--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
President's Letter..................................................... 1
GENERATION FUNDS:
Investment Review...................................................... 3
Portfolios of Investments:
Aetna Ascent Fund.................................................... 9
Aetna Crossroads Fund................................................ 15
Aetna Legacy Fund.................................................... 22
Statements of Assets and Liabilities................................... 29
Statements of Operations............................................... 31
Statements of Changes in Net Assets.................................... 32
Notes to Financial Statements.......................................... 38
Financial Highlights................................................... 44
</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,
/s/ 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 Ascent Fund
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Ascent Russell 3000 Ascent Composite
Fund (Class I) Index Index
<S> <C> <C> <C>
Jan-95 10,000 10,000 10,000
10,286 10,901 10,572
11,010 11,927 11,221
11,850 13,001 11,811
Dec-95 12,362 13,680 12,293
12,766 14,428 12,655
13,350 15,030 13,043
14,024 15,473 13,429
Oct-96 14,114 15,757 13,592
15,510 17,587 14,558
15,337 15,802 13,472
17,744 18,961 15,325
Oct-97 17,868 18,578 15,283
18,225 19,778 15,800
19,822 22,462 16,890
18,930 22,238 16,335
Oct-98 17,528 21,642 15,960
19,184 25,254 17,009
19,792 26,393 17,642
20,185 26,374 17,747
Oct-99 19,922 27,002 17,751
21,190 28,371 18,528
Apr-00 22,124 29,789 19,269
</TABLE>
[END PLOT POINTS]
Aetna Crossroads Fund
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Crossroads Fund Salomon Broad Crossroads Composite
(Class I) Index Index
<S> <C> <C> <C>
Jan-95 10,000 10,000 10,000
10,289 10,506 10,562
10,930 11,150 11,182
11,670 11,362 11,662
Dec-95 12,105 11,855 12,122
12,428 11,649 12,354
12,875 11,706 12,659
13,444 11,924 13,002
Oct-96 13,566 12,192 13,179
14,566 12,331 13,901
14,492 12,255 13,100
16,318 12,857 14,572
Oct-97 16,504 13,119 14,629
16,919 13,487 15,069
18,075 13,600 15,888
17,495 13,872 15,573
Oct-98 16,360 14,352 15,472
17,599 14,583 16,281
18,044 14,457 16,706
18,185 14,219 16,741
Oct-99 18,047 14,422 16,806
18,769 14,315 17,330
Apr-00 19,593 14,626 17,934
</TABLE>
[END OF PLOT POINTS]
See Definition of Terms. 3
<PAGE>
Aetna Legacy Fund
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Legacy Fund Salomon Broad Legacy Composite
(Class I) Index Index
<S> <C> <C> <C>
Jan-95 10,000 10,000 10,000
10,303 10,506 10,551
10,870 11,150 11,143
11,489 11,362 11,513
Dec-95 11,889 11,855 11,953
12,102 11,649 12,059
12,471 11,706 12,283
12,863 11,924 12,584
Oct-96 13,019 12,192 12,776
13,728 12,331 13,270
13,678 12,255 12,735
15,020 12,857 13,851
Oct-97 15,095 13,119 13,993
15,427 13,487 14,364
16,251 13,600 14,932
16,050 13,872 14,814
Oct-98 15,474 14,352 14,967
16,379 14,583 15,551
16,664 14,457 15,784
16,726 14,219 15,754
Oct-99 16,711 14,422 15,874
17,112 14,315 16,169
Apr-00 17,886 14,626 16,644
</TABLE>
[END OF PLOT POINTS]
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------
Average Annual Total Returns
for the period ended April 30, 2000*
-----------------------------------------------------------------------------------------------------------------------
Ascent Crossroads Legacy
-----------------------------------------------------------------------------------------------------
1 Year 5 Year Inception 1 Year 5 Year Inception 1 Year 5 Year Inception
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class I 11.79% 16.08% 16.10% 8.56% 13.35% 13.47% 7.33% 11.32% 11.55%
-----------------------------------------------------------------------------------------------------------------------
Class A:
POP (1) 5.21% 14.17% 14.26% 2.10% 11.46% 11.65% 0.87% 9.49% 9.76%
NAV (2) 11.62% 15.53% 15.54% 8.30% 12.79% 12.90% 7.04% 10.79% 10.99%
-----------------------------------------------------------------------------------------------------------------------
Class B:
w/CDSC (3) 5.74% 14.70% 14.85% 2.51% 11.97% 12.23% 1.20% 9.94% 10.31%
NAV 10.74% 14.93% 14.95% 7.51% 12.22% 12.34% 6.20% 10.21% 10.44%
-----------------------------------------------------------------------------------------------------------------------
Class C:
w/CDSC (4) 9.74% 14.93% 14.95% 6.51% 12.22% 12.34% 5.20% 10.22% 10.44%
NAV 10.74% 14.93% 14.95% 7.51% 12.22% 12.34% 6.20% 10.22% 10.44%
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (01/04/95), adjusted for fees and expenses charged to
the appropriate class. Class I, Class A, Class B and Class C shares participate
in the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
The Ascent Fund has added the Russell 3000 Index as the primary benchmark.
Ascent is the most aggressive of the Generation Funds with a larger allocation
to equities. The Russell 3000 Index is a broad-based equity index which includes
large cap, mid cap, small cap and REIT securities which are reflective of the
domestic equity allocation of the Fund. The Crossroads Fund and Legacy Fund have
added the Salomon Smith Barney Broad Investment Grade Bond (Salomon Broad) Index
as the primary benchmark. Crossroads and Legacy are the more conservative of the
Generation Funds with a larger allocation to fixed income securities. The
Salomon Broad Index is a broad-based bond index which is reflective of the
domestic bond allocation of the Funds.
The secondary benchmarks for the Funds are the composite benchmarks which are
made up of seven asset class indices. The composite benchmark may serve as a
better comparison for the Fund because it is more representative of the actual
securities and allocations of the Funds.
4 See Definition of Terms.
<PAGE>
AETNA GENERATION FUNDS
HOW DID THE FUNDS PERFORM DURING THE PERIOD?
For the six month period ended April 30, 2000, the performance for the
Generation Funds (Ascent, Crossroads and Legacy) and their respective benchmarks
and composite indices are listed below:
<TABLE>
<CAPTION>
FUND RETURN BENCHMARK INDEX COMPOSITE INDEX
GENERATION FUNDS CLASS I BENCHMARK INDEX RETURN RETURN
<S> <C> <C> <C> <C>
Ascent 11.06% Russell 3000 Index (a) 10.32% 8.55%
Crossroads 8.56% Salomon Broad Index (b) 1.41% 6.71%
Legacy 7.02% Salomon Broad Index (b) 1.41% 4.85%
</TABLE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
Serving as a backdrop for each of the Generation Funds' performance are the
returns for the various indices for each of the asset classes among which the
Generation Funds allocate investments for the six month period ended April 30,
2000. The Composite Indices are comprised of the seven stock and bond indices
(listed below) in weights that correspond to the particular benchmark weights
for each fund:
<TABLE>
<CAPTION>
ASSET CLASS BENCHMARK INDEX INDEX RETURN
<S> <C> <C>
Large Company Stocks S&P 500 Index (c) 7.20%
Small/Mid Company Stocks Russell 2500 Index (d) 22.00%
International Stocks MSCI EAFE Index (e) 6.84%
Real Estate Stocks NAREIT Equity Index (f) 10.91%
Domestic Bonds Salomon Broad Index (b) 1.41%
International Bonds S.B. Non-U.S. WGBI Index (g) -6.86%
Cash Equivalents U.S. 90 Day T-Bill (h) 2.66%
</TABLE>
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 Purchasing 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 2500
Index, which returned 22.00%. Large cap stocks, as measured by the Standard and
Poors (S&P) 500 Index, came in considerably behind the Russell 2500 Index,
returning 7.20%.
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 4.18%, but large cap stocks ended the same period with a negative 0.78%
return. The NAREIT Equity REIT Index returned a respectable 9.28%, while
international stocks, as measured by the Morgan Stanley Capital International-
Europe, Australia and Far East Index, posted a loss of 5.29%.
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.
See Definition of Terms. 5
<PAGE>
Domestic bonds, as measured by the Salomon Smith Barney Broad Investment-Grade
Bond Index produced a total return of 1.41% 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.
There was little good news in spread products as swap spreads widened due to a
myriad of factors. The reduction in government debt, high levels of private
debt, increased volatility, the resurgence of leveraged buyout risk and talk of
a loss of government support for government sponsored agencies, all contributed
to drive spreads to levels not seen in ten years.
WHAT INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST SIX MONTHS?
The following exhibits show the progression of asset allocation for each of the
three Generation Funds:
<TABLE>
<CAPTION>
ASSET ALLOCATION: % OF
NET ASSETS NOTIONAL VALUE* ECONOMIC EXPOSURE*
ASSET CLASS 04/30/00 OF FUTURES 04/30/00 10/31/99 BENCHMARK RANGE
<S> <C> <C> <C> <C> <C> <C>
ASCENT
------
Large Cap Stocks 18% -- 18% 22% 35% 0-70%
Small/Mid Cap Stocks 22% 1% 23% 10% 20% 0-40%
International Stocks 21% 4% 25% 26% 20% 0-40%
International Bonds -- 1% 1% 1% 5% 0-10%
Real Estate Stocks 5% -- 5% 26% 5% 0-10%
Fixed Income 9% -- 9% 8% 15% 0-30%
Cash Equivalents 25% (6)% 19% 7% -- 0-30%
---------------------------------------------------------
100% -- 100% 100% 100%
=========================================================
CROSSROADS
----------
Large Cap Stocks 24% -- 24% 16% 25% 0-50%
Small/Mid Cap Stocks 17% 1% 18% 8% 15% 0-30%
International Stocks 15% 3% 18% 20% 15% 0-30%
International Bonds 1% 1% 2% 2% 5% 0-10%
Real Estate Stocks 5% -- 5% 18% 5% 0-10%
Fixed Income 23% -- 23% 27% 30% 0-60%
Cash Equivalents 15% (5)% 10% 9% 5% 0-30%
---------------------------------------------------------
100% -- 100% 100% 100%
=========================================================
LEGACY
------
Large Cap Stocks 14% -- 14% 11% 15% 0-30%
Small/Mid Cap Stocks 11% 1% 12% 5% 10% 0-20%
International Stocks 12% 2% 14% 16% 10% 0-20%
International Bonds 2% 2% 4% 4% 5% 0-10%
Real Estate Stocks 5% -- 5% 13% 5% 0-10%
Fixed Income 34% -- 34% 47% 45% 0-90%
Cash Equivalents 22% (5)% 17% 4% 10% 0-30%
---------------------------------------------------------
100% -- 100% 100% 100%
=========================================================
</TABLE>
* Notional value refers to the economic value at risk or the exposure to the
financial instruments underlying the options and futures positions. Economic
exposure reflects the Fund's exposure to both changes in the value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
6 See Definition of Terms.
<PAGE>
Over the last six months, outperformance of the Funds relative to their
customized benchmarks was largely due to positive stock selection in
international and large cap equities. For example, Applied Materials and Cisco
Systems, both large cap stocks, were up 126.7% and 87.4%, respectively.
International stocks including Intershop Communications, a German company that
develops software for Internet commerce, which was up 255%. Stock selection in
mid, small and REIT stocks detracted slightly from performance over the period.
Asset allocation decisions also detracted from performance modestly in Ascent
and Crossroads but positively impacted performance in Legacy. An overweight
position in international equities helped both Ascent and Legacy. An underweight
position in international bonds helped all three funds as this asset class
performed poorly over the period. An underweight position in REITs detracted
from performance in all three funds.
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 and with a broader participation in the number of stocks than prior
years. 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 corporates and agencies, but expect to remain defensive and trend
toward underweight positions in BBB-rated 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.
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 each
Fund is subject to change.
See Definition of Terms. 7
<PAGE>
DEFINITION OF TERMS
(1) On February 2, 1998, the Funds redesignated Adviser Class shares as Class A
shares. For periods prior to that date, Class A performance is calculated
by using the performance of Class I shares and deducting the Class A
front-end load and internal fees and expenses applicable to the Class A
shares. The maximum load for the Funds is 5.75%. The POP (public offering
price) returns reflect this maximum load.
(2) NAV (net asset value) returns are net of Fund expenses only and do not
reflect the deduction of a front-end load or contingent deferred sales
charges. This charge, if reflected, would reduce the performance results
shown.
(3) The Funds began offering Class B shares on March 1, 1999. For periods prior
to that date, Class B performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class B shares. Class B share returns with CDSC (contingent deferred
sales charge) reflect the deduction of a maximum CDSC, assuming full
redemption at the end of the period. The CDSC applies for all shares
redeemed prior to the end of the first six years of ownership. The CDSC
charges are as follows: Year 1 - 5%, Year 2 - 4%, Year 3 - 3%, Year 4 - 3%,
Year 5 - 2%, Year 6 - 1%.
(4) The Funds began offering Class C shares on June 30, 1998. For periods prior
to that date, Class C performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class C shares. Class C share returns for periods less than 18 months
reflect the deduction of the contingent deferred sales charge of 1%.
(a) The Russell 3000 Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.
(b) Salomon Smith Barney Broad Investment-Grade Bond (Salomon Broad) Index is
an unmanaged, market-weighted index that contains approximately 4,700
individually priced investment-grade bonds rated BBB or better. The index
includes U.S. Treasury/Agency issues, mortgage pass-through securities, and
corporate issues.
(c) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(d) The Russell 2500 Index consists of the smallest 500 securities in the
Russell 1000 Index and all 2,000 securities in the Russell 2000 Index. Each
of these indices assumes reinvestment of all dividends and is unmanaged.
(e) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) is a market value-weighted average of the performance of more
than 900 securities listed on the stock exchanges of countries in Europe,
Australia and the Far East. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
(f) The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(g) The Salomon Brothers Non-U.S. World Government Bond Index (S.B. Non-U.S.
WGBI) serves as an unmanaged benchmark to evaluate the performance of
government bonds with a maturity of one year or greater in the following 12
countries: Japan, United Kingdom, Germany, France, Canada, the Netherlands,
Australia, Denmark, Italy, Belgium, Spain and Sweden.
(h) Three-month Treasury bills are backed by full faith and credit of the U.S.
Government, short-term investments are equivalent to cash because their
maturity is only three months.
The unmanaged indices described above are not available for individual
investment.
