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Previous: SEPARATE ACCOUNT VA-2L OF TRANSAMERICA OCCIDENTAL LIFE INS C, N-30D, 1998-03-06 |
Next: REVLON CONSUMER PRODUCTS CORP, 10-K, 1998-03-06 |
<PAGE>
[LOGO]
THE LEGENDS FUND, INC.
SEMI-ANNUAL REPORT
DECEMBER 31, 1997
<PAGE>
The Legends Fund, Inc.
Semi-Annual Report
December 31, 1997
Contents
<TABLE>
<S> <C>
President's Letter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Financial Statements, Financial Highlights, and Schedules of
Investments:
Zweig Asset Allocation Portfolio . . . . . . . . . . . . . . . . . . . . 2
Harris Bretall Sullivan & Smith Equity Growth Portfolio. . . . . . . . . 9
Zurich Kemper Value Portfolio. . . . . . . . . . . . . . . . . . . . . . 14
Zweig Equity (Small Cap) Portfolio . . . . . . . . . . . . . . . . . . . 19
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . .29
</TABLE>
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR THE
GENERAL INFORMATION OF THE SHAREHOLDERS OF THE FUND. THIS REPORT IS NOT
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED
OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS. NEITHER THE FUND NOR ARM SECURITIES
CORPORATION, THE PRINCIPAL UNDERWRITER FOR FUND SHARES, IS A BANK AND FUND
SHARES ARE NOT BACKED OR GUARANTEED BY ANY BANK OR INSURED BY THE FEDERAL
DEPOSITORY INSURANCE CORPORATION.
<PAGE>
THE LEGENDS FUND, INC.
- --------------------------------------------------------------------------------
This 1997 Semi-Annual Report highlights a fine period for The Legends Fund, Inc.
(the "Fund"). We thank all of our current investors and wish to extend a special
welcome to all new investors who have joined us during the period.
Total returns for each of the Fund's portfolios for the six months and for the
year ended December 31, 1997 are listed below:
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
PORTFOLIO 1997 1997
- --------------------------------------------------------------------------------
<S> <C> <C>
Zweig Asset Allocation 13.16% 22.00%
Harris Bretall Sullivan & Smith Equity Growth 11.25% 34.78%
Zurich Kemper Value 12.15% 30.42%
Zweig Equity (Small Cap) 14.22% 25.08%
</TABLE>
Included in this Semi-Annual Report is detailed information of the investment
holdings of each portfolio as of December 31, 1997, as well as other financial
information.
In general, 1997 was an overall strong year in the markets. The investment
disciplines available within the Fund span a broad spectrum, providing you with
the choices and flexibility to plan for the long-term. Be assured that the Fund
is committed to assisting you in achieving your individual investment goals.
We appreciate your continued confidence. Should you have any questions or
comments, we always welcome your inquiries.
Sincerely,
/s/ Edward J. Haines
Edward J. Haines
President
The Legends Fund, Inc.
1
<PAGE>
Zweig Asset Allocation Portfolio
Statement of Assets and Liabilities
December 31, 1997 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $32,923,065)
-See accompanying schedule $ 44,802,968
Dividends, interest and other receivables 78,465
-------------
TOTAL ASSETS 44,881,433
LIABILITIES
Accounts payable and accrued expenses 63,029
-------------
TOTAL LIABILITIES 63,029
-------------
NET ASSETS $44,818,404
-------------
-------------
Net Assets consist of:
Paid-in capital $30,011,585
Undistributed net investment income 185,274
Accumulated undistributed net realized gain on investments 2,732,129
Net unrealized appreciation on investment securities and
futures contracts 11,889,416
-------------
NET ASSETS, for 2,738,196 shares outstanding $44,818,404
-------------
-------------
NET ASSET VALUE, offering and redemption price per share $16.37
-------------
-------------
</TABLE>
SEE ACCOMPANYING NOTES.
2
<PAGE>
Zweig Asset Allocation Portfolio
Statement of Operations
Six Months Ended December 31, 1997 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends $ 393,648
Interest 75,963
-------------
Total investment income 469,611
EXPENSES
Investment advisory and management fees 203,877
Custody and accounting fees 61,163
Professional fees 4,635
Directors' fees and expenses 2,469
Foreign tax expense 7,785
Other expenses 4,408
-------------
Total expenses 284,337
-------------
Net investment income 185,274
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments 2,987,013
Change in unrealized appreciation on investment securities 2,290,370
-------------
Net gain on investments 5,277,383
-------------
Net increase in net assets resulting from operations $5,462,657
-------------
-------------
</TABLE>
SEE ACCOMPANYING NOTES.
3
<PAGE>
Zweig Asset Allocation Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1997 JUNE 30,
(UNAUDITED) 1997
---------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 185,274 $ 529,058
Net realized gain (loss) on investments 2,987,013 (173,455)
Change in net unrealized appreciation 2,290,370 6,699,583
---------------------------------------
Net increase in net assets resulting from operations 5,462,657 7,055,186
Distributions to shareholders from:
Net investment income (529,058) (610,426)
Net realized gain - (4,529,338)
---------------------------------------
Total distributions to shareholders (529,058) (5,139,764)
Capital share transactions:
Proceeds from sales of shares 1,710,763 2,859,514
Proceeds from reinvested distributions 529,058 5,139,764
Cost of shares redeemed (5,203,033) (7,288,581)
---------------------------------------
Net increase (decrease) in net assets resulting from share
transactions (2,963,212) 710,697
---------------------------------------
Total increase in net assets 1,970,387 2,626,119
NET ASSETS
Beginning of period 42,848,017 40,221,898
---------------------------------------
End of period (including undistributed net investment income
of $185,274 and $529,058, respectively) $ 44,818,404 $ 42,848,017
---------------------------------------
---------------------------------------
OTHER INFORMATION
Shares:
Sold 107,193 206,859
Issued through reinvestment of distributions 32,534 396,248
Redeemed (330,819) (523,827)
---------------------------------------
Net increase (decrease) (191,092) 79,280
---------------------------------------
---------------------------------------
</TABLE>
SEE ACCOMPANYING NOTES.
4
<PAGE>
Zweig Asset Allocation Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 14,
SIX MONTHS 1992
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED JUNE 30, OF OPERATIONS)
1997 ------------------------------------------------------ THROUGH JUNE 30,
(UNAUDITED) 1997 1996 1995 1994 1993
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of
period $14.63 $ 14.11 $ 13.02 $11.44 $ 10.81 $ 10.00
Income from investment operations:
Net investment income 0.07 0.19 0.21 0.33 0.10 0.08
Net realized and unrealized gain
on investments 1.85 2.20 1.21 1.33 0.58 0.73
Total from investment operations 1.92 2.39 1.42 1.66 0.68 0.81
Less distributions:
From net investment income (0.18) (0.22) (0.33) (0.08) (0.05) -
From net realized gain - (1.65) - - - -
-----------------------------------------------------------------------------------
Total distributions (0.18) (1.87) (0.33) (0.08) (0.05) -
-----------------------------------------------------------------------------------
Net asset value, end of period $ 16.37 $ 14.63 $ 14.11 $ 13.02 $ 11.44 $ 10.81
-----------------------------------------------------------------------------------
-----------------------------------------------------------------------------------
TOTAL RETURN (a) 13.16% 18.63% 11.06% 14.57% 6.27% 14.86%
RATIOS AND SUPPLEMENTAL DATA (b)
Net assets, end of period (in
thousands) $ 44,818 $ 42,848 $ 40,222 $ 36,736 $ 31,563 $ 3,856
Ratio of expenses to average net
assets (c) 1.27% 1.28% 1.25% 1.20% 1.39% 1.51%
Ratio of net investment income to
average net assets (c) 0.83% 1.29% 1.55% 2.73% 1.67% 1.40%
Portfolio turnover rate 37% 89% 105% 45% 101% 12%
Average commission paid per
equity share traded (d) $.0286 $.0262
</TABLE>
(a) Total returns are not annualized.
(b) Data expressed as a percentage are annualized as appropriate.
(c) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 4.87% and (1.17%),
respectively, for the period December 14, 1992 (commencement of operations)
through June 30, 1993.
(d) Disclosure required for fiscal years beginning after September 1, 1995.
