<PAGE> 1
DIVERSIFIED INVESTMENT ADVISORS
The Diversified Investors Long Horizon Fund
Funds Group
Intermediate Long
and Horizon Fund
The Diversified Investors Intermediate Horizon Fund
Strategic Allocation Funds
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
Equity Income Fund
Balanced Fund
1999 ANNUAL REPORT Core Bond Fund
Intermediate Government
Bond Fund
High Quality Bond Fund
Money Market Fund
[DIVERSIFIED LOGO]
DIVERSIFIED
INVESTMENT
ADVISORS
<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, 1998.... 30
Stephens Intermediate Bond Portfolio........................ 34
Notes to Financial Statements............................... 35
Report of Independent Accountants........................... 55
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, 1998.... 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
Report of Independent Accountants........................... 77
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, 1998.... 90
PORTFOLIO OF INVESTMENTS:
Money Market Portfolio...................................... 92
High Quality Bond Portfolio................................. 94
Intermediate Government Bond Portfolio...................... 97
Core Bond Portfolio......................................... 99
Balanced Portfolio.......................................... 102
Equity Income Portfolio..................................... 112
Equity Value Portfolio...................................... 115
Growth & Income Portfolio................................... 118
Equity Growth Portfolio..................................... 121
Special Equity Portfolio.................................... 124
Aggressive Equity Portfolio................................. 131
High Yield Bond Portfolio................................... 133
International Equity Portfolio.............................. 136
Notes to Financial Statements............................... 141
Report of Independent Accountants........................... 151
Barclays Master Investment Portfolio -- S&P 500 Index....... 153
</TABLE>
<PAGE> 4
MONEY MARKET FUND
<TABLE>
<CAPTION>
SALOMON BROS. 3-MONTH T-BILL
MONEY MARKET FUND $13,193 INDEX $13,430
------------------------- ----------------------------
<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
</TABLE>
MONEY MARKET FUND -- PREMIUM
[LINE GRAPH]
<TABLE>
<CAPTION>
MONEY MARKET - PREMIUM $10,941 SALOMON BROS. $11,003
------------------------------ ---------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10479 10505
12/31/99 10941 11003
</TABLE>
3
<PAGE> 5
MONEY MARKET FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
MONEY MARKET - INSTITUTIONAL
$10,991 SALOMON BROS $11,003
---------------------------- --------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10501 10505
12/31/99 10991 11003
</TABLE>
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
HIGH QUALITY BOND FUND LEHMAN BROS. GOV/CORP. MERRILL LYNCH 1-3 YEAR
$13,466 BOND INDEX $14,550 TREASURY INDEX* $13,640
---------------------- ---------------------- -----------------------
<S> <C> <C> <C>
7/1/94 10000 10000 10000
12/31/94 10067 10087 9952
12/31/95 11260 12029 11047
12/31/96 11768 12378 11597
12/31/97 12369 13585 12369
12/31/98 13121 14870 13235
12/31/99 13466 14550 13640
</TABLE>
* The Merrill Lynch 1-3 Year Treasury Index will replace the Lehman Bros.
Gov/Corp. Bond as the comparative benchmark. This index comes closest to
matching the investment objectives of the High Quality Bond Fund.
4
<PAGE> 6
INTERMEDIATE GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND LEHMAN BROS. INT. GOV'T BOND INDEX
FUND $14,272 $14,529
---------------------------- ----------------------------------
<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 14272 14529
</TABLE>
CORE BOND FUND
<TABLE>
<CAPTION>
LEHMAN BROS. GOV/CORP. BOND
CORE BOND $14,272 INDEX $14,529
----------------- ---------------------------
<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
</TABLE>
5
<PAGE> 7
BALANCED FUND
<TABLE>
<CAPTION>
LEHMAN BROS.
BALANCED FUND S&P 500 INDEX GOV/CORP BOND INDEX COMPOSITE BENCHMARK
$22,323 $36,988 $14,550 * $25,806
------------- ------------- ------------------- -------------------
<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
</TABLE>
EQUITY INCOME FUND
<TABLE>
<CAPTION>
RUSSELL 1000 VALUE
EQUITY INCOME $24,922 S&P 500 INDEX $36,988 $28,501
--------------------- --------------------- ------------------
<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
</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 $14,175 S&P 500 INDEX $23,353 $19,005
-------------------- --------------------- ------------------
<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
</TABLE>
EQUITY VALUE FUND -- PREMIUM
[EQUITY VALUE FUND--PREMIUM GRAPH]
<TABLE>
<CAPTION>
EQUITY VALUE - PREMIUM RUSSELL 1000 VALUE
$10,666 S&P 500 INDEX $15,597 $12,413
---------------------- --------------------- ------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 11032 12875 11563
12/31/99 10666 15597 12413
</TABLE>
7
<PAGE> 9
EQUITY VALUE FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
EQUITY VALUE - INSTITUTIONAL RUSSELL 1000 VALUE
$10,722 S&P 500 INDEX $15,597 $12,413
---------------------------- --------------------- ------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 11068 12875 11563
12/31/99 10722 15597 12413
</TABLE>
GROWTH & INCOME FUND
<TABLE>
<CAPTION>
GROWTH & INCOME $38,676 S&P 500 INDEX $36,988
----------------------- ---------------------
<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
</TABLE>
8
<PAGE> 10
EQUITY GROWTH FUND
<TABLE>
<CAPTION>
RUSSELL 1000 GROWTH
EQUITY GROWTH $37,438 S&P 500 INDEX $36,988 $44,169
--------------------- --------------------- -------------------
<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
</TABLE>
EQUITY GROWTH FUND -- PREMIUM
<TABLE>
<CAPTION>
EQUITY GROWTH - PREMIUM RUSSELL 1000 GROWTH
$18,685 S&P 500 INDEX $15,597 $18,471
----------------------- --------------------- -------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 13620 12875 13871
12/31/99 18685 15597 18471
</TABLE>
9
<PAGE> 11
EQUITY GROWTH FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
EQUITY GROWTH - RUSSELL 1000 GROWTH
INSTITUTIONAL $18,755 S&P 500 INDEX $15,597 $18,471
--------------------- --------------------- -------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 13654 12875 13871
12/31/99 18755 15597 18471
</TABLE>
SPECIAL EQUITY FUND
<TABLE>
<CAPTION>
SPECIAL EQUITY $31,411 S&P 500 INDEX $36,988 RUSSELL 2000 $22,705
---------------------- --------------------- --------------------
<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
</TABLE>
10
<PAGE> 12
SPECIAL EQUITY FUND -- PREMIUM
<TABLE>
<CAPTION>
SPECIAL EQUITY - PREMIUM
$13,028 S&P 500 INDEX $15,597 RUSSELL 2000 $11,817
------------------------ --------------------- --------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 10405 12875 9745
12/31/99 13028 15597 11817
</TABLE>
SPECIAL EQUITY FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
SPECIAL EQUITY -
INSTITUTIONAL $13,073 S&P 500 INDEX $15,597 RUSSELL 2000 $11,817
--------------------- --------------------- --------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 10421 12875 9745
12/31/99 13073 15597 11817
</TABLE>
11
<PAGE> 13
AGGRESSIVE EQUITY FUND
<TABLE>
<CAPTION>
RUSSELL 2000 GROWTH
AGGRESSIVE EQUITY $23,347 S&P 500 INDEX $23,353 $12,886
------------------------- --------------------- -------------------
<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
</TABLE>
HIGH YIELD BOND FUND
<TABLE>
<CAPTION>
HIGH YIELD BOND FUND LEHMAN BROS. GOV/CORP. SALOMON HIGH YIELD CASH
$12,480 BOND INDEX $12,096 PAY INDEX* $13,200
-------------------- ---------------------- -----------------------
<S> <C> <C> <C>
1/30/96 10000 10000 10000
12/31/96 10871 10225 11085
12/31/97 12207 11294 12539
12/31/98 12475 12362 13093
12/31/99 12480 12096 13200
</TABLE>
* The Salomon High Yield Cash Pay Index will replace the Lehman Bros. Gov/Corp.
Bond Index as the comparative benchmark. This index comes closest to matching
the investment objectives of the High Yield Bond Fund.
12
<PAGE> 14
HIGH YIELD BOND FUND -- PREMIUM
[HIGH YIELD BOND FUND--PREMIUM GRAPH]
<TABLE>
<CAPTION>
HIGH YIELD BOND - LEHMAN BROS. GOV/CORP. SALOMON HIGH YIELD CASH
PREMIUM $10,150 BOND INDEX $10,711 PAY INDEX* $10,528
----------------- ---------------------- -----------------------
<S> <C> <C> <C>
1/5/98 10000.00 10000.00 10000.00
12/31/98 10185.00 10946.00 10442.00
12/31/99 10150.00 10711.00 10528.00
</TABLE>
HIGH YIELD BOND FUND -- INSTITUTIONAL
[HIGH YIELD BOND FUND--INSTITUTIONAL GRAPH]
<TABLE>
<CAPTION>
HIGH YIELD BOND - LEHMAN BROS. GOV/CORP. SALOMON HIGH YIELD CASH
INSTITUTIONAL $10,221 BOND INDEX $10,711 PAY INDEX* $10,528
--------------------- ---------------------- -----------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 10214 10946 10442
12/31/99 10221 10711 10528
</TABLE>
* The Salomon High Yield Cash Pay Index will replace the Lehman Bros. Gov/Corp.
Bond Index as the comparative benchmark. This index comes closest to matching
the investment objectives of the High Yield Bond Fund.
13
<PAGE> 15
INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND MSCI GDP EAFE INDEX MSCI WORLD EX-US EQUITY
$22,189 $19,158 INDEX* $16,797
------------------------- ------------------- -----------------------
<S> <C> <C> <C>
1/18/96 10000 10000 10000
12/31/96 11387 10667 10720
12/31/97 12268 11471 10994
12/31/98 13552 14582 13095
12/31/99 22189 19158 16797
</TABLE>
INTERNATIONAL EQUITY FUND -- PREMIUM
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY - MSCI GDP EAFE MSCI WORLD EX-US EQUITY
PREMIUM $18,020 $16,701 INDEX* $15,278
---------------------- ------------- -----------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 11011 12712 11911
12/31/99 18020 16701 15278
</TABLE>
* The MSCI World Ex-US Equity Index will replace the MSCI GDP EAFE Index as the
comparative benchmark. This index comes closest to matching the investment
objectives of the International Equity Fund.
14
<PAGE> 16
INTERNATIONAL EQUITY FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY - MSCI GDP EAFE MSCI WORLD EX-US EQUITY
INSTITUTIONAL $18,077 $16,701 INDEX* $15,278
---------------------- ------------- -----------------------
<S> <C> <C> <C>
1/5/98 10000 10000 10000
12/31/98 11027 12712 11911
12/31/99 18077 16701 15278
</TABLE>
STEPHENS INTERMEDIATE BOND FUND -- PREMIUM
<TABLE>
<CAPTION>
STEPHENS INTERMEDIATE BOND - LEHMAN BROS INTERMEDIATE GOVT
PREMIUM $10,750 BOND $10,902
---------------------------- -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10608 10849
12/31/99 10750 10902
</TABLE>
* The MSCI World Ex-US Equity Index will replace the MSCI GDP EAFE Index as the
comparative benchmark. This index comes closest to matching the investment
objectives of the International Equity Fund.
15
<PAGE> 17
STEPHENS INTERMEDIATE BOND FUND -- INSTITUTIONAL
<TABLE>
<CAPTION>
STEPHENS INTERMEDIATE BOND - LEHMAN BROS INTERMEDIATE GOVT
INSTITUTIONAL $10,777 BOND $10,902
---------------------------- -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10622 10849
12/31/99 10777 10902
</TABLE>
STEPHENS SELECT EQUITY FUND -- PREMIUM
<TABLE>
<CAPTION>
STEPHENS SELECT EQUITY - PREMIUM
$10,448 RUSSELL MID CAP VALUE $10,530
-------------------------------- -----------------------------
<S> <C> <C>
1/5/98 10000.00 10000.00
12/31/98 10500.00 10542.00
12/31/99 10448.00 10530.00
</TABLE>
16
<PAGE> 18
STEPHENS SELECT EQUITY FUND -- INSTITUTIONAL
[STEPHENS SELECT EQUITY FUND--INSTITUTIONAL GRAPH]
<TABLE>
<CAPTION>
STEPHENS SELECT EQUITY -
INSTITUTIONAL $10,499 RUSSELL MID CAP VALUE $10,530
------------------------ -----------------------------
<S> <C> <C>
1/5/98 10000 10000
12/31/98 10541 10542
12/31/99 10499 10530
</TABLE>
STOCK INDEX FUND
[STOCK INDEX GRAPH]
<TABLE>
<CAPTION>
STOCK INDEX - $11,537 S&P 500 INDEX - $11,596
--------------------- -----------------------
<S> <C> <C>
03/10/99 10000 10000
12/31/99 11537 11596
</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 December 31, 1999.
All indices are shown for the period from the funds' inception through December
31, 1999.
Past performance is not indicative of future performance.
17
<PAGE> 19
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MONEY HIGH
MARKET QUALITY BOND
------------ ------------
<S> <C> <C>
ASSETS:
Securities at value......................................... $ -- $ --
Investment in Series Portfolio, at value.................... 120,071,406 36,442,474
Receivable for securities sold.............................. -- --
Receivable for Fund shares sold............................. 1,154,286 37,371
Interest receivable......................................... -- --
Receivable for fee reimbursements........................... 17,312 2,305
------------ -----------
Total assets............................................ 121,243,004 36,482,150
------------ -----------
LIABILITIES:
Due to Custodian............................................ -- --
Payable for Fund shares repurchased......................... 16,940,373 1,961
Accrued expenses............................................ 89,560 39,257
Distribution fees........................................... 25,050 7,498
Shareholder servicing fees.................................. 6,524 --
Investment advisory fees.................................... -- --
------------ -----------
Total liabilities....................................... 17,061,507 48,716
------------ -----------
NET ASSETS.............................................. $104,181,497 $36,433,434
============ ===========
NET ASSETS CONSIST OF:
Paid-in capital........................................... $104,186,769 $37,162,263
Undistributed (accumulated) net investment income
(loss).................................................. 17,651 251
Undistributed (accumulated) net realized gains (losses)... (22,923) (104,985)
Net unrealized appreciation (depreciation) on translation
of assets and liabilities in foreign currencies......... -- --
Net unrealized appreciation (depreciation) on securities
and futures............................................. -- (624,095)
------------ -----------
NET ASSETS.............................................. $104,181,497 $36,433,434
============ ===========
NET ASSETS:
Diversified Class of Shares............................... $ 99,519,160 $36,433,434
============ ===========
Stephens Premium Class of Shares.......................... $ 140,261
============
Stephens Institutional Class of Shares.................... $ 4,522,076
============
OUTSTANDING SHARES OF CAPITAL STOCK OF $.00001 PAR VALUE PER
SHARE, UNLIMITED NUMBER OF SHARES OF BENEFICIAL INTEREST
AUTHORIZED:
Diversified Class of Shares............................... 9,403,805 3,255,312
============ ===========
Stephens Premium Class of Shares.......................... 13,330
============
Stephens Institutional Class of Shares.................... 435,012
============
NET ASSET VALUE PER SHARE*:
Diversified Class of Shares............................... $ 10.58 $ 11.19
============ ===========
Stephens Premium Class of Shares.......................... $ 10.52
============
Stephens Institutional Class of Shares.................... $ 10.40
============
</TABLE>
- ---------------
(1) Formerly the Government/Corporate Bond Fund
(2) Commencement of Operations, March 10, 1999
* 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 BOND EQUITY EQUITY GROWTH &
BOND FUND(1) BALANCED INCOME VALUE INCOME
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $ -- $ -- $ --
40,449,791 112,579,795 143,061,449 203,591,459 107,166,237 446,238,191
-- -- -- -- -- --
33,324 65,741 128,824 194,644 2,829,883 14,051,827
-- -- -- -- -- --
4,047 278 14,693 15,790 31,299 11,906
----------- ------------ ------------ ------------ ------------ ------------
40,487,162 112,645,814 143,204,966 203,801,893 110,027,419 460,301,924
----------- ------------ ------------ ------------ ------------ ------------
-- -- -- -- -- --
68,459 42,800 66,342 187,367 213,510 211,952
43,482 58,045 94,822 89,711 92,287 203,274
8,395 23,316 29,636 41,943 20,995 89,166
-- -- -- -- 16,299 --
-- -- -- -- -- --
----------- ------------ ------------ ------------ ------------ ------------
120,336 124,161 190,800 319,021 343,091 504,392
----------- ------------ ------------ ------------ ------------ ------------
$40,366,826 $112,521,653 $143,014,166 $203,482,872 $109,684,328 $459,797,532
=========== ============ ============ ============ ============ ============
$41,629,458 $118,122,342 $137,017,425 $203,032,948 $123,341,033 $360,047,180
741 18,438 14,097 26,630 389,546 --
-- (3,019,668) 380,727 1,262,655 (3,431,506) 6,454,175
-- -- 9,088 -- -- --
(1,263,373) (2,599,459) 5,592,829 (839,361) (10,614,745) 93,296,177
----------- ------------ ------------ ------------ ------------ ------------
$40,366,826 $112,521,653 $143,014,166 $203,482,872 $109,684,328 $459,797,532
=========== ============ ============ ============ ============ ============
$40,366,826 $112,521,653 $143,014,166 $203,482,872 $ 88,167,552 $459,797,532
=========== ============ ============ ============ ============ ============
$ 5,427,056
============
$ 16,089,720
============
3,798,797 9,469,270 8,764,274 9,379,766 7,899,138 15,484,702
=========== ============ ============ ============ ============ ============
617,457
============
1,809,904
============
$ 10.63 $ 11.88 $ 16.32 $ 21.69 $ 11.16 $ 29.69
=========== ============ ============ ============ ============ ============
$ 8.79
============
$ 8.89
============
</TABLE>
19
<PAGE> 21
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
------------ ------------
<S> <C> <C>
ASSETS:
Securities at value (Cost $25,323,284)...................... $ -- $ --
Investment in Series Portfolio, at value.................... 370,517,931 246,788,961
Receivable for securities sold.............................. -- --
Receivable for Fund shares sold............................. 808,242 615,566
Interest receivable......................................... -- --
Receivable for fee reimbursements........................... 15,420 15,205
------------ ------------
Total assets............................................ 371,341,593 247,419,732
------------ ------------
LIABILITIES:
Due to Custodian............................................ -- --
Payable for Fund shares repurchased......................... 95,569 6,474,069
Accrued expenses............................................ 174,355 126,731
Distribution fees........................................... 74,360 46,218
Shareholder servicing fees.................................. 8,211 9,783
Investment advisory fees.................................... -- --
------------ ------------
Total liabilities....................................... 352,495 6,656,801
------------ ------------
NET ASSETS.............................................. $370,989,098 $240,762,931
============ ============
NET ASSETS CONSIST OF:
Paid-in capital........................................... $271,384,251 $206,810,979
Undistributed (accumulated) net investment income
(loss).................................................. -- --
Undistributed (accumulated) net realized gains (losses)... 9,687,548 8,390,120
Net unrealized appreciation (depreciation) on translation
of assets and liabilities in foreign currencies......... -- --
Net unrealized appreciation (depreciation) on securities
and futures............................................. 89,917,299 25,561,832
------------ ------------
NET ASSETS.............................................. $370,989,098 $240,762,931
============ ============
NET ASSETS:
Diversified Class of Shares............................... $352,834,964 $224,430,627
============ ============
Stephens Premium Class of Shares.......................... $ 4,057,198 $ 4,152,714
============ ============
Stephens Institutional Class of Shares.................... $ 14,096,936 $ 12,179,590
============ ============
OUTSTANDING SHARES OF CAPITAL STOCK OF $.00001 PAR VALUE PER
SHARE, UNLIMITED NUMBER OF SHARES OF BENEFICIAL INTEREST
AUTHORIZED:
Diversified Class of Shares............................... 11,484,326 9,167,160
============ ============
Stephens Premium Class of Shares.......................... 239,406 383,670
============ ============
Stephens Institutional Class of Shares.................... 837,894 1,089,969
============ ============
NET ASSET VALUE PER SHARE*:
Diversified Class of Shares............................... $ 30.72 $ 24.48
============ ============
Stephens Premium Class of Shares.......................... $ 16.95 $ 10.82
============ ============
Stephens Institutional Class of Shares.................... $ 16.82 $ 11.17
============ ============
</TABLE>
- ---------------
(1) Formerly the Government/Corporate Bond Fund
(2) Commencement of Operations, March 10, 1999
* 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(2)
------------ ----------- ------------- ------------ -------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $24,987,783 $ -- $ --
118,120,640 41,920,154 184,953,809 -- -- 25,699,020
-- -- -- 199,944 -- --
522,222 52,670 6,726,584 10,000 -- --
-- -- -- 499,999 -- --
11,212 15,826 26,440 23,887 16,583 107,467
------------ ----------- ------------ ----------- ------- -----------
118,654,074 41,988,650 191,706,833 25,721,613 16,583 25,806,487
------------ ----------- ------------ ----------- ------- -----------
-- -- -- 21,494 2,460 --
66,945 4,077 117,439 668,289 -- --
67,652 70,379 109,550 133,203 11,982 31,590
23,134 8,884 36,911 14,487 2 --
-- 2,434 9,137 21,716 16 --
-- -- -- 37,457 4 --
------------ ----------- ------------ ----------- ------- -----------
157,731 85,774 273,037 896,646 14,464 31,590
------------ ----------- ------------ ----------- ------- -----------
$118,496,343 $41,902,876 $191,433,796 $24,824,967 $ 2,119 $25,774,897
============ =========== ============ =========== ======= ===========
$ 79,296,492 $45,703,423 $130,215,679 $25,226,300 $ 2,119 $24,138,981
-- 18,855 (151,541) -- -- 5,311
1,838,389 (1,935,000) 983,520 (65,832) -- 35,238
-- -- (600,138) -- -- --
37,361,462 (1,884,402) 60,986,276 (335,501) -- 1,595,367
------------ ----------- ------------ ----------- ------- -----------
$118,496,343 $41,902,876 $191,433,796 $24,824,967 $ 2,119 $25,774,897
============ =========== ============ =========== ======= ===========
$118,496,343 $38,290,334 $175,208,902 $25,774,897
============ =========== ============ ===========
$ 297,640 $ 3,657,392 $ 3,598,922 $ 1,059
=========== ============ =========== =======
$ 3,314,902 $ 12,567,502 $21,226,045 $ 1,060
=========== ============ =========== =======
5,654,793 3,688,535 8,494,114 2,244,169
============ =========== ============ ===========
32,995 212,412 364,188 107
=========== ============ =========== =======
368,146 725,908 2,125,194 106
=========== ============ =========== =======
$ 20.96 $ 10.38 $ 20.63 $ 11.49
============ =========== ============ ===========
$ 9.02 $ 17.22 $ 9.88 $ 9.95**
=========== ============ =========== =======
$ 9.00 $ 17.31 $ 9.99 $ 9.97**
=========== ============ =========== =======
</TABLE>
21
<PAGE> 23
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MONEY HIGH
MARKET QUALITY BOND
---------- ------------
<S> <C> <C>
INTEREST INCOME............................................. $ -- $ --
ALLOCATED NET INVESTMENT INCOME (LOSS) FROM PORTFOLIOS...... 4,730,378 1,694,341
---------- ----------
EXPENSES:
Administration fees....................................... 278,128 87,637
Distribution fees......................................... 231,774 73,031
Professional fees......................................... 14,589 4,863
Trustees fees............................................. 3,255 1,055
Insurance fees............................................ 364 120
Fund accounting fees...................................... 21,900 9,899
Reports to shareholders................................... 19,832 6,226
Registration fees......................................... 44,427 19,538
Custody fees.............................................. -- --
Investment advisory fees.................................. -- --
Shareholder servicing fees (Note 3):
Stephens Premium Class of Shares....................... 932 --
Stephens Institutional Class of Shares................. 17,245 --
---------- ----------
Total expenses before reimbursements........................ 632,446 202,369
Fees reimbursed............................................. (149,232) (22,839)
---------- ----------
Net expenses................................................ 483,214 179,530
---------- ----------
Net investment income (loss)................................ 4,247,164 1,514,811
---------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES (NOTE 2):
Net realized gains (losses) on securities and futures..... (20,633) (30,158)
Net change in unrealized appreciation (depreciation) on
securities and futures................................. -- (701,343)
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................................. (20,633) (731,501)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $4,226,531 $ 783,310
========== ==========
</TABLE>
- ---------------
(1) Formerly the Government/Corporate Bond Fund
(2) Commencement of Operations, March 10, 1999
See notes to financial statements.
22
<PAGE> 24
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT CORE BOND EQUITY EQUITY GROWTH &
BOND FUND(1) BALANCED INCOME VALUE INCOME
------------ ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $ -- $ -- $ --
1,828,164 5,254,421 3,046,393 2,834,559 1,587,935 218,336
----------- ----------- ----------- ----------- ----------- -----------
100,035 268,759 368,175 485,212 275,070 964,584
83,363 223,966 306,812 404,343 229,225 803,820
4,887 4,717 5,378 5,504 14,576 6,338
1,055 1,055 1,055 1,055 3,256 1,055
120 122 121 120 366 121
9,899 9,899 9,899 9,900 21,900 9,899
9,667 3,565 40,914 3,503 16,218 342
20,618 26,894 28,637 31,919 44,452 90,432
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- 19,371 --
-- -- -- -- 52,296 --
----------- ----------- ----------- ----------- ----------- -----------
229,644 538,977 760,991 941,556 676,730 1,876,591
(25,597) (735) (28,531) (79,176) (207,760) (167,992)
----------- ----------- ----------- ----------- ----------- -----------
204,047 538,242 732,460 862,380 468,970 1,708,599
----------- ----------- ----------- ----------- ----------- -----------
1,624,117 4,716,179 2,313,933 1,972,179 1,118,965 (1,490,263)
----------- ----------- ----------- ----------- ----------- -----------
49,879 (2,989,387) 9,080,597 15,265,851 3,340,568 46,227,322
(1,381,216) (2,993,983) 2,381,690 (6,202,711) (8,950,631) 53,763,994
-- -- 9,088 -- -- --
-- -- 131,761 -- -- --
----------- ----------- ----------- ----------- ----------- -----------
(1,331,337) (5,983,370) 11,603,136 9,063,140 (5,610,063) 99,991,316
----------- ----------- ----------- ----------- ----------- -----------
$ 292,780 $(1,267,191) $13,917,069 $11,035,319 $(4,491,098) $98,501,053
=========== =========== =========== =========== =========== ===========
</TABLE>
23
<PAGE> 25
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
----------- -----------
<S> <C> <C>
INTEREST INCOME............................................. $ -- $ --
ALLOCATED NET INVESTMENT INCOME (LOSS) FROM PORTFOLIOS...... 274,447 216,937
----------- -----------
EXPENSES:
Administration fees....................................... 723,008 500,988
Distribution fees......................................... 602,507 417,490
Professional fees......................................... 15,241 14,948
Trustees fees............................................. 3,256 3,256
Insurance fees............................................ 365 364
Fund accounting fees...................................... 21,900 21,900
Reports to shareholders................................... 13,093 50,485
Registration fees......................................... 68,149 43,416
Custody fees.............................................. -- --
Investment advisory fees.................................. -- --
Shareholder servicing fees (Note 3):
Stephens Premium Class of Shares....................... 8,646 10,517
Stephens Institutional Class of Shares................. 33,214 32,919
----------- -----------
Total expenses before reimbursements........................ 1,489,379 1,096,283
Fees reimbursed............................................. (117,105) (117,378)
----------- -----------
Net expenses................................................ 1,372,274 978,905
----------- -----------
Net investment income (loss)................................ (1,097,827) (761,968)
----------- -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES (NOTE 2):
Net realized gains (losses) on securities and futures..... 29,618,171 29,976,744
Net change in unrealized appreciation (depreciation) on
securities and futures................................. 58,507,258 17,057,980
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................................. 88,125,429 47,034,724
----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $87,027,602 $46,272,756
=========== ===========
</TABLE>
- ---------------
(1) Formerly the Government/Corporate Bond Fund
(2) Commencement of Operations, March 10, 1999
See notes to financial statements.
24
<PAGE> 26
<TABLE>
<CAPTION>
STEPHENS STEPHENS
AGGRESSIVE HIGH YIELD INTERNATIONAL INTERMEDIATE SELECT STOCK
EQUITY BOND EQUITY BOND EQUITY INDEX(2)
----------- ----------- ------------- ------------ -------- ----------
<S> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $1,241,050 $ 7 $ --
(276,459) 2,952,183 805,103 -- -- 176,471
----------- ----------- ----------- ---------- -------- ----------
189,448 103,841 346,251 74,236 6 44,464
157,873 86,534 288,542 61,864 6 31,423
4,986 14,300 14,636 18,285 7,310 10,657
1,055 3,255 3,256 2,312 2,312 246
120 366 364 264 -- --
9,899 21,900 21,900 4,718 -- 5,951
6,300 19,413 18,602 4,415 2,000 6,148
27,066 37,659 43,930 14,528 14,528 26,507
-- -- -- 14,072 -- --
-- -- -- 24,745 3 --
-- 2,650 10,002 21,604 5 --
-- 9,450 31,424 71,486 4 --
----------- ----------- ----------- ---------- -------- ----------
396,747 299,368 778,907 312,529 26,174 125,396
(80,271) (125,621) (167,538) (110,762) (26,157) (50,919)
----------- ----------- ----------- ---------- -------- ----------
316,476 173,747 611,369 201,767 17 74,477
----------- ----------- ----------- ---------- -------- ----------
(592,935) 2,778,436 193,734 1,039,283 (10) 101,994
----------- ----------- ----------- ---------- -------- ----------
11,963,964 (1,971,625) 7,243,630 (65,832) -- 590,368
29,570,965 (780,498) 59,453,830 (597,651) -- 1,595,367
-- -- (222,294) -- -- --
-- -- (468,918) -- -- --
----------- ----------- ----------- ---------- -------- ----------
41,534,929 (2,752,123) 66,006,248 (663,483) -- 2,185,735
----------- ----------- ----------- ---------- -------- ----------
$40,941,994 $ 26,313 $66,199,982 $ 375,800 $ (10) $2,287,729
=========== =========== =========== ========== ======== ==========
</TABLE>
25
<PAGE> 27
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MONEY HIGH
MARKET QUALITY BOND
------------- ------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss)................................ $ 4,247,164 $ 1,514,811
Net realized gains (losses) on securities and futures....... (20,633) (30,158)
Net realized gains (losses) on foreign currency
transactions.............................................. -- --
Net change in unrealized appreciation (depreciation) on
securities................................................ -- (701,343)
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
------------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................... (4,229,513) (1,518,052)
In excess of net investment income.......................... -- --
Net realized gains from investment transactions............. -- --
In excess of net realized gains............................. -- --
Tax return of capital....................................... -- --
------------- -----------
Total dividends and distributions........................... (4,229,513) (1,518,052)
------------- -----------
CAPITAL SHARE TRANSACTIONS (NOTE 5):
DIVERSIFIED CLASS OF SHARES:
Issued during year.......................................... 842,626,435 21,019,600
Issued on reinvestment of dividends and distributions....... 4,087,650 1,518,052
Redeemed during year........................................ (811,080,282) (6,400,810)
------------- -----------
Net increase Diversified Class of Shares.................... 35,633,803 16,136,842
------------- -----------
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
------------- -----------
Total increase in net assets................................ 31,209,378 15,402,100
NET ASSETS:
Beginning of year........................................... 72,972,119 21,031,334
------------- -----------
End of year................................................. $ 104,181,497 $36,433,434
============= ===========
</TABLE>
- ---------------
(1) Formerly the Government/Corporate Bond Fund
See notes to financial statements.
