<PAGE>
AETNA MUTUAL FUNDS
SMART SOLUT!ONS
FROM AETNA
AETNA
INDEX PLUS
FUNDS
[GRAPHIC]
ANNUAL REPORT
OCTOBER 31, 2000
ENGINEERING BETTER INVESTMENTS
<PAGE>
PRESIDENT'S LETTER
Dear Fellow Shareholder,
October 31, 2000
Thank you for investing in the Aetna Series Fund, Inc. With nearly 8,000 mutual
funds available in today's market, we appreciate your confidence in us.
The twelve months ended October, 2000 witnessed much volatility in the U.S.
stock markets. For the past ten months, the major stock markets have all
declined: S&P 500 Index, off 1.8%; NASDAQ Composite Index, down 17.2%; Dow
Jones Industrial Average, minus 3.4%. Technology stocks in particular were hit
with a sharp decline in the latter part of this 12-month period. Still, each of
the indices remained in positive territory for the 12-month period, due to the
exceptionally strong performance during the last two months of 1999.
Over the course of the year, the Federal Reserve (the "Fed") continued a series
of rate increases that resulted in the Fed funds rate climbing from 5.45% to
6.5% as of October 31, 2000. The impact of rising interest rates and oil prices
was reflected in the U.S. Gross Domestic Product, which slowed from an 8.3%
annual rate in the last quarter of 1999 to an estimated 2.7% in the third
quarter of 2000. International investing was negatively affected by the spike
in oil prices and the strength of the U.S. dollar versus the Euro.
Nevertheless, U.S. economic and corporate earnings outlooks remained robust as
this report period closed, and market breadth, i.e. the number of stocks
advancing versus declining, has improved. Thus it appears that the Fed has been
able to slow the economy to a sustainable growth rate.
The Fund and its advisor, Aeltus Investment Management, Inc., continuously
strive to improve products and services for the benefit of the shareholders.
Here are some highlights of our recent efforts:
. AETNA PRINCIPAL PROTECTION FUNDS II, III AND IV enjoyed successful
offerings, as investors committed more than $450 million to the funds.
AETNA INDEX PLUS PROTECTION FUND (offering a lower minimum investment of
$5,000) is in its offering period until November 30, 2000. These funds are
designed to appeal to a broad range of investors seeking downside
protection with upside market potential.
.
On December 22, 1999, Aeltus acquired a minority equity interest in ELIJAH
ASSET MANAGEMENT, LLC (EAM), a skilled manager of specialized growth and
technology funds.
. AETNA TECHNOLOGY FUND was launched on March 1, 2000. Sub-advised by EAM,
the fund seeks long-term capital appreciation by investing primarily in
technology-sector stocks.
Following approval of shareholders and your Board of Directors, four funds
(Aetna Mid Cap Fund, Aetna Real Estate Securities Fund, Aetna High Yield Fund
and Aetna Index Plus Bond Fund) were liquidated on August 25, 2000, due to low
investor interest and resultant high fund expenses.
As 2000 draws to an end, we want to reaffirm our commitment to bring you the
best of products and services. Again, we greatly appreciate and value your
continued confidence in our funds and in Aeltus.
Sincerely,
<TABLE>
<CAPTION>
<S><C>
LOGO
J. Scott Fox
President
Aetna Series Fund, Inc.
</TABLE>
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.
i
<PAGE>
<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter.....................................................i
INDEX PLUS FUNDS:
Investment Review......................................................1
Portfolios of Investments:
Aetna Index Plus Large Cap Fund.......................................7
Aetna Index Plus Mid Cap Fund.........................................14
Aetna Index Plus Small Cap Fund.......................................20
Statements of Assets and Liabilities...................................29
Statements of Operations...............................................31
Statements of Changes in Net Assets....................................32
Notes to Financial Statements..........................................38
Additional Information.................................................43
Financial Highlights...................................................46
Independent Auditors' Report...........................................58
</TABLE>
<PAGE>
LOGO
LOGO
LOGO
LOGO
LOGO
<TABLE>
<CAPTION>
Page # Dec-96 Oct-97 Oct-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index
Plus Large
Cap Fund
(Class I) 1 10,000 10,932 13,100 12,449 13,406 15,247 15,671 15,369 18,496 19,029 19,051
S&P 500 Index 1 10,000 10,763 12,879 12,396 13,340 15,186 15,365 15,124 17,674 18,499 18,469
<CAPTION>
Page # Oct-99 Oct-00
<S> <C> <C> <C> <C> <C> <C>
Aetna Index
Plus Large
Cap Fund
(Class I) 1 19,834 20,701 21,624 21,555 21,419
S&P 500 Index 1 19,005 19,501 20,371 20,124 20,161
</TABLE>
<TABLE>
<CAPTION>
Page # Feb-98 Oct-98 Oct-99 Oct-00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index
Plus Mid Cap
Fund (Class I) 1 10,000 11,250 10,610 10,359 11,873 12,335 12,858 12,758 13,957 16,190 16,447 17,278
S&P MidCap
400 Index 1 10,000 11,290 10,429 10,109 11,433 12,016 12,444 12,240 13,263 14,841 15,107 16,113
</TABLE>
<TABLE>
<CAPTION>
Page # Feb-98 Oct-98 Oct-99 Oct-00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index
Plus Small
Cap Fund
(Class I) 2 10,000 11,190 9,980 8,871 9,775 9,635 10,346 9,975 10,510 11,052 10,831 11,704
S&P SmallCap
600 Index 2 10,000 11,249 9,868 8,843 9,814 9,642 10,347 9,909 10,825 11,619 11,648 12,412
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
for the period ended October 31, 2000*
-------------------------------------------------------------------------------
Index Plus Large Cap Index Plus Mid Cap Index Plus Small Cap
-------------------------------------------------------------------
1 Year Inception 1 Year Inception 1 Year Inception
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Class I 7.99% 21.61% 35.42% 22.09% 17.35% 5.92%
-------------------------------------------------------------------------------
Class A:
POP (1) 4.51% 20.22% 31.08% 20.44% 13.52% 4.49%
NAV (2) 7.74% 21.16% 35.14% 21.79% 17.04% 5.66%
-------------------------------------------------------------------------------
Class B:
1.91% 19.96% 29.09% 20.05% 11.19% 3.80%
w/CDSC (3)
NAV 6.91% 20.41% 34.09% 20.84% 16.19% 4.82%
-------------------------------------------------------------------------------
Class C:
6.42% 20.71% 33.66% 21.15% 15.76% 5.12%
w/CDSC (4)
NAV 7.17% 20.71% 34.41% 21.15% 16.51% 5.12%
-------------------------------------------------------------------------------
</TABLE>
See Definition of
Terms. 1
<PAGE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, the performance is
calculated by using the performance of Class I since its inception date
(12/10/96 for Index Plus Large Cap), and for periods prior to the inception of
Class B and Class C the performance of each class is calculated by using the
performance of Class I since its inception date (02/03/98 for Index Plus Mid Cap
and Index Plus Small Cap), adjusted for fees and expenses charged to the
appropriate class. Class I, Class A, Class B and Class C shares participate in
the same portfolio of securities. Past performance is no guarantee of future
results. Investment return and principal of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA INDEX PLUS FUNDS
HOW DID THE FUNDS PERFORM DURING THE PERIOD?
The performance listed below for the Aetna Index Plus Funds (Index Plus Large
Cap, Index Plus Mid Cap and Index Plus Small Cap) and their respective
benchmarks is for the year ended October 31, 2000:
<TABLE>
<CAPTION>
FUND RETURN BENCHMARK INDEX
INDEX PLUS FUNDS CLASS I BENCHMARK INDEX RETURN
<S> <C> <C> <C>
Index Plus Large Cap 7.99% S&P 500 Index (a) 6.09%
Index Plus Mid Cap 35.42% S&P MidCap 400 Index (b) 31.65%
Index Plus Small Cap 17.35% S&P SmallCap 600 Index (c) 25.27%
</TABLE>
2 See Definition of Terms.
<PAGE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
While U.S. equity returns were positive during the period, mid and small cap
stocks significantly outperformed large cap stocks. ("Market cap", or market
capitalization, is the value of a company based on the aggregate market value of
its stock. Market cap is calculated by multiplying the number of shares
outstanding by the current price of a single share.) The Standard & Poor's (S&P)
500 Index returned 6.09%, the S&P MidCap 400 Index returned 31.65%, and the S&P
SmallCap 600 Index returned 25.27% during the period. The relative
underperformance of the S&P 500 Index was principally due to poor performance
from the technology sector. Large cap technology stocks had been taken to
extreme values in late 1999, as measured by their price-to-earnings (P/E)
ratios. (The Price/Earnings multiple, or P/E, is calculated by dividing the
price of one share by the earnings per share generated by the firm. A measure
of the attractiveness of a particular security, the P/E ratio gives investors an
idea of how much they are paying for earning power.)
In 2000, however, investors became markedly less willing to support those high
values as they grew concerned about whether the aggressive earnings growth rates
assumed for technology stocks can be realized, given the adverse economic impact
of the Federal Reserve's (the Fed's) restrictive monetary policy. In this less
optimistic environment, extreme volatility and sharp corrections have marked the
large cap market. Mid and small cap stocks did not reach such extreme values in
1999. Thus, they have benefited from their relative attractiveness as investors
have reduced their allocations to large cap stocks.
The themes behind the differences in equity returns by market cap have also been
responsible for the differences in equity returns between growth and value
stocks. While growth stocks sharply outperformed value stocks in late 1999,
value stocks significantly outperformed growth stocks (except within the mid cap
market) thus far in 2000. While growth stocks typically perform well during
economic downturns as investors seek companies with reliable earnings, the
extremely rich values placed on growth stocks in 1999 hampered their performance
this year.
WHAT INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST TWELVE MONTHS?
Index Plus Large Cap:
. Index Plus Large Cap outperformed the S&P 500 Index during the period. The
quantitative model used to manage this fund provided good discrimination
between stocks with high relative returns and those with low relative returns.
The model's factors relating to equity analyst earnings estimates and price
momentum were particularly effective in the first half of the period. In the
latter half, the model's value factor - the P/E factor - performed well.
. The Fund's outperformance was also due to individual security selection,
particularly in the communication services and technology sectors. Within
communication services, the Fund benefited from its underweights in AT&T and
WorldCom. Within the technology sector, the Fund benefited from overweights in
Cisco, Nortel, and Texas Instruments, and from its underweight in Lucent. The
Fund was hurt by its overweight in Intel and its underweight in Dell.
. As the period progressed, based on our model's individual ranking of each
stock in the S&P 500 Index, the Fund's weightings in technology and consumer
cyclicals were reduced in favor of increased positions in consumer staples and
energy.
Index Plus Mid Cap:
. Index Plus Mid Cap outperformed the S&P MidCap 400 Index during the period.
The quantitative model used to manage this fund provided good discrimination
between stocks with high relative returns and those with low relative returns.
The model's factors relating to equity analyst earnings estimates and price
momentum were particularly effective in the first half of the period. In the
latter half of the period, the model's value factor - the P/E factor - has
performed well.
. The Fund benefited from the large number of well-ranked stocks in the
technology sector, as that sector had the second highest return in the S&P
MidCap 400 Index during the period.
. Fund performance was helped by the model's security selection in the
technology sector, with overweights in Siebel Systems, Intuit, and VERITAS
Software. The Fund was hurt by its overweight in Informix and Legato Systems
and its underweight in TriQuint.
. As the period progressed, based on our model's individual ranking of each
stock in the S&P MidCap 400 Index, the Fund's weightings in capital goods and
consumer cyclicals were reduced in favor of increased positions in energy and
technology.
See Definition of
Terms. 3
<PAGE>
Index Plus Small Cap:
. Index Plus Small Cap underperformed the S&P SmallCap 600 Index during the
period. The quantitative model used to manage this fund provided poor
discrimination between stocks with high relative returns and those with low
relative returns. The model was updated in June 2000 and delivered above-index
performance in the third quarter of 2000.
. Underperformance during the period came from the Fund's positions in the
health care, consumer cyclical and technology sectors. This was partially
offset by superior performance from the Fund's positioning within the
financial and capital goods sectors.
. Fund performance was hurt primarily by poor security selection in the health
care sector. In particular, an overweight position in Incyte Pharmaceuticals
adversely impacted the Fund's performance. The Fund benefited from superior
security selection in the financial sector, particularly an overweight in
Silicon Valley Bancshares.
. As the period progressed, based on our model's individual ranking of each
stock in the S&P SmallCap 600 Index, the Fund's weight in technology was
reduced in favor of increased positions in financials and energy.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Recent equity market performance has reduced the significant valuation gap that
existed between the very high P/E's in the technology sector and the rest of the
market. This has diminished a large risk facing the market. The other
significant macroeconomic risk facing equity markets, the risk of a severe
economic downturn, also appears to have been mitigated by the Fed's success in
slowing the economy to a sustainable growth rate. Their success makes future
interest rate increases less likely. Thus, the overall outlook for equities has
become more positive as the year 2000 comes to a close.
INDEX PLUS LARGE CAP:
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.9% 2.0% (0.1)%
Capital Goods 8.8% 8.8% --
Communication Services 4.8% 6.1% (1.3)%
Consumer Cyclicals 5.7% 6.8% (1.1)%
Consumer Staples 9.0% 10.8% (1.8)%
Energy 7.4% 6.0% 1.4%
Financials 16.2% 15.7% 0.5%
Health Care 12.3% 12.0% 0.3%
Technology 29.9% 27.8% 2.1%
Transportation 0.6% 0.6% --
Utilities 3.4% 3.4% --
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
General Electric Co. 4.1%
Exxon Mobil Corp. 3.6%
Cisco Systems, Inc. 2.9%
Microsoft Corp. 2.7%
Pfizer, Inc. 2.6%
</TABLE>
4 See Definition of Terms.
<PAGE>
INDEX PLUS MID CAP:
<TABLE>
<CAPTION>
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS MIDCAP 400 WEIGHTING
<S> <C> <C> <C>
Basic Materials 2.9% 3.5% (0.6)%
Capital Goods 7.6% 7.5% 0.1%
Communication Services 1.6% 1.7% (0.1)%
Consumer Cyclicals 8.7% 12.6% (3.9)%
Consumer Staples 6.7% 7.4% (0.7)%
Energy 7.3% 5.9% 1.4%
Financials 10.4% 11.4% (1.0)%
Health Care 14.4% 14.8% (0.4)%
Technology 30.4% 23.8% 6.6%
Transportation 0.9% 1.5% (0.6)%
Utilities 9.1% 9.9% (0.8)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
Rational Software Corp. 2.1%
Intuit Inc. 1.8%
Vitesse Semiconductor Corp. 1.8%
Millennium Pharmaceuticals, Inc. 1.5%
DST Systems, Inc. 1.4%
</TABLE>
INDEX PLUS SMALL CAP:
<TABLE>
<CAPTION>
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS SMALLCAP 600 WEIGHTING
<S> <C> <C> <C>
Basic Materials 2.3% 3.8% (1.5)%
Capital Goods 15.6% 14.9% 0.7%
Communication Services 0.2% 0.2% --
Consumer Cyclicals 16.6% 17.4% (0.8)%
Consumer Staples 8.7% 8.8% (0.1)%
Energy 6.5% 5.5% 1.0%
Financials 12.7% 12.6% 0.1%
Health Care 14.1% 11.6% 2.5%
Technology 17.5% 18.5% (1.0)%
Transportation 2.3% 3.1% (0.8)%
Utilities 3.5% 3.6% (0.1)%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
Universal Health Services, Inc. 1.1%
COR Therapeutics, Inc. 1.0%
Gallagher (Arthur J.) & Co. 1.0%
Cerner Corp. 0.9%
Americredit Corp. 0.9%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through
October 31, 2000. The manager's opinions are subject to change at any time based
on market and other conditions. The composition, industries and holdings of the
Funds are subject to change.
See Definition of
Terms. 5
<PAGE>
<TABLE>
<CAPTION>
DEFINITION OF TERMS
<S><C>
(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 Index Plus Funds is 3.00%. 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 0.75%.
(a)
The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated on
a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b)
The Standard & Poor's MidCap 400 Index is an unmanaged index used to measure
stock market performance composed of companies with a weighted average market
value of $3.6 billion. Performance is calculated on a total return basis and
dividends are reinvested, as reported by Frank Russell Company.
(c)
The Standard & Poor's (S&P) SmallCap 600 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $903 million. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
The unmanaged indices described above are not available for individual
investment.