5
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments
December 31, 1997
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- ---------
<S> <C> <C>
COMMON STOCKS (97.8%)
AGRICULTURAL PRODUCTION - CROPS (0.9%)
RJR Nabisco Holdings Corporation 10,400 $390,000
APPAREL & ACCESSORY STORES (2.6%)
Kmart Corporation (a) 9,500 109,843
Payless Shoesource, Inc. 3,300 221,513
Ross Stores, Inc. 22,400 816,200
-----------
1,147,556
BUSINESS SERVICES (0.4%)
Comdisco, Inc. 1,650 55,171
Stratus Computer, Inc. 3,800 143,688
-----------
198,859
CHEMICALS & ALLIED PRODUCTS (3.1%)
Albemarle Corporation 8,700 207,713
Desc S.A. de C.V. 715 26,813
Dexter Corporation 5,300 228,893
Ethyl Corporation 5,800 44,588
International Specialty Products, Inc. (a) 7,400 110,538
Lyondell Petrochemical 8,400 222,600
Methanex Corporation 9,000 72,000
Millenium Chemicals, Inc. 9,400 221,487
Nova Corporation 2,800 26,775
Occidental Petroleum Corporation 7,000 205,187
-----------
1,366,594
COMMUNICATIONS (2.0%)
British Telecommunications Plc 1,200 96,375
Tele Danmark 7,000 215,687
Telefonica de Espana 2,600 236,763
Telefonos de Mexico 6,400 358,800
-----------
907,625
DEPOSITORY INSTITUTIONS (5.4%)
Ahmanson (H.F.) & Company 2,500 167,344
Banco Frances del Rio de la Plata S.A. 5,000 136,875
BankUnited Financial Corporation (a) 2,000 30,875
City National Corporation 3,000 110,813
Coast Savings Financial 1,000 68,562
Dime Bancorp, Inc. 11,200 338,800
Golden State Bancorp, Inc. (a) 5,500 205,563
Golden West Financial Corporation 1,600 156,500
Imperial Bancorp (a) 13,200 650,924
Popular, Inc. 1,100 54,313
St. Paul Bancorp, Inc. 3,450 90,347
TR Financial Corporation 12,200 407,175
-----------
2,418,091
EATING & DRINKING PLACES (1.1%)
Darden Restaurants, Inc. 10,600 132,500
Foodmaker, Inc. (a) 23,100 347,944
-----------
480,444
ELECTRIC GAS & SANITARY SERVICES (17.8%)
Atlantic Energy, Inc. 11,600 245,770
Baltimore Gas & Electric 7,600 258,875
Boston Edison Company 3,700 140,138
Chilgener S.A. 8,000 196,000
CMS Energy Corporation 9,100 400,969
Columbia Gas System 9,900 777,769
DTE Energy Company 6,400 222,000
<CAPTION>
NUMBER
OF SHARES VALUE
---------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC GAS & SANITARY SERVICES (17.8%) (CONTINUED)
Edison International 15,700 $426,843
Equitable Resources, Inc. 6,600 233,474
FirstEnergy Corporation (a) 8,032 232,927
FPL Group, Inc. 4,300 254,505
GPU, Inc. 10,700 450,738
IES Industries, Inc. 2,800 103,075
Ipalco Enterprises, Inc. 10,700 448,731
KeySpan Energy Corporation 6,200 228,238
Long Island Lighting Company 3,600 108,450
MCN Corporation 5,900 238,213
MidAmerican Energy Holdings Company 3,200 70,400
Minnesota Power & Light Company 6,300 274,444
Montana Power Company 5,800 184,513
National Fuel Gas Company 1,500 73,031
New York State Electric & Gas 7,900 280,450
NICOR, Inc. 5,700 240,469
ONEOK, Inc. 2,400 96,900
People's Energy Corporation 1,100 43,313
Pinnacle West Corporation 19,500 826,313
PP&L Resources, Inc. 8,300 198,681
Questar Corporation 5,500 245,438
Utilicorp United, Inc. 4,900 190,181
Washington Gas Light Company 2,800 86,625
Westcoast Energy, Inc. 9,500 218,500
-----------
7,995,973
ELECTRONIC & OTHER ELECTRIC EQUIPMENT (2.5%)
Aeroquip-Vickers, Inc. 4,900 240,406
Hadco Corporation (a) 900 40,753
Phillips Electronics 2,800 169,400
Portugal Telecom S.A. 5,400 253,800
Sony Corporation 2,600 235,950
VLSI Technology, Inc. 7,000 165,375
-----------
1,105,684
FABRICATED METAL PRODUCTS (0.3%)
Ball Corporation 2,000 70,625
Mark IV Industries, Inc. 3,200 70,000
-----------
140,625
FOOD & KINDRED PRODUCTS (1.1%)
Adolph Coors Company 5,500 182,531
Pepsi-Gemex S.A. 3,600 51,975
The Earthgrains Company 5,400 253,800
-----------
488,306
FOOD STORES (0.3%)
Great Atlantic & Pacific Tea Company 4,900 145,469
FORESTRY (0.3%)
Rayonier, Inc. 2,800 119,175
FURNITURE & FIXTURES (1.6%)
Ethan Allen Interiors, Inc. 4,200 161,963
Furniture Brands International, Inc. (a) 9,700 198,850
Johnson Controls, Inc. 3,400 162,350
Lear Corporation 4,500 213,750
-----------
736,913
FURNITURE & HOME FURNISHINGS (0.3%)
Pier 1 Imports, Inc. 6,750 152,719
</TABLE>
6
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
GENERAL BUILDING CONTRACTORS (0.9%)
Centex Corporation 3,700 $ 232,869
Lennar Corporation 2,700 58,219
US Home Corporation 3,300 129,525
-----------
420,613
GENERAL MERCHANDISE STORES (1.8%)
Dayton-Hudson Corporation 6,600 445,500
Federated Department Stores (a) 6,700 288,519
Shopko Stores, Inc. 2,600 56,550
-----------
790,569
HEALTH SERVICES (1.1%)
Integrated Health Services, Inc. 6,100 190,244
Sun Healthcare Group, Inc. 10,000 193,750
Universal Health Services 1,800 90,675
-----------
474,669
HOLDING & OTHER INVESTMENT OFFICES (0.3%)
Thornburg Mortgage Asset Corporation 6,800 112,200
HOTELS & OTHER LODGING PLACES (0.4%)
Prime Hospitality Corporation 9,700 197,638
INDUSTRIAL MACHINERY & EQUIPMENT (7.4%)
AGCO Corporation 3,100 90,675
Case Corporation 1,600 96,700
Caterpillar, Inc. 3,900 189,394
Creative Technology Ltd (a) 8,700 190,856
Cummins Engine Company, Inc. 2,400 141,750
Data General Corporation (a) 11,100 193,556
Digital Equipment Corporation (a) 4,000 148,000
Eaton Corporation 2,200 196,350
Harris Corporation 7,400 339,475
Ingersoll-Rand Company 2,700 109,350
Innovex, Inc. 24,400 560,437
Kaydon Corporation 5,400 176,175
Parker-Hannifin Corporation 4,700 215,613
Storage Technology Corporation 7,100 439,756
Tecumseh Products Company 600 29,363
Timken Company 5,700 195,938
-----------
3,313,388
INSURANCE CARRIERS (9.9%)
Ace, Ltd 3,100 299,150
Allmerica Financial Corporation 2,000 99,875
Allstate Corporation 2,500 227,187
American Bankers Insurance Group, Inc. 4,400 202,125
Capital Re Corporation 500 31,031
Cigna Corporation 1,300 224,981
Delphi Financial Group, Inc. (a) 7,099 319,454
Equitable Companies, Inc. 11,800 587,050
Everest Reinsurance Holdings, Inc. 5,400 222,750
Exel, Ltd 3,300 209,138
FPA Medical Management, Inc. (a) 9,300 174,375
Fremont General Corporation 6,500 355,875
Horace Mann Educators Corporation 3,400 96,688
Liberty Financial Companies, Inc. 5,400 203,850
NAC Re Corporation 1,700 82,981
Old Republic International Corporation 5,300 197,094
Presidential Life Corporation 6,700 136,931
Reliance Group Holdings, Inc. 900 12,713
Travelers Group, Inc. 13,051 703,123
W.R. Berkley Corporation 950 42,216
-----------
4,428,587
<CAPTION>
NUMBER
OF SHARES VALUE
---------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
LOCAL & INTERURBAN PASSENGER TRANSIT (0.3%)
Canadian National Railway Company 2,800 $ 132,300
METAL MINING (0.5%)
Asarco, Inc. 5,200 116,675
Phelps Dodge 1,500 93,375
-----------
210,050
MISCELLANEOUS RETAIL (0.5%)
Fingerhut Companies, Inc. 10,100 215,888
OIL & GAS EXTRACTION (3.7%)
Apache Corporation 2,200 77,138
Helmerich & Payne, Inc. 7,500 509,062
Seacor Smit, Inc. (a) 2,100 126,525
USX-Marathon Group 8,300 280,125
Vintage Petroleum, Inc. 7,000 133,000
Weatherford Enterra, Inc. 3,900 170,625
YPE S.A. 11,200 382,900
-----------
1,679,375
PAPER & ALLIED PRODUCTS (0.2%)
Asia Pulp & Paper Company, Ltd 9,600 96,600
PETROLEUM & COAL PRODUCTS (4.9%)
Ashland, Inc. 3,600 193,275
Coastal Corporation 8,700 538,856
Elf Aquitaine 5,200 304,850
Mobil Corporation 2,800 202,125
Murphy Oil Corporation 4,100 222,169
Phillips Petroleum Company 3,800 184,775
Sun Company, Inc. 5,000 210,313
Texaco, Inc. 3,600 195,750
Total S.A. 2,500 138,750
-----------
2,190,863
PRIMARY METAL INDUSTRIES (3.7%)
AK Steel Holding Corporation 6,600 116,738
Alumax, Inc. (a) 5,300 180,200
Bethlehem Steel Corporation (a) 17,500 150,938
British Steel Plc 9,900 212,230
Inland Steel Industries, Inc. 6,400 109,600
LTV Corporation 9,200 89,700
Mueller Industries, Inc. 800 47,200
Pohang Iron & Steel Ltd 8,500 148,219
Precision Castparts Corporation 3,700 223,156
Texas Industries, Inc. 4,200 189,000
USX-U.S. Steel Company 6,400 200,000
-----------
1,666,981
RAILROAD TRANSPORTATION (0.8%)
Canadian Pacific Ltd 12,900 351,525
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.3%)
Premark International, Inc. 5,200 150,800
SECURITY & COMMODITY BROKERS (5.2%)
Bear Stearns Companies, Inc. 13,425 637,687
Donaldson Lufkin & Jenrette, Inc. 1,200 95,400
Edwards (A.G.), Inc. 8,250 327,938
Lehman Brothers Holdings 14,500 739,500
Paine Webber Group, Inc. 15,900 549,544
-----------
2,350,069
</TABLE>
7
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- -------
COMMON STOCKS (CONTINUED)
<S> <C> <C>
STONE, CLAY & GLASS PRODUCTS (1.6%)
Hanson Plc 2,800 $ 64,575
Lafarge Corporation 1,600 47,300
Lone Star Industries 3,000 159,375
Southdown, Inc. 2,900 171,100
USG Corporation 3,700 181,300
Vitro S.A. 5,500 71,844
-----------
695,494
TEXTILE MILL PRODUCTS (0.2%)
Mohawk Industries, Inc. 4,050 88,847
TRANSPORTATION BY AIR (5.4%)
Airborne Freight Corporation 4,100 254,713
AMR Corporation (a) 3,600 462,600
Continental Airlines (a) 4,300 206,937
Delta Air Lines, Inc. 1,200 142,800
Federal Express Corporation (a) 2,000 122,125
KLM Royal Dutch Air 5,506 207,852
Southwest Airlines 8,400 206,850
UAL Corporation 6,100 564,250
USAir Group, Inc. 4,200 262,500
-----------
2,430,627
TRANSPORTATION EQUIPMENT (4.8%)
Chrysler Corporation 9,202 323,795
Ford Motor Company 5,500 267,781
General Motors Corporation 2,400 145,500
Honda Motor Company, Ltd 1,500 110,813
Mascotech, Inc. 4,400 80,850
Navistar International 9,700 240,681
Paccar, Inc. 7,700 404,731
Raytheon Company 153 7,551
Thiokol Corporation 2,100 170,625
Trinity Industries 7,800 348,075
Volvo AB Swe 1,500 40,500
-----------
2,140,902
TRANSPORTATION SERVICES (0.3%)
GATX Corporation 2,000 145,125
TRUCKING & WAREHOUSING (1.1%)
CNF Transportation, Inc. 3,500 134,313
USFreightways Corporation 6,200 201,887
Werner Enterprises, Inc. 7,600 157,700
-----------
493,900
WHOLESALE TRADE - DURABLE GOODS (0.9%)
Borg-Warner Automotive, Inc. 2,400 124,800
Martin Marietta Materials, Inc. 5,200 190,125
Minerals & Resources Corporation Ltd S.A. 4,000 67,500
-----------
382,425
WHOLESALE TRADE - NONDURABLE GOODS (1.9%)
Burlington Coat Factory Warehouse 6,120 100,598
DIMON, Inc. 6,200 162,750
Pennzoil Company 3,600 240,525
SUPERVALU, Inc. 2,800 117,250
Universal Corporation 5,200 213,850
-----------
834,973
-----------
TOTAL COMMON STOCKS (Cost $31,908,538) 43,788,441
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------------- -----------
<S> <C> <C>
SHORT-TERM SECURITIES (2.2%)
U.S. GOVERNMENT AGENCY (2.0%)
Federal Home Loan Mortgage Corporation
Discount Note, 5.68%, due 1/30/1998 $ 900,000 $ 895,882
U.S. GOVERNMENT OBLIGATIONS (0.2%)
U.S. Treasury Bills, 5.1925%, due 1/22/1998 (b) 100,000 99,697
REPURCHASE AGREEMENT (0.0%)
State Street Bank, 4.25%, due 1/2/1998
(Dated 12/31/1997, collateralized by U.S.
Treasury Note, 9.25%, due 8/15/1998, value $21,100) 18,948 18,948
-----------
TOTAL SHORT-TERM SECURITIES (Cost $1,014,527) 1,014,527
-----------
TOTAL INVESTMENTS (100.0%) (Cost $32,923,065) $44,802,968
-----------
-----------
</TABLE>
(a) Non-income producing
(b) A portion of the security was pledged to cover margin requirements for
futures contracts. At the period end, the value of the security pledged
amounted to $99,697.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
EXPIRATION CONTRACT UNREALIZED
DATE AMOUNT GAIN
------------ --------- ----------
<S> <C> <C> <C>
4 S&P 500
Futures Contracts-Long 3/20/1998 $ 979,100 $ 9,513
</TABLE>
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the
six months ended December 31, 1997, aggregated $13,461,784 and $16,522,933,
respectively. At December 31, 1997, net unrealized appreciation for tax
purposes aggregated $11,889,416, of which $12,798,409 related to appreciated
investment securities and $908,993 related to depreciated investment
securities. The aggregate cost of securities is the same for book and tax
purposes.