26
<PAGE> 28
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT CORE BOND EQUITY EQUITY GROWTH &
BOND FUND (1) BALANCED INCOME VALUE INCOME
------------ ------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
$ 1,624,117 $ 4,716,179 $ 2,313,933 $ 1,972,179 $ 1,118,965 $ (1,490,263)
49,879 (2,989,387) 9,080,597 15,265,851 3,340,568 46,227,322
-- -- 131,761 -- -- --
(1,381,216) (2,993,983) 2,381,680 (6,202,711) (8,950,631) 53,763,994
-- -- 9,088 -- -- --
------------ ------------ ------------ ------------ ------------ -------------
292,780 (1,267,191) 13,917,069 11,035,319 (4,491,098) 98,501,053
------------ ------------ ------------ ------------ ------------ -------------
(1,618,309) (4,703,886) (2,446,230) (1,873,496) (1,072,387) --
-- -- -- -- -- --
(26,073) -- (6,755,333) (5,472,322) (3,047,040) (20,253,293)
-- -- -- -- (3,171,480) --
-- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ -------------
(1,644,382) (4,703,886) (9,201,563) (7,345,818) (7,290,907) (20,253,293)
------------ ------------ ------------ ------------ ------------ -------------
25,723,467 81,981,077 67,817,082 148,777,258 98,685,945 348,248,667
1,644,382 4,703,886 9,201,563 7,345,818 5,330,472 20,253,293
(11,542,749) (33,798,013) (42,190,264) (80,807,918) (61,300,748) (187,898,597)
------------ ------------ ------------ ------------ ------------ -------------
15,825,100 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
------------
15,825,100 52,886,950 34,828,381.. 75,315,158 51,556,519 180,603,363
------------ ------------ ------------ ------------ ------------ -------------
14,473,498 46,915,873 39,543,887.. 79,004,659 39,774,514 258,851,123
25,893,328 65,605,780 103,470,279.. 124,478,213 69,909,814 200,946,409
------------ ------------ ------------ ------------ ------------ -------------
$ 40,366,826 $112,521,653 $143,014,166.. $203,482,872 $109,684,328 $ 459,797,532
============ ============ ============ ============ ============ =============
</TABLE>
27
<PAGE> 29
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
------------- -------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss)................................ $ (1,097,827) $ (761,968)
Net realized gains (losses) on securities and futures....... 29,618,171 29,976,744
Net realized gains (losses) on foreign currency
transactions.............................................. -- --
Net change in unrealized appreciation (depreciation) on
securities................................................ 58,507,258 17,057,980
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
------------- -------------
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)
In excess of net realized gains............................. -- --
Tax return of capital....................................... -- --
------------- -------------
Total dividends and distributions........................... (14,061,707) (15,744,623)
------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 5):
DIVERSIFIED CLASS OF SHARES:
Issued during year.......................................... 273,476,423 222,838,966
Issued on reinvestment of dividends and distributions....... 12,782,283 13,708,047
Redeemed during year........................................ (154,382,515) (167,318,946)
------------- -------------
Net increase Diversified Class of Shares.................... 131,876,191 69,228,067
------------- -------------
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
------------- -------------
Total increase in net assets................................ 214,787,471 105,407,606
NET ASSETS:
Beginning of year........................................... 156,201,627 135,355,325
------------- -------------
End of year................................................. $ 370,989,098 $ 240,762,931
============= =============
</TABLE>
- ---------------
(2) Commencement of Operations, March 10, 1999
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(2)
------------ ------------ ------------- ------------ -------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ (592,935) $ 2,778,436 $ 193,734 $ 1,039,283 $ (10) $ 101,994
11,963,964 (1,971,625) 7,243,630 (65,832) -- 590,368
-- -- (468,918) -- -- --
29,570,965 (780,498) 59,453,830 (597,651) -- 1,595,367
-- -- (222,294) -- -- --
------------ ------------ ------------- ----------- ------ -----------
40,941,994 26,313 66,199,982 375,800 (10) 2,287,729
------------ ------------ ------------- ----------- ------ -----------
-- (4,123,179) -- (1,039,283) -- (96,683)
-- (35,112) (655,197) -- -- --
(8,275,296) (3,012,907) -- -- --
-- -- -- -- -- --
-- -- -- (30,094) -- --
------------ ------------ ------------- ----------- ------ -----------
(8,275,296) (4,158,291) (3,668,104) (1,069,377) -- (96,683)
------------ ------------ ------------- ----------- ------ -----------
111,196,362 58,411,981 418,368,685 25,359,765
8,275,296 3,740,886 3,336,191 96,683
(67,796,993) (43,147,624) (366,816,411) (1,872,597)
------------ ------------ ------------- -----------
51,674,665 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
------------ ------------- ----------- ------
51,674,665 20,579,240 57,705,393 4,619,809 25 23,583,851
------------ ------------ ------------- ----------- ------ -----------
84,341,363 16,447,262 120,237,271 3,926,232 15 25,774,897
34,154,980 25,455,614 71,196,525 20,898,735 2,104 --
------------ ------------ ------------- ----------- ------ -----------
$118,496,343 $ 41,902,876 $ 191,433,796 $24,824,967 $2,119 $25,774,897
============ ============ ============= =========== ====== ===========
</TABLE>
29
<PAGE> 31
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT
MARKET QUALITY BOND BOND
------------- ------------ ------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss)..................... $ 2,052,235 $ 737,842 $ 770,482
Net realized gains (losses) on investments....... (1,473) 29,057 107,529
Net realized losses on foreign currency
transactions.................................. -- -- --
Net change in unrealized appreciation
(depreciation) on investments................. -- 31,468 49,732
Net change in unrealized depreciation on
translation of assets and liabilities in
foreign currencies............................ -- -- --
------------- ----------- -----------
Net increase in net assets resulting from
operations.................................. 2,050,762 798,367 927,743
------------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ (2,056,080) (727,691) (826,903)
Net realized gains from investment
transactions.................................. -- -- (24,737)
Tax return of capital............................ (8,397) -- (4,962)
------------- ----------- -----------
Total dividends and distributions............. (2,064,477) (727,691) (856,602)
------------- ----------- -----------
SHARE TRANSACTIONS (NOTE 5):
Diversified Class of Shares:
Issued during period.......................... 220,809,042 17,032,104 21,235,350
Issued on reinvestment of dividends and
distributions............................... 1,829,291 727,691 856,602
Redeemed during period........................ (180,159,201) (5,279,979) (4,785,653)
------------- ----------- -----------
Net increase Diversified Class of Shares......... 42,479,132 12,479,816 17,306,299
------------- ----------- -----------
Stephens Premium Class of Shares:
Issued during period.......................... 213,449
Issued on reinvestment of dividends and
distributions............................... 2,618
Redeemed during period........................ (33,766)
-------------
Net increase Stephens Premium Class of Shares.... 182,301
-------------
Stephens Institutional Class of Shares:
Issued during period.......................... 13,406,313
Issued on reinvestment of dividends and
distributions............................... 232,568
Redeemed during period........................ (4,828,271)
-------------
Net increase Stephens Institutional Class of
Shares........................................ 8,810,610
-------------
Increase in net assets from net fund share
transactions.................................. 51,472,043 12,479,816 17,306,299
------------- ----------- -----------
Total increase in net assets....................... 51,458,328 12,550,492 17,377,440
NET ASSETS:
Beginning of year................................ 21,513,791 8,480,842 8,515,888
------------- ----------- -----------
End of year...................................... $ 72,972,119 $21,031,334 $25,893,328
============= =========== ===========
</TABLE>
- ---------------
(1) Formerly the Government/Corporate Bond Fund
See notes to financial statements.
30
<PAGE> 32
<TABLE>
<CAPTION>
CORE BOND EQUITY EQUITY GROWTH &
FUND(1) BALANCED INCOME VALUE INCOME
----------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
$ 2,293,501 $ 1,988,021 $ 1,558,680 $ 507,495 $ (262,584)
469,962 2,950,967 7,369,063 6,058,915 3,532,208
-- -- -- -- --
94,759 3,165,697 1,875,535 (1,712,883) 35,147,645
-- -- -- -- --
----------- ------------ ------------ ------------ ------------
2,858,222 8,104,685 10,803,278 4,853,527 38,417,269
----------- ------------ ------------ ------------ ------------
(2,700,618) (1,839,411) (1,592,157) (5,404,151) (26,386)
(32,409) (1,553,898) (2,064,467) (585,915) (90,329)
(1,598) -- (122,486) -- (3,437,597)
----------- ------------ ------------ ------------ ------------
(2,734,625) (3,393,309) (3,779,110) (5,990,066) (3,554,312)
----------- ------------ ------------ ------------ ------------
49,664,455 60,644,903 75,375,317 47,171,035 143,874,944
2,734,625 3,393,309 3,779,110 4,685,974 3,554,312
(8,421,724) (14,293,628) (24,637,005) (18,714,326) (42,366,588)
----------- ------------ ------------ ------------ ------------
43,977,356 49,744,584 54,517,422 33,142,683 105,062,668
----------- ------------ ------------ ------------ ------------
4,752,899
270,824
(1,978,320)
------------
3,045,403
------------
16,193,124
1,033,268
(3,677,964)
------------
13,548,428
------------
43,977,356 49,744,584 54,517,422 49,736,514 105,062,668
----------- ------------ ------------ ------------ ------------
44,100,953 54,455,960 61,541,590 48,599,975 139,925,625
21,504,827 49,014,319 62,936,623 21,309,839 61,020,784
----------- ------------ ------------ ------------ ------------
$65,605,780 $103,470,279 $124,478,213 $ 69,909,814 $200,946,409
=========== ============ ============ ============ ============
</TABLE>
31
<PAGE> 33
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
------------ ------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss).............................. $ (337,707) $ (427,228)
Net realized gains (losses) on investments................ 9,178,042 1,550,677
Net realized losses on foreign currency transactions...... -- --
Net change in unrealized appreciation (depreciation) on
investments............................................ 25,902,619 3,914,469
Net change in unrealized depreciation on translation of
assets and liabilities in foreign currencies........... -- --
------------ ------------
Net increase in net assets resulting from operations... 34,742,954 5,037,918
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (571,016) (391,549)
Net realized gains from investment transactions........... (4,170,104) (324,259)
Tax return of capital..................................... -- (615,405)
------------ ------------
Total dividends and distributions...................... (4,741,120) (1,331,213)
------------ ------------
SHARE TRANSACTIONS (NOTE 5):
Diversified Class of Shares:
Issued during period................................... 86,843,291 95,516,214
Issued on reinvestment of dividends and
distributions........................................ 4,632,309 1,230,854
Redeemed during period................................. (26,614,851) (37,533,602)
------------ ------------
Net increase Diversified Class of Shares.................. 64,860,749 59,213,466
------------ ------------
Stephens Premium Class of Shares:
Issued during period................................... 785,425 3,264,924
Issued on reinvestment of dividends and
distributions........................................ 4,770 44,934
Redeemed during period................................. (577,925) (1,622,825)
------------ ------------
Net increase Stephens Premium Class of Shares............. 212,270 1,687,033
------------ ------------
Stephens Institutional Class of Shares:
Issued during period................................... 4,042,573 8,428,892
Issued on reinvestment of dividends and
distributions........................................ 104,041 55,425
Redeemed during period................................. (206,529) (974,159)
------------ ------------
Net increase Stephens Institutional Class of Shares....... 3,940,085 7,510,158
------------ ------------
Increase in net assets from net fund share transactions... 69,013,104 68,410,657
------------ ------------
Total increase in net assets................................ 99,014,938 72,117,362
NET ASSETS:
Beginning of year......................................... 57,186,689 63,237,963
------------ ------------
End of year............................................... $156,201,627 $135,355,325
============ ============
</TABLE>
See notes to financial statements.
32
<PAGE> 34
<TABLE>
<CAPTION>
STEPHENS STEPHENS
AGGRESSIVE HIGH YIELD INTERNATIONAL INTERMEDIATE SELECT
EQUITY BOND EQUITY BOND EQUITY
----------- ----------- ------------- ------------ --------
<S> <C> <C> <C> <C> <C>
$ (157,344) $ 1,491,645 $ 249,296 $ 577,248 $ 104
531,404 (168,340) 1,773,277 147,340 --
-- -- (34,649) -- --
7,747,099 (1,220,106) 2,679,477 262,150 --
-- -- (547,838) -- --
----------- ----------- ------------ ----------- ------
8,121,159 103,199 4,119,563 986,738 104
----------- ----------- ------------ ----------- ------
-- (166,867) (79,239) (724,588) (104)
(6,693) (13,407) (664,269) -- --
(727,322) -- (548,890) (799) --
----------- ----------- ------------ ----------- ------
(734,015) (180,274) (1,292,398) (725,387) (104)
----------- ----------- ------------ ----------- ------
23,016,431 17,638,321 52,674,752
734,015 165,817 1,137,222
(5,838,329) (3,194,149) (23,283,329)
----------- ----------- ------------
17,912,117 14,609,989 30,528,645
----------- ----------- ------------
1,175,087 2,895,648 5,047,689 1,000
1,700 31,236 179,793 50
(847,744) (1,442,304) (1,124,777) --
----------- ------------ ----------- ------
329,043 1,484,580 4,102,705 1,050
----------- ------------ ----------- ------
2,564,932 7,395,904 21,362,649 1,000
12,757 123,940 545,595 54
(414,836) (1,227,251) (5,373,565) --
----------- ------------ ----------- ------
2,162,853 6,292,593 16,534,679 1,054
----------- ------------ ----------- ------
17,912,117 17,101,885 38,305,818 20,637,384 2,104
----------- ----------- ------------ ----------- ------
25,299,261 17,024,810 41,132,983 20,898,735 2,104
8,855,719 8,430,804 30,063,542 -- --
----------- ----------- ------------ ----------- ------
$34,154,980 $25,455,614 $ 71,196,525 $20,898,735 $2,104
=========== =========== ============ =========== ======
</TABLE>
33
<PAGE> 35
STEPHENS INTERMEDIATE BOND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- -----------
<C> <S> <C>
US TREASURY NOTES -- 55.27%
$ 600,000 4.625%, 12/31/00............................................ $ 591,375
500,000 5.50%, 07/31/01............................................. 494,844
2,250,000 5.875%, 09/30/02............................................ 2,226,094
3,600,000 5.75%, 10/31/02............................................. 3,549,377
7,025,000 5.50%, 01/31/03............................................. 6,858,156
-----------
13,719,846
TOTAL US TREASURY NOTES (Cost $13,993,190)..................
-----------
US GOVERNMENT AGENCY SECURITIES -- 40.39%
FANNIE MAE -- 15.50%
3,040,000 6.24%, 07/29/02............................................. 3,011,843
190,000 6.13%, 10/07/02............................................. 187,410
665,000 5.94%, 01/27/03............................................. 648,419
-----------
3,847,672
TOTAL FANNIE MAE............................................
-----------
FEDERAL HOME LOAN BANK -- 9.18%
1,000,000 5.66%, 01/13/03............................................. 972,005
1,350,000 5.53%, 01/15/03............................................. 1,307,355
-----------
2,279,360
TOTAL FEDERAL HOME LOAN BANK................................
-----------
US TREASURY INFLATION INDEX -- 15.71%
3,750,000 3.625%, 07/15/02............................................ 3,899,989
-----------
10,027,021
TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $10,083,107)....
-----------
CORPORATE NOTE -- 5.00%
1,250,000 Wal-Mart Stores, 6.15%, 08/10/01 (Cost $1,246,987).......... 1,240,916
-----------
24,987,783
Total Investments -- 100.66% (Cost $25,323,284).............
(162,816)
Liabilities less other assets -- (0.66)%....................
-----------
$24,824,967
NET ASSETS -- 100.00%.......................................
===========
The aggregate cost of securities for federal income tax
purposes at
December 31, 1999, is $25,389,116.
The following amount is based on costs for federal income
tax purposes:
</TABLE>
<TABLE>
<C> <S> <C>
$ 91,435
Gross unrealized appreciation...............................
(492,768)
Gross unrealized depreciation...............................
-----------
$ (401,333)
Net unrealized depreciation.................................
===========
</TABLE>
See notes to financial statements.
34
<PAGE> 36
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS
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
(formerly known as the Government/Corporate Bond Fund), the Balanced Fund, 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. 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. Certain of the Funds and the Stephens Funds
offer Premium Class and Institutional Class shares. The Stephens Intermediate
Bond Fund seeks to achieve its investments 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 December 31, 1999, 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................................................ 28.74
High Quality Bond........................................... 18.24
Intermediate Government Bond................................ 23.14
Core Bond................................................... 21.83
Balanced.................................................... 27.22
Equity Income............................................... 14.38
Equity Value................................................ 27.19
Growth & Income............................................. 33.88
Equity Growth............................................... 29.26
Special Equity.............................................. 21.07
</TABLE>
35
<PAGE> 37
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
1. ORGANIZATION (CONTINUED)
<TABLE>
<CAPTION>
FUND PERCENTAGE OF INTEREST IN PORTFOLIOS
---- ------------------------------------
<S> <C>
Aggressive Equity........................................... 45.43
High Yield Bond............................................. 33.53
International Equity........................................ 31.20
Stock Index................................................. 0.53
</TABLE>
The financial statements of the Series Portfolio and the Global Investors
Master Portfolio, including the Schedules 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 their
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 of the securities held by the Stock Index Fund is
discussed in Note 1 of the Global Investors Master Portfolio notes to financial
statements, which are included 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.
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 annually and reinvested in additional
shares.
36
<PAGE> 38
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Dividends and distributions are determined in accordance with federal
income tax regulations which may differ from generally accepted accounting
principals. These differences are primarily due to differing treatments for
foreign currency transactions, the reclassification of short term capital gains
to investment income, and the different allocation methods for the recognition
of realized capital gains. The effect of these differences for the year ended
December 31, 1999, are as follows:
<TABLE>
<CAPTION>
UNDISTRIBUTED NET ACCUMULATED NET
INVESTMENT REALIZED
INCOME GAINS(LOSSES) PAID-IN CAPITAL
(LOSS) INCREASED INCREASED INCREASED
(DECREASED) (DECREASED) (DECREASED)
----------------- --------------- ---------------
<S> <C> <C> <C>
High Quality Bond.................................. $ (215) $ (34,859) $ 35,074
Intermediate Government Bond....................... (5,067) (23,806) 28,873
Core Bond.......................................... 6,145 (30,281) 24,136
Balanced........................................... (221,227) (1,661,353) 1,882,580
Equity Income...................................... (72,053) (8,541,617) 8,613,670
Equity Value....................................... -- (260,026) 260,026
Growth & Income.................................... 1,490,263 (16,865,934) 15,375,671
Equity Growth...................................... 789,503 (5,689,281) 4,899,778
Special Equity..................................... 761,968 (3,963,051) 3,201,083
Aggressive Equity.................................. 592,935 (1,091,457) 498,522
High Yield Bond.................................... 53,967 206,660 (260,627)
International Equity............................... 520,793 (2,772,234) 2,251,441
Stock Index........................................ -- (555,130) 555,130
Stephens Select Equity............................. 10 -- (10)
</TABLE>
These reclassifications of the components of net assets reflected in the
Statements of Asset and Liabilities did not affect net investment income (loss),
net realized gains (losses) on investments, or net assets.
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 December 31, 1999, 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>
37
<PAGE> 39
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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.
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 $4,809,842 for the
year ended December 31, 1999.
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 $4,002,573 for
the year ended December 31, 1999.
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 $321,765 for the year ended
December 31, 1999.
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. -- --
</TABLE>
38
<PAGE> 40
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
<TABLE>
<CAPTION>
STEPHENS STEPHENS
DIVERSIFIED PREMIUM INSTITUTIONAL
CLASS CLASS CLASS
EXPENSE CAP EXPENSE CAP EXPENSE CAP
---------------------- ----------- -------------
<S> <C> <C> <C>
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, $72,242,
$950,442, and $228,666, 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, none of
the Trust's officers receive compensation from the Funds. Aggregate remuneration
incurred for non-affiliated trustees of the Trust for the year ended December
31, 1999, amounted to $31,789.
4. PURCHASE AND SALE OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from the sales for
the year ended December 31, 1999, were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Stephens Intermediate Bond
U.S. Government Obligations............................... $15,215,284 $10,827,844
Other..................................................... 7,577,504 6,350,571
</TABLE>
39
<PAGE> 41
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. CAPITAL SHARE TRANSACTIONS
The Trust has an unlimited authorized number of shares (par value of
$0.00001) which are presently divided into sixteen 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
-------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
SHARES SHARES
----------------- -----------------
<S> <C> <C>
MONEY MARKET
Issued during year.......................................... 78,859,310 21,005,330
Issued on reinvestment of dividends and distributions....... 386,722 175,387
Redeemed during year........................................ (75,968,833) (17,150,067)
----------- -----------
Net increase................................................ 3,277,199 4,030,650
=========== ===========
HIGH QUALITY BOND
Issued during year.......................................... 1,828,988 1,484,128
Issued on reinvestment of dividends and distributions....... 135,773 63,889
Redeemed during year........................................ (556,100) (463,688)
----------- -----------
Net increase................................................ 1,408,661 1,084,329
=========== ===========
INTERMEDIATE GOVERNMENT BOND
Issued during year.......................................... 2,334,425 1,920,164
Issued on reinvestment of dividends and distributions....... 154,693 78,015
Redeemed during year........................................ (1,048,753) (437,934)
----------- -----------
Net increase................................................ 1,440,365 1,560,245
=========== ===========
CORE BOND
Issued during year.......................................... 6,575,465 3,898,145
Issued on reinvestment of dividends and distributions....... 395,618 216,861
Redeemed during year........................................ (2,710,616) (659,518)
----------- -----------
Net increase................................................ 4,260,467 3,455,488
=========== ===========
BALANCED
Issued during year.......................................... 4,235,665 3,906,887
Issued on reinvestment of dividends and distributions....... 577,771 222,526
Redeemed during year........................................ (2,618,909) (920,933)
----------- -----------
Net increase................................................ 2,194,527 3,208,480
=========== ===========
EQUITY INCOME
Issued during year.......................................... 6,666,565 3,682,843
Issued on reinvestment of dividends and distributions....... 350,301 186,715
Redeemed during year........................................ (3,585,250) (1,196,643)
----------- -----------
Net increase................................................ 3,431,616 2,672,915
=========== ===========
EQUITY VALUE
Issued during year.......................................... 7,733,949 3,677,549
Issued on reinvestment of dividends and distributions....... 494,096 386,313
Redeemed during year........................................ (4,696,502) (1,433,549)
----------- -----------
Net increase................................................ 3,531,543 2,630,313
=========== ===========
</TABLE>
40
<PAGE> 42
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
DIVERSIFIED CLASS
-------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
SHARES SHARES
----------------- -----------------
<S> <C> <C>
GROWTH & INCOME
Issued during year.......................................... 13,611,040 6,820,697
Issued on reinvestment of dividends and distributions....... 725,664 157,313
Redeemed during year........................................ (7,228,547) (1,961,108)
----------- -----------
Net increase................................................ 7,108,157 5,016,902
=========== ===========
EQUITY GROWTH
Issued during year.......................................... 10,445,421 4,337,297
Issued on reinvestment of dividends and distributions....... 441,263 211,424
Redeemed during year........................................ (5,875,950) (1,300,048)
----------- -----------
Net increase................................................ 5,010,734 3,248,673
=========== ===========
SPECIAL EQUITY
Issued during year.......................................... 10,159,000 4,721,237
Issued on reinvestment of dividends and distributions....... 607,626 63,250
Redeemed during year........................................ (7,600,022) (1,860,112)
----------- -----------
Net increase................................................ 3,166,604 2,924,375
=========== ===========
AGGRESSIVE EQUITY
Issued during year.......................................... 6,574,357 2,037,920
Issued on reinvestment of dividends and distributions....... 430,781 57,387
Redeemed during year........................................ (3,817,840) (513,586)
----------- -----------
Net increase................................................ 3,187,298 1,581,721
=========== ===========
HIGH YIELD BOND
Issued during year.......................................... 5,100,727 1,509,107
Issued on reinvestment of dividends and distributions....... 352,076 14,357
Redeemed during year........................................ (3,755,739) (272,556)
----------- -----------
Net increase................................................ 1,697,064 1,250,908
=========== ===========
INTERNATIONAL EQUITY
Issued during year.......................................... 25,762,223 4,124,237
Issued on reinvestment of dividends and distributions....... 173,399 90,399
Redeemed during year........................................ (22,369,827) (1,821,168)
----------- -----------
Net increase................................................ 3,565,795 2,393,468
=========== ===========
STOCK INDEX
Issued during period........................................ 2,413,720 --
Issued on reinvestment of dividends and distributions....... 8,718 --
Redeemed during period...................................... (178,269) --
----------- -----------
Net increase................................................ 2,244,169 --
=========== ===========
</TABLE>
41
<PAGE> 43
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
STEPHENS PREMIUM CLASS
-------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
SHARES SHARES
----------------- -----------------
<S> <C> <C>
MONEY MARKET
Issued during year.......................................... 14,715 20,643
Issued on reinvestment of dividends and distributions....... 352 254
Redeemed during year........................................ (19,369) (3,265)
----------- -----------
Net increase (decrease)..................................... (4,302) 17,632
=========== ===========
EQUITY VALUE
Issued during year.......................................... 351,334 444,303
Issued on reinvestment of dividends and distributions....... 52,081 27,834
Redeemed during year........................................ (65,009) (193,086)
----------- -----------
Net increase................................................ 338,406 279,051
=========== ===========
EQUITY GROWTH
Issued during year.......................................... 224,906 71,028
Issued on reinvestment of dividends and distributions....... 16,022 380
Redeemed during year........................................ (19,423) (53,507)
----------- -----------
Net increase................................................ 221,505 17,901
=========== ===========
SPECIAL EQUITY
Issued during year.......................................... 263,878 322,909
Issued on reinvestment of dividends and distributions....... 54,775 4,811
Redeemed during year........................................ (89,224) (173,479)
----------- -----------
Net increase................................................ 229,429 154,241
=========== ===========
HIGH YIELD BOND
Issued during year.......................................... 43,373 115,178
Issued on reinvestment of dividends and distributions....... 5,437 168
Redeemed during year........................................ (46,939) (84,222)
----------- -----------
Net increase................................................ 1,871 31,124
=========== ===========
INTERNATIONAL EQUITY
Issued during year.......................................... 133,740 266,842
Issued on reinvestment of dividends and distributions....... 4,568 2,969
Redeemed during year........................................ (56,605) (139,102)
----------- -----------
Net increase................................................ 81,703 130,709
=========== ===========
STEPHENS INTERMEDIATE BOND
Issued during year.......................................... 142,805 499,850
Issued on reinvestment of dividends and distributions....... 14,653 17,679
Redeemed during year........................................ (202,743) (108,056)
----------- -----------
Net increase (decrease)..................................... (45,285) 409,473
=========== ===========
STEPHENS SELECT EQUITY
Issued during year.......................................... 2 100
Issued on reinvestment of dividends and distributions....... -- 5
----------- -----------
Net increase................................................ 2 105
=========== ===========
</TABLE>
42
<PAGE> 44
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
STEPHENS INSTITUTIONAL CLASS
-------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
SHARES SHARES
----------------- -----------------
<S> <C> <C>
MONEY MARKET
Issued during year.......................................... 467,588 1,308,484
Issued on reinvestment of dividends and distributions....... 13,310 22,778
Redeemed during year........................................ (907,507) (469,641)
----------- -----------
Net increase (decrease)..................................... (426,609) 861,621
=========== ===========
EQUITY VALUE
Issued during year.......................................... 835,336 1,530,553
Issued on reinvestment of dividends and distributions....... 170,698 103,846
Redeemed during year........................................ (481,132) (349,397)
----------- -----------
Net increase................................................ 524,902 1,285,002
=========== ===========
EQUITY GROWTH
Issued during year.......................................... 509,289 384,452
Issued on reinvestment of dividends and distributions....... 65,283 8,297
Redeemed during year........................................ (111,617) (17,810)
----------- -----------
Net increase................................................ 462,955 374,939
=========== ===========
SPECIAL EQUITY
Issued during year.......................................... 466,881 861,762
Issued on reinvestment of dividends and distributions....... 144,847 5,785
Redeemed during year........................................ (289,552) (99,754)
----------- -----------
Net increase................................................ 322,176 767,793
=========== ===========
HIGH YIELD BOND
Issued during year.......................................... 190,231 250,198