8
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
ASCENT
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (65.3%)
UNITED STATES (44.4%)
AIR TRANSPORT (0.2%)
UAL Corp. + ............................. 2,000 $ 115,750
-----------
AUTO PARTS AND HARDWARE (0.1%)
Audiovox Corp. + ........................ 1,500 51,469
-----------
AUTOMOTIVE (0.8%)
Dura Automotive Systems, Inc. + ......... 2,500 40,625
General Motors Corp. + .................. 5,400 505,575
-----------
546,200
-----------
BANKS AND THRIFTS (1.4%)
Astoria Financial Corp. ................. 3,400 93,712
Chase Manhattan Corp. ................... 2,300 165,744
First United Bancshares, Inc. ........... 3,400 55,887
GBC Bancorp ............................. 4,400 122,650
Golden State Bancorp, Inc. + ............ 7,600 116,850
Hamilton Bancorp Inc. + ................. 2,400 44,100
Hudson United Bancorp ................... 6,800 153,425
PFF Bancorp, Inc. ....................... 2,500 35,156
Provident Bankshares Corp. .............. 9,555 142,728
UnionBanCal Corp. ....................... 2,500 69,219
USBANCORP, Inc. ......................... 2,200 11,963
-----------
1,011,434
-----------
BIOTECH AND MEDICAL PRODUCTS (1.1%)
Abgenix, Inc. + ......................... 900 80,606
CuraGen Corporation + ................... 1,000 26,625
INAMED Corporation + .................... 4,100 169,638
Myriad Genetics, Inc. + ................ 600 38,625
Noven Pharmaceuticals, Inc. + ........... 7,100 83,425
PolyMedica Corp. + ...................... 3,000 161,063
Varian, Inc. + .......................... 5,100 185,512
-----------
745,494
-----------
COMMERCIAL SERVICES (0.6%)
Diamond Technology Partners
Incorporated + ......................... 1,000 79,125
Direct Focus, Inc. + .................... 3,400 111,350
Paychex, Inc. ........................... 4,100 215,763
-----------
406,238
-----------
COMPUTERS (1.9%)
Apple Computer, Inc. + .................. 3,600 446,625
Harmonic Inc. + ......................... 700 51,669
Hewlett Packard Co. ..................... 2,100 283,500
Sun Microsystems, Inc. + ................ 6,300 579,206
-----------
1,361,000
-----------
CONGLOMERATE AND AEROSPACE (1.4%)
Alliant Techsystems, Inc. + ............. 1,300 90,513
Anixter International, Inc. + ........... 5,900 198,756
General Electric Co. .................... 3,400 534,650
Tenneco Automotive Inc. ................. 15,200 134,900
-----------
958,819
-----------
CONSUMER SERVICES (1.1%)
Aztar Corp. + ........................... 3,500 41,781
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
CONSUMER SERVICES (CONTINUED)
Host Marriott Corp. ..................... 6,200 $ 66,263
Isle of Capris Casinos, Inc. ............ 6,800 94,350
Jack in the Box Inc. + .................. 3,900 95,550
Metris Companies, Inc. .................. 3,400 127,500
MGM Grand, Inc. + ....................... 2,500 73,750
Papa John's International, Inc. + ....... 3,400 93,500
Sonic Corp. + ........................... 2,400 66,750
Station Casinos, Inc. + ................. 5,100 145,350
-----------
804,794
-----------
CONSUMER SPECIALTIES (0.1%)
JAKKS Pacific, Inc. + ................... 4,000 73,500
-----------
DATA AND IMAGING SERVICES (3.8%)
Advanced Digital Information Corp. + .... 4,100 100,706
BEA Systems, Inc. + ..................... 2,800 135,100
BroadVision, Inc. + ..................... 1,100 48,331
Cisco Systems, Inc. + ................... 9,200 637,819
EMC Corp. + ............................. 3,600 500,175
F.Y.I. Incorporated + ................... 5,100 136,744
In Focus Systems, Inc. + ................ 6,400 191,600
MapInfo Corporation + ................... 1,200 35,550
Mercury Computer Systems, Inc. + ........ 3,200 123,000
Microsoft Corp. + ....................... 5,500 383,625
Netopia, Inc. + ......................... 900 37,575
PSW Technologies, Inc. + ................ 1,100 25,025
Puma Technology, Inc. + ................. 900 27,563
QLogic Corp. + .......................... 900 90,281
SERENA Software, Inc. + ................. 2,400 52,500
Siebel Systems, Inc. + .................. 500 61,437
Unify Corp. + ........................... 3,500 42,000
-----------
2,629,031
-----------
DISCRETIONARY RETAIL (2.4%)
American Eagle Outfitters, Inc. + ....... 1,500 25,500
Costco Wholesale Corp. + ................ 4,700 254,094
Finish Line, Inc. (The) + ............... 16,900 178,506
Genesco Inc. + .......................... 6,700 86,681
Home Depot, Inc. ........................ 6,250 350,391
Michaels Stores, Inc. + ................. 4,100 161,694
Neiman Marcus Group, Inc. (The) + ....... 3,400 87,550
PC Connection, Inc. + .................. 3,000 143,625
Sonic Automotive, Inc. + ................ 8,500 94,562
Spiegel, Inc. + ......................... 8,500 70,125
U.S. Wireless Corporation + ............. 2,700 52,017
Wilsons The Leather Experts Inc. + ...... 6,100 73,963
Zale Corp. + ............................ 1,700 70,125
-----------
1,648,833
-----------
DIVERSIFIED FINANCIAL SERVICES (0.3%)
Citigroup Inc. .......................... 4,200 249,638
-----------
DRUGS (1.3%)
Dura Pharmaceuticals, Inc. + ............ 2,900 37,700
Pfizer, Inc. ............................ 9,100 383,337
</TABLE>
See Notes to Portfolio of Investments. 9
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
ASCENT (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
DRUGS (CONTINUED)
Pharmacia Corporation ................... 2,700 $ 134,831
Warner Lambert Co. ...................... 3,100 352,819
-----------
908,687
-----------
ELECTRIC UTILITIES (2.0%)
AES Corp. + ............................. 3,700 332,769
Allegheny Energy, Inc. .................. 5,400 164,025
Calpine Corp. + ......................... 1,700 155,550
Energy East Corp. ....................... 8,500 177,437
NSTAR Corp............................... 4,400 193,875
RGS Energy Group Inc. ................... 8,700 204,450
Wisconsin Energy Corp. .................. 6,800 145,350
-----------
1,373,456
-----------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.7%)
JDS Uniphase Corporation + .............. 700 72,581
Robotic Vision Systems, Inc. + .......... 5,100 76,181
Technitrol, Inc. ........................ 3,400 231,200
Zomax Inc. + ............................ 2,000 94,625
-----------
474,587
-----------
ELECTRONIC MEDIA (0.5%)
Walt Disney Co. (The) + ................. 7,400 320,513
-----------
FOOD AND BEVERAGE (0.3%)
Canandiagua Brands, Inc. + .............. 1,000 50,375
Pepsi Bottling Group, Inc. .............. 8,800 189,759
-----------
240,134
-----------
FOREST PRODUCTS AND BUILDING MATERIALS (0.9%)
Johns Manville Corporation .............. 17,400 181,612
Pope & Talbot, Inc. ..................... 6,800 144,075
U.S. Can Corporation + .................. 3,400 62,475
USG Corp. ............................... 5,200 217,100
-----------
605,262
-----------
GAS UTILITIES (0.4%)
Energen Corp. ........................... 3,400 62,263
KeySpan Energy Corp. .................... 3,400 99,875
UGI Corporation ......................... 5,100 104,231
-----------
266,369
-----------
HEALTH SERVICES (0.5%)
Oxford Health Plans, Inc. + ............. 10,800 205,200
UnitedHealth Group Incorporated ......... 2,600 173,388
-----------
378,588
-----------
HOUSING AND FURNISHINGS (0.1%)
Universal Electronics Inc. + ............ 1,800 36,900
Windmere-Durable Holdings, Inc. + ....... 2,500 40,156
-----------
77,056
-----------
INSURANCE (0.6%)
AMBAC, Inc. ............................. 2,500 120,000
Mony Group Inc. + ....................... 3,400 105,187
Penn Treaty American Corporation + ...... 8,100 123,019
RenaissanceRe Holdings Ltd. ............. 1,400 51,450
-----------
399,656
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
INVESTMENT SERVICES (1.0%)
Affiliated Managers Group, Inc. + ....... 1,700 $ 68,213
Donaldson, Lufkin & Jenrette, Inc. ...... 2,500 104,219
Lehman Brothers Holdings Inc. ........... 1,400 114,887
Morgan Stanley Dean Witter & Co. ........ 3,300 253,275
Raymond James Financial, Inc. ........... 5,400 108,675
Tucker Anthony Sutro Corporation ........ 5,400 90,450
-----------
739,719
-----------
MAJOR TELECOMMUNICATIONS (1.2%)
Sprint PCS + ............................ 8,800 484,000
U.S. WEST, Inc. ......................... 4,600 327,462
-----------
811,462
-----------
OIL (1.7%)
Anadarko Petroleum Corp. ................ 1,500 65,156
Apache Corp. ............................ 4,500 217,968
Burlington Resources, Inc. .............. 1,500 58,969
Chevron Corp. ........................... 3,000 255,375
Ocean Energy, Inc. + .................... 10,100 130,669
Penn Virginia Corp. ..................... 8,100 145,800
Ultramar Diamond Shamrock Corp. ......... 8,800 217,800
Vintage Petroleum, Inc. + ............... 6,800 135,150
-----------
1,226,887
-----------
OIL SERVICES (1.3%)
Atwood Oceanics, Inc. + ................. 1,400 84,875
Helmerich & Payne, Inc. ................. 6,800 212,925
Rowan Co., Inc. + ....................... 10,900 304,518
Tosco Corp. ............................. 5,500 176,344
Transocean Sedco Forex Inc. ............. 2,500 117,500
-----------
896,162
-----------
OTHER TELECOMMUNICATIONS (0.5%)
Aerial Communications, Inc. + ........... 2,000 88,375
LCC International, Inc. + ............... 3,400 83,088
Metricom, Inc. + ........................ 800 22,450
Powertel, Inc. + ........................ 700 47,075
Price Communications Corp. + ............ 2,500 50,625
Telephone & Data Systems, Inc. .......... 500 51,000
-----------
342,613
-----------
PRODUCER GOODS (0.7%)
Commercial Metals Co. ................... 2,700 79,313
Dover Corp. ............................. 2,700 137,194
Millipore Corp. ......................... 1,900 136,206
United Stationers, Inc. + ............... 4,700 156,862
-----------
509,575
-----------
REAL ESTATE INVESTMENT TRUSTS (4.8%)
Alexandria Real Estate Equities, Inc. ... 1,000 32,000
AMB Property Corp. ...................... 2,300 50,744
Apartment Investment & Management Co. ... 2,900 115,275
Archstone Communities Trust ............. 2,600 56,225
Arden Realty Group, Inc. ................ 1,800 40,050
Avalon Bay Communities, Inc. ............ 1,673 65,456
Beacon Capital + > ...................... 8,600 153,080
</TABLE>
10 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Boston Properties, Inc. ................. 6,200 $ 216,225
Brandywine Realty Trust ................. 1,300 22,588
BRE Properties, Inc. .................... 2,800 78,225
Capital Automotive REIT, Inc. ........... 2,500 34,844
CBL & Associates Properties, Inc. ....... 2,100 49,219
Colonial Properties Trust ............... 2,000 49,875
Developers Diversified Realty Corp. ..... 8,300 126,056
Duke-Weeks Realty Corp. ................. 2,300 49,881
Eastgroup Properties, Inc. .............. 900 18,731
Equity Office Properties Trust .......... 7,200 195,750
Equity Residential Properties Trust ..... 4,703 213,986
Essex Property Trust, Inc. .............. 900 34,763
First Industrial Realty Trust, Inc. ..... 800 24,050
General Growth Properties, Inc. ......... 3,200 105,200
Glimcher Realty Trust ................... 2,700 37,125
Health Care Property Investors, Inc. .... 1,600 44,600
Healthcare Realty Trust, Inc. ........... 1,273 22,914
Highwood Properties, Inc. ............... 1,800 40,837
Home Properties of New York, Inc. ....... 1,700 47,600
Hospitality Properties Trust ............ 2,300 51,175
Kimco Realty Corp. ...................... 4,950 197,072
Koger Equity, Inc. ...................... 1,600 28,000
Liberty Property Trust .................. 1,700 42,075
Mack-Cali Realty Corp. .................. 1,400 36,050
National Golf Properties, Inc. .......... 600 11,475
Pacific Gulf Properties, Inc. ........... 500 10,750
Pan Pacific Retail Properties, Inc. ..... 900 17,100
Parkway Properties, Inc. ................ 700 21,000
Post Properties, Inc. ................... 2,300 96,600
Prentiss Properties Trust ............... 3,900 92,625
ProLogis Trust .......................... 6,800 133,875
PS Business Parks, Inc. ................. 2,800 62,300
Shurgard Storage Centers, Inc. .......... 600 15,713
Simon Property Group, Inc. .............. 5,200 131,950
SL Green Realty Corp. ................... 3,300 84,769
Spieker Properties, Inc. ................ 3,700 163,956
Starwood Hotels & Resort Worldwide, Inc. 1,400 39,812
Summit Properties Inc. .................. 3,100 61,806
Vornado Realty Trust .................... 3,100 106,950
Weingarten Realty Investors ............. 800 32,400
-----------
3,362,752
-----------
SEMICONDUCTORS AND ELECTRONICS (10.0%)
ADC Telecommunications, Inc. + .......... 1,400 85,050
Altera Corp. + .......................... 900 92,025
Applied Materials, Inc. + ............... 7,000 712,687
Applied Micro Circuits Corp. + .......... 1,400 180,425
Arrow Electronics, Inc. + ............... 3,400 148,963
AVX Corp. ............................... 2,700 263,081
California Amplifier, Inc. + ............ 1,000 27,000
Cohu, Inc. .............................. 3,700 140,831
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Credence Systems Corp. + ................ 1,600 $ 228,400
Digital Lightwave, Inc. + ............... 1,400 95,900
Elantec Semiconductor, Inc. + ........... 3,800 153,900
Integrated Electric Services Inc. + ..... 4,400 211,475
Intel Corp. ............................. 7,000 887,687
International Rectifier Corp. + ......... 2,200 108,075
KEMET Corp. + ........................... 3,000 223,500
Kopin Corporation + ..................... 2,500 193,594
Lam Research Corporation + .............. 1,500 68,813
LTX Corporation + ....................... 4,100 187,575
MKS Instruments, Inc. + ................. 700 32,900
Natural MicroSystems Corporation + ...... 2,400 156,300
Novellus Systems, Inc. + ................ 1,200 80,025
Photon Dynamics, Inc. + ................. 1,700 125,800
PMC Sierra Inc. + ....................... 800 153,500
Powerwave Technologies, Inc. + .......... 800 166,450
RF Micro Devices, Inc. + ................ 600 62,438
SanDisk Corporation + ................... 1,100 100,788
Scientific-Atlanta, Inc. ................ 4,200 273,262
SDL, Inc. + ............................. 500 97,500
Silicon Storage Technology, Inc. + ...... 1,700 165,750
Teradyne, Inc. + ........................ 2,500 275,000
Texas Instruments, Inc. ................. 3,900 635,212
Three-Five Systems, Inc. + .............. 1,700 147,900
TriQuint Semiconductor, Inc. + .......... 1,900 195,344
Vishay Intertechnology, Inc. + .......... 3,700 310,337
-----------
6,987,487
-----------
SPECIALTY CHEMICALS (0.3%)
Gentek, Inc. ............................ 5,100 68,531
Georgia Gulf Corp. ...................... 5,100 122,719
-----------
191,250
-----------
SURFACE TRANSPORT (0.3%)
Arkansas Best Corp. + ................... 7,200 93,150
Roadway Express, Inc. ................... 1,000 23,500
Yellow Corp. + .......................... 6,100 116,281
-----------
232,931
-----------
TEXTILES AND APPAREL (0.1%)
Guess?, Inc. + ......................... 2,400 66,000
-----------
TOTAL UNITED STATES COMMON STOCKS
(COST $27,653,150) 31,013,346
-----------
FOREIGN COMMON STOCKS (20.9%)
BRAZIL (0.1%)
Embratel Participacoes S.A. (Other
Telecommunications)..................... 4,200 94,500
-----------
DENMARK (1.5%)
Novo-Nordisk A/S (Drugs) ................ 1,400 188,230
Tele Danmark A/S (Other
Telecommunications)..................... 3,200 234,676
</TABLE>
See Notes to Portfolio of Investments. 11
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
ASCENT (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
DENMARK (CONTINUED)
Vestas Wind Systems A/S (Producer
Goods) +................................ 1,800 $ 602,823
-----------
TOTAL DENMARK 1,025,729
-----------
FINLAND (2.2%)
Comptel Oyj (Computer and Computer
Software Stores) + ..................... 14,000 317,169
JOT Automation Group Oyj (Electrical
Machinery and Instruments) ............. 48,200 349,201
Nokia Corp., ADR (Semiconductors and
Electronics)............................ 9,000 511,875
Perlos Oyj (Semiconductors and
Electronics) + ......................... 10,000 371,355
-----------
TOTAL FINLAND 1,549,600
-----------
FRANCE (1.8%)
Axa Financial, Inc. (Diversified
Financial Services) .................... 400 59,453
Genset (Biotech and Medical Products) ... 5,500 156,750
Lagardere Sca (Diverisified Financial
Services)............................... 1,000 67,892
Schneider Electric SA (Electrical
Machinery and Instruments) ............. 2,800 183,718
Societe Television Francaise 1 (Major
Telecommunications)..................... 200 137,242
Total Fina SA (Oil Services) ............ 1,022 155,442
Vivendi (Conglomerate and Aerospace) .... 4,909 486,725
-----------
TOTAL FRANCE 1,247,222
-----------
GERMANY (1.9%)
Buderus AG (Forest Products and Building
Materials).............................. 11,100 187,944
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................... 3,300 339,824
Infineon Technologies Ag (Semiconductors
and Electronics) ....................... 1,900 131,592
Intershop Communications AG (Data and
Imaging Services) + .................... 900 400,653
Siemens AG (Electrical Machinery and
Instruments)............................ 2,000 295,808
-----------
TOTAL GERMANY 1,355,821
-----------
HONG KONG (0.2%)
China Telecom Ltd., ADR (Other
Telecommunications) + .................. 900 132,019
-----------
IRELAND (0.2%)
Allied Irish Banks Plc (Investment
Services)............................... 4,064 40,665
CRH Plc (Forest Products and Building
Materials).............................. 4,063 65,166
-----------
TOTAL IRELAND 105,831
-----------
ITALY (0.2%)
Banca del Nazionale Lavoro (Banks and
Thrifts) + ............................. 19,700 64,630
Tiscali S.p.A. (Major
Telecommunications) +................... 2,000 107,442
-----------
TOTAL ITALY 172,072
-----------
JAPAN (3.7%)
Canon, Inc. (Semiconductors and
Electronics)............................ 5,000 228,545
Crayfish Corp. (Data and Imagiing
Services) + ............................ 1 68,471
FamilyMart Co., Ltd. (Discretionary
Retail)................................. 3,500 128,244
Matsushita Electric Industrial Co., Ltd.
(Electrical Machinery and Instruments) . 9,000 238,168
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
JAPAN (CONTINUED)
Minebea Co. Ltd. (Semiconductors and
Electronics)............................ 10,000 $ 122,137
Murata Manufacturing Co., Ltd.
(Semiconductors and Electronics) ....... 2,000 388,619
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ........... 7 233,819
Seino Transportation Co. Ltd. (Surface
Transport).............................. 44,000 201,527
Sekisui Chemical Co., Ltd. (Specialty
Chemicals).............................. 20,000 73,282
Shin-Etsu Chemical Co., Ltd. (Specialty
Chemicals).............................. 5,000 264,168
Softbank Corp. (Semiconductors and
Electronics)+ 1,500 370,114
Sony Corporation (Semiconductors and
Electronics)............................ 2,200 253,537
-----------
TOTAL JAPAN 2,570,631
-----------
MEXICO (0.5%)
Telefonos de Mexico SA, ADR (Other
Telecommunications) + .................. 5,800 341,112
-----------
NETHERLANDS (2.2%)
ING Groep NV (Diversified Financial
Services)............................... 2,467 134,936
Koninklijke KPN NV (Major
Telecommunications)..................... 1,800 181,832
Philips Electronics NV (Heavy Machinery) 10,000 447,175
STMicroelectronics (Semiconductors and
Electronics)............................ 1,200 229,538
United Pan-Europe Communications N.V.
(Other Telecommunications) + ........... 8,400 306,426
VNU UV (Print Media) .................... 3,800 203,794
-----------
TOTAL NETHERLANDS 1,503,701
-----------
SPAIN (0.6%)
Telefonica Publicidad e Informacion, S.A.
