<PAGE> 1
DIVERSIFIED INVESTMENT ADVISORS
THE DIVERSIFIED INVESTORS FUNDS GROUP
AND
THE DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
SEMI-ANNUAL REPORT
JUNE 30, 2000
LONG HORIZON FUND
INTERMEDIATE LONG HORIZON FUND
INTERMEDIATE HORIZON FUND
SHORT INTERMEDIATE HORIZON FUND
SHORT HORIZON FUND
STEPHENS SELECT EQUITY FUND
STEPHENS INTERMEDIATE BOND FUND
STOCK INDEX FUND
INTERNATIONAL EQUITY FUND
HIGH YIELD BOND FUND
AGGRESSIVE EQUITY FUND
SPECIAL EQUITY FUND
EQUITY GROWTH FUND
GROWTH AND INCOME FUND
EQUITY VALUE FUND
VALUE & INCOME FUND
BALANCED FUND
CORE BOND FUND
INTERMEDIATE GOVERNMENT BOND FUND
HIGH QUALITY BOND FUND
MONEY MARKET FUND
[DIVERSIFIED INVESTMENT ADVISORS LOGO]
<PAGE> 2
This report is not to be construed as an offering for sale of any shares of The
Diversified Investors Funds Group or The Diversified Investors Strategic
Allocation Funds, or as a solicitation of an offer to buy such shares unless
preceded by or accompanied by a current prospectus which contains complete
information about charges and expenses.
This is a combined annual report for The Diversified Investors Funds Group and
The Diversified Investors Strategic Allocation Funds.
<PAGE> 3
THE DIVERSIFIED INVESTORS FUNDS GROUP AND STRATEGIC ALLOCATION FUNDS
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
DIVERSIFIED INVESTORS FUNDS GROUP:
Average Annual Total Returns................................ 3
Statements of Assets and Liabilities........................ 18
Statements of Operations.................................... 22
Statements of Changes in Net Assets......................... 26
Statements of Changes in Net Assets -- December 31, 1999.... 30
Stephens Intermediate Bond Portfolio........................ 34
Notes to Financial Statements............................... 35
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS:
Economic Review & Average Annual Total Returns.............. 56
Statements of Assets and Liabilities........................ 61
Statements of Operations.................................... 62
Statements of Changes in Net Assets......................... 63
Statements of Changes in Net Assets -- December 31, 1999.... 64
PORTFOLIO OF INVESTMENTS:
Short Horizon Strategic Allocation Fund..................... 65
Short Intermediate Horizon Strategic Allocation Fund........ 66
Intermediate Horizon Strategic Allocation Fund.............. 67
Intermediate Long Horizon Strategic Allocation Fund......... 68
Long Horizon Strategic Allocation Fund...................... 69
Notes to Financial Statements............................... 70
DIVERSIFIED INVESTORS PORTFOLIOS:
Economic and Market Review.................................. 78
Statements of Assets and Liabilities........................ 84
Statements of Operations.................................... 86
Statements of Changes in Net Assets......................... 88
Statements of Changes in Net Assets -- December 31, 1999.... 90
PORTFOLIO OF INVESTMENTS:
Money Market Portfolio...................................... 92
High Quality Bond Portfolio................................. 94
Intermediate Government Bond Portfolio...................... 97
Core Bond Portfolio......................................... 100
Balanced Portfolio.......................................... 103
Value and Income Portfolio.................................. 113
Equity Value Portfolio...................................... 117
Growth & Income Portfolio................................... 120
Equity Growth Portfolio..................................... 123
Special Equity Portfolio.................................... 126
Aggressive Equity Portfolio................................. 133
High Yield Bond Portfolio................................... 135
International Equity Portfolio.............................. 138
Notes to Financial Statements............................... 144
Barclays Master Investment Portfolio -- S&P 500 Index....... 157
</TABLE>
<PAGE> 4
MONEY MARKET FUND
<TABLE>
<CAPTION>
SALOMON BROS. 3-MONTH T-BILL
MONEY MARKET FUND $13,567 INDEX $13,804
------------------------- ----------------------------
<S> <C> <C>
12/31/94 10346 10422
12/31/95 10915 11020
12/31/96 11446 11598
12/31/97 12016 12206
12/31/98 12606 12822
12/31/99 13193 13430
6/30/00 13567 13804
</TABLE>
MONEY MARKET FUND -- PREMIUM
[LINE GRAPH]
<TABLE>
<CAPTION>
MONEY MARKET - PREMIUM $11,237 SALOMON BROS. $11,310
------------------------------ ---------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10479 10505
12/31/99 10941 11003
6/30/00 11237 11310
</TABLE>
3
<PAGE> 5
MONEY MARKET FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
MONEY MARKET - INSTITUTIONAL
$11,291 SALOMON BROS $11,310
---------------------------- --------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10501 10505
12/31/99 10991 11003
6/30/00 11291 11310
</TABLE>
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
MERRILL LYNCH 1-3 YEAR TREASURY
HIGH QUALITY BOND FUND $13,827 INDEX $14,048
------------------------------ -------------------------------
<S> <C> <C>
7/1/94 10000 10000
12/31/94 10067 9952
12/31/95 11260 11047
12/31/96 11768 11597
12/31/97 12369 12369
12/31/98 13121 13235
12/31/99 13466 13640
6/30/00 13827 14048
</TABLE>
4
<PAGE> 6
INTERMEDIATE GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND LEHMAN BROS. INT. GOV'T BOND INDEX
FUND $12,266 $12,663
---------------------------- ----------------------------------
<S> <C> <C>
2/22/96 10000 10000
12/31/96 10355 10447
12/31/97 11067 11224
12/31/98 11783 12177
12/31/99 11900 12237
6/30/00 12266 12663
</TABLE>
CORE BOND FUND
<TABLE>
<CAPTION>
LEHMAN BROS. GOV/CORP. BOND
CORE BOND $14,633 INDEX $15,158
----------------- ---------------------------
<S> <C> <C>
7/1/94 10000 10000
12/31/94 10111 10087
12/31/95 12164 12029
12/31/96 12498 12378
12/31/97 13515 13585
12/31/98 14490 14870
12/31/99 14272 14529
6/30/00 14633 15158
</TABLE>
5
<PAGE> 7
BALANCED FUND
<TABLE>
<CAPTION>
LEHMAN BROS.
BALANCED FUND S&P 500 INDEX GOV/CORP. BOND INDEX COMPOSITE
$22,410 $36,970 $15,158 BENCHMARK* $26,180
------------- ------------- -------------------- ------------------
<S> <C> <C> <C> <C>
7/1/94 10000 10000 10000 10000
12/31/94 10142 10492 10087 9943
12/31/95 13029 14427 12029 12922
12/31/96 15165 17781 12378 14836
12/31/97 17996 23715 13585 18346
12/31/98 20122 30533 14870 22281
12/31/99 22323 36988 14550 25806
6/30/00 22410 36970 15158 26180
</TABLE>
VALUE & INCOME FUND
<TABLE>
<CAPTION>
RUSSELL 1000 VALUE
VALUE & INCOME $23,138 S&P 500 INDEX $36,806 $27,296
---------------------- --------------------- ------------------
<S> <C> <C> <C>
7/1/94 10000 10000 10000
12/31/94 10024 10492 10092
12/31/95 13494 14427 13963
12/31/96 15910 17781 16985
12/31/97 20573 23715 22961
12/31/98 23140 30533 26550
12/31/99 24922 36988 28501
6/30/00 23138 36806 27296
</TABLE>
* 60% S & P 500 Index, 40% Lehman Gov't/Corp. Bond Index. This composite index
comes closest to matching the investment objectives of the Balanced Fund.
6
<PAGE> 8
EQUITY VALUE FUND
[EQUITY VALUE FUND GRAPH]
<TABLE>
<CAPTION>
RUSSELL 1000 VALUE
EQUITY VALUE $12,090 S&P 500 INDEX $23,239 $18,201
-------------------- --------------------- ------------------
<S> <C> <C> <C>
6/13/96 10000 10000 10000
12/31/96 10883 11226 11327
12/31/97 13215 14973 15311
12/30/98 14641 19278 17704
12/31/99 14175 23353 19005
6/30/00 12090 23239 18201
</TABLE>
EQUITY VALUE FUND -- PREMIUM
[EQUITY VALUE FUND--PREMIUM GRAPH]
<TABLE>
<CAPTION>
EQUITY VALUE - PREMIUM RUSSELL 1000 VALUE
$9,080 S&P 500 INDEX $15,520 $11,888
---------------------- --------------------- ------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 11032 12875 11563
12/31/99 10666 15597 12413
6/30/00 9080 15520 11888
</TABLE>
7
<PAGE> 9
EQUITY VALUE FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
EQUITY VALUE - INSTITUTIONAL RUSSELL 1000 VALUE
$9,138 S&P 500 INDEX $15,520 $11,888
---------------------------- --------------------- ------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 11068 12875 11563
12/31/99 10722 15597 12413
6/30/00 9138 15520 11888
</TABLE>
GROWTH & INCOME FUND
<TABLE>
<CAPTION>
GROWTH & INCOME $37,736 S&P 500 INDEX $36,806
----------------------- ---------------------
<S> <C> <C>
7/1/94 10000 10000
12/31/94 10250 10492
12/31/95 13541 14427
12/31/96 16467 17781
12/31/97 22090 23715
12/31/98 29739 30533
12/31/99 38676 36988
6/30/00 37736 36806
</TABLE>
8
<PAGE> 10
EQUITY GROWTH FUND
<TABLE>
<CAPTION>
RUSSELL 1000 GROWTH
EQUITY GROWTH $37,487 S&P 500 INDEX $36,806 $46,038
--------------------- --------------------- -------------------
<S> <C> <C> <C>
7/1/94 10000 10000 10000
12/31/94 11359 10492 10849
12/31/95 13460 14427 14884
12/31/96 15874 17781 18326
12/31/97 20086 23715 23913
12/31/98 27311 30533 33170
12/31/99 37438 36988 44169
6/30/00 37487 36806 46038
</TABLE>
EQUITY GROWTH FUND -- PREMIUM
<TABLE>
<CAPTION>
EQUITY GROWTH - PREMIUM RUSSELL 1000 GROWTH
$18,708 S&P 500 INDEX $15,520 $19,252
----------------------- --------------------- -------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 13620 12875 13871
12/31/99 18685 15597 18471
6/30/00 18708 15520 19252
</TABLE>
9
<PAGE> 11
EQUITY GROWTH FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
EQUITY GROWTH - RUSSELL 1000 GROWTH
INSTITUTIONAL $18,800 S&P 500 INDEX $15,520 $19,252
--------------------- --------------------- -------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 13654 12875 13871
12/31/99 18755 15597 18471
6/30/00 18800 15520 19252
</TABLE>
SPECIAL EQUITY FUND
<TABLE>
<CAPTION>
SPECIAL EQUITY $33,245 S&P 500 INDEX $36,806 RUSSELL 2000 $23,395
---------------------- --------------------- --------------------
<S> <C> <C> <C>
7/1/94 10000 10000 10000
12/31/94 10857 10492 10494
12/31/95 15363 14427 13479
12/31/96 19321 17781 15703
12/31/97 24302 23715 19214
12/31/98 25076 30533 18724
12/31/99 31411 36988 22705
6/30/00 33245 36806 23395
</TABLE>
10
<PAGE> 12
SPECIAL EQUITY FUND -- PREMIUM
<TABLE>
<CAPTION>
SPECIAL EQUITY - PREMIUM
$13,798 S&P 500 INDEX $15,520 RUSSELL 2000 $12,176
------------------------ --------------------- --------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 10405 12875 9745
12/31/99 13028 15597 11817
6/30/00 13798 15520 12176
</TABLE>
SPECIAL EQUITY FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
SPECIAL EQUITY -
INSTITUTIONAL $13,857 S&P 500 INDEX $15,520 RUSSELL 2000 $12,176
--------------------- --------------------- --------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 10421 12875 9745
12/31/99 13073 15597 11817
6/30/00 13857 15520 12176
</TABLE>
11
<PAGE> 13
AGGRESSIVE EQUITY FUND
<TABLE>
<CAPTION>
RUSSELL 2000 GROWTH
AGGRESSIVE EQUITY $26,053 S&P 500 INDEX $23,239 $13,044
------------------------- --------------------- -------------------
<S> <C> <C> <C>
6/11/96 10000 10000 10000
12/31/96 9459 11516 9295
12/31/97 10043 14973 10498
12/31/98 14235 19278 10627
12/31/99 23347 23353 12886
6/30/00 26053 23239 13044
</TABLE>
HIGH YIELD BOND FUND
<TABLE>
<CAPTION>
SALOMON HIGH YIELD CASH PAY
HIGH YIELD BOND FUND $12,324 INDEX $12,988
---------------------------- ---------------------------
<S> <C> <C>
1/30/96 10000 10000
12/31/96 10871 11085
12/31/97 12207 12539
12/31/98 12475 13093
12/31/99 12480 13200
6/30/00 12324 12988
</TABLE>
12
<PAGE> 14
HIGH YIELD BOND FUND -- PREMIUM
<TABLE>
<CAPTION>
HIGH YIELD BOND - PREMIUM SALOMON HIGH YIELD CASH PAY
$10,047 INDEX $10,358
------------------------- ---------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10185 10442
12/31/99 10180 10528
6/30/00 10047 10358
</TABLE>
HIGH YIELD BOND FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
HIGH YIELD BOND - INSTITUTIONAL SALOMON HIGH YIELD CASH PAY
$10,105 INDEX $10,358
------------------------------- ---------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10214 10442
12/31/99 10221 10528
6/30/00 10105 10358
</TABLE>
13
<PAGE> 15
INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
MSCI WORLD EX-US EQUITY INDEX
INTERNATIONAL EQUITY FUND $21,778 $16,320
--------------------------------- -----------------------------
<S> <C> <C>
1/18/96 10000 10000
12/31/96 11387 10720
12/31/97 12268 10994
12/31/98 13552 13095
12/31/99 22189 16797
6/30/00 21778 16320
</TABLE>
INTERNATIONAL EQUITY FUND -- PREMIUM
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY - PREMIUM MSCI WORLD EX-US EQUITY INDEX
$17,684 $14,844
------------------------------ -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 11011 11911
12/31/99 18020 15278
6/30/00 17684 14844
</TABLE>
14
<PAGE> 16
INTERNATIONAL EQUITY FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY - INSTITUTIONAL MSCI WORLD EX-US EQUITY INDEX
$17,764 $14,844
------------------------------------ -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 11027 11911
12/31/99 18077 15278
6/30/00 17764 14844
</TABLE>
STEPHENS INTERMEDIATE BOND FUND -- PREMIUM
<TABLE>
<CAPTION>
STEPHENS INTERMEDIATE BOND - LEHMAN BROS INTERMEDIATE GOVT
PREMIUM $11,144 BOND $11,282
---------------------------- -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10608 10849
12/31/99 10750 10902
6/30/00 11144 11282
</TABLE>
15
<PAGE> 17
STEPHENS INTERMEDIATE BOND FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
STEPHENS INTERMEDIATE BOND - LEHMAN BROS INTERMEDIATE GOVT
INSTITUTIONAL $11,175 BOND $11,282
---------------------------- -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10622 10849
12/31/99 10777 10902
6/30/00 11175 11282
</TABLE>
STEPHENS SELECT EQUITY FUND -- PREMIUM
<TABLE>
<CAPTION>
STEPHENS SELECT EQUITY - PREMIUM
$10,395 RUSSELL MID CAP VALUE $10,458
-------------------------------- -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10500 10542
12/31/99 10448 10530
6/30/00 10395 10458
</TABLE>
16
<PAGE> 18
STEPHENS SELECT EQUITY FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
STEPHENS SELECT EQUITY -
INSTITUTIONAL $10,456 RUSSELL MID CAP VALUE $10,458
------------------------ -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10541 10542
12/31/99 10498 10530
6/30/00 10456 10458
</TABLE>
STOCK INDEX FUND
<TABLE>
<CAPTION>
STOCK INDEX - $11,439 S&P 500 INDEX - $11,539
--------------------- -----------------------
<S> <C> <C>
3/10/99 10000 10000
12/31/99 11537 11596
6/30/00 11439 11539
</TABLE>
The charts shown above represent the growth in value of an initial hypothetical
investment of $10,000 in each fund of the Diversified Investors Funds Group for
the period since inception through June 30, 2000.
All indices are shown for the period from the funds' inception through June 30,
2000.
Past performance is not indicative of future performance.
17
<PAGE> 19
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY HIGH
MARKET QUALITY BOND
------------ ------------
<S> <C> <C>
ASSETS:
Securities at value (Cost $31,915,748)...................... $ -- $ --
Investment in Series Portfolio, at value.................... 182,945,221 45,315,040
Cash........................................................ -- --
Interest receivable......................................... -- --
Receivable for fee reimbursements........................... 13,177 --
------------ -----------
Total assets............................................ 182,958,398 45,315,040
------------ -----------
LIABILITIES:
Due to Advisor.............................................. -- --
Accrued expenses............................................ 79,229 29,396
Distribution fees........................................... 32,951 9,163
Shareholder servicing fees.................................. 6,791 --
Investment advisory fees.................................... -- --
------------ -----------
Total liabilities....................................... 118,971 38,559
------------ -----------
NET ASSETS.............................................. $182,839,427 $45,276,481
============ ===========
NET ASSETS CONSIST OF:
Paid-in capital........................................... 182,471,930 45,919,212
Undistributed (accumulated) net investment income
(loss).................................................. 402,636 99,621
Undistributed (accumulated) net realized gains (losses)... (35,139) (213,980)
Net unrealized appreciation (depreciation) on translation
of assets and liabilities in foreign currencies......... -- --
Net unrealized appreciation (depreciation) on securities
and futures............................................. -- (528,372)
------------ -----------
NET ASSETS.............................................. $182,839,427 $45,276,481
============ ===========
NET ASSETS:
Diversified Class of Shares............................... $176,598,212 $45,276,481
============ ===========
Stephens Premium Class of Shares.......................... $ 392,677
============
Stephens Institutional Class of Shares.................... $ 5,848,538
============
OUTSTANDING SHARES OF CAPITAL STOCK OF $.00001 PAR VALUE PER
SHARE, UNLIMITED NUMBER OF SHARES OF BENEFICIAL INTEREST
AUTHORIZED:
Diversified Class of Shares............................... 16,657,818 4,034,659
============ ===========
Stephens Premium Class of Shares.......................... 37,273
============
Stephens Institutional Class of Shares.................... 561,503
============
NET ASSET VALUE PER SHARE*:
Diversified Class of Shares............................... $ 10.60 $ 11.22
============ ===========
Stephens Premium Class of Shares.......................... $ 10.54
============
Stephens Institutional Class of Shares.................... $ 10.42
============
</TABLE>
---------------
(1) Formerly the Equity Income Fund
* Net asset value per share equals Net Assets/Outstanding Shares
** Calculated NAV differs from presented due to rounding
See Notes to Financial Statements.
18
<PAGE> 20
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT CORE VALUE & EQUITY GROWTH &
BOND BOND BALANCED INCOME (1) VALUE INCOME
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $ -- $ -- $ --
47,732,877 144,065,945 158,480,992 252,952,072 73,456,708 505,837,378
-- -- -- -- -- --
-- -- -- -- -- --
-- 47 5,786 9,493 25,685 8,825
----------- ------------ ------------ ------------ ------------ ------------
47,732,877 144,065,992 158,486,778 252,961,565 73,482,393 505,846,203
----------- ------------ ------------ ------------ ------------ ------------
-- -- -- -- -- --
37,299 45,972 141,769 69,993 58,710 161,463
9,675 29,228 32,252 54,278 15,966 102,793
-- -- -- -- 17,063 --
-- -- -- -- -- --
----------- ------------ ------------ ------------ ------------ ------------
46,974 75,200 174,021 124,271 91,739 264,256
----------- ------------ ------------ ------------ ------------ ------------
$47,685,903 $143,990,792 $158,312,757 $252,837,294 $ 73,390,654 $505,581,947
=========== ============ ============ ============ ============ ============
48,531,176 149,369,940 153,137,054 271,480,333 101,364,087 417,045,598
95,691 368,888 167,838 58,155 390,890 (1,199,311)
(209,154) (5,154,638) 4,919,624 46,193,944 (28,057,017) 21,141,115
-- (100,365) (37,217) -- -- --
(731,810) (493,033) 125,458 (64,895,138) (307,306) 68,594,545
----------- ------------ ------------ ------------ ------------ ------------
$47,685,903 $143,990,792 $158,312,757 $252,837,294 $ 73,390,654 $505,581,947
=========== ============ ============ ============ ============ ============
$47,685,903 $143,990,792 $158,312,757 $252,837,294 $ 50,036,398 $505,581,947
=========== ============ ============ ============ ============ ============
$ 6,512,415
============
$ 16,841,841
============
4,456,866 12,096,772 9,762,146 12,639,100 5,314,192 17,449,978
=========== ============ ============ ============ ============ ============
879,865
============
2,247,791
============
$ 10.70 $ 11.90 $ 16.22 $ 20.00 $ 9.42 $ 28.97
=========== ============ ============ ============ ============ ============
$ 7.40
============
$ 7.49
============
</TABLE>
19
<PAGE> 21
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
------------ ------------
<S> <C> <C>
ASSETS:
Securities at value (Cost $31,915,748)...................... $ -- $ --
Investment in Series Portfolio, at value.................... 460,972,221 306,086,021
Cash........................................................ -- --
Interest receivable......................................... -- --
Receivable for fee reimbursements........................... 14,578 --
------------ ------------
Total assets............................................ 460,986,799 306,086,021
------------ ------------
LIABILITIES:
Due to Advisor.............................................. -- 4,087
Accrued expenses............................................ 154,333 147,960
Distribution fees........................................... 92,645 62,810
Shareholder servicing fees.................................. 10,982 11,769
Investment advisory fees.................................... -- --
------------ ------------
Total liabilities....................................... 257,960 226,626
------------ ------------
NET ASSETS.............................................. $460,728,839 $305,859,395
============ ============
NET ASSETS CONSIST OF:
Paid-in capital........................................... 358,549,990 256,859,035
Undistributed (accumulated) net investment income
(loss).................................................. (1,125,131) (817,712)
Undistributed (accumulated) net realized gains (losses)... 40,060,209 20,015,520
Net unrealized appreciation (depreciation) on translation
of assets and liabilities in foreign currencies......... -- --
Net unrealized appreciation (depreciation) on securities
and futures............................................. 63,243,771 29,802,552
------------ ------------
NET ASSETS.............................................. $460,728,839 $305,859,395
============ ============
NET ASSETS:
Diversified Class of Shares............................... $433,532,988 $283,504,385
============ ============
Stephens Premium Class of Shares.......................... $ 6,064,445 $ 4,547,745
============ ============
Stephens Institutional Class of Shares.................... $ 21,131,406 $ 17,807,265
============ ============
OUTSTANDING SHARES OF CAPITAL STOCK OF $.00001 PAR VALUE PER
SHARE, UNLIMITED NUMBER OF SHARES OF BENEFICIAL INTEREST
AUTHORIZED:
Diversified Class of Shares............................... 14,096,005 10,943,818
============ ============
Stephens Premium Class of Shares.......................... 357,433 396,997
============ ============
Stephens Institutional Class of Shares.................... 1,253,485 1,504,172
============ ============
NET ASSET VALUE PER SHARE*:
Diversified Class of Shares............................... $ 30.76 $ 25.91
============ ============
Stephens Premium Class of Shares.......................... $ 16.97 $ 11.46
============ ============
Stephens Institutional Class of Shares.................... $ 16.86 $ 11.84
============ ============
</TABLE>
---------------
* Net asset value per share equals Net Assets/Outstanding Shares.
** Calculated NAV differs from presented due to rounding.
See Notes to Financial Statements.
20
<PAGE> 22
<TABLE>
<CAPTION>
STEPHENS STEPHENS
AGGRESSIVE HIGH YIELD INTERNATIONAL INTERMEDIATE SELECT STOCK
EQUITY BOND EQUITY BOND EQUITY INDEX
------------ ----------- ------------- ------------ -------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $32,457,291 $ -- $ --
207,690,497 49,879,493 246,811,431 -- -- 85,497,432
-- -- -- 3,603,153 -- --
-- -- -- 555,465 -- --
10,063 9,782 8,909 45,089 16,583 --
------------ ----------- ------------ ----------- -------- -----------
207,700,560 49,889,275 246,820,340 36,660,998 16,583 85,497,432
------------ ----------- ------------ ----------- -------- -----------
-- -- -- -- 2,463 --
70,927 59,586 101,548 -- 11,982 60,213
40,875 10,369 50,967 6,708 3 --
-- 2,596 9,013 30,424 20 --
-- -- -- 53,419 5 --
------------ ----------- ------------ ----------- -------- -----------
111,802 72,551 161,528 90,551 14,473 60,213
------------ ----------- ------------ ----------- -------- -----------
$207,588,758 $49,816,724 $246,658,812 $36,570,447 $ 2,110 $85,437,219
============ =========== ============ =========== ======== ===========
151,854,576 55,974,406 184,545,975 36,396,711 2,119 84,340,010
(895,457) 176,552 (118,047) 59,791 (9) 9,717
(5,701,089) (5,287,402) 16,288,364 (427,598) -- 10,734,876
-- -- 193,322 -- -- --
62,330,728 (1,046,832) 45,749,198 541,543 -- (9,647,384)
------------ ----------- ------------ ----------- -------- -----------
$207,588,758 $49,816,724 $246,658,812 $36,570,447 $ 2,110 $85,437,219
============ =========== ============ =========== ======== ===========
$207,588,758 $45,441,405 $231,353,901 $85,437,219
============ =========== ============ ===========
$ 556,722 $ 3,380,156 $ 4,272,488 $ 1,054
=========== ============ =========== ========
$ 3,818,597 $ 11,924,755 $32,297,959 $ 1,056
=========== ============ =========== ========
8,876,932 4,607,325 11,447,288 7,516,308
============ =========== ============ ===========
65,270 200,027 425,876 107
=========== ============ =========== ========
448,433 701,576 3,185,007 106
=========== ============ =========== ========
$ 23.39 $ 9.86 $ 20.21 $ 11.37
============ =========== ============ ===========
$ 8.53 $ 16.90 $ 10.03 $ 9.90**
=========== ============ =========== ========
$ 8.52 $ 17.00 $ 10.14 $ 9.93**
=========== ============ =========== ========
</TABLE>
21
<PAGE> 23
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY HIGH
MARKET QUALITY BOND
---------- ------------
<S> <C> <C>
INVESTMENT INCOME........................................... $ -- $ --
ALLOCATED NET INVESTMENT INCOME (LOSS) FROM PORTFOLIOS...... 4,381,457 1,285,393
---------- ----------
EXPENSES:
Administration fees....................................... 221,004 62,496
Distribution fees......................................... 184,170 52,080
Professional fees......................................... 5,212 1,417
Directors fees............................................ 1,809 483
Insurance fees............................................ -- 19
Fund accounting fees...................................... 10,865 4,661
Dues and subscriptions.................................... 471 172
Reports to shareholders................................... 16,182 5,064
Registration fees......................................... 20,112 8,977
Investment advisory fees.................................. -- --
Shareholder servicing fees (Note 3):
Stephens Premium Class of Shares....................... 728 --
Stephens Institutional Class of Shares................. 9,262 --
---------- ----------
Total expenses before reimbursements........................ 469,815 135,369
Fees reimbursed............................................. (86,214) (6,841)
---------- ----------
Net expenses................................................ 383,601 128,528
---------- ----------
Net investment income (loss)................................ 3,997,856 1,156,865
---------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES (NOTE 2):
Net realized gains (losses) on securities and futures..... (12,216) (108,995)
Net change in unrealized appreciation (depreciation) on
securities and futures................................. -- 95,723
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities in foreign
currencies............................................. -- --
Net realized gains (losses) on foreign currency
transactions........................................... -- --
---------- ----------
Net realized and unrealized gains (losses) on securities
and foreign currencies................................. (12,216) (13,272)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $3,985,640 $1,143,593
========== ==========
</TABLE>
---------------
(1) Formerly the Equity Income Fund
See Notes to Financial Statements.
22
<PAGE> 24
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT CORE VALUE & EQUITY GROWTH &
BOND BOND BALANCED INCOME(1) VALUE INCOME
------------ ----------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $ -- $ -- $ --
1,352,457 4,056,683 2,113,986 2,418,914 1,056,753 37,180
---------- ----------- ----------- ------------ ------------ ------------
70,097 197,959 223,799 337,781 141,620 700,925
58,414 164,966 186,499 281,484 118,017 584,104
1,336 3,846 7,295 4,226 5,583 7,205
484 604 847 1,126 1,705 1,933
15 -- -- -- -- --
4,280 4,660 4,480 4,471 10,283 4,660
173 450 494 687 316 1,553
9,513 5,537 68,500 1,691 11,562 1,221
9,505 13,101 11,302 17,808 19,912 30,798
-- -- -- -- -- --
-- -- -- -- 16,073 --
-- -- -- -- 28,459 --
---------- ----------- ----------- ------------ ------------ ------------
153,817 391,123 503,216 649,274 353,530 1,332,399
(11,254) -- (87,118) (42,939) (108,184) (95,908)
---------- ----------- ----------- ------------ ------------ ------------
142,563 391,123 416,098 606,335 245,346 1,236,491
---------- ----------- ----------- ------------ ------------ ------------
1,209,894 3,665,560 1,697,888 1,812,579 811,407 (1,199,311)
---------- ----------- ----------- ------------ ------------ ------------
(209,154) (2,225,059) 4,405,560 44,931,289 (24,625,511) 14,686,940
531,563 2,106,426 (5,467,371) (64,055,777) 10,307,439 (24,701,632)
-- (100,365) (46,305) -- -- --
-- 90,089 133,337 -- -- --
---------- ----------- ----------- ------------ ------------ ------------
322,409 (128,909) (974,779) (19,124,488) (14,318,072) (10,014,692)
---------- ----------- ----------- ------------ ------------ ------------
$1,532,303 $ 3,536,651 $ 723,109 $(17,311,909) $(13,506,665) $(11,214,003)
========== =========== =========== ============ ============ ============
</TABLE>
23
<PAGE> 25
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
------------ -----------
<S> <C> <C>
INVESTMENT INCOME........................................... $ -- $ --
ALLOCATED NET INVESTMENT INCOME (LOSS) FROM PORTFOLIOS...... 30,886 (12,076)
------------ -----------
EXPENSES:
Administration fees....................................... 618,569 418,188
Distribution fees......................................... 515,474 348,490
Professional fees......................................... 8,967 12,240
Directors fees............................................ 2,961 2,195
Insurance fees............................................ -- --
Fund accounting fees...................................... 10,723 10,834
Dues and subscriptions.................................... 1,338 1,051
Reports to shareholders................................... 11,246 46,625
Registration fees......................................... 35,724 22,634
Investment advisory fees.................................. -- --
Shareholder servicing fees (Note 3):
Stephens Premium Class of Shares....................... 13,032 11,079
Stephens Institutional Class of Shares................. 32,910 28,274
------------ -----------
Total expenses before reimbursements........................ 1,250,944 901,610
Fees reimbursed............................................. (94,927) (95,974)
------------ -----------
Net expenses................................................ 1,156,017 805,636
------------ -----------
Net investment income (loss)................................ (1,125,131) (817,712)
------------ -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES (NOTE 2):
Net realized gains (losses) on securities and futures..... 30,372,661 11,625,400
Net change in unrealized appreciation (depreciation) on
securities and futures................................. (26,673,528) 4,240,720
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities in foreign
currencies............................................. -- --
Net realized gains (losses) on foreign currency
transactions........................................... -- --
------------ -----------
Net realized and unrealized gains (losses) on securities
and foreign currencies................................. 3,699,133 15,866,120
------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 2,574,002 $15,048,408
============ ===========
</TABLE>
24
<PAGE> 26
<TABLE>
<CAPTION>
STEPHENS STEPHENS
AGGRESSIVE HIGH YIELD INTERNATIONAL INTERMEDIATE SELECT STOCK
EQUITY BOND EQUITY BOND EQUITY INDEX
----------- ----------- ------------- ------------ -------- ------------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $ 879,314 $ -- $ --
(469,056) 2,182,807 1,117,487 -- -- 337,685
----------- ----------- ------------ ---------- ------- ------------
248,702 70,460 332,585 47,887 3 94,259
207,252 58,717 277,154 39,905 3 67,328
2,654 4,812 6,147 2,117 10 4,466
600 1,685 1,948 2,027 2,013 111
19 -- -- 16 8 --
3,935 10,651 10,466 -- -- 4,500
572 161 755 117 1 --
5,297 16,221 15,684 17 1,182 2,432
14,112 17,517 22,720 1,582 -- 18,350
-- -- -- 15,963 1 --
-- 1,245 8,831 10,137 2 --
-- 6,039 20,205 48,772 2 --
----------- ----------- ------------ ---------- ------- ------------
483,143 187,508 696,495 168,540 3,225 191,446
(56,742) (69,948) (98,050) (38,814) (3,216) (30,323)
----------- ----------- ------------ ---------- ------- ------------
426,401 117,560 598,445 129,726 9 161,123
----------- ----------- ------------ ---------- ------- ------------
(895,457) 2,065,247 519,042 749,588 (9) 176,562
----------- ----------- ------------ ---------- ------- ------------
(7,539,478) (3,352,402) 16,259,153 (361,766) -- 10,699,638
24,969,266 837,570 (15,237,077) 877,044 -- (11,242,751)
-- -- 793,460 -- -- --
-- -- (954,309) -- -- --
----------- ----------- ------------ ---------- ------- ------------
17,429,788 (2,514,832) 861,227 515,278 -- (543,113)
----------- ----------- ------------ ---------- ------- ------------
$16,534,331 $ (449,585) $ 1,380,269 $1,264,866 $ (9) $ (366,551)
=========== =========== ============ ========== ======= ============
</TABLE>
25
<PAGE> 27
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY HIGH
MARKET QUALITY BOND
--------------- ------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss)................................ $ 3,997,856 $ 1,156,865
Net realized gains (losses) on securities and futures....... (12,216) (108,995)
Net realized gains (losses) on foreign currency
transactions.............................................. -- --
Net change in unrealized appreciation (depreciation) on
securities................................................ -- 95,723
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities in foreign
currencies................................................ -- --
--------------- -----------
Net increase (decrease) in net assets resulting from
operations................................................ 3,985,640 1,143,593
--------------- -----------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income....................................... (3,612,871) (1,057,495)
--------------- -----------
CAPITAL SHARE TRANSACTIONS (NOTE 5):
DIVERSIFIED CLASS OF SHARES:
Issued during period........................................ 1,537,340,619 11,550,783
Issued on reinvestment of dividends......................... 3,465,189 1,057,495
Redeemed during period...................................... (1,464,095,567) (3,851,329)
--------------- -----------
Net increase (decrease) Diversified Class of Shares......... 76,710,241 8,756,949
--------------- -----------
STEPHENS PREMIUM CLASS OF SHARES:
Issued during period........................................ 371,840
Issued on reinvestment of dividends......................... 11,067
Redeemed during period...................................... (127,308)
---------------
Net increase (decrease) Stephens Premium Class of Shares.... 255,599
---------------
STEPHENS INSTITUTIONAL CLASS OF SHARES:
Issued during period........................................ 3,455,205
Issued on reinvestment of dividends......................... 136,615
Redeemed during period...................................... (2,272,499)
---------------
Net increase (decrease) Stephens Institutional Class of
Shares.................................................... 1,319,321
---------------
Increase (decrease) in net assets from net fund share
transactions.............................................. 78,285,161 8,756,949
--------------- -----------
Total increase (decrease) in net assets..................... 78,657,930 8,843,047
NET ASSETS:
Beginning of period......................................... 104,181,497 36,433,434
--------------- -----------
End of period............................................... $ 182,839,427 $45,276,481
=============== ===========
</TABLE>
---------------
(1) Formerly the Equity Income Fund
See notes to financial statements.
26
<PAGE> 28
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT CORE VALUE & EQUITY GROWTH &
BOND BOND BALANCED INCOME (1) VALUE INCOME
------------ ------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
$ 1,209,894 $ 3,665,560 $ 1,697,888 $ 1,812,579 $ 811,407 $ (1,199,311)
(209,154) (2,225,059) 4,405,560 44,931,289 (24,625,511) 14,686,940
-- 90,089 133,337 -- -- --
531,563 2,106,426 (5,467,371) (64,055,777) 10,307,439 (24,701,632)
-- (100,365) (46,305) -- -- --
------------ ------------ ------------ ------------ ------------ -------------
1,532,303 3,536,651 723,109 (17,311,909) (13,506,665) (11,214,003)
------------ ------------ ------------ ------------ ------------ -------------
(1,114,944) (3,315,110) (1,544,147) (1,781,054) (810,063) --
------------ ------------ ------------ ------------ ------------ -------------
17,892,246 68,989,715 30,958,108 161,470,187 66,059,128 183,663,300
1,114,944 3,315,110 1,544,147 1,781,054 546,583 --
(12,105,472) (41,057,227) (16,382,626) (94,803,856) (94,366,145) (126,664,882)
------------ ------------ ------------ ------------ ------------ -------------
6,901,718 31,247,598 16,119,629 68,447,385 (27,760,434) 56,998,418
------------ ------------ ------------ ------------ ------------ -------------
2,779,127
75,442
(647,849)
------------
2,206,720
------------
6,868,372
188,038
(3,479,642)
------------
3,576,768
------------
6,901,718 31,247,598 16,119,629 68,447,385 (21,976,946) 56,998,418
------------ ------------ ------------ ------------ ------------ -------------
7,319,077 31,469,139 15,298,591 49,354,422 (36,293,674) 45,784,415
40,366,826 112,521,653 143,014,166 203,482,872 109,684,328 459,797,532
------------ ------------ ------------ ------------ ------------ -------------
$ 47,685,903 $143,990,792 $158,312,757 $252,837,294 $ 73,390,654 $ 505,581,947
============ ============ ============ ============ ============ =============
</TABLE>
27
<PAGE> 29
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
------------ -------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss)................................ $ (1,125,131) $ (817,712)
Net realized gains (losses) on securities and futures....... 30,372,661 11,625,400
Net realized gains (losses) on foreign currency
transactions.............................................. -- --
Net change in unrealized appreciation (depreciation) on
securities................................................ (26,673,528) 4,240,720
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities in foreign
currencies................................................ -- --
------------ -------------
Net increase (decrease) in net assets resulting from
operations................................................ 2,574,002 15,048,408
------------ -------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income....................................... -- --
------------ -------------
CAPITAL SHARE TRANSACTIONS (NOTE 5):
DIVERSIFIED CLASS OF SHARES:
Issued during period........................................ 160,088,332 497,706,274
Issued on reinvestment of dividends......................... -- --
Redeemed during period...................................... (81,764,258) (452,611,373)
------------ -------------
Net increase (decrease) Diversified Class of Shares......... 78,324,074 45,094,901
------------ -------------
STEPHENS PREMIUM CLASS OF SHARES:
Issued during period........................................ 2,273,461 794,649
Issued on reinvestment of dividends......................... -- --
Redeemed during period...................................... (247,984) (635,511)
------------ -------------
Net increase (decrease) Stephens Premium Class of Shares.... 2,025,477 159,138
------------ -------------
STEPHENS INSTITUTIONAL CLASS OF SHARES:
Issued during period........................................ 8,401,949 5,976,046
Issued on reinvestment of dividends......................... -- --
Redeemed during period...................................... (1,585,761) (1,182,029)
------------ -------------
Net increase (decrease) Stephens Institutional Class of
Shares.................................................... 6,816,188 4,794,017
------------ -------------
Increase (decrease) in net assets from net fund share
transactions.............................................. 87,165,739 50,048,056
------------ -------------
Total increase (decrease) in net assets..................... 89,739,741 65,096,464
NET ASSETS:
Beginning of period......................................... 370,989,098 240,762,931
------------ -------------
End of period............................................... $460,728,839 $ 305,859,395
============ =============
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 30
<TABLE>
<CAPTION>
STEPHENS STEPHENS
AGGRESSIVE HIGH YIELD INTERNATIONAL INTERMEDIATE SELECT STOCK
EQUITY BOND EQUITY BOND EQUITY INDEX
------------- ------------ ------------- ------------ -------- ------------
<S> <C> <C> <C> <C> <C> <C>
$ (895,457) $ 2,065,247 $ 519,042 $ 749,588 $ (9) $ 176,562
(7,539,478) (3,352,402) 16,259,153 (361,766) -- 10,699,638
-- -- (954,309) -- -- --
24,969,266 837,570 (15,237,077) 877,044 -- (11,242,751)
-- -- 793,460 -- -- --
------------- ------------ ------------- ----------- ------ ------------
16,534,331 (449,585) 1,380,269 1,264,866 (9) (366,551)
------------- ------------ ------------- ----------- ------ ------------
-- (1,907,550) (485,548) (689,797) -- (172,157)
------------- ------------ ------------- ----------- ------ ------------
230,282,817 26,751,511 730,679,373 62,999,796
-- 1,722,524 477,992 172,157
(157,724,733) (19,187,721) (676,238,269) (2,970,923)
------------- ------------ ------------- ------------
72,558,084 9,286,314 54,919,096 60,201,030
------------- ------------ ------------- ------------
274,535 326,914 653,237 --
23,292 -- 88,168 --
(12,151) (544,117) (132,281) --
------------ ------------- ----------- ------
285,676 (217,203) 609,124 --
------------ ------------- ----------- ------
1,084,899 3,230,366 15,533,091 --
161,734 7,556 601,629 --
(547,640) (3,609,520) (5,573,433) --
------------ ------------- ----------- ------
698,993 (371,598) 10,561,287 --
------------ ------------- ----------- ------
72,558,084 10,270,983 54,330,295 11,170,411 -- 60,201,030
------------- ------------ ------------- ----------- ------ ------------
89,092,415 7,913,848 55,225,016 11,745,480 (9) 59,662,322
118,496,343 41,902,876 191,433,796 24,824,967 2,119 25,774,897
------------- ------------ ------------- ----------- ------ ------------
$ 207,588,758 $ 49,816,724 $ 246,658,812 $36,570,447 $2,110 $ 85,437,219
============= ============ ============= =========== ====== ============
</TABLE>
29
<PAGE> 31
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT
MARKET QUALITY BOND BOND
------------- ------------ ------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss).................... $ 4,247,164 $ 1,514,811 $ 1,624,117
Net realized gains (losses) on securities and
futures...................................... (20,633) (30,158) 49,879
Net realized gains (losses) on foreign currency
transactions................................. -- -- --
Net change in unrealized appreciation
(depreciation) on securities................. -- (701,343) (1,381,216)
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities in foreign currencies............ -- -- --
------------- ----------- ------------
Net increase (decrease) in net assets
resulting from operations.................. 4,226,531 783,310 292,780
------------- ----------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................... (4,229,513) (1,518,052) (1,618,309)
In excess of net investment income.............. -- -- --
Net realized gains from investment
transactions................................. -- -- (26,073)
In excess of net realized gains................. -- -- --
Tax return of capital........................... -- -- --
------------- ----------- ------------
Total dividends and distributions............ (4,229,513) (1,518,052) (1,644,382)
------------- ----------- ------------
CAPITAL SHARE TRANSACTIONS (NOTE 5):
DIVERSIFIED CLASS OF SHARES:
Issued during year........................... 842,626,435 21,019,600 25,723,467
Issued on reinvestment of dividends and
distributions.............................. 4,087,650 1,518,052 1,644,382
Redeemed during year......................... (811,080,282) (6,400,810) (11,542,749)
------------- ----------- ------------
Net increase Diversified Class of Shares........ 35,633,803 16,136,842 15,825,100
------------- ----------- ------------
STEPHENS PREMIUM CLASS OF SHARES:
Issued during year........................... 153,613
Issued on reinvestment of dividends and
distributions.............................. 3,701
Redeemed during year......................... (203,682)
-------------
Net increase (decrease) Stephens Premium Class
of Shares.................................... (46,368)
-------------
STEPHENS INSTITUTIONAL CLASS OF SHARES:
Issued during year........................... 4,900,650
Issued on reinvestment of dividends and
distributions.............................. 138,162
Redeemed during year......................... (9,413,887)
-------------
Net increase (decrease) Stephens Institutional
Class of Shares.............................. (4,375,075)
-------------
Increase in net assets from net fund share
transactions................................. 31,212,360 16,136,842 15,825,100
------------- ----------- ------------
Total increase in net assets...................... 31,209,378 15,402,100 14,473,498
NET ASSETS:
Beginning of year............................... 72,972,119 21,031,334 25,893,328
------------- ----------- ------------
End of year..................................... $ 104,181,497 $36,433,434 $ 40,366,826
============= =========== ============
</TABLE>
---------------
(1) Formerly the Government/Corporate Bond Fund
See notes to financial statements.
30
<PAGE> 32
<TABLE>
<CAPTION>
CORE EQUITY EQUITY GROWTH &
BOND (1) BALANCED INCOME VALUE INCOME
------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
$ 4,716,179 $ 2,313,933 $ 1,972,179 $ 1,118,965 $ (1,490,263)
(2,989,387) 9,080,597 15,265,851 3,340,568 46,227,322
-- 131,761 -- -- --
(2,993,983) 2,381,690 (6,202,711) (8,950,631) 53,763,994
-- 9,088 -- -- --
------------ ------------ ------------ ------------ -------------
(1,267,191) 13,917,069 11,035,319 (4,491,098) 98,501,053
------------ ------------ ------------ ------------ -------------
(4,703,886) (2,446,230) (1,873,496) (1,072,387) --
-- -- -- -- --
-- (6,755,333) (5,472,322) (3,047,040) (20,253,293)
-- -- -- (3,171,480) --
-- -- -- -- --
------------ ------------ ------------ ------------ -------------
(4,703,886) (9,201,563) (7,345,818) (7,290,907) (20,253,293)
------------ ------------ ------------ ------------ -------------
81,981,077 67,817,082 148,777,258 98,685,945 348,248,667
4,703,886 9,201,563 7,345,818 5,330,472 20,253,293
(33,798,013) (42,190,264) (80,807,918) (61,300,748) (187,898,597)
------------ ------------ ------------ ------------ -------------
52,886,950 34,828,381 75,315,158 42,715,669 180,603,363
------------ ------------ ------------ ------------ -------------
3,778,485
442,170
(673,184)
------------
3,547,471
------------
8,762,946
1,518,265
(4,987,832)
------------
5,293,379
------------
52,886,950 34,828,381 75,315,158 51,556,519 180,603,363
------------ ------------ ------------ ------------ -------------
46,915,873 39,543,887 79,004,659 39,774,514 258,851,123
65,605,780 103,470,279 124,478,213 69,909,814 200,946,409
------------ ------------ ------------ ------------ -------------
$112,521,653 $143,014,166 $203,482,872 $109,684,328 $ 459,797,532
============ ============ ============ ============ =============
</TABLE>
31
<PAGE> 33
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
EQUITY SPECIAL AGGRESSIVE
GROWTH EQUITY EQUITY
------------- ------------- ------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss)....................... $ (1,097,827) $ (761,968) $ (592,935)
Net realized gains (losses) on securities and
futures.......................................... 29,618,171 29,976,744 11,963,964
Net realized gains (losses) on foreign currency
transactions..................................... -- -- --
Net change in unrealized appreciation
(depreciation) on securities..................... 58,507,258 17,057,980 29,570,965
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities in foreign currencies................ -- -- --
------------- ------------- ------------
Net increase (decrease) in net assets resulting
from operations............................... 87,027,602 46,272,756 40,941,994
------------- ------------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. -- -- --
In excess of net investment income................. -- -- --
Net realized gains from investment transactions.... (14,061,707) (15,744,623) (8,275,296)
In excess of net realized gains.................... -- -- --
Tax return of capital.............................. -- -- --
------------- ------------- ------------
Total dividends and distributions................ (14,061,707) (15,744,623) (8,275,296)
------------- ------------- ------------
CAPITAL SHARE TRANSACTIONS (NOTE 5):
DIVERSIFIED CLASS OF SHARES:
Issued during year............................... 273,476,423 222,838,966 111,196,362
Issued on reinvestment of dividends and
distributions................................. 12,782,283 13,708,047 8,275,296
Redeemed during year............................. (154,382,515) (167,318,946) (67,796,993)
------------- ------------- ------------
Net increase Diversified Class of Shares........... 131,876,191 69,228,067 51,674,665
------------- ------------- ------------
STEPHENS PREMIUM CLASS OF SHARES:
Issued during year............................... 3,236,274 2,731,396
Issued on reinvestment of dividends and
distributions................................. 256,141 546,105
Redeemed during year............................. (291,936) (907,723)
------------- -------------
Net increase (decrease) Stephens Premium Class of
Shares........................................... 3,200,479 2,369,778
------------- -------------
STEPHENS INSTITUTIONAL CLASS OF SHARES:
Issued during year............................... 7,373,138 4,875,029
Issued on reinvestment of dividends and
distributions................................. 1,023,283 1,490,471
Redeemed during year............................. (1,651,515) (3,083,872)
------------- -------------
Net increase (decrease) Stephens Institutional
Class of Shares.................................. 6,744,906 3,281,628
------------- -------------
Increase in net assets from net fund share
transactions..................................... 141,821,576 74,879,473 51,674,665
------------- ------------- ------------
Total increase in net assets......................... 214,787,471 105,407,606 84,341,363
NET ASSETS:
Beginning of year.................................. 156,201,627 135,355,325 34,154,980
------------- ------------- ------------
End of year........................................ $ 370,989,098 $ 240,762,931 $118,496,343
============= ============= ============
</TABLE>
---------------
(2) Commencement of Operations, March 10, 1999
See notes to financial statements.
32
<PAGE> 34
<TABLE>
<CAPTION>
STEPHENS STEPHENS
HIGH YIELD INTERNATIONAL INTERMEDIATE SELECT STOCK
BOND EQUITY BOND EQUITY INDEX(2)
------------ ------------- ------------ -------- -----------
<S> <C> <C> <C> <C> <C>
$ 2,778,436 $ 193,734 $ 1,039,283 $ (10) $ 101,994
(1,971,625) 7,243,630 (65,832) -- 590,368
-- (468,918) -- -- --
(780,498) 59,453,830 (597,651) -- 1,595,367
-- (222,294) -- -- --
------------ ------------- ----------- ------ -----------
26,313 66,199,982 375,800 (10) 2,287,729
------------ ------------- ----------- ------ -----------
(4,123,179) -- (1,039,283) -- (96,683)
(35,112) (655,197) -- -- --
-- (3,012,907) -- -- --
-- -- -- -- --
-- -- (30,094) -- --
------------ ------------- ----------- ------ -----------
(4,158,291) (3,668,104) (1,069,377) -- (96,683)
------------ ------------- ----------- ------ -----------
58,411,981 418,368,685 25,359,765
3,740,886 3,336,191 96,683
(43,147,624) (366,816,411) (1,872,597)
------------ ------------- -----------
19,005,243 54,888,465 23,583,851
------------ ------------- -----------
443,152 1,807,983 1,451,399 15
51,261 73,362 144,919 --
(458,491) (715,384) (2,073,976) --
------------ ------------- ----------- ------
35,922 1,165,961 (477,658) 15
------------ ------------- ----------- ------
1,898,237 4,491,820 12,717,976 10
366,144 258,551 924,458 --
(726,306) (3,099,404) (8,544,967) --
------------ ------------- ----------- ------
1,538,075 1,650,967 5,097,467 10
------------ ------------- ----------- ------
20,579,240 57,705,393 4,619,809 25 23,583,851
------------ ------------- ----------- ------ -----------
16,447,262 120,237,271 3,926,232 15 25,774,897
25,455,614 71,196,525 20,898,735 2,104 --
------------ ------------- ----------- ------ -----------
$ 41,902,876 $ 191,433,796 $24,824,967 $2,119 $25,774,897
============ ============= =========== ====== ===========
</TABLE>
33
<PAGE> 35
STEPHENS INTERMEDIATE BOND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -----------
<C> <S> <C>
US TREASURY NOTES -- 67.17%
$ 4,000,000 6.50%, 08/15/05............................................. $ 4,042,500
10,555,000 6.25%, 02/15/07............................................. 10,564,901
5,160,000 5.625%, 05/15/08............................................ 4,976,175
5,210,000 5.50%, 05/15/09............................................. 4,982,062
-----------
TOTAL US TREASURY NOTES (Cost $24,073,804).................. 24,565,638
-----------
US TREASURY INFLATION INDEX -- 21.58%
7,680,000 3.625%, 01/15/08 (Cost $7,841,944).......................... 7,891,653
-----------
Total Investments -- 88.75% (Cost $31,915,748).............. 32,457,291
Other assets less liabilities -- 11.25%..................... 4,113,156
-----------
NET ASSETS -- 100.00%....................................... $36,570,447
===========
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $31,915,748.
The following amount is based on cost for federal income tax
purposes:
</TABLE>
<TABLE>
<C> <S> <C>
Gross unrealized appreciation............................... $ 541,543
===========
</TABLE>
See notes to financial statements.
34
<PAGE> 36
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION
The Diversified Investors Funds Group (the "Trust"), a Massachusetts
business trust, is registered under the Investment Company Act of 1940 (the
"1940 Act"), as amended, as an open-end management investment company. The Trust
is composed of sixteen different series that are, in effect, separate investment
funds. Fourteen of the series are as follows: the Money Market Fund, the High
Quality Bond Fund, the Intermediate Government Bond Fund, the Core Bond Fund,
the Balanced Fund, the Value & Income Fund (formerly known as the Equity Income
Fund), the Equity Value Fund, the Growth & Income Fund, the Equity Growth Fund,
the Special Equity Fund, the Aggressive Equity Fund, the High Yield Bond Fund,
the International Equity Fund and the Stock Index Fund, (collectively, the
"Funds"). The Trust established and designated each of the Funds as separate
series on April 23, 1993, with the exception of the Intermediate Government Bond
Fund, the High Yield Bond Fund and the International Equity Fund which were
established on October 2, 1995, the Equity Value Fund and the Aggressive Equity
Fund which were established on May 1, 1996 and the Stock Index Fund which was
established March 10, 1999. Effective February 10, 1999, the Stock Index Fund
changed its year end from February 28, to December 31. Each Fund, with the
exception of the Stock Index Fund seeks to achieve its investment objective by
investing all of its investable assets in a corresponding series of Diversified
Investors Portfolios (the "Series Portfolio"). The Stock Index Fund seeks to
achieve its investment objective by investing all of its investable assets in
the Barclay Investors Master Portfolio -- S&P 500 Index Portfolio (the "Global
Investors Master Portfolio"). The Series Portfolio and the Global Investors
Master Portfolio are open-end management investment companies registered under
the 1940 Act.
The Stephens Intermediate Bond Fund and the Stephens Select Equity Fund
(collectively, the "Stephens Funds"), two additional series of the Trust, were
established on January 2, 1998. The Funds and the Stephens Funds offer Premium
Class and Institutional Class shares. The Stephens Intermediate Bond Fund seeks
to achieve its investment objective by investing in a broad range of fixed
income securities, including debt securities of U.S. and non-U.S. government
agencies and preferred stock and debt securities of U.S. and non-U.S. companies.
The Stephens Select Equity Fund seeks to achieve its investment objective by
investing primarily in equity securities of domestic corporations. On January 2,
1998, six of the Funds (Money Market, Equity Value, Equity Growth, Special
Equity, High Yield Bond and International Equity) established Stephens Premium
Class and Stephens Institutional Class shares, in addition to the existing
shares now known as the Diversified Class of shares. The three classes of shares
have identical voting, dividend, liquidation and other rights, except that each
class bears its separate distribution and certain other class expenses, and have
exclusive voting rights with respect to any matter on which a separate vote of
any class is required by federal or state law.
At June 30, 2000, each Fund's investment in the corresponding Series
Portfolios/Global Investors Master Portfolio was as follows:
<TABLE>
<CAPTION>
FUND PERCENTAGE OF INTEREST IN PORTFOLIOS
---- ------------------------------------
<S> <C>
Money Market................................................ 37.38
High Quality Bond........................................... 19.84
Intermediate Government Bond................................ 26.60
Core Bond................................................... 26.68
Balanced.................................................... 30.12
Value & Income (formerly Equity Income)..................... 22.75
Equity Value................................................ 42.63
Growth & Income............................................. 38.48
Equity Growth............................................... 33.46
</TABLE>
35
<PAGE> 37
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
1. ORGANIZATION (CONTINUED)
<TABLE>
<CAPTION>
FUND PERCENTAGE OF INTEREST IN PORTFOLIOS
---- ------------------------------------
<S> <C>
Special Equity.............................................. 23.24
Aggressive Equity........................................... 47.11
High Yield Bond............................................. 39.96
International Equity........................................ 35.37
Stock Index................................................. 2.24
</TABLE>
The financial statements of the Series Portfolio, the Global Investors
Master Portfolio and the Stephens Funds, including the Schedule of Portfolio
Investments, are contained elsewhere in this report and should be read in
conjunction with the Funds' and the Stephens Funds' financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds and the Stephens Funds in the preparation of its financial
statements.
A. INVESTMENT VALUATION:
The value of each Fund's investment in a corresponding series of the Series
Portfolio or the Global Investors Master Portfolio reflects that Fund's
proportional interest in the net assets of the corresponding series of the
Series Portfolio or Global Investors Master Portfolio.
The valuation policy of the securities held by the Series Portfolio is
discussed in Note 2A of the Series Portfolio's notes to financial statements,
which are included elsewhere in this report.
The valuation policy for the Stock Index Fund is discussed in Note 1 of the
Global Investors Master Portfolio notes to financial statements, which are
located elsewhere in this book.
The bonds held by the Stephens Intermediate Bond Fund are valued at the
last available price provided by an independent pricing service for securities
traded on a national securities exchange. Bonds that are listed on a national
securities exchange but are not traded and bonds that are regularly traded in
the over-the-counter market are valued at the mean of the last available bid and
asked prices by an independent pricing service.
B. INVESTMENT INCOME:
Each Fund earns income, net of expenses, daily on its investment in the
corresponding series of the Series Portfolio/the Global Investor Master
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Series Portfolio/the Global
Investor Master Portfolio are allocated pro rata among the investors at the time
of such determination.