Issued on reinvestment of dividends and distributions....... 39,555 1,257
Redeemed during year........................................ (73,018) (40,077)
----------- -----------
Net increase................................................ 156,768 211,378
=========== ===========
INTERNATIONAL EQUITY
Issued during year.......................................... 362,110 694,774
Issued on reinvestment of dividends and distributions....... 16,019 11,737
Redeemed during year........................................ (243,807) (114,925)
----------- -----------
Net increase................................................ 134,322 591,586
=========== ===========
STEPHENS INTERMEDIATE BOND
Issued during year.......................................... 1,236,107 2,096,429
Issued on reinvestment of dividends and distributions....... 92,538 53,022
Redeemed during year........................................ (833,834) (519,068)
----------- -----------
Net increase................................................ 494,811 1,630,383
=========== ===========
STEPHENS SELECT EQUITY
Issued during period........................................ 1 100
Issued on reinvestment of dividends and distributions....... -- 5
----------- -----------
Net increase................................................ 1 105
=========== ===========
</TABLE>
43
<PAGE> 45
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS
Selected data for an average share outstanding for the year for the
DIVERSIFIED CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
------------------------
NET
REALIZED
AND TOTAL
NET ASSET NET UNREALIZED INCOME
FOR THE VALUE INVESTMENT GAINS (LOSS) FROM
YEAR BEGINNING INCOME (LOSSES) ON INVESTMENT
ENDED OF YEAR (LOSS) INVESTMENTS OPERATIONS
------- --------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
MONEY MARKET
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
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)
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+
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
---------------------------------------------------------------
IN EXCESS
NET OF NET
IN EXCESS REALIZED REALIZED
FOR THE NET OF NET GAINS GAINS TAX
YEAR INVESTMENT INVESTMENT (LOSSES) ON (LOSSES) ON RETURN OF
ENDED INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL
------- ---------- ---------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
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
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 GOVERNME
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+
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>
* Annualized
** Less than one penny per share
+ Formerly the Government/Corporate Bond 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
-----------------------------------------------------------
NET EXPENSES EXPENSES NET
TOTAL 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 YEAR RETURN YEAR PORTFOLIO REIMBURSEMENT) (LOSS) REIMBURSEMENT)
- ------------- ------- ------ ------------ --------- ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(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
(0.50) 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
(0.46) 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*
(0.53) 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 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
YEAR OF INCOME (LOSSES) ON INVESTMENT
ENDED YEAR (LOSS) INVESTMENTS OPERATIONS
------- --------- ---------- -------------- -----------
<S> <C> <C> <C> <C>
BALANCED
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
EQUITY INCOME
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)
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
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
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
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
YEAR INVESTMENT INVESTMENT (LOSSES) ON (LOSSES) ON OF
ENDED INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL
------- ---------- ---------- ----------- -------------- -------
<S> <C> <C> <C> <C> <C>
BALANCED
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)
EQUITY INCOME
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)
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
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
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
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>
* Annualized
** Less than one penny per share
+ Formerly the Government/Corporate Bond 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
NET EXPENSES INCLUDING NET
TOTAL ASSET INCLUDING THE SERIES NET INVESTMENT
DIVIDENDS VALUE NET ASSETS THE PORTFOLIO INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF SERIES (NET OF INCOME (NET OF
DISTRIBUTIONS YEAR RETURN YEAR PORTFOLIO REIMBURSEMENT) (LOSS) REIMBURSEMENT)
- ------------- ------- ------ ------------ --------- ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(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
(0.82) 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
(0.82) 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*
(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
(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
(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 year for the
DIVERSIFIED CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
------------------------
NET
REALIZED
AND TOTAL
NET ASSET NET UNREALIZED INCOME
FOR THE VALUE INVESTMENT GAINS (LOSS) FROM
PERIOD/YEAR BEGINNING INCOME (LOSSES) ON INVESTMENT
ENDED OF PERIOD/YEAR (LOSS) INVESTMENTS OPERATIONS
----------- -------------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
AGGRESSIVE EQUITY(3)
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)
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)
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)
12/31/1999 10.00 0.07 1.49 1.56
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
---------------------------------------------------------------
IN EXCESS
IN EXCESS NET OF NET
FOR THE NET OF NET REALIZED REALIZED TAX
PERIOD/YEAR INVESTMENT INVESTMENT (LOSSES) ON (LOSSES) ON RETURN OF
ENDED INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL
----------- ---------- ---------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C>
AGGRESSIVE EQUITY(3)
12/31/1999 $ -- $ -- $(1.59) $ -- $ --
12/31/1998 -- -- (0.00)** -- (0.31)
12/31/1997 -- -- -- -- --
12/31/1996 (0.04) -- -- -- --
HIGH YIELD BOND(4)
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(
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)
12/31/1999 (0.07) -- -- -- --
</TABLE>
- ---------------
<TABLE>
<C> <S>
* Annualized
** Less than one penny per share
+ Formerly the Government/Corporate Bond 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
-----------------------------------------------------------
NET EXPENSES EXPENSES NET
TOTAL 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>
$(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)*
(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*
(0.41) 20.63 63.73 175,208,902 1.45 1.40 0.10 0.15
(0.23) 12.87 10.47 63,404,26 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*
(0.07) 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 year for the
STEPHENS PREMIUM CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
------------------------
NET
REALIZED
AND TOTAL
NET ASSET NET UNREALIZED INCOME
FOR THE VALUE INVESTMENT GAINS (LOSS) FROM
YEAR BEGINNING INCOME (LOSSES) ON INVESTMENT
ENDED OF YEAR (LOSS) INVESTMENTS OPERATIONS
------- --------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
MONEY MARKET
12/31/1999 $10.34 $ 0.46 $ -- $ 0.46
12/31/1998 10.00 0.47 0.01 0.48
EQUITY VALUE
12/31/1999 9.93 0.11 (0.46) (0.35)
12/31/1998 10.00 0.08 0.93 1.01
EQUITY GROWTH
12/31/1999 13.33 0.07 4.80 4.87
12/31/1998 10.00 (0.04) 3.64 3.60
SPECIAL EQUITY
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
12/31/1999 10.13 0.79 (0.79) --
12/31/1998 10.00 0.86 (0.67) 0.19
INTERNATIONAL EQUITY
12/31/1999 10.76 -- 6.82 6.82
12/31/1998 10.00 0.06 0.95 1.01
STEPHENS INTERMEDIATE BOND
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
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
---------------------------------------------------------------
IN EXCESS
NET OF NET
NET IN EXCESS REALIZED REALIZED
FOR THE INVESTMENT OF NET GAINS GAINS TAX
YEAR INCOME INVESTMENT (LOSSES) ON (LOSSES) ON RETURN OF
ENDED (LOSS) INCOME INVESTMENTS INVESTMENTS CAPITAL
------- ---------- ---------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
12/31/1999 $(0.28) $ -- $ -- $ -- $ --
12/31/1998 (0.14) -- -- -- (0.00)*
EQUITY VALUE
12/31/1999 (0.08) -- (0.35) (0.36) --
12/31/1998 (0.97) -- (0.11) -- --
EQUITY GROWTH
12/31/1999 -- -- (1.25) -- --
12/31/1998 (0.03) -- (0.24) -- --
SPECIAL EQUITY
12/31/1999 -- -- (1.66) -- --
12/31/1998 -- -- -- -- (0.30)
HIGH YIELD BOND
12/31/1999 (1.10) (0.01) -- -- --
12/31/1998 (0.06) -- -- -- --
INTERNATIONAL EQUITY
12/31/1999 -- (0.03) (0.33) -- --
12/31/1998 (0.07) -- (0.11) -- (0.07)
STEPHENS INTERMEDIATE
12/31/1999 (0.40) -- -- -- (0.01)
12/31/1998 (0.46) -- -- -- (0.00)**
STEPHENS SELECT EQUIT
12/31/1999 -- -- -- -- --
12/31/1998 (0.50) -- -- -- --
</TABLE>
- ---------------
<TABLE>
<CAPTION>
<C> <S>
* Annualized
** Less than one penny per share
</TABLE>
50
<PAGE> 52
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
-------------------------------
TOTAL NET ASSET
DIVIDENDS VALUE NET ASSETS
AND END OF TOTAL END OF EXPENSES (NET OF
DISTRIBUTIONS YEAR RETURN YEAR EXPENSES REIMBURSEMENT)
------------- --------- ------ ---------- -------- -----------------
<S> <C> <C> <C> <C> <C> <C>
$(0.28) $10.52 4.41% $ 140,261 15.96% 0.95%
(0.14) 10.34 4.79 182,285 41.83 0.95
(0.79) 8.79 (3.32) 5,427,056 2.35 1.35
(1.08) 9.93 10.32 2,771,720 2.70 1.35
(1.25) 16.95 37.19 4,057,198 3.25 1.19
(0.27) 13.33 36.20 238,696 13.04 1.20
(1.66) 10.82 25.20 4,152,714 3.19 1.40
(0.30) 10.08 4.05 1,554,404 4.06 1.40
(1.11) 9.02 (0.34) 297,640 6.80 1.30
(0.06) 10.13 1.85 315,312 8.78 1.30
(0.36) 17.22 63.65 3,657,392 3.27 1.45
(0.25) 10.76 10.11 1,405,830 4.17 1.45
(0.41) 9.88 1.34 3,598,922 2.00 0.86
(0.46) 10.15 6.08 4,155,696 2.86 0.90
-- 9.95 (0.50) 1,059 1,237.03 0.90
(0.50) 10.00 5.00 1,050 3,030.02 0.90
<CAPTION>
RATIO TO AVERAGE NET ASSETS
------------------------------
NET
NET INVESTMENT
INVESTMENT INCOME (LOSS)
INCOME (NET OF
(LOSS) REIMBURSEMENT)
---------- --------------
<S> <C> <C>
(10.66)% 4.35%
(36.29) (4.59)
0.05 1.05
(0.61) 0.74
(1.60) 0.46
(12.19) (0.35)
(2.23) (0.44)
(3.09) (0.43)
2.57 8.07
1.01 8.49
(1.81) 0.01
(2.18) 0.54
3.05 4.19
2.54 4.50
(1,236.69) (0.56)
(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 year for the
STEPHENS INSTITUTIONAL CLASS OF SHARES
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
------------------------
NET
REALIZED
AND TOTAL
NET ASSET NET UNREALIZED INCOME
FOR THE VALUE INVESTMENT GAINS (LOSS) FROM
YEAR BEGINNING INCOME (LOSSES) ON INVESTMENT
ENDED OF YEAR (LOSS) INVESTMENTS OPERATIONS
------- --------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
MONEY MARKET
12/31/1999 $10.23 $ 0.48 $ -- $ 0.48
12/31/1998 10.00 0.49 0.01 0.50
EQUITY VALUE
12/31/1999 10.16 0.13 (0.46) (0.33)
12/31/1998 10.00 0.11 0.94 1.05
EQUITY GROWTH
12/31/1999 13.35 (0.04) 4.90 4.86
12/31/1998 10.00 (0.01) 3.65 3.64
SPECIAL EQUITY
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
12/31/1999 10.15 0.83 (0.82) 0.01
12/31/1998 10.00 0.81 (0.60) 0.21
INTERNATIONAL EQUITY
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
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
12/31/1999 10.01 (0.04) -- (0.04)
12/31/1998 10.00 0.54 -- 0.54
<CAPTION>
DIVIDENDS AND DISTRIBUTIONS FROM
---------------------------------------------------------------
IN EXCESS
NET OF NET
NET IN EXCESS REALIZED REALIZED
FOR THE INVESTMENT OF NET GAINS GAINS TAX
YEAR INCOME INVESTMENT (LOSSES) ON (LOSSES) ON RETURN OF
ENDED (LOSS) INCOME INVESTMENTS INVESTMENTS CAPITAL
------- ---------- ---------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
12/31/1999 $(0.31) $ -- $ -- $ -- $ --
12/31/1998 (0.27) -- -- -- --
EQUITY VALUE
12/31/1999 (0.23) -- (0.35) (0.36) --
12/31/1998 (0.80) -- (0.09) -- --
EQUITY GROWTH
12/31/1999 -- -- (1.39) -- --
12/31/1998 (0.06) -- (0.23) -- --
SPECIAL EQUITY
12/31/1999 -- -- (1.66) -- --
12/31/1998 -- -- -- -- (0.08)
HIGH YIELD BOND
12/31/1999 (1.15) (0.01) -- -- --
12/31/1998 (0.06) -- -- -- --
INTERNATIONAL EQUITY
12/31/1999 -- (0.03) (0.34) -- --
12/31/1998 (0.07) -- (0.09) -- (0.06)
STEPHENS INTERMEDIATE
12/31/1999 (0.42) -- -- -- (0.01)
12/31/1998 (0.35) -- -- -- (0.00)**
STEPHENS SELECT EQUIT
12/31/1999 -- -- -- -- --
12/31/1998 (0.53) -- -- -- --
</TABLE>
- ---------------
<TABLE>
<CAPTION>
<C> <S>
* Annualized
** Less than one penny per share
</TABLE>
52
<PAGE> 54
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS
-----------------------------------------------------------
NET NET
TOTAL ASSET NET INVESTMENT
DIVIDENDS VALUE NET ASSETS INVESTMENT INCOME (LOSS)
AND END OF TOTAL END OF EXPENSES (NET INCOME (NET OF
DISTRIBUTIONS YEAR RETURN YEAR EXPENSES OF REIMBURSEMENT) (LOSS) REIMBURSEMENT)
- ------------- ------- ------ ----------- -------- ------------------ ---------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(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
(0.94) 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
(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)
(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)
(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
(0.37) 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
(0.43) 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
-- 9.97 (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)
7. CLASS DIVIDENDS AND DISTRIBUTIONS:
Dividends and distributions per class as of December 31, 1999, 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............................. $ 4,087,650 $ 3,701 $ 138,162
EQUITY VALUE
Net investment income............................. 680,299 39,592 352,496
Net realized gains from investment transactions... 2,278,558 197,262 571,220
Distributions in excess of net realized gains..... 2,371,615 205,316 594,549
EQUITY GROWTH
Net realized gains from investment transactions... 12,782,283 256,141 1,023,283
SPECIAL EQUITY
Net realized gains from investment transactions... 13,708,047 546,105 1,490,471
HIGH YIELD BOND
Net investment income............................. 3,709,298 50,828 363,053
Distributions in excess of net investment
income.......................................... 31,588 433 3,091
INTERNATIONAL EQUITY
Distributions in excess of net investment
income.......................................... 626,446 5,680 23,071
Net realized gains from investment transactions... 2,709,745 67,682 235,480
Net investment income.............................
STEPHENS INTERMEDIATE BOND
Net investment income............................. -- 140,835 898,448
Tax return of capital............................. -- 4,078 26,016
</TABLE>
54
<PAGE> 56
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Shareholders of
Diversified Investors Funds Group:
In our opinion, the accompanying statements of assets and liabilities,
including the portfolio of investments of Stephens Intermediate Bond Fund, and
the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Diversified Investors Funds Group (comprising, Money Market Fund,
High Quality Bond Fund, Intermediate Government Bond Fund, Core Bond Fund
(formerly Government/Corporate Bond Fund), Balanced Fund, Equity Income Fund,
Equity Value Fund, Growth & Income Fund, Equity Growth Fund, Special Equity
Fund, Aggressive Equity Fund, High Yield Bond Fund, International Equity Fund,
Stephens Intermediate Bond Fund, Stephens Select Equity Fund and Stock Index
Fund) (collectively, the "Funds") at December 31, 1999, the results of each of
their operations for the year then ended, except for the Stock Index Fund for
which the period was from March 10, 1999 (commencement of operations) to
December 31, 1999, the changes in each of their net assets and the financial
highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2000
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 (formerly known as the Government/Corporate Bond Fund), High
Yield Bond, and Money Market Funds. A portion of the Fund may be invested in
relatively conservative equity funds, namely the Equity 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 *
$12,323 BOND INDEX $12,369 $13,030
----------------- ---------------------- ---------------------
<S> <C> <C> <C>
4/15/96 10000.00 10000.00 10000.00
12/31/96 10545.00 10535.00 10630.00
12/31/97 11461.00 11565.00 11863.00
12/31/98 12189.00 12659.00 12958.00
12/31/99 12366.00 12387.00 13030.00
</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 December 31, 1999.
All indices are shown for the period from the funds' inception through December
31, 1999.
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 COMPOSITE
SHORT/INTERMEDIATE LEHMAN AGGREGATE RUSSELL 2000 MSCI GDP EAFE BENCHMARK *
$11,112 BOND $10,780 $11,817 $16,701 $11,250
------------------ ---------------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
5/1/98 10000 10000 10000 10000 10000
12/31/98 10373 10869 9745 12712 10611
12/31/99 11112 10780 11817 16701 11250
</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 December 31, 1999.
All indices are shown for the period from the funds' inception through December
31, 1999.
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
$15,337 $24,313 $12,387 * $16,214
---------------- ------------- -------------------- -------------------
<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
</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 December 31, 1999.
All indices are shown for the period from the funds' inception through December
31, 1999.
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 *
$17,067 S&P 500 INDEX $24,313 $17,848
--------------------- --------------------- ---------------------
<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
</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 December 31, 1999.
All indices are shown for the period from the funds' inception through December
31, 1999.
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>
COMPOSITE
SAF LONG RUSSELL 1000 RUSSELL 2000 SMALL MSCI GDP EAFE BENCHMARK *
$13,226 $15,358 CAP $11,817 $16,701 $12,667
-------- ------------ ------------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
5/1/98 10000 10000 10000 10000 10000
12/31/98 10381 12702 9745 12712 10374
12/31/99 13226 15358 11817 16701 12667
</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 December 31, 1999.
All indices are shown for the period from the funds' inception through December
31, 1999.
Past performance is not indicative of future performance.
60
<PAGE> 62
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<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,
$17,063,996, $9,619,146,
$88,095,332, $114,971,225
and $32,670,944,
respectively)............... $16,577,544 $9,705,511 $95,006,723 $127,919,098 $37,935,863
Cash.......................... 4 -- -- 1,834 440
Receivable for Fund shares
sold........................ 39,532 7,173 111,784 179,300 43,149
----------- ---------- ----------- ------------ -----------
Total Assets............. 16,617,080 9,712,684 95,118,507 128,100,232 37,979,452
----------- ---------- ----------- ------------ -----------
LIABILITIES:
Due to Custodian.............. -- 13 2,346 -- --
Payable for securities
purchased................... 39,253 6,949 110,059 123,055 25,750
Payable for Fund shares
redeemed.................... 279 224 1,725 56,245 17,399
Accrued investment advisory
fee......................... 2,799 1,618 15,487 20,775 5,968
----------- ---------- ----------- ------------ -----------
Total Liabilities........ 42,331 8,804 129,617 200,075 49,117
----------- ---------- ----------- ------------ -----------
NET ASSETS.................... $16,574,749 $9,703,880 $94,988,890 $127,900,157 $37,930,335
=========== ========== =========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in capital............. $17,069,279 $9,596,681 $87,579,184 $114,378,759 $32,610,310
Accumulated net realized
gains (losses)........... (8,078) 20,834 498,315 573,525 55,106
Net unrealized appreciation
(depreciation) on
investments.............. (486,452) 86,365 6,911,391 12,947,873 5,264,919
----------- ---------- ----------- ------------ -----------
NET ASSETS.................... $16,574,749 $9,703,880 $94,988,890 $127,900,157 $37,930,335
=========== ========== =========== ============ ===========
Outstanding shares of capital
stock of $.00001 par value
per share, unlimited number
of shares of beneficial
interest authorized......... 1,569,563 946,834 7,514,026 9,401,845 3,077,802
=========== ========== =========== ============ ===========
NET ASSET VALUE PER SHARE*.... $ 10.56 $ 10.25 $ 12.64 $ 13.60 $ 12.32
=========== ========== =========== ============ ===========
</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 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>
INCOME:
Income distribution earned...... $ 713,266 $424,184 $3,569,232 $ 4,161,812 $ 830,848
Investment advisory fee......... (30,431) (13,858) (148,680) (202,726) (44,913)
--------- -------- ---------- ----------- ----------
Net investment income........ 682,835 410,326 3,420,552 3,959,086 785,935
--------- -------- ---------- ----------- ----------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS:
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 realized and unrealized
gains (losses) on
investments.................. (464,182) 172,234 6,465,709 15,047,429 5,615,486
--------- -------- ---------- ----------- ----------
Net increase in net assets
resulting from operations....... $ 218,653 $582,560 $9,886,261 $19,006,515 $6,401,421
========= ======== ========== =========== ==========
</TABLE>
See notes to financial statements.
62
<PAGE> 64
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 issuance of
shares........................ 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.
63
<PAGE> 65
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
<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........... $ 375,481 $ 93,226 $ 1,150,880 $ 989,757 $ 119,069
Capital gain distribution
earned........................ 31,824 19,906 487,689 710,798 167,661
Net realized gains (losses) on
investments................... 113,939 (24,970) 529,805 1,059,773 (338,696)
Net change in unrealized
appreciation on investments... 39,932 37,110 2,728,059 3,163,206 692,779
----------- ---------- ----------- ----------- -----------
Net increase in net assets
resulting from operations..... 561,176 125,272 4,896,433 5,923,534 640,813
----------- ---------- ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income........... (460,406) (97,112) (1,596,223) (1,890,808) (120,761)
Net realized gains from
investment transactions....... (57,861) (19,906) (652,450) (856,637) (167,661)
Tax return of capital........... (31) (668) (199) (319) (466)
----------- ---------- ----------- ----------- -----------
Total dividends and
distributions................. (518,298) (117,686) (2,248,872) (2,747,764) (288,888)
----------- ---------- ----------- ----------- -----------
FROM SHARE TRANSACTIONS:
Proceeds from issuance of
shares........................ 8,895,028 3,721,828 35,724,842 40,175,211 10,445,487
Proceeds from dividends and
distributions reinvested...... 518,298 117,686 2,248,872 2,747,764 288,888
Value of shares redeemed........ (2,451,846) (189,788) (7,920,068) (9,276,585) (414,001)
----------- ---------- ----------- ----------- -----------
Net increase in net assets from
capital share transactions.... 6,961,480 3,649,726 30,053,646 33,646,390 10,320,374
----------- ---------- ----------- ----------- -----------
Total increase in net assets.... 7,004,358 3,657,312 32,701,207 36,822,160 10,672,299
NET ASSETS:
Beginning of year............... 6,015,072 -- 24,664,668 25,866,529 --
----------- ---------- ----------- ----------- -----------
End of year..................... $13,019,430 $3,657,312 $57,365,875 $62,688,689 $10,672,299
=========== ========== =========== =========== ===========
Shares outstanding beginning of
year............................ 562,038 -- 2,247,197 2,285,595 --
Shares issued during year......... 803,769 370,214 3,094,770 3,353,354 1,075,118
Shares received on reinvestment of
dividends and distributions
during year..................... 47,594 11,852 193,535 228,599 29,660
Shares redeemed during year....... (221,029) (17,968) (686,028) (777,647) (46,029)
----------- ---------- ----------- ----------- -----------
Shares outstanding end of year.... 1,192,372 364,098 4,849,474 5,089,901 1,058,749
=========== ========== =========== =========== ===========
</TABLE>
- ---------------
* Commencement of Operations, May 1, 1998
See notes to financial statements.
64
<PAGE> 66
SHORT HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
- ------ -----------
<C> <S> <C>
INVESTMENTS
414,612 Diversified Investors Funds Group -- Core Bond Fund......... $ 4,926,839
76,381 Diversified Investors Funds Group -- Equity Income Fund..... 1,656,995
293,931 Diversified Investors Funds Group -- High Quality Bond 3,289,670
Fund......................................................
158,575 Diversified Investors Funds Group -- High Yield Bond Fund... 1,646,154
309,401 Diversified Investors Funds Group -- Intermediate Government 3,287,753
Bond Fund.................................................
167,270 Diversified Investors Funds Group -- Money Market Fund...... 1,770,133
-----------
16,577,544
Total Investments -- 100.02% (Cost $17,063,996).............
(2,795)
Liabilities less other assets -- (0.02%)....................
-----------
$16,574,749
NET ASSETS -- 100.00%.......................................
===========
The aggregate cost of investments for federal income tax
purposes at
December 31, 1999 is $17,072,548.
The following amount is based on costs for federal income
tax purposes:
$ 57,321
Gross unrealized appreciation.............................
(552,325)
Gross unrealized depreciation.............................
-----------
$ (495,004)
Net unrealized depreciation...............................
===========
</TABLE>
See notes to financial statements.
65
<PAGE> 67
SHORT INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
- ------ ----------
<C> <S> <C>
INVESTMENTS
9,349 Diversified Investors Funds Group -- Aggressive Equity $ 195,918
Fund......................................................
284,774 Diversified Investors Funds Group -- Core Bond Fund......... 3,383,969
12,671 Diversified Investors Funds Group -- Equity Growth Fund..... 389,310
22,484 Diversified Investors Funds Group -- Equity Income Fund..... 487,756
34,984 Diversified Investors Funds Group -- Equity Value Fund...... 390,477
16,491 Diversified Investors Funds Group -- Growth and Income 489,704
Fund......................................................
127,620 Diversified Investors Funds Group -- High Quality Bond 1,428,321
Fund......................................................
140,035 Diversified Investors Funds Group -- High Yield Bond Fund... 1,453,694
45,538 Diversified Investors Funds Group -- Intermediate Government 483,894
Bond Fund.................................................
18,881 Diversified Investors Funds Group -- International Equity 389,457
Fund......................................................
2,038 Diversified Investors Funds Group -- Money Market Fund...... 21,569
24,156 Diversified Investors Funds Group -- Special Equity Fund.... 591,442
----------
9,705,511
Total Investments -- 100.02% (Cost $9,619,146)..............
(1,631)
Liabilities less other assets -- (0.02%)....................
----------
$9,703,880
NET ASSETS -- 100.00%
==========
The aggregate cost of investments for federal income tax
purposes at
December 31, 1999 is $9,667,277.
The following amount is based on costs for federal income
tax purposes:
$ 516,678
Gross unrealized appreciation.............................
(478,444)
Gross unrealized depreciation.............................
----------
$ 38,234
Net unrealized appreciation...............................
==========
</TABLE>
See notes to financial statements.
66
<PAGE> 68
INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<C> <S> <C>
INVESTMENTS
136,808 Diversified Investors Funds Group -- Aggressive Equity $ 2,866,881
Fund......................................................
1,984,348 Diversified Investors Funds Group -- Core Bond Fund......... 23,580,011
216,326 Diversified Investors Funds Group -- Equity Growth Fund..... 6,646,284
394,807 Diversified Investors Funds Group -- Equity Income Fund..... 8,564,865
511,919 Diversified Investors Funds Group -- Equity Value Fund...... 5,713,885
257,411 Diversified Investors Funds Group -- Growth and Income 7,643,627
Fund......................................................
822,955 Diversified Investors Funds Group -- High Quality Bond 9,210,516
Fund......................................................
910,736 Diversified Investors Funds Group -- High Yield Bond Fund... 9,454,255
444,240 Diversified Investors Funds Group -- Intermediate Government 4,720,587
Bond Fund.................................................
322,329 Diversified Investors Funds Group -- International Equity 6,648,800
Fund......................................................
32,199 Diversified Investors Funds Group -- Money Market Fund...... 340,743
392,748 Diversified Investors Funds Group -- Special Equity Fund.... 9,616,269
-----------
95,006,723
Total Investments -- 100.02% (Cost $88,095,332).............
(17,833)
Liabilities less other assets -- (0.02%)....................
-----------
$94,988,890
NET ASSETS -- 100.00%.......................................
===========
The aggregate cost of investments for federal income tax
purposes at
December 31, 1999 is $88,095,348.
The following amount is based on costs for federal income
tax purposes:
$ 9,930,824
Gross unrealized appreciation.............................
(3,019,449)
Gross unrealized depreciation.............................
-----------
$ 6,911,375
Net unrealized appreciation...............................
===========
</TABLE>
See notes to financial statements.
67
<PAGE> 69
INTERMEDIATE LONG HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
INVESTMENTS
245,092 Diversified Investors Funds Group -- Aggressive Equity $ 5,136,029
Fund......................................................
1,279,788 Diversified Investors Funds Group -- Core Bond Fund......... 15,207,727
415,231 Diversified Investors Funds Group -- Equity Growth Fund..... 12,757,335
707,298 Diversified Investors Funds Group -- Equity Income Fund..... 15,343,991
1,031,743 Diversified Investors Funds Group -- Equity Value Fund...... 11,516,004
475,565 Diversified Investors Funds Group -- Growth and Income 14,121,513
Fund......................................................
538,697 Diversified Investors Funds Group -- High Quality Bond 6,029,094
Fund......................................................
978,952 Diversified Investors Funds Group -- High Yield Bond Fund... 10,162,402
596,894 Diversified Investors Funds Group -- Intermediate Government 6,342,714
Bond Fund.................................................
618,700 Diversified Investors Funds Group -- International Equity 12,762,163
Fund......................................................
42,633 Diversified Investors Funds Group -- Money Market Fund...... 451,162
738,789 Diversified Investors Funds Group -- Special Equity Fund.... 18,088,964
------------
127,919,098
Total Investments -- 100.01% (Cost $114,971,225)............
(18,941)
Liabilities less other assets -- (0.01%)....................
------------
$127,900,157
NET ASSETS -- 100.00%.......................................
============
The aggregate cost of investments for federal income tax
purposes at December 31, 1999 is $115,056,988.
The following amount is based on costs for federal income
tax purposes:
$ 16,131,605
Gross unrealized appreciation.............................
(3,269,495)
Gross unrealized depreciation.............................
------------
$ 12,862,110
Net unrealized appreciation...............................
============
</TABLE>
See notes to financial statements.
68
<PAGE> 70
LONG HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31,1999
<TABLE>
<CAPTION>
SHARES VALUE
- ------ -----------
<C> <S> <C>
INVESTMENTS
90,353 Diversified Investors Funds Group -- Aggressive Equity $ 1,893,387
Fund......................................................
183,688 Diversified Investors Funds Group -- Equity Growth Fund..... 5,643,558
308,547 Diversified Investors Funds Group -- Equity Income Fund..... 6,693,561
405,706 Diversified Investors Funds Group -- Equity Value Fund...... 4,528,374
191,254 Diversified Investors Funds Group -- Growth and Income 5,679,128
Fund......................................................
273,699 Diversified Investors Funds Group -- International Equity 5,645,693
Fund......................................................
21,835 Diversified Investors Funds Group -- Money Market Fund...... 231,066
311,261 Diversified Investors Funds Group -- Special Equity Fund.... 7,621,096
-----------
37,935,863
Total Investments -- 100.01% (Cost $32,670,944).............
(5,528)
Liabilities less other assets -- (0.01%)....................
-----------
$37,930,335
NET ASSETS -- 100.00%.......................................
===========
The aggregate cost of investments for federal income tax
purposes at
December 31, 1999 is $32,673,595.
The following amount is based on costs for federal income
tax purposes:
$ 5,838,287
Gross unrealized appreciation.............................
(576,019)
Gross unrealized depreciation.............................
-----------
$ 5,262,268
Net unrealized appreciation...............................
===========
</TABLE>
See notes to financial statements.
69
<PAGE> 71
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS
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 annually and reinvested in additional
full and fractional shares.
