%,05/15/29 #.......... 2,000,000 1,866,260
Federal National Mortgage
Association,6.50%,08/01/29............ 809,164 755,047
Federal National Mortgage
Association,6.63%,09/15/09............ 1,792,000 1,708,278
Federal National Mortgage
Association,6.63%,09/15/09 *.......... 1,360,000 1,297,317
Federal National Mortgage
Association,7.00%,05/01/30 #.......... 1,300,000 1,244,542
Federal National Mortgage
Association,7.13%,01/15/30............ 590,000 584,006
Federal National Mortgage
Association,7.25%,01/15/10............ 1,385,000 1,380,886
Federal National Mortgage
Association,7.50%,06/15/30 #.......... 1,100,000 1,077,483
Federal National Mortgage
Association,8.50%,11/01/23............ 274,109 278,221
Federal National Mortgage
Association,8.50%,12/01/29 *.......... 805,833 819,683
Federal National Mortgage
Association,9.50%,10/01/16 *.......... 504,845 530,759
Government National Mortgage
Association,6.00%,11/20/29............ 140,000 137,550
Government National Mortgage
Association,6.00%,01/20/30............ 517,395 508,424
Government National Mortgage
Association,6.38%,04/20/28............ 207,310 208,380
Government National Mortgage
Association,6.50%,10/20/28 *.......... 1,521,923 1,418,721
Government National Mortgage
Association,6.50%,01/20/30............ 456,917 454,135
Government National Mortgage
Association,7.00%,12/15/28............ 1,975,305 1,899,987
Government National Mortgage
Association,7.50%,12/15/23............ 1,684,067 1,662,494
Government National Mortgage
Association,8.00%,12/15/23............ 649,842 652,883
Government National Mortgage
Association,8.00%,07/15/24............ 782,539 785,474
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES 23,760,022
---------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (0.8%)
U.S. Treasury Note,5.50%,07/31/01 ..... $ 93,000 $ 91,721
U.S. Treasury Note,5.88%,11/15/04 ..... 145,000 141,171
U.S. Treasury Note,6.00%,08/15/09 ..... 735,000 717,999
U.S. Treasury Note,6.13%,08/15/29 ..... 82,000 82,192
---------------
TOTAL U.S. GOVERNMENT OBLIGATIONS 1,033,083
---------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $43,493,976) 42,241,393
---------------
SHORT-TERM INVESTMENTS (11.6%)
Federal Farm Credit Bank,5.88%,05/01/00 4,092,000 4,092,000
Occidental Petroleum Cor,6.35%,05/04/00 2,000,000 1,998,942
Raytheon Co.,6.25%,05/11/00 ........... 5,000,000 4,991,319
U.S. Treasury Bill,5.55%,05/18/00 @.... 100,000 99,738
U.S. Treasury Bill,5.56%,05/18/00 @.... 100,000 99,738
Viacom International
Inc.,6.35%,05/17/00 *................. 4,000,000 3,988,711
---------------
TOTAL SHORT-TERM INVESTMENTS
(COST $15,270,448) 15,270,448
---------------
TOTAL INVESTMENTS (COST
$112,085,510)(a)..................... 134,575,860
OTHER ASSETS LESS LIABILITIES (3,421,252)
---------------
TOTAL NET ASSETS $131,154,608
===============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$115,297,711. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<S> <C>
Unrealized gains........................... $ 24,409,837
Unrealized losses.......................... (5,131,688)
-------------
Net unrealized gain....................... $ 19,278,149
=============
</TABLE>
20 See Notes to Financial Statements.
<PAGE>
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
Information concerning open futures contracts at April 30, 2000 is shown below:
<TABLE>
<CAPTION> NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
--------- -------------- ---------- --------------
LONG CONTRACTS
--------------------
<S> <C> <C> <C> <C>
Russell 2000 Index
Futures ............ 7 $ 1,781,500 Jun 00 $ (345,541)
U.S. Agency 10 Yr... 5 455,312 Jun 00 (1,416)
-------------- -------------
$ 2,236,812 $ (346,957)
============== =============
</TABLE>
<TABLE>
<CAPTION> NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
--------- -------------- ---------- --------------
SHORT CONTRACTS
--------------------
<S> <C> <C> <C> <C>
U.S. Treasury 2 Yr.. 4 $ (788,938) Jun 00 $ 1,887
U.S. Treasury 5 Yr.. 9 (878,203) Jun 00 8,002
U.S. Treasury 10 Yr. 67 (6,495,859) Jun 00 88,524
U.S. Treasury 30 Yr. 21 (2,027,812) Jun 00 (28,136)
-------------- -------------
$(10,190,812) $ 70,277
============== =============
</TABLE>
Information concerning the following swap contract at April 30, 2000 is shown
below:
<TABLE>
<S> <C>
Swap Counter Party: Morgan Stanley Capital Services, Inc.
Notional Principal: $2,200,000
Fund will pay: LIBOR less 0.15%
Fund will receive: Lehman Corporate Bond Total Return
Effective LIBOR rate: 5.98%
Change in total return of
Lehman Corporate Bond Index: (11.86)%
Net unrealized gain/(loss): $(30,607)
Termination date: October 1, 2000
</TABLE>
+ Non-income producing security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at April 30, 2000.
[dble dag] Securities that may be resold to "qualified institutional buyers"
under Rule 144A or securities offered pursuant to section 4(2) of the
SecuritiesAct of 1933, as amended. These securities have been determined
to be liquid under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 2000.
# When-issued or delayed delivery security.
Category percentages are based on net assets.
See Notes to Financial Statements. 21
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
GROWTH AND INCOME
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS (97.1%)
UNITED STATES (91.9%)
AIR TRANSPORT (0.2%)
America West Holdings Corp. + ......... 12,100 $ 176,962
Delta Air Lines, Inc. ................. 16,400 865,100
SkyWest, Inc. ......................... 1,500 63,188
---------------
1,105,250
---------------
ALUMINUM (0.3%)
Alcoa Inc. ............................ 24,800 1,608,900
---------------
AUTOMOTIVE (1.3%)
Delphi Automotive Systems Corp. ....... 37,200 711,450
Ford Motor Co. ........................ 62,300 3,407,031
General Motors Corp. + ................ 42,700 3,997,788
Meritor Automotive, Inc. .............. 9,900 148,500
---------------
8,264,769
---------------
BANKS AND THRIFTS (3.5%)
Astoria Financial Corp. ............... 13,500 372,094
Bank of America Corp. ................. 19,300 945,700
Bank of New York Co., Inc. ............ 64,600 2,652,637
Chase Manhattan Corp. ................. 46,700 3,365,319
Dime Bancorp, Inc. .................... 13,900 260,625
Fifth Third Bancorp ................... 16,400 1,035,250
Firstar Corp. ......................... 54,200 1,348,225
FirstFed Financial Corp. + ............ 9,100 113,750
Fleet Boston Financial Corp. .......... 50,600 1,793,137
Golden State Bancorp, Inc. + .......... 26,300 404,363
J.P. Morgan & Co. ..................... 12,300 1,579,012
Mellon Financial Corp. ................ 29,300 941,262
North Fork Bancorp, Inc. .............. 32,900 532,569
Silicon Valley Bancshares + ........... 3,700 228,475
SouthTrust Corp. ...................... 23,000 549,125
Suntrust Banks, Inc. .................. 17,300 877,975
UnionBanCal Corp. ..................... 19,700 545,444
Wells Fargo & Co. ..................... 91,200 3,744,900
---------------
21,289,862
---------------
BIOTECH AND MEDICAL PRODUCTS (1.1%)
Amgen, Inc. + ......................... 60,500 3,388,000
Cubist Pharmaceuticals, Inc. + ........ 2,000 64,250
Datascope Corp. + ..................... 6,200 205,375
Enzon, Inc. + ......................... 4,800 178,800
IDEC Pharmaceuticals Corp. + .......... 1,400 89,600
Immunomedics, Inc. + .................. 7,900 114,550
IVAX Corp. + .......................... 17,100 468,113
Medtronic, Inc. + ..................... 29,000 1,506,187
Protein Design Labs, Inc. + ........... 1,200 121,800
SangStat Medical Corporation + ........ 5,300 152,375
SICOR Inc. + .......................... 18,300 207,019
Varian, Inc. + ........................ 9,600 349,200
---------------
6,845,269
---------------
CHEMICALS (0.2%)
Dow Chemical Co. ...................... 11,800 1,333,400
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMMERCIAL SERVICES (0.2%)
Concord EFS, Inc. + ................... 6,600 $ 147,675
Dendrite International, Inc. + ........ 8,400 192,150
Getty Images, Inc. + .................. 7,100 215,663
Marketing Services Group, Inc. + ...... 12,900 89,494
Omnicom Group, Inc. ................... 9,400 855,987
---------------
1,500,969
---------------
COMPUTERS (5.9%)
Apple Computer, Inc. + ................ 7,200 893,250
Compaq Computer Corp. ................. 91,200 2,667,600
Dell Computer Corp. + ................. 55,300 2,771,912
Harmonic Inc. + ....................... 2,600 191,913
Hewlett Packard Co. ................... 56,800 7,668,000
International Business Machines Corp. . 95,000 10,604,375
Sun Microsystems, Inc. + .............. 124,900 11,482,994
---------------
36,280,044
---------------
CONGLOMERATE AND AEROSPACE (5.7%)
Boeing Co. ............................ 63,700 2,528,094
General Dynamics Corp. ................ 11,000 643,500
General Electric Co. .................. 183,700 28,886,825
Loews Corp. ........................... 10,900 600,863
Northrop Grumman Corp. ................ 14,500 1,027,687
United Technologies Corp. ............. 24,300 1,511,156
---------------
35,198,125
---------------
CONSUMER FINANCE (1.3%)
Federal National Mortgage Association . 79,900 4,818,969
Freddie Mac Corp. ..................... 26,800 1,231,125
Household International, Inc. ......... 25,400 1,060,450
MBNA Corp. ............................ 42,400 1,126,250
---------------
8,236,794
---------------
CONSUMER PRODUCTS (1.4%)
Church & Dwight Co., Inc. ............. 11,600 207,350
Colgate-Palmolive Co. ................. 46,900 2,679,162
Kimberly-Clark Corp. .................. 29,900 1,736,069
Procter & Gamble Co. .................. 71,600 4,269,150
---------------
8,891,731
---------------
CONSUMER SERVICES (0.7%)
Brinker International, Inc. + ......... 8,900 283,688
Darden Restaurants, Inc. .............. 21,400 394,563
H&R Block, Inc. ....................... 10,600 443,212
McDonald's Corp. ...................... 35,400 1,349,625
Metris Companies, Inc. ................ 2,200 82,500