Security transactions for the Stephens Intermediate Bond Fund are accounted
for on a trade-date basis (the date the order to buy or sell is executed).
Interest income for the Stephens Intermediate Bond Fund is recorded on the
accrual basis and includes amortization of premiums and accretion of discounts
on investments. Income and realized/unrealized gains/losses are allocated
proportionately to each class of shares based upon the relative daily net asset
value of each class. Realized gains and losses from security transactions are
recorded on the identified cost basis.
36
<PAGE> 38
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
C. DIVIDENDS AND DISTRIBUTIONS:
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Dividends from net investment income and distributions from net realized
capital gains will normally be declared quarterly and annually, respectively,
and reinvested in additional shares.
The character of distributions made during the year from net investment
income or net realized gains may differ from their ultimate characterization for
federal income tax purposes. The differences reflect the differing character of
certain income items and net realized gains and losses for financial statement
and tax purposes and may result in reclassification among certain capital
accounts.
D. FEDERAL INCOME TAXES:
Each Fund of the Trust is a separate entity for federal income tax purposes
and intends to comply with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute all of their
taxable income to shareholders. Therefore, no federal income tax provision is
required.
For federal income tax purposes, the Funds indicated below have capital
loss carryforwards at June 30, 2000, which are available to offset future
realized capital gains, if any:
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD EXPIRATION DATE
------------------------- ---------------
<S> <C> <C>
Money Market............................................. $ 2,290 2006
20,633 2007
High Quality Bond........................................ 39,967 2006
65,017 2007
Core Bond................................................ 2,910,188 2007
Special Equity........................................... 58,568 2006
High Yield Bond.......................................... 170,035 2006
1,748,170 2007
Stephens Intermediate Bond............................... 65,832 2007
</TABLE>
E. OPERATING EXPENSES:
The Trust accounts separately for the assets, liabilities and operations of
the Funds and the Stephens' Funds. Expenses directly attributable to a fund are
charged to that fund, while expenses attributable to all funds are allocated
among them.
Additionally, the Funds and the Stephens Funds may allocate among their
classes certain non class specific expenses based upon the relative daily net
asset value of each class. Class specific expenses of the Funds and the Stephens
Funds are limited to shareholder servicing fees.
F. OTHER:
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 at the
date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
37
<PAGE> 39
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Administrative Services Agreement with
Diversified Investment Advisors, Inc. ("the Advisor"), an indirect, wholly-owned
subsidiary of AEGON USA, Inc., under which the Advisor provides administration
and transfer agency services. For providing these services, facilities and for
bearing the related expenses, the Advisor receives a monthly fee from the Funds
and the Stephens Funds at an annual rate equal to 0.30%, except for the Stock
Index Fund for which the rate is 0.35%, of the average daily net assets of each
Fund during the month. For these services, the Advisor earned $3,692,076 for the
period ended June 30, 2000.
The Trust has also entered into a Distribution Agreement with Diversified
Investors Securities Corp. (the "Distributor"), a wholly-owned subsidiary of the
Advisor. Pursuant to Rule 12b-1 of the 1940 Act, the Distributor may receive a
fee from each Fund and the Stephens Funds at an annual rate not to exceed 0.25%
of each Fund's average daily net assets as reimbursement for expenses incurred
in connection with the sale of shares of the Fund. The aggregate distribution
fees incurred by the Funds and the Stephens Funds amounted to $3,144,058 for the
period ended June 30, 2000.
Stephens, Inc. (the "Service Agent") provides shareholder services to all
holders of Stephens Premium and Stephens Institutional Classes of shares. The
Service Agent receives a fee from each of these two classes of shares at an
annual rate of 0.50% and 0.35%, respectively, of the average daily net assets of
each class. The Service Agent earned fees of $235,050 for the period ended June
30, 2000.
The Advisor, Distributor and Service Agent have voluntarily undertaken to
reimburse expenses of each class, to the extent necessary, to limit expenses to
a rate equal to the percentages specified in the table below of the
corresponding class' average daily net assets, including the expenses of the
Portfolio Series.
<TABLE>
<CAPTION>
STEPHENS STEPHENS
DIVERSIFIED PREMIUM INSTITUTIONAL
CLASS CLASS CLASS
EXPENSE CAP EXPENSE CAP EXPENSE CAP
---------------------- ----------- -------------
<S> <C> <C> <C>
Money Market.................................... 80 basis points (b.p.) 95 b.p. 75 b.p.
High Quality Bond............................... 100 b.p. -- --
Intermediate Government Bond.................... 100 b.p. -- --
Core Bond....................................... 100 b.p. -- --
Balanced........................................ 110 b.p. -- --
Value & Income (formerly Equity Income)......... 100 b.p. -- --
Equity Value.................................... 110 b.p. 135 b.p. 110 b.p.
Growth & Income................................. 115 b.p. -- --
Equity Growth................................... 125 b.p. 120 b.p. 100 b.p.
Special Equity.................................. 150 b.p. 140 b.p. 120 b.p.
Aggressive Equity............................... 150 b.p. -- --
High Yield Bond................................. 110 b.p. 130 b.p. 110 b.p.
International Equity............................ 140 b.p. 145 b.p. 125 b.p.
Stock Index..................................... 65 b.p. -- --
Stephens Intermediate Bond...................... -- 90 b.p. 80 b.p.
Stephens Select Equity.......................... -- 90 b.p. 85 b.p.
</TABLE>
Of the fees earned by the Advisor, Distributor, and Service Agent, $47,890,
$573,781, and $176,137, respectively, were reimbursed.
Certain trustees and officers of the Trust are also directors, officers or
employees of the Advisor or its affiliates. None of the trustees so affiliated
receive compensation for services as trustees of the Trust. Similarly,
38
<PAGE> 40
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
none of the Trust's officers receive compensation from the Funds. Aggregate
remuneration incurred for non-affiliated trustees of the Trust for the period
ended June 30, 2000, amounted to $22,531.
4. PURCHASE AND SALE OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from the sales for
the period ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Stephens Intermediate Bond
U.S. Government Obligations............................... $46,530,158 $40,101,945
</TABLE>
39
<PAGE> 41
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. CAPITAL SHARE TRANSACTIONS
The Trust has an unlimited authorized number of shares (par value of
$0.00001) which are presently divided into fifteen series of shares (one series
underlying each Fund). The Money Market, Equity Value, Equity Growth, Special
Equity, High Yield Bond and International Equity Funds each contain three
classes of shares, the Diversified Class, the Stephens Premium Class and the
Stephens Institutional Class. The Stephens Funds each contain two classes of
shares, the Stephens Premium Class and the Stephens Institutional Class. The
transactions in each of the classes are as follows:
<TABLE>
<CAPTION>
DIVERSIFIED CLASS
---------------------------------
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
SHARES SHARES
------------- -----------------
<S> <C> <C>
MONEY MARKET
Issued during period........................................ 143,406,194 78,859,310
Issued on reinvestment of dividends and distributions....... 327,523 386,722
Redeemed during period...................................... (136,479,704) (75,968,833)
------------ -----------
Net increase................................................ 7,254,013 3,277,199
============ ===========
HIGH QUALITY BOND
Issued during period........................................ 1,026,195 1,828,988
Issued on reinvestment of dividends and distributions....... 94,335 135,773
Redeemed during period...................................... (341,183) (556,100)
------------ -----------
Net increase................................................ 779,347 1,408,661
============ ===========
INTERMEDIATE GOVERNMENT BOND
Issued during period........................................ 1,679,197 2,334,425
Issued on reinvestment of dividends and distributions....... 104,297 154,693
Redeemed during period...................................... (1,125,425) (1,048,753)
------------ -----------
Net increase................................................ 658,069 1,440,365
============ ===========
CORE BOND
Issued during period........................................ 5,789,363 6,575,465
Issued on reinvestment of dividends and distributions....... 278,815 395,618
Redeemed during period...................................... (3,440,676) (2,710,616)
------------ -----------
Net increase................................................ 2,627,502 4,260,467
============ ===========
BALANCED
Issued during period........................................ 1,923,340 4,235,665
Issued on reinvestment of dividends and distributions....... 94,271 577,771
Redeemed during period...................................... (1,019,739) (2,618,909)
------------ -----------
Net increase................................................ 997,872 2,194,527
============ ===========
VALUE & INCOME
Issued during period........................................ 7,699,100 6,666,565
Issued on reinvestment of dividends and distributions....... 86,375 350,301
Redeemed during period...................................... (4,526,141) (3,585,250)
------------ -----------
Net increase................................................ 3,259,334 3,431,616
============ ===========
</TABLE>
40
<PAGE> 42
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
DIVERSIFIED CLASS
---------------------------------
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
SHARES SHARES
------------- -----------------
<S> <C> <C>
EQUITY VALUE
Issued during period........................................ 6,530,039 7,733,949
Issued on reinvestment of dividends and distributions....... 55,322 494,096
Redeemed during period...................................... (9,170,307) (4,696,502)
------------ -----------
Net increase (decrease)..................................... (2,584,946) 3,531,543
============ ===========
GROWTH & INCOME
Issued during period........................................ 6,369,834 13,611,040
Issued on reinvestment of dividends and distributions....... -- 725,664
Redeemed during period...................................... (4,404,558) (7,228,547)
------------ -----------
Net increase................................................ 1,965,276 7,108,157
============ ===========
EQUITY GROWTH
Issued during period........................................ 5,313,745 10,445,421
Issued on reinvestment of dividends and distributions....... -- 441,263
Redeemed during period...................................... (2,702,066) (5,875,950)
------------ -----------
Net increase................................................ 2,611,679 5,010,734
============ ===========
SPECIAL EQUITY
Issued during period........................................ 19,375,375 10,159,000
Issued on reinvestment of dividends and distributions....... -- 607,626
Redeemed during period...................................... (17,598,717) (7,600,022)
------------ -----------
Net increase................................................ 1,776,658 3,166,604
============ ===========
AGGRESSIVE EQUITY
Issued during period........................................ 10,207,144 6,574,357
Issued on reinvestment of dividends and distributions....... -- 430,781
Redeemed during period...................................... (6,985,005) (3,817,840)
------------ -----------
Net increase................................................ 3,222,139 3,187,298
============ ===========
HIGH YIELD BOND
Issued during period........................................ 2,634,677 5,100,727
Issued on reinvestment of dividends and distributions....... 174,345 352,076
Redeemed during period...................................... (1,890,232) (3,755,739)
------------ -----------
Net increase................................................ 918,790 1,697,064
============ ===========
INTERNATIONAL EQUITY
Issued during period........................................ 36,399,329 25,762,223
Issued on reinvestment of dividends and distributions....... 23,466 173,399
Redeemed during period...................................... (33,469,621) (22,369,827)
------------ -----------
Net increase................................................ 2,953,174 3,565,795
============ ===========
STOCK INDEX
Issued during period........................................ 5,522,159 2,413,720
Issued on reinvestment of dividends and distributions....... 14,924 8,718
Redeemed during period...................................... (264,944) (178,269)
------------ -----------
Net increase................................................ 5,272,139 2,244,169
============ ===========
</TABLE>
41
<PAGE> 43
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
STEPHENS PREMIUM CLASS
---------------------------------
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
SHARES SHARES
------------- -----------------
<S> <C> <C>
MONEY MARKET
Issued during period........................................ 34,912 14,715
Issued on reinvestment of dividends and distributions....... 1,051 352
Redeemed during period...................................... (12,020) (19,369)
------------ -----------
Net increase (decrease)..................................... 23,943 (4,302)
============ ===========
EQUITY VALUE
Issued during period........................................ 330,205 351,334
Issued on reinvestment of dividends and distributions....... 9,710 52,081
Redeemed during period...................................... (77,507) (65,009)
------------ -----------
Net increase................................................ 262,408 338,406
============ ===========
EQUITY GROWTH
Issued during period........................................ 132,923 224,906
Issued on reinvestment of dividends and distributions....... -- 16,022
Redeemed during period...................................... (14,896) (19,423)
------------ -----------
Net increase................................................ 118,027 221,505
============ ===========
SPECIAL EQUITY
Issued during period........................................ 71,975 263,878
Issued on reinvestment of dividends and distributions....... -- 54,775
Redeemed during period...................................... (58,648) (89,224)
------------ -----------
Net increase................................................ 13,327 229,429
============ ===========
HIGH YIELD BOND
Issued during period........................................ 30,917 43,373
Issued on reinvestment of dividends and distributions....... 2,724 5,437
Redeemed during period...................................... (1,366) (46,939)
------------ -----------
Net increase................................................ 32,275 1,871
============ ===========
INTERNATIONAL EQUITY
Issued during period........................................ 19,549 133,740
Issued on reinvestment of dividends and distributions....... -- 4,568
Redeemed during period...................................... (31,934) (56,605)
------------ -----------
Net increase (decrease)..................................... (12,385) 81,703
============ ===========
STEPHENS INTERMEDIATE BOND
Issued during period........................................ 66,118 142,805
Issued on reinvestment of dividends and distributions....... 8,808 14,653
Redeemed during period...................................... (13,238) (202,743)
------------ -----------
Net increase (decrease)..................................... 61,688 (45,285)
============ ===========
STEPHENS SELECT EQUITY
Issued during period........................................ -- 2
Issued on reinvestment of dividends and distributions....... -- --
------------ -----------
Net increase................................................ -- 2
============ ===========
</TABLE>
42
<PAGE> 44
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
STEPHENS INSTITUTIONAL CLASS
---------------------------------
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
SHARES SHARES
------------- -----------------
<S> <C> <C>
MONEY MARKET
Issued during period........................................ 329,624 467,588
Issued on reinvestment of dividends and distributions....... 13,136 13,310
Redeemed during period...................................... (216,269) (907,507)
------------ -----------
Net increase (decrease)..................................... 126,491 (426,609)
============ ===========
EQUITY VALUE
Issued during period........................................ 841,614 835,336
Issued on reinvestment of dividends and distributions....... 23,893 170,698
Redeemed during period...................................... (427,620) (481,132)
------------ -----------
Net increase................................................ 437,887 524,902
============ ===========
EQUITY GROWTH
Issued during period........................................ 511,666 509,289
Issued on reinvestment of dividends and distributions....... -- 65,283
Redeemed during period...................................... (96,075) (111,617)
------------ -----------
Net increase................................................ 415,591 462,955
============ ===========
SPECIAL EQUITY
Issued during period........................................ 520,302 466,881
Issued on reinvestment of dividends and distributions....... -- 144,847
Redeemed during period...................................... (106,099) (289,552)
------------ -----------
Net increase................................................ 414,203 322,176
============ ===========
HIGH YIELD BOND
Issued during period........................................ 123,224 190,231
Issued on reinvestment of dividends and distributions....... 18,960 39,555
Redeemed during period...................................... (61,897) (73,018)
------------ -----------
Net increase................................................ 80,287 156,768
============ ===========
INTERNATIONAL EQUITY
Issued during period........................................ 189,773 362,110
Issued on reinvestment of dividends and distributions....... 441 16,019
Redeemed during period...................................... (214,546) (243,807)
------------ -----------
Net increase (decrease)..................................... (24,332) 134,322
============ ===========
STEPHENS INTERMEDIATE BOND
Issued during period........................................ 1,550,595 1,236,107
Issued on reinvestment of dividends and distributions....... 59,508 92,538
Redeemed during period...................................... (550,290) (833,834)
------------ -----------
Net increase................................................ 1,059,813 494,811
============ ===========
STEPHENS SELECT EQUITY
Issued during period........................................ -- 1
Issued on reinvestment of dividends and distributions....... -- --
------------ -----------
Net increase................................................ -- 1
============ ===========
</TABLE>
43
<PAGE> 45
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS
Selected data for an average share outstanding for the period/year for the
DIVERSIFIED CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET ASSET NET REALIZED TOTAL
VALUE NET AND UNREALIZED INCOME
FOR THE BEGINNING INVESTMENT GAINS (LOSS) FROM
PERIOD/YEAR OF INCOME (LOSSES) ON INVESTMENT
ENDED PERIOD/YEAR (LOSS) INVESTMENTS OPERATIONS
----------- ----------- ---------- -------------- -----------
<S> <C> <C> <C> <C>
MONEY MARKET
06/30/2000+ $10.58 $0.29 $ 0.01 $ 0.30
12/31/1999 10.44 0.49 -- 0.49
12/31/1998 10.26 0.51 -- 0.51
12/31/1997 10.11 0.51 (0.01) 0.50
12/31/1996 9.83 0.19 0.30 0.49
12/31/1995 9.61 0.31 0.22 0.53
HIGH QUALITY BOND
06/30/2000+ 11.19 0.31 (0.01) 0.30
12/31/1999 11.39 0.60 (0.30) 0.30
12/31/1998 11.13 0.61 0.06 0.67
12/31/1997 10.89 0.63 (0.07) 0.56
12/31/1996 10.61 0.20 0.28 0.48
12/31/1995 9.87 0.42 0.74 1.16
INTERMEDIATE GOVERNMENT BOND(1)
06/30/2000+ 10.63 0.28 0.05 0.33
12/31/1999 10.98 0.53 (0.42) 0.11
12/31/1998 10.67 0.54 0.15 0.69
12/31/1997 10.21 0.54 0.16 0.70
12/31/1996 10.00 0.14 0.22 0.36
CORE BOND
06/30/2000+ 11.88 0.33 (0.03) 0.30
12/31/1999 12.60 0.66 (0.85) (0.19)
12/31/1998 12.27 0.68 0.20 0.88
12/31/1997 11.69 0.72 0.24 0.96
12/31/1996 11.60 0.22 0.10 0.32
12/31/1995 9.91 0.30 1.71 2.01
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
----------------------------------------------------------------
NET IN EXCESS
IN EXCESS REALIZED OF NET TAX
FOR THE NET OF NET GAINS REALIZED GAINS RETURN
PERIOD/YEAR INVESTMENT INVESTMENT (LOSSES) ON (LOSSES) ON OF
ENDED INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL
----------- ---------- ---------- ----------- -------------- -------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
06/30/2000+ $(0.28) $ -- $ -- $ -- $ --
12/31/1999 (0.35) -- -- -- --
12/31/1998 (0.33) -- -- -- (0.00)**
12/31/1997 (0.35) -- -- -- --
12/31/1996 (0.19) -- -- -- (0.02)
12/31/1995 (0.31) -- -- -- --
HIGH QUALITY BOND
06/30/2000+ (0.27) -- -- -- --
12/31/1999 (0.50) -- -- -- --
12/31/1998 (0.41) -- -- -- --
12/31/1997 (0.32) -- -- -- (0.00)**
12/31/1996 (0.20) -- -- -- --
12/31/1995 (0.42) -- -- -- --
INTERMEDIATE GOVERNMENT BOND(1)
06/30/2000+ (0.26) -- -- -- --
12/31/1999 (0.45) -- (0.01) -- --
12/31/1998 (0.37) -- (0.01) -- (0.00)**
12/31/1997 (0.24) -- -- -- (0.00)**
12/31/1996 (0.14) -- -- -- (0.01)
CORE BOND
06/30/2000+ (0.28) -- -- -- --
12/31/1999 (0.53) -- -- -- --
12/31/1998 (0.54) -- (0.01)** -- (0.00)**
12/31/1997 (0.38) -- -- -- (0.00)**
12/31/1996 (0.23) -- -- -- --
12/31/1995 (0.28) -- (0.04) -- --
</TABLE>
---------------
<TABLE>
<C> <S>
+ Unaudited
* Annualized
** Less than one penny per share
*** Formerly the Equity Income Fund
(1) Commencement of operations February 22, 1996
(2) Commencement of operations June 13, 1996
(3) Commencement of operations June 11, 1996
(4) Commencement of operations January 30, 1996
(5) Commencement of operations January 18, 1996
</TABLE>
44
<PAGE> 46
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
-----------------------------------------------------------
EXPENSES EXPENSES NET
TOTAL NET ASSET INCLUDING INCLUDING NET INVESTMENT
DIVIDENDS VALUE NET ASSETS THE THE SERIES INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF SERIES PORTFOLIO (NET OF INCOME (NET OF
DISTRIBUTIONS PERIOD/YEAR RETURN PERIOD/YEAR PORTFOLIO REIMBURSEMENT) (LOSS) REIMBURSEMENT)
------------- ----------- ------ ------------ --------- ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.28) $10.60 2.83% $176,598,212 0.86%* 0.80%* 5.35%* 5.41%*
(0.35) 10.58 4.66 99,519,160 0.88 0.80 4.49 4.57
(0.33) 10.44 4.91 63,979,337 0.97 0.80 4.65 4.82
(0.35) 10.26 4.98 21,513,791 1.12 0.80 4.55 4.87
(0.21) 10.11 4.87 3,783,802 4.35 0.80 1.20 4.76
(0.31) 9.83 5.50 113,491 67.48 0.76 (61.47) 5.24
(0.27) 11.22 2.68 45,276,481 1.02* 0.99* 5.51* 5.54*
(0.50) 11.19 2.63 36,433,434 1.08 1.00 5.10 5.18
(0.41) 11.39 6.08 21,031,334 1.22 1.00 5.05 5.27
(0.32) 11.13 5.11 8,480,842 1.77 1.00 4.81 5.58
(0.20) 10.89 4.51 966,031 12.60 0.98 5.58 6.03
(0.42) 10.61 11.85 71,167 91.16 1.00 (83.53) 6.63
(0.26) 10.70 3.08 47,685,903 1.04* 0.99* 5.12* 5.17*
(0.46) 10.63 0.99 40,366,826 1.08 1.00 4.79 4.87
(0.38) 10.98 6.47 25,893,328 1.19 1.00 4.65 4.84
(0.24) 10.67 6.88 8,515,888 1.91 1.00 4.13 5.05
(0.15) 10.21 4.15 893,261 17.46* 0.94* (11.28)* 5.24*
(0.28) 11.90 2.54 143,990,792 0.97* 0.97* 5.55* 5.55*
(0.53) 11.88 (1.51) 112,521,653 0.97 0.97 5.26 5.26
(0.55) 12.60 7.21 65,605,780 1.05 1.00 5.30 5.35
(0.38) 12.27 8.14 21,504,827 1.32 1.00 5.52 5.85
(0.23) 11.69 2.74 2,056,127 7.50 0.99 0.66 5.85
(0.32) 11.60 20.30 175,079 56.91 0.85 (50.11) 5.92
</TABLE>
45
<PAGE> 47
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS (CONTINUED)
For the average shares outstanding for the period/year for the
DIVERSIFIED CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET ASSET NET REALIZED TOTAL
VALUE NET AND UNREALIZED INCOME
FOR THE BEGINNING INVESTMENT GAINS (LOSS) FROM
PERIOD/YEAR OF INCOME (LOSSES) ON INVESTMENT
ENDED PERIOD/YEAR (LOSS) INVESTMENTS OPERATIONS
----------- ----------- ---------- -------------- -----------
<S> <C> <C> <C> <C>
BALANCED
06/30/2000+ $16.32 $ 0.18 $(0.12) $ 0.06
12/31/1999 15.75 0.30 1.40 1.70
12/31/1998 14.58 0.40 1.31 1.71
12/31/1997 13.27 0.44 2.02 2.46
12/31/1996 12.04 0.21 1.77 1.98
12/31/1995 10.05 0.24 2.61 2.85
VALUE & INCOME***
06/30/2000+ 21.69 0.17 (1.72) (1.55)
12/31/1999 20.93 0.27 1.31 1.58
12/31/1998 19.22 0.35 2.02 2.37
12/31/1997 15.25 0.32 4.14 4.46
12/31/1996 13.09 0.16 2.18 2.34
12/31/1995 9.93 0.16 3.28 3.44
EQUITY VALUE(2)
06/30/2000+ 11.16 0.09 (1.73) (1.64)
12/31/1999 12.38 0.16 (0.56) (0.40)
12/31/1998 12.27 0.13 1.17 1.30
12/31/1997 10.75 0.12 2.17 2.29
12/31/1996 10.00 0.02 0.86 0.88
GROWTH & INCOME
06/30/2000+ 29.69 (0.07) (0.65) (0.72)
12/31/1999 23.99 (0.12) 7.24 7.12
12/31/1998 18.16 (0.05) 6.32 6.27
12/31/1997 13.78 0.02 4.67 4.69
12/31/1996 11.47 0.19 2.29 2.48
12/31/1995 10.22 0.06 3.18 3.24
EQUITY GROWTH
06/30/2000+ 30.72 (0.08) 0.12 0.04
12/31/1999 23.32 (0.12) 8.69 8.57
12/31/1998 17.73 (0.07) 6.41 6.34
12/31/1997 14.50 (0.03) 3.85 3.82
12/31/1996 13.36 -- 2.41 2.41
12/31/1995 11.35 0.01 2.09 2.10
SPECIAL EQUITY
06/30/2000+ 24.48 (0.08) 1.51 1.43
12/31/1999 20.98 (0.10) 5.26 5.16
12/31/1998 20.56 (0.09) 0.72 0.63
12/31/1997 17.09 (0.04) 4.41 4.37
12/31/1996 13.95 -- 3.58 3.58
12/31/1995 10.75 -- 4.43 4.43
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
----------------------------------------------------------------
NET IN EXCESS
IN EXCESS REALIZED OF NET TAX
FOR THE NET OF NET GAINS REALIZED GAINS RETURN
PERIOD/YEAR INVESTMENT INVESTMENT (LOSSES) ON (LOSSES) ON OF
ENDED INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL
----------- ---------- ---------- ----------- -------------- -------
<S> <C> <C> <C> <C> <C>
BALANCED
06/30/2000+ $(0.16) $ -- $ -- $ -- $ --
12/31/1999 (0.30) -- (0.83) -- --
12/31/1998 (0.29) -- (0.25) -- --
12/31/1997 (0.91) -- (0.24) -- --
12/31/1996 (0.21) -- (0.54) -- --
12/31/1995 (0.24) -- (0.51) -- (0.11)
VALUE & INCOME***
06/30/2000+ (0.14) -- -- -- --
12/31/1999 (0.21) -- (0.61) -- --
12/31/1998 (0.28) -- (0.36) -- (0.02)
12/31/1997 (0.20) -- (0.29) -- --
12/31/1996 (0.14) -- (0.04) -- --
12/31/1995 (0.16) -- (0.04) -- (0.08)
EQUITY VALUE(2)
06/30/2000+ (0.10) -- -- -- --
12/31/1999 (0.11) -- (0.35) (0.36) --
12/31/1998 (1.07) -- (0.12) -- --
12/31/1997 (0.71) -- (0.06) -- --
12/31/1996 (0.01) -- (0.12) -- --
GROWTH & INCOME
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.42) -- --
12/31/1998 (0.01) -- (0.01) -- (0.42)
12/31/1997 (0.06) -- (0.25) -- --
12/31/1996 (0.15) -- (0.02) -- --
12/31/1995 (0.06) -- (0.95) -- (0.98)
EQUITY GROWTH
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.17) -- --
12/31/1998 (0.09) -- (0.66) -- --
12/31/1997 (0.26) -- (0.33) -- (0.00)**
12/31/1996 -- -- (1.18) -- (0.09)
12/31/1995 (0.01) -- -- -- (0.08)
SPECIAL EQUITY
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.66) -- --
12/31/1998 (0.07) -- (0.05) -- (0.09)
12/31/1997 (0.39) -- (0.51) -- --
12/31/1996 -- (0.03) (0.38) -- (0.03)
12/31/1995 -- -- (0.89) -- (0.34)
</TABLE>
---------------
<TABLE>
<C> <S>
+ Unaudited
* Annualized
** Less than one penny per share
*** Formerly the Equity Income Fund
(1) Commencement of operations February 22, 1996
(2) Commencement of operations June 13, 1996
(3) Commencement of operations June 11, 1996
(4) Commencement of operations January 30, 1996
(5) Commencement of operations January 18, 1996
</TABLE>
46
<PAGE> 48
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
-----------------------------------------------------------
EXPENSES EXPENSES NET
TOTAL NET ASSET INCLUDING INCLUDING NET INVESTMENT
DIVIDENDS VALUE NET ASSETS THE THE SERIES INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF SERIES PORTFOLIO (NET OF INCOME (NET OF
DISTRIBUTIONS PERIOD/YEAR RETURN PERIOD/YEAR PORTFOLIO REIMBURSEMENT) (LOSS) REIMBURSEMENT)
------------- ----------- ------ ------------ --------- ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.16) $16.22 0.36% $158,312,757 1.20%* 1.09%* 2.13%* 2.24%*
(1.13) 16.32 10.97 143,014,166 1.14 1.08 1.84 1.90
(0.54) 15.75 11.81 103,470,279 1.11 1.10 2.57 2.58
(1.15) 14.58 18.67 49,014,319 1.21 1.10 2.88 2.99
(0.75) 13.27 16.39 5,182,113 3.08 0.97 0.78 2.98
(0.86) 12.04 28.47 895,351 9.95 0.87 (5.68) 3.40
(0.14) 20.00 (7.16) 252,837,294 1.04* 1.00* 1.57* 1.61*
(0.82) 21.69 7.70 203,482,872 1.05 1.00 1.17 1.22
(0.66) 20.93 12.47 124,478,213 1.09 1.00 1.63 1.72
(0.49) 19.22 29.31 62,936,623 1.20 1.00 1.51 1.71
(0.18) 15.25 17.91 7,455,379 3.22 1.00 0.11 2.33
(0.28) 13.09 34.62 590,381 17.88 0.90 (14.15) 2.82
(0.10) 9.42 (14.71) 50,036,398 1.20* 1.10* 1.62* 1.72*
(0.82) 11.16 (3.07) 88,167,552 1.21 1.10 1.12 1.23
(1.19) 12.38 10.79 54,085,925 1.28 1.10 0.80 0.98
(0.77) 12.27 21.43 21,309,839 1.66 1.10 0.36 0.93
(0.13) 10.75 16.61* 385,208 56.35* 1.07* (54.60)* 1.09*
-- 28.97 (2.43) 505,581,947 1.19* 1.15* (0.55)* (0.51)*
(1.42) 29.69 30.05 459,797,532 1.20 1.15 (0.51) (0.46)
(0.44) 23.99 34.63 200,946,409 1.24 1.15 (0.32) (0.22)
(0.31) 18.16 34.14 61,020,784 1.39 1.15 (0.15) 0.10
(0.17) 13.78 21.61 5,483,747 3.99 1.14 (2.38) 0.47
(1.99) 11.47 32.11 443,638 21.71 1.03 (19.66) 1.02
-- 30.76 0.13 433,532,988 1.21* 1.21* (0.56)* (0.56)*
(1.17) 30.72 37.08 352,834,964 1.21 1.21 (0.46) (0.46)
(0.75) 23.32 35.97 150,958,507 1.26 1.24 (0.38) (0.36)
(0.59) 17.73 26.54 57,186,689 1.37 1.25 (0.31) (0.19)
(1.27) 14.50 17.93 3,859,931 4.34 1.20 (3.64) 0.50
(0.09) 13.36 18.50 618,317 14.34 1.01 (13.13) 0.20
-- 25.91 5.84 283,504,385 1.44* 1.43* (0.61)* (0.60)*
(1.66) 24.48 25.26 224,430,627 1.43 1.43 (0.45) (0.45)
(0.21) 20.98 3.15 125,863,140 1.46 1.45 (0.47) (0.46)
(0.90) 20.56 25.82 63,237,963 1.57 1.50 (0.26) (0.18)
(0.44) 17.09 25.76 7,736,347 3.63 1.49 (2.48) (0.34)
(1.23) 13.95 41.50 600,294 15.76 1.33 (14.58) (0.18)
</TABLE>
47
<PAGE> 49
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for an average share outstanding for the period/year for the
DIVERSIFIED CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET ASSET NET REALIZED TOTAL
VALUE NET AND UNREALIZED INCOME
FOR THE BEGINNING INVESTMENT GAINS (LOSS) FROM
PERIOD/YEAR OF INCOME (LOSSES) ON INVESTMENT
ENDED PERIOD/YEAR (LOSS) INVESTMENTS OPERATIONS
----------- ----------- ---------- -------------- -----------
<S> <C> <C> <C> <C>
AGGRESSIVE EQUITY(3)
06/30/2000+ $20.96 $(0.12) $ 2.55 $ 2.43
12/31/1999 13.84 (0.15) 8.86 8.71
12/31/1998 10.00 (0.09) 4.24 4.15
12/31/1997 9.43 (0.06) 0.63 0.57
12/31/1996 10.00 0.05 (0.58) (0.53)
HIGH YIELD BOND(4)
06/30/2000+ 10.38 0.44 (0.57) (0.13)
12/31/1999 11.55 0.90 (0.89) 0.01
12/31/1998 11.38 0.96 (0.70) 0.26
12/31/1997 10.68 0.94 0.37 1.31
12/31/1996 10.00 0.21 0.66 0.87
INTERNATIONAL EQUITY(5)
06/30/2000+ 20.63 0.05 (0.43) (0.38)
12/31/1999 12.87 0.03 8.14 8.17
12/31/1998 11.86 0.06 1.18 1.24
12/31/1997 11.27 0.04 0.83 0.87
12/31/1996 10.00 0.01 1.37 1.38
STOCK INDEX(6)
06/30/2000+ 11.49 0.04 (0.14) (0.10)
12/31/1999 10.00 0.07 1.49 1.56
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
----------------------------------------------------------------
IN EXCESS
IN EXCESS NET OF NET TAX
FOR THE NET OF NET REALIZED REALIZED GAINS RETURN
PERIOD/YEAR INVESTMENT INVESTMENT (LOSSES) ON (LOSSES) ON OF
ENDED INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL
----------- ---------- ---------- ----------- -------------- -------
<S> <C> <C> <C> <C> <C>
AGGRESSIVE EQUITY(3)
06/30/2000+ $ -- $ -- $ -- $ -- $ --
12/31/1999 -- -- (1.59) -- --
12/31/1998 -- -- (0.00)** -- (0.31)
12/31/1997 -- -- -- -- --
12/31/1996 (0.04) -- -- -- --
HIGH YIELD BOND(4)
06/30/2000+ (0.39) -- -- -- --
12/31/1999 (1.17) (0.01) -- -- --
12/31/1998 (0.08) -- (0.01) -- --
12/31/1997 (0.58) -- (0.03) -- --
12/31/1996 (0.19) -- -- -- --
INTERNATIONAL EQUITY(5)
06/30/2000+ (0.04) -- -- -- --
12/31/1999 -- (0.08) (0.33) -- --
12/31/1998 (0.01) -- (0.12) -- (0.10)
12/31/1997 (0.20) -- (0.08) -- (0.00)**
12/31/1996 (0.01) -- (0.04) (0.04) (0.02)
STOCK INDEX(6)
06/30/2000+ (0.02) -- -- -- --
12/31/1999 (0.07) -- -- -- --
</TABLE>
---------------
<TABLE>
<C> <S>
+ Unaudited
* Annualized
** Less than one penny per share
*** Formerly the Equity Income Fund
(1) Commencement of operations February 22, 1996
(2) Commencement of operations June 13, 1996
(3) Commencement of operations June 11, 1996
(4) Commencement of operations January 30, 1996
(5) Commencement of operations January 18, 1996
(6) Commencement of operations March 10, 1999
</TABLE>
48
<PAGE> 50
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
-----------------------------------------------------------
EXPENSES EXPENSES NET
TOTAL NET ASSET INCLUDING INCLUDING NET INVESTMENT
DIVIDENDS VALUE NET ASSETS THE THE SERIES INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF SERIES PORTFOLIO (NET OF INCOME (NET OF
DISTRIBUTIONS PERIOD/YEAR RETURN PERIOD/YEAR PORTFOLIO REIMBURSEMENT) (LOSS) REIMBURSEMENT)
------------- ----------- ------ ------------ --------- ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ -- $23.39 11.59% $207,588,758 1.56%* 1.50%* (1.14)%* (1.08)%*
(1.59) 20.96 64.01 118,496,343 1.63 1.49 (1.07) (0.93)
(0.31) 13.84 41.79 34,154,980 1.87 1.50 (1.19) (0.82)
-- 10.00 6.13 8,855,719 2.70 1.43 (1.81) (0.54)
(0.04) 9.43 (9.51)* 326,476 64.34* 1.41* (64.36)* (1.05)*
(0.39) 9.86 (1.25) 45,441,405 1.25* 1.10* 8.64* 8.79*
(1.18) 10.38 0.04 38,290,334 1.30 1.10 7.78 7.98
(0.09) 11.55 2.20 22,994,590 1.40 1.10 7.89 8.19
(0.61) 11.38 12.28 8,430,804 1.88 1.10 7.44 8.22
(0.19) 10.68 9.50* 738,100 25.60* 1.10* (16.15)* 8.35*
(0.04) 20.21 (1.85) 231,353,901 1.42* 1.39* 0.44* 0.47*
(0.41) 20.63 63.73 175,208,902 1.45 1.40 0.10 0.15
(0.23) 12.87 10.47 63,404,266 1.53 1.40 0.35 0.48
(0.28) 11.86 7.74 30,063,542 1.72 1.40 (0.03) 0.29
(0.11) 11.27 14.59* 2,398,279 9.79* 1.41* (7.91)* 0.48*
(0.02) 11.37 (0.85) 85,437,219 0.76* 0.65* 0.54* 0.65*
(0.07) 11.49 15.37 25,774,897 1.05* 0.65* 0.41* 0.81*
</TABLE>
49
<PAGE> 51
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for an average share outstanding for the period/year for the
STEPHENS PREMIUM CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET ASSET NET REALIZED TOTAL
VALUE NET AND UNREALIZED INCOME
FOR THE BEGINNING INVESTMENT GAINS (LOSS) FROM
PERIOD/YEAR OF INCOME (LOSSES) ON INVESTMENT
ENDED PERIOD/YEAR (LOSS) INVESTMENTS OPERATIONS
----------- ----------- ---------- -------------- -----------
<S> <C> <C> <C> <C>
MONEY MARKET
06/30/2000+ $10.52 $ 0.29 $(0.01) $ 0.28
12/31/1999 10.34 0.46 -- 0.46
12/31/1998 10.00 0.47 0.01 0.48
EQUITY VALUE
06/30/2000+ 8.79 0.06 (1.36) (1.30)
12/31/1999 9.93 0.11 (0.46) (0.35)
12/31/1998 10.00 0.08 0.93 1.01
EQUITY GROWTH
06/30/2000+ 16.95 (0.04) 0.06 0.02
12/31/1999 13.33 0.07 4.80 4.87
12/31/1998 10.00 (0.04) 3.64 3.60
SPECIAL EQUITY
06/30/2000+ 10.82 (0.03) 0.67 0.64
12/31/1999 10.08 (0.05) 2.45 2.40
12/31/1998 10.00 (0.04) 0.42 0.38
HIGH YIELD BOND
06/30/2000+ 9.02 0.38 (0.50) (0.12)
12/31/1999 10.13 0.79 (0.79) --
12/31/1998 10.00 0.86 (0.67) 0.19
INTERNATIONAL EQUITY
06/30/2000+ 17.22 0.03 (0.35) (0.32)
12/31/1999 10.76 -- 6.82 6.82
12/31/1998 10.00 0.06 0.95 1.01
STEPHENS INTERMEDIATE BOND
06/30/2000+ 9.88 0.23 0.13 0.36
12/31/1999 10.15 0.43 (0.29) 0.14
12/31/1998 10.00 0.45 0.16 0.61
STEPHENS SELECT EQUITY
06/30/2000+ 9.95 (0.05) -- (0.05)
12/31/1999 10.00 (0.06) 0.01 (0.05)
12/31/1998 10.00 0.50 -- 0.50
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
----------------------------------------------------------------
NET IN EXCESS
NET IN EXCESS REALIZED OF NET TAX
FOR THE INVESTMENT OF NET GAINS REALIZED GAINS RETURN
PERIOD/YEAR INCOME INVESTMENT (LOSSES) ON (LOSSES) ON OF
ENDED (LOSS) INCOME INVESTMENTS INVESTMENTS CAPITAL
----------- ---------- ---------- ----------- -------------- -------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
06/30/2000+ $(0.26) $ -- $ -- $ -- $ --
12/31/1999 (0.28) -- -- -- --
12/31/1998 (0.14) -- -- -- (0.00)**
EQUITY VALUE
06/30/2000+ (0.09) -- -- -- --
12/31/1999 (0.08) -- (0.35) (0.36) --
12/31/1998 (0.97) -- (0.11) -- --
EQUITY GROWTH
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.25) -- --
12/31/1998 (0.03) -- (0.24) -- --
SPECIAL EQUITY
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.66) -- --
12/31/1998 -- -- -- -- (0.30)
HIGH YIELD BOND
06/30/2000+ (0.37) -- -- -- --
12/31/1999 (1.10) (0.01) -- -- --
12/31/1998 (0.06) -- -- -- --
INTERNATIONAL EQUITY
06/30/2000+ -- -- -- -- --
12/31/1999 -- (0.03) (0.33) -- --
12/31/1998 (0.07) -- (0.11) -- (0.07)
STEPHENS INTERMEDIATE BOND
06/30/2000+ (0.21) -- -- -- --
12/31/1999 (0.40) -- -- -- (0.01)
12/31/1998 (0.46) -- -- -- (0.00)**
STEPHENS SELECT EQUITY
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- -- -- --
12/31/1998 (0.50) -- -- -- --
</TABLE>
---------------
<TABLE>
<CAPTION>
<C> <S>
+ Unaudited
* Annualized
** Less than one penny per share
</TABLE>
50
<PAGE> 52
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------
NET
TOTAL NET ASSET NET INVESTMENT
DIVIDENDS VALUE NET ASSETS INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF EXPENSES (NET OF INCOME (NET OF
DISTRIBUTIONS PERIOD/YEAR RETURN PERIOD/YEAR EXPENSES REIMBURSEMENT) (LOSS) REIMBURSEMENT)
------------- ----------- ------ ----------- -------- ---------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.26) $10.54 2.70% $ 392,677 11.54%* 0.95%* (5.19)%* 5.40%*
(0.28) 10.52 4.41 140,261 15.96 0.95 (10.66) 4.35
(0.14) 10.34 4.79 182,285 41.83 0.95 (36.29) 4.59
(0.09) 7.40 (14.87) 6,512,415 2.12* 1.35* 0.82* 1.59*
(0.79) 8.79 (3.32) 5,427,056 2.35 1.35 0.05 1.05
(1.08) 9.93 10.32 2,771,720 2.70 1.35 (0.61) 0.74
-- 16.97 0.12 6,064,445 2.28* 1.20* (1.62)* (0.54)*
(1.25) 16.95 37.19 4,057,198 3.25 1.19 (1.60) 0.46
(0.27) 13.33 36.20 238,696 13.04 1.20 (12.19) (0.35)
-- 11.46 5.91 4,547,745 2.56* 1.40* (1.74)* (0.58)*
(1.66) 10.82 25.20 4,152,714 3.19 1.40 (2.23) (0.44)
(0.30) 10.08 4.05 1,554,404 4.06 1.40 (3.09) (0.43)
(0.37) 8.53 (1.31) 556,722 7.49* 1.30* 2.41* 8.60*
(1.11) 9.02 (0.34) 297,640 6.80 1.30 2.57 8.07
(0.06) 10.13 1.85 315,312 8.78 1.30 1.01 8.49
-- 16.90 (1.86) 3,380,156 2.75* 1.45* (0.96)* 0.34*
(0.36) 17.22 63.65 3,657,392 3.27 1.45 (1.81) 0.01
(0.25) 10.76 10.11 1,405,830 4.17 1.45 (2.18) 0.54
(0.21) 10.03 3.66 4,272,488 1.26* 0.90* 4.23* 4.59*
(0.41) 9.88 1.34 3,598,922 2.00 0.86 3.05 4.19
(0.46) 10.15 6.08 4,155,696 2.86 0.90 2.54 4.50
-- 9.90 (0.50) 1,054 194.44* 0.90* (194.44)* (0.90)*
-- 9.95 (0.50) 1,059 1,237.03 0.90 (1,236.69) (0.56)
(0.50) 10.00 5.00 1,050 3,030.02 0.90 (3,024.12) 5.00
</TABLE>
51
<PAGE> 53
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for an average share outstanding for the period/year for the
STEPHENS INSTITUTIONAL CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------
NET ASSET NET REALIZED TOTAL
VALUE NET AND UNREALIZED INCOME
FOR THE BEGINNING INVESTMENT GAINS (LOSS) FROM
PERIOD/YEAR OF INCOME (LOSSES) ON INVESTMENT
ENDED PERIOD/YEAR (LOSS) INVESTMENTS OPERATIONS
----------- ----------- ---------- -------------- -----------
<S> <C> <C> <C> <C>
MONEY MARKET
06/30/2000+ $10.40 $ 0.29 $(0.01) $ 0.28
12/31/1999 10.23 0.48 -- 0.48
12/31/1998 10.00 0.49 0.01 0.50
EQUITY VALUE
06/30/2000+ 8.89 0.07 (1.38) (1.31)
12/31/1999 10.16 0.13 (0.46) (0.33)
12/31/1998 10.00 0.11 0.94 1.05
EQUITY GROWTH
06/30/2000+ 16.82 (0.03) 0.07 0.04
12/31/1999 13.35 (0.04) 4.90 4.86
12/31/1998 10.00 (0.01) 3.65 3.64
SPECIAL EQUITY
06/30/2000+ 11.17 (0.02) 0.69 0.67
12/31/1999 10.34 (0.02) 2.51 2.49
12/31/1998 10.00 (0.02) 0.44 0.42
HIGH YIELD BOND
06/30/2000+ 9.00 0.38 (0.48) (0.10)
12/31/1999 10.15 0.83 (0.82) 0.01
12/31/1998 10.00 0.81 (0.60) 0.21
INTERNATIONAL EQUITY
06/30/2000+ 17.31 0.05 (0.35) (0.30)
12/31/1999 10.80 0.04 6.84 6.88
12/31/1998 10.00 0.07 0.95 1.02
STEPHENS INTERMEDIATE BOND
06/30/2000+ 9.99 0.24 0.13 0.37
12/31/1999 10.27 0.44 (0.29) 0.15
12/31/1998 10.00 0.46 0.16 0.62
STEPHENS SELECT EQUITY
06/30/2000+ 9.97 (0.04) -- (0.04)
12/31/1999 10.01 (0.04) -- (0.04)
12/31/1998 10.00 0.54 -- 0.54
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
----------------------------------------------------------------
NET IN EXCESS
NET IN EXCESS REALIZED OF NET TAX
FOR THE INVESTMENT OF NET GAINS REALIZED GAINS RETURN
PERIOD/YEAR INCOME INVESTMENT (LOSSES) ON (LOSSES) ON OF
ENDED (LOSS) INCOME INVESTMENTS INVESTMENTS CAPITAL
----------- ---------- ---------- ----------- -------------- -------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
06/30/2000+ $(0.26) $ -- $ -- $ -- $ --
12/31/1999 (0.31) -- -- -- --
12/31/1998 (0.27) -- -- -- --
EQUITY VALUE
06/30/2000+ (0.09) -- -- -- --
12/31/1999 (0.23) -- (0.35) (0.36) --
12/31/1998 (0.80) -- (0.09) -- --
EQUITY GROWTH
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.39) -- --
12/31/1998 (0.06) -- (0.23) -- --
SPECIAL EQUITY
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- (1.66) -- --
12/31/1998 -- -- -- -- (0.08)
HIGH YIELD BOND
06/30/2000+ (0.38) -- -- -- --
12/31/1999 (1.15) (0.01) -- -- --
12/31/1998 (0.06) -- -- -- --
INTERNATIONAL EQUITY
06/30/2000+ (0.01) -- -- -- --
12/31/1999 -- (0.03) (0.34) -- --
12/31/1998 (0.07) -- (0.09) -- (0.06)
STEPHENS INTERMEDIATE BOND
06/30/2000+ (0.22) -- -- -- --
12/31/1999 (0.42) -- -- -- (0.01)
12/31/1998 (0.35) -- -- -- (0.00)**
STEPHENS SELECT EQUITY
06/30/2000+ -- -- -- -- --
12/31/1999 -- -- -- -- --
12/31/1998 (0.53) -- -- -- --
</TABLE>
---------------
<TABLE>
<CAPTION>
<C> <S>
+ Unaudited
* Annualized
** Less than one penny per share
</TABLE>
52
<PAGE> 54
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
---------------------------------------------------------
NET
TOTAL NET ASSET NET INVESTMENT
DIVIDENDS VALUE NET ASSETS INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF EXPENSES (NET OF INCOME (NET OF
DISTRIBUTIONS PERIOD/YEAR RETURN PERIOD/YEAR EXPENSES REIMBURSEMENT) (LOSS) REIMBURSEMENT)
------------- ----------- ------ ----------- -------- ---------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.26) $10.42 2.73% $ 5,848,538 1.73%* 0.75%* 4.47%* 5.45%*
(0.31) 10.40 4.67 4,522,076 1.73 0.75 3.61 4.59
(0.27) 10.23 5.01 8,810,497 1.67 0.75 3.94 4.86
(0.09) 7.49 (14.77) 16,841,841 1.69* 1.10* 1.22* 1.81*
(0.94) 8.89 (3.13) 16,089,720 1.68 1.10 0.64 1.22
(0.89) 10.16 10.68 13,052,169 1.76 1.10 0.38 1.04
-- 16.86 0.24 21,131,406 1.71* 1.00* (1.04)* (0.33)*
(1.39) 16.82 37.36 14,096,936 1.85 1.00 (1.09) (0.24)
(0.29) 13.35 36.54 5,004,424 2.19 1.00 (1.30) (0.11)
-- 11.84 6.00 17,807,265 1.93* 1.20* (1.10)* (0.37)*
(1.66) 11.17 25.44 12,179,590 2.04 1.20 (1.07) (0.23)
(0.08) 10.34 4.21 7,937,781 2.27 1.20 (1.26) (0.19)
(0.38) 8.52 (1.14) 3,818,597 2.37* 1.10* 7.50* 8.77*
(1.16) 9.00 0.07 3,314,902 2.52 1.10 7.05 8.47
(0.06) 10.15 2.14 2,145,712 3.47 1.10 5.68 8.05
(0.01) 17.00 (1.73) 11,924,755 2.01* 1.25* (0.22)* 0.54*
(0.37) 17.31 63.93 12,567,502 2.06 1.25 (0.48) 0.33
(0.22) 10.80 10.27 6,386,429 2.40 1.25 (0.45) 0.70
(0.22) 10.14 3.69 32,297,959 1.02* 0.80* 4.48* 4.70*
(0.43) 9.99 1.46 21,226,045 1.12 0.80 3.92 4.24
(0.35) 10.27 6.22 16,743,039 1.60 0.80 3.74 4.55
-- 9.93 (0.40) 1,056 419.13* 0.85* (419.13)* (0.85)*
-- 9.97 (0.40) 1,060 1,236.88 0.75 (1,236.51) (0.38)
(0.53) 10.01 5.41 1,054 3,027.05 0.85 (3,020.89) 5.31
</TABLE>
53
<PAGE> 55
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. CLASS DIVIDENDS AND DISTRIBUTIONS:
Dividends and distributions per class as of June 30, 2000, are as follows:
<TABLE>
<CAPTION>
DIVERSIFIED CLASS PREMIUM CLASS INSTITUTIONAL CLASS
OF SHARES OF SHARES OF SHARES
----------------- ------------- -------------------
<S> <C> <C> <C>
MONEY MARKET
Net investment income.................... $3,465,189 $11,067 $136,615
EQUITY VALUE
Net investment income.................... 546,583 75,442 188,038
HIGH YIELD BOND
Net investment income.................... 1,722,524 23,292 161,734
INTERNATIONAL EQUITY
Net investment income.................... 477,992 -- 7,556
STEPHENS INTERMEDIATE BOND
Net investment income.................... -- 88,168 601,629
</TABLE>
54
<PAGE> 56
(This page intentionally left blank)
55
<PAGE> 57
SHORT HORIZON STRATEGIC ALLOCATION FUND
The Fund seeks a high level of current income and preservation of capital
by primarily investing in a diversified portfolio of fixed income funds. The
Fund will be invested across the High Quality Bond, Intermediate Government
Bond, Core Bond, High Yield Bond, and Money Market Funds. A portion of the Fund
may be invested in relatively conservative equity funds, namely the Value &
Income, Equity Value, Growth & Income, and Equity Growth Funds as a hedge
against inflation.
The Short Horizon Strategic Allocation Fund utilizes a structured
methodology to asset allocation to consistently add value to balanced portfolios
over the long-term. The Fund incorporates broad based, proprietary analysis in
building the benchmark portfolio. A disciplined approach to rebalancing is
implemented, where tolerance bands (+/- 5% around the target allocations of the
underlying funds) systematically trigger a move back to the portfolio's neutral
position. This strategy emphasizes solid, long-term performance through selling
securities which have appreciated in value, and buying securities at relatively
low prices.
<TABLE>
<CAPTION>
SAF SHORT HORIZON LEHMAN BROS. GOV/CORP. COMPOSITE BENCHMARK*
$12,519 BOND INDEX $12,905 $13,427
----------------- ---------------------- ---------------------
<S> <C> <C> <C>
4/15/96 10000 10000 10000
12/31/96 10545 10535 10630
12/31/97 11461 11565 11863
12/31/98 12189 12659 12958
12/31/99 12366 12387 13030
6/30/00 12519 12905 13427
</TABLE>
* 80% Lehman Aggregate Bond Index, 10% Russell 1000 Value Index, 10% Salomon
90-Day Treasury Index. This composite index most closely mirrors the portfolio
composition of the Short Horizon Strategic Allocation Fund.
The chart shown above represents the growth in value of an initial hypothetical
investment of $10,000 in each fund of the Diversified Investors Strategic
Allocation Funds for the period since inception through June 30, 2000.
All indices are shown for the period from the funds' inception through June 30,
2000.
Past performance is not indicative of future performance.
56
<PAGE> 58
SHORT/INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
The Fund seeks a high level of current income with some capital
appreciation, by primarily investing in a diversified portfolio of fixed income
funds, and to a lesser extent, equity funds. The Fund is a relatively
conservative balanced portfolio which seeks competitive returns with
considerably less volatility. Assets can be invested in any Diversified fixed
income fund. The Fund's equity component may be invested in any Diversified
equity fund.
The Short/Intermediate Horizon Strategic Allocation Fund utilizes a
structured methodology to asset allocation to consistently add value to balanced
portfolios over the long-term. The Fund incorporates broad based, proprietary
analysis in building the benchmark portfolio. A disciplined approach to
rebalancing is implemented, where tolerance bands (+/- 5% around the target
allocations of the underlying funds) systematically trigger a move back to the
portfolio's neutral position. This strategy emphasizes solid, long-term
performance through selling securities which have appreciated in value, and
buying securities at relatively low prices.
<TABLE>
<CAPTION>
SAF
SHORT/INTERMEDIATE LEHMAN AGGREGATE COMPOSITE BENCHMARK*
$11,276 BOND $11,210 RUSSELL 2000 $12,176 $11,595
------------------ ---------------- -------------------- --------------------
<S> <C> <C> <C> <C>
5/1/98 10000 10000 10000 10000
12/31/98 10373 10869 9745 10611
12/31/99 11112 10780 11817 11250
6/30/00 11276 11210 12176 11595
</TABLE>
* 70% Lehman Aggregate Bond Index, 18% Russell 1000 Index, 8% Russell 2000 Small
Cap Index, 4% MSCI World Ex-US Equity Index. This composite index most closely
mirrors the portfolio composition of the Short/Intermediate Horizon Strategic
Allocation Fund.
The chart shown above represents the growth in value of an initial hypothetical
investment of $10,000 in each fund of the Diversified Investors Strategic
Allocation Funds for the period since inception through June 30, 2000.
All indices are shown for the period from the funds' inception through June 30,
2000.
Past performance is not indicative of future performance.
57
<PAGE> 59
INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
The Fund seeks a high level of current income and capital appreciation, by
investing in a diversified portfolio of fixed income, and equity funds. The Fund
seeks competitive returns with slightly less volatility through generally equal
allocations to equity and fixed income. The Fund can invest in any Diversified
fixed income fund and in any Diversified equity fund.
The Intermediate Horizon Strategic Allocation Fund utilizes a structured
methodology to asset allocation to consistently add value to balanced portfolios
over the long-term. The Fund incorporates broad based, proprietary analysis in
building the benchmark portfolio. A disciplined approach to rebalancing is
implemented, where tolerance bands (+/- 5% around the target allocations of the
underlying funds) systematically trigger a move back to the portfolio's neutral
position. This strategy emphasizes solid, long-term performance through selling
securities which have appreciated in value, and buying securities at relatively
low prices.
<TABLE>
<CAPTION>
LEHMAN BROS.
SAF INTERMEDIATE S&P 500 INDEX GOV/CORP. BOND INDEX COMPOSITE BENCHMARK*
$15,363 $24,194 $12,905 $16,599
---------------- ------------- -------------------- --------------------
<S> <C> <C> <C> <C>
4/15/96 10000 10000 10000 10000
12/31/96 10559 11688 10537 10928
12/31/97 12068 15588 11565 12833
12/31/98 13556 20070 12659 14650
12/31/99 15337 24313 12387 16214
6/30/00 15363 24194 12905 16599
</TABLE>
* 50% Lehman Aggregate Bond Index, 30% Russell 1000 Index, 12% Russell 2000
Small Cap Value, 8% MSCI World Ex-US Equity Index. This composite index most
closely mirrors the portfolio composition of the Intermediate Horizon
Strategic Allocation Fund.
The chart shown above represents the growth in value of an initial hypothetical
investment of $10,000 in each fund of the Diversified Investors Strategic
Allocation Funds for the period since inception through June 30, 2000.
All indices are shown for the period from the funds' inception through June 30,
2000.
Past performance is not indicative of future performance.
58
<PAGE> 60
INTERMEDIATE/LONG HORIZON STRATEGIC ALLOCATION FUND
The Fund seeks long-term capital appreciation, by primarily investing in a
diversified portfolio of equity funds, and to a lesser extent, fixed income
funds. The Fund is a relatively aggressive balanced portfolio which seeks
competitive returns with slightly more volatility. The Fund can invest in any
Diversified fixed income fund, and in any Diversified equity fund.