(Consumer Services) + .................. 4,700 186,315
Telefonica SA (Major
Telecommunications) +................... 10,812 241,201
-----------
TOTAL SPAIN 427,516
-----------
SWEDEN (2.1%)
Ericsson, ADR (Semiconductors and
Electronics)............................ 5,500 486,406
HiQ International AB
(Data and Imaging Services) + .......... 4,700 464,593
Information Highway AB (Computers) + .... 19,600 201,407
Telelogic AB (Major Telecommunications) + 37,000 281,023
-----------
TOTAL SWEDEN 1,433,429
-----------
SWITZERLAND (1.0%)
Fantastic Corp. (Data and Imaging
Services) +............................. 6,100 112,290
Gretag Imaging Group (Biotech and Medical
Products) + ............................ 700 140,979
Logitech International S.A. (Computer and
Computer Software Stores) + ............ 400 264,578
The Swatch Group AG (Consumer
Specialties)............................ 200 214,824
-----------
TOTAL SWITZERLAND 732,671
-----------
UNITED KINGDOM (2.7%)
British Telecom Plc (Other
Telecommunications)..................... 15,385 277,097
Cable & Wireless Plc
(Other Telecommunications) + ........... 11,537 191,905
</TABLE>
12 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Celltech Group Plc (Drugs) + ............ 4,000 $ 65,847
Granada Group Plc (Electronic Media) + .. 91 891
Lloyds Tsd Grp (Insurance) .............. 14,000 137,577
Prudential Plc (Insurance) .............. 6,200 95,659
Shire Pharmaceuticals Group Plc (Drugs) + 3,500 140,875
Viatel, Inc. (Other Telecommunications) + 10,500 401,625
Vodafone Group Plc (Other
Telecommunications)..................... 61,404 282,970
WPP Group Plc (Commercial Services) ..... 19,900 321,983
-----------
TOTAL UNITED KINGDOM 1,916,429
-----------
TOTAL FOREIGN COMMON STOCKS
(COST $10,890,814) 14,608,283
-----------
TOTAL COMMON STOCKS (COST $38,543,964) 45,621,629
-----------
PREFERRED STOCKS (0.1%)
GERMANY (0.1%)
SAP AG (Data and Imaging Services) + .... 150 88,442
-----------
TOTAL PREFERRED STOCKS (COST $117,702) 88,442
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (9.6%)
CORPORATE BONDS (1.8%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ....... $ 10,000 9,900
Allstate Corp., 7.88%, 05/01/05 ......... 20,000 19,898
AT&T Capital Corp., 6.75%, 02/04/02 ..... 30,000 29,609
Bank of America Corp., 5.75%, 03/01/04 .. 10,000 9,377
Capital Auto Receivables Asset
Trust, 6.30%, 05/15/04.................. 90,000 89,265
Chemical Master Credit Card
Trust, 7.09%, 02/15/09.................. 60,000 59,006
Citigroup Inc., 6.20%, 03/15/09 ......... 15,000 13,660
Conoco Inc., 5.90%, 04/15/04 ............ 25,000 23,649
DaimlerChrysler NA Holdings
Inc., 7.20%, 09/01/09................... 116,000 111,570
Diageo Capital Plc, 7.25%, 11/01/09 ..... 30,000 29,638
Duke Energy Corp., 7.38%, 03/01/10 ...... 15,000 14,794
Eastman Kodak Co., 6.50%, 08/15/01 ...... 30,000 29,651
First Union National Bank, 7.88%, 02/15/10 10,000 9,918
Ford Motor Credit Corp., 7.38%, 10/28/09 50,000 48,331
Ford Motor Credit Corp., 7.50%, 03/15/05 10,000 9,891
General Electric Capital
Corp., 6.81%, 11/03/03.................. 30,000 29,498
General Motors Acceptance
Corp., 7.75%, 01/19/10.................. 30,000 29,627
GTE California Inc., 7.65%, 03/15/07 .... 45,000 44,777
Honeywell International, 7.50%, 03/01/10 30,000 29,625
Household Finance Corp., 5.88%, 09/25/04 45,000 41,910
Household Finance Corp., 7.88%, 03/01/07 10,000 9,897
Lockheed Martin Corp., 8.50%, 12/01/29 .. 25,000 24,453
MBNA Master Credit Card
Trust, 6.40%, 01/18/05.................. 100,000 98,250
MCI WorldCom, Inc., 6.95%, 08/15/28 ..... 46,000 40,565
Mellon Bank NA, 7.63%, 09/15/07 ......... 30,000 29,655
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- ----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Morgan Stanley Dean Witter &
Co., 7.13%, 01/15/03.................... $ 20,000 $ 19,780
Morgan Stanley Dean Witter &
Co., 5.63%, 01/20/04.................... 10,000 9,377
National Rural Utilities, 5.50%, 01/15/05 80,000 73,591
Norwest Financial, Inc., 5.38%, 09/30/03 45,000 42,257
Pepsi Bottling Holdings
Inc., 5.38%, 02/17/04................... 25,000 23,261
Raytheon Co., 8.30%, 03/01/10 ........... 10,000 9,860
Sempra Energy, 7.95%, 03/01/10 .......... 15,000 15,124
Texaco Capital, Inc., 5.50%, 01/15/09 ... 60,000 51,457
Time Warner Inc., 8.11%, 08/15/06 ....... 15,000 15,069
Tyco International Group
SA, 6.13%, 01/15/09..................... 40,000 35,176
U.S. West Communications
Group, 5.63%, 11/15/08 ................. 20,000 17,123
Vodafone Airtouch Plc, 7.63%, 02/15/05 .. 15,000 14,944
Vodafone Airtouch Plc, 7.75%, 02/15/10 .. 15,000 15,022
-----------
TOTAL CORPORATE BONDS (COST $1,259,961) 1,228,455
-----------
FOREIGN OBLIGATIONS (0.1%)
Ontario (Province of), 6.00%, 02/21/06 .. 30,000 27,944
Quebec Province Co., 5.75%, 02/15/09 .... 45,000 39,870
Quebec Province Co., 7.50%, 09/15/29 .... 10,000 9,778
-----------
TOTAL FOREIGN OBLIGATIONS (COST $80,155) 77,592
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (4.7%)
Federal Home Loan Mortgage
Corp., 6.50%, 01/01/24.................. 485,101 457,208
Federal Home Loan Mortgage
Corp., 7.00%, 05/01/30 # ............... 470,000 449,950
Federal Home Loan Mortgage
Corp., 7.50%, 06/15/30 # ............... 660,000 646,490
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/29 # ............... 340,000 339,945
Federal National Mortgage
Association, 5.75%, 03/15/09............ 251,000 225,428
Federal National Mortgage
Association, 6.00%, 06/01/28............ 91,279 82,722
Federal National Mortgage
Association, 6.63%, 09/15/09............ 245,000 233,554
Federal National Mortgage
Association-Convertible
Loan, 6.50%, 11/01/27................... 190,237 177,871
Government National Mortgage
Association, 6.50%, 01/15/29............ 193,034 180,788
Government National Mortgage
Association, 7.00%, 02/15/28............ 398,398 383,207
Government National Mortgage
Association, 8.00%, 07/15/24............ 136,944 137,458
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $3,378,835) 3,314,621
-----------
U.S. GOVERNMENT OBLIGATIONS (3.0%)
U.S. Treasury Note, 5.25%, 05/15/04 ..... 50,000 47,679
U.S. Treasury Note, 5.25%, 02/15/29 ..... 56,000 49,193
U.S. Treasury Note, 5.38%, 06/30/03 ..... 565,000 545,490
U.S. Treasury Note, 5.50%, 03/31/03 ..... 180,000 174,656
U.S. Treasury Note, 5.88%, 11/15/04 ..... 406,000 395,277
U.S. Treasury Note, 6.00%, 08/15/04 ..... 361,000 353,441
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
ASCENT (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- ----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (CONTINUED)
U.S. Treasury Note, 6.00%, 08/15/09 ..... $ 146,000 $ 142,623
U.S. Treasury Note, 6.25%, 02/28/02 ..... 145,000 143,868
U.S. Treasury Note, 8.13%, 08/15/21 ..... 200,000 242,906
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $2,124,995) 2,095,133
-----------
TOTAL LONG-TERM BONDS AND NOTES
(COST $6,843,946) 6,715,801
-----------
SHORT-TERM INVESTMENTS (27.7%)
Dakota Cert Cccmt, 6.00%, 05/02/00 ++ ... 3,000,000 2,999,500
Federal Farm Credit Bank, 5.88%, 05/01/00 8,290,000 8,290,000
Sears Roebuck Acceptance, 6.15%, 05/19/00 * 3,000,000 2,990,775
U.S. Treasury Bill, 5.55%, 05/18/00 @ ... 2,100,000 2,094,501
Wheels Inc., 6.20%, 05/15/00 > .......... 3,000,000 2,992,767
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $19,367,543) 19,367,543
-----------
TOTAL INVESTMENTS (COST $64,873,155)(A) 71,793,415
OTHER ASSETS LESS LIABILITIES (1,901,947)
-----------
TOTAL NET ASSETS $69,891,468
===========
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$65,878,119. Unrealized gains and losses, based on identified tax cost at April
30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains......................... $ 8,539,829
Unrealized losses........................ (2,624,533)
------------
Net unrealized gain..................... $ 5,915,296
============
</TABLE>
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.. 4 $1,018,000 Jun 00 $ (188,200)
Swiss Bond 10 Yr............ 3 200,837 Jun 00 (3,871)
CAC 40 Index Futures........ 12 702,776 Jun 00 21,324
DAX Index Futures........... 4 679,921 Jun 00 (30,802)
LT Euro Bond................ 2 191,428 Jun 00 2,734
TOPIX Index Futures......... 9 1,380,291 Jun 00 (56,257)
---------- -----------
$4,173,253 $ (255,072)
========== ===========
</TABLE>
+ Non-income producing security.
> Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at April 30, 2000.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 2000.
# When-issued or delayed delivery security.
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 $ 129,562
Wheels Inc. ................ 4/12/00 2,992,767
----------
$3,122,329
==========
</TABLE>
The market value of the total illiquid securities above is $3,145,847 which
represents 4.50% of the total net assets.
Category percentages are based on net assets.
14 See Notes to Financial Statements.
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
CROSSROADS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ----------
<S> <C> <C>
COMMON STOCKS (61.0%)
UNITED STATES (45.8%)
AIR TRANSPORT (0.1%)
UAL Corp. + ............................. 1,700 $ 98,388
-----------
ALUMINUM (0.4%)
Alcoa Inc. .............................. 5,800 376,275
-----------
AUTO PARTS AND HARDWARE (0.1%)
Audiovox Corp. + ........................ 1,200 41,175
-----------
AUTOMOTIVE (0.3%)
Dura Automotive Systems, Inc. + ......... 2,200 35,750
General Motors Corp. + .................. 2,600 243,425
-----------
279,175
-----------
BANKS AND THRIFTS (0.9%)
Astoria Financial Corp. ................. 2,900 79,931
First United Bancshares, Inc. ........... 2,900 47,669
GBC Bancorp ............................. 3,700 103,137
Golden State Bancorp, Inc. + ............ 6,500 99,938
Hamilton Bancorp Inc. + ................. 2,000 36,750
Hudson United Bancorp ................... 5,800 130,862
PFF Bancorp, Inc. ....................... 2,200 30,938
Provident Bankshares Corp. .............. 8,190 122,338
UnionBanCal Corp. ....................... 2,100 58,144
USBANCORP, Inc. ......................... 1,900 10,331
-----------
720,038
-----------
BIOTECH AND MEDICAL PRODUCTS (1.1%)
Abgenix, Inc. + ......................... 800 71,650
CuraGen Corporation + ................... 800 21,300
INAMED Corporation + .................... 3,500 144,812
Medtronic, Inc. + ....................... 5,800 301,237
Myriad Genetics, Inc. + ................ 500 32,188
Noven Pharmaceuticals, Inc. + ........... 6,000 70,500
PolyMedica Corp. + ...................... 2,600 139,588
Varian, Inc. + .......................... 4,300 156,412
-----------
937,687
-----------
COMMERCIAL SERVICES (0.4%)
Diamond Technology Partners Incorporated
+....................................... 900 71,213
Direct Focus, Inc. + .................... 2,900 94,975
Paychex, Inc. ........................... 3,200 168,400
-----------
334,588
-----------
COMPUTERS (3.3%)
Apple Computer, Inc. + .................. 5,400 669,937
Cabletron Systems, Inc. + .............. 1,200 27,450
Harmonic Inc. + ......................... 600 44,288
Hewlett Packard Co. ..................... 4,600 621,000
Sun Microsystems, Inc. + ................ 15,700 1,443,419
-----------
2,806,094
-----------
CONGLOMERATE AND AEROSPACE (0.8%)
Alliant Techsystems, Inc. + ............. 1,100 76,588
Anixter International, Inc. + ........... 5,000 168,437
Boeing Co. .............................. 2,100 83,344
Perkin-Elmer Inc. + ..................... 4,400 240,900
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
CONGLOMERATE AND AEROSPACE (CONTINUED)
Tenneco Automotive Inc. ................. 13,000 $ 115,375
-----------
684,644
-----------
CONSUMER SERVICES (0.9%)
Aztar Corp. + ........................... 3,000 35,813
Host Marriott Corp. ..................... 7,900 84,431
Isle of Capris Casinos, Inc. ............ 5,800 80,475
Jack in the Box Inc. + .................. 3,300 80,850
Metris Companies, Inc. .................. 2,900 108,750
MGM Grand, Inc. + ....................... 2,100 61,950
Papa John's International, Inc. + ....... 2,900 79,750
Park Place Entertainment Corp. + ........ 3,600 46,125
Sonic Corp. + ........................... 2,000 55,625
Station Casinos, Inc. + ................. 4,300 122,550
-----------
756,319
-----------
CONSUMER SPECIALTIES (0.1%)
JAKKS Pacific, Inc. + ................... 3,400 62,475
-----------
DATA AND IMAGING SERVICES (4.6%)
Advanced Digital Information Corp. + .... 3,500 85,969
BEA Systems, Inc. + ..................... 2,400 115,800
BroadVision, Inc. + ..................... 900 39,544
Cisco Systems, Inc. + ................... 12,100 838,870
Citrix Systems, Inc. + .................. 1,500 91,594
Computer Associates International, Inc. . 5,600 312,550
EMC Corp. + ............................. 5,900 819,731
F.Y.I. Incorporated + ................... 4,300 115,294
In Focus Systems, Inc. + ................ 5,500 164,656
MapInfo Corporation + ................... 1,000 29,625
Mercury Computer Systems, Inc. + ........ 2,800 107,625
Netopia, Inc. + ......................... 800 33,400
Oracle Corp. + .......................... 9,000 719,437
PSW Technologies, Inc. + ................ 1,000 22,750
Puma Technology, Inc. + ................. 800 24,500
QLogic Corp. + .......................... 700 70,219
SERENA Software, Inc. + ................. 2,000 43,750
Siebel Systems, Inc. + .................. 500 61,437
Unify Corp. + ........................... 3,000 36,000
VERITAS Software Corp. + ................ 1,200 128,719
-----------
3,861,470
-----------
DISCRETIONARY RETAIL (2.1%)
American Eagle Outfitters, Inc. + ....... 1,300 22,100
Best Buy Co., Inc. + .................... 1,800 145,350
Circuit City Stores, Inc. ............... 5,300 311,706
Finish Line, Inc. (The) + ............... 14,400 152,100
Genesco Inc. + .......................... 5,700 73,744
Home Depot, Inc. ........................ 6,100 341,981
Michaels Stores, Inc. + ................. 3,500 138,031
Neiman Marcus Group, Inc. (The) + ....... 2,900 74,675
PC Connection, Inc. + .................. 2,500 119,688
Sonic Automotive, Inc. + ................ 7,200 80,100
Spiegel, Inc. + ......................... 7,200 59,400
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
CROSSROADS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
DISCRETIONARY RETAIL (CONTINUED)
The Limited, Inc. ....................... 2,800 $ 126,525
U.S. Wireless Corporation + ............. 2,300 44,311
Wilsons The Leather Experts Inc. + ...... 5,200 63,050
Zale Corp. + ............................ 1,400 57,750
-----------
1,810,511
-----------
DRUGS (0.4%)
Allergan, Inc. .......................... 600 35,325
Dura Pharmaceuticals, Inc. + ............ 2,400 31,200
Warner Lambert Co. ...................... 2,700 307,294
-----------
373,819
-----------
ELECTRIC UTILITIES (1.3%)
Allegheny Energy, Inc. .................. 4,600 139,725
Calpine Corp. + ......................... 1,400 128,100
Constellation Energy Group .............. 4,100 135,556
Energy East Corp. ....................... 7,200 150,300
Florida Progress Corp. .................. 2,500 122,500
NSTAR Corp............................... 3,700 163,031
RGS Energy Group Inc. ................... 7,400 173,900
Wisconsin Energy Corp. .................. 5,800 123,975
-----------
1,137,087
-----------
ELECTRICAL MACHINERY AND INSTRUMENTS (1.0%)
JDS Uniphase Corporation + .............. 600 62,213
Lexmark International Group, Inc. + ..... 1,200 141,600
PE Corp-PE Biosystems Group ............. 1,200 72,000
Robotic Vision Systems, Inc. + .......... 4,300 64,231
Technitrol, Inc. ........................ 2,900 197,200
Tektronix, Inc. ......................... 3,500 202,562
Zomax Inc. + ............................ 1,700 80,431
-----------
820,237
-----------
FOOD AND BEVERAGE (0.2%)
Canandiagua Brands, Inc. + .............. 900 45,337
Pepsi Bottling Group, Inc. .............. 7,500 161,719
-----------
207,056
-----------
FOOD AND DRUG RETAIL (0.2%)
Sysco Corp. ............................. 3,900 146,738
-----------
FOREST PRODUCTS AND BUILDING MATERIALS (0.8%)
Johns Manville Corporation .............. 14,800 154,475
Pope & Talbot, Inc. ..................... 5,800 122,887
U.S. Can Corporation + .................. 2,900 53,288
USG Corp. ............................... 4,400 183,700
Westvaco Corp. .......................... 3,900 120,412
-----------
634,762
-----------
GAS UTILITIES (1.1%)
Coastal Corp. (The) ..................... 6,700 336,256
El Paso Energy Corp. .................... 900 38,250
Energen Corp. ........................... 2,900 53,106
Enron Corp. ............................. 4,500 313,594
KeySpan Energy Corp. .................... 2,900 85,188
UGI Corporation ......................... 4,300 87,881
-----------
914,275
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
HEALTH SERVICES (0.2%)
Oxford Health Plans, Inc. + ............. 9,200 $ 174,800
-----------
HOUSING AND FURNISHINGS (0.1%)
Universal Electronics Inc. + ............ 1,500 30,750
Windmere-Durable Holdings, Inc. + ....... 2,200 35,338
-----------
66,088
-----------
INSURANCE (0.4%)
AMBAC, Inc. ............................. 2,100 100,800
Mony Group Inc. + ....................... 2,900 89,719
Penn Treaty American Corporation + ...... 6,900 104,794
RenaissanceRe Holdings Ltd. ............. 1,200 44,100
-----------
339,413
-----------
INVESTMENT SERVICES (1.6%)
Affiliated Managers Group, Inc. + ....... 1,400 56,175
Donaldson, Lufkin & Jenrette, Inc. ...... 2,200 91,713
Lehman Brothers Holdings Inc. ........... 3,400 279,012
Merrill Lynch & Co., Inc. ............... 2,800 285,425
Morgan Stanley Dean Witter & Co. ........ 5,800 445,150
Raymond James Financial, Inc. ........... 4,600 92,575
Tucker Anthony Sutro Corporation ........ 4,600 77,050
-----------
1,327,100
-----------
MAJOR TELECOMMUNICATIONS (0.6%)
Nextel Communications, Inc. + ........... 700 76,606
Sprint PCS + ............................ 7,900 434,500
-----------
511,106
-----------
OIL (1.4%)
Amerada Hess Corp. ...................... 5,300 337,212
Apache Corp. ............................ 7,100 343,906
Ocean Energy, Inc. + .................... 8,600 111,263
Penn Virginia Corp. ..................... 6,900 124,200
Ultramar Diamond Shamrock Corp. ......... 7,500 185,625
Vintage Petroleum, Inc. + ............... 5,800 115,275
-----------
1,217,481
-----------
OIL SERVICES (1.1%)
Atwood Oceanics, Inc. + ................. 1,200 72,750
Helmerich & Payne, Inc. ................. 5,800 181,612
Rowan Co., Inc. + ....................... 10,500 293,344
Tosco Corp. ............................. 9,700 311,006
Transocean Sedco Forex Inc. ............. 1,900 89,300
-----------
948,012
-----------
OTHER TELECOMMUNICATIONS (0.3%)
Aerial Communications, Inc. + ........... 1,700 75,118
LCC International, Inc. + ............... 2,900 70,869
Metricom, Inc. + ........................ 700 19,644
Powertel, Inc. + ........................ 600 40,350
Price Communications Corp. + ............ 2,200 44,550
Telephone & Data Systems, Inc. .......... 400 40,800
-----------
291,331
-----------
PRINT MEDIA (0.1%)
Dow Jones & Co., Inc. ................... 1,900 123,263
-----------
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
PRODUCER GOODS (0.8%)
Commercial Metals Co. ................... 2,300 $ 67,562
Dover Corp. ............................. 2,700 137,194
Millipore Corp. ......................... 3,100 222,231
Pall Corp. .............................. 5,100 113,794
United Stationers, Inc. + ............... 4,000 133,500
-----------
674,281
-----------
REAL ESTATE INVESTMENT TRUSTS (4.8%)
Alexandria Real Estate Equities, Inc. ... 1,200 38,400
AMB Property Corp. ...................... 3,000 66,188
Apartment Investment & Management Co. ... 3,700 147,075
Archstone Communities Trust ............. 3,000 64,875
Arden Realty Group, Inc. ................ 2,200 48,950