MGM Grand, Inc. + ..................... 11,100 327,450
Pinnacle Entertainment, Inc. + ........ 14,100 282,881
Priceline.com Incorporated + .......... 9,600 607,200
Sonic Corp. + ......................... 6,500 180,781
United Rentals, Inc. + ................ 23,300 316,006
---------------
4,267,906
---------------
CONSUMER SPECIALTIES (0.0%)
Brunswick Corp. ....................... 15,400 295,488
---------------
</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 (13.1%)
America Online, Inc. + ................ 119,300 $ 7,135,631
American Management Systems, Inc. + ... 3,900 144,300
BEA Systems, Inc. + ................... 21,800 1,051,850
Cisco Systems, Inc. + ................. 406,300 28,168,017
Computer Associates International, Inc. 33,025 1,843,208
Eastman Kodak Co. ..................... 16,600 928,562
eBay Inc. + ........................... 7,600 1,209,825
Electronics for Imaging, Inc. + ....... 4,200 219,450
EMC Corp. + ........................... 67,000 9,308,812
Entrust Technologies, Inc. + .......... 6,300 309,488
First Data Corp. ...................... 22,900 1,114,944
Go2Net, Inc. + ........................ 2,400 142,800
In Focus Systems, Inc. + .............. 9,600 287,400
Mercury Computer Systems, Inc. + ...... 2,200 84,563
Microsoft Corp. + ..................... 194,200 13,545,450
Network Appliance, Inc. + ............. 15,700 1,160,819
Oracle Corp. + ........................ 118,000 9,432,625
QLogic Corp. + ........................ 7,000 702,187
Symantec Corp. + ...................... 10,000 624,375
VERITAS Software Corp. + .............. 3,300 353,977
WorldGate Communications, Inc. + ...... 4,800 113,100
Xircom, Inc. + ........................ 4,700 185,356
Yahoo! Inc. + ......................... 19,800 2,578,950
---------------
80,645,689
---------------
DISCRETIONARY RETAIL (4.4%)
American Eagle Outfitters, Inc. + ..... 3,900 66,300
Barnes & Noble, Inc. + ................ 7,500 138,750
Costco Wholesale Corp. + .............. 31,100 1,681,344
CSK Auto Corp. + ...................... 9,900 103,950
Gap, Inc. ............................. 42,400 1,558,200
Home Depot, Inc. ...................... 155,699 8,728,875
Insight Enterprises, Inc. + ........... 7,100 296,869
Kmart Corp. + ......................... 29,600 240,500
Lowe's Co., Inc. ...................... 23,200 1,148,400
Neiman Marcus Group, Inc. (The) + ..... 16,600 427,450
Office Depot, Inc. + .................. 22,000 232,375
Payless ShoeSource, Inc. + ............ 7,900 435,488
Ross Stores, Inc. ..................... 26,300 545,725
Sears, Roebuck & Co. .................. 18,600 681,225
Target Corporation .................... 23,000 1,530,937
The Limited, Inc. ..................... 9,900 447,356
TJX Companies, Inc. ................... 34,500 661,969
ValueVision International, Inc. + ..... 5,600 111,650
Wal-Mart Stores, Inc. ................. 143,500 7,946,312
Zale Corp. + .......................... 9,900 408,375
---------------
27,392,050
---------------
DIVERSIFIED FINANCIAL SERVICES (2.8%)
American Express Co. .................. 24,400 3,661,525
Citigroup Inc. ........................ 228,500 13,581,469
---------------
17,242,994
---------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
DRUGS (8.8%)
Abbott Laboratories ................... 84,000 $ 3,228,750
Alliance Pharmaceutical Corp. + ....... 9,100 72,231
American Home Products Corp. .......... 69,000 3,876,937
Bristol-Myers Squibb Co. .............. 118,200 6,198,112
Eli Lilly & Co. ....................... 49,500 3,826,969
Johnson & Johnson ..................... 73,300 6,047,250
Jones Medical Industries, Inc. ........ 4,500 129,656
King Pharmaceuticals, Inc. + .......... 3,300 162,938
Medicis Pharmaceutical Corp. + ........ 2,200 96,250
Merck & Co., Inc. ..................... 122,600 8,520,700
Pfizer, Inc. .......................... 259,000 10,910,375
Pharmacia Corporation ................. 33,796 1,687,688
Schering Plough ....................... 88,200 3,555,563
Warner Lambert Co. .................... 52,300 5,952,394
---------------
54,265,813
---------------
ELECTRIC UTILITIES (1.3%)
Ameren Corp. .......................... 26,300 964,881
Calpine Corp. + ....................... 9,900 905,850
Duke Energy Corp. ..................... 24,800 1,426,000
Energy East Corp. ..................... 32,900 686,787
FirstEnergy Corp. ..................... 37,500 953,906
NSTAR Corp............................. 16,400 722,625
Peco Energy Co. ....................... 5,300 220,944
Pinnacle West Capital Corp. ........... 13,100 460,138
Public Service Enterprise Group, Inc. . 16,400 588,350
Southern Co. .......................... 36,700 915,206
Unicom Corp. .......................... 8,200 325,950
---------------
8,170,637
---------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.2%)
JDS Uniphase Corporation + ............ 9,200 953,925
Rockwell International Corp. .......... 7,700 303,188
---------------
1,257,113
---------------
ELECTRONIC MEDIA (3.1%)
AT&T Corp. - Liberty Media Group + .... 68,100 3,400,744
CBS Corp. + ........................... 20,500 1,204,375
Entercom Communications Corp. + ....... 2,200 93,500
Infinity Broadcasting Corp. + ......... 24,700 838,256
Mediaone Group, Inc. + ................ 16,000 1,210,000
Pixar, Inc. + ......................... 11,800 438,812
Time Warner, Inc. ..................... 65,200 5,863,925
Viacom, Inc. + ........................ 27,600 1,500,750
Walt Disney Co. (The) + ............... 109,200 4,729,725
---------------
19,280,087
---------------
FOOD AND BEVERAGE (1.8%)
Anheuser-Busch Co., Inc. .............. 25,800 1,820,513
Bestfoods ............................. 14,600 733,650
Coca-Cola Co. ......................... 63,700 2,997,881
Coca-Cola Enterprises, Inc. ........... 34,000 724,625
Dean Foods Co. ........................ 6,300 154,350
Delta & Pine Land Co. ................. 12,700 266,700
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
IBP, Inc. ............................. 27,900 $ 460,350
Pepsi Bottling Group, Inc. ............ 31,200 672,750
PepsiCo, Inc. ......................... 75,600 2,773,575
Quaker Oats Co. ....................... 1,300 84,744
Suiza Foods Corp. + ................... 5,100 198,581
---------------
10,887,719
---------------
FOOD AND DRUG RETAIL (0.9%)
Casey's General Stores, Inc. .......... 16,800 196,350
CVS Corp. ............................. 21,700 943,950
Kroger Co. (The) + .................... 44,500 826,031
Safeway, Inc. + ....................... 27,600 1,217,850
SUPERVALU, Inc. ....................... 22,100 457,194
Sysco Corp. ........................... 16,600 624,575
Walgreen Co. .......................... 53,200 1,496,250
---------------
5,762,200
---------------
FOREST PRODUCTS AND BUILDING MATERIALS (0.5%)
Georgia-Pacific Corp. ................. 3,500 128,625
International Paper Co. ............... 22,400 823,200
Johns Manville Corporation ............ 26,300 274,506
Lafarge Corp. ......................... 6,600 166,650
Louisiana-Pacific Corp. ............... 23,000 307,625
Potlatch Corp. ........................ 6,200 244,513
Texas Industries, Inc. ................ 5,600 182,700
USG Corp. ............................. 19,700 822,475
---------------
2,950,294
---------------
GAS UTILITIES (0.8%)
Enron Corp. ........................... 57,400 4,000,063
KeySpan Energy Corp. .................. 9,900 290,813
Sempra Energy ......................... 4,900 90,956
Williams Co., Inc. (The) .............. 22,900 854,456
---------------
5,236,288
---------------
HEALTH SERVICES (0.4%)
Columbia/HCA Healthcare Corp. ......... 29,400 836,062
Covance, Inc. + ....................... 17,200 158,025
Oxford Health Plans, Inc. + ........... 9,800 186,200
Quest Diagnostics Incorporated + ...... 4,600 267,663
Trigon Healthcare, Inc. + ............. 8,000 287,500
UnitedHealth Group Incorporated ....... 10,000 666,875
---------------
2,402,325
---------------
HOUSING AND FURNISHINGS (0.1%)
Ethan Allen Interiors, Inc. ........... 6,300 168,131
Kaufman & Broad Home Corp. ............ 9,500 182,875
Pulte Corp. ........................... 12,100 260,150
---------------
611,156
---------------
INDUSTRIAL SERVICES (0.1%)
Catalytica, Inc. + .................... 20,000 222,500
Jacobs Engineering Group, Inc. + ...... 5,900 184,744
---------------
407,244
---------------
INSURANCE (2.1%)
Allmerica Financial Corp. ............. 6,600 357,225
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
INSURANCE (CONTINUED)
AMBAC, Inc. ........................... 11,800 $ 566,400
American International Group, Inc. .... 68,800 7,546,500
CIGNA Corp. ........................... 14,500 1,156,375
Horace Mann Educators Corp. ........... 12,900 187,856
Marsh & McLennan Co., Inc. ............ 21,100 2,079,669
MGIC Investment Corp. ................. 9,900 473,344
Mutual Risk Management Ltd. ........... 4,900 76,869
PMI Group, Inc. (The) ................. 9,900 479,531
Radian Group Inc. ..................... 3,400 173,187
---------------
13,096,956
---------------
INVESTMENT SERVICES (1.8%)
Bear Stearns Co., Inc. (The) .......... 13,100 561,662
Charles Schwab Corp. .................. 36,900 1,642,050
Donaldson, Lufkin & Jenrette, Inc. .... 7,900 329,331
Edwards (A.G.), Inc. .................. 1,100 41,388
Goldman Sachs Group, Inc. (The) ....... 3,400 317,050
Investors Financial Services Corp. .... 3,500 285,687
Knight/Trimark Group, Inc. + .......... 3,500 131,906
Lehman Brothers Holdings Inc. ......... 7,900 648,294
Merrill Lynch & Co., Inc. ............. 19,300 1,967,394
Morgan Stanley Dean Witter & Co. ...... 59,700 4,581,975
National Discount Brokers Group, Inc. + 1,000 29,188
Paine Webber Group Inc. ............... 13,100 574,762
---------------
11,110,687
---------------
MAJOR TELECOMMUNICATIONS (6.2%)
AT&T Corp. ............................ 161,400 7,535,362
AT&T Wireless Group + ................. 38,700 1,231,144
Bell Atlantic Corp. ................... 84,200 4,988,850
BellSouth Corp. ....................... 103,200 5,024,550