The Intermediate/Long Horizon Strategic Allocation Fund utilizes a
structured methodology to asset allocation to consistently add value to balanced
portfolios over the long-term. The Fund incorporates broad based, proprietary
analysis in building the benchmark portfolio. A disciplined approach to
rebalancing is implemented, where tolerance bands (+/- 5% around the target
allocations of the underlying funds) systematically trigger a move back to the
portfolio's neutral position. This strategy emphasizes solid, long-term
performance through selling securities which have appreciated in value, and
buying securities at relatively low prices.
<TABLE>
<CAPTION>
SAF INTERMEDIATE/LONG COMPOSITE BENCHMARK*
$17,038 S&P 500 INDEX $24,194 $18,169
--------------------- --------------------- --------------------
<S> <C> <C> <C>
4/15/96 10000 10000 10000
12/31/96 10565 11689 11084
12/31/97 12567 15588 13392
12/31/98 14335 20070 15494
12/31/99 17067 24313 17848
6/30/00 17038 24194 18169
</TABLE>
* 30% Lehman Aggregate Bond Index, 42% Russell 1000 Index, 18% Russell 2000
Small Cap Index, 10% MSCI World Ex-US Equity Index. This composite index most
closely mirrors the portfolio composition of the Intermediate/Long Horizon
Strategic Allocation Fund.
The chart shown above represents the growth in value of an initial hypothetical
investment of $10,000 in each fund of the Diversified Investors Strategic
Allocation Funds for the period since inception through June 30, 2000.
All indices are shown for the period from the funds' inception through June 30,
2000.
Past performance is not indicative of future performance.
59
<PAGE> 61
LONG HORIZON STRATEGIC ALLOCATION FUND
The Fund seeks long-term capital appreciation by investing in a diversified
portfolio of equity funds. The Fund can invest in any Diversified equity fund,
including large, mid, and small capitalization stock funds, value and
growth-oriented funds, and the international equity fund. Fixed income funds may
be utilized to reduce the potential impact of stock market declines.
The Long Horizon Strategic Allocation Fund utilizes a structured
methodology to asset allocation to consistently add value to balanced portfolios
over the long-term. The Fund incorporates broad based, proprietary analysis in
building the benchmark portfolio. A disciplined approach to rebalancing is
implemented, where tolerance bands (+/- 5% around the target allocations of the
underlying funds) systematically trigger a move back to the portfolio's neutral
position. This strategy emphasizes solid, long-term performance through selling
securities which have appreciated in value, and buying securities at relatively
low prices.
<TABLE>
<CAPTION>
RUSSELL 2000 SMALL COMPOSITE BENCHMARK*
SAF LONG $13,040 RUSSELL 1000 $15,481 CAP $12,176 $12,770
---------------- -------------------- ------------------ --------------------
<S> <C> <C> <C> <C>
5/1/98 10000 10000 10000 10000
12/31/98 10381 12702 9745 10374
12/31/99 13226 15358 11817 12667
6/30/00 13040 15481 12176 12770
</TABLE>
* 60% Russell 1000 Index, 25% Russell 2000 Small Cap Index, 15% MSCI World Ex-US
Equity Index. This composite index most closely mirrors the portfolio
composition of the Long Horizon Strategic Allocation Fund.
The chart shown above represents the growth in value of an initial hypothetical
investment of $10,000 in each fund of the Diversified Investors Strategic
Allocation Funds for the period since inception through June 30, 2000.
All indices are shown for the period from the funds' inception through June 30,
2000.
Past performance is not indicative of future performance.
60
<PAGE> 62
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT INTERMEDIATE
SHORT INTERMEDIATE INTERMEDIATE LONG LONG
HORIZON HORIZON HORIZON HORIZON HORIZON
----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments at value (cost,
$19,156,238, $15,321,790,
$118,606,679, $150,501,958
and $61,799,401,
respectively)................ $18,486,616 $15,333,025 $124,984,313 $162,826,795 $67,020,388
Cash........................... -- -- -- 1,697 510
----------- ----------- ------------ ------------ -----------
Total Assets.............. 18,486,616 15,333,025 124,984,313 162,828,492 67,020,898
----------- ----------- ------------ ------------ -----------
LIABILITIES:
Payable for securities
purchased.................... -- -- 2,185 -- --
Accrued investment advisory
fee.......................... 3,009 2,431 20,326 26,466 10,748
----------- ----------- ------------ ------------ -----------
Total Liabilities......... 3,009 2,431 22,511 26,466 10,748
----------- ----------- ------------ ------------ -----------
NET ASSETS..................... $18,483,607 $15,330,594 $124,961,802 $162,802,026 $67,010,150
=========== =========== ============ ============ ===========
NET ASSETS CONSIST OF:
Paid-in capital.............. $19,163,043 $15,392,196 $118,683,003 $150,926,158 $62,377,774
Distributions in excess of
net investment income..... (937) (872) (6,724) (8,390) (3,745)
Accumulated net realized
losses.................... (8,877) (71,965) (92,111) (440,579) (584,866)
Net unrealized appreciation
(depreciation) on
investments............... (669,622) 11,235 6,377,634 12,324,837 5,220,987
----------- ----------- ------------ ------------ -----------
NET ASSETS..................... $18,483,607 $15,330,594 $124,961,802 $162,802,026 $67,010,150
=========== =========== ============ ============ ===========
Outstanding shares of capital
stock of $.00001 par value
per share, unlimited number
of shares of beneficial
interest authorized.......... 1,768,358 1,510,196 10,007,001 12,103,738 5,531,113
=========== =========== ============ ============ ===========
NET ASSET VALUE PER SHARE*..... $ 10.45 $ 10.15 $ 12.49 $ 13.45 $ 12.12
=========== =========== ============ ============ ===========
</TABLE>
---------------
* Net asset value per share equals Net assets/Outstanding shares.
See notes to financial statements.
61
<PAGE> 63
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT INTERMEDIATE
SHORT INTERMEDIATE INTERMEDIATE LONG LONG
HORIZON HORIZON HORIZON HORIZON HORIZON
--------- ------------ ------------ ------------ ---------
<S> <C> <C> <C> <C> <C>
INCOME:
Income distribution earned..... $ 430,478 $ 297,819 $ 1,804,078 $ 1,659,783 $ 193,288
Investment advisory fee........ (17,246) (11,910) (115,448) (145,594) (49,959)
--------- --------- ----------- ----------- ---------
Net investment income....... 413,232 285,909 1,688,630 1,514,189 143,329
--------- --------- ----------- ----------- ---------
REALIZED AND UNREALIZED LOSSES ON
INVESTMENTS:
Net realized losses on
investments................. (799) (92,800) (590,426) (1,014,105) (639,972)
Net change in unrealized
appreciation (depreciation)
on investments.............. (183,170) (75,129) (533,757) (623,035) (43,932)
--------- --------- ----------- ----------- ---------
Net realized and unrealized
losses on investments....... (183,969) (167,929) (1,124,183) (1,637,140) (683,904)
--------- --------- ----------- ----------- ---------
Net increase (decrease) in net
assets resulting from
operations..................... $ 229,263 $ 117,980 $ 564,447 $ (122,951) $(540,575)
========= ========= =========== =========== =========
</TABLE>
See notes to financial statements.
62
<PAGE> 64
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT INTERMEDIATE
SHORT INTERMEDIATE INTERMEDIATE LONG LONG
HORIZON HORIZON HORIZON HORIZON HORIZON
----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income........... $ 413,232 $ 285,909 $ 1,688,630 $ 1,514,189 $ 143,329
Net realized losses on
investments................... (799) (92,800) (590,426) (1,014,105) (639,972)
Net change in unrealized
appreciation (depreciation) on
investments................... (183,170) (75,129) (533,757) (623,035) (43,932)
----------- ----------- ------------ ------------ -----------
Net increase (decrease) in net
assets resulting from
operations.................... 229,263 117,980 564,447 (122,951) (540,575)
----------- ----------- ------------ ------------ -----------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income........... (414,170) (286,781) (1,695,354) (1,522,579) (147,075)
----------- ----------- ------------ ------------ -----------
FROM SHARE TRANSACTIONS:
Proceeds from shares issued..... 4,966,666 6,912,701 65,802,477 48,716,562 35,128,192
Proceeds from dividends and
distributions reinvested...... 414,170 286,781 1,695,354 1,522,579 147,075
Value of shares redeemed........ (3,287,071) (1,403,967) (36,394,012) (13,691,742) (5,507,802)
----------- ----------- ------------ ------------ -----------
Net increase in net assets from
capital share transactions.... 2,093,765 5,795,515 31,103,819 36,547,399 29,767,465
----------- ----------- ------------ ------------ -----------
Total increase in net assets.... 1,908,858 5,626,714 29,972,912 34,901,869 29,079,815
NET ASSETS:
Beginning of period............. 16,574,749 9,703,880 94,988,890 127,900,157 37,930,335
----------- ----------- ------------ ------------ -----------
End of period................... $18,483,607 $15,330,594 $124,961,802 $162,802,026 $67,010,150
=========== =========== ============ ============ ===========
Shares outstanding beginning of
period.......................... 1,569,563 946,834 7,514,026 9,401,845 3,077,802
Shares issued during period....... 470,112 672,513 5,255,824 3,606,195 2,895,269
Shares received on reinvestment of
dividends during period......... 39,596 28,171 134,873 112,037 11,947
Shares redeemed during period..... (310,913) (137,322) (2,897,722) (1,016,339) (453,905)
----------- ----------- ------------ ------------ -----------
Shares outstanding end of
period.......................... 1,768,358 1,510,196 10,007,001 12,103,738 5,531,113
=========== =========== ============ ============ ===========
</TABLE>
See notes to financial statements.
63
<PAGE> 65
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHORT INTERMEDIATE
SHORT INTERMEDIATE INTERMEDIATE LONG LONG
HORIZON HORIZON HORIZON HORIZON HORIZON
----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income........ $ 682,835 $ 410,326 $ 3,420,552 $ 3,959,086 $ 785,935
Capital gain distribution
earned..................... 48,797 73,517 1,172,082 2,107,199 844,887
Net realized gains on
investments................ 30,609 49,462 1,082,678 3,427,301 198,459
Net change in unrealized
appreciation (depreciation)
on investments............. (543,588) 49,255 4,210,949 9,512,929 4,572,140
----------- ----------- ------------ ------------ -----------
Net increase in net assets
resulting from
operations................. 218,653 582,560 9,886,261 19,006,515 6,401,421
----------- ----------- ------------ ------------ -----------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income........ (682,835) (410,326) (3,420,552) (3,959,086) (785,935)
Net realized gains from
investment transactions.... (84,934) (73,289) (1,673,626) (4,949,133) (647,852)
----------- ----------- ------------ ------------ -----------
Total dividends and
distributions.............. (767,769) (483,615) (5,094,178) (8,908,219) (1,433,787)
----------- ----------- ------------ ------------ -----------
FROM SHARE TRANSACTIONS:
Proceeds from shares
issued..................... 8,770,665 6,771,142 44,151,274 79,184,050 23,524,703
Proceeds from dividends and
distributions reinvested... 767,769 483,615 5,094,178 8,908,219 1,433,787
Value of shares redeemed..... (5,433,999) (1,307,134) (16,414,520) (32,979,097) (2,668,088)
----------- ----------- ------------ ------------ -----------
Net increase in net assets
from capital share
transactions............... 4,104,435 5,947,623 32,830,932 55,113,172 22,290,402
----------- ----------- ------------ ------------ -----------
Total increase in net
assets..................... 3,555,319 6,046,568 37,623,015 65,211,468 27,258,036
NET ASSETS:
Beginning of year............ 13,019,430 3,657,312 57,365,875 62,688,689 10,672,299
----------- ----------- ------------ ------------ -----------
End of year.................. $16,574,749 $ 9,703,880 $ 94,988,890 $127,900,157 $37,930,335
=========== =========== ============ ============ ===========
Shares outstanding beginning of
year......................... 1,192,372 364,098 4,849,474 5,089,901 1,058,749
Shares issued during year...... 798,382 660,917 3,575,460 6,124,281 2,137,509
Shares received on reinvestment
of dividends and
distributions during year.... 72,741 47,843 413,214 677,690 122,169
Shares redeemed during year.... (493,932) (126,024) (1,324,122) (2,490,027) (240,625)
----------- ----------- ------------ ------------ -----------
Shares outstanding end of
year......................... 1,569,563 946,834 7,514,026 9,401,845 3,077,802
=========== =========== ============ ============ ===========
</TABLE>
See notes to financial statements.
64
<PAGE> 66
SHORT HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<C> <S> <C>
INVESTMENTS
463,902 Diversified Investors Funds Group -- Core Bond Fund......... $ 5,521,921
323,605 Diversified Investors Funds Group -- High Quality Bond
Fund...................................................... 3,631,464
181,951 Diversified Investors Funds Group -- High Yield Bond Fund... 1,794,567
341,740 Diversified Investors Funds Group -- Intermediate Government
Bond Fund................................................. 3,656,414
205,739 Diversified Investors Funds Group -- Money Market Fund...... 2,181,141
85,037 Diversified Investors Funds Group -- Value & Income Fund
(1)....................................................... 1,701,109
-----------
Total Investments -- 100.02% (Cost $19,156,238)............. 18,486,616
Liabilities less other assets -- (0.02%).................... (3,009)
-----------
NET ASSETS -- 100.00%....................................... $18,483,607
===========
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $19,156,238.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized depreciation............................. $ (669,622)
===========
</TABLE>
---------------
(1) Formerly Equity Income Fund.
See notes to financial statements.
65
<PAGE> 67
SHORT INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<C> <S> <C>
INVESTMENTS
13,223 Diversified Investors Funds Group -- Aggressive Equity
Fund...................................................... $ 309,212
452,636 Diversified Investors Funds Group -- Core Bond Fund......... 5,387,814
20,138 Diversified Investors Funds Group -- Equity Growth Fund..... 619,356
26,560 Diversified Investors Funds Group -- Growth and Income
Fund...................................................... 769,531
201,824 Diversified Investors Funds Group -- High Quality Bond
Fund...................................................... 2,264,851
231,962 Diversified Investors Funds Group -- High Yield Bond Fund... 2,287,817
71,813 Diversified Investors Funds Group -- Intermediate Government
Bond Fund................................................. 768,359
30,272 Diversified Investors Funds Group -- International Equity
Fund...................................................... 611,808
4,259 Diversified Investors Funds Group -- Money Market Fund...... 45,150
35,406 Diversified Investors Funds Group -- Special Equity Fund.... 917,291
67,577 Diversified Investors Funds Group -- Value & Income Fund
(1)....................................................... 1,351,836
-----------
Total Investments -- 100.02% (Cost $15,321,790)............. 15,333,025
Liabilities less other assets -- (0.02%).................... (2,431)
-----------
NET ASSETS -- 100.00%....................................... $15,330,594
===========
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $15,321,790.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation............................. $ 513,910
Gross unrealized depreciation............................. (502,675)
-----------
Net unrealized appreciation............................... $ 11,235
===========
</TABLE>
---------------
(1) Formerly Equity Income Fund.
See notes to financial statements.
66
<PAGE> 68
INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
INVESTMENTS
168,949 Diversified Investors Funds Group -- Aggressive Equity
Fund...................................................... $ 3,950,914
2,579,047 Diversified Investors Funds Group -- Core Bond Fund......... 30,698,913
281,944 Diversified Investors Funds Group -- Equity Growth Fund..... 8,671,375
346,575 Diversified Investors Funds Group -- Growth and Income
Fund...................................................... 10,041,534
1,052,456 Diversified Investors Funds Group -- High Quality Bond
Fund...................................................... 11,810,559
1,213,862 Diversified Investors Funds Group -- High Yield Bond Fund... 11,972,195
569,967 Diversified Investors Funds Group -- Intermediate Government
Bond Fund................................................. 6,098,310
425,720 Diversified Investors Funds Group -- International Equity
Fund...................................................... 8,604,101
335,556 Diversified Investors Funds Group -- Money Market Fund...... 3,557,393
484,642 Diversified Investors Funds Group -- Special Equity Fund.... 12,555,956
850,966 Diversified Investors Funds Group -- Value & Income Fund
(1)....................................................... 17,023,063
------------
Total Investments -- 100.02% (Cost $118,606,679)............ 124,984,313
Liabilities less other assets -- (0.02%).................... (22,511)
------------
NET ASSETS -- 100.00%....................................... $124,961,802
============
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $118,606,679.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation............................. $ 9,910,775
Gross unrealized depreciation............................. (3,533,141)
------------
Net unrealized appreciation............................... $ 6,377,634
============
</TABLE>
---------------
(1) Formerly Equity Income Fund.
See notes to financial statements.
67
<PAGE> 69
INTERMEDIATE LONG HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
INVESTMENTS
290,386 Diversified Investors Funds Group -- Aggressive Equity
Fund...................................................... $ 6,790,734
1,595,809 Diversified Investors Funds Group -- Core Bond Fund......... 18,995,237
519,212 Diversified Investors Funds Group -- Equity Growth Fund..... 15,968,731
614,300 Diversified Investors Funds Group -- Growth and Income
Fund...................................................... 17,798,493
660,957 Diversified Investors Funds Group -- High Quality Bond
Fund...................................................... 7,417,199
1,251,813 Diversified Investors Funds Group -- High Yield Bond Fund... 12,346,511
734,735 Diversified Investors Funds Group -- Intermediate Government
Bond Fund................................................. 7,861,219
783,983 Diversified Investors Funds Group -- International Equity
Fund...................................................... 15,844,842
605,777 Diversified Investors Funds Group -- Money Market Fund...... 6,422,147
874,640 Diversified Investors Funds Group -- Special Equity Fund.... 22,659,915
1,535,750 Diversified Investors Funds Group -- Value & Income Fund
(1)....................................................... 30,721,767
------------
Total Investments -- 100.02% (Cost $150,501,958)............ 162,826,795
Liabilities less other assets -- (0.02%).................... (24,769)
------------
NET ASSETS -- 100.00%....................................... $162,802,026
============
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $150,501,958.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation............................. $ 16,218,747
Gross unrealized depreciation............................. (3,893,910)
------------
Net unrealized appreciation............................... $ 12,324,837
============
</TABLE>
---------------
(1) Formerly Equity Income Fund.
See notes to financial statements.
68
<PAGE> 70
LONG HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<C> <S> <C>
INVESTMENTS
145,476 Diversified Investors Funds Group -- Aggressive Equity
Fund...................................................... $ 3,401,994
323,148 Diversified Investors Funds Group -- Equity Growth Fund..... 9,938,628
338,791 Diversified Investors Funds Group -- Growth and Income
Fund...................................................... 9,815,993
484,270 Diversified Investors Funds Group -- International Equity
Fund...................................................... 9,787,443
232,781 Diversified Investors Funds Group -- Money Market Fund...... 2,467,825
514,727 Diversified Investors Funds Group -- Special Equity Fund.... 13,335,399
913,454 Diversified Investors Funds Group -- Value & Income Fund
(1)....................................................... 18,273,106
-----------
Total Investments -- 100.02% (Cost $61,799,401)............. 67,020,388
Liabilities less other assets -- (0.02%).................... (10,238)
-----------
NET ASSETS -- 100.00%....................................... $67,010,150
===========
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $61,799,401.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation............................. $ 6,333,603
Gross unrealized depreciation............................. (1,112,616)
-----------
Net unrealized appreciation............................... $ 5,220,987
===========
</TABLE>
---------------
(1) Formerly Equity Income Fund.
See notes to financial statements.
69
<PAGE> 71
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION
The Diversified Investors Strategic Allocation Funds (the "Trust"), a
Massachusetts business trust, is registered under the Investment Company Act of
1940 (the "1940 Act"), as amended, as an open-end management investment company.
The Trust is composed of five different series that are, in effect, separate
investment funds: Short Horizon Strategic Allocation Fund ("Short Horizon"),
Short Intermediate Horizon Strategic Allocation Fund ("Short Intermediate
Horizon"), Intermediate Horizon Strategic Allocation Fund ("Intermediate
Horizon"), Intermediate Long Horizon Strategic Allocation Fund ("Intermediate
Long Horizon"), and Long Horizon Strategic Allocation Fund ("Long Horizon")
(collectively, the "Funds"). The Trust established and designated the Short
Horizon , the Intermediate Horizon , and the Intermediate Long Horizon as
separate series on April 15, 1996. The Short Intermediate Horizon and the Long
Horizon were established and designated as separate series on May 1, 1998. Each
Fund seeks to achieve its investment objective by investing all of its
investable assets among the Diversified Investors Funds Group (the "Funds
Group"). The Funds Group is an open-end management investment company registered
under the 1940 Act.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. The
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATION:
The value of any Fund's investment in a corresponding fund of the Funds
Group is valued at the net asset value per share of each fund determined as of
the close of the New York Stock Exchange on the valuation date.
B. INVESTMENT INCOME:
Income and capital gain distributions earned are recorded on the
ex-dividend date.
C. DIVIDENDS AND DISTRIBUTIONS:
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Dividends from net investment income and distributions from net realized
capital gains will normally be declared quarterly and annually, respectively,
and reinvested in additional full and fractional shares.
D. FEDERAL INCOME TAXES:
Each Fund is a separate entity for federal income tax purposes and intends
to comply with the requirements of the Internal Revenue Code applicable to
regulated investment companies and to distribute all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
E. OPERATING EXPENSES:
The Trust accounts separately for the assets, liabilities and operations of
each Fund. Each Fund will indirectly bear its pro rata share of fees and
expenses incurred by the Funds Group.
F. OTHER:
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
70
<PAGE> 72
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
F. OTHER (CONTINUED):
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Administrative Services Agreement with the
Advisor, an indirect, wholly-owned subsidiary of AEGON USA, Inc., under which
the Advisor provides administration, transfer agency and shareholder services.
For providing these services, facilities and for bearing the related expenses,
the Advisor receives a monthly fee from each Fund at an annual rate equal to
0.20% of the average daily net assets of each Fund.
Certain trustees and officers of the Trust are also directors, officers or
employees of the Advisor or its affiliates. None of the trustees so affiliated
receive compensation for services as trustees of the Trust. Similarly, none of
the Trust's officers receive compensation from the Funds.
4. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from the sales for
the year ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Short Horizon............................................... $ 5,123,394 $ 3,030,353
Short Intermediate Horizon.................................. 14,382,294 8,586,851
Intermediate Horizon........................................ 101,905,923 70,804,150
Intermediate Long Horizon................................... 104,830,172 68,285,335
Long Horizon................................................ 73,847,779 44,079,350
</TABLE>
71
<PAGE> 73
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. FINANCIAL HIGHLIGHTS
For an average share outstanding for the year:
<TABLE>
<CAPTION>
NET
REALIZED DISTRIBUTIONS DISTRIBUTIONS
NET ASSET AND DIVIDENDS FROM NET IN EXCESS OF TAX
FOR THE VALUE NET UNREALIZED TOTAL FROM FROM NET REALIZED REALIZED RETURN
PERIOD/YEAR BEGINNING OF INVESTMENT GAINS INVESTMENT INVESTMENT CAPITAL GAINS ON OF
ENDED PERIOD/YEAR INCOME (LOSSES) OPERATIONS INCOME GAINS INVESTMENTS CAPITAL
----------- ------------ ---------- ---------- ---------- ---------- ------------- ------------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SHORT HORIZON
06/30/2000 (1)....... $10.56 $0.25 $(0.12) $ 0.13 $(0.24) $ -- $ -- $ --
12/31/1999........... 10.92 0.49 (0.34) 0.15 (0.47) (0.04) -- --
12/31/1998........... 10.70 0.44 0.24 0.68 (0.41) (0.05) -- (0.00)**
12/31/1997........... 10.34 0.49 0.41 0.90 (0.52) (0.02) -- --
12/31/1996 (2)....... 10.00 0.18 0.36 0.54 (0.18) (0.01) (0.00)** (0.01)
SHORT INTERMEDIATE HORIZON
06/30/2000 (1)....... 10.25 0.24 (0.15) 0.09 (0.19) -- -- --
12/31/1999........... 10.04 0.61 0.15 0.76 (0.47) (0.08) -- --
12/31/1998 (3)....... 10.00 0.46 (0.09) 0.37 (0.27) (0.06) -- (0.00)**
INTERMEDIATE HORIZON
06/30/2000 (1)....... 12.64 0.18 (0.16) 0.02 (0.17) -- -- --
12/31/1999........... 11.83 0.57 0.96 1.53 (0.49) (0.23) -- --
12/31/1998........... 10.98 0.34 1.00 1.34 (0.35) (0.14) -- (0.00)**
12/31/1997........... 10.32 0.48 0.99 1.47 (0.72) (0.08) -- (0.01)
12/31/1996 (2)....... 10.00 0.13 0.42 0.55 (0.13) (0.10) -- --
INTERMEDIATE LONG HORIZON
06/30/2000 (1)....... 13.60 0.14 (0.16) (0.02) (0.13) -- -- --
12/31/1999........... 12.32 0.51 1.80 2.31 (0.46) (0.57) -- --
12/31/1998........... 11.32 0.28 1.29 1.57 (0.39) (0.18) -- (0.00)**
12/31/1997........... 10.30 0.41 1.53 1.94 (0.80) (0.11) -- (0.01)
12/31/1996 (2)....... 10.00 0.09 0.47 0.56 (0.09) (0.17) -- --
LONG HORIZON
06/30/2000 (1)....... 12.32 0.03 (0.20) (0.17) (0.03) -- -- --
12/31/1999........... 10.08 0.39 2.34 2.73 (0.27) (0.22) -- --
12/31/1998 (3)....... 10.00 0.21 0.16 0.37 (0.12) (0.17) -- (0.00)*
</TABLE>
---------------
<TABLE>
<C> <S>
(1) Unaudited
(2) Commencement of Operations, April 15, 1996.
(3) Commencement of Operations, May 1, 1998.
* Annualized
** Less than one penny per share.
</TABLE>
72
<PAGE> 74
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
TOTAL -----------------------------
DIVIDENDS NET ASSET NET PORTFOLIO
AND VALUE END TOTAL INVESTMENT TURNOVER NET ASSETS
DISTRIBUTIONS OF PERIOD/YEAR RETURN EXPENSES INCOME RATE END OF PERIOD/YEAR
------------- -------------- ------ ------------ -------------- --------- ------------------
<S> <C> <C> <C> <C> <C> <C>
$(0.24) $10.45 1.24% 0.20%* 4.79%* 17% $ 18,483,607
(0.51) 10.56 1.45 0.20 4.48 41 16,574,749
(0.46) 10.92 6.37 0.20 4.00 113 13,019,430
(0.54) 10.70 8.69 0.20 4.49 348 6,015,072
(0.20) 10.34 7.74* 0.20* 11.60* 466 742,127
(0.19) 10.15 0.92 0.20* 4.79* 72 15,330,594
(0.55) 10.25 7.70 0.20 5.91 119 9,703,880
(0.33) 10.04 3.73* 0.20* 6.94* 260 3,657,312
(0.17) 12.49 0.17 0.20* 2.92* 62 124,961,802
(0.72) 12.64 13.14 0.20 4.59 56 94,988,890
(0.49) 11.83 12.27 0.20 2.97 124 57,365,875
(0.81) 10.98 14.29 0.20 4.26 322 24,664,668
(0.23) 10.32 7.94* 0.20* 7.88* 469 2,820,072
(0.13) 13.45 (0.17) 0.20* 2.08* 47 162,802,026
(1.03) 13.60 19.06 0.20 3.90 107 127,900,157
(0.57) 12.32 14.02 0.20 2.33 135 62,688,689
(0.92) 11.32 18.95 0.20 3.55 336 25,866,529
(0.26) 10.30 8.02* 0.20* 2.03* 418 2,173,362
(0.03) 12.12 (1.41) 0.20* 0.57* 87 67,010,150
(0.49) 12.32 27.41 0.20 3.49 108 37,930,335
(0.29) 10.08 3.81* 0.20* 3.35* 276 10,672,299
</TABLE>
73
<PAGE> 75
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. INVESTMENTS IN AFFILIATES
The market value of investments in affiliates (as defined in the Investment
Company Act of 1940, "Affiliated Companies" are those in which the Trust is
under common control with an affiliated entity) at June 30, 2000 totaled
$18,486,616, $15,333,025, $124,984,313, $162,826,795, and $67,020,388, for the
Short Horizon Strategic Allocation Fund, Short Intermediate Horizon Strategic
Allocation Fund, Intermediate Horizon Strategic Allocation Fund, Intermediate
Long Horizon Strategic Allocation Fund, and the Long Horizon Strategic
Allocation Fund, respectively.
Affiliates and the gain/(loss) from sales of affiliates are as follows:
<TABLE>
<CAPTION>
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN (LOSS)
SHARES PURCHASED SOLD SHARES COST COST ON SALES
--------- --------- --------- --------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
SHORT HORIZON STRATEGIC ALLOCATION
FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Core Bond Fund............. 414,612 49,290 -- 463,902 $ 588,947 $ -- $ --
Diversified Investors Funds
Group -- High Quality Bond Fund..... 293,931 29,674 -- 323,605 334,947 -- --
Diversified Investors Funds
Group -- High Yield Bond Fund....... 158,575 24,472 1,096 181,951 244,432 11,793 (603)
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 309,401 32,339 -- 341,740 347,297 -- --
Diversified Investors Funds
Group -- Money Market Fund.......... 167,270 317,793 279,324 205,739 3,405,295 2,996,973 345
Diversified Investors Funds
Group -- Value & Income Fund (1).... 76,381 9,678 1,022 85,037 202,476 22,386 (541)
------------ ------------ -----------
$ 5,123,394 $ 3,031,152 $ (799)
============ ============ ===========
SHORT INTERMEDIATE HORIZON STRATEGIC
ALLOCATION FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Aggressive Equity Fund..... 9,349 4,894 1,020 13,223 $ 112,412 $ 11,011 $ 14,156
Diversified Investors Funds
Group -- Core Bond Fund............. 284,774 195,567 27,705 452,636 2,341,572 359,229 (29,919)
Diversified Investors Funds
Group -- Equity Growth Fund......... 12,671 7,767 300 20,138 234,828 6,508 2,528
Diversified Investors Funds
Group -- Equity Value Fund.......... 34,984 19,371 54,355 -- 186,186 624,126 (69,093)
Diversified Investors Funds
Group -- Growth and Income Fund..... 16,491 10,069 -- 26,560 292,681 -- --
Diversified Investors Funds
Group -- High Quality Bond Fund..... 127,620 80,394 6,190 201,824 907,947 71,064 (1,649)
Diversified Investors Funds
Group -- High Yield Bond Fund....... 140,035 98,259 6,332 231,962 989,412 76,050 (11,495)
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 45,538 28,533 2,258 71,813 306,577 24,858 (785)
Diversified Investors Funds
Group -- International Equity
Fund................................ 18,881 11,446 55 30,272 235,359 749 335
Diversified Investors Funds
Group -- Money Market Fund.......... 2,038 694,012 691,791 4,259 7,445,755 7,422,176 (11,462)
Diversified Investors Funds
Group -- Special Equity Fund........ 24,156 13,380 2,130 35,406 351,660 44,449 14,191
Diversified Investors Funds
Group -- Value & Income Fund (1).... 22,484 46,944 1,851 67,577 977,905 39,430 393
------------ ------------ -----------
$ 14,382,294 $ 8,679,650 $ (92,800)
============ ============ ===========
</TABLE>
74
<PAGE> 76
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. INVESTMENTS IN AFFILIATES (CONTINUED)
<TABLE>
<CAPTION>
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN (LOSS)
SHARES PURCHASED SOLD SHARES COST COST ON SALES
--------- --------- --------- --------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
INTERMEDIATE HORIZON STRATEGIC
ALLOCATION FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Aggressive Equity Fund..... 136,808 37,448 5,307 168,949 $ 803,339 $ 58,377 $ 65,736
Diversified Investors Funds
Group -- Core Bond Fund............. 1,984,348 1,149,940 555,241 2,579,047 13,710,680 6,784,558 (93,377)
Diversified Investors Funds
Group -- Equity Growth Fund......... 216,326 77,788 12,170 281,944 2,358,589 212,102 170,887
Diversified Investors Funds
Group -- Equity Value Fund.......... 511,919 225,919 737,838 -- 2,286,739 8,668,139 (1,160,943)
Diversified Investors Funds
Group -- Growth and Income Fund..... 257,411 110,011 20,847 346,575 3,148,476 380,241 258,927
Diversified Investors Funds
Group -- High Quality Bond Fund..... 822,955 233,470 3,969 1,052,456 2,614,009 45,321 (382)
Diversified Investors Funds
Group -- High Yield Bond Fund....... 910,736 316,389 13,263 1,213,862 3,216,312 144,844 (9,428)
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 444,240 132,319 6,592 569,967 1,404,774 70,628 532
Diversified Investors Funds
Group -- International Equity
Fund................................ 322,329 107,909 4,518 425,720 2,159,018 52,442 42,704
Diversified Investors Funds
Group -- Money Market Fund.......... 32,199 5,365,321 5,061,964 335,556 57,347,249 54,065,211 32,107
Diversified Investors Funds
Group -- Special Equity Fund........ 392,748 101,448 9,554 484,642 2,517,143 203,601 52,766
Diversified Investors Funds
Group -- Value & Income Fund (1).... 394,807 492,262 36,103 850,966 10,339,595 709,113 50,045
------------ ------------ -----------
$101,905,923 $ 71,394,577 $ (590,426)
============ ============ ===========
INTERMEDIATE LONG HORIZON STRATEGIC
ALLOCATION FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Aggressive Equity Fund..... 245,092 70,975 25,681 290,386 $ 1,611,950 $ 289,954 $ 364,659
Diversified Investors Funds
Group -- Core Bond Fund............. 1,279,788 340,191 24,170 1,595,809 4,063,156 305,030 (10,877)
Diversified Investors Funds
Group -- Equity Growth Fund......... 415,231 105,101 1,120 519,212 3,098,147 19,705 15,328
Diversified Investors Funds
Group -- Equity Value Fund.......... 1,031,743 370,849 1,402,592 -- 3,501,881 16,223,244 (1,948,353)
Diversified Investors Funds
Group -- Growth and Income Fund..... 475,565 138,735 -- 614,300 3,918,438 -- --
Diversified Investors Funds
Group -- High Quality Bond Fund..... 538,697 129,469 7,209 660,957 1,458,846 82,426 (612)
Diversified Investors Funds
Group -- High Yield Bond Fund....... 978,952 292,982 20,121 1,251,813 2,957,494 234,365 (30,740)
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 596,894 147,883 10,042 734,735 1,583,150 107,493 1,367
Diversified Investors Funds
Group -- International Equity
Fund................................ 618,700 165,283 -- 783,983 3,364,047 -- --
Diversified Investors Funds
Group -- Money Market Fund.......... 42,633 5,240,656 4,677,512 605,777 56,183,085 50,098,228 63,001
Diversified Investors Funds
Group -- Special Equity Fund........ 738,789 194,163 58,312 874,640 5,084,424 1,219,053 469,678
Diversified Investors Funds
Group -- Value & Income Fund (1).... 707,298 865,297 36,845 1,535,750 18,005,554 719,942 62,444
------------ ------------ -----------
$104,830,172 $ 69,299,440 $(1,014,105)
============ ============ ===========
</TABLE>
75
<PAGE> 77
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. INVESTMENTS IN AFFILIATES (CONTINUED)
<TABLE>
<CAPTION>
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN (LOSS)
SHARES PURCHASED SOLD SHARES COST COST ON SALES
--------- --------- --------- --------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
LONG HORIZON STRATEGIC ALLOCATION FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Aggressive Equity Fund..... 90,353 60,303 5,180 145,476 $ 1,361,681 $ 53,979 $ 76,260
Diversified Investors Funds
Group -- Equity Growth Fund......... 183,688 141,151 1,691 323,148 4,243,702 36,652 16,264
Diversified Investors Funds
Group -- Equity Value Fund.......... 405,706 295,410 701,116 -- 2,903,611 8,003,464 (867,391)
Diversified Investors Funds
Group -- Growth and Income Fund..... 191,254 147,801 264 338,791 4,225,256 6,115 2,139
Diversified Investors Funds
Group -- International Equity
Fund................................ 273,699 214,615 4,044 484,270 4,361,744 55,237 28,548
Diversified Investors Funds
Group -- Money Market Fund.......... 21,835 3,556,085 3,345,139 232,781 38,205,222 35,928,196 24,374
Diversified Investors Funds
Group -- Special Equity Fund........ 311,261 217,708 14,242 514,727 5,577,925 317,101 78,787
Diversified Investors Funds
Group -- Value & Income Fund (1).... 308,547 619,864 14,957 913,454 12,968,638 318,579 1,047
------------ ------------ -----------
$ 73,847,779 $ 44,719,323 $ (639,972)
============ ============ ===========
</TABLE>
---------------
(1) Formerly Equity Income Fund.
76
<PAGE> 78
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77
<PAGE> 79
SECOND QUARTER 2000
ECONOMIC OVERVIEW
During the second quarter of 2000, the financial markets encountered a
great deal of uncertainty as well as diverging market views. This resulted in a
significant amount of market rotation and volatility. The fact that most stock
indices declined between 2.7% and 4.7% inadequately describes the tremendous
volatility investors withstood in the second quarter. Most of the uncertainty
was attributable to the direction of the economy as well as interest rates and
corporate profits.
The economy continued on its torrid pace in the first quarter of the year
as the Gross Domestic Product, a measure of all the goods and services produced
in the U.S., increased by an annual rate of 5.4%. This measure is well above the
Federal Reserve's growth target of 3.5%. In an attempt to subside the economic
imbalances, the Federal Reserve Board increased interest rates by 50 basis
points in the quarter.
It appears as though the six increases in the Fed Funds Rate over the past
year are having an effect on economic activity. The most recent economic data
suggests that the economy is slowing. This has become most evident among the
consumer sector. Consumer spending has slowed to approximately a 3% annual pace.
This is down significantly from the 11% clip we experienced in late 1999 and
early 2000. In addition, the higher energy prices are negatively impacting the
economy. The higher prices tend to act as additional tax on the economy, as this
causes consumer disposable income to fall.
Although consumer spending has slowed, we have to wonder if this is just a
slight pause with consumer activity picking up in the next quarter or two. The
consumer confidence level, albeit lower than it was earlier in the year, remains
very high. With the job market remarkably tight, wages continuing to increase
between 3.5% and 4.0%, and equity prices recovering from the recent sell-off,
consumers will most likely remain upbeat. Also, lets not forget that after
strong economic activity in the first quarter of 1998 and 1999, the economy
paused in the second quarter of each year, then catapulted in the second half of
the year. We would like to see growth slow across various sectors of the
economy, not concentrated in a few areas. Parts of the manufacturing sector
continue to exhibit strong patterns.
Inflation measures such as the Consumer Price Index (CPI) and the Producer
Price Index (PPI) are maintaining their upward trend from their 1999 lows. The
headline PPI has increased 3.8% on a year-over-year basis, and the CPI has
increased 3.1%. Through June of 1999, the PPI and CPI measures were up only a
modest 1.5% and 2.0%, respectively. While the latest numbers are not in
dangerous territory, they currently portray an upward pattern. Another measure
worth noting, was the latest increase in the Employment Cost Index (ECI) which
rose 1.4% in the first quarter, the largest increase since September 1990. This
measure had an immediate impact on the financial markets as both bonds and
stocks aggressively sold off on the news.
FINANCIAL MARKETS
The broad investment grade bond market, as measured by the Lehman Brothers
Aggregate Index, returned 1.7% in the second quarter. After pausing in April and
May, the bond market broke out of its slump in June by rising 2.1%, its best
performance since September 1998. The bond market benefited from strong
performances in both the Government sector and in each of the spread sectors,
which all recorded strong returns. The rally in the bond market was caused by
generally weaker economic data throughout the month. The first sign of slower
growth came in the first week of the month with a much less than anticipated
labor report, which announced that non-farm payrolls increased by 231,000,
significantly below the consensus estimate of 375,000. Also, the report
indicated that the unemployment rate increased to 4.1% from 3.9%. Later in the
month, a favorable CPI increase of only 0.1% coupled with a weaker than expected
housing report, added to investors growing conviction that the Fed would remain
on hold at its June 28, 2000 FOMC meeting. This would turn out to be the case;
however, the Fed did leave the door open for future increases particularly at
the meeting on August 22, 2000.
The apparent economic slowdown led investors to believe that the Fed is
nearing the end of its tightening cycle. Accordingly, two-year rates dropped 13
basis points to 6.36%, while the 10-year Treasury ended the quarter unchanged at
6.02%. The shape of the yield curve remains inverted with the 30 year Treasury
bond at 5.89%.
78
<PAGE> 80
For the quarter, bond portfolios with an intermediate duration generally
outperformed bond portfolios with relatively short or long durations. Also,
after lagging in the first quarter, mortgage backed securities outperformed,
with asset backed and Treasuries following behind, and corporate bonds lagging.
However, for the year, Treasuries performed the best. This result is largely
attributable to the Treasury buying back U.S. Treasury Bonds due to the current
surplus in the federal budget, as well as investors flocking to Treasury Bonds
due to economic uncertainty earlier in the year. Accordingly, high yield bonds
are significantly lagging for the year.
As investors favored the relative safety of fixed income securities, stocks
finished the second quarter lower as investors reacted negatively to the
prospects of higher interest rates and slower economic growth and their impact
on a fully valued market. As a result, the U.S. stock market, as measured by the
S&P 500 Index, fell 2.7%.
The second quarter witnessed significant volatility and sector rotation.
After significantly leading the market in 1999 and in the first quarter of 2000,
growth stocks sold off in April and May by approximately 10%. Small cap stocks,
as measured by the Russell 2000 Index, also fell prey to the selling by falling
nearly 12%. This was largely attributable to a correction in the technology
sector as concerns surfaced about whether many developing technology and
internet companies would ever post a profit, leading to a sell-off in this very
over valued sector of the market. From its peak on March 10 to its low on May
24, the NASDAQ Composite declined over 35% and finished the quarter down 13%.
Internet funds declined over 40%, while technology stocks declined approximately
10%.
In this difficult market, stocks with good earnings and more conservative
valuations outperformed. As evidence of this, two of the best performing sectors
were health care and consumer staples. During this period, value stocks, as
measured by the Russell 1000 Value Index, remained flat.
In June, however, these trends reversed and the relatively cheaper value
stocks sold-off by declining 4.6%, and large cap growth and small cap stocks
strongly rallied by returning 7.6% and 8.7%, respectively.
For the quarter, large cap growth stocks again outperformed on a relative
basis followed by international, small cap and large cap value.
OUTLOOK
Going forward, the market still faces a number of uncertainties: the time
and extent of further tightening, the degree of economic slowdown and its effect
on earnings. Right now it appears as though the rate of economic growth has
begun to slow as evidenced by the recent data. However, with employment levels
remaining strong and bolstering consumer confidence, there is a chance that
consumer spending may accelerate and keep the economy growing at a rapid pace.
Let's not forget that consumer activity accounts for nearly two thirds of total
economic activity. This is the reason why we carefully examine consumer levels
and patterns. Therefore, the belief that the Fed tightening is over may be a bit
premature as the next round of economic data may again heighten inflation
concerns.
In order to have a sustained rally in bonds, we will need clear evidence
that economic growth is slowing and that the slow down has broadened to most
sectors of the economy. This may not be forthcoming until later this year.
However, any rise in interest rates should be limited. We do not anticipate the
economy to go into a recession. With that in mind, we will maintain our current
level in bonds. We believe that the bond market, particularly corporate and high
yield bonds, looks attractive.
The recent weakness in growth and particularly technology stocks has not
brought their valuation levels in line with the rest of the market. We believe
that these overvalued stocks remain vulnerable to slowing economic growth and
declining profits. Therefore, after a near run rally, such as the one we have
experienced over the past six weeks, the market may experience some further
weakness later in the summer, with growth stocks being more vulnerable. Based on
our analysis of the current market and relative valuations, we will be selling
into this rally and most likely pull in the reins. Again, with more questions
than answers at this point, and until the future of the economy and Fed activity
become more certain, a defensive portfolio strategy seems appropriate.
79
<PAGE> 81
MONEY MARKET FUND
To maintain ample liquidity to moderate the impact of substantial first
quarter moves in cash flow in and out of the Money Market portfolio and
capitalize on the rise in 1-3 week money market interest rates, the Money Market
Portfolio's average maturity was shortened up in the first quarter.
Going forward, the average maturity of the portfolio will be adjusted
selectively to capitalize on opportunities where the portfolio will be rewarded
for duration extension. Presently, the yield curve in the money market is fairly
flat out through the 2-3 month area, so there is little yield sacrifice in
maintaining a short average maturity in the portfolio.
The portfolio continues to be invested in high quality short-term
instruments, principally commercial paper. Our investment strategy is to
emphasize purchases of 30-90 day maturities to provide flexibility to respond to
any changes in the marketplace without sacrificing current income.
HIGH QUALITY BOND
The domestic economy slowed during the second quarter as prolonged doses of
monetary policy tightening (50 basis points in May) from the Fed finally began
to take hold. Signs of slowing in the consumer, housing, and manufacturing
sectors, and reports indicating a modest increase in inflation buoyed the bond
market. While Treasury yields fell by 13 to 17 basis points between one and
five-year maturities, the Treasury curve remained inverted at the two-year
maturity, with a peak yield of 6.36%.
We were active during the quarter with purchases in the asset backed,
Yankee and corporate sectors and swaps in the brokerage sector. The net result
of these transactions from a sector standpoint was to increase the allocation in
the asset backed and Yankee sectors to 44% and 8% respectively, while modestly
reducing the allocation to the domestic corporate sector. At quarter end, the
portfolio was yielding 85 basis points over that of the Merrill Lynch 1-3
Government Bond Index.
INTERMEDIATE GOVERNMENT BOND
Government bond prices took another round trip in the second quarter: first
falling sharply early in the period, then gradually climbing back to end June
virtually unchanged. After a double-dose of tightening in May, we believe that
the Fed will probably stay on the sidelines for the remainder of the year. The
markets' overall tone has improved only slightly. Risk premiums remain high, and
overall market liquidity is still poor. Treasuries were the best performers,
aided by the continuing debt buy-back, while a cloud of political uncertainty
shades agencies. Lastly, the shape of the yield curve is both volatile and
inverted.
Our long-term view is that current bond yields are very attractive and will
look even more so as competition for investor dollars from equity markets cools
off. However, we expect great volatility within a gradually declining yield
range, as the market over-reacts to the latest batch of economic data. Our
strategy remains to position the portfolio with a slightly long duration
posture, and to carefully add exposure, focusing on higher-yielding agency and
government-guaranteed issues, on market weakness.
CORE BOND
During the quarter, the Fed imposed a 50 basis point rate hike, bringing
the fed funds rate to 6.5%. This was the sixth rate increase rate since June of
last year. As signs of potential slowing in economic growth began to emerge
towards quarter end, investors perceived the Fed to be nearing the end of its
tightening cycle. Accordingly, two-year rates rallied 13 basis points to 6.36%
while the 10-year Treasury ended the quarter unchanged at 6.02%.
In early April we moved to a one year overweight in GNMA's and later
reduced this to 0.5 years as spreads tightened 10 basis points. Going forward,
we feel GNMA pass throughs have more room to tighten and will likely maintain
this overweight. Mid-way through the quarter we increased our underweight in
investment grade corporates to 0.5 years. Given the flat credit curve, most of
this underweight is in the 30-year
80
<PAGE> 82
area. This underweight worked to our advantage as corporate spreads widened
roughly 10 basis points for industrial credits and 30 basis points in the
finance sector. We maintained a 3% allocation to domestic high yield corporates,
which widened 30 basis points largely because of concerns over future rate
hikes. Given current valuations and our defensive focus in this sector, we feel
this asset class offers significant relative value going forward.
HIGH YIELD BOND
During the month of June the portfolio was repositioned. Exposure to old
economy industries which would be the most adversely impacted by higher interest
rates was reduced. As a percentage of the portfolio, the weighting in the
housing industry and steel was reduced in addition to auto exposure being
lowered. Exposure to telecommunications was increased with the majority of this
increase related to European telecom names. Exposure to cable was lowered with
an emphasis away from U.S. cable companies to European operators. The service
industry position was increased as well. We expect to deploy cash into the new
issue area, which we believe represents value from a pricing and structure
perspective.
The best performing industries in June were supermarkets (+4.16%), energy
(+3.84%) and cable (+3.56%). Project finance bonds and zero coupon bonds also
outperformed. June was the first month in 2000 to record positive inflows into
the high yield market; $1.2 billion was invested in high yield mutual funds
during the month.
The CSFB HY Index is currently yielding 13.40%. At this level we believe
investors are being significantly compensated for credit risk. We expect demand
for capital by issuers, especially in the telecommunications area, to remain
strong. However, we expect mergers and acquisitions activity to generate capital
gain returns. Industries we expect to experience strong acquisition activity
include cellular communications, European telecommunications, and the oil and
gas operators.
BALANCED
During the quarter, the Fed imposed a 50 basis point rate hike, bringing
the fed funds rate to 6.5%. In early April, we moved to a one year overweight in
GNMA's and later reduced this to 0.5 years as spreads tightened 10 basis points.
We maintained a 6% allocation to domestic high yield corporates, which widened
30 basis points largely because of concerns over future rate hikes. Given
current valuations and our defensive focus in this sector, we feel this asset
class offers significant relative value going forward.
We also maintained a 4% allocation to emerging market securities throughout
the quarter. Positive fundamental developments across Central Europe and Latin
America continue to highlight the attractive relative value of this sector.
Market returns during the quarter suffered from expectations of aggressive
interest rate increases by the Fed. Underperformance during the quarter came
from positions in the Consumer Cyclicals and Healthcare sectors. This was
partially offset by outperformance from our positioning within the Communication
Services sector. Our outlook for the second half of the year is one of balance
between market risks related to the slowing of the U.S. economy, and market
positives such as the resolution of the Presidential race and the approaching
end of the Fed's interest rate increases.
EQUITY VALUE
The weak returns of the portfolio and Russell 1000 Value Index in the two
first full months since Sanford Bernstein began as manager mask abrupt changes.
In May, the index had positive returns, beating the broad market, and the
portfolio did better yet. In June, however, the index fell, underperforming the
broad market. With investors rotating back to high-priced technology stocks and
fleeing low-priced and pro-cyclical securities, the portfolio underperformed. In
this difficult market environment, both sector and security selection detracted
from portfolio performance. The portfolio's overweight of consumer cyclicals and
underweight of consumer growth both hurt performance. The bigger drag, however,
came from stock
81
<PAGE> 83
selection, particularly within financials, technology and utilities. The
portfolio's underweight of the weak (but still high-priced) technology sector
added to relative performance in the two-month period, but these gains were more
than offset by security selection. In our view, these stocks still represent a
very attractively priced way to benefit from the growth in the major technology
companies, whose goods they distribute.
VALUE & INCOME
The economy finally began to show some signs of deceleration during the
second quarter. The combination of higher interest rates, rising energy costs
and a sharp market correction, especially in the popular technology sector,
cooled consumer spending. The stock market sell-off hit the growth area the
hardest, while several value sectors such as healthcare, finance and energy
rallied.
The portfolio has substantial holdings in these areas and they contributed
to results for the quarter. Consensus forecasts call for the earnings of the
companies in the portfolio to grow about as fast as the market for each of the
next two years. Never in our experience have we seen valuations this low without
severe industrial distress. We expect investors to recognize this discrepancy
and drive prices to more appropriate levels relative to earnings prospects.
Until future Fed activity becomes more certain, we will take a defensive
portfolio strategy by reducing exposure to economy sensitive sectors while
increasing holdings in financials, healthcare and consumer staples.
GROWTH & INCOME
During the second quarter, the technology-laden NASDAQ Composite continued
to slide. As a result, the portfolio underperformed the S&P 500 Index, which
declined 2.7% in the second quarter. Underweighting health care, particularly
pharmaceuticals, and poor performance by select biotechnology holdings made this
sector the single largest detractor from portfolio performance. Strength in
communications equipment and computer hardware could not overcome the negative
impact of overweighting the weak technology sector. Lagging performance in
electronics, computers, and contract manufacturing holdings hurt performance.
We expect the current momentum of economic expansion to continue for the
foreseeable future, although moderating from 1999's high level. Despite a
possible economic slowdown, market volatility, high energy prices, and the
inevitable market uncertainty, it is important to remember that the United
States still exhibits low inflation and a strong economy. We continue to believe
that the current economic environment will reward high-quality growth companies
that are experiencing strong demand for their products and stable or improving
pricing power.
EQUITY GROWTH
Stocks finished the second quarter lower as investors reacted negatively to
the prospects of higher interest rates and the impact of slower economic growth
on a fully valued market. In this difficult environment, stocks with good
earnings and more conservative valuations tended to do well. Two of the best
performing sectors were Healthcare and Consumer Staples. With a significant
portion of the portfolio invested in these sectors, we were able to outperform
the Russell 1000 Growth Index for the quarter. Despite the volatility in biotech
stocks during the period, our overweight in Pharmaceuticals & Biotechnology was
positive for performance. Overweight to Communications Equipment and stock
selection within the group had the largest negative impact on performance.
Going forward, the key to the economic outlook remains the Federal
Reserve's ability to keep inflation in check as it attempts to engineer a soft
landing. If successful, the result should be a more moderately growing economy
in which we believe higher quality issues that can produce solid double-digit
earnings growth will excel.
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<PAGE> 84
SPECIAL EQUITY
The fact that most indices declined only slightly, inadequately describes
the tremendous volatility investors withstood in the second quarter.
Year-to-date, the Russell 2000 Index has had a rise or fall of more than 3% on
24 separate days (none in 1999). Much of the volatility is a function of rapidly
changing investor sentiment toward technology and biotechnology sectors.
Waste collection, healthcare and takeover issues drove our second quarter
performance to the upside. We continue to benefit from the pursuit of
undervalued stocks by private groups and corporate capital. Performance for the
quarter was positively impacted by gains in C&D Technologies (up 90.6%), Ruby
Tuesday (up 43.6%) and Rational Software (up 21.5%). On the negative side, cable
television and radio stocks continue to slide. Financial holdings as a group
declined for the quarter in addition to semiconductor and semiconductor
equipment stocks. Technology continues to provide the main growth spark in the
economy and is the equity markets prime source of price movement, both positive
and negative.
Our view is that the Federal Reserve and the decline in the capital
markets, particularly the NASDAQ, have slowed the economy and thus raised the
probability of the Fed accomplishing their goal of a soft landing. We expect a
strong earnings release period to provide both stability and leadership to our
positions.
AGGRESSIVE EQUITY
Rising interest rates coupled with extended valuations led to continued
volatility for growth stocks. Reported earnings were very good across all
sectors, but not strong enough to overcome concerns over future growth,
especially in the technology sector.
Performance this quarter was due to appreciation across all sectors;
technology stocks such as Corning, and Siebel Systems; healthcare stocks such as
King Pharmaceutical, and Ivax Corp; and utility stocks such as Calpine. We were
less fortunate in our holdings of Costco, which was sold after indicating its
earnings growth would slow. We added to our positions in Varian, Check Point
Software, and Ivax, and initiated a position in Priority Healthcare. These
companies are all characterized by strong organic revenue growth and reported
earnings well above market expectations.
We view the market with cautious optimism. Strong growth opportunities
exist in the stocks that we own. We expect relative valuations in these issues
will be important over the balance of the year.
INTERNATIONAL EQUITY
The sell-off in equity markets that began in March continued through April.
European markets then began to turn around in late May and posted strong results
for June, paring their losses for the quarter. Throughout the second quarter
investors continued to reexamine the valuations of technology-related companies.
The resulting volatility pressured technology, media, and telecommunications
securities.
Prior to the technology correction in March, we took advantage of the
relative value found in consumer, food, and beverage stocks. Stock selection and
underweighting in Germany were additive over the quarter, as well as our
exposure to Canada. The portfolio's emphasis on technology-related companies
dampened performance. Stock selection in Japan, primarily in technology and
telecommunications, detracted from returns over the quarter.
With the strong comeback in many of the consumer and financial companies we
favored, we are beginning to take profits in these sectors and look at some more
reasonable values in the telecommunications industries. We also plan to remain
positioned in European exporters from a variety of industries. Should the Euro
remain range-bound, many of the exporters we favor that already offer
double-digit sales growth could show solid earnings results for some time to
come.
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<PAGE> 85
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE AND
MARKET QUALITY BOND BOND BOND BALANCED INCOME (1)
------------ ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Securities, at cost.............. $488,937,549 $236,825,917 $208,168,880 $744,874,058 $612,417,917 $1,085,836,656
============ ============ ============ ============ ============ ==============
Securities, at market............ $488,937,549 $233,364,591 $205,003,792 $743,384,935 $635,501,328 $1,116,205,487
Repurchase agreements, at
value.......................... 64,460 1,886,676 631,322 15,788,470 7,576,928 17,761,296
Cash............................. 24,088 29,667 -- -- 219,666 921
Foreign currency holdings, at
value (Cost $3,275,926)........ -- -- -- -- -- --
Receivable for securities sold... -- -- -- 34,396,137 15,163,300 3,006,572
Unrealized appreciation on
foreign currency forward
contracts...................... -- -- -- 257,386 93,253 --
Interest receivable.............. 537,685 2,459,481 2,610,015 7,148,003 3,033,341 5,402
Dividends receivable............. -- -- -- -- 246,974 2,359,944
Receivable from securities
lending........................ -- 25,931 892 -- 98,177 --
Reimbursement from advisor....... -- -- 2,000 -- -- 1,087
------------ ------------ ------------ ------------ ------------ --------------
Total assets............. 489,563,782 237,766,346 208,248,021 800,974,931 661,932,967 1,139,340,709
------------ ------------ ------------ ------------ ------------ --------------
LIABILITIES:
Due to Advisor................... -- -- -- -- 87,024 --
Deposit for securities loaned.... -- 9,340,000 28,730,000 42,412,500 44,792,400 25,044,861
Payable for securities
purchased...................... -- -- -- 217,892,825 90,305,074 1,674,570
Unrealized depreciation on
foreign currency forward
contracts...................... -- -- -- 400,476 142,036 --
Investment advisory fees......... 102,323 77,124 53,511 152,548 198,124 432,096
Accrued expenses................. 18,460 14,830 17,884 32,897 189,961 59,459
------------ ------------ ------------ ------------ ------------ --------------
Total liabilities........ 120,783 9,431,954 28,801,395 260,891,246 135,714,619 27,210,986
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS............... $489,442,999 $228,334,392 $179,446,626 $540,083,685 $526,218,348 $1,112,129,723
============ ============ ============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-in capital.................. $489,442,999 $231,795,718 $182,611,714 $541,942,641 $503,271,035 $1,081,760,892
Net unrealized appreciation
(depreciation) on securities
and futures.................... -- (3,461,326) (3,165,088) (1,489,123) 23,083,411 30,368,831
Net unrealized appreciation
(depreciation) on translation
of assets and liabilities in
foreign currencies............. -- -- -- (369,833) (136,098) --
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS............... $489,442,999 $228,334,392 $179,446,626 $540,083,685 $526,218,348 $1,112,129,723
============ ============ ============ ============ ============ ==============
</TABLE>
---------------
(1) Formerly Equity Income
See notes to financial statements.