SEE ACCOMPANYING NOTES.
8
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Statement of Assets and Liabilities
December 31, 1997 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $22,914,362)
-See accompanying schedule $ 33,447,349
Dividends and interest receivable 18,821
---------------
TOTAL ASSETS 33,466,170
LIABILITIES
Accounts payable and accrued expenses 31,804
---------------
TOTAL LIABILITIES 31,804
---------------
NET ASSETS $ 33,434,366
---------------
---------------
Net Assets consist of:
Paid-in capital $ 21,339,938
Accumulated undistributed net realized gain on investments 1,561,441
Net unrealized appreciation on investment securities 10,532,987
--------------
NET ASSETS, for 1,838,260 shares outstanding $ 33,434,366
--------------
--------------
NET ASSET VALUE, offering and redemption price per share $ 18.19
---------------
---------------
</TABLE>
SEE ACCOMPANYING NOTES.
9
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Statement of Operations
Six Months Ended December 31, 1997 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Dividends $ 130,652
Interest 24,639
------------
Total investment income 155,291
EXPENSES
Investment advisory and management fees 102,267
Custody and accounting fees 42,617
Professional fees 4,109
Directors' fees and expenses 2,469
Other expenses 4,409
------------
Total expenses 155,871
------------
Net investment loss (580)
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments 1,561,441
Change in unrealized appreciation on investment securities 1,676,467
------------
Net gain on investments 3,237,908
------------
Net increase in net assets resulting from operations $ 3,237,328
------------
------------
</TABLE>
SEE ACCOMPANYING NOTES.
10
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1997 JUNE 30,
(UNAUDITED) 1997
-----------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income (loss) $ (580) $ 35,592
Net realized gain on investments 1,561,441 2,143,586
Change in net unrealized appreciation 1,676,467 4,406,962
----------------------------------
Net increase in net assets resulting from operations 3,237,328 6,586,140
Distributions to shareholders from:
Net investment income (35,592) (5,649)
Net realized gain (2,143,586) (1,737,610)
----------------------------------
Total distributions to shareholders (2,179,178) (1,743,259)
Capital share transactions:
Proceeds from sales of shares 5,302,630 5,927,647
Proceeds from reinvested distributions 2,179,178 1,743,259
Cost of shares redeemed (3,920,265) (7,509,523)
----------------------------------
Net increase in net assets resulting from share transactions 3,561,543 161,383
----------------------------------
Total increase in net assets 4,619,693 5,004,264
NET ASSETS
Beginning of period 28,814,673 23,810,409
----------------------------------
End of period (including undistributed net investment
income of $35,592 at June 30, 1997) $ 33,434,366 $ 28,814,673
-----------------------------------
----------------------------------
OTHER INFORMATION
Shares:
Sold 286,682 394,049
Issued through reinvestment of distributions 118,950 119,672
Redeemed (211,437) (512,893)
----------------------------------
Net increase 194,195 828
----------------------------------
----------------------------------
</TABLE>
SEE ACCOMPANYING NOTES.
11
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Financial Highlights
<TABLE>
<CAPTION>
SIX MONTHS JANUARY 12, 1993
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED JUNE 30, OF OPERATIONS)
1997 ------------------------------------------------------- THROUGH JUNE 30,
(UNAUDITED) 1997 1996 1995 1994 1993
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 17.53 $ 14.49 $ 12.85 $ 9.36 $ 9.71 $ 10.00
Income from investment operations:
Net investment income (loss) -(a) 0.02 - 0.01 (0.02)(b) -
Net realized and unrealized gain
(loss) on investments 1.98 4.13 1.74 3.48 (0.33) (0.29)
-------------------------------------------------------------------------------------
Total from investment operations 1.98 4.15 1.74 3.49 (0.35) (0.29)
Less distributions:
From net investment income (0.02) -(a) (0.01) - - -
From net realized gain (1.30) (1.11) (0.09) - - -
-------------------------------------------------------------------------------------
Total distributions (1.32) (1.11) (0.10) - - -
-------------------------------------------------------------------------------------
Net asset value, end of period $18.19 $17.53 $14.49 $12.85 $ 9.36 $9.71
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
TOTAL RETURN (c) 11.25% 30.23% 13.59% 37.29% (3.60%) (5.16%)
RATIOS AND SUPPLEMENTAL DATA (d)
Net assets, end of period (in thousands) $ 33,434 $ 28,815 $ 23,810 $ 16,393 $ 10,693 $ 5,143
Ratio of expenses to average net
assets (e) 1.00% 1.03% 1.04% 1.05% 1.29% 1.34%
Ratio of net investment income
(loss) to average net assets (e) -(g) 0.14% 0.03% 0.13% (0.17%) (0.06%)
Portfolio turnover rate 21% 46% 58% 31% 38% 6%
Average commission paid per equity
share traded (f) $ .0362 $ .0600
</TABLE>
(a) Less than $0.01 per share.
(b) Net investment loss per share has been calculated using the weighted
monthly average number of shares outstanding.
(c) Total returns are not annualized.
(d) Data expressed as a percentage are annualized as appropriate.
(e) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 3.52% and (1.94%),
respectively, for the period ended December 8, 1992 (commencement
of operations) through June 30, 1993.
(f) Disclosure required for fiscal years beginning after September 1, 1995.
(g) Less than 0.01%.
12
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Schedule of Investments
December 31, 1997
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (94.8%)
BUILDING MATERIALS & GARDEN SUPPLIES (1.9%)
Home Depot, Inc. 11,000 $ 647,623
BUSINESS SERVICES (12.7%)
Autodesk, Inc. 20,500 755,937
Automatic Data Processing 11,500 705,813
Cendant Corporation 24,271 834,326
Interpublic Group of Companies, Inc. 15,000 747,188
Microsoft Corporation* 5,500 710,703
Oracle Corporation* 23,200 516,925
------------
4,270,892
CHEMICALS & ALLIED PRODUCTS (15.8%)
Abbott Laboratories 10,000 655,625
Amgen, Inc.* 13,000 703,625
Bristol-Meyers Squibb Company 7,600 719,150
Colgate-Palmolive Company 9,300 683,550
Merck & Company, Inc. 7,500 796,875
Pfizer, Inc. 12,000 894,750
Schering-Plough 13,400 832,475
------------
5,286,050
DEPOSITORY INSTITUTIONS (6.8%)
Bankamerica Corporation 10,000 730,000
Citicorp 5,500 695,406
Norwest Corporation 21,600 834,300
------------
2,259,706
ELECTRONIC & OTHER ELECTRIC EQUIPMENT (8.4%)
General Electric Company 10,000 733,750
Intel Corporation 9,600 674,100
Linear Technology Corporation 11,800 679,237
Tellabs, Inc.* 13,400 707,269
------------
2,794,356
FABRICATED METAL PRODUCTS (2.7%)
Illinois Tool Works, Inc. 15,000 901,875
FOOD & KINDRED PRODUCTS (6.1%)
Coca-Cola Company 10,700 712,888
ConAgra, Inc. 18,400 603,750
Pepsico, Inc. 20,000 728,750
------------
2,045,388
FOOD STORES (2.0%)
Starbucks Corporation* 17,600 675,950
GENERAL MERCHANDISE STORES (2.3%)
Wal-Mart Stores, Inc. 19,600 772,975
INDUSTRIAL MACHINERY & EQUIPMENT (8.5%)
Applied Materials, Inc.* 22,400 674,100
Cisco Systems, Inc.* 13,500 753,469
Compaq Computer Corporation 12,500 705,469
Dover Corporation 19,200 693,600
------------
2,826,638
INSTRUMENTS & RELATED PRODUCTS (2.3%)
Medtronic, Inc. 14,400 753,300
INSURANCE CARRIERS (3.8%)
American International Group 6,525 709,594
United Healthcare Corporation 11,500 571,406
------------
1,281,000
<CAPTION>
NUMBER
OF SHARES
OR
PRINCIPAL
AMOUNT VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS MANUFACTURING INDUSTRIES (4.4%)
Mattel, Inc. 19,000 $ 707,750
Tyco International Ltd 17,000 766,063
------------
1,473,813
MOTION PICTURES (2.3%)
Walt Disney 7,800 772,688
NONDEPOSITORY INSTITUTIONS (1.9%)
Fannie Mae 11,000 627,688
PAPER & ALLIED PRODUCTS (2.1%)
Procter & Gamble Company 8,900 710,331
SECURITY & COMMODITY BROKERS (4.4%)
Charles Schwab Corporation 17,450 731,809
Merrill Lynch & Company 10,100 736,669
------------
1,468,478
WHOLESALE TRADE - DURABLE GOODS (2.0%)
Johnson & Johnson 10,000 658,750
WHOLESALE TRADE - NONDURABLE GOODS (4.4%)
Gillette Company 7,000 703,063
Safeway, Inc.* 12,300 777,975
------------
1,481,038
------------
TOTAL COMMON STOCKS (Cost $20,588,535) 31,708,539
SHORT-TERM SECURITIES (5.2%)
REPURCHASE AGREEMENT (5.2%)
State Street Bank, 4.25%, due 1/2/1998
(Dated 12/31/1997, collateralized by U.S.
Treasury Note, 6.125%, due 3/31/1998, value
$1,778,438) $ 1,738,810 1,738,810
------------
TOTAL SHORT-TERM SECURITIES (Cost $1,738,810) 1,738,810
------------
TOTAL INVESTMENTS (100.0%) (Cost $22,914,362) $33,447,349
------------
</TABLE>
* Non-income producing.
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the
six months ended December 31, 1997, aggregated $7,297,594 and $6,286,138,
respectively. At December 31, 1997, net unrealized appreciation for tax
purposes aggregated $10,532,987, of which $10,578,829 related to
appreciated investment securities and $45,842 related to depreciated
investment securities. The aggregate cost of securities is the same for
book and tax purposes.
SEE ACCOMPANYING NOTES.
13
<PAGE>
Zurich Kemper Value Portfolio
Statement of Assets and Liabilities
December 31, 1997 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $28,696,312)
-See accompanying schedule $ 36,825,723
Dividends, interest and other receivables 41,553
------------
TOTAL ASSETS 36,867,276
LIABILITIES
Accounts payable and accrued expenses 35,990
------------
TOTAL LIABILITIES 35,990
------------
NET ASSETS $ 36,831,286
------------
------------
Net Assets consist of:
Paid-in capital $ 27,383,479
Undistributed net investment income 278,397
Accumulated undistributed net realized gain on investments 1,039,999
Net unrealized appreciation on investment securities 8,129,411
------------
NET ASSETS, for 1,926,851 shares outstanding $ 36,831,286
------------
------------
NET ASSET VALUE, offering and redemption price per share $ 19.11
------------
------------
</TABLE>
SEE ACCOMPANYING NOTES.