GTE Corp. ............................. 52,500 3,556,875
MCI Worldcom, Inc. + .................. 72,800 3,307,850
Nextel Communications, Inc. + ......... 4,200 459,638
SBC Communications, Inc. .............. 135,000 5,914,687
Sprint Corp. .......................... 37,300 2,293,950
Sprint PCS + .......................... 23,600 1,298,000
U.S. WEST, Inc. ....................... 27,500 1,957,656
Western Wireless Corporation .......... 8,200 407,438
---------------
37,976,000
---------------
OIL (4.8%)
Amerada Hess Corp. .................... 9,000 572,625
Chevron Corp. ......................... 53,900 4,588,237
Conoco Inc. ........................... 33,500 833,312
Exxon Mobil Corp. ..................... 263,100 20,439,581
Kerr-McGee Corp. ...................... 8,300 429,525
Occidental Petroleum Corp. ............ 30,900 662,419
Ocean Energy, Inc. + .................. 19,700 254,869
Tesoro Petroleum Corp. + .............. 22,800 267,900
Triton Energy Ltd. + .................. 7,400 269,638
Ultramar Diamond Shamrock Corp. ....... 14,800 366,300
USX-Marathon Group .................... 21,000 489,562
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
OIL (CONTINUED)
Valero Energy Corp. ................... 10,200 $ 295,800
Vintage Petroleum, Inc. + ............. 13,900 276,263
---------------
29,746,031
---------------
OIL SERVICES (0.4%)
BJ Services Co. + ..................... 9,600 674,400
Marine Drilling Companies, Inc. + ..... 11,800 306,800
McDermott International, Inc., ADR .... 25,600 208,000
Schlumberger, Ltd. .................... 13,600 1,041,250
Tidewater, Inc. ....................... 16,400 487,900
---------------
2,718,350
---------------
OTHER TELECOMMUNICATIONS (0.6%)
CapRock Communications Corp. + ........ 5,000 167,500
Global Crossing Holdings Ltd. + ....... 40,400 1,272,600
IDT Corporation + ..................... 3,100 98,038
Level 3 Communications, Inc. .......... 20,900 1,860,100
Telephone & Data Systems, Inc. ........ 5,200 530,400
---------------
3,928,638
---------------
PRINT MEDIA (0.2%)
Gannett Co., Inc. ..................... 15,100 964,512
Knight-Ridder, Inc. ................... 9,100 446,469
---------------
1,410,981
---------------
PRODUCER GOODS (2.8%)
Cable Design Technologies, Inc. + ..... 3,700 126,725
CommScope, Inc. + ..................... 6,700 318,250
Corning, Inc. ......................... 18,100 3,574,750
Dover Corp. ........................... 13,800 701,212
Emerson Electric Co. .................. 22,700 1,245,662
FMC Corp. + ........................... 2,800 162,925
Graco, Inc. ........................... 8,400 284,550
Honeywell International Inc. .......... 43,700 2,447,200
ITT Industries, Inc. .................. 6,600 208,312
Littlefuse, Inc. + ................... 6,600 234,300
Minnesota Mining and Manufacturing Co. 21,700 1,877,050
Mueller Industries, Inc. + ............ 5,500 181,156
Tecumseh Products Co. ................. 3,000 139,313
Tower Automotive, Inc. + .............. 11,100 173,438
Tyco International Ltd. ............... 114,900 5,278,219
United Stationers, Inc. + ............. 1,000 33,375
Zebra Technologies, Inc. + ............ 3,200 182,400
---------------
17,168,837
---------------
REAL ESTATE INVESTMENT TRUSTS (0.1%)
Beacon Capital + [plus sign]........... 26,000 462,800
---------------
SEMICONDUCTORS AND ELECTRONICS (12.0%)
Adaptec, Inc. + ....................... 9,400 253,800
Advanced Micro Devices Corp. + ........ 11,500 1,009,125
Altera Corp. + ........................ 5,000 511,250
Amkor Technology, Inc. + .............. 6,400 391,600
ANADIGICS, Inc. + ..................... 4,650 349,912
Analog Devices, Inc. + ................ 11,600 891,025
Applied Materials, Inc. + ............. 62,400 6,353,100
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Applied Micro Circuits Corp. + ........ 7,900 $ 1,018,112
Atmel Corp. + ......................... 3,300 161,494
AVX Corp. ............................. 7,500 730,781
C-Cube Microsystems, Inc. + ........... 3,800 244,150
Carrier Access Corp. + ................ 3,300 143,963
Comverse Technology, Inc. + ........... 8,300 740,256
Conexant Systems, Inc. + .............. 5,800 347,275
CTS Corp. ............................. 3,000 189,188
Cybex Computer Products Corp. + ....... 6,300 172,463
Digital Lightwave, Inc. + ............. 3,000 205,500
General Semiconductor Corp. + ......... 10,500 210,000
Integrated Electric Services Inc. + ... 6,800 326,825
Intel Corp. ........................... 219,200 27,797,300
International Rectifier Corp. + ....... 8,400 412,650
KLA Instruments Corp. + ............... 9,700 726,287
Kulicke & Soffa Industries, Inc. + .... 2,300 180,119
Lam Research Corporation + ............ 5,400 247,725
LSI Logic Corp. + ..................... 5,500 343,750
Microchip Technology, Inc. + .......... 5,900 366,169
Motorola, Inc. ........................ 48,000 5,715,000
MRV Communications, Inc. + ............ 1,500 103,406
National Semiconductor Corp. + ........ 11,600 704,700
Novellus Systems, Inc. + .............. 3,300 220,069
PMC Sierra Inc. + ..................... 2,400 460,500
QUALCOMM Inc. + ....................... 53,800 5,833,937
RF Micro Devices, Inc. + .............. 2,200 228,938
Scientific-Atlanta, Inc. .............. 10,500 683,156
SDL, Inc. + ........................... 6,000 1,170,000
Semtech Corp. + ....................... 4,300 293,206
Solectron Corp. + ..................... 27,100 1,268,619
Teradyne, Inc. + ...................... 6,100 671,000
Texas Instruments, Inc. ............... 65,200 10,619,450
Transwitch Corp. + .................... 2,800 246,575
Varian Semiconductor Equipment
Associates, Inc. + ................... 3,200 215,200
Veeco Instruments Inc. + .............. 1,800 111,825
Vishay Intertechnology, Inc. + ........ 12,900 1,081,987
---------------
73,951,387
---------------
SPECIALTY CHEMICALS (0.1%)
ChiRex Inc. + ......................... 9,500 161,500
Cytec Industries Inc. + ............... 3,000 90,387
Lubrizol Corp. (The) .................. 14,100 361,312
Olin Corp. ............................ 9,400 166,850
OM Group, Inc. ........................ 2,200 101,200
---------------
881,249
---------------
STEEL (0.0%)
Nucor Corp. ........................... 1,800 77,400
---------------
SURFACE TRANSPORT (0.1%)
Kansas City Southern Industries, Inc. . 8,200 589,375
---------------
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
GROWTH AND INCOME (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
TEXTILES AND APPAREL (0.1%)
Timberland Co. (The) + ................ 4,400 $ 305,250
---------------
TOBACCO (0.5%)
Philip Morris Co., Inc. ............... 128,000 2,800,000
---------------
TOTAL UNITED STATES COMMON STOCKS 567,854,057
(COST $490,721,495)
---------------
FOREIGN COMMON STOCKS (5.2%)
CANADA (2.0%)
Alcan Aluminum Ltd. (Aluminum) ........ 9,000 294,750
Inco Ltd. (Miscellaneous Metals) + .... 24,300 379,688
Nortel Networks Corp. (Semiconductors
and Electronics) ..................... 100,890 11,425,792
---------------
TOTAL CANADA 12,100,230
---------------
DENMARK (0.2%)
Novo-Nordisk A/S (Drugs) .............. 4,000 537,799
Tele Danmark A/S (Other
Telecommunications)................... 6,500 476,685
Vestas Wind Systems A/S (Producer
Goods) + ............................. 1,200 401,882
---------------
TOTAL DENMARK 1,416,366
---------------
FINLAND (0.3%)
Comptel Oyj (Computer and Computer
Software Stores) + ................... 10,000 226,549
JOT Automation Group Oyj (Electrical
Machinery and Instruments) ........... 30,000 217,345
Nokia Corp., ADR (Semiconductors and
Electronics).......................... 16,000 910,000
Perlos Oyj (Semiconductors and
Electronics) + ....................... 4,000 148,542
---------------
TOTAL FINLAND 1,502,436
---------------
FRANCE (0.2%)
Axa Financial, Inc. (Diversified
Financial Services) .................. 1,300 193,223
Genset (Biotech and Medical Products) . 8,700 247,950
Vivendi (Conglomerate and Aerospace) .. 4,500 446,172
---------------
TOTAL FRANCE 887,345
---------------
GERMANY (0.3%)
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................. 1,800 185,358
Infineon Technologies Ag
(Semiconductors and Electronics) ..... 5,600 387,849
Infonet Services Corporation (Data and
Imaging Services) .................... 8,700 146,813
Intershop Communications AG (Data and
Imaging Services) + .................. 1,000 445,170
Siemens AG (Electrical Machinery and
Instruments).......................... 4,900 724,730
---------------
TOTAL GERMANY 1,889,920
---------------
IRELAND (0.1%)
Allied Irish Banks Plc (Investment
Services)............................. 31,729 317,483
CRH Plc (Forest Products and Building
Materials)............................ 24,205 388,221
---------------
TOTAL IRELAND 705,704
---------------
ISRAEL (0.0%)
Orbotech Ltd. (Computers) + ........... 1,500 127,875
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
ISRAEL (CONTINUED)
Scitex Corporation Ltd. (Data and
Imaging Services) + .................. 6,100 $ 72,437
---------------
TOTAL ISRAEL 200,312
---------------
ITALY (0.1%)
Banca del Nazionale Lavoro
(Banks and Thrifts) + ................ 60,600 198,809
Telecom Italia SpA (Other
Telecommunications)................... 26,900 257,397
Tiscali Spa (Major Telecommunications)
+..................................... 3,000 161,163
---------------
TOTAL ITALY 617,369
---------------
JAPAN (0.6%)
Canon, Inc. (Semiconductors and
Electronics).......................... 9,000 411,381
Crayfish Corp. (Data and Imaging
Services) + .......................... 3 205,413
Minebea Co. Ltd. (Semiconductors and
Electronics).......................... 8,000 97,710
Murata Manufacturing Co., Ltd.
(Semiconductors and Electronics) ..... 2,000 388,619
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ......... 9 300,624
Sekisui Chemical Co., Ltd.
(Specialty Chemicals) ................ 47,000 172,214
Shin-Etsu Chemical Co., Ltd. (Specialty
Chemicals)............................ 13,000 686,838
Softbank Corp.