</TABLE>
6
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS LARGE CAP
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
COMMON STOCKS (97.4%)
AEROSPACE/DEFENSE (1.1%)
Boeing Co. ............................ 44,900 3,044,781
General Dynamics Corp. ................ 8,300 593,969
Goodrich (B.F.) Co. ................... 3,200 131,000
Lockheed Martin Corp. ................. 19,300 691,905
Northrop Grumman Corp. ................ 3,300 277,200
4,738,855
---------------
AGRICULTURE (0.1%)
Archer-Daniels-Midland Co. ............ 30,275 333,025
---------------
AIR FREIGHT (0.1%)
FedEx Corp. + ......................... 8,960 419,866
---------------
AIRLINES (0.2%)
AMR Corp. + ........................... 7,000 229,250
Delta Air Lines, Inc. ................. 6,100 288,225
Southwest Airlines Co. ................ 19,112 544,692
1,062,167
---------------
ALUMINUM (0.2%)
Alcoa Inc. ............................ 34,700 995,456
---------------
AUTO PARTS & EQUIPMENT (0.2%)
Cooper Tire & Rubber Co. .............. 2,100 22,969
Delphi Automotive Systems Corp. ....... 26,200 411,012
Genuine Parts Co. ..................... 5,100 108,694
Snap-On, Inc. ......................... 1,300 33,231
TRW, Inc. ............................. 3,100 130,200
Visteon Corp. + ....................... 3,905 69,070
775,176
---------------
AUTOMOBILES (0.5%)
Ford Motor Co. ........................ 76,000 1,985,500
---------------
BANKS - MAJOR REGIONAL (3.4%)
AmSouth Bancorporation ................ 5,800 80,838
Bank of New York Co., Inc. ............ 30,700 1,767,169
Bank One Corp. ........................ 37,100 1,354,150
BB&T Corp. ............................ 12,800 408,000
Comerica, Inc. ........................ 7,500 452,344
Fifth Third Bancorp ................... 14,762 758,398
Firstar Corp. ......................... 28,000 551,250
Fleet Boston Financial Corp. .......... 30,100 1,143,800
Huntington Bancshares Inc. ............ 8,000 115,000
KeyCorp ............................... 12,900 318,469
Mellon Financial Corp. ................ 15,500 747,875
National City Corp. ................... 19,500 416,812
Northern Trust Corp. .................. 9,000 768,375
Old Kent Financial Corp. .............. 3,045 84,308
PNC Bank Corp. ........................ 8,700 581,812
SouthTrust Corp. ...................... 5,800 187,775
State Street Corp. .................... 6,700 835,758
Summit Bancorp ........................ 4,500 168,750
Suntrust Banks, Inc. .................. 8,400 410,025
Synovus Financial Corp. ............... 7,400 159,563
U.S. Bancorp .......................... 23,900 578,081
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
BANKS - MAJOR REGIONAL (CONTINUED)
Union Planters Corp. .................. 3,100 104,819
Wachovia Corp. ........................ 5,900 318,600
Wells Fargo & Co. ..................... 54,900 2,542,556
14,854,527
---------------
BANKS - MONEY CENTER (1.3%)
Bank of America Corp. ................. 54,800 2,633,825
Chase Manhattan Corp. (The) ........... 43,500 1,979,250
First Union Corp. ..................... 16,700 506,219
J.P. Morgan & Co. ..................... 6,400 1,059,200
6,178,494
---------------
BEVERAGES - ALCOHOLIC (0.3%)
Anheuser-Busch Co., Inc. .............. 29,000 1,326,750
Brown-Forman Corp. + .................. 1,100 66,962
Coors (Adolph) Co. .................... 800 50,950
1,444,662
---------------
BEVERAGES - NON-ALCOHOLIC (1.2%)
Coca-Cola Co. (The) ................... 82,600 4,986,975
Coca-Cola Enterprises Inc. ............ 13,300 244,387
5,231,362
---------------
BIOTECHNOLOGY (0.7%)
Amgen, Inc. + ......................... 34,300 1,987,256
Biogen, Inc. + ........................ 6,600 397,238
MedImmune, Inc. + ..................... 10,200 666,825
3,051,319
---------------
BROADCASTING - TV, RADIO & CABLE (0.5%)
Clear Channel Communications, Inc. + .. 18,700 1,123,169
Comcast Corp. - Class A Special + ..... 27,700 1,128,775
2,251,944
---------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.5%)
Nextel Communications, Inc. + ......... 24,000 922,500
Sprint Corp. (PCS Group) + ............ 29,400 1,120,875
2,043,375
---------------
CHEMICALS (0.7%)
Air Products and Chemicals, Inc. ...... 8,800 328,350
Du Pont (E.I.) de Nemours ............. 41,700 1,892,137
Eastman Chemical Co. .................. 4,200 180,075
Praxair, Inc. ......................... 5,400 201,150
Rohm & Haas Co. ....................... 8,300 249,519
Union Carbide Corp. ................... 6,400 275,200
3,126,431
---------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ....................... 3,900 81,413
FMC Corp. + ........................... 900 68,400
149,813
---------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. .......................... 4,000 156,750
Grace (W.R.) & Co. + .................. 2,400 9,150
Great Lakes Chemical Corp. ............ 1,600 53,400
International Flavors & Fragrances,
Inc................................... 2,300 38,525
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
CHEMICALS - SPECIALITY (CONTINUED)
Sigma-Aldrich Corp. ................... 3,500 125,125
382,950
---------------
COMMUNICATIONS EQUIPMENT (2.8%)
ADC Telecommunications, Inc. + ........ 38,600 825,075
Andrew Corp. + ........................ 2,300 60,519
Comverse Technology, Inc. + ........... 7,700 860,475
Corning, Inc. ......................... 44,700 3,419,550
Nortel Networks Corp. ................. 102,200 4,650,100
QUALCOMM Inc. + ....................... 23,900 1,556,114
Scientific-Atlanta, Inc. .............. 7,400 506,438
Tellabs, Inc. + ....................... 13,100 654,181
12,532,452
---------------
COMPUTERS - HARDWARE (5.5%)
Apple Computer, Inc. + ................ 16,200 316,912
Compaq Computer Corp. ................. 54,500 1,657,345
Dell Computer Corp. + ................. 87,200 2,572,400
Gateway, Inc. + ....................... 10,300 531,583
Hewlett-Packard Co. ................... 74,800 3,473,525
International Business Machines Corp. . 58,700 5,781,950
NCR Corp. + ........................... 2,500 107,813
Palm, Inc. + .......................... 18,264 978,265
Sun Microsystems, Inc. + .............. 81,600 9,047,400
24,467,193
---------------
COMPUTERS - NETWORKING (3.4%)
Avaya Inc. ............................ 9,000 120,938
Cabletron Systems, Inc. + ............ 8,700 235,987
Cisco Systems, Inc. + ................. 237,500 12,795,312
Network Appliance, Inc. + ............. 15,400 1,832,600
14,984,837
---------------
COMPUTERS - PERIPHERALS (2.4%)
EMC Corp. + ........................... 110,600 9,850,312
Seagate Technology, Inc. + ............ 9,800 684,775
10,535,087
---------------
COMPUTERS SOFTWARE/SERVICES (7.6%)
Adobe Systems, Inc. ................... 11,600 882,325
America Online, Inc. + ................ 78,600 3,963,798
Autodesk, Inc. ........................ 1,700 37,506
BMC Software, Inc. + .................. 8,000 162,500
Citrix Systems, Inc. + ................ 6,600 146,025
Mercury Interactive Corp. + ........... 3,900 432,900
Microsoft Corp. + ..................... 175,500 12,087,563
Novell, Inc. + ........................ 4,900 44,100
Oracle Corp. + ........................ 271,800 8,969,400
Parametric Technology Co. + ........... 8,700 107,119
PeopleSoft, Inc. + .................... 11,200 488,775
Siebel Systems, Inc. + ................ 21,100 2,214,181
VERITAS Software Corp. + .............. 20,500 2,890,820
Yahoo! Inc. + ......................... 17,400 1,020,075
33,447,087
---------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. .................. 3,000 126,000
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
CONSUMER - JEWELRY/NOVELTIES (0.0%)
American Greeting Corp. - Class A ..... 1,800 32,738
---------------
CONSUMER FINANCE (0.8%)
Capital One Financial Corp. ........... 5,300 334,562
Countrywide Credit Industries, Inc. ... 3,400 127,288
Household International, Inc. ......... 19,000 955,937
MBNA Corp. ............................ 36,000 1,352,250
Providian Financial Corp. ............. 6,800 707,200
3,477,237
---------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ............................ 1,000 35,125
Owens-Illinois, Inc. + ................ 3,800 22,563
57,688
---------------
CONTAINERS/PACKAGING - PAPER (0.0%)
Bemis Co., Inc. ....................... 1,500 38,813
Pactiv Corp. + ........................ 4,900 51,450
Temple-Inland Inc. .................... 2,500 111,875
202,138
---------------
DISTRIBUTORS - FOOD & HEALTH (0.4%)
Cardinal Health, Inc. ................. 8,900 843,275
McKesson HBOC, Inc. ................... 9,500 266,594
SUPERVALU, Inc. ....................... 3,800 58,425
Sysco Corp. ........................... 12,500 652,343
1,820,637
---------------
ELECTRIC COMPANIES (2.0%)
Ameren Corp. .......................... 5,700 226,575
American Electric Power Co., Inc. ..... 10,800 448,200
Cinergy Corp. ......................... 4,200 128,625
CMS Energy Corp. ...................... 3,300 89,100
Consolidated Edison, Inc. ............. 5,700 200,569
Constellation Energy Group ............ 6,200 258,462
CP&L, Inc. ............................ 4,600 185,438
Dominion Resources, Inc. .............. 7,684 457,678
DTE Energy Co. ........................ 4,500 162,563
Duke Energy Corp. ..................... 14,713 1,271,755
Edison International Inc. ............. 9,200 219,650
Entergy Corp. ......................... 9,500 363,969
Exelon Corp. .......................... 11,450 688,431
FirstEnergy Corp. ..................... 5,700 147,488
Florida Progress Corp. ................ 5,000 265,937
FPL Group, Inc. ....................... 8,800 580,800
GPU, Inc. ............................. 4,000 132,250
Niagara Mohawk Holdings Inc. + ........ 5,200 83,200
PG&E Corp. ............................ 11,400 307,087
Pinnacle West Capital Corp. ........... 2,100 91,219
PPL Corp. ............................. 7,300 300,669
Public Service Enterprise Group, Inc. . 8,100 336,150
Reliant Energy Inc. ................... 14,000 578,375
Southern Co. .......................... 21,600 634,500
TXU Corp. ............................. 7,922 293,609
Xcel Energy, Inc. ..................... 13,405 342,665
8,794,964
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
ELECTRICAL EQUIPMENT (4.9%)
American Power Conversion Corp. + ..... 5,800 75,037
Cooper Industries, Inc. ............... 3,700 141,525
Emerson Electric Co. .................. 13,500 991,406
General Electric Co. .................. 330,100 18,093,606
Molex, Inc. ........................... 4,375 236,250
Power-One, Inc. + ..................... 3,700 262,469
Rockwell International Corp. .......... 5,600 220,150
Sanmina Corp. + ....................... 6,300 720,169
Solectron Corp. + ..................... 19,100 840,400
Thomas & Betts Corp. .................. 1,700 25,713
21,606,725
---------------
ELECTRONICS - COMPONENT DIST. (0.0%)
Grainger (W.W.), Inc. ................. 2,000 63,875
---------------
ELECTRONICS - DEFENSE (0.1%)
Raytheon Co. - Class B................. 8,100 276,919
---------------
ELECTRONICS - INSTRUMENTS (0.2%)
Agilent Technologies, Inc. + .......... 14,400 666,900
Perkin Elmer, Inc. .................... 2,500 298,750
Tektronix, Inc. ....................... 1,300 92,625
1,058,275
---------------
ELECTRONICS - SEMICONDUCTORS (5.3%)
Advanced Micro Devices, Inc. + ........ 15,200 343,900
Altera Corp. + ........................ 19,800 810,563
Analog Devices, Inc. + ................ 17,600 1,144,000
Broadcom Corp. - Class A + ............ 5,200 1,156,350
Conexant Systems, Inc. + .............. 7,300 192,081
Intel Corp. ........................... 223,300 10,048,500
JDS Uniphase Corp. + .................. 31,200 2,538,900
Linear Technology Corp. ............... 14,900 961,981
LSI Logic Corp. + ..................... 14,700 483,263
Maxim Integrated Products, Inc. + ..... 13,800 915,112
Micron Technology, Inc. + ............. 16,800 583,800
National Semiconductor Corp. + ........ 8,400 218,400
Texas Instruments, Inc. ............... 57,700 2,830,906
Xilinx, Inc. + ........................ 16,700 1,209,706
23,437,462
---------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ........................... 1,700 59,500
---------------
ENTERTAINMENT (1.9%)
Time Warner, Inc. ..................... 40,300 3,059,173
Viacom, Inc. - Class B + .............. 46,600 2,650,375
Walt Disney Co. (The) + ............... 69,500 2,488,969
8,198,517
---------------
EQUIPMENT - SEMICONDUCTORS (0.5%)
Applied Materials, Inc. + ............. 26,000 1,381,250
KLA-Tencor Corp. + .................... 8,600 290,788
Novellus Systems, Inc. + .............. 6,300 257,906
Teradyne, Inc. + ...................... 8,200 256,250
2,186,194
---------------
FINANCIAL - DIVERSIFIED (4.3%)
American Express Co. .................. 55,500 3,330,000
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
FINANCIAL - DIVERSIFIED (CONTINUED)
Associates First Capital Corp. ........ 24,300 902,138
CIT Group, Inc. (The) ................. 7,900 137,756
Citigroup Inc. ........................ 152,100 8,004,262
Fannie Mae............................. 34,000 2,618,000
Freddie Mac ........................... 11,200 672,000
Moody's Corp. ......................... 5,200 136,825
Morgan Stanley Dean Witter & Co. ...... 37,700 3,027,781
USA Education Inc. .................... 4,700 262,613
19,091,375
---------------
FOODS (1.7%)
Campbell Soup Co. ..................... 14,000 409,500
ConAgra Foods, Inc. ................... 14,100 301,388
General Mills, Inc. ................... 8,100 338,175
Heinz (H.J.) Co. ...................... 11,600 486,475
Hershey Foods Corp. ................... 2,900 157,506
Kellogg Co. ........................... 12,200 309,575
Nabisco Group Holdings Corp. .......... 15,700 453,337
PepsiCo, Inc. ......................... 61,000 2,954,687
Quaker Oats Co. ....................... 3,600 293,625
Ralston Purina Group .................. 12,800 310,400
Sara Lee Corp. ........................ 25,100 541,219
Unilever NV ........................... 19,100 970,519
Wrigley (Wm.) Jr. Co. + ............... 2,300 182,131
7,708,537
---------------
FOOTWEAR (0.0%)
NIKE, Inc. - Class B .................. 4,700 187,706
---------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ........ 4,700 134,538
---------------
GOLD/PRECIOUS METALS MINING (0.0%)
Newmont Mining Corp. .................. 7,200 97,650
---------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. .................. 2,300 86,537
Stanley Works (The) ................... 2,100 55,913
142,450
---------------
HEALTH CARE - DRUGS (0.1%)
Alza Corp. + .......................... 5,000 404,688
Watson Pharmaceuticals, Inc. + ........ 2,500 156,406
561,094
---------------
HEALTH CARE - DRUGS/PHARMACUETICALS (6.2%)
Allergan, Inc. ........................ 5,100 428,719
Eli Lilly & Co. ....................... 37,700 3,369,437
King Pharmaceuticals, Inc. + .......... 4,600 206,138
Merck & Co., Inc. ..................... 76,700 6,898,206
Pfizer, Inc. .......................... 266,000 11,487,875
Pharmacia Corp. ....................... 42,400 2,332,000
Schering-Plough Corp. ................. 48,800 2,522,350
27,244,725
---------------
HEALTH CARE - HOSPITAL MANAGEMENT (0.3%)
HCA - The Healthcare Corp. ............ 17,200 686,925
Tenet Healthcare Corp. + .............. 15,200 597,550
1,284,475
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
HEALTH CARE - MANAGED CARE (0.3%)
Humana, Inc. + ........................ 5,000 60,625
UnitedHealth Group Inc. ............... 8,100 885,937
Wellpoint Health Networks, Inc. + ..... 2,400 280,650
1,227,212
---------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (1.3%)
Bard (C.R.) Inc. ...................... 1,400 58,625
Bausch & Lomb, Inc. ................... 1,900 73,269
Baxter International, Inc. ............ 8,800 723,250
Becton, Dickinson & Co. ............... 7,200 241,200
Biomet, Inc. .......................... 6,600 238,837
Boston Scientific Corp. + ............. 13,000 207,188
Guidant Corp. + ....................... 10,400 550,550
Medtronic, Inc. + ..................... 40,000 2,172,500
PE Corp-PE Biosystems Group ........... 10,100 1,181,700
St. Jude Medical, Inc. + .............. 2,800 154,000
5,601,119
---------------
HEALTH CARE - SPECIAL SERVICES (0.0%)
HEALTHSOUTH Corp. + ................... 9,300 111,600
---------------
HEALTH CARE DIVERSIFIED (3.1%)
Abbott Laboratories ................... 51,700 2,730,406
American Home Products Corp. .......... 43,500 2,762,250
Bristol-Myers Squibb Co. .............. 65,500 3,991,406
Johnson & Johnson ..................... 46,400 4,274,600
13,758,662
---------------
HOMEBUILDING (0.0%)
Centex Corp. .......................... 2,900 107,300
Pulte Corp. ........................... 1,500 49,969
157,269
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Maytag Corp. .......................... 2,300 65,838
Whirlpool Corp. ....................... 3,500 152,250
218,088
---------------
HOUSEHOLD PRODUCTS - NON-DURABLE (1.0%)
Clorox Co. ............................ 6,800 303,450
Colgate-Palmolive Co. ................. 19,200 1,128,192
Fort James Corp. ...................... 7,400 243,737
Kimberly-Clark Corp. .................. 20,500 1,353,000
Procter & Gamble Co. .................. 21,300 1,521,619
4,549,998
---------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. .................. 4,100 120,694
Newell Rubbermaid Inc. ................ 7,700 147,744
Tupperware Corp. ...................... 1,300 22,262
290,700
---------------
INSURANCE - LIFE/HEALTH (0.6%)
AFLAC, Inc. ........................... 12,800 935,200
American General Corp. ................ 8,500 684,250
Jefferson-Pilot Corp. ................. 2,550 175,313
Lincoln National Corp. ................ 9,300 449,887
Torchmark Corp. ....................... 3,500 116,594
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
INSURANCE - LIFE/HEALTH (CONTINUED)
UnumProvident Corp. ................... 8,000 226,000
2,587,244
---------------
INSURANCE - MULTI-LINE (2.6%)
American International Group, Inc. .... 96,400 9,447,200
CIGNA Corp. ........................... 8,100 987,795
Hartford Financial Services Group, Inc. 8,400 625,275
Loews Corp. ........................... 2,800 254,625
11,314,895
---------------
INSURANCE - PROPERTY/CASUALTY (0.7%)
Allstate Corp. (The) .................. 23,600 949,900
Chubb Corp. ........................... 7,100 599,506
Cincinnati Financial Corp. ............ 7,700 282,975
MBIA, Inc. ............................ 2,400 174,450
MGIC Investment Corp. ................. 4,000 272,500
Progressive Corp. ..................... 2,400 235,800
SAFECO Corp. .......................... 4,300 104,006
St. Paul Co., Inc. .................... 6,112 313,240
2,932,377
---------------
INSURANCE BROKERS (0.4%)
Aon Corp. ............................. 7,400 306,637
Marsh & McLennan Co., Inc. ............ 10,900 1,425,175
1,731,812
---------------
INVESTMENT BANKING/BROKERAGE (1.1%)
Bear Stearns Co., Inc. (The) .......... 3,500 212,188
Charles Schwab Corp. .................. 43,700 1,534,962
Lehman Brothers Holdings Inc. ......... 11,400 735,300
Merrill Lynch & Co., Inc. ............. 26,600 1,862,000
Paine Webber Group Inc. ............... 6,800 484,500
4,828,950
---------------
INVESTMENT MANAGEMENT (0.2%)
Franklin Resources, Inc. .............. 6,700 287,028
Stilwell Financial, Inc. .............. 9,800 439,162
T. Rowe Price & Associates ............ 4,600 215,338
941,528
---------------
LEISURE TIME - PRODUCTS (0.2%)
Brunswick Corp. ....................... 2,600 50,538
Harley-Davidson, Inc. ................. 12,000 578,250
628,788
---------------
LODGING - HOTELS (0.2%)
Carnival Corp. ........................ 10,100 250,606
Hilton Hotels Corp. ................... 10,900 103,550
Marriott International, Inc. .......... 7,700 311,850
666,006
---------------
MACHINERY - DIVERSIFIED (0.3%)
Caterpillar, Inc. ..................... 10,100 354,132
Deere & Co. ........................... 11,600 427,025
Dover Corp. ........................... 7,100 301,306
Ingersoll-Rand Co. .................... 6,400 241,600
Timken Co. ............................ 1,700 23,906
1,347,969
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
MANUFACTURING - DIVERSIFIED (1.7%)
Crane Co. ............................. 1,800 47,138
Danaher Corp. ......................... 5,200 328,250
Eaton Corp. ........................... 1,900 129,319
Honeywell International Inc. .......... 13,300 715,706
Illinois Tool Works, Inc. ............. 9,600 533,400
ITT Industries, Inc. .................. 2,600 84,663
Johnson Controls, Inc. ................ 3,200 190,800
Minnesota Mining and Manufacturing Co.
