<PAGE>
AETNA MUTUAL FUNDS
SMART SOLUT!ONS
FROM AETNA
AETNA
PRINCIPAL
PROTECTION
FUNDS
[GRAPHIC OF WHEEL]
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
PRINCIPAL PROTECTION FUNDS:
Investment Review......................................................1
Portfolios of Investments:
Aetna Principal Protection Fund I.....................................11
Aetna Principal Protection Fund II....................................18
Aetna Principal Protection Fund III...................................25
Aetna Principal Protection Fund IV....................................32
Aetna Index Plus Protection Fund......................................39
Statements of Assets and Liabilities...................................40
Statements of Operations...............................................42
Statements of Changes in Net Assets....................................44
Notes to Financial Statements..........................................49
Additional Information.................................................53
Financial Highlights...................................................56
Independent Auditors' Report...........................................66
</TABLE>
<PAGE>
LOGO
LOGO
LOGO
See Definition of
Terms. 1
<PAGE>
<TABLE>
<CAPTION>
Page # Oct-99 Oct-99 Oct-00
<S> <C> <C> <C> <C> <C> <C> <C>
PRINCIPAL PROTECTION I (CLASS A) 1 10,000 10,139 10,362 10,482 10,383 10,313
Lehman Brothers Aggregate Bond Index 1 10,000 10,094 10,012 10,238 10,541 10,831
S&P 500 Index 1 10,000 10,288 10,557 11,027 10,894 10,914
</TABLE>
<TABLE>
<CAPTION>
Page # Dec-99 Oct-00
<S> <C> <C> <C> <C> <C> <C>
PRINCIPAL PROTECTION II (CLASS A) 1 10,000 9,760 9,850 9,820 9,801
Lehman Brothers Aggregate Bond Index 1 10,000 9,970 10,194 10,496 10,785
S&P 500 Index 1 10,000 9,843 10,283 10,159 10,177
</TABLE>
<TABLE>
<CAPTION>
Page # Jun-00 Oct-00
<S> <C> <C> <C> <C>
PRINCIPAL PROTECTION III (CLASS A) 2 10,000 10,178 10,109
Lehman Brothers Aggregate Bond Index 2 10,000 10,301 10,585
S&P 500 Index 2 10,000 10,086 10,104
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Average Annual Total Returns
for the period ended October 31, 2000*
----------------------------------------------------------------------
Principal Principal Principal Principal
Protection Protection Protection
Protection Fund II Fund III Fund IV
Fund I
----------------------------------------------------------
1 Year Inception Inception Inception Inception
----------------------------------------------------------------------
Class A:
POP (1) -3.13% -1.66% -6.64% -3.68% -7.94%
NAV (2) 1.71% 2.92% -2.00% 1.09% -3.37%
----------------------------------------------------------------------
Class B:
-4.11% -1.59% -7.43% -4.21% -8.21%
w/CDSC (3)
NAV 0.89% 2.15% -2.58% 0.79% -3.38%
----------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. 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 PRINCIPAL PROTECTION FUND I, II, III & IV
HOW DID THE FUND PERFORM DURING THE PERIOD?
For the period ended October 31, 2000, the performance for the Aetna Principal
Protection Funds and their respective benchmarks and composite indices are
listed below:
<TABLE>
<CAPTION>
EQUITY FIXED INCOME
FUND RETURN EQUITY BENCHMARK FIXED INCOME BENCHMARK
FUND CLASS A** COMPONENT INDEX INDEX RETURN** COMPONENT INDEX INDEX RETURN**
<S> <C> <C> <C> <C> <C>
Principal Protection Fund I 1.71% S&P 500 Index (a) 6.09% Lehman Brothers 7.30%
Aggregate Bond (b)
Principal Protection Fund II -2.00% S&P 500 Index 1.77% Lehman Brothers 7.85%
Aggregate Bond
Principal Protection Fund III 1.09% S&P 500 Index 1.04% Lehman Brothers 5.85%
Aggregate Bond
Principal Protection Fund IV -3.37% S&P 500 Index -4.08% Lehman Brothers 1.11%
Aggregate Bond
</TABLE>
2 See Definition of Terms.
<PAGE>
**The Fund and Benchmark Index Return periods are as follows:
. Principal Protection Fund I - November 1, 1999 through October 31, 2000
. Principal Protection Fund II - December 21, 1999 (first day of the
Guarantee Period) through October 31, 2000
. Principal Protection Fund III - June 1, 2000 (first day of the Guarantee
Period) through October 31, 2000
. Principal Protection Fund IV - September 7, 2000 (first day of the
Guarantee Period) through October 31, 2000
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
The economy, as measured by Gross Domestic Product (GDP), expanded at an 8.3%
annual pace in the fourth quarter of 1999 and continued to grow at a healthy
pace in the first and second quarters of 2000 (4.8% and 5.6%, respectively).
After six Federal Open Market Committee (FOMC) interest rate increases totaling
175 basis points beginning in June 1999, the economy started to show signs of
slowing in May 2000. (One basis point is equal to one hundredth of a percent, or
0.01%.) By the end of the third quarter 2000, the impact of rising interest
rates and oil prices was reflected in a less robust GDP growth figure of 2.7%.
Leading the decline in GDP were slower investment and government spending, and a
decline in capital goods orders. Consumer spending, however, was still strong
during 2000's third quarter. Inflation data remains tame, as the employment cost
index came in at 0.9% for the third quarter, compared to a 1% increase in the
second quarter. Productivity continues to outpace the economic cost index,
keeping unit labor costs at deflation levels. The GDP deflator also grew more
slowly in the third quarter compared to the second quarter at 2% versus 2.4%,
respectively, but grew at a faster rate when compared to the 1.3% rate for the
fourth quarter of 1999.
Internationally, the European Central Bank (ECB) persuaded its G-7 colleagues to
help in a coordinated intervention on September 22 in support of the Euro. The
plummeting value of this new currency, which was initially thought likely to be
a significant competitor to the U.S. dollar, had raised concerns among the
world's leading monetary officials that its weakness was leading to potentially
dangerous global imbalances in world trade and capital flows. The coordinated
nature of the intervention suggests that the ECB has convinced its central bank
colleagues that weakness in the Euro must be limited, and the strength of the
dollar must be capped. An investment implication is that the purchasing power
of the dollar, in terms of foreign stocks and bonds, is now in the neighborhood
of a high.
Oil prices, like the Euro, came under official attention as the Clinton
administration authorized the release of crude oil from the Strategic Petroleum
Reserve during the third quarter. Low inventories of crude oil today pose a
threat of shortage in home heating oil during the winter months ahead, with the
accompanying risk of painfully high prices. In September, Saudi Arabia broke
ranks with OPEC with a pledge to pump whatever oil was necessary to bring the
energy market into better balance at a more modest price level. However, late in
October, Iraq threatened to cut off its oil exports if the United Nations failed
to approve a plan to pay in Euros, not U.S. dollars. The outcome is yet to be
resolved.
Over the past year, equity markets have experienced significant volatility.
Although major stock markets were up for the one-year period, positive returns
were driven by strong performance during the last two months of 1999. For the
first ten months of 2000, the Standard & Poor's (S&P) 500 Index, NASDAQ
Composite Index(c) and Dow Jones Industrial Average(d) were down 1.8%, 17.2% and
3.4%, respectively. In contrast, this year's market winners were mid-cap stocks
and Real Estate Investment Trusts (REITs). As measured by the S&P MidCap 400
Index(e) and NAREIT Index(f), these top two performing asset classes were up 18%
and 16.6%, respectively, for the first ten months of the year 2000. During the
same period, small-cap stocks, as measured by the Russell 2000 Index(g), were
close to neutral, returning -0.47%. ("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 other major market theme for the one year period ended October 31, 2000 was
the resurgence of value in large and small cap stocks. For the period, value
outpaced growth, as measured by S&P 500 Barra Indices(h), in large cap stocks by
8%, but growth continued to outpace value for mid and small cap stocks by 21.9%
and 9.3%, respectively.
On the fixed income side, the tightening of the interest rates by the FOMC
increased short-term Treasury yields, while longer--
See Definition of
Terms. 3
<PAGE>
term yields were held down by reduced Treasury supply. For the fiscal year, two
year Treasuries increased in yield by 14 basis points, while thirty year
Treasuries declined in yield by 38 basis points, due to reduced supply. Spreads
in most sectors have widened due to concerns about credit quality. For the
fiscal year, investment grade corporate bonds underperformed similar duration
Treasuries by nearly 300 basis points.
WHICH INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST TWELVE MONTHS?
The overall performance of the Aetna Principal Protection Funds is driven by
three independent factors: the performance of equity holdings, the performance
of fixed income holdings, and the algorithm which determines the allocation
between equities and fixed income.
The quantitative model used to manage the equity component of these funds
provided good discrimination between stocks with high relative returns and those
with low relative returns. The model's factors relating to equity analyst's
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 price/earnings (P/E) factor, has performed well. (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.)
Each fund benefited from individual security selection, particularly in the
communication services and technology sectors. Within communication services,
the Funds benefited from underweights in AT&T and WorldCom. Within the
technology sector, the Funds benefited from overweights in Cisco, Nortel, and
EMC Corp., and, from underweights in Lucent. Overweight positions in both Intel
and Microsoft negatively impacted performance.
As the year progressed, based on our model's individual ranking of each stock in
the S&P 500, weightings in technology and consumer cyclical stocks were reduced
in favor of increased positions in consumer staples and energy.
Overweight positions in U.S. Agency and Treasury bonds detracted from
performance during the first three quarters of the period due to Federal
Reserve interest rate hikes and widening in spread product which impacted the
short end of the yield curve. In the last quarter, however, our overweight
position in agencies positively affected performance.
Performance has been most dramatically impacted by re-allocations into and out
of equities due to increased market volatility since early 1999. The Funds'
allocation strategy is driven by a complex model that is designed to work best
in markets behaving consistently with historical norms. The model performs less
well in markets with high volatility (rapid market increases and declines). High
equity market volatility throughout a period impacts the daily target allocation
between equity and fixed income holdings. As the asset allocation component
causes the Funds to sell equities when the market dips and buy when the market
begins to rise, periods of high volatility can cause an excessive number of
allocation trades, thereby detracting from total return. Since early 1999,
market movements have caused situations like this to occur, which have
negatively impacted performance.
<TABLE>
<CAPTION>
% OF ECONOMIC EXPOSURE*
NET ASSETS NOTIONAL VALUE* 10/31/00
ASSET ALLOCATION 10/31/00 OF FUTURES
<S> <C> <C> <C>
Large Cap Stocks 50% 3% 53%
International Stocks 2% -- 2%
Fixed Income 45% -- 45%
Cash Equivalents 3% (3)% --
---------- ---------------- ---------------------------
100% -- 100%
========== ================ ===========================
</TABLE>
PRINCIPAL PROTECTION FUND I:
4 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
EQUITY PORTFOLIO SECTOR BREAKDOWN INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.8% 2.0% (0.2)%
Capital Goods 8.8% 8.8% --
Communication Services 4.5% 6.1% (1.6)%
Consumer Cyclicals 6.0% 6.8% (0.8)%
Consumer Staples 9.4% 10.8% (1.4)%
Energy 7.5% 6.0% 1.5%
Financials 16.3% 15.7% 0.6%
Health Care 12.4% 12.0% 0.4%
Technology 29.3% 27.8% 1.5%
Transportation 0.5% 0.6% (0.1)%
Utilities 3.5% 3.4% 0.1%
</TABLE>
PRINCIPAL PROTECTION FUND I (CONTINUED):
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
General Electric Co. 2.2%
Exxon Mobil Corp. 1.9%
Cisco Systems, Inc. 1.5%
Microsoft Corp. 1.5%
Pfizer, Inc. 1.4%
</TABLE>
PRINCIPAL PROTECTION FUND II:
<TABLE>
<CAPTION>
% OF ECONOMIC EXPOSURE*
NET ASSETS NOTIONAL VALUE* 10/31/00
ASSET ALLOCATION 10/31/00 OF FUTURES
<S> <C> <C> <C>
Large Cap Stocks 42% 3% 45%
International Stocks 1% -- 1%
Fixed Income 54% -- 54%
Cash Equivalents 3% (3)% --
---------- ---------------- ---------------------------
100% -- 100%
========== ================ ===========================
</TABLE>
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
EQUITY PORTFOLIO SECTOR BREAKDOWN INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.7% 2.0% (0.3)%
Capital Goods 8.8% 8.8% --
Communication Services 4.5% 6.1% (1.6)%
Consumer Cyclicals 5.9% 6.8% (0.9)%
Consumer Staples 9.4% 10.8% (1.4)%
Energy 7.5% 6.0% 1.5%
Financials 16.4% 15.7% 0.7%
Health Care 12.4% 12.0% 0.4%
Technology 29.4% 27.8% 1.6%
Transportation 0.5% 0.6% (0.1)%
Utilities 3.5% 3.4% 0.1%
</TABLE>
See Definition of
Terms. 5
<PAGE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
General Electric Co. 1.8%
Exxon Mobil Corp. 1.6%
Cisco Systems, Inc. 1.3%
Microsoft Corp. 1.2%
Pfizer, Inc. 1.1%
</TABLE>
PRINCIPAL PROTECTION FUND II (CONTINUED):
PRINCIPAL PROTECTION FUND III:
<TABLE>
<CAPTION>
% OF ECONOMIC EXPOSURE*
NET ASSETS NOTIONAL VALUE* 10/31/00
ASSET ALLOCATION 10/31/00 OF FUTURES
<S> <C> <C> <C>
Large Cap Stocks 54% 3% 57%
International Stocks 2% -- 2%
Fixed Income 41% -- 41%
Cash Equivalents 3% (3)% --
---------- ---------------- ---------------------------
100% -- 100%
========== ================ ===========================
</TABLE>
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
EQUITY PORTFOLIO SECTOR BREAKDOWN INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.7% 2.0% (0.3)%
Capital Goods 8.8% 8.8% --
Communication Services 4.5% 6.1% (1.6)%
Consumer Cyclicals 5.8% 6.8% (1.0)%
Consumer Staples 9.4% 10.8% (1.4)%
Energy 7.5% 6.0% 1.5%
Financials 16.1% 15.7% 0.4%
Health Care 12.7% 12.0% 0.7%
Technology 29.6% 27.8% 1.8%
Transportation 0.5% 0.6% (0.1)%
Utilities 3.4% 3.4% --
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
General Electric Co. 2.4%
Exxon Mobil Corp. 2.0%
Cisco Systems, Inc. 1.7%
Microsoft Corp. 1.6%
Pfizer, Inc. 1.5%
</TABLE>
6 See Definition of Terms.
<PAGE>
PRINCIPAL PROTECTION FUND IV:
<TABLE>
<CAPTION>
% OF ECONOMIC EXPOSURE*
NET ASSETS NOTIONAL VALUE* 10/31/00
ASSET ALLOCATION 10/31/00 OF FUTURES
<S> <C> <C> <C>
Large Cap Stocks 46% 3% 49%
International Stocks 2% -- 2%
Fixed Income 49% -- 49%
Cash Equivalents 3% (3)% --
---------- ---------------- ---------------------------
100% -- 100%
========== ================ ===========================
</TABLE>
<TABLE>
<CAPTION>
% OF EQUITY % OF OVER/(UNDER)
EQUITY PORTFOLIO SECTOR BREAKDOWN INVESTMENTS S&P 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 1.6% 2.0% (0.4)%
Capital Goods 8.9% 8.8% 0.1%
Communication Services 4.5% 6.1% (1.6)%
Consumer Cyclicals 5.8% 6.8% (1.0)%
Consumer Staples 9.5% 10.8% (1.3)%
Energy 7.5% 6.0% 1.5%
Financials 16.4% 15.7% 0.7%
Health Care 12.4% 12.0% 0.4%
Technology 29.4% 27.8% 1.6%
Transportation 0.5% 0.6% (0.1)%
Utilities 3.5% 3.4% 0.1%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP FIVE EQUITY HOLDINGS ASSETS
<S> <C>
General Electric Co. 2.0%
Exxon Mobil Corp. 1.7%
Cisco Systems, Inc. 1.4%
Microsoft Corp. 1.3%
Pfizer, Inc. 1.3%
</TABLE>
*Notional Value refers to the economic value at risk or the exposure to the
financial instruments underlying the options and futures positions, if any.
Economic exposure reflects the Funds'exposure to both changes in the value of
the portfolio of investments as well as the financial instruments underlying the
options and futures positions, if any.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Moving into the final two months of 2000, we continue to be cautious. Throughout
September and October 2000, expectations of favorable earnings reports began to
unravel as well respected technology companies (the leaders of the "new
economy") began alluding to shortfalls in revenues and earnings due to weaker
demand in the U.S. and abroad. High oil prices, low unemployment and strong
consumer spending continued to threaten our low inflation environment while the
most recent top-line growth number for the economy, third quarter GDP at 2.7%,
worked in the opposite direction. All of these factors point to a mixed economic
picture as we enter the end of 2000.
See Definition of
Terms. 7
<PAGE>
We will continue to look for clarification on a number of issues, including the
presidential election, oil prices, the weak Euro and consumer spending.
Meanwhile, the focus of our Funds remains unchanged, to select stocks with
strong business fundamentals.
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
Fund are subject to change.
8 See Definition of Terms.
<PAGE>
AETNA INDEX PLUS PROTECTION FUND
ACCUMULATION PERIOD
Aetna Index Plus Protection Fund Class A and Class B is being offered from
October 2, 2000 through November 30, 2000 as a funding option issued by Aetna
Series Fund, Inc. Fund assets will be invested entirely in money market
instruments through November 30, 2000. After that date, the Fund will allocate
its investments between equities and fixed income securities in proportions that
are intended to help the Fund attain its investment objective.
See Definition of
Terms. 9
<PAGE>
<TABLE>
<CAPTION>
DEFINITION OF TERMS
<S><C>
(1)
The maximum load for the Principal Protection Funds is 4.75%. The POP (public
offering price) returns reflect this maximum load.
(2)NAV (net asset value) returns are net of Fund expenses only and do not
reflect the deduction of a front-end load or contingent deferred sales
charges. This charge, if reflected, would reduce the performance results
shown.
(3)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
Maturity Date. The CDSC charges are as follows: Offering Period or Year 1 of
Guarantee Period - 5%, Year 2 - 4%, Year 3 - 3%, Year 4 - 3%, Year 5 - 2%,
Year 6 - 1%.
(a)
The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated on
a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(b)The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond Index,
Mortgage-Backed Securities Index and the Asset-Backed Securities Index.
(c)NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
(d)
The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip
stocks that are generally the leaders in their industry. It has been a widely
followed indicator of the stock market since October 1, 1928.
(e)
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.
(f)The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(g)The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(h)
S&P 500 Barra Indicies is the Standard & Poor's 500 Barra Indicies. Companies
in each U.S. index are split into two groups based on price-to-book ratio to
create growth and value indices. The Growth index contains companies with
higher price-to-book ratios, while the Value index contains those with lower
ratios.
The unmanaged indices described above are not available for individual
investment.