(Semiconductors and Electronics) + ... 1,400 345,871
Softbank Corp. (Semiconductors and
Electronics) 700 172,288
Sony Corporation (Semiconductors and
Electronics).......................... 4,600 530,123
Takefuji Corp. (Banks and Thrifts) .... 6,000 634,559
---------------
TOTAL JAPAN 3,945,640
---------------
NETHERLANDS (0.5%)
Getronics NV (Computers) .............. 4,300 257,059
ING Groep NV (Diversified Financial
Services)............................. 5,927 324,185
Koninklijke KPN NV (Major
Telecommunications)................... 3,800 383,867
Philips Electronics Nv (Heavy
Machinery)............................ 16,800 751,254
STMicroelectronics (Semiconductors and
Electronics).......................... 2,700 516,461
United Pan-Europe Communications NV
(Other Telecommunications) + ......... 9,300 339,258
VNU UV (Print Media) .................. 7,100 380,773
---------------
TOTAL NETHERLANDS 2,952,857
---------------
SPAIN (0.2%)
Telefonica Publicidad e Informacion,
S.A. (Consumer Services) + ........... 8,600 340,917
Telefonica SA (Major
Telecommunications) + ................ 26,273 586,115
---------------
TOTAL SPAIN 927,032
---------------
SWEDEN (0.2%)
Ericsson, ADR (Semiconductors and
Electronics).......................... 7,400 654,438
HiQ International AB (Data and Imaging
Services) + .......................... 3,000 296,549
Information Highway Ab (Computers) + .. 22,800 234,290
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
SWEDEN (CONTINUED)
Skandia Forsakrings Ab (Insurance) .... 1,300 $ 62,292
Telelogic Ab (Major Telecommunications)
+..................................... 25,000 189,880
---------------
TOTAL SWEDEN 1,437,449
---------------
SWITZERLAND (0.1%)
Fantastic Corporation (Data and Imaging
Services) + 7,800 143,584
Gretag Imaging Group (Biotech and
Medical Products) + .................. 2,000 402,796
The Swatch Group AG (Consumer
Specialties).......................... 300 322,237
---------------
TOTAL SWITZERLAND 868,617
---------------
UNITED KINGDOM (0.4%)
British Telecom Plc (Other
Telecommunications)................... 35,781 644,446
Cable & Wireless Plc (Other
Telecommunications) + ................ 26,384 438,867
Celltech Group Plc (Drugs) + .......... 10,000 164,617
Celltech Group Plc (Biotech and Medical
Products) + .......................... 2,700 95,850
Granada Group Plc (Electronic Media) + 246 2,410
Shire Pharmaceuticals Group Plc (Drugs)
+..................................... 7,300 293,825
Vodafone Group Plc
(Other Telecommunications) ........... 87,306 402,335
WPP Group Plc (Commercial Services) ... 26,200 423,917
---------------
TOTAL UNITED KINGDOM 2,466,267
---------------
TOTAL FOREIGN COMMON STOCKS
(COST $24,684,410) 31,917,544
---------------
TOTAL COMMON STOCKS
(COST $515,405,905) 599,771,601
---------------
PREFERRED STOCKS (0.0%)
UNITED STATES (0.0%)
Merrill CBR (Investment Services) + ... 1,300 49,075
---------------
TOTAL UNITED STATES PREFERRED STOCKS
(COST $70,363) 49,075
---------------
FOREIGN (0.0%)
SAP AG (Data and Imaging Services) + .. 200 117,922
---------------
TOTAL FOREIGN PREFERRED STOCKS
(COST $156,346) 117,922
---------------
TOTAL PREFERRED STOCKS (COST $226,709) 166,997
---------------
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (0.0%)
CORPORATE BONDS (0.0%)
Devon Energy Corp.,4.90%,08/15/08 ..... $ 39,000 37,840
Kerr-McGee Corp.,7.50%,05/15/14 ....... 47,000 44,004
TALK.com Inc.,5.00%,12/15/04 .......... 100,000 68,875
Vantive Corp. (The),4.75%,09/01/02 .... 70,000 61,775
---------------
TOTAL CORPORATE BONDS 212,494
---------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $237,879) 212,494
---------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.1%)
Federal Farm Credit Bank,5.88%,05/01/00 $ 8,958,000 $ 8,958,000
U.S. Treasury Bill,5.55%,05/18/00 ..... 200,000 199,476
Viacom International
Inc.,6.35%,05/17/00................... 4,000,000 3,988,711
---------------
TOTAL SHORT-TERM INVESTMENTS
(COST $13,146,187) 13,146,187
---------------
TOTAL INVESTMENTS (COST
$529,016,680)(a) 613,297,279
OTHER ASSETS LESS LIABILITIES 4,243,268
---------------
TOTAL NET ASSETS $617,540,547
===============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$537,450,201. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<S> <C>
Unrealized gains............................. $ 100,826,464
Unrealized losses............................ (24,979,386)
--------------
Net unrealized gain......................... $ 75,847,078
==============
</TABLE>
+ Non-income producing security.
[plus sign] Restricted security. This security has been determined to be
illiquid under guidelines established by the Board of Directors.
Acquisition date and cost concerning illiquid securities at April 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------- --------
<S> <C> <C>
Beacon Capital ... 3/17/98 $391,700
========
</TABLE>
The market value of the total illiquid securities above is $462,800 which
represents 0.07% of the total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 27
<PAGE>
GROWTH & INCOME FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
REAL ESTATE
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMON STOCKS (98.7%)
REAL ESTATE INVESTMENT TRUSTS (98.7%)
Alexandria Real Estate Equities, Inc. .... 800 $ 25,600
AMB Property Corp. ....................... 5,000 110,312
Apartment Investment & Management Co. .... 3,300 131,175
Archstone Communities Trust .............. 2,500 54,063
Arden Realty Group, Inc. ................. 2,400 53,400
Avalon Bay Communities, Inc. ............. 2,100 82,162
Beacon Capital + [plus sign] ............. 6,600 117,480
Boston Properties, Inc. .................. 6,200 216,225
Brandywine Realty Trust .................. 1,900 33,013
BRE Properties, Inc. ..................... 3,600 100,575
Camden Property Trust .................... 1,100 31,213
Capital Automotive REIT, Inc. ............ 3,100 43,206
CBL & Associates Properties, Inc. ........ 2,900 67,969
Colonial Properties Trust ................ 1,700 42,394
Cousins Properties, Inc. ................. 500 19,625
Developers Diversified Realty Corp. ...... 6,100 92,644
Duke-Weeks Realty Corp. .................. 3,044 66,017
Eastgroup Properties, Inc. ............... 1,300 27,056
Equity Office Properties Trust ........... 7,700 209,344
Equity Residential Properties Trust ...... 4,903 223,086
Essex Property Trust, Inc. ............... 1,300 50,213
First Industrial Realty Trust, Inc. ...... 1,100 33,069
General Growth Properties, Inc. .......... 4,100 134,787
Glimcher Realty Trust .................... 3,000 41,250
Golf Trust of America, Inc. .............. 1,200 20,700
Great Lakes REIT, Inc. ................... 1,400 21,175
Health Care Property Investors, Inc. ..... 2,100 58,537
Healthcare Realty Trust, Inc. ............ 1,500 27,000
Highwood Properties, Inc. ................ 2,500 56,719
Home Properties of New York, Inc. ........ 1,400 39,200
Hospitality Properties Trust ............. 2,900 64,525
Host Marriott Corp. ...................... 11,800 126,112
Kimco Realty Corp. ....................... 4,700 187,119
Koger Equity, Inc. ....................... 3,300 57,750
Liberty Property Trust ................... 4,600 113,850
Macerich Company (The) ................... 1,300 30,144
Mack-Cali Realty Corp. ................... 1,800 46,350
Pacific Gulf Properties, Inc. ............ 700 15,050
Pan Pacific Retail Properties, Inc. ...... 1,100 20,900
Parkway Properties, Inc. ................. 1,100 33,000
Pinnacle Holdings Inc. + ................. 1,600 89,900
Post Properties, Inc. .................... 2,900 121,800
Prentiss Properties Trust ................ 4,800 114,000
ProLogis Trust ........................... 8,800 173,250
PS Business Parks, Inc. .................. 2,000 44,500
Public Storage, Inc. ..................... 2,916 65,245
Reckson Associates Realty Corp. .......... 3,200 64,200
Reckson Associates Realty Corp. - Class B 450 9,675
Shurgard Storage Centers, Inc. ........... 1,100 28,806
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Simon Property Group, Inc. ............... 7,000 $ 177,625
SL Green Realty Corp. .................... 4,400 113,025
Spieker Properties, Inc. ................. 3,600 159,525
Starwood Hotels & Resort Worldwide, Inc. . 1,530 43,509
Summit Properties Inc. ................... 3,300 65,794
Vornado Realty Trust ..................... 3,800 131,100
Weingarten Realty Investors .............. 1,100 44,550
-------------
TOTAL COMMON STOCKS (COST $4,328,244) 4,370,513
-------------
TOTAL INVESTMENTS (COST $4,328,244)(a) 4,370,513
OTHER ASSETS LESS LIABILITIES 57,206
-------------
TOTAL NET ASSETS $4,427,719
=============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$4,396,500. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<S> <C>
Unrealized gains............................. $ 215,067
Unrealized losses............................ (241,054)
----------
Net unrealized loss......................... $ (25,987)
==========
</TABLE>
+ Non-income producing security.
[plus sign] Restricted security. This security has been determined to be
illiquid under guidelines established by the Board of Directors.
Acquisition date and cost concerning illiquid securities at April 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------- -------
<S> <C> <C>
Beacon Capital............... 3/17/98 $99,432
=======
</TABLE>
The market value of the total illiquid securities above is $117,480 which
represents 2.65% of the total net assets.
Category percentages are based on net assets.