84
<PAGE> 86
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE INCOME GROWTH EQUITY EQUITY BOND EQUITY
------------ -------------- -------------- -------------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$194,101,072 $1,159,342,247 $1,164,730,026 $1,097,293,914 $364,526,961 $115,870,036 $579,732,874
============ ============== ============== ============== ============ ============ ============
$175,135,899 $1,464,413,352 $1,484,777,591 $1,363,807,036 $505,585,984 $110,955,894 $762,297,123
3,554,864 23,316,736 29,843,994 57,762,293 4,031,732 11,530,251 22,276,534
-- -- 24 -- -- -- 671
-- -- -- -- -- -- 3,270,195
-- 5,662,282 7,609,494 7,190,255 10,050,705 2,347,204 5,241,870
-- -- -- -- -- -- 1,044,784
1,645 29,404 25,576 26,346 12,378 2,478,701 19,307
488,471 464,739 486,696 651,018 25,992 -- 1,252,865
692 32,321 22,302 50,694 9,369 -- 53,292
-- -- -- -- -- -- 6,191
------------ -------------- -------------- -------------- ------------ ------------ ------------
179,181,571 1,493,918,834 1,522,765,677 1,429,487,642 519,716,160 127,312,050 795,462,832
------------ -------------- -------------- -------------- ------------ ------------ ------------
-- -- -- 15,166 -- -- --
6,768,500 166,821,394 135,995,998 109,119,228 76,599,800 -- 91,268,648
-- 11,974,512 8,180,591 2,080,372 1,930,774 2,407,770 5,294,661
-- -- -- -- -- -- 595,537
87,912 648,478 696,127 930,690 337,062 59,438 428,486
1,671 57,069 52,725 224,532 14,343 23,714 77,484
------------ -------------- -------------- -------------- ------------ ------------ ------------
6,858,083 179,501,453 144,925,441 112,369,988 78,881,979 2,490,922 97,664,816
------------ -------------- -------------- -------------- ------------ ------------ ------------
$172,323,488 $1,314,417,381 $1,377,840,236 $1,317,117,654 $440,834,181 $124,821,128 $697,798,016
============ ============== ============== ============== ============ ============ ============
$191,288,661 $1,009,346,276 $1,057,792,671 $1,050,604,532 $299,775,158 $129,735,270 $514,813,568
(18,965,173) 305,071,105 320,047,565 266,513,122 141,059,023 (4,914,142) 182,564,249
-- -- -- -- -- -- 420,199
------------ -------------- -------------- -------------- ------------ ------------ ------------
$172,323,488 $1,314,417,381 $1,377,840,236 $1,317,117,654 $440,834,181 $124,821,128 $697,798,016
============ ============== ============== ============== ============ ============ ============
</TABLE>
85
<PAGE> 87
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE AND
MARKET QUALITY BOND BOND BOND BALANCED INCOME(1)
----------- ------------ ------------ ----------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................ $13,734,342 $7,047,690 $5,410,187 $16,622,649 $ 6,841,307 $ 678,698
Securities lending income...... -- 8,881 36,559 128,176 63,129 55,665
Dividend income................ -- -- -- -- 1,696,879 15,040,195
Less: withholding taxes........ -- -- -- -- (10,852) (33,135)
----------- ---------- ---------- ----------- ------------ -------------
Total income............ 13,734,342 7,056,571 5,446,746 16,750,825 8,590,463 15,741,423
----------- ---------- ---------- ----------- ------------ -------------
EXPENSES:
Investment advisory fees....... 553,983 378,361 309,645 901,037 1,161,755 2,790,973
Custody fees................... 49,975 18,353 18,523 15,022 32,588 22,423
Professional fees.............. 9,176 6,889 6,320 43,675 15,428 33,019
Reports to shareholders........ 1,553 455 622 14,603 82,792 3,066
Miscellaneous fees............. 925 932 930 1,171 1,068 1,893
----------- ---------- ---------- ----------- ------------ -------------
Total expenses.......... 615,612 404,990 336,040 975,508 1,293,631 2,851,374
Expenses reimbursed by the
advisor...................... -- -- -- -- -- --
----------- ---------- ---------- ----------- ------------ -------------
Net expenses............ 615,612 404,990 336,040 975,508 1,293,631 2,851,374
----------- ---------- ---------- ----------- ------------ -------------
Net investment income (loss)..... 13,118,730 6,651,581 5,110,706 15,775,317 7,296,832 12,890,049
----------- ---------- ---------- ----------- ------------ -------------
NET REALIZED AND UNREALIZED GAINS
(LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES:
Net realized gains (losses) on
securities and futures....... (39,665) (575,986) (860,394) (9,001,331) 15,240,812 218,244,142
Net realized gains (losses) on
foreign currency
transactions................. -- -- -- 349,358 465,598 --
Net change in unrealized
appreciation (depreciation)
on securities and futures.... 398,999 1,778,421 7,622,503 (19,525,569) (324,077,768)
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign
currencies................... -- -- -- (369,833) (147,164) --
----------- ---------- ---------- ----------- ------------ -------------
Net realized and unrealized gains
(losses) on securities and
foreign currencies............. (39,665) (176,987) 918,027 (1,399,303) (3,966,323) (105,833,626)
----------- ---------- ---------- ----------- ------------ -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $13,079,065 $6,474,594 $6,028,733 $14,376,014 $ 3,330,509 $ (92,943,577)
=========== ========== ========== =========== ============ =============
</TABLE>
---------------
(1) Formerly Equity Income
See notes to financial statements.
86
<PAGE> 88
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE INCOME GROWTH EQUITY EQUITY BOND EQUITY
------------ ------------ ------------ ----------- ------------ ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 253,996 $ 652,175 $ 723,562 $ 2,014,982 $ 354,831 $ 6,040,048 $ 1,158,516
9,759 153,951 147,853 481,360 157,394 -- 180,885
3,722,093 3,200,457 3,390,098 2,669,618 243,898 -- 5,219,224
-- (41,590) (20,342) -- -- -- (549,606)
------------ ------------ ------------ ----------- ------------ ----------- ------------
3,985,848 3,964,993 4,241,171 5,165,960 756,123 6,040,048 6,009,019
------------ ------------ ------------ ----------- ------------ ----------- ------------
828,538 3,739,395 3,999,794 5,022,745 1,753,886 336,680 2,463,396
15,570 96,871 117,785 106,957 14,210 26,188 307,795
12,469 24,105 14,994 30,658 6,303 5,236 11,109
1,031 4,412 3,229 86,672 292 683 1,736
1,139 1,589 2,053 2,059 938 928 1,235
------------ ------------ ------------ ----------- ------------ ----------- ------------
858,747 3,866,372 4,137,855 5,249,091 1,775,629 369,715 2,785,271
(2,250) -- -- -- -- (2,595) --
------------ ------------ ------------ ----------- ------------ ----------- ------------
856,497 3,866,372 4,137,855 5,249,091 1,775,629 367,120 2,785,271
------------ ------------ ------------ ----------- ------------ ----------- ------------
3,129,351 98,621 103,316 (83,131) (1,019,506) 5,672,928 3,223,748
------------ ------------ ------------ ----------- ------------ ----------- ------------
(71,977,477) 38,838,756 96,113,089 53,819,001 (16,338,945) (8,482,252) 49,744,922
-- -- -- -- -- -- (2,845,954)
24,814,934 (66,588,239) (89,120,059) 17,567,788 53,841,421 1,636,306 (54,305,465)
-- -- -- -- -- -- 2,252,925
------------ ------------ ------------ ----------- ------------ ----------- ------------
(47,162,543) (27,749,483) 6,993,030 71,386,789 37,502,476 (6,845,946) (5,153,572)
------------ ------------ ------------ ----------- ------------ ----------- ------------
$(44,033,192) $(27,650,862) $ 7,096,346 $71,303,658 $ 36,482,970 $(1,173,018) $ (1,929,824)
============ ============ ============ =========== ============ =========== ============
</TABLE>
87
<PAGE> 89
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE
MARKET QUALITY BOND BOND BOND BALANCED
--------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss).............. $ 13,118,730 $ 6,651,581 $ 5,110,706 $ 15,775,317 $ 7,296,832
Net realized gains (losses) on securities
and futures............................. (39,665) (575,986) (860,394) (9,001,331) 15,240,812
Net realized gains (losses) on foreign
currency transactions................... -- -- -- 349,358 465,598
Net change in unrealized appreciation
(depreciation) on securities and
futures................................. -- 398,999 1,778,421 7,622,503 (19,525,569)
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities in foreign currencies... -- -- -- (369,833) (147,164)
--------------- ------------ ------------ ------------- ------------
Net increase (decrease) in net assets
resulting from operations............... 13,079,065 6,474,594 6,028,733 14,376,014 3,330,509
--------------- ------------ ------------ ------------- ------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital invested............ 2,486,189,042 68,161,293 38,743,795 150,283,711 76,176,228
Value of capital withdrawn................ (2,426,593,935) (46,207,592) (40,130,287) (140,297,484) (78,872,292)
--------------- ------------ ------------ ------------- ------------
Net increase (decrease) in net assets
resulting from capital transactions....... 59,595,107 21,953,701 (1,386,492) 9,986,227 (2,696,064)
--------------- ------------ ------------ ------------- ------------
Net increase (decrease) in net assets....... 72,674,172 28,428,295 4,642,241 24,362,241 634,445
NET ASSETS:
Beginning of period....................... 416,768,827 199,906,097 174,804,385 515,721,444 525,583,903
--------------- ------------ ------------ ------------- ------------
End of period............................. $ 489,442,999 $228,334,392 $179,446,626 $ 540,083,685 $526,218,348
=============== ============ ============ ============= ============
</TABLE>
---------------
(1) Formerly Equity Income
See notes to financial statements.
88
<PAGE> 90
<TABLE>
<CAPTION>
VALUE AND EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD
INCOME(1) VALUE INCOME GROWTH EQUITY EQUITY BOND
-------------- ------------- -------------- -------------- -------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 12,890,049 $ 3,129,351 $ 98,621 $ 103,316 $ (83,131) $ (1,019,506) $ 5,672,928
218,244,142 (71,977,477) 38,838,756 96,113,089 53,819,001 (16,338,945) (8,482,252)
-- -- -- -- -- -- --
(324,077,768) 24,814,934 (66,588,239) (89,120,059) 17,567,788 53,841,421 1,636,306
-- -- -- -- -- -- --
-------------- ------------- -------------- -------------- -------------- ------------- ------------
(92,943,577) (44,033,192) (27,650,862) 7,096,346 71,303,658 36,482,970 (1,173,018)
-------------- ------------- -------------- -------------- -------------- ------------- ------------
364,701,069 161,573,271 408,414,187 366,717,088 803,252,726 423,108,382 48,482,867
(574,261,999) (339,320,879) (308,582,387) (262,842,352) (728,473,011) (278,731,593) (47,479,129)
-------------- ------------- -------------- -------------- -------------- ------------- ------------
(209,560,930) (177,747,608) 99,831,800 103,874,736 74,779,715 144,376,789 1,003,738
-------------- ------------- -------------- -------------- -------------- ------------- ------------
(302,504,507) (221,780,800) 72,180,938 110,971,082 146,083,373 180,859,759 (169,280)
1,414,634,230 394,104,288 1,242,236,443 1,266,869,154 1,171,034,281 259,974,422 124,990,408
-------------- ------------- -------------- -------------- -------------- ------------- ------------
$1,112,129,723 $ 172,323,488 $1,314,417,381 $1,377,840,236 $1,317,117,654 $ 440,834,181 $124,821,128
============== ============= ============== ============== ============== ============= ============
<CAPTION>
INTERNATIONAL
EQUITY
---------------
<S> <C>
$ 3,223,748
49,744,922
(2,845,954)
(54,305,465)
2,252,925
---------------
(1,929,824)
---------------
1,176,804,997
(1,069,790,798)
---------------
107,014,199
---------------
105,084,375
592,713,641
---------------
$ 697,798,016
===============
</TABLE>
89
<PAGE> 91
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE
MARKET QUALITY BOND BOND BOND(2) BALANCED
--------------- ------------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss)... $ 18,759,934 $ 13,120,662 $ 9,454,641 $ 33,418,674 $ 12,600,377
Net realized gains (losses) on
securities and futures....... (81,098) (77,003) 271,445 (16,710,925) 38,806,405
Net realized gains (losses) on
foreign currency
transactions................. -- -- -- -- 534,648
Net change in unrealized
appreciation (depreciation)
on securities and futures.... -- (5,712,669) (6,973,210) (22,172,181) 4,464,554
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign
currencies................... -- -- -- -- 11,066
--------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets resulting from
operations................... 18,678,836 7,330,990 2,752,876 (5,464,432) 56,417,050
--------------- ------------- ------------ ------------- -------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital
invested..................... 2,447,353,613 97,896,479 95,259,001 279,258,506 164,980,620
Value of capital withdrawn..... (2,341,701,375) (132,784,506) (81,781,959) (310,008,160) (201,809,506)
--------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets resulting from capital
transactions................... 105,652,238 (34,888,027) 13,477,042 (30,749,654) (36,828,886)
--------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets......................... 124,331,074 (27,557,037) 16,229,918 (36,214,086) 19,588,164
NET ASSETS:
Beginning of year.............. 292,437,753 227,463,134 158,574,467 551,935,530 505,995,739
--------------- ------------- ------------ ------------- -------------
End of year.................... $ 416,768,827 $ 199,906,097 $174,804,385 $ 515,721,444 $ 525,583,903
=============== ============= ============ ============= =============
</TABLE>
---------------
(2) Formerly Government/Corporate Bond
See notes to financial statements.
90
<PAGE> 92
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD
INCOME VALUE INCOME GROWTH EQUITY EQUITY BOND
-------------- ------------- -------------- -------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 25,448,578 $ 7,083,256 $ 689,241 $ 1,116,335 $ 1,261,365 $ (666,121) $ 9,510,613
127,039,697 18,628,659 140,686,075 112,928,394 167,967,618 26,650,206 (6,387,877)
-- -- -- -- -- -- --
(38,715,500) (35,807,019) 152,827,628 214,814,984 70,038,822 65,836,552 (2,312,494)
-- -- -- -- -- -- --
-------------- ------------- -------------- -------------- -------------- ------------- -------------
113,772,775 (10,095,104) 294,202,944 328,859,713 239,267,805 91,820,637 810,242
-------------- ------------- -------------- -------------- -------------- ------------- -------------
448,574,397 258,787,553 663,367,352 724,768,783 641,434,602 308,383,031 196,525,358
(514,820,438) (244,447,936) (486,602,314) (475,207,907) (633,758,010) (221,556,953) (167,216,173)
-------------- ------------- -------------- -------------- -------------- ------------- -------------
(66,246,041) 14,339,617 176,765,038 249,560,876 7,676,592 86,826,078 29,309,185
-------------- ------------- -------------- -------------- -------------- ------------- -------------
47,526,734 4,244,513 470,967,982 578,420,589 246,944,397 178,646,715 30,119,427
1,367,107,496 389,859,775 771,268,461 688,448,565 924,089,884 81,327,707 94,870,981
-------------- ------------- -------------- -------------- -------------- ------------- -------------
$1,414,634,230 $ 394,104,288 $1,242,236,443 $1,266,869,154 $1,171,034,281 $ 259,974,422 $ 124,990,408
============== ============= ============== ============== ============== ============= =============
<CAPTION>
INTERNATIONAL
EQUITY
--------------
<S> <C>
$ 3,165,100
26,587,874
(1,679,242)
206,238,143
(518,396)
--------------
233,793,479
--------------
1,014,210,775
(975,508,786)
--------------
38,701,989
--------------
272,495,468
320,218,173
--------------
$ 592,713,641
==============
</TABLE>
91
<PAGE> 93
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 90.19%
$10,800,000 American Express Credit Corp.,
6.88%, 07/03/00.............. $ 10,795,872
11,758,000 American Express Credit Corp.,
6.56%, 07/18/00.............. 11,721,576
11,000,000 American General Finance Corp.,
6.58%, 07/14/00.............. 10,973,863
8,000,000 Associates Corporation of North
America, 6.56%, 07/19/00..... 7,973,760
15,000,000 Associates First Capital,
6.95%, 07/03/00.............. 14,994,208
1,550,000 BankAmerica Corp., 5.93%,
07/13/00..................... 1,546,936
11,833,000 CIT Group Holdings, 6.55%,
08/07/00..................... 11,753,341
1,640,000 Ciesco, L.P., 6.56%,
07/20/00..................... 1,634,322
13,744,000 Citicorp, 6.54%, 08/01/00...... 13,666,598
14,820,000 Coca Cola Enterprises, Inc.,
6.07%, 08/21/00.............. 14,692,561
4,346,000 Colonial Pipeline Company,
6.60%, 08/02/00.............. 4,320,504
6,400,000 Colonial Pipeline Company,
6.60%, 08/21/00.............. 6,340,160
2,500,000 Conagra, Inc., 6.80%,
07/25/00..................... 2,488,667
1,005,000 Country Wide Home Loans, 6.92%,
07/05/00..................... 1,004,227
19,000,000 Country Wide Home Loans, 6.55%,
07/07/00..................... 18,979,258
4,000,000 Dominion Resources, Inc.,
6.83%, 07/20/00.............. 3,985,581
20,000,000 Edison Asset Securitization,
6.58%, 08/11/00.............. 19,850,122
7,842,000 Enterprise Funding Corp.,
6.60%, 07/27/00.............. 7,804,620
13,000,000 Ford Motor Credit Company,
6.00%, 07/03/00.............. 12,995,667
10,000,000 Ford Motor Credit Company,
6.62%, 09/13/00.............. 9,863,922
5,000,000 GE Capital Corp., 6.50%,
07/03/00..................... 4,998,195
17,923,000 GE Capital Corp., 6.53%,
07/19/00..................... 17,864,481
17,000,000 GTE Corp., 6.60%, 07/11/00..... 16,968,833
18,600,000 General Motors Acceptance
Corp., 6.60%, 07/27/00....... 18,511,340
20,000,000 Golden Funding Corp., 6.57%,
07/14/00..................... 19,952,550
10,000,000 Goldman Sachs Group, L.P.,
6.66%, 08/15/00.............. 9,916,750
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER (CONTINUED)
$12,000,000 Heller Financial, Inc., 6.65%,
07/17/00..................... $ 11,964,533
8,000,000 Heller Financial, Inc., 6.65%,
07/25/00..................... 7,964,533
651,000 Household Finance, 6.55%,
07/05/00..................... 650,526
11,500,000 Household International Corp.,
6.62%, 08/11/00.............. 11,413,296
4,500,000 International Bank for
Reconstruction and
Development, 5.73%,
10/15/00..................... 4,424,057
1,100,000 International Bank for
Reconstruction and
Development, 5.85%,
10/15/00..................... 1,081,066
9,823,000 Merrill Lynch & Company, Inc.,
6.58%, 07/14/00.............. 9,799,660
11,129,000 Merrill Lynch & Company, Inc.,
6.66%, 08/21/00.............. 11,023,998
12,650,000 Montauk Funding Corp., 6.56%,
07/26/00..................... 12,592,372
7,350,000 Montauk Funding Corp., 6.63%,
08/25/00..................... 7,275,551
4,000,000 Nabisco, Inc., 6.75%,
07/13/00..................... 3,991,000
4,000,000 Norfolk Southern Corp., 6.80%,
07/24/00..................... 3,982,622
4,500,000 Paccar Financial Group, 6.56%,
07/05/00..................... 4,496,720
12,592,000 Sony Capital Corp., 6.62%,
07/12/00..................... 12,566,529
4,000,000 TRW, Inc., 6.73%, 07/10/00..... 3,993,270
815,000 Target Corp., 6.62%,
07/06/00..................... 814,251
5,969,000 Target Corp., 6.60%,
07/28/00..................... 5,939,454
13,500,000 Textron Financial Corp., 6.67%,
07/07/00..................... 13,484,993
6,500,000 Textron Financial Corp., 6.55%,
07/27/00..................... 6,469,252
6,300,000 Toronto Dominion Bank, 5.90%,
07/03/00..................... 6,297,935
5,752,000 Trident Capital Finance, 6.57%,
08/08/00..................... 5,712,110
15,000,000 Windmill Funding Corp., 6.58%,
07/26/00..................... 14,931,459
5,000,000 Windmill Funding Corp., 6.65%,
08/14/00..................... 4,959,361
------------
TOTAL COMMERCIAL PAPER
(Cost $441,426,462)............ 441,426,462
------------
</TABLE>
See notes to financial statements.
92
<PAGE> 94
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
FEDERAL HOME LOAN BANK -- 3.29%
$ 4,750,000 6.60%, 02/22/01................ $ 4,860,087
11,250,000 6.75%, 03/01/01................ 11,250,000
------------
TOTAL FEDERAL HOME LOAN BANK
(Cost $16,110,087)............. 16,110,087
------------
CERTIFICATE OF DEPOSIT -- 1.45%
7,095,000 Canadian Imperial Bank of
Commerce, 6.29%, 07/25/00
(Cost $7,095,000)............ 7,095,000
------------
SHORT-TERM CORPORATE NOTES -- 4.97%
1,600,000 Banc One, Floating Rate, 6.70%,
07/06/00(+).................. 1,600,000
4,706,000 Capital One Funding Corp.,
Floating Rate, 6.70%,
07/06/00(+).................. 4,706,000
9,000,000 Goldman Sachs Group, Floating
Rate, 6.406%, 06/15/01(+).... 9,000,000
9,000,000 Lehman Syndicated Loan Fund,
Floating Rate, 6.801%,
03/15/01(+).................. 9,000,000
------------
TOTAL SHORT-TERM CORPORATE
NOTES
(Cost $24,306,000)............. 24,306,000
------------
TOTAL SECURITIES
(Cost $488,937,549)............ 488,937,549
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.01%
$ 64,460 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $64,492,
(Collateralized by Freddie
Mac Adjustable Rate Mortgage,
6.409%, due 01/01/21, with a
value of $67,883) (Cost
$64,460)..................... $ 64,460
------------
Total Investments -- 99.91%
(Cost $489,002,009)............ 489,002,009
Other assets less
liabilities -- 0.09%........... 440,990
------------
NET ASSETS -- 100.00%.......... $489,442,999
============
The aggregate cost of investments for federal income tax
purposes at June 30, 2000, is $489,002,009.
</TABLE>
---------------
+ This interest rate is subject to change weekly based on the greater of the 30
day or 90 day Federal composite rate. The rate shown was in effect as of June
30, 2000.
See notes to financial statements.
93
<PAGE> 95
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 88.48%
AUTOMOBILES -- 2.60%
$ 1,000,000 DaimlerChrysler N.A. Holdings,
7.125%, 03/01/02............. $ 999,465
5,000,000 DaimlerChrysler N.A. Holdings,
6.59%, 06/18/02.............. 4,930,645
------------
TOTAL AUTOMOBILES.............. 5,930,110
------------
BANKS -- 13.14%
3,500,000 Bank of America Corp., 10.00%,
02/01/03..................... 3,699,745
8,000,000 First Omni Bank, Series 96-A,
6.65%, 09/15/03.............. 7,966,240
4,000,000 First Union Corp., 8.00%,
11/15/02..................... 4,028,108
3,120,000 Midland Bank PLC, 8.625%,
12/15/04..................... 3,260,568
4,000,000 RBSG Capital Corp., 10.125%,
03/01/04..................... 4,300,776
2,050,000 Svenska Handelsbanken, 8.35%,
07/15/04..................... 2,094,098
4,700,000 Union Acceptance Corp., 5.57%,
09/08/03..................... 4,648,065
------------
TOTAL BANKS.................... 29,997,600
------------
BROKERAGE -- 9.95%
6,000,000 Bear Stearns & Company, 6.125%,
02/01/03..................... 5,783,214
6,000,000 Lehman Brothers Holdings Inc.,
6.00%, 02/26/01.............. 5,952,492
3,000,000 Merrill Lynch & Company, 5.75%,
11/04/02..................... 2,891,808
4,000,000 Morgan Stanley Dean Witter &
Company, 5.625%, 01/20/04.... 3,754,984
3,000,000 Paine Webber Group, 7.875%,
02/15/03..................... 2,993,658
1,273,854 Travelers Mortgage, 12.00%,
03/01/14..................... 1,353,348
------------
TOTAL BROKERAGE................ 22,729,504
------------
FINANCE -- 17.26%
1,000,000 Abbey National First Capital,
8.20%, 10/15/04.............. 1,025,269
2,000,000 Associates Corp. N.A., 6.15%,
01/13/03..................... 1,938,066
4,000,000 Associates Corp. N.A., 7.80%,
09/15/04..................... 4,023,156
3,500,000 CIT Equipment Collateral,
Series 2000-1, Class A4,
7.58%, 03/20/08.............. 3,528,280
2,500,000 CIT Group, Inc., 5.50%,
02/15/04..................... 2,313,962
2,000,000 Copelco Capital Funding Corp.,
Series 1998-4, Class A4,
5.92%, 07/15/03.............. 1,964,180
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCE (CONTINUED)
$ 5,000,000 Copelco Capital Funding Corp.,
7.12%, 08/18/03.............. $ 5,009,600
505,441 Copelco Capital Funding Corp.
II, 6.34%, 07/20/04.......... 504,081
5,000,000 Florida Windstorm Underwriting,
6.50%, 08/25/02.............. 4,907,390
39,735 Freddie Mac, 10.15%,
04/15/06..................... 39,785
1,000,000 General Motors Acceptance
Corp., 7.40%, 06/07/02....... 1,000,633
5,000,000 International Lease Finance,
5.45%, 02/08/02.............. 4,867,710
5,000,000 Norwest Financial, Inc.,
6.375%, 7/16/02.............. 4,919,415
2,900,000 Salomon, Inc., 6.75%,
08/15/03..................... 2,840,753
519,521 Textron Financial Corp., 6.05%,
03/16/09..................... 517,646
------------
TOTAL FINANCE.................. 39,399,926
------------
PRIVATE ASSET BACKED: BANKS -- 1.44%
826,800 Banc One Auto Grantor Trust,
6.27%, 11/20/03.............. 822,451
2,488,785 Banc One Auto Grantor Trust,
6.29%, 07/20/04.............. 2,465,764
------------
TOTAL PRIVATE ASSET BACKED:
BANKS.......................... 3,288,215
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 8.52%
3,900,000 Dayton Hudson Credit Card
Master Trust, Series 97-1A,
6.25%, 08/25/05.............. 3,825,237
4,000,000 Discover Card Master Trust I,
Series 98-6A, 5.85%,
01/17/06..................... 3,851,600
6,000,000 Proffitt's Credit Card Master
Trust, Series 98-2A, 6.00%,
09/15/04..................... 5,936,940
4,375,000 Sears Credit Account Master
Trust, Series 96-1A, 6.20%,
02/16/06..................... 4,336,806
1,500,000 Sears Credit Account Master
Trust, 7.00%, 07/16/08....... 1,496,820
------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS................... 19,447,403
------------
PRIVATE ASSET BACKED: FINANCE -- 11.89%
5,000,000 Caterpillar Financial Asset
Trust, 6.20%, 04/25/04(a).... 4,927,900
403,744 Chase Manhattan Grantor Trust,
6.61%, 09/15/02.............. 403,167
4,000,000 John Deere Capital Corp.,
6.90%, 10/18/02.............. 3,939,944
1,575,594 Nations Credit Grantor Trust,
Series 1997-A, 6.75%,
08/15/13..................... 1,547,233
</TABLE>
See notes to financial statements.
94
<PAGE> 96
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCE (CONTINUED)
$ 5,000,000 Navistar Financial Corp.,
7.20%, 05/17/04.............. $ 4,996,900
1,913,098 Navistar Financial Corp.,
Series 98-A, Class A, 5.94%,
11/15/04..................... 1,891,326
291,510 Pemex Exp Grantor Trust, 7.66%,
08/15/01..................... 294,504
5,000,000 Providian Master Trust, Series
2000-A, 7.49%, 08/17/09...... 5,048,950
824,731 USAA Auto Loan Grantor Trust,
6.00%, 05/15/04.............. 819,593
3,325,534 USAA Auto Loan Grantor Trust,
6.10%, 02/15/06.............. 3,283,366
------------
TOTAL PRIVATE ASSET BACKED:
FINANCE........................ 27,152,883
------------
PRIVATE ASSET BACKED: OTHER -- 2.74%
2,000,000 Countrywide Asset Backed
Certificates, Series 2-AF2,
8.21%, 08/25/25.............. 2,016,240
3,000,000 Midstate Trust, Series 2-A4,
9.625%, 04/01/03............. 3,066,990
1,189,406 New York City Tax Lien Trust,
Series 98-1C, 6.12%,
07/25/06..................... 1,180,961
------------
TOTAL PRIVATE ASSET BACKED:
OTHER........................ 6,264,191
------------
PRIVATE ASSET BACKED: PHARMACEUTICALS --1.12%
2,483,346 Upjohn Company, 9.79%,
02/01/04..................... 2,557,871
------------
PRIVATE ASSET BACKED: RECEIVABLES -- 12.81%
4,000,000 Associates Automobile
Receivables Trust, 7.30%,
01/15/04(a).................. 3,993,200
303,231 Chevy Chase Auto Receivables
Trust, 6.60%, 12/15/02....... 302,891
4,450,742 Compass Auto Receivables Trust,
Series 1998-A, Class A3,
5.90%, 05/15/04.............. 4,404,098
2,441,412 EAB Lease Receivables Trust,
5.66%, 09/15/02.............. 2,417,730
3,000,000 First Sierra Receivables,
5.54%, 06/15/02.............. 2,970,330
5,000,000 First Sierra Receivables,
5.73%, 07/15/04.............. 4,814,300
791,672 First Sierra Receivables II,
6.85%, 02/10/03.............. 789,812
360,092 Heller Equipment Asset
Receivables Trust, Series
1997-1, Class A2, 6.39%,
05/25/05..................... 357,701
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: RECEIVABLES (CONTINUED)
$ 4,329,549 Newcourt Receivables Asset
Trust, Series 1997-1, Class
A4, 6.193%, 05/20/05......... $ 4,290,886
5,000,000 Textron Financial Corp.
Receivables Trust, Series
1998-A, Class A2, 5.89%,
01/15/05..................... 4,915,000
------------
TOTAL PRIVATE ASSET BACKED:
RECEIVABLES.................... 29,255,948
------------
PRIVATE ASSET BACKED: RETAIL -- 0.07%
166,333 Premier Auto Trust, 6.40%,
10/06/01..................... 166,300
------------
PRIVATE ASSET BACKED: TRANSPORTATION -- 2.81%
6,400,940 Railcar Trust, 7.75%,
06/01/04..................... 6,409,005
------------
REAL ESTATE INVESTMENT TRUST -- 2.80%
2,000,000 Camden Property Trust, 7.23%,
10/30/00..................... 1,990,600
1,445,000 HRPT Properties Trust, 6.75%,
12/18/02..................... 1,386,346
321,406 Merrill Lynch Mortgage
Investors, Inc., 10.35%,
05/15/09..................... 323,003
200,823 Merrill Lynch Mortgage
Investors, Inc., 9.40%,
09/15/09..................... 202,883
2,500,000 Spieker Properties LP, 6.65%,
12/15/00..................... 2,488,168
------------
TOTAL REAL ESTATE INVESTMENT
TRUST.......................... 6,391,000
------------
TELECOMMUNICATIONS -- 1.33%
3,000,000 Worldcom, Inc., 7.875%,
05/15/03..................... 3,025,572
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $205,401,233)............ 202,015,528
------------
US GOVERNMENT AGENCY SECURITIES -- 5.42%
FANNIE MAE -- 0.02%
1,087 PL# 6346, 6.75%, 02/01/03...... 1,084
54,196 PL# 137455, 7.00%, 04/01/04.... 52,321
------------
TOTAL FANNIE MAE............... 53,405
------------
FEDERAL HOME LOAN BANK -- 0.22%
500,000 6.75%, 05/01/02................ 498,614
------------
FREDDIE MAC -- 4.69%
10,000,000 5.50%, 05/15/02................ 9,756,540
510,466 PL# 850082, 9.00%, 10/01/05.... 518,315
274,222 PL# D06777, 7.50%, 03/01/08.... 274,128
153,212 PL# 306816, 7.00%, 01/01/18.... 151,373
------------
TOTAL FREDDIE MAC.............. 10,700,356
------------
</TABLE>
See notes to financial statements.
95
<PAGE> 97
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
RESOLUTION TRUST CORP. -- 0.49%
$ 1,130,649 Resolution Trust Corp., 7.946%,
08/25/21..................... $ 1,125,471
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$12,361,008)................... 12,377,846
------------
FOREIGN GOVERNMENT OBLIGATION -- 3.34%
7,750,000 Hydro Quebec, 6.36%, 01/15/02
(Cost $7,728,309)............ 7,635,850
------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 0.37%
611,268 Janus Money Market Fund(b)..... 611,268
238,395 Merrimac Cash Fund -- Premium
Class(b)..................... 238,395
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $849,663)...... 849,663
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 0.87%
$ 2,000,000 Cooperative Association of
Tractor, 6.95%, 07/13/00
(Cost $1,995,367)............ 1,995,367
------------
TIME DEPOSITS -- 2.14%
1,744,507 Bank of Montreal, 6.59%,
07/05/00(b).................. 1,744,507
305,634 Bank of Montreal, 6.90%,
07/05/00(b).................. 305,634
733,522 BNP Paribas, 6.75%,
07/05/00(b).................. 733,522
783,663 BNP Paribas, 6.75%,
07/05/00(b).................. 783,663
211,460 Fleet National Bank, 7.125%,
10/31/00(b).................. 211,460
366,761 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 366,761
733,522 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. 733,522
------------
TOTAL TIME DEPOSITS (Cost
$4,879,069).................... 4,879,069
------------
SHORT TERM CORPORATE NOTES -- 1.58%
366,761 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. 366,761
244,507 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 244,507
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 2,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b).................. $ 2,000,000
1,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)...... 1,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $3,611,268)........ 3,611,268
------------
TOTAL SECURITIES (Cost
$236,825,917).................. 233,364,591
------------
REPURCHASE AGREEMENT -- 0.83%
1,886,676 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $1,887,624
(Collateralized by Small
Business Administration Loan,
9.375%, due 08/25/24, with a
value of $1,981,010) (Cost
$1,886,676).................. 1,886,676
------------
Total Investments -- 103.03%
(Cost $238,712,593)............ 235,251,267
Liabilities less other
assets -- (3.03%).............. (6,916,875)
------------
NET ASSETS -- 100.00%.......... $228,334,392
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $238,712,593.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $ 435,576
Gross unrealized depreciation.......... (3,896,902)
------------
Net unrealized depreciation............ $ (3,461,326)
============
</TABLE>
---------------
<TABLE>
<S> <C>
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(++) This interest rate is subject to change monthly
based on the London Interbank Offered Rate
("LIBOR"). The rate shown was in effect at June 30,
2000.
</TABLE>
See notes to financial statements.
96
<PAGE> 98
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US TREASURY NOTES -- 26.46%
$25,000,000 6.25%, 01/31/02(a)............. $ 24,906,250
5,000,000 5.625%, 12/31/02(a)............ 4,910,940
10,000,000 5.50%, 03/31/03................ 9,775,000
6,000,000 6.50%, 10/15/06................ 6,067,500
2,000,000 4.75%, 11/15/08................ 1,816,250
------------
TOTAL US TREASURY NOTES
(Cost $48,090,039)............. 47,475,940
------------
US GOVERNMENT AGENCY SECURITIES -- 62.71%
FANNIE MAE -- 8.67%
2,000,000 CMO, Series 94-75, 7.00%,
01/25/03..................... 1,981,240
2,000,000 5.75%, 04/15/03................ 1,937,986
3,000,000 5.125%, 02/13/04............... 2,818,494
2,000,000 5.875%, 04/23/04............... 1,916,694
2,000,000 7.25%, 01/15/10(a)............. 2,016,328
4,917,814 Series 96-M7, Class B, 6.8585%,
06/17/11..................... 4,883,399
------------
TOTAL FANNIE MAE............... 15,554,141
------------
FEDERAL HOME LOAN BANK -- 7.67%
5,000,000 7.39%, 08/22/01................ 5,024,360
4,000,000 4.875%, 01/22/02............... 3,881,912
3,000,000 5.125%, 02/26/02............... 2,917,791
2,000,000 5.50%, 01/21/03................ 1,932,646
------------
TOTAL FEDERAL HOME LOAN BANK... 13,756,709
------------
FREDDIE MAC -- 12.60%
7,000,000 6.00%, 07/20/01................ 6,933,556
7,000,000 6.30%, 06/01/04................ 6,779,829
3,000,000 CMO, Series 1574, 6.50%,
02/15/21..................... 2,944,170
5,300,000 CMO, Series 1500, 7.00%,
06/15/22..................... 5,099,077
404,184 CMO, Series 31, Floating Rate,
7.0875% (++), 08/25/23....... 403,527
455,524 CMO, Series 1710, Floating
Rate, 7.1875% (++),
02/15/24..................... 454,753
------------
TOTAL FREDDIE MAC.............. 22,614,912
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 14.76%
2,180 PL# 209631, 7.50%, 04/15/02.... 2,184
12,728 PL# 328000, 7.50%, 06/15/07.... 12,844
6,000 PL# 328084, 7.50%, 07/15/07.... 6,054
8,641 PL# 335542, 7.50%, 08/15/07.... 8,720
75,235 PL# 335995, 7.50%, 08/15/07.... 75,917
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 21,074 PL# 322072, 7.50%, 08/15/07.... $ 21,265
99,614 PL# 323189, 7.50%, 08/15/07.... 100,517
136,771 PL# 328188, 7.50%, 08/15/07.... 138,011
158,443 PL# 328192, 7.50%, 08/15/07.... 159,880
46,721 PL# 328200, 7.50%, 08/15/07.... 47,145
229,289 PL# 329060, 7.50%, 08/15/07.... 231,368
208,023 PL# 332267, 7.50%, 08/15/07.... 209,909
49,024 PL# 333320, 7.50%, 09/15/07.... 49,468
114,832 PL# 333709, 7.50%, 09/15/07.... 115,873
227,135 PL# 297619, 7.50%, 09/15/07.... 229,194
180,052 PL# 332704, 7.50%, 09/15/07.... 181,685
147,760 PL# 369749, 6.50%, 09/15/08.... 143,498
200,059 PL# 345975, 6.50%, 10/15/08.... 194,288
475,684 PL# 374726, 6.50%, 10/15/08.... 461,963
147,190 PL# 345973, 6.50%, 11/15/08.... 142,944
93,486 PL# 363874, 6.50%, 11/15/08.... 90,789
285,261 PL# 370448, 6.50%, 11/15/08.... 277,033
387,209 PL# 371094, 6.50%, 11/15/08.... 376,041
216,523 PL# 366531, 6.50%, 11/15/08.... 210,278
3,441,046 PL# 2483, 7.00%, 09/20/27...... 3,327,347
12,066,642 PL# 2631, 7.00%, 08/20/28...... 11,667,936
8,286,189 PL# 2645, 7.00%, 09/20/28...... 8,012,397
------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION........... 26,494,548
------------
HOUSING AND URBAN DEVELOPMENT -- 2.75%
5,000,000 6.23%, 08/01/02................ 4,934,510
------------
TENNESSEE VALLEY AUTHORITY -- 2.84%
2,500,000 6.375%, 06/15/05............... 2,430,158
3,000,000 5.375%, 11/13/08............... 2,664,333
------------
TOTAL TENNESSEE VALLEY
AUTHORITY.................... 5,094,491
------------
US GOVERNMENT GUARANTEED BOND -- 7.69%
4,242,815 6.12%, 04/01/08................ 4,064,065
9,821,429 7.05%, 11/15/13................ 9,738,045
------------
TOTAL US GOVERNMENT GUARANTEED
BOND........................... 13,802,110
------------
US TREASURY INFLATION INDEX -- 5.73%
10,000,000 3.625%, 01/15/08............... 10,275,590
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$115,197,622).................. 112,527,011
------------
</TABLE>
See notes to financial statements.
97
<PAGE> 99
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 3.21%
FINANCIAL SERVICES -- 1.11%
$ 2,000,000 Ford Motor Credit Company,
7.50%, 03/15/05.............. $ 1,989,044
------------
OIL AND GAS -- 0.51%
1,000,000 Amoco Company, 6.00%,
06/09/08..................... 916,973
------------
SHIPBUILDING -- 1.59%
2,724,000 Sulphur Carriers, 8.30%,
10/15/09..................... 2,850,775
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $5,637,170).............. 5,756,792
------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
2.78%
FEDERAL HOME LOAN BANK -- 1.10%
689,000 6.39%, 07/07/00................ 688,266
1,300,000 6.41%, 07/14/00................ 1,296,991
------------
TOTAL FEDERAL HOME LOAN BANK... 1,985,257
------------
FREDDIE MAC -- 1.68%
700,000 6.36%, 07/05/00................ 699,505
2,319,000 6.43%, 07/18/00................ 2,311,959
------------
TOTAL FREDDIE MAC.............. 3,011,464
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$4,996,721).................. 4,996,721
------------
COMMERCIAL PAPER -- 3.07%
2,800,000 Conagra, Inc., 6.95%,
07/07/00..................... 2,796,757
626,000 Countrywide Home Loans, 6.58%,
07/13/00..................... 624,627
100,000 Fannie Mae, 5.80%, 07/20/00.... 99,694
2,000,000 Norfolk Southern Corp., 6.75%,
07/11/00..................... 1,996,250
------------
TOTAL COMMERCIAL PAPER (Cost
$5,517,328).................... 5,517,328
------------
TIME DEPOSITS -- 8.18%
752,109 Bank of Montreal, 6.59%,
07/05/00(b).................. 752,109
940,136 Bank of Montreal, 6.90%,
07/05/00(b).................. 940,136
856,326 BNP Paribas, 6.75%,
07/05/00(b).................. 856,326
3,948,570 BNP Paribas, 6.75%,
07/05/00(b).................. 3,948,570
4,797,462 Fleet National Bank, 7.125%,
10/31/00(b).................. 4,797,462
1,128,163 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 1,128,163
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
TIME DEPOSITS (CONTINUED)
$ 2,256,326 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. $ 2,256,326
------------
TOTAL TIME DEPOSITS (Cost
$14,679,092)................... 14,679,092
------------
SHORT TERM CORPORATE NOTES -- 6.37%
3,564,349 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. 3,564,349
872,982 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 872,982
2,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b).................. 2,000,000
5,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b).................. 5,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $11,437,331)............. 11,437,331
------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 1.46%
1,880,271 Janus Money Market Fund(b)..... 1,880,271
733,306 Merrimac Cash Fund -- Premium
Class(b)..................... 733,306
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $2,613,577).... 2,613,577
------------
TOTAL SECURITIES
(Cost $208,168,880)............ 205,003,792
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.35%
$ 631,322 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $631,639
(Collateralized by Small
Business Administration Loan,
8.875%, due 01/25/15, with a
value of $662,888) (Cost
$631,322).................... 631,322
------------
Total Investments -- 114.59%
(Cost $208,800,202)............ 205,635,114
Liabilities less other
assets -- (14.59)%............. (26,188,488)
------------
NET ASSETS -- 100.00%.......... $179,446,626
============
</TABLE>
See notes to financial statements.
98
<PAGE> 100
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2000, is $208,800,202.
The following amount is based on cost for federal income tax purposes:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $ 548,956
Gross unrealized depreciation......... (3,714,044)
------------
Net unrealized depreciation........... $ (3,165,088)
============
</TABLE>
---------------
<TABLE>
<S> <C>
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(++) This interest rate is subject to change monthly based
on the London Interbank Offered Rate ("LIBOR"). The
rate shown was the rate in effect at June 30, 2000.
</TABLE>
See notes to financial statements.
99
<PAGE> 101
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
US TREASURY SECURITIES -- 18.46%
US TREASURY BOND -- 9.96%
$53,450,000 6.25%, 08/15/23............... $ 53,784,063
-------------
US TREASURY NOTE -- 8.50%
43,800,000 7.50%, 02/15/05(a)............ 45,935,250
-------------
TOTAL US TREASURY SECURITIES
(Cost $99,462,923)............ 99,719,313
-------------
US GOVERNMENT AGENCY SECURITIES -- 51.05%
FANNIE MAE -- 17.54%
22,400,000 6.00%, 07/01/30............... 20,482,000
27,600,000 6.50%, 07/01/30............... 26,004,389
50,000,000 7.00%, 07/01/30............... 48,234,400
-------------
TOTAL FANNIE MAE.............. 94,720,789
-------------
FEDERAL HOME LOAN BANK -- 1.98%
11,000,000 4.875%, 01/22/02.............. 10,675,258
-------------
FREDDIE MAC -- 10.44%
14,000,000 6.30%, 06/01/04............... 13,559,658
41,310,000 6.625%, 09/15/09.............. 39,839,364
3,000,000 Series 1666, Class E, 6.00%,
12/15/19.................... 2,960,316
-------------
TOTAL FREDDIE MAC............. 56,359,338
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 20.60%
21,156,845 PL# 2631, 7.00%, 08/20/28..... 20,457,780
21,100,000 6.50%, 07/15/30............... 20,012,042
20,000,000 7.00%, 07/15/30............... 19,437,500
26,300,000 7.50%, 07/15/30............... 26,102,750
25,000,000 8.00%, 07/15/30............... 25,257,800
-------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.......... 111,267,872
-------------
TENNESSEE VALLEY AUTHORITY -- 0.49%
3,000,000 5.375%, 11/13/08.............. 2,664,333
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$276,653,797)................. 275,687,590
-------------
CORPORATE BONDS & NOTES -- 31.41%
AEROSPACE -- 0.17%
1,000,000 K&F Industries, Series B,
9.25%, 10/15/07............. 945,000
-------------
BANKS -- 5.46%
15,000,000 First Chicago Master Trust II,
Series 96-QA, Floating Rate,
6.7813%(++), 04/15/03....... 15,015,450
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
BANKS (CONTINUED)
$ 7,000,000 Inter-American Development
Bank, 8.875%, 08/22/01...... $ 7,161,840
7,500,000 Wells Fargo Company, 6.625%,
07/15/04.................... 7,315,702
-------------
TOTAL BANKS................... 29,492,992
-------------
BROADCASTING -- 0.16%
1,000,000 Charter Communications,
8.625%, 04/01/09............ 878,750
-------------
CHEMICALS -- 0.18%
1,000,000 Lyondell Chemical Company,
9.875%, 05/01/07............ 987,500
-------------
COMPUTER SOFTWARE AND SERVICES -- 1.66%
9,000,000 Sun Microsystems, Inc., 7.35%,
08/15/04.................... 8,980,128
-------------
CONSTRUCTION -- 0.16%
1,000,000 D.R. Horton, Inc., 8.00%,
02/01/09.................... 870,000
-------------
CONSUMER GOODS AND SERVICES -- 0.18%
1,000,000 Scotts Company, 8.625%,
01/15/09.................... 960,000
-------------
ELECTRIC -- INTEGRATED -- 1.79%
5,000,000 Edison Mission Energy, 7.73%,
06/15/09.................... 4,862,460
5,000,000 Texas Utilities Electric
Company, 7.17%, 08/01/07.... 4,823,205
-------------
TOTAL ELECTRIC --INTEGRATED... 9,685,665
-------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.43%
2,500,000 Waste Management, Inc.,
6.375%, 12/01/03............ 2,300,203
-------------
FINANCE -- 10.72%
10,800,000 Deutsche Floorplan Receivables
Master Trust, Series 00-1A,
Floating Rate, 6.8213%(++),
04/15/05.................... 10,796,963
10,000,000 Ford Motor Credit Company,
6.9675%, 03/17/03 (a)....... 9,987,300
1,800,000 MBNA Corp., 00-B, 6.7075%,
07/15/05.................... 1,796,062
10,000,000 Medallion Trust, Series 00-1G,
6.5088%, 07/12/31........... 10,000,500
15,000,000 Sallie Mae Student Loan Trust,
00-1, 6.34%, 10/27/08....... 14,992,200
10,330,054 Washington Mutual, Inc.,
Series 00-A1, Floating Rate,
6.90%(++), 06/25/24......... 10,309,497
-------------
TOTAL FINANCE................. 57,882,522
-------------
</TABLE>
See notes to financial statements.
100
<PAGE> 102
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
FOOD AND BEVERAGE -- 0.90%
$ 5,000,000 Diageo Capital PLC, 6.625%,
06/24/04.................... $ 4,867,575
-------------
LEISURE AND RECREATION --0.73%
1,000,000 Argosy Gaming Company, 10.75%,
06/01/09.................... 1,033,750
1,000,000 HMH Properties, 7.875%,
08/01/08.................... 897,500
1,000,000 MGM Grand, Inc., Series B,
9.75%, 06/01/07............. 1,017,500
1,000,000 Park Place Entertainment,
9.375%, 02/15/07............ 1,000,000
-------------
TOTAL LEISURE AND
RECREATION.................. 3,948,750
-------------
MANUFACTURING -- 0.17%
1,000,000 American Standard Inc.,
7.375%, 02/01/08............ 905,000
-------------
MEDIA -- 1.87%
10,000,000 Time Warner, Inc., 7.75%,
06/15/05.................... 10,072,740
-------------
OIL AND GAS -- 0.19%
1,000,000 R&B Falcon Corp., 9.50%,
12/15/08.................... 1,005,000
-------------
PRIVATE ASSET BACKED: CREDIT
CARDS -- 4.45%
10,000,000 Advanta Credit Card Master
Trust, Series 96-E, 6.751%,
05/15/04.................... 10,007,200
14,000,000 BA Master Credit Card Trust,
Series 98-A, Floating Rate,
6.7613%(++), 04/15/05....... 14,010,640
-------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS.................. 24,017,840
-------------
TELECOMMUNICATIONS -- 2.19%
10,000,000 AT&T Corp., 6.50%, 09/15/02... 9,900,000
1,000,000 McLeodUSA, Inc., 9.25%,
07/15/07.................... 965,000
1,000,000 Nextlink Communications,
10.75%, 11/15/08............ 985,000
-------------
TOTAL TELECOMMUNICATIONS...... 11,850,000
-------------
TOTAL CORPORATE BONDS & NOTES
(Cost $170,689,926)........... 169,649,665
-------------
<CAPTION>
SHARES
------
<C> <S> <C>
PREFERRED STOCK -- 0.53%
SPECIAL PURPOSE ENTITY
140,000 Swire Pacific -- 144A, 8.84%
(Cost $2,922,500)........... 2,843,750
-------------
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
FOREIGN GOVERNMENT OBLIGATIONS -- 6.29%
$ 6,000,000 Austria Government Bond,
3.40%, 10/20/04............. $ 5,335,921
5,400,000 Republic of France OAT, 5.50%,
10/25/07.................... 5,233,639
2,000,000 Royal Bank of
Scotland -- 144A, 6.77%,
03/31/49.................... 1,935,497
6,950,000 United Kingdom Treasury,
6.50%, 12/07/03............. 10,726,775
6,250,000 United Kingdom Treasury,
8.50%, 12/07/05............. 10,725,038
-------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost
$33,617,165).................. 33,956,870
-------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
14.73%
FEDERAL HOME LOAN BANK -- 1.85%
10,000,000 6.40%, 07/07/00............... 9,989,334
-------------
FREDDIE MAC -- 12.88%
25,000,000 6.40%, 07/11/00............... 24,955,555
20,000,000 6.54%, 08/17/00............... 19,829,233
25,000,000 6.52%, 08/24/00............... 24,755,500
-------------
TOTAL FREDDIE MAC............. 69,540,288
-------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$79,529,622).................. 79,529,622
-------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 0.71%
2,775,740 Janus Money Market Fund(b).... 2,775,740
1,082,539 Merrimac Cash Fund -- Premium
Class(b).................... 1,082,539
-------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $3,858,279)... 3,858,279
-------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 9.18%
$25,000,000 Bank of America, 6.64%,
08/15/00.................... 24,792,500
25,000,000 Merrill Lynch & Company, Inc.,
6.62%, 08/15/00............. 24,793,125
-------------
TOTAL COMMERCIAL PAPER (Cost
$49,585,625).................. 49,585,625
-------------
TIME DEPOSITS -- 1.37%
31,228 Bank of Montreal, 6.59%,
07/05/00(b)................. 31,228
387,870 Bank of Montreal, 6.90%,
07/05/00(b)................. 387,870
830,890 BNP Paribas, 6.75%,
07/05/00(b)................. 830,890
</TABLE>
See notes to financial statements.
101
<PAGE> 103
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
TIME DEPOSITS (CONTINUED)
$ 3,681,479 BNP Paribas, 6.75%,
07/05/00(b)................. $ 3,681,479
470,126 Fleet National Bank, 7.125%,
10/31/00(b)................. 470,126
1,665,443 Royal Bank of Scotland, 6.70%,
07/05/00(b)................. 1,665,443
330,890 Royal Bank of Scotland, 6.85%,
07/05/00(b)................. 330,890
-------------
TOTAL TIME DEPOSITS (Cost
$7,397,926)................... 7,397,926
-------------
SHORT TERM CORPORATE NOTES -- 3.92%
3,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................. 3,000,000
2,729,006 Bank of Montreal, Floating
Rate, 6.63%(++), 08/16/00
(b)......................... 2,729,006
4,317,300 Bear Stearns & Company, Inc.,
Floating Rate, 7.375%(++),
07/26/00(b)................. 4,317,300
1,109,989 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................. 1,109,989
4,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)..... 4,000,000
6,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40% (++),
12/08/00(b)................. 6,000,000
-------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $21,156,295)...... 21,156,295
-------------
TOTAL SECURITIES (Cost
$744,874,058)................. 743,384,935
-------------
REPURCHASE AGREEMENTS -- 2.92%
10,000,000 With Goldman Sachs & Company,
dated 06/30/00, 7.205%, due
07/03/00, repurchase
proceeds at maturity
$10,006,004 (Collateralized
by Electronic Data Systems,
7.125%, due 05/15/05, with a
value of $685,895, Ford
Motor Credit Company, 6.55%,
due 09/10/02, with a value
of $751,421, Honeywell
International, 6.20%, due
02/01/08, with a value of
$4,127,613, Household
Finance Corp., 5.875%, due
09/25/04, with a value of
$1,195,588, Lowe's
Companies, Inc., 6.875%, due
02/15/28, with a value of
$2,014,548, Pacific Gas &
Electric, 8.75%, due
01/01/01, with a value of
$1,013,693, Toyota Motor
Credit Corp., 5.50%, due
09/17/01, with a value of
$997,663)(b)................ 10,000,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
$ 5,788,470 With Investors Bank & Trust
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$5,791,379 (Collateralized
by Small Business
Administration Loan, 9.375%,
01/25/24, with a value of
$6,077,893)................. $ 5,788,470
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $15,788,470)............ 15,788,470
-------------
Total Investments -- 140.57%
(Cost $760,662,528)........... 759,173,405
Liabilities less other
assets -- (40.57)%............ (219,089,720)
-------------
NET ASSETS -- 100.00%......... $ 540,083,685
=============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $760,662,528.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation........... $ 1,732,155
Gross unrealized depreciation........... (3,221,278)
-----------
Net unrealized depreciation............. $(1,489,123)
===========
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
102
<PAGE> 104
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK -- 60.26%
ADVERTISING -- 0.16%
7,600 Interpublic Group of
Companies, Inc. ............ $ 326,800
4,800 Omnicom Group, Inc. .......... 427,500
1,800 Young & Rubicam, Inc. ........ 102,937
-------------
TOTAL ADVERTISING............. 857,237
-------------
AEROSPACE -- 0.36%
20,200 Boeing Company................ 844,613
4,600 General Dynamics Corp. ....... 240,350
1,700 Goodrich (B.F.) Company....... 57,906
2,000 Northrop Grumman Corp. ....... 132,500
10,600 United Technologies Corp. .... 624,075
-------------
TOTAL AEROSPACE............... 1,899,444
-------------
AGRICULTURE EQUIPMENT -- 0.05%
6,600 Deere & Company............... 244,200
-------------
AIRLINES -- 0.07%
2,700 Delta Air Lines, Inc. ........ 136,519
13,600 Southwest Airlines Company.... 257,550
-------------
TOTAL AIRLINES................ 394,069
-------------
APPAREL -- 0.06%
1,500 Liz Claiborne, Inc. .......... 52,875
1,000 Russell Corp. ................ 20,000
300 Springs Industries, Inc. ..... 9,656
8,300 TJX Companies, Inc. .......... 155,625
2,900 V.F. Corp. ................... 69,056
-------------
TOTAL APPAREL................. 307,212
-------------
AUTOMOTIVE EQUIPMENT -- 0.25%
4,200 AutoZone, Inc.(c)............. 92,400
1,000 Cummins Engine Company,
Inc. ....................... 27,250
4,800 Dana Corp. ................... 101,700
12,493 Delphi Automotive Systems
Corp. ...................... 181,929
5,600 Genuine Parts Company......... 112,000
2,600 Johnson Controls, Inc. ....... 133,412
6,400 Teradyne, Inc.(c)............. 470,400
2,900 TRW, Inc. .................... 125,788
4,347 Visteon Corp. ................ 52,707
-------------
TOTAL AUTOMOTIVE EQUIPMENT.... 1,297,586
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
BANKS -- 2.21%
36,800 Bank of America Corp. ........ $ 1,582,400
17,300 Bank of New York Company,
Inc. ....................... 804,450
9,600 BB&T Corp. ................... 229,200
29,100 Chase Manhattan Corp. ........ 1,340,419
4,800 Comerica, Inc. ............... 215,400
8,300 Fifth Third Bancorp........... 524,975
22,900 First Union Corp. ............ 568,206
23,100 Firstar Corp. ................ 486,544
35,400 Fleet Boston Financial
Corp. ...................... 1,203,600
4,800 Golden West Financial
Corp. ...................... 195,900
3,900 J.P. Morgan & Company......... 429,487
10,900 Mellon Financial Corp. ....... 397,169
6,000 Northern Trust Corp. ......... 390,375
5,100 SouthTrust Corp. ............. 115,388
3,600 State Street Corp. ........... 381,825
5,400 Summit Bancorp................ 132,975
7,700 SunTrust Banks, Inc. ......... 351,794
8,400 Synovus Financial Corp. ...... 148,050
1,700 Union Planters Corp. ......... 47,494
8,900 U.S. Bancorp.................. 171,325
5,400 Wachovia Corp. ............... 292,950
6,100 Washington Mutual, Inc. ...... 176,137
36,800 Wells Fargo & Company......... 1,426,000
-------------
TOTAL BANKS................... 11,612,063
-------------
BUILDING MATERIALS -- 0.58%
51,200 Home Depot, Inc. ............. 2,556,800
12,000 Lowe's Companies, Inc. ....... 492,750
-------------
TOTAL BUILDING MATERIALS...... 3,049,550
-------------
CHEMICALS -- 0.47%
6,700 Air Products and Chemicals,
Inc. ....................... 206,444
15,300 Dow Chemical Company.......... 461,869
23,200 du Pont (E.I.) de Nemours..... 1,015,000
2,400 Eastman Chemical Company...... 114,600
3,300 Engelhard Corp. .............. 56,306
1,000 FMC Corp.(c).................. 58,000
2,000 Grace (W.R.) & Company(c)..... 24,250
1,800 Great Lakes Chemical Corp. ... 56,700
3,000 International Flavors &
Fragrances, Inc. ........... 90,563
4,600 Praxair, Inc. ................ 172,212
</TABLE>
See notes to financial statements.