Dividends and distributions are determined in accordance with U.S. federal
income tax regulations which may differ from generally accepted accounting
principles. The effects of these differences, which resulted from the
reclassification of capital gain distributions received on investments are as
follows for the year ended December 31, 1999:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED NET
NET INVESTMENT REALIZED GAIN (LOSS)
INCOME ON INVESTMENT
-------------- --------------------
<S> <C> <C>
Short Horizon............................................... $ (48,797) $ 48,797
Short Intermediate Horizon.................................. (73,517) 73,517
Intermediate Horizon........................................ (1,172,082) 1,172,082
Intermediate Long Horizon................................... (2,107,199) 2,107,199
Long Horizon................................................ (844,887) 844,887
</TABLE>
70
<PAGE> 72
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 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 December 31, 1999, were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Short Horizon.............................................. $ 10,219,728 $ 6,150,795
Short Intermediate Horizon................................. 14,153,363 8,204,488
Intermediate Horizon....................................... 74,080,532 41,746,004
Intermediate Long Horizon.................................. 159,099,126 106,817,636
Long Horizon............................................... 46,652,298 24,160,544
</TABLE>
71
<PAGE> 73
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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
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 (1)....... 10.00 0.18 0.36 0.54 (0.18) (0.01) (0.00)** (0.01)
SHORT INTERMEDIATE HORIZON
12/31/1999........... 10.04 0.61 0.15 0.76 (0.47) (0.08) -- --
12/31/1998 (2)....... 10.00 0.46 (0.09) 0.37 (0.27) (0.06) -- (0.00)**
INTERMEDIATE HORIZON
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 (1)....... 10.00 0.13 0.42 0.55 (0.13) (0.10) -- --
INTERMEDIATE LONG HORIZON
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 (1)....... 10.00 0.09 0.47 0.56 (0.09) (0.17) -- --
LONG HORIZON
12/31/1999........... 10.08 0.39 2.34 2.73 (0.27) (0.22) -- --
12/31/1998 (2)....... 10.00 0.21 0.16 0.37 (0.12) (0.17) -- (0.00)**
</TABLE>
- ---------------
<TABLE>
<C> <S>
(1) Commencement of Operations, April 15, 1996.
(2) 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>
$(0.51) $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
(0.55) 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
(0.72) 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
(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
(0.49) 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)
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 December 31, 1999 totaled
$16,577,544, $9,705,511, $95,006,723, $127,919,098, and $37,935,863, 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............. 304,171 110,441 -- 414,612 $ 1,361,399 $ -- $ --
Diversified Investors Funds
Group -- Equity Income Fund......... 62,342 18,141 4,102 76,381 383,356 79,835 16,191
Diversified Investors Funds
Group -- High Quality Bond Fund..... 221,441 72,490 -- 293,931 824,364 -- --
Diversified Investors Funds
Group -- High Yield Bond Fund....... 112,049 46,526 -- 158,575 516,289 -- --
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 229,950 79,451 -- 309,401 865,030 -- --
Diversified Investors Funds
Group -- Money Market Fund.......... 147,999 589,751 570,480 167,270 6,269,290 6,040,351 14,418
------------ ------------ ----------
$ 10,219,728 $ 6,120,186 $ 30,609
============ ============ ==========
SHORT INTERMEDIATE HORIZON STRATEGIC
ALLOCATION FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Aggressive Equity Fund..... 5,797 5,765 2,213 9,349 $ 88,689 $ 27,401 $ 16,416
Diversified Investors Funds
Group -- Core Bond Fund............. 98,301 233,241 46,768 284,774 2,898,594 598,642 (12,583)
Diversified Investors Funds
Group -- Equity Growth Fund......... 6,710 7,393 1,432 12,671 186,890 31,048 10,847
Diversified Investors Funds
Group -- Equity Income Fund......... 8,993 13,603 112 22,484 298,546 2,400 204
Diversified Investors Funds
Group -- Equity Value Fund.......... 11,698 23,357 71 34,984 288,436 970 (1)
Diversified Investors Funds
Group -- Growth and Income Fund..... 8,156 10,121 1,786 16,491 253,883 41,400 9,667
Diversified Investors Funds
Group -- High Quality Bond Fund..... 47,130 80,490 -- 127,620 923,389 -- --
Diversified Investors Funds
Group -- High Yield Bond Fund....... 47,156 92,879 -- 140,035 1,045,614 -- --
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 16,563 28,975 -- 45,538 317,638 -- --
Diversified Investors Funds
Group -- International Equity
Fund................................ 11,453 9,857 2,429 18,881 145,363 33,176 15,814
Diversified Investors Funds
Group -- Money Market Fund.......... 1,101 693,754 692,817 2,038 7,378,964 7,368,894 5,777
Diversified Investors Funds
Group -- Special Equity Fund........ 11,083 15,364 2,291 24,156 327,357 51,095 3,321
------------ ------------ ----------
$ 14,153,363 $ 8,155,026 $ 49,462
============ ============ ==========
</TABLE>
74
<PAGE> 76
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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..... 137,936 45,377 46,505 136,808 $ 708,722 $ 490,963 $ 348,011
Diversified Investors Funds
Group -- Core Bond Fund............. 1,054,774 956,395 26,821 1,984,348 11,870,345 316,922 17,800
Diversified Investors Funds
Group -- Equity Growth Fund......... 179,569 57,275 20,518 216,326 1,455,825 359,763 207,969
Diversified Investors Funds
Group -- Equity Income Fund......... 233,479 164,878 3,550 394,807 3,586,508 68,995 12,292
Diversified Investors Funds
Group -- Equity Value Fund.......... 249,573 278,639 16,293 511,919 3,386,154 212,911 14,868
Diversified Investors Funds
Group -- Growth and Income Fund..... 201,844 76,002 20,435 257,411 1,912,166 371,601 186,188
Diversified Investors Funds
Group -- High Quality Bond Fund..... 449,216 382,983 9,244 822,955 4,396,954 105,561 1,759
Diversified Investors Funds
Group -- High Yield Bond Fund....... 466,262 448,628 4,154 910,736 5,026,371 45,095 481
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 239,219 210,732 5,711 444,240 2,312,899 61,183 2,090
Diversified Investors Funds
Group -- International Equity
Fund................................ 300,456 57,921 36,048 322,329 836,547 448,438 233,824
Diversified Investors Funds
Group -- Money Market Fund.......... 228,016 3,353,698 3,549,515 32,199 35,783,223 37,867,116 16,315
Diversified Investors Funds
Group -- Special Equity Fund........ 276,776 130,885 14,913 392,748 2,804,818 314,778 41,081
------------ ------------ ----------
$ 74,080,532 $ 40,663,326 $1,082,678
============ ============ ==========
INTERMEDIATE LONG HORIZON STRATEGIC
ALLOCATION FUND
INVESTMENTS:
Diversified Investors Funds
Group -- Aggressive Equity Fund..... 196,530 161,281 112,719 245,092 $ 2,465,273 $ 1,216,305 $ 816,021
Diversified Investors Funds
Group -- Core Bond Fund............. 541,020 1,471,062 732,294 1,279,788 18,313,772 9,213,768 (77,460)
Diversified Investors Funds
Group -- Equity Growth Fund......... 274,124 218,134 77,027 415,231 5,507,028 1,350,168 825,333
Diversified Investors Funds
Group -- Equity Income Fund......... 332,658 401,409 26,769 707,298 8,569,440 516,093 107,395
Diversified Investors Funds
Group -- Equity Value Fund.......... 400,037 659,388 27,682 1,031,743 7,949,777 361,137 31,403
Diversified Investors Funds
Group -- Growth and Income Fund..... 296,572 264,527 85,534 475,565 6,640,725 1,553,452 817,086
Diversified Investors Funds
Group -- High Quality Bond Fund..... 233,860 311,402 6,565 538,697 3,558,821 75,080 427
Diversified Investors Funds
Group -- High Yield Bond Fund....... 398,596 585,308 4,952 978,952 6,565,545 57,677 (588)
Diversified Investors Funds
Group -- Intermediate Government
Bond Fund........................... 255,297 348,490 6,893 596,894 3,810,503 74,750 937
Diversified Investors Funds
Group -- International Equity
Fund................................ 458,664 281,318 121,282 618,700 4,052,416 1,527,271 707,646
Diversified Investors Funds
Group -- Money Market Fund.......... 295,479 7,801,742 8,054,588 42,633 83,032,602 85,722,723 (49,705)
Diversified Investors Funds
Group -- Special Equity Fund........ 414,065 410,373 85,649 738,789 8,633,224 1,721,911 248,806
------------ ------------ ----------
$159,099,126 $103,390,335 $3,427,301
============ ============ ==========
</TABLE>
75
<PAGE> 77
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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..... 39,571 75,466 24,684 90,353 $ 1,158,062 $ 288,963 $ 111,882
Diversified Investors Funds
Group -- Equity Growth Fund......... 67,651 118,102 2,065 183,688 3,034,431 44,780 9,170
Diversified Investors Funds
Group -- Equity Income Fund......... 84,571 223,976 -- 308,547 4,972,803 2 (2)
Diversified Investors Funds
Group -- Equity Value Fund.......... 92,804 312,902 -- 405,706 3,888,291 -- --
Diversified Investors Funds
Group -- Growth and Income Fund..... 66,218 127,916 2,880 191,254 3,253,040 66,767 8,987
Diversified Investors Funds
Group -- International Equity
Fund................................ 115,954 175,348 17,603 273,699 2,684,651 240,459 82,718
Diversified Investors Funds
Group -- Money Market Fund.......... 43,921 2,154,527 2,176,613 21,835 22,954,242 23,184,993 (13,644)
Diversified Investors Funds
Group -- Special Equity Fund........ 99,646 217,719 6,104 311,261 4,706,778 136,121 (652)
------------ ------------ ----------
$ 46,652,298 $ 23,962,085 $ 198,459
============ ============ ==========
</TABLE>
76
<PAGE> 78
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Shareholders of
Diversified Investors Strategic Allocation Funds:
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations, and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Diversified
Investors Strategic Allocation Funds (comprising, 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") at December 31,
1999, the results of each of their operations for the year then ended and the
changes in each of their net assets for each of the two years in the period then
ended except for Short Intermediate Horizon and Long Intermediate Horizon for
which the periods were for the year ended December 31, 1999 and for the period
from May 1, 1998 (commencement of operations) to December 31, 1998, and
financial highlights for each of the periods presented, in conformity with
accounting principles generally accepted in the United States. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2000
77
<PAGE> 79
FOURTH QUARTER 1999
ANNUAL ECONOMIC OVERVIEW
The major catalysts to economic growth in 1999 were the consumer and
technology sectors. Consumer confidence continued to rise, led by a strong labor
market, solid income gains and the wealth effect caused by ascending stock
prices. Consumer spending rose significantly in the fourth quarter at an
annualized 7% rate. The spending was broad based, ranging from clothing to
computers to housing. Retail sales for the quarter were up 2.7%, which was
largely attributable to a strong holiday season. For the year, retail sales
increased by 9.7%. After falling in 1998, sales of consumer non-durable goods
(items lasting shorter than three years) posted an increase of 9.6%. Although
the housing market is starting to feel the effects of higher interest rates,
homes are still being sold at a healthy pace. The volume in technology related
items increased by approximately 20% in 1999.
The strong economy continues to create an abundance of new jobs. On average
the economy added 223,000 new jobs a month. Income growth has obviously been a
beneficiary of the labor market as personal income increased by approximately
4%. The unemployment rate remains at a 30 year low of 4.1%, down from the 4.3%
level of 1998. With the four-week rolling initial unemployment claims steadily
remaining below the 300,000 level, the labor market will most likely continue to
be strong.
FINANCIAL MARKETS
The strength of the U.S. economy created a bearish tone to the bond market
and contributed to fears that the Federal Reserve Board will need to be more
aggressive with monetary policy to contain inflation. As a result, Treasury
yields rose between 43 to 78 basis points across the yield curve. Rising
interest rates caused the Lehman Brothers Aggregate Index to post a loss of .12%
for the quarter. For the year, the Index declined .82% as it suffered its worst
year since 1994 and its second worst year since 1973. Interest rates climbed
steadily throughout the year, with yields rising in ten of the twelve months
(January and September were the exceptions). For the year, the U.S. yield curve
rose between 139 to 180 basis points. The 1-year note rose by 144 basis points
to 5.73%, the 5-year Treasury rose 180 basis points to 6.34% and the 30-year
Treasury bond rose 139 basis points to 6.48%.
After getting a brief rest in September, interest rates continued their
upward climb after the October CPI report, which was up 1.1%, the highest
reading in nine years. This caused the Federal Reserve to adopt a tightening
bias. The bias set the stage for the Fed to raise the Fed Funds Rate an
additional 25 basis points to 5.50%, due to the aggressive pace of the economy
and left the door open for further rate hikes in the future. This marked the
third rate increase by the Fed during the year, essentially eliminating the
three rate reductions the Fed orchestrated in late 1998.
However, much like 1998 and 1997, the market's advance was very narrow in
breadth. For many stocks, the year 1999 was not very kind. In fact, the majority
of stocks that are not large cap growth-oriented never really recovered from
their steep declines in the spring to fall of 1998. The Value Line Composite
Index (an unweighted index of 1700 stocks) declined 1.4% in 1999 and was off
approximately 14% from its all-time high reached in April of 1998. Also, the
equally weighted version of the S&P 500 Index posted a return of 12.7%.
Interestingly, the most dramatic example of all these broadly based market
statistics is that, 61% of all NYSE stocks, 52% of the S&P 500 stocks and 48% of
NASDAQ stocks were down for the year. The best performing sector of the market
for the year was technology, with a return of 64.7%.
OUTLOOK FOR 2000
We believe that the economy will continue to expand, but not at its current
pace. Our forecast is that the economy will grow by approximately 3.5%. Our
estimate is based on the belief that if the economy continues to grow at its
current pace, the Federal Reserve will do whatever it believes necessary to slow
the economy to a more sustainable, i.e. non-inflationary rate of growth. The
non-inflationary rate of growth to be achieved depends significantly upon
continued strong productivity; the growth of the labor market and whether or not
78
<PAGE> 80
the Fed subscribes to the new or old growth/inflation paradigm. It appears that
the inflation hawks had the upper hand in the last FOMC meeting. Therefore, we
believe that the Fed will most likely raise rates by at least 25 basis points at
its February meeting.
We believe that inflation will remain under control in 2000. Our estimate
for the year is in the 2.6% area. We do not believe that oil prices will
continue to significantly rise from their current levels and as mentioned above,
there do not appear to be any significant rumblings beneath the surface.
However, the wild card could be what impacts the recovering economies overseas,
particularly the emerging countries, have on commodity prices, which have been
depressed over the past few years.
Based on the above, we believe that long-term interest rates will trade in
a range of 6.4 - 7.0%. Bonds may overreact positively or negatively to each
economic report that is released. However, we do not believe that rates will
fall below this range until it appears certain that the economy is growing at a
more modest sustainable rate.
After the stock market's strong rally in the fourth quarter combined with
higher interest rates, we believe that the market is over-valued, particularly
the large cap growth sector, which is vulnerable to rising interest rates and/or
slowing profit growth. We also believe that the market is priced for perfection
with a significant amount of good news already discounted in the price of
stocks. Upside earnings surprises have also played a big part in the market's
advance, particularly in technology stocks. This may not be as much of a factor
in the next couple of quarters based on tougher comparisons in 2000. Remember
that earnings were depressed in 1998, which set the stage for stronger
comparisons in 1999. Technically, indicators such as advance decline ratio, new
highs vs. new lows, the put to call ratio and optimistic sentiment readings look
fairly weak, with a correction possible in late January. We believe that the
stocks that are currently the strongest could take the biggest hit, with the
bulk of remaining stocks, many of which have been through their own bear market,
performing relatively better.
Our general conclusion is that it is difficult to see significant upside in
the market without some corrective process, a shift in leadership and broadening
in breadth. The process could take the form of a flat consolidating market,
which would under go rapid rotation, or one that has a 10 - 15% decline in
prices.
MONEY MARKET
For the fourth quarter and for the year, money market securities, as
measured by the Salomon Brothers 3-Month T-Bill Index, performed the best,
posting returns of 1.24% for the quarter and 4.73% for the year. Throughout the
year, the average maturity of the portfolio was adjusted selectively to
capitalize on opportunities where the portfolio would be rewarded for duration
extension.
HIGH QUALITY BOND
The domestic economy enjoyed robust growth during the fourth quarter. The
Federal Reserve Board increased the Fed Funds rate by 25 basis points to 5.50%,
in an effort to reduce potential inflationary pressures. The strength of the
domestic economy created a bearish tone in the bond market and contributed to
fears that the Federal Reserve Board will need to be more aggressive with
monetary policy to contain inflation. Interestingly, the lower quality credits
(BBB) outperformed higher quality credits (AAA) in the quarter.
We were active in the domestic corporate and U.S. Government agency
sectors. We swapped out of several money market eligible securities into longer
term notes, thereby enhancing the yield of the portfolio and extending duration.
While the Federal Reserve Board elected to leave short term interest rates
unchanged in December, tight labor markets, higher energy costs, and persistent
above trend growth will keep the Federal Reserve Board at a heightened state of
alert.
79
<PAGE> 81
INTERMEDIATE GOVERNMENT BOND
The government bond market finished 1999 on the same notes that it followed
for much of the year: higher interest rates, lower bond prices, and for the most
part, disappointed investors. While rising interest rates earlier in the year
could be explained as a reversal of the 1998 crisis flight-to-Treasuries, by
late 1999 it was clear that the problem was an economy growing too quickly. A
Federal Reserve monetary tightening in November, the third of the year, seemed
to do little to cool off a hot stock market. US Government Agency securities
outperformed Treasuries, as yield risk premiums contracted.
Going into the new year, our investment view balances two realities:
inflation adjusted bond yields are now at levels that are very attractive by
most historical measures, yet the Fed has begun to make it clear that they will
not stop raising rates until the juggernaut economy slows. Our strategy is to
position the portfolio with a slightly long duration posture, to watch for early
signs of a slowdown, and to carefully add exposure on market weakness.
CORE BOND
Interest rates rose significantly in the fourth quarter as the yield on
10-year Treasuries jumped 56 basis points to 6.44%. The Federal Reserve
increased the Fed Funds rate 25 basis points to 5.50% and set the stage for
future hikes in the year 2000. Non-treasury sectors performed well throughout
the quarter as spreads tightened in response to strong investor demand for
higher yielding securities.
The fund benefited from a neutral duration position and an overweight to
mortgages and agencies. The overweight to agencies enhanced returns as spreads
continued to tighten from historically wide levels. Improving liquidity in
agencies and a reduction in Treasury supply has helped to boost investor demand
and support these spreads.
We believe mortgage spreads may continue to tighten going forward and will
look for opportunities to reduce the overweight position. Although interest rate
and yield curve related strategies do play a role in portfolio strategy, we
continue to emphasize sector-based strategies in the current environment.
HIGH YIELD BOND
The hybrid nature of high yield bonds -- part bond, part stock -- was
clearly illustrated by fourth quarter returns. Despite spiking interest rates,
which drove the 10-year Treasury to a 2.4% loss for the period, high yield bonds
remained in positive territory on the strength of the fourth quarter run-up in
equity prices. The spread between high yield bond and treasuries tightened by 37
basis point during the period.
Portfolio strategy remains focused on an overweighting in single B
securities, which offer greater sensitivity to economic as opposed to interest
rate activity. We increased our exposure to single B's during the quarter, from
49% of the portfolio at September 30th to nearly 61% by year-end.
We believe market returns will consist largely of income this year, with
the potential for several points of capital appreciation. While valuations are
clearly cheap relative to the strength in the economy, it is likely that a heavy
new issue calendar will constrain a significant upward move in prices, at least
over the near term. Nevertheless, returns should prove attractive compared to
other fixed income products.
BALANCED
Interest rates rose significantly in the fourth quarter as the yield on
10-year Treasuries jumped 56 basis points to 6.44%. The Federal Reserve
increased the Fed Funds rate 25 basis points to 5.50% and set the stage for
future hikes in the year 2000. Non-treasury sectors performed well throughout
the quarter as spreads tightened in response to strong investor demand for
higher yielding securities. The fund benefited from a neutral duration position
and an overweight to mortgages and agencies; however, we believe mortgage
spreads may continue to tighten going forward and will look for opportunities to
reduce our overweight.
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<PAGE> 82
The equity market was propelled higher by technology shares (particularly
those associated with telecommunications and the Internet). The fund performed
extremely well as the quantitative model that we use in this strategy favored
technology shares such as Microsoft, Cisco Systems and QUALCOMM due to their
strong business momentum.
Going forward we are concerned by the extreme price appreciation in
technology shares in the fourth quarter, the recent back up in interest rates,
and to the extent that the bear market in bonds continues, we feel that these
issues will have a difficult time maintaining their current valuations.
EQUITY INCOME
The U.S. economy continued to roll ahead in the fourth quarter with little
evidence of slowdown. The stock market propelled by the "new economy" model of
growth, low inflation, budget surpluses, technology driven rising productivity
and increasing earnings continued to roar to new heights.
During the fourth quarter, the stock market had a very narrow focus on new
economy stocks -- technology and telecom equipment -- and almost complete
disinterest in everything else. Value stocks such as those held in the Equity
Income Fund were ignored and underperformed the market. As a result the
technology and internet stocks are richly valued and at all time highs, while
the energy, basic materials, capital goods and healthcare stocks, which are in
the Equity Income Fund are much more reasonably valued. World economies are
recovering, cyclical stocks should have good earnings recoveries, and many of
these stocks have already experienced bear market type declines over the past
year. Any shift in market focus away from the narrow leadership of the recent
past should benefit this portfolio.
EQUITY VALUE
As has been true for most of the year, the stock market was dominated by
large cap, momentum growth issues, primarily in Technology and
Communications/Internet related areas. These high P/E stocks typically fall
outside of the Large Cap Value valuation discipline. Not being involved in this
area was the major cause of the Large Cap Value underperformance for the quarter
and the year. Not surprisingly, two of the issues that contributed the most in
the portfolio were in technology: Seagate Technology and Compaq Computer Corp.
We do not believe that the domination of growth stocks can be sustained
indefinitely. With interest rates and commodity prices on the rise, unemployment
at all time lows, and foreign stocks outperforming U.S. equities for the first
time since 1994, investors may be encouraged to look at other investment
opportunities in the near future. When this occurs, we expect growth stocks to
come under pressure and a rotation back to value to begin. At that time, we are
confident that the Large Cap Value portfolio will be rewarded, as it was during
the second quarter of 1999.
GROWTH & INCOME
The fourth-quarter U.S. economy remained hot, as it had throughout 1999.
The Growth & Income portfolio outperformed the S&P 500 Index for the fourth
quarter as strong stock selection in the top-performing technology and consumer
staples sectors aided returns.
Telecommunications equipment stocks were particularly strong and their
spectacular gains were responsible for much of the portfolio's outperformance in
the technology sector. Additionally, electronic components stocks contributed
significantly to performance. In the consumer staples sector, cable and
broadcast television stocks were particularly strong, as were stocks in the
entertainment industry.
Although the U.S. economic growth may slow in 2000, it should remain
relatively robust. We anticipate further Fed rate hikes, particularly if rising
inflation causes the Fed to move to a tightening stance. We believe that
high-quality growth companies should continue to benefit from persistent demand
and visible earnings growth, particularly within the technology and consumer
sectors.
81
<PAGE> 83
EQUITY GROWTH
Most of the major stock market indices rebounded sharply following a
difficult third quarter, as the U.S. economy continued to exhibit considerable
momentum and corporate profitability remained strong. During the quarter, select
global consumer growth companies began to perk up as foreign economies continued
to exhibit signs of recovery while healthcare stocks labored under the weight of
regulatory concerns.
The combination of industry selection and stock selection in
Electronics/New Technology had the largest positive impact on relative
performance during the period. This was due in large part to our holdings of
QUALCOMM and JDS Uniphase, up 272% and 183% respectively for the quarter.
While it appears that fears of a Y2K meltdown were overblown, there may
still be some minor dislocations to individual businesses. However, the impact
will not likely be material to the Financial markets as a whole. The outlook for
corporate profits is still positive which should help support share prices. The
prospects for the U.S. economy and U.S. stocks remain relatively solid.
SPECIAL EQUITY
During the fourth quarter, investors chose to shrug off interest rate
concerns and focus on strong economic growth. This was especially true in
December as the outlook for corporate earnings, especially in technology,
continued to improve. Additionally, the willingness to value Internet stocks
solely on revenue growth prospects led to more aggressive valuations for the
general market.
The portfolio capitalized on the overall market preference for technology
with strong stock selection. RSA Security Inc. and Cree Research Inc turned in
the strongest performances. Top contributors operate in high growth areas such
as network security and system management, specialty components, wireless
broadband and Internet commerce. Cellular telephone (Rural Cellular Corp.),
radio broadcasting (Emmis Communications, Salem Communications), and cable
television (Jones Intercable) issues remained as positive contributors.
We continue a diversified approach to our sector seeking attractive growth
opportunities in and out of technology. Looking forward, we hope for a level
playing field in terms of the valuation excesses evident in the
technology/internet world.
AGGRESSIVE EQUITY
Strong economic conditions were evident in a market that generously
rewarded those companies with strong organic growth; overcoming continued
increases in interest rates. This growth was most pronounced in technology
stocks with exposure to communications systems and equipment.
The fund's performance this quarter was driven by technology stocks such as
Conexant Systems, Qlogic, and Optical Coating. The portfolio also benefited from
the continued wireless evolution, through holdings in Voicestream Wireless and
Western Wireless, along with QUALCOMM. These companies are all characterized by
strong organic growth well above market expectations.
We approach the new millennium with cautious optimism. Tremendous growth
opportunities exist in the stocks that we own. The continued application of
technology to all areas of the economy, and especially the expansion of the
Internet, drives this growth. Relative valuations in these issues depend on a
continued market focus on their outstanding prospects.
INTERNATIONAL EQUITY
Growth in Europe continues to improve on the heels of strong growth
elsewhere: in the U.S., where the economy shows no signs of slowing, in Latin
America, where Mexico has been especially strong and in Brazil where the economy
has been more resilient than expected. Asia has shown positive political changes
in
82
<PAGE> 84
Indonesia and important restructuring in the banking sector in Thailand and
Korea. In Japan, good returns from equities have been well received.
The exceptionally strong relative and absolute performance from the
portfolios is virtually all due to stock selection. The largest gains were in
the Capital Equipment sector: Murata Manufacturing returned over 133%, Rohm Co.
was up 96%, and Advantest was up 82% in the fourth quarter of the year. Stock
selection in Germany significantly added to performance: Mannesmann AG (4.2% of
the portfolio) was up 51% and Deutsche Telekom was up 71%. Overall, the
portfolio's holdings in Germany were up 43% in US$ terms versus the MSCI Germany
Index which was up 26% for the fourth quarter of 1999.