Avalon Bay Communities, Inc. ............ 2,004 78,407
Beacon Capital + > ...................... 6,500 115,700
Boston Properties, Inc. ................. 7,500 261,562
Brandywine Realty Trust ................. 1,800 31,275
BRE Properties, Inc. .................... 3,500 97,781
Capital Automotive REIT, Inc. ........... 3,100 43,206
CBL & Associates Properties, Inc. ....... 2,800 65,625
Colonial Properties Trust ............... 2,500 62,344
Developers Diversified Realty Corp. ..... 10,400 157,950
Duke-Weeks Realty Corp. ................. 2,868 62,200
Eastgroup Properties, Inc. .............. 1,200 24,975
Equity Office Properties Trust .......... 8,800 239,250
Equity Residential Properties Trust ..... 5,703 259,486
Essex Property Trust, Inc. .............. 1,100 42,488
First Industrial Realty Trust, Inc. ..... 1,000 30,063
General Growth Properties, Inc. ......... 4,000 131,500
Glimcher Realty Trust ................... 3,500 48,125
Health Care Property Investors, Inc. .... 2,000 55,750
Healthcare Realty Trust, Inc. ........... 1,688 30,384
Highwood Properties, Inc. ............... 2,400 54,450
Home Properties of New York, Inc. ....... 2,200 61,600
Hospitality Properties Trust ............ 2,800 62,300
Kimco Realty Corp. ...................... 5,800 230,912
Koger Equity, Inc. ...................... 2,000 35,000
Liberty Property Trust .................. 2,200 54,450
Mack-Cali Realty Corp. .................. 1,700 43,775
National Golf Properties, Inc. .......... 700 13,388
Pacific Gulf Properties, Inc. ........... 700 15,050
Pan Pacific Retail Properties, Inc. ..... 1,100 20,900
Parkway Properties, Inc. ................ 1,100 33,000
Post Properties, Inc. ................... 2,800 117,600
Prentiss Properties Trust ............... 4,400 104,500
ProLogis Trust .......................... 8,500 167,344
PS Business Parks, Inc. ................. 3,500 77,875
Shurgard Storage Centers, Inc. .......... 700 18,331
Simon Property Group, Inc. .............. 6,500 164,937
SL Green Realty Corp. ................... 4,200 107,887
Spieker Properties, Inc. ................ 4,500 199,406
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Starwood Hotels & Resort Worldwide, Inc. 1,800 $ 51,188
Summit Properties Inc. .................. 3,900 77,756
Vornado Realty Trust .................... 3,700 127,650
Weingarten Realty Investors ............. 1,000 40,500
-----------
4,083,358
-----------
SEMICONDUCTORS AND ELECTRONICS (13.7%)
ADC Telecommunications, Inc. + .......... 3,100 188,325
Advanced Micro Devices Corp. + .......... 4,500 394,875
Altera Corp. + .......................... 1,700 173,825
Analog Devices, Inc. + .................. 5,900 453,194
Andrew Corp. + .......................... 5,700 167,794
Applied Materials, Inc. + ............... 14,900 1,517,006
Applied Micro Circuits Corp. + .......... 1,200 154,650
Arrow Electronics, Inc. + ............... 2,900 127,056
AVX Corp. ............................... 2,300 224,106
California Amplifier, Inc. + ............ 900 24,300
Cohu, Inc. ............................. 3,200 121,800
Comverse Technology, Inc. + ............. 3,500 312,156
Credence Systems Corp. + ................ 1,400 199,850
Digital Lightwave, Inc. + ............... 1,200 82,200
Elantec Semiconductor, Inc. + ........... 3,200 129,600
Integrated Electric Services Inc. + ..... 3,700 177,831
Intel Corp. ............................. 7,100 900,369
International Rectifier Corp. + ......... 1,900 93,338
KEMET Corp. + ........................... 2,600 193,700
KLA Instruments Corp. + ................. 10,900 816,137
Kopin Corporation + ..................... 2,200 170,362
Lam Research Corporation + .............. 1,200 55,050
Linear Technology Corp. ................. 3,000 171,375
LSI Logic Corp. + ....................... 5,100 318,750
LTX Corporation + ....................... 3,500 160,125
Micron Technology, Inc. + ............... 2,100 292,425
MKS Instruments, Inc. + ................. 600 28,200
Molex, Inc. ............................. 6,900 379,069
National Semiconductor Corp. + .......... 2,000 121,500
Natural MicroSystems Corporation + ...... 2,000 130,250
Novellus Systems, Inc. + ................ 1,000 66,688
Photon Dynamics, Inc. + ................. 1,400 103,600
PMC Sierra Inc. + ....................... 700 134,312
Powerwave Technologies, Inc. + .......... 700 145,644
RF Micro Devices, Inc. + ................ 500 52,031
SanDisk Corporation + ................... 900 82,463
Scientific-Atlanta, Inc. ................ 5,400 351,337
SDL, Inc. + ............................. 500 97,500
Silicon Storage Technology, Inc. + ...... 1,400 136,500
Solectron Corp. + ....................... 3,900 182,569
Teradyne, Inc. + ........................ 3,800 418,000
Texas Instruments, Inc. ................. 3,200 521,200
Three-Five Systems, Inc. + .............. 1,400 121,800
TriQuint Semiconductor, Inc. + .......... 1,600 164,500
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
CROSSROADS (CONTINUED)
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Vishay Intertechnology, Inc. + .......... 3,200 $ 268,400
Xilinx, Inc. + .......................... 7,000 512,750
-----------
11,638,512
-----------
SPECIALTY CHEMICALS (0.2%)
Gentek, Inc. ............................ 5,000 67,187
Georgia Gulf Corp. ...................... 4,300 103,469
-----------
170,656
-----------
SURFACE TRANSPORT (0.2%)
Arkansas Best Corp. + ................... 6,100 78,919
Roadway Express, Inc. ................... 900 21,150
Yellow Corp. + .......................... 5,200 99,125
-----------
199,194
-----------
TEXTILES AND APPAREL (0.2%)
Guess?, Inc. + .......................... 2,000 55,000
Liz Claiborne, Inc. ..................... 2,600 120,413
-----------
175,413
-----------
TOTAL UNITED STATES COMMON STOCKS 38,942,821
(COST $34,907,289) -----------
FOREIGN COMMON STOCKS (15.2%)
BRAZIL (0.1%)
Embratel Participacoes S.A. (Other 3,700 83,250
Telecommunications)..................... -----------
CANADA (0.4%)
Nortel Networks Corp. (Semiconductors and 3,200 362,400
Electronics)............................ -----------
DENMARK (0.9%)
Novo-Nordisk A/S (Drugs) ................ 1,200 161,340
Tele Danmark A/S (Other
Telecommunications)..................... 2,200 161,340
Vestas Wind Systems A/S (Producer Goods)
+....................................... 1,300 435,372
-----------
TOTAL DENMARK 758,052
-----------
FINLAND (1.8%)
Comptel Oyj (Computer and Computer
Software Stores) + ..................... 19,000 430,444
JOT Automation Group Oyj (Electrical
Machinery and Instruments) ............. 43,300 313,701
Nokia Corp., ADR (Semiconductors and
Electronics)............................ 11,500 654,063
Perlos Oyj (Semiconductors and
Electronics) + ......................... 3,000 111,406
-----------
TOTAL FINLAND 1,509,614
-----------
FRANCE (1.5%)
Axa Financial, Inc. (Diversified
Financial Services) .................... 300 44,590
Genset (Biotech and Medical Products) ... 4,600 131,100
Lagardere S.C.A. (Diversified Financial
Services)............................... 900 61,103
Schneider Electric SA (Electrical
Machinery and Instruments) ............. 2,500 164,034
Societe Tele (Major Telecommunications) . 200 137,242
Total Fina SA (Oil Services) ............ 1,674 254,609
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
FRANCE (CONTINUED)
Vivendi (Conglomerate and Aerospace) .... 4,681 $ 464,118
-----------
TOTAL FRANCE 1,256,796
-----------
GERMANY (1.5%)
Buderus AG (Forest Products and Building
Materials).............................. 13,700 231,968
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................... 3,300 339,824
Infineon Technologies AG (Semiconductors
and Electronics) ....................... 1,600 110,814
Intershop Communications AG (Data and
Imaging Services) + .................... 800 356,136
Siemens AG (Electrical Machinery and
Instruments)............................ 1,400 207,065
-----------
TOTAL GERMANY 1,245,807
-----------
HONG KONG (0.3%)
China Telecom Ltd., ADR (Other 1,500 220,031
Telecommunications) + .................. -----------
IRELAND (0.1%)
Allied Irish Banks Plc (Investment
Services)............................... 6,084 60,877
CRH Plc (Forest Products and Building
Materials).............................. 4,063 65,166
-----------
TOTAL IRELAND 126,043
-----------
ITALY (0.2%)
Banca del Nazionale Lavoro (Banks and
Thrifts) + ............................. 17,100 56,100
Tiscali S.p.A. (Major Telecommunications)
+....................................... 2,000 107,442
-----------
TOTAL ITALY 163,542
-----------
JAPAN (2.4%)
Canon, Inc. (Semiconductors and
Electronics)............................ 3,000 137,127
Crayfish Corp. (Data and Imaging
Services) + ............................ 1 68,471
FamilyMart Co., Ltd. (Discretionary
Retail)................................. 3,100 113,588
Matsushita Electric Industrial Co., Ltd.
(Electrical Machinery and Instruments) . 7,000 185,242
Minebea Co. Ltd. (Semiconductors and
Electronics)............................ 9,000 109,924
Murata Manufacturing Co., Ltd.
(Semiconductors and Electronics) ....... 1,000 194,309
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ........... 5 167,014
Seino Transportation Co. Ltd. (Surface
Transport).............................. 45,000 206,107
Sekisui Chemical Co., Ltd. (Specialty
Chemicals).............................. 13,000 47,633
Shin-Etsu Chemical Co., Ltd. (Specialty
Chemicals).............................. 3,000 158,501
Softbank Corp. (Semiconductors and
Electronics)+ .......................... 1,500 370,114
Sony Corporation (Semiconductors and
Electronics)............................ 2,200 253,536
-----------
TOTAL JAPAN 2,011,566
-----------
MEXICO (0.2%)
Telefonos de Mexico SA, ADR (Other
Telecommunications) + .................. 3,400 199,966
-----------
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
NETHERLANDS (1.5%)
ING Groep (Diversified Fiancial Services) 1,887 $ 103,212
Koninklijke KPN NV (Major
Telecommunications)..................... 1,500 151,526
Philips Electronics NV (Heavy Machinery) 9,200 411,401
STMicroelectronics (Semiconductors and
Electronics)............................ 1,000 191,282
United Pan-Europe Communications N.V.
(Other Telecommunications) + ........... 7,500 273,595
VNU UV (Print Media) .................... 3,500 187,705
-----------
TOTAL NETHERLANDS 1,318,721
-----------
SPAIN (0.4%)
Telefonica Publicidad e Informacion, S.A.
(Consumer Services) + .................. 4,200 166,494
Telefonica SA (Major Telecommunications)
+....................................... 7,650 170,661
-----------
TOTAL SPAIN 337,155
-----------
SWEDEN (1.4%)
Ericsson, ADR (Semiconductors and
Electronics)............................ 4,600 406,813
HiQ International AB (Data and Imaging
Services)+.............................. 3,600 355,858
Information Highway AB (Computers) + .... 16,500 169,552
Telelogic AB (Major Telecommunications) + 33,000 250,642
-----------
TOTAL SWEDEN 1,182,865
-----------
SWITZERLAND (0.6%)
Fantastic Corp. (Data and Imaging
Services) + ............................ 5,200 95,723
Gretag Imaging Group (Biotech and Medical
Products) + ............................ 600 120,839
Logitech International S.A. (Computer and
Computer Software Stores) + ............ 300 198,433
The Swatch Group AG (Consumer
Specialties)............................ 100 107,412
-----------
TOTAL SWITZERLAND 522,407
-----------
UNITED KINGDOM (1.9%)
British Telecom Plc (Other
Telecommunications)..................... 10,897 196,264
Cable & Wireless Plc (Other
Telecommunications)+.................... 10,734 178,547
Celltech Group Plc (Drugs) + ............ 3,000 49,385
Granada Group Plc (Electronic Media) + .. 71 695
Lloyds Tsd Grp (Insurance) .............. 11,800 115,958
Prudential Plc (Insurance) .............. 4,700 72,516
Shire Pharmaceuticals Group Plc (Drugs) + 3,634 146,269
Viatel, Inc. (Other Telecommunications) + 9,400 359,550
Vodafone Group Plc (Other
Telecommunications)..................... 42,700 196,776
WPP Group Plc (Commercial Services) ..... 16,400 265,353
-----------
TOTAL UNITED KINGDOM 1,581,313
-----------
TOTAL FOREIGN COMMON STOCKS 12,879,528
(COST $9,874,944) -----------
TOTAL COMMON STOCKS (COST $44,782,233) 51,822,349
-----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------- -----------
<S> <C> <C>
PREFERRED STOCKS (0.1%)
GERMANY (0.1%)
SAP AG (Data and Imaging Services) + .... 150 $ 88,442
-----------
TOTAL PREFERRED STOCKS (COST $117,702) 88,442
-----------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (23.4%)
CORPORATE BONDS (4.8%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ....... $ 45,000 44,550
Allstate Corp., 7.88%, 05/01/05 ......... 30,000 29,847
AT&T Capital Corp., 6.75%, 02/04/02 ..... 120,000 118,435
Bank of America Corp., 5.75%, 03/01/04 .. 35,000 32,819
Capital Auto Receivables Asset
Trust, 6.30%, 05/15/04.................. 275,000 272,755
Chemical Master Credit Card
Trust, 7.09%, 02/15/09.................. 145,000 142,597
Citigroup Inc., 6.20%, 03/15/09 ......... 25,000 22,767
Conoco Inc., 5.90%, 04/15/04 ............ 70,000 66,217
DaimlerChrysler NA Holdings
Inc., 7.20%, 09/01/09................... 237,000 227,949
Diageo Capital Plc, 7.25%, 11/01/09 ..... 110,000 108,673
Duke Energy Corp., 7.38%, 03/01/10 ...... 55,000 54,244
Eastman Kodak Co., 6.50%, 08/15/01 ...... 75,000 74,127
First Union National Bank, 7.88%,
02/15/10 ............................... 40,000 39,671
Ford Motor Credit Corp., 7.38%, 10/28/09 170,000 164,325
Ford Motor Credit Corp., 7.50%, 03/15/05 100,000 98,910
General Electric Capital
Corp., 6.81%, 11/03/03.................. 130,000 127,824
General Motors Acceptance
Corp., 7.75%, 01/19/10.................. 70,000 69,130
GTE California Inc., 7.65%, 03/15/07 .... 85,000 84,578
GTE Corp., 9.38%, 12/01/00 .............. 100,000 101,313
Honeywell International, 7.50%, 03/01/10 130,000 129,513
Household Finance Corp., 5.88%, 09/25/04 145,000 135,043
Household Finance Corp., 7.88%, 03/01/07 45,000 44,535
Lockheed Martin Corp., 8.50%, 12/01/29 .. 95,000 92,923
MBNA Master Credit Card
Trust, 6.40%, 01/18/05.................. 400,000 393,000
MCI WorldCom, Inc., 6.95%, 08/15/28 ..... 88,000 77,603
Mellon Bank NA, 7.63%, 09/15/07 ......... 55,000 54,367
Morgan Stanley Dean Witter &
Co., 7.13%, 01/15/03.................... 75,000 74,176
Morgan Stanley Dean Witter &
Co., 5.63%, 01/20/04.................... 35,000 32,818
National Australia Bank, 6.40%, 12/10/07 200,000 181,980
National Rural Utilities, 5.50%, 01/15/05 150,000 137,984
Norwest Financial, Inc., 5.38%, 09/30/03 145,000 136,162
Pepsi Bottling Holdings
Inc., 5.38%, 02/17/04................... 95,000 88,392
Raytheon Co., 8.30%, 03/01/10 ........... 45,000 44,370
Sempra Energy, 7.95%, 03/01/10 .......... 55,000 55,454
Texaco Capital, Inc., 5.50%, 01/15/09 ... 155,000 132,931
Time Warner Inc., 8.11%, 08/15/06 ....... 65,000 65,298
Tyco International Group
SA, 6.13%, 01/15/09..................... 170,000 149,498
U.S. West Communications
Group, 5.63%, 11/15/08 ................. 100,000 85,615
Vodafone Airtouch Plc, 7.63%, 02/15/05 .. 65,000 64,756
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
CROSSROADS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Vodafone Airtouch Plc, 7.75%, 02/15/10 .. $ 60,000 $ 60,090
-----------
TOTAL CORPORATE BONDS (COST $4,234,043) 4,117,239
-----------
FOREIGN OBLIGATIONS (0.2%)
Ontario (Province of), 6.00%, 02/21/06 .. 60,000 55,889
Quebec Province Co., 5.75%, 02/15/09 .... 90,000 79,739
Quebec Province Co., 7.50%, 09/15/29 .... 30,000 29,336
-----------
TOTAL FOREIGN OBLIGATIONS (COST $170,264) 164,964
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (7.9%)
Federal Home Loan Mortgage
Corp., 7.00%, 05/01/30 #................ 430,000 411,656
Federal Home Loan Mortgage
Corp., 7.50%, 06/15/30 #................ 820,000 803,215
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/29 #................ 400,000 399,936
Federal National Mortgage
Association, 5.75%, 03/15/09............ 766,000 687,960
Federal National Mortgage
Association, 6.00%, 06/01/28............ 365,118 330,888
Federal National Mortgage
Association, 6.00%, 01/01/29............ 198,538 179,925
Federal National Mortgage
Association, 6.63%, 09/15/09............ 735,000 700,661
Federal National Mortgage
Association, 7.50%, 08/01/29............ 724,204 708,583
Federal National Mortgage
Association, 7.50%, 11/01/29............ 24,977 24,469
Federal National Mortgage Association -
Convertible Loan, 6.50%, 02/01/28 ...... 502,993 470,299
Government National Mortgage
Association, 6.50%, 01/15/29............ 719,949 674,275
Government National Mortgage
Association, 7.00%, 08/15/27............ 35,731 34,391
Government National Mortgage
Association, 7.00%, 09/15/27............ 628,927 605,732
Government National Mortgage
Association, 7.00%, 01/15/28............ 100,431 96,665
Government National Mortgage
Association, 7.00%, 01/15/28............ 394,002 378,979
Government National Mortgage
Association, 8.00%, 07/15/24............ 234,762 235,642
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $6,952,924) 6,743,276
-----------
U.S. GOVERNMENT OBLIGATIONS (10.5%)
U.S. Treasury Note, 5.25%, 08/15/03 ..... 960,000 922,349
U.S. Treasury Note, 5.25%, 05/15/04 * ... 2,106,000 2,008,261
U.S. Treasury Note, 5.25%, 02/15/29 ..... 385,000 338,199
U.S. Treasury Note, 5.38%, 06/30/03 ..... 490,000 473,080
U.S. Treasury Note, 5.50%, 03/31/03 ..... 1,575,000 1,528,238
U.S. Treasury Note, 5.63%, 09/30/01 ..... 275,000 271,046
U.S. Treasury Note, 5.63%, 05/15/08 ..... 685,000 650,640
U.S. Treasury Note, 6.00%, 08/15/04 ..... 347,000 339,734
U.S. Treasury Note, 6.00%, 08/15/09 * ... 1,616,000 1,578,622
U.S. Treasury Note, 6.50%, 10/15/06 ..... 570,000 568,752
--------- -----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (CONTINUED)
U.S. Treasury Note, 7.50%, 02/15/05 * ... $ 195,000 $ 202,160
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $9,025,480) 8,881,081
-----------
TOTAL LONG-TERM BONDS AND NOTES
(COST $20,382,711) 19,906,560
-----------
SHORT-TERM INVESTMENTS (20.4%)
Dakota Cert Cccmt, 6.00%, 05/02/00 ++ ... 3,800,000 3,799,367
Federal Farm Credit Bank, 5.88%, 05/01/00 3,853,000 3,853,000
MCI Worldcom Inc., 6.08%, 05/08/00 ++ ... 4,000,000 3,995,271
U.S. Treasury Bill, 5.55%, 05/18/00 @ ... 2,000,000 1,994,763
Wheels Inc., 6.20%, 05/15/00 > .......... 3,700,000 3,691,079
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $17,333,480) 17,333,480
-----------
TOTAL INVESTMENTS (COST $82,616,126)(a) 89,150,831
OTHER ASSETS LESS LIABILITIES (4,212,268)
-----------
TOTAL NET ASSETS $84,938,563
===========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$84,263,864. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
Unrealized gains.................................... $ 7,988,540
Unrealized losses................................... (3,101,573)
-----------
Net unrealized gain................................ $ 4,886,967
===========
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
Notes to Portfolio of Investments (continued)
Information concerning open future contracts at April 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO OF NOTIONAL EXPIRATION UNREALIZED
LONG CONTRACTS CONTRACTS VALUE DATE GAIN/(LOSS)
-------------------------- --------- -------- ---------- -----------
<S> <C> <C> <C> <C>
Russell 200 Index Futures ... 3 $ 763,500 Jun 00 $(141,150)
Swiss Bond 10 Yr ............ 4 267,783 Jun 00 (5,161)
CAC 40 Index Futures ........ 13 761,341 Jun 00 23,101
DAX Index Futures ........... 2 339,960 Jun 00 (15,401)
FTSE 100 Index Futures ...... 3 299,714 Jun 00 (1,197)
LT Euro Bonds ............... 5 478,569 Jun 00 6,835
TOPIX Index Futures ......... 10 1,533,657 Jun 00 (64,770)
---------- ---------
$4,444,524 $(197,743)
========== =========
</TABLE>
+ Non-income producing security.
> Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at April 30, 2000.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 2000.
# When-issued or delayed delivery security.
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 $ 97,925
Wheels Inc. ................. 4/12/00 3,691,079
----------
$3,789,004
==========
</TABLE>
The market value of the total illiquid securities above is $3,806,779 which
represents 4.48% of the total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 21
<PAGE>
Generation Funds
Portfolio of Investments - April 30, 2000 (Unaudited)
Legacy
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
COMMON STOCKS (42.2%)
UNITED STATES (30.5%)
AIR TRANSPORT (0.1%)
UAL Corp. + ............................ 600 $ 34,725
----------
ALUMINUM (0.3%)
Alcoa Inc. ............................. 1,222 79,277
Reynolds Metals Co. .................... 500 33,250
----------
112,527
----------
AUTO PARTS AND HARDWARE (0.0%)
Audiovox Corp. + ....................... 400 13,725
----------
AUTOMOTIVE (0.2%)
Dura Automotive Systems, Inc. + ........ 700 11,375
General Motors Corp. + ................. 800 74,900
----------
86,275
----------
BANKS AND THRIFTS (0.6%)
Astoria Financial Corp. ................ 1,000 27,562
First United Bancshares, Inc. .......... 1,000 16,438
GBC Bancorp ............................ 1,300 36,237
Golden State Bancorp, Inc. + ........... 2,200 33,825
Hamilton Bancorp Inc. + ................ 700 12,863
Hudson United Bancorp .................. 2,000 45,125
PFF Bancorp, Inc. ...................... 700 9,844
Provident Bankshares Corp. ............. 2,730 40,779
UnionBanCal Corp. ...................... 700 19,381
USBANCORP, Inc. ........................ 600 3,263
----------
245,317
----------
BIOTECH AND MEDICAL PRODUCTS (0.5%)
Abgenix, Inc. + ........................ 300 26,869
CuraGen Corporation + .................. 200 5,325
INAMED Corporation + ................... 1,200 49,650
Myriad Genetics, Inc. + ............... 200 12,875
Noven Pharmaceuticals, Inc. + .......... 2,000 23,500
PolyMedica Corp. + ..................... 900 48,319
Varian, Inc. + ......................... 1,500 54,562
----------
221,100
----------
COMMERCIAL SERVICES (0.3%)
Diamond Technology Partners
Incorporated + ........................ 300 23,738
Direct Focus, Inc. + ................... 1,000 32,750
Paychex, Inc. .......................... 1,100 57,887
----------
114,375
----------
COMPUTERS (1.1%)
Apple Computer, Inc. + ................. 1,100 136,469
Harmonic Inc. + ........................ 200 14,762
Hewlett Packard Co. .................... 1,100 148,500
Sun Microsystems, Inc. + ............... 2,100 193,069
----------
492,800
----------
CONGLOMERATE AND AEROSPACE (0.4%)
Alliant Techsystems, Inc. + ............ 400 27,850
Anixter International, Inc. + .......... 1,700 57,268
Boeing Co. ............................. 900 35,719
Perkin-Elmer Inc. + .................... 500 27,375
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
UNITED STATES (CONTINUED)
CONGLOMERATE AND AEROSPACE (CONTINUED)
Tenneco Automotive Inc. ................ 4,400 $ 39,050
----------
187,262
----------
CONSUMER SERVICES (0.6%)
Aztar Corp. + .......................... 1,000 11,937
Host Marriott Corp. .................... 4,100 43,819
Isle of Capris Casinos, Inc. ........... 2,000 27,750
Jack in the Box Inc. + ................. 1,100 26,950
Metris Companies, Inc. ................. 1,000 37,500
MGM Grand, Inc. + ...................... 700 20,650
Papa John's International, Inc. + ...... 1,000 27,500
Sonic Corp. + .......................... 700 19,469
Station Casinos, Inc. + ................ 1,500 42,750
----------
258,325
----------
CONSUMER SPECIALTIES (0.1%)
JAKKS Pacific, Inc. + .................. 1,200 22,050
----------
DATA AND IMAGING SERVICES (3.5%)
Adobe Systems, Inc. .................... 1,300 157,219
Advanced Digital Information Corp. + ... 1,200 29,475
BEA Systems, Inc. + .................... 800 38,600
BroadVision, Inc. + .................... 300 13,181
Cisco Systems, Inc. + .................. 3,500 242,649
Citrix Systems, Inc. + ................. 400 24,425
Computer Associates International, Inc. 1,900 106,044
Electronic Data Systems Corp. .......... 900 61,875
EMC Corp. + ............................ 1,100 152,831
F.Y.I. Incorporated + .................. 1,500 40,219
In Focus Systems, Inc. + ............... 1,900 56,881
MapInfo Corporation + .................. 400 11,850
Mercury Computer Systems, Inc. + ....... 900 34,594
Microsoft Corp. + ...................... 2,100 146,475
Netopia, Inc. + ........................ 300 12,525
Oracle Corp. + ......................... 3,100 247,806
PSW Technologies, Inc. + ............... 300 6,825
Puma Technology, Inc. + ................ 200 6,125
QLogic Corp. + ......................... 300 30,094
SERENA Software, Inc. + ................ 750 16,406
Siebel Systems, Inc. + ................. 200 24,575
Unify Corp. + .......................... 1,000 12,000
VERITAS Software Corp. + ............... 400 42,906
----------
1,515,580
----------
DISCRETIONARY RETAIL (1.6%)
American Eagle Outfitters, Inc. + ...... 400 6,800
Best Buy Co., Inc. + ................... 700 56,525
Circuit City Stores, Inc. .............. 1,700 99,981
Finish Line, Inc. (The) + .............. 4,900 51,756
Genesco Inc. + ......................... 2,000 25,875
Home Depot, Inc. ....................... 2,300 128,944
Kohl's Corp. + ......................... 800 38,400
Michaels Stores, Inc. + ................ 1,200 47,325
Neiman Marcus Group, Inc. (The) + ...... 1,000 25,750
</TABLE>
22 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
UNITED STATES (CONTINUED)
DISCRETIONARY RETAIL (CONTINUED)
PC Connection, Inc. + .................. 900 $ 43,087
Sonic Automotive, Inc. + ............... 2,500 27,813
Spiegel, Inc. + ........................ 2,500 20,625
The Limited, Inc. ...................... 1,100 49,706
U.S. Wireless Corporation + ............ 800 15,413
Wilsons The Leather Experts Inc. + ..... 1,800 21,825
Zale Corp. + ........................... 500 20,625
------------
680,450
------------
DRUGS (0.3%)
Allergan, Inc. ......................... 300 17,662
Dura Pharmaceuticals, Inc. + ........... 800 10,400
Warner Lambert Co. ..................... 800 91,050
------------
119,112
------------
ELECTRIC UTILITIES (1.1%)
AES Corp. + ............................ 900 80,944
Allegheny Energy, Inc. ................. 1,600 48,600
Calpine Corp. + ........................ 500 45,750
Constellation Energy Group ............. 1,500 49,594
Energy East Corp. ...................... 2,500 52,187
Florida Progress Corp. ................. 800 39,200
NSTAR Corp.............................. 1,300 57,281
RGS Energy Group Inc. .................. 2,500 58,750
Wisconsin Energy Corp. ................. 2,000 42,750
------------
475,056
------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.7%)
JDS Uniphase Corporation + ............. 200 20,738
Lexmark International Group, Inc. + .... 500 59,000
PE Corp-PE Biosystems Group ............ 300 18,000
Robotic Vision Systems, Inc. + ......... 1,500 22,406
Technitrol, Inc. ....................... 1,000 68,000
Tektronix, Inc. ........................ 1,300 75,237
Zomax Inc. + ........................... 600 28,388
------------
291,769
------------
FOOD AND BEVERAGE (0.2%)
Canandiagua Brands, Inc. + ............. 300 15,113
Pepsi Bottling Group, Inc. ............. 2,500 53,906
------------
69,019
------------
FOOD AND DRUG RETAIL (0.1%)
Sysco Corp. ............................ 1,500 56,438
------------
FOREST PRODUCTS AND BUILDING MATERIALS (0.5%)
Johns Manville Corporation ............. 5,100 53,231
Pope & Talbot, Inc. .................... 2,000 42,375
U.S. Can Corporation + ................. 1,000 18,375
USG Corp. .............................. 1,500 62,625
Westvaco Corp. ......................... 1,300 40,138
------------
216,744
------------
GAS UTILITIES (0.4%)
El Paso Energy Corp. ................... 300 12,750
Energen Corp. .......................... 1,000 18,313
Enron Corp. ............................ 1,200 83,625
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
UNITED STATES (CONTINUED)
GAS UTILITIES (CONTINUED)
KeySpan Energy Corp. ................... 1,000 $ 29,375
UGI Corporation ........................ 1,500 30,656
----------
174,719
----------
HEALTH SERVICES (0.1%)
Oxford Health Plans, Inc. + ............ 3,100 58,900
----------
HOUSING AND FURNISHINGS (0.1%)
Universal Electronics Inc. + ........... 500 10,250
Windmere-Durable Holdings, Inc. + ...... 700 11,244
----------
21,494
----------
INSURANCE (0.3%)
AMBAC, Inc. ............................ 700 33,600
Mony Group Inc. + ...................... 1,000 30,937
Penn Treaty American Corporation + ..... 2,400 36,450
RenaissanceRe Holdings Ltd. ............ 400 14,700
----------
115,687
----------
INVESTMENT SERVICES (0.7%)
Affiliated Managers Group, Inc. + ...... 500 20,063
Donaldson, Lufkin & Jenrette, Inc. ..... 700 29,181
Lehman Brothers Holdings Inc. .......... 1,100 90,269
Merrill Lynch & Co., Inc. .............. 300 30,581
Morgan Stanley Dean Witter & Co. ....... 1,200 92,100
Raymond James Financial, Inc. .......... 1,600 32,200
Tucker Anthony Sutro Corporation ....... 1,600 26,800
----------
321,194
----------
MAJOR TELECOMMUNICATIONS (0.2%)
Nextel Communications, Inc. + .......... 100 10,944
Sprint PCS + ........................... 1,300 71,500
----------
82,444
----------
OIL (1.1%)
Amerada Hess Corp. ..................... 1,700 108,163
Apache Corp. ........................... 2,830 137,078
Kerr-McGee Corp. ....................... 400 20,700
Ocean Energy, Inc. + ................... 2,900 37,519
Penn Virginia Corp. .................... 2,400 43,200
Phillips Petroleum Co. ................. 300 14,231
Ultramar Diamond Shamrock Corp. ........ 2,500 61,875
Vintage Petroleum, Inc. + .............. 2,000 39,750
----------
462,516
----------
OIL SERVICES (0.7%)
Atwood Oceanics, Inc. + ................ 400 24,250
Helmerich & Payne, Inc. ................ 2,000 62,625
Rowan Co., Inc. + ...................... 3,700 103,369
Tosco Corp. ............................ 3,300 105,806
Transocean Sedco Forex Inc. ............ 400 18,800
----------
314,850
----------
OTHER TELECOMMUNICATIONS (0.2%)
Aerial Communications, Inc. + .......... 600 26,512
LCC International, Inc. + .............. 1,000 24,437
Metricom, Inc. + ....................... 200 5,613
Powertel, Inc. + ....................... 200 13,450
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
LEGACY (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
UNITED STATES (CONTINUED)
OTHER TELECOMMUNICATIONS (CONTINUED)
Price Communications Corp. + ........... 700 $ 14,175
Telephone & Data Systems, Inc. ......... 100 10,200
----------
94,387
----------
PRINT MEDIA (0.2%)
Dow Jones & Co., Inc. .................. 500 32,437
New York Times Co. ..................... 900 37,069
----------
69,506
----------
PRODUCER GOODS (0.5%)
Commercial Metals Co. .................. 800 23,500
Dover Corp. ............................ 900 45,731
Millipore Corp. ........................ 700 50,181
Pall Corp. ............................. 2,000 44,625
United Stationers, Inc. + .............. 1,400 46,725
----------
210,762
----------
REAL ESTATE INVESTMENT TRUSTS (4.9%)
Alexandria Real Estate Equities, Inc. .. 600 19,200
AMB Property Corp. ..................... 1,500 33,094
Apartment Investment & Management Co. .. 1,900 75,525
Archstone Communities Trust ............ 1,500 32,438
Arden Realty Group, Inc. ............... 1,100 24,475
Avalon Bay Communities, Inc. ........... 1,168 45,698
Beacon Capital + > ..................... 2,300 40,940
Boston Properties, Inc. ................ 3,800 132,525
Brandywine Realty Trust ................ 1,000 17,375
BRE Properties, Inc. ................... 1,800 50,287
Capital Automotive REIT, Inc. .......... 1,600 22,300
CBL & Associates Properties, Inc. ...... 1,400 32,813
Colonial Properties Trust .............. 1,300 32,419
Developers Diversified Realty Corp. .... 5,400 82,012
Duke-Weeks Realty Corp. ................ 1,576 34,179
Eastgroup Properties, Inc. ............. 800 16,650
Equity Office Properties Trust ......... 4,500 122,344
Equity Residential Properties Trust .... 3,002 136,591
Essex Property Trust, Inc. ............. 500 19,313
First Industrial Realty Trust, Inc. .... 500 15,031
General Growth Properties, Inc. ........ 2,100 69,037
Glimcher Realty Trust .................. 1,800 24,750
Health Care Property Investors, Inc. ... 1,000 27,875
Healthcare Realty Trust, Inc. .......... 866 15,588
Highwood Properties, Inc. .............. 1,300 29,494
Home Properties of New York, Inc. ...... 1,100 30,800
Hospitality Properties Trust ........... 1,600 35,600
Kimco Realty Corp. ..................... 3,000 119,437
Koger Equity, Inc. ..................... 1,100 19,250
Liberty Property Trust ................. 1,200 29,700
Mack-Cali Realty Corp. ................. 1,000 25,750
National Golf Properties, Inc. ......... 300 5,738
Pacific Gulf Properties, Inc. .......... 500 10,750
Pan Pacific Retail Properties, Inc. .... 500 9,500
Parkway Properties, Inc. ............... 600 18,000
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- ----------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Post Properties, Inc. .................. 1,400 $ 58,800
Prentiss Properties Trust .............. 2,200 52,250
ProLogis Trust ......................... 4,400 86,625
PS Business Parks, Inc. ................ 1,800 40,050
Shurgard Storage Centers, Inc. ......... 300 7,856
Simon Property Group, Inc. ............. 3,300 83,737
SL Green Realty Corp. .................. 2,200 56,512
Spieker Properties, Inc. ............... 2,300 101,919
Starwood Hotels & Resort Worldwide, Inc. 1,000 28,438
Summit Properties Inc. ................. 2,000 39,875
Vornado Realty Trust ................... 1,900 65,560
Weingarten Realty Investors ............ 600 24,300
----------
2,102,400
----------
SEMICONDUCTORS AND ELECTRONICS (8.5%)
Adaptec, Inc. + ........................ 700 18,900
ADC Telecommunications, Inc. + ......... 1,100 66,825
Advanced Micro Devices Corp. + ......... 1,500 131,625
Altera Corp. + ......................... 500 51,125
Analog Devices, Inc. + ................. 1,300 99,856
Andrew Corp. + ......................... 1,600 47,100
Applied Materials, Inc. + .............. 2,700 274,894
Applied Micro Circuits Corp. + ......... 400 51,550
Arrow Electronics, Inc. + .............. 1,000 43,813
AVX Corp. .............................. 800 77,950
California Amplifier, Inc. + ........... 300 8,100
Cohu, Inc. ............................ 1,100 41,869
Comverse Technology, Inc. + ............ 1,100 98,106
Conexant Systems, Inc. + ............... 1,300 77,837
Credence Systems Corp. + ............... 500 71,375
Digital Lightwave, Inc. + .............. 400 27,400
Elantec Semiconductor, Inc. + .......... 1,000 40,500
Integrated Electric Services Inc. + .... 1,300 62,481
Intel Corp. ............................ 2,400 304,350
International Rectifier Corp. + ........ 600 29,475
KEMET Corp. + .......................... 900 67,050
KLA Instruments Corp. + ................ 2,400 179,700
Kopin Corporation + .................... 700 54,206
Lam Research Corporation + ............. 300 13,763
Linear Technology Corp. ................ 1,100 62,837
LSI Logic Corp. + ...................... 1,600 100,000
LTX Corporation + ...................... 1,200 54,900
MKS Instruments, Inc. + ................ 200 9,400
Molex, Inc. ............................ 1,050 57,684