103
<PAGE> 105
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CHEMICALS (CONTINUED)
1,300 Sigma-Aldrich Corp. .......... $ 38,025
3,500 Union Carbide Corp. .......... 173,250
-------------
TOTAL CHEMICALS............... 2,467,219
-------------
COMMUNICATIONS EQUIPMENT -- 0.53%
11,100 ADC Telecommunications,
Inc.(c)..................... 931,013
5,600 Comverse Technology,
Inc.(a)(c).................. 520,800
22,100 QUALCOMM, Inc.(a)(c).......... 1,326,000
-------------
TOTAL COMMUNICATIONS
EQUIPMENT..................... 2,777,813
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.88%
13,800 Apple Computer, Inc.(a)(c).... 722,775
2,600 Avery-Dennison Corp. ......... 174,525
38,000 Compaq Computer Corp. ........ 971,375
57,400 Dell Computer Corp.(c)........ 2,830,537
9,200 Gateway, Inc.(c).............. 522,100
29,900 Hewlett-Packard Company....... 3,733,762
40,200 International Business
Machines Corp. ............. 4,404,413
3,700 Lexmark International Group,
Inc.(c)..................... 248,825
11,000 Network Appliance, Inc.(c).... 885,500
2,900 Pitney Bowes, Inc. ........... 116,000
5,000 Seagate Technology, Inc.(c)... 275,000
58,100 Sun Microsystems, Inc.(c)..... 5,283,469
1,300 Tektronix, Inc. .............. 96,200
7,900 Xerox Corp. .................. 163,925
-------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT..................... 20,428,406
-------------
COMPUTER SOFTWARE AND SERVICES -- 9.49%
4,400 Adaptec, Inc.(c).............. 100,100
3,500 Adobe Systems, Inc. .......... 455,000
67,300 America Online, Inc.(c)....... 3,550,075
13,900 Automatic Data Processing,
Inc. ....................... 744,519
5,800 BMC Software, Inc.(a)(c)...... 211,610
262,300 Cisco Systems, Inc.(c)........ 16,672,444
5,800 Citrix Systems, Inc.(a)(c).... 109,837
13,300 Computer Associates
International, Inc. ........ 680,794
4,300 Computer Sciences Corp.(c).... 321,156
10,800 Electronic Data Systems
Corp. ...................... 445,500
63,600 EMC Corp.(c).................. 4,893,225
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
9,400 First Data Corp. ............. $ 466,475
7,600 IMS Health, Inc.(a)........... 136,800
2,400 Mercury Interactive
Corp.(c).................... 232,200
116,800 Microsoft Corp.(a)(c)......... 9,344,000
83,200 Oracle Corp.(c)............... 6,994,000
6,500 PeopleSoft, Inc.(c)........... 108,875
2,200 Sapient Corp.(c).............. 235,262
4,700 Siebel Systems, Inc.(c)....... 768,744
8,100 Unisys Corp.(c)............... 117,956
15,400 Veritas Software
Corp.(a)(c)................. 1,740,440
12,800 Yahoo!, Inc.(a)(c)............ 1,585,600
-------------
TOTAL COMPUTER SOFTWARE AND
SERVICES...................... 49,914,612
-------------
CONSTRUCTION -- 0.05%
2,200 Fluor Corp. .................. 69,575
1,300 Kaufman & Broad Home Corp. ... 25,756
2,000 Pulte Corp. .................. 43,250
2,400 Vulcan Materials Company...... 102,450
-------------
TOTAL CONSTRUCTION............ 241,031
-------------
CONSUMER GOODS AND SERVICES -- 3.56%
800 Alberto-Culver
Company -- Class B.......... 24,450
2,600 Avon Products, Inc. .......... 115,700
2,100 Brunswick Corp. .............. 34,781
18,300 Cendant Corp.(c).............. 256,200
5,500 Clorox Company................ 246,469
12,800 Colgate-Palmolive
Company(a).................. 766,400
8,300 Eastman Kodak Company......... 493,850
4,000 Ecolab, Inc. ................. 156,250
7,400 FedEx Corp.(c)................ 281,200
6,700 Fort James Corp. ............. 154,938
4,000 Fortune Brands, Inc. ......... 92,250
223,900 General Electric Company...... 11,866,700
23,200 Gillette Company.............. 810,550
12,700 Kimberly-Clark Corp. ......... 728,662
5,900 Leggett & Platt, Inc. ........ 97,350
900 Maytag Corp. ................. 33,188
1,200 National Service Industries,
Inc. ....................... 23,400
6,200 Newell Rubbermaid, Inc. ...... 159,650
4,200 Nike, Inc. -- Class B......... 167,212
4,300 Pactiv Corp.(c)............... 33,863
8,850 Paychex, Inc. ................ 371,700
</TABLE>
See notes to financial statements.
104
<PAGE> 106
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
14,500 Procter & Gamble Company...... $ 830,125
9,400 Ralston-Ralston Purina
Corp. ...................... 187,412
1,300 SABRE Holdings Corp. --
Class A..................... 37,050
2,500 Stanley Works................. 59,375
1,800 Tupperware Corp. ............. 39,600
13,000 Unilever N.V. (ADR)(a)........ 559,000
1,800 Whirlpool Corp. .............. 83,925
-------------
TOTAL CONSUMER GOODS AND
SERVICES...................... 18,711,250
-------------
ELECTRONICS -- 0.57%
8,503 Agilent Technologies, Inc. ... 627,096
10,100 Emerson Electric Company...... 609,788
6,900 Linear Technology Corp. ...... 441,169
6,700 Maxim Integrated Products,
Inc.(c)..................... 455,181
3,800 Molex, Inc. .................. 182,875
4,300 Rockwell International
Corp. ...................... 135,450
13,200 Solectron Corp.(c)............ 552,750
-------------
TOTAL ELECTRONICS............. 3,004,309
-------------
FINANCIAL SERVICES -- 3.92%
31,600 American Express Company...... 1,647,150
5,800 American General Corp. ....... 353,800
16,500 Associates First Capital
Corp. -- Class A............ 368,156
3,780 Bear Stearns Companies,
Inc. ....................... 157,343
4,700 Capital One Financial
Corp. ...................... 209,737
123,600 Citigroup, Inc. .............. 7,446,900
1,900 Deluxe Corp. ................. 44,769
5,100 Dun & Bradstreet Corp. ....... 145,988
22,600 Fannie Mae.................... 1,179,437
8,600 Franklin Resources, Inc. ..... 261,225
15,500 Freddie Mac................... 627,750
3,000 H&R Block, Inc. .............. 97,125
10,550 Household International,
Inc. ....................... 438,484
5,400 Lehman Brothers Holdings,
Inc. ....................... 510,638
3,100 MBIA, Inc. ................... 149,381
21,100 MBNA, Corp. .................. 572,337
3,100 MGIC Investment Corp. ........ 141,050
11,500 Merrill Lynch & Company,
Inc. ....................... 1,322,500
33,900 Morgan Stanley Dean Witter &
Company..................... 2,822,175
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
1,470 Old Kent Financial Group...... $ 39,323
5,200 Paine Webber Group, Inc. ..... 236,600
7,900 PNC Financial Services
Group....................... 370,312
3,400 Providian Financial Corp. .... 306,000
30,200 Schwab (Charles) Corp. ....... 1,015,475
3,500 T. Rowe Price Associates,
Inc. ....................... 148,750
-------------
TOTAL FINANCIAL SERVICES...... 20,612,405
-------------
FOOD AND BEVERAGE -- 2.03%
13,800 Anheuser-Busch Companies,
Inc. ....................... 1,030,688
15,800 Archer-Daniels-Midland
Company..................... 155,037
6,500 Bestfoods..................... 450,125
1,200 Brown-Forman Corp. --
Class B....................... 64,500
54,900 Coca-Cola Company............. 3,153,319
12,800 ConAgra, Inc. ................ 244,000
1,500 Coors (Adolph)
Company -- Class B.......... 90,750
6,900 General Mills, Inc.(a)........ 263,925
8,300 Heinz (H.J.) Company.......... 363,125
2,600 Hershey Foods Corp. .......... 126,588
9,400 Kellogg Company............... 279,650
33,500 Pepsico, Inc. ................ 1,488,656
53,700 Philip Morris Companies,
Inc. ....................... 1,426,406
3,100 Quaker Oats Company........... 232,888
20,100 Sara Lee Corp. ............... 388,181
4,900 Seagram Company, Ltd.......... 284,200
8,900 Sysco Corp. .................. 374,912
5,600 UST, Inc. .................... 82,250
2,500 Wrigley (Wm.) Jr. Company..... 200,469
-------------
TOTAL FOOD AND BEVERAGE....... 10,699,669
-------------
INSURANCE -- 1.27%
6,200 AFLAC, Inc. .................. 284,813
34,200 American International Group,
Inc. ....................... 4,018,500
3,300 Aon Corp. .................... 102,506
2,000 Chubb Corp. .................. 123,000
4,800 CIGNA Corp. .................. 448,800
4,700 Cincinnati Financial Corp. ... 147,756
5,100 Hartford Financial Services
Group, Inc. ................ 285,281
3,300 Jefferson-Pilot Corp. ........ 186,244
2,900 Loews Corp. .................. 174,000
</TABLE>
See notes to financial statements.
105
<PAGE> 107
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
6,200 Marsh & McLennan Companies,
Inc. ....................... $ 647,512
5,100 St. Paul Companies, Inc. ..... 174,038
4,200 Torchmark Corp. .............. 103,687
-------------
TOTAL INSURANCE............... 6,696,137
-------------
LEISURE AND RECREATION -- 0.06%
3,500 Harrah's Entertainment,
Inc.(c)..................... 73,281
6,500 Marriott International,
Inc. -- Class A............. 234,406
-------------
TOTAL LEISURE AND
RECREATION.................... 307,687
-------------
MACHINERY AND OTHER PRODUCTS -- 0.15%
8,300 Caterpillar, Inc. ............ 281,163
5,900 Dover Corp. .................. 239,319
2,400 Grainger (W.W.), Inc. ........ 73,950
4,400 Ingersoll-Rand Company........ 177,100
-------------
TOTAL MACHINERY AND OTHER
PRODUCTS...................... 771,532
-------------
MANUFACTURING -- 1.56%
9,400 Alcan Aluminium Ltd.(a)....... 291,400
1,000 Ball Corp. ................... 32,188
1,500 Bemis Company, Inc. .......... 50,437
700 Briggs & Stratton Corp. ...... 23,975
10,600 Corning, Inc. ................ 2,860,675
2,100 Crane Company................. 51,056
3,100 Danaher Corp. ................ 153,256
1,900 Eaton Corp. .................. 127,300
17,800 Honeywell International,
Inc. ....................... 599,637
2,300 ITT Industries, Inc. ......... 69,863
7,800 Illinois Tool Works, Inc. .... 444,600
10,000 Minnesota Mining and
Manufacturing Company....... 825,000
4,700 Owens Illinois, Inc.(c)....... 54,931
3,200 Parker-Hannifin Corp. ........ 109,600
4,600 PPG Industries, Inc. ......... 203,837
2,600 Sealed Air Corp.(c)........... 136,175
4,000 Sherwin-Williams Company...... 84,750
4,000 Textron, Inc. ................ 217,250
1,800 Timken Corp. ................. 33,525
37,500 Tyco International Ltd........ 1,776,563
3,500 USX-US Steel Group............ 64,969
-------------
TOTAL MANUFACTURING........... 8,210,987
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA -- 1.58%
7,700 Clear Channel Communications,
Inc.(c)..................... $ 577,500
2,200 Dow Jones & Company, Inc. .... 161,150
7,500 Gannett Company, Inc. ........ 448,594
2,400 Knight-Ridder, Inc.(a)........ 127,650
14,500 MediaOne Group, Inc.(c)....... 961,550
1,100 Meredith Corp. ............... 37,125
27,100 Time Warner, Inc. ............ 2,059,600
30,900 Viacom, Inc. -- Class B(c).... 2,106,994
47,100 Walt Disney Company........... 1,828,069
-------------
TOTAL MEDIA................... 8,308,232
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.21%
11,800 Healthsouth Corp.(c).......... 84,812
8,100 Tenet Healthcare Corp. ....... 218,700
12,100 The Healthcare Company........ 367,538
3,600 UnitedHealth Group, Inc. ..... 308,700
2,000 Wellpoint Health Networks,
Inc.(c)..................... 144,875
-------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES...................... 1,124,625
-------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.46%
2,900 Allergan, Inc. ............... 216,050
1,500 Bard (C.R.), Inc. ............ 72,188
1,700 Bausch & Lomb, Inc. .......... 131,538
7,800 Baxter International, Inc. ... 548,437
5,800 Becton Dickinson & Company.... 166,388
1,800 Biogen, Inc. ................. 116,100
3,500 Biomet, Inc. ................. 134,531
6,800 Guidant Corp.(c).............. 336,600
41,600 Johnson & Johnson............. 4,238,000
1,700 Mallinckrodt, Inc. ........... 73,844
28,400 Medtronic, Inc. .............. 1,414,675
1,400 PerkinElmer, Inc. ............ 92,575
2,600 St. Jude Medical, Inc.(c)..... 119,275
-------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES...................... 7,660,201
-------------
METALS AND MINING -- 0.27%
21,016 Alcoa, Inc. .................. 609,464
10,100 Barrick Gold Corp. ........... 183,694
4,300 INCO Ltd...................... 66,112
4,400 Newmont Mining Corp. ......... 95,150
2,300 Nucor Corp. .................. 76,331
</TABLE>
See notes to financial statements.
106
<PAGE> 108
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
METALS AND MINING (CONTINUED)
8,500 Placer Dome, Inc. ............ $ 81,281
11,200 USX-Marathon Group............ 280,700
2,500 Worthington Industries,
Inc. ....................... 26,250
-------------
TOTAL METALS AND MINING....... 1,418,982
-------------
MOTOR VEHICLES -- 0.63%
33,200 Ford Motor Company............ 1,427,600
23,700 General Motors Corp. ......... 1,376,081
7,800 Harley-Davidson, Inc. ........ 300,300
3,500 Navistar International
Corp.(c).................... 108,719
3,300 PACCAR, Inc. ................. 130,969
-------------
TOTAL MOTOR VEHICLES.......... 3,343,669
-------------
OIL AND GAS -- 4.29%
2,700 Amerada Hess Corp. ........... 166,725
3,600 Anadarko Petroleum Corp.(a)... 177,525
4,000 Apache Corp. ................. 235,250
1,600 Ashland, Inc. ................ 56,100
7,800 Baker Hughes, Inc. ........... 249,600
4,800 Burlington Resources, Inc. ... 183,600
23,900 Chevron Corp. ................ 2,027,019
5,600 Coastal Corp. ................ 340,900
2,200 Columbia Energy Group......... 144,375
9,700 Conoco, Inc. -- Class B....... 238,256
17,300 Enron Corp. .................. 1,115,850
127,500 Exxon-Mobil Corp. ............ 10,008,750
3,100 Kerr-McGee Corp. ............. 182,706
15,800 Occidental Petroleum Corp. ... 332,788
9,000 Phillips Petroleum Company.... 456,188
3,500 Rowan Companies, Inc.(c)...... 106,312
62,800 Royal Dutch Petroleum
Company..................... 3,866,125
6,300 Schlumberger Ltd.............. 470,137
3,500 Sunoco, Inc. ................. 103,031
21,600 Texaco, Inc. ................. 1,150,200
5,400 Tosco Corp. .................. 152,887
9,800 Union Pacific Resources
Group......................... 215,600
5,400 Unocal Corp. ................. 178,875
10,000 Williams Companies, Inc. ..... 416,875
-------------
TOTAL OIL AND GAS............. 22,575,674
-------------
PAPER AND FOREST PRODUCTS -- 0.19%
1,700 Boise Cascade Corp. .......... 43,988
4,000 Georgia-Pacific Group......... 105,000
6,610 International Paper Company... 197,052
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PAPER AND FOREST PRODUCTS (CONTINUED)
3,400 Louisiana-Pacific Corp. ...... $ 36,975
3,200 Mead Corp. ................... 80,800
800 Potlatch Corp. ............... 26,500
1,700 Temple-Inland, Inc. .......... 71,400
2,900 Westvaco Corp. ............... 71,956
7,300 Weyerhaeuser Company.......... 313,900
2,600 Willamette Industries,
Inc. ....................... 70,850
-------------
TOTAL PAPER AND FOREST
PRODUCTS...................... 1,018,421
-------------
PHARMACEUTICALS -- 5.06%
36,900 Abbott Laboratories........... 1,644,356
15,200 American Home Products
Corp. ...................... 893,000
22,900 Amgen, Inc.(c)................ 1,608,725
43,800 Bristol-Myers Squibb
Company..................... 2,551,350
6,100 Cardinal Health, Inc. ........ 451,400
33,100 Lilly (Eli) & Company......... 3,305,862
51,000 Merck & Company, Inc. ........ 3,907,875
30,384 Pharmacia Corp. .............. 1,570,473
184,325 Pfizer, Inc. ................. 8,847,600
34,500 Schering-Plough Corp. ........ 1,742,250
2,200 Watson Pharmaceuticals,
Inc.(c)..................... 118,250
-------------
TOTAL PHARMACEUTICALS......... 26,641,141
-------------
PUBLISHING -- 0.12%
4,700 McGraw-Hill Companies,
Inc. ....................... 253,800
4,500 New York Times
Company -- Class A.......... 177,750
1,700 R.R. Donnelley and Sons
Company..................... 38,356
5,300 Tribune Company............... 185,500
-------------
TOTAL PUBLISHING.............. 655,406
-------------
RESTAURANTS -- 0.23%
3,800 Darden Restaurants, Inc. ..... 61,750
30,300 McDonald's Corp. ............. 998,006
1,700 Tricon Global Restaurants,
Inc.(c)..................... 48,025
5,200 Wendy's International,
Inc. ....................... 92,625
-------------
TOTAL RESTAURANTS............. 1,200,406
-------------
RETAIL -- 2.50%
3,500 Bed Bath & Beyond, Inc.(c).... 126,875
6,000 Best Buy Company, Inc.(c)..... 379,500
4,500 Circuit City Stores-Circuit
City Group.................. 149,344
</TABLE>
See notes to financial statements.
107
<PAGE> 109
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
5,100 Costco Wholesale
Corp.(a)(c)................. $ 168,300
4,400 CVS Corp. .................... 176,000
3,906 Dollar General Corp. ......... 76,167
4,800 Federated Department Stores,
Inc.(c)..................... 162,000
9,700 Gap, Inc. .................... 303,125
1,600 Harcourt General, Inc. ....... 87,000
7,600 Kohl's Corp.(c)............... 422,750
18,800 Kroger Company(c)............. 414,775
15,800 Limited (The), Inc.(a)........ 341,675
1,000 Longs Drug Stores Corp. ...... 21,750
3,600 May Department Stores
Company..................... 86,400
1,600 Nordstrom, Inc.(a)............ 38,600
5,900 RadioShack Corp. ............. 279,512
11,700 Safeway, Inc.(c).............. 527,962
8,500 Sears, Roebuck & Company...... 277,313
3,700 SUPERVALU, Inc. .............. 70,531
14,200 Target Corp. ................. 823,600
130,500 Wal-Mart Stores, Inc. ........ 7,520,062
22,400 Walgreen Company.............. 721,000
-------------
TOTAL RETAIL.................. 13,174,241
-------------
RUBBER PRODUCTS -- 0.01%
2,400 Cooper Tire & Rubber
Company..................... 26,700
-------------
SCIENTIFIC & TECHNICAL INSTRUMENTS -- 0.10%
1,300 Millipore Corp. .............. 97,988
6,300 PE Corp.-PE Biosystems
Group....................... 415,012
-------------
TOTAL SCIENTIFIC & TECHNICAL
INSTRUMENTS................... 513,000
-------------
SEMICONDUCTORS -- 5.84%
5,400 Advanced Micro Devices,
Inc.(a)(c).................. 417,150
7,800 Altera Corp.(c)............... 795,112
13,400 Analog Devices, Inc.(c)....... 1,018,400
30,000 Applied Materials, Inc.(c).... 2,718,750
7,400 Conexant System(a)(c)......... 359,825
122,400 Intel Corp. .................. 16,363,350
7,200 KLA-Tencor Corp.(c)........... 421,650
10,900 LSI Logic Corp.(c)............ 589,963
12,000 Micron Technology, Inc.(c).... 1,056,750
50,697 Motorola, Inc. ............... 1,473,382
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SEMICONDUCTORS (CONTINUED)
6,600 National Semiconductor
Corp.(c).................... $ 374,550
61,100 Texas Instruments, Inc. ...... 4,196,806
11,700 Xilinx, Inc.(c)............... 965,981
-------------
TOTAL SEMICONDUCTORS.......... 30,751,669
-------------
TELECOMMUNICATIONS -- 5.21%
7,500 ALLTELL Corp. ................ 464,531
34,900 AT&T Corp. ................... 1,103,713
34,300 Bell Atlantic Corp. .......... 1,742,869
41,800 BellSouth Corp. .............. 1,781,725
21,800 GTE Corp. .................... 1,357,050
10,500 Global Crossing, Ltd.......... 276,281
35,800 Lucent Technologies, Inc. .... 2,121,150
17,800 Nextel Communications,
Inc. -- Class A(c).......... 1,089,138
103,200 Nortel Networks Corp.(a)...... 7,043,400
77,100 SBC Communications, Inc. ..... 3,334,575
6,400 Scientific-Atlanta, Inc. ..... 476,800
17,600 Sprint Corp. (FON Group)...... 897,600
20,500 Sprint Corp.
(PCS Group)(a)(c)........... 1,219,750
9,100 Tellabs, Inc.(c).............. 622,781
11,300 US WEST, Inc. ................ 968,975
63,500 WorldCom, Inc.(c)............. 2,913,063
-------------
TOTAL TELECOMMUNICATIONS...... 27,413,401
-------------
TOOLS -- 0.04%
2,000 Black & Decker Corp. ......... 78,625
2,900 Cooper Industries, Inc. ...... 94,431
1,400 Snap-on, Inc. ................ 37,275
-------------
TOTAL TOOLS................... 210,331
-------------
TOYS -- 0.01%
4,600 Hasbro, Inc. ................. 69,288
-------------
TRANSPORTATION -- 0.18%
5,800 AMR Corp.(c).................. 153,338
11,300 Burlington Northern Santa Fe
Corp. ...................... 259,194
2,500 Kansas City Southern
Industries, Inc. ........... 221,719
2,200 Ryder System, Inc. ........... 41,662
7,000 Union Pacific Corp. .......... 260,313
-------------
TOTAL TRANSPORTATION.......... 936,226
-------------
</TABLE>
See notes to financial statements.
108
<PAGE> 110
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
UTILITIES -- 1.05%
10,800 AES Corp.(c).................. $ 492,750
4,300 Ameren Corp. ................. 145,125
7,340 American Electric Power
Company, Inc. .............. 217,447
4,200 Carolina Power and Light,
Inc. ....................... 134,138
4,200 CINergy Corp. ................ 106,838
5,700 Consolidated Edison, Inc. .... 168,863
3,800 Constellation Energy Group.... 123,737
3,900 DTE Energy Company............ 119,194
5,631 Dominion Resources, Inc. ..... 241,429
8,500 Duke Energy Corp. ............ 479,188
3,100 El Paso Energy Corp. ......... 157,906
7,600 Entergy Corp. ................ 206,625
7,400 FirstEnergy Corp. ............ 172,975
2,900 Florida Progress Corp. ....... 135,938
5,600 FPL Group, Inc. .............. 277,200
3,600 GPU, Inc. .................... 97,425
2,700 New Century Energies, Inc. ... 81,000
500 Nicor, Inc. .................. 16,312
3,600 Northern States Power
Company..................... 72,675
5,300 Peco Energy Company........... 213,656
11,900 PG&E Corp. ................... 293,038
4,100 PP&L Resources, Inc. ......... 89,944
1,100 Peoples Energy Corp. ......... 35,612
2,400 Pinnacle West Capital
Corp. ...................... 81,300
4,800 Public Service Enterprise
Group, Inc. ................ 166,200
8,800 Reliant Energy, Inc. ......... 260,150
7,000 Sempra Energy................. 119,000
18,100 Southern Company.............. 421,956
7,300 TXU Corp. .................... 215,350
5,400 Unicom Corp. ................. 208,913
-------------
TOTAL UTILITIES............... 5,551,884
-------------
TOTAL COMMON STOCK
(Cost $293,323,602)........... 317,097,915
-------------
PREFERRED STOCK -- 0.23%
SPECIAL PURPOSE ENTITY
58,200 Swire Pacific
(Cost $1,231,563)........... 1,182,188
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 0.77%
2,899,793 Janus Money Market Fund(b).... $ 2,899,793
1,130,919 Merrimac Cash Fund -- Premium
Class(b).................... 1,130,919
-------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $4,030,712)... 4,030,712
-------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 14.26%
AUTOMOTIVE PARTS AND EQUIPMENT -- 0.04%
$ 250,000 Sanluis Corp., 8.875%,
03/18/08.................... 226,931
-------------
BANKS -- 2.07%
250,000 Cho Hung Bank -- 144A, 11.50%,
04/01/10.................... 240,625
6,000,000 First Chicago Master Trust,
Series 96-Q, Floating Rate,
6.78%(++), 04/15/03......... 6,006,180
230,000 Hanvit Bank, 11.75%,
03/01/10.................... 222,525
1,500,000 Standard Chartered -- 144A,
PLC, Floating Rate,
5.8375%(++), 12/31/49....... 1,003,596
3,500,000 Wachovia Corp., 6.70%,
06/21/04.................... 3,415,104
-------------
TOTAL BANKS................... 10,888,030
-------------
CHEMICALS -- 0.14%
700,000 Sterling Chemicals, Series B,
12.375%, 07/15/06........... 710,500
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.66%
3,500,000 Sun Microsystems, Inc., 7.50%,
08/15/06.................... 3,493,052
-------------
CONSTRUCTION -- 0.15%
600,000 D.R. Horton, Inc., 8.00%,
12/01/09.................... 522,000
300,000 Kaufman & Broad Home Corp.,
9.625%, 11/15/06............ 285,750
-------------
TOTAL CONSTRUCTION............ 807,750
-------------
CONSUMER GOODS AND SERVICES -- 0.14%
750,000 Scotts Company, 8.625%,
01/15/09.................... 720,000
-------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.30%
600,000 Allied Waste North America,
7.875%, 01/01/09............ 511,500
1,150,000 Waste Management, Inc., 4.00%,
02/01/02.................... 1,066,625
-------------
TOTAL ENVIRONMENTAL MANAGEMENT
SERVICES...................... 1,578,125
-------------
</TABLE>
See notes to financial statements.
109
<PAGE> 111
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCE -- 4.86%
$ 4,000,000 Bear Stearns Company, Inc.,
Floating Rate, 7.125%(++),
03/28/03.................... $ 3,992,952
4,000,000 Deutsche Floorplan Receivables
Master Trust, Floating Rate,
6.8213%(++), 04/15/05....... 3,998,875
2,000,000 Ford Motor Credit Company,
Floating Rate, 6.9675%(++),
03/17/03(a)................. 1,997,460
2,000,000 MBNA Corp., 6.963%,
09/12/02.................... 1,955,500
700,000 MBNA Corp., 6.7075%,
07/15/05.................... 698,469
4,000,000 Medallion Trust, Floating
Rate, 6.5088%(++),
07/12/31.................... 4,000,200
5,000,000 SLM Student Loan Trust,
2000-A1L, Floating Rate,
6.34%(++), 10/27/08......... 4,997,400
3,944,202 Washington Mutual, Floating
Rate, 6.90%(++), 06/25/24... 3,945,682
-------------
TOTAL FINANCE................. 25,586,538
-------------
LEISURE AND RECREATION -- 0.31%
350,000 Harrah's Operating Co., Inc.,
7.875%, 12/15/05............ 329,000
350,000 Hollywood Park, Inc., 9.25%,
02/15/07.................... 348,250
350,000 Mandalay Resort Group, 9.25%,
12/01/05(a)................. 337,750
625,000 MGM Grand, Inc., 9.75%,
06/01/07.................... 637,500
-------------
TOTAL LEISURE AND
RECREATION.................... 1,652,500
-------------
MANUFACTURING -- 0.31%
600,000 AK Steel Corp., 7.875%,
02/15/09.................... 532,500
600,000 American Standard, Inc.,
7.375%, 02/01/08............ 543,000
600,000 Flag Limited, 8.25%,
01/30/08.................... 534,000
-------------
TOTAL MANUFACTURING........... 1,609,500
-------------
MEDIA -- 0.98%
300,000 Cablevision SA, 13.75%,
04/30/07.................... 279,000
300,000 Multicanal SA, 13.125%,
04/15/09.................... 288,000
500,000 Price Communications Wire,
9.125%, 12/15/06............ 505,000
350,000 Sinclair Broadcast Group,
9.00%, 07/15/07............. 314,125
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
MEDIA (CONTINUED)
$ 3,500,000 Walt Disney Company, 6.75%,
03/30/06.................... $ 3,425,898
350,000 Young Broadcasting, Inc.,
8.75%, 06/15/07............. 322,000
-------------
TOTAL MEDIA................... 5,134,023
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.07%
350,000 Tenet Healthcare Corp., 9.25%
09/01/10.................... 352,625
-------------
METAL & GLASS CONTAINERS -- 0.05%
300,000 Owens-Illinois, Inc., 7.85%,
05/15/04.................... 284,857
-------------
OIL & GAS -- 0.12%
625,000 R&B Falcon Corp., 9.50%,
12/15/08.................... 628,125
-------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 1.52%
4,000,000 BA Master Credit Card Trust,
Floating Rate, 6.76%(++),
04/15/05.................... 4,003,040
4,000,000 Fleet Credit Card Master
Trust, Floating Rate,
6.73%(++), 05/15/04......... 4,002,880
-------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS.................. 8,005,920
-------------
PRIVATE ASSET BACKED: FINANCE -- 1.01%
3,500,000 GMAC Commercial Mortgage
Securities, Inc., 6.625%,
10/20/03.................... 3,414,086
2,000,000 L.A. Arena Funding, LLC,
7.656%, 12/15/21............ 1,882,500
-------------
TOTAL PRIVATE ASSET BACKED:
FINANCE....................... 5,296,586
-------------
RETAIL -- 0.11%
600,000 K-Mart Corp., 8.375%,
12/01/04.................... 572,713
-------------
SPECIAL PURPOSE ENTITY -- 0.65%
3,500,000 Duke Capital Corp., 7.50%,
10/01/09.................... 3,443,573
-------------
TELECOMMUNICATIONS -- 0.65%
200,000 Alestra SA, 12.625%,
05/15/09.................... 180,750
350,000 Globo Communicacoes, 10.50%,
12/20/06.................... 303,081
350,000 KPN/Qwest BV, 144A, 8.125%,
06/01/09.................... 329,000
500,000 McLeodUSA, Inc., 9.25%,
07/15/07.................... 482,500
</TABLE>
See notes to financial statements.
110
<PAGE> 112
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 350,000 NTL, Inc., 10.00%, 02/15/07... $ 330,750
600,000 Nextel Communications, 0.00%,
10/31/07.................... 445,500
250,000 Nuevo Grupo Iusacell SA,
14.25%, 12/01/06............ 261,250
200,000 Philippine Long Distance
Telephone, 10.50%,
04/15/09.................... 197,803
250,000 PTC International Finance,
11.25%, 12/01/09............ 253,750
170,000 Slovak Wireless SA -- 144A,
11.25%, 03/30/07............ 163,623
500,000 Williams Communications Group,
Inc., 10.875%, 10/01/09..... 488,750
-------------
TOTAL TELECOMMUNICATIONS...... 3,436,757
-------------
UTILITIES -- 0.12%
625,000 AES Corp., 9.50%, 06/01/09.... 612,500
-------------
TOTAL CORPORATES BOND AND
NOTES (Cost $75,949,033)...... 75,040,605
-------------
FOREIGN GOVERNMENT BONDS AND NOTES -- 3.30%
240,000 Argentina, 7.375%, 03/31/05... 219,656
329,000 Federative Republic of Brazil,
7.375%, 04/15/06............ 300,212
985,127 Federative Republic of Brazil,
8.00%, 04/15/14............. 725,333
500,000 Federative Republic of Brazil,
7.375%, 04/15/24............ 395,000
200,000 Kingdom of Morocco, Floating
Rate, 7.75%(++), 01/01/09... 178,880
200,000 Republic of Argentina, 11.75%,
04/07/09.................... 186,000
2,300,000 Republic of Austria, 3.40%,
10/20/04.................... 2,047,336
750,000 Republic of Bulgaria, Series
A, 2.75%, 07/28/12.......... 552,188
2,100,000 Republic of France O.A.T.,
5.50%, 10/25/07............. 2,037,193
200,000 Republic of Panama, 4.25%,
07/17/14.................... 159,452
400,000 Republic of Philippines,
9.875%, 01/15/19............ 327,000
535,710 Republic of Venezuela, 7.875%,
12/18/07.................... 437,273
600,000 Russia Federation, 10.00%,
06/26/07.................... 459,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
FOREIGN GOVERNMENT BONDS AND NOTES
(CONTINUED)
$ 600,000 Russia Federation, 12.75%,
06/24/28.................... $ 517,308
200,000 South Africa Republic, 9.125%,
05/19/09.................... 196,050
4,014,750 United Kingdom Treasury,
6.50%, 12/07/03............. 4,090,066
3,636,000 United Kingdom Treasury,
8.50%, 12/07/05............. 4,118,414
500,000 United Mexican States, Series
A, 6.25%, 12/31/19.......... 417,500
-------------
TOTAL FOREIGN GOVERNMENT BONDS
AND NOTES
(Cost $17,168,823)............ 17,363,861
-------------
US GOVERNMENT SECURITIES -- 10.56%
US TREASURY BOND -- 2.87%
15,020,000 6.25%, 08/15/23............... 15,113,875
-------------
US TREASURY NOTES -- 7.69%
18,000,000 5.50%, 02/28/03(a)............ 17,611,884
21,800,000 7.50%, 02/15/05(a)............ 22,862,750
-------------
TOTAL US TREASURY NOTES....... 40,474,634
-------------
TOTAL US GOVERNMENT SECURITIES
(Cost $55,568,663)............ 55,588,509
-------------
US GOVERNMENT AGENCY SECURITIES -- 16.99%
FANNIE MAE -- 7.55%
8,910,000 TBA, 6.00%, 07/01/30.......... 8,147,081
11,000,000 TBA, 6.50%, 07/01/30.......... 10,364,068
22,000,000 TBA, 7.00%, 07/01/30.......... 21,223,136
-------------
TOTAL FANNIE MAE.............. 39,734,285
-------------
FREDDIE MAC -- 1.83%
10,000,000 6.625%, 09/15/09.............. 9,644,000
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 7.61%
7,591,215 PL# 780743, 8.00%, 12/15/26... 7,676,222
8,800,000 TBA, 6.50%, 07/15/30.......... 8,346,254
12,000,000 TBA, 7.00%, 07/15/30.......... 11,662,500
10,500,000 TBA, 7.50%, 07/15/30.......... 10,421,250
1,900,000 TBA, 8.00%, 07/15/30.......... 1,919,593
-------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.......... 40,025,819
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $89,352,087)............ 89,404,104
-------------
</TABLE>
See notes to financial statements.
111
<PAGE> 113
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
TIME DEPOSITS -- 2.94%
$ 1,496,795 Bank of Montreal, 6.90%,
07/05/00(b)................. $ 1,496,795
6,177,153 BNP Paribas, 6.75%,
07/05/00(b)................. 6,177,153
2,397,811 Fleet National Bank, 7.125%,
10/31/00(b)................. 2,397,811
1,796,153 Royal Bank of Scotland, 6.70%,
07/05/00(b)................. 1,796,153
3,592,306 Royal Bank of Scotland, 6.85%,
07/05/00(b)................. 3,592,306
-------------
TOTAL TIME DEPOSITS (Cost
$15,460,218).................. 15,460,218
-------------
SHORT TERM CORPORATE NOTES -- 4.81%
2,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................. 2,000,000
2,141,555 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................. 2,141,555
1,159,915 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................. 1,159,915
11,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................. 11,000,000
1,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)..... 1,000,000
8,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................. 8,000,000
-------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $25,301,470)...... 25,301,470
-------------
COMMERCIAL PAPER -- 1.89%
10,000,000 Associates Financial Services,
6.60%, 07/17/00 (Cost
$9,970,666)................. 9,970,666
-------------
SHORT TERM US GOVERNMENT
AGENCY SECURITIES -- 4.74%
FANNIE MAE -- 3.80%
20,000,000 6.40%, 07/05/00............... 19,985,778
-------------
FEDERAL HOME LOAN BANK -- 0.94%
5,000,000 6.47%, 07/26/00............... 4,977,535
-------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$24,963,313).................. 24,963,313
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
SHORT TERM US GOVERNMENT SECURITY -- 0.02%
US TREASURY BILL
$ 100,000 6.135%, 11/09/00 (Cost
$97,767).................... $ 97,767
-------------
TOTAL SECURITIES (Cost
$612,417,917)................. 635,501,328
-------------
REPURCHASE AGREEMENT -- 1.44%
7,576,928 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$7,580,736 (Collateralized
by Freddie Mac, 7.00%, due
06/15/11, with a value of
$7,955,775) (Cost
$7,576,928)................. 7,576,928
-------------
Total Investments -- 122.21%
(Cost $619,994,845)........... 643,078,256
Liabilities less other
assets -- (22.21)%............ (116,859,908)
-------------
NET ASSETS -- 100.00%......... $ 526,218,348
=============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $619,994,845.
Gross unrealized appreciation........ $ 41,816,813
Gross unrealized depreciation........ (18,733,402)
--------------
Net unrealized appreciation.......... $ 23,083,411
==============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipt.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
112
<PAGE> 114
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 97.18%
AEROSPACE -- 3.02%
159,600 Boeing Company............... $ 6,673,275
199,900 Northrop Grumman Corp. ...... 13,243,375
90,000 Textron, Inc. ............... 4,888,125
150,000 United Technologies Corp. ... 8,831,250
--------------
TOTAL AEROSPACE.............. 33,636,025
--------------
APPAREL -- 0.48%
226,000 V.F. Corp. .................. 5,381,625
--------------
AUTOMOBILES -- 1.77%
384,200 Ford Motor Company........... 16,520,600
54,963 General Motors Corp. ........ 3,191,289
--------------
TOTAL AUTOMOBILES............ 19,711,889
--------------
AUTOMOTIVE EQUIPMENT -- 0.53%
261,600 Genuine Parts Company........ 5,232,000
50,305 Visteon Corp.(c)............. 609,943
--------------
TOTAL AUTOMOTIVE EQUIPMENT... 5,841,943
--------------
BANKS -- 8.22%
421,800 Bank of America Corp. ....... 18,137,400
140,000 Bank of New York Companies,
Inc. ...................... 6,510,000
333,500 Bank One Corp. .............. 8,858,594
167,850 Chase Manhattan Corp. ....... 7,731,591
100,000 Fleet Boston Financial
Corp. ..................... 3,400,000
66,800 J.P. Morgan & Company........ 7,356,350
387,100 KeyCorp...................... 6,822,638
70,000 Mellon Financial Corp. ...... 2,550,625
408,400 National City Corp.(a)....... 6,968,325
309,800 Regions Financial Corp. ..... 6,157,275
253,600 Summit Bancorp............... 6,244,900
275,400 Wells Fargo & Company........ 10,671,750
--------------
TOTAL BANKS.................. 91,409,448
--------------
CHEMICALS -- 2.98%
13,600 Air Products & Chemicals,
Inc. ...................... 419,050
118,800 Cabot Corp. ................. 3,237,300
302,400 Dow Chemical Company......... 9,128,700
95,000 du Pont (E.I.) de Nemours.... 4,156,250
143,900 Eastman Chemical Company..... 6,871,225
61,300 FMC Corp.(c)................. 3,555,400
106,400 Lubrizol Corp. .............. 2,234,400
70,500 Union Carbide Corp. ......... 3,489,750
--------------
TOTAL CHEMICALS.............. 33,092,075
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT -- 1.64%
12,000 Compaq Computer Corp. ....... $ 306,750
26,600 Hewlett-Packard Company...... 3,321,675
115,000 Pitney Bowes, Inc. .......... 4,600,000
102,400 Tech Data Corp.(c)........... 4,460,800
270,000 Xerox Corp. ................. 5,602,500
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 18,291,725
--------------
CONSTRUCTION -- 0.25%
116,600 Centex Corp. ................ 2,740,100
--------------
CONSUMER GOODS AND SERVICES -- 6.08%
220,000 Avon Products, Inc. ......... 9,790,000
80,000 Colgate-Palmolive Company.... 4,790,000
231,800 Dana Corp. .................. 4,911,263
221,775 Fort James Corp. ............ 5,128,547
420,000 General Electric Company..... 22,260,000
95,000 Kimberly-Clark Corp. ........ 5,450,625
279,200 Leggett & Platt, Inc. ....... 4,606,800
115,200 Newell Rubbermaid, Inc.(a)... 2,966,400
45,000 Procter & Gamble Company..... 2,576,250
111,000 Whirlpool Corp. ............. 5,175,375
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 67,655,260
--------------
ELECTRONICS -- 2.23%
176,800 Arrow Electronics, Inc.(c)... 5,480,800
86,200 Avnet, Inc. ................. 5,107,350
80,000 Eaton Corp. ................. 5,360,000
110,000 Emerson Electric Company..... 6,641,250
113,800 Thomas & Betts Corp. ........ 2,176,425
--------------
TOTAL ELECTRONICS............ 24,765,825
--------------
FINANCIAL SERVICES -- 5.37%
485,100 Citigroup, Inc. ............. 29,227,275
204,100 Fannie Mae................... 10,651,469
134,500 MBIA, Inc. .................. 6,481,219
57,400 Morgan Stanley Dean Witter &
Company.................... 4,778,550
296,300 Washington Mutual, Inc.(a)... 8,555,662
--------------
TOTAL FINANCIAL SERVICES..... 59,694,175
--------------
FOOD & BEVERAGES -- 2.19%
40,000 Coca-Cola Company............ 2,297,500
372,400 ConAgra, Inc. ............... 7,098,875
208,400 IBP, Inc. ................... 3,217,175
</TABLE>
See notes to financial statements.
113
<PAGE> 115
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FOOD & BEVERAGES (CONTINUED)
65,000 Pepsico, Inc. ............... $ 2,888,438
274,200 SUPERVALU, Inc. ............. 5,226,938
418,800 Tyson Foods, Inc. -- Class
A.......................... 3,664,500
--------------
TOTAL FOOD & BEVERAGES....... 24,393,426
--------------
INSURANCE -- 4.38%
64,600 Aetna, Inc. ................. 4,146,512
141,500 American General Corp. ...... 8,631,500
79,600 American International Group,
Inc. ...................... 9,353,000
174,100 Chubb Corp. ................. 10,707,150
65,000 CIGNA Corp. ................. 6,077,500
60,000 Lincoln National Corp. ...... 2,167,500
224,600 St. Paul Companies, Inc. .... 7,664,475
--------------
TOTAL INSURANCE.............. 48,747,637
--------------
MACHINERY -- 0.94%
135,000 Caterpillar, Inc. ........... 4,573,125
160,000 Deere & Company.............. 5,920,000
--------------
TOTAL MACHINERY.............. 10,493,125
--------------
MANUFACTURING -- 2.28%
139,000 American Standard Company,
Inc.(c).................... 5,699,000
130,000 Honeywell International,
Inc. ...................... 4,379,375
112,800 Minnesota Mining &
Manufacturing Company...... 9,306,000
172,200 Owens-Illinois, Inc.(c)...... 2,012,587
192,600 Sonoco Products Company...... 3,960,337
--------------
TOTAL MANUFACTURING.......... 25,357,299
--------------
MEDICAL PRODUCTS -- 1.83%
115,000 Baxter International,
Inc. ...................... 8,085,937
120,000 Johnson & Johnson, Inc. ..... 12,225,000
--------------
TOTAL MEDICAL PRODUCTS....... 20,310,937
--------------
METALS AND MINING -- 0.57%
220,000 Alcoa, Inc. ................. 6,380,000
--------------
OIL AND GAS -- 19.72%
104,100 Amerada Hess Corp. .......... 6,428,175
200,000 Baker Hughes, Inc. .......... 6,400,000
200,000 BP Amoco PLC (ADR)........... 11,312,500
140,000 Burlington Resources,
Inc. ...................... 5,355,000
229,100 Chevron Corp. ............... 19,430,544
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
337,700 Conoco, Inc. -- Class B...... $ 7,429,400
165,000 Diamond Offshore Drilling,
Inc.(a).................... 5,795,625
195,000 El Paso Energy Corp. ........ 9,932,812
140,000 Enron Corp. ................. 9,030,000
668,400 Exxon-Mobil Corp. ........... 52,469,400
140,000 Halliburton Company.......... 6,606,250
100,000 Kerr-McGee Corp. ............ 5,893,750
321,100 Occidental Petroleum
Corp. ..................... 6,763,169
255,200 Phillips Petroleum Company... 12,935,450
115,000 Royal Dutch Petroleum
Company.................... 7,079,687
80,000 Schlumberger, Ltd.(a)........ 5,970,000
292,800 Texaco, Inc. ................ 15,591,600
200,000 Tidewater, Inc. ............. 7,200,000
226,000 Unocal Corp. ................ 7,486,250
245,000 Williams Companies, Inc. .... 10,213,438
--------------
TOTAL OIL AND GAS............ 219,323,050
--------------
PAPER AND FOREST PRODUCTS -- 3.06%
105,000 Bowater, Inc. ............... 4,633,125
145,000 Georgia-Pacific Group........ 3,806,250
368,800 International Paper
Company.................... 10,994,850
139,350 Temple Inland, Inc. ......... 5,852,700
197,500 Westvaco Corp. .............. 4,900,469
90,000 Weyerhauser Company.......... 3,870,000
--------------
TOTAL PAPER AND FOREST
PRODUCTS..................... 34,057,394
--------------
PHARMACEUTICALS -- 7.44%
175,000 Abbott Laboratories.......... 7,798,437
170,000 American Home Products
Corp. ..................... 9,987,500
150,000 Bristol-Myers Squibb
Company.................... 8,737,500
115,000 Lilly (Eli) & Company........ 11,485,625
145,000 Merck & Company, Inc. ....... 11,110,625
220,000 Pfizer, Inc. ................ 10,560,000
165,000 Pharmacia Corp. ............. 8,528,437
140,000 Schering-Plough Corp. ....... 7,070,000
115,000 SmithKline Beecham PLC
(ADR)...................... 7,496,562
--------------
TOTAL PHARMACEUTICALS........ 82,774,686
--------------
PUBLISHING -- 0.44%
90,000 McGraw-Hill Companies,
Inc. ...................... 4,860,000
--------------
</TABLE>
See notes to financial statements.
114
<PAGE> 116
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.49%
115,000 Boston Properties, Inc. ..... $ 4,441,875
190,000 Crescent Real Estate Equity
Company.................... 3,895,000
150,000 Equity Office Properties..... 4,134,375
90,000 Equity Residential
Properties................. 4,140,000
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 16,611,250
--------------
RECREATION AND LEISURE -- 0.25%
71,100 The Walt Disney Company...... 2,759,569
--------------
RETAIL -- 1.11%
184,900 Federated Department Stores,
Inc.(c).................... 6,240,375
244,600 May Department Stores
Company.................... 5,870,400
5,700 Sears, Roebuck & Company..... 185,963
--------------
TOTAL RETAIL................. 12,296,738
--------------
RUBBER PRODUCTS -- 0.56%
148,900 Cooper Tire & Rubber
Company.................... 1,656,512
227,000 Goodyear Tire & Rubber
Company.................... 4,540,000
--------------
TOTAL RUBBER PRODUCTS........ 6,196,512
--------------
TELECOMMUNICATIONS -- 8.36%
407,500 AT & T Corp. ................ 12,887,188
259,950 Bell Atlantic Corp. ......... 13,208,709
300,500 BellSouth Corp. ............. 12,808,813
292,300 GTE Corp. ................... 18,195,675
77,400 Motorola, Inc. .............. 2,249,437
396,000 SBC Communications, Inc. .... 17,127,000
130,000 Sprint Corp. (FON Group)..... 6,630,000
115,000 US West, Inc.(a)............. 9,861,250
--------------
TOTAL TELECOMMUNICATIONS..... 92,968,072
--------------
TOBACCO -- 1.00%
417,100 Philip Morris Companies,
Inc. ...................... 11,079,219
--------------
TOOLS -- 0.53%
181,700 Cooper Industries, Inc. ..... 5,916,606
--------------
TRANSPORTATION -- 1.40%
123,000 Burlington Northern Santa Fe
Corp. ..................... 2,821,312
19,500 CSX Corp. ................... 413,156
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TRANSPORTATION (CONTINUED)
384,500 Norfolk Southern Corp. ...... $ 5,719,438
176,800 Union Pacific Corp. ......... 6,574,750
--------------
TOTAL TRANSPORTATION......... 15,528,656
--------------
UTILITIES: ELECTRIC -- 7.06%
216,900 Allegheny Energy, Inc. ...... 5,937,637
195,500 Ameren Corp.(a).............. 6,598,125
216,300 American Electric Power
Company, Inc.(a)........... 6,407,888
251,100 Cinergy Corp. ............... 6,387,356
208,500 Consolidated Edison, Inc. ... 6,176,813
140,000 Duke Energy Corp. ........... 7,892,500
268,000 FirstEnergy Corp. ........... 6,264,500
180,000 KeySpan Corp. ............... 5,535,000
108,200 New Century Energies,
Inc. ...................... 3,246,000
64,725 Northern States Power
Company.................... 1,306,636
291,000 PG&E Corp. .................. 7,165,875
167,400 Puget Sound Energy,
Inc.(a).................... 3,567,713
316,300 Southern Company............. 7,373,744
235,700 Wisconsin Energy Corp. ...... 4,669,806
--------------
TOTAL UTILITIES.............. 78,529,593
--------------
TOTAL COMMON STOCK (Cost
$1,050,435,028).............. 1,080,803,859
--------------
REGULATED INVESTMENT COMPANIES -- 0.27%
2,133,930 Janus Money Market Fund(b)... 2,133,930
832,233 Merrimac Cash Fund -- Premium
Class(b)................... 832,233
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$2,966,163).................. 2,966,163
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 1.83%
$ 7,709,000 Bell Atlantic Corp., 6.52%,
07/24/00................... 7,676,888
2,993,000 Conagra, Inc., 6.95%,
07/07/00................... 2,989,533
8,000,000 Delphi Auto Systems Corp.,
6.78%, 07/07/00............ 7,990,960
1,700,000 General Electric Capital
Company, 6.50%, 07/03/00... 1,699,386
--------------
TOTAL COMMERCIAL PAPER (Cost
$20,356,767)................. 20,356,767
--------------
</TABLE>
See notes to financial statements.
115
<PAGE> 117
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
TIME DEPOSITS -- 0.96%
$ 1,977,360 Bank of Montreal, 6.59%,
07/05/00(b)................ $ 1,977,360
624,809 Bank of Montreal, 6.90%,
07/05/00(b)................ 624,809
1,453,008 BNP Paribas, 6.75%,
07/05/00(b)................ 1,453,008
4,379,883 Fleet National Bank, 7.125%,
10/31/00(b)................ 4,379,883
749,771 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 749,771
1,499,541 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 1,499,541
--------------
TOTAL TIME DEPOSITS (Cost
$10,684,372)................. 10,684,372
--------------
SHORT TERM CORPORATE NOTES -- 0.12%
573,427 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 573,427
820,899 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 820,899
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $1,394,326)...... 1,394,326
--------------
TOTAL SECURITIES (Cost
$1,085,836,656).............. 1,116,205,487
--------------
REPURCHASE AGREEMENTS -- 1.60%
7,761,296 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$7,765,196 (Collateralized
by Freddie Mac, 5.66%, due
12/15/08, with a value of
$8,149,361)................ 7,761,296
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$10,000,000 With Morgan Stanley Dean
Witter & Company, dated
06/30/00, 7.23%, due
07/03/00, repurchase
proceeds at maturity
$10,006,025 (Collateralized
by Star Bank N.A., 6.375%,
due 03/01/04, with a value
of $1,204,188, Bank of
America Corp., 10.20%, due
07/15/15, with a value of
$10,255,192)(b)............ $ 10,000,000
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $17,761,296)........... 17,761,296
--------------
Total Investments -- 101.96%
(Cost $1,103,597,952)........ 1,133,966,783
Liabilities less other
assets -- (1.96)%............ (21,837,060)
--------------
NET ASSETS -- 100.00%........ $1,112,129,723
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $1,103,597,952.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation........ $ 115,932,313
Gross unrealized depreciation........ (85,563,482)
--------------
Net unrealized appreciation.......... $ 30,368,831
==============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipts
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
116
<PAGE> 118
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 97.70%
AEROSPACE -- 1.15%
47,400 Boeing Company................. $ 1,981,912
------------
APPAREL -- 0.93%
67,100 V.F. Corp. .................... 1,597,819
------------
AUTOMOBILES -- 2.04%
81,700 Ford Motor Company............. 3,513,100
------------
AUTOMOTIVE PRODUCTS -- 1.99%
82,600 Dana Corp. .................... 1,750,087
77,700 Genuine Parts Company.......... 1,554,000
10,697 Visteon Corp. ................. 129,704
------------
TOTAL AUTOMOTIVE PRODUCTS...... 3,433,791
------------
BANKS -- 11.55%
102,000 Bank of America Corp. ......... 4,386,000
107,500 Bank One Corp. ................ 2,855,469
9,750 Chase Manhattan Corp. ......... 449,109
115,000 KeyCorp........................ 2,026,875
134,400 National City Corp.(c)......... 2,293,200
92,100 Regions Financial Corp. ....... 1,830,487
75,400 Summit Bancorp................. 1,856,725
95,800 Washington Mutual, Inc. ....... 2,766,225
37,300 Wells Fargo & Company.......... 1,445,375
------------
TOTAL BANKS.................... 19,909,465
------------
CHEMICALS -- 4.30%
41,100 Cabot Corp. ................... 1,119,975
49,800 Dow Chemical Company........... 1,503,337
42,700 Eastman Chemical Company....... 2,038,925
18,200 FMC Corp.(c)................... 1,055,600
31,600 Lubrizol Corp. ................ 663,600
20,900 Union Carbide Corp. ........... 1,034,550
------------
TOTAL CHEMICALS................ 7,415,987
------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.77%
30,400 Tech Data Corp.(c)............. 1,324,300
------------
CONSUMER GOODS AND SERVICES -- 2.20%
83,000 Leggett & Platt, Inc. ......... 1,369,500
34,200 Newell Rubbermaid, Inc.(a)..... 880,650
32,900 Whirlpool Corp. ............... 1,533,962
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 3,784,112
------------
CONSTRUCTION -- 0.47%
34,700 Centex Corp. .................. 815,450
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 2.32%
59,400 Arrow Electronics, Inc.(c)..... $ 1,841,400
25,600 Avnet, Inc. ................... 1,516,800
33,800 Thomas & Betts Corp. .......... 646,425
------------
TOTAL ELECTRONICS.............. 4,004,625
------------
FINANCIAL SERVICES -- 8.42%
96,600 Citigroup, Inc. ............... 5,820,150
60,600 Fannie Mae..................... 3,162,563
19,900 JP Morgan & Company, Inc. ..... 2,191,488
40,000 MBIA, Inc. .................... 1,927,500
17,000 Morgan Stanley Dean Witter &
Company...................... 1,415,250
------------
TOTAL FINANCIAL SERVICES....... 14,516,951
------------
FOOD AND BEVERAGE -- 2.41%
110,700 ConAgra, Inc. ................. 2,110,219
61,900 IBP, Inc. ..................... 955,581
124,400 Tyson Foods, Inc. -- Class A... 1,088,500
------------
TOTAL FOOD AND BEVERAGE........ 4,154,300
------------
INSURANCE -- 7.07%
24,200 Aetna, Inc. ................... 1,553,338
42,000 American General Corp. ........ 2,562,000
23,700 American International Group,
Inc. ........................ 2,784,750
35,400 Chubb Corp. ................... 2,177,100
64,200 St. Paul Companies, Inc. ...... 2,190,825
37,100 Torchmark Corp. ............... 915,906
------------
TOTAL INSURANCE................ 12,183,919
------------
MANUFACTURING -- 2.30%
31,800 American Standard Company,
Inc.(c)...................... 1,303,800
9,800 Minnesota Mining &
Manufacturing Company........ 808,500
56,100 Owens-Illinois, Inc.(c)........ 655,669
58,350 Sonoco Products Company........ 1,199,822
------------
TOTAL MANUFACTURING............ 3,967,791
------------
OIL AND GAS -- 17.01%
34,000 Amerada Hess Corp. ............ 2,099,500
45,800 Chevron Corp. ................. 3,884,412
99,600 Conoco, Inc. -- Class B........ 2,191,200
146,600 Exxon -- Mobil Corp. .......... 11,508,100
94,900 Occidental Petroleum Corp...... 1,998,831
45,500 Phillips Petroleum Company..... 2,306,281
</TABLE>
See notes to financial statements.