83
<PAGE> 85
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE EQUITY
MARKET QUALITY BOND BOND BOND(1) BALANCED INCOME
------------ ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Securities, at cost.............. $415,263,610 $197,799,112 $214,415,564 $876,549,268 $553,441,870 $1,097,423,676
============ ============ ============ ============ ============ ==============
Securities, at market............ $415,263,610 $193,938,786 $209,472,055 $867,437,642 $595,865,015 $1,451,870,274
Repurchase agreements, at
value.......................... 78,083 8,884,965 63,303 7,418,922 25,289,441 --
Cash............................. 291,597 -- -- -- 3 80,040
Foreign currency holdings, at
value (Cost $190,024).......... -- -- -- -- -- --
Receivable for securities sold... -- 2,130 -- -- 8,279,745 --
Unrealized appreciation on
foreign currency forward
contracts...................... -- -- -- -- 109,351 --
Variation margin................. -- -- -- -- 62,050 --
Interest receivable.............. 1,244,489 2,245,776 2,412,256 7,648,925 2,091,181 6,258
Dividends receivable............. -- -- -- -- 279,965 2,132,682
Receivable from securities
lending........................ -- 37,300 12,237 32,743 19,827 7,275
Reimbursement from advisor....... -- -- 2,000 -- 27,558 1,087
------------ ------------ ------------ ------------ ------------ --------------
Total assets............. 416,877,779 205,108,957 211,961,851 882,538,232 632,024,136 1,454,097,616
------------ ------------ ------------ ------------ ------------ --------------
LIABILITIES:
Due to custodian................. -- -- -- -- -- --
Deposit for securities loaned.... -- 5,100,000 37,078,875 178,096,125 39,899,150 38,823,800
Payable for securities
purchased...................... -- -- -- 188,541,706 66,108,248 --
Unrealized depreciation on
foreign currency forward
contracts...................... -- -- -- -- 93,071 --
Investment advisory fees......... 95,324 74,369 54,270 150,871 201,349 538,990
Accrued expenses................. 13,628 28,491 24,321 28,086 138,415 100,596
------------ ------------ ------------ ------------ ------------ --------------
Total liabilities........ 108,952 5,202,860 37,157,466 366,816,788 106,440,233 39,463,386
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS............... $416,768,827 $199,906,097 $174,804,385 $515,721,444 $525,583,903 $1,414,634,230
============ ============ ============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-in capital.................. $416,768,827 $203,766,423 $179,747,894 $524,833,070 $482,963,856 $1,060,187,632
Net unrealized appreciation
(depreciation) on securities
and futures.................... -- (3,860,326) (4,943,509) (9,111,626) 42,608,981 354,446,598
Net unrealized appreciation
(depreciation) on translation
of assets and liabilities in
foreign currencies............. -- -- -- -- 11,066 --
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS............... $416,768,827 $199,906,097 $174,804,385 $515,721,444 $525,583,903 $1,414,634,230
============ ============ ============ ============ ============ ==============
</TABLE>
- ---------------
(1) Formerly Government/Corporate Bond
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>
$439,999,063 $1,009,793,960 $ 922,144,435 $ 967,074,126 $214,782,159 $126,172,168 $392,288,113
============ ============== ============== ============== ============ ============ ============
$396,218,956 $1,381,453,305 $1,331,312,058 $1,216,019,459 $301,999,761 $119,621,721 $629,157,826
21,212,108 11,777,953 27,294,407 64,470,678 -- 2,447,625 13,474,597
-- -- -- -- -- -- --
-- -- -- -- -- -- 190,125
2,403,623 4,895,172 -- 8,425,470 8,115,674 475,444 --
-- -- -- -- -- -- --
-- -- -- -- -- -- --
5,517 23,325 14,499 23,089 6,214 3,007,064 11,949
1,046,553 484,819 462,484 443,076 23,052 -- 365,569
5,246 27,692 21,843 82,847 13,178 -- 27,997
-- -- -- -- -- -- --
------------ -------------- -------------- -------------- ------------ ------------ ------------
420,892,003 1,398,662,266 1,359,105,291 1,289,464,619 310,157,879 125,551,854 643,228,063
------------ -------------- -------------- -------------- ------------ ------------ ------------
-- -- -- -- 9,263,283 -- --
24,259,200 146,119,866 81,556,641 115,256,767 40,672,700 -- 48,296,127
2,300,061 9,663,859 10,002,725 2,259,614 -- 473,569 --
-- -- -- -- -- -- 1,832,309
194,557 618,500 656,480 780,615 210,439 61,423 359,980
33,897 23,598 20,291 133,342 37,035 26,454 26,006
------------ -------------- -------------- -------------- ------------ ------------ ------------
26,787,715 156,425,823 92,236,137 118,430,338 50,183,457 561,446 50,514,422
------------ -------------- -------------- -------------- ------------ ------------ ------------
$394,104,288 $1,242,236,443 $1,266,869,154 $1,171,034,281 $259,974,422 $124,990,408 $592,713,641
============ ============== ============== ============== ============ ============ ============
$437,884,395 $ 870,577,098 $ 857,701,531 $ 922,088,948 $172,756,820 $131,540,855 $357,676,654
(43,780,107) 371,659,345 409,167,623 248,945,333 87,217,602 (6,550,447) 236,869,713
-- -- -- -- -- -- (1,832,726)
------------ -------------- -------------- -------------- ------------ ------------ ------------
$394,104,288 $1,242,236,443 $1,266,869,154 $1,171,034,281 $259,974,422 $124,990,408 $592,713,641
============ ============== ============== ============== ============ ============ ============
</TABLE>
85
<PAGE> 87
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE EQUITY
MARKET QUALITY BOND BOND BOND(1) BALANCED INCOME
----------- ------------ ------------ ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................. $19,781,570 $13,993,976 $10,125,089 $ 35,544,333 $10,844,737 $ 1,316,066
Dividend income................. -- -- -- -- 4,318,612 30,888,821
Less: withholding taxes......... -- -- -- -- (26,191) (17,687)
----------- ----------- ----------- ------------ ----------- ------------
Total income............. 19,781,570 13,993,976 10,125,089 35,544,333 15,137,158 32,187,200
----------- ----------- ----------- ------------ ----------- ------------
EXPENSES:
Investment advisory fees........ 925,652 794,958 605,483 1,995,476 2,284,131 6,502,830
Custody fees.................... 67,896 51,219 39,726 91,523 150,849 180,852
Professional fees............... 24,362 23,748 22,660 33,997 31,071 47,886
Reports to shareholders......... 962 738 476 1,682 1,447 3,826
Miscellaneous fees.............. 2,764 2,651 2,593 2,981 161,810 3,228
----------- ----------- ----------- ------------ ----------- ------------
Total expenses........... 1,021,636 873,314 670,938 2,125,659 2,629,308 6,738,622
Expenses reimbursed by the
advisor....................... -- -- (490) -- (92,527) --
----------- ----------- ----------- ------------ ----------- ------------
Net expenses............. 1,021,636 873,314 670,448 2,125,659 2,536,781 6,738,622
----------- ----------- ----------- ------------ ----------- ------------
Net investment income (loss)...... 18,759,934 13,120,662 9,454,641 33,418,674 12,600,377 25,448,578
----------- ----------- ----------- ------------ ----------- ------------
NET REALIZED AND UNREALIZED GAINS
(LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES:
Net realized gains (losses) on
securities and futures........ (81,098) (77,003) 271,445 (16,710,925) 38,806,405 127,039,697
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 (38,715,500)
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign
currencies.................... -- -- -- -- 11,066 --
----------- ----------- ----------- ------------ ----------- ------------
Net realized and unrealized gains
(losses) on securities and
foreign currencies.............. (81,098) (5,789,672) (6,701,765) (38,883,106) 43,816,673 88,324,197
----------- ----------- ----------- ------------ ----------- ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS...................... $18,678,836 $ 7,330,990 $ 2,752,876 $ (5,464,432) $56,417,050 $113,772,775
=========== =========== =========== ============ =========== ============
</TABLE>
- ---------------
(1) Formerly Government/Corporate Bond
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>
$ 598,323 $ 1,107,550 $ 1,592,527 $ 4,458,799 $ 420,906 $10,184,587 $ 1,312,185
8,981,593 5,754,154 5,602,704 4,846,575 353,109 -- 6,120,134
-- -- (13,096) (15,515) -- -- (589,899)
------------ ------------ ------------ ------------ ----------- ----------- ------------
9,579,916 6,861,704 7,182,135 9,289,859 774,015 10,184,587 6,842,420
------------ ------------ ------------ ------------ ----------- ----------- ------------
2,378,610 5,981,552 5,900,858 7,623,496 1,394,114 617,744 3,213,534
86,621 151,123 133,895 237,804 35,046 44,037 430,572
27,545 36,273 26,676 42,812 22,154 22,238 30,087
1,146....... 1,737 1,591 2,184 155 282 832
2,847 2,948 2,813 135,604 2,514 2,561 2,795
------------ ------------ ------------ ------------ ----------- ----------- ------------
2,496,769 6,173,633 6,065,833 8,041,900 1,453,983 686,862 3,677,820
(109) (1,170) (33) (13,406) (13,847) (12,888) (500)
------------ ------------ ------------ ------------ ----------- ----------- ------------
2,496,660 6,172,463 6,065,800 8,028,494 1,440,136 673,974 3,677,320
------------ ------------ ------------ ------------ ----------- ----------- ------------
7,083,256 689,241 1,116,335 1,261,365 (666,121) 9,510,613 3,165,100
------------ ------------ ------------ ------------ ----------- ----------- ------------
18,628,659 140,686,075 112,928,394 167,967,618 26,650,206 (6,387,877) 26,587,874
-- -- -- -- -- -- (1,679,242)
(35,807,019) 152,827,628 214,814,984 70,038,822 65,836,552 (2,312,494) 206,238,143
-- -- -- -- -- -- (518,396)
------------ ------------ ------------ ------------ ----------- ----------- ------------
(17,178,360) 293,513,703 327,743,378 238,006,440 92,486,758 (8,700,371) 230,628,379
------------ ------------ ------------ ------------ ----------- ----------- ------------
$(10,095,104) $294,202,944 $328,859,713 $239,267,805 $91,820,637 $ 810,242 $233,793,479
============ ============ ============ ============ =========== =========== ============
</TABLE>
87
<PAGE> 89
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(1) 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>
- ---------------
(1) Formerly Government/Corporate Bond
See notes to financial statements.
88
<PAGE> 90
<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>
89
<PAGE> 91
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE
MARKET QUALITY BOND BOND BOND BALANCED
--------------- ------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss).............. $ 13,951,164 $ 12,701,342 $ 7,665,158 $ 27,460,446 $ 14,782,044
Net realized gains (losses) on
securities.............................. (8,027) 414,827 855,222 4,853,795 20,266,279
Net realized gains on foreign currency
transactions............................ -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on securities............ -- 727,026 952,909 2,272,504 18,099,702
Net change in unrealized (depreciation) on
translation of assets and liabilities in
foreign currencies...................... -- -- -- -- --
--------------- ------------- ------------ ------------ ------------
Net increase in net assets resulting from
operations.............................. 13,943,137 13,843,195 9,473,289 34,586,745 53,148,025
--------------- ------------- ------------ ------------ ------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital invested............ 1,190,514,074 102,204,372 87,113,056 251,884,825 182,220,839
Value of capital withdrawn................ (1,144,331,916) (106,753,871) (67,198,275) (96,168,925) (124,143,038)
--------------- ------------- ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from capital transactions....... 46,182,158 (4,549,499) 19,914,781 155,715,900 58,077,801
--------------- ------------- ------------ ------------ ------------
Net increase in net assets.................. 60,125,295 9,293,696 29,388,070 190,302,645 111,225,826
NET ASSETS:
Beginning of year......................... 232,312,458 218,169,438 129,186,397 361,632,885 394,769,913
--------------- ------------- ------------ ------------ ------------
End of year............................... $ 292,437,753 $ 227,463,134 $158,574,467 $551,935,530 $505,995,739
=============== ============= ============ ============ ============
</TABLE>
See notes to financial statements.
90
<PAGE> 92
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
INCOME VALUE INCOME GROWTH EQUITY EQUITY BOND EQUITY
-------------- ------------- ------------- ------------- ------------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 28,947,266 $ 5,424,433 $ 1,627,245 $ 1,181,223 $ 1,111,083 $ (149,096) $ 6,685,780 $ 2,883,477
110,650,921 44,679,908 19,534,576 61,370,721 17,684,596 1,181,993 (553,780) 10,177,768
-- -- -- -- -- -- -- 256,147
19,217,218 (13,627,414) 150,077,114 115,672,317 31,347,149 19,387,276 (5,046,919) 16,727,273
-- -- -- -- -- -- -- (2,957,713)
-------------- ------------- ------------- ------------- ------------- ------------ ------------ -------------
158,815,405 36,476,927 171,238,935 178,224,261 50,142,828 20,420,173 1,085,081 27,086,952
-------------- ------------- ------------- ------------- ------------- ------------ ------------ -------------
345,144,527 290,119,254 446,058,507 259,688,127 454,968,479 93,573,841 96,042,481 340,305,978
(351,923,605) (171,720,121) (222,289,389) (175,776,011) (324,409,684) (58,523,957) (41,956,712) (252,480,825)
-------------- ------------- ------------- ------------- ------------- ------------ ------------ -------------
(6,779,078) 118,399,133 223,769,118 83,912,116 130,558,795 35,049,884 54,085,769 87,825,153
-------------- ------------- ------------- ------------- ------------- ------------ ------------ -------------
152,036,327 154,876,060.. 395,008,053 262,136,377 180,701,623 55,470,057 55,170,850 114,912,105
1,215,071,169 234,983,715.. 376,260,408 426,312,188 743,388,261 25,857,650 39,700,131 205,306,068
-------------- ------------- ------------- ------------- ------------- ------------ ------------ -------------
$1,367,107,496 $389,859,775.. $ 771,268,461 $ 688,448,565 $ 924,089,884 $ 81,327,707 $ 94,870,981 $ 320,218,173
============== ============= ============= ============= ============= ============ ============ =============
</TABLE>
91
<PAGE> 93
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 86.54%
$14,000,000 American Express Company,
5.70%, 04/06/00.............. $ 13,787,200
3,296,000 American General Finance Corp.,
5.78%, 02/23/00.............. 3,267,953
1,500,000 American Home Products Corp.,
5.68%, 02/25/00.............. 1,486,984
4,500,000 Aristar, Inc., 6.05%,
01/28/00..................... 4,479,581
2,700,000 Aristar, Inc., 6.15%,
01/31/00..................... 2,686,163
4,800,000 Aristar, Inc., 6.10%,
02/04/00..................... 4,772,346
5,000,000 Bank of New York, 5.76%,
02/24/00..................... 4,956,800
8,000,000 Bank One Corp., 5.70%,
01/31/00..................... 7,962,000
18,300,000 Chevron Oil Finance Corp.,
5.00%, 01/05/00.............. 18,289,833
18,000,000 Citicorp, 6.01%, 02/10/00...... 17,879,800
1,760,000 Coca Cola Enterprises, Inc.,
5.85%, 01/13/00.............. 1,756,568
4,235,000 Coca Cola Enterprises, Inc.,
5.45%, 02/22/00.............. 4,201,661
2,000,000 Conagra, Inc., 6.37%,
01/05/00..................... 1,998,584
615,000 Country Wide Home Loans, 5.25%,
01/05/00..................... 614,641
2,700,000 Deere & Company, 6.00%,
02/08/00..................... 2,682,900
1,000,000 Disney (Walt) Company, 5.53%,
06/16/00..................... 974,347
4,150,000 Dominion Resources, Inc.,
6.80%, 01/25/00.............. 4,131,187
1,000,000 Enterprise Funding Corp.,
5.88%, 01/25/00.............. 996,080
5,805,000 Enterprise Funding Corp.,
5.95%, 01/28/00.............. 5,781,014
8,000,000 Finova Capital Corp., 6.05%,
02/03/00..................... 7,955,633
18,700,000 Ford Motor Credit Corp., 6.40%,
01/19/00..................... 18,640,160
6,500,000 GE Capital Corp., 6.02%,
01/28/00..................... 6,470,652
700,000 GE Capital Corp., 5.71%,
03/14/00..................... 691,895
10,000,000 General Electric Company,
5.76%, 02/18/00.............. 9,923,200
9,000,000 General Motors Acceptance
Corp., 5.90%, 02/08/00....... 8,943,950
8,000,000 General Motors Acceptance
Corp., 5.75%, 02/25/00....... 7,929,722
315,000 General Motors Corp., 5.75%,
02/11/00..................... 312,937
1,200,000 General Motors Corp., 5.75%,
02/15/00..................... 1,191,375
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER (CONTINUED)
$ 8,800,000 Golden Funding Corp., 7.00%,
01/27/00..................... $ 8,755,511
8,225,000 Golden Funding Corp., 5.87%,
01/28/00..................... 8,188,789
5,000,000 Heller Financial, 5.95%,
02/15/00..................... 4,962,813
2,200,000 Heller International Corp.,
5.85%, 02/25/00.............. 2,180,338
9,800,000 Heller International Corp.,
5.95%, 03/09/00.............. 9,689,859
7,700,000 Household International Corp.,
6.05%, 01/21/00.............. 7,674,120
9,300,000 Household International Corp.,
6.05%, 02/08/00.............. 9,240,609
4,500,000 International Bank for
Reconstruction and
Development, 5.73%,
10/15/00..................... 4,293,667
1,100,000 International Bank for
Reconstruction and
Development, 5.85%,
10/15/00..................... 1,048,553
1,530,000 Johnson Controls, Inc., 5.93%,
01/27/00..................... 1,523,448
6,000,000 Lehman Brothers Holdings,
6.15%, 03/15/00.............. 6,003,843
900,000 MCI Worldcom, Inc., 6.55%,
01/26/00..................... 895,906
3,445,000 Merrill Lynch & Company, Inc.,
5.86%, 01/31/00.............. 3,428,177
5,000,000 Merrill Lynch & Company, Inc.,
5.94%, 02/28/00.............. 4,952,150
5,150,000 Montauk Funding Corp., 6.25%,
01/14/00..................... 5,138,377
6,200,000 Montauk Funding Corp., 5.65%,
01/18/00..................... 6,183,458
3,750,000 Nabisco, Inc., 5.25%,
01/03/00..................... 3,748,906
5,700,000 Paccar Financial Group, 5.03%,
02/01/00..................... 5,675,312
2,600,000 Paccar Financial Group, 5.90%,
01/28/00..................... 2,588,495
10,000,000 Quebec Province Canada, 5.79%,
05/26/00..................... 9,765,183
8,000,000 Quebec Province Canada, 5.85%,
06/01/00..................... 7,802,400
18,000,000 Sears Roebuck & Company, 6.00%,
02/15/00..................... 17,865,000
15,087,000 Texaco, Inc., 5.90%,
01/13/00..................... 15,057,329
7,000,000 Toronto Dominion Bank, 6.25%,
01/10/00..................... 6,989,063
300,000 Trident Capital Finance, Inc.,
5.96%, 01/19/00.............. 299,106
</TABLE>
See notes to financial statements.
92
<PAGE> 94
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER (CONTINUED)
$ 7,100,000 Trident Capital Finance, Inc.,
6.55%, 01/19/00.............. $ 7,076,748
900,000 Trident Capital Finance, Inc.,
5.95%, 02/11/00.............. 893,901
15,000,000 Union Bancal Corp., 5.25%,
05/08/00..................... 15,000,000
15,000,000 Wells Fargo Company, 5.87%,
03/03/00..................... 14,848,358
2,875,000 Windmill Funding Corp., 6.59%,
01/10/00..................... 2,870,263
400,000 Windmill Funding Corp., 5.84%,
01/12/00..................... 399,286
850,000 Windmill Funding Corp., 5.87%,
01/12/00..................... 848,476
------------
TOTAL COMMERCIAL PAPER
(Cost $360,652,610)............ 360,652,610
------------
FEDERAL HOME LOAN BANK -- 3.12%
8,000,000 5.00%, 02/10/00................ 8,000,000
5,000,000 5.14%, 03/17/00................ 5,000,000
------------
TOTAL FEDERAL HOME LOAN BANK
(Cost $13,000,000)............. 13,000,000
------------
SHORT TERM CORPORATE NOTES -- 9.98%
1,800,000 Banc One, Floating Rate, 6.40%,
01/06/00+.................... 1,800,000
4,811,000 Capital One Funding Corp.,
Floating Rate, 6.40%,
01/06/00+.................... 4,811,000
10,000,000 Dow Chemical Company, Floating
Rate, 5.5125%, 03/15/00+..... 10,000,000
7,000,000 Goldman Sachs Group, Floating
Rate, 5.40%, 02/25/00+....... 7,000,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 9,000,000 Goldman Sachs Group, Floating
Rate, 6.2575%, 02/15/00+..... $ 9,000,000
9,000,000 Lehman Syndicated Loan Fund,
Floating Rate, 6.6125%,
03/15/00+.................... 9,000,000
------------
TOTAL SHORT-TERM CORPORATE
NOTES (Cost $41,611,000)....... 41,611,000
------------
TOTAL SECURITIES (Cost
$415,263,610).................. 415,263,610
------------
REPURCHASE AGREEMENT -- 0.02%
78,083 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase proceeds
at maturity $78,102
(Collateralized by Fannie
Mae, 7.32%, due 08/01/27,
with a value of $82,047)
(Cost $78,083)............... 78,083
------------
Total Investments -- 99.66%
(Cost $415,341,693)............ 415,341,693
Other assets less
liabilities -- 0.34%........... 1,427,134
------------
NET ASSETS -- 100.00%.......... $416,768,827
============
The aggregate cost of securities for federal income tax
purposes at December 31, 1999, is $415,341,693.
</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
December 31, 1999.
See notes to financial statements.
93
<PAGE> 95
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 90.66%
AUTOMOBILES -- 2.48%
$ 5,000,000 DaimlerChrysler N.A. Holdings,
6.59%, 06/18/02.............. $ 4,952,355
------------
BANKS -- 13.74%
3,500,000 Bank of America Corp. 10.00%,
02/01/03..................... 3,783,437
8,000,000 First Omni Bank, Series 96-A,
6.65%, 09/15/03.............. 7,989,200
3,750,000 First Union Corp., 8.00%,
11/15/02..................... 3,826,511
3,120,000 Midland Bank PLC, 8.625%,
12/15/04..................... 3,238,691
2,000,000 RBSG Capital Corp., 10.125%,
03/01/04..................... 2,182,180
1,810,338 Union Acceptance Corp., 6.40%,
10/10/02..................... 1,807,586
4,700,000 Union Acceptance Corp., 5.57%,
09/08/03..................... 4,635,845
------------
TOTAL BANKS.................... 27,463,450
------------
BROKERAGE -- 10.95%
5,000,000 Bear Stearns & Company, 6.45%,
08/01/02..................... 4,907,090
1,500,000 Bear Stearns & Company, 6.125%,
02/01/03..................... 1,447,559
7,000,000 Lehman Brothers Holdings Inc.,
6.00%, 02/26/01.............. 6,912,941
5,000,000 Merrill Lynch & Company, 5.75%,
11/04/02..................... 4,844,760
4,000,000 Morgan Stanley Dean Witter &
Company, 5.625%, 01/20/04.... 3,776,340
------------
TOTAL BROKERAGE................ 21,888,690
------------
FINANCE -- 17.69%
1,000,000 Abbey National First Capital,
8.20%, 10/15/04.............. 1,024,613
2,000,000 Associates Corp. N.A., 6.15%,
01/13/03..................... 1,952,962
3,170,000 Associates Corp. N.A., 6.01%,
02/07/03..................... 3,080,993
4,400,000 Associates Corp. N.A., 7.80%,
09/15/04..................... 4,510,475
855,577 Copelco Capital Funding Corp.
II, 6.34%, 07/20/04.......... 854,713
5,000,000 Florida Windstorm Underwriting,
6.50%, 08/25/02.............. 4,864,645
2,000,000 Freddie Mac, 6.25%, 10/15/02... 1,979,330
5,000,000 General Motors Acceptance
Corp., 5.40%, 04/09/01....... 4,923,950
5,000,000 International Lease Finance,
5.45%, 02/08/02.............. 4,862,290
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCE (CONTINUED)
$ 5,000,000 Norwest Financial, Inc.,
6.375%, 7/16/02.............. $ 4,907,775
856,081 Textron Financial Corp., 6.05%,
03/16/09..................... 853,170
1,453,233 Travelers Mortgage, 12.00%,
03/01/14..................... 1,555,337
------------
TOTAL FINANCE.................. 35,370,253
------------
PRIVATE ASSET BACKED: BANKS -- 2.47%
1,244,138 Banc One Auto Grantor Trust,
6.27%, 11/20/03.............. 1,241,090
3,434,611 Banc One Auto Grantor Trust,
6.29%, 07/20/04.............. 3,416,339
281,782 Western Finance Grantor Trust,
5.875%, 03/01/02............. 281,447
------------
TOTAL PRIVATE ASSET BACKED:
BANKS.......................... 4,938,876
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 10.05%
3,900,000 Dayton Hudson Credit Card
Master Trust, Series 97-1A,
6.25%, 08/25/05.............. 3,832,296
4,000,000 Discover Card Master Trust I,
Series 98-6A, 5.85%,
01/17/06..................... 3,856,800
6,000,000 Proffitt's Credit Card Master
Trust, Series 98-2A, 6.00%,
09/15/04..................... 5,926,020
5,000,000 Sears Credit Account Master
Trust, Series 96-1A, 6.20%,
02/16/06..................... 4,966,950
1,500,000 Sears Credit Account Master
Trust, 7.00%, 07/16/08....... 1,505,145
------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS................... 20,087,211
------------
PRIVATE ASSET BACKED: FINANCE -- 7.02%
5,000,000 Caterpillar Financial Asset
Trust, 6.20%, 04/25/04 (a)... 4,938,750
726,272 Chase Manhattan Grantor Trust,
6.61%, 09/15/02.............. 727,260
2,472,163 Navistar Financial Corp.,
Series 98-A, Class A, 5.94%,
11/15/04..................... 2,451,768
412,359 Pemex Exp Grantor Trust, 7.66%,
08/15/01..................... 416,903
1,337,051 USAA Auto Loan Grantor Trust,
6.00%, 05/15/04.............. 1,330,847
4,204,185 USAA Auto Loan Grantor Trust,
6.10%, 02/15/06.............. 4,171,340
------------
TOTAL PRIVATE ASSET BACKED:
FINANCE........................ 14,036,868
------------
</TABLE>
See notes to financial statements.
94
<PAGE> 96
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: OTHER -- 2.74%
$ 3,500,000 Midstate Trust, Series 2-A4,
9.625%, 04/01/03............. $ 3,610,145
1,871,316 New York City Tax Lien Trust,
Series 98-1C, 6.12%,
07/25/06..................... 1,864,766
------------
TOTAL PRIVATE ASSET BACKED:
OTHER.......................... 5,474,911
------------
PRIVATE ASSET BACKED: PHARMACEUTICALS --1.49%
2,849,891 Upjohn Company, 9.79%,
02/01/04..................... 2,973,377
------------
PRIVATE ASSET BACKED: RECEIVABLES -- 14.78%
858,702 Capital Equipment Receivable
Trust, Series 96-1, 6.28%,
06/15/00..................... 858,702
570,987 Chevy Chase Auto Receivable
Trust, 6.60%, 12/15/02....... 571,815
6,729,000 Compass Auto Receivables Trust,
Series 1998-A3, 5.90%,
05/15/04..................... 6,688,087
3,000,000 EAB Lease Receivables Trust,
5.66%, 09/15/02.............. 2,962,500
5,000,000 First Sierra Receivables,
5.73%, 07/15/04.............. 4,833,850
1,234,669 First Sierra Receivables II,
6.85%, 02/10/03.............. 1,235,397
542,080 Heller Equipment Asset
Receivables Trust, Series
1997-1, Class A2, 6.39%,
05/25/05..................... 538,974
6,989,187 Newcourt Receivables Asset
Trust, Series 1997-1, Class
A4, 6.193%, 05/20/05......... 6,945,365
5,000,000 Textron Financial Corp.
Receivable Trust, Series
1998-A, Class A2, 5.89%,
01/15/05..................... 4,913,700
------------
TOTAL PRIVATE ASSET BACKED:
RECEIVABLES.................... 29,548,390
------------
PRIVATE ASSET BACKED: RETAIL -- 2.37%
4,000,000 John Deere Capital Corp.,
6.90%, 10/18/02.............. 3,967,760
774,496 Premier Auto Trust, 6.40%,
10/06/01..................... 775,038
------------
TOTAL PRIVATE ASSET BACKED:
RETAIL......................... 4,742,798
------------
PRIVATE ASSET BACKED:
TRANSPORTATION -- 3.58%
7,083,050 Railcar Trust, 7.75%,
06/01/04..................... 7,151,047
------------
REAL ESTATE -- 1.30%
2,000,000 Camden Property Trust, 7.23%,
10/30/00..................... 1,997,000
367,229 Merrill Lynch Mortgage
Investors, Inc., 10.35%,
05/15/09..................... 374,761
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE (CONTINUED)
$ 232,000 Merrill Lynch Mortgage
Investors, Inc., 9.40%,
09/15/09..................... $ 237,100
------------
TOTAL REAL ESTATE.............. 2,608,861
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $184,960,190)............ 181,237,087
------------
US GOVERNMENT AGENCY SECURITIES -- 1.34%
FANNIE MAE -- 0.04%
2,891 PL# 6346, 6.75%, 02/01/03...... 2,897
74,873 PL# 137455, 7.00%, 04/01/04.... 72,413
------------
TOTAL FANNIE MAE............... 75,310
------------
FREDDIE MAC -- 0.63%
637,953 PL# 850082, 9.00%, 10/01/05.... 649,827
60,202 REMIC, Series MH-1, 10.15%,
04/15/06..................... 60,575
352,744 PL# D06777, 7.50%, 03/01/08.... 356,534
195,680 PL# 306816, 7.00%, 01/01/18.... 195,501
------------
TOTAL FREDDIE MAC.............. 1,262,437
------------
RESOLUTION TRUST CORP. -- 0.67%
1,339,531 Resolution Trust Corp., 7.946%,
08/25/21..................... 1,334,147
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost $2,700,525)... 2,671,894
------------
FOREIGN GOVERNMENT OBLIGATION -- 2.47%
5,000,000 Hydro Quebec, 6.36%, 01/15/02
(Cost $5,038,397)............ 4,929,805
------------
<CAPTION>
SHARES
------
REGULATED INVESTMENT COMPANIES -- 1.59%
251,216 Janus Money Market Fund(b)..... 251,216
2,927,478 Merrimac Cash Fund -- Premium
Class(b)..................... 2,927,478
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $3,178,694).... 3,178,694
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
<C> <S> <C>
CERTIFICATES OF DEPOSIT -- 0.27%
$ 62,804 American Express Centurion
Bank, 6.15%, 01/26/00(b)..... 62,804
141,309 Den Danske Bank, 6.39%,
01/20/00(b).................. 141,309
141,309 Den Danske Bank, 6.41%,
01/27/00(b).................. 141,309
62,804 Royal Bank Of Scotland, 6.15%,
01/20/00(b).................. 62,804
</TABLE>
See notes to financial statements.
95
<PAGE> 97
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (CONTINUED)
$ 141,309 Royal Bank Of Scotland, 6.31%,
01/27/00(b).................. $ 141,309
------------
TOTAL CERTIFICATES OF DEPOSITS
(Cost $549,535)................ 549,535
------------
TIME DEPOSITS -- 0.19%
371,771 BankBoston, N.A., 4.68%,
01/03/00(b) (Cost
$371,771).................... 371,771
------------
SHORT TERM CORPORATE NOTES -- 0.50%
1,000,000 Prudential Securities, Inc.,
4.85%(++), 03/10/00(b) (Cost
$1,000,000).................. 1,000,000
------------
TOTAL SECURITIES (Cost
$197,799,112).................. 193,938,786
------------
REPURCHASE AGREEMENT -- 4.44%
8,884,965 With Morgan Stanley Dean Witter
& Company, dated 12/31/99,
2.03%, due 01/03/00,
repurchase proceeds at
maturity $8,886,468
(Collateralized by U.S.
Treasury Notes, 7.25% due
05/15/04, with a value of
$9,072,454) (Cost
$8,884,965).................. 8,884,965
------------
Total Investments -- 101.46%
(Cost $206,684,077)............ 202,823,751
Liabilities less other
assets -- (1.46%).............. (2,917,654)
------------
NET ASSETS -- 100.00%.......... $199,906,097
============
</TABLE>
The aggregate cost of securities for federal income tax purposes at December 31,
1999 is $206,684,077.
The following amount is based on cost for federal income tax purposes:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $ 133,508
Gross unrealized depreciation......... (3,993,834)
------------
Net unrealized depreciation........... $ (3,860,326)
============
</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 December
31, 1999.
</TABLE>
See notes to financial statements.