</TABLE>
10
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
COMMON STOCKS (52.1%)
AEROSPACE/DEFENSE (0.5%)
Boeing Co. ........................... 7,900 535,719
General Dynamics Corp. ............... 1,200 85,875
Goodrich (B.F.) Co. .................. 400 16,375
Lockheed Martin Corp. ................ 3,700 132,645
Northrop Grumman Corp. ............... 600 50,400
821,014
---------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ........... 4,100 45,100
---------------
AIR FREIGHT (0.1%)
FedEx Corp. + ........................ 1,700 79,662
---------------
AIRLINES (0.1%)
AMR Corp. + .......................... 1,200 39,300
Delta Air Lines, Inc. ................ 400 18,900
Southwest Airlines Co. ............... 4,300 122,550
180,750
---------------
ALUMINUM (0.1%)
Alcoa Inc. ........................... 5,608 160,880
---------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ............. 300 3,281
Delphi Automotive Systems Corp. ...... 1,700 26,669
Genuine Parts Co. .................... 1,300 27,706
Snap-On, Inc. ........................ 700 17,894
TRW, Inc. ............................ 1,200 50,400
Visteon Corp. + ...................... 1,597 28,247
154,197
---------------
AUTOMOBILES (0.2%)
Ford Motor Co. ....................... 13,800 360,525
---------------
BANKS - MAJOR REGIONAL (1.8%)
Bank of New York Co., Inc. ........... 5,600 322,350
Bank One Corp. ....................... 6,900 251,850
BB&T Corp. ........................... 2,300 73,313
Comerica, Inc. ....................... 1,100 66,344
Fifth Third Bancorp .................. 3,000 154,125
Firstar Corp. ........................ 6,400 126,000
Fleet Boston Financial Corp. ......... 5,100 193,800
Huntington Bancshares Inc. ........... 1,320 18,975
KeyCorp .............................. 1,900 46,906
Mellon Financial Corp. ............... 3,300 159,225
National City Corp. .................. 2,800 59,850
Northern Trust Corp. ................. 1,300 110,987
Old Kent Financial Corp. ............. 840 23,258
PNC Bank Corp. ....................... 1,900 127,062
Regions Financial Corp. .............. 200 4,713
SouthTrust Corp. ..................... 800 25,900
State Street Corp. ................... 1,300 162,162
Summit Bancorp ....................... 800 30,000
Suntrust Banks, Inc. ................. 1,900 92,744
Synovus Financial Corp. .............. 2,600 56,063
U.S. Bancorp ......................... 4,600 111,262
Union Planters Corp. ................. 900 30,431
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
BANKS - MAJOR REGIONAL (CONTINUED)
Wachovia Corp. ....................... 1,200 64,800
Wells Fargo & Co. .................... 10,200 472,387
2,784,507
---------------
BANKS - MONEY CENTER (0.8%)
Bank of America Corp. ................ 10,000 480,625
Chase Manhattan Corp. (The) .......... 7,700 350,350
First Union Corp. .................... 6,000 181,875
J.P. Morgan & Co. .................... 900 148,950
1,161,800
---------------
BEVERAGES - ALCOHOLIC (0.2%)
Anheuser-Busch Co., Inc. ............. 5,100 233,325
Brown-Forman Corp. + ................. 500 30,437
Coors (Adolph) Co. ................... 400 25,475
289,237
---------------
BEVERAGES - NON-ALCOHOLIC (0.6%)
Coca-Cola Co. (The) .................. 15,200 917,700
Coca-Cola Enterprises Inc. ........... 1,500 27,562
945,262
---------------
BIOTECHNOLOGY (0.4%)
Amgen, Inc. + ........................ 6,000 347,625
Biogen, Inc. + ....................... 1,200 72,225
MedImmune, Inc. + .................... 1,700 111,137
530,987
---------------
BROADCASTING - TV, RADIO & CABLE (0.3%)
Clear Channel Communications, Inc. + . 3,300 198,206
Comcast Corp. - Class A Special + .... 5,100 207,825
406,031
---------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.2%)
Nextel Communications, Inc. + ........ 2,300 88,406
Sprint Corp. (PCS Group) + ........... 5,700 217,313
305,719
---------------
CHEMICALS (0.4%)
Air Products and Chemicals, Inc. ..... 1,900 70,894
Du Pont (E.I.) de Nemours ............ 6,500 294,937
Eastman Chemical Co. ................. 1,000 42,875
Praxair, Inc. ........................ 1,500 55,875
Rohm & Haas Co. ...................... 600 18,038
Union Carbide Corp. .................. 1,400 60,200
542,819
---------------
CHEMICALS - DIVERSIFIED (0.1%)
Engelhard Corp. ...................... 2,000 41,750
FMC Corp. + .......................... 300 22,800
64,550
---------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. ......................... 1,300 50,944
Grace (W.R.) & Co. + ................. 500 1,906
Great Lakes Chemical Corp. ........... 600 20,025
International Flavors & Fragrances,
Inc.................................. 1,000 16,750
Sigma-Aldrich Corp. .................. 1,000 35,750
125,375
---------------
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
COMMUNICATIONS EQUIPMENT (1.5%)
ADC Telecommunications, Inc. + ....... 7,000 149,625
Andrew Corp. + ....................... 1,200 31,575
Comverse Technology, Inc. + .......... 1,000 111,750
Corning, Inc. ........................ 8,200 627,300
Nortel Networks Corp. ................ 18,300 832,650
QUALCOMM Inc. + ...................... 4,600 299,503
Scientific-Atlanta, Inc. ............. 1,400 95,813
Tellabs, Inc. + ...................... 2,700 134,831
2,283,047
---------------
COMPUTERS - HARDWARE (2.9%)
Apple Computer, Inc. + ............... 2,100 41,081
Compaq Computer Corp. ................ 10,100 307,141
Dell Computer Corp. + ................ 15,100 445,450
Gateway, Inc. + ...................... 2,100 108,381
Hewlett-Packard Co. .................. 12,200 566,537
International Business Machines Corp. 10,800 1,063,800
NCR Corp. + .......................... 1,000 43,125
Palm, Inc. + ......................... 4,273 228,873
Sun Microsystems, Inc. + ............. 14,600 1,618,775
4,423,163
---------------
COMPUTERS - NETWORKING (1.8%)
Avaya Inc. ........................... 1,900 25,531
Cabletron Systems, Inc. + ........... 1,500 40,688
Cisco Systems, Inc. + ................ 43,500 2,343,562
Network Appliance, Inc. + ............ 2,900 345,100
2,754,881
---------------
COMPUTERS - PERIPHERALS (1.3%)
EMC Corp. + .......................... 20,100 1,790,156
Seagate Technology, Inc. + ........... 1,500 104,813
1,894,969
---------------
COMPUTERS SOFTWARE/SERVICES (3.8%)
Adobe Systems, Inc. .................. 2,000 152,125
America Online, Inc. + ............... 6,800 342,924
Autodesk, Inc. ....................... 800 17,650
BMC Software, Inc. + ................. 1,500 30,469
Computer Associates International,
Inc.................................. 2,300 73,313
Mercury Interactive Corp. + .......... 700 77,700
Microsoft Corp. + .................... 32,400 2,231,550
Novell, Inc. + ....................... 1,800 16,200
Oracle Corp. + ....................... 51,900 1,712,700
PeopleSoft, Inc. + ................... 1,600 69,825
Siebel Systems, Inc. + ............... 3,800 398,762
VERITAS Software Corp. + ............. 3,700 521,758
Yahoo! Inc. + ........................ 3,100 181,737
5,826,713
---------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................. 300 12,600
---------------
CONSUMER FINANCE (0.4%)
Capital One Financial Corp. .......... 1,100 69,437
Countrywide Credit Industries, Inc. .. 1,000 37,438
Household International, Inc. ........ 3,300 166,031
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
CONSUMER FINANCE (CONTINUED)
MBNA Corp. ........................... 6,300 236,644
Providian Financial Corp. ............ 900 93,600
603,150
---------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ........................... 300 10,538
Owens-Illinois, Inc. + ............... 800 4,750
15,288
---------------
CONTAINERS/PACKAGING - PAPER (0.0%)
Bemis Co., Inc. ...................... 700 18,113
Pactiv Corp. + ....................... 2,000 21,000
Temple-Inland Inc. ................... 500 22,375
61,488
---------------
DISTRIBUTORS - FOOD & HEALTH (0.2%)
Cardinal Health, Inc. ................ 1,600 151,600
McKesson HBOC, Inc. .................. 1,700 47,706
SUPERVALU, Inc. ...................... 1,300 19,988
Sysco Corp. .......................... 1,900 99,156
318,450
---------------
ELECTRIC COMPANIES (1.1%)
Ameren Corp. ......................... 1,200 47,700
American Electric Power Co., Inc. .... 2,160 89,640
Cinergy Corp. ........................ 1,100 33,688
CMS Energy Corp. ..................... 800 21,600
Consolidated Edison, Inc. ............ 1,700 59,819
Constellation Energy Group ........... 1,200 50,025
CP&L, Inc. ........................... 700 28,219
Dominion Resources, Inc. ............. 1,589 94,645
DTE Energy Co. ....................... 1,300 46,962
Duke Energy Corp. .................... 2,200 190,162
Edison International Inc. ............ 2,600 62,075
Entergy Corp. ........................ 1,500 57,469
Exelon Corp. ......................... 2,450 147,306
FirstEnergy Corp. .................... 1,600 41,400
FPL Group, Inc. ...................... 1,300 85,800
GPU, Inc. ............................ 700 23,144
Niagara Mohawk Holdings Inc. + ....... 1,500 24,000
PG&E Corp. ........................... 2,500 67,344
Pinnacle West Capital Corp. .......... 600 26,063
PPL Corporation ...................... 1,300 53,544
Public Service Enterprise Group, Inc. 1,200 49,800
Reliant Energy Inc. .................. 2,400 99,150
Southern Co. ......................... 4,100 120,437
TXU Corp. ............................ 1,700 63,006
Xcel Energy, Inc. .................... 2,040 52,147
1,635,145
---------------
ELECTRICAL EQUIPMENT (2.6%)
American Power Conversion Corp. + .... 1,600 20,700
Cooper Industries, Inc. .............. 1,100 42,075
Emerson Electric Co. ................. 2,400 176,250
General Electric Co. ................. 60,800 3,332,600
Molex, Inc. .......................... 1,400 75,600
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
ELECTRICAL EQUIPMENT (CONTINUED)
Rockwell International Corp. ......... 700 27,519
Sanmina Corp. + ...................... 1,100 125,743
Solectron Corp. + .................... 3,900 171,600
3,972,087
---------------
ELECTRONICS - INSTRUMENTS (0.2%)
Agilent Technologies, Inc. + ......... 2,890 133,843
PerkinElmer, Inc. .................... 600 71,700
Tektronix, Inc. ...................... 400 28,500
234,043
---------------
ELECTRONICS - SEMICONDUCTORS (2.9%)
Adaptec, Inc. + ...................... 1,200 18,975
Advanced Micro Devices, Inc. + ....... 3,300 74,662
Altera Corp. + ....................... 3,700 151,469
Analog Devices, Inc. + ............... 3,000 195,000
Broadcom Corp. - Class A + ........... 1,300 289,087
Conexant Systems, Inc. + ............. 700 18,419
Intel Corp. .......................... 41,300 1,858,500
JDS Uniphase Corp. + ................. 5,800 471,975
Linear Technology Corp. .............. 2,800 180,775
LSI Logic Corp. + .................... 2,400 78,900
Maxim Integrated Products, Inc. + .... 2,300 152,519
Micron Technology, Inc. + ............ 4,000 139,000
National Semiconductor Corp. + ....... 1,500 39,000
Texas Instruments, Inc. .............. 10,700 524,969
Xilinx, Inc. + ....................... 2,500 181,094
4,374,344
---------------
ENTERTAINMENT (1.1%)
Time Warner, Inc. .................... 8,100 614,871
Viacom, Inc. - Class B + ............. 9,372 533,033
Walt Disney Co. (The) + .............. 12,900 461,981
1,609,885
---------------
EQUIPMENT - SEMICONDUCTORS (0.2%)
Applied Materials, Inc. + ............ 4,500 239,062
KLA-Tencor Corp. + ................... 1,200 40,575
Novellus Systems, Inc. + ............. 800 32,750
Teradyne, Inc. + ..................... 1,100 34,375
346,762
---------------
FINANCIAL - DIVERSIFIED (2.3%)
American Express Co. ................. 10,200 612,000
Associates First Capital Corp. ....... 4,000 148,500
CIT Group, Inc. (The) ................ 2,200 38,363
Citigroup Inc. ....................... 27,600 1,452,450
Fannie Mae............................ 6,200 477,400
Freddie Mac .......................... 2,300 138,000
Morgan Stanley Dean Witter & Co. ..... 7,000 562,187
USA Education Inc. ................... 1,000 55,875
3,484,775
---------------
FOODS (1.0%)
Campbell Soup Co. .................... 2,700 78,975
ConAgra Foods, Inc. .................. 3,200 68,400
General Mills, Inc. .................. 1,800 75,150
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
FOODS (CONTINUED)
Heinz (H.J.) Co. ..................... 2,000 83,875
Hershey Foods Corp. .................. 600 32,588
Kellogg Co. .......................... 1,500 38,062
Nabisco Group Holdings Corp. ......... 2,800 80,850
PepsiCo, Inc. ........................ 13,200 639,375
Quaker Oats Co. ...................... 1,000 81,562
Ralston Purina Group ................. 1,900 46,075
Sara Lee Corp. ....................... 5,200 112,125
Unilever NV .......................... 3,500 177,844
Wrigley (Wm.) Jr. Co. + .............. 700 55,431
1,570,312
---------------
FOOTWEAR (0.1%)
NIKE, Inc. - Class B ................. 1,700 67,894
Reebok International Ltd. + .......... 500 10,781
78,675
---------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ....... 400 11,450
---------------
GOLD/PRECIOUS METALS MINING (0.0%)
Newmont Mining Corp. ................. 700 9,494
---------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................. 1,000 37,625
Stanley Works (The) .................. 800 21,300
58,925
---------------
HEALTH CARE - DRUGS (0.1%)
Alza Corp. + ......................... 500 40,469
Watson Pharmaceuticals, Inc. + ....... 700 43,794
84,263
---------------
HEALTH CARE - DRUGS/PHARMACUETICALS (3.3%)
Allergan, Inc. ....................... 800 67,250
Eli Lilly & Co. ...................... 6,900 616,687
King Pharmaceuticals, Inc. + ......... 1,500 67,219
Merck & Co., Inc. .................... 14,100 1,268,119
Pfizer, Inc. ......................... 48,375 2,089,195
Pharmacia Corp. ...................... 8,007 440,385
Schering-Plough Corp. ................ 8,600 444,513
4,993,368
---------------
HEALTH CARE - HOSPITAL MANAGEMENT (0.2%)
HCA - The Healthcare Corp. ........... 3,200 127,800
Tenet Healthcare Corp. + ............. 2,900 114,006
241,806
---------------
HEALTH CARE - MANAGED CARE (0.2%)
UnitedHealth Group Inc. .............. 1,500 164,063
Wellpoint Health Networks, Inc. + .... 700 81,856
245,919
---------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (0.7%)
Bard (C.R.) Inc. ..................... 700 29,313
Bausch & Lomb, Inc. .................. 400 15,425
Baxter International, Inc. ........... 1,900 156,156
Becton, Dickinson & Co. .............. 1,500 50,250
Biomet, Inc. ......................... 1,500 54,281
Boston Scientific Corp. + ............ 3,000 47,813
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (CONTINUED)
Guidant Corp. + ...................... 2,000 105,875
Medtronic, Inc. + .................... 7,300 396,481
PE Corp-PE Biosystems Group .......... 1,700 198,900
St. Jude Medical, Inc. + ............. 600 33,000
1,087,494
---------------
HEALTH CARE - SPECIAL SERVICES (0.0%)
HEALTHSOUTH Corp. + .................. 2,200 26,400
---------------
HEALTH CARE DIVERSIFIED (1.7%)
Abbott Laboratories .................. 9,500 501,719
American Home Products Corp. ......... 8,000 508,000
Bristol-Myers Squibb Co. ............. 12,100 737,344
Johnson & Johnson .................... 8,500 783,062
2,530,125
---------------
HOMEBUILDING (0.0%)
Centex Corp. ......................... 700 25,900
Kaufman & Broad Home Corp. ........... 300 8,925
Pulte Corp. .......................... 400 13,325
48,150
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.0%)
Maytag Corp. ......................... 600 17,175
Whirlpool Corp. ...................... 800 34,800
51,975
---------------
HOUSEHOLD PRODUCTS - NON-DURABLE (0.5%)
Clorox Co. ........................... 1,600 71,400
Colgate-Palmolive Co. ................ 3,700 217,412
Fort James Corp. ..................... 1,100 36,231
Kimberly-Clark Corp. ................. 3,200 211,200
Procter & Gamble Co. ................. 3,900 278,606
814,849
---------------
HOUSEWARES (0.0%)
Fortune Brands, Inc. ................. 1,000 29,437
Tupperware Corp. ..................... 500 8,563
38,000
---------------
INSURANCE - LIFE/HEALTH (0.3%)
AFLAC, Inc. .......................... 2,300 168,044
American General Corp. ............... 1,500 120,750
Jefferson-Pilot Corp. ................ 800 55,000
Lincoln National Corp. ............... 1,500 72,562
Torchmark Corp. ...................... 1,300 43,306
UnumProvident Corp. .................. 1,400 39,550
499,212
---------------
INSURANCE - MULTI-LINE (1.3%)
American International Group, Inc. ... 17,700 1,734,600
CIGNA Corp. .......................... 1,300 158,535
Hartford Financial Services Group,
Inc.................................. 1,700 126,544
2,019,679
---------------
INSURANCE - PROPERTY/CASUALTY (0.4%)
Allstate Corp. (The) ................. 4,400 177,100
Chubb Corp. .......................... 1,400 118,212
Cincinnati Financial Corp. ........... 1,000 36,750
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
INSURANCE - PROPERTY/CASUALTY (CONTINUED)
MBIA, Inc. ........................... 600 43,613
MGIC Investment Corp. ................ 1,000 68,125
Progressive Corp. .................... 500 49,125
St. Paul Co., Inc. ................... 1,400 71,750
564,675
---------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................ 1,500 62,156
Marsh & McLennan Co., Inc. ........... 1,900 248,425
310,581
---------------
INVESTMENT BANKING/BROKERAGE (0.6%)
Bear Stearns Co., Inc. (The) ......... 705 42,740
Charles Schwab Corp. ................. 8,350 293,294
Lehman Brothers Holdings Inc. ........ 2,200 141,900
Merrill Lynch & Co., Inc. ............ 4,500 315,000
Paine Webber Group Inc. .............. 1,400 99,750
892,684
---------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ............. 1,800 77,112
Stilwell Financial, Inc. ............. 1,600 71,700
T. Rowe Price & Associates ........... 1,100 51,494
200,306
---------------
LEISURE TIME - PRODUCTS (0.1%)
Brunswick Corp. ...................... 900 17,494
Harley-Davidson, Inc. ................ 2,500 120,469
Hasbro, Inc. ......................... 700 7,525
145,488
---------------
LODGING - HOTELS (0.1%)
Carnival Corp. ....................... 1,800 44,663
Hilton Hotels Corp. .................. 2,800 26,600
Marriott International, Inc. ......... 1,900 76,950
148,213
---------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. .................... 2,100 73,631
Deere & Co. .......................... 1,900 69,944
Dover Corp. .......................... 1,700 72,144
Ingersoll-Rand Co. ................... 1,200 45,300
Timken Co. ........................... 500 7,031
268,050
---------------
MANUFACTURING - DIVERSIFIED (0.9%)
Crane Co. ............................ 700 18,331
Danaher Corp. ........................ 1,000 63,125
Eaton Corp. .......................... 700 47,644
Honeywell International Inc. ......... 2,400 129,150
Illinois Tool Works, Inc. ............ 1,200 66,675
ITT Industries, Inc. ................. 1,100 35,819
Johnson Controls, Inc. ............... 900 53,662
Minnesota Mining and Manufacturing Co.