(3M).................................. 12,500 1,207,812
National Service Industries, Inc. ..... 900 18,394
Parker-Hannifin Corp. ................. 6,000 248,250
PPG Industries Inc. ................... 7,900 352,537
Textron, Inc. ......................... 4,000 201,750
Thermo Electron Corp. + ............... 4,100 118,900
Tyco International Ltd. ............... 57,889 3,281,589
7,458,508
---------------
MANUFACTURING - SPECIALIZED (0.4%)
Avery Dennison Corp. .................. 4,100 207,050
Briggs & Stratton Corp. ............... 700 24,981
Millipore Corp. ....................... 2,200 115,500
Pall Corp. ............................ 3,100 66,844
Sealed Air Corp. + .................... 3,300 158,812
United Technologies Corp. ............. 19,500 1,361,344
1,934,531
---------------
METALS MINING (0.0%)
Phelps Dodge Corp. .................... 3,000 140,250
---------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. .................... 12,600 168,525
Inco Ltd. + ........................... 9,200 142,025
Placer Dome, Inc. ..................... 10,200 82,875
393,425
---------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (1.1%)
Coastal Corp. (The) ................... 6,300 475,256
Dynegy Inc. ........................... 11,000 509,438
El Paso Energy Corp. .................. 9,200 576,725
Enron Corp. ........................... 30,800 2,527,525
KeySpan Energy Corp. .................. 4,000 140,750
NICOR, Inc. ........................... 1,200 42,375
Peoples Energy Corp. .................. 800 27,500
Sempra Energy ......................... 6,200 128,263
Williams Co., Inc. (The) .............. 15,000 627,187
5,055,019
---------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. .................... 6,900 204,844
---------------
OIL (1.2%)
Royal Dutch Petroleum Co. ............. 89,400 5,308,125
---------------
OIL & GAS - DRILLING & EQUIPMENT (0.8%)
Baker Hughes Inc. ..................... 12,700 436,562
Halliburton Co. ....................... 14,300 529,994
Nabors Industries, Inc. + ............. 6,200 315,580
Rowan Co., Inc. + ..................... 3,700 93,194
Schlumberger, Ltd. .................... 23,700 1,804,162
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
OIL & GAS - DRILLING & EQUIPMENT (CONTINUED)
Transocean Sedco Forex Inc. ........... 6,100 323,300
3,502,792
---------------
OIL & GAS - EXPLORATION/PRODUCTION (0.5%)
Anadarko Petroleum Corp. .............. 12,060 772,443
Apache Corp. .......................... 5,100 282,094
Burlington Resources, Inc. ............ 5,800 208,800
Devon Energy Corp. .................... 2,800 141,120
Kerr-McGee Corp. ...................... 4,200 274,313
Unocal Corp. .......................... 11,300 385,612
2,064,382
---------------
OIL & GAS - REFINING & MARKETING (0.1%)
Ashland Inc. .......................... 2,100 68,775
Sunoco, Inc. .......................... 4,200 125,738
Tosco Corp. ........................... 6,600 188,925
383,438
---------------
OIL - DOMESTIC INTEGRATED (0.5%)
Amerada Hess Corp. .................... 4,000 248,000
Conoco Inc. - Class B ................. 17,400 473,063
Occidental Petroleum Corp. ............ 14,800 294,150
Phillips Petroleum Co. ................ 12,000 741,000
USX-Marathon Group .................... 15,500 421,406
2,177,619
---------------
OIL - INTERNATIONAL INTEGRATED (4.2%)
Chevron Corp. ......................... 21,800 1,790,325
Exxon Mobil Corp. ..................... 176,700 15,759,431
Texaco, Inc. .......................... 17,500 1,033,594
18,583,350
---------------
PAPER & FOREST PRODUCTS (0.3%)
Boise Cascade Corp. ................... 2,100 60,244
Georgia-Pacific Corp. ................. 7,800 209,625
International Paper Co. ............... 9,700 355,262
Mead Corp. ............................ 4,600 133,113
Potlatch Corp. ........................ 800 26,800
Westvaco Corp. ........................ 4,500 128,250
Weyerhaeuser Co. ...................... 10,300 483,456
Willamette Industries, Inc. ........... 3,600 130,725
1,527,475
---------------
PERSONAL CARE (0.2%)
Alberto-Culver Co. - Class B .......... 200 6,713
Avon Products, Inc. ................... 7,000 339,500
Gillette Co. .......................... 16,900 589,387
935,600
---------------
PHOTOGRAPHY/IMAGING (0.1%)
Eastman Kodak Co. ..................... 9,100 408,363
Polaroid Corp. ........................ 1,200 12,075
420,438
---------------
POWER PRODUCERS - INDEPENDENT (0.2%)
AES Corp. + ........................... 14,700 830,550
---------------
PUBLISHING (0.1%)
Harcourt General, Inc. ................ 1,400 78,470
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
PUBLISHING (CONTINUED)
McGraw-Hill Co., Inc. (The) ........... 7,600 487,825
Meredith Corp. ........................ 900 28,575
594,870
---------------
PUBLISHING - NEWSPAPERS (0.3%)
Dow Jones & Co., Inc. ................. 2,400 141,300
Gannett Co., Inc. ..................... 7,800 452,400
Knight-Ridder, Inc. ................... 3,100 155,775
New York Times Co. .................... 6,200 227,850
Tribune Co. ........................... 9,983 369,995
1,347,320
---------------
RAILROADS (0.2%)
Burlington Northern Santa Fe Corp. .... 11,800 313,437
CSX Corp. ............................. 3,500 88,594
Norfolk Southern Corp. ................ 11,500 162,438
Union Pacific Corp. ................... 7,500 351,562
916,031
---------------
RESTAURANTS (0.3%)
Darden Restaurants, Inc. .............. 2,000 45,000
McDonald's Corp. ...................... 22,300 691,300
Starbucks Corp. + ..................... 5,500 245,781
Tricon Global Restaurants, Inc. + ..... 4,300 129,000
Wendy's International, Inc. ........... 4,400 95,700
1,206,781
---------------
RETAIL - BUILDING SUPPLIES (0.8%)
Home Depot, Inc. ...................... 77,200 3,319,600
Sherwin-Williams Co. .................. 6,300 136,631
3,456,231
---------------
RETAIL - COMPUTERS & ELECTRONICS (0.2%)
Best Buy Co., Inc. + .................. 10,000 501,875
Circuit City Stores - Circuit City
Group................................. 6,100 80,825
RadioShack Corp. ...................... 7,100 423,338
1,006,038
---------------
RETAIL - DEPARTMENT STORES (0.4%)
Federated Department Stores, Inc. + ... 9,200 299,575
Kohl's Corp. + ........................ 12,600 682,762
May Department Stores Co. ............. 4,600 120,750
Sears, Roebuck & Co. .................. 16,500 490,545
1,593,632
---------------
RETAIL - DISCOUNTERS (0.0%)
Consolidated Stores Corp. + ........... 3,400 40,375
Dollar General Corp. .................. 5,600 86,800
127,175
---------------
RETAIL - GENERAL MERCHANDISE CHAIN (1.9%)
Costco Wholesale Corp. + .............. 14,300 523,738
Target Corp. .......................... 30,100 831,512
Wal-Mart Stores, Inc. ................. 151,000 6,851,625
8,206,875
---------------
RETAIL - SPECIALITY (0.2%)
AutoZone, Inc. + ...................... 3,800 101,888
Bed Bath & Beyond, Inc. + ............. 11,200 289,100
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
RETAIL - SPECIALITY (CONTINUED)
Staples, Inc. + ....................... 13,700 195,225
Tiffany & Co. ......................... 7,000 298,812
Toys "R" Us, Inc. + ................... 6,400 110,000
995,025
---------------
RETAIL SPECIALITY - APPAREL (0.2%)
The Limited, Inc. ..................... 21,000 530,250
TJX Companies, Inc. ................... 9,400 256,150
786,400
---------------
RETAIL STORES - DRUG STORE (0.5%)
CVS Corp. ............................. 12,500 661,719
Longs Drug Stores Corp. ............... 100 2,187
Walgreen Co. .......................... 32,000 1,460,000
2,123,906
---------------
RETAIL STORES - FOOD CHAINS (0.4%)
Albertson's, Inc. ..................... 12,300 291,356
Kroger Co. (The) + .................... 24,300 548,269
Safeway, Inc. + ....................... 15,900 869,531
1,709,156
---------------
SAVINGS & LOAN COMPANIES (0.3%)
Charter One Financial, Inc. ........... 6,510 149,323
Golden West Financial Corp. ........... 7,500 420,469
Washington Mutual Financial Corp. ..... 16,000 704,000
1,273,792
---------------
SERVICES - ADVERTISING/MARKETING (0.2%)
Interpublic Group of Co., Inc. (The) .. 9,700 416,494
Omnicom Group, Inc. ................... 5,200 479,700
896,194
---------------
SERVICES - COMMERCIAL & CONSUMER (0.1%)
Convergys Corp. + ..................... 4,500 196,031
H&R Block, Inc. ....................... 3,700 132,044
IMS Health, Inc. ...................... 8,200 193,725
521,800
---------------
SERVICES - COMPUTER SYSTEMS (0.3%)
Computer Sciences Corp. + ............. 4,600 289,800
Electronic Data Systems Corp. ......... 14,900 699,369
Sapient Corp. + ....................... 5,600 199,150
1,188,319
---------------
SERVICES - DATA PROCESSING (0.8%)
Automatic Data Processing, Inc. ....... 25,200 1,645,875
Ceridian Corp. + ...................... 2,200 55,000
Equifax, Inc. ......................... 3,800 131,100
First Data Corp. ...................... 16,400 822,050
Paychex, Inc. ......................... 17,900 1,014,706
3,668,731
---------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. .......................... 1,700 38,356
RR Donnelley & Sons Co. ............... 3,700 79,550
117,906
---------------
STEEL (0.1%)
Allegheny Technologies Inc. ........... 3,200 64,800
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
STEEL (CONTINUED)
Nucor Corp. ........................... 3,900 135,281
USX-US Steel Group, Inc. .............. 4,600 73,313
Worthington Industries ................ 2,400 22,950
296,344
---------------
TELEPHONE (3.1%)
BellSouth Corp. ....................... 62,200 3,005,038
CenturyTel, Inc. ...................... 4,200 161,700
Qwest Communications International Inc.
+..................................... 27,700 1,346,913
SBC Communications, Inc. .............. 113,400 6,541,762
Verizon Communications ................ 45,300 2,618,906
13,674,319
---------------
TELEPHONE LONG DISTANCE (1.1%)
AT&T Corp. ............................ 127,000 2,944,812
Global Crossing Ltd. + ................ 28,300 668,588
WorldCom, Inc. + ...................... 46,000 1,092,500
4,705,900
---------------
TEXTILES - APPAREL (0.0%)
Liz Claiborne, Inc. ................... 1,700 72,250
Russell Corp. ......................... 800 12,800
VF Corp. .............................. 2,900 79,206
164,256
---------------
TEXTILES - HOME FURNISHINGS (0.0%)
Springs Industries, Inc. - Class A .... 300 7,069
---------------
TOBACCO (0.6%)
Philip Morris Co. Inc. ................ 75,100 2,750,537
UST, Inc. ............................. 3,800 95,950
2,846,487
---------------
TRUCKERS (0.0%)
Ryder System, Inc. .................... 1,600 31,600
---------------
TRUCKS & PARTS (0.1%)
Cummins Engine Co., Inc. .............. 1,400 47,600
Navistar International Corp. + ........ 2,900 95,881
PACCAR, Inc. .......................... 2,900 121,982
265,463
---------------
WASTE MANAGEMENT (0.1%)
Waste Management, Inc. ................ 18,000 360,000
TOTAL COMMON STOCKS 430,745,180
(COST $360,578,802)
---------------
PREFERRED STOCKS (0.2%)
Seagram Co. Ltd. (Entertainment) ...... 12,600 719,775
TOTAL PREFERRED STOCKS (COST $718,937) 719,775
---------------
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS (3.2%)
Federal Farm Credit Bank,6.45%,11/01/00 $13,984,000 13,984,000
U.S. Treasury Bill,5.95%,11/09/00 @ ... 300,000 299,603
TOTAL SHORT-TERM INVESTMENTS 14,283,603
(COST $14,283,603)
---------------
MARKET VALUE
---------------
TOTAL INVESTMENTS (COST
$375,581,342)(A) $445,748,558
OTHER ASSETS LESS LIABILITIES (3,701,299)
---------------
TOTAL NET ASSETS $442,047,259
---------------
</TABLE>
See Notes to Portfolio of Investments. 7
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS LARGE CAP (CONTINUED)
8 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 9
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS LARGE CAP (CONTINUED)
10 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 11
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS LARGE CAP (CONTINUED)
12 See Notes to Portfolio of Investments.
<PAGE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal tax purposes amounts to $387,507,669.
Unrealized gains and losses, based on identified tax cost at October 31,
2000, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains.............................$ 73,202,531
Unrealized losses............................ (14,961,642)
------------
Net unrealized gain.......................$ 58,240,889
============
</TABLE>
Information concerning open futures contracts at October 31, 2000 is shown
below:
<TABLE>
<CAPTION>
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Long Contracts
--------------
S&P 500 Index Futures.. 12 $4,320,600 Dec 00 $(43,241)
========== ========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at October 31, 2000.
Category percentages are based on net assets.
See Notes to Financial Statements. 13
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS MID CAP
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET VALUE
SHARES
------------ --------------
COMMON STOCKS (98.5%)
AEROSPACE/DEFENSE (0.5%)
Newport News Shipbuilding, Inc. ......... 700 34,431
Precision Castparts Corp. ............... 1,400 52,850
87,281
--------------
AGRICULTURE (0.1%)
Universal Corp. ......................... 700 19,600
--------------
AIR FREIGHT (0.3%)
Atlas Air, Inc. + ....................... 500 18,125
CNF Transportation, Inc. ................ 300 8,006
EGL, Inc. + ............................. 700 19,950
46,081
--------------
AIRLINES (0.0%)
Alaska Air Group, Inc. + ................ 100 2,594
--------------
AUTO PARTS & EQUIPMENT (0.6%)
ArvinMeritor, Inc. ...................... 975 16,331
Bandag, Inc. ............................ 200 7,138
Borg-Warner Automotive, Inc. ............ 400 15,100
Lear Corp. + ............................ 1,200 32,700
Modine Manufacturing Co. ................ 300 7,913
Superior Industries International, Inc. . 600 20,437
99,619
--------------
BANKS - REGIONAL (4.3%)
Associated Banc-Corp. ................... 1,060 25,506
Banknorth Group, Inc. ................... 2,400 43,500
City National Corp. ..................... 800 27,500
Compass Bancshares Inc. ................. 1,900 34,556
First Virginia Banks, Inc. .............. 300 12,413
FirstMerit Corp. ........................ 600 13,688
Greater Bay Bancorp ..................... 800 26,050
Hibernia Corp. .......................... 2,700 32,231
Marshall & Ilsley Corp. ................. 1,700 77,031
Mercantile Bankshares Corp. ............. 1,000 37,625
National Commerce Bancorporation ........ 3,100 65,875
North Fork Bancorp, Inc. ................ 2,600 52,487
Pacific Century Financial Corp. ......... 1,000 12,688
Silicon Valley Bancshares + ............. 1,400 64,750
TCF Financial Corp. ..................... 1,100 44,481
Westamerica Bancorporation .............. 500 17,969
Wilmington Trust Corp. .................. 600 31,575
Zions Bancorporation .................... 1,400 80,412
700,337
--------------
BEVERAGES - NON-ALCOHOLIC (0.2%)
Whitman Corp. ........................... 2,200 28,600
--------------
BIOTECHNOLOGY (4.7%)
Chiron Corp. + .......................... 3,100 134,269
Genzyme Corp. + ......................... 1,400 99,400
Gilead Sciences, Inc. + ................. 800 68,800
IDEC Pharmaceuticals Corp. + ............ 800 156,900
Incyte Genomics, Inc. + ................. 1,600 58,600
NUMBER OF MARKET VALUE
SHARES
------------ --------------
BIOTECHNOLOGY (CONTINUED)
Millennium Pharmaceuticals, Inc. + ...... 3,400 246,712
764,681
--------------
BROADCASTING - TV, RADIO & CABLE (1.7%)
Chris-Craft Industries, Inc. + .......... 509 37,412
Hispanic Broadcasting Corp. + ........... 1,900 59,375
Univision Communications, Inc. + ........ 3,500 133,875
Westwood One, Inc. + .................... 2,700 51,131
281,793
--------------
BUILDING MATERIALS GROUP (0.1%)
USG Corp. ............................... 600 10,238
--------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.3%)
Powerwave Technologies, Inc. + .......... 1,100 52,938
--------------
CHEMICALS (0.6%)
Airgas, Inc. + .......................... 800 5,400
Cabot Corp. ............................. 2,000 44,000
IMC Global, Inc. ........................ 1,800 23,287
Lyondell Petrochemical Co. .............. 1,400 20,125
Solutia, Inc. ........................... 800 10,200
103,012
--------------
CHEMICALS - DIVERSIFIED (0.1%)
Olin Corp. .............................. 700 12,425
--------------
CHEMICALS - SPECIALITY (0.7%)
Albemarle Corp. ......................... 500 11,594
Crompton Corp. .......................... 1,800 14,400
Cytec Industries Inc. + ................. 600 20,775
Ferro Corp. ............................. 400 8,200
Fuller (H.B.) Co. ....................... 200 6,762
Lubrizol Corp. (The) .................... 700 15,181
Minerals Technologies Inc. .............. 400 12,525
RPM, Inc. ............................... 900 8,044
Schulman (A.), Inc. ..................... 400 4,375
Valspar Corp. (The) ..................... 500 13,655
115,511
--------------
COMMUNICATIONS EQUIPMENT (1.7%)
ADTRAN, Inc. + .......................... 700 26,600
ANTEC Corp. + ........................... 500 6,094
DSP Group, Inc. + ....................... 700 19,862
Harris Corp. ............................ 1,200 38,025
L-3 Communications Holdings, Inc. + ..... 800 52,750
MasTec, Inc. + ......................... 800 23,150
Polycom, Inc. + ......................... 1,300 84,500
Sawtek, Inc. + .......................... 600 30,525
281,506
--------------
COMPUTERS - NETWORKING (1.5%)
3Com Corp. + ............................ 11,000 195,250
Avocent Corp. ........................... 700 49,656
244,906
--------------
COMPUTERS - PERIPHERALS (0.4%)
Quantum Corp. - DLT & Storage Systems ... 2,600 39,000
NUMBER OF MARKET VALUE
SHARES
------------ --------------
COMPUTERS - PERIPHERALS (CONTINUED)
Storage Technology Corp. + .............. 3,100 30,225
69,225
--------------
COMPUTERS SOFTWARE/SERVICES (8.7%)
Affiliated Computer Services, Inc. + .... 800 44,550
Cadence Design Systems, Inc. + .......... 3,900 100,181
Galileo International, Inc. ............. 1,100 21,725
Informix Corp. + ........................ 8,300 35,275
Intuit Inc. + ........................... 4,900 301,044
Macromedia, Inc. + ...................... 900 69,356
Mentor Graphics Corp. + ................. 2,000 46,875
Network Associates, Inc. + .............. 4,200 80,850
NVIDIA Corp. + .......................... 1,500 93,211
Rational Software Corp. + ............... 5,800 346,187
Retek Inc. .............................. 800 31,550
Structural Dynamics Research Corp. + .... 600 6,188
Sybase, Inc. + .......................... 2,500 52,344
Symantec Corp. + ........................ 1,800 70,313
Synopsys, Inc. + ........................ 1,200 41,850
Titan Corp. (The) + ..................... 800 10,700
Transaction Systems Architects, Inc. + .. 400 5,400
Wind River Systems ...................... 1,700 69,806
1,427,405
--------------
CONSTRUCTION (0.4%)
Martin Marietta Materials, Inc. ......... 600 23,040
Southdown, Inc. ......................... 600 42,525
65,565
--------------
CONSUMER - JEWELRY/NOVELTIES (0.2%)