96
<PAGE> 98
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US TREASURY NOTES -- 29.27%
$ 2,500,000 8.875%, 05/15/00(a)............ $ 2,532,813
31,000,000 6.25%, 01/31/02(a)............. 31,000,000
5,000,000 5.625%, 12/31/02............... 4,904,690
11,000,000 6.50%, 10/15/06................ 10,969,068
2,000,000 4.75%, 11/15/08(a)............. 1,764,376
------------
TOTAL US TREASURY NOTES
(Cost $52,945,531)............. 51,170,947
------------
US GOVERNMENT AGENCY SECURITIES -- 64.24%
FANNIE MAE -- 7.82%
2,000,000 CMO, Series 94-75, 7.00%,
01/25/03..................... 1,986,740
2,000,000 5.75%, 04/15/03................ 1,941,808
3,000,000 5.125%, 02/13/04............... 2,814,837
2,000,000 5.875%, 04/23/04............... 1,921,000
5,000,000 Series 96-M7, Class B, 6.8654%,
06/17/11..................... 4,999,250
------------
TOTAL FANNIE MAE............... 13,663,635
------------
FEDERAL HOME LOAN BANK -- 7.88%
5,000,000 7.39%, 08/22/01................ 5,063,235
4,000,000 4.875%, 01/22/02............... 3,869,968
3,000,000 5.125%, 02/26/02............... 2,912,508
2,000,000 5.50%, 01/21/03................ 1,934,710
------------
TOTAL FEDERAL HOME LOAN BANK... 13,780,421
------------
FREDDIE MAC -- 13.03%
7,000,000 6.00%, 07/20/01................ 6,936,496
7,000,000 6.30%, 06/01/04(a)............. 6,786,017
3,000,000 CMO, Series 1574, 6.50%,
02/15/21..................... 2,947,080
5,300,000 CMO, Series 1500, 7.00%,
06/15/22..................... 5,073,743
462,741 CMO, Series 31, Floating Rate,
6.90%(++), 08/25/23.......... 462,721
574,131 CMO, Series 1710, Floating
Rate, 7.00%(++), 02/15/24.... 574,499
------------
TOTAL FREDDIE MAC.............. 22,780,556
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 16.01%
3,134 PL# 209631, 7.50%, 04/15/02.... 3,172
13,569 PL# 328000, 7.50%, 06/15/07.... 13,787
6,415 PL# 328084, 7.50%, 07/15/07.... 6,518
10,021 PL# 335542, 7.50%, 08/15/07.... 10,182
85,322 PL# 335995, 7.50%, 08/15/07.... 86,692
29,131 PL# 322072, 7.50%, 08/15/07.... 29,599
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 118,801 PL# 323189, 7.50%, 08/15/07.... $ 120,709
149,786 PL# 328188, 7.50%, 08/15/07.... 152,192
209,121 PL# 328192, 7.50%, 08/15/07.... 212,480
53,164 PL# 328200, 7.50%, 08/15/07.... 54,018
253,750 PL# 329060, 7.50%, 08/15/07.... 257,826
222,471 PL# 332267, 7.50%, 08/15/07.... 226,044
51,700 PL# 333320, 7.50%, 09/15/07.... 52,531
141,722 PL# 333709, 7.50%, 09/15/07.... 143,998
257,281 PL# 297619, 7.50%, 09/15/07.... 261,413
203,026 PL# 332704, 7.50%, 09/15/07.... 206,287
154,598 PL# 369749, 6.50%, 09/15/08.... 149,960
210,671 PL# 345975, 6.50%, 10/15/08.... 204,351
503,069 PL# 374726, 6.50%, 10/15/08.... 487,977
164,179 PL# 345973, 6.50%, 11/15/08.... 159,254
97,944 PL# 363874, 6.50%, 11/15/08.... 95,006
337,897 PL# 370448, 6.50%, 11/15/08.... 327,760
404,590 PL# 371094, 6.50%, 11/15/08.... 392,453
240,818 PL# 366531, 6.50%, 11/15/08.... 233,594
3,628,264 PL# 2483, 7.00%, 09/20/27...... 3,496,028
12,654,494 PL# 2631, 7.00%, 08/20/28...... 12,193,288
8,724,799 PL# 2645, 7.00%, 09/20/28...... 8,406,815
------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION........... 27,983,934
------------
US TREASURY INFLATION INDEX -- 5.67%
10,000,000 3.625%, 01/15/08............... 9,916,192
------------
HOUSING AND URBAN DEVELOPMENT -- 2.83%
5,000,000 6.23%, 08/01/02................ 4,952,715
------------
TENNESSEE VALLEY AUTHORITY -- 2.91%
2,500,000 6.375%, 06/15/05............... 2,409,170
3,000,000 5.375%, 11/13/08............... 2,673,531
------------
TOTAL TENNESSEE VALLEY
AUTHORITY.................... 5,082,701
------------
US GOVERNMENT GUARANTEED BOND -- 8.09%
4,495,210 6.12%, 04/01/08................ 4,312,030
10,000,000 7.05%, 11/15/13................ 9,836,200
------------
TOTAL US GOVERNMENT GUARANTEED
BOND........................... 14,148,230
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$115,477,309).................. 112,308,384
------------
</TABLE>
See notes to financial statements.
97
<PAGE> 99
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
5.10%
FANNIE MAE -- 1.49%
$ 2,600,000 3.50%, 01/05/00................ $ 2,598,989
------------
FEDERAL HOME LOAN BANK -- 3.61%
6,400,000 5.77%, 03/24/00................ 6,314,860
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$8,913,849).................... 8,913,849
------------
CERTIFICATES OF DEPOSIT --2.29%
456,608 American Express Centurion
Bank, 6.15%, 01/26/00(b)..... 456,608
1,027,367 Den Danske Bank, 6.39%,
01/20/00(b).................. 1,027,367
1,027,367 Den Danske Bank, 6.41%,
01/27/00(b).................. 1,027,367
456,608 Royal Bank of Scotland, 6.15%,
01/20/00(b).................. 456,608
1,027,367 Royal Bank of Scotland, 6.31%,
01/27/00(b).................. 1,027,367
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $3,995,317).............. 3,995,317
------------
SHORT TERM CORPORATE NOTES -- 12.59%
5,000,000 Goldman Sachs & Company,
Floating Rate, 6.44625%(++),
02/04/00(b).................. 5,000,000
5,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b).................. 5,000,000
2,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.60%(++), 01/11/00(b)....... 2,000,000
10,000,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b).................. 10,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $22,000,000)............. 22,000,000
------------
<CAPTION>
SHARES
------
REGULATED INVESTMENT COMPANIES -- 0.57%
826,431 Janus Money Market Fund(b)..... 826,431
166,076 Merrimac Cash Fund -- Premium
Class(b)..................... 166,076
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $992,507)...... 992,507
------------
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
<C> <S> <C>
TIME DEPOSIT -- 5.77 %
$10,091,051 BankBoston N.A., 4.68%,
01/03/00(b) (Cost
$10,091,051)................. $ 10,091,051
------------
TOTAL SECURITIES
(Cost $214,415,564)............ 209,472,055
------------
REPURCHASE AGREEMENT -- 0.04%
63,303 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase proceeds
at maturity $63,319
(Collateralized by Government
National Mortgage
Association, 6.75%, due
07/20/25, with a value of
$66,663) (Cost $63,303)...... 63,303
------------
Total Investments -- 119.87%
(Cost $214,478,867)............ 209,535,358
Liabilities less other
assets -- (19.87%)............. (34,730,973)
------------
NET ASSETS -- 100.00%.......... $174,804,385
============
</TABLE>
The aggregate cost of securities for federal income tax purposes at December 31,
1999 is $214,478,867.
The following amount is based on cost for federal income tax purposes:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $ 92,888
Gross unrealized depreciation......... (5,036,397)
------------
Net unrealized depreciation........... $ (4,943,509)
============
</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 December
31, 1999.
</TABLE>
See notes to financial statements.
98
<PAGE> 100
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
US TREASURY SECURITIES -- 39.70%
US TREASURY NOTES -- 35.90%
$95,000,000 6.25%, 08/31/00(a)............ $ 95,207,860
30,000,000 5.50%, 12/31/00(a)............ 29,821,890
40,000,000 6.125%, 12/31/01(a)........... 39,912,520
11,000,000 5.75%, 08/15/03(a)............ 10,769,693
10,000,000 5.625%, 05/15/08.............. 9,406,250
-------------
TOTAL US TREASURY NOTES....... 185,118,213
-------------
US TREASURY STRIPS -- 0.23%
4,900,000 0.00%, 08/15/20............... 1,214,901
-------------
US TREASURY BOND -- 3.57%
19,300,000 6.125%, 08/15/29.............. 18,401,353
-------------
TOTAL US TREASURY SECURITIES
(Cost $206,157,705)........... 204,734,467
-------------
US GOVERNMENT AGENCY SECURITIES -- 53.53%
FEDERAL HOME LOAN BANK -- 2.06%
11,000,000 4.875%, 01/22/02.............. 10,642,412
-------------
FANNIE MAE -- 18.52%
25,000,000 6.00%, 01/01/15............... 23,726,563
25,000,000 6.00%, 01/01/30............... 22,871,094
25,000,000 7.00%, 01/01/30............... 24,175,781
25,000,000 7.50%, 01/01/30............... 24,730,469
-------------
TOTAL FANNIE MAE.............. 95,503,907
-------------
FREDDIE MAC -- 12.84%
14,000,000 6.30%, 06/01/04(a)............ 13,572,034
1,452,815 Series 1377, Floating Rate,
7.00%, 09/15/07(++)......... 1,464,147
29,810,000 6.625%, 09/15/09.............. 28,878,527
4,000,000 Series 1666, Class E, 6.00%,
12/15/19.................... 3,919,120
1,388,223 Series 31, Floating Rate,
6.90%, 08/25/23(++)......... 1,388,162
18,000,000 6.75%, 09/15/29............... 17,011,800
-------------
TOTAL FREDDIE MAC............. 66,233,790
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION --
19.59%
26,405,710 PL# 2631, 7.00%, 08/20/28..... 25,443,328
3,489,920 PL# 2645, 7.00%, 09/20/28..... 3,362,726
50,000,000 6.50%, 01/15/30............... 46,945,313
25,000,000 8.00%, 01/15/30............... 25,253,906
-------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.......... 101,005,273
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
TENNESSEE VALLEY AUTHORITY -- 0.52%
$ 3,000,000 5.375%, 11/13/08.............. $ 2,673,531
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$281,092,517)................. 276,058,913
-------------
CORPORATE BONDS & NOTES -- 28.55%
AEROSPACE -- 1.84%
1,000,000 AMR Corp., 9.82%, 10/25/11.... 1,128,670
8,000,000 AMR Corp., 9.00%, 08/01/12.... 8,365,608
-------------
TOTAL AEROSPACE............... 9,494,278
-------------
BANKS -- 5.20%
10,000,000 Bank of America Corp., 6.625%,
06/15/04.................... 9,772,270
7,000,000 Inter-American Development
Bank, 8.875%, 08/22/01...... 7,240,758
10,000,000 Wells Fargo Company, 6.625%,
07/15/04.................... 9,780,850
-------------
TOTAL BANKS................... 26,793,878
-------------
COMPUTER SOFTWARE AND SERVICES -- 1.74%
9,000,000 Sun Microsystems, Inc., 7.35%,
08/15/04.................... 8,964,981
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.53%
9,000,000 International Business
Machines Corp., 5.375%,
02/01/09.................... 7,898,580
-------------
ELECTRIC -- INTEGRATED -- 1.91%
5,000,000 Edison Mission Energy -- 144A,
7.73%, 06/15/09............. 4,961,270
5,000,000 Texas Utilities Electric
Company, 7.17%, 08/01/07.... 4,880,365
-------------
TOTAL ELECTRIC --INTEGRATED... 9,841,635
-------------
FINANCE -- 7.24%
10,000,000 Associates Corp. N.A., 6.25%,
11/01/08.................... 9,213,440
10,000,000 General Motors Acceptance
Corp., 6.625%, 10/15/05..... 9,621,720
10,070,000 General Motors Acceptance
Corp., 6.175%, 05/15/33..... 9,161,283
10,000,000 Goldman Sachs & Company,
6.65%, 05/15/09............. 9,315,900
-------------
TOTAL FINANCE................. 37,312,343
-------------
FOOD AND BEVERAGE -- 0.95%
5,000,000 Diageo Capital PLC, 6.625%,
06/24/04.................... 4,892,680
-------------
</TABLE>
See notes to financial statements.
99
<PAGE> 101
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
MEDIA -- 1.96%
$10,000,000 Time Warner, Inc., 7.75%,
06/15/05.................... $ 10,133,280
-------------
SPECIAL PURPOSE ENTITY -- 1.65%
8,500,000 US West Capital Funding --
144A, Floating Rate, 6.57%,
06/15/00(++)................ 8,497,136
-------------
TELECOMMUNICATIONS -- 1.92%
10,000,000 AT&T Corp., 6.50%, 09/15/02... 9,912,500
-------------
TOBACCO -- 0.72%
4,000,000 Universal Corp., 6.50%,
02/15/06.................... 3,731,516
-------------
TRANSPORTATION -- 1.89%
10,000,000 Norfolk Southern Corp., 7.70%,
05/15/17.................... 9,763,730
-------------
TOTAL CORPORATE BONDS & NOTES
(Cost $149,836,220)........... 147,236,537
-------------
FOREIGN GOVERNMENT OBLIGATION -- 0.98%
5,000,000 Province of Ontario, 7.375%,
01/27/03 (Cost
$5,108,100)................. 5,053,000
-------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 10.91%
FANNIE MAE -- 5.73%
30,000,000 5.54%, 02/08/00............... 29,552,183
-------------
FREDDIE MAC -- 5.18%
6,000,000 5.54%, 01/13/00............... 5,908,590
11,000,000 5.60%, 02/15/00............... 10,883,644
10,000,000 5.42%, 02/25/00............... 9,914,183
-------------
TOTAL FREDDIE MAC............. 26,706,417
-------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$56,258,601).................. 56,258,600
-------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 7.32%
11,772,657 Janus Money Market Fund(b).... 11,772,657
25,993,451 Merrimac Cash Fund -- Premium
Class(b).................... 25,993,451
-------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$37,766,108).................. 37,766,108
-------------
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT -- 14.37%
$ 503,414 American Express Centurion
Bank, 6.15%, 01/26/00(b).... $ 503,414
38,876,479 Bank of Nova Scotia, 6.05%,
01/26/00(b)................. 38,876,479
1,132,684 Den Danske Bank, 6.39%,
01/20/00(b)................. 1,132,684
1,132,684 Den Danske Bank, 6.41%,
01/27/00(b)................. 1,132,684
503,414 Royal Bank of Scotland, 6.15%,
01/20/00(b)................. 503,414
1,132,684 Royal Bank of Scotland, 6.31%,
01/27/00(b)................. 1,132,684
30,835,992 Toronto Dominion Bank, 6.40%,
02/24/00(b)................. 30,835,992
-------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $74,117,351)............ 74,117,351
-------------
TIME DEPOSIT -- 0.33%
1,712,666 BankBoston N.A., 4.68%,
01/03/00(b) (Cost
$1,712,666)................. 1,712,666
-------------
SHORT TERM CORPORATE NOTES -- 12.51%
25,000,000 Bear Stearns & Company,
Floating Rate, 4.75%(++),
06/26/00(b)................. 25,000,000
15,000,000 Goldman Sachs & Company,
Floating Rate, 4.75%(++),
01/03/00(b)................. 15,000,000
7,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b)................. 7,000,000
17,500,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b)................. 17,500,000
-------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $64,500,000)...... 64,500,000
-------------
TOTAL SECURITIES (Cost
$876,549,268)................. 867,437,642
-------------
</TABLE>
See notes to financial statements.
100
<PAGE> 102
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.44%
$ 7,418,922 With Investors Bank & Trust
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity
$7,420,814 (Collateralized
by Freddie Mac, 7.25%,
04/25/24, with a value of
$5,091,116, and Fannie Mae
Adjustable Rate Mortgage,
7.238%, 08/01/27, with a
value of $2,699,532) (Cost
$7,418,922)................. $ 7,418,922
-------------
Total Investments -- 169.64%
(Cost $883,968,190)........... 874,856,564
Liabilities less other
assets -- (69.64)%............ (359,135,120)
-------------
NET ASSETS -- 100.00%......... $ 515,721,444
=============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999, is $884,547,998.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation......... $ 149,692
Gross unrealized depreciation......... (9,841,126)
-------------
Net unrealized depreciation........... $ (9,691,434)
=============
</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 December
31, 1999.
See notes to financial statements.
101
<PAGE> 103
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 61.18%
ADVERTISING -- 0.18%
7,600 Interpublic Group of Companies,
Inc. ........................ $ 438,425
4,800 Omnicom Group, Inc. ........... 480,000
------------
TOTAL ADVERTISING.............. 918,425
------------
AEROSPACE -- 0.62%
41,000 Boeing Company................. 1,704,063
4,600 General Dynamics Corp. ........ 242,650
1,700 Goodrich (B.F.) Company........ 46,750
2,000 Northrop Grumman Corp. ........ 108,125
2,700 Raytheon Company -- Class B.... 71,719
17,000 United Technologies Corp. ..... 1,105,000
------------
TOTAL AEROSPACE................ 3,278,307
------------
AGRICULTURE EQUIPMENT -- 0.05%
6,600 Deere & Company................ 286,275
------------
AIRLINES -- 0.04%
13,600 Southwest Airlines Company..... 220,150
------------
APPAREL -- 0.07%
1,500 Liz Claiborne, Inc. ........... 56,437
1,000 Russell Corp. ................. 16,750
300 Springs Industries, Inc. ...... 11,981
8,300 TJX Companies, Inc. ........... 169,631
2,900 V. F. Corp..................... 87,000
------------
TOTAL APPAREL.................. 341,799
------------
AUTOMOBILES: CARS -- 0.54%
29,900 Ford Motor Company............. 1,597,781
17,200 General Motors Corp. .......... 1,250,225
------------
TOTAL AUTOMOBILES: CARS........ 2,848,006
------------
AUTOMOBILES: TRUCKS -- 0.06%
200 NACCO Industries,
Inc. -- Class A.............. 11,112
3,500 Navistar International
Corp.(c)..................... 165,813
3,300 PACCAR, Inc. .................. 146,231
------------
TOTAL AUTOMOBILES: TRUCKS...... 323,156
------------
AUTOMOTIVE EQUIPMENT -- 0.29%
4,200 Autozone, Inc.(a)(c)........... 135,712
1,000 Cummins Engine Company,
Inc. ........................ 48,313
4,800 Dana Corp. .................... 143,700
20,793 Delphi Automotive Systems
Corp. ....................... 327,490
5,600 Genuine Parts Company.......... 138,950
2,600 Johnson Controls, Inc. ........ 147,875
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
AUTOMOTIVE EQUIPMENT (CONTINUED)
6,400 Teradyne, Inc.(c).............. $ 422,400
2,900 TRW, Inc. ..................... 150,619
------------
TOTAL AUTOMOTIVE EQUIPMENT..... 1,515,059
------------
BANKS -- 2.75%
5,300 AmSouth Bancorporation......... 102,356
46,000 Bank of America Corp. ......... 2,308,625
20,400 Bank of New York Company,
Inc. ........................ 816,000
16,700 Bank One Corp. ................ 535,444
9,600 BB&T Corp. .................... 262,800
22,200 Chase Manhattan Corp. ......... 1,724,662
4,800 Comerica, Inc. ................ 224,100
8,300 Fifth Third Bancorp............ 609,013
26,345 Firstar Corp. ................. 556,538
27,756 Fleet Boston Financial
Corp. ....................... 966,256
4,800 Golden West Financial Corp. ... 160,800
7,150 Huntington Bancshares, Inc. ... 170,706
6,000 Keycorp........................ 132,750
14,600 Mellon Bank Corp. ............. 497,312
5,000 J.P. Morgan & Company.......... 633,125
6,000 Northern Trust Corp. .......... 318,000
7,900 PNC Bank Corp. ................ 351,550
2,500 Regions Financial Corp. ....... 62,812
5,100 SouthTrust Corp. .............. 192,844
4,300 State Street Corp. ............ 314,169
5,400 Summit Bancorp................. 165,375
7,700 SunTrust Banks, Inc. .......... 529,856
8,400 Synovus Financial Corp. ....... 166,950
1,700 Union Planters Corp. .......... 67,044
5,400 Wachovia Corp. ................ 367,200
15,900 Washington Mutual, Inc. ....... 413,400
44,200 Wells Fargo Company............ 1,787,337
------------
TOTAL BANKS.................... 14,437,024
------------
BUILDING MATERIALS -- 1.27%
79,950 Home Depot, Inc. .............. 5,481,572
16,900 Lowe's Companies, Inc. ........ 1,009,775
6,000 Masco Corp. ................... 152,250
2,100 Owens Corning.................. 40,556
------------
TOTAL BUILDING MATERIALS....... 6,684,153
------------
CHEMICALS -- 0.76%
6,700 Air Products and Chemicals,
Inc. ........................ 224,869
5,800 Dow Chemicals Company.......... 775,025
28,100 du Pont (E. I.) de Nemours..... 1,851,087
</TABLE>
See notes to financial statements.
102
<PAGE> 104
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CHEMICALS (CONTINUED)
3,300 Engelhard Corp. ............... $ 62,287
1,000 FMC Corp.(c)................... 57,313
2,000 Grace (W.R.) & Company(c)...... 27,750
1,800 Great Lakes Chemical Corp. .... 68,738
3,000 Hercules, Inc. ................ 83,625
3,000 International Flavors &
Fragrances, Inc. ............ 113,250
4,600 Praxair, Inc. ................. 231,438
5,264 Rohm and Haas Company.......... 214,179
1,300 Sigma-Aldrich Corp. ........... 39,081
3,500 Union Carbide Corp. ........... 233,625
------------
TOTAL CHEMICALS................ 3,982,267
------------
COMMUNICATIONS EQUIPMENT -- 1.14%
6,400 ADC Telecommunications,
Inc.(c)...................... 464,400
3,200 Comverse Technology, Inc.(c)... 463,200
28,800 QUALCOMM, Inc.(c).............. 5,072,400
------------
TOTAL COMMUNICATIONS
EQUIPMENT...................... 6,000,000
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.88%
4,600 Apple Computer, Inc.(a)(c)..... 472,937
2,600 Avery-Dennison Corp. .......... 189,475
9,200 Gateway, Inc.(a)(c)............ 662,975
27,400 Hewlett-Packard Company........ 3,121,888
5,300 IKON Office Solutions, Inc. ... 36,106
48,500 International Business Machines
Corp. ....................... 5,238,000
3,700 Lexmark International Group,
Inc.(c)...................... 334,850
4,200 Network Appliance, Inc.(c)..... 348,862
7,200 Pitney Bowes, Inc. ............ 347,850
6,100 Seagate Technology, Inc.(c).... 284,031
52,000 Sun Microsystems, Inc.(c)...... 4,026,750
1,300 Tektronix, Inc. ............... 50,538
------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT...................... 15,114,262
------------
COMPUTER SOFTWARE AND SERVICES -- 10.28%
4,400 Adaptec, Inc.(c)............... 219,450
3,800 Adobe Systems, Inc. ........... 255,550
107,500 America Online, Inc.(c)........ 8,109,531
16,500 Automatic Data Processing,
Inc. ........................ 888,938
6,000 BMC Software, Inc.(c).......... 479,625
121,600 Cisco Systems, Inc.(c)......... 13,026,400
2,600 Citrix Systems, Inc.(c)........ 319,800
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
14,200 Computer Associates
International, Inc. ......... $ 993,112
4,300 Computer Sciences Corp.(c)..... 406,888
5,200 Compuware Corp.(c)............. 193,700
12,700 Electronic Data Systems
Corp. ....................... 850,106
27,100 EMC Corp.(c)................... 2,960,675
14,900 First Data Corp. .............. 734,756
7,600 IMS Health, Inc. .............. 206,625
138,900 Microsoft Corp.(c)............. 16,216,575
9,700 Novell, Inc.(c)................ 387,394
37,500 Oracle Corp.(c)................ 4,202,344
7,800 Parametric Technology
Corp.(c)..................... 211,087
700 Shared Medical Systems
Corp. ....................... 35,656
8,100 Unisys Corp.(c)................ 258,694
7,100 Yahoo!, Inc.(c)................ 3,072,081
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 54,028,987
------------
CONSTRUCTION -- 0.05%
2,200 Fluor Corp. ................... 100,925
1,300 Kaufman & Broad Home Corp. .... 31,444
2,000 Pulte Corp. ................... 45,000
2,400 Vulcan Materials Company(a).... 95,850
------------
TOTAL CONSTRUCTION............. 273,219
------------
CONSUMER GOODS AND SERVICES -- 4.37%
800 Alberto-Culver Company -- Class
B............................ 20,650
7,000 Avon Products, Inc. ........... 231,000
2,100 Brunswick Corp. ............... 46,725
15,700 Colgate-Palmolive Company...... 1,020,500
8,300 Eastman Kodak Company.......... 549,875
4,000 Ecolab, Inc. .................. 156,500
6,700 Fort James Corp. .............. 183,412
4,000 Fortune Brands, Inc. .......... 132,250
88,200 General Electric Company....... 13,648,950
13,000 Gillette Company............... 535,437
1,100 Jostens, Inc. ................. 26,744
15,200 Kimberly-Clark Corp. .......... 991,800
5,900 Leggett & Platt, Inc. ......... 126,481
2,800 Maytag Corp. .................. 134,400
1,200 National Service Industries,
Inc. ........................ 35,400
8,200 Newell Rubbermaid, Inc. ....... 237,800
6,900 Nike, Inc. -- Class B.......... 341,981
</TABLE>
See notes to financial statements.
103
<PAGE> 105
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
3,600 Paychex, Inc. ................. $ 144,000
34,600 Procter & Gamble Company....... 3,790,862
9,400 Ralston-Purina Corp. .......... 262,025
2,500 Stanley Works.................. 75,312
5,400 Tosco Corp. ................... 146,812
1,800 Tupperware Corp. .............. 30,488
17 Unilever N.V. (ADR)............ 925
1,800 Whirlpool Corp. ............... 117,112
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 22,987,441
------------
ELECTRONICS -- 0.41%
11,700 Emerson Electric Company....... 671,288
4,400 Rockwell International
Corp. ....................... 210,650
13,000 Solectron Corp.(c)............. 1,236,625
1,800 Thomas & Betts Corp. .......... 57,375
------------
TOTAL ELECTRONICS.............. 2,175,938
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.03%
9,000 Waste Management, Inc. ........ 154,688
------------
FINANCIAL SERVICES -- 4.09%
12,000 American Express Company....... 1,995,000
7,100 American General Corp. ........ 538,713
19,500 Associates First Capital
Corp. -- Class A............. 535,031
3,780 Bear Stearns Companies,
Inc. ........................ 161,595
8,800 Capital One Financial Corp. ... 424,050
119,800 Citigroup, Inc. ............... 6,656,387
2,600 Countrywide Credit Industries,
Inc. ........................ 65,650
1,900 Deluxe Corp. .................. 52,131
5,100 Dun & Bradstreet Corp. ........ 150,450
27,600 Fannie Mae..................... 1,723,275
6,200 Franklin Resources, Inc. ...... 198,788
18,800 Freddie Mac.................... 884,775
3,000 H & R Block, Inc. ............. 131,250
13,950 Household International,
Inc. ........................ 519,638
5,400 Lehman Brothers Holdings,
Inc. ........................ 457,313
3,100 MBIA, Inc. .................... 163,719
21,100 MBNA, Inc. .................... 574,975
3,100 MGIC Investment Corp. ......... 186,581
10,400 Merrill Lynch & Company,
Inc. ........................ 868,400
19,400 Morgan Stanley Dean Witter &
Company...................... 2,769,350
5,200 Paine Webber Group, Inc. ...... 201,825
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
5,000 Providian Financial Corp. ..... $ 455,313
5,100 SLM Holding Corp. ............. 215,475
37,300 Schwab (Charles) Corp. ........ 1,431,387
3,500 T. Rowe Price Assoc., Inc. .... 129,281
------------
TOTAL FINANCIAL SERVICES....... 21,490,352
------------
FOOD AND BEVERAGE -- 1.54%
12,500 Anheuser-Busch Companies,
Inc. ........................ 885,938
7,900 Bestfoods...................... 415,244
1,200 Brown-Forman Corp. --
Class B...................... 68,700
5,200 Campbell Soup Company.......... 201,175
33,200 Coca-Cola Company.............. 1,933,900
7,100 ConAgra, Inc.(a)............... 160,194
1,500 Coors (Adolph) -- Class B...... 78,750
8,600 General Mills, Inc. ........... 307,450
10,400 Heinz (H.J.) Company........... 414,050
11,600 Kellogg Company................ 357,425
3,700 Nabisco Group Holdings
Corp. ....................... 39,313
38,300 Pepsico, Inc. ................. 1,350,075
3,100 Quaker Oats Company............ 203,438
23,400 Sara Lee Corp. ................ 516,262
12,200 Seagrams Company, Ltd. ........ 548,238
3,700 SUPERVALU, Inc. ............... 74,000
8,900 Sysco Corp. ................... 352,106
2,500 Wrigley (Wm.) Jr. Company...... 207,344
------------
TOTAL FOOD AND BEVERAGE........ 8,113,602
------------
INSURANCE -- 1.53%
9,900 AFLAC, Inc. ................... 467,156
9,500 Allstate Corp. ................ 228,000
41,650 American International Group,
Inc. ........................ 4,503,406
7,400 Aon Corp.(a)................... 296,000
6,600 Cigna Corp. ................... 531,712
4,700 Cincinnati Financial Corp. .... 146,581
5,800 Hartford Financial Services
Group, Inc. ................. 274,775
3,300 Jefferson-Pilot Corp. ......... 225,225
2,900 Loews Corp. ................... 175,994
7,000 Marsh & McLennan Companies,
Inc. ........................ 669,813
1,000 Progressive Corp. ............. 73,125
2,700 St. Paul Companies, Inc. ...... 90,956
</TABLE>
See notes to financial statements.