117
<PAGE> 119
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
58,100 Texaco, Inc. .................. $ 3,093,825
67,100 Unocal Corp. .................. 2,222,687
------------
TOTAL OIL AND GAS.............. 29,304,836
------------
PAPER AND FOREST PRODUCTS -- 2.98%
82,500 Fort James Corp. .............. 1,907,813
59,100 International Paper Company.... 1,761,919
58,700 Westvaco Corp. ................ 1,456,494
------------
TOTAL PAPER AND FOREST
PRODUCTS....................... 5,126,226
------------
RECREATION AND LEISURE -- 0.48%
21,100 The Walt Disney Company........ 818,944
------------
RETAIL -- 2.67%
55,000 Federated Department Stores,
Inc.(c)...................... 1,856,250
74,800 May Department Stores
Company...................... 1,795,200
29,200 Sears, Roebuck & Company....... 952,650
------------
TOTAL RETAIL................... 4,604,100
------------
RETAIL: SUPERMARKET -- 0.90%
81,500 Supervalu, Inc. ............... 1,553,594
------------
RUBBER PRODUCTS -- 1.07%
44,200 Cooper Tire & Rubber Company... 491,725
67,400 Goodyear Tire & Rubber
Company...................... 1,348,000
------------
TOTAL RUBBER PRODUCTS.......... 1,839,725
------------
TELECOMMUNICATIONS -- 6.62%
83,000 AT & T Corp. .................. 2,624,875
26,700 Bell Atlantic Corp. ........... 1,356,694
28,000 BellSouth Corp. ............... 1,193,500
46,800 GTE Corp. ..................... 2,913,300
23,100 Motorola, Inc. ................ 671,344
61,400 SBC Communications, Inc. ...... 2,655,550
------------
TOTAL TELECOMMUNICATIONS....... 11,415,263
------------
TOBACCO -- 1.91%
123,900 Philip Morris Companies,
Inc. ........................ 3,291,094
------------
TOOLS -- 1.02%
54,000 Cooper Industries, Inc. ....... 1,758,375
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TRANSPORTATION -- 3.32%
36,500 Burlington Northern Santa Fe
Corp. ....................... $ 837,219
57,600 CSX Corp. ..................... 1,220,400
114,300 Norfolk Southern Corp. ........ 1,700,212
52,600 Union Pacific Corp. ........... 1,956,063
------------
TOTAL TRANSPORTATION........... 5,713,894
------------
UTILITIES: ELECTRIC -- 11.80%
64,500 Allegheny Energy, Inc. ........ 1,765,688
58,100 Ameren Corp.(a)................ 1,960,875
64,280 American Electric Power
Company, Inc. ............... 1,904,295
74,600 Cinergy Corp. ................. 1,897,637
69,100 Consolidated Edison, Inc. ..... 2,047,087
89,800 FirstEnergy Corp. ............. 2,099,075
32,100 New Century Energies, Inc. .... 963,000
46,100 Northern States Power
Company...................... 930,644
86,500 PG&E Corp. .................... 2,130,063
49,700 Puget Sound Energy, Inc.(a).... 1,059,231
94,000 Southern Company, Inc. ........ 2,191,375
70,100 Wisconsin Energy Corp. ........ 1,388,856
------------
TOTAL UTILITIES: ELECTRIC...... 20,337,826
------------
TOTAL COMMON STOCK
(Cost $187,332,572)............ 168,367,399
------------
REGULATED INVESTMENT COMPANIES -- 0.22%
274,285 Janus Money Market Fund(b)..... 274,285
106,971 Merrimac Cash Fund -- Premium
Class(b)..................... 106,971
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $381,256)...... 381,256
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 2.88%
$ 228,260 Bank of Montreal, 6.59%,
07/05/00(b).................. 228,260
285,327 Bank of Montreal, 6.90%,
07/05/00(b).................. 285,327
684,782 BNP Paribas, 6.75%,
07/05/00(b).................. 684,782
2,737,418 Fleet National Bank, 7.125%,
10/31/00(b).................. 2,737,418
342,391 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 342,391
684,781 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. 684,781
------------
TOTAL TIME DEPOSITS (Cost
$4,962,959).................... 4,962,959
------------
</TABLE>
See notes to financial statements.
118
<PAGE> 120
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 0.83%
$ 164,571 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. $ 164,571
150,000 Bear Stearns and Company, Inc.,
Floating Rate, 7.375%(++),
07/26/00..................... 150,000
109,714 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 109,714
1,000,000 Morgan Stanley Dean Witter &
Company, Inc., Floating Rate,
7.225%(++), 10/06/00(b)...... 1,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $1,424,285)........ 1,424,285
------------
TOTAL SECURITIES (Cost
$194,101,072).................. 175,135,899
------------
REPURCHASE AGREEMENT -- 2.06%
$ 3,554,864 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $3,556,650
(Collateralized by Government
National Mortgage Association
Adjustable Rate Mortgage,
7.125%, due 12/20/23, with a
value of $3,732,687) (Cost
$3,554,864).................. $ 3,554,864
------------
Total Investments -- 103.69%
(Cost $197,655,936)............ 178,690,763
Liabilities less other
assets -- (3.69)%.............. (6,367,275)
------------
NET ASSETS -- 100.00%.......... $172,323,488
============
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $197,655,936.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation............ $ 2,576,968
Gross unrealized depreciation............ (21,542,141)
------------
Net unrealized depreciation.............. $(18,965,173)
============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
119
<PAGE> 121
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 98.72%
ADVERTISING -- 1.42%
293,600 Interpublic Group of
Companies, Inc. ........... $ 12,624,800
68,100 Omnicom Group, Inc.(a)....... 6,065,156
--------------
TOTAL ADVERTISING............ 18,689,956
--------------
BANKS -- 2.27%
87,600 Bank of America Corp. ....... 3,766,800
7,000 Bank of New York Company,
Inc. ...................... 325,500
165,500 Fifth Third Bancorp.......... 10,467,875
413,800 Firstar Corp. ............... 8,715,662
53,500 Northern Trust Corp. ........ 3,480,844
3,300 State Street Corp. .......... 350,006
58,900 Zions Bancorp................ 2,702,956
--------------
TOTAL BANKS.................. 29,809,643
--------------
BROADCAST SERVICES -- 3.32%
1,063,800 AT&T Corp. -- Liberty Media
Group -- Class A(c)........ 25,797,150
237,700 Clear Channel Communications,
Inc.(a)(c)................. 17,827,500
--------------
TOTAL BROADCAST SERVICES..... 43,624,650
--------------
CHEMICALS -- 0.47%
166,400 Praxair, Inc. ............... 6,229,600
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.15%
228,000 Apple Computer, Inc.(a)(c)... 11,941,500
95,500 Avery Dennison Corp. ........ 6,410,437
281,400 EMC Corp.(c)................. 21,650,213
116,900 Hewlett-Packard Company(a)... 14,597,888
--------------
TOTAL COMPUTER AND OFFICE
EQUIPMENT.................... 54,600,038
--------------
COMPUTER SOFTWARE AND SERVICES -- 15.12%
196,800 America Online, Inc.(c)...... 10,381,200
96,700 BEA Systems, Inc.(c)......... 4,780,606
53,800 Brocade Communications
Systems, Inc.(c)........... 9,871,461
743,800 Cisco Systems, Inc.(c)....... 47,277,787
89,800 Comverse Technology,
Inc.(a)(c)................. 8,351,400
65,500 I2 Technologies,
Inc.(a)(c)................. 6,829,397
446,200 Microsoft Corp.(c)........... 35,696,000
202,000 Oracle Corp.(c).............. 16,980,625
49,600 Siebel Systems, Inc.(c)...... 8,112,700
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
224,900 Sun Microsystems, Inc.(c).... $ 20,451,844
126,100 Teradyne, Inc.(c)............ 9,268,350
138,850 Veritas Software
Corp.(a)(c)................ 15,692,216
41,000 Yahoo!, Inc.(a)(c)........... 5,078,875
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 198,772,461
--------------
CONSUMER GOODS AND SERVICES -- 6.16%
78,300 Avon Products, Inc. ......... 3,484,350
182,900 Colgate-Palmolive Company.... 10,951,137
1,023,500 General Electric Company..... 54,245,500
213,600 Kimberly-Clark Corp. ........ 12,255,300
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 80,936,287
--------------
ELECTRONICS -- 1.35%
179,000 Linear Technology Corp. ..... 11,444,813
162,000 SCI Systems, Inc.(c)......... 6,348,375
--------------
TOTAL ELECTRONICS............ 17,793,188
--------------
FINANCIAL SERVICES -- 5.94%
386,900 American Express Company..... 20,167,162
504,700 Citigroup, Inc. ............. 30,408,175
61,300 Merrill Lynch & Company,
Inc. ...................... 7,049,500
103,400 Morgan Stanley Dean Witter &
Company.................... 8,608,050
351,750 Schwab (Charles) Corp. ...... 11,827,594
--------------
TOTAL FINANCIAL SERVICES..... 78,060,481
--------------
FOOD AND BEVERAGE -- 0.88%
71,200 Anheuser-Busch Companies,
Inc. ...................... 5,317,750
147,000 Sysco Corp. ................. 6,192,375
--------------
TOTAL FOOD AND BEVERAGE...... 11,510,125
--------------
INSURANCE -- 2.27%
215,800 American International Group,
Inc. ...................... 25,356,500
48,000 CIGNA Corp. ................. 4,488,000
--------------
TOTAL INSURANCE.............. 29,844,500
--------------
MANUFACTURING -- 5.46%
55,400 Corning, Inc. ............... 14,951,075
99,000 PE Corp. -- PE Biosystems
Group...................... 6,521,625
</TABLE>
See notes to financial statements.
120
<PAGE> 122
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MANUFACTURING (CONTINUED)
82,000 Sealed Air Corp.(c).......... $ 4,294,750
970,900 Tyco International Ltd. ..... 45,996,388
--------------
TOTAL MANUFACTURING.......... 71,763,838
--------------
MEDIA -- 4.67%
235,100 Time Warner, Inc. ........... 17,867,600
637,429 Viacom, Inc. -- Class B(c)... 43,464,690
--------------
TOTAL MEDIA.................. 61,332,290
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 0.53%
98,600 Baxter International,
Inc. ...................... 6,932,812
--------------
OIL AND GAS -- 5.73%
143,200 Anadarko Petroleum
Corp.(a)................... 7,061,550
125,700 Apache Corp. ................ 7,392,731
435,000 Conoco, Inc. -- Class B...... 9,570,000
322,100 Enron Corp. ................. 20,775,450
235,200 Exxon-Mobil Corp. ........... 18,463,200
196,600 Royal Dutch Petroleum
Company.................... 12,103,187
--------------
TOTAL OIL AND GAS............ 75,366,118
--------------
PHARMACEUTICALS -- 8.14%
160,100 Allergan, Inc. .............. 11,927,450
203,200 American Home Products
Corp. ..................... 11,938,000
88,000 Lilly (Eli) & Company........ 8,789,000
821,975 Pfizer, Inc. ................ 39,454,800
181,800 Pharmacia Corp. ............. 9,396,787
505,300 Schering-Plough Corp. ....... 25,517,650
--------------
TOTAL PHARMACEUTICALS........ 107,023,687
--------------
RESEARCH AND DEVELOPMENT -- 2.20%
243,700 Amgen, Inc.(a)(c)............ 17,119,925
68,500 Genentech, Inc.(c)........... 11,782,000
--------------
TOTAL RESEARCH AND
DEVELOPMENT.................. 28,901,925
--------------
RETAIL -- 7.91%
179,000 CVS Corp..................... 7,160,000
223,800 Estee Lauder Companies,
Inc. -- Class A(a)......... 11,064,113
508,400 Home Depot, Inc. ............ 25,388,225
99,200 Kohl's Corp.(c).............. 5,518,000
239,600 RadioShack Corp. ............ 11,351,050
185,500 Target Corp. ................ 10,759,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
464,800 TJX Companies, Inc. ......... $ 8,715,000
416,400 Wal-Mart Stores, Inc. ....... 23,995,050
--------------
TOTAL RETAIL................. 103,950,438
--------------
SEMICONDUCTORS -- 9.79%
204,200 Applied Materials, Inc.(c)... 18,505,625
28,100 Broadcom Corp.(c)............ 6,152,144
344,300 Intel Corp. ................. 46,028,606
159,800 JDS Uniphase Corp.(a)(c)..... 19,156,025
122,600 LSI Logic Corp.(a)(c)........ 6,635,725
289,600 Texas Instruments, Inc. ..... 19,891,900
149,800 Xilinx, Inc.(c).............. 12,367,863
--------------
TOTAL SEMICONDUCTORS......... 128,737,888
--------------
TELECOMMUNICATIONS -- 10.55%
158,600 ALLTEL Corp. ................ 9,823,288
96,000 EchoStar Communications
Corp.(a)................... 3,178,502
72,100 General Motors Corp. -- Class
H(c)....................... 6,326,775
260,900 Nextel Communications,
Inc.(c).................... 15,963,819
327,000 Nokia Corp. (ADR)............ 16,329,563
429,900 Nortel Networks Corp.(a)..... 29,340,675
296,400 Sprint Corp. (FON Group)..... 15,116,400
212,700 Sprint Corp. (PCS
Group)(a)(c)............... 12,655,650
137,200 Tellabs, Inc.(c)............. 9,389,625
277,900 Vodafone Airtouch PLC
(ADR)(a)................... 11,515,481
77,018 VoiceStream Wireless
Corp.(a)(c)................ 8,956,955
--------------
TOTAL TELECOMMUNICATIONS..... 138,596,733
--------------
TRANSPORTATION -- 0.39%
86,700 United Parcel Service,
Inc. -- Class B............ 5,115,300
--------------
TOTAL COMMON STOCK
(Cost $992,520,853).......... 1,297,591,958
--------------
REGULATED INVESTMENT COMPANIES -- 1.14%
10,731,749 Janus Money Market Fund(b)... 10,731,749
4,185,382 Merrimac Cash Fund -- Premium
Class(b)................... 4,185,382
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$14,917,131)................. 14,917,131
--------------
</TABLE>
See notes to financial statements.
121
<PAGE> 123
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
TIME DEPOSITS -- 6.17%
$ 3,315,030 Bank of Montreal, 6.59%,
07/05/00(b)................ $ 3,315,030
5,561,012 Bank of Montreal, 6.90%,
07/05/00(b)................ 5,561,012
13,347,403 BNP Paribas, 6.75%,
07/05/00(b)................ 13,347,403
36,306,263 BNP Paribas, 6.75%,
07/05/00(b)................ 36,306,263
2,481,454 Fleet National Bank, 7.125%,
10/31/00(b)................ 2,481,454
6,673,218 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 6,673,218
13,346,428 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 13,346,428
--------------
TOTAL TIME DEPOSITS (Cost
$81,030,808)................. 81,030,808
--------------
SHORT TERM CORPORATE NOTES -- 5.39%
14,500,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................ 14,500,000
6,977,614 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 6,977,614
2,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++), 07/26/00(b).... 2,000,000
4,395,841 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 4,395,841
5,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................ 5,000,000
15,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b).... 15,000,000
3,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
6.91%(++), 11/22/00(b)..... 3,000,000
20,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................ 20,000,000
--------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $70,873,455)........... 70,873,455
--------------
TOTAL SECURITIES (Cost
$1,159,342,247).............. 1,464,413,352
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.77%
$23,316,736 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$23,328,453,
(Collateralized by Freddie
Mac, Floating Rate,
5.76%(++), due 10/15/08,
with a value of $4,791,525
and Freddie Mac, Floating
Rate 7.35%(++), due
03/15/30, with a value of
$19,691,048) (Cost
$23,316,736)............... $ 23,316,736
--------------
Total Investments -- 113.19%
(Cost $1,182,658,983)........ $1,487,730,088
Liabilities less other
assets -- (13.19)%........... (173,312,707)
--------------
NET ASSETS -- 100.00%........ $1,314,417,381
==============
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $1,182,658,983.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $ 344,231,937
Gross unrealized depreciation.......... (39,160,832)
--------------
Net unrealized appreciation............ $ 305,071,105
==============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) American Depository Receipt
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was the rate in effect
at June 30, 2000.
See notes to financial statements.
122
<PAGE> 124
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 97.89%
ADVERTISING -- 1.48%
160,000 Clear Channel Communications,
Inc.(a)(c)................. $ 12,000,000
195,700 Interpublic Group, Inc. ..... 8,415,100
--------------
TOTAL ADVERTISING............ 20,415,100
--------------
BANKS -- 0.92%
325,900 Wells Fargo & Company........ 12,628,625
--------------
COMPUTER SOFTWARE AND SERVICES -- 12.26%
195,000 America Online, Inc.(c)...... 10,286,250
19,000 Check Point Software
Technologies Ltd.(c)....... 4,023,250
900,000 Cisco Systems, Inc.(c)....... 57,206,250
25,000 Computer Sciences Corp.(c)... 1,867,187
128,300 Electronic Arts (a)(c)....... 9,357,881
621,900 Microsoft Corp.(c)........... 49,752,000
220,000 Oracle Corp.(c).............. 18,493,750
48,000 VERITAS Software
Corp.(a)(c)................ 5,424,749
101,000 Yahoo!, Inc.(c).............. 12,511,375
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 168,922,692
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 8.43%
611,100 Dell Computer Corp.(c)....... 30,134,869
410,000 EMC Corp.(c)................. 31,544,375
277,800 Hewlett-Packard Company...... 34,690,275
40,000 International Business
Machines Corp. ............ 4,382,500
169,000 Sun Microsystems, Inc.(c).... 15,368,438
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 116,120,457
--------------
CONSUMER GOODS AND SERVICES -- 7.87%
140,000 Avon Products, Inc. ......... 6,230,000
173,000 Colgate-Palmolive Company.... 10,358,375
1,027,200 General Electric Company..... 54,441,600
660,900 Gillette Company............. 23,090,194
275,700 Newell Rubbermaid, Inc.(a)... 7,099,275
125,000 Procter & Gamble Company..... 7,156,250
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 108,375,694
--------------
DEFENSE -- 0.37%
99,000 General Dynamics Corp. ...... 5,172,750
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 2.42%
401,900 Electronic Data Systems
Corp. ..................... $ 16,578,375
399,900 Solectron Corp.(a)(c)........ 16,745,812
--------------
TOTAL ELECTRONICS............ 33,324,187
--------------
FINANCE -- 2.16%
204,000 American Express Company..... 10,633,500
316,600 Citigroup, Inc. ............. 19,075,150
--------------
TOTAL FINANCE................ 29,708,650
--------------
FOOD AND BEVERAGE -- 5.22%
110,000 Anheuser-Busch Companies,
Inc. ...................... 8,215,625
181,100 Bestfoods.................... 12,541,175
666,600 Coca-Cola Company............ 38,287,838
291,000 Pepsico, Inc. ............... 12,931,312
--------------
TOTAL FOOD AND BEVERAGE...... 71,975,950
--------------
INSURANCE -- 1.94%
226,950 American International
Group...................... 26,666,625
--------------
LEISURE AND
RECREATION -- 0.80%
306,200 Marriot International --
Class A.................... 11,042,338
--------------
MANUFACTURING -- 3.12%
49,700 Honeywell International,
Inc. ...................... 1,674,269
178,000 PE Corp -- PE Biosystems
Group...................... 11,725,750
625,000 Tyco International Ltd. ..... 29,609,375
--------------
TOTAL MANUFACTURING.......... 43,009,394
--------------
MEDIA -- 0.59%
106,000 Time Warner, Inc.(a)......... 8,056,000
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 3.95%
508,900 Boston Scientific Corp.(c)... 11,163,994
299,400 Johnson & Johnson............ 30,501,375
255,400 Medtronic, Inc. ............. 12,722,112
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES.............. 54,387,481
--------------
OIL AND GAS -- 1.01%
157,000 Enron Corp. ................. 10,126,500
50,000 Schlumberger Ltd. ........... 3,731,250
--------------
TOTAL OIL AND GAS............ 13,857,750
--------------
</TABLE>
See notes to financial statements.
123
<PAGE> 125
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PHARMACEUTICALS -- 12.41%
556,400 Bristol-Myers Squibb
Company.................... $ 32,410,300
170,000 Glaxo Wellcome PLC
(ADR)(a)................... 9,828,125
125,000 Lilly (Eli) & Company........ 12,484,375
160,000 Merck & Company, Inc. ....... 12,260,000
44,000 Millennium Pharmaceuticals,
Inc.(a)(c)................. 4,922,500
1,565,200 Pfizer, Inc. ................ 75,129,600
15,800 Pharmacia Corp. ............. 816,663
319,600 Schering-Plough Corp. ....... 16,139,800
58,000 Sepracor, Inc.(a)(c)......... 6,996,250
--------------
TOTAL PHARMACEUTICALS........ 170,987,613
--------------
RESEARCH AND DEVELOPMENT -- 3.39%
465,000 Amgen, Inc.(a)(c)............ 32,666,250
47,000 Genentech, Inc.(c)........... 8,084,000
45,000 Human Genome Sciences,
Inc.(a)(c)................. 6,001,875
--------------
TOTAL RESEARCH AND
DEVELOPMENT................ 46,752,125
--------------
RESTAURANTS -- 1.27%
533,100 McDonald's Corp. ............ 17,558,981
--------------
RETAIL -- 6.58%
396,800 Circuit City Group........... 13,168,800
424,900 Costco Wholesale
Corp.(a)(c)................ 14,021,700
149,550 Gap, Inc. ................... 4,673,438
448,200 Home Depot, Inc. ............ 22,381,987
225,000 Nike, Inc. -- Class B........ 8,957,813
108,000 Safeway, Inc.(c)............. 4,873,500
110,000 Target Corp. ................ 6,380,000
282,000 Wal-Mart Stores, Inc. ....... 16,250,250
--------------
TOTAL RETAIL................. 90,707,488
--------------
SEMICONDUCTORS -- 8.23%
65,000 Applied Materials, Inc.(c)... 5,890,625
414,100 Intel Corp................... 55,359,994
213,000 JDS Uniphase Corp.(a)(c)..... 25,533,375
102,000 STMicroelectronics N.V.(a)... 6,547,125
90,000 Texas Instruments, Inc. ..... 6,181,875
169,000 Xilinx, Inc.(c).............. 13,953,062
--------------
TOTAL SEMICONDUCTORS......... 113,466,056
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS -- 13.47%
265,000 Ericsson (LM) Telephone
Company (ADR).............. $ 5,300,000
64,000 GTE Corp. ................... 3,984,000
560,700 Lucent Technologies(a)....... 33,221,475
351,900 Motorola, Inc.(a)............ 10,227,094
158,000 Nextel Communications,
Inc. -- Class A(c)......... 9,667,625
536,000 Nokia Corp. (ADR)............ 26,766,500
170,000 Nortel Networks Corp.(a)..... 11,602,500
105,000 QUALCOMM, Inc.(a)(c)......... 6,300,000
288,000 Qwest Communications
International,
Inc.(a)(c)................. 14,310,000
140,000 SBC Communications, Inc. .... 6,055,000
229,400 Tellabs, Inc.(c)............. 15,699,562
165,000 Vodafone AirTouch PLC
(ADR)(a)................... 6,837,187
777,650 WorldCom, Inc.(c)............ 35,674,694
--------------
TOTAL TELECOMMUNICATIONS..... 185,645,637
--------------
TOTAL COMMON STOCK
(Cost $1,028,734,028)........ 1,348,781,593
--------------
REGULATED INVESTMENT COMPANIES -- 0.88%
8,719,555 Janus Money Market Fund(b)... 8,719,555
3,400,625 Merrimac Cash Fund -- Premium
Class(b)................... 3,400,625
--------------
TOTAL REGULATED INVESTMENT
COMPANIES(Cost $12,120,180) 12,120,180
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 4.81%
$ 4,270,386 Bank of Montreal, 6.59%,
07/05/00(b)................ 4,270,386
4,549,619 Bank of Montreal, 6.90%,
07/05/00(b)................ 4,549,619
15,981,321 BNP Paribas, 6.75%,
07/05/00(b)................ 15,981,321
19,848,495 BNP Paribas, 6.75%,
07/05/00(b)................ 19,848,495
5,205,942 Fleet National Bank, 7.125%,
10/31/00(b)................ 5,205,942
5,459,544 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 5,459,544
10,919,086 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 10,919,086
--------------
TOTAL TIME DEPOSITS (Cost
$66,234,393)................. 66,234,393
--------------
</TABLE>
See notes to financial statements.
124
<PAGE> 126
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 4.18%
$ 8,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................ $ 8,000,000
6,153,604 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 6,153,604
1,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++), 07/26/00(b).... 1,000,000
3,487,821 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 3,487,821
10,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................ 10,000,000
5,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b).... 5,000,000
7,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
6.91%(++), 11/22/00(b)..... 7,000,000
17,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................ 17,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $57,641,425)..... 57,641,425
--------------
TOTAL SECURITIES (Cost
$1,164,730,026).............. 1,484,777,591
--------------
REPURCHASE AGREEMENTS --2.17%
2,741,622 With Investors Bank & Trust,
dated 06/30/00, 5.67%, due
07/03/00, repurchase
proceeds at maturity
$2,742,918 (Collateralized
by U.S. Treasury Notes,
5.75%, due 11/15/00, with a
value of $2,796,418)....... 2,741,622
9,536,000 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$9,540,792 (Collateralized
by Government National
Mortgage Association
Adjustable Rate Mortgage,
6.75%, due 07/20/24, with a
value of $10,013,038)...... 9,536,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS
(CONTINUED)
$17,566,372 With Investors Bank & Trust,
dated 06/30/00, 5.67%, due
07/03/00, repurchase
proceeds at maturity
$17,574,672 (Collateralized
by U.S. Treasury Notes,
5.75%, due 11/15/00, with a
value of $17,943,795)...... $ 17,566,372
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $29,843,994) 29,843,994
--------------
Total Investments -- 109.93%
(Cost $1,194,574,020)........ 1,514,621,585
Liabilities less other
assets -- (9.93)%............ (136,781,349)
--------------
NET ASSETS -- 100.00%........ $1,377,840,236
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $1,194,574,020.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $363,618,843
Gross unrealized depreciation.......... (43,571,279)
------------
Net unrealized appreciation............ $320,047,565
============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipts.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
125
<PAGE> 127
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 95.26%
ADVERTISING -- 0.24%
42,300 TMP Worldwide, Inc.(c)....... $ 3,122,269
--------------
AEROSPACE -- 0.20%
219,900 AAR Corp. ................... 2,638,800
--------------
AGRICULTURE -- 0.28%
145,400 Delta and Pine Land
Company.................... 3,644,087
--------------
AUTOMOTIVE SERVICES -- 0.10%
171,500 CSK Auto Corp.(c)............ 1,296,969
--------------
BANKS -- 2.93%
128,160 CCB Financial Corp. ......... 4,741,920
246,503 Charter One Financials,
Inc. ...................... 5,669,569
138,160 First Washington Bancorp,
Inc. ...................... 1,925,605
149,800 Golden State Bancorp,
Inc.(c).................... 2,696,400
790,000 Hibernia Corporation -- Class
A.......................... 8,591,250
248,010 Hudson United Bancorp........ 5,564,724
325,000 Peoples Bank................. 5,971,875
145,400 Sterling Financial
Corp.(c)................... 1,672,100
73,304 Summit Bancorp............... 1,805,111
--------------
TOTAL BANKS.................. 38,638,554
--------------
BUSINESS SERVICES -- 2.49%
204,800 ABM Industries, Inc. ........ 4,710,400
349,200 AHL Services, Inc.(a)(c)..... 2,138,850
64,350 Diamond Technology Partners,
Inc.(c).................... 5,662,800
57,500 eBenX, Inc.(c)............... 1,218,281
303,333 Encompass Service Corp.(c)... 1,744,165
58,100 Hall, Kinion & Associates,
Inc.(c).................... 1,935,456
171,900 Manpower, Inc. .............. 5,500,800
235,000 MPW Industrial Services
Group, Inc.(c)............. 1,821,250
80,900 On Assignment, Inc.(c)....... 2,467,450
394,500 Protection One, Inc.(c)...... 862,969
121,200 RCM Technologies, Inc.(c).... 893,850
100,000 Reynolds & Reynolds
Company -- Class A......... 1,825,000
60,000 Volt Information Sciences,
Inc.(c).................... 1,976,250
--------------
TOTAL BUSINESS SERVICES...... 32,757,521
--------------
COMMERCIAL SERVICES -- 1.62%
115,200 Central Parking Corp.(a)..... 2,728,800
255,800 Coinmach Laundry
Corp.(a)(c)................ 3,629,162
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
187,800 F.Y.I., Inc.(c).............. $ 6,326,513
207,600 Marketing Specialists
Corp.(c)................... 363,300
76,100 MemberWorks, Inc.(c)......... 2,558,863
180,261 NOVA Corp.(c)................ 5,036,042
104,200 Student Advantage, Inc.(c)... 761,963
--------------
TOTAL COMMERCIAL SERVICES.... 21,404,643
--------------
COMMUNICATIONS -- 3.22%
140,400 Adelphia Communications
Corp. -- Class A(a)(c)..... 6,581,250
82,000 American Tower Corp. -- Class
A(a)(c).................... 3,418,375
83,700 Citadel Communications
Corp.(c)................... 2,924,269
519,400 Emmis Communications Corp. --
Class A(c)................. 21,490,175
213,100 Insight Communications
Company, Inc.(c)........... 3,329,688
211,797 Saga Communications, Inc. --
Class A(c)................. 4,659,534
--------------
TOTAL COMMUNICATIONS......... 42,403,291
--------------
COMMUNICATIONS EQUIPMENT -- 5.35%
146,400 Adaptive Broadband
Corp.(c)................... 5,380,200
188,100 Advanced Fibre
Communications, Inc.(c).... 8,523,281
26,950 ANADIGICS, Inc.(a)(c)........ 917,984
34,050 Anaren Microwave, Inc.(c).... 4,468,531
195,300 Aware, Inc.(c)............... 9,984,713
192,800 Com21, Inc.(c)............... 4,820,000
267,600 Comdial Corp.(c)............. 1,187,475
74,400 Copper Mountain Networks,
Inc.(a)(c)................. 6,556,500
141,100 Digital Microwave Corp.(c)... 5,379,438
184,700 Inter-Tel, Inc. ............. 2,966,744
74,500 Powerwave Technologies,
Inc.(c).................... 3,278,000
94,800 REMEC, Inc.(c)............... 3,969,750
86,900 Terayon Communication
Systems, Inc.(a)(c)........ 5,581,969
100,600 Tut Systems, Inc.(c)......... 5,771,925
109,700 Westell Technologies, Inc. --
Class A(c)................. 1,645,500
--------------
TOTAL COMMUNICATIONS
EQUIPMENT.................... 70,432,010
--------------
</TABLE>
See notes to financial statements.
126
<PAGE> 128
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT -- 1.43%
331,800 Cabletron Systems, Inc.(c)... $ 8,377,950
200,900 Concurrent Computer
Corp.(c)................... 2,636,813
152,600 Cybex Computer Products
Corp.(c)................... 6,561,800
18,500 InFocus Corp.(c)............. 595,469
114,400 T/R Systems, Inc.(c)......... 729,300
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 18,901,332
--------------
COMPUTER AND SOFTWARE SERVICES -- 10.17%
194,900 Activision, Inc.(a)(c)....... 1,266,850
140,800 Advent Software, Inc.(c)..... 9,081,600
105,100 American Management Systems,
Inc.(c).................... 3,450,233
252,200 Digital Island, Inc.(a)(c)... 12,263,225
114,900 Exchange Applications,
Inc.(c).................... 3,059,212
207,150 InterCept Group, Inc.(c)..... 3,521,550
179,270 Iron Mountain, Inc.(c)....... 6,095,180
90,200 Manugistics Group, Inc.(c)... 4,216,850
214,800 MedicaLogic/Medscape,
Inc.(a)(c)................. 1,986,900
70,700 MICROS Systems, Inc.(c)...... 1,312,369
77,600 Multex.com, Inc.(c).......... 1,954,550
260,900 NBC Internet, Inc. -- Class
A(a)(c).................... 3,261,250
37,750 Netegrity, Inc.(c)........... 2,843,047
38,700 NetSolve, Inc.(c)............ 1,006,200
788,700 Parametric Technology
Corp.(c)................... 8,675,700
107,700 Peregrine Systems, Inc.(c)... 3,735,844
148,700 Pilot Network Services,
Inc.(c).................... 2,211,912
126,600 Pinnacle Holdings, Inc.(c)... 6,836,400
200,000 Policy Management Systems
Corp.(c)................... 3,075,000
87,800 QRS Corp.(c)................. 2,156,587
226,400 RSA Security, Inc.(c)........ 15,678,200
81,000 RadiSys Corp.(c)............. 4,596,750
267,800 Rational Software
Corp.(a)(c)................ 24,888,662
115,524 SeaChange International,
Inc.(c).................... 3,335,756
78,200 Titan Corp.(c)............... 3,499,450
--------------
TOTAL COMPUTER AND SOFTWARE
SERVICES..................... 134,009,277
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.18%
90,200 Chemed Corp. ................ 2,542,512
59,350 Hughes Supply, Inc. ......... 1,172,163
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES
(CONTINUED)
253,500 Michael Baker Corp.(c)....... $ 1,647,750
74,650 Shaw Group, Inc.(c).......... 3,517,881
234,600 U.S. Aggregates, Inc. ....... 4,252,125
198,075 Watsco, Inc. ................ 2,475,937
--------------
TOTAL CONSTRUCTION SERVICES
AND SUPPLIES................. 15,608,368
--------------
CONSUMER GOODS AND SERVICES -- 0.35%
329,800 Carriage Services, Inc.(c)... 1,113,075
100,800 Fossil, Inc.(c).............. 1,959,300
271,900 Helen of Troy Ltd.(c)........ 1,520,954
25,000 Pameco Corp.(c).............. 64,062
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 4,657,391
--------------
EDUCATION -- 1.10%
93,000 Bright Horizons Family
Solutions, Inc.(c)......... 1,987,875
77,200 Career Education Corp.(c).... 3,744,200
145,300 Childrens Comprehensive
Services, Inc.(c).......... 444,981
471,765 ITT Educational Services,
Inc.(c).................... 8,285,373
--------------
TOTAL EDUCATION.............. 14,462,429
--------------
ELECTRONICS -- 2.84%
111,350 ACT Manufacturing,
Inc.(a)(c)................. 5,170,816
46,600 Nanometrics, Inc.(c)......... 1,919,338
157,200 Power Integrations,
Inc.(c).................... 3,704,025
210,000 Rogers Corp.(c).............. 7,350,000
100,000 Sawtek, Inc.(a)(c)........... 5,756,250
309,300 Sensormatic Electronics
Corp.(c)................... 4,890,806
450,000 Thomas & Betts Corp. ........ 8,606,250
--------------
TOTAL ELECTRONICS............ 37,397,485
--------------
ENGINEERING -- 0.23%
212,600 URS Corp.(c)................. 2,976,400
--------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.33%
362,520 Allied Waste Industries,
Inc.(c).................... 3,625,200
217,200 Capital Environmental
Resource, Inc.(c).......... 733,050
341,700 Casella Waste Systems,
Inc. -- Class A(c)......... 3,673,275
</TABLE>
See notes to financial statements.
127
<PAGE> 129
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ENVIRONMENTAL MANAGEMENT SERVICES (CONTINUED)
354,100 Waste Connections, Inc.(c)... $ 6,993,475
235,500 Waste Industries,
Inc.(a)(c)................. 2,531,625
--------------
TOTAL ENVIRONMENTAL
MANAGEMENT SERVICES.......... 17,556,625
--------------
EQUIPMENT RENTAL AND LEASING -- 1.04%
218,000 Aaron Rents, Inc. -- Class
B.......................... 2,738,625
140,000 Amplicon, Inc. .............. 1,330,000
152,700 Electro Rent Corp.(c)........ 1,870,575
157,500 Rent-Way, Inc.(c)............ 4,597,031
79,000 XTRA Corp.(c)................ 3,115,563
--------------
TOTAL EQUIPMENT RENTAL AND
LEASING...................... 13,651,794
--------------
FINANCE -- 1.19%
397,290 Allied Capital Corp. ........ 6,753,930
191,010 Metris Companies, Inc. ...... 4,799,126
180,400 NCO Group, Inc.(c)........... 4,171,750
--------------
TOTAL FINANCE................ 15,724,806
--------------
FOOD AND BEVERAGE -- 0.13%
70,700 Glacier Water Services,
Inc.(a)(c)................. 839,563
91,100 Sylvan, Inc.(c).............. 842,675
--------------
TOTAL FOOD AND BEVERAGE...... 1,682,238
--------------
INDUSTRIAL AUTOMATION -- 0.14%
28,400 PRI Automation, Inc.(c)...... 1,857,093
--------------
INSURANCE -- 0.53%
54,500 Annuity and Life Re
(Holdings) Ltd. ........... 1,335,250
38,600 National Western Life
Insurance Company -- Class
A(c)....................... 2,779,200
169,100 Penn Treaty American
Corp.(a)(c)................ 2,874,700
--------------
TOTAL INSURANCE.............. 6,989,150
--------------
LEISURE AND RECREATION -- 1.46%
153,500 American Coin Merchandising,
Inc.(c).................... 383,750
154,400 Argosy Gaming Company(c)..... 2,219,500
259,600 Isle of Capri Casinos,
Inc.(c).................... 3,520,825
195,000 MGM Grand, Inc.(a)(c)........ 6,264,375
145,700 Pinnacle Entertainment,
Inc. ...................... 2,832,044
161,000 Station Casinos, Inc.(c)..... 4,025,000
--------------
TOTAL LEISURE AND
RECREATION................... 19,245,494
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MACHINERY -- 0.19%
207,600 JLG Industries, Inc. ........ $ 2,465,250
--------------
MANUFACTURING -- 3.73%
60,100 Applied Films Corp.(c)....... 2,201,162
613,300 C&D Technologies, Inc. ...... 34,651,450
214,800 Checkpoint Systems,
Inc.(c).................... 1,611,000
139,800 Lydall, Inc.(c).............. 1,485,375
30,000 Newport Corp. ............... 3,221,250
151,300 Rock of Ages Corp. -- Class
A(c)....................... 747,044
104,000 Trex Company, Inc.(c)........ 5,200,000
--------------
TOTAL MANUFACTURING.......... 49,117,281
--------------
MEDIA AND ENTERTAINMENT -- 3.29%
108,000 Acme Communications,
Inc.(c).................... 1,971,000
168,200 Beasley Broadcast Group,
Inc. -- Class A(c)......... 2,291,725
322,200 Classic Communications,
Inc. -- Class A(c)......... 2,879,663
227,700 Granite Broadcasting
Corp.(c)................... 1,679,287
126,450 Gray Communications Systems,
Inc. -- Class B............ 1,232,888
35,500 Liberty Digital, Inc. --
Class A(c)................. 1,065,000
113,400 Martha Stewart Living
Omnimedia, Inc. -- Class
A(a)(c).................... 2,494,800
257,500 Mediacom Communications
Corp. -- Class A(c)........ 3,959,062
470,000 Metro-Goldwyn-Mayer,
Inc.(a)(c)................. 12,278,750
162,800 Pegasus Communications
Corp. -- Class A(a)(c)..... 7,987,375
256,800 Salem Communications Corp. --
Class A(c)................. 2,383,438
151,300 Spanish Broadcasting Systems,
Inc. -- Class A(c)......... 3,111,106
--------------
TOTAL MEDIA AND
ENTERTAINMENT................ 43,334,094
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 8.39%
60,000 Accredo Health, Inc.(c)...... 2,073,750
220,500 American Retirement
Corp.(a)(c)................ 1,226,531
233,000 Brookdale Living Communities,
Inc.(c).................... 3,378,500
231,500 Caredata.com, Inc.(c)........ 390,656
72,200 Genzyme Transgenics
Corp.(c)................... 1,958,425
</TABLE>
See notes to financial statements.
128
<PAGE> 130
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDICAL AND OTHER HEALTH SERVICES (CONTINUED)
100,000 Health Management Associates,
Inc.(c).................... $ 1,306,250
1,114,800 HEALTHSOUTH Corp.(c)......... 8,012,625
176,400 Horizon Health Corp.(c)...... 992,250
650,000 IMS Health, Inc.(a).......... 11,700,000
99,700 Lifeline Systems, Inc.(c).... 1,395,800
250,000 Lincare Holdings, Inc.(c).... 6,156,250
33,709 MedQuist, Inc.(a)(c)......... 1,146,092
260,040 Morrison Management
Specialists, Inc. ......... 7,329,877
106,600 National Dentex Corp.(c)..... 1,798,875
312,200 OrthAlliance, Inc. -- Class
A(a)(c).................... 1,873,200
270,500 Orthodontic Centers of
America, Inc.(c)........... 6,120,062
257,700 Prime Medical Services,
Inc.(c).................... 1,997,175
112,000 Province Healthcare
Company(c)................. 4,046,000
698,000 Quorum Health Group,
Inc.(c).................... 7,198,125
129,934 Renal Care Group, Inc.(c).... 3,177,289
331,600 Res-Care, Inc.(a)(c)......... 1,782,350
226,400 Shared Medical Systems
Corp. ..................... 16,513,050
101,200 Sunrise Assisted Living,
Inc.(c).................... 1,872,200
175,000 Triad Hospitals, Inc.(c)..... 4,232,813
194,400 Universal Health Services,
Inc. -- Class B(c)......... 12,830,400
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES.............. 110,508,545
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.88%
31,800 Candela Corp.(c)............. 290,175
129,000 Closure Medical
Corp.(a)(c)................ 2,967,000
92,300 Cytyc Corp.(c)............... 4,926,513
101,500 Molecular Devices Corp.(c)... 7,022,531
285,000 Owens & Minor, Inc. ......... 4,898,437
94,500 Zoll Medical Corp.(c)........ 4,630,500
--------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES..................... 24,735,156
--------------
METALS AND MINING -- 0.18%
141,900 Wolverine Tube, Inc.(c)...... 2,412,300
--------------
MOTOR VEHICLES -- 0.17%
64,250 Oshkosh Truck Corp. ......... 2,296,938
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS -- 5.76%
266,700 Berry Petroleum Company...... $ 4,533,900
260,000 Cabot Oil & Gas Corp. --
Class A.................... 5,508,750
71,600 Devon Energy Corp.(a)........ 4,023,025
150,000 EOG Resources Inc. .......... 5,025,000
195,400 Global Industries Ltd.(c).... 3,688,175
342,800 Grant Prideco, Inc.(c)....... 8,570,000
374,300 Marine Drilling Companies,
Inc.(c).................... 10,480,400
385,000 Pride International,
Inc.(c).................... 9,528,750
330,000 Rowan Companies, Inc.(c)..... 10,023,750
50,000 Santa Fe Snyder Corp.(c)..... 568,750
158,200 Syntroleum Corp.(c).......... 2,709,175
216,700 Tosco Corp. ................. 6,135,319
125,000 UTI Energy Corp.(c).......... 5,015,625
--------------
TOTAL OIL AND GAS............ 75,810,619
--------------
PHARMACEUTICALS -- 3.62%
70,400 Alkermes, Inc.(a)(c)......... 3,317,600
212,500 Bindley Western Industries,
Inc. ...................... 5,617,969
135,000 Celgene Corp.(c)............. 7,948,125
23,700 Inhale Therapeutic Systems,
Inc.(a)(c)................. 2,404,811
131,700 Jones Pharma, Inc. .......... 5,259,769
125,900 Medicis Pharmaceutical
Corp. -- Class A(c)........ 7,176,300
81,200 Noven Pharmaceuticals,
Inc.(c).................... 2,441,075
181,000 Priority Healthcare Corp. --
Class B(c)................. 13,450,563
--------------
TOTAL PHARMACEUTICALS........ 47,616,212
--------------
PUBLISHING -- 0.78%
171,000 Houghton Mifflin Company..... 7,983,562
101,700 John Wiley & Sons, Inc. --
Class A.................... 2,288,250
--------------
TOTAL PUBLISHING............. 10,271,812
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.20%
76,500 Alexandria Real Estate
Equities, Inc. ............ 2,624,906
144,069 Chateau Communities, Inc. ... 4,069,949
246,800 Equity Inns, Inc. ........... 1,511,650
79,200 Health Care Property
Investors, Inc. ........... 2,158,200
</TABLE>
See notes to financial statements.
129
<PAGE> 131
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
97,900 Sovran Self Storage, Inc. ... $ 2,098,731
99,600 Sun Communities, Inc. ....... 3,330,375
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 15,793,811
--------------
RESEARCH AND DEVELOPMENT -- 0.45%
90,100 Albany Molecular Research,
Inc.(c).................... 4,904,819
28,200 CuraGen Corp.(a)(c).......... 1,073,362
--------------
TOTAL RESEARCH AND
DEVELOPMENT.................. 5,978,181
--------------
RESTAURANTS -- 2.23%
110,000 Applebees International,
Inc. ...................... 3,334,375
157,800 Benihana, Inc. -- Class
A(c)....................... 2,110,575
136,500 CEC Entertainment, Inc.(c)... 3,497,813
131,700 Outback Steakhouse,
Inc.(a)(c)................. 3,852,225
39,500 P.F. Chang's China Bistro,
Inc.(c).................... 1,261,531
116,800 Rare Hospitality
International, Inc.(c)..... 3,299,600
953,200 Ruby Tuesday, Inc. .......... 11,974,575
--------------
TOTAL RESTAURANTS............ 29,330,694
--------------
RETAIL -- 3.30%
241,800 Blue Rhino Corp.(a)(c)....... 1,949,512
456,850 Consolidated Stores
Corp.(c)................... 5,482,200
68,825 Cost Plus, Inc.(c)........... 1,974,417
276,900 Duane Reade, Inc.(a)(c)...... 7,130,175
188,200 Duckwall -- Alco Stores,
Inc.(c).................... 1,552,650
81,700 First Cash, Inc.(c).......... 275,737
212,400 Fred's, Inc. ................ 3,823,200
98,600 Hibbet Sporting Goods,
Inc.(c).................... 2,317,100
119,100 Hot Topic, Inc.(a)(c)........ 3,811,200
86,700 Michael Anthony Jewelers,
Inc.(c).................... 238,425
66,500 MSC Industrial Direct
Company -- Class A(c)...... 1,392,344
56,850 PC Connection, Inc.(a)(c).... 3,240,450
300,000 Ross Stores, Inc. ........... 5,118,750
78,900 SCP Pool Corp.(c)............ 1,854,150
294,600 Shop At Home, Inc.(a)(c)..... 1,376,342
85,500 The Men's Wearhouse,
Inc.(c).................... 1,907,719
--------------
TOTAL RETAIL................. 43,444,371
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.59%
152,950 Optimal Robotics Corp.(c).... $ 5,869,456
25,000 Photon Dynamics, Inc.(c)..... 1,867,188
--------------
TOTAL SCIENTIFIC AND
TECHNICAL INSTRUMENTS........ 7,736,644
--------------
SECURITY -- 0.24%
252,700 Burns International Services
Corp.(c)................... 3,158,750
--------------
SEMICONDUCTORS -- 12.13%
107,900 Actel Corp.(c)............... 4,922,938
571,800 Alpha Industries, Inc.(c).... 25,194,938
119,000 American Xtal Technology,
Inc.(c).................... 5,146,750
139,300 Asyst Technologies,
Inc.(c).................... 4,771,025
38,900 ATMI, Inc.(c)................ 1,808,850
50,000 Brooks Automation, Inc.(c)... 3,196,875
125,200 Cree, Inc.(c)................ 16,714,200
116,000 DuPont Photomasks, Inc.(c)... 7,946,000
150,000 Fairchild International,
Inc. -- Class A(c)......... 6,075,000
262,900 Integrated Device Technology,
Inc.(c).................... 15,741,138
357,600 LTX Corp.(c)................. 12,493,650
125,000 National Semiconductor
Corp.(c)................... 7,093,750
62,500 NETsilicon, Inc.(c).......... 2,046,875
144,300 Oak Technology, Inc.(c)...... 3,111,469
80,700 Pericom Semiconductor
Corp.(c)................... 5,487,600
252,100 PLX Technology, Inc.(c)...... 10,462,150
29,800 QLogic Corp.(c).............. 1,968,663
92,000 Sage, Inc.(c)................ 1,190,250
69,000 TranSwitch Corp.(c).......... 5,325,937
85,400 TriQuint Semiconductor,
Inc.(c).................... 8,171,712
138,200 Varian Semiconductor
Equipment Associates,
Inc.(c).................... 8,680,688
32,850 Zoran Corp.(a)(c)............ 2,166,047
--------------
TOTAL SEMICONDUCTORS......... 159,716,505
--------------
TELECOMMUNICATIONS -- 4.21%
208,300 Alaska Communications System
Holdings, Inc.(c).......... 2,161,112
288,600 Boston Communications Group,
Inc. ...................... 4,040,400
82,400 Caprock Communications
Corp.(c)................... 1,606,800
</TABLE>
See notes to financial statements.
130
<PAGE> 132
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
108,600 CFW Communications Company... $ 4,072,500
238,727 Davel Communications,
Inc.(c).................... 82,074
160,000 Dobson Communications
Corp. -- Class A........... 3,080,000
243,100 ICG Communications,
Inc.(a)(c)................. 5,363,394
71,400 Intermedia Communications,
Inc.(a)(c)................. 2,124,150
135,600 Leap Wireless International,
Inc.(c).................... 6,373,200
22,100 MDSI Mobile Data Solutions,
Inc.(c).................... 508,300
227,200 Metro One Telecommunications,
Inc.(c).................... 2,854,200
127,800 P-Com, Inc.(c)............... 726,863
199,730 Price Communications
Corp.(c)................... 4,706,138
106,100 Primus Telecommunications
Group, Inc.(a)(c).......... 2,639,237
109,700 Rural Cellular Corp. -- Class
A(c)....................... 8,398,906
231,100 Somera Communications,
Inc.(c).................... 3,148,737
75,500 Startec Global Communications
Corp.(c)................... 806,906
50,000 Western Wireless Corp. --
Class A(c)................. 2,725,000
--------------
TOTAL TELECOMMUNICATIONS..... 55,417,917
--------------
TRANSPORT SERVICES -- 0.07%
4,000 Petroleum Helicopters, Inc.
(Voting)................... 38,000
96,200 Petroleum Helicopters, Inc.
(Non-Voting)............... 925,925
--------------
TOTAL TRANSPORT SERVICES..... 963,925
--------------
TRANSPORTATION: FREIGHT -- 2.58%
430,000 Airborne Freight Corp. ...... 8,143,125
332,200 Circle International Group,
Inc. ...................... 8,346,525
148,700 CNF Transportation, Inc. .... 3,382,925
114,000 Forward Air Corp.(a)(c)...... 4,560,000
232,374 Fritz Companies, Inc.(c)..... 2,396,357
424,427 Pittston Brink's Group....... 5,809,345
65,000 Sea Containers Ltd. ......... 1,373,125
--------------
TOTAL TRANSPORTATION:
FREIGHT...................... 34,011,402
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
UTILITIES: ELECTRIC -- 0.72%
850,000 El Paso Electric
Company(c)................. $ 9,509,375
--------------
TOTAL COMMON STOCK (Cost
$988,174,686)................ 1,254,687,808
--------------
REGULATED INVESTMENT COMPANIES -- 0.74%
7,066,275 Janus Money Market Fund(b)... 7,066,275
2,755,848 Merrimac Cash Fund -- Premium
Class(b)................... 2,755,848
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$9,822,123).................. 9,822,123
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 3.83%
$ 1,838,875 Bank of Montreal, 6.59%,
07/05/00(b)................ 1,838,875
3,615,527 Bank of Montreal, 6.90%,
07/05/00(b)................ 3,615,527
6,630,629 BNP Paribas, 6.75%,
07/05/00(b)................ 6,630,629
13,673,156 BNP Paribas, 6.75%,
07/05/00(b)................ 13,673,156
9,992,708 Fleet National Bank, 7.125%,
10/31/00(b)................ 9,992,708
5,975,944 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 5,975,944
8,677,265 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 8,677,265
--------------
TOTAL TIME DEPOSITS (Cost
$50,404,104)................. 50,404,104
--------------
SHORT TERM CORPORATE NOTES -- 3.71%
8,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................ 8,000,000
3,446,267 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 3,446,267
5,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++), 07/26/00(b).... 5,000,000
2,446,734 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 2,446,734
12,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................ 12,000,000
</TABLE>
See notes to financial statements.
131
<PAGE> 133
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$10,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b).... $ 10,000,000
8,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................ 8,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $48,893,001)..... 48,893,001
--------------
TOTAL SECURITIES
(Cost $1,097,293,914)........ 1,363,807,036
--------------
REPURCHASE AGREEMENTS -- 4.39%
8,297,584 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity,
$8,301,753 (Collateralized
by Fannie Mae Adjustable
Rate Mortgage, 7.323%, due
09/01/26, with a value of
$8,712,719)................ 8,297,584
9,903,128 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity,
$9,908,105 (Collateralized
by Fannie Mae Adjustable
Rate Mortgage, 5.978%, due
09/01/29, with a value of
$10,398,538)............... 9,903,128
18,363,203 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$18,372,431 (Collateralized
by Freddie Mac Adjustable
Rate Mortgage, 7.621%, due
10/01/24, with a value of
$3,291,920 and Fannie Mae,
6.50%, due 04/25/29, with a
value of $15,989,503)...... 18,363,203
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$21,198,378 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$21,209,030 (Collateralized
by Fannie Mae, 5.77%, due
08/25/22, with a value of
$17,430,472 and Ginnie Mae
Adjustable Rate Mortgage,
6.375%, due 06/20/26, with
a value of $4,827,833)..... $ 21,198,378
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $57,762,293)........... 57,762,293
--------------
Total Investments -- 107.93%
(Cost $1,155,056,207)........ 1,421,569,329
Liabilities less other
assets -- (7.93)%............ (104,451,675)
--------------
NET ASSETS -- 100.00%........ $1,317,117,654
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $1,155,056,207.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation......... $ 388,328,065
Gross unrealized depreciation......... (121,814,943)
-------------
Net unrealized appreciation........... $ 266,513,122
=============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
132
<PAGE> 134
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 97.31%
ADVERTISING -- 0.98%
100,000 Interpublic Group of Companies,
Inc. ........................ $ 4,300,000
------------
COMMUNICATIONS EQUIPMENT -- 2.37%
210,000 Powerwave Technologies,
Inc.(c)...................... 9,240,000
20,500 QUALCOMM, Inc.(a)(c)........... 1,230,000
------------
TOTAL COMMUNICATIONS
EQUIPMENT...................... 10,470,000
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.67%
80,920 Sun Microsystems, Inc.(c)...... 7,358,662
------------
COMPUTER SOFTWARE AND SERVICES -- 10.93%
31,500 America Online, Inc.(c)........ 1,661,625
124,000 Cisco Systems, Inc.(c)......... 7,881,750
50,000 Check Point Software
Technologies Ltd.(a)(c)...... 10,587,500
160,000 Entrust Technologies,
Inc.(c)...................... 13,240,000
100,000 Exodus Communications,
Inc.(a)(c)................... 4,606,250
3,100 MarchFirst, Inc.(c)............ 56,575
62,000 Siebel Systems, Inc.(a)(c)..... 10,140,875
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 48,174,575
------------
CONSUMER GOODS AND SERVICES -- 1.86%
154,500 General Electric Company....... 8,188,500
------------
ELECTRONICS -- 3.09%
93,000 Sanmina Corp.(c)............... 7,951,500
150,000 Vishay Intertechnology,
Inc.(c)...................... 5,690,625
------------
TOTAL ELECTRONICS.............. 13,642,125
------------
FOOD AND BEVERAGE -- 2.85%
60,000 Anheuser-Busch Companies,
Inc. ........................ 4,481,250
220,000 Hain Celestial Group,
Inc.(c)...................... 8,071,250
------------
TOTAL FOOD AND BEVERAGE........ 12,552,500
------------
FINANCIAL SERVICES -- 0.94%
79,500 American Express Company....... 4,143,938
------------
INSURANCE -- 1.37%
51,500 American International Group... 6,051,250
------------
MANUFACTURING -- 3.47%
56,750 Corning, Inc. ................. 15,315,406
------------
MEDIA -- 5.76%
60,000 AMFM, Inc.(c).................. 4,140,000
400,000 AT & T Corp.-Liberty Media
Group -- Class A(c).......... 9,700,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA (CONTINUED)
51,500 Clear Channel
Communications(a)(c)......... $ 3,862,500
190,000 Comcast Corp. -- Class A
(Special).................... 7,695,000
------------
TOTAL MEDIA.................... 25,397,500
------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.03%
148,995 MedQuist, Inc.(c).............. 5,065,830
77,500 Medtronic, Inc. ............... 3,860,469
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 8,926,299
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.51%
125,000 ArthroCare Corp.(c)............ 6,656,250
------------
OIL AND GAS -- 3.64%
65,000 Dynegy, Inc. .................. 4,440,313
30,000 Enron Corp. ................... 1,935,000
280,000 Kinder Morgan, Inc. ........... 9,677,500
------------
TOTAL OIL & GAS................ 16,052,813
------------
PHARMACEUTICALS -- 18.39%
73,400 Cardinal Health, Inc. ......... 5,431,600
350,000 IVAX Corp.(a)(c)............... 14,525,000
116,250 Jones Pharma, Inc. ............ 4,642,734
427,500 King Pharmaceuticals,
Inc.(a)(c)................... 18,756,563
255,000 Maxim Pharmaceuticals,
Inc.(a)(c)................... 13,100,625
105,000 MedImmune, Inc.(c)............. 7,770,000
227,369 Pfizer, Inc. .................. 10,913,700
80,000 Priority Healthcare Corp. --
Class B(c)................... 5,945,000
------------
TOTAL PHARMACEUTICALS.......... 81,085,222
------------
RETAIL -- 1.42%
125,000 Home Depot, Inc. .............. 6,242,187
------------
SCIENTIFIC EQUIPMENT -- 5.55%
260,000 Varian, Inc.(c)................ 11,992,500
100,000 Waters Corp.(c)................ 12,481,250
------------
TOTAL SCIENTIFIC EQUIPMENT..... 24,473,750
------------
SEMICONDUCTORS -- 18.33%
240,000 Amkor Technology, Inc.(a)(c)... 8,475,000
100,000 Applied Materials, Inc.(c)..... 9,062,500
32,000 Broadcom Corp. -- Class A(c)... 7,006,000
103,500 Conexant Systems, Inc.(a)(c)... 5,032,687
70,000 Intel Corp. ................... 9,358,125
77,952 JDS Uniphase Corp.(c).......... 9,344,496
</TABLE>
See notes to financial statements.