(3M)................................. 2,200 212,575
National Service Industries, Inc. .... 400 8,175
Parker-Hannifin Corp. ................ 900 37,237
PPG Industries Inc. .................. 800 35,700
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
MANUFACTURING - DIVERSIFIED (CONTINUED)
Textron, Inc. ........................ 1,200 60,525
Thermo Electron Corp. + .............. 900 26,100
Tyco International Ltd. .............. 10,063 570,449
1,365,167
---------------
MANUFACTURING - SPECIALIZED (0.2%)
Avery Dennison Corp. ................. 700 35,350
Briggs & Stratton Corp. .............. 200 7,138
Millipore Corp. ...................... 400 21,000
Pall Corp. ........................... 1,300 28,031
Sealed Air Corp. + ................... 300 14,437
United Technologies Corp. ............ 3,600 251,325
357,281
---------------
METALS MINING (0.0%)
Phelps Dodge Corp. ................... 700 32,725
---------------
MISCELLANEOUS METALS (0.0%)
Barrick Gold Corp. ................... 1,400 18,725
Inco Ltd. + .......................... 1,300 20,069
Placer Dome, Inc. .................... 1,900 15,437
54,231
---------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.6%)
Coastal Corp. (The) .................. 1,200 90,525
Dynegy Inc. .......................... 2,800 129,675
Eastern Enterprises .................. 200 12,875
El Paso Energy Corp. ................. 1,400 87,762
Enron Corp. .......................... 5,700 467,756
KeySpan Energy Corp. ................. 900 31,669
NICOR, Inc. .......................... 500 17,656
ONEOK, Inc. .......................... 300 11,888
Peoples Energy Corp. ................. 200 6,875
Sempra Energy ........................ 1,200 24,825
Williams Co., Inc. (The) ............. 1,300 54,356
935,862
---------------
OIL (0.7%)
Royal Dutch Petroleum Co. ............ 16,400 973,750
---------------
OIL & GAS - DRILLING & EQUIPMENT (0.4%)
Baker Hughes Inc. .................... 2,200 75,625
Halliburton Co. ...................... 2,700 100,068
Nabors Industries, Inc. + ............ 1,000 50,900
Rowan Co., Inc. + .................... 1,300 32,744
Schlumberger, Ltd. ................... 4,400 334,950
Transocean Sedco Forex Inc. .......... 1,400 74,200
668,487
---------------
OIL & GAS - EXPLORATION/PRODUCTION (0.3%)
Anadarko Petroleum Corp. ............. 1,947 124,705
Apache Corp. ......................... 800 44,250
Burlington Resources, Inc. ........... 1,400 50,400
Devon Energy Corp. ................... 1,100 55,440
Kerr-McGee Corp. ..................... 900 58,781
Unocal Corp. ......................... 1,900 64,838
398,414
---------------
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
OIL & GAS - REFINING & MARKETING (0.1%)
Ashland Inc. ......................... 800 26,200
Sunoco, Inc. ......................... 1,300 38,919
Tosco Corp. .......................... 1,900 54,387
119,506
---------------
OIL - DOMESTIC INTEGRATED (0.3%)
Amerada Hess Corp. ................... 900 55,800
Conoco Inc. - Class B ................ 5,100 138,656
Occidental Petroleum Corp. ........... 3,400 67,575
Phillips Petroleum Co. ............... 2,400 148,200
USX-Marathon Group ................... 2,900 78,844
489,075
---------------
OIL - INTERNATIONAL INTEGRATED (2.2%)
Chevron Corp. ........................ 4,000 328,500
Exxon Mobil Corp. .................... 32,100 2,862,919
Texaco, Inc. ......................... 3,200 189,000
3,380,419
---------------
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. .................. 500 14,344
Georgia-Pacific Corp. ................ 800 21,500
International Paper Co. .............. 1,400 51,275
Louisiana-Pacific Corp. .............. 1,400 11,900
Mead Corp. ........................... 500 14,469
Potlatch Corp. ....................... 300 10,050
Westvaco Corp. ....................... 900 25,650
Weyerhaeuser Co. ..................... 1,300 61,018
Willamette Industries, Inc. .......... 500 18,156
228,362
---------------
PERSONAL CARE (0.1%)
Alberto-Culver Co. - Class B ......... 500 16,781
Avon Products, Inc. .................. 1,500 72,750
Gillette Co. ......................... 3,500 122,063
211,594
---------------
PHOTOGRAPHY/IMAGING (0.0%)
Eastman Kodak Co. .................... 1,300 58,338
---------------
POWER PRODUCERS - INDEPENDENT (0.1%)
AES Corp. + .......................... 2,700 152,550
---------------
PUBLISHING (0.1%)
Harcourt General, Inc. ............... 700 39,235
McGraw-Hill Co., Inc. (The) .......... 1,200 77,025
Meredith Corp. ....................... 400 12,700
128,960
---------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ................ 500 29,438
Gannett Co., Inc. .................... 1,700 98,600
Knight-Ridder, Inc. .................. 900 45,225
New York Times Co. ................... 1,100 40,425
Tribune Co. .......................... 1,441 53,407
267,095
---------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. ... 2,800 74,375
Norfolk Southern Corp. ............... 1,100 15,538
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
RAILROADS (CONTINUED)
Union Pacific Corp. .................. 1,100 51,562
141,475
---------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ............. 1,400 31,500
McDonald's Corp. ..................... 7,300 226,300
Starbucks Corp. + .................... 1,200 53,625
Wendy's International, Inc. .......... 1,300 28,275
339,700
---------------
RETAIL - BUILDING SUPPLIES (0.4%)
Home Depot, Inc. ..................... 13,600 584,800
Sherwin-Williams Co. ................. 1,600 34,700
619,500
---------------
RETAIL - COMPUTERS & ELECTRONICS (0.1%)
Best Buy Co., Inc. + ................. 1,700 85,319
Circuit City Stores - Circuit City
Group................................ 1,200 15,900
RadioShack Corp. ..................... 1,500 89,437
190,656
---------------
RETAIL - DEPARTMENT STORES (0.2%)
Federated Department Stores, Inc. + .. 800 26,050
Kohl's Corp. + ....................... 2,100 113,794
May Department Stores Co. ............ 2,000 52,500
Nordstrom, Inc. ...................... 800 13,150
Sears, Roebuck & Co. ................. 2,800 83,244
288,738
---------------
RETAIL - GENERAL MERCHANDISE CHAIN (1.0%)
Costco Wholesale Corp. + ............. 2,900 106,212
Target Corp. ......................... 5,400 149,175
Wal-Mart Stores, Inc. ................ 27,400 1,243,275
1,498,662
---------------
RETAIL - SPECIALITY (0.1%)
AutoZone, Inc. + ..................... 1,600 42,900
Bed Bath & Beyond, Inc. + ............ 1,200 30,975
Office Depot, Inc. + ................. 2,800 23,275
Staples, Inc. + ...................... 1,500 21,375
Tiffany & Co. ........................ 900 38,419
Toys "R" Us, Inc. + .................. 100 1,719
158,663
---------------
RETAIL SPECIALITY - APPAREL (0.1%)
The Limited, Inc. .................... 2,400 60,600
TJX Companies, Inc. .................. 1,800 49,050
109,650
---------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ............................ 1,100 58,231
Longs Drug Stores Corp. .............. 300 6,563
Walgreen Co. ......................... 5,600 255,500
320,294
---------------
RETAIL STORES - FOOD CHAINS (0.2%)
Albertson's, Inc. .................... 2,600 61,587
Kroger Co. (The) + ................... 4,800 108,300
Safeway, Inc. + ...................... 3,200 175,000
344,887
---------------
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
SAVINGS & LOAN COMPANIES (0.2%)
Charter One Financial, Inc. .......... 1,890 43,352
Golden West Financial Corp. .......... 1,600 89,700
Washington Mutual Financial Corp. .... 3,500 154,000
287,052
---------------
SERVICES - ADVERTISING/MARKETING (0.1%)
Interpublic Group of Co., Inc. (The) . 1,800 77,288
Omnicom Group, Inc. .................. 1,000 92,250
169,538
---------------
SERVICES - COMMERCIAL & CONSUMER (0.1%)
Convergys Corp. + .................... 1,300 56,631
H&R Block, Inc. ...................... 900 32,119
IMS Health, Inc. ..................... 1,900 44,888
133,638
---------------
SERVICES - COMPUTER SYSTEMS (0.2%)
Computer Sciences Corp. + ............ 900 56,700
Electronic Data Systems Corp. ........ 3,000 140,812
Sapient Corp. + ...................... 1,000 35,563
233,075
---------------
SERVICES - DATA PROCESSING (0.4%)
Automatic Data Processing, Inc. ...... 3,600 235,125
Ceridian Corp. + ..................... 800 20,000
Equifax, Inc. ........................ 600 20,700
First Data Corp. ..................... 2,600 130,325
Paychex, Inc. ........................ 3,000 170,062
576,212
---------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ......................... 600 13,538
RR Donnelley & Sons Co. .............. 1,300 27,950
41,488
---------------
STEEL (0.0%)
Allegheny Technologies Inc. .......... 900 18,225
Nucor Corp. .......................... 800 27,750
USX-US Steel Group, Inc. ............. 1,100 17,531
63,506
---------------
TELEPHONE (1.7%)
ALLTEL Corp. ......................... 1,300 83,769
BellSouth Corp. ...................... 11,500 555,594
CenturyTel, Inc. ..................... 400 15,400
Qwest Communications International
Inc. + .............................. 4,963 241,326
SBC Communications, Inc. ............. 20,800 1,199,900
Verizon Communications ............... 8,360 483,312
2,579,301
---------------
TELEPHONE LONG DISTANCE (0.4%)
AT&T Corp. ........................... 11,600 268,975
Global Crossing Ltd. + ............... 5,700 134,663
WorldCom, Inc. + ..................... 8,850 210,187
613,825
---------------
TEXTILES - APPAREL (0.1%)
Liz Claiborne, Inc. .................. 700 29,750
Russell Corp. ........................ 400 6,400
NUMBER OF MARKET VALUE
SHARES
-------------- ---------------
TEXTILES - APPAREL (CONTINUED)
VF Corp. ............................. 1,100 30,044
66,194
---------------
TEXTILES - HOME FURNISHINGS (0.0%)
Springs Industries, Inc. - Class A ... 200 4,713
---------------
TOBACCO (0.4%)
Philip Morris Co. Inc. ............... 13,900 509,087
UST, Inc. ............................ 500 12,625
521,712
---------------
TRUCKERS (0.0%)
Ryder System, Inc. ................... 700 13,825
---------------
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ............. 500 17,000
PACCAR, Inc. ......................... 800 33,650
50,650
---------------
WASTE MANAGEMENT (0.1%)
Waste Management, Inc. ............... 3,500 70,000
TOTAL COMMON STOCKS 79,008,068
(COST $64,866,077)
---------------
PREFERRED STOCKS (0.1%)
Seagram Co. Ltd. (Entertainment) ..... 2,900 165,663
TOTAL PREFERRED STOCKS (COST $162,627) 165,663
---------------
PRINCIPAL
AMOUNT
--------------
LONG-TERM BONDS AND NOTES (45.0%)
Federal National Mortgage Assoc.,Zero
Coupon,08/16/04...................... $ 8,133,000 6,390,749
U.S. Treasury Note,Zero
Coupon,08/15/04...................... 77,051,000 61,841,132
TOTAL LONG-TERM BONDS AND NOTES 68,231,881
(COST $67,198,213)
---------------
SHORT-TERM INVESTMENTS (3.0%)
Federal National Mortgage
Assoc.,6.45%,11/01/00................ 4,234,000 4,234,000
U.S. Treasury Bill,5.95%,11/09/00 @ .. 400,000 399,471
TOTAL SHORT-TERM INVESTMENTS 4,633,471
(COST $4,633,471)
---------------
TOTAL INVESTMENTS
(COST $136,860,388)(A) 152,039,083
OTHER ASSETS LESS LIABILITIES (339,598 )
---------------
TOTAL NET ASSETS $151,699,485
---------------
</TABLE>
See Notes to Portfolio of Investments. 11
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND I (CONTINUED)
12 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 13
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND I (CONTINUED)
14 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 15
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND I (CONTINUED)
16 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
$143,031,169. Unrealized gains and losses, based on identified tax cost at
October 31, 2000, are as follows:
Unrealized gains............................ $ 13,396,407
Unrealized losses........................... (4,388,493)
----------------------
Net unrealized gain........................ $ 9,007,914
======================
</TABLE>
<TABLE>
Information concerning open futures contracts at October 31, 2000 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ---------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 12 $4,320,600 Dec 00 $ 133,774
=========== ============
</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. 17
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
COMMON STOCKS (43.0%)
AEROSPACE/DEFENSE (0.5%)
Boeing Co. ............................ 5,300 359,406
General Dynamics Corp. ................ 800 57,250
Goodrich (B.F.) Co. ................... 600 24,563
Lockheed Martin Corp. ................. 2,100 75,285
Northrop Grumman Corp. ................ 400 33,600
550,104
---------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ............ 3,045 33,495
---------------
AIR FREIGHT (0.1%)
FedEx Corp. + ......................... 1,400 65,604
---------------
AIRLINES (0.1%)
AMR Corp. + ........................... 700 22,925
Delta Air Lines, Inc. ................. 200 9,450
Southwest Airlines Co. ................ 2,500 71,250
103,625
---------------
ALUMINUM (0.1%)
Alcoa Inc. ............................ 3,548 101,783
---------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. .............. 200 2,187
Dana Corp. ............................ 500 11,094
Delphi Automotive Systems Corp. ....... 1,100 17,256
Genuine Parts Co. ..................... 800 17,050
Snap-On, Inc. ......................... 400 10,225
TRW, Inc. ............................. 700 29,400
Visteon Corp. + ....................... 1,073 18,979
106,191
---------------
AUTOMOBILES (0.2%)
Ford Motor Co. ........................ 9,300 242,963
---------------
BANKS - MAJOR REGIONAL (1.5%)
Bank of New York Co., Inc. ............ 3,600 207,225
Bank One Corp. ........................ 4,400 160,600
BB&T Corp. ............................ 1,500 47,812
Comerica, Inc. ........................ 600 36,188
Fifth Third Bancorp ................... 1,900 97,612
Firstar Corp. ......................... 3,700 72,844
Fleet Boston Financial Corp. .......... 3,200 121,600
KeyCorp ............................... 1,100 27,156
Mellon Financial Corp. ................ 1,900 91,675
National City Corp. ................... 2,300 49,162
Northern Trust Corp. .................. 800 68,300
Old Kent Financial Corp. .............. 525 14,536
PNC Bank Corp. ........................ 1,200 80,250
Regions Financial Corp. ............... 100 2,356
SouthTrust Corp. ...................... 900 29,138
State Street Corp. .................... 900 112,266
Summit Bancorp ........................ 400 15,000
Suntrust Banks, Inc. .................. 1,200 58,575
Synovus Financial Corp. ............... 1,500 32,344
U.S. Bancorp .......................... 2,900 70,144
Union Planters Corp. .................. 800 27,050
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
BANKS - MAJOR REGIONAL (CONTINUED)
Wachovia Corp. ........................ 1,000 54,000
Wells Fargo & Co. ..................... 6,500 301,031
1,776,864
---------------
BANKS - MONEY CENTER (0.6%)
Bank of America Corp. ................. 6,400 307,600
Chase Manhattan Corp. (The) ........... 4,850 220,675
First Union Corp. ..................... 3,900 118,219
J.P. Morgan & Co. ..................... 600 99,300
745,794
---------------
BEVERAGES - ALCOHOLIC (0.2%)
Anheuser-Busch Co., Inc. .............. 3,400 155,550
Brown-Forman Corp. + .................. 300 18,262
Coors (Adolph) Co. .................... 200 12,738
186,550
---------------
BEVERAGES - NON-ALCOHOLIC (0.5%)
Coca-Cola Co. (The) ................... 9,700 585,637
Coca-Cola Enterprises Inc. ............ 1,000 18,375
604,012
---------------
BIOTECHNOLOGY (0.3%)
Amgen, Inc. + ......................... 3,800 220,162
Biogen, Inc. + ........................ 500 30,094
MedImmune, Inc. + ..................... 1,100 71,913
322,169
---------------
BROADCASTING - TV, RADIO & CABLE (0.2%)
Clear Channel Communications, Inc. + .. 2,400 144,150
Comcast Corp. - Class A Special + ..... 3,200 130,400
274,550
---------------
BUILDING MATERIALS GROUP (0.0%)
Armstrong Holdings, Inc. .............. 200 575
---------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.2%)
Nextel Communications, Inc. + ......... 1,400 53,813
Sprint Corp. (PCS Group) + ............ 3,600 137,250
191,063
---------------
CHEMICALS (0.3%)
Air Products and Chemicals, Inc. ...... 800 29,850
Du Pont (E.I.) de Nemours ............. 4,100 186,037
Eastman Chemical Co. .................. 600 25,725
Praxair, Inc. ......................... 900 33,525
Rohm & Haas Co. ....................... 400 12,025
Union Carbide Corp. ................... 500 21,500
308,662
---------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ....................... 400 8,350
FMC Corp. + ........................... 200 15,200
23,550
---------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. .......................... 700 27,431
Grace (W.R.) & Co. + .................. 300 1,144
Great Lakes Chemical Corp. ............ 300 10,013
International Flavors & Fragrances,
Inc................................... 600 10,050
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
CHEMICALS - SPECIALITY (CONTINUED)
Sigma-Aldrich Corp. ................... 600 21,450
70,088
---------------
COMMUNICATIONS EQUIPMENT (1.2%)
ADC Telecommunications, Inc. + ........ 3,900 83,362
Andrew Corp. + ........................ 200 5,263
Comverse Technology, Inc. + ........... 700 78,225
Corning, Inc. ......................... 5,200 397,800
Nortel Networks Corp. ................. 11,700 532,350
QUALCOMM Inc. + ....................... 2,900 188,817
Scientific-Atlanta, Inc. .............. 1,000 68,437
Tellabs, Inc. + ....................... 1,700 84,894
1,439,148
---------------
COMPUTERS - HARDWARE (2.4%)
Apple Computer, Inc. + ................ 1,300 25,431
Compaq Computer Corp. ................. 6,400 194,624
Dell Computer Corp. + ................. 10,100 297,950
Gateway, Inc. + ....................... 1,300 67,093
Hewlett-Packard Co. ................... 7,800 362,213
International Business Machines Corp. . 6,900 679,650
NCR Corp. + ........................... 600 25,875
Palm, Inc. + .......................... 2,483 132,996
Sun Microsystems, Inc. + .............. 9,300 1,031,137
2,816,969
---------------
COMPUTERS - NETWORKING (1.5%)
Avaya Inc. ............................ 1,200 16,125
Cabletron Systems, Inc. + ............ 1,000 27,125
Cisco Systems, Inc. + ................. 27,800 1,497,725
Network Appliance, Inc. + ............. 1,700 202,300
1,743,275
---------------
COMPUTERS - PERIPHERALS (1.0%)
EMC Corp. + ........................... 12,800 1,140,000
Seagate Technology, Inc. + ............ 1,100 76,862
1,216,862
---------------
COMPUTERS SOFTWARE/SERVICES (3.2%)
Adobe Systems, Inc. ................... 1,200 91,275
America Online, Inc. + ................ 4,300 216,849
Autodesk, Inc. ........................ 300 6,619
BMC Software, Inc. + .................. 1,000 20,313
Computer Associates International, Inc. 1,400 44,625
Mercury Interactive Corp. + ........... 500 55,500
Microsoft Corp. + ..................... 20,700 1,425,712
Oracle Corp. + ........................ 33,200 1,095,600
PeopleSoft, Inc. + .................... 1,200 52,369
Siebel Systems, Inc. + ................ 2,400 251,850
Unisys Corp. + ........................ 800 10,200
VERITAS Software Corp. + .............. 2,400 338,437
Yahoo! Inc. + ......................... 2,100 123,112
3,732,461
---------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. .................. 200 8,400
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
CONSUMER FINANCE (0.3%)
Capital One Financial Corp. ........... 700 44,187
Countrywide Credit Industries, Inc. ... 600 22,463
Household International, Inc. ......... 2,400 120,750
MBNA Corp. ............................ 4,100 154,006
Providian Financial Corp. ............. 500 52,000
393,406
---------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ............................ 200 7,025
Owens-Illinois, Inc. + ................ 1,000 5,938
12,963
---------------
CONTAINERS/PACKAGING - PAPER (0.0%)
Bemis Co., Inc. ....................... 400 10,350
Pactiv Corp. + ........................ 1,100 11,550
Temple-Inland Inc. .................... 300 13,425
35,325
---------------
DISTRIBUTORS - FOOD & HEALTH (0.2%)
Cardinal Health, Inc. ................. 1,000 94,750
McKesson HBOC, Inc. ................... 1,100 30,869
SUPERVALU, Inc. ....................... 700 10,762
Sysco Corp. ........................... 1,200 62,625
199,006
---------------
ELECTRIC COMPANIES (0.9%)
Ameren Corp. .......................... 700 27,825
American Electric Power Co., Inc. ..... 1,320 54,780
Cinergy Corp. ......................... 700 21,438
CMS Energy Corp. ...................... 500 13,500
Consolidated Edison, Inc. ............. 1,200 42,225
Constellation Energy Group ............ 700 29,181
CP&L, Inc. ............................ 700 28,219
Dominion Resources, Inc. .............. 904 53,844
DTE Energy Co. ........................ 700 25,288
Duke Energy Corp. ..................... 1,400 121,012
Edison International Inc. ............. 1,300 31,038
Entergy Corp. ......................... 1,000 38,312
Exelon Corp. .......................... 1,500 90,187
FirstEnergy Corp. ..................... 1,300 33,638
FPL Group, Inc. ....................... 900 59,400
GPU, Inc. ............................. 500 16,531
Niagara Mohawk Holdings Inc. + ........ 900 14,400
PG&E Corp. ............................ 1,500 40,406
Pinnacle West Capital Corp. ........... 400 17,375
PPL Corp. ............................. 600 24,713
Public Service Enterprise Group, Inc. . 1,000 41,500
Reliant Energy Inc. ................... 1,600 66,100
Southern Co. .......................... 2,200 64,625
TXU Corp. ............................. 1,100 40,769
Xcel Energy, Inc. ..................... 1,675 42,817
1,039,123
---------------
ELECTRICAL EQUIPMENT (2.2%)
American Power Conversion Corp. + ..... 1,000 12,938
Cooper Industries, Inc. ............... 600 22,950
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
ELECTRICAL EQUIPMENT (CONTINUED)
Emerson Electric Co. .................. 1,500 110,156
General Electric Co. .................. 38,900 2,132,206
Molex, Inc. ........................... 675 36,450
Rockwell International Corp. .......... 400 15,725
Sanmina Corp. + ....................... 700 80,019
Solectron Corp. + ..................... 2,100 92,400
Thomas & Betts Corp. .................. 200 3,025
2,505,869
---------------
ELECTRONICS - INSTRUMENTS (0.1%)
Agilent Technologies, Inc. + .......... 1,802 83,455
PerkinElmer, Inc. ..................... 200 23,900
Tektronix, Inc. ....................... 300 21,375
128,730
---------------
ELECTRONICS - SEMICONDUCTORS (2.4%)
Advanced Micro Devices, Inc. + ........ 1,800 40,725
Altera Corp. + ........................ 2,500 102,344
Analog Devices, Inc. + ................ 1,900 123,500
Broadcom Corp. - Class A + ............ 900 200,137
Conexant Systems, Inc. + .............. 600 15,788
Intel Corp. ........................... 26,400 1,188,000
JDS Uniphase Corp. + .................. 3,700 301,087
Linear Technology Corp. ............... 1,800 116,212
LSI Logic Corp. + ..................... 1,500 49,313
Maxim Integrated Products, Inc. + ..... 1,500 99,469
Micron Technology, Inc. + ............. 2,500 86,875
National Semiconductor Corp. + ........ 700 18,200
Texas Instruments, Inc. ............... 6,800 333,625
Xilinx, Inc. + ........................ 1,600 115,900
2,791,175
---------------
ENTERTAINMENT (0.9%)
Time Warner, Inc. ..................... 5,200 394,732
Viacom, Inc. - Class B + .............. 6,000 341,250
Walt Disney Co. (The) + ............... 8,200 293,662
1,029,644
---------------
EQUIPMENT - SEMICONDUCTORS (0.2%)
Applied Materials, Inc. + ............. 3,000 159,375
KLA-Tencor Corp. + .................... 900 30,431
Novellus Systems, Inc. + .............. 500 20,469
Teradyne, Inc. + ...................... 700 21,875
232,150
---------------
FINANCIAL - DIVERSIFIED (1.9%)
American Express Co. .................. 6,500 390,000
Associates First Capital Corp. ........ 2,500 92,812
Citigroup Inc. ........................ 17,600 926,200
Fannie Mae............................. 4,000 308,000
Freddie Mac ........................... 1,300 78,000
Morgan Stanley Dean Witter & Co. ...... 4,400 353,375
USA Education Inc. .................... 900 50,288
2,198,675
---------------
FOODS (0.8%)
Campbell Soup Co. ..................... 1,700 49,725
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
FOODS (CONTINUED)
ConAgra Foods, Inc. ................... 2,000 42,750
General Mills, Inc. ................... 1,100 45,925
Heinz (H.J.) Co. ...................... 1,300 54,519
Hershey Foods Corp. ................... 400 21,725
Kellogg Co. ........................... 1,000 25,375
Nabisco Group Holdings Corp. .......... 1,700 49,088
PepsiCo, Inc. ......................... 8,400 406,875
Quaker Oats Co. ....................... 400 32,625
Ralston Purina Group .................. 1,200 29,100
Sara Lee Corp. ........................ 3,300 71,156
Unilever NV ........................... 2,200 111,787
Wrigley (Wm.) Jr. Co. + ............... 400 31,675
972,325
---------------
FOOTWEAR (0.0%)
NIKE, Inc. - Class B .................. 1,100 43,931
---------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ........ 400 11,450
---------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. .................. 600 22,575
Stanley Works (The) ................... 500 13,313
35,888
---------------
HEALTH CARE - DRUGS (0.0%)
Alza Corp. + .......................... 300 24,281
Watson Pharmaceuticals, Inc. + ........ 400 25,025
49,306
---------------
HEALTH CARE - DRUGS/PHARMACUETICALS (2.7%)
Allergan, Inc. ........................ 600 50,437
Eli Lilly & Co. ....................... 4,400 393,250
King Pharmaceuticals, Inc. + .......... 1,000 44,813
Merck & Co., Inc. ..................... 9,000 809,437
Pfizer, Inc. .......................... 30,875 1,333,414
Pharmacia Corp. ....................... 5,070 278,850
Schering-Plough Corp. ................. 5,700 294,619
3,204,820
---------------
HEALTH CARE - HOSPITAL MANAGEMENT (0.1%)
HCA - The Healthcare Corp. ............ 2,000 79,875
Tenet Healthcare Corp. + .............. 1,600 62,900
142,775
---------------
HEALTH CARE - MANAGED CARE (0.1%)
UnitedHealth Group Inc. ............... 900 98,438
Wellpoint Health Networks, Inc. + ..... 400 46,775
145,213
---------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (0.6%)
Bard (C.R.) Inc. ...................... 400 16,750
Bausch & Lomb, Inc. ................... 400 15,425
Baxter International, Inc. ............ 1,200 98,625
Becton, Dickinson & Co. ............... 700 23,450
Biomet, Inc. .......................... 900 32,569
Boston Scientific Corp. + ............. 1,800 28,687
Guidant Corp. + ....................... 1,100 58,231
Medtronic, Inc. + ..................... 4,700 255,269
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (CONTINUED)
PE Corp-PE Biosystems Group ........... 1,100 128,700
St. Jude Medical, Inc. + .............. 400 22,000
679,706
---------------
HEALTH CARE - SPECIAL SERVICES (0.0%)
HEALTHSOUTH Corp. + ................... 1,600 19,200
---------------
HEALTH CARE DIVERSIFIED (1.4%)
Abbott Laboratories ................... 6,100 322,156
American Home Products Corp. .......... 5,100 323,850
Bristol-Myers Squibb Co. .............. 7,700 469,219
Johnson & Johnson ..................... 5,400 497,475
1,612,700
---------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. ............ 200 5,950
Pulte Corp. ........................... 200 6,663
12,613
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.0%)
Maytag Corp. .......................... 100 2,863
Whirlpool Corp. ....................... 200 8,700
11,563
---------------
HOUSEHOLD PRODUCTS - NON-DURABLE (0.4%)
Clorox Co. ............................ 1,000 44,625
Colgate-Palmolive Co. ................. 2,000 117,520
Fort James Corp. ...................... 700 23,056
Kimberly-Clark Corp. .................. 1,900 125,400
Procter & Gamble Co. .................. 2,600 185,738
496,339
---------------
HOUSEWARES (0.0%)
Fortune Brands, Inc. .................. 300 8,831
Tupperware Corp. ...................... 500 8,563
17,394
---------------
INSURANCE - LIFE/HEALTH (0.3%)
AFLAC, Inc. ........................... 1,400 102,287
American General Corp. ................ 900 72,450
Jefferson-Pilot Corp. ................. 500 34,375
Lincoln National Corp. ................ 1,200 58,050
Torchmark Corp. ....................... 700 23,319
UnumProvident Corp. ................... 900 25,425
315,906
---------------
INSURANCE - MULTI-LINE (1.1%)
American International Group, Inc. .... 11,300 1,107,400
CIGNA Corp. ........................... 900 109,755
Hartford Financial Services Group, Inc. 1,200 89,325
1,306,480
---------------
INSURANCE - PROPERTY/CASUALTY (0.3%)
Allstate Corp. (The) .................. 2,800 112,700
Chubb Corp. ........................... 800 67,550
Cincinnati Financial Corp. ............ 700 25,725
MBIA, Inc. ............................ 300 21,806
MGIC Investment Corp. ................. 700 47,687
Progressive Corp. ..................... 300 29,475
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
INSURANCE - PROPERTY/CASUALTY (CONTINUED)
SAFECO Corp. .......................... 600 14,513
St. Paul Co., Inc. .................... 600 30,750
350,206
---------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................. 800 33,150
Marsh & McLennan Co., Inc. ............ 1,200 156,900
190,050
---------------
INVESTMENT BANKING/BROKERAGE (0.5%)
Bear Stearns Co., Inc. (The) .......... 500 30,312
Charles Schwab Corp. .................. 5,150 180,894
Lehman Brothers Holdings Inc. ......... 1,400 90,300
Merrill Lynch & Co., Inc. ............. 3,000 210,000
Paine Webber Group Inc. ............... 800 57,000
568,506
---------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. .............. 1,200 51,408
Stilwell Financial, Inc. .............. 1,000 44,812
T. Rowe Price & Associates ............ 700 32,769
128,989
---------------
LEISURE TIME - PRODUCTS (0.1%)
Brunswick Corp. ....................... 500 9,719
Harley-Davidson, Inc. ................. 1,500 72,281
Hasbro, Inc. .......................... 1,100 11,825
93,825
---------------
LODGING - HOTELS (0.1%)
Carnival Corp. ........................ 1,200 29,775
Hilton Hotels Corp. ................... 1,700 16,150
Marriott International, Inc. .......... 1,000 40,500
86,425
---------------
MACHINERY - DIVERSIFIED (0.1%)
Caterpillar, Inc. ..................... 1,300 45,581
Deere & Co. ........................... 1,100 40,494
Dover Corp. ........................... 1,000 42,438
Ingersoll-Rand Co. .................... 800 30,200
Timken Co. ............................ 400 5,625
164,338
---------------
MANUFACTURING - DIVERSIFIED (0.8%)
Crane Co. ............................. 400 10,475
Danaher Corp. ......................... 600 37,875
Eaton Corp. ........................... 400 27,225
Honeywell International Inc. .......... 1,600 86,100
Illinois Tool Works, Inc. ............. 800 44,450
ITT Industries, Inc. .................. 600 19,538
Johnson Controls, Inc. ................ 400 23,850
Minnesota Mining and Manufacturing Co.