104
<PAGE> 106
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
4,200 Torchmark Corp. ............... $ 122,063
7,000 UNUMProvident Corp. ........... 224,437
------------
TOTAL INSURANCE................ 8,029,243
------------
LEISURE AND RECREATION -- 0.22%
16,500 Carnival Corp. ................ 788,906
3,500 Harrah's Entertainment,
Inc.(c)...................... 92,531
6,500 Marriott International, Inc. --
Class A...................... 205,156
5,700 Mirage Resorts, Inc.(c)........ 87,281
------------
TOTAL LEISURE AND RECREATION... 1,173,874
------------
MACHINERY AND OTHER PRODUCTS -- 0.12%
5,900 Dover Corp. ................... 267,713
2,400 Grainger (W.W.), Inc. ......... 114,750
4,400 Ingersoll -- Rand Company...... 242,275
1,100 Milacron, Inc. ................ 16,913
------------
TOTAL MACHINERY AND OTHER
PRODUCTS....................... 641,651
------------
MANUFACTURING -- 1.52%
6,500 Alcan Aluminium Ltd.(a)........ 267,719
1,000 Ball Corp. .................... 39,375
1,500 Bemis Company, Inc. ........... 52,312
700 Briggs & Stratton Corp. ....... 37,537
6,600 Corning, Inc. ................. 850,988
2,100 Crane Co. ..................... 41,737
2,900 Crown Cork & Seal Company...... 64,888
3,100 Danaher Corp. ................. 149,575
1,900 Eaton Corp. ................... 137,987
1,100 Fleetwood Enterprises, Inc. ... 22,688
21,275 Honeywell, Inc. ............... 1,227,302
2,300 ITT Industries, Inc. .......... 76,906
7,800 Illinois Tool Works, Inc. ..... 526,987
10,600 Minnesota Mining and
Manufacturing Company........ 1,037,475
4,700 Owens Illinois, Inc. .......... 117,794
3,200 Parker-Hannifin Corp. ......... 164,200
4,600 PPG Industries, Inc. .......... 287,788
2,600 Sealed Air Corp.(c)............ 134,712
4,000 Sherwin-Williams Company....... 84,000
4,000 Textron, Inc. ................. 306,750
1,800 Timken Corp. .................. 36,787
59,064 Tyco International Ltd. ....... 2,296,113
------------
TOTAL MANUFACTURING............ 7,961,620
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA -- 1.17%
20,039 CBS Corp.(c)................... $ 1,281,244
8,900 Clear Channel
Communications(a)(c)......... 794,325
19,200 Comcast Corp. -- Special
Class A...................... 970,800
2,200 Dow Jones & Company, Inc. ..... 149,600
7,500 Gannett Company, Inc. ......... 611,719
2,400 Knight-Ridder, Inc. ........... 142,800
16,500 MediaOne Group, Inc.(c)........ 1,267,406
1,100 Meredith Corp. ................ 45,856
14,800 Viacom, Inc. -- Class B(c)..... 894,475
------------
TOTAL MEDIA.................... 6,158,225
------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.20%
15,800 Columbia/HCA Healthcare
Corp. ....................... 463,138
11,800 HEALTHSOUTH Corp.(c)........... 63,425
4,200 Tenet Healthcare Corp.(c)...... 98,700
5,800 United HealthCare Corp. ....... 308,125
2,000 Wellpoint Health Networks,
Inc.(c)...................... 131,875
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 1,065,263
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.07%
5,000 Allergan, Inc. ................ 248,750
1,500 Bard (C.R.), Inc. ............. 79,500
1,700 Bausch & Lomb, Inc. ........... 116,344
7,800 Baxter International, Inc. .... 489,938
3,500 Biomet, Inc. .................. 140,000
12,000 Boston Scientific Corp.(c)..... 262,500
4,100 Guidant Corp.(a)(c)............ 192,700
36,600 Johnson & Johnson.............. 3,408,375
1,700 Mallinckrodt, Inc. ............ 54,081
15,700 Medtronic, Inc. ............... 572,069
1,400 PerkinElmer, Inc. ............. 58,362
------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES....................... 5,622,619
------------
METALS AND MINING -- 0.47%
15,900 Alcoa, Inc.(a)................. 1,319,700
10,100 Barrick Gold Corp. ............ 178,644
4,200 Freeport-McMoRan Copper & Gold,
Inc. -- Class B(c)........... 88,725
6,600 Homestake Mining Company....... 51,562
4,300 INCO Ltd.(c)................... 101,050
2,300 Nucor Corp. ................... 126,069
</TABLE>
See notes to financial statements.
105
<PAGE> 107
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
METALS AND MINING (CONTINUED)
2,200 Phelps Dodge Corp. ............ $ 147,675
1,800 Reynolds Metals Company........ 137,925
11,200 USX-Marathon Group............. 276,500
2,500 Worthington Industries,
Inc. ........................ 41,406
------------
TOTAL METALS AND MINING........ 2,469,256
------------
OIL AND GAS -- 4.49%
2,700 Amerada Hess Corp. ............ 153,225
3,600 Anadarko Petroleum Corp. ...... 122,850
4,000 Apache Corp. .................. 147,750
1,800 Ashland, Inc. ................. 59,287
14,600 Atlantic Richfield Co. ........ 1,262,900
2,900 Burlington Resources, Inc. .... 95,881
17,700 Chevron Corp. ................. 1,533,263
5,600 Coastal Corp. ................. 198,450
900 Columbia Energy Group.......... 56,925
12,000 Conoco, Inc. -- Class B........ 298,500
3,000 Consolidated Natural Gas
Company...................... 194,812
17,900 Enron Corp. ................... 794,313
143,000 Exxon-Mobil Corp. ............. 11,520,437
11,900 Halliburton Company............ 478,975
3,100 Kerr-McGee Corp. .............. 192,200
1,800 McDermott International,
Inc. ........................ 16,312
10,100 Occidental Petroleum Corp. .... 218,413
9,000 Phillips Petroleum Company..... 423,000
57,700 Royal Dutch Petroleum Company.. 3,487,244
14,800 Schlumberger Ltd. ............. 832,500
14,900 Texaco, Inc. .................. 809,256
2,865 Transocean Sedco Forex,
Inc. ........................ 96,524
7,300 Unocal Corp. .................. 245,006
11,400 Williams Companies, Inc. ...... 348,412
------------
TOTAL OIL AND GAS.............. 23,586,435
------------
PAPER AND FOREST PRODUCTS -- 0.53%
1,700 Boise Cascade Corp. ........... 68,850
2,700 Champion International
Corp. ....................... 167,231
7,400 Georgia-Pacific Group.......... 375,550
14,700 International Paper Company.... 829,631
3,400 Louisiana-Pacific Corp. ....... 48,450
3,200 Mead Corp. .................... 139,000
800 Potlatch Corp. ................ 35,700
1,700 Temple-Inland, Inc. ........... 112,094
2,900 Westvaco Corp. ................ 94,613
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PAPER AND FOREST PRODUCTS (CONTINUED)
9,600 Weyerhaeuser Company........... $ 689,400
4,600 Willamette Industries, Inc. ... 213,613
------------
TOTAL PAPER AND FOREST
PRODUCTS....................... 2,774,132
------------
PHARMACEUTICALS -- 2.63%
18,600 American Home Products......... 733,537
12,800 Amgen, Inc.(c)................. 768,800
52,200 Bristol-Myers Squibb Company... 3,350,588
30,800 Merck & Company, Inc. ......... 2,065,525
9,000 Monsanto Company............... 320,625
13,600 Pharmacia & Upjohn, Inc. ...... 612,000
104,200 Pfizer, Inc. .................. 3,379,988
19,800 Schering-Plough Corp. ......... 835,313
21,500 Warner-Lambert Company......... 1,761,656
------------
TOTAL PHARMACEUTICALS.......... 13,828,032
------------
PUBLISHING -- 0.21%
4,700 McGraw-Hill Companies, Inc. ... 289,638
4,500 New York Times Company -- Class
A............................ 221,063
1,700 R.R. Donnelley and Sons
Company...................... 42,181
1,700 Times Mirror Company --
Class A...................... 113,900
8,300 Tribune Company................ 457,019
------------
TOTAL PUBLISHING............... 1,123,801
------------
RETAIL -- 3.13%
5,000 Bed Bath & Beyond, Inc.(c)..... 173,750
7,700 Best Buy Company, Inc.(c)...... 386,444
7,300 Circuit City Stores-Circuit
City Group................... 328,956
3,200 Consolidated Stores Corp.(c)... 52,000
6,000 Costco Wholesale Corp.(c)...... 547,500
5,300 CVS Corp. ..................... 211,669
15,600 Dayton-Hudson Corp. ........... 1,145,625
6,125 Dollar General Corp. .......... 139,344
9,400 Federated Department Stores,
Inc.(c)...................... 475,287
28,100 Gap, Inc. ..................... 1,292,600
1,200 Great Atlantic & Pacific Tea
Company, Inc. ............... 33,450
1,600 Harcourt General, Inc. ........ 64,400
17,800 Kmart Corp(c).................. 179,112
4,400 Kohl's Corp.(c)................ 317,625
23,400 Kroger Company(c).............. 441,675
</TABLE>
See notes to financial statements.
106
<PAGE> 108
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
7,900 Limited (The), Inc. ........... $ 342,169
1,000 Longs Drug Stores Corp. ....... 25,813
4,500 May Department Stores Company.. 145,125
3,300 Nordstrom, Inc. ............... 86,419
8,900 Office Depot, Inc.(c).......... 97,344
1,500 Pep Boys....................... 13,688
14,500 Sears, Roebuck & Co. .......... 441,344
12,700 Staples, Inc.(c)............... 263,525
7,300 Tandy Corp.(a)................. 359,069
117,200 Wal-Mart Stores, Inc. ......... 8,101,450
27,000 Walgreen Company............... 789,750
------------
TOTAL RETAIL................... 16,455,133
------------
RETAIL: RESTAURANTS -- 0.36%
3,800 Darden Restaurants, Inc. ...... 68,875
36,400 McDonald's Corp. .............. 1,467,375
7,000 Tricon Global Restaurants,
Inc.(c)...................... 270,375
5,200 Wendy's International, Inc. ... 107,250
------------
TOTAL RETAIL: RESTAURANTS...... 1,913,875
------------
RUBBER PRODUCTS -- 0.02%
2,400 Cooper Tire & Rubber Company... 37,350
2,100 Goodyear Tire & Rubber
Company...................... 59,194
------------
TOTAL RUBBER PRODUCTS.......... 96,544
------------
SCIENTIFIC & TECHNICAL INSTRUMENTS -- 0.08%
1,300 Millipore Corp. ............... 50,212
2,900 PE Corp.-PE Biosystems Group... 348,906
------------
TOTAL SCIENTIFIC & TECHNICAL
INSTRUMENTS.................... 399,118
------------
SEMICONDUCTORS -- 3.05%
2,200 Advanced Micro Devices,
Inc.(c)...................... 63,662
6,100 Analog Devices, Inc.(c)........ 567,300
17,000 Applied Materials, Inc.(c)..... 2,153,688
45,000 Intel Corp. ................... 3,704,063
2,800 KLA-Tencor Corp.(c)............ 311,850
6,300 LSI Logic Corp.(c)............. 425,250
7,400 Micron Technology, Inc.(c)..... 575,350
27,100 Motorola, Inc.(a).............. 3,990,475
4,800 National Semiconductor
Corp.(c)..................... 205,500
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SEMICONDUCTORS (CONTINUED)
34,900 Texas Instruments, Inc. ....... $ 3,380,938
14,200 Xilinx, Inc.(c)................ 645,657
------------
TOTAL SEMICONDUCTORS........... 16,023,733
------------
TELECOMMUNICATIONS -- 7.32%
8,900 ALLTELL Corp. ................. 735,919
96,450 AT&T Corp. .................... 4,894,838
44,200 Bell Atlantic Corp. ........... 2,721,063
50,700 BellSouth Corp. ............... 2,373,394
2,050 CenturyTel, Inc. .............. 97,119
5,100 General Instrument Corp.(c).... 433,500
21,900 Global Crossings Ltd.(c)....... 1,095,000
28,800 GTE Corp. ..................... 2,032,200
91,400 Lucent Technologies, Inc. ..... 6,837,862
76,350 MCI Worldcom, Inc.(c).......... 4,051,322
9,300 Nextel Communications,
Inc. -- Class A(c)........... 959,062
47,500 Nortel Networks Corp. ......... 4,797,500
45,900 SBC Communications, Inc. ...... 2,237,625
4,000 Scientific-Atlanta, Inc. ...... 222,500
21,100 Sprint Corp. (FON Group)....... 1,420,294
15,000 Sprint Corp. (PCS
Group)(a)(c)................. 1,537,500
16,600 Tellabs, Inc.(c)............... 1,065,512
13,600 US WEST, Inc. ................. 979,200
------------
TOTAL TELECOMMUNICATIONS....... 38,491,410
------------
TOBACCO -- 0.17%
31,800 Philip Morris Companies,
Inc. ........................ 737,362
5,600 UST, Inc. ..................... 141,050
------------
TOTAL TOBACCO.................. 878,412
------------
TOOLS -- 0.05%
2,000 Black & Decker Corp. .......... 104,500
2,900 Cooper Industries, Inc. ....... 117,269
1,400 Snap-on, Inc. ................. 37,188
------------
TOTAL TOOLS.................... 258,957
------------
TOYS -- 0.03%
4,600 Hasbro, Inc. .................. 87,687
5,700 Toys "R" Us, Inc.(c)........... 81,581
------------
TOTAL TOYS..................... 169,268
------------
TRANSPORTATION -- 0.42%
4,500 AMR Corp.(c)................... 301,500
13,200 Burlington Northern Santa Fe... 320,100
5,500 CSX Corp. ..................... 172,563
</TABLE>
See notes to financial statements.
107
<PAGE> 109
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TRANSPORTATION (CONTINUED)
5,100 Delta Air Lines, Inc. ......... $ 254,044
8,300 FDX Corp.(c)................... 339,781
4,800 Kansas City Southern
Industries, Inc. ............ 358,200
5,100 Norfolk Southern Corp. ........ 104,550
2,200 Ryder System, Inc. ............ 53,763
7,000 Union Pacific Corp. ........... 305,375
------------
TOTAL TRANSPORTATION........... 2,209,876
------------
UTILITIES -- 0.97%
5,400 AES Corp.(c)................... 403,650
4,300 Ameren Corp.(a)................ 140,825
5,900 American Electric Power
Company, Inc. ............... 189,537
2,400 Central & South West Corp. .... 48,000
1,200 CMS Energy Corp. .............. 37,425
2,500 Consolidated Edison, Inc. ..... 86,250
3,800 Constellation Energy Group..... 110,200
3,900 DTE Energy Company............. 122,362
5,800 Dominion Resources, Inc. ...... 227,650
9,100 Duke Energy Corp. ............. 456,138
8,100 Edison International........... 212,119
3,100 El Paso Energy Corp. .......... 120,319
7,600 Entergy Corp. ................. 195,700
7,400 FirstEnergy Corp. ............. 167,887
2,900 Florida Progress Corp. ........ 122,706
5,600 FPL Group, Inc. ............... 239,750
3,600 GPU, Inc. ..................... 107,775
500 Nicor, Inc. ................... 16,250
5,300 Peco Energy Company............ 184,175
11,900 PG & E Corp. .................. 243,950
4,100 PP & L Resources, Inc. ........ 93,787
1,100 Peoples Energy Corp. .......... 36,850
2,400 Pinnacle West Capital Corp. ... 73,350
5,800 Public Service Enterprise
Group, Inc.(a)............... 201,912
8,800 Reliant Energy, Inc. .......... 201,300
7,000 Sempra Energy.................. 121,625
18,100 Southern Company............... 425,350
7,300 Texas Utilities Company........ 259,606
6,700 Unicom Corp. .................. 224,450
------------
TOTAL UTILITIES................ 5,070,898
------------
TOTAL COMMON STOCK (Cost
$275,325,047).................. 321,574,485
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
PREFERRED STOCK -- 0.14%
OIL AND GAS
15,000 Tosco Financing Trust, 5.75%,
(Cost $715,938).............. $ 710,625
------------
REGULATED INVESTMENT COMPANIES -- 0.47%
1,965,352 Janus Money Market Fund(b)..... 1,965,352
503,448 Merrimac Cash Fund -- Premium
Class(b)..................... 503,448
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $2,468,800).... 2,468,800
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 10.78%
AEROSPACE -- 0.56%
$ 3,000,000 Raytheon Company, 6.45%,
08/15/02(a).................. 2,932,140
------------
BANKS -- 1.30%
3,500,000 Home Savings of America, 6.50%,
08/15/04..................... 3,353,161
30,000,000 Spintab, 5.50%, 09/17/03....... 3,493,673
------------
TOTAL BANKS.................... 6,846,834
------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.74%
1,240,000 Hewlett -- Packard Company,
0.00%, 10/14/17(a)........... 847,850
3,500,000 IBM Corp., Medium-Term Note,
5.40%, 01/26/09.............. 3,056,210
------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT...................... 3,904,060
------------
CONSTRUCTION -- 0.30%
1,250,000 Cemex SA, 10.75%, 07/15/00..... 1,269,999
300,000 Kaufman & Broad Home Corp.,
9.625%, 11/15/06 303,000
------------
TOTAL CONSTRUCTION............. 1,572,999
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.10%
600,000 Allied Waste North America,
7.875%, 01/01/09............. 530,250
------------
FINANCE -- 1.41%
2,000,000 Ford Motor Credit Company,
7.50%, 01/15/03.............. 2,016,578
3,500,000 General Motors Acceptance
Corp., 6.625%, 10/20/03...... 3,433,661
2,000,000 MBNA Corp., 6.963%,
09/12/02..................... 1,961,232
------------
TOTAL FINANCE.................. 7,411,471
------------
</TABLE>
See notes to financial statements.
108
<PAGE> 110
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
LEISURE AND RECREATION -- 0.13%
$ 350,000 Harrah's Operating Co., Inc.,
7.875%, 12/15/05............. $ 338,187
350,000 Mandalay Resort Group, 9.25%,
12/01/05..................... 355,688
------------
TOTAL LEISURE AND RECREATION... 693,875
------------
MACHINERY -- 0.11%
600,000 American Standard, Inc.,
7.375%, 02/01/08............. 550,500
------------
MANUFACTURING -- 0.21%
600,000 AK Steel Corp., 7.875%,
02/15/09..................... 567,000
600,000 Flag Limited, 8.25%,
01/30/08..................... 552,000
------------
TOTAL MANUFACTURING............ 1,119,000
------------
MEDIA -- 1.71%
500,000 Clear Channel Communications,
(Conv.) 2.625%, 04/01/03..... 739,375
500,000 Falcon Holding Group L.P.,
0.00%, 04/15/10.............. 374,375
750,000 Grupo Televisa S.A., 11.375%,
05/15/03..................... 798,750
400,000 Multicanal SA, 9.25%,
02/01/02..................... 372,000
350,000 Sinclair Broadcast Group,
9.00%, 07/15/07.............. 328,125
2,500,000 Time Warner Entertainment,
8.375%, 03/15/23............. 2,607,172
3,500,000 Walt Disney Company, 6.75%,
03/30/06..................... 3,420,991
350,000 Young Broadcasting, Inc.,
8.75%, 06/15/07.............. 331,625
------------
TOTAL MEDIA.................... 8,972,413
------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.07%
350,000 Tenet Healthcare Corp., 8.625%,
01/15/07..................... 337,750
------------
METAL & GLASS CONTAINERS -- 0.06%
300,000 Owens-Illinois, Inc. 7.85%,
05/15/04..................... 290,332
------------
PRIVATE ASSET BACKED: FINANCE -- 1.04%
4,000,000 GMAC Commercial Mortgage
Securities, Inc. 6.175%,
05/15/33..................... 3,639,040
2,000,000 L.A. Arena Funding, LLC,
7.656%, 12/15/21............. 1,810,000
------------
TOTAL PRIVATE ASSET BACKED:
FINANCE........................ 5,449,040
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
RETAIL -- 0.11%
$ 600,000 K-Mart Corp., 8.375%,
12/01/04..................... $ 591,294
------------
SPECIAL PURPOSE
ENTITIES -- 1.32%
3,500,000 Duke Capital Corp., 7.50%,
10/01/09..................... 3,454,749
3,500,000 U.S. West Capital Funding,
6.571%, 06/15/00............. 3,498,820
------------
TOTAL SPECIAL PURPOSE
ENTITIES....................... 6,953,569
------------
TELECOMMUNICATIONS -- 0.96%
350,000 KPN/Qwest BV, 144A, 8.125%,
06/01/09..................... 336,000
350,000 NTL, Inc., 10.00%, 02/15/07.... 359,625
600,000 Nextel Communications, 0.00%,
10/31/07..................... 429,000
3,500,000 Sprint Capital Corp., 6.125%,
11/15/08..................... 3,173,114
750,000 Telefonica de Argentina, 144A,
8.375%, 10/01/00............. 750,486
------------
TOTAL TELECOMMUNICATIONS....... 5,048,225
------------
TRANSPORTATION -- 0.65%
3,500,000 CSX Corp., 7.45%, 05/01/07..... 3,432,146
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $58,266,592)............. 56,635,898
------------
FOREIGN GOVERNMENT BONDS AND NOTES -- 2.60%
3,200,000 Deutschland Republic, 6.00%,
07/04/07..................... 3,353,299
6,500,000 New Zealand Government, 8.00%,
04/15/04..................... 3,499,925
750,000 Republic of Argentina, Floating
Rate, 9.25%, 02/23/01........ 740,625
553,500 Republic of Brazil, Floating
Rate, 7.375%, 01/01/01....... 547,273
750,000 Republic of Panama, 7.875%,
02/13/02..................... 723,515
2,200,000 United Kingdom Gilts, 7.00%,
06/07/02..................... 3,586,517
1,250,000 United Mexican States, Floating
Rate, 7.439%, 06/27/02....... 1,225,296
------------
TOTAL FOREIGN GOVERNMENT BONDS
AND NOTES (Cost $14,374,292)... 13,676,450
------------
US GOVERNMENT SECURITIES -- 6.69%
US TREASURY BONDS -- 1.25%
6,900,000 6.125%, 08/15/29............... 6,578,722
------------
</TABLE>
See notes to financial statements.
109
<PAGE> 111
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US GOVERNMENT SECURITIES (CONTINUED)
US TREASURY NOTES -- 5.44%
$16,000,000 5.50%, 12/31/00(a)............. $ 15,905,008
13,000,000 5.50%, 02/28/03(a)............. 12,687,194
------------
TOTAL US TREASURY NOTES........ 28,592,202
------------
TOTAL US GOVERNMENT SECURITIES
(Cost $35,444,945)............. 35,170,924
------------
US GOVERNMENT AGENCY SECURITIES -- 16.15%
FANNIE MAE -- 9.82%
10,400,000 6.25%, 05/15/29................ 9,243,229
4,210,053 Series 1993-113, 7.20%,
07/25/23..................... 4,230,472
9,300,000 TBA, 6.00%, 01/01/15........... 8,826,281
9,600,000 TBA, 6.00%, 01/01/30........... 8,782,500
11,400,000 TBA, 7.00%, 01/01/30........... 11,024,156
9,600,000 TBA, 7.50%, 01/01/30........... 9,496,500
------------
TOTAL FANNIE MAE............... 51,603,138
------------
FREDDIE MAC -- 1.31%
7,300,000 6.75%, 09/15/29................ 6,899,230
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 5.02%
8,268,775 PL# 780743, 8.00%, 12/15/26.... 8,357,490
19,200,000 TBA, 6.50%, 01/15/30........... 18,027,000
------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION........... 26,384,490
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$86,105,281)................... 84,886,858
------------
CERTIFICATES OF DEPOSIT --6.26%
491,338 American Express Centurion
Bank, 6.15%, 01/26/00(b)..... 491,338
13,167,550 Bank of Nova Scotia, 6.05%,
01/26/00(b).................. 13,167,550
1,105,510 Den Danske Bank, 6.39%,
01/20/00(b).................. 1,105,510
1,105,510 Den Danske Bank, 6.41%,
01/27/00(b).................. 1,105,510
491,338 Royal Bank Of Scotland PLC,
6.15%, 01/20/00(b)........... 491,338
1,105,510 Royal Bank Of Scotland PLC,
6.31%, 01/27/00(b)........... 1,105,510
15,417,996 Toronto Dominion Bank, 6.40%,
02/24/00(b).................. 15,417,996
------------
TOTAL CERTIFICATES OF DEPOSITS
(Cost $32,884,752)............. 32,884,752
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
TIME DEPOSIT -- 0.10%
$ 545,598 BankBoston, N.A., 4.68%,
01/03/00(b) (Cost
$545,598).................... $ 545,598
------------
SHORT TERM CORPORATE NOTES -- 0.76%
2,000,000 First Union National Bank,
Floating Rate, 4.765%(++),
05/01/00(b).................. 2,000,000
2,000,000 Morgan Stanley Dean Witter &
Co., Floating Rate,
4.60%(++), 01/11/00(b)....... 2,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $4,000,000)........ 4,000,000
------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
7.96%
FEDERAL HOME LOAN BANK -- 5.69%
30,000,000 5.75%, 01/21/00................ 29,904,167
------------
FEDERAL HOME LOAN MORTGAGE CORP. -- 2.27%
12,000,000 5.60%, 02/15/00................ 11,916,000
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$41,820,167)................... 41,820,167
------------
SHORT TERM US GOVERNMENT SECURITIES -- 0.28%
US TREASURY BILLS -- 0.28%
300,000 4.70%, 02/17/00(d)............. 298,159
100,000 4.71%, 02/17/00(d)............. 99,385
200,000 4.82%, 02/17/00(d)............. 198,742
300,000 4.87%, 02/17/00(d)............. 298,093
500,000 5.00%, 02/17/00(d)............. 496,736
100,000 5.035%, 02/17/00(d)............ 99,343
------------
TOTAL US TREASURY BILLS (Cost
$1,490,458).................... 1,490,458
------------
TOTAL SECURITIES (Cost
$553,441,870).................. 595,865,015
------------
</TABLE>
See notes to financial statements.
110
<PAGE> 112
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 4.81%
$25,289,441 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase proceeds
at maturity $25,295,890,
(Collateralized by IMPAC
Secured Assets, 6.30% , due
01/25/30, with a value of
$20,013,500 and Small
Business Administration Loan,
6.00%, 07/25/22, with a value
of $6,540,413) (Cost
$25,289,441)................. $ 25,289,441
------------
Total Investments -- 118.18%
(Cost $578,731,311)............ 621,154,456
Liabilities less other
assets -- (18.18)%............. (95,570,553)
------------
NET ASSETS -- 100.00%.......... $525,583,903
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31,1999 is $584,766,764.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $ 57,304,670
Gross unrealized depreciation.......... (20,916,978)
------------
Net unrealized appreciation............ $ 36,387,692
============
</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 December
31, 1999.
(ADR) American Depository Receipt.
See notes to financial statements.
111
<PAGE> 113
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 98.08%
AEROSPACE -- 3.64%
260,000 Northrop Grumman Corp. ...... $ 14,056,250
200,000 Textron, Inc. ............... 15,337,500
340,000 United Technologies Corp. ... 22,100,000
--------------
TOTAL AEROSPACE.............. 51,493,750
--------------
AUTOMOBILES -- 2.58%
330,000 Ford Motor Company........... 17,634,375
260,000 General Motors Corp. ........ 18,898,750
--------------
TOTAL AUTOMOBILES............ 36,533,125
--------------
BANKS -- 8.63%
210,000 Bank of America Corp. ....... 10,539,375
420,000 Bank of New York............. 16,800,000
195,000 Chase Manhattan Corp. ....... 15,149,062
500,000 Citigroup.................... 27,781,250
390,000 Fleet Boston Financial Group,
Inc. ...................... 13,576,875
50,000 JP Morgan & Company.......... 6,331,250
460,000 Mellon Financial Corp. ...... 15,668,750
400,000 Wells Fargo & Company........ 16,175,000
--------------
TOTAL BANKS.................. 122,021,562
--------------
CHEMICALS -- 3.40%
150,000 Dow Chemical Company......... 20,043,750
260,000 du Pont (E.I.) de Nemours.... 17,127,500
270,000 Rohm & Haas Company.......... 10,985,625
--------------
TOTAL CHEMICALS.............. 48,156,875
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.32%
420,000 Pitney Bowes, Inc. .......... 20,291,250
550,000 Xerox Corp. ................. 12,478,125
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 32,769,375
--------------
CONSUMER GOODS AND SERVICES -- 9.90%
540,000 Avon Products, Inc. ......... 17,820,000
340,000 Colgate-Palmolive Company.... 22,100,000
380,000 Dana Corp. .................. 11,376,250
380,000 General Electric Company..... 58,805,000
190,000 Kimberly-Clark Corp. ........ 12,397,500
160,000 Procter & Gamble Company..... 17,530,000
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 140,028,750
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 3.14%
210,000 Eaton Corp. ................. $ 15,251,250
500,000 Edison International......... 13,093,750
280,000 Emerson Electric Company..... 16,065,000
--------------
TOTAL ELECTRONICS............ 44,410,000
--------------
INSURANCE -- 3.78%
350,000 Chubb Corp................... 19,709,375
270,000 CIGNA Corp................... 21,751,875
300,000 Lincoln National Corp........ 12,000,000
--------------
TOTAL INSURANCE.............. 53,461,250
--------------
MACHINERY -- 2.36%
340,000 Caterpiller Inc.............. 16,001,250
400,000 Deere & Co................... 17,350,000
--------------
TOTAL MACHINERY.............. 33,351,250
--------------
MANUFACTURING -- 2.48%
320,000 Honeywell International,
Inc........................ 18,460,000
170,000 Minnesota Mining &
Manufacturing Company...... 16,638,750
--------------
TOTAL MANUFACTURING.......... 35,098,750
--------------
MEDICAL PRODUCTS -- 2.56%
280,000 Baxter International, Inc.... 17,587,500
200,000 Johnson & Johnson............ 18,625,000
--------------
TOTAL MEDICAL PRODUCTS....... 36,212,500
--------------
METALS AND MINING -- 3.24%
260,000 Alcoa, Inc.(a)............... 21,580,000
190,000 Phelps Dodge Corp............ 12,753,750
150,000 Reynolds Metals Company...... 11,493,750
--------------
TOTAL METALS AND MINING...... 45,827,500
--------------
OIL AND GAS -- 16.69%
280,000 BP Amoco PLC -- (ADR)(a)..... 16,607,500
150,000 Atlantic Richfield Company... 12,975,000
410,000 Baker Hughes, Inc............ 8,635,625
165,000 Chevron Corp................. 14,293,125
440,000 CMS Energy Corp.............. 13,722,500
100,000 Consolidated Natural Gas..... 6,493,750
350,000 Diamond Offshore Drilling,
Inc........................ 10,696,875
370,000 El Paso Energy Corp.......... 14,360,625
350,000 Enron Corp.(a)............... 15,531,250
400,000 Exxon-Mobil Corp............. 32,225,000
270,000 Halliburton Company.......... 10,867,500
270,000 Kerr-McGee Corp.............. 16,740,000
200,000 Royal Dutch Petroleum
Company.................... 12,087,500
</TABLE>
See notes to financial statements.