28 See Notes to Financial Statements.
<PAGE>
GROWTH & INCOME FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
BALANCED GROWTH AND INCOME REAL ESTATE
-------------- ------------------ ----------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value................... $134,575,860 $613,297,279 $ 4,370,513
Cash .................... 70,747 75 60,701
Cash denominated in
foreign currencies ..... 16,518 490,516 --
Receivable for:
Dividends and interest . 675,272 459,174 5,672
Investments sold ....... 962,137 5,348,163 --
Fund shares sold ....... 174,884 520,497 674
Recoverable foreign
taxes................... -- 30,641 --
Variation margin ....... 16,000 -- --
Reimbursement from
Investment Adviser ..... -- -- 4,038
Prepaid expenses ........ 797 4,049 29
Gross unrealized gain on
forward foreign currency
exchange contracts ..... 449 8,951 --
------------ ------------ -----------
Total assets ....... 136,492,664 620,159,345 4,441,627
------------ ------------ -----------
LIABILITIES:
Payable for:
Investments purchased .. 5,101,293 1,813,540 --
Fund shares redeemed ... 52,338 297,045 --
Other liabilities ....... 153,818 500,491 13,908
Net unrealized
depreciation on swap
contract................ 30,607 -- --
Gross unrealized loss on
forward foreign currency
exchange contracts ..... -- 7,722 --
------------ ------------ -----------
Total liabilities .. 5,338,056 2,618,798 13,908
------------ ------------ -----------
NET ASSETS ......... $131,154,608 $617,540,547 $ 4,427,719
============ ============ ===========
NET ASSETS REPRESENTED
BY:
Paid-in capital ......... $ 99,871,820 $500,622,015 $ 5,393,484
Net unrealized gain on
investments, open
futures contracts, swaps
and foreign currency
related transactions ... 22,169,791 84,259,493 42,269
Undistributed net
investment income ...... 891,623 402,961 56,098
Accumulated net realized
gain (loss) on
investments............. 8,221,374 32,256,078 (1,064,132)
------------ ------------ -----------
NET ASSETS ......... $131,154,608 $617,540,547 $ 4,427,719
============ ============ ===========
Cost of investments ..... $112,085,510 $529,016,680 $ 4,328,244
Cost of cash denominated
in foreign currencies .. $ 17,437 $ 496,685 $ --
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
GROWTH & INCOME FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
BALANCED GROWTH AND INCOME REAL ESTATE
-------------- ------------------ ----------------
<S> <C> <C> <C>
CAPITAL SHARES, $.001 PAR
VALUE:
Class I:
Outstanding ............ 6,766,682 35,627,715 398,058
Net Assets ............. $ 95,292,191 $531,663,183 $ 3,239,188
Net Asset Value,
offering and redemption
price per share (net
assets divided by shares
outstanding)........... $ 14.08 $ 14.92 $ 8.14
Class A:
Outstanding ............ 2,394,822 5,565,212 111,020
Net Assets ............. $ 33,673,633 $ 82,695,842 $ 901,093
Net Asset Value and
redemption price per
share (net assets
divided by shares
outstanding)........... $ 14.06 $ 14.86 $ 8.12
Offering price (net
asset value divided by 1
minus maximum sales
load).................. $ 14.92 $ 15.77 $ 8.62
Class B:
Outstanding ............ 42,431 62,163 13,708
Net Assets ............. $ 594,690 $ 922,914 $ 111,189
Net Asset Value,
offering and redemption
price per share (net
assets divided by shares
outstanding)........... $ 14.02 $ 14.85 $ 8.11
Class C:
Outstanding ............ 114,227 152,893 21,756
Net Assets ............. $ 1,594,094 $ 2,258,608 $ 176,249
Net Asset Value,
offering and redemption
price per share (net
assets divided by shares
outstanding)........... $ 13.96 $ 14.77 $ 8.10
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
GROWTH & INCOME FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
BALANCED GROWTH AND INCOME REAL ESTATE
----------- ----------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ...................... $ 373,715 $ 3,016,000 $ 149,039
Interest ....................... 1,737,846 545,015 6,268
---------- ----------- ---------
2,111,561 3,561,015 155,307
Foreign taxes withheld on
dividends...................... (468) (11,528) --
---------- ----------- ---------
Total investment income ..... 2,111,093 3,549,487 155,307
---------- ----------- ---------
INVESTMENT EXPENSES:
Investment advisory fees ....... 518,621 2,081,884 16,819
Administrative services fees ... 64,828 313,209 2,102
Distribution plan fees - Class A 40,552 100,497 1,036
Distribution plan fees - Class B 2,445 2,255 502
Distribution plan fees - Class C 5,873 7,521 624
Shareholder services fees -
Class B ....................... 815 752 168
Shareholder services fees -
Class C ....................... 1,958 2,507 208
Printing and postage fees ...... 8,525 35,715 1,357
Custody fees ................... 26,749 41,881 5,010
Transfer agent fees ............ 53,757 65,521 13,050
Audit fees ..................... 12,460 15,117 10,773
Directors' fees ................ 1,939 9,282 69
Registration fees .............. 8,385 17,762 4,316
Miscellaneous expenses ......... 4,227 21,158 49
---------- ----------- ---------
Expenses before reimbursement
and waiver from Investment
Adviser........................ 751,134 2,715,061 56,083
Expense reimbursement and waiver
from Investment Adviser ....... -- -- (26,117)
---------- ----------- ---------
Net investment expenses ..... 751,134 2,715,061 29,966
---------- ----------- ---------
Net investment income .......... 1,359,959 834,426 125,341
---------- ----------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ................... 8,309,889 35,581,928 (587,228)
Options Written ............... 3,199 (264,480) --
Futures and forward foreign
currency exchange contracts .. 456,248 (177,137) --
Foreign currency related
transactions.................. (69,921) (238,453) --
---------- ----------- ---------
Net realized gain (loss) on
investments............... 8,699,415 34,901,858 (587,228)
---------- ----------- ---------
Net change in unrealized gain or
loss on:
Investments ................... 199,826 16,380,546 876,322
Options Written ............... -- (815,487) --
Swap contract ................. (30,607) -- --
Futures and forward foreign
currency exchange contracts .. (229,383) 103,108 --
Foreign currency related
transactions.................. (14,875) 14,878 --
---------- ----------- ---------
Net change in unrealized
gain or loss on investments (75,039) 15,683,045 876,322
---------- ----------- ---------
Net realized and change in
unrealized gain or loss on
investments.................... 8,624,376 50,584,903 289,094
---------- ----------- ---------
Net increase in net assets
resulting from operations ..... $9,984,335 $51,419,329 $ 414,435
========== =========== =========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
GROWTH & INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
BALANCED
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 1,359,959 $ 3,026,171
Net realized gain on investments........... 8,699,415 4,603,655
Net change in unrealized gain or loss on
investments............................... (75,039) 9,923,300
------------ ------------
Net increase in net assets resulting from
operations............................... 9,984,335 17,553,126
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (1,343,337) (2,952,877)
From net realized gains................... (3,587,037) (5,225,035)
Class A:
From net investment income................ (387,764) (233,379)
From net realized gains................... (1,116,230) (374,055)
Class B:
From net investment income................ (7,810) (1,449)
From net realized gains................... (29,173) --
Class C:
From net investment income................ (16,670) (12,315)
From net realized gains................... (65,438) (16,008)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (6,553,459) (8,815,118)
------------ ------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 3,870,360 31,653,601
Net asset value of shares issued upon
reinvestment of distributions............ 4,876,706 8,105,087
Payments for shares redeemed.............. (14,712,972) (60,750,795)
Class A:
Proceeds from shares sold................. 17,850,403 22,679,325
Net asset value of shares issued upon
reinvestment of distributions............ 1,478,513 547,198
Payments for shares redeemed.............. (13,847,043) (4,299,124)
Class B:
Proceeds from shares sold................. 367,281 862,814
Net asset value of shares issued upon
reinvestment of distributions............ 36,973 1,442
Payments for shares redeemed.............. (566,718) (131,198)
Class C:
Proceeds from shares sold................. 355,712 1,471,222
Net asset value of shares issued upon
reinvestment of distributions............ 80,962 22,343
Payments for shares redeemed.............. (469,071) (144,640)
------------ ------------
Net increase (decrease) in net assets from
fund share transactions................... (678,894) 17,275
------------ ------------
Net change in net assets................... 2,751,982 8,755,283
NET ASSETS:
Beginning of period........................ 128,402,626 119,647,343
------------ ------------
End of period.............................. $131,154,608 $128,402,626
============ ============
End of period net assets includes
undistributed net investment income....... $ 891,623 $ 1,287,245
============ ============
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
BALANCED
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 279,638 2,351,174
Number of shares issued upon reinvestment
of distributions......................... 363,933 614,812
Number of shares redeemed................. (1,059,830) (4,494,555)
------------ ------------
Net decrease.............................. (416,259) (1,528,569)
============ ============
Class A:
Number of shares sold..................... 1,299,295 1,680,939
Number of shares issued upon reinvestment
of distributions......................... 110,419 41,455
Number of shares redeemed................. (1,006,869) (318,457)
------------ ------------
Net increase.............................. 402,845 1,403,937
============ ============
Class B:
Number of shares sold..................... 26,910 63,888
Number of shares issued upon reinvestment
of distributions......................... 2,761 106
Number of shares redeemed................. (41,638) (9,596)
------------ ------------
Net increase (decrease)................... (11,967) 54,398
============ ============
Class C:
Number of shares sold..................... 25,529 109,885
Number of shares issued upon reinvestment
of distributions......................... 6,073 1,688
Number of shares redeemed................. (34,885) (10,928)
------------ ------------
Net increase (decrease)................... (3,283) 100,645
============ ============
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
GROWTH & INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
GROWTH AND INCOME
---------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 834,426 $ 3,555,067
Net realized gain on investments.......... 34,901,858 115,171,781
Net change in unrealized gain or loss on
investments.............................. 15,683,045 19,244,965
------------- -------------
Net increase in net assets resulting from
operations.............................. 51,419,329 137,971,813
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............... (1,625,610) (5,474,676)
From net realized gains.................. (95,805,621) (66,695,846)
Class A:
From net investment income............... (149,768) (228,923)
From net realized gains.................. (13,781,416) (3,028,420)
Class B:
From net investment income............... -- (175)
From net realized gains.................. (82,864) --
Class C:
From net investment income............... -- (3,664)
From net realized gains.................. (320,564) (97,390)
------------- -------------
Decrease in net assets from distributions
to shareholders......................... (111,765,843) (75,529,094)
------------- -------------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................ 15,250,060 60,294,167
Net asset value of shares issued upon
reinvestment of distributions........... 97,298,277 72,076,178
Payments for shares redeemed............. (87,129,271) (246,966,753)
Class A:
Proceeds from shares sold................ 88,549,281 280,148,875
Net asset value of shares issued upon
reinvestment of distributions........... 13,055,577 3,188,356
Payments for shares redeemed............. (84,234,321) (237,476,255)
Class B:
Proceeds from shares sold................ 493,269 644,427
Net asset value of shares issued upon
reinvestment of distributions........... 82,414 154
Payments for shares redeemed............. (107,866) (171,249)
Class C:
Proceeds from shares sold................ 553,572 1,338,716
Net asset value of shares issued upon
reinvestment of distributions........... 251,039 90,440
Payments for shares redeemed............. (157,791) (291,726)
------------- -------------
Net increase (decrease) in net assets
from fund share transactions............. 43,904,240 (67,124,670)
------------- -------------
Net change in net assets.................. (16,442,274) (4,681,951)
NET ASSETS:
Beginning of period....................... 633,982,821 638,664,772
------------- -------------
End of period............................. $ 617,540,547 $ 633,982,821
============= =============
End of period net assets includes
undistributed net investment income...... $ 402,961 $ 1,343,913
============= =============
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
GROWTH AND INCOME
---------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................... 1,001,737 3,734,927
Number of shares issued upon reinvestment
of distributions........................ 6,900,588 4,651,596
Number of shares redeemed................ (5,670,044) (15,249,779)
------------- -------------
Net increase (decrease).................. 2,232,281 (6,863,256)
============= =============
Class A:
Number of shares sold.................... 5,797,038 17,371,212
Number of shares issued upon reinvestment
of distributions........................ 929,223 206,126
Number of shares redeemed................ (5,525,406) (14,763,571)
------------- -------------
Net increase............................. 1,200,855 2,813,767
============= =============
Class B:
Number of shares sold.................... 33,548 39,992
Number of shares issued upon reinvestment
of distributions........................ 5,853 9
Number of shares redeemed................ (6,846) (10,393)
------------- -------------
Net increase............................. 32,555 29,608