Blyth Industries, Inc. + ................ 600 15,600
Lancaster Colony Corp. .................. 700 16,538
32,138
--------------
CONSUMER FINANCE (0.6%)
PMI Group, Inc. (The) ................... 1,300 96,037
--------------
CONTAINERS/PACKAGING - PAPER (0.1%)
Sonoco Products Co. ..................... 770 14,871
--------------
DISTRIBUTORS - FOOD & HEALTH (0.3%)
AmeriSource Health Corp. + .............. 1,200 52,125
PSS World Medical, Inc. + ............... 1,000 3,000
55,125
--------------
ELECTRIC COMPANIES (6.3%)
Allegheny Energy, Inc. .................. 1,900 77,781
ALLETE .................................. 1,100 23,719
Alliant Energy Corp. .................... 1,200 36,375
Black Hills Corp. ....................... 150 4,688
Cleco Corp. ............................. 400 19,025
Conectiv, Inc. .......................... 1,450 26,009
DPL Inc. ................................ 2,300 65,262
DQE, Inc. ............................... 900 31,444
Energy East Corp. ....................... 2,100 42,394
Hawaiian Electric Industries, Inc. ...... 200 6,588
IDACORP, Inc. ........................... 900 44,381
NUMBER OF MARKET VALUE
SHARES
------------ --------------
ELECTRIC COMPANIES (CONTINUED)
IPALCO Enterprises, Inc. ............... 1,400 31,413
Kansas City Power & Light Co. ........... 1,100 26,469
LG&E Energy Corp. ....................... 2,200 54,037
Montana Power Co. (The) ................. 2,500 70,625
NiSource Inc. ........................... 1,900 47,381
Northeast Utilities Corp. + ............. 3,500 71,312
NSTAR ................................... 800 30,950
OGE Energy Corp. ........................ 1,200 24,675
Potomac Electric Power Co. .............. 1,800 41,175
Public Service Co. of New Mexico ........ 600 16,538
Puget Sound Energy, Inc. ................ 1,400 34,387
SCANA Corp. ............................. 1,700 45,050
Sierra Pacific Resources ................ 700 12,031
TECO Energy, Inc. ....................... 2,000 55,750
UtiliCorp United Inc. ................... 1,500 39,844
Western Resources, Inc. ................. 1,200 25,650
Wisconsin Energy Corp. .................. 1,800 33,863
1,038,816
--------------
ELECTRICAL EQUIPMENT (2.5%)
Hubbell, Inc. + ......................... 1,000 23,938
SCI Systems, Inc. + ..................... 1,000 43,000
Sensormatic Electronics Corp. + ......... 1,800 32,400
SPX Corp. + ............................. 600 74,175
Symbol Technologies, Inc. ............... 2,312 105,051
Vishay Intertechnology, Inc. + .......... 4,050 121,500
400,064
--------------
ELECTRONICS - COMPONENT DIST. (0.6%)
Arrow Electronics, Inc. + ............... 1,700 54,400
Avnet, Inc. ............................. 1,600 43,000
97,400
--------------
ELECTRONICS - DEFENSE (0.3%)
Litton Industries, Inc. + ............... 800 41,550
--------------
ELECTRONICS - INSTRUMENTS (1.1%)
Credence Systems Corp. + ................ 1,400 26,250
Waters Corp. + .......................... 2,100 152,381
178,631
--------------
ELECTRONICS - SEMICONDUCTORS (9.7%)
Atmel Corp. + ........................... 11,200 167,300
Cirrus Logic, Inc. + .................... 500 21,563
Cypress Semiconductor Corp. + ........... 3,600 134,775
Integrated Device Technology, Inc. + .... 3,100 174,569
International Rectifier Corp. + ......... 1,900 84,787
Lattice Semiconductor Corp. + ........... 3,000 87,562
Micrel, Inc. + .......................... 2,000 90,500
Microchip Technology, Inc. + ............ 2,775 87,759
QLogic Corp. + .......................... 2,200 212,850
Semtech Corp. + ......................... 1,000 32,250
TranSwitch Corp. + ...................... 2,500 144,375
TriQuint Semiconductor, Inc. + .......... 1,400 53,638
NUMBER OF MARKET VALUE
SHARES
------------ --------------
ELECTRONICS - SEMICONDUCTORS (CONTINUED)
Vitesse Semiconductor Corp. + ........... 4,300 300,731
1,592,659
--------------
ENGINEERING & CONSTRUCTION (0.5%)
Granite Construction, Inc. .............. 450 10,266
Jacobs Engineering Group, Inc. + ........ 400 16,550
Quanta Services, Inc. + ................. 2,000 62,125
88,941
--------------
EQUIPMENT - SEMICONDUCTORS (0.4%)
Cabot Microelectronics Corp. + .......... 392 17,322
Lam Research Corp. + .................... 2,100 40,687
58,009
--------------
FINANCIAL - DIVERSIFIED (1.3%)
Ambac Financial Group, Inc. ............. 1,200 95,775
SEI Investments Co. ..................... 1,300 117,975
213,750
--------------
FOODS (1.6%)
Dean Foods Co. .......................... 500 16,000
Dreyer's Grand Ice Cream, Inc. .......... 500 12,313
Flowers Industries, Inc. ................ 1,700 26,137
Hormel Foods Corp. ...................... 1,000 16,812
IBP, Inc. ............................... 1,800 37,012
Interstate Bakeries Corp. ............... 700 9,800
J.M. Smucker Co. (The) .................. 300 6,675
Lance, Inc. ............................. 200 2,013
McCormick & Co., Inc. ................... 1,600 50,700
Suiza Foods Corp. + ..................... 500 23,156
Tyson Foods, Inc. ....................... 3,700 41,394
Universal Foods Corp. ................... 600 11,850
253,862
--------------
GAMING, LOTTERY, & PARI-MUTUEL (0.9%)
GTECH Holdings Corp. + .................. 400 6,925
International Game Technology + ......... 1,300 47,612
Mandaley Resort Group + ................. 1,400 29,138
Park Place Entertainment Corp. + ........ 5,100 65,025
148,700
--------------
HEALTH CARE - DRUGS (1.4%)
ICN Pharmaceuticals, Inc. ............... 1,200 45,675
Mylan Laboratories, Inc. ................ 2,200 61,600
Sepracor Inc. + ......................... 1,700 115,812
223,087
--------------
HEALTH CARE - DRUGS/PHARMACUETICALS (1.1%)
Forest Laboratories, Inc. + ............. 1,400 185,500
--------------
HEALTH CARE - HOSPITAL MANAGEMENT (0.6%)
Health Management Associates, Inc. + .... 4,100 81,231
Quorum Health Group, Inc. + ............ 900 12,038
93,269
--------------
HEALTH CARE - MANAGED CARE (1.7%)
Express Scripts, Inc. + ................. 300 20,156
First Health Group Corp. + .............. 1,300 50,700
Foundation Health Systems, Inc. + ....... 2,000 40,375
NUMBER OF MARKET VALUE
SHARES
------------ --------------
HEALTH CARE - MANAGED CARE (CONTINUED)
Oxford Health Plans, Inc. + ............. 2,500 84,375
PacifiCare Health Systems, Inc. + ....... 1,000 10,438
Trigon Healthcare, Inc. + ............... 1,100 78,856
284,900
--------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (2.3%)
Acuson Corp. + .......................... 400 9,125
Beckman Coulter, Inc. ................... 600 42,038
DENTSPLY International Inc. ............. 1,100 38,156
Edwards Lifesciences Corp. + ............ 700 9,406
MiniMed Inc. + .......................... 1,000 72,937
STERIS Corp. + .......................... 1,000 15,000
Stryker Corp. ........................... 3,400 160,225
Sybron International Corp. + ............ 1,500 37,125
384,012
--------------
HEALTH CARE - SPECIAL SERVICES (1.3%)
Apria Healthcare Group, Inc. + .......... 800 16,000
Lincare Holdings Inc. + ................. 900 37,856
Omnicare, Inc. .......................... 1,200 21,000
Quest Diagnostics Inc. + ................ 1,400 134,750
209,606
--------------
HEALTH CARE DIVERSIFIED (1.0%)
IVAX Corp. + ............................ 3,850 167,475
--------------
HOMEBUILDING (0.3%)
Clayton Homes, Inc. ..................... 900 8,269
Lennar Corp. ............................ 1,500 48,187
56,456
--------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Furniture Brands International, Inc. + . 800 13,500
--------------
HOUSEHOLD PRODUCTS - NON-DURABLE (0.3%)
Church & Dwight Co., Inc. ............... 1,000 19,750
Energizer Holdings, Inc. + .............. 1,600 31,600
51,350
--------------
INSURANCE - LIFE/HEALTH (0.3%)
Protective Life Corp. ................... 1,300 30,063
The MONY Group Inc. ..................... 400 16,450
46,513
--------------
INSURANCE - PROPERTY/CASUALTY (1.5%)
Allmerica Financial Corp. ............... 900 56,756
American Financial Group, Inc. .......... 1,000 21,438
Everest Re Group, Ltd. .................. 1,100 64,488
Horace Mann Educators Corp. ............. 500 8,406
HSB Group, Inc. ......................... 500 19,781
Ohio Casualty Corp. ..................... 700 5,884
Old Republic International Corp. ........ 2,050 53,300
Unitrin, Inc. ........................... 500 15,531
245,584
--------------
INVESTMENT BANKING/BROKERAGE (1.1%)
Edwards (A.G.), Inc. .................... 1,500 76,125
Legg Mason, Inc. ........................ 1,000 51,937
NUMBER OF MARKET VALUE
SHARES
------------ --------------
INVESTMENT BANKING/BROKERAGE (CONTINUED)
Waddel & Reed Financial Inc. - Class A .. 1,500 47,813
175,875
--------------
LEISURE TIME - PRODUCTS (0.3%)
Callaway Golf Co. ....................... 1,700 27,200
International Speedway Corp. ............ 700 22,488
49,688
--------------
MACHINERY - DIVERSIFIED (0.2%)
AGCO Corp. .............................. 1,200 13,650
Kaydon Corp. ............................ 200 4,388
Tecumseh Products Co. - Class A ......... 400 15,950
33,988
--------------
MANUFACTURING - DIVERSIFIED (1.3%)
American Standard Companies, Inc. + ..... 1,200 55,050
AMETEK, Inc. ............................ 900 19,575
Carlisle Co., Inc. ...................... 700 29,137
Harsco Corp. ............................ 900 18,169
Hillenbrand Industries, Inc. ............ 1,500 69,375
Stewart & Stevenson Services, Inc. ...... 800 19,200
Trinity Industries, Inc. ................ 400 9,625
220,131
--------------
MANUFACTURING - SPECIALIZED (1.9%)
Albany International Corp. - Class A + .. 314 3,376
Diebold, Inc. ........................... 1,500 39,000
Donaldson Co., Inc. ..................... 500 11,312
Federal Signal Corp. .................... 600 14,025
Flowserve Corp. ......................... 500 10,063
Jabil Circuit, Inc. + ................... 3,100 176,894
Nordson Corp. ........................... 600 17,212
Teleflex, Inc. .......................... 700 24,194
York International Corp. ................ 600 16,312
312,388
--------------
METAL FABRICATORS (0.1%)
Kennametal, Inc. ........................ 700 20,563
Ryerson Tull, Inc. ...................... 300 2,250
22,813
--------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (1.4%)
AGL Resources, Inc. ..................... 1,100 22,413
Kinder Morgan, Inc. ..................... 1,800 69,412
MCN Energy Group, Inc. .................. 1,300 32,013
National Fuel Gas Co. ................... 700 37,537
Questar Corp. ........................... 1,100 29,769
Vectren Corp. ........................... 800 18,500
Washington Gas Light Co. ................ 500 12,750
222,394
--------------
OFFICE EQUIPMENT & SUPPLIES (0.5%)
Herman Miller, Inc. ..................... 1,100 28,738
HON INDUSTRIES Inc. ..................... 1,200 28,875
Reynolds and Reynolds Co. (The) ......... 1,200 21,450
Wallace Computer Services, Inc. ......... 500 7,250
86,313
--------------
NUMBER OF MARKET VALUE
SHARES
------------ --------------
OIL & GAS - DRILLING & EQUIPMENT (5.4%)
BJ Services Co. + ....................... 2,600 136,338
Cooper Cameron Corp. + .................. 1,300 70,850
ENSCO International Inc. ................ 3,200 106,400
Global Marine Inc. + .................... 4,100 108,650
Grant Prideco, Inc. + ................... 1,600 29,700
Helmerich & Payne, Inc. ................. 1,500 47,156
Noble Drilling Corp. + .................. 4,100 170,406
Smith International, Inc. + ............. 1,100 77,550
Tidewater, Inc. ......................... 900 41,569
Varco International, Inc. + ............. 1,941 33,482
Weatherford International, Inc. ......... 1,800 65,700
887,801
--------------
OIL & GAS - EXPLORATION/PRODUCTION (1.2%)
Murphy Oil Corp. ........................ 800 46,350
Noble Affiliates, Inc. .................. 1,700 62,368
Ocean Energy, Inc. + .................... 5,000 69,375
Pioneer Natural Resources Co. + ......... 1,900 24,819
202,912
--------------
OIL & GAS - REFINING & MARKETING (0.6%)
Ultramar Diamond Shamrock Corp. ......... 1,200 31,500
Valero Energy Corp. ..................... 1,800 59,513
91,013
--------------
PAPER & FOREST PRODUCTS (0.7%)
Bowater, Inc. ........................... 900 48,712
Georgia-Pacific Corp. (Timber Group) .... 1,100 31,144
Glatfelter (P.H.) Co. ................... 500 5,219
Longview Fibre Co. ...................... 700 9,537
Rayonier, Inc. .......................... 500 17,594
Wausau-Mosinee Paper Corp. .............. 200 1,760
113,966
--------------
PERSONAL CARE (0.2%)
Carter-Wallace, Inc. .................... 500 13,719
Perrigo Co. + ........................... 2,200 14,575
28,294
--------------
PHOTOGRAPHY/IMAGING (0.3%)
Imation Corp. + ......................... 300 5,944
Infocus Corp. + ......................... 800 35,350
41,294
--------------
POWER PRODUCERS - INDEPENDENT (1.2%)
Calpine Corp. + ......................... 2,400 189,450
--------------
PUBLISHING (0.4%)
Houghton Mifflin Co. .................... 200 7,363
Reader's Digest Association, Inc. (The) . 700 25,681
Scholastic Corp. + ...................... 400 32,000
65,044
--------------
PUBLISHING - NEWSPAPERS (0.7%)
Belo (A.H.) Corp. - Series A ............ 1,800 34,538
Lee Enterprises, Inc. ................... 800 22,100
NUMBER OF MARKET VALUE
SHARES
------------ --------------
PUBLISHING - NEWSPAPERS (CONTINUED)
Washington Post Co. ..................... 100 53,412
110,050
--------------
RAILROADS (0.2%)
GATX Corp. .............................. 700 29,444
Wisconsin Central Transportation Co. + .. 600 7,687
37,131
--------------
RESTAURANTS (0.8%)
Bob Evans Farms, Inc. ................... 200 3,763
Brinker International, Inc. + ........... 2,000 78,500
CBRL Group, Inc. ........................ 700 12,512
Lone Star Steakhouse & Saloon, Inc. + ... 400 3,375
Outback Steakhouse, Inc. + .............. 1,050 29,925
Papa John's International, Inc. + ....... 400 10,050
138,125
--------------
RETAIL - COMPUTERS & ELECTRONICS (0.8%)
CDW Computer Centers, Inc. + ............ 1,400 90,212
Tech Data Corp. + ....................... 800 33,300
123,512
--------------
RETAIL - DEPARTMENT STORES (0.3%)
Neiman Marcus Group, Inc. (The) - Class A
+....................................... 900 33,412
Saks Inc. + ............................. 2,100 21,394
54,806
--------------
RETAIL - DISCOUNTERS (0.4%)
Dollar Tree Stores, Inc. + .............. 750 29,344
Family Dollar Stores, Inc. .............. 1,200 23,325
Ross Stores, Inc. ....................... 1,100 14,506
67,175
--------------
RETAIL - GENERAL MERCHANDISE CHAIN (0.2%)
BJ's Wholesale Club, Inc. + ............. 1,200 39,525
--------------
RETAIL - HOME SHOPPING (0.0%)
Lands' End, Inc. + ...................... 200 5,130
--------------
RETAIL - SPECIALITY (0.6%)
Barnes & Noble, Inc. + .................. 1,200 22,650
Borders Group, Inc. + ................... 1,500 20,812
Claire's Stores, Inc. ................... 600 12,075
Officemax, Inc. + ....................... 1,300 3,738
Payless ShoeSource, Inc. + .............. 400 23,175
Williams-Sonoma, Inc. + ................. 400 8,325
90,775
--------------
RETAIL STORES - FOOD CHAINS (0.0%)
Ruddick Corp. ........................... 300 3,938
--------------
SAVINGS & LOAN COMPANIES (1.1%)
Astoria Financial Corp. ................. 900 33,750
Dime Bancorp, Inc. ...................... 2,600 63,537
GreenPoint Financial Corp. .............. 1,600 47,600
Roslyn Bancorp, Inc. .................... 800 17,350
Sovereign Bancorp, Inc. ................. 1,500 12,469
Webster Financial Corp. ................. 600 14,625
189,331
--------------
NUMBER OF MARKET VALUE
SHARES
------------ --------------
SERVICES - ADVERTISING/MARKETING (0.6%)
ACNielsen Corp. + ....................... 700 16,756
Acxiom Corp. + .......................... 1,400 56,350
Harte-Hanks, Inc. ....................... 1,200 26,550
99,656
--------------
SERVICES - COMMERCIAL & CONSUMER (1.3%)
Apollo Group, Inc. ...................... 1,400 54,775
DeVry, Inc. + ........................... 1,000 36,937
Dun & Bradstreet Corp. + ................ 500 10,812
NCO Group, Inc. + ....................... 300 6,563
Ogden Corp. ............................. 1,400 19,250
Pittston Brink's Group .................. 400 6,350
Sylvan Learning Systems, Inc. + ......... 600 9,263
Viad Corp. .............................. 2,900 61,987
205,937
--------------
SERVICES - COMPUTER SYSTEMS (1.4%)
Comdisco, Inc. .......................... 4,300 52,944
Gartner Group, Inc. + ................... 900 7,875
Investment Technology Group, Inc. + ..... 600 21,600
Keane, Inc. + ........................... 1,500 19,500
MarchFirst, Inc. + ...................... 1,000 5,812
SunGard Data Systems Inc. + ............. 2,300 117,587
Sykes Enterprises, Inc. + ............... 500 2,688
228,006
--------------
SERVICES - DATA PROCESSING (4.1%)
CheckFree Corp. + ....................... 1,300 64,675
Concord EFS, Inc. + ..................... 3,450 142,528
CSG Systems International, Inc. + ....... 1,300 60,369
DST Systems, Inc. + ..................... 3,800 234,175
Fiserv, Inc. + .......................... 2,900 152,068
NOVA Corp. + ............................ 900 14,119
667,934
--------------
SERVICES - EMPLOYMENT (1.4%)
Kelly Services, Inc. .................... 500 11,094
Korn/Ferry International + .............. 600 21,000
Manpower, Inc. .......................... 1,000 34,812
Modis Professional Services, Inc. + ..... 900 3,713
Robert Half International, Inc. + ....... 5,400 164,700
235,319
--------------
SHIPPING (0.1%)
Alexander & Baldwin, Inc. ............... 500 12,469
Overseas Shipholding Group, Inc. ........ 400 9,600
22,069
--------------
SPECIALITY PRINTING (0.0%)
Banta Corp. ............................. 300 6,919
--------------
STEEL (0.2%)
AK Steel Holding Corp. .................. 1,600 14,800
Carpenter Technology Corp. .............. 300 9,300
UCAR International, Inc. + .............. 200 1,650
25,750
--------------
NUMBER OF MARKET VALUE
SHARES
------------ --------------
TELEPHONE (1.3%)
Broadwing Inc. .......................... 3,600 101,700
Telephone & Data Systems, Inc. .......... 1,000 105,500
207,200
--------------
TEXTILES - APPAREL (0.3%)
Jones Apparel Group, Inc. + ............. 1,950 54,234
--------------
TEXTILES - HOME FURNISHINGS (0.3%)
Mohawk Industries, Inc. + ............... 700 15,269
Shaw Industries, Inc. + ................. 2,000 37,125
52,394
--------------
TEXTILES - SPECIALITY (0.1%)
Unifi, Inc. + ........................... 700 6,081
Wellman, Inc. ........................... 400 6,000
12,081
--------------
TRUCKERS (0.2%)
Arnold Industries, Inc. ................. 200 3,513
C.H. Robinson Worldwide, Inc. ........... 600 32,812
Swift Transportation Co., Inc. + ........ 300 4,275
40,600
--------------
WATER UTILITIES (0.1%)
American Water Works Co., Inc. .......... 700 17,063
TOTAL COMMON STOCKS (COST $14,543,781) 16,163,146
--------------
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS (2.3%)
Federal Farm Credit Bank,6.45%,11/01/00 . $373,000 373,000
TOTAL SHORT-TERM INVESTMENTS 373,000
(COST $373,000)
--------------
TOTAL INVESTMENTS (COST $14,916,781)(A) 16,536,146
OTHER ASSETS LESS LIABILITIES (137,876 )
--------------
TOTAL NET ASSETS $16,398,270
--------------