(3M).................................. 1,600 154,600
National Service Industries, Inc. ..... 200 4,088
Parker-Hannifin Corp. ................. 500 20,688
PPG Industries Inc. ................... 500 22,312
Textron, Inc. ......................... 700 35,306
Thermo Electron Corp. + ............... 400 11,600
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
MANUFACTURING - DIVERSIFIED (CONTINUED)
Tyco International Ltd. ............... 6,675 378,409
876,516
---------------
MANUFACTURING - SPECIALIZED (0.2%)
Avery Dennison Corp. .................. 600 30,300
Briggs & Stratton Corp. ............... 100 3,569
Millipore Corp. ....................... 300 15,750
Pall Corp. ............................ 1,000 21,562
Sealed Air Corp. + .................... 200 9,625
United Technologies Corp. ............. 2,300 160,569
241,375
---------------
MISCELLANEOUS METALS (0.0%)
Barrick Gold Corp. .................... 900 12,038
Inco Ltd. + ........................... 900 13,894
Placer Dome, Inc. ..................... 2,100 17,062
42,994
---------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.5%)
Coastal Corp. (The) ................... 900 67,894
Dynegy Inc. ........................... 1,800 83,362
El Paso Energy Corp. .................. 800 50,150
Enron Corp. ........................... 3,600 295,425
KeySpan Energy Corp. .................. 800 28,150
NICOR, Inc. ........................... 300 10,594
Peoples Energy Corp. .................. 100 3,438
Sempra Energy ......................... 600 12,412
Williams Co., Inc. (The) .............. 800 33,450
584,875
---------------
OIL (0.5%)
Royal Dutch Petroleum Co. ............. 10,500 623,437
---------------
OIL & GAS - DRILLING & EQUIPMENT (0.4%)
Baker Hughes Inc. ..................... 1,400 48,125
Halliburton Co. ....................... 1,700 63,006
Nabors Industries, Inc. + ............. 600 30,540
Rowan Co., Inc. + ..................... 700 17,631
Schlumberger, Ltd. .................... 2,800 213,150
Transocean Sedco Forex Inc. ........... 800 42,400
414,852
---------------
OIL & GAS - EXPLORATION/PRODUCTION (0.2%)
Anadarko Petroleum Corp. .............. 1,219 78,077
Apache Corp. .......................... 500 27,656
Burlington Resources, Inc. ............ 600 21,600
Devon Energy Corp. .................... 700 35,280
Kerr-McGee Corp. ...................... 600 39,188
Unocal Corp. .......................... 1,200 40,950
242,751
---------------
OIL & GAS - REFINING & MARKETING (0.1%)
Ashland Inc. .......................... 400 13,100
Sunoco, Inc. .......................... 800 23,950
Tosco Corp. ........................... 800 22,900
59,950
---------------
OIL - DOMESTIC INTEGRATED (0.3%)
Amerada Hess Corp. .................... 600 37,200
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
OIL - DOMESTIC INTEGRATED (CONTINUED)
Conoco Inc. - Class B ................. 3,100 84,281
Occidental Petroleum Corp. ............ 2,400 47,700
Phillips Petroleum Co. ................ 1,400 86,450
USX-Marathon Group .................... 1,800 48,938
304,569
---------------
OIL - INTERNATIONAL INTEGRATED (1.9%)
Chevron Corp. ......................... 2,600 213,525
Exxon Mobil Corp. ..................... 20,500 1,828,344
Texaco, Inc. .......................... 2,000 118,125
2,159,994
---------------
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. ................... 500 14,344
Georgia-Pacific Corp. ................. 500 13,438
International Paper Co. ............... 900 32,962
Louisiana-Pacific Corp. ............... 800 6,800
Mead Corp. ............................ 400 11,575
Potlatch Corp. ........................ 200 6,700
Westvaco Corp. ........................ 600 17,100
Weyerhaeuser Co. ...................... 1,100 51,631
Willamette Industries, Inc. ........... 600 21,788
176,338
---------------
PERSONAL CARE (0.1%)
Alberto-Culver Co. - Class B .......... 300 10,069
Avon Products, Inc. ................... 1,000 48,500
Gillette Co. .......................... 2,200 76,725
135,294
---------------
PHOTOGRAPHY/IMAGING (0.0%)
Eastman Kodak Co. ..................... 800 35,900
Polaroid Corp. ........................ 100 1,006
36,906
---------------
POWER PRODUCERS - INDEPENDENT (0.1%)
AES Corp. + ........................... 1,700 96,050
---------------
PUBLISHING (0.1%)
Harcourt General, Inc. ................ 300 16,815
McGraw-Hill Co., Inc. (The) ........... 700 44,931
Meredith Corp. ........................ 200 6,350
68,096
---------------
PUBLISHING - NEWSPAPERS (0.1%)
Dow Jones & Co., Inc. ................. 300 17,662
Gannett Co., Inc. ..................... 1,100 63,800
Knight-Ridder, Inc. ................... 500 25,125
New York Times Co. .................... 900 33,075
Tribune Co. ........................... 861 31,911
171,573
---------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. .... 1,600 42,500
CSX Corp. ............................. 100 2,531
Norfolk Southern Corp. ................ 700 9,888
Union Pacific Corp. ................... 600 28,125
83,044
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. .............. 800 18,000
McDonald's Corp. ...................... 5,100 158,100
Starbucks Corp. + ..................... 800 35,750
Wendy's International, Inc. ........... 700 15,225
227,075
---------------
RETAIL - BUILDING SUPPLIES (0.4%)
Home Depot, Inc. ...................... 9,100 391,300
Sherwin-Williams Co. .................. 900 19,519
410,819
---------------
RETAIL - COMPUTERS & ELECTRONICS (0.1%)
Best Buy Co., Inc. + .................. 1,100 55,206
Circuit City Stores - Circuit City
Group................................. 800 10,600
RadioShack Corp. ...................... 800 47,700
113,506
---------------
RETAIL - DEPARTMENT STORES (0.2%)
Federated Department Stores, Inc. + ... 500 16,281
Kohl's Corp. + ........................ 1,300 70,444
May Department Stores Co. ............. 1,300 34,125
Nordstrom, Inc. ....................... 800 13,150
Sears, Roebuck & Co. .................. 1,800 53,514
187,514
---------------
RETAIL - GENERAL MERCHANDISE CHAIN (0.8%)
Costco Wholesale Corp. + .............. 1,800 65,925
Target Corp. .......................... 3,700 102,213
Wal-Mart Stores, Inc. ................. 17,500 794,062
962,200
---------------
RETAIL - SPECIALITY (0.1%)
AutoZone, Inc. + ...................... 900 24,131
Bed Bath & Beyond, Inc. + ............. 800 20,650
Office Depot, Inc. + .................. 1,100 9,144
Staples, Inc. + ....................... 1,200 17,100
Tiffany & Co. ......................... 600 25,612
Toys "R" Us, Inc. + ................... 100 1,719
98,356
---------------
RETAIL SPECIALITY - APPAREL (0.1%)
The Limited, Inc. ..................... 2,100 53,025
TJX Companies, Inc. ................... 1,100 29,975
83,000
---------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. ............................. 1,000 52,938
Longs Drug Stores Corp. ............... 200 4,375
Walgreen Co. .......................... 4,000 182,500
239,813
---------------
RETAIL STORES - FOOD CHAINS (0.2%)
Albertson's, Inc. ..................... 1,700 40,269
Kroger Co. (The) + .................... 3,500 78,969
Safeway, Inc. + ....................... 1,700 92,968
212,206
---------------
SAVINGS & LOAN COMPANIES (0.2%)
Charter One Financial, Inc. ........... 1,155 26,493
Golden West Financial Corp. ........... 1,000 56,062
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
SAVINGS & LOAN COMPANIES (CONTINUED)
Washington Mutual Financial Corp. ..... 2,200 96,800
179,355
---------------
SERVICES - ADVERTISING/MARKETING (0.1%)
Interpublic Group of Co., Inc. (The) .. 1,200 51,525
Omnicom Group, Inc. ................... 700 64,575
116,100
---------------
SERVICES - COMMERCIAL & CONSUMER (0.1%)
Convergys Corp. + ..................... 800 34,850
H&R Block, Inc. ....................... 500 17,844
IMS Health, Inc. ...................... 1,200 28,350
81,044
---------------
SERVICES - COMPUTER SYSTEMS (0.1%)
Computer Sciences Corp. + ............. 800 50,400
Electronic Data Systems Corp. ......... 1,900 89,181
Sapient Corp. + ....................... 600 21,338
160,919
---------------
SERVICES - DATA PROCESSING (0.3%)
Automatic Data Processing, Inc. ....... 2,200 143,687
Ceridian Corp. + ...................... 500 12,500
Equifax, Inc. ......................... 500 17,250
First Data Corp. ...................... 1,700 85,213
Paychex, Inc. ......................... 2,100 119,044
377,694
---------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. .......................... 300 6,769
RR Donnelley & Sons Co. ............... 700 15,050
21,819
---------------
STEEL (0.0%)
Allegheny Technologies Inc. ........... 600 12,150
Nucor Corp. ........................... 500 17,344
29,494
---------------
TELEPHONE (1.4%)
ALLTEL Corp. .......................... 800 51,550
BellSouth Corp. ....................... 7,400 357,512
CenturyTel, Inc. ...................... 300 11,550
Qwest Communications International Inc.
+..................................... 3,196 155,406
SBC Communications, Inc. .............. 13,300 767,244
Verizon Communications ................ 5,300 306,406
1,649,668
---------------
TELEPHONE LONG DISTANCE (0.3%)
AT&T Corp. ............................ 7,355 170,544
Global Crossing Ltd. + ................ 3,600 85,050
WorldCom, Inc. + ...................... 5,600 133,000
388,594
---------------
TEXTILES - APPAREL (0.0%)
Liz Claiborne, Inc. ................... 400 17,000
Russell Corp. ......................... 200 3,200
VF Corp. .............................. 700 19,119
39,319
---------------
TEXTILES - HOME FURNISHINGS (0.0%)
Springs Industries, Inc. - Class A .... 100 2,356
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
TOBACCO (0.3%)
Philip Morris Co. Inc. ................ 8,900 325,962
UST, Inc. ............................. 300 7,575
333,537
---------------
TRUCKERS (0.0%)
Ryder System, Inc. .................... 400 7,900
---------------
TRUCKS & PARTS (0.0%)
PACCAR, Inc. .......................... 500 21,031
---------------
WASTE MANAGEMENT (0.0%)
Waste Management, Inc. ................ 2,200 44,000
---------------
TOTAL COMMON STOCKS (COST $43,874,703) 50,196,704
---------------
PREFERRED STOCKS (0.1%)
Seagram Co. Ltd. (Entertainment) ...... 1,700 97,113
TOTAL PREFERRED STOCKS (COST $95,354) 97,113
---------------
PRINCIPAL
AMOUNT
-------------
LONG-TERM BONDS AND NOTES (54.4%)
U.S. Treasury Note,Zero Coupon,11/15/04 $80,459,000 63,471,691
TOTAL LONG-TERM BONDS AND NOTES 63,471,691
(COST $61,846,311)
---------------
SHORT-TERM INVESTMENTS (2.7%)
Federal National Mortgage
Assoc.,6.45%,11/01/00................. 2,775,000 2,775,000
U.S. Treasury Bill,5.95%,11/09/00 @ ... 300,000 299,603
TOTAL SHORT-TERM INVESTMENTS 3,074,603
(COST $3,074,603)
---------------
TOTAL INVESTMENTS (COST
$108,890,971)(A) 116,840,111
OTHER ASSETS LESS LIABILITIES (196,458 )
---------------
TOTAL NET ASSETS $116,643,653
---------------
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 19
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND II (CONTINUED)
20 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 21
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND II (CONTINUED)
22 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 23
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND II (CONTINUED)
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$114,381,116. Unrealized gains and losses, based on identified tax cost at
October 31, 2000, are as follows:
Unrealized gains............................ $ 4,304,046
Unrealized losses........................... (1,845,051)
----------------------
Net unrealized gain........................ $ 2,458,995
======================
</TABLE>
<TABLE>
Information concerning open futures contracts at October 31, 2000 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ---------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 8 $2,880,400 Dec 00 $ 90,050
=========== ============
</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.
24 See Notes to Financial Statements.
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
COMMON STOCKS (55.7%)
AEROSPACE/DEFENSE (0.6%)
Boeing Co. .............................. 5,800 $ 393,312
General Dynamics Corp. .................. 800 57,250
Goodrich (B.F.) Co. ..................... 200 8,188
Lockheed Martin Corp. ................... 2,900 103,965
Northrop Grumman Corp. .................. 400 33,600
596,315
-------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. .............. 3,360 36,960
-------------
AIR FREIGHT (0.1%)
FedEx Corp. + ........................... 1,200 56,232
-------------
AIRLINES (0.1%)
AMR Corp. ............................... 700 22,925
Delta Air Lines, Inc. ................... 300 14,175
Southwest Airlines Co. .................. 2,600 74,100
111,200
-------------
ALUMINUM (0.1%)
Alcoa Inc. .............................. 3,500 100,406
-------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ................ 200 2,187
Delphi Automotive Systems Corp. ......... 1,200 18,825
Genuine Parts Co. ....................... 700 14,919
Snap-On, Inc. ........................... 400 10,225
TRW, Inc. ............................... 600 25,200
Visteon Corp. + ......................... 1,152 20,376
91,732
-------------
AUTOMOBILES (0.3%)
Ford Motor Co. .......................... 9,500 248,187
-------------
BANKS - MAJOR REGIONAL (2.0%)
Bank of New York Co., Inc. .............. 4,000 230,250
Bank One Corp. .......................... 5,000 182,500
BB&T Corp. .............................. 1,600 51,000
Comerica, Inc. .......................... 800 48,250
Fifth Third Bancorp ..................... 2,050 105,319
Firstar Corp. ........................... 4,100 80,719
Fleet Boston Financial Corp. ............ 3,500 133,000
KeyCorp ................................. 1,300 32,094
Mellon Financial Corp. .................. 1,900 91,675
National City Corp. ..................... 2,500 53,438
Northern Trust Corp. .................... 900 76,837
Old Kent Financial Corp. ................ 735 20,350
PNC Bank Corp. .......................... 1,200 80,250
SouthTrust Corp. ........................ 600 19,425
State Street Corp. ...................... 900 112,266
Summit Bancorp .......................... 800 30,000
Suntrust Banks, Inc. .................... 1,300 63,456
Synovus Financial Corp. ................. 1,200 25,875
U.S. Bancorp ............................ 3,200 77,400
Union Planters Corp. .................... 800 27,050
NUMBER OF MARKET
SHARES VALUE
------------- -------------
BANKS - MAJOR REGIONAL (CONTINUED)
Wachovia Corp. .......................... 1,100 $ 59,400
Wells Fargo & Co. ....................... 7,100 328,819
1,929,373
-------------
BANKS - MONEY CENTER (0.8%)
Bank of America Corp. ................... 7,000 336,437
Chase Manhattan Corp. (The) ............. 5,300 241,150
First Union Corp. ....................... 4,200 127,313
J.P. Morgan & Co. ....................... 600 99,300
804,200
-------------
BEVERAGES - ALCOHOLIC (0.2%)
Anheuser-Busch Co., Inc. ................ 3,500 160,125
Brown-Forman Corp. ...................... 200 12,175
Coors (Adolph) Co. ...................... 200 12,737
185,037
-------------
BEVERAGES - NON-ALCOHOLIC (0.7%)
Coca-Cola Co. (The) ..................... 10,700 646,012
Coca-Cola Enterprises Inc. .............. 900 16,538
662,550
-------------
BIOTECHNOLOGY (0.4%)
Amgen, Inc. + ........................... 4,400 254,925
Biogen, Inc. + .......................... 900 54,169
MedImmune, Inc. + ....................... 1,400 91,525
400,619
-------------
BROADCASTING - TV, RADIO & CABLE (0.3%)
Clear Channel Communications, Inc. + .... 2,300 138,144
Comcast Corp. - Class A Special + ....... 3,500 142,625
280,769
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.2%)
Nextel Communications, Inc. + ........... 1,600 61,500
Sprint Corp. (PCS Group) + .............. 4,000 152,500
214,000
-------------
CHEMICALS (0.3%)
Air Products and Chemicals, Inc. ........ 1,000 37,313
Du Pont (E.I.) de Nemours ............... 4,200 190,575
Eastman Chemical Co. .................... 600 25,725
Praxair, Inc. ........................... 800 29,800
Rohm & Haas Co. ......................... 500 15,031
Union Carbide Corp. ..................... 700 30,100
328,544
-------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ......................... 1,400 29,225
FMC Corp. + ............................. 100 7,600
36,825
-------------
CHEMICALS - SPECIALITY (0.1%)
Ecolab, Inc. ............................ 600 23,512
Grace (W.R.) & Co. + .................... 300 1,144
Great Lakes Chemical Corp. .............. 300 10,013
International Flavors & Fragrances, Inc. 500 8,375
Sigma-Aldrich Corp. ..................... 500 17,875
60,919
-------------
NUMBER OF MARKET
SHARES VALUE
------------- -------------
COMMUNICATIONS EQUIPMENT (1.6%)
ADC Telecommunications, Inc. + .......... 4,300 $ 91,912
Andrew Corp. + .......................... 500 13,156
Comverse Technology, Inc. + ............. 700 78,225
Corning, Inc. ........................... 5,700 436,050
Nortel Networks Corp. ................... 12,800 582,400
QUALCOMM Inc. + ......................... 3,100 201,839
Scientific-Atlanta, Inc. ................ 1,000 68,438
Tellabs, Inc. + ......................... 1,800 89,888
1,561,908
-------------
COMPUTERS - HARDWARE (3.1%)
Apple Computer, Inc. + .................. 1,700 33,256
Compaq Computer Corp. ................... 7,000 212,870
Dell Computer Corp. + ................... 11,100 327,450
Gateway, Inc. + ......................... 1,400 72,254
Hewlett-Packard Co. ..................... 8,600 399,363
International Business Machines Corp. ... 7,600 748,600
NCR Corp. + ............................. 500 21,563
Palm, Inc. + ............................ 2,831 151,635
Sun Microsystems, Inc. + ................ 10,200 1,130,925
3,097,916
-------------
COMPUTERS - NETWORKING (2.0%)
Avaya Inc. .............................. 1,300 17,469
Cabletron Systems, Inc. + .............. 1,000 27,125
Cisco Systems, Inc. + ................... 30,500 1,643,187
Network Appliance, Inc. + ............... 2,000 238,000
1,925,781
-------------
COMPUTERS - PERIPHERALS (1.4%)
EMC Corp. + ............................. 14,100 1,255,781
Seagate Technology, Inc. + .............. 1,100 76,863
1,332,644
-------------
COMPUTERS SOFTWARE/SERVICES (4.2%)
Adobe Systems, Inc. ..................... 1,600 121,700
America Online, Inc. + .................. 4,700 237,021
Autodesk, Inc. .......................... 400 8,825
BMC Software, Inc. + .................... 1,000 20,313
Computer Associates International, Inc. . 1,600 51,000
Mercury Interactive Corp. + ............. 600 66,600
Microsoft Corp. + ....................... 22,700 1,563,462
Novell, Inc. + .......................... 1,300 11,700
Oracle Corp. + .......................... 36,400 1,201,200
PeopleSoft, Inc. + ...................... 1,300 56,733
Siebel Systems, Inc. + .................. 2,700 283,331
VERITAS Software Corp. + ................ 2,600 366,641
Yahoo! Inc. + ........................... 2,300 134,837
4,123,363
-------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. .................... 500 21,000
-------------
CONSUMER FINANCE (0.4%)
Capital One Financial Corp. ............. 900 56,812
Countrywide Credit Industries, Inc. ..... 600 22,463
Household International, Inc. ........... 2,300 115,719
NUMBER OF MARKET
SHARES VALUE
------------- -------------
CONSUMER FINANCE (CONTINUED)
MBNA Corp. .............................. 4,400 $ 165,275
Providian Financial Corp. ............... 600 62,400
422,669
-------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. .............................. 100 3,513
Owens-Illinois, Inc. + .................. 800 4,750
8,263
-------------
CONTAINERS/PACKAGING - PAPER (0.0%)
Bemis Co., Inc. ......................... 400 10,350
Pactiv Corp. + .......................... 900 9,450
Temple-Inland Inc. ...................... 500 22,375
42,175
-------------
DISTRIBUTORS - FOOD & HEALTH (0.2%)
Cardinal Health, Inc. ................... 1,100 104,225
McKesson HBOC, Inc. ..................... 1,200 33,675
SUPERVALU, Inc. ......................... 600 9,225
Sysco Corp. ............................. 1,300 67,844
214,969
-------------
ELECTRIC COMPANIES (1.1%)
Ameren Corp. ............................ 600 23,850
American Electric Power Co., Inc. ....... 1,500 62,250
Cinergy Corp. ........................... 800 24,500
Consolidated Edison, Inc. ............... 1,000 35,188
Constellation Energy Group .............. 700 29,181
CP&L, Inc. .............................. 800 32,250
Dominion Resources, Inc. ................ 1,200 71,475
DTE Energy Co. .......................... 600 21,675
Duke Energy Corp. ....................... 1,500 129,656
Edison International Inc. ............... 1,800 42,975
Entergy Corp. ........................... 1,000 38,313
Exelon Corp. ............................ 1,875 112,734
FirstEnergy Corp. ....................... 1,100 28,463
FPL Group, Inc. ......................... 700 46,200