============= =============
Class C:
Number of shares sold.................... 37,976 82,403
Number of shares issued upon reinvestment
of distributions........................ 17,918 5,862
Number of shares redeemed................ (10,708) (17,940)
------------- -------------
Net increase............................. 45,186 70,325
============= =============
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
GROWTH & INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
REAL ESTATE
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 125,341 $ 194,900
Net realized loss on investments........... (587,228) (321,115)
Net change in unrealized gain or loss on
investments............................... 876,322 4,511
---------- ----------
Net increase (decrease) in net assets
resulting from operations................ 414,435 (121,704)
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (181,129) (137,846)
Class A:
From net investment income................ (44,566) (9,276)
Class B:
From net investment income................ (6,686) --
Class C:
From net investment income................ (8,301) (3,547)
---------- ----------
Decrease in net assets from distributions
to shareholders.......................... (240,682) (150,669)
---------- ----------
FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 31,280 155,906
Net asset value of shares issued upon
reinvestment of distributions............ 6,789 2,120
Payments for shares redeemed.............. (214,966) (639,081)
Class A:
Proceeds from shares sold................. 218,929 809,568
Net asset value of shares issued upon
reinvestment of distributions............ 35,115 3,490
Payments for shares redeemed.............. (162,234) (249,086)
Class B:
Proceeds from shares sold................. -- 142,289
Net asset value of shares issued upon
reinvestment of distributions............ 1,723 --
Payments for shares redeemed.............. (35,202) --
Class C:
Proceeds from shares sold................. 11,388 94,771
Net asset value of shares issued upon
reinvestment of distributions............ 3,063 856
Payments for shares redeemed.............. (21,449) --
---------- ----------
Net increase (decrease) in net assets from
fund share transactions................... (125,564) 320,833
---------- ----------
Net change in net assets................... 48,189 48,460
NET ASSETS:
Beginning of period........................ 4,379,530 4,331,070
---------- ----------
End of period.............................. $4,427,719 $4,379,530
========== ==========
End of period net assets includes
undistributed net investment income....... $ 56,098 $ 171,439
========== ==========
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
REAL ESTATE
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 4,192 18,690
Number of shares issued upon reinvestment
of distributions......................... 975 265
Number of shares redeemed................. (28,444) (74,878)
---------- ----------
Net decrease.............................. (23,277) (55,923)
========== ==========
Class A:
Number of shares sold..................... 28,922 97,360
Number of shares issued upon reinvestment
of distributions......................... 5,052 436
Number of shares redeemed................. (21,499) (31,237)
---------- ----------
Net increase.............................. 12,475 66,559
========== ==========
Class B:
Number of shares sold..................... -- 17,900
Number of shares issued upon reinvestment
of distributions......................... 247 --
Number of shares redeemed................. (4,439) --
---------- ----------
Net increase (decrease)................... (4,192) 17,900
========== ==========
Class C:
Number of shares sold..................... 1,509 10,984
Number of shares issued upon reinvestment
of distributions......................... 440 107
Number of shares redeemed................. (2,833) --
---------- ----------
Net increase (decrease)................... (884) 11,091
========== ==========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
GROWTH & INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2000 (UNAUDITED)
================================================================================
1. ORGANIZATION
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds, each of which has its
own investment objective, policies and restrictions.
This report covers three funds, (each a Fund; collectively, the Funds), Aetna
Balanced Fund (Balanced), Aetna Growth and Income Fund (Growth and Income) and
Aetna Real Estate Securities Fund (Real Estate).
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. Information
regarding sales charges and fees pursuant to Rule 12b-1 of the Act are as
follows:
CLASS I: No sales charges or distribution fees.
CLASS A: Generally, subject to a front-end sales charge; distribution fees of
0.25% (of average net assets of the class per year).
CLASS B: No front-end sales charge; contingent deferred sales charge (CDSC)
applies if you sell your shares within six years of purchase;
distribution fees of 0.75%; service fees of 0.25%; automatic
conversion to Class A shares after eight years.
CLASS C: No front-end sales charge; CDSC on redemptions made within 18 months
of purchase; distribution fees of 0.75%; service fees of 0.25%.
Shares in each Class were first made available to the public on the following
dates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
BALANCED December 27, 1991 April 15, 1994 March 1, 1999 June 30, 1998
GROWTH AND INCOME December 27, 1991 April 15, 1994 March 1, 1999 June 30, 1998
REAL ESTATE February 2, 1998 February 2, 1998 March 1, 1999 June 30, 1998
</TABLE>
The following is each Fund's investment objective:
BALANCED seeks to maximize total return with reasonable safety of principal by
investing in a diversified portfolio of stocks, bonds and money market
instruments.
GROWTH AND INCOME seeks long-term growth of capital and income through
investment in a diversified portfolio consisting primarily of common stocks
and securities convertible into common stocks believed to offer above-average
growth potential.
REAL ESTATE seeks maximum total return primarily through investment in a
diversified portfolio of equity securities of real estate companies, the
majority of which are real estate investment trusts.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
each Fund. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly owned subsidiaries of Aetna Inc. (Aetna).
38
<PAGE>
================================================================================
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. Actual results could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
Short-term investments maturing in sixty days or less 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 or Directors (Board).
The accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollars at the prevailing rates of exchange at the end
of each day. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions. The Funds do not isolate the portion of
the results of operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in their market prices.
Such fluctuations are included in net realized and unrealized gain or loss on
investments.
B. OPTIONS CONTRACTS
The Funds may purchase put and call options and may write (sell) put options and
covered call options. The Funds engage in option transactions as a hedge against
adverse movements in the value of portfolio holdings or to increase market
exposure.
Option contracts are valued daily and unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the options
are traded. The Funds will realize a gain or loss upon the expiration or closing
of the option contract. When an option is exercised, the proceeds on sales of
the underlying security for a written call option, the purchase cost of the
security for a written put option, or the cost of the security for a purchased
put or call option is adjusted by the amount of premium received or paid.
Realized and unrealized gains or losses on option contracts are reflected in the
accompanying financial statements.
The risk in writing a call option is that the Funds give up the opportunity for
profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a loss
if the market price of the security decreases and the option is exercised. The
risk in buying an option is that the Funds pay a premium whether or not the
option is exercised. Risks may also arise from an illiquid secondary market or
from the inability of counterparties to meet the terms of the contract.
C. SWAP CONTRACTS
Balanced may enter into interest rate swaps, currency swaps and other types of
swap agreements, including swaps on securities and indices. A swap is an
agreement between two parties pursuant to which each party agrees to make one or
more payments to the other on regularly scheduled dates over a stated term,
based on different interest rates, currency exchange rates, security prices, the
prices or rates of other types of financial instruments or assets or the levels
of specified indices. During the term of
39
<PAGE>
GROWTH & INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
================================================================================
the swap, changes in the value of the swap are recognized as unrealized gains or
losses by marking-to-market to reflect the market value of the swap. When the
swap is terminated, the Fund will record a realized gain or loss. As of April
30, 2000, Bond had entered into the following total return swap agreement. In
the agreement, Bond has exchanged U.S. Dollar 1 month LIBOR (London Interbank
Offered Rate) less 0.15% for Lehman Corporate Bond Index. The terms of the
contract provide for the index differential to be settled on a monthly basis.
For the period ended April 30, 2000 net cash payment of $(30,607) by Bond were
accrued in connection with the total return swap agreement.
D. 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 their existing portfolio securities, to
manage the risk of changes in interest rates, equity prices, currency exchange
rates or in anticipation of future purchases and sales of portfolio securities.
Upon entering into a futures contract, the Funds are required to deposit with a
broker an amount (initial margin) equal to a percentage of the purchase price
indicated by the futures contract. Subsequent deposits (variation margin) are
received or paid each day by the Funds equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by the Funds as
unrealized gains or losses. When a contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Generally,
futures contracts held by the Funds are closed prior to expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Funds, where authorized, may use forward
foreign currency exchange contracts to hedge against foreign currency exchange
rate risks on its non-U.S. dollar denominated portfolio securities. Contracts
are recorded at market value and marked-to-market daily.
The risks associated with futures and forward foreign currency exchange
contracts may arise from an imperfect correlation 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.
E. ILLIQUID AND RESTRICTED SECURITIES
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are those sold under Rule 144A of the
Securities Act of 1933 (1933 Act) or are securities offered pursuant to Section
4(2) of the 1933 Act, and are subject to legal or contractual restrictions on
resale and may not be publicly sold without registration under the 1933 Act.
Illiquid and restricted securities are valued using market quotations when
readily available. In the absence of market quotations, the securities are
valued based upon their fair value determined under procedures approved by the
Board. The Funds will not pay the costs of disposition of restricted securities
other than ordinary brokerage fees, if any.
40
<PAGE>
================================================================================
F. DELAYED DELIVERY TRANSACTIONS
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' Portfolio of Investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract. In connection with such purchases, the Funds are required
to hold liquid assets as collateral with the Funds' custodian sufficient to
cover the purchase price.
G. FEDERAL INCOME TAXES
Each Fund has met the requirements to be taxed as a regulated investment company
for the fiscal year ended October 31, 1999, and intends to meet the requirements
for the current year. As such, each Fund is relieved of federal income taxes by
distributing all of its net taxable investment income and capital gains, if any,
in compliance with the applicable provisions of the Internal Revenue Code
(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
Code. Thus, the financial statements contain no provision for federal income
taxes.
H. DISTRIBUTIONS
Distributions from net investment income are based on taxable net income. Income
and capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These distributions from net investment income are based on taxable net income.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for foreign currency
transactions, certain futures contracts, certain investments in foreign equity
securities and repurchases of certain securities sold at a loss. 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 Code.
I. LINE OF CREDIT
Certain series of the Company (including Balanced and Growth and Income),
certain portfolios of Aetna Variable Portfolios, Inc., Aetna Generation
Portfolios, Inc., Aetna Balanced VP, Inc., Aetna Variable Fund, Aetna Income
Shares and certain series of Aetna GET Fund, collectively Aetna Mutual Funds,
have entered into a revolving credit facility, of up to $300,000,000, with a
syndicate of banks led by Citibank, N.A. For its services as Agent, Citibank,
N.A. received an agent fee of $200,000. In addition, the revolving credit
facility requires the payment of an annual commitment fee of 0.09% based on the
average daily unutilized amount of the credit facility. Each of the
participating series will pay its pro rata share of both the agent fee and
commitment fee. Generally, borrowings under the facility accrue interest at the
Federal Funds Rate plus a specified margin. Repayments generally must be made
within 30 days after the date of a revolving credit advance. The revolving
credit facility became effective on November 30, 1999. No borrowings from the
line of credit have been made as of April 30, 2000.