14
<PAGE>
Zurich Kemper Value Portfolio
Statement of Operations
Six Months Ended December 31, 1997 (Unaudited)
<TABLE>
INVESTMENT INCOME
<S> <C>
Dividends $ 318,341
Interest 127,908
-----------
Total investment income 446,249
EXPENSES
Investment advisory and management fees 110,675
Custody and accounting fees 45,973
Professional fees 3,730
Directors' fees and expenses 2,469
Other expenses 5,005
-----------
Total expenses 167,852
-----------
Net investment income 278,397
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments 1,038,699
Change in unrealized appreciation on investment securities 2,551,312
-----------
Net gain on investments 3,590,011
-----------
Net increase in net assets resulting from operation $ 3,868,408
-----------
-----------
</TABLE>
SEE ACCOMPANYING NOTES.
15
<PAGE>
Zurich Kemper Value Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1997 JUNE 30,
(UNAUDITED) 1997
---------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 278,397 $ 408,549
Net realized gain on investments 1,038,699 5,724,307
Change in net unrealized appreciation 2,551,312 1,320,029
--------------------------------------
Net increase in net assets resulting from operations 3,868,408 7,452,885
Distributions to shareholders from:
Net investment income (408,549) (252,188)
Net realized gain (5,723,007) (862,820)
--------------------------------------
Total distributions to shareholders (6,131,556) (1,115,008)
Capital share transactions:
Proceeds from sales of shares 6,598,146 12,411,821
Proceeds from reinvested distributions 6,131,556 1,115,008
Cost of shares redeemed (4,565,722) (8,638,962)
--------------------------------------
Net increase in net assets resulting from share transactions 8,163,980 4,887,867
--------------------------------------
Total increase in net assets 5,900,832 11,225,744
NET ASSETS
Beginning of period 30,930,454 19,704,710
--------------------------------------
End of period (including undistributed net investment income
of $278,397 and $408,549, respectively) $ 36,831,286 $ 30,930,454
--------------------------------------
--------------------------------------
OTHER INFORMATION
Shares:
Sold 328,324 517,405
Issued through reinvestment of distributions 327,252 21,840
Redeemed (228,301) (184,651)
--------------------------------------
Net increase 427,275 354,594
--------------------------------------
--------------------------------------
</TABLE>
SEE ACCOMPANYING NOTES.
16
<PAGE>
Zurich Kemper Value Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 14, 1992
SIX MONTHS (COMMENCEMENT OF
ENDED DECEMBER ------------------------------------------------ OPERATIONS) THROUGH
31, 1997 YEAR ENDED JUNE 30, JUNE 30,
(UNAUDITED) 1997 1996 1995 1994 1993
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 20.63 $ 16.17 $ 12.59 $ 10.66 $ 10.45 $ 10.00
period
Income from investment operations:
Net investment income 0.13 0.26 0.18 0.26 0.12 0.11
Net realized and unrealized gain on
investments 2.30 5.04 3.70 1.85 0.17 0.34
----------------------------------------------------------------------------------
Total from investment operations 2.43 5.30 3.88 2.11 0.29 0.45
Less distributions:
From net investment income (0.26) (0.19) (0.19) (0.14) (0.08) -
From net realized gain (3.69) (0.65) (0.11) (0.04) - -
----------------------------------------------------------------------------------
Total distributions (3.95) (0.84) (0.30) (0.18) (0.08) -
----------------------------------------------------------------------------------
Net asset value, end of period $19.11 $20.63 $16.17 $12.59 $10.66 $10.45
----------------------------------------------------------------------------------
----------------------------------------------------------------------------------
TOTAL RETURN (a) 12.15% 33.78% 31.22% 19.98% 2.80% 8.25%
RATIOS AND SUPPLEMENTAL DATA (b)
Net assets, end of period (in
thousands) $ 36,831 $ 30,930 $ 19,705 $ 10,877 $ 8,952 $ 1,671
Ratio of expenses to average net assets 1.00% 1.05% 1.06% 1.13% 1.40% 1.24%
Ratio of net investment income to
average net assets 1.65% 1.62% 1.65% 1.98% 1.98% 2.00%
Ratio of expenses to average net assets
before voluntary expense reimbursement 1.00% 1.05% 1.07% 1.13% 1.61% 8.43%
Ratio of net investment income to
average net assets before voluntary
expense reimbursement 1.65% 1.62% 1.64% 1.98% 1.76% (1.49%)
Portfolio turnover rate 12% 88% 18% 29% 9% 5%
Average commission paid per equity
share traded (c) .0479 .0512
</TABLE>
(a) Total returns are not annualized.
(b) Data expressed as a percentage are annualized as appropriate.
(c) Disclosure required for fiscal years beginning after September 1, 1995.
17
<PAGE>
Zurich Kemper Value Portfolio
Schedule of Investments
December 31, 1997
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- ---------
<S> <C> <C>
COMMON STOCKS (85.6%)
COMMUNICATIONS (5.6%)
GTE Corporation 23,000 $ 1,201,750
U.S. West Media Group* 30,000 866,250
-------------
2,068,000
DEPOSITORY INSTITUTIONS (16.2%)
Ahmanson (H.F.) & Company 10,000 669,375
Bankamerica Corporation 8,000 584,000
Bankers Trust New York Corporation 5,300 595,919
Citicorp 4,500 568,969
First Union Corporation 7,600 389,500
J.P. Morgan & Company 3,500 395,062
Keycorp 6,000 424,875
Nationsbank Corporation 10,000 608,125
PNC Bank Corporation 16,510 942,102
Wells Fargo & Company 2,400 814,650
-------------
5,992,577
EATING & DRINKING PLACES (5.2%)
Boston Chicken, Inc.* 60,000 385,313
Darden Restaurants, Inc. 83,000 1,037,500
McDonald's Corporation 10,000 477,500
-------------
1,900,313
ELECTRIC GAS & SANITARY SERVICES (8.9%)
Duke Power Company 20,000 1,107,500
Enron Corporation 30,000 1,246,875
Southern Company 35,000 905,625
-------------
3,260,000
FABRICATED METAL Products (3.0%)
Crown Cork & Seal Company, Inc. 22,000 1,102,747
FOOD & KINDRED PRODUCTS (7.3%)
Nestle S.A. 6,000 448,875
Wendy's International, Inc. 45,000 1,082,813
Whitman Corporation 44,000 1,146,750
-------------
2,678,438
FORESTRY (0.6%)
Georgia-Pacific (Timber GRP)* 2,700 61,256
Georgia-Pacific Corporation 2,700 164,025
-------------
225,281
GENERAL MERCHANDISE STORES (0.5%)
J C Penney, Inc. 3,000 180,938
INSTRUMENTS & RELATED PRODUCTS (1.9%)
Bard (C.R.), Inc. 9,100 284,944
Raytheon Company 6,000 303,000
Xerox Corporation 1,500 110,719
-------------
698,663
INSURANCE CARRIERS (4.3%)
American General Corporation 6,800 367,625
American International Group 3,375 367,031
Providian Financial Corporation 10,000 451,875
Travelers Group, Inc. 7,500 404,063
-------------
1,590,594
LUMBER & WOOD PRODUCTS (1.3%)
Louisiana-Pacific Corporation 25,000 475,000
<CAPTION>
NUMBER
OF SHARES
OR
PRINCIPAL
AMOUNT VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
NONDEPOSITORY INSTITUTIONS (6.0%)
Fannie Mae 26,000 $ 1,483,625
Federal Home Loan Mortgage Corporation 17,500 733,906
------------
2,217,531
OIL & GAS EXTRACTION (1.3%)
Atlantic Richfield Company 6,000 480,750
PAPER & ALLIED PRODUCTS (4.2%)
Sonoco Products Company 35,000 1,214,063
Union Camp Corporation 6,100 327,494
-------------
1,541,556
PETROLEUM & COAL PRODUCTS (2.6%)
Amoco Corporation 7,500 638,438
Chevron Corporation 4,000 308,000
-------------
946,438
PRIMARY METAL INDUSTRIES (3.1%)
Nucor Corporation 24,000 1,159,500
PRINTING & PUBLISHING (3.0%)
News Corporation, Ltd 50,000 1,115,625
RAILROAD TRANSPORTATION (0.5%)
Burlington Northern Santa Fe 1,900 176,581
TOBACCO PRODUCTS (5.1%)
Philip Morris Company, Inc. 30,600 1,386,563
UST, Inc. 13,200 487,575
-------------
1,874,138
TRANSPORTATION BY AIR (0.5%)
Federal Express Corporation* 3,000 183,188
TRANSPORTATION EQUIPMENT (4.0%)
Ford Motor Company 30,000 1,460,625
WHOLESALE TRADE - NONDURABLE GOODS (0.5%)
Praxair, Inc. 4,000 180,000
-------------
TOTAL COMMON STOCKS (Cost $23,379,072) 31,508,483
SHORT-TERM SECURITIES (14.4%)
REPURCHASE AGREEMENT (14.4%)
State Street Bank, 4.25%, due 1/2/1998
(Dated 12/31/1997, collateralized by U.S.
Treasury Note, 6.125%, due 3/31/1998,
value $5,426,775) $5,317,240 5,317,240
-------------
TOTAL SHORT-TERM SECURITIES (Cost $5,317,240) 5,317,240
-------------
TOTAL INVESTMENTS (100.0%) (Cost $28,696,312) $ 36,825,723
-------------
-------------
* Non-income producing
</TABLE>
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the
six months ended December 31, 1997, aggregated $6,377,089 and $2,916,845,
respectively. At December 31, 1997, net unrealized appreciation for tax
purposes aggregated $8,129,411, of which $8,770,309 related to appreciated
investment securities and $640,898 related to depreciated investment
securities. The aggregate cost of securities is the same for book and tax
purposes.
SEE ACCOMPANYING NOTES.
18
<PAGE>
Zweig Equity (Small Cap) Portfolio
Statement of Assets and Liabilities
December 31, 1997 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $10,714,176)
-See accompanying schedule $ 13,754,342
Dividends, interest and other receivables 16,648
-------------
TOTAL ASSETS 13,770,990
LIABILITIES
Accounts payable and accrued expenses 20,038
-------------
TOTAL LIABILITIES 20,038
-------------
NET ASSETS $ 13,750,952
-------------
-------------
Net Assets consist of:
Paid-in capital $ 9,427,762
Undistributed net investment income 23,776
Accumulated undistributed net realized gain on
investment securities and futures contracts 1,256,510
Net unrealized appreciation on investment
securities and futures contracts 3,042,904
-------------
NET ASSETS, for 847,311 shares outstanding 13,750,952
-------------
-------------
NET ASSET VALUE, offering and redemption price per share $ 16.23
-------------
-------------
</TABLE>
SEE ACCOMPANYING NOTES.
19
<PAGE>
Zweig Equity (Small Cap) Portfolio
Statement of Operations
Six Months Ended December 31, 1997 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign taxes withheld of $4,788) $ 83,273
Interest 38,404
-------------
Total investment income 121,677
EXPENSES
Investment advisory and management fees 66,920
Custody and accounting fees 25,406
Professional fees 4,836
Directors' fees and expenses 2,469
Foreign tax expense 1,786
Other expenses 4,408
-------------
Total expenses before reimbursement 105,825
Less: expense reimbursement (7,924)
-------------
Net expenses 97,901
-------------
Net investment income 23,776
REALIZED AND UNREALIZED GAIN (Loss) ON INVESTMENTS
Net realized gain (loss) on:
Investment securities 1,423,825
Futures contracts (193,706)
-------------
Net realized gain 1,230,119
Change in unrealized appreciation (depreciation) on:
Investment securities 351,298
Futures contracts 28,346
-------------
Change in unrealized appreciation 379,644
-------------
Net gain on investments 1,609,763
-------------
Net increase in net assets resulting from operations $ 1,633,539
-------------
-------------
</TABLE>
SEE ACCOMPANYING NOTES.