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 15
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS MID CAP (CONTINUED)
16 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 17
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS MID CAP (CONTINUED)
18 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$15,281,792. Unrealized gains and losses, based on identified tax cost at
October 31, 2000, are as follows:
Unrealized gains............................. $ 2,321,157
Unrealized losses............................ (1,066,803)
----------------------
Net unrealized gain......................... $ 1,254,354
======================
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 19
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS SMALL CAP
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
COMMON STOCKS (97.6%)
AEROSPACE/DEFENSE (0.7%)
Alliant Techsystems Inc. + ................ 300 $ 26,981
BE Aerospace, Inc. + ...................... 1,000 16,500
Orbital Sciences Corp. + .................. 700 5,556
Teledyne Technologies Inc. + .............. 600 15,038
64,075
------------
AGRICULTURE (0.4%)
Corn Products International, Inc. ......... 300 7,538
Delta and Pine Land Co. ................... 1,100 26,881
34,419
------------
AIR FREIGHT (0.7%)
Expeditors International of Washington,
Inc....................................... 1,300 67,437
Fritz Companies, Inc. + ................... 400 3,250
70,687
------------
AIRLINES (0.5%)
Atlantic Coast Airlines Holdings, Inc. + .. 200 7,150
Mesa Air Group, Inc. + .................... 600 3,525
SkyWest, Inc. ............................. 700 35,350
46,025
------------
AUTO PARTS & EQUIPMENT (1.0%)
Applied Industrial Technologies, Inc. ..... 800 13,550
Gentex Corp. + ............................ 1,600 39,600
Intermet Corp. ............................ 300 2,250
MascoTech, Inc. ........................... 1,100 18,356
Midas, Inc. ............................... 300 4,162
Simpson Industries, Inc. .................. 200 2,363
Standard Motor Products, Inc. ............. 300 2,512
Tenneco Automotive Inc. ................... 1,500 6,469
Tower Automotive, Inc. + .................. 500 5,500
94,762
------------
BANKS & THRIFTS (0.1%)
First BanCorp. ............................ 600 13,763
------------
BANKS - REGIONAL (4.3%)
Centura Banks, Inc. ....................... 900 34,594
Chittenden Corp. .......................... 600 15,937
Commerce Bancorp, Inc. .................... 705 42,697
Commercial Federal Corp. .................. 1,300 22,750
Community First Bankshares, Inc. .......... 1,000 15,500
Cullen/Frost Bankers, Inc. ................ 1,300 43,306
First Midwest Bancorp, Inc. ............... 900 22,556
GBC Bancorp ............................... 300 9,562
Imperial Bancorp + ........................ 1,000 24,312
Investors Financial Services Corp. ........ 900 64,519
Provident Bankshares Corp. ................ 551 10,435
Riggs National Corp. ...................... 600 6,750
South Financial Group, Inc. (The) ......... 400 4,075
Southwest Bancorporation of Texas, Inc. + . 900 32,850
Susquehanna Bancshares, Inc. .............. 800 11,300
NUMBER OF MARKET
SHARES VALUE
------------ ------------
BANKS - REGIONAL (CONTINUED)
TrustCo Bank Corp. NY ..................... 1,288 $ 15,456
United Bankshares, Inc. ................... 900 17,550
Whitney Holdings Corp. .................... 500 18,469
412,618
------------
BEVERAGES - ALCOHOLIC (0.4%)
Constellation Brands, Inc. + .............. 800 39,000
------------
BEVERAGES - NON-ALCOHOLIC (0.2%)
Coca-Cola Bottling Co. Consolidated ....... 200 7,200
Triarc Co., Inc. + ........................ 500 12,469
19,669
------------
BIOTECHNOLOGY (5.0%)
Advanced Tissue Sciences, Inc. + .......... 1,900 13,537
Alliance Pharmaceutical Corp. + ........... 1,400 19,775
Bio-Technology General Corp. + ............ 1,100 11,550
Biomatrix, Inc. + ......................... 600 11,475
Cephalon, Inc. + .......................... 1,000 53,625
COR Therapeutics, Inc. + .................. 1,700 96,050
Enzo Biochem, Inc. + ...................... 600 23,100
IDEXX Laboratories, Inc. + ................ 1,100 26,400
Immune Response Corp. (The) + ............. 600 3,638
Organogenesis Inc. + ...................... 600 7,524
Protein Design Labs, Inc. + ............... 400 54,031
Regeneron Pharmaceuticals + ............... 1,100 29,425
Techne Corp. + ............................ 600 67,650
Vertex Pharmaceutical, Inc. + ............. 600 55,866
473,646
------------
BUILDING MATERIALS GROUP (0.2%)
Apogee Enterprises, Inc. .................. 1,200 6,300
Simpson Manufacturing Co., Inc. + ......... 300 12,788
19,088
------------
CHEMICALS (0.1%)
ChemFirst Inc. ............................ 400 9,200
------------
CHEMICALS - DIVERSIFIED (0.0%)
Penford Corp. ............................. 200 2,550
------------
CHEMICALS - SPECIALITY (1.0%)
Arch Chemicals, Inc. ...................... 500 9,719
Cambrex Corp. ............................. 600 23,962
Lilly Industries, Inc. ................... 600 18,000
MacDermid, Inc. ........................... 600 12,900
Material Sciences Corp. + ................. 300 3,038
OM Group, Inc. ............................ 600 27,750
Quaker Chemical Corp. ..................... 200 3,437
98,806
------------
COMMUNICATIONS EQUIPMENT (2.9%)
Adaptive Broadband Corp. + ................ 400 6,425
Allen Telecom Inc. + ...................... 600 11,212
Anixter International, Inc. + ............. 900 21,825
Aspect Communications Corp. + ............. 500 8,242
Brightpoint, Inc. + ....................... 1,200 7,988
NUMBER OF MARKET
SHARES VALUE
------------ ------------
COMMUNICATIONS EQUIPMENT (CONTINUED)
Brooktrout Technology, Inc. + ............. 300 $ 4,331
Cable Design Technologies, Inc. + ......... 1,750 40,359
DMC Stratex Networks, Inc. + .............. 1,800 41,625
Inter-Tel, Inc. ........................... 600 6,938
P-Com, Inc. + ............................. 800 4,500
Plantronics, Inc. + ....................... 1,200 54,750
Proxim, Inc. + ............................ 800 48,500
Symmetricom, Inc. + ....................... 750 9,563
ViaSat, Inc. + ............................ 600 13,200
279,458
------------
COMPUTERS - HARDWARE (0.7%)
Auspex Systems, Inc. + .................... 600 6,075
National Instruments Corp. + .............. 1,200 56,025
Telxon Corp. + ............................ 300 6,731
68,831
------------
COMPUTERS - NETWORKING (0.2%)
Digi International, Inc. + ................ 200 1,450
Network Equipment Technology Inc. + ....... 500 4,750
Standard Microsystems Corp. + ............. 400 9,600
15,800
------------
COMPUTERS - PERIPHERALS (0.6%)
Hutchinson Technology Inc. + .............. 800 17,550
Innovex, Inc. ............................. 300 4,200
NYFIX, Inc. + ............................. 600 23,700
Read-Rite Corp. + ......................... 1,400 10,412
55,862
------------
COMPUTERS SOFTWARE/SERVICES (4.7%)
American Management Systems, Inc. + ....... 400 8,650
Aspen Technology, Inc. + .................. 900 37,181
Avant! Corp. + ............................ 800 13,450
Avid Technology, Inc. + ................... 600 8,325
AVT Corp. + ............................... 600 3,769
Aware, Inc. + ............................. 500 15,469
BARRA, Inc. + ............................. 600 36,675
CACI International Inc. + ................. 300 6,188
Dendrite International, Inc. + ............ 900 19,575
eLoyalty Corp. + .......................... 1,000 9,625
ePresence, Inc. + ......................... 500 3,531
Fair Isaac & Co., Inc. .................... 400 16,400
FileNET Corp. + ........................... 800 21,200
Great Plains Software, Inc. + ............. 200 7,787
Henry (Jack) & Associates, Inc. ........... 1,000 55,000
HNC Software Inc. + ....................... 700 14,219
Kronos, Inc. + ............................ 350 12,753
Phoenix Technologies Ltd. + ............... 600 9,637
Progress Software Corp. + ................. 900 14,231
QRS Corp. + ............................... 200 1,688
RadiSys Corp. + ........................... 400 10,600
Remedy Corp. + ............................ 700 11,987
NUMBER OF MARKET
SHARES VALUE
------------ ------------
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
RSA Security Inc. + ....................... 1,000 $ 58,000
SAGA SYSTEMS, Inc. + ...................... 900 4,838
SPSS Inc. + .............................. 200 4,500
Systems & Computer Technology Corp. + ..... 800 11,550
THQ Inc. + ................................ 400 8,200
Verity, Inc. + ............................ 900 21,150
446,178
------------
CONSTRUCTION (0.2%)
Florida Rock Industries, Inc. ............. 400 15,550
------------
CONSUMER - JEWELRY/NOVELTIES (0.2%)
Cross (A.T.) Co. + ........................ 400 1,925
Cyrk International, Inc. + ................ 300 1,163
Department 56, Inc. + ..................... 300 4,256
Enesco Group, Inc. ........................ 200 1,350
Franklin Covey Co. + ...................... 300 2,400
Russ Berrie & Co., Inc. ................... 500 11,344
22,438
------------
CONSUMER FINANCE (0.9%)
Americredit Corp. + ....................... 3,100 83,312
Cash America International, Inc. .......... 500 2,594
85,906
------------
DISTRIBUTORS - FOOD & HEALTH (2.0%)
Bindley Western Industries, Inc. .......... 1,133 40,717
Fleming Companies, Inc. ................... 800 11,350
Morrison Management Specialists, Inc. ..... 300 10,050
Nash-Finch Co. ............................ 200 2,475
Owens & Minor, Inc. ....................... 1,000 15,125
Patterson Dental Co. + .................... 1,500 46,969
Performance Food Group Co.+ ............... 300 12,150
Priority Healthcare Corp. - Class B + ..... 869 46,709
United Natural Foods, Inc. + .............. 400 5,025
190,570
------------
ELECTRIC COMPANIES (1.4%)
Avista Corp. .............................. 1,000 22,437
Bangor Hydro-Electric Co. ................. 200 4,913
Central Vermont Public Service Corp. ...... 300 3,019
CH Energy Group, Inc. ..................... 400 15,750
Green Mountain Power Corp. ................ 200 1,550
Northwestern Corp. ........................ 700 15,487
RGS Energy Group Inc. ..................... 900 26,550
UIL Holdings Corp. ........................ 600 28,087
Unisource Energy Corp. .................... 900 13,444
131,237
------------
ELECTRICAL EQUIPMENT (7.3%)
APW Ltd. + ................................ 1,000 46,187
Artesyn Technologies, Inc. + .............. 900 36,562
Baldor Electric Co. ....................... 1,000 19,875
Belden, Inc. .............................. 600 15,563
Benchmark Electronics, Inc. + ............. 800 32,200
NUMBER OF MARKET
SHARES VALUE
------------ ------------
ELECTRICAL EQUIPMENT (CONTINUED)
Black Box Corp. + ......................... 500 $ 32,937
C&D Technologies, Inc. .................... 900 53,212
C-COR.net Corp. + ......................... 1,000 15,625
Checkpoint Systems, Inc. + ................ 800 6,350
Cohu, Inc. ................................ 200 3,163
Electro Scientific Industries, Inc. + ..... 900 31,444
Harman International Industries ........... 1,100 52,800
Itron, Inc. + ............................. 300 1,763
KEMET Corp. + ............................. 2,800 78,050
Park Electrochemical Corp. ................ 400 26,425
Plexus Corp. + ............................ 1,000 63,062
Smith (A.O.) Corp. ........................ 500 7,063
Technitrol, Inc. .......................... 700 77,612
Three-Five Systems, Inc. + ................ 549 18,941
Vicor Corp. + ............................. 1,100 59,400
Watsco, Inc. .............................. 1,150 10,833
Zixit Corp. + ............................. 400 9,775
698,842
------------
ELECTRONICS - COMPONENT DIST. (0.2%)
Kent Electronics Corp. + .................. 800 14,900
Pioneer Standard Electronics Corp. ........ 600 8,325
23,225
------------
ELECTRONICS - DEFENSE (1.0%)
Aeroflex Inc. ............................. 1,225 72,887
Mercury Computer Systems, Inc. + .......... 700 21,700
94,587
------------
ELECTRONICS - INSTRUMENTS (1.3%)
Alpha Industries, Inc. + .................. 900 35,887
Analogic Corp. ............................ 300 10,594
Coherent, Inc. + .......................... 600 20,887
Meade Instruments Corp. + ................. 300 5,494
Methode Electronics, Inc. ................. 800 30,100
Trimble Navigation Ltd. + ................. 600 14,250
X-Rite, Inc. .............................. 400 2,700
119,912
------------
ELECTRONICS - SEMICONDUCTORS (2.4%)
Actel Corp. + ............................. 1,000 36,625
Alliance Semiconductor Corp. + ............ 1,000 20,000
AXT, Inc. + ............................... 500 19,250
C-Cube Microsystems Inc. .................. 1,100 21,450
Dallas Semiconductor Corp. ................ 1,900 75,288
ESS Technology, Inc. + .................... 900 13,950
General Semiconductor Corp. + ............. 1,100 12,581
Pericom Semiconductor Corp. + ............. 1,000 26,500
S3 Inc. + ................................. 900 8,128
233,772
------------
ENGINEERING & CONSTRUCTION (0.8%)
Butler Manufacturing Co. .................. 200 4,925
Dycom Industries, Inc. + .................. 1,325 49,853
NUMBER OF MARKET
SHARES VALUE
------------ ------------
ENGINEERING & CONSTRUCTION (CONTINUED)
URS Corp. + ............................... 700 $ 8,969
Washington Group International, Inc. + .... 1,300 13,650
77,397
------------
EQUIPMENT - SEMICONDUCTORS (1.0%)
Electroglas, Inc. + ....................... 500 7,031
Helix Technology Corp. .................... 500 13,937
Kulicke & Soffa Industries, Inc. + ........ 1,100 16,156
Phototronics, Inc. + ...................... 600 13,538
Silicon Valley Group, Inc. + .............. 900 29,644
SpeedFam-IPEC, Inc. + ..................... 600 5,700
Ultratech Stepper, Inc. + ................. 400 9,400
95,406
------------
FINANCIAL - DIVERSIFIED (0.2%)
Mutual Risk Management Ltd. ............... 1,300 23,563
------------
FOODS (1.3%)
Agribrands International, Inc. + .......... 300 13,050
American Italian Pasta Co. - Class A + .... 200 4,013
Earthgrains Co. (The) ..................... 400 8,100
Hain Celestial Group, Inc. + .............. 700 27,781
International Multifoods Corp. ............ 200 3,388
J&J Snack Foods Corp. + ................... 200 2,688
Michael Foods, Inc. ....................... 600 16,162
Ralcorp Holdings, Inc. + .................. 900 12,656
Smithfields Foods, Inc. + ................. 1,400 40,162
128,000
------------
FOOTWEAR (1.1%)
K-Swiss Inc. .............................. 400 11,000
Stride Rite Corp. ......................... 500 2,688
Timberland Co. (The) + .................... 1,600 82,600
Wolverine World Wide, Inc. ................ 900 9,731
106,019
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.6%)
Anchor Gaming + ........................... 300 25,481
Aztar Corp. + ............................. 1,600 24,200
Pinnacle Entertainment, Inc. + ............ 300 6,844
56,525
------------
GOLD/PRECIOUS METALS MINING (0.1%)
Stillwater Mining Co. + ................... 400 11,600
------------
HARDWARE & TOOLS (0.4%)
Scotts Co. (The) + ........................ 700 25,025
Toro Co. .................................. 300 10,500
WD-40 Co. ................................. 300 6,562
42,087
------------
HEALTH CARE - DRUGS (2.8%)
Alpharma Inc. - Class A ................... 1,000 38,813
Barr Laboratories, Inc. + ................. 1,050 66,281
Cygnus, Inc. + ............................ 500 4,469
Dura Pharmaceuticals, Inc. + .............. 1,400 48,212
Medicis Pharmaceutical Corp. + ............ 1,000 73,625
NUMBER OF MARKET
SHARES VALUE
------------ ------------
HEALTH CARE - DRUGS (CONTINUED)
Noven Pharmaceuticals, Inc. + ............. 700 $ 31,194
262,594
------------
HEALTH CARE - HOSPITAL MANAGEMENT (1.4%)
Province Healthcare Co. + ................. 700 29,487
Universal Health Services, Inc. + ......... 1,200 100,650
130,137
------------
HEALTH CARE - MANAGED CARE (0.9%)
Coventry Health Care, Inc. + .............. 2,400 43,800
Mid Atlantic Medical Services, Inc. + ..... 1,800 30,600
US Oncology, Inc. + ....................... 2,200 11,825
86,225
------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (2.0%)
ADAC Laboratories + ....................... 900 11,700
CONMED Corp. + ............................ 300 4,406
Cooper Companies, Inc. .................... 300 10,725
Datascope Corp. + ......................... 400 13,850
Diagnostic Products Corp. ................. 300 13,687
Hologic, Inc. + ........................... 300 1,988
Invacare Corp. ............................ 700 19,950
Laser Vision Centers, Inc. + .............. 800 3,250
Mentor Corp. .............................. 500 8,813
ResMed Inc. + ............................. 700 17,850
Respironics, Inc. + ....................... 700 13,737
Sola International, Inc. + ................ 500 2,156
Spacelabs Medical, Inc. + ................. 100 1,063
Sunrise Medical Inc. + .................... 500 4,656
Syncor International Corp. + .............. 600 15,412
Varian Medical Systems, Inc. + ............ 800 39,100
Vital Signs, Inc. ......................... 300 9,338
191,681
------------
HEALTH CARE - SPECIAL SERVICES (1.7%)
Advance Paradigm, Inc. + .................. 600 29,325
Curative Health Services, Inc. + .......... 300 1,650
Hooper Holmes, Inc. ....................... 700 6,643
MAXIMUS, Inc. + ........................... 500 12,281
Orthodontic Centers of America, Inc. + .... 1,200 40,050
PAREXEL International Corp. + ............. 800 7,000
Pediatrix Medical Group, Inc. + ........... 500 7,969
Pharmaceutical Product Development, Inc. + 1,000 31,312
Renal Care Group, Inc. + .................. 1,050 24,675
160,905
------------
HOMEBUILDING (2.2%)
D.R. Horton, Inc. ......................... 2,689 49,746
MDC Holdings, Inc. ........................ 900 24,637
NVR, Inc. + ............................... 400 41,360
Ryland Group, Inc. ........................ 500 16,125
Skyline Corp. ............................. 200 4,338
Standard Pacific Corp. .................... 1,100 20,625
NUMBER OF MARKET
SHARES VALUE
------------ ------------
HOMEBUILDING (CONTINUED)
Toll Brothers, Inc. + ..................... 1,500 $ 48,750
205,581
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.4%)
Ethan Allen Interiors, Inc. ............... 850 24,863
La-Z-Boy, Inc. ............................ 600 9,450
34,313
------------
HOUSEWARES (0.3%)
Libbey Inc. ............................... 500 13,625
National Presto Industries, Inc. .......... 200 6,075
Royal Appliance Manufacturing Co. + ....... 300 1,725
Salton, Inc. + ............................ 300 6,863
28,288
------------
INSURANCE - LIFE/HEALTH (0.3%)
Delphi Financial Group, Inc. + ............ 648 23,976
------------
INSURANCE - PROPERTY/CASUALTY (2.0%)
Enhance Financial Services Group, Inc. ... 400 4,650
Fidelity National Financial, Inc. ......... 2,800 68,775
First American Financial Corp. ............ 1,600 33,500
Radian Group Inc. ......................... 900 63,787
RLI Corp. ................................. 200 7,825
SCPIE Holdings Inc. ....................... 200 3,800
Selective Insurance Group, Inc. ........... 600 10,350