J. 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.
41
<PAGE>
GROWTH & INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
================================================================================
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICES AND DISTRIBUTION FEES
Each Fund pays Aeltus an investment advisory fee expressed as a percentage of
each Fund's average daily net assets. As the Funds' net assets exceed
predetermined thresholds, lower advisory fees apply. Below are the Funds' annual
investment advisory fee ranges and the annual effective rates before waivers as
of April 30, 2000:
<TABLE>
<CAPTION>
FEE EFFECTIVE
RANGE RATE
----- ---------
<S> <C> <C>
Balanced 0.80% - 0.65% 0.80%
Growth and Income 0.70% - 0.55% 0.63%
Real Estate 0.80% - 0.65% 0.80%
</TABLE>
The Company and Aeltus have entered into an Administrative Services Agreement
under which Aeltus acts as administrator and provides certain administrative and
shareholder services and is responsible for the supervision of other service
providers for each Fund. Each Fund pays Aeltus an administrative services fee at
an annual rate of 0.10% of its average daily net assets.
Aeltus has entered into a Service Agreement with Aetna Life Insurance and
Annuity Company (ALIAC) under which ALIAC will provide various administrative
and shareholder services to certain Class I shareholders or the Funds 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, 1999 through April 30, 2000, Aeltus
paid ALIAC $1,109,000.
The Company has adopted a Shareholder Services Plan for the Class B and Class C
shares. Under the Shareholder Services Plan, ACI is paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class B and Class C
shares. This fee is used as compensation for expenses incurred in servicing
shareholders' accounts.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Class A, Class B and Class C shares. The Distribution Plan provides for
payments to ACI 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 ACI in promoting the sale of Class A, Class B and Class C
shares. 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, 2000 to reimburse Real
Estate for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase the Fund's total return. Actual expenses for the period ended April 30,
2000 were at or below contractual limits. Actual expense ratios are included in
the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended April 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Balanced $140,610,413 $150,129,564
Growth and Income 620,929,385 686,779,296
Real Estate 2,217,673 2,240,212
</TABLE>
42
<PAGE>
================================================================================
6. CAPITAL LOSS CARRYFORWARDS
As of April 30, 2000 Real Estate had incurred a capital loss carryforward of
$439,475. It is the policy of the Fund to reduce future distributions of
realized gains to shareholders to the extent of the capital loss carryforward.
The expiration dates of the capital loss carryforward for Real Estate are as
follows:
<TABLE>
<CAPTION>
EXPIRATION
AMOUNT DATE
------ ----------
<S> <C> <C>
$100,479 10/31/2006
$338,996 10/31/2007
</TABLE>
7. OPTIONS
For the period ended April 30, 2000 the following reflects the written option
activity:
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
-------------------------------------------------------
NUMBER OF PREMIUM REALIZED
BALANCED CONTRACTS RECEIVED GAIN (LOSS)
-------------------------------------------------------
<S> <C> <C> <C>
Outstanding October
31, 1999 -- $ -- $ --
Written 7,175 10,565 --
Closed (7,175) (10,565) 3,199
-------------------------------------------------------
Outstanding April 30,
2000 -- $ -- $3,199
=======================================================
</TABLE>
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
---------------------------------------------------------
NUMBER OF PREMIUM REALIZED
GROWTH AND INCOME CONTRACTS RECEIVED GAIN (LOSS)
---------------------------------------------------------
<S> <C> <C> <C>
Outstanding October
31, 1999 558 $ 1,111,889 $ --
Written -- -- --
Closed (558) (1,111,889) 539,515
---------------------------------------------------------
Outstanding April 30,
2000 -- $ -- $(539,515)
=========================================================
</TABLE>
<TABLE>
<CAPTION>
PUT OPTIONS WRITTEN
-------------------------------------------------------
NUMBER OF PREMIUM REALIZED
GROWTH AND INCOME CONTRACTS RECEIVED GAIN (LOSS)
-------------------------------------------------------
<S> <C> <C> <C>
Outstanding October
31, 1999 152 $275, 035 $ --
Written -- -- --
Expired (152) (275,035) 275,035
-------------------------------------------------------
Outstanding April 30,
2000 -- $ -- $275,035
=======================================================
</TABLE>
43
<PAGE>
GROWTH & INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
================================================================================
8. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of April 30, 2000, Growth and Income and Balanced had open forward foreign
currency exchange contracts that obligate the Funds to deliver currencies at
specified future dates. The net unrealized gain of $1,229 for Growth and Income
and $449 for Balanced on these contracts are included in the accompanying
financial statements. The terms of the open contracts are as follows:
<TABLE>
<CAPTION>
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIEZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
BALANCED
--------
5/3/00 Buy EURO 546,668 $497,561 $498,010 $ 449
=======
GROWTH AND INCOME
-----------------
5/18/00 Buy HKD 390,000 $ 49,746 $ 50,063 $ 317
5/18/00 Buy HKD 430,000 55,137 55,197 60
5/2/00 Sell EURO 407,000 372,853 370,822 2,031
5/18/00 Sell HKD 820,000 104,530 105,260 (730)
5/1/00 Sell JPY 11,280,000 106,035 105,915 120
5/30/00 Sell JPY 44,806,666 409,792 416,784 (6,992)
7/17/00 Sell JPY 29,470,083 282,822 276,399 6,423
-------
$ 1,229
=======
</TABLE>
9. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 14.8 billion shares. Of those 14.8
billion shares, each of the Funds have been allocated 100 million shares each of
Class I, Class A, Class B and Class C. As of April 30, 2000, the following
shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
Balanced 1,816,645 -- -- --
Growth and Income 5,500,898 -- -- --
Real Estate 385,921 10,000 12,706 10,582
</TABLE>
44
<PAGE>
GROWTH & INCOME FUNDS
ADDITIONAL INFORMATION
APRIL 30, 2000 (UNAUDITED)
================================================================================
FUND CLOSURE
On March 1, 2000, the Board of Directors considered and agreed to submit to
shareholders a proposal by Aeltus to liquidate Aetna Real Estate Securities
Fund. The Fund was closed to new direct investors on March 6, 2000 and to new
retirement plan investors on May 15, 2000. If approved by shareholders at the
July 28, 2000 meeting, the liquidation will occur on or about September 1, 2000.
45
<PAGE>
GROWTH & INCOME FUNDS
FINANCIAL HIGHLIGHTS
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS I (UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------- -------------- ----------- ----------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 13.74 $ 12.84 $ 14.09 $ 13.52 $ 12.36 $ 10.65
------- ------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ..................... 0.14 0.32+ 0.33+ 0.33+ 0.31+ 0.35+
Net realized and change in unrealized gain
or loss on investments ................... 0.94 1.53 1.02 2.04 1.77 1.69
------- ------- -------- -------- ------- -------
Total income from investment operations . 1.08 1.85 1.35 2.37 2.08 2.04
------- ------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ................ (0.20) (0.34) (0.32) (0.30) (0.35) (0.33)
From net realized gains on investments .... (0.54) (0.61) (2.28) (1.50) (0.57) --
------- ------- -------- -------- ------- -------
Total distributions ..................... (0.74) (0.95) (2.60) (1.80) (0.92) (0.33)
------- ------- -------- -------- ------- -------
Net asset value, end of period ............. $ 14.08 $ 13.74 $ 12.84 $ 14.09 $ 13.52 $ 12.36
======= ======= ======== ======== ======= =======
Total return ............................... 8.11% 14.79% 10.81% 19.57% 17.63% 19.45%
Net assets, end of period (000's) .......... $95,292 $98,717 $111,887 $105,813 $88,625 $83,941
Ratio of net investment expenses to average
net assets ................................ 1.08%(1) 1.11% 1.12% 1.24% 1.31% 1.27%
Ratio of net investment income to average
net assets ................................ 2.17%(1) 2.38% 2.54% 2.43% 2.42% 3.14%
Ratio of expenses before reimbursement and
waiver to average net assets .............. -- -- -- -- -- 1.30%
Portfolio turnover rate .................... 116.31% 127.46% 84.55% 116.69% 117.88% 129.05%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
46 See Notes to Financial Statements.
<PAGE>
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS A (UNAUDITED) 1999 1998 1997 1996 1995
----------------------------------------------- -------------- ----------- ----------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .......... $ 13.72 $ 12.83 $14.05 $ 13.49 $ 12.34 $ 10.62
------- ------- ------ ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................ 0.21 0.29+ 0.29+ 0.23+ 0.20+ 0.23+
Net realized and change in unrealized gain or
loss on investments ......................... 0.86 1.52 1.01 2.03 1.79 1.91
------- ------- ------ ------- ------- -------
Total income from investment
operations ................................ 1.07 1.81 1.30 2.26 1.99 2.14
------- ------- ------ ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ................... (0.19) (0.31) (0.24) (0.20) (0.27) (0.42)
From net realized gains on investments ....... (0.54) (0.61) (2.28) (1.50) (0.57) --
------- ------- ------ ------- ------- -------
Total distributions ........................ (0.73) (0.92) (2.52) (1.70) (0.84) (0.42)
------- ------- ------ ------- ------- -------
Net asset value, end of period ................ $ 14.06 $ 13.72 $12.83 $ 14.05 $ 13.49 $ 12.34
======= ======= ====== ======= ======= =======
Total return .................................. 8.01% 14.48% 10.44% 18.64% 16.83% 18.32%
Net assets, end of period (000's) ............. $33,674 $27,339 $7,544 $ 6,289 $ 3,783 $ 1,362
Ratio of net investment expenses to
average net assets ........................... 1.33%(1) 1.36% 1.44% 1.99% 2.07% 2.04%
Ratio of net investment income to average net
assets........................................ 1.92%(1) 2.13% 2.22% 1.68% 1.60% 2.61%
Ratio of expenses before reimbursement and
waiver to average net assets ................. -- -- -- -- -- 2.07%
Portfolio turnover rate ....................... 116.31% 127.46% 84.55% 116.69% 117.88% 129.05%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 47
<PAGE>
GROWTH & INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 13.69 $ 13.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.21 0.13+
Net realized and change in unrealized
gain or loss on investments .......... 0.80 0.65
------- -------
Total income from investment
operations.......................... 1.01 0.78
------- -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.14) (0.09)
From net realized gains on investments (0.54) --
------- -------
Total distributions ................. (0.68) (0.09)
------- -------
Net asset value, end of period ......... $ 14.02 $ 13.69
======= =======
Total return ........................... 7.61% 6.02%
Net assets, end of period (000's) ...... $ 595 $ 745
Ratio of net investment expenses to
average net assets .................... 2.08%(1) 2.11%(1)
Ratio of net investment income to
average net assets .................... 1.17%(1) 1.38%(1)
Portfolio turnover rate ................ 116.31% 127.46%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