20
<PAGE>
Zweig Equity (Small Cap) Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1997 JUNE 30,
(UNAUDITED) 1997
--------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations:
Net investment income $ 23,776 $ 103,886
Net realized gain on investments 1,230,119 476,697
Change in net unrealized appreciation 379,644 1,353,861
--------------------------------
Net increase in net assets resulting
from operations 1,633,539 1,934,444
Distributions to shareholders from:
Net investment income (103,886) (103,880)
Net realized gains (473,364) (861,194)
--------------------------------
Total distributions to shareholders (577,250) (965,074)
Capital share transactions:
Proceeds from sales of shares 3,066,559 2,797,773
Proceeds from reinvested distributions 577,250 965,074
Cost of shares redeemed (2,110,319) (5,269,163)
--------------------------------
Net increase (decrease) in net assets
resulting from share transactions 1,533,490 (1,506,316)
--------------------------------
Total increase (decrease) in net assets 2,589,779 (536,946)
NET ASSETS
Beginning of period 11,161,173 11,698,119
--------------------------------
End of period (including undistributed net
investment income of $23,776 and $103,886,
respectively) $ 13,750,952 $ 11,161,173
--------------------------------
--------------------------------
OTHER INFORMATION
Shares:
Sold 196,296 205,116
Issued through reinvestment of distributions 35,368 74,878
Redeemed (135,951) (387,804)
--------------------------------
Net increase (decrease) 95,713 (107,810)
--------------------------------
--------------------------------
</TABLE>
SEE ACCOMPANYING NOTES.
21
<PAGE>
Zweig Equity (Small Cap) Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 14,
SIX MONTHS 1992
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED JUNE 30, OF OPERATIONS)
1997 ------------------------------------------------------- THROUGH JUNE 30,
(UNAUDITED) 1997 1996 1995 1994 1993
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 14.85 $ 13.61 $ 11.62 $ 10.65 $ 10.11 $ 10.00
Income from investment operations:
Net investment income 0.02 0.16 0.11 0.17 0.15 0.05
Net realized and unrealized gain
on investments 2.09 2.41 2.04 0.93 0.50 0.06
-----------------------------------------------------------------------------------------
Total from investment operations 2.11 2.57 2.15 1.10 0.65 0.11
Less distributions:
From net investment income (0.13) (0.14) (0.16) (0.06) (0.11) -
From net realized gain (0.60) (1.19) - (0.07) - -
-----------------------------------------------------------------------------------------
Total distributions (0.73) (1.33) (0.16) (0.13) (0.11) -
-----------------------------------------------------------------------------------------
Net asset value, end of period $ 16.23 $ 14.85 $ 13.61 $ 11.62 $ 10.65 $ 10.11
-----------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------
TOTAL RETURN (a) 14.22% 20.37% 18.69% 10.39% 6.53% 2.02%
RATIOS AND SUPPLEMENTAL DATA (b)
Net assets, end of period
(in thousands) $ 13,751 $ 11,161 $ 11,698 $ 8,034 $ 7,591 $ 2,116
Ratio of expenses to average
net assets 1.55% 1.55% 1.55% 1.55% 1.72% 1.61%
Ratio of net investment income to
average net assets 0.38% 0.97% 1.06% 1.54% 1.75% 0.84%
Ratio of expenses to average net
assets before voluntary expense
reimbursement 1.69% 1.82% 1.83% 1.59% 2.14% 7.29%
Ratio of net investment income
(loss) to average net assets
before voluntary expense
reimbursement 0.25% 0.70% 0.78% 1.50% 1.32% (1.80%)
Portfolio turnover rate 42% 59% 101% 67% 249% 15%
Average commission paid per
equity share traded (c) $ .0281 $ .0276
</TABLE>
(a) Total returns are not annualized.
(b) Data expressed as a percentage are annualized as appropriate.
(c) Disclosure required for fiscal years beginning after September 1, 1995.
22
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments
December 31, 1997
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------- -----------
<S> <C> <C>
COMMON STOCKS (95.1%)
AGRICULTURAL PRODUCTION - CROPS (0.6%)
RJR Nabisco Holdings Corporation (b) 2,200 $ 82,500
AMUSEMENT & RECREATION SERVICES (0.1%)
Anchor Gaming Corporation(a) 300 16,725
APPAREL & ACCESSORY STORES (1.9%)
Dress Barn, Inc. (a) 700 19,708
Footstar, Inc. (a) 500 13,437
Genesco, Inc. (a) 2,400 30,600
Goody's Family Clothing, Inc. (a) 400 10,888
Kmart Corporation (a) 7,000 80,938
Payless Shoesource, Inc. (a) 300 20,138
Ross Stores, Inc. (b) 1,400 51,013
The Buckle, Inc. (a) 400 13,700
Wet Seal, Inc. (a) 500 14,781
-----------
255,203
APPAREL & OTHER TEXTILE PRODUCTS (0.4%)
Kellwood Company 500 15,000
VF Corporation 900 41,344
-----------
56,344
BUILDING MATERIALS & GARDEN SUPPLIES (0.2%)
Central Garden and Pet Company (a) 200 5,275
Eagle Hardware & Garden, Inc. (a) 1,000 19,438
-----------
24,713
BUSINESS SERVICES (1.4%)
Borland International, Inc. (a) 1,600 11,650
Comdisco, Inc. 1,575 52,664
Electro Rent Corporation (a) 900 33,075
Hummingbird Communications Ltd (a) 400 12,825
McGrath Rentcorp 1,100 26,675
Orbotech Ltd (a) 600 19,088
Renters Choice, Inc. (a) 600 12,375
Stratus Computer, Inc. (a) 400 15,125
Wang Laboratories, Inc. 700 15,531
-----------
199,008
CHEMICALS & ALLIED PRODUCTS (2.9%)
Albemarle Corporation 1,000 23,874
Cortaulds Plc 600 2,775
Desc S.A. De C.V. 400 15,000
Dexter Corporation 200 8,638
Goodrich (B.F.) Company 700 29,006
International Specialty Products, Inc. (a) 2,600 38,838
Lubrizol Corporation 400 14,750
Lyondell Petrochemical 700 18,550
MacDermaid, Inc. 900 74,700
Methanex Corporation (a) 900 7,200
Millenium Chemicals, Inc. 800 18,850
Nova Corporation 2,100 20,081
Occidental Petroleum Corporation (b) 2,200 64,488
Rohm & Haas Company 400 38,300
Terra Industries, Inc. 1,600 20,900
-----------
395,950
COAL MINING (0.1%)
Ashland Coal 500 13,688
COMMUNICATIONS (1.1%)
Atlantic Tele-Network, Inc. (a) 1,000 10,875
CIA Telecom Chile 1,400 41,825
Philippine Long Distance Telephone Company 600 13,500
<CAPTION>
NUMBER
OF SHARES VALUE
----------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMMUNICATIONS (1.1%)(CONTINUED)
Tele Danmark (b) 1,100 $ 33,894
Telefonica De Argentina S.A. 400 14,900
Telefonica De Espana 400 36,425
-----------
151,419
DEPOSITORY INSTITUTIONS (6.3%)
Ahmanson (H.F.) & Company 800 53,550
Albank Financial Corporation 300 15,394
Banco De A. Edwards 900 15,300
Banco Frances del Rio De La Plata S.A. 500 13,687
Banco Wiese 2,900 14,500
CitFed Bancorp, Inc. 450 17,719
Coast Savings Financial (a) 300 20,569
Corporation Bancaria De Espana SA 1,100 33,619
CVB Financial Corporation 2 74
Dime Bancorp, Inc. 400 12,100
Downey Financial Corporation 700 19,906
F.N.B. Corporation 105 3,983
Firstbank Puerto Rico 800 27,250
FirstFed Financial Corporated (a) 600 23,250
GBC Bancorp (b) 600 38,100
Golden State Bancorp, Inc. (a) 600 22,425
Golden West Financial Corporation 400 39,124
Investors Financial Services Corporation 32 1,504
MAF Bancorp, Inc. 850 30,281
National Bancorp of Alaska, Inc. 200 25,200
New York Bancorp, Inc. 1,733 68,778
ONBAN Corporation, Inc. 300 21,263
PFF Bancorp, Inc. (a) 800 16,050
Reliance Bancorp, Inc. 400 14,700
Santa Monica Bank 900 25,031
Silicon Valley Bancshares (a) 800 44,700
Sterling Bancorp 1,400 33,600
Toronto-Dominion Bank 900 33,919
TR Financial Corporation 1,700 56,738
Trans Financial, Inc. 500 19,344
Trust Company of New Jersey 600 14,888
UnionBanCal Corporation 400 42,550
USBANCORP, Inc. 300 22,275
Webster Financial Corporation 400 26,750
-----------
868,121
EATING & DRINKING PLACES (0.9%)
Darden Restaurants, Inc. 1,600 20,000
Foodmaker, Inc. (a) 3,500 52,718
Ruby Tuesday, Inc. 900 23,175
Ryan's Family Steak Houses, Inc. (a) 2,000 17,313
Showbiz Pizza Time, Inc. (a) 600 13,875
-----------
127,081
ELECTRIC GAS & SANITARY SERVICES (9.5%)
Allegheny Energy, Inc. 300 9,750
Atlantic Energy, Inc. 1,000 21,188
Baltimore Gas & Electric 400 13,625
Black Hills Corporation 200 7,050
Boston Edison Company 600 22,725
California Water Service Company 300 17,719
Carolina Power & Light Company 1,000 42,438
Chilgener S.A.-Spons ADR 500 12,250
CMS Energy Corporation 500 22,031
Columbia Gas System (b) 600 47,138
Consolidated Edison of New York 1,000 41,000
Dominion Resources, Inc. 1,000 42,563
DQE, Inc. 200 7,025
Edison International (b) 3,000 81,563
</TABLE>
23
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments
December 31, 1997
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC GAS & SANITARY SERVICES (9.5%) (CONTINUED)
El Paso Electric Company (a) 3,700 $ 27,056
Empresa Nacional De Electricidad S.A. 2,300 40,680
Enersis S.A. 200 5,800
Equitable Resources, Inc. 400 14,150
FPL Group, Inc. 1,400 82,863
GPU, Inc. 300 12,637
IES Industries, Inc. 400 14,725
Indiana Energy, Inc. 900 29,644
Ipalco Enterprises, Inc. (b) 900 37,744
KeySpan Energy Corporation 800 29,450
Long Island Lighting Company 400 12,050
MidAmerican Energy Holdings Company 1,200 26,400
Minnesota Power & Light Company 700 30,494
Montana Power Company 300 9,544
National Fuel Gas Company 700 34,081
New England Electric System 400 17,100