GPU, Inc. ............................... 800 26,450
PG&E Corp. .............................. 2,000 53,875
Pinnacle West Capital Corp. ............. 400 17,375
PPL Corporation ......................... 700 28,831
Public Service Enterprise Group, Inc. ... 1,100 45,650
Reliant Energy Inc. ..................... 1,600 66,100
Southern Co. ............................ 2,400 70,500
TXU Corp. ............................... 1,400 51,888
Xcel Energy, Inc. ....................... 1,830 46,779
1,106,158
-------------
ELECTRICAL EQUIPMENT (2.8%)
American Power Conversion Corp. + ....... 1,000 12,938
Cooper Industries, Inc. ................. 500 19,125
Emerson Electric Co. .................... 1,900 139,531
General Electric Co. .................... 42,600 2,335,012
Molex, Inc. ............................. 1,000 54,000
Rockwell International Corp. ............ 900 35,381
Sanmina Corp. + ......................... 800 91,450
NUMBER OF MARKET
SHARES VALUE
------------- -------------
ELECTRICAL EQUIPMENT (CONTINUED)
Solectron Corp. + ....................... 2,300 $ 101,200
2,788,637
-------------
ELECTRONICS - COMPONENT DIST. (0.0%)
Grainger (W.W.), Inc. ................... 400 12,775
-------------
ELECTRONICS - INSTRUMENTS (0.1%)
Agilent Technologies, Inc. + ............ 2,040 94,477
Perkin Elmer, Inc. ...................... 100 11,950
Tektronix, Inc. ......................... 200 14,250
120,677
-------------
ELECTRONICS - SEMICONDUCTORS (3.1%)
Adaptec, Inc. + ......................... 800 12,650
Advanced Micro Devices, Inc. + .......... 2,600 58,825
Altera Corp. + .......................... 2,600 106,437
Analog Devices, Inc. + .................. 2,100 136,500
Broadcom Corp. - Class A + .............. 1,000 222,375
Conexant Systems, Inc. + ................ 700 18,419
Intel Corp. ............................. 28,900 1,300,500
JDS Uniphase Corp. + .................... 4,000 325,500
Linear Technology Corp. ................. 1,800 116,212
LSI Logic Corp. + ....................... 1,600 52,600
Maxim Integrated Products, Inc. + ....... 1,900 125,994
Micron Technology, Inc. + ............... 2,800 97,300
National Semiconductor Corp. + .......... 1,100 28,600
Texas Instruments, Inc. ................. 7,500 367,969
Xilinx, Inc. + .......................... 1,700 123,144
3,093,025
-------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ............................. 400 14,000
-------------
ENTERTAINMENT (1.1%)
Time Warner, Inc. ....................... 5,700 432,687
Viacom, Inc. - Class B + ................ 6,500 369,687
Walt Disney Co. (The) ................... 9,000 322,313
1,124,687
-------------
EQUIPMENT - SEMICONDUCTORS (0.3%)
Applied Materials, Inc. + ............... 3,500 185,938
KLA-Tencor Corp. + ...................... 900 30,431
Novellus Systems, Inc. + ................ 700 28,656
Teradyne, Inc. + ........................ 900 28,125
273,150
-------------
FINANCIAL - DIVERSIFIED (2.5%)
American Express Co. .................... 7,100 426,000
Associates First Capital Corp. .......... 3,000 111,375
Citigroup Inc. .......................... 19,400 1,020,925
Fannie Mae............................... 4,100 315,700
Freddie Mac ............................. 1,600 96,000
Moody's Corp. ........................... 800 21,050
Morgan Stanley Dean Witter & Co. ........ 4,900 393,531
USA Education Inc. ...................... 900 50,288
2,434,869
-------------
FOODS (1.1%)
Campbell Soup Co. ....................... 1,900 55,575
NUMBER OF MARKET
SHARES VALUE
------------- -------------
FOODS (CONTINUED)
ConAgra Foods, Inc. ..................... 2,200 $ 47,025
General Mills, Inc. ..................... 800 33,400
Heinz (H.J.) Co. ........................ 1,400 58,712
Hershey Foods Corp. ..................... 800 43,450
Kellogg Co. ............................. 1,100 27,913
Nabisco Group Holdings Corp. ............ 1,900 54,862
PepsiCo, Inc. ........................... 9,200 445,625
Quaker Oats Co. ......................... 700 57,094
Ralston Purina Group .................... 1,500 36,375
Sara Lee Corp. .......................... 3,700 79,781
Unilever NV ............................. 2,400 121,950
Wrigley (Wm.) Jr. Co. ................... 500 39,594
1,101,356
-------------
FOOTWEAR (0.1%)
NIKE, Inc. - Class B .................... 1,200 47,925
-------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + .......... 600 17,175
-------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. .................... 500 18,812
Stanley Works (The) ..................... 500 13,313
32,125
-------------
HEALTH CARE - DRUGS (0.1%)
Alza Corp. + ............................ 500 40,469
Watson Pharmaceuticals, Inc. + .......... 500 31,281
71,750
-------------
HEALTH CARE - DRUGS/PHARMACUETICALS (3.6%)
Allergan, Inc. .......................... 600 50,438
Eli Lilly & Co. ......................... 4,900 437,937
King Pharmaceuticals, Inc. + ............ 1,100 49,294
Merck & Co., Inc. ....................... 9,900 890,381
Pfizer, Inc. ............................ 33,925 1,465,136
Pharmacia Corp. ......................... 5,600 308,000
Schering-Plough Corp. ................... 6,300 325,631
3,526,817
-------------
HEALTH CARE - HOSPITAL MANAGEMENT (0.2%)
HCA - The Healthcare Corp. .............. 2,200 87,862
Tenet Healthcare Corp. .................. 2,000 78,625
166,487
-------------
HEALTH CARE - MANAGED CARE (0.2%)
UnitedHealth Group Inc. ................. 1,000 109,375
Wellpoint Health Networks, Inc. + ....... 400 46,775
156,150
-------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (0.8%)
Bard (C.R.) Inc. ........................ 400 16,750
Bausch & Lomb, Inc. ..................... 400 15,425
Baxter International, Inc. .............. 1,300 106,844
Becton, Dickinson & Co. ................. 1,200 40,200
Biomet, Inc. ............................ 750 27,141
Boston Scientific Corp. + ............... 2,000 31,875
Guidant Corp. + ......................... 1,400 74,112
Medtronic, Inc. ......................... 5,100 276,994
NUMBER OF MARKET
SHARES VALUE
------------- -------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (CONTINUED)
PE Corp-PE Biosystems Group ............. 1,400 $ 163,800
St. Jude Medical, Inc. + ................ 400 22,000
775,141
-------------
HEALTH CARE - SPECIAL SERVICES (0.0%)
HEALTHSOUTH Corp. + ..................... 2,200 26,400
-------------
HEALTH CARE DIVERSIFIED (1.8%)
Abbott Laboratories ..................... 6,700 353,844
American Home Products Corp. ............ 5,600 355,600
Bristol-Myers Squibb Co. ................ 8,500 517,968
Johnson & Johnson ....................... 6,000 552,750
1,780,162
-------------
HOMEBUILDING (0.0%)
Centex Corp. ............................ 500 18,500
Kaufman & Broad Home Corp. .............. 100 2,975
Pulte Corp. ............................. 200 6,663
28,138
-------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Leggett & Platt, Inc. ................... 900 14,738
Maytag Corp. ............................ 200 5,725
Whirlpool Corp. ......................... 600 26,100
46,563
-------------
HOUSEHOLD PRODUCTS - NON-DURABLE (0.6%)
Clorox Co. .............................. 1,100 49,087
Colgate-Palmolive Co. ................... 2,400 141,024
Fort James Corp. ........................ 1,200 39,525
Kimberly-Clark Corp. .................... 2,100 138,600
Procter & Gamble Co. .................... 2,800 200,025
568,261
-------------
HOUSEWARES (0.0%)
Fortune Brands, Inc. .................... 800 23,550
Tupperware Corp. ........................ 400 6,850
30,400
-------------
INSURANCE - LIFE/HEALTH (0.3%)
AFLAC, Inc. ............................. 1,500 109,594
American General Corp. .................. 1,000 80,500
Jefferson-Pilot Corp. ................... 400 27,500
Lincoln National Corp. .................. 1,000 48,375
Torchmark Corp. ......................... 600 19,987
UnumProvident Corp. ..................... 900 25,425
311,381
-------------
INSURANCE - MULTI-LINE (1.5%)
American International Group, Inc. ...... 12,450 1,220,100
CIGNA Corp. ............................. 1,000 121,950
Hartford Financial Services Group, Inc. . 1,200 89,325
1,431,375
-------------
INSURANCE - PROPERTY/CASUALTY (0.4%)
Allstate Corp. (The) .................... 3,000 120,750
Chubb Corp. ............................. 900 75,994
Cincinnati Financial Corp. .............. 900 33,075
MBIA, Inc. .............................. 600 43,612
NUMBER OF MARKET
SHARES VALUE
------------- -------------
INSURANCE - PROPERTY/CASUALTY (CONTINUED)
MGIC Investment Corp. ................... 500 $ 34,063
Progressive Corp. ....................... 300 29,475
St. Paul Co., Inc. ...................... 1,000 51,250
388,219
-------------
INSURANCE BROKERS (0.2%)
Aon Corp. ............................... 1,100 45,581
Marsh & McLennan Co., Inc. .............. 1,300 169,975
215,556
-------------
INVESTMENT BANKING/BROKERAGE (0.6%)
Bear Stearns Co., Inc. (The) ............ 600 36,375
Charles Schwab Corp. .................... 5,300 186,162
Lehman Brothers Holdings Inc. ........... 1,400 90,300
Merrill Lynch & Co., Inc. ............... 3,100 217,000
Paine Webber Group Inc. ................. 800 57,000
586,837
-------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ................ 1,100 47,124
Stilwell Financial, Inc. ................ 900 40,331
T. Rowe Price & Associates .............. 600 28,088
115,543
-------------
LEISURE TIME - PRODUCTS (0.1%)
Brunswick Corp. ......................... 500 9,719
Harley-Davidson, Inc. ................... 1,500 72,281
Hasbro, Inc. ............................ 1,000 10,750
92,750
-------------
LODGING - HOTELS (0.1%)
Carnival Corp. .......................... 1,300 32,256
Hilton Hotels Corp. ..................... 2,300 21,850
Marriott International, Inc. ............ 1,300 52,650
106,756
-------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. ....................... 1,400 49,087
Deere & Co. ............................. 1,200 44,175
Dover Corp. ............................. 900 38,194
Ingersoll-Rand Co. ...................... 600 22,650
Timken Co. .............................. 300 4,219
158,325
-------------
MANUFACTURING - DIVERSIFIED (0.9%)
Danaher Corp. ........................... 800 50,500
Eaton Corp. ............................. 300 20,419
Honeywell International Inc. ............ 1,700 91,481
Illinois Tool Works, Inc. ............... 800 44,450
ITT Industries, Inc. .................... 500 16,281
Johnson Controls, Inc. .................. 400 23,850
Minnesota Mining and Manufacturing Co.
(3M).................................... 1,500 144,937
National Service Industries, Inc. ....... 200 4,088
Parker-Hannifin Corp. ................... 800 33,100
PPG Industries Inc. ..................... 500 22,313
Textron, Inc. ........................... 800 40,350
Thermo Electron Corp. + ................. 800 23,200
NUMBER OF MARKET
SHARES VALUE
------------- -------------
MANUFACTURING - DIVERSIFIED (CONTINUED)
Tyco International Ltd. ................. 7,275 $ 412,422
927,391
-------------
MANUFACTURING - SPECIALIZED (0.3%)
Avery Dennison Corp. .................... 600 30,300
Briggs & Stratton Corp. ................. 100 3,569
Millipore Corp. ......................... 400 21,000
Pall Corp. .............................. 700 15,094
Sealed Air Corp. + ...................... 400 19,250
United Technologies Corp. ............... 2,500 174,531
263,744
-------------
METALS MINING (0.0%)
Phelps Dodge Corp. ...................... 500 23,375
-------------
MISCELLANEOUS METALS (0.0%)
Barrick Gold Corp. ...................... 1,000 13,375
Inco Ltd. + ............................. 600 9,263
22,638
-------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.6%)
Coastal Corp. (The) ..................... 800 60,350
Dynegy Inc. ............................. 2,000 92,625
El Paso Energy Corp. .................... 900 56,419
Enron Corp. ............................. 4,000 328,250
KeySpan Energy Corp. .................... 600 21,112
NICOR, Inc. ............................. 200 7,062
Peoples Energy Corp. .................... 100 3,438
Sempra Energy ........................... 1,300 26,894
Williams Co., Inc. (The) ................ 900 37,631
633,781
-------------
OIL (0.7%)
Royal Dutch Petroleum Co. ............... 11,500 682,812
-------------
OIL & GAS - DRILLING & EQUIPMENT (0.5%)
Baker Hughes Inc. ....................... 1,500 51,563
Halliburton Co. ......................... 1,800 66,713
Nabors Industries, Inc. + ............... 700 35,630
Rowan Co., Inc. + ....................... 700 17,631
Schlumberger, Ltd. ...................... 3,100 235,987
Transocean Sedco Forex Inc. ............. 900 47,700
455,224
-------------
OIL & GAS - EXPLORATION/PRODUCTION (0.3%)
Anadarko Petroleum Corp. ................ 1,410 90,310
Apache Corp. ............................ 600 33,188
Burlington Resources, Inc. .............. 800 28,800
Devon Energy Corp. ...................... 700 35,280
Kerr-McGee Corp. ........................ 500 32,656
Unocal Corp. ............................ 1,300 44,363
264,597
-------------
OIL & GAS - REFINING & MARKETING (0.1%)
Ashland Inc. ............................ 500 16,375
Sunoco, Inc. ............................ 700 20,956
Tosco Corp. ............................. 1,000 28,625
65,956
-------------
NUMBER OF MARKET
SHARES VALUE
------------- -------------
OIL - DOMESTIC INTEGRATED (0.3%)
Amerada Hess Corp. ...................... 700 $ 43,400
Conoco Inc. - Class B ................... 3,500 95,156
Occidental Petroleum Corp. .............. 2,600 51,675
Phillips Petroleum Co. .................. 1,500 92,625
USX-Marathon Group ...................... 1,700 46,219
329,075
-------------
OIL - INTERNATIONAL INTEGRATED (2.4%)
Chevron Corp. ........................... 2,800 229,950
Exxon Mobil Corp. ....................... 22,500 2,006,719
Texaco, Inc. ............................ 2,400 141,750
2,378,419
-------------
PAPER & FOREST PRODUCTS (0.2%)
Boise Cascade Corp. ..................... 400 11,475
International Paper Co. ................. 1,000 36,625
Louisiana-Pacific Corp. ................. 700 5,950
Mead Corp. .............................. 500 14,469
Potlatch Corp. .......................... 200 6,700
Westvaco Corp. .......................... 500 14,250
Weyerhaeuser Co. ........................ 1,100 51,631
Willamette Industries, Inc. ............. 800 29,050
170,150
-------------
PERSONAL CARE (0.1%)
Alberto-Culver Co. - Class B ............ 300 10,069
Avon Products, Inc. ..................... 1,200 58,200
Gillette Co. ............................ 2,200 76,725
144,994
-------------
PHOTOGRAPHY/IMAGING (0.0%)
Eastman Kodak Co. ....................... 900 40,388
Polaroid Corp. .......................... 100 1,006
41,394
-------------
POWER PRODUCERS - INDEPENDENT (0.1%)
AES Corp. + ............................. 1,900 107,350
-------------
PUBLISHING (0.1%)
Harcourt General, Inc. .................. 300 16,815
McGraw-Hill Co., Inc. (The) ............. 1,000 64,188
Meredith Corp. .......................... 200 6,350
87,353
-------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ................... 400 23,550
Gannett Co., Inc. ....................... 1,200 69,600
Knight-Ridder, Inc. ..................... 400 20,100
New York Times Co. ...................... 700 25,725
Tribune Co. ............................. 920 34,097
173,072
-------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. ...... 1,600 42,500
Norfolk Southern Corp. .................. 800 11,300
Union Pacific Corp. ..................... 600 28,125
81,925
-------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ................ 500 11,250
NUMBER OF MARKET
SHARES VALUE
------------- -------------
RESTAURANTS (CONTINUED)
McDonald's Corp. ........................ 5,700 $ 176,700
Starbucks Corp. + ....................... 600 26,812
Wendy's International, Inc. ............. 600 13,050
227,812
-------------
RETAIL - BUILDING SUPPLIES (0.5%)
Home Depot, Inc. ........................ 9,900 425,700
Sherwin-Williams Co. .................... 800 17,350
443,050
-------------
RETAIL - COMPUTERS & ELECTRONICS (0.1%)
Best Buy Co., Inc. + .................... 1,200 60,225
Circuit City Stores - Circuit City Group 900 11,925
RadioShack Corp. ........................ 900 53,662
125,812
-------------
RETAIL - DEPARTMENT STORES (0.2%)
Federated Department Stores, Inc. + ..... 600 19,537
Kohl's Corp. + .......................... 1,300 70,444
May Department Stores Co. ............... 1,400 36,750
Nordstrom, Inc. ......................... 700 11,506
Sears, Roebuck & Co. .................... 1,800 53,514
191,751
-------------
RETAIL - GENERAL MERCHANDISE CHAIN (1.1%)
Costco Wholesale Corp. + ................ 1,900 69,587
Target Corp. ............................ 3,800 104,975
Wal-Mart Stores, Inc. ................... 19,200 871,200
1,045,762
-------------
RETAIL - SPECIALITY (0.1%)
AutoZone, Inc. + ........................ 800 21,450
Bed Bath & Beyond, Inc. + ............... 900 23,231
Staples, Inc. + ......................... 1,100 15,675
Tiffany & Co. ........................... 700 29,881
Toys "R" Us, Inc. + ..................... 1,000 17,188
107,425
-------------
RETAIL SPECIALITY - APPAREL (0.1%)
The Limited, Inc. ....................... 2,100 53,025
TJX Companies, Inc. ..................... 1,300 35,425
88,450
-------------
RETAIL STORES - DRUG STORE (0.3%)
CVS Corp. ............................... 1,100 58,231
Longs Drug Stores Corp. ................. 100 2,188
Walgreen Co. ............................ 4,300 196,187
256,606
-------------
RETAIL STORES - FOOD CHAINS (0.2%)
Albertson's, Inc. ....................... 1,800 42,638
Kroger Co. (The) + ...................... 3,200 72,200
Safeway, Inc. + ......................... 1,900 103,906
218,744
-------------
SAVINGS & LOAN COMPANIES (0.2%)
Charter One Financial, Inc. ............. 1,260 28,901
Golden West Financial Corp. ............. 900 50,456
Washington Mutual Financial Corp. ....... 2,100 92,400
171,757
-------------
NUMBER OF MARKET
SHARES VALUE
------------- -------------
SERVICES - ADVERTISING/MARKETING (0.1%)
Interpublic Group of Co., Inc. (The) .... 1,300 $ 55,819
Omnicom Group, Inc. ..................... 700 64,575
120,394
-------------
SERVICES - COMMERCIAL & CONSUMER (0.1%)
Convergys Corp. + ....................... 900 39,206
H&R Block, Inc. ......................... 500 17,844
IMS Health, Inc. ........................ 1,500 35,438
92,488
-------------
SERVICES - COMPUTER SYSTEMS (0.2%)
Computer Sciences Corp. + ............... 700 44,100
Electronic Data Systems Corp. ........... 1,900 89,181
Sapient Corp. + ......................... 600 21,338
154,619
-------------
SERVICES - DATA PROCESSING (0.4%)
Automatic Data Processing, Inc. ......... 2,400 156,750
Ceridian Corp. + ........................ 700 17,500
Equifax, Inc. ........................... 700 24,150
First Data Corp. ........................ 1,600 80,200
Paychex, Inc. ........................... 2,400 136,050
414,650
-------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ............................ 300 6,769
RR Donnelley & Sons Co. ................. 600 12,900
19,669
-------------
STEEL (0.0%)
Nucor Corp. ............................. 700 24,281
USX-US Steel Group, Inc. ................ 800 12,750
Worthington Industries .................. 200 1,913
38,944
-------------
TELEPHONE (1.8%)
ALLTEL Corp. ............................ 900 57,994
BellSouth Corp. ......................... 8,100 391,331
CenturyTel, Inc. ........................ 300 11,550
Qwest Communications International Inc. + 3,542 172,230
SBC Communications, Inc. ................ 14,500 836,469
Verizon Communications .................. 5,810 335,890
1,805,464
-------------
TELEPHONE LONG DISTANCE (0.4%)
AT&T Corp. .............................. 8,044 186,520
Global Crossing Ltd. + .................. 3,700 87,413
WorldCom, Inc. + ........................ 6,200 147,250
421,183
-------------
TEXTILES - APPAREL (0.0%)
Liz Claiborne, Inc. ..................... 300 12,750
Russell Corp. ........................... 200 3,200
VF Corp. ................................ 600 16,388
32,338
-------------
TEXTILES - HOME FURNISHINGS (0.0%)
Springs Industries, Inc. - Class A ...... 100 2,356
-------------
TOBACCO (0.4%)
Philip Morris Co. Inc. .................. 9,700 355,262
NUMBER OF MARKET
SHARES VALUE
------------- -------------
TOBACCO (CONTINUED)
UST, Inc. ............................... 800 $ 20,200
375,462
-------------
TRUCKERS (0.0%)
Ryder System, Inc. ...................... 400 7,900
-------------
TRUCKS & PARTS (0.0%)
Cummins Engine Co., Inc. ................ 300 10,200
Navistar International Corp. + .......... 400 13,225
PACCAR, Inc. ............................ 300 12,619
36,044
-------------
WASTE MANAGEMENT (0.1%)
Waste Management, Inc. .................. 2,500 50,000
-------------
TOTAL COMMON STOCKS (COST $52,315,059) 54,946,056
-------------
PREFERRED STOCKS (0.1%)
Seagram Co. Ltd. (Entertainment) ........ 1,700 97,112
TOTAL PREFERRED STOCKS (COST $95,288) 97,112