48 See Notes to Financial Statements.
<PAGE>
BALANCED
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 13.63 $ 12.80 $13.27
------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.15 0.19+ 0.07+
Net realized and change in
unrealized gain or loss on
investments.............. 0.86 1.52 (0.54)
------- ------- ------
Total income from
investment operations . 1.01 1.71 (0.47)
------- ------- ------
LESS DISTRIBUTIONS:
From net investment income (0.14) (0.27) --
From net realized gains on
investments.............. (0.54) (0.61) --
------- ------- ------
Total distributions .... (0.68) (0.88) --
------- ------- ------
Net asset value, end of
period.................... $ 13.96 $ 13.63 $12.80
======= ======= ======
Total return .............. 7.59% 13.64% (3.54)%
Net assets, end of period
(000's)................... $ 1,594 $ 1,601 $ 216
Ratio of net investment
expenses to average net
assets.................... 2.08%(1) 2.11% 2.11%(1)
Ratio of net investment
income to average net
assets.................... 1.17%(1) 1.38% 1.55%(1)
Portfolio turnover rate ... 116.31% 127.46% 84.55%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 49
<PAGE>
GROWTH & INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS I (UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------- -------------- ----------- ----------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 16.74 $ 15.26 $ 18.08 $ 15.74 $ 13.46 $ 11.11
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ..................... 0.02 0.09+ 0.12+ 0.15+ 0.19+ 0.21+
Net realized and change in unrealized gain
or loss on investments ................... 1.21 3.26 0.51 5.00 3.09 2.27
-------- -------- -------- -------- -------- --------
Total income from investment operations . 1.23 3.35 0.63 5.15 3.28 2.48
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income ................ (0.05) (0.14) (0.13) (0.21) (0.24) (0.13)
From net realized gains on investments .... (3.00) (1.73) (3.32) (2.60) (0.76) --
-------- -------- -------- -------- -------- --------
Total distributions ..................... (3.05) (1.87) (3.45) (2.81) (1.00) (0.13)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ............. $ 14.92 $ 16.74 $ 15.26 $ 18.08 $ 15.74 $ 13.46
======== ======== ======== ======== ======== ========
Total return ............................... 8.41% 23.00% 3.80% 37.44% 25.69% 22.58%
Net assets, end of period (000's) .......... $531,663 $558,913 $614,493 $595,969 $377,784 $356,803
Ratio of net investment expenses to average
net assets ................................ 0.83%(1) 0.86% 0.88% 1.00% 1.08% 1.10%
Ratio of net investment income to average
net assets ................................ 0.30%(1) 0.56% 0.71% 0.93% 1.35% 1.73%
Portfolio turnover rate .................... 102.45% 121.99% 160.48% 157.92% 106.09% 127.43%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
50 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
SIX MONTH
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
CLASS A (UNAUDITED) 1999 1998 1997 1996 1995
---------------------------------------------- -------------- ----------- ----------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ......... $ 16.68 $ 15.22 $ 18.01 $ 15.69 $ 13.43 $ 11.08
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....................... 0.02 0.05+ 0.06+ 0.03+ 0.08+ 0.12+
Net realized and change in unrealized gain or
loss on investments ........................ 1.19 3.25 0.51 4.99 3.08 2.31
------- ------- ------- ------- ------- -------
Total income from investment operations ... 1.21 3.30 0.57 5.02 3.16 2.43
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .................. (0.03) (0.11) (0.04) (0.10) (0.14) (0.08)
From net realized gains on investments ...... (3.00) (1.73) (3.32) (2.60) (0.76) --
------- ------- ------- ------- ------- -------
Total distributions ....................... (3.03) (1.84) (3.36) (2.70) (0.90) (0.08)
------- ------- ------- ------- ------- -------
Net asset value, end of period ............... $ 14.86 $ 16.68 $ 15.22 $ 18.01 $ 15.69 $ 13.43
======= ======= ======= ======= ======= =======
Total return ................................. 8.32% 22.67% 3.42% 36.49% 24.70% 21.90%
Net assets, end of period (000's) ............ $82,696 $72,789 $23,603 $15,955 $ 6,638 $ 2,217
Ratio of net investment expenses to average
net assets .................................. 1.08%(1) 1.11% 1.20% 1.75% 1.83% 1.84%
Ratio of net investment income to average net
assets....................................... 0.05%(1) 0.31% 0.39% 0.18% 0.55% 1.14%
Portfolio turnover rate ...................... 102.45% 121.99% 160.48% 157.92% 106.09% 127.43%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 51
<PAGE>
GROWTH & INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 16.66 $ 15.41
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.01) (0.05)+
Net realized and change in unrealized
gain or loss on investments .......... 1.17 1.31
------- -------
Total income from investment
operations.......................... 1.16 1.26
------- -------
LESS DISTRIBUTIONS:
From net investment income ............ -- (0.01)
From net realized gains on investments (2.97) --
------- -------
Total distributions ................. (2.97) (0.01)
------- -------
Net asset value, end of period ......... $ 14.85 $ 16.66
======= =======
Total return ........................... 7.96% 8.17%
Net assets, end of period (000's) ...... $ 923 $ 493
Ratio of net investment expenses to
average net assets .................... 1.83%(1) 1.86%(1)
Ratio of net investment income to
average net assets .................... (0.70)%(1) (0.44)%(1)
Portfolio turnover rate ................ 102.45% 121.99%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
52 See Notes to Financial Statements.
<PAGE>
GROWTH AND INCOME
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 16.59 $ 15.22 $ 16.92
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.01) (0.07)+ (0.01)+
Net realized and change in
unrealized gain or loss on
investments.............. 1.16 3.24 (1.69)
------- ------- -------
Total income from
investment operations . 1.15 3.17 (1.70)
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income -- (0.07) --
From net realized gains on
investments............... (2.97) (1.73) --
------- ------- -------
Total distributions .... (2.97) (1.80) --
------- ------- -------
Net asset value, end of
period.................... $ 14.77 $ 16.59 $ 15.22
======= ======= =======
Total return .............. 7.91% 21.68% (10.05)%
Net assets, end of period
(000's)................... $ 2,259 $ 1,787 $ 569
Ratio of net investment
expenses to average net
assets.................... 1.83%(1) 1.86% 1.86%(1)
Ratio of net investment
income to average net
assets.................... (0.70)%(1) (0.44)% (0.27)%(1)
Portfolio turnover rate ... 102.45% 121.99% 160.48%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 53
<PAGE>
GROWTH & INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 2, 1998
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 7.82 $ 8.32 $ 10.00
------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.21 0.37+ 0.25+
Net realized and change in
unrealized gain or loss on
investments.............. 0.55 (0.58) (1.93)
------ ------ -------
Total income from
investment operations . 0.76 (0.21) (1.68)
------ ------ -------
LESS DISTRIBUTIONS:
From net investment income (0.44) (0.29) --
------ ------ -------
Total distributions .... (0.44) (0.29) --
------ ------ -------
Net asset value, end of
period.................... $ 8.14 $ 7.82 $ 8.32
====== ====== =======
Total return .............. 10.64% (2.59)% (16.80)%
Net assets, end of period
(000's)................... $3,239 $3,296 $ 3,970
Ratio of net investment
expenses to average net
assets.................... 1.30%(1) 1.30% 2.00%(1)
Ratio of net investment
income to average net
assets.................... 6.07%(1) 4.46% 2.70%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.54%(1) 3.40% 2.89%(1)
Portfolio turnover rate ... 55.02% 24.91% 63.79%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
54 See Notes to Financial Statements.
<PAGE>
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 2, 1998
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS A (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 7.80 $ 8.30 $ 10.00
------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.31 0.35+ 0.25+
Net realized and change in
unrealized gain or loss on
investments.............. 0.43 (0.57) (1.95)
------ ------ -------
Total income from
investment operations . 0.74 (0.22) (1.70)
------ ------ -------
LESS DISTRIBUTIONS:
From net investment income (0.42) (0.28) --
------ ------ -------
Total distributions .... (0.42) (0.28) --
------ ------ -------
Net asset value, end of
period.................... $ 8.12 $ 7.80 $ 8.30
====== ====== =======
Total return .............. 10.44% (2.76)% (17.00)%
Net assets, end of period
(000's)................... $ 901 $ 769 $ 266
Ratio of net investment
expenses to average net
assets.................... 1.55%(1) 1.55% 2.19%(1)
Ratio of net investment
income to average net
assets.................... 5.82%(1) 4.21% 2.51%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.79%(1) 3.65% 3.08%(1)
Portfolio turnover rate ... 55.02% 24.91% 63.79%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 55
<PAGE>
GROWTH & INCOME FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 7.77 $ 7.87
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.30 0.19+
Net realized and change in unrealized
gain or loss on investments .......... 0.41 (0.29)
------ ------
Total income from investment
operations.......................... 0.71 (0.10)
------ ------
LESS DISTRIBUTIONS:
From net investment income ............ (0.37) --
------ ------
Total distributions ................. (0.37) --
------ ------
Net asset value, end of period ......... $ 8.11 $ 7.77
====== ======
Total return ........................... 9.97% (1.27)%
Net assets, end of period (000's) ...... $ 111 $ 139
Ratio of net investment expenses to
average net assets .................... 2.30%(1) 2.30%(1)
Ratio of net investment income to
average net assets .................... 5.07%(1) 3.46%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 3.54%(1) 4.40%(1)
Portfolio turnover rate ................ 55.02% 24.91%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
56 See Notes to Financial Statements.
<PAGE>
REAL ESTATE
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 7.75 $ 8.29 $ 9.45
------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.22 0.29+ 0.05+
Net realized and change in
unrealized gain or loss on
investments.............. 0.50 (0.58) (1.21)
------ ------ -------
Total income from
investment operations . 0.72 (0.29) (1.16)
------ ------ -------
LESS DISTRIBUTIONS:
From net investment income (0.37) (0.25) --
------ ------ -------
Total distributions .... (0.37) (0.25) --
------ ------ -------
Net asset value, end of
period.................... $ 8.10 $ 7.75 $ 8.29
====== ====== =======
Total return .............. 10.05% (3.54)% (12.28)%
Net assets, end of period
(000's)................... $ 176 $ 176 $ 96
Ratio of net investment
expenses to average net
assets.................... 2.30%(1) 2.30% 3.00%(1)
Ratio of net investment
income to average net
assets.................... 5.07%(1) 3.46% 1.70%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 3.54%(1) 4.40% 3.89%(1)
Portfolio turnover rate ... 55.02% 24.91% 63.79%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements. 57