New York State Electric & Gas 800 28,400
NICOR, Inc. 500 21,094
NIPSCO Industries, Inc. 400 19,775
ONEOK, Inc. 600 24,225
PECO Energy Company 1,700 41,225
Pinnacle West Corporation 1,400 59,325
PowerGen Plc, ADR 700 37,188
PP&L Resources, Inc. 400 9,575
Public Service Company of New Mexico 300 7,106
Rochester Gas & Electric 1,000 34,000
SIGCORP, Inc. 500 14,687
Texas Utilities Company 2,000 83,125
TNP Enterprises, Inc. 500 16,625
UGI Corporation 700 20,518
Utilicorp United, Inc. 600 23,287
Washington Gas Light Company 600 18,563
Westcoast Energy, Inc. 1,000 23,000
Zurn Industries, Inc. 400 12,575
-----------
1,306,775
ELECTRONIC & OTHER ELECTRIC EQUIPMENT (4.6%)
Aeroquip-Vickers, Inc. 400 19,625
Alcatel Alsthom 1,600 40,500
Bairnco Corporation 1,000 9,937
Bel Fuse, Inc. (a) 600 11,737
Cable Design Technologies (a) 400 15,550
CTS Corporation (b) 1,500 47,905
Genlyte Group, Inc. (a) (b) 2,000 35,625
Hadco Corporation (a) 100 4,528
Kollmorgen Corporation 700 12,819
Koor Industries, Ltd 700 15,356
Kuhlman Corporation 800 31,300
Moog, Inc. (a) 500 17,469
Nokia Oyj 600 42,000
Phillips Electronics 700 42,350
Plexus Corporation (a) 1,000 14,938
Portugal Telecom S.A. 1,300 61,100
Powell Industries, Inc. (a) 300 4,444
Siliconix, Inc. (a) 500 22,000
Sony Corporation 400 36,300
Tadiran Ltd (b) 900 31,838
Technitrol, Inc. 2,100 63,000
Teledata Communications, Ltd (a) 500 9,125
Thomas Industries, Inc. 1,050 20,738
Triumph Group, Inc. 200 6,650
VLSI Technology, Inc. 700 16,538
-----------
633,372
<CAPTION>
NUMBER
OF SHARES VALUE
----------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENGINEERING & MANAGEMENT SERVICES (0.3%)
ICOS Corporation (a) 1,500 $ 27,515
Stone & Webster, Inc. 300 14,063
-----------
41,578
FABRICATED METAL PRODUCTS (1.3%)
Alliant Techsystems, Inc. (a) 300 16,725
Ameron, Inc. 500 31,625
AptarGroup, Inc. 400 22,200
Ball Corporation 500 17,656
Mark IV Industries, Inc. 700 15,313
NCI Building Systems, Inc. (a) 400 14,150
Nortek, Inc. (a) 800 21,250
Shiloh Industries, Inc. (a) 700 13,388
Wyman-Gordon Company (a) 1,100 21,725
-----------
174,031
FOOD & KINDRED PRODUCTS (0.5%)
Adolph Coors Company 600 19,913
Orange-Company, Inc. 300 2,419
Pilgrim's Pride Corporation 700 10,894
Savannah Foods & Industries, Inc. 241 4,880
The Earthgrains Company 500 23,500
Triangle Pacific Corporation (a) 200 6,788
-----------
68,393
FOOD STORES (0.2%)
Great Atlantic & Pacific Tea Company 700 20,781
FORESTRY (0.1%)
Rayonier Inc. 300 12,769
FURNITURE & FIXTURES (0.6%)
Ethan Allen Interiors, Inc. 1,000 38,563
Furniture Brands International, Inc. (a) 1,500 30,750
Johnson Controls, Inc. 400 19,100
-----------
88,413
FURNITURE & HOMEFURNISHINGS STORES (0.2%)
Inacom Corporation (a) 600 16,838
Trans World Entertainment Corporation 700 13,738
-----------
30,575
GENERAL BUILDING CONTRACTORS (1.2%)
Centex Corporation (b) 700 44,056
Crossmann Communities, Inc. (a) 500 13,796
Lennar Corporation (b) 1,879 40,516
Pulte Corporation 200 8,363
Ryland Group, Inc. 500 11,813
Standard-Pacific Corporation 1,200 18,900
Toll Brothers, Inc. (a) 500 13,375
Webb (Del E.) Corporation 600 15,600
-----------
166,419
GENERAL MERCHANDISE STORES (2.1%)
Ames Department Stores, Inc. (a) 1,300 22,506
Carson Pirie Scott & Company (a) 600 30,075
Dayton-Hudson Corporation (b) 1,000 67,500
Federated Department Stores (a) 1,800 77,513
Fred Meyer, Inc. (a) 1,400 50,925
Shopko Stores, Inc. (a) 1,700 36,975
-----------
285,494
HEALTH SERVICES (0.6%)
American HomePatient, Inc. (a) 700 16,275
Beverly Enterprises, Inc. (a) 900 11,700
</TABLE>
24
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTH SERVICES (0.6%) (CONTINUED)
Integrated Health Services, Inc. 722 $ 22,517
Universal Health Services, Inc. (a) 500 25,188
---------
75,680
HEAVY CONSTRUCTION, EXCEPT BUILDING (0.1%)
Morrison Knudsen Corporation (a) 1,500 14,625
HOLDING & OTHER INVESTMENT OFFICES (0.9%)
Criimi Mae, Inc. 900 13,500
Equity Inns, Inc. 1,500 22,124
MGI Properties, Inc. 500 12,000
RFS Hotel Investors, Inc. 600 11,963
San Juan Basin Royalty Trust 1,500 13,875
Thornburg Mortgage Asset Corporation 1,600 26,400
Urban Shopping Centers, Inc. 500 17,438
---------
117,300
HOTELS & OTHER LODGING PLACES (0.2%)
Prime Hospitality Corporation (a) 1,300 26,488
INDUSTRIAL MACHINERY & EQUIPMENT (7.2%)
AGCO Corporation 400 11,700
Ampco, Inc. 1,200 23,475
Case Corporation 100 6,043
Caterpillar, Inc. (b) 1,600 77,700
Chart Industries, Inc. 600 13,688
Cincinnati Milacron, Inc. 500 12,968
Creative Technology, Ltd (a) 1,000 21,937
Cummins Engine Company, Inc. 300 17,719
Data General Corporation (a) 1,100 19,181
Deere & Company 600 34,988
Digital Equipment (a) 1,600 59,200
Eaton Corp. 400 35,700
Gardner Denver Machinery, Inc. (a) 2,250 56,953
Gleason Corporation 1,200 32,325
Harris Corporation 200 9,175
Ingersoll-Rand Company 1,000 40,500
Innovex, Inc. 1,900 43,641
Katy Industries 400 8,150
Kaydon Corporation 1,000 32,624
Lexmark International Group, Inc. (a) 100 3,800
Lincoln Electric Company 100 3,850
Lufkin Industries, Inc. 800 28,500
Manitowoc Company, Inc. 550 17,875
Mestek, Inc. (a) 700 13,125
Met-Pro Corporation 150 2,475
MTI Technology Corporation (a) 200 2,688
New Holland N.V. 500 13,219
Parker-Hannifin Corporation 1,350 61,931
Quantum Corporation (a) 1,000 20,094
Robbins & Meyers, Inc. (b) 1,400 55,475
Snyder Oil Corporation 700 12,775
SPS Technologies, Inc. (a) 1,400 61,075
Storage Technolgy Corporation (a) 500 30,969
Tecumseh Products Company 300 14,681
Timken Company 1,100 37,813
Twin Disc, Inc. 100 3,275
United Technologies Corporation 500 36,406
Valmont Industries 300 5,963
---------
983,656
INSTRUMENTS & RELATED PRODUCTS (1.2%)
Canadian Marconi Company 500 6,734
Cohu, Inc. 400 12,325
Cooper Companies, Inc. (b) 1,400 57,225
Esterline Technologies Corporation (a) (b) 1,400 50,400
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INSTRUMENTS & RELATED PRODUCTS (1.2%)(CONTINUED)
MTS Systems Corporation 800 $ 30,100
Raytheon Company 38 1,888
Starrett (L.S.) Company 200 7,313
Zygo Corporation 200 3,800
---------
169,785
INSURANCE CARRIERS (7.7%)
Alfa Corporation 900 15,637
Alleghany Corporation (a) 100 28,475
Allmerica Financial Corporation 500 24,968
Allstate Corporation 400 36,350
American Annuity Group, Inc. 1,820 40,040
American Bankers Insurance Group, Inc. 800 36,750
Capital Re Corporation 700 43,444
Chartwell Re Corporation 100 3,375
Conseco, Inc. 1,803 81,923
Delphi Financial Group, Inc. (a) 612 27,540
Enhance Financial Services Group, Inc. 700 41,650
Equitable Companies, Inc. (b) 1,600 79,600
Everest Reinsurance Holdings, Inc. 400 16,500
FBL Financial Group, Inc. 400 16,050
Fidelity National Financial, Inc. 440 13,695
Financial Security Assurance Holding 200 9,650
First American Financial Corporation 200 14,775
FPA Medical Management, Inc. (a) 700 13,125
Fremont General Corporation 900 49,275
Liberty Financial Companies, Inc. (b) 1,500 56,625
Life Re Corporation 700 45,631
Life USA Holdings, Inc. (a) 600 10,200
Loews Corporation 400 42,450
Medical Assurance, Inc. (a) 600 16,875
NAC Re Corporation 200 9,763
National Western Life Insurance Company (a) 200 20,200
Nymagic, Inc. 200 5,513
Old Republic International Corporation 2,000 74,375
Orion Capital Corporation 600 27,863
Presidential Life Corporation 1,200 24,525
RLI Corporation 200 9,963
Selective Insurance Group 400 10,875
State Auto Financial Corporation 200 6,475
Tig Holdings, Inc. 400 13,275
Tokio Marine & Fire Insurance Company 400 22,925
Transatlantic Holdings, Inc. 450 32,175
USF&G Corporation 600 13,238
W.R. Berkley Corporation 400 17,775
---------
1,053,543
LEATHER & LEATHER PRODUCTS (0.3%)
Timberland Company 400 23,225
Weyco Group, Inc. 600 13,950
---------
37,175
LOCAL & INTERURBAN PASSENGER TRANSIT (0.2%)
Canadian National Railway Company 300 14,175
Greyhound Lines, Inc. (a) 1,500 5,531
Laidlaw, Inc. 1,000 13,625
---------
33,331
LUMBER & WOOD PRODUCTS (0.1%)
TJ International, Inc. 800 19,650
METAL MINING (0.7%)
Asarco, Inc. 600 13,463
Imperial Credit Mortgage Holdings 450 8,044
O'Sullivan Industries Holdings, Inc. (a) 500 5,000
Phelps Dodge 400 24,900
</TABLE>
25
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
METAL MINING (0.7%) (CONTINUED)
Southern Peru Copper Corporation 1,000 $ 13,375
Terex Corporation 1,200 28,200
Vaal Reefs Exploration & Mining Company, Ltd 2,400 9,337
---------
102,319
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.6%)
Mine Safety Appliances Company 200 13,400
Nacco Industries - Class A 100 10,719
Oneida, Ltd (b) 1,650 44,034
Russ Berrie & Company, Inc. 800 21,000
---------
89,153
MISCELLANEOUS RETAIL (0.4%)
Cash America International, Inc. 800 10,350
Fingerhut Companies, Inc. 1,200 25,650
OfficeMax, Inc. 1,000 14,250
World Fuel Services Corporation 525 11,025
---------
61,275
NONDEPOSITORY INSTITUTIONS (0.9%)
AmeriCredit Corporation (a) 600 16,613
ContiFinancial Corporation (a) 500 12,594
Doral Financial Corporation 800 19,950
Firstplus Financial Group, Inc. (a) 600 22,987