National Semiconductor Corp. + ......... 1,900 115,425
Natural MicroSystems Corporation + ..... 700 45,588
Novellus Systems, Inc. + ............... 400 26,675
Photon Dynamics, Inc. + ................ 500 37,000
PMC Sierra Inc. + ...................... 200 38,375
Powerwave Technologies, Inc. + ......... 200 41,613
</TABLE>
24 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
QUALCOMM Inc. + ........................ 1,200 $ 130,125
RF Micro Devices, Inc. + ............... 200 20,813
SanDisk Corporation + .................. 300 27,488
Scientific-Atlanta, Inc. ............... 1,900 123,619
SDL, Inc. + ............................ 200 39,000
Silicon Storage Technology, Inc. + ..... 500 48,750
Solectron Corp. + ...................... 1,156 54,115
Teradyne, Inc. + ....................... 1,200 132,000
Texas Instruments, Inc. ................ 1,200 195,450
Three-Five Systems, Inc. + ............. 500 43,500
TriQuint Semiconductor, Inc. + ......... 500 51,406
Vishay Intertechnology, Inc. + ......... 1,100 92,262
Xilinx, Inc. + ......................... 2,100 153,825
-----------
3,641,700
-----------
SPECIALTY CHEMICALS (0.1%)
Gentek, Inc. ........................... 1,500 20,156
Georgia Gulf Corp. ..................... 1,500 36,094
-----------
56,250
-----------
SURFACE TRANSPORT (0.2%)
Arkansas Best Corp. + .................. 2,100 27,169
Roadway Express, Inc. .................. 300 7,050
Yellow Corp. + ......................... 1,800 34,312
-----------
68,531
-----------
TEXTILES AND APPAREL (0.1%)
Guess?, Inc. + ......................... 700 19,250
Liz Claiborne, Inc. .................... 900 41,681
-----------
60,931
-----------
TOTAL UNITED STATES COMMON STOCKS
(COST $11,657,992) 13,068,920
-----------
FOREIGN COMMON STOCKS (11.7%)
BRAZIL (0.1%)
Embratel Participacoes S.A. (Other
Telecommunications).................... 1,400 31,500
-----------
CANADA (0.5%)
Alcan Aluminum Ltd. (Aluminum) ......... 300 9,825
Nortel Networks Corp. (Semiconductors
and Electronics) ...................... 1,884 213,363
-----------
TOTAL CANADA 223,188
-----------
DENMARK (0.7%)
Novo-Nordisk A/S (Drugs) ............... 400 53,780
Tele Danmark A/S (Other
Telecommunications).................... 1,000 73,336
Vestas Wind Systems A/S
(Producer Goods) + .................... 500 167,451
-----------
TOTAL DENMARK 294,567
-----------
FINLAND (1.1%)
Comptel Oyj (Computer and Computer
Software Stores) + .................... 6,000 135,930
JOT Automation Group Oyj (Electrical
Machinery and Instruments) ............ 17,800 128,958
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
FINLAND (CONTINUED)
Nokia Corp., ADR (Semiconductors and
Electronics)........................... 2,800 $ 159,250
Perlos Oyj (Semiconductors and
Electronics) + ........................ 1,300 48,276
-----------
TOTAL FINLAND 472,414
-----------
FRANCE (1.1%)
Axa Financial, Inc. (Diversified
Financial Services) ................... 200 29,727
Genset (Biotech and Medical Products) .. 1,600 45,600
Lagardere Sca (Diversified Financial
Services).............................. 300 20,367
Schneider Electric SA (Electrical
Machinery and Instruments) ............ 800 52,491
Societe Television Francaise 1 (Major
Telecommunications).................... 100 68,621
Total Fina SA (Oil Services) ........... 437 66,466
Vivendi (Conglomerate and Aerospace) ... 1,827 181,146
-----------
TOTAL FRANCE 464,418
-----------
GERMANY (1.1%)
Buderus AG (Forest Products and Building
Materials)............................. 4,500 76,194
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) ................... 1,100 113,275
Infineon Technologies AG (Semiconductors
and Electronics) ...................... 500 34,629
Intershop Communications AG (Data and
Imaging Services) + ................... 400 178,068
Siemens AG (Electrical Machinery and
Instruments)........................... 600 88,742
-----------
TOTAL GERMANY 490,908
-----------
HONG KONG (0.2%)
China Telecom Ltd., ADR (Other
Telecommunications) + ................. 600 88,012
-----------
IRELAND (0.1%)
Allied Irish Banks Plc (Investment
Services).............................. 2,044 20,452
CRH Plc (Forest Products and Building
Materials)............................. 2,031 32,575
-----------
TOTAL IRELAND 53,027
-----------
ITALY (0.2%)
Banca del Nazionale Lavoro (Banks and
Thrifts) + ............................ 8,300 27,230
Tiscali S.p.A. (Major
Telecommunications) + ................. 1,000 53,721
-----------
TOTAL ITALY 80,951
-----------
JAPAN (2.0%)
Canon, Inc. (Semiconductors and
Electronics)........................... 2,000 91,418
Crayfish Co., Ltd. (Data and Imaging
Services) + ........................... 500 7,437
FamilyMart Co., Ltd. (Discretionary
Retail)................................ 1,800 65,954
Matsushita Electric Industrial Co., Ltd.
(Electrical Machinery and Instruments) 3,000 79,389
Minebea Co. Ltd. (Semiconductors and
Electronics)........................... 3,000 36,641
Murata Manufacturing Co., Ltd.
(Semiconductors and Electronics) ...... 1,000 194,310
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + .......... 2 66,805
Seino Transportation Co. Ltd. (Surface
Transport)............................. 12,000 54,962
</TABLE>
See Notes to Financial Statements. 25
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
LEGACY (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
JAPAN (CONTINUED)
Sekisui Chemical Co., Ltd. (Specialty
Chemicals)............................. 7,000 $ 25,649
Shin-Etsu Chemical Co., Ltd. (Specialty
Chemicals)............................. 1,000 52,834
Softbank Corp. (Semiconductors and
Electronics) + 600 148,045
Sony Corporation (Semiconductors and
Electronics)........................... 400 46,098
-----------
TOTAL JAPAN 869,542
-----------
MEXICO (0.1%)
Telefonos de Mexico SA, ADR (Other
Telecommunications) + ................. 800 47,050
-----------
NETHERLANDS (1.3%)
ING Groep NV (Diversified Financial
Services).............................. 1,053 57,595
Koninklijke KPN NV (Major
Telecommunications).................... 600 60,611
Philips Electronics NV (Heavy Machinery) 3,200 143,096
Royal Dutch Petroleum Co. (Oil) ........ 300 17,213
STMicroelectronics (Semiconductors and
Electronics)........................... 600 114,769
United Pan-Europe Communications N.V.
(Other Telecommunications) + .......... 2,400 87,550
VNU UV (Print Media) ................... 1,200 64,356
-----------
TOTAL NETHERLANDS 545,190
-----------
SPAIN (0.4%)
Telefonica Publicidad e Informacion,
S.A. (Consumer Services) + ............ 1,900 75,319
Telefonica SA
(Major Telecommunications) + .......... 3,366 75,091
-----------
TOTAL SPAIN 150,410
-----------
SWEDEN (0.9%)
Ericsson, ADR (Semiconductors and
Electronics)........................... 1,600 141,500
HiQ International AB
(Data and Imaging Services) + ......... 600 59,310
Information Highway AB (Computers) + ... 6,300 64,738
Telelogic AB
(Major Telecommunications) + .......... 14,000 106,333
-----------
TOTAL SWEDEN 371,881
-----------
SWITZERLAND (0.4%)
Fantastic Corp. (Data and Imaging
Services) + ........................... 1,500 27,612
Gretag Imaging Group (Biotech and
Medical Products) + ................... 200 40,280
Logitech International S.A. (Computer
and Computer Software Stores) + ....... 100 66,144
The Swatch Group AG (Consumer
Specialties)........................... 50 53,706
-----------
TOTAL SWITZERLAND 187,742
-----------
UNITED KINGDOM (1.5%)
British Telecom Plc (Other
Telecommunications).................... 5,006 90,162
Cable & Wireless Plc
(Other Telecommunications) + .......... 3,511 58,402
Celltech Group Plc (Drugs) + ........... 1,200 19,754
Granada Group Plc (Electronic Media) + . 41 402
Lloyds Tsd Grp (Insurance) ............. 4,000 39,308
Prudential Plc (Insurance) ............. 2,700 41,658
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Shire Pharmaceuticals Group Plc (Drugs)
+...................................... 1,412 $ 56,833
Viatel, Inc. (Other Telecommunications)
+...................................... 3,900 149,175
Vodafone Group Plc (Other
Telecommunications).................... 18,334 84,489
WPP Group Plc (Commercial Services) .... 6,100 98,698
-----------
TOTAL UNITED KINGDOM 638,881
-----------
TOTAL FOREIGN COMMON STOCKS
(COST $3,766,788) 5,009,681
-----------
TOTAL COMMON STOCKS (COST $15,424,780) 18,078,601
-----------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (35.7%)
CORPORATE BONDS (9.9%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ...... $ 40,000 39,600
Allstate Corp., 7.88%, 05/01/05 ........ 25,000 24,873
AT&T Capital Corp., 6.75%, 02/04/02 .... 100,000 98,696
Bank of America Corp., 5.75%, 03/01/04 . 30,000 28,131
Capital Auto Receivables Asset
Trust, 6.30%, 05/15/04................. 275,000 272,755
Capital One Bank, 6.66%, 06/19/00 ...... 300,000 299,871
Chemical Master Credit Card
Trust, 7.09%, 02/15/09................. 145,000 142,597
Citigroup Inc., 6.20%, 03/15/09 ........ 20,000 18,214
Conoco Inc., 5.90%, 04/15/04 ........... 95,000 89,865
DaimlerChrysler NA Holdings
Inc., 7.20%, 09/01/09.................. 166,000 159,660
Diageo Capital Plc, 7.25%, 11/01/09 .... 100,000 98,794
Duke Energy Corp., 7.38%, 03/01/10 ..... 50,000 49,313
Eastman Kodak Co., 6.50%, 08/15/01 ..... 80,000 79,069
First Union National Bank, 7.88%, 02/15/10 35,000 34,712
Ford Motor Credit Corp., 7.38%, 10/28/09 150,000 144,993
Ford Motor Credit Corp., 7.50%, 03/15/05 100,000 98,910
General Electric Capital
Corp., 6.81%, 11/03/03................. 120,000 117,991
General Motors Acceptance
Corp., 7.75%, 01/19/10................. 60,000 59,254
GTE California Inc., 7.65%, 03/15/07 ... 65,000 64,678
GTE Corp., 9.38%, 12/01/00 ............. 200,000 202,626
Honeywell International, 7.50%, 03/01/10 120,000 119,550
Household Finance Corp., 5.88%, 09/25/04 150,000 139,699
Household Finance Corp., 7.88%, 03/01/07 45,000 44,535
Lockheed Martin Corp., 8.50%, 12/01/29 . 95,000 92,923
MBNA Master Credit Card
Trust, 6.40%, 01/18/05................. 300,000 294,750
MCI WorldCom, Inc., 6.95%, 08/15/28 .... 66,000 58,202
Mellon Bank NA, 7.63%, 09/15/07 ........ 40,000 39,540
Morgan Stanley Dean Witter &
Co., 7.13%, 01/15/03................... 75,000 74,176
Morgan Stanley Dean Witter &
Co., 5.63%, 01/20/04................... 35,000 32,818
National Australia Bank, 6.40%, 12/10/07 300,000 272,970
National Rural Utilities, 5.50%, 01/15/05 115,000 105,787
Norwest Financial, Inc., 5.38%, 09/30/03 150,000 140,857
Pepsi Bottling Holdings
Inc., 5.38%, 02/17/04.................. 90,000 83,740
Raytheon Co., 8.30%, 03/01/10 .......... 40,000 39,440
</TABLE>
26 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Sempra Energy, 7.95%, 03/01/10 ......... $ 50,000 $ 50,413
Time Warner Inc., 8.11%, 08/15/06 ...... 65,000 65,298
Tyco International Group
SA, 6.13%, 01/15/09.................... 160,000 140,704
U.S. West Communications
Group, 5.63%, 11/15/08 ................ 90,000 77,053
Vodafone Airtouch Plc, 7.63%, 02/15/05 . 60,000 59,775
Vodafone Airtouch Plc, 7.75%, 02/15/10 . 55,000 55,083
-----------
TOTAL CORPORATE BONDS (COST $4,379,221) 4,257,710
-----------
FOREIGN OBLIGATIONS (0.4%)
Ontario (Province of), 6.00%, 02/21/06 . 45,000 41,917
Quebec Province Co., 5.75%, 02/15/09 ... 100,000 88,599
Quebec Province Co., 7.50%, 09/15/29 ... 40,000 39,114
-----------
TOTAL FOREIGN OBLIGATIONS (COST $175,513) 169,630
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (14.5%)
Federal Home Loan Mortgage
Corp., 7.50%, 06/15/30 # .............. 625,000 612,206
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/29 # .............. 460,000 459,926
Federal National Mortgage
Association, 5.75%, 03/15/09........... 854,000 766,995
Federal National Mortgage
Association, 6.00%, 06/01/28........... 273,838 248,166
Federal National Mortgage
Association, 6.00%, 12/01/28........... 184,274 166,998
Federal National Mortgage
Association, 6.50%, 08/01/28........... 368,846 344,528
Federal National Mortgage
Association, 6.63%, 09/15/09........... 815,000 776,923
Federal National Mortgage Association -
Conventional Loan, 6.50%, 02/01/28 .... 343,278 320,965
Government National Mortgage
Association, 6.50%, 02/15/26........... 186,838 175,570
Government National Mortgage
Association, 6.50%, 01/15/29........... 767,945 719,227
Government National Mortgage
Association, 6.50%, 02/15/29........... 296,285 277,489
Government National Mortgage
Association, 7.00%, 04/15/27........... 359,637 346,151
Government National Mortgage
Association, 7.00%, 02/15/28........... 192,907 185,551
Government National Mortgage
Association, 7.00%, 02/15/28........... 278,094 267,490
Government National Mortgage
Association, 7.50%, 12/15/23........... 456,418 450,572
Government National Mortgage
Association, 8.00%, 07/15/24........... 97,817 98,184
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED 6,216,941
SECURITIES (COST $6,472,601) -----------
U.S. GOVERNMENT OBLIGATIONS (10.9%)
U.S. Treasury Note, 5.25%, 08/15/03 .... 870,000 835,879
U.S. Treasury Note, 5.25%, 02/15/29 .... 175,000 153,727
U.S. Treasury Note, 5.50%, 03/31/03 .... 1,335,000 1,295,364
U.S. Treasury Note, 5.63%, 09/30/01 .... 20,000 19,712
U.S. Treasury Note, 5.88%, 11/15/04 .... 717,000 698,064
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -----------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (CONTINUED)
U.S. Treasury Note, 6.00%, 08/15/04 .... $ 190,000 $ 186,021
U.S. Treasury Note, 6.00%, 08/15/09 .... 1,343,000 1,311,936
U.S. Treasury Note, 6.50%, 08/15/05 .... 110,000 109,691
U.S. Treasury Note, 7.50%, 02/15/05 .... 55,000 57,020
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $4,737,229) 4,667,414
-----------
TOTAL LONG-TERM BONDS AND NOTES
(COST $15,764,564) 15,311,695
-----------
SHORT-TERM INVESTMENTS (28.0%)
CVS Corp., 6.15%, 05/17/00 * ........... 1,800,000 1,795,080
Dakota Cert Cccmt, 6.00%, 05/02/00 ++ .. 1,800,000 1,799,700
Federal Farm Credit Bank, 5.88%, 05/01/00 2,026,000 2,026,000
MCI Worldcom Inc., 6.08%, 05/08/00 ++ .. 1,700,000 1,697,990
Sears Roebuck Acceptance, 6.15%, 05/19/00 1,500,000 1,495,388
U.S. Treasury Bill, 5.57%, 05/18/00 @... 1,300,000 1,296,596
Wheels Inc., 6.20%, 05/15/00 > ......... 1,900,000 1,895,419
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $12,006,173) 12,006,173
-----------
TOTAL INVESTMENTS (COST $43,195,517)(a) 45,396,469
OTHER ASSETS LESS LIABILITIES (2,521,658)
-----------
TOTAL NET ASSETS $42,874,811
===========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$43,494,085. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
Unrealized gains............................ $ 3,142,997
Unrealized losses........................... (1,240,613)
-----------
Net unrealized gain........................ $ 1,902,384
===========
</TABLE>
See Notes to Portfolio of Investments. 27
<PAGE>
GENERATION FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
LEGACY (CONTINUED)
--------------------------------------------------------------------------------
Notes to Portfolio of Investments (continued)
Information concerning open future 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.. 2 $ 509,000 Jun 00 $ (94,100)
Swiss Bond 10 Yr............ 4 267,783 Jun 00 (5,161)
CAC 40 Index Futures........ 4 234,259 Jun 00 7,108
FTSE 100 Index Futures...... 2 199,809 Jun 00 (6,040)
LT Euro Bond................ 4 382,855 Jun 00 5,468
TOPIX Index Futures......... 3 460,097 Jun 00 (18,229)
---------- ---------
$2,053,803 $(110,954)
========== =========
</TABLE>
+ Non-income producing security.
> Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at April 30, 2000.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 2000.
# When-issued or delayed delivery security.
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 $ 34,650
Wheels Inc................................ 4/12/00 1,895,419
----------
$1,930,069
==========
</TABLE>
The market value of the total illiquid securities above is $1,936,359 which
represents 4.52% of the total net assets.
Category percentages are based on net assets.
28 See Notes to Financial Statements.
<PAGE>
GENERATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments, at market value $71,793,415 $89,150,831 $45,396,469
Cash ........................ 283 592 507
Foreign currency ............ 64,021 5,907 30,286
Receivable for:
Dividends and interest ..... 99,950 255,146 174,373
Investments sold ........... 889,671 811,212 348,820
Fund shares sold ........... 93,917 399,388 54,280
Recoverable foreign taxes .. 7,276 6,927 3,284
Variation margin ........... 71,911 68,591 25,252
Reimbursement from
Investment Adviser ........ 6,205 11,989 9,836
Prepaid expenses ............ 330 341 198
Gross unrealized gain on
forward foreign currency
exchange contracts ......... 8,207 7,567 3,808
----------- ----------- -----------
Total assets ........... 73,035,186 90,718,491 46,047,113
----------- ----------- -----------
LIABILITIES:
Payable for:
Investments purchased ...... 3,015,900 5,633,410 3,082,958
Fund shares redeemed ....... 16,024 24,836 11,117
Other liabilities ........... 109,744 120,231 77,787
Gross unrealized loss on
forward foreign currency
exchange contracts ......... 2,050 1,451 440
----------- ----------- -----------
Total liabilities ...... 3,143,718 5,779,928 3,172,302
----------- ----------- -----------
NET ASSETS ............ $69,891,468 $84,938,563 $42,874,811
=========== =========== ===========
NET ASSETS REPRESENTED BY:
Paid-in capital ............. $63,222,350 $79,978,864 $40,603,728
Net unrealized gain on
investments, open futures
contracts and foreign
currency related
transactions................ 6,677,686 6,356,271 2,098,547
Undistributed net investment
income...................... 344,485 624,560 493,153
Accumulated net realized loss
on investments ............. (353,053) (2,021,132) (320,617)
----------- ----------- -----------
NET ASSETS ............. $69,891,468 $84,938,563 $42,874,811
=========== =========== ===========
Cost of investments ......... $64,873,155 $82,616,126 $43,195,517
Cost of foreign currency .... $ 70,666 $ 6,316 $ 31,197
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
GENERATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
----------- ----------- -----------
<S> <C> <C> <C>
CAPITAL SHARES, $.001 PAR VALUE:
Class I:
Outstanding ................ 3,561,727 4,424,243 2,535,475
Net Assets ................. $43,827,841 $52,651,897 $26,971,550
Net Asset Value, offering
and redemption price per
share (net assets divided by
shares outstanding) ....... $ 12.30 $ 11.90 $ 10.64
Class A:
Outstanding ................ 1,892,089 2,712,517 1,468,845
Net Assets ................. $23,122,935 $32,014,604 $15,491,547
Net Asset Value and
redemption price per share
(net assets divided by
shares outstanding) ....... $ 12.22 $ 11.80 $ 10.55
Offering price (net asset
value divided by 1 minus
maximum sales load) ....... $ 12.97 $ 12.52 $ 11.19
Class B:
Outstanding ................ 10,955 9,182 11,815
Net Assets ................. $ 134,332 $ 108,841 $ 125,163
Net Asset Value, offering
and redemption price per
share (net assets divided by
shares outstanding) ....... $ 12.26 $ 11.85 $ 10.59
Class C:
Outstanding ................ 229,570 13,762 27,146
Net Assets ................. $ 2,806,360 $ 163,221 $ 286,551
Net Asset Value, offering
and redemption price per
share (net assets divided by
shares outstanding) ....... $ 12.22 $ 11.86 $ 10.56
</TABLE>
30 See Notes to Financial Statements.
<PAGE>
GENERATION FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
---------- ----------- ----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ........................... $ 434,514 $ 373,476 $ 141,524
Interest ............................ 544,511 981,988 763,965
---------- ----------- ----------
979,025 1,355,464 905,489
Foreign taxes withheld on dividends.. (6,002) (5,076) (1,838)
---------- ----------- ----------
Total investment income ........ 973,023 1,350,388 903,651
---------- ----------- ----------
INVESTMENT EXPENSES:
Investment advisory fees ............ 266,124 300,343 156,622
Administrative services fees ........ 33,265 37,543 19,578
Distribution plan fees - Class A .... 26,054 34,226 17,472
Distribution plan fees - Class B .... 454 400 461
Distribution plan fees - Class C .... 10,331 495 1,171
Shareholder services fees - Class B . 151 133 153
Shareholder services fees - Class C . 3,444 165 390
Printing and postage ................ 4,195 4,273 2,725
Custody fees ........................ 39,970 42,968 31,046
Transfer agent fees ................. 15,629 12,880 12,798
Audit fees .......................... 11,810 11,841 11,672
Directors' fees ..................... 954 1,012 536
Registration fees ................... 5,403 7,918 6,358
Miscellaneous expenses .............. 2,156 2,321 1,240
---------- ----------- ----------
Expenses before reimbursement and
waiver from Investment Adviser ..... 419,940 456,518 262,222
Expense reimbursement and waiver from
Investment Adviser ................. (46,115) (63,908) (65,998)
---------- ----------- ----------
Net investment expenses ........ 373,825 392,610 196,224
---------- ----------- ----------
Net investment income ............... 599,198 957,778 707,427
---------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ........................ (617,114) (2,190,306) (448,574)
Options Written .................... 74,728 56,913 38,426
Futures and forward foreign currency
exchange contracts ................ 343,321 255,177 166,572
Foreign currency related
transactions....................... (34,171) (28,095) (4,165)
---------- ----------- ----------
Net realized loss on investments (233,236) (1,906,311) (247,741)
---------- ----------- ----------
Net change in unrealized gain or loss on:
Investments ........................ 6,615,579 6,877,770 2,279,996
Futures and forward foreign currency
exchange contracts ................ (214,105) (180,618) (114,199)
Foreign currency related
transactions....................... 3,594 11,968 5,449
---------- ----------- ----------
Net change in unrealized gain or
loss on investments ........... 6,405,068 6,709,120 2,171,246
---------- ----------- ----------
Net realized and change in unrealized
gain or loss on investments ........ 6,171,832 4,802,809 1,923,505
---------- ----------- ----------
Net increase in net assets resulting
from operations .................... $6,771,030 $ 5,760,587 $2,630,932
========== =========== ==========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 599,198 $ 918,077
Net realized gain (loss) on investments.... (233,236) 4,374,863
Net change in unrealized gain or loss on
investments............................... 6,405,068 749,895
----------- ------------
Net increase in net assets resulting from
operations............................... 6,771,030 6,042,835
----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (717,932) (616,986)
From net realized gains................... (2,924,870) (1,057,935)
Class A:
From net investment income................ (301,955) (56,893)
From net realized gains................... (1,336,475) (103,034)
Class B:
From net investment income................ (1,136) --
From net realized gains................... (8,502) --
Class C:
From net investment income................ (27,407) (1,622)
From net realized gains................... (193,511) (3,811)
----------- ------------
Decrease in net assets from distributions
to shareholders.......................... (5,511,788) (1,840,281)
----------- ------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 5,184,817 11,312,262
Net asset value of shares issued upon
reinvestment of distributions............ 3,638,077 1,672,894
Payments for shares redeemed.............. (7,768,240) (12,558,349)
Class A:
Proceeds from shares sold................. 6,876,079 15,254,404
Net asset value of shares issued upon
reinvestment of distributions............ 1,638,315 159,927
Payments for shares redeemed.............. (2,007,659) (2,023,252)
Class B:
Proceeds from shares sold................. 16,214 107,822
Net asset value of shares issued upon
reinvestment of distributions............ 677 --
Class C:
Proceeds from shares sold................. 119,409 2,575,574
Net asset value of shares issued upon
reinvestment of distributions............ 220,919 1,886
Payments for shares redeemed.............. (215,452) (187,210)
----------- ------------
Net increase in net assets from fund share
transactions............................. 7,703,156 16,315,958
----------- ------------
Net change in net assets................... 8,962,398 20,518,512
NET ASSETS:
Beginning of period........................ 60,929,070 40,410,558
----------- ------------
End of period.............................. $69,891,468 $ 60,929,070
=========== ============
End of period net assets includes
undistributed net investment income....... $ 344,485 $ 793,717
=========== ============
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 420,699 951,283
Number of shares issued upon reinvestment
of distributions......................... 316,906 146,617
Number of shares redeemed................. (630,537) (1,054,715)
----------- ------------
Net increase.............................. 107,068 43,185
=========== ============
Class A:
Number of shares sold..................... 564,943 1,300,882
Number of shares issued upon reinvestment
of distributions......................... 143,586 14,078
Number of shares redeemed................. (163,988) (171,727)
----------- ------------
Net increase.............................. 544,541 1,143,233
=========== ============
Class B:
Number of shares sold..................... 1,318 9,578
Number of shares issued upon reinvestment
of distributions......................... 59 --
----------- ------------
Net increase.............................. 1,377 9,578
=========== ============
Class C:
Number of shares sold..................... 9,976 221,902
Number of shares issued upon reinvestment
of distributions......................... 19,294 165
Number of shares redeemed................. (17,939) (15,778)
----------- ------------
Net increase.............................. 11,331 206,289
=========== ============
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CROSSROADS
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 957,778 $ 1,208,354
Net realized gain (loss) on investments.... (1,906,311) 2,948,995
Net change in unrealized gain or loss on
investments............................... 6,709,120 251,689
------------ ------------
Net increase in net assets resulting from
operations............................... 5,760,587 4,409,038
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (1,131,065) (705,179)
From net realized gains................... (2,087,125) (816,288)
Class A:
From net investment income................ (410,723) (65,730)
From net realized gains................... (802,920) (79,579)
Class B:
From net investment income................ (1,727) --
From net realized gains................... (4,830) --
Class C:
From net investment income................ (1,442) (3,022)
From net realized gains................... (5,112) (4,365)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (4,444,944) (1,674,163)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 10,368,866 19,399,453
Net asset value of shares issued upon
reinvestment of distributions............ 3,218,190 1,521,467
Payments for shares redeemed.............. (10,096,418) (12,557,870)
Class A:
Proceeds from shares sold................. 19,757,558 15,537,698
Net asset value of shares issued upon
reinvestment of distributions............ 1,213,593 145,122
Payments for shares redeemed.............. (4,936,244) (2,663,879)
Class B:
Proceeds from shares sold................. 1,921 100,000
Net asset value of shares issued upon
reinvestment of distributions............ 31 --
Class C:
Proceeds from shares sold................. 49,693 77,647
Net asset value of shares issued upon
reinvestment of distributions............ 6,224 4,090
Payments for shares redeemed.............. (22,032) (121,295)
------------ ------------
Net increase in net assets from fund share
transactions............................. 19,561,382 21,442,433
------------ ------------
Net change in net assets................... 20,877,025 24,177,308
NET ASSETS:
Beginning of period........................ 64,061,538 39,884,230
------------ ------------
End of period.............................. $ 84,938,563 $ 64,061,538
============ ============
End of period net assets includes
undistributed net investment income....... $ 624,560 $ 1,211,739
============ ============
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
CROSSROADS
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 874,814 1,672,356
Number of shares issued upon reinvestment
of distributions......................... 285,300 135,121
Number of shares redeemed................. (853,578) (1,085,184)
------------ ------------
Net increase.............................. 306,536 722,293
============ ============
Class A:
Number of shares sold..................... 1,706,033 1,344,375
Number of shares issued upon reinvestment
of distributions......................... 108,454 12,969
Number of shares redeemed................. (420,607) (229,882)
------------ ------------
Net increase.............................. 1,393,880 1,127,462
============ ============
Class B:
Number of shares sold..................... 162 9,017
Number of shares issued upon reinvestment
of distributions......................... 3 --
------------ ------------
Net increase.............................. 165 9,017
============ ============
Class C:
Number of shares sold..................... 4,122 6,823
Number of shares issued upon reinvestment
of distributions......................... 552 364
Number of shares redeemed................. (1,836) (10,610)
------------ ------------
Net increase (decrease)................... 2,838 (3,423)
============ ============
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
GENERATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LEGACY
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 707,427 $ 962,166
Net realized gain (loss) on investments.... (247,741) 1,121,222
Net change in unrealized gain or loss on
investments............................... 2,171,246 22,808
----------- -----------
Net increase in net assets resulting from
operations............................... 2,630,932 2,106,196
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (669,406) (507,672)
From net realized gains................... (768,976) (492,687)
Class A:
From net investment income................ (348,569) (68,465)
From net realized gains................... (420,416) (68,973)
Class B:
From net investment income................ (2,510) --
From net realized gains................... (4,005) --
Class C:
From net investment income................ (6,979) (5,126)
From net realized gains................... (11,251) (5,806)
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (2,232,112) (1,148,729)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 5,786,336 9,029,462
Net asset value of shares issued upon
reinvestment of distributions............ 1,437,775 999,942
Payments for shares redeemed.............. (4,600,389) (9,065,607)
Class A:
Proceeds from shares sold................. 6,455,737 10,488,925
Net asset value of shares issued upon
reinvestment of distributions............ 768,985 137,247
Payments for shares redeemed.............. (2,258,997) (2,223,171)
Class B:
Proceeds from shares sold................. 414 118,744
Net asset value of shares issued upon
reinvestment of distributions............ 981 --
Class C:
Proceeds from shares sold................. 33,966 223,129
Net asset value of shares issued upon
reinvestment of distributions............ 15,562 6,720
Payments for shares redeemed.............. (69,075) (103,010)
----------- -----------
Net increase in net assets from fund share
transactions............................. 7,571,295 9,612,381
----------- -----------
Net change in net assets................... 7,970,115 10,569,848
NET ASSETS:
Beginning of period........................ 34,904,696 24,334,848
----------- -----------
End of period.............................. $42,874,811 $34,904,696
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 493,153 $ 813,190
=========== ===========
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LEGACY
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 547,629 865,549
Number of shares issued upon reinvestment
of distributions......................... 141,652 97,938
Number of shares redeemed................. (435,312) (870,781)
----------- -----------
Net increase.............................. 253,969 92,706
=========== ===========
Class A:
Number of shares sold..................... 619,414 1,012,224
Number of shares issued upon reinvestment
of distributions......................... 76,364 13,535
Number of shares redeemed................. (216,588) (214,733)
----------- -----------
Net increase.............................. 479,190 811,026
=========== ===========
Class B:
Number of shares sold..................... 39 11,679
Number of shares issued upon reinvestment
of distributions......................... 97 --
----------- -----------
Net increase.............................. 136 11,679
=========== ===========
Class C:
Number of shares sold..................... 3,114 21,618
Number of shares issued upon reinvestment
of distributions......................... 1,539 660
Number of shares redeemed................. (6,564) (9,994)
----------- -----------
Net increase (decrease)................... (1,911) 12,284
=========== ===========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
GENERATION 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
Ascent Fund (Ascent), Aetna Crossroads Fund (Crossroads) and Aetna Legacy Fund
(Legacy).
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 of each Fund 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>
January 4, 1995 January 20, 1997 March 1, 1999 June 30, 1998
</TABLE>
The following is each Fund's investment objective:
ASCENT seeks to provide capital appreciation.
CROSSROADS seeks to provide total return (i.e., income and capital
appreciation, both realized and unrealized).
LEGACY seeks to provide total return consistent with preservation of capital.
Aeltus Investment Management, Inc., (Aeltus) serves as the investment adviser to
each Fund. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly owned subsidiaries of Aetna Inc. (Aetna).
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of the Funds have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Actual results could differ from these estimates.
38
<PAGE>
--------------------------------------------------------------------------------
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. 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 financial futures and forward foreign currency
exchange contracts may arise from an imperfect correlation between the change in
market value of the securities held by the Funds and the price of the contracts.
Risks may also arise from an illiquid secondary market or from the inability of
counterparties to meet the terms of the contracts.
Realized and unrealized gains or losses on financial futures and forward foreign
currency exchange contracts are reflected in the accompanying financial
statements. The amounts at risk under such futures and forward foreign currency
exchange contracts may exceed the amounts reflected in the financial statements.
The notional amounts (economic exposure) of these contracts are disclosed in the
Portfolios of Investments and elsewhere in the Notes to Financial Statements.
For federal income tax purposes, any futures and forward foreign currency
exchange contracts which remain open at the end of the fiscal year are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
39
<PAGE>
GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
C. ILLIQUID AND RESTRICTED SECURITIES
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are those sold under Rule 144A of the
Securities Act of 1933 (1933 Act) or are securities offered pursuant to section
4(2) of the 1933 Act, and are subject to legal or contractual restrictions on
resale and may not be publicly sold without registration under the 1933 Act.
Illiquid and restricted securities are valued using market quotations when
readily available. In the absence of market quotations, the securities are
valued based upon their 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.
D. DELAYED DELIVERY TRANSACTIONS
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' Portfolio of Investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract. 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.
E. 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.
F. DISTRIBUTIONS
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for 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.
G. LINE OF CREDIT
Certain series of the Company (including the Funds), 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.
40
<PAGE>
H. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICE AND DISTRIBUTION FEES
Each Fund paid Aeltus an investment advisory fee at an annual rate of 0.80% of
each Fund's average daily net assets. As each Fund's net assets exceed
predetermined thresholds, lower advisory fees apply.
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 of 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 $230,343.
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 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 in connection with Class A, Class B and Class C shares and service fees
incurred in connection with Class B and Class C shares.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 2000 to reimburse each
Fund for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase a Fund's total return. Reimbursement and waiver arrangements will
increase a Fund's yield and total return. Actual expenses for the year ended
April 30, 2000 were at contractual limits. Actual expense ratios are included in
the Financial Highlights.