192,687
------------
INSURANCE BROKERS (1.1%)
Gallagher (Arthur J.) & Co. ............... 1,500 94,687
Hilb, Rogal and Hamilton Co. .............. 300 11,888
106,575
------------
INVESTMENT BANKING/BROKERAGE (1.5%)
Dain Rauscher Corp. ....................... 300 28,144
Jefferies Group, Inc. ..................... 600 16,350
Morgan Keegan, Inc. ....................... 1,000 19,937
National Discount Brokers Group, Inc. + ... 200 9,738
Raymond James Financial, Inc. ............. 1,400 47,337
Southwest Securities Group, Inc. .......... 200 5,650
Tucker Anthony Sutro Corp. ................ 500 11,563
138,719
------------
INVESTMENT MANAGEMENT (0.4%)
Eaton Vance Corp. ......................... 800 39,850
------------
LEISURE TIME - PRODUCTS (0.6%)
Arctic Cat, Inc. .......................... 600 7,687
Huffy Corp. ............................... 300 3,000
K2 Inc. + ................................. 500 4,750
Polaris Industries, Inc. .................. 600 20,850
SCP Pool Corp. + .......................... 450 11,644
Sturm, Ruger & Co., Inc. .................. 600 5,063
Thor Industries, Inc. ..................... 300 6,000
58,994
------------
LODGING - HOTELS (0.2%)
Marcus Corp. .............................. 500 7,094
NUMBER OF MARKET
SHARES VALUE
------------ ------------
LODGING - HOTELS (CONTINUED)
Prime Hospitality Corp. + ................. 1,400 $ 13,300
20,394
------------
MACHINERY - DIVERSIFIED (0.3%)
Gardner Denver Machinery, Inc. + .......... 400 7,350
Manitowoc Co., Inc. (The) ................. 250 6,797
Milacron, Inc. ............................ 800 12,750
26,897
------------
MANUFACTURING - DIVERSIFIED (1.7%)
Amcast Industrial Corp. ................... 100 1,000
Barnes Group, Inc. ........................ 400 7,700
CLARCOR, Inc. ............................. 500 9,562
CUNO Inc. + ............................... 400 10,150
Esterline Technologies Corp. + ............ 700 15,619
GenCorp, Inc. ............................. 1,300 10,887
Graco, Inc. ............................... 500 17,969
Griffon Corp. + ........................... 500 3,813
Idex Corp. ................................ 700 22,575
Kaman Corp. ............................... 500 7,250
Lawson Products, Inc. ..................... 200 5,425
Myers Industries, Inc. .................... 517 6,850
Scott Technologies, Inc. + ................ 400 9,200
Standex International Corp. ............... 300 5,494
Thomas Industries, Inc. ................... 400 8,400
Tredegar Industries, Inc. ................. 400 7,625
Valmont Industries, Inc. .................. 500 10,187
159,706
------------
MANUFACTURING - SPECIALIZED (3.0%)
AptarGroup, Inc. .......................... 800 16,550
BMC Industries, Inc. ...................... 300 1,781
Brady (W.H.) Co. .......................... 500 15,500
Cognex Corp. + ............................ 1,100 36,850
CTS Corp. ................................. 600 25,762
Dionex Corp. + ............................ 200 6,488
Flow International Corp. + ................ 300 3,750
Insituform Technologies, Inc. + ........... 600 21,412
Intermagnetics General Corp. + ............ 515 13,197
Ionics, Inc. + ............................ 200 4,188
JLG Industries, Inc. ...................... 1,800 25,087
Lindsay Manufacturing Co. ................. 300 6,300
Lydall, Inc. + ............................ 300 3,169
Paxar Corp. + ............................. 1,000 8,188
Regal-Beloit Corp. ........................ 500 8,375
Reliance Steel & Aluminum Co. ............. 600 14,250
Robbins & Myers, Inc. ..................... 300 7,256
Roper Industries, Inc. .................... 700 24,500
Specialty Equipment Companies, Inc. + ..... 400 12,125
SPS Technologies, Inc. + .................. 300 15,487
Valence Technology, Inc. + ................ 1,000 13,938
NUMBER OF MARKET
SHARES VALUE
------------ ------------
MANUFACTURING - SPECIALIZED (CONTINUED)
Watts Industries, Inc. .................... 600 $ 6,713
290,866
------------
METAL FABRICATORS (1.0%)
Brush Wellman, Inc. ....................... 400 8,175
Mueller Industries, Inc. + ................ 400 9,325
RTI International Metals, Inc. + .......... 400 5,800
Shaw Group, Inc. + ........................ 800 65,200
Wolverine Tube, Inc. + .................... 300 4,087
92,587
------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (1.8%)
Atmos Energy Corp. ........................ 800 18,500
Cascade Natural Gas Corp. ................. 300 5,531
Energen Corp. ............................. 900 25,762
Laclede Gas Co. ........................... 400 8,750
New Jersey Resources Corp. ................ 400 15,975
Northwest Natural Gas Co. ................. 500 11,719
NUI Corp. ................................. 300 9,356
Piedmont Natural Gas Co., Inc. ............ 700 21,350
Southern Union Co. + ...................... 1,200 22,575
Southwest Gas Corp. ....................... 700 14,613
Southwestern Energy Co. ................... 600 4,800
UGI Corp. ................................. 600 13,913
172,844
------------
OFFICE EQUIPMENT & SUPPLIES (0.4%)
Nashua Corp. + ............................ 100 581
New England Business Service, Inc. ........ 300 5,213
United Stationers, Inc. + ................. 1,000 30,062
35,856
------------
OIL & GAS - DRILLING & EQUIPMENT (1.8%)
Atwood Oceanics, Inc. + ................... 300 10,069
Cal Dive International, Inc. + ............ 400 19,900
Dril-Quip, Inc. + ......................... 400 13,200
Friede Goldman International, Inc. + ...... 1,000 5,750
Input/Output, Inc. + ...................... 2,000 16,875
Oceaneering International, Inc. + ......... 600 8,437
Offshore Logistics, Inc. + ................ 400 6,900
Pride International, Inc. + ............... 1,600 40,500
SEACOR SMIT Inc. + ........................ 400 16,750
Seitel, Inc. + ............................ 600 9,000
Veritas DGC, Inc. + ....................... 700 21,000
168,381
------------
OIL & GAS - EXPLORATION/PRODUCTION (4.5%)
Barrett Resources Corp. + ................. 800 29,100
Cabot Oil & Gas Corp. ..................... 700 13,738
Cross Timbers Oil Co. ..................... 2,800 52,675
HS Resources, Inc. + ...................... 600 18,675
Louis Dreyfus Natural Gas Corp. + ......... 1,400 44,887
Nuevo Energy Co.+ ......................... 600 10,875
Newfield Exploration Co. + ................ 1,300 49,075
NUMBER OF MARKET
SHARES VALUE
------------ ------------
OIL & GAS - EXPLORATION/PRODUCTION (CONTINUED)
Patina Oil & Gas Corp. .................... 600 $ 10,538
Plains Resources Inc. + ................... 400 7,650
Pogo Producing Co. ........................ 1,700 42,500
Remington Oil & Gas Corp. + ............... 800 7,350
St. Mary Land & Exploration Co. ........... 900 21,094
Stone Energy Corp. + ...................... 800 40,960
Swift Energy Co. + ........................ 900 29,250
Vintage Petroleum, Inc. + ................. 2,500 52,812
431,179
------------
PAPER & FOREST PRODUCTS (0.3%)
Buckeye Technologies, Inc. + .............. 900 15,412
Deltic Timber Corp. ....................... 200 3,888
Pope & Talbot, Inc. ....................... 300 4,669
23,969
------------
PERSONAL CARE (0.2%)
Natures Sunshine Products, Inc. ........... 300 2,119
NBTY, Inc. + .............................. 1,900 12,350
14,469
------------
PHOTOGRAPHY/IMAGING (0.4%)
Pinnacle Systems, Inc. + .................. 500 6,312
Zebra Technologies, Inc. + ................ 700 30,669
36,981
------------
PUBLISHING (0.4%)
Penton Media, Inc. ........................ 1,300 39,731
Thomas Nelson, Inc. ....................... 300 2,006
41,737
------------
RESTAURANTS (1.7%)
Applebee's International, Inc. ............ 600 18,122
CEC Entertainment, Inc. + ................. 650 20,719
Cheesecake Factory, Inc. (The) + .......... 700 31,019
Consolidated Products, Inc. + ............. 600 4,538
IHOP Corp. + .............................. 400 8,450
Jack in the Box Inc. + .................... 800 19,600
Landry's Seafood Restaurants, Inc. + ...... 500 4,031
Panera Bread Co. - Class A + .............. 500 10,312
Ruby Tuesday, Inc. ........................ 1,400 18,987
Ryan's Family Steak Houses, Inc. + ........ 800 6,700
Sonic Corp. + ............................. 450 16,425
Taco Cabana, Inc. + ....................... 200 1,681
160,584
------------
RETAIL - BUILDING SUPPLIES (0.1%)
Hughes Supply, Inc. ....................... 500 9,375
------------
RETAIL - DEPARTMENT STORES (0.0%)
Gottschalks Inc. + ........................ 300 1,463
------------
RETAIL - DISCOUNTERS (0.7%)
99 Cents Only Stores + .................... 766 17,187
Dress Barn, Inc. + ........................ 700 17,544
Factory 2-U Stores Inc. + ................. 300 9,581
NUMBER OF MARKET
SHARES VALUE
------------ ------------
RETAIL - DISCOUNTERS (CONTINUED)
Stein Mart, Inc. + ........................ 1,600 $ 24,800
69,112
------------
RETAIL - HOME SHOPPING (0.6%)
Damark International, Inc. + .............. 200 2,550
Insight Enterprises, Inc. + ............... 975 31,687
Lillian Vernon Corp. ...................... 100 925
PolyMedica Corp. + ........................ 300 17,250
School Specialty Inc. + ................... 500 7,688
60,100
------------
RETAIL - SPECIALITY (1.8%)
Casey's General Stores, Inc. .............. 1,200 15,000
Cost Plus, Inc. + ......................... 400 11,200
Footstar, Inc. + .......................... 500 17,937
Group 1 Automotive, Inc. + ................ 400 3,975
Hancock Fabrics, Inc. ..................... 300 1,313
Jo-Ann Stores, Inc. - Class A + ........... 400 2,600
Linens 'n Things, Inc. + .................. 800 24,600
Michaels Stores, Inc. + ................... 400 9,725
O'Reilly Automotive, Inc. + ............... 500 9,000
Pier 1 Imports, Inc. ...................... 3,800 50,350
Zale Corp. + .............................. 800 27,100
172,800
------------
RETAIL SPECIALITY - APPAREL (1.1%)
AnnTaylor Stores Corp. + .................. 700 21,000
Burlington Coat Factory Warehouse Corp. ... 400 6,300
Cato Corp. (The) .......................... 700 8,400
Chico's FAS, Inc. + ....................... 600 19,425
Men's Wearhouse, Inc. + ................... 1,050 30,712
Pacific Sunwear of California, Inc. + ..... 300 6,150
Wet Seal, Inc. (The) - Class A + .......... 600 11,250
103,237
------------
RETAIL STORES - FOOD CHAINS (0.3%)
Whole Foods Market, Inc. + ................ 600 27,750
------------
SAVINGS & LOAN COMPANIES (1.5%)
Anchor BanCorp Wisconsin, Inc. ............ 600 9,263
Downey Financial Corp. .................... 1,135 54,196
MAF Bancorp, Inc. ......................... 700 16,800
Queens County Bancorp, Inc. ............... 550 15,400
Staten Island Bancorp, Inc. ............... 900 17,381
Washington Federal, Inc. .................. 1,300 29,006
142,046
------------
SERVICES - ADVERTISING/MARKETING (0.8%)
4Kids Entertainment, Inc. + ............... 300 4,331
ADVO, Inc. + .............................. 500 18,406
Catalina Marketing Corp. + ................ 1,300 51,025
Information Resources, Inc. + ............. 600 3,188
76,950
------------
SERVICES - COMMERCIAL & CONSUMER (3.5%)
Aaron Rents, Inc. ......................... 200 3,350
NUMBER OF MARKET
SHARES VALUE
------------ ------------
SERVICES - COMMERCIAL & CONSUMER (CONTINUED)
Administaff, Inc. + ....................... 1,200 $ 42,600
Angelica Corp. ............................ 200 1,775
Central Parking Corp. ..................... 400 7,675
Cerner Corp. + ............................ 1,400 86,712
Chemed Corp. .............................. 200 6,575
ChoicePoint Inc. + ........................ 1,010 51,699
Copart, Inc. + ............................ 1,200 18,075
CPI Corp. ................................. 200 4,038
F.Y.I. Inc. + ............................. 400 16,050
G&K Services, Inc. ....................... 500 13,813
Insurance Auto Autions, Inc. + ............ 300 3,600
Kroll-O' Gara Co. (The) + ................. 400 2,350
Lennox International Inc. ................. 602 4,778
MemberWorks Inc. + ........................ 400 13,750
Pegasus Solutions Inc. + .................. 600 10,238
Pre-Paid Legal Services, Inc. + ........... 500 21,937
Profit Recovery Group International, Inc.
(The) + .................................. 400 2,150
Regis Corp. ............................... 1,000 15,125
StarTek, Inc. + ........................... 200 5,088
331,378
------------
SERVICES - COMPUTER SYSTEMS (0.2%)
Analysts International Corp. .............. 500 3,125
CIBER, Inc. + ............................. 600 4,687
Computer Task Group, Inc. ................. 200 1,050
InterVoice-Brite, Inc. + .................. 1,400 13,694
22,556
------------
SERVICES - DATA PROCESSING (1.4%)
BISYS Group, Inc. (The) + ................ 1,400 65,975
Factset Research Systems, Inc. + .......... 800 30,296
National Data Corp. ....................... 1,000 38,125
134,396
------------
SERVICES - EMPLOYMENT (0.8%)
Edgewater Technology, Inc. + .............. 600 2,944
Hall, Kinion & Associates, Inc. + ......... 300 7,931
Heidrick & Struggles International, Inc. + 500 30,906
On Assignment, Inc. + ..................... 600 15,113
Spherion Corp. ............................ 1,400 16,625
Volt Information Sciences, Inc. + ......... 300 6,525
80,044
------------
SERVICES - FACILITIES/ENVIRONMENTAL (0.5%)
ABM Industries, Inc. ...................... 500 13,969
Tetra Tech, Inc. + ........................ 950 33,012
46,981
------------
SHIPPING (0.1%)
Kirby Corp. + ............................. 600 11,063
------------
SPECIALITY PRINTING (0.3%)
Bowne & Co., Inc. ......................... 1,100 9,213
Consolidated Graphics, Inc. + ............. 600 6,450
NUMBER OF MARKET
SHARES VALUE
------------ ------------
SPECIALITY PRINTING (CONTINUED)
Harland (John H.) Co. ..................... 800 $ 11,100
26,763
------------
STEEL (0.2%)
Castle (A.M.) & Co. ....................... 200 1,975
Cleveland-Cliffs, Inc. .................... 200 4,125
Commercial Metals Co. ..................... 200 5,450
Quanex Corp. .............................. 200 3,963
15,513
------------
TELEPHONE (0.1%)
Pac-West Telecomm, Inc. + ................. 900 7,819
------------
TELEPHONE LONG DISTANCE (0.1%)
General Communication, Inc. + ............. 1,300 10,156
------------
TEXTILES - APPAREL (0.5%)
Ashworth, Inc. + .......................... 200 1,475
Haggar Corp. .............................. 100 1,300
Kellwood Co. .............................. 500 9,719
Nautica Enterprises, Inc. + ............... 700 8,837
Oshkosh B'Gosh, Inc. ...................... 300 4,800
Oxford Industries, Inc. ................... 200 3,500
Phillips-Van Heusen Corp. ................. 700 8,313
Quiksilver, Inc. + ........................ 600 11,475
49,419
------------
TEXTILES - HOME FURNISHINGS (0.2%)
Interface, Inc. ........................... 1,900 17,338
------------
TEXTILES - SPECIALITY (0.0%)
Cone Mills Corp. + ........................ 600 2,513
------------
TOBACCO (0.1%)
Schweitzer-Mauduit International, Inc. .... 500 8,094
------------
TRUCKERS (0.9%)
American Freightways Corp. + .............. 700 11,288
Arkansas Best Corp. + ..................... 700 11,200
Forward Air Corp. ......................... 500 20,562
Heartland Express, Inc. + ................. 800 13,900
Landstar Systems, Inc. + .................. 200 9,450
Roadway Express, Inc. ..................... 400 8,225
Yellow Corp. + ............................ 600 10,800
85,425
------------
TRUCKS & PARTS (0.2%)
Oshkosh Truck Corp. ....................... 400 16,450
------------
WASTE MANAGEMENT (0.0%)
TETRA Technologies, Inc. + ................ 300 4,331
------------
WATER UTILITIES (0.2%)
Philadelphia Suburban Corp. ............... 886 20,766
TOTAL COMMON STOCKS (COST $7,532,996) 9,311,886
------------
TOTAL INVESTMENTS (COST $7,532,996)(A) 9,311,886
OTHER ASSETS LESS LIABILITIES 232,577
TOTAL NET ASSETS $9,544,463
------------
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 21
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS SMALL CAP (CONTINUED)
22 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 23
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS SMALL CAP (CONTINUED)
24 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 25
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS SMALL CAP (CONTINUED)
26 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$7,699,896. Unrealized gains and losses, based on identified tax cost at
October 31, 2000, are as follows:
Unrealized gains.............................. $2,171,052
Unrealized losses............................. (559,062)
--------------------
Net unrealized gain.......................... $1,611,990
====================
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 27
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
-------------------- ------------------ ----------------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value................ $445,748,558 $16,536,146 $9,311,886
Cash ................. -- 857 137,250
Receivable for:
Dividends and
interest............. 263,963 8,482 5,035
Investments sold .... 2,841,379 105,215 186,945
Fund shares sold .... 365,628 33,966 78
Variation margin .... 87,000 -- --
Reimbursement from
Investment Adviser .. -- 6,780 5,068
Prepaid expenses ..... 3,513 181 98
Other assets ......... 1,802 -- --
------------ ----------- ----------
Total assets .... 449,311,843 16,691,627 9,646,360
------------ ----------- ----------
LIABILITIES:
Payable for:
Investments purchased 6,720,059 205,897 89,363
Fund shares redeemed 187,424 68,015 --
Other liabilities .... 357,101 19,445 12,534
------------ ----------- ----------
Total liabilities 7,264,584 293,357 101,897
------------ ----------- ----------
NET ASSETS ..... $442,047,259 $16,398,270 $9,544,463
============ =========== ==========
NET ASSETS REPRESENTED
BY:
Paid-in capital ...... $392,958,337 $12,850,985 $8,053,750
Net unrealized gain on
investments and open
futures contracts ... 70,123,975 1,619,365 1,778,890
Undistributed net
investment income ... 809,703 5,940 --
Accumulated net
realized gain (loss)
on investments ...... (21,844,756) 1,921,980 (288,177)
------------ ----------- ----------
NET ASSETS ...... $442,047,259 $16,398,270 $9,544,463
============ =========== ==========
Cost of investments .. $375,581,342 $14,916,781 $7,532,996
CAPITAL SHARES, $.001
PAR VALUE:
Class I:
Outstanding ......... 9,080,785 150,147 413,713
Net Assets .......... $170,672,796 $ 2,219,397 $4,825,013
Net Asset Value,
offering and
redemption price per
share (net assets
divided by shares
outstanding)......... $ 18.79 $ 14.78 $ 11.66
Class A:
Outstanding ......... 10,062,068 747,351 327,812
Net Assets .......... $187,566,070 $10,999,000 $3,805,778
Net Asset Value and
redemption price per
share (net assets
divided by shares
outstanding)......... $ 18.64 $ 14.72 $ 11.61
Offering price (net
asset value divided
by 1 minus maximum
sales load) ......... $ 19.22 $ 15.18 $ 11.97
Class B:
Outstanding ......... 1,758,839 107,225 26,056
Net Assets .......... $ 32,665,799 $ 1,567,813 $ 299,103
Net Asset Value,
offering and
redemption price per
share (net assets
divided by shares
outstanding)......... $ 18.57 $ 14.62 $ 11.48
Class C:
Outstanding ......... 2,753,565 110,411 53,453
Net Assets .......... $ 51,142,594 $ 1,612,060 $ 614,569
Net Asset Value,
offering and
redemption price per
share (net assets
divided by shares
outstanding)......... $ 18.57 $ 14.60 $ 11.50
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
OCTOBER 31, 2000
30 See Notes to Financial Statements.
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED OCTOBER 31, 2000
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
-------------------- ------------------ ----------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............ $ 3,832,898 $ 109,480 $ 54,129
Interest ............. 891,129 27,228 8,687
------------ ---------- ----------
4,724,027 136,708 62,816
Foreign taxes withheld
on dividends ........ (22,826) -- (20)
------------ ---------- ----------
Total investment
income........... 4,701,201 136,708 62,796
------------ ---------- ----------
INVESTMENT EXPENSES:
Investment advisory
fees................. 1,741,347 54,436 40,415
Administrative
services fees ....... 386,966 12,097 8,981
Distribution plan fees
- Class A ........... 382,448 16,268 7,802
Distribution plan fees
- Class B ........... 205,825 5,855 2,080
Distribution plan fees
- Class C ........... 224,696 5,071 2,982
Shareholder services
fees - Class B ...... 68,608 1,952 693
Shareholder services
fees - Class C ...... 112,348 2,535 1,491
Printing and postage
fees................. 39,091 3,650 3,527
Custody fees ......... 23,459 21,531 25,441
Transfer agent fees .. 243,415 29,474 29,122
Audit fees ........... 22,670 20,096 20,079
Directors' fees ...... 9,882 311 239
Registration fees .... 52,700 8,928 8,171
Miscellaneous expenses 17,075 572 467
------------ ---------- ----------
Expenses before
reimbursement and
waiver from
Investment Adviser .. 3,530,530 182,776 151,490
Expense reimbursement
and waiver from
Investment Adviser .. -- (60,338) (68,932)
------------ ---------- ----------
Net investment
expenses......... 3,530,530 122,438 82,558
------------ ---------- ----------
Net investment income
(loss)............... 1,170,671 14,270 (19,762)
------------ ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain
(loss) on:
Investments ......... (16,364,998) 2,064,561 196,542
Futures contracts ... 159,738 (27,594) 1,814
------------ ---------- ----------
Net realized gain
(loss) on
investments...... (16,205,260) 2,036,967 198,356
------------ ---------- ----------
Net change in
unrealized gain or
loss on:
Investments ......... 36,187,543 1,110,148 1,280,990
Futures contracts ... (266,400) -- --
------------ ---------- ----------
Net change in
unrealized gain
or loss on
investments...... 35,921,143 1,110,148 1,280,990
------------ ---------- ----------
Net realized and
change in unrealized
gain or loss on
investments ......... 19,715,883 3,147,115 1,479,346
------------ ---------- ----------
Net increase in net
assets resulting from
operations .......... $ 20,886,554 $3,161,385 $1,459,584
============ ========== ==========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2000 OCTOBER 31, 1999
---------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................... $ 1,170,671 $ 733,693
Net realized loss on investments......... (16,205,260) (4,864,872)
Net change in unrealized gain or loss on
investments............................. 35,921,143 29,829,138
------------ ------------
Net increase in net assets resulting
from operations......................... 20,886,554 25,697,959
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income.............. (684,783) (217,266)
From net realized gains on investments.. -- (616,050)
Class A:
From net investment income.............. (328,600) (36,703)
From net realized gains on investments.. -- (138,693)
Class C:
From net investment income.............. (4,054) (8,165)
From net realized gains on investments.. -- (30,913)
------------ ------------
Decrease in net assets from
distributions to shareholders........... (1,017,437) (1,047,790)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold............... 85,609,514 123,564,191
Net asset value of shares issued upon
reinvestment of distributions.......... 683,738 832,206
Payments for shares redeemed............ (67,159,864) (31,063,653)
Class A:
Proceeds from shares sold............... 118,663,452 76,328,975
Net asset value of shares issued upon
reinvestment of distributions.......... 317,610 174,888
Payments for shares redeemed............ (19,510,672) (6,767,588)
Class B:
Proceeds from shares sold............... 17,281,170 17,206,409
Payments for shares redeemed............ (3,154,367) (421,110)
Class C:
Proceeds from shares sold............... 25,098,811 31,854,025
Net asset value of shares issued upon
reinvestment of distributions.......... 3,404 22,714
Payments for shares redeemed............ (9,765,096) (1,272,815)
------------ ------------
Net increase in net assets from fund
share transactions...................... 148,067,700 210,458,242
------------ ------------
Net change in net assets................. 167,936,817 235,108,411
NET ASSETS:
Beginning of period...................... 274,110,442 39,002,031
------------ ------------
End of period............................ $442,047,259 $274,110,442
============ ============
End of period net assets includes
undistributed net investment income..... $ 809,703 $ 656,469
============ ============
------------ ------------
============ ============
SHARE TRANSACTIONS:
Class I:
Number of shares sold................... 4,539,785 7,611,866
Number of shares issued upon
reinvestment of distributions.......... 37,506 53,313
Number of shares redeemed............... (3,583,462) (1,877,284)
------------ ------------
Net increase............................ 993,829 5,787,895
============ ============
Class A:
Number of shares sold................... 6,375,587 4,646,032
Number of shares issued upon
reinvestment of distributions.......... 17,528 11,254
Number of shares redeemed............... (1,049,048) (408,016)
------------ ------------
Net increase............................ 5,344,067 4,249,270
============ ============
Class B:
Number of shares sold................... 926,104 1,026,548
Number of shares redeemed............... (168,274) (25,539)
------------ ------------
Net increase............................ 757,830 1,001,009
============ ============
Class C:
Number of shares sold................... 1,349,366 1,939,788
Number of shares issued upon
reinvestment of distributions.......... 188 1,459
Number of shares redeemed............... (525,816) (77,634)
------------ ------------
Net increase............................ 823,738 1,863,613
============ ============
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
See Notes to Financial Statements. 33
<PAGE>
INDES PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2000 OCTOBER 31, 1999
---------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................... $ 14,270 $ 43,231
Net realized gain on investments......... 2,036,967 1,588,978
Net change in unrealized gain or loss on
investments............................. 1,110,148 152,005
----------- -----------
Net increase in net assets resulting
from operations......................... 3,161,385 1,784,214
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income.............. (33,859) (35,512)
From net realized gains on investments.. (942,732) --
Class A:
From net investment income.............. (12,792) (951)
From net realized gains on investments.. (503,197) --
Class B:
From net realized gains on investments.. (65,596) --
Class C:
From net investment income.............. (150) (580)
From net realized gains on investments.. (80,996) --
----------- -----------
Decrease in net assets from
distributions to shareholders........... (1,639,322) (37,043)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold............... 126,632 124,107
Net asset value of shares issued upon
reinvestment of distributions.......... 20,254 356
Payments for shares redeemed............ (5,003,601) (1,848,210)
Class A:
Proceeds from shares sold............... 6,898,050 3,195,101
Net asset value of shares issued upon
reinvestment of distributions.......... 496,267 555
Payments for shares redeemed............ (838,748) (194,298)
Class B:
Proceeds from shares sold............... 1,005,112 550,809
Net asset value of shares issued upon
reinvestment of distributions.......... 58,588 --
Payments for shares redeemed............ (29,623) (116,936)
Class C:
Proceeds from shares sold............... 935,189 516,053
Net asset value of shares issued upon
reinvestment of distributions.......... 68,245 304
Payments for shares redeemed............ (62,871) (137,307)
----------- -----------
Net increase in net assets from fund
share transactions...................... 3,673,494 2,090,534
----------- -----------
Net change in net assets................. 5,195,557 3,837,705
NET ASSETS:
Beginning of period...................... 11,202,713 7,365,008
----------- -----------
End of period............................ $16,398,270 $11,202,713
=========== ===========
End of period net assets includes
undistributed net investment income..... $ 5,940 $ 38,471
=========== ===========
SHARE TRANSACTIONS:
Class I:
Number of shares sold................... 8,695 10,664
Number of shares issued upon
reinvestment of distributions.......... 1,796 30
Number of shares redeemed............... (396,375) (149,958)
----------- -----------
Net decrease............................ (385,884) (139,264)
=========== ===========
Class A:
Number of shares sold................... 494,891 260,944
Number of shares issued upon
reinvestment of distributions.......... 44,074 48
Number of shares redeemed............... (62,844) (15,743)
----------- -----------
Net increase............................ 476,121 245,249
=========== ===========
Class B:
Number of shares sold................... 68,971 44,836
Number of shares issued upon
reinvestment of distributions.......... 5,203 --
Number of shares redeemed............... (2,274) (9,511)
----------- -----------
Net increase............................ 71,900 35,325
=========== ===========
Class C:
Number of shares sold................... 67,862 43,093
Number of shares issued upon
reinvestment of distributions.......... 6,082 --
Number of shares redeemed............... (4,556) (11,786)
----------- -----------
Net increase............................ 69,388 31,307
=========== ===========
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
See Notes to Financial Statements. 35
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2000 OCTOBER 31, 1999
---------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss) ............ $ (19,762) $ 9,883
Net realized gain (loss) on investments.. 198,356 (167,307)
Net change in unrealized gain or loss on
investments............................. 1,280,990 995,209
----------- ----------
Net increase in net assets resulting
from operations......................... 1,459,584 837,785
----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income.............. (8,307) (15,585)
Class A:
From net investment income.............. -- (800)
Class C:
From net investment income.............. -- (9)
----------- ----------
Decrease in net assets from
distributions to shareholders........... (8,307) (16,394)
----------- ----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold............... 71,170 126,685
Net asset value of shares issued upon
reinvestment of distributions.......... 208 212
Payments for shares redeemed............ (1,974,690) (798,957)
Class A:
Proceeds from shares sold............... 2,025,032 2,285,453
Net asset value of shares issued upon
reinvestment of distributions.......... -- 645
Payments for shares redeemed............ (1,050,718) (371,781)
Class B:
Proceeds from shares sold............... 136,862 299,701
Payments for shares redeemed............ (76,223) (114,572)
Class C:
Proceeds from shares sold............... 168,671 518,898
Net asset value of shares issued upon
reinvestment of distributions.......... -- 5
Payments for shares redeemed............ (238,975) (102,098)
----------- ----------
Net increase (decrease) in net assets
from fund share transactions............ (938,663) 1,844,191
----------- ----------
Net change in net assets................. 512,614 2,665,582
NET ASSETS:
Beginning of period...................... 9,031,849 6,366,267
----------- ----------
End of period............................ $ 9,544,463 $9,031,849
=========== ==========
End of period net assets includes
undistributed net investment income..... $ -- $ 6,921
=========== ==========
SHARE TRANSACTIONS:
Class I:
Number of shares sold................... 6,341 13,243
Number of shares issued upon
reinvestment of distributions.......... 20 22
Number of shares redeemed............... (185,498) (81,146)
----------- ----------
Net decrease............................ (179,137) (67,881)
=========== ==========
Class A:
Number of shares sold................... 186,489 235,936
Number of shares issued upon
reinvestment of distributions.......... -- 67
Number of shares redeemed............... (95,375) (38,716)
----------- ----------
Net increase............................ 91,114 197,287
=========== ==========
Class B:
Number of shares sold................... 12,838 31,286
Number of shares issued upon
reinvestment of distributions.......... -- --
Number of shares redeemed............... (6,360) (11,708)
----------- ----------
Net increase............................ 6,478 19,578
=========== ==========
Class C:
Number of shares sold................... 15,618 53,101
Number of shares issued upon
reinvestment of distributions.......... -- 1
Number of shares redeemed............... (21,768) (11,056)
----------- ----------
Net increase (decrease)................. (6,150) 42,046
=========== ==========
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
See Notes to Financial Statements. 37
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000
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
Index Plus Large Cap Fund (Index Plus Large Cap), Aetna Index Plus Mid Cap Fund
(Index Plus Mid Cap) and Aetna Index Plus Small Cap Fund (Index Plus Small Cap).
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 0.50%; service fees of 0.25%.
Shares in each Class were first made available to the public on the following
dates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
INDEX PLUS LARGE CAP December 10, 1996 February 3, 1997 March 1, 1999 June 30, 1998
INDEX PLUS MID CAP February 3, 1998 February 3, 1998 March 1, 1999 June 30, 1998
INDEX PLUS SMALL CAP February 3, 1998 February 3, 1998 March 1, 1999 June 30, 1998
</TABLE>
The following is each Fund's investment objective:
INDEX PLUS LARGE CAP seeks to outperform the total return performance of the
Standard and Poor's 500 Composite Index, while maintaining a market level of
risk.
INDEX PLUS MID CAP seeks to outperform the total return performance of the
Standard and Poor's MidCap 400 Index, while maintaining a market level of
risk.
INDEX PLUS SMALL CAP seeks to outperform the total return performance of the
Standard and Poor's SmallCap 600 Index, while maintaining a market level of
risk.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
each Fund. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly owned subsidiaries of Aetna Inc. (Aetna).
38
<PAGE>
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of the Funds have been prepared in
accordance with accounting principles generally accepted in the United States of
America. The preparation of financial statements requires management to make
estimates and assumptions that affect amounts reported therein. Actual results
could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
Short-term investments maturing in sixty days or less are valued at amortized
cost, which when combined with accrued interest, approximates market value.
Equity and fixed income investments for which market quotations are not
considered to be readily available are valued using methods approved by the
Board of Directors (Board).
B. FUTURES CONTRACTS
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument, including an
index of stocks, at a set price on a future date. The Funds may 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.
The risks associated with financial futures may arise from an imperfect
correlation between the change in market value of the securities held by the
Funds and the price of the contracts. Risks may also arise from an illiquid
secondary market or from the inability of counterparties to meet the terms of
the contracts.
Realized and unrealized gains or losses on financial futures are reflected in
the accompanying financial statements. The amounts at risk under such futures
may exceed the amounts reflected in the financial statements. For federal income
tax purposes, any futures contracts which remain open at year end are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
C. ILLIQUID AND RESTRICTED SECURITIES
Illiquid securities are 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. 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
39
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000 (CONTINUED)
other than ordinary brokerage fees, if any. Illiquid and restricted securities
are valued using market quotations when readily available.
D. FEDERAL INCOME TAXES
Each Fund intends to meet the requirements to be taxed as a regulated investment
company for the current year. As such, each Fund is relieved of federal income
taxes by distributing all of its net taxable investment income and capital
gains, if any, in compliance with the applicable provisions of the Internal
Revenue Code (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.
E. DISTRIBUTIONS
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from accounting principles generally accepted in the United States of
America. These differences are primarily due to differing treatments for futures
contracts 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.
F. LINE OF CREDIT
Certain series of the Company (including the Funds), 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. 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 funds
will pay its pro rata share of the 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. No borrowings from the line of credit have been made as of
October 31, 2000.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICES AND DISTRIBUTION FEES
Each Fund pays Aeltus an investment advisory fee expressed as a percentage of
each Fund's average daily net assets. As each Fund's net assets exceed
predetermined thresholds, lower advisory fees apply. Below are the Funds'
investment advisory fee ranges and the annual effective rates before waivers as
of October 31, 2000:
40
<PAGE>
<TABLE>
<CAPTION>
FEE EFFECTIVE
RANGE RATE
<S> <C> <C>
Index Plus Large Cap 0.45%-0.375% 0.45%
Index Plus Mid Cap 0.45%-0.375% 0.45%
Index Plus Small Cap 0.45%-0.375% 0.45%
</TABLE>
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 0.225% of the average daily assets associated with
these shares. For the period November 1, 1999 through October 31, 2000, Aeltus
paid ALIAC $383,592.
The Company has adopted a Shareholder Services Plan for the Class B and Class C
shares. Under the Shareholder Services Plan, ACI is paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class B and Class C
shares. This fee is used as compensation for expenses incurred in servicing
shareholders' accounts.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Class A, Class B and Class C shares. The Distribution Plan provides for
payments to ACI at an annual rate of 0.25% of the average daily net assets of
Class A, 0.75% of the average daily net assets of Class B and 0.50% of the
average daily net assets for 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. The Distribution Plan may be terminated as to each
class of shares upon a majority vote of the Company's independent directors.