IMC Mortgage Company (a) 1,200 14,325
Resource Bancshares Mortgage Group, Inc. 500 8,297
The Money Store, Inc. 700 14,700
United Companies Financial Corporation 900 13,950
---------
123,416
NONMETALLIC MINERALS, EXCEPT FUELS (0.9%)
De Beers Consolidated Mines 2,900 59,541
Florida Rock Industries 1,200 27,300
Vulcan Materials Company (b) 400 40,850
---------
127,691
OIL & GAS EXTRACTION (4.6%)
Apache Corporation 200 7,013
BP Prudhoe Bay Royalty Trust 11,000 17,668
Cabot Oil and Gas Corporation 100 1,944
Cliffs Drilling Company (a) 2,000 99,750
Devon Energy Corporation 500 19,250
Forest Oil Corporation (a) 100 1,650
Helmerich & Payne, Inc. 300 20,362
Marine Drilling Companies, Inc. (a) 900 18,731
Oceaneering International, Inc. 800 15,800
Pool Energy Services Company (a) 700 15,750
RPC Energy Services, Inc. 1,400 16,538
Santa Fe Energy Resources, Inc. (a) 1,300 14,625
Seacor Smit, Inc. (a) 300 18,075
Seagull Energy Corporation 700 14,438
St. Mary Land & Exploration Company 200 6,937
Tuboscope, Inc. 600 14,438
USX-Marathon Group, Inc. 2,400 81,000
UTI Energy Corporation 900 23,288
Veritas DGC, Inc. (a) 2,400 94,800
Vintage Petroleum, Inc. 1,200 22,800
Weatherford Enterra, Inc. 600 26,250
YPE S.A. 2,400 82,050
---------
633,157
PAPER & ALLIED PRODUCTS (0.6%)
Asia Pulp & Paper Company, Ltd 2,200 22,138
Grupo Indus Durango (a) 800 11,400
Mail-Well, Inc. (a) 450 18,225
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Wausau-Mosinee Paper Corporation 1,329 $ 26,738
---------
78,501
PETROLEUM & COAL PRODUCTS (3.7%)
Ashland, Inc. 500 26,844
Coastal Corporation 1,300 80,518
Elf Aquitaine 1,200 70,350
Fina, Inc. 500 32,000
Imperial Oil, Ltd (b) 1,300 83,118
Murphy Oil Corporation 300 16,256
Phillips Petroleum Company (b) 1,700 82,663
Sun Company, Inc. 600 25,238
Total S.A. 1,500 83,250
WMC Ltd 900 12,263
---------
512,500
PRIMARY METAL INDUSTRIES (5.1%)
AFC Cable Systems, Inc. (a) 400 11,750
AK Steel Holding Corporation 1,200 21,225
Alcan Aluminium, Ltd 1,400 38,675
Alumax, Inc. (a) 600 20,400
Aluminum Company of America 600 42,225
Armco, Inc. (a) 4,000 19,750
Bethlehem Steel Corporation (a) 2,100 18,113
British Steel Plc 2,600 55,738
Chaparral Steel Company 700 10,806
Comico Ltd 300 4,631
Encore Wire Corporation (a) 750 23,109
LTV Corporation 500 4,875
Maverick Tube Corporation (a) 500 12,547
Maxxam, Inc. (a) 300 13,088
Mueller Industries, Inc. (a) (b) 1,300 76,700
Oregon Steel Mills, Inc. 900 19,181
Pohang Iron & Steel Ltd 4,400 76,725
RMI Titanium Company (a) 1,400 28,000
Roanoke Electric Steel Corporation 1,100 28,669
Superior TeleCom, Inc. 400 13,825
Texas Industries, Inc. 700 31,500
Tredegar Industries, Inc. 1,550 102,106
Tremont Corporation (a) 300 15,675
USX-U.S. Steel Company 300 9,375
---------
698,688
PRINTING & PUBLISHING (0.4%)
Bowne & Company, Inc. 300 11,963
Merrill Corporation 1,000 23,000
Quebecor, Inc. 800 14,350
---------
49,313
RAILROAD TRANSPORTATION (0.6%)
Canadian Pacific, Ltd 3,000 81,745
REAL ESTATE (0.2%)
Parkway Properties, Inc. 500 17,156
Price Enterprises, Inc. 700 12,797
---------
29,953
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (1.4%)
Dow Chemical Corporation 400 40,600
Furon Company 1,600 33,400
Petro-Canada 2,300 42,263
Premark International, Inc. 700 20,300
Spartech Corporation 2,400 36,300
The West Company, Inc. 500 14,875
Vans, Inc. (a) 200 3,025
---------
190,763
</TABLE>
26
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SECURITY & COMMODITY BROKERS (3.5%)
Bear Stearns Companies, Inc. 1,686 $ 80,083
Donaldson Lufkin & Jenrette, Inc. (b) 600 47,700
Edwards (A.G.), Inc. (b) 1,350 53,663
Interra Financial, Inc. (a) 200 13,800
Investment Technology Group, Inc. (a) 600 16,950
Jefferies Group, Inc. 2,400 98,250
Lehman Brothers Holdings 1,500 76,500
Merrill Lynch & Company 600 43,763
Morgan Keegan, Inc. 900 22,781
Paine Webber Group, Inc. 450 15,553
Value Line, Inc. 200 8,050
---------
477,093
SPECIAL TRADE CONTRACTORS (0.1%)
Layne, Inc. (a) 800 10,450
STONE, CLAY & GLASS PRODUCTS (2.9%)
Centex Construction Products, Inc. 1,900 57,237
Intermet Corporation (b) 2,800 49,175
Lafarge Corporation (b) 1,200 35,475
Lone Star Industries (b) 1,500 79,688
Medusa Corporation 1,200 50,175
Southdown, Inc. 1,300 76,700
USG Corporation (a) (b) 700 34,300
Vitro S.A. 1,300 16,981
---------
399,731
TEXTILE MILL PRODUCTS (0.2%)
Chemfab Corporation (a) 900 18,450
Interface, Inc. 300 8,644
Mohawk Industries, Inc. (a) 150 3,290
---------
30,384
TRANSPORTATION BY AIR (3.9%)
Airborne Freight Corporation (b) 500 31,063
Alaska Airgroup, Inc. (a) 700 27,125
America West Holdings Corporation (a) 800 14,900
AMR Corporation (a) 700 89,950
Continental Airlines (a) 400 19,250
Delta Air Lines, Inc. 500 59,500
Federal Express Corporation (a) 900 54,956
KLM Royal Dutch Air 949 35,825
Mesaba Holdings, Inc. (a) 600 15,825
Southwest Airlines 1,600 39,400
UAL Corporation (a) 800 74,000
USAir Group, Inc. (a) 1,300 81,250
---------
543,044
TRANSPORTATION EQUIPMENT (5.4%)
AAR Corporation 400 15,500
Arvin Industries, Inc. (a) 700 23,318
Avondale Industries, Inc. (b) 1,300 38,675
Chrysler Corporation 800 28,150
Daimler-Benz AG 600 43,350
Dana Corporation 1,100 52,250
Ford Motor Company 1,700 82,768
General Motors Corporation 1,200 72,750
Honda Motor Company, Ltd 900 66,488
ITT Industries, Inc. 700 21,963
Mascotech, Inc. 700 12,863
MotivePower Industries, Inc. (a) 1,200 27,900
Navistar International (a) 600 14,888
Paccar, Inc. 500 26,281
Sequa Corporation (a) 1,000 65,063
Standard Products Company 700 17,938
Thiokol Corporation 200 16,250
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ---------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION EQUIPMENT (5.4%)(CONTINUED)
Transtechnology Corporation 600 $ 16,987
Trinity Industries 600 26,774
Volvo AB Swe (b) 2,900 78,300
---------
748,456
TRANSPORTATION SERVICES (0.2%)
PS Group Holdings, Inc. 1,200 15,000
Yellow Freight Corporation (a) 600 15,056
---------
30,056
TRUCKING & WAREHOUSING (0.3%)
CNF Transportation, Inc. 200 7,675
Roadway Express, Inc. 400 8,950
U.S. Freightways Corporation 600 19,538
---------
36,163
WATER TRANSPORTATION (0.4%)
Alexander & Baldwin Inc. 300 8,241
Oglebay Norton Company 200 8,000
Overseas Shipholding Group, Inc. 700 15,268
Sea Containers Ltd 400 12,800
Stolt-Nielsen S.A. 500 10,594
---------
54,903
WHOLESALE TRADE - DURABLE GOODS (2.1%)
Aviall, Inc. (a) 700 10,455
Barnes Group, Inc. 1,400 31,850
Borg-Warner Automotive, Inc. 300 15,600
CHS Electronics, Inc. (a) 800 13,550
Elron Electronic Industies Ltd 1,100 17,463
Martin Marietta Materials, Inc. 400 14,625
MicroAge, Inc. (a) 500 7,547
Minerals & Resources Corporation Ltd S.A. 100 1,688
PEC Israel Economic Corporation (a) 800 17,300
Reliance Steel & Aluminum Company 1,050 31,237
Simpson Manufacturing Company (a) 400 13,325
Specialty Equipment Companies, Inc. (a) 500 8,531
Thermo Ecotek Corporation 800 14,600
United Industrial Corporation 500 5,438
VWR Scientific Products Corporation 200 5,725
Wynn's International, Inc. 2,362 75,289
---------
284,223
WHOLESALE TRADE - NONDURABLE GOODS (1.0%)
Burlington Coat Factory Warehouse 960 15,780
DIMON, Inc. 700 18,375
Pennzoil Company 400 26,725
Pharmerica, Inc. (a) 409 4,282
SUPERVALU, Inc. (b) 100 4,187
United Stationers, Inc. (a) 800 38,448
Universal Corporation 700 28,788
---------
136,586
---------
TOTAL COMMON STOCKS(Cost $10,039,982) 13,080,148
</TABLE>
27
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- -----------
<S> <C> <C>
SHORT-TERM SECURITIES(4.9%)
U.S. GOVERNMENT OBLIGATIONS (0.8%)
U.S. Treasury Bill, 4.8700%, due 1/08/1998 (b) $ 15,000 $ 14,986
U.S. Treasury Bill, 5.1500%, due 1/22/1998 (b) 25,000 24,925
U.S. Treasury Bill, 5.1925%, due 1/22/1998 (b) 50,000 49,849
U.S. Treasury Bill, 5.2600%, due 1/22/1998 (b) 20,000 19,939
-----------
109,699
REPURCHASE AGREEMENT (4.1%)
State Street Bank, 4.25%, due 1/2/98
(Dated 12/31/1997, collateralized by
U.S. Treasury Note, 6.125%, due 3/31/1998,
value $579,263) 564,495 564,495
-----------
564,495
TOTAL SHORT-TERM SECURITIES (Cost $674,194) 674,194
-----------
TOTAL INVESTMENTS (100.0%) (Cost $10,714,176) $13,754,342
-----------
-----------
</TABLE>
(a) Non-income producing
(b) A portion of the security was pledged to cover margin requirements for
futures contracts. At the period end, the value of the securities pledged
amounted to $1,693,164.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
EXPIRATION CONTRACT UNREALIZED
DATE AMOUNT GAIN
---------- ---------- ----------
<S> <C> <C> <C>
3 S&P 500
Futures Contracts-Long 3/20/1998 $ 734,325 $ 2,738
</TABLE>
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the
six months ended December 31, 1997, aggregated $6,359,741 and $4,653,562,
respectively. At December 31, 1997, net unrealized appreciation for tax
purposes aggregated $3,042,904, of which $3,258,336 related to appreciated
investment securities and $215,432 related to depreciated investment
securities. The aggregate cost of securities is the same for book and tax
purposes.
SEE ACCOMPANYING NOTES.