-------------
PRINCIPAL
AMOUNT
-------------
LONG-TERM BONDS AND NOTES (40.9%)
U.S. Treasury Note,6.53%,05/15/05 ....... $52,579,000 40,349,125
TOTAL LONG-TERM BONDS AND NOTES 40,349,125
(COST $39,625,923)
-------------
SHORT-TERM INVESTMENTS (3.5%)
Federal National Mortgage
Assoc.,6.45%,11/01/00................... 3,141,000 3,141,000
U.S. Treasury Bill,5.95%,11/09/00 @ ..... 300,000 299,603
TOTAL SHORT-TERM INVESTMENTS 3,440,603
(COST $3,440,603)
-------------
TOTAL INVESTMENTS (COST $95,476,873)(A) 98,832,896
OTHER ASSETS LESS LIABILITIES (186,059 )
-------------
TOTAL NET ASSETS $98,646,837
-------------
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND III (CONTINUED)
26 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 27
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND III (CONTINUED)
28 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 29
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND III (CONTINUED)
30 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
$96,729,040. Unrealized gains and losses, based on identified tax cost at
October 31, 2000, are as follows:
Unrealized gains............................. $ 5,429,996
Unrealized losses............................ (3,326,140)
----------------------
Net unrealized gain......................... $ 2,103,856
======================
</TABLE>
<TABLE>
Information concerning open futures contracts at October 31, 2000 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ---------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 9 $3,240,450 Dec 00 $ 105,536
=========== ============
</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. 31
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND IV
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF MARKET VALUE
SHARES
------------- --------------
COMMON STOCKS (47.4%)
AEROSPACE/DEFENSE (0.5%)
Boeing Co. ............................. 2,900 196,656
General Dynamics Corp. ................. 400 28,625
Goodrich (B.F.) Co. .................... 100 4,094
Lockheed Martin Corp. .................. 1,400 50,190
Northrop Grumman Corp. ................. 200 16,800
296,365
--------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. ............. 1,500 16,500
--------------
AIR FREIGHT (0.1%)
FedEx Corp. + .......................... 600 28,116
--------------
AIRLINES (0.1%)
AMR Corp. .............................. 400 13,100
Delta Air Lines, Inc. .................. 200 9,450
Southwest Airlines Co. ................. 1,200 34,200
56,750
--------------
ALUMINUM (0.1%)
Alcoa Inc. ............................. 1,700 48,769
--------------
AUTO PARTS & EQUIPMENT (0.1%)
Cooper Tire & Rubber Co. ............... 100 1,094
Delphi Automotive Systems Corp. ........ 600 9,412
Genuine Parts Co. ...................... 300 6,394
Snap-On, Inc. .......................... 200 5,113
TRW, Inc. .............................. 300 12,600
Visteon Corp. + ........................ 400 7,075
41,688
--------------
AUTOMOBILES (0.2%)
Ford Motor Co........................... 5,200 135,850
--------------
BANKS - MAJOR REGIONAL (1.7%)
Bank of New York Co., Inc. ............. 2,000 115,125
Bank One Corp. ......................... 2,400 87,600
BB&T Corp. ............................. 800 25,500
Comerica, Inc. ......................... 400 24,125
Fifth Third Bancorp .................... 1,000 51,375
Firstar Corp. .......................... 2,300 45,281
Fleet Boston Financial Corp. ........... 1,800 68,400
KeyCorp ................................ 1,000 24,688
Mellon Financial Corp. ................. 1,000 48,250
National City Corp. .................... 1,200 25,650
Northern Trust Corp. ................... 500 42,687
Old Kent Financial Corp. ............... 400 11,075
PNC Bank Corp. ......................... 700 46,812
SouthTrust Corp. ....................... 400 12,950
State Street Corp. ..................... 500 62,370
Summit Bancorp ......................... 400 15,000
Suntrust Banks, Inc. ................... 600 29,288
Synovus Financial Corp. ................ 600 12,938
U.S. Bancorp ........................... 1,500 36,281
Union Planters Corp. ................... 300 10,144
Wachovia Corp. ......................... 400 21,600
NUMBER OF MARKET VALUE
SHARES
------------- --------------
BANKS - MAJOR REGIONAL (CONTINUED)
Wells Fargo & Co. ...................... 3,600 166,725
983,864
--------------
BANKS - MONEY CENTER (0.7%)
Bank of America Corp. .................. 3,600 173,025
Chase Manhattan Corp. (The) ............ 2,900 131,950
First Union Corp. ...................... 2,000 60,625
J.P. Morgan & Co. ...................... 400 66,200
431,800
--------------
BEVERAGES - ALCOHOLIC (0.2%)
Anheuser-Busch Co., Inc. ............... 1,900 86,925
Brown-Forman Corp. ..................... 100 6,087
Coors (Adolph) Co. ..................... 100 6,369
99,381
--------------
BEVERAGES - NON-ALCOHOLIC (0.6%)
Coca-Cola Co. (The) .................... 5,400 326,025
Coca-Cola Enterprises Inc. ............. 500 9,187
335,212
--------------
BIOTECHNOLOGY (0.3%)
Amgen, Inc. + .......................... 2,100 121,669
Biogen, Inc. + ......................... 300 18,056
MedImmune, Inc. + ...................... 600 39,225
178,950
--------------
BROADCASTING - TV, RADIO & CABLE (0.3%)
Clear Channel Communications, Inc. + ... 1,200 72,075
Comcast Corp. - Class A Special + ...... 1,900 77,425
149,500
--------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.2%)
Nextel Communications, Inc. + .......... 800 30,750
Sprint Corp. (PCS Group) + ............. 2,000 76,250
107,000
--------------
CHEMICALS (0.3%)
Air Products and Chemicals, Inc. ....... 500 18,656
Du Pont (E.I.) de Nemours .............. 2,300 104,362
Eastman Chemical Co. ................... 300 12,863
Praxair, Inc. .......................... 400 14,900
Rohm & Haas Co. ........................ 500 15,031
Union Carbide Corp. .................... 400 17,200
183,012
--------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ........................ 200 4,175
FMC Corp. + ............................ 100 7,600
11,775
--------------
CHEMICALS - SPECIALITY (0.0%)
Ecolab, Inc. ........................... 300 11,757
Grace (W.R.) & Co. + ................... 100 381
International Flavors & Fragrances, Inc. 200 3,350
Sigma-Aldrich Corp. .................... 200 7,150
22,638
--------------
COMMUNICATIONS EQUIPMENT (1.3%)
ADC Telecommunications, Inc. + ......... 2,200 47,025
Andrew Corp. + ......................... 300 7,894
NUMBER OF MARKET VALUE
SHARES
------------- --------------
COMMUNICATIONS EQUIPMENT (CONTINUED)
Comverse Technology, Inc. + ............ 300 33,525
Corning, Inc. .......................... 2,900 221,850
Nortel Networks Corp. .................. 6,500 295,750
QUALCOMM Inc. + ........................ 1,500 97,664
Scientific-Atlanta, Inc. ............... 600 41,062
Tellabs, Inc. + ........................ 900 44,944
789,714
--------------
COMPUTERS - HARDWARE (2.7%)
Apple Computer, Inc. + ................. 800 15,650
Compaq Computer Corp. .................. 3,500 106,435
Dell Computer Corp. + .................. 5,300 156,350
Gateway, Inc. + ........................ 800 41,288
Hewlett-Packard Co. .................... 4,400 204,325
International Business Machines Corp. .. 3,800 374,300
NCR Corp. + ............................ 200 8,625
Palm, Inc. + ........................... 1,400 74,987
Sun Microsystems, Inc. + ............... 5,200 576,550
1,558,510
--------------
COMPUTERS - NETWORKING (1.7%)
Avaya Inc. ............................. 700 9,406
Cabletron Systems, Inc. + ............. 500 13,563
Cisco Systems, Inc. + .................. 15,400 829,675
Network Appliance, Inc. + .............. 1,000 119,000
971,644
--------------
COMPUTERS - PERIPHERALS (1.1%)
EMC Corp. + ............................ 7,100 632,344
Seagate Technology, Inc. + ............. 600 41,925
674,269
--------------
COMPUTERS SOFTWARE/SERVICES (3.6%)
Adobe Systems, Inc. .................... 800 60,850
America Online, Inc. + ................. 2,400 121,032
Autodesk, Inc. ......................... 100 2,206
BMC Software, Inc. + ................... 600 12,188
Citrix Systems, Inc. + ................. 200 4,425
Computer Associates International, Inc. 800 25,500
Mercury Interactive Corp. + ............ 300 33,300
Microsoft Corp. + ...................... 11,500 792,062
Novell, Inc. + ......................... 700 6,300
Oracle Corp. + ......................... 18,400 607,200
PeopleSoft, Inc. + ..................... 700 30,548
Siebel Systems, Inc. + ................. 1,400 146,913
VERITAS Software Corp. + ............... 1,300 183,320
Yahoo! Inc. + .......................... 1,100 64,488
2,090,332
--------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................... 100 4,200
--------------
CONSUMER - JEWELRY/NOVELTIES (0.0%)
American Greeting Corp. - Class A ...... 100 1,819
--------------
CONSUMER FINANCE (0.4%)
Capital One Financial Corp. ............ 500 31,563
Countrywide Credit Industries, Inc. .... 300 11,231
NUMBER OF MARKET VALUE
SHARES
------------- --------------
CONSUMER FINANCE (CONTINUED)
Household International, Inc. .......... 1,200 60,375
MBNA Corp. ............................. 2,100 78,881
Providian Financial Corp. .............. 300 31,200
213,250
--------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. ............................. 100 3,513
Owens-Illinois, Inc. + ................. 400 2,375
5,888
--------------
CONTAINERS/PACKAGING - PAPER (0.0%)
Bemis Co., Inc. ........................ 200 5,175
Pactiv Corp. + ......................... 400 4,200
Temple-Inland Inc. ..................... 200 8,950
18,325
--------------
DISTRIBUTORS - FOOD & HEALTH (0.2%)
Cardinal Health, Inc. .................. 600 56,850
McKesson HBOC, Inc. .................... 600 16,837
SUPERVALU, Inc. ........................ 300 4,613
Sysco Corp. ............................ 700 36,531
114,831
--------------
ELECTRIC COMPANIES (1.0%)
Ameren Corp. ........................... 300 11,925
American Electric Power Co., Inc. ...... 700 29,050
Cinergy Corp. .......................... 400 12,250
CMS Energy Corp. ....................... 300 8,100
Consolidated Edison, Inc. .............. 500 17,594
Constellation Energy Group ............. 300 12,506
CP&L, Inc. ............................. 400 16,125
Dominion Resources, Inc. ............... 500 29,781
DTE Energy Co. ......................... 300 10,838
Duke Energy Corp. ...................... 700 60,506
Edison International Inc. .............. 800 19,100
Entergy Corp. .......................... 600 22,988
Exelon Corp. ........................... 938 56,367
FirstEnergy Corp. ...................... 600 15,525
FPL Group, Inc. ........................ 500 33,000
GPU, Inc. .............................. 400 13,225
PG&E Corp. ............................. 1,000 26,937
Pinnacle West Capital Corp. ............ 200 8,688
PPL Corp. .............................. 400 16,475
Public Service Enterprise Group, Inc. .. 500 20,750
Reliant Energy Inc. .................... 1,000 41,312
Southern Co. ........................... 1,500 44,062
TXU Corp. .............................. 700 25,944
Xcel Energy, Inc. ...................... 700 17,894
570,942
--------------
ELECTRICAL EQUIPMENT (2.4%)
American Power Conversion Corp. + ...... 400 5,175
Cooper Industries, Inc. ................ 300 11,475
Emerson Electric Co. ................... 1,000 73,437
General Electric Co. ................... 21,600 1,183,950
Molex, Inc. ............................ 500 27,000
NUMBER OF MARKET VALUE
SHARES
------------- --------------
ELECTRICAL EQUIPMENT (CONTINUED)
Rockwell International Corp. ........... 400 15,725
Sanmina Corp. + ........................ 400 45,725
Solectron Corp. + ...................... 1,300 57,200
1,419,687
--------------
ELECTRONICS - INSTRUMENTS (0.1%)
Agilent Technologies, Inc. + ........... 1,000 46,312
PerkinElmer, Inc. ...................... 100 11,950
Tektronix, Inc. ........................ 100 7,125
65,387
--------------
ELECTRONICS - SEMICONDUCTORS (2.7%)
Adaptec, Inc. + ........................ 400 6,325
Advanced Micro Devices, Inc. + ......... 1,300 29,413
Altera Corp. + ......................... 1,300 53,219
Analog Devices, Inc. + ................. 1,200 78,000
Broadcom Corp. - Class A + ............. 500 111,187
Conexant Systems, Inc. + ............... 300 7,894
Intel Corp. ............................ 14,700 661,500
JDS Uniphase Corp. + ................... 2,000 162,750
Linear Technology Corp. ................ 1,000 64,562
LSI Logic Corp. + ...................... 700 23,013
Maxim Integrated Products, Inc. + ...... 800 53,050
Micron Technology, Inc. + .............. 1,400 48,650
National Semiconductor Corp. + ......... 500 13,000
Texas Instruments, Inc. ................ 3,800 186,437
Xilinx, Inc. + ......................... 900 65,194
1,564,194
--------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ............................ 200 7,000
--------------
ENTERTAINMENT (1.0%)
Time Warner, Inc. ...................... 2,900 220,139
Viacom, Inc. - Class B + ............... 3,300 187,687
Walt Disney Co. (The) .................. 4,600 164,738
572,564
--------------
EQUIPMENT - SEMICONDUCTORS (0.2%)
Applied Materials, Inc. + .............. 1,700 90,312
KLA-Tencor Corp. + ..................... 500 16,906
Novellus Systems, Inc. + ............... 500 20,469
Teradyne, Inc. + ....................... 500 15,625
143,312
--------------
FINANCIAL - DIVERSIFIED (2.1%)
American Express Co. ................... 3,600 216,000
Associates First Capital Corp. ......... 1,600 59,400
CIT Group, Inc. (The) .................. 600 10,463
Citigroup Inc. ......................... 9,800 515,725
Fannie Mae.............................. 2,100 161,700
Freddie Mac ............................ 700 42,000
Moody's Corp. .......................... 400 10,525
Morgan Stanley Dean Witter & Co. ....... 2,500 200,781
USA Education Inc. ..................... 300 16,762
1,233,356
--------------
NUMBER OF MARKET VALUE
SHARES
------------- --------------
FOODS (1.0%)
Campbell Soup Co. ...................... 1,000 29,250
ConAgra Foods, Inc. .................... 1,200 25,650
General Mills, Inc. .................... 700 29,225
Heinz (H.J.) Co. ....................... 700 29,356
Hershey Foods Corp. .................... 300 16,294
Kellogg Co. ............................ 500 12,688
Nabisco Group Holdings Corp. ........... 1,200 34,650
PepsiCo, Inc. .......................... 4,700 227,656
Quaker Oats Co. ........................ 300 24,469
Ralston Purina Group ................... 700 16,975
Sara Lee Corp. ......................... 1,800 38,812
Unilever NV ............................ 1,300 66,056
Wrigley (Wm.) Jr. Co. .................. 200 15,838
566,919
--------------
FOOTWEAR (0.0%)
NIKE, Inc. - Class B ................... 600 23,963
Reebok International Ltd. + ............ 100 2,156
26,119
--------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ......... 300 8,588
--------------
GOLD/PRECIOUS METALS MINING (0.0%)
Newmont Mining Corp. ................... 400 5,425
--------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................... 200 7,525
Stanley Works (The) .................... 200 5,325
12,850
--------------
HEALTH CARE - DRUGS (0.1%)
Alza Corp. + ........................... 300 24,281
Watson Pharmaceuticals, Inc. + ......... 200 12,513
36,794
--------------
HEALTH CARE - DRUGS/PHARMACUETICALS (3.0%)
Allergan, Inc. ......................... 300 25,219
Eli Lilly & Co. ........................ 2,500 223,437
King Pharmaceuticals, Inc. + ........... 600 26,888
Merck & Co., Inc. ...................... 5,000 449,687
Pfizer, Inc. ........................... 17,200 742,825
Pharmacia Corp. ........................ 2,700 148,500
Schering-Plough Corp. .................. 3,200 165,400
1,781,956
--------------
HEALTH CARE - HOSPITAL MANAGEMENT (0.1%)
HCA - The Healthcare Corp. ............. 1,100 43,931
Tenet Healthcare Corp. ................. 1,000 39,313
83,244
--------------
HEALTH CARE - MANAGED CARE (0.1%)
UnitedHealth Group Inc. ................ 500 54,687
Wellpoint Health Networks, Inc. + ...... 200 23,388
78,075
--------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (0.6%)
Bard (C.R.) Inc. ....................... 200 8,375
Bausch & Lomb, Inc. .................... 200 7,713
Baxter International, Inc. ............. 600 49,312
NUMBER OF MARKET VALUE
SHARES
------------- --------------
HEALTH CARE - MEDICAL PRODUCTS/SUPPLIES (CONTINUED)
Becton, Dickinson & Co. ................ 600 20,100
Biomet, Inc. ........................... 400 14,475
Boston Scientific Corp. + .............. 1,100 17,531
Guidant Corp. + ........................ 600 31,763
Medtronic, Inc. ........................ 2,500 135,781
PE Corp-PE Biosystems Group ............ 700 81,900
St. Jude Medical, Inc. + ............... 100 5,500
372,450
--------------
HEALTH CARE - SPECIAL SERVICES (0.0%)
HEALTHSOUTH Corp. + .................... 1,100 13,200
--------------
HEALTH CARE DIVERSIFIED (1.5%)
Abbott Laboratories .................... 3,400 179,563
American Home Products Corp. ........... 2,800 177,800
Bristol-Myers Squibb Co. ............... 4,300 262,031
Johnson & Johnson ...................... 3,000 276,375
895,769
--------------
HOMEBUILDING (0.0%)
Kaufman & Broad Home Corp. ............. 100 2,975
Pulte Corp. ............................ 100 3,331
6,306
--------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.0%)
Maytag Corp. ........................... 100 2,863
Whirlpool Corp. ........................ 100 4,350
7,213
--------------
HOUSEHOLD PRODUCTS - NON-DURABLE (0.5%)
Clorox Co. ............................. 600 26,775
Colgate-Palmolive Co. .................. 1,200 70,512
Fort James Corp. ....................... 600 19,762
Kimberly-Clark Corp. ................... 1,100 72,600
Procter & Gamble Co. ................... 1,300 92,869
282,518
--------------
HOUSEWARES (0.0%)
Fortune Brands, Inc. ................... 400 11,775
Tupperware Corp. ....................... 200 3,425
15,200
--------------
INSURANCE - LIFE/HEALTH (0.3%)
AFLAC, Inc. ............................ 800 58,450
American General Corp. ................. 600 48,300
Jefferson-Pilot Corp. .................. 300 20,625
Lincoln National Corp. ................. 500 24,187
Torchmark Corp. ........................ 300 9,994
UnumProvident Corp. .................... 500 14,125
175,681
--------------
INSURANCE - MULTI-LINE (1.2%)
American International Group, Inc. ..... 6,300 617,400
CIGNA Corp. ............................ 500 60,975
Hartford Financial Services Group, Inc. 600 44,662
723,037
--------------
INSURANCE - PROPERTY/CASUALTY (0.4%)
Allstate Corp. (The) ................... 1,400 56,350
NUMBER OF MARKET VALUE
SHARES
------------- --------------
INSURANCE - PROPERTY/CASUALTY (CONTINUED)
Chubb Corp. ............................ 600 50,663
Cincinnati Financial Corp. ............. 400 14,700
MBIA, Inc. ............................. 300 21,806
MGIC Investment Corp. .................. 400 27,250
Progressive Corp. ...................... 200 19,650
St. Paul Co., Inc. ..................... 600 30,750
221,169
--------------
INSURANCE BROKERS (0.2%)
Aon Corp. .............................. 600 24,862
Marsh & McLennan Co., Inc. ............. 700 91,525
116,387
--------------
INVESTMENT BANKING/BROKERAGE (0.5%)
Bear Stearns Co., Inc. (The) ........... 200 12,125
Charles Schwab Corp. ................... 2,700 94,837
Lehman Brothers Holdings Inc. .......... 800 51,600
Merrill Lynch & Co., Inc. .............. 1,600 112,000
Paine Webber Group Inc. ................ 300 21,375
291,937
--------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ............... 600 25,704
Stilwell Financial, Inc. ............... 500 22,406
T. Rowe Price & Associates ............. 300 14,044
62,154
--------------
LEISURE TIME - PRODUCTS (0.1%)
Brunswick Corp. ........................ 200 3,888
Harley-Davidson, Inc. .................. 800 38,550
Hasbro, Inc. ........................... 500 5,375
47,813
--------------
LODGING - HOTELS (0.1%)
Carnival Corp. ......................... 700 17,369
Hilton Hotels Corp. .................... 800 7,600
Marriott International, Inc. ........... 300 12,150
37,119
--------------
MACHINERY - DIVERSIFIED (0.2%)
Caterpillar, Inc. ...................... 900 31,556
Deere & Co. ............................ 600 22,088
Dover Corp. ............................ 600 25,462
Ingersoll-Rand Co. ..................... 500 18,875
Timken Co. ............................. 200 2,813
100,794
--------------
MANUFACTURING - DIVERSIFIED (0.8%)
Crane Co. .............................. 100 2,619
Danaher Corp. .......................... 400 25,250
Eaton Corp. ............................ 200 13,612
Honeywell International Inc. ........... 900 48,431
Illinois Tool Works, Inc. .............. 400 22,225
ITT Industries, Inc. ................... 300 9,769
Johnson Controls, Inc. ................. 200 11,925
Minnesota Mining and Manufacturing Co.