133
<PAGE> 135
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SEMICONDUCTORS (CONTINUED)
90,000 Kopin Corp.(c)................. $ 6,232,500
230,000 LTX Corp.(c)................... 8,035,625
90,000 QLogic Corp.(c)................ 5,945,625
120,000 Varian Semiconductor Equipment
Associates, Inc.(c).......... 7,537,500
80,000 Virata Corp.(c)................ 4,770,000
------------
TOTAL SEMICONDUCTORS........... 80,800,058
------------
TELECOMMUNICATIONS -- 8.17%
175,000 Carrier Access Corp.(a)(c)..... 9,253,125
84,325 Polycom, Inc.(c)............... 7,934,460
50,000 Sprint Corp. (FON Group)....... 2,550,000
60,000 VoiceStream Wireless
Corp.(c)..................... 6,977,814
125,000 Western Wireless Corp. -- Class
A(c)......................... 6,812,500
54,000 WorldCom, Inc.(c).............. 2,477,250
------------
TOTAL TELECOMMUNICATIONS....... 36,005,149
------------
UTILITIES -- 2.98%
200,000 Calpine Corp.(a)(c)............ 13,150,000
------------
TOTAL COMMON STOCK
(Cost $287,927,161)............ 428,986,184
------------
REGULATED INVESTMENT COMPANY -- 1.57%
4,988,472 Janus Money Market Fund(b)..... 4,988,472
1,945,504 Merrimac Cash Fund -- Premium
Class(b)..................... 1,945,504
------------
TOTAL REGULATED INVESTMENT
COMPANY (Cost $6,933,976)...... 6,933,976
------------
PRINCIPAL
-----------
<C> <S> <C>
--TIME DEPOSITS -- 5.03%
$ 670,782 Bank of Montreal, 6.59%,
07/05/00(b).................. 670,782
2,537,441 Bank of Montreal, 6.90%,
07/05/00(b).................. 2,537,441
3,037,890 BNP Paribas, 6.75%,
07/05/00(b).................. 3,037,890
7,345,811 BNP Paribas, 6.75%,
07/05/00(b).................. 7,345,811
1,065,828 Fleet National Bank, 7.125%,
10/31/00(b).................. 1,065,828
1,417,215 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 1,417,215
6,089,857 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. 6,089,857
------------
TOTAL TIME DEPOSITS (Cost
$22,164,824)................... 22,164,824
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 10.78%
$ 5,500,000 Bank of America, Floating Rate,
6.67%(++), 03/22/01(b)....... $ 5,500,000
293,083 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. 293,083
5,000,000 Bear Stearns and Company, Inc.,
Floating Rate, 7.375%(++),
07/26/00(b).................. 5,000,000
2,207,917 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 2,207,917
17,500,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b).................. 17,500,000
11,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)...... 11,000,000
6,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b).................. 6,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $47,501,000)....... 47,501,000
------------
TOTAL SECURITIES
(Cost $364,526,961)............ 505,585,984
------------
REPURCHASE AGREEMENT -- 0.91%
4,031,732 With Investors Bank & Trust
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $4,033,758
(Collateralized by Freddie
Mac Adjustable Rate Mortgage,
6.409%, due 01/01/21, with a
value of $4,233,722) (Cost
$4,031,732).................. 4,031,732
------------
Total Investments -- 115.60%
(Cost $368,558,693)............ 509,617,716
Liabilities less other
assets -- (15.60%)............. (68,783,535)
------------
NET ASSETS -- 100.00%.......... $440,834,181
============
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $368,558,693.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation............ $146,214,920
Gross unrealized depreciation............ (5,155,897)
------------
Net unrealized appreciation.............. $141,059,023
============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
134
<PAGE> 136
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 88.58%
AUTOMOTIVE PARTS AND EQUIPMENT -- 1.33%
$ 1,200,000 American Axle & Manufacturing,
Inc., 9.75%, 03/01/09........ $ 1,119,000
600,000 Lear Corp., 8.11%, 05/15/09.... 546,493
------------
TOTAL AUTOMOTIVE PARTS AND
EQUIPMENT...................... 1,665,493
------------
AUTOMOTIVE RENTAL -- 3.16%
1,650,000 Avis Rent A Car, Inc., 11.00%,
05/01/09..................... 1,720,125
725,000 Budget Group, Inc., 9.125%,
04/01/06..................... 464,000
1,150,000 United Rentals, Inc., 9.25%,
01/15/09..................... 1,037,875
1,000,000 Universal Compression, Inc.,
9.875%, 02/15/08............. 720,000
------------
TOTAL AUTOMOTIVE RENTAL........ 3,942,000
------------
BROADCASTING -- 4.84%
550,000 Acme Television, 10.875%,
09/30/04..................... 525,250
2,400,000 Echostar DBS Corp., 9.25%,
02/01/06..................... 2,334,000
2,100,000 Sinclair Broadcast Group,
10.00%, 09/30/05............. 2,005,500
2,000,000 Spectrasite Holdings, Inc.,
11.25%, 04/15/09............. 1,170,000
------------
TOTAL BROADCASTING............. 6,034,750
------------
BUSINESS SERVICES -- 2.27%
2,100,000 Fisher Scientific
International, 9.00%,
02/01/08..................... 1,921,500
1,000,000 Fisher Scientific
International -- 144A, 9.00%,
02/01/08..................... 915,000
------------
TOTAL BUSINESS SERVICES........ 2,836,500
------------
CHEMICALS -- 3.92%
1,000,000 Huntsman Corp. -- 144A, 9.50%,
10/01/07..................... 910,000
2,050,000 Lyondell Chemical Company --
144A, 9.625%, 05/01/07....... 2,019,250
2,000,000 ZSC Specialty Chemical PLC --
144A, 11.00%, 07/01/09....... 1,960,000
------------
TOTAL CHEMICALS................ 4,889,250
------------
COMMERCIAL SERVICES -- 1.01%
1,425,000 Pierce Leahy Command Company,
8.125%, 05/15/08............. 1,254,000
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
COMPUTER SOFTWARE AND SERVICES -- 4.46%
$ 750,000 Covad Communications Group,
12.00%, 02/15/10............. $ 585,000
600,000 Exodus Communications, Inc.,
10.75%, 12/15/09............. 579,000
1,900,000 Exodus Communications, Inc.,
11.625%, 07/15/10............ 1,904,750
1,400,000 Psinet, Inc., 10.50%,
12/01/06..................... 1,288,000
1,300,000 Unisys Corp., 7.875%,
04/01/08..................... 1,215,500
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 5,572,250
------------
CONSTRUCTION -- 2.57%
1,850,000 Kaufman and Broad Home Corp.,
7.75%, 10/15/04.............. 1,674,250
1,700,000 Nortek, Inc., 8.875%,
08/01/08..................... 1,538,500
------------
TOTAL CONSTRUCTION............. 3,212,750
------------
CONSUMER GOODS AND SERVICES -- 0.77%
1,000,000 Polaroid Corp., 6.75%,
01/15/02..................... 962,817
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 2.21%
2,250,000 Allied Waste North America
Industries, Inc., 7.875%,
01/01/09..................... 1,918,125
1,000,000 Allied Waste North America
Industries, Inc., 10.00%,
08/01/09..................... 835,000
------------
TOTAL ENVIRONMENTAL MANAGEMENT
SERVICES....................... 2,753,125
------------
FINANCE -- 1.09%
1,500,000 Williams Scotsman, Inc.,
9.875%, 06/01/07............. 1,365,000
------------
FOOD AND BEVERAGE -- 1.97%
2,600,000 Canandaigua Brands, Inc.,
8.50%, 03/01/09.............. 2,366,000
100,000 Cott Corp., 9.375%, 07/01/05... 95,250
------------
TOTAL FOOD AND BEVERAGE........ 2,461,250
------------
INDUSTRIAL -- 7.39%
800,000 AK Steel Corp., 9.125%,
12/15/06..................... 768,000
2,075,000 Atlas Air, Inc. -- 144A,
9.375%, 11/15/06............. 1,992,000
1,800,000 Building Materials Corp.,
8.00%, 12/01/08.............. 1,413,000
2,475,000 HMH Properties, 7.875%,
08/01/08..................... 2,221,312
</TABLE>
See notes to financial statements.
135
<PAGE> 137
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
INDUSTRIAL (CONTINUED)
$ 1,850,000 Muzak LLC, 9.875%, 03/15/09.... $ 1,702,000
1,195,000 P&L Coal Holdings Corp.,
8.875%, 05/15/08............. 1,126,287
------------
TOTAL INDUSTRIAL............... 9,222,599
------------
LEISURE AND RECREATION -- 8.79%
2,000,000 Bally Total Fitness Holding,
9.875%, 10/15/07............. 1,810,000
1,950,000 Harrahs Operating Company,
Inc., 7.875%, 12/15/05....... 1,833,000
1,500,000 Hollywood Casino Shreveport,
13.00%, 08/01/06............. 1,593,750
1,900,000 MGM Grand, Inc., 9.75%,
06/01/07..................... 1,933,250
1,800,000 Park Place Entertainment Corp.,
7.875%, 12/15/05............. 1,692,000
1,200,000 Six Flags Entertainment,
8.875%, 04/01/06............. 1,146,000
1,000,000 Waterford Gaming LLC -- 144A,
9.50%, 03/15/10.............. 960,000
------------
TOTAL LEISURE AND RECREATION... 10,968,000
------------
MACHINERY -- 2.49%
1,975,000 Advanced Lighting Technologies,
Inc. -- 144A, 8.00%,
03/15/08..................... 1,441,750
2,000,000 National Equipment Services,
10.00%, 11/30/04............. 1,660,000
------------
TOTAL MACHINERY................ 3,101,750
------------
MANUFACTURING -- 3.62%
700,000 Fedders North America, 9.375%,
8/15/07...................... 657,125
1,150,000 Portola Packaging, 10.75%,
10/01/05..................... 931,500
2,000,000 Tekni-Plex, Inc. -- 144A,
12.75%, 06/15/10............. 2,000,000
1,000,000 WCI Steel, Inc., Series B,
10.00%, 12/01/04............. 930,000
------------
TOTAL MANUFACTURING............ 4,518,625
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.91%
2,500,000 Tenet Healthcare Corp., 8.625%,
01/15/07..................... 2,387,500
------------
METALS AND MINING -- 0.80%
1,000,000 Golden Northwest Aluminum,
12.00%, 12/15/06............. 1,000,000
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
OIL AND GAS -- 6.94%
$ 1,775,000 Chesapeake Energy Corp.,
9.625%, 05/01/05............. $ 1,721,750
1,300,000 Frontier Oil Corp., 11.75%,
11/15/09..................... 1,300,000
1,325,000 Nuevo Energy Company, 9.50%,
06/01/08..................... 1,308,437
600,000 Parker Drilling Corp., 9.75%,
11/15/06..................... 580,500
2,375,000 Plains Resources, Inc., 10.25%,
03/15/06..................... 2,392,813
1,325,000 Pride International, Inc.,
10.00%, 06/01/09............. 1,364,750
------------
TOTAL OIL AND GAS.............. 8,668,250
------------
PUBLISHING -- 2.00%
2,550,000 American Media Operations,
Inc., 10.25%, 05/01/09....... 2,499,000
------------
RESTAURANTS -- 0.82%
1,000,000 Sbarro, Inc., 11.00%,
09/15/09..................... 1,022,500
------------
SPECIAL PURPOSE ENTITY -- 4.05%
2,300,000 Caithness Coso Funding Corp.,
9.05%, 12/15/09.............. 2,271,250
1,000,000 ONO Finance PLC, 13.00%,
05/01/09..................... 945,000
1,700,000 RBF Finance Company, 11.375%,
03/15/09..................... 1,844,500
------------
TOTAL SPECIAL PURPOSE ENTITY... 5,060,750
------------
TELECOMMUNICATIONS -- 18.41%
425,000 Crown Castle International
Corp., 9.00%, 05/15/11....... 392,063
400,000 Crown Castle International
Corp., 10.75%, 08/01/11...... 405,500
2,000,000 Dobson Communications Corp.,
10.875%, 07/01/10............ 2,010,000
2,400,000 Global Crossing Holding, LTD.,
9.625%, 05/15/08............. 2,328,000
1,000,000 IPCS, Inc., 14.00%, 07/15/10... 530,000
500,000 Intermedia Communications,
Inc., 8.60%, 06/01/08........ 462,500
2,475,000 Intermedia Communications,
Inc., 9.50%, 03/01/09........ 2,351,250
925,000 Level 3 Communications, Inc.,
11.00%, 03/15/08............. 915,750
2,000,000 Level 3 Communications, Inc.,
9.125%, 05/01/08............. 1,795,000
</TABLE>
See notes to financial statements.
136
<PAGE> 138
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 1,650,000 McLeodUSA, Inc., 8.125%,
02/15/09..................... $ 1,489,125
970,000 MGC Communications,
Inc. -- 144A, 13.00%,
04/01/10..................... 911,800
2,225,000 Nextel Communications, 9.375%,
11/15/09..................... 2,124,875
2,350,000 Nextlink Communications,
10.50%, 12/01/09............. 2,303,000
295,000 NTL Communications Corp.,
Series B, 11.50%, 10/01/08... 293,525
500,000 NTL, Inc., Series B, 9.75%,
04/01/08..................... 312,500
1,675,000 Rural Cellular Corp., 9.625%,
05/15/08..................... 1,624,750
2,000,000 VersaTel Telcom International,
11.875, 07/15/09............. 1,970,000
1,000,000 Viatel, Inc., 11.50%,
03/15/09..................... 760,000
------------
TOTAL TELECOMMUNICATIONS....... 22,979,638
------------
UTILITIES: ELECTRIC -- 1.76%
2,200,000 AES Corp., 10.25%, 07/15/06.... 2,194,500
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $115,451,332)............ 110,572,297
------------
<CAPTION>
SHARES
------
<C> <S> <C>
PREFERRED STOCK -- 0.31%
COMMUNICATION SERVICES
1,725 Global Crossing Ltd., 6.75%
(Cost $418,704).............. 383,597
------------
TOTAL SECURITIES
(Cost $115,870,036)............ 110,955,894
------------
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 9.24%
$11,530,251 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $11,536,045
(Collateralized by Government
National Mortgage Association
Adjustable Rate Mortgage,
7.125%, due 12/20/23, with a
value of $12,106,993)
(Cost $11,530,251) $ 11,530,251
------------
Total Investments -- 98.13%
(Cost $127,400,287)............ 122,486,145
Other assets less
liabilities -- 1.87%........... 2,334,983
------------
NET ASSETS -- 100.00%.......... $124,821,128
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of investments for federal income tax
purposes at June 30, 2000, is $127,400,287.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation........... $ 628,594
Gross unrealized depreciation........... (5,542,736)
-----------
Net unrealized depreciation............. $(4,914,142)
===========
</TABLE>
See notes to financial statements.
137
<PAGE> 139
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS -- 96.14%
AEROSPACE -- 0.39%
432,480 Bae Systems PLC........... $ 2,697,507 UK
------------
AIRLINES -- 0.39%
124,500 British Airways PLC....... 716,224 UK
43,000 KLM-Konin Luchtvaart MIJ
N.V.(c).................. 1,162,385 NET
86,000 Singapore Airlines,
Ltd. .................... 850,557 SIN
------------
TOTAL AIRLINES............ 2,729,166
------------
AUTOMOBILES -- 3.19%
96,200 Bayerische Motoren Werke
AG....................... 2,918,641 GER
31,000 DaimlerChrysler AG........ 1,623,399 GER
97,000 Fiat SpA(a)............... 1,585,358 ITA
190,900 GKN PLC................... 2,436,304 UK
612,000 Mitsubishi Motors
Corp.(c)................. 2,620,339 JPN
1,049,000 Nissan Motor Company,
Ltd.(c).................. 6,196,758 JPN
9,500 Peugeot SA................ 1,914,207 FRA
146,000 Suzuki Motor Corp. ....... 1,887,765 JPN
20,444 Valeo SA(a)............... 1,097,454 FRA
------------
TOTAL AUTOMOBILES......... 22,280,225
------------
BANKS -- 9.32%
310,700 ABN AMRO Holding N.V. .... 7,642,411 NET
197,640 Allied Irish Banks PLC.... 1,777,100 IRE
446,490 Australia & New Zealand
Bank Group, Ltd. ........ 3,434,133 AUS
192,600 Banco Bilbao Vizcaya SA... 2,889,366 SPA
122,000 Bank of Nova Scotia....... 2,988,927 CDA
35,000 Bank of Scotland.......... 333,021 UK
18,265 Banque National de Paris
(BNP).................... 1,764,870 FRA
65,000 Canadian Imperial Bank of
Commerce................. 1,779,375 CDA
208,050 ForeningsSparbanken --
Class A.................. 3,059,999 SWE
176,000 Fuji Bank, Ltd.(a)........ 1,340,768 JPN
3,020 Holderbank Financial
Glaris -- Class B(a)..... 3,714,488 SWI
53,352 ING Groep N.V. ........... 3,620,899 NET
746,000 Keppel Tatlee Bank,
Ltd. .................... 1,268,498 SIN
1,011,329 Lloyds TSB Group PLC...... 9,553,722 UK
252,559 Royal Bank of Scotland
Group PLC................ 4,228,772 UK
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
185,000 Svenska Handelsbanken
AB -- Class A............ $ 2,699,890 SWE
198,000 The Sanwa Bank, Ltd. ..... 1,583,228 JPN
59,000 Toronto Dominion Bank..... 1,433,517 CDA
275,000 Toyo Trust & Banking Co.,
Ltd. .................... 930,518 JPN
1,429,919 Turkiye Is Bankasi
(Isbank) (GDR)........... 3,002,830 TUR
340,000 UniCredito Italiano
S.P.A. .................. 1,632,850 ITA
603,300 Westpac Banking Corp. .... 4,364,936 AUS
------------
TOTAL BANKS............... 65,044,118
------------
CHEMICALS -- 1.57%
72,770 DSM NV.................... 2,343,820 NET
238,000 Laporte PLC............... 1,729,475 UK
337,000 Mitsui Chemicals, Inc. ... 2,360,247 JAP
300 Norsk Hydro ASA (ADR)..... 12,619 NOR
71,400 Norsk Hydro ASA........... 3,007,211 NOR
30,000 Shin-Etsu Chemical
Company, Ltd. ........... 1,525,497 JPN
------------
TOTAL CHEMICALS........... 10,978,869
------------
COMPUTER EQUIPMENT -- 0.59%
19,000 Creative Technology,
Ltd. .................... 458,248 SIN
48,000 Creative Technology,
Ltd. .................... 1,146,000 SIN
28,600 Nidec Corporation(a)...... 2,486,922 JPN
------------
TOTAL COMPUTER
EQUIPMENT................. 4,091,170
------------
COMPUTER SOFTWARE AND SERVICES -- 0.70%
38,000 Fuji Soft ABC, Inc. ...... 2,259,134 JPN
7,000 Fujitsu Support and
Service, Inc. ........... 694,697 JPN
4,000 Intershop Communications
AG(c).................... 1,828,605 GER
11,500 PT-Multimedia.com --
Servicos de Acesso a
Internet, S.G.P.S.,
SA(c).................... 88,439 POR
------------
TOTAL COMPUTER SOFTWARE
AND SERVICES.............. 4,870,875
------------
CONSTRUCTION -- 2.21%
8,700 Bouygues SA(c)............ 5,837,809 FRA
340 Bouygues SA(c)............ 228,144 FRA
80,000 CRH PLC................... 1,453,224 IRE
22,000 Rohm Company, Ltd. ....... 6,446,033 JPN
</TABLE>
See notes to financial statements.
138
<PAGE> 140
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION (CONTINUED)
13,376 Sanitec Oyj............... $ 134,632 FIN
146,000 Sekisui House, Ltd. ...... 1,353,727 JPN
------------
TOTAL CONSTRUCTION........ 15,453,569
------------
CONSUMER GOODS AND SERVICES -- 6.04%
7,900 Christian Dior SA......... 1,798,553 FRA
76,000 Hennes & Mauritz.......... 1,594,396 SWE
86,000 Kao Corp. ................ 2,633,612 JPN
309,000 Nikon Corp. .............. 11,477,805 JPN
29,700 Nintendo Corp., Ltd. ..... 5,198,831 JPN
2,044 Reckitt Benckiser PLC..... 22,899 UK
13,000 Sony Corp. (ADR).......... 1,226,062 JPN
164,050 Sony Corp.(a)............. 15,350,388 JPN
20,000 TDK Corp. ................ 2,880,866 JPN
------------
TOTAL CONSUMER GOODS AND
SERVICES.................. 42,183,412
------------
ELECTRONICS -- 13.99%
59,400 ASM Lithography Holding
N.V.(a)(c)............... 2,563,449 NET
237,600 ASM Lithography Holding
N.V.(a)(c)............... 10,484,100 NET
400,000 Caradon PLC............... 914,400 UK
14,600 Epcos AG(c)............... 1,462,380 GER
31,000 FANUC, Ltd. .............. 3,161,485 JPN
231,000 Hitachi, Ltd. ............ 3,340,491 JPN
31,000 Hirose Electric Company,
Ltd. .................... 4,837,454 JPN
474,000 Johnson Electric Holdings,
Ltd. .................... 4,484,609 HNG
13,490 Keyence Corp. ............ 4,462,601 JPN
26,300 Mabuchi Motor Company,
Ltd. .................... 3,405,529 JPN
54,000 Murata Manufacturing
Company, Ltd. ........... 7,768,132 JPN
584,000 NEC Corp. ................ 18,380,816 JPN
44,000 Nichicon Corp. ........... 1,081,269 JPN
90,299 Samsung Electronics
(GDR)(a)................. 17,485,047 KOR
162,900 STMicroelectronics
N.V.(a).................. 10,456,144 NET
53,000 Taiyo Yuden Company,
Ltd. .................... 3,326,227 JPN
------------
TOTAL ELECTRONICS......... 97,614,133
------------
EMPLOYMENT AGENCY -- 0.24%
1,982 Adecco SA................. 1,689,386 SWI
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
ENGINEERING -- 0.12%
57,261 Chudenko Corp. ........... $ 808,571 JPN
------------
FINANCE -- 2.42%
19,900 AIFUL Corp. .............. 1,839,500 JPN
2,284 CIE Financial Richemont... 6,173,295 SWI
3,600 Fairfax Financial
Holdings, Ltd.(c)........ 393,610 CDA
170,029 Lend Lease Corp., Ltd. ... 2,175,317 AUS
136,000 Nomura Securities Co.,
Ltd. .................... 3,335,686 JPN
14,880 Orix Corp. ............... 2,201,027 JPN
181,000 Shinko Securities Company,
Ltd. .................... 812,600 JPN
------------
TOTAL FINANCE............. 16,931,035
------------
FOOD AND BEVERAGES -- 3.86%
653,000 Cadbury Schweppes PLC..... 4,290,406 UK
372,953 Coca-Cola Amatil, Ltd. ... 727,780 AUS
216,988 Coca-Cola Beverages
PLC(c)................... 341,604 AUS
466,900 Coca-Cola Beverages
PLC(c)................... 742,184 AUS
15,000 Groupe Danone............. 1,998,658 FRA
126,175 Heineken N.V. ............ 7,710,567 NET
30,000 Heineken N.V. -- Class
A........................ 1,173,312 NET
4,700 Louis Vuitton Moet
Hennessy................. 1,945,869 FRA
1,931 Nestle.................... 3,877,283 SWI
77,500 Panamerican Beverages,
Inc. -- Class A.......... 1,157,656 MEX
275,000 Tate & Lyle PLC........... 1,373,872 UK
265,000 Unilever PLC.............. 1,604,734 UK
------------
TOTAL FOOD AND
BEVERAGES................. 26,943,925
------------
INDUSTRIAL -- 2.28%
35,822 Advantest Corp. .......... 8,007,356 JPN
21,200 Compagnie de Saint-
Gobain(a)................ 2,877,607 FRA
800 SGS Societe Generale de
Surveillance Holding
SA....................... 1,387,398 SWI
40,900 Vivendi SA(a)............. 3,624,623 FRA
------------
TOTAL INDUSTRIAL.......... 15,896,984
------------
INSURANCE -- 2.43%
105,000 Assicurazioni Generali,
Ltd. .................... 3,613,407 ITA
88,600 Manulife Financial
Corp. ................... 1,560,716 CDA
</TABLE>
See notes to financial statements.
139
<PAGE> 141
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
480,000 Mitsui Marine and Fire
Insurance Company,
Ltd. .................... $ 2,313,744 JPN
629,030 QBE Insurance Group,
Ltd. .................... 3,086,399 AUS
407,964 Royal & Sun Alliance
Insurance Group PLC...... 2,649,563 UK
1,302 Schweizerische
Rueckversicherungs-
Gesellschaft(a).......... 2,662,347 SWI
210,000 Yasuda Fire and Marine
Insurance................ 1,109,535 JPN
------------
TOTAL INSURANCE........... 16,995,711
------------
INVESTMENT HOLDING COMPANIES -- 0.84%
464,800 Hutchison Whampoa......... 5,843,512 HNG
------------
LEISURE AND RECREATION -- 0.19%
32,500 Accor SA.................. 1,337,446 FRA
------------
MANUFACTURING -- 5.05%
18,549 ABB, Ltd. ................ 2,227,273 SWI
29,500 E.On AG................... 1,428,060 GER
1,366,100 Invensys PLC(c)........... 5,129,022 UK
34,500 Metra Oy -- Class B....... 596,936 FIN
602,000 Mitsubishi Heavy
Industries, Ltd. ........ 2,674,265 JPN
169,000 Nippon Sheet Glass
Company, Ltd. ........... 2,354,457 JPN
44,500 Pohang Iron & Steel
Company, Ltd. (ADR)(a)... 1,068,000 KOR
82,100 Siemens AG................ 12,434,628 GER
75,000 THK Company, Ltd. ........ 3,799,568 JPN
20,300 Thyssen Krupp AG.......... 331,781 GER
390,900 TI Group PLC.............. 2,130,405 UK
39,000 Ushio, Inc. .............. 1,076,357 JPN
------------
TOTAL MANUFACTURING....... 35,250,752
------------
MEDIA -- 2.77%
176 Canal Plus................ 29,693 FRA
17,100 Grupo Televisa (GDR)(c)... 1,178,831 MEX
140,233 News Corp., Ltd. ......... 1,936,576 AUS
29,750 News Corp., Ltd.
(ADR)(a)................. 1,621,375 AUS
289,306 Reuters Group PLC......... 4,936,052 UK
433 Reuters Group PLC
(ADR)(a)................. 43,273 UK
177,207 Singapore Press Holdings,
Ltd. .................... 2,767,300 SIN
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
176,224 Thomson Corp.(a).......... $ 6,024,112 CDA
29,500 United Pan-Europe
Communications N.V.(c)... 774,546 NET
------------
TOTAL MEDIA............... 19,311,758
------------
METALS AND MINING -- 1.09%
38,050 Broken Hill Proprietary
(ADR).................... 903,687 AUS
410,302 Broken Hill Proprietary... 4,865,484 AUS
43,663 Pechiney SA -- Class
A(a)..................... 1,829,061 FRA
------------
TOTAL METALS AND MINING... 7,598,232
------------
OFFICE SUPPLIES -- 0.16%
22,100 Societe BIC SA............ 1,086,781 FRA
------------
OIL AND GAS -- 2.60%
1,090,600 Eni Spa(a)................ 6,324,935 ITA
214,700 Enterprise Oil PLC........ 1,790,942 UK
880,000 Santos, Ltd. ............. 2,689,368 AUS
491,000 Shell Transport &
Trading.................. 4,099,457 UK
32,000 Suncor Energy, Inc. ...... 738,627 CDA
38,600 Suncor Energy, Inc. ...... 899,862 CDA
48,000 Talisman Energy,
Inc.(c).................. 1,589,016 CDA
------------
TOTAL OIL AND GAS......... 18,132,207
------------
PAPER AND FOREST PRODUCTS -- 0.76%
189,000 Sumitomo Forestry......... 1,273,671 JPN
162,700 UPM-Kymmene............... 4,055,021 FIN
------------
TOTAL PAPER AND FOREST
PRODUCTS.................. 5,328,692
------------
PHARMACEUTICALS -- 6.16%
40,062 AstraZeneca PLC (ADR)..... 1,862,883 UK
136,100 AstraZeneca PLC........... 6,356,387 UK
228,128 AstraZeneca PLC........... 10,664,163 UK
49,963 BOC Group................. 718,573 UK
136,000 Chugai Pharmaceutical
Company, Ltd. ........... 2,577,282 JPN
4,244 Novartis AG............... 6,744,192 SWI
60,000 Sankyo Company, Ltd. ..... 1,358,202 JPN
143,280 Sanofi-Synthelabo SA...... 6,853,598 FRA
210,000 Shionogi & Company,
Ltd. .................... 3,999,471 JPN
28,000 Takeda Chemical
Industries, Ltd. ........ 1,841,941 JPN
------------
TOTAL PHARMACEUTICALS..... 42,976,692
------------
</TABLE>
See notes to financial statements.
140
<PAGE> 142
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
PUBLISHING -- 0.18%
46,400 Wolters Kluwer N.V. ...... $ 1,240,949 NET
------------
REAL ESTATE -- 0.79%
188,000 Cheung Kong Holdings,
Ltd. .................... 2,080,164 HNG
168,000 Land Securities PLC....... 2,009,246 UK
134,000 Mitsui Fudosan............ 1,456,500 JPN
------------
TOTAL REAL ESTATE......... 5,545,910
------------
RETAIL -- 0.79%
242,095 Dixons Group PLC(c)....... 985,908 UK
237,000 Jusco Company, Ltd. ...... 4,502,479 JPN
------------
TOTAL RETAIL.............. 5,488,387
------------
SEMICONDUCTORS -- 5.68%
20,600 Aixtron AG................ 2,833,687 GER
198,000 Chartered Semiconductor
Manufacturing, Ltd.(c)... 1,729,233 SIN
163,200 Infineon Technologies
AG(c).................... 12,914,261 GER
73,700 Infineon Technologies AG
(ADR)(a)(c).............. 5,840,725 GER
114,300 Tokyo Electron, Ltd. ..... 15,686,315 JPN
4,600 Tokyo Seimitsu Company,
Ltd. .................... 617,383 JPN
------------
TOTAL SEMICONDUCTORS...... 39,621,604
------------
TELECOMMUNICATIONS -- 18.08%
6,819 Cable & Wireless HKT, Ltd.
(ADR)(a)................. 146,608 HNG
641,600 Cable & Wireless HKT,
Ltd. .................... 1,411,584 HNG
356,000 Cable & Wireless Optus,
Ltd.(c).................. 1,064,476 AUS
101,000 Cable & Wireless PLC...... 1,710,990 UK
8,500 Colt Telecom Group
PLC(c)................... 283,099 UK
53 DDI Corp. ................ 510,957 JPN
68,000 Deutsche Telekom AG....... 3,898,005 GER
122,800 Ericsson AB -- Class B.... 2,443,192 SWE
251,600 Ericsson (LM) Telephone
Company (ADR)............ 5,032,000 SWE
7,000 Korea Telecom Corp.
(ADR)(a)................. 338,625 KOR
215 Nippon Telegraph and
Telephone Corp. ......... 2,865,271 JPN
380,600 Nokia Oyj................. 19,500,650 FIN
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
81,600 Nortel Networks Corp. .... $ 5,569,200 CDA
514 NTT DoCoMo, Inc. ......... 13,942,902 JPN
160,000 Portugal Telecom SA....... 1,803,680 POR
11,500 PT Multimedia -- Servicos
de Telecomunicacoes e
Multimedia, S.G.P.S.,
SA(c).................... 573,236 POR
11,000 Societe Europeenne des
Satellites (FDR)......... 1,818,923 LUX
15,247 Swisscom AG............... 5,297,793 SWI
40,500 Telecel-Comunicacoes
Pessoais, SA(c).......... 617,285 POR
179,000 Telecom Italia Mobile..... 1,835,985 ITA
523,000 Telecom Italia Mobile..... 2,642,091 ITA
102,555 Telecom Italia Spa........ 1,415,638 ITA
698,000 Telecom Italia Spa(a)..... 4,650,216 ITA
435,861 Telefonica SA(c).......... 9,400,781 SPA
176,600 Telefonos De Mexico
(ADR)(a)................. 10,088,275 MEX
64,000 Telesp-Telecomunicacoes de
Sao Paulo SA............. 1,184,000 BRA
6,137,740 Vodafone AirTouch PLC..... 24,809,359 UK
31,000 Vodafone AirTouch PLC
(ADR)(a)................. 1,284,563 UK
------------
TOTAL
TELECOMMUNICATIONS........ 126,139,384
------------
TIRE AND RUBBER -- 0.04%
13,000 Bridgestone Corp. ........ 275,847 JPN
------------
TRANSPORTATION -- 1.22%
130,000 Bombardier Inc., Class
B........................ 3,527,744 CDA
183,200 Bombardier Inc., Class
B........................ 4,970,509 CDA
------------
TOTAL TRANSPORTATION...... 8,498,253
------------
TOTAL COMMON STOCK (Cost
$488,306,758)............. 670,885,062
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
NON-CONVERTIBLE BOND -- 0.02%
$ 141,656 Sekisui House, 2.50%,
01/31/02 (Cost
$157,468)................ 143,413 JPN
------------
</TABLE>
See notes to financial statements.
141
<PAGE> 143
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
REGULATED INVESTMENT COMPANIES -- 1.15%
5,749,153 Janus Money Market
Fund(b).................. $ 5,749,153 USA
2,242,170 Merrimac Cash Fund --
Premium Class(b)......... 2,242,170 USA
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$7,991,323)............... 7,991,323
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
TIME DEPOSITS -- 7.12%
$ 2,172,087 Bank of Montreal, 6.59%,
07/05/00(b).............. 2,172,087 USA
3,087,277 Bank of Montreal, 6.90%,
07/05/00(b).............. 3,087,277 USA
10,818,576 BNP Paribas, 6.75%,
07/05/00(b).............. 10,818,576 USA
16,001,413 BNP Paribas, 6.75%,
07/05/00(b).............. 16,001,413 USA
3,271,956 Fleet National Bank,
7.125%, 10/31/00(b)...... 3,271,956 USA
3,704,733 Royal Bank of Scotland,
6.70%, 07/05/00(b)....... 3,704,733 USA
10,631,446 Royal Bank of Scotland,
6.85%, 07/05/00(b)....... 10,631,446 USA
------------
TOTAL TIME DEPOSITS (Cost
$49,687,488).............. 49,687,488
------------
SHORT TERM CORPORATE NOTES -- 4.82%
7,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b).............. 7,000,000 USA
1,355,175 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).............. 1,355,175 USA
4,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++),
07/26/00(b).............. 4,000,000 USA
2,234,662 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).............. 2,234,662 USA
14,000,000 JP Morgan Securities,
Inc., Floating Rate,
7.23%(++), 07/07/00(b)... 14,000,000 USA
5,000,000 Prudential Securities,
Inc., Floating Rate,
7.40%(++), 12/08/00(b)... 5,000,000 USA
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost
$33,589,837).............. 33,589,837
------------
TOTAL SECURITIES (Cost
$579,732,874)............. 762,297,123
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 3.19%
$22,276,534 With Investors Bank and
Trust, dated 06/30/00,
6.03%, due 07/03/00,
repurchase proceeds at
maturity $22,287,728
(Collateralized by Fannie
Mae, 6.50%, due 05/18/28,
with a value of
$3,892,062, and IMPAC
Secured Assets, 7.36%,
due 04/25/30, with a
value of $19,498,299)
(Cost $22,276,534)....... $ 22,276,534 USA
------------
Total
Investments -- 112.44%
(Cost $602,009,408)....... 784,573,657
Liabilities less other
assets -- (12.44)%........ (86,775,641)
------------
NET ASSETS -- 100.00%..... $697,798,016
============
The aggregate cost of securities for federal income tax purposes
at June 30, 2000 is $602,009,408.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation........ $211,351,456
Gross unrealized depreciation........ (28,787,207)
------------
Net unrealized appreciation.......... $182,564,249
============
</TABLE>
---------------
(a) All or part of the security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) American Depository Receipt.
(FDR) Foreign Depository Receipt.
(GDR) Global Depository Receipt.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
142
<PAGE> 144
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF TOTAL
COUNTRY COMPOSITION INVESTMENTS AT VALUE
------------------- --------------------
<S> <C>
Australia (AUS).................... 3.43%
Brazil (BRA)....................... 0.15%
Canada (CDA)....................... 4.01%
Finland (FIN)...................... 3.10%
France (FRA)....................... 4.36%
Germany (GER)...................... 6.06%
Hong Kong (HNG).................... 1.76%
Ireland (IRE)...................... 0.41%
Italy (ITA)........................ 3.02%
Japan (JPN)........................ 25.70%
Korea (KOR)........................ 2.41%
Luxembourg (LUX)................... 0.23%
Mexico (MEX)....................... 1.58%
Netherlands (NET).................. 6.27%
Norway (NOR)....................... 0.38%
Portugal (POR)..................... 0.39%
Singapore (SIN).................... 1.05%
Spain (SPA)........................ 1.57%
Sweden (SWE)....................... 1.89%
Switzerland (SWI).................. 4.30%
Turkey (TUR)....................... 0.38%
United Kingdom (UK)................ 13.06%
United States (USA)................ 14.49%
-------
TOTAL PERCENTAGE................... 100.00%
=======
</TABLE>
See notes to financial statements.
143
<PAGE> 145
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements
(Unaudited)
1. ORGANIZATION AND BUSINESS
Diversified Investors Portfolios (the "Series Portfolio"), a series trust
organized on September 1, 1993, under the laws of the State of New York, is
composed of thirteen different series that are, in effect, separate investment
funds: the Money Market Series, the High Quality Bond Series, the Intermediate
Government Bond Series, the Core Bond Series, the Balanced Series, the Value and
Income Series (formerly the Equity Income Series), the Equity Value Series, the
Growth & Income Series, the Equity Growth Series, the Special Equity Series, the
Aggressive Equity Series, the High-Yield Bond Series, and the International
Equity Series (each a "Series"). The Declaration of Trust permits the Board of
Trustees to issue an unlimited number of beneficial interests in each Series.
Investors in a Series (e.g., investment companies, insurance company separate
accounts and common and commingled trust funds) will each be liable for all
obligations of that Series (and of no other Series).
2. SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Short-term securities having remaining maturities of 60 days or less
are valued at amortized cost which approximates value. The amortized cost
of a security is determined by valuing it at original cost and thereafter
amortizing any discount or premium at a constant rate until maturity.
Equity securities are valued at the last sale price on the exchange on
which they are primarily traded or at the bid price on the Nasdaq system
for unlisted national market issues, or at the last quoted bid price for
securities not reported on the Nasdaq system. Bonds are valued at the last
available price provided by an independent pricing service for securities
traded on a national securities exchange. Bonds that are listed on a
national securities exchange but are not traded and bonds that are
regularly traded in the over-the-counter market are valued at the mean of
the last available bid and asked prices by an independent pricing service.
All other securities will be valued at their fair value as determined by
the Board of Trustees.
B. REPURCHASE AGREEMENTS
Each Series, along with other affiliated entities of the investment
advisor, may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Series investment advisor, subject to the
seller's agreement to repurchase and the Series agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are segregated at the custodian, and pursuant to the
terms of the repurchase agreements must have an aggregate market value
greater than or equal to 102% and 105% of domestic and international
securities, respectively, of the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value
of the repurchase price plus accrued interest, the Series will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met or the seller defaults on its
repurchase obligation, the Series maintains the right to sell the
underlying securities at market value and may claim any resulting loss
against the seller. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to
legal proceedings.
C. FOREIGN CURRENCY TRANSLATION
The accounting records of each Series are maintained in U.S. dollars.
The market values of foreign securities, currency holdings and other assets
and liabilities are translated to U.S. dollars based on the prevailing
exchange rates each business day. Income and expenses denominated in
foreign currencies are translated at prevailing exchange rates when accrued
or incurred. The Series does not isolate realized gains and losses
attributable to changes in exchange rates from gains and losses that arise
from changes in the market value of investments. Such fluctuations are
included with net realized and unrealized gains or losses on securities.
Net realized gains and losses on foreign currency transactions represent
net exchange
144
<PAGE> 146
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
C. FOREIGN CURRENCY TRANSLATION (CONTINUED)
gains and losses on disposition of foreign currencies and foreign currency
forward contracts, and the difference between the amount of investment
income receivable and foreign withholding taxes receivable recorded on the
Series' books and the U.S. dollar equivalent of amounts actually received
or paid. Net unrealized foreign exchange gains and losses arise from
changes in the value of assets and liabilities other than investments in
securities at fiscal year end and foreign currency forward contracts,
resulting from changes in the prevailing exchange rates.
D. FOREIGN CURRENCY FORWARD CONTRACTS
Each Series may enter into foreign currency forward contracts and
forward cross currency contracts in connection with settling planned
purchases or sales of securities or to hedge the currency exposure
associated with some or all of the Series' portfolio securities. A foreign
currency forward contract is an agreement between two parties to buy and
sell a currency at a set price on a future date. The market value of a
foreign currency forward contract fluctuates with changes in forward
currency exchange rates. Foreign currency forward contracts are marked to
market daily and the change in value is recorded by the Series as an
unrealized gain or loss. When a foreign currency forward contract is
extinguished, through delivery or offset by entering into another foreign
currency forward contract, the Series records a realized gain or loss equal
to the difference between the value of the contract at the time it was
opened and the value of the contract at the time it was extinguished. These
contracts may involve market risk in excess of the unrealized gain or loss
reflected in the Series' Statement of Assets and Liabilities and Statement
of Operations. In addition, the Series could be exposed to risk if the
counterparties are unable to meet the terms of the contracts or if the
value of the currency changes unfavorably to the U.S. dollar.
E. OPTIONS
Each Series, with the exception of the Money Market Series, may
purchase and write (sell) call and put options on securities indices for
the purpose of protecting against an anticipated decline in the value of
the securities held by that Series. Index options are marked to market
daily and the change in value is recorded by the Series as an unrealized
gain or loss. A realized gain or loss equal to the difference between the
exercise price and the value of the index is recorded by the Series upon
cash settlement of the option. The use of index options may expose the
Series to the risk that trading in such options may be interrupted if
trading in certain securities included in the index is interrupted or the
value of the securities in the index may not move in direct correlation
with the movements of the Series portfolio. In addition, there is the risk
the Series may not be able to enter into a closing transaction because of
an illiquid secondary market.
F. FUTURES CONTRACTS
Each Series may invest in futures contracts solely for the purpose of
hedging its existing portfolio securities, or securities that the Series
intends to purchase, against fluctuations in fair value caused by changes
in prevailing market or interest rates.
Initial margin deposits made upon entering into futures contracts are
recognized as assets due from the broker (the Series agent in acquiring the
futures position). During the period the futures contract is open, changes
in the value of the contract are recognized as unrealized gains or losses
by "marking to market" on a daily basis to reflect the daily market value
of the contract.
Variation margin payments are received or made by the Series each day,
depending upon the daily fluctuations in the fair value of the underlying
instrument. The Series recognizes a gain or loss equal to the daily
variation margin. When the contract is closed, the Series records a
realized gain or loss equal to
145
<PAGE> 147
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
F. FUTURES CONTRACTS (CONTINUED)
the difference between the proceeds from (or cost of) the closing
transaction and the Series basis in the contract.
Should market conditions move unexpectedly, the Series may not achieve
the anticipated benefits of the financial futures contracts and may realize
a loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates,
and the underlying hedged assets.
G. FEDERAL INCOME TAXES
It is the Series' policy to comply with the applicable provisions of
the Internal Revenue Code. Therefore, no federal income tax provision is
required.
H. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis (the
date the order to buy or sell is executed). Dividend income is recorded on
the ex-dividend date. Interest income is recorded on the accrual basis and
includes amortization of premiums and accretion of discounts on
investments. Realized gains and losses from securities transactions are
recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and
losses from security transactions are determined on each valuation day and
allocated pro rata among the investors in a Series at the time of such
determination.
I. OPERATING EXPENSES
The Series Portfolio accounts separately for the assets, liabilities
and operations of each Series. Expenses directly attributable to a Series
are charged to that Series, while expenses attributable to all Series are
allocated among them.
J. OTHER
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 at
the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from
those estimates.
146
<PAGE> 148
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES
AUSA Life Insurance Company, Inc. ("AUSA") is an affiliate of Diversified
Investment Advisors, Inc. (the "Advisor"). AUSA has sub-accounts which invest in
the corresponding Portfolios as follows:
<TABLE>
<CAPTION>
PERCENTAGE INVESTMENT
AUSA SUB-ACCOUNT IN PORTFOLIO
---------------- ---------------------
<S> <C>
Money Market................................................ 19.51
High Quality Bond........................................... 38.35
Intermediate Government Bond................................ 38.49
Core Bond................................................... 27.66
Balanced.................................................... 54.91
Value & Income.............................................. 59.81
Equity Value................................................ 26.65
Growth & Income............................................. 42.23
Equity Growth............................................... 52.57
Special Equity.............................................. 37.28
Aggressive Equity........................................... 37.09
High Yield Bond............................................. 23.57
International Equity........................................ 35.43
</TABLE>
The Advisor manages the assets of each Series of the Series Portfolio
pursuant to an Investment Advisory Agreement with the Series Portfolio. Subject
to such further policies as the Board of Trustees may determine, the Advisor
provides general investment advice to each Series. For its services, the Advisor
receives from each Series fees accrued daily and paid monthly at an annual rate
equal to the percentages specified in the table below of the corresponding
Series' average daily net assets. The Advisor is currently waiving a portion of
its investment advisory fee to certain Series.
For each Series, the Advisor has entered into Investment Subadvisory
Agreements with the subadvisors listed in the table below (each a "Subadvisor",
collectively the "Subadvisors"). It is the responsibility of a Subadvisor to
make the day-to-day investment decisions of the Series and to place the purchase
and sales orders for securities transactions of such Series, subject in all
cases to the general supervision of the Advisor.
147
<PAGE> 149
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For its services the Subadvisors receive a fee from the Advisor at an annual
rate equal to the percentages specified in the table below of the corresponding
Series' average daily net assets.
<TABLE>
<CAPTION>
ADVISOR SUBADVISOR
PORTFOLIO SERIES PORTFOLIO SUBADVISORS FEE(%) FEE(%)
---------------- --------------------- ------- ----------
<S> <C> <C> <C>
Money Market Series....................... Capital Management Group 0.25 0.05
High Quality Bond Series.................. Merganser Capital Management Corporation 0.35 (2)
Intermediate Government Bond Series....... Capital Management Group 0.35 0.15
Core Bond Series.......................... Payden & Rygel Investment Counsel 0.35 (3)
Balanced Series........................... (4) 0.45 (5)
Value and Income Series................... (6) 0.45 (7)
Equity Value Series....................... Sanford Bernstein 0.57(1) (8)
Growth & Income Series.................... Putnam Advisory Company, Inc 0.60 (9)
Equity Growth Series...................... (10) 0.62 (11)
Special Equity Series..................... (12) 0.80 (13)
Aggressive Equity Series.................. McKinley Capital Management 0.97 (14)
High-Yield Bond Series.................... Eaton Vance 0.55(1) (15)
International Equity Series............... Capital Guardian Trust Company 0.75 (16)
</TABLE>
---------------
(1) The Advisor is currently waiving a portion of its fee.
(2) 0.20% on the first $100,000,000 in average daily net assets, 0.15% on the
next $100,000,000 in average daily net assets, 0.10% on the next
$100,000,000 in average daily net assets, and 0.05% on all daily average
net assets in excess of $300,000,000.
(3) The net assets of the Core Bond and Balanced Series -- fixed income
securities, are combined to determine the fee. 0.20% on the first
$50,000,000 in average daily net assets, 0.15% on the next $50,000,000 in
average daily net assets, 0.10% on the next $400,000,000 in average daily
net assets, and 0.05% on all daily average net assets in excess of
$500,000,000.
(4) The Balanced Series has two subadvisors: Aeltus Investment Management, Inc.
and Payden & Rygel Investment Counsel for equity and fixed income
securities, respectively.
(5) Aeltus Investment Management, Inc. received 0.20% on the first $200,000,000
in average daily net assets, 0.15% on the next $300,000,000 in average
daily net assets, 0.125% on the next $500,000,000 in average daily net
assets, and 0.10% on all average daily net assets in excess of
$1,000,000,000. Payden & Rygel received a fee of 0.20% on the first
$50,000,000 in average daily net assets, 0.15% on the next $50,000,000 in
average daily net assets, 0.10% on the next $400,000,000 in average daily
net assets, and 0.05% on all daily average net assets in excess of
$500,000,000 on the combined net assets of the Core Bond Series and
Balanced Series (fixed income securities).
(6) Effective April 20, 2000, Value and Income (formerly Equity Income) added
an additional subadvisor, Sanford Bernstein to its existing subadvisor,
Asset Management Group.
(7) For the period January 1 through April 19, 2000, Asset Management Group
received 0.25% on the first $100,000,000 in average daily net assets, and
0.20% on all average daily net assets in excess of $100,000,000. For the
period from April 20 through June 30, 2000, Asset Management Group and
Sanford Bernstein received 0.27% on the first $300,000,000 in average daily
net assets, and 0.16% on the next $700,000,000 in average daily net assets,
and 0.13% on all average daily net assets in excess of $1,000,000,000.
148
<PAGE> 150
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
(8) Equity Value changed its subadvisor on April 20, 2000 from Ark Asset
Management Company, Inc. to Sanford Bernstein. For the period January 1
through April 19, 2000, Ark Asset Management Company, Inc received 0.45% on
the first $100,000,000 in average daily net assets, and 0.40% on the next
$50,000,000 in average daily net assets, and 0.35% on the next $50,000,000
in average daily net assets; when average daily net assets reach
$200,000,000, 0.40% on the first $200,000,000 in average daily net assets,
and 0.35% on all average daily net assets in excess of $200,000,000. For
the period April 20 through June 30, 2000, Sanford Bernstein received 0.27%
on the first $300,000,000 in average daily net assets, and 0.16% on the
next $700,000,000 in average daily net assets, and 0.13% on all average
daily net assets in excess of $1,000,000,000.
(9) 0.30% on the first $100,000,000 in average daily net assets, and 0.20% on
all average daily net assets in excess of $100,000,000.
(10) The Equity Growth Series has two subadvisors: Montag & Caldwell, Inc. and
Dresdner RCM Global Investors, Inc.
(11) 0.50% on the first $50,000,000 in average daily net assets, 0.25% on the
next $50,000,000 in average daily net assets, and 0.20% on all average
daily net assets in excess of $100,000,000.
(12) The Special Equity Series has four Subadvisors: Husic Capital; Robertson,
Stephens; Liberty Investment Management, Inc.; and Westport Asset
Management, Inc.
(13) 0.50% of average daily net assets for the two Subadvisors: Liberty
Investment Management, Inc., and Westport Asset Management.
Robertson, Stephens received 0.50% on the first $100,000,000 in average
daily net assets, and 0.40% on all average daily net assets in excess of
$100,000,000. Husic Capital received 0.40% on the first $250,000,000 in
average daily net assets, 0.25% on the next $100,000,000 in average daily
net assets, and 0.20% on all average daily net assets in excess of
$350,000,000.
(14) 0.90% on the first $10,000,000 in average daily net assets, 0.80% on the
next $15,000,000 in average daily net assets, 0.60% on the next $25,000,000
in average daily net assets, 0.40% on the next $50,000,000 in average daily
net assets, and 0.35% on all average daily net assets in excess of
$100,000,000.
(15) The High Yield Bond Series changed its subadvisor on June 1, 2000 from
Delaware Investment Advisors to Eaton Vance. From the period January 1
through May 31, 2000, 0.40% on the first $20,000,000 in average daily net
assets, 0.30% on the next $20,000,000 in average daily net assets, and
0.20% on all average daily net assets in excess of $40,000,000. For the
period June 1 through June 30, 2000, 0.35% on the first $20,000,000 in
average daily net assets, 0.25% on the next $20,000,000 in average daily
net assets, 0.20% on the next $85,000,000 in average daily net assets, and
0.15% on all average daily net assets in excess of $125,000,000.
(16) 0.75% on the first $25,000,000 in average daily net assets, 0.60% on the
next $25,000,000 in average daily net assets, 0.425% from $50,000,000 to
$250,000,000 in average daily net assets and 0.375% on all average daily
net assets in excess of $250,000,000.
149
<PAGE> 151
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For the period ended June 30, 2000, the Advisor has voluntarily undertaken
to waive fees in accordance with the following expense caps:
<TABLE>
<CAPTION>
FUND EXPENSE CAP
---- -----------------------
<S> <C>
Money Market Series......................................... 30 basis points (b.p.)
High Quality Bond Series.................................... 40 b.p.
Intermediate Government Bond Series......................... 40 b.p.
Core Bond Series............................................ 40 b.p.
Balanced Series............................................. 50 b.p.
Value and Income Series..................................... 50 b.p.
Equity Value Series......................................... 60 b.p.
Growth & Income Series...................................... 65 b.p.
Equity Growth Series........................................ 65 b.p.
Special Equity Series....................................... 85 b.p.
Aggressive Equity Series.................................... 100 b.p.
High-Yield Bond Series...................................... 60 b.p.
International Equity Series................................. 90 b.p.
</TABLE>
Certain trustees and officers of the Series Portfolio are also directors,
officers or employees of the Advisor or its affiliates. None of the
trustees so affiliated receive compensation for services as trustees of the
Series Portfolio. Similarly, none of the Series Portfolio officers receive
compensation from the Series Portfolio. Aggregate remuneration incurred to
non-affiliated trustees of the trust for the period ended June 30, 2000,
amounted to $16,768.