Presently, the Funds' class-specific expenses are limited to distribution fees
incurred 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 yield and total return. Actual expenses for the year ended
October 31, 2000 were at or below contractual limits. Actual expense ratios are
included in the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the year ended October 31, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Index Plus Large Cap $553,177,321 $397,379,251
Index Plus Mid Cap 23,109,892 21,564,480
Index Plus Small Cap 11,805,677 12,768,884
</TABLE>
41
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000 (CONTINUED)
6. CAPITAL LOSS CARRYFORWARDS
It is the policy of each of the Funds to reduce future distributions of realized
gains to shareholders to the extent of capital loss carryforwards. Such capital
loss carryforwards may be used to offset future capital gains until their
respective expiration dates. As of October 31, 2000, the following capital loss
carryforwards had been incurred:
<TABLE>
<CAPTION>
YEAR OF EXPIRATION
TOTAL CAPITAL LOSS ------------------
CARRYFORWARD 2007 2008
------------------ ---- ----
<S> <C> <C> <C>
Index Plus Large Cap $9,961,669 $1,783,283 $8,178,386
Index Plus Small Cap 121,276 121,276 --
</TABLE>
7. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 15 billion shares. Of those 15
billion shares, each of the Funds have been allocated 100 million shares each of
Class I, Class A, Class B and Class C. As of October 31, 2000, the following
shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A
------- -------
<S> <C> <C>
Index Plus Large Cap 3,735,969 --
Index Plus Mid Cap 129,943 10,000
Index Plus Small Cap 399,700 10,000
</TABLE>
42
<PAGE>
INDEX PLUS FUNDS
ADDITIONAL INFORMATION
OCTOBER 31, 2000
1. FUND CLOSURE (UNAUDITED)
On March 1, 2000, the Board of Directors considered and agreed to submit to
shareholders a proposal by Aeltus to liquidate Aetna Index Plus Bond Fund (Index
Plus Bond). The Fund was closed to new direct investors on March 6, 2000 and to
new retirement plan investors on May 15, 2000. Shareholders approved the
proposal on July 28, 2000 and Index Plus Bond was liquidated on August 25, 2000.
Below are the results of the shareholder vote:
<TABLE>
<CAPTION>
NUMBER OF % OF VOTES
-----------------------------
SHARES VOTING CAST FOR CAST AGAINST
--------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
Index Plus Bond
1,249,423 77.4% 22.6%
</TABLE>
2. FEDERAL TAX STATUS OF DIVIDENDS DECLARED DURING THE FISCAL YEAR (UNAUDITED)
In accordance with federal tax authorities, certain portions of the dividends
taxable as ordinary income qualify for the corporate dividends received
deduction. The following percentages reflect the portions of such dividends
paid:
<TABLE>
<CAPTION>
<S> <C>
Index Plus Large Cap 100.00%
Index Plus Mid Cap 8.52%
Index Plus Small Cap 83.32%
</TABLE>
Index Plus Mid Cap paid respective per share and aggregate amounts of $0.3118
and $278,786 during the year ended October 31, 2000 which qualify to be taxed at
long-term capital gain rates.
3. SHAREHOLDER MEETING (UNAUDITED)
The shareholders of Aetna Inc. (Aetna), of which Aeltus was an indirect
wholly-owned subsidiary, voted in favor of a proposal to sell certain of Aetna's
businesses, including Aeltus, to ING Groep N.V. (ING), an integrated financial
services provider. Consummation of the transaction has resulted in Aeltus
becoming an indirect wholly-owned subsidiary of ING in December 2000.
Under the Act, the transaction resulted in a change in control of Aeltus and
therefore, constituted an assignment of the Company's investment advisory
agreements. Consequently, Aeltus received approval of new investment advisory
agreements from the Board and the shareholders of each Fund. The results of the
shareholder meeting held on November 22, 2000, are as follows:
A. ELECTION OF DIRECTORS
The following individuals were elected to serve as Directors of the Company.
Every individual named served as a Director prior to this election and there are
no other individuals currently serving as Directors of the Company.
43
<PAGE>
INDEX PLUS FUNDS
ADDITIONAL INFORMATION
OCTOBER 31, 2000 (CONTINUED)
<TABLE>
<CAPTION>
NUMBER OF % OF VOTES
-------------------------
SHARES VOTING CAST FOR WITHHELD
----------------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Albert E. DePrince Jr.
695,450,143.647 95.737% 4.263%
Maria T. Fighetti
695,450,143.647 95.658% 4.342%
J. Scott Fox
695,450,143.647 95.644% 4.356%
David L. Grove
695,450,143.647 95.539% 4.461%
John Y. Kim
695,450,143.647 95.641% 4.359%
Sidney Koch
695,450,143.647 95.652% 4.348%
Corine T. Norgaard
695,450,143.647 95.628% 4.372%
Richard G. Scheide
695,450,143.647 95.610% 4.390%
</TABLE>
B. APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
Shareholders in each Fund voted to approve a new Investment Advisory Agreement
(Agreement) between each Fund and Aeltus. The Agreement reflects the acquisition
of the financial services and international businesses of Aetna, of which Aeltus
is an indirect wholly-owned subsidiary, by ING, with no change in advisory fees
payable to Aeltus.
<TABLE>
<CAPTION>
NUMBER OF % OF VOTES
--------------------------------------------
SHARES VOTING CAST FOR CAST AGAINST ABSTAIN
---------------- ---------- -------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Index Plus Large Cap
14,453,251.400 97.350% 1.392% 1.258%
Index Plus Mid Cap
747,140.968 89.842% 0.273% 9.885%
Index Plus Small Cap
583,574.253 93.037% 3.937% 3.026%
</TABLE>
C. RATIFICATION OF SELECTION OF INDEPENDENT AUDITORS
Shareholders of all the Funds of the Company approved the selection of KPMG LLP
as independent auditors for all of the Funds for the fiscal year ending October
31, 2001.
<TABLE>
<CAPTION>
NUMBER OF % OF VOTES
--------------------------------------------
SHARES VOTING CAST FOR CAST AGAINST ABSTAIN
----------------- ---------- -------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
KPMG LLP
695,450,143.647 94.875% 1.199% 3.926%
</TABLE>
44
<PAGE>
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<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS
INDEX PLUS LARGE CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
DECEMBER 10, 1996
YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
OCTOBER 31, OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I 2000 1999 1998 TO OCTOBER 31, 1997
---------------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 17.48 $ 13.78 $ 12.43 $ 10.00
-------- -------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.07++ 0.11+ 0.13+ 0.12+
Net realized and
change in unrealized
gain or loss on
investments.......... 1.32 3.86 2.57 2.33
-------- -------- ------- -------
Total income from
investment
operations........ 1.39 3.97 2.70 2.45
-------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income............... (0.08) (0.07) (0.13) (0.02)
From net realized
gains on investments -- (0.20) (1.22) --
-------- -------- ------- -------
Total distributions (0.08) (0.27) (1.35) (0.02)
-------- -------- ------- -------
Net asset value, end
of period ........... $ 18.79 $ 17.48 $ 13.78 $ 12.43
======== ======== ======= =======
Total return ......... 7.99% 29.05% 23.46% 24.49%
Net assets, end of
period (000's) ...... $170,673 $141,377 $31,671 $10,876
Ratio of net
investment expenses
to average net assets 0.66% 0.70% 0.70% 0.70%(1)
Ratio of net
investment income to
average net assets .. 0.56% 0.67% 0.96% 1.15%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... -- 0.75% 1.17% 1.95%(1)
Portfolio turnover
rate................. 104.31% 72.14% 124.16% 82.31%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
46 See Notes to Financial Statements.
<PAGE>
INDEX PLUS LARGE CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1997
YEAR ENDED YEAR ENDED YEAR ENDED (DATE OF INITIAL
OCTOBER 31, OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A 2000 1999 1998 TO OCTOBER 31, 1997
---------------------- ----------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 17.36 $ 13.70 $ 12.36 $10.57
-------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.06++ 0.07+ 0.09+ 0.02+
Net realized and
change in unrealized
gain or loss on
investments.......... 1.28 3.84 2.56 1.77
-------- ------- ------- ------
Total income from
investment
operations........ 1.34 3.91 2.65 1.79
-------- ------- ------- ------
LESS DISTRIBUTIONS:
From net investment
income............... (0.06) (0.05) (0.09) --
From net realized
gains on investments -- (0.20) (1.22) --
-------- ------- ------- ------
Total distributions (0.06) (0.25) (1.31) --
-------- ------- ------- ------
Net asset value, end
of period ........... $ 18.64 $ 17.36 $ 13.70 $12.36
======== ======= ======= ======
Total return ......... 7.74% 28.78% 23.09% 16.93%
Net assets, end of
period (000's) ...... $187,566 $81,908 $ 6,422 $1,833
Ratio of net
investment expenses
to average net assets 0.91% 0.95% 0.99% 1.45%(1)
Ratio of net
investment income to
average net assets .. 0.31% 0.42% 0.67% 0.16%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... -- 1.00% 1.46% 2.98%(1)
Portfolio turnover
rate................. 104.31% 72.14% 124.16% 82.31%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 47
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS LARGE CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
YEAR ENDED (DATE OF INITIAL
OCTOBER 31, PUBLIC OFFERING)
CLASS B 2000 TO OCTOBER 31, 1999
------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 17.37 $ 15.68
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................... 0.01++ (0.04)+
Net realized and change in unrealized gain
or loss on investments ................... 1.19 1.73
------- -------
Total income from investment operations 1.20 1.69
------- -------
Net asset value, end of period ............ $ 18.57 $ 17.37
======= =======
Total return .............................. 6.91% 10.78%
Net assets, end of period (000's) ......... $32,666 $17,386
Ratio of net investment expenses to average
net assets ............................... 1.66% 1.70%(1)
Ratio of net investment income to average
net assets ............................... (0.44)% (0.32)%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............. -- 1.75%(1)
Portfolio turnover rate ................... 104.31% 72.14%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
48 See Notes to Financial Statements.
<PAGE>
INDEX PLUS LARGE CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JUNE 30, 1998
YEAR ENDED YEAR ENDED (DATE OF INITIAL
OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS C 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 17.33 $ 13.74 $ 14.17
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... --++ (0.01)+ 0.01+
Net realized and change in
unrealized gain or loss on
investments.................. 1.24 3.85 (0.44)
------- ------- -------
Total income from
investment operations .... 1.24 3.84 (0.43)
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .. -- (0.05) --
From net realized gains on
investmets................... -- (0.20) --
------- ------- -------
Total distributions ....... -- (0.25) --
------- ------- -------
Net asset value, end of period $ 18.57 $ 17.33 $ 13.74
======= ======= =======
Total return ................. 7.17% 28.17% (3.04)%
Net assets, end of period
(000's)...................... $51,143 $33,439 $ 910
Ratio of net investment
expenses to average net
assets....................... 1.41% 1.45% 1.43%(1)
Ratio of net investment income
to average net assets ....... (0.19)% (0.07)% 0.23%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... -- 1.50% 1.90%(1)
Portfolio turnover rate ...... 104.31% 72.14% 124.16%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 49
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS MID CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 12.70 $ 10.36 $ 10.00
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... 0.02++ 0.07+ 0.04+
Net realized and change in
unrealized gain or loss on
investments.................. 3.90 2.32 0.32
------- ------- -------
Total income from
investment operations .... 3.92 2.39 0.36
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .. (0.06) (0.05) --
From net realized gains on
investments.................. (1.78) -- --
------- ------- -------
Total distributions ....... (1.84) (0.05) --
------- ------- -------
Net asset value, end of period $ 14.78 $ 12.70 $ 10.36
======= ======= =======
Total return ................. 35.42% 23.14% 3.60%
Net assets, end of period
(000's)...................... $ 2,219 $ 6,806 $ 6,996
Ratio of net investment
expenses to average net
assets....................... 0.75% 0.75% 0.75%(1)
Ratio of net investment income
to average net assets ....... 0.38% 0.55% 0.57%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 1.25% 1.78% 2.51%(1)
Portfolio turnover rate ...... 180.24% 130.93% 129.87%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
50 See Notes to Financial Statements.
<PAGE>
INDEX PLUS MID CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS A 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 12.66 $ 10.34 $ 10.00
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... 0.03++ 0.04+ 0.02+
Net realized and change in
unrealized gain or loss on
investments.................. 3.86 2.32 0.32
------- ------- -------
Total income from
investment operations .... 3.89 2.36 0.34
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .. (0.05) (0.04) --
From net realized gains on
investments.................. (1.78) -- --
------- ------- -------
Total distributions ....... (1.83) (0.04) --
------- ------- -------
Net asset value, end of period $ 14.72 $ 12.66 $ 10.34
======= ======= =======
Total return ................. 35.14% 22.81% 3.40%
Net assets, end of period
(000's)...................... $10,999 $ 3,434 $ 269
Ratio of net investment
expenses to average net
assets....................... 1.00% 1.00% 1.00%(1)
Ratio of net investment income
to average net assets ....... 0.13% 0.30% 0.32%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 1.50% 2.03% 2.76%(1)
Portfolio turnover rate ...... 180.24% 130.93% 129.87%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 51
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS MID CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
YEAR ENDED (DATE OF INITIAL
OCTOBER 31, PUBLIC OFFERING)
CLASS B 2000 TO OCTOBER 31, 1999
------------------------------------------ ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ..... $ 12.61 $ 11.23
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... (0.02)++ (0.04)+
Net realized and change in unrealized
gain or loss on investments ............. 3.79 1.42
------- -------
Total income from investment operations 3.77 1.38
------- -------
LESS DISTRIBUTIONS:
From net realized gains on investments .. (1.76) --
------- -------
Total distributions ................... (1.76) --
------- -------
Net asset value, end of period ........... $ 14.62 $ 12.61
======= =======
Total return ............................. 34.09% 12.29%
Net assets, end of period (000's) ........ $ 1,568 $ 446
Ratio of net investment expenses to
average net assets ...................... 1.75% 1.75%(1)
Ratio of net investment income to average
net assets .............................. (0.62)% (0.45)%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............ 2.25% 2.78%(1)
Portfolio turnover rate .................. 180.24% 130.93%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
52 See Notes to Financial Statements.
<PAGE>
INDEX PLUS MID CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JUNE 30, 1998
YEAR ENDED YEAR ENDED (DATE OF INITIAL
OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS C 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 12.59 $ 10.33 $ 10.92
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... (0.02)++ (0.02)+ (0.01)+
Net realized and change in
unrealized gain or loss on
investments.................. 3.81 2.31 (0.58)
------- ------- -------
Total income from
investment operations .... 3.79 2.29 (0.59)
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income .. -- (0.03) --
From net realized gains...... (1.78) -- --
------- ------- -------
Total distributions ....... (1.78) (0.03) --
------- ------- -------
Net asset value, end of period $ 14.60 $ 12.59 $ 10.33
======= ======= =======
Total return ................. 34.41% 22.19% (5.40)%
Net assets, end of period
(000's)...................... $ 1,612 $ 516 $ 100
Ratio of net investment
expenses to average net
assets....................... 1.50% 1.50% 1.50%(1)
Ratio of net investment income
to average net assets ....... (0.37)% (0.20)% (0.18)%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 2.00% 2.53% 3.26%(1)
Portfolio turnover rate ...... 180.24% 130.93% 129.87%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 53
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS SMALL CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 9.95 $ 8.87 $ 10.00
------- ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... (0.02)++ 0.02+ 0.02+
Net realized and change in
unrealized gain or loss on
investments.................. 1.74 1.08 (1.15)
------- ------ -------
Total income from
investment operations .... 1.72 1.10 (1.13)
------- ------ -------
LESS DISTRIBUTIONS:
From net investment income .. (0.01) (0.02) --
------- ------ -------
Total distributions ....... (0.01) (0.02) --
------- ------ -------
Net asset value, end of period $ 11.66 $ 9.95 $ 8.87
======= ====== =======
Total return ................. 17.35% 12.46% (11.30)%
Net assets, end of period
(000's)...................... $ 4,825 $5,902 $ 5,862
Ratio of net investment
expenses to average net
assets....................... 0.75% 0.75% 0.75%(1)
Ratio of net investment income
to average net assets ....... (0.05)% 0.22% 0.25%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 1.52% 2.03% 2.63%(1)
Portfolio turnover rate ...... 133.95% 85.28% 100.41%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
54 See Notes to Financial Statements.
<PAGE>
INDEX PLUS SMALL CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
FEBRUARY 3, 1998
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS A 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 9.92 $ 8.86 $ 10.00
------- ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... (0.03)++ --+ --+
Net realized and change in
unrealized gain or loss on
investments.................. 1.72 1.07 (1.14)
------- ------ -------
Total income from
investment operations .... 1.69 1.07 (1.14)
------- ------ -------
LESS DISTRIBUTIONS:
From net investment income .. -- (0.01) --
------- ------ -------
Total distributions ....... -- (0.01) --
------- ------ -------
Net asset value, end of period $ 11.61 $ 9.92 $ 8.86
======= ====== =======
Total return ................. 17.04% 12.13% (11.40)%
Net assets, end of period
(000's)...................... $ 3,806 $2,348 $ 349
Ratio of net investment
expenses to average net
assets....................... 1.00% 1.00% 1.00%(1)
Ratio of net investment income
to average net assets ....... (0.30)% (0.02)% 0.00%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 1.77% 2.28% 2.88%(1)
Portfolio turnover rate ...... 133.95% 85.28% 100.41%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 55
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS SMALL CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
YEAR ENDED (DATE OF INITIAL
OCTOBER 31, PUBLIC OFFERING)
CLASS B 2000 TO OCTOBER 31, 1999
------------------------------------------ ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ..... $ 9.88 $ 8.91
------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... (0.03)++ (0.05)+
Net realized and change in unrealized
gain or loss on investments ............. 1.63 1.02
------- ------
Total income from investment operations 1.60 0.97
------- ------
Net asset value, end of period ........... $ 11.48 $ 9.88
======= ======
Total return ............................. 16.19% 10.89%
Net assets, end of period (000's) ........ $ 299 $ 193
Ratio of net investment expenses to
average net assets ...................... 1.75% 1.75%(1)
Ratio of net investment income to average
net assets .............................. (1.05)% (0.77)%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............ 2.52% 3.03%(1)
Portfolio turnover rate .................. 133.95% 85.28%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
56 See Notes to Financial Statements.
<PAGE>
INDEX PLUS SMALL CAP
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JUNE 30, 1998
YEAR ENDED YEAR ENDED (DATE OF INITIAL
OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS C 2000 1999 TO OCTOBER 31, 1998
------------------------------ ----------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period....................... $ 9.87 $ 8.84 $ 10.62
------- ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ....... (0.03)++ (0.05)+ (0.02)+
Net realized and change in
unrealized gain or loss on
investments.................. 1.66 1.08 (1.76)
------- ------ -------
Total income from
investment operations .... 1.63 1.03 (1.78)
------- ------ -------
Net asset value, end of period $ 11.50 $ 9.87 $ 8.84
======= ====== =======
Total return ................. 16.51% 11.66% (16.76)%
Net assets, end of period
(000's)...................... $ 615 $ 589 $ 155
Ratio of net investment
expenses to average net
assets....................... 1.50% 1.50% 1.50%(1)
Ratio of net investment income
to average net assets ....... (0.80)% (0.52)% (0.50)%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets .......... 2.27% 2.78% 3.38%(1)
Portfolio turnover rate ...... 133.95% 85.28% 100.41%
</TABLE>
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 57
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders
Aetna Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of Aetna
Index Plus Large Cap Fund, Aetna Index Plus Mid Cap Fund and Aetna Index Plus
Small Cap Fund, each a series of Aetna Series Fund, Inc. (collectively the Index
Plus Funds), including the portfolios of investments as of October 31, 2000, and
the related statements of operations for the year then ended, statements of
changes in net assets for each of the years in the two-year period then ended
and financial highlights for each of the years or periods in the four-year
period then ended. These financial statements and financial highlights are the
responsibility of the Index Plus Funds' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation
of securities owned as of October 31, 2000 by correspondence with the custodian.
As to securities purchased or sold but not yet received or delivered, we
performed other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Index Plus Funds as of October 31, 2000, the results of their operations,
changes in their net assets and the financial highlights for each of the years
or periods specified in the first paragraph above, in conformity with accounting
principles generally accepted in the United States of America.
Hartford, Connecticut
December 8, 2000
58
<PAGE>
P169ANN (10/00)