(3M)................................... 800 77,300
National Service Industries, Inc. ...... 100 2,044
Parker-Hannifin Corp. .................. 400 16,550
NUMBER OF MARKET VALUE
SHARES
------------- --------------
MANUFACTURING - DIVERSIFIED (CONTINUED)
PPG Industries Inc. .................... 300 13,388
Textron, Inc. .......................... 400 20,175
Thermo Electron Corp. + ................ 400 11,600
Tyco International Ltd. ................ 3,688 209,045
483,933
--------------
MANUFACTURING - SPECIALIZED (0.2%)
Avery Dennison Corp. ................... 300 15,150
Millipore Corp. ........................ 200 10,500
Pall Corp. ............................. 300 6,469
Sealed Air Corp. + ..................... 200 9,625
United Technologies Corp. .............. 1,200 83,775
125,519
--------------
METALS MINING (0.0%)
Phelps Dodge Corp. ..................... 200 9,350
--------------
MISCELLANEOUS METALS (0.0%)
Barrick Gold Corp. ..................... 600 8,025
Inco Ltd. + ............................ 400 6,175
Placer Dome, Inc. ...................... 700 5,688
19,888
--------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.6%)
Coastal Corp. (The) .................... 500 37,719
Dynegy Inc. ............................ 1,000 46,312
Eastern Enterprises .................... 100 6,437
El Paso Energy Corp. ................... 500 31,344
Enron Corp. ............................ 2,000 164,125
KeySpan Energy Corp. ................... 400 14,075
NICOR, Inc. ............................ 100 3,531
ONEOK, Inc. ............................ 100 3,963
Peoples Energy Corp. ................... 100 3,438
Sempra Energy .......................... 600 12,412
Williams Co., Inc. (The) ............... 500 20,906
344,262
--------------
OIL (0.6%)
Royal Dutch Petroleum Co. .............. 5,800 344,375
--------------
OIL & GAS - DRILLING & EQUIPMENT (0.4%)
Baker Hughes Inc. ...................... 800 27,500
Halliburton Co. ........................ 1,000 37,062
Nabors Industries, Inc. + .............. 300 15,270
Rowan Co., Inc. + ...................... 400 10,075
Schlumberger, Ltd. ..................... 1,600 121,800
Transocean Sedco Forex Inc. ............ 600 31,800
243,507
--------------
OIL & GAS - EXPLORATION/PRODUCTION (0.2%)
Anadarko Petroleum Corp. ............... 700 44,835
Apache Corp. ........................... 300 16,594
Burlington Resources, Inc. ............. 400 14,400
Devon Energy Corp. ..................... 400 20,160
Kerr-McGee Corp. ....................... 300 19,593
Unocal Corp. ........................... 600 20,475
136,057
--------------
NUMBER OF MARKET VALUE
SHARES
------------- --------------
OIL & GAS - REFINING & MARKETING (0.1%)
Ashland Inc. ........................... 200 6,550
Sunoco, Inc. ........................... 300 8,981
Tosco Corp. ............................ 500 14,313
29,844
--------------
OIL - DOMESTIC INTEGRATED (0.3%)
Amerada Hess Corp. ..................... 300 18,600
Conoco Inc. - Class B .................. 1,700 46,219
Occidental Petroleum Corp. ............. 1,400 27,825
Phillips Petroleum Co. ................. 900 55,575
USX-Marathon Group ..................... 1,000 27,187
175,406
--------------
OIL - INTERNATIONAL INTEGRATED (2.0%)
Chevron Corp. .......................... 1,300 106,763
Exxon Mobil Corp. ...................... 11,400 1,016,737
Texaco, Inc. ........................... 1,200 70,875
1,194,375
--------------
PAPER & FOREST PRODUCTS (0.1%)
Boise Cascade Corp. .................... 200 5,738
International Paper Co. ................ 500 18,312
Mead Corp. ............................. 300 8,681
Potlatch Corp. ......................... 100 3,350
Westvaco Corp. ......................... 300 8,550
Weyerhaeuser Co. ....................... 500 23,469
Willamette Industries, Inc. ............ 400 14,525
82,625
--------------
PERSONAL CARE (0.1%)
Alberto-Culver Co. - Class B ........... 100 3,356
Avon Products, Inc. .................... 600 29,100
Gillette Co. ........................... 1,300 45,338
77,794
--------------
PHOTOGRAPHY/IMAGING (0.0%)
Eastman Kodak Co. ...................... 400 17,950
--------------
POWER PRODUCERS - INDEPENDENT (0.1%)
AES Corp. + ............................ 900 50,850
--------------
PUBLISHING (0.1%)
Harcourt General, Inc. ................. 100 5,605
McGraw-Hill Co., Inc. (The) ............ 500 32,094
Meredith Corp. ......................... 100 3,175
40,874
--------------
PUBLISHING - NEWSPAPERS (0.1%)
Dow Jones & Co., Inc. .................. 200 11,775
Gannett Co., Inc. ...................... 500 29,000
Knight-Ridder, Inc. .................... 200 10,050
New York Times Co. ..................... 400 14,700
Tribune Co. ............................ 400 14,825
80,350
--------------
RAILROADS (0.1%)
Burlington Northern Santa Fe Corp. ..... 1,100 29,219
Norfolk Southern Corp. ................. 800 11,300
Union Pacific Corp. .................... 400 18,750
59,269
--------------
NUMBER OF MARKET VALUE
SHARES
------------- --------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ............... 300 6,750
McDonald's Corp. ....................... 2,700 83,700
Starbucks Corp. + ...................... 400 17,875
Wendy's International, Inc. ............ 300 6,525
114,850
--------------
RETAIL - BUILDING SUPPLIES (0.4%)
Home Depot, Inc. ....................... 5,000 215,000
Sherwin-Williams Co. ................... 400 8,675
223,675
--------------
RETAIL - COMPUTERS & ELECTRONICS (0.1%)
Best Buy Co., Inc. + ................... 600 30,112
Circuit City Stores - Circuit City Group 500 6,625
RadioShack Corp. ....................... 600 35,775
72,512
--------------
RETAIL - DEPARTMENT STORES (0.2%)
Federated Department Stores, Inc. + .... 700 22,794
Kohl's Corp. + ......................... 800 43,350
May Department Stores Co. .............. 700 18,375
Sears, Roebuck & Co. ................... 1,000 29,730
114,249
--------------
RETAIL - GENERAL MERCHANDISE CHAIN (0.9%)
Costco Wholesale Corp. + ............... 1,000 36,625
Target Corp. ........................... 2,000 55,250
Wal-Mart Stores, Inc. .................. 9,700 440,137
532,012
--------------
RETAIL - SPECIALITY (0.1%)
AutoZone, Inc. + ....................... 400 10,725
Bed Bath & Beyond, Inc. + .............. 700 18,069
Staples, Inc. + ........................ 600 8,550
Tiffany & Co. .......................... 400 17,075
Toys "R" Us, Inc. + .................... 500 8,594
63,013
--------------
RETAIL SPECIALITY - APPAREL (0.1%)
The Limited, Inc. ...................... 1,000 25,250
TJX Companies, Inc. .................... 700 19,075
44,325
--------------
RETAIL STORES - DRUG STORE (0.2%)
CVS Corp. .............................. 500 26,469
Longs Drug Stores Corp. ................ 100 2,187
Walgreen Co. ........................... 2,000 91,250
119,906
--------------
RETAIL STORES - FOOD CHAINS (0.2%)
Albertson's, Inc. ...................... 1,000 23,688
Kroger Co. (The) + ..................... 1,900 42,869
Safeway, Inc. + ........................ 1,000 54,687
121,244
--------------
SAVINGS & LOAN COMPANIES (0.2%)
Charter One Financial, Inc. ............ 525 12,042
Golden West Financial Corp. ............ 600 33,638
Washington Mutual Financial Corp. ...... 1,200 52,800
98,480
--------------
NUMBER OF MARKET VALUE
SHARES
------------- --------------
SERVICES - ADVERTISING/MARKETING (0.1%)
Interpublic Group of Co., Inc. (The) ... 600 25,763
Omnicom Group, Inc. .................... 400 36,900
62,663
--------------
SERVICES - COMMERCIAL & CONSUMER (0.1%)
Convergys Corp. + ...................... 300 13,069
H&R Block, Inc. ........................ 200 7,137
IMS Health, Inc. ....................... 800 18,900
39,106
--------------
SERVICES - COMPUTER SYSTEMS (0.1%)
Computer Sciences Corp. + .............. 400 25,200
Electronic Data Systems Corp. .......... 900 42,244
Sapient Corp. + ........................ 400 14,225
81,669
--------------
SERVICES - DATA PROCESSING (0.4%)
Automatic Data Processing, Inc. ........ 1,400 91,437
Ceridian Corp. + ....................... 300 7,500
Equifax, Inc. .......................... 300 10,350
First Data Corp. ....................... 800 40,100
Paychex, Inc. .......................... 1,200 68,025
217,412
--------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ........................... 100 2,256
RR Donnelley & Sons Co. ................ 300 6,450
8,706
--------------
STEEL (0.0%)
Allegheny Technologies Inc. ............ 200 4,050
Nucor Corp. ............................ 300 10,407
Worthington Industries ................. 100 956
15,413
--------------
TELEPHONE (1.6%)
ALLTEL Corp. ........................... 400 25,775
BellSouth Corp. ........................ 4,100 198,081
CenturyTel, Inc. ....................... 200 7,700
Qwest Communications International Inc.
+...................................... 1,800 87,525
SBC Communications, Inc. ............... 7,400 426,887
Verizon Communications ................. 3,000 173,438
919,406
--------------
TELEPHONE LONG DISTANCE (0.4%)
AT&T Corp. ............................. 4,100 95,069
Global Crossing Ltd. + ................. 2,000 47,250
WorldCom, Inc. + ....................... 3,100 73,625
215,944
--------------
TEXTILES - APPAREL (0.0%)
Liz Claiborne, Inc. .................... 200 8,500
Russell Corp. .......................... 100 1,600
VF Corp. ............................... 300 8,194
18,294
--------------
TOBACCO (0.3%)
Philip Morris Co. Inc. ................. 4,900 179,462
UST, Inc. .............................. 400 10,100
189,562
--------------
NUMBER OF MARKET VALUE
SHARES
------------- --------------
TRUCKERS (0.0%)
Ryder System, Inc. ..................... 200 3,950
--------------
TRUCKS & PARTS (0.0%)
PACCAR, Inc. ........................... 300 12,619
--------------
WASTE MANAGEMENT (0.1%)
Waste Management, Inc. ................. 1,400 28,000
TOTAL COMMON STOCKS (COST $28,603,619) 27,948,349
--------------
PREFERRED STOCKS (0.1%)
Seagram Co. Ltd. (Entertainment) ....... 1,000 57,125
TOTAL PREFERRED STOCKS (COST $58,738) 57,125
--------------
PRINCIPAL
AMOUNT
-------------
LONG-TERM BONDS AND NOTES (49.4%)
U.S. Treasury Strip,Zero Coupon,08/15/05 $38,431,000 29,071,514
TOTAL LONG-TERM BONDS AND NOTES 29,071,514
(COST $28,857,984)
--------------
SHORT-TERM INVESTMENTS (3.2%)
Federal National Mortgage
Assoc.,6.45%,11/01/00.................. 1,695,000 1,695,000
U.S. Treasury Bill,5.95%,11/09/00 @ .... 200,000 199,736
TOTAL SHORT-TERM INVESTMENTS 1,894,736
(COST $1,894,736)
--------------
TOTAL INVESTMENTS (COST $59,415,077)(A) 58,971,724
OTHER ASSETS LESS LIABILITIES (54,923 )
--------------
TOTAL NET ASSETS $58,916,801
--------------
</TABLE>
32 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 33
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND IV (CONTINUED)
34 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 35
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND IV (CONTINUED)
36 See Notes to Portfolio of Investments.
<PAGE>
See Notes to Portfolio of Investments. 37
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
PRINCIPAL PROTECTION FUND IV (CONTINUED)
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$60,330,616. Unrealized gains and losses, based on identified tax cost at
October 31, 2000, are as follows:
Unrealized gains....................... $ 1,419,604
Unrealized losses...................... (2,778,496)
-------------------
Net unrealized loss................... $ (1,358,892)
===================
</TABLE>
<TABLE>
Information concerning open futures contracts at October 31, 2000 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------ ------------ ---------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 5 $1,800,250 Dec 00 $ 54,004
=========== ============
</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.
38 See Notes to Financial Statements.
<PAGE>
PRINCIPAL PROTECTION FUNDS
PORTFOLIO OF INVESTMENTS - OCTOBER 31, 2000
INDEX PLUS PROTECTION FUND
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PRINCIPAL MARKET VALUE
AMOUNT
------------- --------------
SHORT-TERM INVESTMENTS (73.1%)
Cooperative Associates Tractor
Dealers,6.65%,11/01/00................. $ 650,000 650,000
Federal Farm Credit Bank,6.37%,11/14/00 500,000 498,850
Federal Farm Credit Bank,6.38%,11/21/00 1,243,000 1,238,594
Federal Home Loan Bank,6.37%,11/10/00 .. 1,300,000 1,297,930
Federal Home Loan Mortgage
Corp.,6.39%,11/30/00................... 2,224,000 2,213,341
Federal Home Loan Mortgage
Corp.,6.40%,11/30/00................... 1,370,000 1,362,937
Federal National Mortgage
Assoc.,6.38%,11/30/00.................. 2,430,000 2,417,511
Federal National Mortgage
Assoc.,6.40%,11/09/00.................. 1,130,000 1,128,393
Federal National Mortgage
Assoc.,6.45%,11/01/00.................. 977,000 977,000
Student Loan Marketing
Assoc.,6.35%,11/22/00.................. 1,300,000 1,295,185
U.S. Treasury Bill,5.96%,11/30/00 ...... 671,000 667,811
U.S. Treasury Bill,5.97%,11/30/00 ...... 1,000,000 995,191
TOTAL SHORT-TERM INVESTMENTS 14,742,743
(COST $14,742,743)
--------------
TOTAL INVESTMENTS (COST $14,742,743)(A) 14,742,743
OTHER ASSETS LESS LIABILITIES 5,413,890
--------------
TOTAL NET ASSETS $20,156,633
--------------
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes is identical.
There were no unrealized gains or losses as of October 31, 2000.
</TABLE>
Category percentages are based on net assets.
See Notes to Financial Statements. 39
<PAGE>
PRINCIPAL PROTECTION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments, at market value ..........................................
Cash ..................................................................
Receivable for:
Dividends and interest ...............................................
Fund shares sold .....................................................
Variation margin .....................................................
Reimbursement from Investment Adviser ................................
Prepaid expenses ......................................................
Total assets .....................................................
LIABILITIES:
Payable for:
Investments purchased ................................................
Fund shares redeemed .................................................
Other liabilities .....................................................
Total liabilities ................................................
NET ASSETS ......................................................
NET ASSETS REPRESENTED BY:
Paid-in capital .......................................................
Net unrealized gain (loss) on investments and open futures contracts ..
Undistributed net investment income ...................................
Accumulated net realized loss on investments ..........................
NET ASSETS .......................................................
Cost of investments ...................................................
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
CAPITAL SHARES, $.001 PAR VALUE:
Class A:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value and redemption price per share (net assets divided by
shares outstanding) ..................................................
Offering price (net asset value divided by 1 minus maximum sales load)
Class B:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
</TABLE>
40 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL PROTECTION PRINCIPAL PROTECTION PRINCIPAL PROTECTION PRINCIPAL PROTECTION INDEX PLUS
FUND I FUND II FUND III FUND IV PROTECTION FUND
-------------------- -------------------- -------------------- -------------------- -----------------
<S> <C> <C> <C> <C> <C>
$152,039,083 $116,840,111 $98,832,896 $58,971,724 $14,742,743
575 809 67 992 37,912
55,950 32,967 33,841 18,657 20
-- -- -- -- 5,353,742
87,000 58,000 65,250 36,250 --
-- -- 11,682 15,500 45,560
1,747 454 1,179 932 --
------------ ------------ ----------- ----------- -----------
152,184,355 116,932,341 98,944,915 59,044,055 20,179,977
------------ ------------ ----------- ----------- -----------
-- -- 35,077 -- --
191,019 40,891 51,788 -- --
293,851 247,797 211,213 127,254 23,344
------------ ------------ ----------- ----------- -----------
484,870 288,688 298,078 127,254 23,344
------------ ------------ ----------- ----------- -----------
$151,699,485 $116,643,653 $98,646,837 $58,916,801 $20,156,633
============ ============ =========== =========== ===========
$147,829,166 $119,955,323 $97,398,706 $60,828,147 $20,129,351
15,312,469 8,039,190 3,461,560 (389,349) --
171,848 642,264 551,289 288,888 27,282
(11,613,998) (11,993,124) (2,764,718) (1,810,885) --
------------ ------------ ----------- ----------- -----------
$151,699,485 $116,643,653 $98,646,837 $58,916,801 $20,156,633
============ ============ =========== =========== ===========
$136,860,388 $108,890,971 $95,476,873 $59,415,077 $14,742,743
1,814,561 1,136,802 1,051,218 568,225 257,789
$ 18,712,161 $ 11,168,552 $10,739,432 $ 5,534,076 $ 2,585,114
$ 10.31 $ 9.82 $ 10.22 $ 9.74 $ 10.03
$ 10.82 $ 10.31 $ 10.73 $ 10.23 $ 10.53
12,993,325 10,806,732 8,646,700 5,494,711 1,753,123
$132,987,324 $105,475,101 $87,907,405 $53,382,725 $17,571,519
$ 10.24 $ 9.76 $ 10.17 $ 9.72 $ 10.02
</TABLE>
See Notes to Financial Statements. 41
<PAGE>
PRINCIPAL PROTECTION FUNDS
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends .............................................................
Interest ..............................................................
Foreign taxes withheld on dividends ...................................
Total investment income ..........................................
INVESTMENT EXPENSES:
Investment advisory fees ..............................................
Administrative services fees ..........................................
Distribution plan fees - Class A ......................................
Distribution plan fees - Class B ......................................
Shareholder services fees - Class A ...................................
Shareholder services fees - Class B ...................................
Printing and postage fees .............................................
Custody fees ..........................................................
Transfer agent fees ...................................................
Audit fees ............................................................
Directors' fees .......................................................
Registration fees .....................................................
Miscellaneous expenses ................................................
Expenses before reimbursement and waiver from Investment Adviser ......
Expense reimbursement and waiver from Investment Adviser ..............
Net investment expenses ..........................................
Net investment income .................................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ..........................................................
Futures contracts ....................................................
Net realized loss on investments .................................
Net change in unrealized gain or loss on:
Investments ..........................................................
Futures contracts ....................................................
Net change in unrealized gain or loss on investments .............
Net realized and change in unrealized gain or loss on investments .....
Net increase (decrease) in net assets resulting from operations........