28
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements
December 31, 1997
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
The Legends Fund, Inc. (the "Fund") was formed on July 22, 1992. The Fund is
registered under the Investment Company Act of 1940, as amended (the "Investment
Company Act"), as an open-end management investment company. As of December 31,
1997, the Fund has four investment portfolios (the "Portfolios"): Zweig Asset
Allocation, Harris Bretall Sullivan & Smith Equity Growth, Zurich Kemper Value
(formerly known as Dreman Value), and Zweig Equity (Small Cap). ARM Securities
Corporation ("ARM Securities"), a registered broker-dealer under the Securities
Exchange Act of 1934 and a member of the National Association of Securities
Dealers, Inc., distributes shares of the Fund to a variable annuity separate
account of Integrity Life Insurance Company ("Integrity") and its wholly owned
subsidiary, National Integrity Life Insurance Company ("National Integrity").
Integrity Capital Advisors, Inc. ("Integrity Capital Advisors") (formerly known
as ARM Capital Advisors, Inc.), an SEC-registered investment adviser, provides
management services to the Fund pursuant to a management agreement (the
"Management Agreement") effective February 1, 1996.
ARM Financial Group, Inc. ("ARM") is the ultimate parent of Integrity Capital
Advisors, Integrity, National Integrity, and ARM Securities. ARM specializes in
the asset accumulation business, providing retail and institutional customers
with products and services designed to serve the growing long-term savings and
retirement markets. At December 31, 1997, ARM had approximately $6.9 billion of
assets under management.
On July 23, 1997, Integrity and National Integrity (collectively, the
"Applicants") filed an application (amended on October 9, 1997) with the
Securities and Exchange Commission pursuant to Section 26(b) of the Investment
Company Act for an order to approve a substitution of certain portfolios of the
Fund (the "Substitution"). The Substitution involved the transfer of assets from
a portfolio within the Fund to a new portfolio of an insurance trust mutual fund
("New Portfolio") deemed to have (i) substantially similar investment strategies
and (ii) historically stronger investment performance and/or lower expense
ratios (after waivers and reimbursements).
29
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
The Substitution was approved by the SEC on November 14, 1997, and was effected
on that day. The portfolios of the Fund affected by the Substitution and the New
Portfolios which received the assets are as follows:
Portfolio of Fund New Portfolio
----------------- -------------
Renaissance Balanced Janus Aspen Series Balanced
Nicholas-Applegate Balanced Janus Aspen Series Balanced
Pinnacle Fixed Income JPM Bond
ARM Capital Advisors Money Market Janus Aspen Series Money Market
Morgan Stanley Asian Growth Morgan Stanley Asian Equity
Morgan Stanley Worldwide High Income Morgan Stanley Emerging Markets
Debt
Shares of each portfolio were redeemed in-kind and the redemption proceeds were
used to purchase shares of the New Portfolio. The costs of the Substitution were
borne by the Applicants, and no fees, transfer charges or sales charges to
effect the Substitution were imposed on the Fund, its shareholders, or
ultimately, the variable annuity contract holders. Prior to and immediately
following the Substitution, the account values of the variable annuity contract
holders were the same. In addition, the Substitution did not alter the tax or
insurance benefits to contract holders or the contractual obligation of the
Applicants.
BASIS OF PRESENTATION
The accompanying financial statements have been prepared in accordance with
generally accepted accounting principles for investment companies.
SECURITY VALUATION
Stocks that are traded on a national exchange are valued at the last sale price
on the exchange on which they are primarily traded, or, if there is no sale, at
the mean between
30
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
the current bid and asked prices. Over-the-counter securities for which market
quotations are readily available are valued at the mean of the current bid and
asked prices.
Short-term debt securities with remaining maturities of 61 days or more for
which reliable quotations are readily available are valued at current market
quotations. Short-term investments with remaining maturities of 60 days or less
are valued using the amortized cost method of valuation, which approximates
market value. Bonds and other fixed-income securities (other than short-term
securities described above) are valued using market quotations provided by a
pricing service under procedures approved by the Fund's Board of Directors.
Futures contracts and options thereon and option contracts traded on a
commodities exchange or board of trade are valued at the closing settlement
price. Futures and option positions or any other securities or assets for which
reliable market quotations are not readily available or for which valuation
cannot be provided by a pricing service approved by the Board of Directors of
the Fund are valued at fair value as determined in good faith by the Board of
Directors.
SECURITY TRANSACTIONS
Securities transactions are accounted for as of trade date net of brokerage
fees, commissions and transfer fees. Interest income is accrued daily. Dividend
income is recorded on the ex-dividend date. Premiums and discounts on securities
purchased are amortized using the effective interest method. Realized gains and
losses on sales of investments are determined on the basis of nearest average
for all of the portfolios except Zweig Asset Allocation, which uses the first-in
first-out method.
FEDERAL INCOME TAX MATTERS
The Fund complied with the requirements of the Internal Revenue Code applicable
to regulated investment companies and distributed its taxable net investment
income and net realized gains. Therefore, no provision for federal or state
income tax is required.
At December 31, 1997, Zweig Asset Allocation has an accumulated net realized
capital loss carryover of $356,076 (expiring in 2005).
31
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
DIVIDEND DISTRIBUTIONS
Dividends from net investment income and distributions from net realized gains
are declared and distributed annually. Dividends and distributions are recorded
on the ex-dividend date. All dividends are reinvested in additional full and
fractional shares of the related Portfolios.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences, which may result in distribution reclassifications, are
primarily due to differing treatments for foreign currency transactions, futures
transactions, passive foreign investment companies, capital losses, and losses
deferred due to wash sales.
FUTURES CONTRACTS
Certain Portfolios may enter into futures contracts to protect against adverse
movement in the price of securities in the Portfolio or to enhance investment
performance. When entering into a futures contract, changes in the market price
of the contracts are recognized as unrealized gains or losses by marking each
contract to market at the end of each trading day through a variation margin
account. When a futures contract is closed, the Portfolios record a 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. The face amount of the futures
contracts shown in the Schedule of Investments reflects each contract's value at
December 31, 1997.
The use of futures contracts involves, to varying degrees, elements of market
risk in excess of the amount recognized in the Statement of Assets and
Liabilities. The Portfolios bear the market risk which arises from any changes
in contract values.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with institutions that the Fund's
investment manager, Integrity Capital Advisors, has determined are creditworthy
pursuant to criteria adopted by the Board of Directors. Each repurchase
agreement is recorded at cost. The Fund requires that the securities purchased
in a repurchase transaction be transferred to the custodian in a manner
sufficient to enable the Fund to
32
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
obtain those securities in the event of a default under the repurchase
agreement. The value of the securities transferred is monitored daily to ensure
that the value, including accrued interest, of the securities under each
repurchase agreement is equal to or greater than amounts owed to the Fund under
each repurchase agreement.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates.
2. INVESTMENT ADVISORY AGREEMENTS AND PAYMENTS TO RELATED PARTIES
Integrity Capital Advisors, the fund's investment adviser, has entered into a
sub-advisory agreement with a registered investment adviser ("Sub-Adviser") for
each of the Portfolios. Integrity Capital Advisors, not the Fund, pays the sub-
advisory fee to each of the Sub-Advisers.
Listed below are management and sub-advisory fees (effective through October 30,
1997) payable as a percentage of average net assets:
<TABLE>
<CAPTION>
SUB-ADVISORY
MANAGEMENT FEE FEE
- --------------------------------------------------------------------------------
<S> <C> <C>
Zweig Asset Allocation 0.90 0.75
Harris Bretall Sullivan & Smith Equity Growth 0.65 0.50
Zurich Kemper Value 0.65 0.50
Zweig Equity (Small Cap) 1.05 0.90
</TABLE>
Amendments to the sub-advisory agreements were approved at a special meeting of
shareholders held on October 30, 1997. As a result of the amendments, the
management
33
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
2. INVESTMENT ADVISORY AGREEMENTS AND PAYMENTS TO RELATED PARTIES (CONTINUED)
fees paid by the Fund to Integrity Capital Advisors remained unchanged and the
sub-advisory fees paid by Integrity Capital Advisors to each of the Sub-Advisers
of Zweig Asset Allocation, Harris Bretall Sullivan & Smith Equity Growth, Zurich
Kemper Value, and Zweig Equity (Small Cap), as a percentage of average net
assets, were reduced effective October 31, 1997, by 0.10% to 0.65%, 0.40%,
0.40%, and 0.80%, respectively.
Under the Management Agreement, Integrity Capital Advisors provides certain
management services to the Fund, and the Fund is responsible for certain of its
direct operating expenses. Integrity Capital Advisors has voluntarily agreed to
reimburse each of the Portfolios for operating expenses (excluding management
fees) above an annual rate of 0.5% of average net assets. Integrity Capital
Advisors has reserved the right to withdraw or modify its policy of expense
reimbursement for the Portfolios.
Zweig Asset Allocation, Zurich Kemper Value and Zweig Equity (Small Cap) placed
a portion of their transactions with brokerage firms which may be considered
affiliates of the Fund under the Investment Company Act. The commissions paid to
these firms were approximately $28,837 in the aggregate during the six months
ended December 31, 1997.
Certain officers and directors of the Fund are also officers of ARM, ARM
Securities, Integrity Capital Advisors, Integrity, and National Integrity. The
Fund does not pay any amounts to compensate these individuals.
3. SPECIAL MEETING OF SHAREHOLDERS
Other matters considered and approved at the special meeting of shareholders
held on October 30, 1997 were: the continuation of the amended sub-advisory
agreement between Harris Bretall Sullivan & Smith LLC ("HBSS") and ARM Capital
Advisors, Inc. (now known as Integrity Capital Advisors) following the change of
control of HBSS; the election of five members to the Fund's Board of Directors,
to hold office until their successors are duly elected and qualified; and the
notification of the selection of Ernst & Young LLP as the Fund's independent
accountants for the fiscal year ending June 30, 1998.
At a special meeting of shareholders held on December 30, 1997, shareholders
approved sub-advisory agreements between Integrity Capital Advisors and each
of Zurich Kemper Value Advisors, Inc. (formerly, Dreman Value Advisors, Inc.)
and Scudder Kemper
34
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
3. SPECIAL MEETING OF SHAREHOLDERS (CONTINUED)
Investments, Inc. following the merger of Zurich Kemper Investments, Inc. into
Scudder, Stevens and Clark, Inc.
4. CAPITAL SHARES
At December 31, 1997, the Fund had authority to issue one billion
(1,000,000,000) shares of common stock, $.001 par value each, in any class or
classes as determined by the Board of Directors. At such date, four classes of
shares authorized by the Board of Directors were being offered as follows:
55,000,000 shares each for Zweig Asset Allocation, Harris Bretall Sullivan &
Smith Equity Growth, Zurich Kemper Value, and Zweig Equity (Small Cap).
At December 31, 1997, Integrity, through its variable annuity Separate Account
II, and National Integrity, through its variable annuity Separate Account II,
were the record owners of all the outstanding shares of the Fund.
35
<PAGE>
---------------
BULK RATE
U.S. POSTAGE
PAID
Berwyn, IL
Permit No. 73
---------------
THIS SEMI-ANNUAL REPORT IS NOT TO BE CONSTRUED AS AN OFFERING FOR SALE
DIRECTLY OR INDIRECTLY OF ANY INTEREST IN THE FUND. NO OFFERING IS MADE
EXCEPT IN CONJUNCTION WITH A PROSPECTUS WHICH MUST PRECEDE OR ACCOMPANY THIS
REPORT.
[LOGO]-Registered Trademark-
Principal offices located at:
515 WEST MARKET STREET
LOUISVILLE, KENTUCKY 40202
Catalog #001728 (2/98)
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