4. SECURITIES LENDING
All but the High Yield Bond Series may lend its securities to certain
member firms of the New York Stock Exchange. The loans are collateralized at all
times with cash or securities with a market value at least equal to the market
value of the securities on loan. Any deficiencies or excess of collateral must
be delivered or transferred by the member firms no later than the close of
business on the next business day. As with other extensions of credit, the
Series may bear the risk of delay in recovery or even loss of rights in the
collateral should the borrower of the securities fail financially. The Series
receives compensation, net of related expenses, for lending its securities which
is included in interest income on the Statements of Operations. At June 30,
2000, the Series loaned securities having market values as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
------------ ------------
<S> <C> <C>
High Quality Bond Series.................................... $ 9,114,459 $ 9,340,000
Intermediate Government Bond Series......................... 28,217,817 28,730,000
Core Bond Series............................................ 42,252,083 42,412,500
Balanced Series............................................. 44,434,663 44,792,400
Value and Income Series..................................... 23,971,884 25,044,861
Equity Value Series......................................... 6,445,871 6,768,500
Growth & Income Series...................................... 161,249,028 166,821,394
Equity Growth Series........................................ 132,271,538 135,995,998
Special Equity Series....................................... 104,384,319 109,119,228
Aggressive Equity Series.................................... 74,015,662 76,599,800
International Equity Series................................. 87,051,285 91,268,648
</TABLE>
150
<PAGE> 152
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
5. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities (excluding short-term securities) for the period ended June 30, 2000,
were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
<S> <C> <C> <C>
High Quality Bond Series............ Government Obligations $ 10,216,110 $ 270,745
Other 71,404,918 47,882,098
Intermediate Government Bond
Series............................ Government Obligations 31,690,579 35,340,860
Other 5,635,695 430,966
Core Bond Series.................... Government Obligations 1,742,904,347 1,849,610,376
Other 192,102,961 135,046,820
Balanced Series..................... Government Obligations 654,603,223 487,935,584
Other 321,893,663 461,450,439
Value and Income Series............. Other 633,331,383 834,166,684
Equity Value Series................. Other 298,161,479 454,591,293
Growth & Income Series.............. Other 499,918,733 409,910,730
Equity Growth Series................ Other 411,870,251 319,837,106
Special Equity Series............... Other 538,757,292 456,218,966
Aggressive Equity Series............ Other 205,241,687 75,085,040
High-Yield Bond Series.............. Other 57,618,388 69,502,259
International Equity Series......... Other 214,877,499 120,142,721
</TABLE>
151
<PAGE> 153
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
6. FOREIGN CURRENCY FORWARD CONTRACTS
At June 30, 2000, the Core Bond Series, the Balanced Series and the
International Equity Series had entered into foreign currency forward contracts
which contractually obligate each Series to deliver/receive currency at
specified future dates. The open contracts were as follows:
<TABLE>
<CAPTION>
FOREIGN IN EXCHANGE SETTLEMENT NET UNREALIZED
CORE BOND CURRENCY FOR DATE VALUE APPRECIATION/(DEPRECIATION)
--------- ---------- ----------- ---------- ----------- ---------------------------
<S> <C> <C> <C> <C> <C>
PURCHASE CONTRACTS:
British Pound
Sterling............. 14,190,155 $21,427,133 07/05/2000 $21,500,307 $ 73,174
Euro................... 11,346,319 10,705,365 07/05/2000 10,870,076 164,711
---------
TOTAL........ $ 237,885
=========
SALE CONTRACTS:
British Pound
Sterling............. 14,190,000 21,308,839 07/31/2000 21,542,281 (233,442)
Euro................... 2,000,000 1,936,600 07/13/2000 1,917,099 19,501
Euro................... 11,350,000 10,725,750 07/31/2000 10,892,784 (167,034)
---------
TOTAL........ $(380,975)
=========
<CAPTION>
BALANCED
--------
<S> <C> <C> <C> <C> <C>
PURCHASE CONTRACTS:
British Pound
Sterling............. 5,429,817 $ 8,199,023 07/05/2000 $ 8,227,023 $ 28,000
Euro................... 4,380,825 4,133,352 07/05/2000 4,196,947 63,595
---------
TOTAL........ $ 91,595
=========
SALE CONTRACTS:
British Pound
Sterling............. 5,430,000 8,154,122 07/31/2000 8,231,699 (77,577)
Euro................... 170,000 164,611 07/13/2000 182,953 1,658
Euro................... 4,380,000 4,139,100 07/31/2000 4,203,559 (64,459)
---------
TOTAL........ $(140,378)
=========
<CAPTION>
INTERNATIONAL EQUITY
--------------------
<S> <C> <C> <C> <C> <C>
SALE CONTRACTS:
Japanese Yen........... 330,962,120 $ 3,077,000 08/28/2000 $ 3,159,872 $ (82,872)
=========
</TABLE>
152
<PAGE> 154
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
6. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
FOREIGN CURRENCY CROSS CONTRACTS:
<TABLE>
<CAPTION>
SETTLEMENT PURCHASE SALE NET UNREALIZED
PURCHASE/SALE DATE CURRENT VALUE CURRENT SALE APPRECIATION/ (DEPRECIATION)
------------- ---------- ------------- ------------ ----------------------------
<S> <C> <C> <C> <C>
Euro/Australian Dollar........... 07/19/2000 $2,532,318 $2,436,645 $ 95,673
Euro/Australian Dollar........... 08/10/2000 3,417,893 3,248,423 169,470
Euro/Canadian Dollar............. 08/10/2000 2,718,833 2,555,805 163,028
Euro/Canadian Dollar............. 09/07/2000 1,203,186 1,193,499 9,687
Euro/British Pound............... 07/31/2000 1,824,722 1,672,327 152,395
Euro/British Pound............... 08/04/2000 238,224 215,169 23,055
Euro/British Pound............... 08/10/2000 733,714 677,411 56,303
Euro/British Pound............... 09/01/2000 3,677,247 3,642,112 35,135
Euro/British Pound............... 09/05/2000 601,017 588,770 12,247
Euro/Japanese Yen................ 07/19/2000 4,813,613 4,691,110 122,503
Euro/Japanese Yen................ 07/19/2000 8,066,540 7,861,252 205,288
Euro/Japanese Yen................ 08/28/2000 2,749,891 2,957,566 (207,675)
Euro/Japanese Yen................ 02/20/2001 5,870,042 6,175,032 (304,990)
---------
Total............................................................. $ 532,119
=========
</TABLE>
153
<PAGE> 155
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT INVESTMENT
RATIO OF EXPENSES TO INCOME INCOME (LOSS)
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO TO AVERAGE NET
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
----------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
MONEY MARKET
06/30/2000* $ 489,442,999 0.28% 0.28% 5.91% 5.91% N/A
12/31/1999 416,768,827 0.28 0.28 5.06 5.06 N/A
12/31/1998 292,437,753 0.28 0.28 5.32 5.32 N/A
12/31/1997 232,312,458 0.28 0.28 5.33 5.33 N/A
12/31/1996 185,012,254 0.30 0.30 5.19 5.19 N/A
12/31/1995 141,638,248 0.31 0.30 5.69** 5.70** N/A
HIGH QUALITY
BOND
06/30/2000* 228,334,392 0.37 0.37 6.15 6.15 24%
12/31/1999 199,906,097 0.38 0.38 5.78 5.78 56
12/31/1998 227,463,134 0.39 0.39 5.90 5.90 68
12/31/1997 218,169,438 0.39 0.39 6.12 6.12 62
12/31/1996 197,294,663 0.40 0.40 6.14 6.14 66
12/31/1995 172,526,103 0.41 0.40 5.82** 5.83** 25
INTERMEDIATE
GOVERNMENT
BOND
06/30/2000* 179,446,626 0.38 0.38 5.78 5.78 22
12/31/1999 174,804,385 0.39 0.39 5.46 5.46 25
12/31/1998 158,574,467 0.39 0.39 5.46 5.46 70
12/31/1997 129,186,397 0.41 0.39 5.61 5.62 45
12/31/1996 103,059,880 0.43 0.40 5.63 5.66 60
12/31/1995 85,991,614 0.45 0.40 5.52** 5.57** 59
CORE BOND
06/30/2000* 540,083,685 0.38 0.38 6.13 6.13 310
12/31/1999 515,721,444 0.37 0.37 5.86 5.86 307
12/31/1998 551,935,530 0.38 0.38 5.98 5.98 102
12/31/1997 361,632,885 0.38 0.38 6.49 6.49 64
12/31/1996 322,676,017 0.39 0.39 6.30 6.30 146
12/31/1995 336,539,410 0.39 0.39 5.90** 5.90** 122
BALANCED
06/30/2000* 526,218,348 0.54 0.50 2.79 2.83 170
12/31/1999 525,583,903 0.52 0.50 2.46 2.48 256
12/31/1998 505,995,739 0.48 0.48 3.22 3.22 91
12/31/1997 394,769,913 0.48 0.48 3.55 3.55 87
12/31/1996 264,909,839 0.50 0.50 3.39 3.39 113
12/31/1995 167,032,955 0.54 0.50 4.15** 4.19** 124
</TABLE>
---------------
<TABLE>
<S> <C>
* Unaudited and Annualized (except for Portfolio turnover).
** Ratios have been restated.
*** Annualized (except for Portfolio turnover).
+ Commencement of Operations, April 19, 1996.
++ Commencement of Operations, August 22, 1995.
+++ Commencement of Operations, September 29, 1995.
(1) For the period January 1, 1996 -- November 14, 1996, the
expense cap was 75 bp.
For the period November 15, 1996 -- December 31, 1996, the
expense cap was 65 bp.
</TABLE>
154
<PAGE> 156
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT INVESTMENT
RATIO OF EXPENSES TO INCOME INCOME (LOSS)
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO TO AVERAGE NET
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
----------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
VALUE AND
INCOME
06/30/2000* $1,112,129,723 0.46% 0.46% 2.08% 2.08% 52%
12/31/1999 1,414,634,230 0.46 0.46 1.75 1.75 43
12/31/1998 1,367,107,496 0.47 0.47 2.23 2.23 31
12/31/1997 1,215,071,169 0.47 0.47 2.27 2.27 33
12/31/1996 956,820,669 0.48 0.48 2.97 2.97 26
12/31/1995 764,302,530 0.49 0.49 3.37 3.37 23
EQUITY VALUE+
06/30/2000* 172,323,488 0.59 0.59 2.16 2.16 105
12/31/1999 394,104,288 0.60 0.60 1.70 1.70 80
12/31/1998 389,859,775 0.61 0.60 1.46 1.47 107
12/31/1997 234,983,715 0.63 0.60 1.43 1.46 120
12/31/1996*** 29,033,513 1.06 0.60 1.60 2.07 65
GROWTH &
INCOME
06/30/2000* 1,314,417,381 0.62 0.62 0.02 0.02 33
12/31/1999 1,242,236,443 0.62 0.62 0.07 0.07 86
12/31/1998 771,268,461 0.63 0.63 0.30 0.30 75
12/31/1997 376,260,408 0.64 0.64 0.65 0.65 87
12/31/1996 207,612,426 0.67 0.65 1.02 1.04 142
12/31/1995 124,811,731 0.68 0.65 1.47** 1.49** 155
EQUITY GROWTH
06/30/2000* 1,377,840,236 0.65 0.65 0.02 0.02 25
12/31/1999 1,266,869,154 0.64 0.64 0.12 0.12 44
12/31/1998 688,448,565 0.64 0.64 0.22 0.22 104
12/31/1997 426,312,188 0.65 0.65 0.43 0.43 91
12/31/1996 299,127,686 0.73 0.73(1) (0.17) (0.17) 133
12/31/1995 222,362,390 0.75 0.75 0.41** 0.41** 62
SPECIAL EQUITY
06/30/2000* 1,317,117,654 0.81 0.81 (0.01) (0.01) 39
12/31/1999 1,171,034,281 0.84 0.84 0.13 0.13 171
12/31/1998 924,089,884 0.83 0.83 0.14 0.14 173
12/31/1997 743,388,261 0.84 0.84 0.41 0.41 146
12/31/1996 507,264,243 0.86 0.85 0.24 0.25 140
12/31/1995 315,458,225 0.88 0.85 0.30** 0.33** 155
</TABLE>
---------------
<TABLE>
<S> <C>
* Unaudited and Annualized (except for Portfolio turnover).
** Ratios have been restated.
*** Annualized (except for Portfolio turnover).
+ Commencement of Operations, April 19, 1996.
++ Commencement of Operations, August 22, 1995.
+++ Commencement of Operations, September 29, 1995.
(1) For the period January 1, 1996 -- November 14, 1996, the
expense cap was 75 bp.
For the period November 15, 1996 -- December 31, 1996, the
expense cap was 65 bp.
</TABLE>
155
<PAGE> 157
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT INVESTMENT
RATIO OF EXPENSES TO INCOME INCOME (LOSS)
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO TO AVERAGE NET
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
----------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
AGGRESSIVE EQUITY+
06/30/2000* $ 440,834,181 0.98% 0.98% (0.56)% (0.56)% 22%
12/31/1999 259,974,422 1.01 1.00 (0.47) (0.46) 132
12/31/1998 81,327,707 1.10 1.00 (0.41) (0.31) 121
12/31/1997 25,857,650 1.33 1.00 (0.52) (0.19) 243
12/31/1996*** 15,479,130 1.59 1.00 (0.72) (0.13) 186
HIGH YIELD
BOND++
06/30/2000* 124,821,128 0.61 0.60 9.26 9.27 59
12/31/1999 124,990,408 0.61 0.60 8.45 8.46 145
12/31/1998 94,870,981 0.63 0.60 8.64 8.67 83
12/31/1997 39,700,131 0.74 0.60 8.46 8.60 109
12/31/1996 15,372,686 1.25 0.60 8.34 9.00 107
12/31/1995*** 8,997,595 1.32 0.60 7.73** 8.45** 21
INTERNATIONAL
EQUITY+++
06/30/2000* 697,798,016 0.85 0.85 0.98 0.98 19
12/31/1999 592,713,641 0.86 0.86 0.74 0.74 35
12/31/1998 320,218,173 0.88 0.87 1.05 1.06 33
12/31/1997 205,306,068 0.88 0.87 0.90 0.91 31
12/31/1996 148,184,897 0.96 0.90 1.12 1.18 29
12/31/1995*** 83,446,315 0.83 0.80 0.50** 0.53** 7
</TABLE>
---------------
<TABLE>
<S> <C>
* Unaudited and Annualized (except for Portfolio turnover).
** Ratios have been restated.
*** Annualized (except for Portfolio turnover).
+ Commencement of Operations, April 19, 1996.
++ Commencement of Operations, August 22, 1995.
+++ Commencement of Operations, September 29, 1995.
(1) For the period January 1, 1996 -- November 14, 1996, the
expense cap was 75 bp.
For the period November 15, 1996 -- December 31, 1996, the
expense cap was 65 bp.
</TABLE>
156
<PAGE> 158
S&P 500 INDEX MASTER PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS
Investments at market value (Cost: $2,918,072,487) (Note
1)........................................................ $3,907,919,571
RECEIVABLES:
Investment securities sold............................. 7,197,840
Dividends and interest................................. 3,288,834
Due from broker -- variation margin.................... 1,029,524
Prepaid expenses....................................... 236
--------------
TOTAL ASSETS................................................ 3,919,436,005
--------------
LIABILITIES
PAYABLES:
Investment securities purchased........................ 4,249,206
Collateral for securities loaned (Note 4).............. 95,640,573
Due to Bank............................................ 2,314
Due to BGI (Note 2).................................... 738,756
--------------
TOTAL LIABILITIES........................................... 100,630,849
--------------
NET ASSETS.................................................. $3,818,805,156
==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
157
<PAGE> 159
S&P 500 INDEX MASTER PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<S> <C>
NET INVESTMENT INCOME
Dividends (Net of foreign withholding tax of $122,278).... $ 24,183,203
Interest (Includes securities lending income of
$90,107)............................................... 3,984,961
-------------
TOTAL INVESTMENT INCOME........................... 28,168,164
-------------
EXPENSES (NOTE 2)
Advisory fees............................................. 1,091,905
-------------
TOTAL EXPENSES.................................... 1,091,905
-------------
NET INVESTMENT INCOME....................................... 27,076,259
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on sale of investments.................. 650,038,851
Net realized gain on sale of futures contracts............ 2,644,903
Net change in unrealized appreciation (depreciation) of
investments............................................ (701,744,471)
Net change in unrealized appreciation (depreciation) of
futures contracts...................................... (12,365,227)
-------------
NET LOSS ON INVESTMENTS..................................... (61,425,944)
-------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ (34,349,685)
=============
</TABLE>
The accompanying notes are an integral part of these financial statements.
158
<PAGE> 160
S&P 500 INDEX MASTER PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
JUNE 30, 2000 FOR THE PERIOD ENDED FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999* FEBRUARY 28, 1999
------------------------ -------------------- ------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income............. $ 27,076,259 $ 52,303,458 $ 43,674,276
Net realized gain................. 652,683,754 170,279,517 181,973,840
Net change in unrealized
appreciation (depreciation).... (714,109,698) 562,095,831 250,798,350
--------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS........................ (34,349,685) 784,678,806 476,446,466
--------------- -------------- ---------------
INTERESTHOLDER TRANSACTIONS:
Contributions..................... 1,043,786,832 355,753,442 2,288,411,987
Withdrawals....................... (2,018,157,017) -- (1,431,828,889)
--------------- -------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
INTERESTHOLDER TRANSACTIONS....... (974,370,185) 355,753,442 856,583,098
--------------- -------------- ---------------
INCREASE (DECREASE) IN NET ASSETS... (1,008,719,870) 1,140,432,248 1,333,029,564
NET ASSETS:
Beginning of period................. 4,827,525,026 3,687,092,778 2,354,063,214
--------------- -------------- ---------------
END OF PERIOD....................... $ 3,818,805,156 $4,827,525,026 $ 3,687,092,778
=============== ============== ===============
</TABLE>
---------------
* For the ten months ended December 31, 1999. The Master Portfolio changed its
fiscal year end from February 28 to December 31.
The accompanying notes are an integral part of these financial statements.
159
<PAGE> 161
S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS -- 96.53%
ADVERTISING -- 0.25%
Interpublic Group of
Companies Inc. ........... 88,983 $ 3,826,269
Omnicom Group Inc. ......... 52,409 4,667,677
Young & Rubicam Inc. ....... 21,250 1,215,234
--------------
9,709,180
--------------
AEROSPACE/DEFENSE -- 0.99%
Boeing Co. ................. 267,657 11,191,408
General Dynamics Corp. ..... 59,166 3,091,423
Goodrich (B.F.) Co. ........ 31,653 1,078,180
Honeywell International
Inc. ..................... 235,506 7,933,608
Lockheed Martin Corp. ...... 118,063 2,929,438
Northrop Grumman Corp. ..... 20,579 1,363,359
Raytheon Co. "B"............ 100,313 1,931,025
United Technologies
Corp. .................... 138,858 8,175,265
--------------
37,693,706
--------------
AIRLINES -- 0.17%
AMR Corp.+ ................. 44,117 1,166,343
Delta Air Lines Inc. ....... 36,167 1,828,694
Southwest Airlines Co. ..... 146,387 2,772,204
USAirways Group Inc.+....... 19,665 766,935
--------------
6,534,176
--------------
APPAREL -- 0.13%
Liz Claiborne Inc. ......... 16,121 568,265
Nike Inc. "B"............... 80,682 3,212,152
Reebok International
Ltd.+..................... 16,696 266,093
Russell Corp. .............. 9,607 192,140
VF Corp. ................... 33,740 803,434
--------------
5,042,084
--------------
AUTO MANUFACTURERS -- 0.68%
Ford Motor Co. ............. 355,660 15,293,380
General Motors Corp. "A".... 157,839 9,164,527
Navistar International
Corp.+.................... 18,266 567,388
PACCAR Inc. ................ 22,623 897,850
--------------
25,923,145
--------------
AUTO PARTS & EQUIPMENT -- 0.18%
Cooper Tire & Rubber Co. ... 21,817 242,714
Dana Corp. ................. 44,980 953,014
Delphi Automotive Systems
Corp. .................... 166,161 2,419,720
Goodyear Tire & Rubber
Co. ...................... 46,125 922,500
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
AUTO PARTS & EQUIPMENT (CONTINUED)
TRW Inc. ................... 36,427 $ 1,580,021
Visteon Corp.+.............. 46,568 564,634
--------------
6,682,603
--------------
BANKS -- 4.37%
Amsouth Bancorp............. 115,902 1,825,457
Bank of America Corp. ...... 488,955 21,025,065
Bank of New York Co.
Inc. ..................... 217,656 10,121,004
Bank One Corp. ............. 338,401 8,988,777
BB&T Corp. ................. 102,884 2,456,356
Charter One Financial
Inc. ..................... 61,800 1,421,400
Chase Manhattan Corp. ...... 364,952 16,810,602
Comerica Inc. .............. 46,138 2,070,443
Fifth Third Bancorp......... 91,408 5,781,556
First Union Corp. .......... 289,342 7,179,298
Firstar Corp. .............. 286,181 6,027,687
FleetBoston Financial
Corp. .................... 265,918 9,041,212
Golden West Financial
Corp. .................... 46,604 1,902,026
Huntington Bancshares
Inc. ..................... 65,477 1,035,355
KeyCorp..................... 128,259 2,260,565
Mellon Financial Corp. ..... 144,933 5,280,996
Morgan (J.P.) & Co. Inc. ... 47,939 5,279,282
National City Corp. ........ 178,864 3,051,867
Northern Trust Corp. ....... 65,596 4,267,840
Old Kent Financial Corp. ... 40,530 1,084,177
PNC Bank Corp. ............. 85,645 4,014,609
Regions Financial Corp. .... 65,133 1,294,518
SouthTrust Corp. ........... 49,639 1,123,082
State Street Corp. ......... 47,492 5,037,120
Summit Bancorp.............. 51,906 1,278,185
SunTrust Banks Inc. ........ 89,242 4,077,244
Synovus Financial Corp. .... 83,331 1,468,709
U.S. Bancorp................ 221,809 4,269,823
Union Planters Corp. ....... 39,895 1,114,567
Wachovia Corp. ............. 59,690 3,238,182
Washington Mutual Inc. ..... 161,622 4,666,835
Wells Fargo & Company....... 475,374 18,420,742
--------------
166,914,581
--------------
BEVERAGES -- 1.95%
Anheuser-Busch Companies
Inc. ..................... 133,274 9,953,902
Brown-Forman Corp. "B"...... 20,210 1,086,287
</TABLE>
The accompanying notes are an integral part of these financial statements.
160
<PAGE> 162
S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BEVERAGES (CONTINUED)
Coca-Cola Co. .............. 730,291 $ 41,946,089
Coca-Cola Enterprises....... 124,098 2,024,349
Coors (Adolph)
Company "B"............... 10,832 655,336
Pepsico Inc. ............... 425,204 18,895,003
--------------
74,560,966
--------------
BIOTECHNOLOGY -- 0.63%
Amgen Inc.+................. 302,912 21,279,568
Biogen Inc.+................ 43,850 2,828,325
--------------
24,107,893
--------------
BUILDING MATERIALS -- 0.11%
Armstrong Holdings Inc. .... 11,893 182,112
Masco Corp. ................ 132,383 2,391,168
Owens Corning............... 16,386 151,570
Vulcan Materials Co. ....... 29,770 1,270,807
--------------
3,995,657
--------------
CHEMICALS -- 0.86%
Air Products & Chemicals
Inc. ..................... 67,659 2,084,743
Ashland Inc. ............... 20,837 730,597
Dow Chemical Co. ........... 199,424 6,020,112
Du Pont (E.I.) de Nemours... 309,057 13,521,244
Eastman Chemical Co. ....... 22,582 1,078,290
Engelhard Corp. ............ 37,703 643,307
Grace (W.R.) & Company+..... 19,928 241,627
Great Lakes Chemical
Corp. .................... 16,041 505,291
Hercules Inc. .............. 31,616 444,600
Praxair Inc. ............... 46,501 1,740,881
Rohm & Haas Co. "A"......... 64,196 2,214,762
Sherwin-Williams Co. ....... 48,277 1,022,869
Sigma-Aldrich Corp. ........ 25,191 736,837
Union Carbide Corp. ........ 39,767 1,968,466
--------------
32,953,626
--------------
COMMERCIAL SERVICES -- 0.48%
Block (H & R) Inc. ......... 28,977 938,130
Cendant Corp.+.............. 212,779 2,978,906
Convergys Corp.+............ 45,200 2,344,750
Deluxe Corp. ............... 21,374 503,625
Donnelley (R.R.) & Sons
Co. ...................... 35,965 811,460
Dun & Bradstreet Corp. ..... 47,696 1,365,298
Ecolab Inc. ................ 38,220 1,492,969
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
Equifax Inc. ............... 41,646 $ 1,093,207
McKesson HBOC Inc. ......... 83,116 1,740,241
Paychex Inc. ............... 109,551 4,601,142
Quintiles Transnational
Corp.+.................... 34,000 480,250
--------------
18,349,978
--------------
COMPUTERS -- 11.17%
Adaptec Inc.+............... 30,700 698,425
Apple Computer Inc.+........ 95,992 5,027,581
Cabletron Systems+.......... 53,807 1,358,627
Ceridian Corp.+............. 42,803 1,029,947
Cisco Systems Inc.+......... 2,052,472 130,460,252
Compaq Computer Corp. ...... 500,962 12,805,841
Computer Sciences Corp.+.... 49,381 3,688,143
Dell Computer Corp.+........ 759,796 37,467,440
Electronic Data Systems
Corp. .................... 137,448 5,669,730
EMC Corporation+............ 640,258 49,259,850
Gateway Inc.+............... 94,998 5,391,136
Hewlett-Packard Co. ........ 295,134 36,854,858
International Business
Machines Corp. ........... 523,099 57,312,034
Lexmark International Group
Inc. "A"+................. 38,175 2,567,269
NCR Corp.+.................. 28,050 1,092,197
Network Appliance Inc.+..... 89,850 7,232,925
Sapient Corp.+.............. 17,300 1,850,019
Seagate Technology Inc.+.... 67,076 3,689,180
Sun Microsystems Inc.+...... 468,086 42,566,571
3Com Corp.+................. 103,468 5,962,344
Unisys Corp.+............... 91,975 1,339,386
Veritas Software Corp.+..... 115,309 13,031,716
--------------
426,355,471
--------------
COSMETICS/PERSONAL CARE -- 1.49%
Alberto-Culver Co. "B"...... 16,427 502,050
Avon Products Inc. ......... 70,093 3,119,138
Colgate-Palmolive Co. ...... 170,134 10,186,773
Gillette Co. ............... 307,983 10,760,156
International Flavors &
Fragrances Inc. .......... 30,348 916,130
Kimberly-Clark Corp. ....... 163,941 9,406,115
Procter & Gamble Co. ....... 385,931 22,094,550
--------------
56,984,912
--------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
161
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S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
DISTRIBUTION/WHOLESALE -- 0.16%
Costco Wholesale Corp.+..... 131,776 $ 4,348,608
Genuine Parts Co. .......... 52,188 1,043,760
Grainger (W.W.) Inc. ....... 27,673 852,674
--------------
6,245,042
--------------
DIVERSIFIED FINANCIAL SERVICES -- 5.12%
American Express Co. ....... 394,141 20,544,600
Associates First Capital
Corp. .................... 214,910 4,795,179
Bear Stearns Companies
Inc. ..................... 32,599 1,356,933
Capital One Financial
Corp. .................... 57,740 2,576,648
Citigroup Inc. ............. 995,704 59,991,166
Countrywide Credit
Industries Inc. .......... 33,474 1,014,681
Federal Home Loan Mortgage
Corporation............... 205,111 8,306,995
Federal National Mortgage
Association............... 297,183 15,509,238
Franklin Resources Inc. .... 71,881 2,183,385
Household International
Inc. ..................... 139,616 5,802,790
Lehman Brothers Holdings
Inc. ..................... 35,675 3,373,517
MBNA Corp. ................. 236,525 6,415,741
Merrill Lynch & Co. Inc. ... 114,437 13,160,255
Morgan Stanley Dean
Witter & Co. ............. 333,984 27,804,168
Paine Webber Group Inc. .... 43,004 1,956,682
Price (T. Rowe)
Associates................ 35,650 1,515,125
Providian Financial
Corp. .................... 42,059 3,785,310
Schwab (Charles) Corp. ..... 401,777 13,509,752
SLM Holding Corp. .......... 46,234 1,730,885
--------------
195,333,050
--------------
ELECTRIC -- 1.58%
AES Corp.+.................. 125,810 5,740,081
Ameren Corp. ............... 40,466 1,365,727
American Electric Power
Inc. ..................... 94,948 2,812,835
Cinergy Corp. .............. 46,911 1,193,299
CMS Energy Corp. ........... 32,343 715,589
Consolidated Edison Inc. ... 62,520 1,852,155
Constellation Energy Group
Inc. ..................... 44,110 1,436,332
CP&L Energy Inc. ........... 47,126 1,505,087
Dominion Resources Inc. .... 70,218 3,010,597
DTE Energy Co. ............. 42,110 1,286,987
Duke Energy Corp. .......... 108,456 6,114,207
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC (CONTINUED)
Edison International........ 98,024 $ 2,009,492
Entergy Corp. .............. 67,882 1,845,542
FirstEnergy Corp. .......... 68,161 1,593,263
Florida Progress Corp. ..... 29,108 1,364,438
FPL Group Inc. ............. 52,606 2,603,997
GPU Inc. ................... 35,807 969,027
New Century Energies
Inc. ..................... 34,343 1,030,290
Niagara Mohawk Holdings
Inc.+..................... 50,880 709,140
Northern States Power
Co. ...................... 46,395 936,599
PECO Energy Co. ............ 50,048 2,017,560
PG&E Corp. ................. 113,712 2,800,158
Pinnacle West Capital
Corp. .................... 25,000 846,875
PP & L Resources Inc. ...... 42,577 934,033
Public Service Enterprise
Group Inc. ............... 63,813 2,209,525
Reliant Energy Inc. ........ 87,234 2,578,855
Southern Co. ............... 191,400 4,462,013
TXU Corporation............. 77,811 2,295,424
Unicom Corp. ............... 52,448 2,029,082
--------------
60,268,209
--------------
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.33%
American Power Conversion
Corp.+.................... 57,200 2,334,475
Emerson Electric Co. ....... 125,932 7,603,145
Molex Inc. ................. 57,850 2,784,031
--------------
12,721,651
--------------
ELECTRONICS -- 1.44%
Agilent Technologies
Inc.+..................... 133,393 9,837,734
Analog Devices Inc.+........ 104,380 7,932,880
Johnson Controls Inc. ...... 25,308 1,298,617
Linear Technology Corp. .... 91,800 5,869,462
Maxim Integrated Products
Inc.+..................... 83,400 5,665,987
Millipore Corp. ............ 13,625 1,026,984
Parker Hannifin Corp. ...... 33,031 1,131,312
PE Corp. (Biosystems
Group).................... 61,422 4,046,174
PerkinElmer Inc. ........... 14,448 955,374
Sanmina Corp.+.............. 43,750 3,740,625
Solectron Corp.+............ 175,954 7,368,074
Tektronix Inc. ............. 14,210 1,051,540
</TABLE>
The accompanying notes are an integral part of these financial statements.
162
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S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
Teradyne Inc.+.............. 51,090 $ 3,755,115
Thermo Electron Corp.+...... 46,003 968,938
Thomas & Betts Corp. ....... 17,143 327,860
--------------
54,976,676
--------------
ENGINEERING & CONSTRUCTION -- 0.02%
Fluor Corp.................. 22,558 713,407
--------------
713,407
--------------
ENTERTAINMENT -- 0.02%
Harrah's Entertainment
Inc.+..................... 36,015 754,064
--------------
754,064
--------------
ENVIRONMENTAL CONTROL -- 0.11%
Allied Waste Industries
Inc.+..................... 55,715 557,150
Waste Management Inc. ...... 183,268 3,482,092
--------------
4,039,242
--------------
FOOD -- 1.86%
Albertson's Inc. ........... 124,976 4,155,452
Archer-Daniels-Midland
Co. ...................... 177,683 1,743,514
Bestfoods................... 80,962 5,606,618
Campbell Soup Co. .......... 124,661 3,630,752
ConAgra Inc. ............... 145,231 2,768,466
General Mills Inc. ......... 86,036 3,290,877
Great Atlantic & Pacific Tea
Co. ...................... 11,288 187,663
Heinz (H.J.) Co. ........... 103,902 4,545,713
Hershey Foods Corp. ........ 40,435 1,968,679
Kellogg Co. ................ 119,649 3,559,558
Kroger Co.+................. 246,360 5,435,318
Nabisco Group Holdings Corp.
"A"....................... 96,363 2,499,415
Quaker Oats Co. ............ 38,658 2,904,182
Ralston Purina Co. ......... 90,546 1,805,261
Safeway Inc.+............... 146,509 6,611,219
Sara Lee Corp. ............. 256,527 4,954,178
Super Value Inc. ........... 38,779 739,225
Sysco Corp. ................ 98,312 4,141,393
Unilever NV................. 168,689 7,253,627
Winn-Dixie Stores Inc. ..... 42,658 610,543
Wrigley William Jr. Co. .... 33,637 2,697,267
--------------
71,108,920
--------------
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FOREST PRODUCTS & PAPER -- 0.37%
Boise Cascade Corp. ........ 16,843 $ 435,813
Fort James Corp. ........... 60,728 1,404,335
Georgia-Pacific Corp. ...... 50,289 1,320,086
International Paper Co. .... 142,526 4,249,056
Louisiana-Pacific Corp. .... 30,771 334,635
Mead Corp. ................. 30,346 766,236
Potlatch Corp. ............. 8,471 280,602
Temple-Inland Inc. ......... 15,437 648,354
Westvaco Corp. ............. 29,713 737,254
Weyerhaeuser Co. ........... 68,695 2,953,885
Willamette Industries
Inc. ..................... 32,672 890,312
--------------
14,020,568
--------------
GAS -- 0.07%
Eastern Enterprises......... 8,032 506,016
NICOR Inc. ................. 13,745 448,431
ONEOK Inc. ................. 8,584 222,648
Peoples Energy Corp. ....... 10,459 338,610
Sempra Energy............... 60,279 1,024,743
--------------
2,540,448
--------------
HAND/MACHINE TOOLS -- 0.05%
Black & Decker Corp. ....... 25,127 987,805
Snap-On Inc. ............... 17,253 459,361
Stanley Works (The)......... 25,902 615,172
--------------
2,062,338
--------------
HEALTH CARE -- 2.54%
Allergan Inc. .............. 38,250 2,849,625
Bard (C.R.) Inc. ........... 14,878 716,004
Bausch & Lomb Inc. ......... 15,621 1,208,675
Baxter International
Inc. ..................... 85,621 6,020,227
Becton Dickinson & Co. ..... 74,461 2,136,100
Biomet Inc. ................ 34,868 1,340,239
Boston Scientific Corp.+.... 120,321 2,639,542
Guidant Corp.+.............. 90,411 4,475,344
HCA -- The Healthcare
Company................... 164,536 4,997,781
Healthsouth Corp.+.......... 113,709 817,283
Humana Inc.+................ 49,704 242,307
Johnson & Johnson........... 410,347 41,804,101
Mallinckrodt Group Inc. .... 19,824 861,105
Manor Care Inc.+............ 30,186 211,302
Medtronic Inc. ............. 353,156 17,591,583
</TABLE>
The accompanying notes are an integral part of these financial statements.
163
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S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
St. Jude Medical Inc.+...... 24,753 $ 1,135,544
Tenet Healthcare Corp. ..... 92,273 2,491,371
UnitedHealth Group Inc. .... 47,903 4,107,682
Wellpoint Health Networks
Inc.+..................... 18,355 1,329,590
--------------
96,975,405
--------------
HOLDING COMPANIES -- DIVERSIFIED -- 0.20%
Seagram Co. Ltd. ........... 128,787 7,469,646
--------------
7,469,646
--------------
HOME BUILDERS -- 0.03%
Centex Corp. ............... 17,515 411,602
Kaufman & Broad Home
Corp. .................... 14,179 280,921
Pulte Corp. ................ 12,137 262,463
--------------
954,986
--------------
HOME FURNISHINGS -- 0.07%
Leggett & Platt Inc. ....... 58,000 957,000
Maytag Corp. ............... 23,111 852,218
Whirlpool Corp. ............ 21,581 1,006,214
--------------
2,815,432
--------------
HOUSEHOLD PRODUCTS/WARES -- 0.24%
American Greetings
Corp. "A"................. 19,020 361,380
Avery Dennison Corp. ....... 33,083 2,220,696
Clorox Co. ................. 69,302 3,105,596
Fortune Brands Inc. ........ 46,748 1,078,126
Newell Rubbermaid Inc. ..... 78,590 2,023,693
Tupperware Corp. ........... 17,021 374,462
--------------
9,163,953
--------------
INSURANCE -- 2.84%
Aetna Inc. ................. 41,589 2,669,494
AFLAC Inc. ................. 78,282 3,596,079
Allstate Corp. ............. 219,699 4,888,303
American General Corp. ..... 73,323 4,472,703
American International
Group..................... 454,825 53,441,938
Aon Corp. .................. 75,472 2,344,334
Chubb Corp. ................ 51,669 3,177,643
CIGNA Corp. ................ 48,077 4,495,199
Cincinnati Financial
Corp. .................... 47,444 1,491,521
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
Conseco Inc. ............... 95,946 $ 935,473
Hartford Financial Services
Group Inc. ............... 63,362 3,544,312
Jefferson-Pilot Corp. ...... 30,464 1,719,312
Lincoln National Corp. ..... 56,547 2,042,760
Loews Corp. ................ 29,113 1,746,780
Marsh & McLennan Companies
Inc. ..................... 79,585 8,311,659
MBIA Inc. .................. 29,039 1,399,317
MGIC Investment Corp. ...... 31,231 1,421,010
Progressive Corporation..... 21,575 1,596,550
SAFECO Corp. ............... 37,622 747,737
St. Paul Companies Inc. .... 62,543 2,134,280
Torchmark Corp. ............ 37,786 932,842
UNUMProvident Corp. ........ 70,960 1,423,635
--------------
108,532,881
--------------
IRON/STEEL -- 0.05%
Allegheny Technologies
Inc. ..................... 24,570 442,260
Bethlehem Steel Corp.+...... 39,001 138,941
Nucor Corp. ................ 25,074 832,143
USX -- U.S. Steel Group
Inc. ..................... 26,033 483,238
--------------
1,896,582
--------------
LEISURE TIME -- 0.22%
Brunswick Corp. ............ 25,932 429,499
Carnival Corp. "A".......... 178,339 3,477,610
Harley-Davidson Inc. ....... 89,600 3,449,600
Sabre Holdings Corp. ....... 38,105 1,085,993
--------------
8,442,702
--------------
LODGING -- 0.09%
Hilton Hotels Corp. ........ 108,662 1,018,706
Marriott International
Inc. ..................... 70,733 2,550,809
--------------
3,569,515
--------------
MACHINERY -- 0.34%
Briggs & Stratton Corp. .... 6,622 226,803
Caterpillar Inc. ........... 102,878 3,484,992
Cummins Engine Company
Inc. ..................... 12,200 332,450
Deere & Co. ................ 69,077 2,555,849
Dover Corp. ................ 59,863 2,428,193
</TABLE>
The accompanying notes are an integral part of these financial statements.
164
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S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
Ingersoll-Rand Co. ......... 47,786 $ 1,923,387
McDermott International
Inc. ..................... 17,706 156,034
Rockwell International
Corp. .................... 55,445 1,746,517
--------------
12,854,225
--------------
MANUFACTURERS -- 6.08%
Cooper Industries Inc. ..... 27,520 896,120
Corning Inc. ............... 81,353 21,955,141
Crane Co. .................. 17,843 433,808
Danaher Corp. .............. 41,806 2,066,784
Eastman Kodak Co. .......... 91,441 5,440,740
Eaton Corp. ................ 21,496 1,440,232
FMC Corp.+.................. 8,992 521,536
General Electric Co. ....... 2,919,108 154,712,724
Illinois Tool Works Inc. ... 88,936 5,069,352
ITT Industries Inc. ........ 25,973 788,930
Minnesota Mining &
Manufacturing Co. ........ 116,771 9,633,608
National Service Industries
Inc. ..................... 11,998 233,961
Pall Corp. ................. 36,449 674,307
Polaroid Corp. ............. 13,220 238,786
PPG Industries Inc. ........ 51,394 2,277,397
Textron Inc. ............... 42,584 2,312,844
Tyco International Ltd. .... 498,078 23,596,445
--------------
232,292,715
--------------
MEDIA -- 3.14%
Clear Channel Communications
Inc.+..................... 100,045 7,503,375
Comcast Corp. "A"+.......... 264,908 10,728,774
Disney (Walt) Co. .......... 613,024 23,792,994
Dow Jones & Co. Inc. ....... 26,136 1,914,462
Gannett Co. Inc. ........... 78,630 4,703,057
Harcourt General Inc. ...... 21,181 1,151,717
Knight Ridder Inc. ......... 22,948 1,220,547
McGraw-Hill Companies
Inc. ..................... 57,345 3,096,630
Meredith Corp. ............. 14,947 504,461
New York Times Co. "A"...... 50,154 1,981,083
Time Warner Inc. ........... 388,170 29,500,920
Tribune Co. ................ 91,032 3,186,120
Viacom Inc. "B"+............ 449,923 30,679,125
--------------
119,963,265
--------------
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
METAL FABRICATE/HARDWARE -- 0.02%
Timken Co. ................. 17,951 $ 334,337
Worthington Industries
Inc. ..................... 25,390 266,595
--------------
600,932
--------------
METALS -- DIVERSIFIED -- 0.30%
Alcan Aluminium Ltd. ....... 64,565 2,001,515
Alcoa Inc. ................. 254,914 7,392,506
Freeport-McMoRan
Copper & Gold Inc.+....... 47,174 436,360
Inco Ltd.+.................. 53,637 824,669
Phelps Dodge Corp. ......... 23,201 862,787
--------------
11,517,837
--------------
MINING -- 0.12%
Barrick Gold Corp. ......... 116,748 2,123,354
Homestake Mining Company.... 76,835 528,241
Newmont Mining Corp. ....... 49,505 1,070,546
Placer Dome Inc. ........... 96,556 923,317
--------------
4,645,458
--------------
OFFICE/BUSINESS EQUIPMENT -- 0.19%
Pitney Bowes Inc. .......... 76,003 3,040,120
Xerox Corp. ................ 196,566 4,078,745
--------------
7,118,865
--------------
OIL & GAS PRODUCERS -- 4.74%
Amerada Hess Corp. ......... 26,691 1,648,169
Anadarko Petroleum Corp. ... 37,795 1,863,766
Apache Corp. ............... 33,597 1,975,924
Burlington Resources
Inc. ..................... 63,478 2,428,034
Chevron Corp. .............. 192,401 16,318,010
Coastal Corp. .............. 63,110 3,841,821
Conoco Inc. ................ 184,185 4,524,044
Exxon Mobil Corp. .......... 1,027,075 80,625,388
Kerr-McGee Corp. ........... 27,824 1,639,877
Occidental Petroleum
Corp. .................... 108,734 2,290,210
Phillips Petroleum Co. ..... 74,887 3,795,835
Rowan Companies Inc.+....... 27,675 840,628
Royal Dutch Petroleum
Co. ...................... 632,674 38,948,993
Sunoco Inc. ................ 26,137 769,408
Texaco Inc. ................ 162,900 8,674,425
Tosco Corp. ................ 42,650 1,207,528
Transocean Sedco Forex
Inc. ..................... 62,068 3,316,759
</TABLE>
The accompanying notes are an integral part of these financial statements.
165
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S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
OIL & GAS PRODUCERS (CONTINUED)
Union Pacific Resources
Group..................... 74,333 $ 1,635,326
Unocal Corp. ............... 71,663 2,373,837
USX -- Marathon
Group Inc. ............... 91,977 2,305,174
--------------
181,023,156
--------------
OIL & GAS SERVICES -- 0.57%
Baker Hughes Inc. .......... 97,458 3,118,656
Halliburton Co. ............ 131,018 6,182,412
Schlumberger Ltd. .......... 167,942 12,532,672
--------------
21,833,740
--------------
PACKAGING & CONTAINERS -- 0.09%
Ball Corp. ................. 8,780 282,606
Bemis Co. .................. 15,708 528,182
Crown Cork & Seal Co.
Inc. ..................... 37,841 567,615
Owens-Illinois Inc.+........ 43,219 505,122
Pactiv Corp.+............... 49,825 392,372
Sealed Air Corp.+........... 24,657 1,291,410
--------------
3,567,307
--------------
PHARMACEUTICALS -- 8.02%
Abbott Laboratories......... 457,120 20,370,410
ALZA Corp.+................. 30,289 1,790,837
American Home Products
Corp. .................... 384,853 22,610,114
Bristol-Myers Squibb Co. ... 581,988 33,900,801
Cardinal Health Inc. ....... 81,252 6,012,648
Lilly (Eli) and Company..... 333,194 33,277,751
MedImmune Inc.+............. 61,600 4,558,400
Merck & Co. Inc. ........... 678,408 51,983,013
Pfizer Inc. ................ 1,857,192 89,145,204
Pharmacia & Upjohn Inc. .... 374,555 19,359,812
Schering-Plough Corp. ...... 431,964 21,814,182
Watson Pharmaceutical
Inc.+..................... 28,471 1,530,316
--------------
306,353,488
--------------
PIPELINES -- 0.64%
Columbia Energy Group....... 23,772 1,560,038
EL Paso Energy Corp. ....... 68,257 3,476,841
Enron Corp. ................ 215,970 13,930,065
Williams Companies Inc. .... 130,360 5,434,383
--------------
24,401,327
--------------
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL -- 5.29%
AutoZone Inc.+.............. 39,456 $ 868,023
Bed Bath & Beyond Inc.+..... 41,400 1,500,750
Best Buy Co. Inc.+.......... 60,298 3,813,849
Circuit City Stores Inc. ... 59,963 1,990,022
Consolidated Stores
Corp.+.................... 32,652 391,824
CVS Corp. .................. 115,144 4,605,760
Darden Restaurants Inc. .... 36,480 592,800
Dillards Inc. "A"........... 27,622 338,370
Dollar General Corp. ....... 97,130 1,894,035
Federated Department Stores
Inc.+..................... 63,117 2,130,199
Gap Inc. ................... 251,098 7,846,813
Home Depot Inc. ............ 682,641 34,089,385
Kmart Corp.+................ 141,959 967,096
Kohls Corp.+................ 96,218 5,352,126
Limited Inc. ............... 126,776 2,741,531
Longs Drug Stores Inc. ..... 11,654 253,475
Lowe's Companies Inc. ...... 112,790 4,631,439
May Department Stores
Co. ...................... 98,073 2,353,752
McDonald's Corp. ........... 394,268 12,986,202
Nordstrom Inc. ............. 39,715 958,124
Office Depot Inc.+.......... 93,299 583,119
Penney (J.C.) Company
Inc. ..................... 76,999 1,419,669
RadioShack Corp. ........... 55,075 2,609,178
Rite Aid Corp. ............. 76,381 501,250
Sears, Roebuck and Co. ..... 104,024 3,393,783
Staples Inc.+............... 142,879 2,196,765
Starbucks Corp.+............ 54,200 2,069,763
Target Corporation.......... 134,574 7,805,292
Tiffany & Co. .............. 21,400 1,444,500
TJX Companies Inc. ......... 88,503 1,659,431
Toys R Us Inc.+............. 63,825 929,452
Tricon Global Restaurants
Inc.+..................... 43,482 1,228,367
Walgreen Co. ............... 297,328 9,570,245
Wal-Mart Stores Inc. ....... 1,315,010 75,777,451
Wendy's International
Inc. ..................... 33,543 597,485
--------------
202,091,325
--------------
SEMICONDUCTORS -- 6.15%
Advanced Micro Devices
Inc.+..................... 45,227 3,493,786
Altera Corp.+............... 58,700 5,983,731
Applied Materials Inc.+..... 238,236 21,590,138
Conexant Systems Inc.+...... 64,150 3,119,294
</TABLE>
The accompanying notes are an integral part of these financial statements.
166
<PAGE> 168
S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS (CONTINUED)
Intel Corp. ................ 988,115 $ 132,098,624
KLA -- Tencor Corp.+........ 54,896 3,214,847
LSI Logic Corp.+............ 90,558 4,901,452
Micron Technology Inc.+..... 163,751 14,420,343
National Semiconductor
Corp.+.................... 52,131 2,958,434
Novellus Systems Inc.+...... 38,500 2,177,656
Texas Instruments Inc. ..... 482,776 33,160,677
Xilinx Inc.+................ 94,800 7,826,925
--------------
234,945,907
--------------
SOFTWARE -- 7.90%
Adobe Systems Inc. ......... 35,326 4,592,380
America Online Inc.+........ 677,842 35,756,166
Autodesk Inc. .............. 17,182 596,001
Automatic Data Processing... 185,107 9,914,794
BMC Software Inc.+.......... 72,084 2,629,942
Citrix Systems Inc.+........ 54,640 1,034,745
Computer Associates
International Inc. ....... 173,596 8,885,945
Compuware Corp.+............ 106,345 1,103,329
First Data Corp. ........... 121,623 6,035,541
IMS Health Inc. ............ 87,683 1,578,294
Mercury Interactive
Corp.+.................... 23,500 2,273,625
Microsoft Corp.+............ 1,552,674 124,213,920
Novell Inc.+................ 97,214 899,230
Oracle Corp.+............... 837,472 70,399,990
Parametric Technology
Corp.+.................... 81,453 895,983
PeopleSoft Inc.+............ 81,410 1,363,618
Siebel Systems Inc.+........ 58,850 9,625,653
Yahoo! Inc.+................ 160,330 19,860,879
--------------
301,660,035
--------------
TELECOMMUNICATION EQUIPMENT -- 4.54%
ADC Telecommunications
Inc.+..................... 99,502 8,345,723
Andrew Corp.+............... 23,767 797,680
Comverse Technology Inc.+... 45,050 4,189,650
Lucent Technologies Inc. ... 960,833 56,929,355
Motorola Inc. .............. 634,980 18,454,106
Nortel Networks Corp. ...... 873,984 59,649,408
QUALCOMM Inc.+.............. 218,596 13,115,760
Scientific-Atlanta Inc. .... 46,946 3,497,477
Tellabs Inc.+............... 120,813 8,268,140
--------------
173,247,299
--------------
</TABLE>
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS -- 0.96%
Global Crossing Ltd.+....... 260,199 $ 6,846,486
Nextel Communications
Inc. "A"+................. 223,764 13,691,560
Sprint Corp. (PCS Group)+... 270,013 16,065,774
--------------
36,603,820
--------------
TELEPHONE -- 5.62%
Alltel Corp. ............... 93,034 5,762,293
AT&T Corp. ................. 1,107,175 35,014,417
Bell Atlantic Corp. ........ 456,085 23,174,819
BellSouth Corp. ............ 555,119 23,661,947
CenturyTel Inc. ............ 41,419 1,190,796
GTE Corp. .................. 284,015 17,679,934
SBC Communications Inc. .... 1,003,688 43,409,506
Sprint Corp. (FON Group).... 258,680 13,192,680
US West Communications
Inc. ..................... 149,780 12,843,635
WorldCom Inc.+.............. 844,758 38,753,273
--------------
214,683,300
--------------
TEXTILES -- 0.00%
Springs Industries Inc.
"A"....................... 5,242 168,727
--------------
168,727
--------------
TOBACCO -- 0.49%
Philip Morris Companies
Inc. ..................... 674,720 17,922,250
UST Inc. ................... 47,906 703,619
--------------
18,625,869
--------------
TOYS/GAMES/HOBBIES -- 0.06%
Hasbro Inc. ................ 50,812 765,356
Mattel Inc. ................ 125,622 1,656,640
--------------
2,421,996
--------------
TRANSPORTATION -- 0.39%
Burlington Northern Santa Fe
Corp. .................... 126,334 2,897,786
CSX Corp. .................. 64,427 1,365,047
FedEx Corp.+................ 85,557 3,251,166
Kansas City Southern
Industries Inc. .......... 32,841 2,912,586
Norfolk Southern Corp. ..... 113,050 1,681,619
Union Pacific Corp. ........ 73,080 2,717,663
--------------
14,825,867
--------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
167
<PAGE> 169
S&P 500 INDEX MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
-------- ------ --------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TRUCKING & LEASING -- 0.01%
Ryder System Inc............ 17,510 $ 331,596
--------------
331,596
--------------
TOTAL COMMON STOCKS (Cost:
$2,696,343,153)........................... 3,686,190,751
--------------
<CAPTION>
PRINCIPAL
---------
<S> <C> <C>
SHORT TERM INSTRUMENTS++ -- 2.71%
FHLMC Discount Note 6.42%,
07/05/00++................ $ 18,395,703 18,395,703
Goldman Sachs Financial
Square Prime Obligation
Fund 6.57%, 07/03/00++.... 56,944,870 56,944,870
Short Term Investment
Company Liquid Assets
Portfolio 6.67%,
07/03/00++................ 20,300,000 20,300,000
U.S. Treasury Bills 5.61%,
09/21/00*+++.............. 8,150,000 8,047,310
--------------
TOTAL SHORT TERM INSTRUMENTS (Cost:
$103,688,397)............................. 103,687,883
--------------
</TABLE>
<TABLE>
<CAPTION>
SECURITY PRINCIPAL VALUE
-------- --------- --------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 3.09%
Morgan Stanley Tri Party
Repurchase Agreement,
dated 06/30/00, due
07/03/00, with a maturity
value of $118,102,909 and
an effective yield of
6.30%..................... $118,040,937 $ 118,040,937
--------------
TOTAL REPURCHASE AGREEMENTS (Cost:
$118,040,937)............................. 118,040,937
--------------
Total Investments In Securities -- 102.33%
(Cost $2,918,072,487)..................... 3,907,919,571
--------------
Other Assets, Less
Liabilities -- (2.33%).................... (89,114,415)
--------------
NET ASSETS -- 100.00%..................... $3,818,805,156
==============
</TABLE>
---------------
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending
transactions. See Note 4.
+++ These U.S. Treasury Bills are held in segregated accounts in connection with
the Master Portfolio's holdings of S&P 500 futures contracts. See Note 1.
* Yield to Maturity.
The accompanying notes are an integral part of these financial statements.
168
<PAGE> 170
S&P 500 INDEX MASTER PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware business
trust pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and
had no operations prior to March 1, 1994. MIP currently issues the following
separate portfolios: Asset Allocation, Bond Index, Extended Index, International
Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030, LifePath
2040, Money Market, S&P 500 Index and U.S. Equity Index Master Portfolios.
These financial statements relate to the S&P 500 Index Master Portfolio
(the "Master Portfolio").
The following is a summary of significant accounting policies which are
consistently followed by the MIP in the preparation of its financial statements,
and which are in conformity with generally accepted accounting principles for
investment companies. 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 revenue and expenses during the reporting
period. Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of the Master Portfolio are valued at the last
reported sales price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Any
securities, restricted securities or other assets for which market quotations
are not readily available, are valued at fair value as determined in good faith
in accordance with policies approved by MIP's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Original issue discount and discount on securities purchased are accreted as
interest income using a constant yield to maturity method. Premiums on
securities purchased are amortized as a reduction in interest income using a
constant yield to maturity method.
FEDERAL INCOME TAXES
MIP believes that the Master Portfolio has and will continue to be operated
in a manner so as to qualify it as a partnership for federal income tax
purposes. Provided that the Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However, each
investor in the Master Portfolio will be taxed on its distributive share of the
Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes, the Master
Portfolio will be deemed to have "passed through" to interestholders any
interest, dividends, gains or losses for such purposes.
169
<PAGE> 171
S&P 500 INDEX MASTER PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
The determination of such share will be made in accordance with the
Internal Revenue Code of 1986, as amended (the "Code"), and regulations
promulgated thereunder.
It is intended that the Master Portfolio's assets, income and distributions
will be managed in such a way that an entity electing and qualifying as a
"regulated investment company" under the Code can continue to so qualify by
investing substantially all of its assets through the Master Portfolio, provided
that the regulated investment company meets other requirements for such
qualifications not within the control of the Master Portfolio (e.g.,
distributing at least 90% of the regulated investment company's "investment
company taxable income" annually).
FUTURES CONTRACTS
The Master Portfolio may purchase long futures contracts to gain exposure
to market changes as this may be more efficient or cost effective than actually
buying the securities. A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date and is exchange traded.
Upon entering into a futures contract, the Master Portfolio is required to
pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolio agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Master Portfolio as unrealized gains
or losses. When the contract is closed, the Master Portfolio records 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. Pursuant to regulations
and/or published positions of the Securities and Exchange Commission, the Master
Portfolio is required to segregate cash, U.S. Government securities or high
quality, liquid debt instruments in connection with long futures transactions in
an amount generally equal to the entire futures contract amount. Risks of
entering into futures contracts include the possibility that there may be an
illiquid market and that a change in the value of the contracts may not
correlate with changes in the value of the underlying securities.
As of June 30, 2000 the Master Portfolio had the following open long
futures contracts outstanding:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION NOTIONAL NET UNREALIZED
CONTRACTS TYPE DATE CONTRACT VALUE (DEPRECIATION)
--------- ---- ---------- -------------- --------------
<C> <S> <C> <C> <C>
346 S&P 500 Index............................... 09/15/00 $126,990,650 $(2,492,652)
</TABLE>
The Master Portfolio has pledged to brokers U.S. Treasury Bills for initial
margin requirements with a par value of $8,150,000.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
the Master Portfolio's Schedule of Investments. The advisor to the Master
Portfolio may pool the Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. The Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the advisor's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than the repurchase price.
170
<PAGE> 172
S&P 500 INDEX MASTER PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
The repurchase agreement entered into on June 30, 2000 by the Master
Portfolio is fully collateralized by U.S. Government obligations with rates from
4.875% to 5.75%, maturity dates of 11/15/00 to 3/31/01 and an aggregate market
value of $120,411,574.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of the Master Portfolio's assets.
BGFA is entitled to receive 0.05% of the average daily net assets of the Master
Portfolio as compensation for advisory services. BGFA is an indirect subsidiary
of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from Barclays
Global Investors, N.A. ("BGI") for its services as SubAdministrator of the
Master Portfolio.
Stephens Inc. ("Stephens"), is the sponsor and placement agent for the
Master Portfolio.
The MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolio, such as managing and
coordinating third-party service relationships. BGI and Stephens are not
entitled to compensation for providing administration services to the Master
Portfolio. BGI and Stephens may delegate certain of their administration duties
to sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
June 30, 2000, these officers of Stephens collectively owned less than 1% of the
Master Portfolio's outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
the Master Portfolio for the six months ended June 30, 2000, were as follows:
<TABLE>
<S> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost........................................... $ --
Sales proceeds.............................................. --
OTHER SECURITIES:
Purchases at cost........................................... $ 166,532,696
Sales proceeds.............................................. 1,076,048,259
</TABLE>
At June 30, 2000 the Master Portfolio's aggregate unrealized appreciation
and depreciation based on cost for federal income tax purposes were as follows:
<TABLE>
<CAPTION>
TAX UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
---- -------------- ------------- --------------
<S> <C> <C> <C>
$2,918,072,487 $1,241,324,604 $(251,477,520) $989,847,084
</TABLE>
4. PORTFOLIO SECURITIES LOANED
As of June 30, 2000, the Master Portfolio had loaned securities which were
collateralized by U.S. Government Agency obligations and Money Market Mutual
Funds. The Master Portfolio receives transaction fees for providing services in
connection with the securities lending program. The risk to the Master Portfolio
171
<PAGE> 173
S&P 500 INDEX MASTER PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. PORTFOLIO SECURITIES LOANED (CONTINUED)
of securities lending are that the borrower may not provide additional
collateral when required or return the securities when due. The value of the
securities on loan at June 30, 2000 was $92,268,933 and the value of the related
collateral was $95,640,573.
5. FINANCIAL HIGHLIGHTS
The ratios of expenses to average net assets, net investment income to
average net assets and portfolio turnover rates, excluding short-term
securities, for the Master Portfolio were as follows:
<TABLE>
<CAPTION>
SIX MONTHS
ENDED FOR THE FOR THE
JUNE 30, PERIOD ENDED YEAR ENDED
2000 DECEMBER 31, FEBRUARY 28,
(UNAUDITED) 1999* 1999
----------- ------------ ------------
<S> <C> <C> <C>
Ratio of expenses to average net assets+.................. 0.05% 0.05% 0.05%
Ratio of net investment income to average net assets+..... 1.24% 1.44% 1.61%
Portfolio turnover rate................................... 4% 7% 11%
</TABLE>
---------------
* For the ten months ended December 31,1999. The Master Portfolio changed its
fiscal year-end from February 28 to December 31.
+ Annualized for the period of less than one year.
172
<PAGE> 174
DISTRIBUTOR: -----------------
Diversified Investors Securities Corp. (DISC) | BULK RATE |
4 Manhattanville Road, Purchase, New York 10577 | US POSTAGE |
914-697-8000 www.divinvest.com | PAID |
| NEW YORK, NY |
|PERMIT NO. 8048|
-----------------