41
<PAGE>
GENERATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
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>
Ascent $63,387,961 $68,564,284
Crossroads 78,247,889 65,779,331
Legacy 24,910,742 23,813,518
</TABLE>
6. OPTIONS
All Funds may invest in options. For the period ended April 30, 2000, the
following reflects the written put activity:
<TABLE>
<CAPTION>
PUT OPTIONS WRITTEN
----------------------------------------------
NUMBER OF PREMIUM REALIZED
ASCENT CONTRACTS RECEIVED GAIN (LOSS)
----------------------------------------------
<S> <C> <C> <C>
Outstanding October 31, 1999 -- $ -- $ --
Written 54 103,788 --
Closed (20) (38,440) 9,380
Expired (34) (65,348) 65,348
----------------------------------------------
Outstanding April 30, 2000 -- $ -- $74,728
----------------------------------------------
<CAPTION>
PUT OPTIONS WRITTEN
----------------------------------------------
NUMBER OF PREMIUM REALIZED
CROSSROADS CONTRACTS RECEIVED GAIN (LOSS)
----------------------------------------------
<S> <C> <C> <C>
Outstanding October 31, 1999 -- $ -- $ --
Written 39 74,958 --
Closed (15) (28,830) 10,785
Expired (24) (46,128) 46,128
----------------------------------------------
Outstanding April 30, 2000 -- $ -- $56,913
----------------------------------------------
<CAPTION>
PUT OPTIONS WRITTEN
----------------------------------------------
NUMBER OF PREMIUM REALIZED
LEGACY CONTRACTS RECEIVED GAIN (LOSS)
----------------------------------------------
<S> <C> <C> <C>
Outstanding October 31, 1999 -- $ -- $ --
Written 25 48,050 --
Closed (8) (15,376) 5,752
Expired (17) (32,674) 32,674
----------------------------------------------
Outstanding April 30, 2000 -- $ -- $38,426
----------------------------------------------
</TABLE>
42
<PAGE>
7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of April 30, 2000 the Funds had the following open foreign currency exchange
contracts that obligate the Funds to deliver currencies at specified future
dates. Ascent, Crossroads and Legacy had net unrealized gains of $6,157, $6,116
and $3,368 respectively, on these contracts, which are included in the
accompanying financial statements. The terms of the open contracts are as
follows:
<TABLE>
<CAPTION>
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECIEVER/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------- --- -------- -----------
ASCENT
------
<S> <C> <C> <C> <C> <C> <C>
5/18/00 Buy HKD 170,000 $ 21,684 $ 21,822 $ 138
5/18/00 Sell HKD 170,000 21,671 21,822 (151)
5/30/00 Sell JPY 12,170,000 111,304 113,203 (1,899)
5/30/00 Sell JPY 11,219,375 105,366 104,361 1,005
7/17/00 Sell JPY 32,412,500 311,060 303,996 7,064
-------
$ 6,157
=======
CROSSROADS
----------
5/18/00 Buy HKD 140,000 $ 17,858 $ 17,971 $ 113
5/18/00 Sell HKD 140,000 17,847 17,971 (124)
5/30/00 Sell JPY 8,500,000 77,739 79,066 (1,327)
7/17/00 Sell EURO 34,197,500 328,192 320,738 7,454
-------
$ 6,116
=======
LEGACY
------
5/1/00 Sell JPY 2,860,000 $ 26,885 $ 26,854 $ 31
5/30/00 Sell JPY 2,820,000 25,791 26,231 (440)
7/17/00 Sell JPY 17,332,950 166,342 162,565 3,777
-------
$ 3,368
=======
</TABLE>
8. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 14.8 billion shares. Of those 14.8
billion, 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>
Ascent 2,900,419 -- 8,921 --
Crossroads 3,412,558 -- 9,017 --
Legacy 1,798,860 -- 9,921 --
</TABLE>
43
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS
ASCENT
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 4, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 1998 1997 1996 TO OCTOBER 31, 1995
----------------------------------- -------------- ---------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.14 $ 11.14 $ 14.48 $ 12.57 $ 11.67 $ 10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.09 0.22+ 0.24+ 0.21+ 0.21+ 0.25+
Net realized and change in
unrealized gain or loss on
investments........................ 1.18 1.27 (0.41) 2.92 2.04 1.42
------- ------- ------- ------- ------- -------
Total income from investment
operations....................... 1.27 1.49 (0.17) 3.13 2.25 1.67
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......... (0.22) (0.18) (0.41) (0.25) (0.38) --
From net realized gains on
investments........................ (0.89) (0.31) (2.76) (0.97) (0.97) --
------- ------- ------- ------- ------- -------
Total distributions .............. (1.11) (0.49) (3.17) (1.22) (1.35) --
------- ------- ------- ------- ------- -------
Net asset value, end of period ...... $ 12.30 $ 12.14 $ 11.14 $ 14.48 $ 12.57 $ 11.67
======= ======= ======= ======= ======= =======
Total return ........................ 11.06% 13.66% (1.90)% 26.59% 20.94% 16.70%
Net assets, end of period (000's) ... $43,828 $41,936 $38,012 $27,359 $25,752 $20,433
Ratio of net investment expenses to
average net assets ................. 1.00%(1) 1.20% 1.24% 1.52% 1.73% 1.38%(1)
Ratio of net investment income to
average net assets ................. 1.92%(1) 1.86% 2.00% 1.53% 1.69% 2.80%(1)
Ratio of expenses before
reimbursement and waiver to average
net assets ......................... 1.14%(1) 1.26% 1.43% 1.61% -- --
Portfolio turnover rate ............. 118.42% 131.62% 105.08% 162.80% 104.84% 164.09%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
44 See Notes to Financial Statements.
<PAGE>
ASCENT
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 20,1997
PERIOD ENDED YEAR ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1999 1998 TO OCTOBER 31, 1997
---------------------- -------------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period.. $ 12.06 $ 11.09 $ 14.42 $ 12.50
------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.17 0.19+ 0.20+ 0.15+
Net realized and
change in unrealized
gain or loss on
investments......... 1.08 1.26 (0.40) 1.77
------- ------- ------- -------
Total income from
investment
operations........ 1.25 1.45 (0.20) 1.92
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income.............. (0.20) (0.17) (0.37) --
From net realized
gains on investments (0.89) (0.31) (2.76) --
------- ------- ------- -------
Total distributions (1.09) (0.48) (3.13) --
------- ------- ------- -------
Net asset value, end
of period ........... $ 12.22 $ 12.06 $ 11.09 $ 14.42
======= ======= ======= =======
Total return ......... 10.97% 13.35% (2.17)% 15.36%
Net assets, end of
period (000's) ...... $23,123 $16,252 $ 2,266 $ 886
Ratio of net
investment expenses
to average net assets 1.25%(1) 1.45% 1.53% 2.08%(1)
Ratio of net
investment income to
average net assets .. 1.67%(1) 1.61% 1.71% 1.11%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... 1.39%(1) 1.51% 1.72% 2.35%(1)
Portfolio turnover
rate................. 118.42% 131.62% 105.08% 162.80%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 45
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
ASCENT
--------------------------------------------------------------------------------
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 ... $ 12.06 $ 11.21
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.06 0.07+
Net realized and change in unrealized
gain or loss on investments .......... 1.15 0.78
------- -------
Total income from investment
operations.......................... 1.21 0.85
------- -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.12) --
From net realized gains on investments. (0.89) --
------- -------
Total distributions ................. (1.01) --
------- -------
Net asset value, end of period ......... $ 12.26 $ 12.06
======= =======
Total return ........................... 10.55% 7.58%
Net assets, end of period (000's) ...... $ 134 $ 116
Ratio of net investment expenses to
average net assets .................... 2.00%(1) 2.20%(1)
Ratio of net investment income to
average net assets .................... 0.92%(1) 0.86%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.14%(1) 2.26%(1)
Portfolio turnover rate ................ 118.42% 131.62%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
46 See Notes to Financial Statements.
<PAGE>
ASCENT
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH 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 ................ $ 12.03 $ 11.11 $ 12.49
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.08 0.10+ 0.04+
Net realized and change in
unrealized gain or loss on
investments.............. 1.13 1.26 (1.42)
------- ------- -------
Total income from
investment operations . 1.21 1.36 (1.38)
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.13) (0.13) --
From net realized gains on
investments.............. (0.89) (0.31) --
------- ------- -------
Total distributions .... (1.02) (0.44) --
------- ------- -------
Net asset value, end of
period.................... $ 12.22 $ 12.03 $ 11.11
======= ======= =======
Total return .............. 10.55% 12.47% (11.05)%
Net assets, end of period
(000's)................... $ 2,806 $ 2,626 $ 133
Ratio of net investment
expenses to average net
assets.................... 2.00%(1) 2.20% 2.23%(1)
Ratio of net investment
income to average net
assets.................... 0.92%(1) 0.86% 1.01%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.14%(1) 2.26% 2.42%(1)
Portfolio turnover rate ... 118.42% 131.62% 105.08%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 47
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 4, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 1998 1997 1996 TO OCTOBER 31, 1995
------------------------------------- -------------- ----------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.76 $ 11.08 $ 13.29 $ 12.16 $ 11.53 $ 10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.13 0.30+ 0.31+ 0.27+ 0.25+ 0.29+
Net realized and change in
unrealized gain or loss on
investments........................ 0.83 0.83 (0.37) 2.16 1.64 1.24
------- ------- ------- ------- ------- -------
Total income from investment
operations....................... 0.96 1.13 (0.06) 2.43 1.89 1.53
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......... (0.29) (0.21) (0.45) (0.30) (0.44) --
From net realized gains on
investments........................ (0.53) (0.24) (1.70) (1.00) (0.82) --
------- ------- ------- ------- ------- -------
Total distributions .............. (0.82) (0.45) (2.15) (1.30) (1.26) --
------- ------- ------- ------- ------- -------
Net asset value, end of period ...... $ 11.90 $ 11.76 $ 11.08 $ 13.29 $ 12.16 $ 11.53
======= ======= ======= ======= ======= =======
Total return ........................ 8.56% 10.31% (0.87)% 21.65% 17.66% 15.30%
Net assets, end of period (000's) ... $52,652 $48,440 $37,620 $26,028 $22,947 $20,370
Ratio of net investment expenses to
average net assets ................. 0.95%(1) 1.20% 1.24% 1.57% 1.74% 1.40%(1)
Ratio of net investment income to
average net assets ................. 2.64%(1) 2.54% 2.61% 2.13% 2.18% 3.26%(1)
Ratio of expenses before
reimbursement and waiver to average
net assets ......................... 1.12%(1) 1.28% 1.40% 1.66% -- --
Portfolio turnover rate ............. 102.77% 124.90% 115.65% 161.75% 107.40% 166.93%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
48 See Notes to Financial Statements.
<PAGE>
CROSSROADS
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 20, 1997
PERIOD ENDED YEAR ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1999 1998 TO OCTOBER 31, 1997
---------------------- -------------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period ......... $ 11.67 $ 11.01 $ 13.22 $ 11.67
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....... 0.23 0.27+ 0.27+ 0.30+
Net realized and change in
unrealized gain or loss on
investments................. 0.70 0.83 (0.37) 1.25
------- ------- ------- -------
Total income from
investment operations..... 0.93 1.10 (0.10) 1.55
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income... (0.27) (0.20) (0.41) --
From net realized
gains on investments ....... (0.53) (0.24) (1.70) --
------- ------- ------- -------
Total distributions ...... (0.80) (0.44) (2.11) --
------- ------- ------- -------
Net asset value, end
of period ................... $ 11.80 $ 11.67 $ 11.01 $ 13.22
======= ======= ======= =======
Total return ................. 8.39% 10.10% (1.17)% 13.28%
Net assets, end of
period (000's) .............. $32,015 $15,389 $ 2,105 $ 547
Ratio of net investment
expenses to average
net assets .................. 1.20%(1) 1.45% 1.52% 2.11%(1)
Ratio of net
investment income to
average net assets .......... 2.39%(1) 2.29% 2.33% 1.64%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .................. 1.37%(1) 1.53% 1.68% 2.41%(1)
Portfolio turnover rate....... 102.77% 124.90% 115.65% 161.75%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 49
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
--------------------------------------------------------------------------------
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 ... $ 11.68 $ 11.09
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.09 0.12+
Net realized and change in unrealized
gain or loss on investments .......... 0.80 0.47
------- -------
Total income from investment
operations.......................... 0.89 0.59
------- -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.19) --
From net realized gains on investments. (0.53) --
------- -------
Total distributions ................. (0.72) --
------- -------
Net asset value, end of period ......... $ 11.85 $ 11.68
======= =======
Total return ........................... 7.97% 5.32%
Net assets, end of period (000's) ...... $ 109 $ 105
Ratio of net investment expenses to
average net assets .................... 1.95%(1) 2.20%(1)
Ratio of net investment income to
average net assets .................... 1.64%(1) 1.54%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.12%(1) 2.28%(1)
Portfolio turnover rate ................ 102.77% 124.90%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
50 See Notes to Financial Statements.
<PAGE>
CROSSROADS
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH 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 ................ $ 11.65 $ 11.04 $ 12.18
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.10) 0.18+ 0.06+
Net realized and change in
unrealized gain or loss on
investments.............. 0.99 0.83 (1.20)
------- ------- -------
Total income from
investment operations . 0.89 1.01 (1.14)
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.15) (0.16) --
From net realized gains on
investments.............. (0.53) (0.24) --
------- ------- -------
Total distributions .... (0.68) (0.40) --
------- ------- -------
Net asset value, end of
period.................... $ 11.86 $ 11.65 $ 11.04
======= ======= =======
Total return .............. 7.97% 9.30% (9.36)%
Net assets, end of period
(000's)................... $ 163 $ 127 $ 158
Ratio of net investment
expenses to average net
assets.................... 1.95%(1) 2.20% 2.24%(1)
Ratio of net investment
income to average net
assets.................... 1.64%(1) 1.54% 1.61%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.12%(1) 2.28% 2.40%(1)
Portfolio turnover rate ... 102.77% 124.90% 115.65%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 51
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
LEGACY
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 4, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 1998 1997 1996 TO OCTOBER 31, 1995
------------------------------------- -------------- ----------- ----------- ----------- ----------- ---------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.57 $ 10.21 $ 12.15 $ 11.64 $ 11.41 $ 10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.13 0.34+ 0.35+ 0.32+ 0.29+ 0.33+
Net realized and change in
unrealized gain or loss on
investments........................ 0.58 0.46 (0.07) 1.41 1.20 1.08
------- ------- ------- ------- ------- -------
Total income from investment
operations....................... 0.71 0.80 0.28 1.73 1.49 1.41
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......... (0.30) (0.22) (0.60) (0.33) (0.50) --
From net realized gains on
investments........................ (0.34) (0.22) (1.62) (0.89) (0.76) --
------- ------- ------- ------- ------- -------
Total distributions .............. (0.64) (0.44) (2.22) (1.22) (1.26) --
------- ------- ------- ------- ------- -------
Net asset value, end of period ...... $ 10.64 $ 10.57 $ 10.21 $ 12.15 $ 11.64 $ 11.41
======= ======= ======= ======= ======= =======
Total return ........................ 7.02% 7.99% 2.51% 15.94% 14.11% 14.10%
Net assets, end of period (000's) ... $26,972 $24,107 $22,352 $18,313 $22,326 $19,651
Ratio of net investment expenses to
average net assets ................. 0.90%(1) 1.20% 1.24% 1.63% 1.73% 1.42%(1)
Ratio of net investment income to
average net assets ................. 3.70%(1) 3.23% 3.26% 2.77% 2.62% 3.75%(1)
Ratio of expenses before
reimbursement and waiver to average
net assets ......................... 1.24%(1) 1.45% 1.67% 1.75% -- --
Portfolio turnover rate ............. 76.25% 119.85% 115.12% 158.71% 91.62% 179.88%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
52 See Notes to Financial Statements.
<PAGE>
LEGACY
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JANUARY 20, 1997
PERIOD ENDED YEAR ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1999 1998 TO OCTOBER 31, 1997
---------------------- -------------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period.. $ 10.48 $ 10.15 $ 12.09 $ 11.01
------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.25 0.31+ 0.31+ 0.29+
Net realized and
change in unrealized
gain or loss on
investments......... 0.44 0.46 (0.06) 0.79
------- ------- ------- -------
Total income from
investment
operations........ 0.69 0.77 0.25 1.08
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income.............. (0.28) (0.22) (0.57) --
From net realized
gains on investments (0.34) (0.22) (1.62) --
------- ------- ------- -------
Total distributions (0.62) (0.44) (2.19) --
------- ------- ------- -------
Net asset value, end
of period ........... $ 10.55 $ 10.48 $ 10.15 $ 12.09
======= ======= ======= =======
Total return ......... 6.94% 7.65% 2.29% 9.81%
Net assets, end of
period (000's) ...... $15,492 $10,371 $ 1,812 $ 481
Ratio of net
investment expenses
to average net assets 1.15%(1) 1.45% 1.53% 2.21%(1)
Ratio of net
investment income to
average net assets .. 3.45%(1) 2.98% 2.97% 2.39%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... 1.49%(1) 1.70% 1.96% 2.50%(1)
Portfolio turnover
rate................. 76.25% 119.85% 115.12% 158.71%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 53
<PAGE>
GENERATION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
LEGACY
--------------------------------------------------------------------------------
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 ... $10.49 $ 10.08
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.18 0.16+
Net realized and change in unrealized
gain or loss on investments .......... 0.48 0.25
------ -------
Total income from investment
operations.......................... 0.66 0.41
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.22) --
From net realized gains on investments (0.34) --
------ -------
Total distributions ................. (0.56) --
------ -------
Net asset value, end of period ......... $10.59 $ 10.49
====== =======
Total return ........................... 6.51% 4.07%
Net assets, end of period (000's) ...... $ 125 $ 123
Ratio of net investment expenses to
average net assets .................... 1.90%(1) 2.20%(1)
Ratio of net investment income to
average net assets .................... 2.70%(1) 2.23%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.24%(1) 2.45%(1)
Portfolio turnover rate ................ 76.25% 119.85%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
54 See Notes to Financial Statements.
<PAGE>
LEGACY
--------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH 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 ................ $10.46 $ 10.18 $ 10.72
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.10 0.23+ 0.08+
Net realized and change in
unrealized gain or loss on
investments.............. 0.55 0.46 (0.62)
------ ------- -------
Total income from
investment operations.. 0.65 0.69 (0.54)
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.21) (0.19) --
From net realized gains on
investments.............. (0.34) (0.22) --
------ ------- -------
Total distributions .... (0.55) (0.41) --
------ ------- -------
Net asset value, end of
period.................... $10.56 $ 10.46 $ 10.18
====== ======= =======
Total return .............. 6.50% 6.88% (5.04)%
Net assets, end of period
(000's)................... $ 287 $ 304 $ 171
Ratio of net investment
expenses to average net
assets.................... 1.90%(1) 2.20% 2.24%(1)
Ratio of net investment
income to average net
assets.................... 2.70%(1) 2.23% 2.26%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.24%(1) 2.45% 2.67%(1)
Portfolio turnover rate ... 76.25% 119.85% 115.12%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 55