</TABLE>
42 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION> PRINCIPAL PROTECTION FUND III PRINCIPAL PROTECTION FUND IV
----------------------------- ----------------------------
PERIOD FROM PERIOD FROM
MARCH 1, 2000 JULY 6, 2000
PRINCIPAL PROTECTION FUND I PRINCIPAL PROTECTION FUND II (COMMENCEMENT (COMMENCEMENT
--------YEAR ENDED--------- ---------YEAR ENDED--------- OF OPERATIONS) OF OPERATIONS)
OCTOBER 31, 2000 OCTOBER 31, 2000 TO OCTOBER 31, 2000 TO OCTOBER 31, 2000
--------------------------- ---------------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
$ 1,283,969 $ 669,134 $ 277,015 $ 37,173
2,724,663 2,908,664 1,353,208 509,726
------------ ------------ ----------- -----------
4,008,632 3,577,798 1,630,223 546,899
(7,046) (4,016) (1,493) --
------------ ------------ ----------- -----------
4,001,586 3,573,782 1,628,730 546,899
------------ ------------ ----------- -----------
1,067,523 706,157 304,047 69,728
164,234 114,267 53,737 13,612
52,054 27,884 14,915 3,229
1,075,595 773,351 358,281 92,400
-- -- -- --
358,532 257,783 119,427 30,800
7,410 5,251 5,185 3,927
74,095 66,611 29,661 12,571
171,310 109,908 45,899 10,969
26,653 30,069 16,292 16,040
3,336 2,134 957 323
28,003 54,616 74,542 56,239
545,596 347,707 140,445 29,765
------------ ------------ ----------- -----------
3,574,341 2,495,738 1,163,388 339,603
(37,593) (78,267) (85,947) (81,592)
------------ ------------ ----------- -----------
3,536,748 2,417,471 1,077,441 258,011
------------ ------------ ----------- -----------
464,838 1,156,311 551,289 288,888
------------ ------------ ----------- -----------
(9,556,694) (11,455,710) (2,647,480) (1,672,215)
(489,451) (537,414) (117,238) (138,670)
------------ ------------ ----------- -----------
(10,046,145) (11,993,124) (2,764,718) (1,810,885)
------------ ------------ ----------- -----------
11,504,457 7,949,140 3,356,023 (443,353)
67,910 90,050 105,537 54,004
------------ ------------ ----------- -----------
11,572,367 8,039,190 3,461,560 (389,349)
------------ ------------ ----------- -----------
1,526,222 (3,953,934) 696,842 (2,200,234)
------------ ------------ ----------- -----------
$ 1,991,060 $ (2,797,623) $ 1,248,131 $(1,911,346)
============ ============ =========== ===========
<CAPTION>
INDEX PLUS PROTECTION FUND
-------PERIOD FROM--------
OCTOBER 2, 2000
(COMMENCEMENT
OF OPERATIONS)
TO OCTOBER 31, 2000
-------------------
<S> <C>
$ --
36,742
--------
36,742
--
--------
36,742
--------
1,908
763
--
4,819
302
1,606
1,406
1,000
2,691
6,483
81
33,865
96
--------
55,020
(45,560)
--------
9,460
--------
27,282
--------
--
--
--------
--
--------
--
--
--------
--
--------
--
--------
$ 27,282
========
</TABLE>
See Notes to Financial Statements. 43
<PAGE>
PRINCIPAL PROTECTION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
PRINCIPAL PROTECTION FUND I
----------------------------------
PERIOD FROM
AUGUST 6, 1999
(COMMENCEMENT OF
YEAR ENDED OPERATIONS) TO
OCTOBER 31, 2000 OCTOBER 31, 1999
---------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ................... $ 464,838 $ 442,649
Net realized loss on investments......... (10,046,145) (1,567,853)
Net change in unrealized gain or loss on
investments............................. 11,572,367 3,740,102
------------ ------------
Net increase in net assets resulting
from operations......................... 1,991,060 2,614,898
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class A:
From net investment income.............. (136,091) --
Class B:
From net investment income.............. (599,548) --
------------ ------------
Decrease in net assets from
distributions to shareholders........... (735,639) --
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Class A:
Proceeds from shares sold............... 87,657 20,861,153
Net asset value of shares issued upon
reinvestment of distributions.......... 129,949 --
Payments for shares redeemed............ (2,832,762) (143,490)
Class B:
Proceeds from shares sold............... -- 142,404,291
Net asset value of shares issued upon
reinvestment of distributions.......... 583,660 --
Payments for shares redeemed............ (12,898,302) (362,990)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............ (14,929,798) 162,758,964
------------ ------------
Net change in net assets................. (13,674,377) 165,373,862
NET ASSETS:
Beginning of period...................... 165,373,862 --
------------ ------------
End of period............................ $151,699,485 $165,373,862
============ ============
End of period net assets includes
undistributed net investment income..... $ 171,848 $ 442,649
============ ============
SHARE TRANSACTIONS:
Class A:
Number of shares sold................... 8,432 2,079,001
Number of shares issued upon
reinvestment of distributions.......... 12,271 --
Number of shares redeemed............... (270,759) (14,384)
------------ ------------
Net increase (decrease)................. (250,056) 2,064,617
============ ============
Class B:
Number of shares sold................... -- 14,203,802
Number of shares issued upon
reinvestment of distributions.......... 55,166 --
Number of shares redeemed............... (1,229,238) (36,405)
------------ ------------
Net increase (decrease)................. (1,174,072) 14,167,397
============ ============
</TABLE>
44 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL PROTECTION FUND II
----------------------------------
PERIOD FROM
OCTOBER 7, 1999
(COMMENCEMENT OF
YEAR ENDED OPERATIONS) TO
OCTOBER 31, 2000 OCTOBER 31, 1999
---------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income.................... $ 1,156,311 $ 25,434
Net realized loss on investments......... (11,993,124) --
Net change in unrealized gain or loss on
investments............................. 8,039,190 --
------------ -----------
Net increase (decrease) in net assets
resulting from operations............... (2,797,623) 25,434
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class A:
From net investment income.............. (65,405) --
Class B:
From net investment income.............. (474,076) --
------------ -----------
Decrease in net assets from
distributions to shareholders........... (539,481) --
------------ -----------
FROM FUND SHARE TRANSACTIONS:
Class A:
Proceeds from shares sold............... 11,124,504 2,076,588
Net asset value of shares issued upon
reinvestment of distributions.......... 64,539 --
Payments for shares redeemed............ (1,865,700) --
Class B:
Proceeds from shares sold............... 88,976,954 24,641,340
Net asset value of shares issued upon
reinvestment of distributions.......... 464,733 --
Payments for shares redeemed............ (5,199,503) (328,132)
------------ -----------
Net increase in net assets from fund
share transactions...................... 93,565,527 26,389,796
------------ -----------
Net change in net assets................. 90,228,423 26,415,230
NET ASSETS:
Beginning of period...................... 26,415,230 --
------------ -----------
End of period............................ $116,643,653 $26,415,230
============ ===========
End of period net assets includes
undistributed net investment income..... $ 642,264 $ 25,434
============ ===========
SHARE TRANSACTIONS:
Class A:
Number of shares sold................... 1,106,686 207,499
Number of shares issued upon
reinvestment of distributions.......... 6,333 --
Number of shares redeemed............... (183,716) --
------------ -----------
Net increase............................ 929,303 207,499
============ ===========
Class B:
Number of shares sold................... 8,856,713 2,462,302
Number of shares issued upon
reinvestment of distributions.......... 45,607 --
Number of shares redeemed............... (525,109) (32,781)
------------ -----------
Net increase ........................... 8,377,211 2,429,521
============ ===========
</TABLE>
See Notes to Financial Statements. 45
<PAGE>
PRINCIPAL PROTECTION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL PROTECTON FUND III
------------------------------
PERIOD FROM
MARCH 1, 2000
(COMMENCEMENT OF
OPERATIONS) TO
OCTOBER 31, 2000
----------------
<S> <C>
FROM OPERATIONS:
Net investment income ......................... $ 551,289
Net realized loss on investments............... (2,764,718)
Net change in unrealized gain or loss on
investments................................... 3,461,560
-----------
Net increase in net assets resulting from
operations................................... 1,248,131
-----------
FROM FUND SHARE TRANSACTIONS:
Class A:
Proceeds from shares sold..................... 10,803,368
Payments for shares redeemed.................. (248,297)
Class B:
Proceeds from shares sold..................... 88,078,352
Payments for shares redeemed.................. (1,234,717)
-----------
Net increase in net assets from fund share
transactions.................................. 97,398,706
-----------
Net change in net assets....................... 98,646,837
NET ASSETS:
Beginning of period............................ --
-----------
End of period.................................. $98,646,837
===========
End of period net assets includes undistributed
net investment income......................... $ 551,289
===========
SHARE TRANSACTIONS:
Class A:
Number of shares sold......................... 1,074,778
Number of shares redeemed..................... (23,560)
-----------
Net increase.................................. 1,051,218
===========
Class B:
Number of shares sold......................... 8,766,312
Number of shares redeemed..................... (119,612)
-----------
Net increase.................................. 8,646,700
===========
</TABLE>
46 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL PROTECTON FUND IV
-----------------------------
PERIOD FROM
JULY 6, 2000
(COMMENCEMENT OF
OPERATIONS) TO
OCTOBER 31, 2000
----------------
<S> <C>
FROM OPERATIONS:
Net investment income .......................... $ 288,888
Net realized loss on investments................ (1,810,885)
Net change in unrealized gain or loss on
investments.................................... (389,349)
-----------
Net decrease in net assets resulting from
operations..................................... (1,911,346)
-----------
FROM FUND SHARE TRANSACTIONS:
Class A:
Proceeds from shares sold...................... 5,770,083
Payments for shares redeemed................... (66,291)
Class B:
Proceeds from shares sold...................... 55,521,863
Payments for shares redeemed................... (397,508)
-----------
Net increase in net assets from fund share
transactions................................... 60,828,147
-----------
Net change in net assets........................ 58,916,801
NET ASSETS:
Beginning of period............................. --
-----------
End of period................................... $58,916,801
===========
End of period net assets includes undistributed
net investment income.......................... $ 288,888
===========
SHARE TRANSACTIONS:
Class A:
Number of shares sold.......................... 574,891
Number of shares redeemed...................... (6,666)
-----------
Net increase................................... 568,225
===========
Class B:
Number of shares sold.......................... 5,535,386
Number of shares redeemed...................... (40,675)
-----------
Net increase................................... 5,494,711
===========
</TABLE>
See Notes to Financial Statements. 47
<PAGE>
PRINCIPAL PROTECTION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
INDEX PLUS PROTECTION FUND
----------------------------
PERIOD FROM
OCTOBER 2, 2000
(COMMENCEMENT OF
OPERATIONS) TO
OCTOBER 31, 2000
----------------
<S> <C>
FROM OPERATIONS:
Net investment income ........................... $ 27,282
-----------
Net increase in net assets resulting from
operations...................................... 27,282
-----------
FROM FUND SHARE TRANSACTIONS:
Class A:
Proceeds from shares sold....................... 2,580,375
Class B:
Proceeds from shares sold....................... 17,548,976
-----------
Net increase in net assets from fund share
transactions.................................... 20,129,351
-----------
Net change in net assets......................... 20,156,633
NET ASSETS:
Beginning of period.............................. --
-----------
End of period.................................... $20,156,633
===========
End of period net assets includes undistributed
net investment income........................... $ 27,282
===========
SHARE TRANSACTIONS:
Class A:
Number of shares sold........................... 257,789
-----------
Net increase.................................... 257,789
===========
Class B:
Number of shares sold........................... 1,753,123
-----------
Net increase.................................... 1,753,123
===========
</TABLE>
48 See Notes to Financial Statements.
<PAGE>
PRINCIPAL PROTECTION 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 it's
own investment objective, policies and restrictions.
This report covers five funds, (each a Fund; collectively, the Funds) Aetna
Principal Protection Fund I (PPF I), Aetna Principal Protection Fund II (PPF
II), Aetna Principal Protection Fund III (PPF III), Aetna Principal Protection
Fund IV (PPF IV) and Aetna Index Plus Protection Fund (IPPF). Each Fund seeks to
achieve maximum total return by participating in favorable equity market
performance while preserving the principal amount of the Fund as of the
inception of each Fund's Guarantee Period. Each Fund guarantees that the amount
distributed to each shareholder will be no less than the value of that
shareholder's investment as of the inception of the Guarantee Period provided
that all distributions received from the Fund have been reinvested and no shares
have been redeemed. Each Funds' Guarantee is backed by an unconditional
irrevocable guarantee from MBIA Insurance Corporation (MBIA), an AAA/Aaa rated
monoline financial guarantor. Each Fund pays MBIA a guarantee fee of 0.33% of
its average daily net assets.
<TABLE>
<CAPTION>
OFFERING GUARANTEE MATURITY
PERIOD PERIOD DATE
------ ------ ----
<S> <C> <C> <C>
PPF I* 08/06/99 - 10/06/99 10/07/99 - 10/06/04 10/06/04
PPF II* 10/07/99 - 12/20/99 12/21/99 - 12/20/04 12/20/04
PPF III* 03/01/00 - 05/31/00 06/01/00 - 05/31/05 05/31/05
PPF IV* 07/06/00 - 09/06/00 09/07/00 - 09/06/05 09/06/05
1
IPPF 10/02/00 - 11/30/00 12/01/00 - 11/30/05 1/30/05**
* Closed to new investors.
** Guarantee Maturity Date for IPPF. After this date IPPF goes into the Index Plus Large Cap Period.
</TABLE>
The Funds are authorized to offer two classes of shares, Class A and Class B.
Information regarding sales charges and fees pursuant to Rule 12b-1 of the Act
are as follows:
CLASS A: Generally, subject to a front-end sales charge; distribution fees
(service fee for IPPF) 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 prior to the Maturity Date;
distribution fees of 0.75%; service fees of 0.25%.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment advisor to
each Fund. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly owned subsidiaries of Aetna Inc. (Aetna).
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of each Fund 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
may differ from these estimates.
49
<PAGE>
PRINCIPAL PROTECTION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2000
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, 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.
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
futures contracts on the S&P 500 Index and U.S. Treasury Securities as a hedge
against their existing portfolio securities, to manage the risk of changes in
interest rates, equity prices, 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.
Illiquid and restricted securities are valued using market quotations when
readily available. In the absence of market quotations, the securities are
valued based upon their fair value determined under procedures approved by the
Board. The Funds will not pay the costs of disposition of restricted securities
other than ordinary brokerage fees, if any.
D. FEDERAL INCOME TAXES
Each fund intends to meet the requirements to be taxed as a regulated investment
company for the current year. As such, the Funds are relieved of federal income
taxes by distributing all of its net taxable investment income and capital
gains, if any, in compliance with the aplicable provisions of the Internal
Revenue Code (Code). Furthermore, by declaring such distributions
50
<PAGE>
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. 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. The advisory fee for each Fund is 0.25% of
the Fund's average daily net assets during its Offering Period and 0.65% of each
Fund's average daily net assets during its Guarantee Period (see table in
Section 1 - Organization).
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.
The Company has adopted a Shareholder Services Plan for the Class B shares and
for the Class A shares of IPPF. 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 shares. This fee is used as compensation for expenses incurred in
servicing shareholders' accounts.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Class A and Class B shares except for the Class A shares of IPPF. The
Distribution Plan provides for payments to ACI at an annual rate of 0.25% of the
average daily net assets of Class A shares of each Fund and 0.75% of the average
daily net assets of Class B shares of each Fund. Amounts paid by the Funds are
used to pay expenses incurred by ACI in promoting the sale of Class A and Class
B shares.
Presently, the Funds' class-specific expenses are limited to distribution fees
incurred in connection with the Class A and Class B shares and service fees
incurred in connection with the Class B shares and for the Class A shares of
IPPF.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated, through the Maturity Date, to reimburse the
Funds for some or all of their operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements, will
increase a Fund's total return. Actual expenses for the year ended October 31,
2000 were at contractual limits. Actual expense ratios are included in the
Financial Highlights.
51
<PAGE>
PRINCIPAL PROTECTION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 2000
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>
PPF I $536,948,361 $556,279,260
PPF II 425,677,162 310,617,272
PPF III 205,911,834 111,820,154
PPF IV 81,248,104 22,229,489
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
It is the policy of the Fund to reduce future distributions of realized gains to
shareholders to the extent of the unexpired capital loss carryforwards. Such
capital loss carryforwards may be used to offset future capital gains until
their respesctive expiration dates. As of October 31, 2000, the following
capital loss carryforwards had been incurred:
<TABLE>
<CAPTION>
TOTAL CAPITAL LOSS YEAR OF EXPIRATION
-------------
CARRYFORWARD 2007 2008
------------ ---- ----
<S> <C> <C> <C>
PPF I $5,309,443 $688,867 $4,620,576
PPF II 6,412,929 -- 6,412,929
PPF III 1,407,015 -- 1,407,015
PPF IV 841,342 -- 841,342
</TABLE>
7. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 15 billion shares. Of those 15
billion shares, each Fund has been allocated 100 million shares each of Class A
and Class B.
52
<PAGE>
PRINCIPAL PROTECTION FUNDS
ADDITIONAL INFORMATION
OCTOBER 31, 2000
1. 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>
PPF I 45.51%
PPF II 48.53%
</TABLE>
2. 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.
<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>
PPF I
11,765,741.263 97.386% 1.176% 1.438%
PPF II
9,323,320.394 97.371% 0.710% 1.919%
PPF III
7,504,282.233 97.748% 0.715% 1.537%
PPF IV
4,968,221.177 97.760% 0.993% 1.247%
</TABLE>
53
<PAGE>
AETNA PRINCIPAL PROTECTION FUNDS
ADDITIONAL INFORMATION (CONTINUED)
OCTOBER 31, 2000
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>
54
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
PRINCIPAL PROTECTION FUNDS
FINANCIAL HIGHLIGHTS
PRINCIPAL PROTECTION FUND I
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
AUGUST 6, 1999
YEAR ENDED (COMMENCEMENT
OCTOBER 31, OF OPERATIONS)
CLASS A 2000 TO OCTOBER 31, 1999
------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 10.20 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................... 0.05++ 0.07+
Net realized and change in unrealized gain
or loss on investments ................... 0.13 0.13
------- -------
Total income from investment operations 0.18 0.20
------- -------
LESS DISTRIBUTIONS:
From net investment income ............... (0.07) --
------- -------
Total distributions .................... (0.07) --
------- -------
Net asset value, end of period ............ $ 10.31 $ 10.20
======= =======
Total return .............................. 1.71% 1.39%*
Net assets, end of period (000's) ......... $18,712 $21,069
Ratio of net investment expenses to average
net assets ............................... 1.50% 1.06%(1)
Ratio of net investment income to average
net assets ............................... 0.94% 2.76%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............. 1.52% 1.46%(1)
Portfolio turnover rate ................... 337.06% 41.95%
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(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>
PRINCIPAL PROTECTION FUND I
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
AUGUST 6, 1999
YEAR ENDED (COMMENCEMENT
OCTOBER 31, OF OPERATIONS)
CLASS B 2000 TO OCTOBER 31, 1999
------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 10.19 $ 10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................... 0.03++ 0.05+
Net realized and change in unrealized gain
or loss on investments ................... 0.06 0.14
-------- --------
Total income from investment operations 0.09 0.19
-------- --------
LESS DISTRIBUTIONS:
From net investment income ............... (0.04) --
-------- --------
Total distributions .................... (0.04) --
-------- --------
Net asset value, end of period ............ $ 10.24 $ 10.19
======== ========
Total return .............................. 0.89% 1.39%*
Net assets, end of period (000's) ......... $132,987 $144,305
Ratio of net investment expenses to average
net assets ............................... 2.25% 1.80%(1)
Ratio of net investment income to average
net assets ............................... 0.19% 2.01%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............. 2.27% 2.21%(1)
Portfolio turnover rate ................... 337.06% 41.95%
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(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>
PRINCIPAL PROTECTION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
PRINCIPAL PROTECTION FUND II
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
OCTOBER 7, 1999
YEAR ENDED (COMMENCEMENT
OCTOBER 31, OF OPERATIONS)
CLASS A 2000 TO OCTOBER 31, 1999
------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 10.02 $10.00
------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................... 0.10++ 0.02+
Net realized and change in unrealized gain
or loss on investments ................... (0.25) --
------- ------
Total income from investment operations (0.15) 0.02
------- ------
LESS DISTRIBUTIONS:
From net investment income ............... (0.05) --
------- ------
Total distributions .................... (0.05) --
------- ------
Net asset value, end of period ............ $ 9.82 $10.02
======= ======
Total return .............................. (2.00)%* --
Net assets, end of period (000's) ......... $11,169 $2,079
Ratio of net investment expenses to average
net assets ............................... 1.35% 0.58%(1)
Ratio of net investment income to average
net assets ............................... 1.59% 3.85%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............. 1.41% 6.47%(1)
Portfolio turnover rate ................... 259.93% --
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
58 See Notes to Financial Statements.
<PAGE>
PRINCIPAL PROTECTION FUND II
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
OCTOBER 7, 1999
YEAR ENDED (COMMENCEMENT
OCTOBER 31, OF OPERATIONS)
CLASS B 2000 TO OCTOBER 31, 1999
------------------------------------------- ----------- -------------------
<S> <C> <C>
Net asset value, beginning of period ...... $ 10.02 $ 10.00
-------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................... 0.08++ 0.02+
Net realized and change in unrealized gain
or loss on investments ................... (0.30) --
-------- -------
Total income from investment operations (0.22) 0.02
-------- -------
LESS DISTRIBUTIONS:
From net investment income ............... (0.04) --
-------- -------
Total distributions .................... (0.04) --
-------- -------
Net asset value, end of period ............ $ 9.76 $ 10.02
======== =======
Total return .............................. (2.58)%* --
Net assets, end of period (000's) ......... $105,475 $24,336
Ratio of net investment expenses to average
net assets ............................... 2.05% 1.30%(1)
Ratio of net investment income to average
net assets ............................... 0.88% 3.12%(1)
Ratio of expenses before reimbursement and
waiver to average net assets ............. 2.12% 7.19%(1)
Portfolio turnover rate ................... 259.93% --
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(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. 59
<PAGE>
PRINCIPAL PROTECTION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
PRINCIPAL PROTECTION FUND III
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 2000
(COMMENCEMENT
OF OPERATIONS)
CLASS A TO OCTOBER 31, 2000
-------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.06++
Net realized and change in unrealized gain or loss on
investments............................................ 0.16
-------
Total income from investment operations ............. 0.22
-------
Net asset value, end of period ......................... $ 10.22
=======
Total return ........................................... 1.09%*
Net assets, end of period (000's) ...................... $10,739
Ratio of net investment expenses to average net assets . 1.06%(1)
Ratio of net investment income to average net assets ... 1.34%(1)
Ratio of expenses before reimbursement and waiver to
average net assets .................................... 1.19%(1)
Portfolio turnover rate................................. 112.88%
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
60 See Notes to Financial Statements.
<PAGE>
PRINCIPAL PROTECTION FUND III
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 2000
(COMMENCEMENT
OF OPERATIONS)
CLASS B TO OCTOBER 31, 2000
-------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.06++
Net realized and change in unrealized gain or loss on
investments............................................ 0.11
-------
Total income from investment operations ............. 0.17
-------
Net asset value, end of period ......................... $ 10.17
=======
Total return............................................ 0.79%*
Net assets, end of period (000's) ...................... $87,907
Ratio of net investment expenses to average net assets . 1.65%(1)
Ratio of net investment income to average net assets ... 0.75%(1)
Ratio of expenses before reimbursement and waiver to
average net assets .................................... 1.78%(1)
Portfolio turnover rate................................. 112.88%
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
See Notes to Financial Statements. 61
<PAGE>
PRINCIPAL PROTECTION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
PRINCIPAL PROTECTION FUND IV
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JULY 6, 2000
(COMMENCEMENT
OF OPERATIONS)
CLASS A TO OCTOBER 31, 2000
-------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $10.00
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.05++
Net realized and change in unrealized gain or loss on
investments............................................ (0.31)
------
Total from investment operations .................... (0.26)
------
Net asset value, end of period ......................... $ 9.74
======
Total return ........................................... (3.37)%*
Net assets, end of period (000's) ...................... $5,534
Ratio of net investment expenses to average net assets . 0.87%(1)
Ratio of net investment income to average net assets ... 2.01%(1)
Ratio of expenses before reimbursement and waiver to
average net assets .................................... 1.30%(1)
Portfolio turnover rate................................. 38.46%
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
62 See Notes to Financial Statements.
<PAGE>
PRINCIPAL PROTECTION FUND IV
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JULY 6, 2000
(COMMENCEMENT
OF OPERATIONS)
CLASS B TO OCTOBER 31, 2000
-------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.05++
Net realized and change in unrealized gain or loss on
investments............................................ (0.33)
-------
Total from investment operations .................... (0.28)
-------
Net asset value, end of period.......................... $ 9.72
=======
Total return ........................................... (3.38)%*
Net assets, end of period (000's) ...................... $53,383
Ratio of net investment expenses to average net assets . 1.41%(1)
Ratio of net investment income to average net assets ... 1.47%(1)
Ratio of expenses before reimbursement and waiver to
average net assets .................................... 1.84%(1)
Portfolio turnover rate................................. 38.46%
</TABLE>
* Represents performance beginning on the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
See Notes to Financial Statements. 63
<PAGE>
PRINCIPAL PROTECTION FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS PROTECTION FUND
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
OCTOBER 2, 2000
(COMMENCEMENT
OF OPERATIONS)
CLASS A TO OCTOBER 31, 2000
-------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $10.00
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.03++
------
Total from investment operations .................... 0.03
------
Net asset value, end of period ......................... $10.03
======
Total return *.......................................... --
Net assets, end of period (000's) ...................... $2,585
Ratio of net expenses to average net assets ............ 0.59%(1)
Ratio of net investment income to average net assets ... 4.05%(1)
Ratio of expenses before reimbursement and waiver to
average net assets .................................... 6.35%(1)
</TABLE>
* IPPF is in its Accumulation Period. Total return will start to be calculated
on December 1, 2000, the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
64 See Notes to Financial Statements.
<PAGE>
INDEX PLUS PROTECTION FUND
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
OCTOBER 2, 2000
(COMMENCEMENT
OF OPERATIONS)
CLASS B TO OCTOBER 31, 2000
-------------------------------------------------------- -------------------
<S> <C>
Net asset value, beginning of period ................... $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.02++
-------
Total from investment operations .................... 0.02
-------
Net asset value, end of period ......................... $ 10.02
=======
Total return* .......................................... --
Net assets, end of period (000's) ...................... $17,572
Ratio of net investment expenses to average net assets . 1.31%(1)
Ratio of net investment income to average net assets ... 3.33%(1)
Ratio of expenses before reimbursement and waiver to
average net assets .................................... 7.06%(1)
</TABLE>
* IPPF is in its Accumulation Period. Total return will start to be calculated
on December 1, 2000, the first day of the Guarantee Period.
(1) Annualized.
++ Per share data calculated using the SEC method.
See Notes to Financial Statements. 65
<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
Principal Protection Fund I, Aetna Principal Protection Fund II, Aetna Principal
Protection Fund III, Aetna Principal Protection Fund IV and Aetna Index Plus
Protection Fund, each a series of Aetna Series Fund, Inc. (collectively the
Principal Protection Funds), including the portfolios of investments as of
October 31, 2000, and the related statements of operations for the year or
period then ended, statements of changes in net assets for each of the years or
periods in the two-year period then ended and financial highlights for each of
the years or periods in the two-year period then ended. These financial
statements and financial highlights are the responsibility of the Principal
Protection 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
Principal Protection 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
66
<PAGE>
P170ANN (10/00)