112
<PAGE> 114
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
170,000 Schlumberger, Ltd............ $ 9,562,500
200,000 Texaco, Inc.................. 10,862,500
290,000 Tidewater, Inc............... 10,440,000
32,912 Transocean Sedco Forex,
Inc........................ 1,108,723
620,000 Williams Companies, Inc...... 18,948,750
--------------
TOTAL OIL AND GAS............ 236,158,723
--------------
PAPER AND FOREST PRODUCTS -- 7.30%
300,000 Bowater, Inc................. 16,293,750
420,000 Georgia-Pacific Group........ 21,315,000
480,000 International Paper
Company.................... 27,090,000
290,000 Temple Inland, Inc........... 19,121,875
270,000 Weyerhauser Company.......... 19,389,375
--------------
TOTAL PAPER AND FOREST
PRODUCTS..................... 103,210,000
--------------
PHARMACEUTICALS -- 9.44%
370,000 Abbott Laboratories.......... 13,435,625
440,000 American Home Products
Corp....................... 17,352,500
280,000 Bristol-Myers Squibb
Company.................... 17,972,500
220,000 Lilly (Eli) & Company........ 14,630,000
300,000 Merck & Company, Inc......... 20,118,750
330,000 Pharmacia & Upjohn, Inc...... 14,850,000
280,000 SmithKline Beecham PLC
(ADR)(a)................... 18,042,500
210,000 Warner-Lambert Company....... 17,206,875
--------------
TOTAL PHARMACEUTICALS........ 133,608,750
--------------
PUBLISHING -- 1.09%
250,000 McGraw-Hill Companies,
Inc........................ 15,406,250
--------------
REAL ESTATE INVESTMENT TRUSTS -- 2.02%
220,000 Boston Properties, Inc. ..... 6,847,500
360,000 Crescent Real Estate Equity
Company.................... 6,615,000
320,000 Equity Office Properties..... 7,880,000
170,000 Equity Residential
Properties................. 7,256,875
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 28,599,375
--------------
TELECOMMUNICATIONS -- 12.13%
480,000 AT & T Corp.................. 24,360,000
380,000 Bell Atlantic Corp........... 23,393,750
420,000 Bellsouth Corp............... 19,661,250
500,000 Global Crossing,
Ltd.(a)(c)................. 25,000,000
290,000 GTE Corp..................... 20,463,125
450,000 SBC Communications, Inc...... 21,937,500
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
300,000 Sprint Corp. (FON Group)..... $ 20,193,750
230,000 US West, Inc. ............... 16,560,000
--------------
TOTAL TELECOMMUNICATIONS..... 171,569,375
--------------
TOBACCO -- 0.21%
130,000 Philip Morris Companies,
Inc........................ 3,014,375
--------------
UTILITIES: ELECTRIC -- 1.17%
330,000 Duke Energy Corp............. 16,541,250
--------------
TOTAL COMMON STOCK (Cost
$1,033,026,187).............. 1,387,472,785
--------------
REGULATED INVESTMENT COMPANIES -- 0.51%
1,912,382 Janus Money Market Fund(b)... 1,912,382
5,317,006 Merrimac Cash Fund -- Premium
Class(b)................... 5,317,006
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$7,229,388)................ 7,229,388
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 1.81%
$10,500,000 American Express Credit
Corp., 5.00%, 01/05/00..... 10,494,167
325,000 Conagra, Inc., 4.95%,
01/12/00................... 324,508
1,875,000 Edison Asset Securitization,
6.35%, 01/19/00............ 1,869,047
5,000,000 MCI Worldcom, Inc., 5.60%,
01/27/00................... 4,979,778
100,000 Merrill Lynch & Company,
Inc., 5.68%, 01/31/00...... 99,527
3,800,000 Montauk Funding Corp. ,
5.70%, 01/18/00............ 3,789,772
325,000 Textron, Inc., 5.65%,
01/18/00................... 324,133
450,000 TRW, Inc., 5.95%, 01/14/00... 449,033
3,250,000 Windmill Funding Corp.,
6.32%, 01/12/00............ 3,243,724
--------------
TOTAL COMMERCIAL PAPER
(Cost $25,573,689)........... 25,573,689
--------------
CERTIFICATES OF
DEPOSIT -- 0.28%
453,762 American Express Centurion
Bank, 6.15%, 01/26/00(b)... 453,762
1,020,961 Den Danske Bank, 6.39%,
01/20/00(b)................ 1,020,961
1,075,715 Den Danske Bank, 6.41%,
01/27/00(b)................ 1,075,715
453,762 Royal Bank of Scotland,
6.15%, 01/20/00(b)......... 453,762
</TABLE>
See notes to financial statements.
113
<PAGE> 115
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (CONTINUED)
$ 1,017,961 Royal Bank of Scotland,
6.31%, 01/27/00(b)......... $ 1,017,961
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $4,022,161)............ 4,022,161
--------------
SHORT TERM CORPORATE NOTES -- 1.70%
3,000,000 Bank of Montreal, Floating
Rate, 4.33%(++),
04/05/00(b)................ 3,000,000
3,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b)................ 3,000,000
10,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.605%(++), 01/03/00(b).... 10,000,000
3,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.60%(++), 01/11/00(b)..... 3,000,000
5,000,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b)................ 5,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $24,000,000)..... 24,000,000
--------------
TIME DEPOSIT -- 0.25%
3,572,251 BankBoston N.A., 4.68%,
01/03/00(b) (Cost
$3,572,251)................ 3,572,251
--------------
Total Investments -- 102.63%
(Cost $1,097,423,676)...... 1,451,870,274
Liabilities less other
assets -- (2.63)%.......... (37,236,044)
--------------
NET ASSETS -- 100.00%........ $1,414,634,230
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999 is $1,096,923,573.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $385,296,368
Gross unrealized depreciation.......... (30,349,667)
------------
Net unrealized appreciation............ $354,946,701
============
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at December
31, 1999.
(ADR) American Depository Receipts.
See notes to financial statements.
114
<PAGE> 116
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 94.38%
AEROSPACE -- 0.58%
19,100 Lockheed Martin Corp. ......... $ 417,813
29,000 United Technologies Corp. ..... 1,885,000
------------
TOTAL AEROSPACE................ 2,302,813
------------
AUTOMOBILES -- 1.42%
104,800 Ford Motor Company............. 5,600,250
------------
AUTOMOTIVE PRODUCTS -- 0.86%
216,000 Delphi Automotive Systems
Corp. ....................... 3,402,000
------------
BANKS -- 3.74%
41,800 Bank of America Corp. ......... 2,097,838
66,600 Household International,
Inc. ........................ 2,480,850
177,000 KeyCorp. ...................... 3,916,125
240,000 Washington Mutual, Inc. ....... 6,240,000
------------
TOTAL BANKS.................... 14,734,813
------------
CHEMICALS -- 7.80%
201,800 Air Products & Chemicals,
Inc. ........................ 6,772,912
77,900 Dow Chemical Company........... 10,409,387
117,500 PPG Industries, Inc. .......... 7,351,094
123,200 Praxair, Inc. ................. 6,198,500
------------
TOTAL CHEMICALS................ 30,731,893
------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.06%
422,700 Compaq Computer Corp. ......... 11,439,319
98,200 Seagate Technology, Inc.(c).... 4,572,438
------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT...................... 16,011,757
------------
CONSUMER GOODS AND SERVICES -- 2.97%
85,900 Dana Corp. .................... 2,571,631
87,900 Eastman Kodak Company.......... 5,823,375
114,800 Newell Rubbermaid, Inc.(a)..... 3,329,200
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 11,724,206
------------
DEFENSE -- 1.03%
68,000 Raytheon Company -- Class A.... 1,687,250
89,200 Raytheon Company -- Class B.... 2,369,375
------------
TOTAL DEFENSE.................. 4,056,625
------------
ELECTRIC -- INTEGRATED -- 1.34%
151,100 Public Service Enterprise
Group, Inc.(a)............... 5,260,169
------------
ELECTRONICS -- 1.77%
121,400 Emerson Electric Company....... 6,965,325
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.15%
264,400 Waste Management, Inc. ........ $ 4,544,375
------------
FINANCE -- 0.65%
42,500 Loews Corp. ................... 2,579,219
------------
FOOD AND BEVERAGE -- 8.63%
612,781 Archer-Daniels Midland
Company...................... 7,468,268
108,400 Bestfoods...................... 5,697,775
279,100 ConAgra, Inc.(a)............... 6,297,194
200,400 Heinz (H.J.) Company........... 7,978,425
221,600 Pepsi Bottling Group, Inc. .... 3,670,250
82,700 Pepsico, Inc. ................. 2,915,175
------------
TOTAL FOOD AND BEVERAGE........ 34,027,087
------------
INSURANCE -- 10.06%
119,700 Aetna, Inc. ................... 6,680,756
276,900 Allstate Corp. ................ 6,645,600
51,800 Aon Corp. ..................... 2,072,000
143,000 Chubb Corp. ................... 8,052,687
34,500 CIGNA Corp. ................... 2,779,406
211,000 St. Paul Companies............. 7,108,062
196,700 UnumProvident Corp. ........... 6,306,694
------------
TOTAL INSURANCE................ 39,645,205
------------
MACHINERY -- 2.93%
179,100 Crown Cork & Seal Company...... 4,007,363
173,900 Deere & Company................ 7,542,912
------------
TOTAL MACHINERY................ 11,550,275
------------
MANUFACTURING -- 1.49%
231,400 Masco Corp. ................... 5,871,775
------------
MEDICAL AND OTHER HEALTH SERVICES -- 3.65%
126,200 Baxter International, Inc. .... 7,926,937
274,000 Tenet Healthcare Corp.(c)...... 6,439,000
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 14,365,937
------------
OIL AND GAS -- 15.17%
43,200 Amerada Hess Corp. ............ 2,451,600
193,600 Burlington Resources, Inc. .... 6,400,900
76,300 Chevron Corp. ................. 6,609,488
356,900 Conoco, Inc.(a)................ 8,833,275
180,600 Occidental Petroleum Corp. .... 3,905,475
62,000 Phillips Petroleum Company..... 2,914,000
134,200 Texaco, Inc. .................. 7,288,737
131,700 Tosco Corp. ................... 3,580,594
</TABLE>
See notes to financial statements.
115
<PAGE> 117
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
305,900 Union Pacific Resources Group,
Inc. ........................ $ 3,900,225
199,100 Unocal Corp. .................. 6,682,294
291,700 USX-Marathon Group............. 7,201,344
------------
TOTAL OIL AND GAS.............. 59,767,932
------------
PAPER AND FOREST PRODUCTS -- 7.09%
89,000 Champion International
Corp. ....................... 5,512,438
242,900 Fort James Corp. .............. 6,649,387
117,800 Georgia-Pacific Group.......... 5,978,350
173,500 International Paper Company.... 9,791,906
------------
TOTAL PAPER AND FOREST
PRODUCTS....................... 27,932,081
------------
PHARMACEUTICALS -- 1.84%
199,200 Abbott Laboratories............ 7,233,450
------------
RETAIL -- 5.26%
174,200 Federated Department Stores,
Inc.(a)(c)................... 8,807,987
247,300 May Department Stores Company.. 7,975,425
192,400 TJX Companies, Inc. ........... 3,932,175
------------
TOTAL RETAIL................... 20,715,587
------------
TELECOMMUNICATIONS -- 2.60%
202,000 AT & T Corp. .................. 10,251,500
------------
TRANSPORTATION -- 4.55%
288,900 Burlington Northern Santa Fe
Corp. ....................... 7,005,825
147,600 CSX Corp. ..................... 4,630,950
307,500 Norfolk Southern Corp. ........ 6,303,750
------------
TOTAL TRANSPORTATION........... 17,940,525
------------
UTILITIES: ELECTRIC -- 3.74%
215,700 FirstEnergy Corp. ............. 4,893,694
111,900 FPL Group, Inc. ............... 4,790,719
142,300 Texas Utilities Company........ 5,060,544
------------
TOTAL UTILITIES: ELECTRIC...... 14,744,957
------------
TOTAL COMMON STOCK
(Cost $415,739,863)............ 371,959,756
------------
REGULATED INVESTMENT COMPANIES -- 1.26%
1,194,959 Janus Money Market Fund(b)..... 1,194,959
3,761,454 Merrimac Cash Fund -- Premium
Class(b)..................... 3,761,454
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $4,956,413).... 4,956,413
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CERTIFICATES OF
DEPOSIT -- 1.00%
$ 298,740 American Express Centurion
Bank, 6.15%, 01/26/00(b)..... $ 298,740
672,165 Den Danske Bank, 6.39%,
01/20/00(b).................. 672,165
2,011,871 Den Danske Bank, 6.41%,
01/27/00(b).................. 2,011,871
298,740 Royal Bank of Scotland, 6.15%,
01/20/00(b).................. 298,740
672,165 Royal Bank of Scotland, 6.31%,
01/27/00(b).................. 672,165
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $3,953,681).............. 3,953,681
------------
SHORT TERM CORPORATE NOTES -- 3.05%
2,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b).................. 2,000,000
10,000,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b).................. 10,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $12,000,000)............. 12,000,000
------------
TIME DEPOSIT -- 0.85%
3,349,106 BankBoston, N.A., 4.68%,
01/03/00 (Cost
$3,349,106)(b)............... 3,349,106
------------
TOTAL SECURITIES
(Cost $439,999,063)............ 396,218,956
------------
REPURCHASE AGREEMENT -- 5.38%
21,212,108 With Investors Bank & Trust
dated 12/31/99, 3.06%, due
01/03/00, repurchase proceeds
at maturity $21,217,517
(Collateralized by Freddie
Mac, 5.60%, due 12/15/08,
with a value of $7,930,276,
and Freddie Mac, 5.91%,
02/15/08, with a value of
$14,342,437) (Cost
$21,212,108)................. 21,212,108
------------
Total Investments -- 105.92%
(Cost $461,211,171)............ 417,431,064
Liabilities less other
assets -- (5.92)%.............. (23,326,776)
------------
NET ASSETS -- 100.00%.......... $394,104,288
============
</TABLE>
See notes to financial statements.
116
<PAGE> 118
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<C> <S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999 is $463,436,425. The
following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation............ $ 15,450,263
Gross unrealized depreciation............ (61,455,624)
------------
Net unrealized depreciation.............. $(46,005,361)
============
</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 December
31, 1999.
See notes to financial statements.
117
<PAGE> 119
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 99.44%
ADVERTISING -- 1.80%
278,800 Interpublic Group, Inc....... $ 16,083,275
63,300 Omnicom Group, Inc.(a)....... 6,330,000
--------------
TOTAL ADVERTISING............ 22,413,275
--------------
AEROSPACE -- 0.89%
170,100 United Technologies Corp. ... 11,056,500
--------------
BANKS -- 3.60%
37,200 Comerica, Inc................ 1,526,681
157,100 Fifth Third Bancorp.......... 11,527,213
206,700 First Security Corp.......... 5,277,320
534,800 Firstar Corp................. 11,297,650
61,800 Northern Trust Corp. ........ 3,275,400
184,100 Wells Fargo Company.......... 7,444,544
73,900 Zions Bancorporation(a)...... 4,373,956
--------------
TOTAL BANKS.................. 44,722,764
--------------
BROADCAST SERVICES -- 4.55%
502,500 AT&T Corp. -- Liberty Media
Group -- Class A(a)(c)..... 28,516,875
194,900 Clear Channel Communications,
Inc.(a)(c)................. 17,394,825
210,600 Comcast Corp................. 10,648,463
--------------
TOTAL BROADCAST SERVICES..... 56,560,163
--------------
CHEMICALS -- 0.67%
166,400 Praxair, Inc. ............... 8,372,000
--------------
COMPUTER SOFTWARE AND SERVICES -- 15.96%
335,100 America Online, Inc.(c)...... 25,279,106
158,200 BMC Software, Inc.(c)........ 12,646,113
298,200 Cisco Systems, Inc.(c)....... 31,944,675
44,150 Comverse Technology,
Inc.(a)(c)................. 6,390,712
92,800 Electronic Data Systems
Corp. ..................... 6,211,800
534,700 Microsoft Corp.(c)........... 62,426,225
165,800 Oracle Corp.(c).............. 18,579,963
259,500 Sun Microsystems, Inc.(c).... 20,095,031
33,898 Yahoo!, Inc.(a)(c)........... 14,667,241
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 198,240,866
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT -- 4.19%
108,200 Apple Computer, Inc.(a)(c)... $ 11,124,312
30,700 Avery Dennison Corp.......... 2,237,262
252,700 Dell Computer Corp.(c)....... 12,887,700
140,800 EMC Corp.(a)(c).............. 15,382,400
39,200 Lexmark International Group,
Inc.(c).................... 3,547,600
47,700 Veritas Software Corp.(c).... 6,827,062
--------------
TOTAL COMPUTER AND OFFICE
EQUIPMENT.................... 52,006,336
--------------
CONSUMER GOODS AND SERVICES -- 5.83%
188,200 Colgate-Palmolive Company.... 12,233,000
336,500 General Electric Company..... 52,073,375
125,300 Kimberly-Clark Corp.......... 8,175,825
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 72,482,200
--------------
ELECTRONICS -- 5.94%
83,200 JDS Uniphase Corp.(a)(c)..... 13,421,200
226,800 Motorola, Inc.(a)............ 33,396,300
58,500 Rockwell International
Corp....................... 2,800,688
163,400 Solectron Corp.(c)........... 15,543,425
89,400 Texas Instruments, Inc....... 8,660,625
--------------
TOTAL ELECTRONICS............ 73,822,238
--------------
FINANCIAL SERVICES -- 4.85%
97,400 American Express Company..... 16,192,750
125,400 Capital One Financial
Corp....................... 6,042,713
504,600 Citigroup, Inc. ............. 28,036,838
109,300 Providian Financial Corp..... 9,953,131
--------------
TOTAL FINANCIAL SERVICES..... 60,225,432
--------------
FOOD AND BEVERAGE -- 0.84%
68,900 Anheuser-Busch Companies,
Inc........................ 4,883,288
139,500 Sysco Corp................... 5,518,969
--------------
TOTAL FOOD AND BEVERAGE...... 10,402,257
--------------
INSURANCE -- 2.60%
120,700 American General Corp........ 9,158,112
214,500 American International
Group...................... 23,192,813
--------------
TOTAL INSURANCE.............. 32,350,925
--------------
LEISURE AND
RECREATION -- 0.34%
88,400 Carnival Corp., Class A...... 4,226,625
--------------
</TABLE>
See notes to financial statements.
118
<PAGE> 120
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MANUFACTURING -- 3.20%
54,900 Corning, Inc. ............... $ 7,078,669
79,500 Sealed Air Corp.(c).......... 4,119,094
735,400 Tyco International Ltd. ..... 28,588,675
--------------
TOTAL MANUFACTURING.......... 39,786,438
--------------
MEDIA -- 4.25%
215,900 CBS Corp.(c)................. 13,804,106
223,100 Time Warner, Inc. ........... 16,160,806
377,000 Viacom, Inc. Class B(c)...... 22,784,938
--------------
TOTAL MEDIA.................. 52,749,850
--------------
MEDICAL -- BIOMEDICAL -- 1.96%
221,100 Amgen, Inc.(c)............... 13,279,819
66,900 Biogen, Inc.(c).............. 5,653,050
50,000 Immunex Corp.(a)(c).......... 5,475,000
--------------
TOTAL MEDICAL --BIOMEDICAL... 24,407,869
--------------
MEDICAL PRODUCTS -- 1.82%
65,200 Bausch & Lomb, Inc. ......... 4,462,125
195,400 Johnson & Johnson............ 18,196,625
--------------
TOTAL MEDICAL PRODUCTS....... 22,658,750
--------------
OIL AND GAS -- 4.82%
127,200 Burlington Resources,
Inc. ...................... 4,205,550
412,800 Conoco, Inc.(a).............. 10,216,800
364,500 Enron Corp.(a)............... 16,174,688
223,300 Exxon Mobil Corp. ........... 17,989,606
186,700 Royal Dutch Petroleum
Company.................... 11,283,681
--------------
TOTAL OIL AND GAS............ 59,870,325
--------------
PAPER AND FOREST PRODUCTS -- 0.47%
80,900 Weyerhaeuser Company......... 5,809,631
--------------
PHARMACEUTICALS -- 4.86%
91,200 Allergan, Inc. .............. 4,537,200
191,500 Bristol-Myers Squibb
Company.................... 12,291,906
37,900 Genentech, Inc.(c)........... 5,097,550
449,400 Schering-Plough Corp. ....... 18,959,062
238,200 Warner-Lambert Company....... 19,517,512
--------------
TOTAL PHARMACEUTICALS........ 60,403,230
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL -- 10.30%
51,700 Amazon.com, Inc. ............ $ 3,935,663
26,600 Costco Companies, Inc.(c).... 2,427,250
169,800 CVS Corp. ................... 6,781,388
171,500 Dayton Hudson Corp. ......... 12,594,531
212,400 Estee Lauder Companies --
Class A(a)................. 10,712,925
517,200 Home Depot, Inc. ............ 35,460,525
227,600 Tandy Corp.(a)............... 11,195,075
407,600 TJX Companies, Inc. ......... 8,330,325
526,500 Wal-Mart Stores, Inc. ....... 36,394,312
--------------
TOTAL RETAIL................. 127,831,994
--------------
SEMICONDUCTORS -- 3.00%
99,700 Applied Materials, Inc.(c)... 12,630,744
197,300 Intel Corp. ................. 16,240,256
182,600 Xilinx, Inc.(c).............. 8,302,603
--------------
TOTAL SEMICONDUCTORS......... 37,173,603
--------------
TELECOMMUNICATIONS -- 12.70%
151,900 ALLTEL Corp. ................ 12,560,231
306,400 Lucent Technologies.......... 22,922,550
106,500 MCI Worldcom, Inc.(c)........ 5,651,156
119,300 Nextel Communications,
Inc.(a)(c)................. 12,302,813
113,500 Nokia Corp. (ADR)(a)......... 21,565,000
41,200 Omnipoint Corp.(c)........... 4,969,750
114,400 QUALCOMM, Inc.(c)............ 20,148,700
241,700 SBC Communications, Inc. .... 11,782,875
407,600 Sprint Corp. (Fon Group)..... 27,436,575
102,500 Sprint Corp. (PCS
Group)(a)(c)............... 10,506,250
40,600 Tellabs, Inc.(c)............. 2,606,012
37,300 Voicestream Wireless
Corp.(a)(c)................ 5,308,256
--------------
TOTAL TELECOMMUNICATIONS..... 157,760,168
--------------
TOTAL COMMON STOCK
(Cost $863,674,094).......... 1,235,333,439
--------------
REGULATED INVESTMENT COMPANIES -- 3.63%
7,197,567 Janus Money Market Fund(b)... 7,197,567
37,773,007 Merrimac Cash Fund -- Premium
Class(b)................... 37,773,007
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$44,970,574)................. 44,970,574
--------------
</TABLE>
See notes to financial statements.
119
<PAGE> 121
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
CERTIFICATES OF
DEPOSIT -- 1.87%
$ 2,955,336 American Express Centurion
Bank, 6.15%, 01/26/00(b)... $ 2,955,336
6,649,504 Den Danske Bank, 6.39%,
01/20/00(b)................ 6,649,504
4,048,633 Den Danske Bank, 6.41%,
01/27/00(b)................ 4,048,633
2,955,336 Royal Bank of Scotland,
6.15%, 01/20/00(b)......... 2,955,336
6,649,504 Royal Bank of Scotland,
6.31%, 01/27/00(b)......... 6,649,504
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $23,258,313)........... 23,258,313
--------------
SHORT TERM CORPORATE NOTES -- 6.24%
11,000,000 Bank of Montreal, Floating
Rate, 4.33%(++),
04/05/00(b)................ 11,000,000
8,000,000 First Union National Bank,
Floating Rate, 4.765%(++),
05/01/00(b)................ 8,000,000
1,000,000 Goldman Sachs & Company,
Floating Rate, 6.446%(++),
02/04/00(b)................ 1,000,000
15,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b)................ 15,000,000
6,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.60%(++), 01/11/00(b)..... 6,000,000
36,500,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b)................ 36,500,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $77,500,000)..... 77,500,000
--------------
TIME DEPOSIT -- 0.03%
390,979 BankBoston N.A., 4.68%,
01/03/00(b) (Cost
$390,979).................. 390,979
--------------
TOTAL SECURITIES
(Cost $1,009,793,960)........ 1,381,453,305
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.95%
$11,777,953 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity
$11,780,956 (Collateralized
by Government National
Mortgage Association,
6.125%, due 10/20/23, with
a value of $8,688,771 and
Small Business
Administration Loan,
8.125%, due 04/25/24, with
a value of $3,678,080)
(Cost $11,777,953)......... $ 11,777,953
--------------
Total Investments -- 112.16%
(Cost $1,021,571,913)........ 1,393,231,258
Liabilities less other
assets -- (12.16)%........... (150,994,815)
--------------
NET ASSETS -- 100.00%........ $1,242,236,443
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999 is $1,023,222,305.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $386,580,829
Gross unrealized depreciation.......... (16,571,876)
------------
Net unrealized appreciation............ $370,008,953
============
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at December
31, 1999.
(ADR) American Depository Receipt
See notes to financial statements.
120
<PAGE> 122
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 98.65%
ADVERTISING -- 2.17%
145,000 Clear Channel Communications,
Inc.(a)(c)................. $ 12,941,250
252,700 Interpublic Group, Inc. ..... 14,577,631
--------------
TOTAL ADVERTISING............ 27,518,881
--------------
BANKS -- 1.10%
125,000 Bank of New York............. 5,000,000
219,500 Wells Fargo Company.......... 8,876,031
--------------
TOTAL BANKS.................. 13,876,031
--------------
COMPUTER SOFTWARE AND SERVICES -- 14.36%
200,000 America Online, Inc.(c)...... 15,087,500
405,000 Cisco Systems, Inc.(c)....... 43,385,625
129,300 Electronic Arts(c)........... 10,861,200
548,100 Microsoft Corp.(c)........... 63,990,675
225,200 Oracle Corp.(c).............. 25,236,475
54,000 Yahoo!, Inc.(a)(c)........... 23,365,125
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 181,926,600
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 7.01%
283,500 Dell Computer Corp.(c)....... 14,458,500
356,000 EMC/Mass Corp.(a)(c)......... 38,893,000
248,000 Hewlett-Packard Company...... 28,256,500
67,000 International Business
Machines................... 7,236,000
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 88,844,000
--------------
CONSUMER GOODS AND SERVICES -- 10.92%
173,000 Colgate-Palmolive Company.... 11,245,000
361,400 General Electric Company..... 55,926,650
664,800 Gillette Company............. 27,381,450
277,700 Newell Rubbermaid, Inc. ..... 8,053,300
326,100 Proctor & Gamble Company..... 35,728,331
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 138,334,731
--------------
DEFENSE -- 0.50%
75,000 General Dynamics Corp. ...... 3,956,250
38,000 United Technologies Corp. ... 2,470,000
--------------
TOTAL DEFENSE................ 6,426,250
--------------
ELECTRONICS -- 2.36%
303,200 Electronic Data Systems
Corp. ..................... 20,295,450
102,500 Solectron Corp.(c)........... 9,750,313
--------------
TOTAL ELECTRONICS............ 30,045,763
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FINANCE -- 2.26%
82,500 American Express Company..... $ 13,715,625
157,000 Citigroup, Inc. ............. 8,723,313
100,000 Fannie Mae................... 6,243,750
--------------
TOTAL FINANCE................ 28,682,688
--------------
FOOD AND BEVERAGE -- 4.41%
100,000 Anheuser-Busch Companies,
Inc. ...................... 7,087,500
182,400 Bestfoods.................... 9,587,400
485,500 Coca-Cola Company............ 28,280,375
200,000 Coca-Cola Enterprises,
Inc. ...................... 4,025,000
193,700 Pepsico, Inc. ............... 6,827,925
--------------
TOTAL FOOD AND BEVERAGE...... 55,808,200
--------------
INSURANCE -- 2.45%
287,550 American International
Group...................... 31,091,344
--------------
LEISURE AND RECREATION -- 1.80%
273,800 Carnival Corp. .............. 13,091,063
308,300 Marriot
International -- Class A... 9,730,719
--------------
TOTAL LEISURE AND
RECREATION................... 22,821,782
--------------
MANUFACTURING -- 2.57%
55,000 Honeywell International,
Inc. ...................... 3,172,812
70,000 PE Corp-PE Biosystems
Group...................... 8,421,875
540,000 Tyco International Ltd. ..... 20,992,500
--------------
TOTAL MANUFACTURING.......... 32,587,187
--------------
MEDIA -- 0.45%
78,000 Time Warner, Inc. ........... 5,650,125
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 4.01%
512,500 Boston Scientific Corp.(c)... 11,210,937
268,500 Johnson & Johnson............ 25,004,063
401,000 Medtronics, Inc. ............ 14,611,438
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES.............. 50,826,438
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 0.19%
50,000 Guidant Corp.(a)(c).......... 2,350,000
--------------
OIL AND GAS -- 0.69%
100,000 Conoco, Inc.(a).............. 2,475,000
140,000 Enron Corp.(a)............... 6,212,500
--------------
TOTAL OIL AND GAS............ 8,687,500
--------------
PHARMACEUTICALS -- 8.36%
377,800 Bristol-Myers Squibb
Company.................... 24,250,037
165,000 Lilly (Eli) & Company........ 10,972,500
</TABLE>
See notes to financial statements.
121
<PAGE> 123
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PHARMACEUTICALS (CONTINUED)
100,000 Merck & Company, Inc. ....... $ 6,706,250
1,034,400 Pfizer, Inc. ................ 33,553,350
240,700 Schering-Plough Corp. ....... 10,154,531
37,000 Sepracor, Inc.(a)(c)......... 3,669,938
202,000 Warner-Lambert Company....... 16,551,375
--------------
TOTAL PHARMACEUTICALS........ 105,857,981
--------------
RESEARCH AND DEVELOPMENT -- 2.57%
430,000 Amgen, Inc.(c)............... 25,826,875
50,000 Genentech, Inc.(c)........... 6,725,000
--------------
TOTAL RESEARCH AND
DEVELOPMENT.................. 32,551,875
--------------
RESTAURANTS -- 2.11%
661,700 McDonald's Corp. ............ 26,674,781
--------------
RETAIL -- 8.76%
318,900 Circuit City Stores.......... 14,370,431
209,600 Costco Wholesale Corp.(c).... 19,126,000
65,000 Dayton-Hudson Corp. ......... 4,773,437
336,950 Gap Stores................... 15,499,700
575,500 Home Depot, Inc. ............ 39,457,719
100,000 Nike, Inc. -- Class B........ 4,956,250
88,000 Safeway, Inc.(c)............. 3,129,500
140,000 Wal-Mart Stores, Inc. ....... 9,677,500
--------------
TOTAL RETAIL................. 110,990,537
--------------
SEMICONDUCTORS -- 5.73%
45,000 Applied Materials, Inc.(c)... 5,700,937
438,600 Intel Corp. ................. 36,102,263
92,000 JDS Uniphase Corp.(a)(c)..... 14,840,750
60,000 STMicroelectronics N.V.(a)... 9,086,250
150,000 Xilinx, Inc.(c).............. 6,820,320
--------------
TOTAL SEMICONDUCTORS......... 72,550,520
--------------
TELECOMMUNICATIONS -- 13.87%
80,000 GTE Corp. ................... 5,645,000
259,000 Lucent Technologies.......... 19,376,437
840,850 MCI Worldcom, Inc.(c)........ 44,617,603
92,000 Motorola, Inc.(a)............ 13,547,000
70,000 Nextel Communications, Inc.
Class A(c)................. 7,218,750
158,000 Nokia Corp.(ADR)............. 30,020,000
41,000 Nortel Networks Corp. ....... 4,141,000
176,000 QUALCOMM, Inc.(c)............ 30,998,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
70,000 SBC Communications, Inc. .... $ 3,412,500
259,800 Tellabs, Inc.(c)............. 16,675,913
--------------
TOTAL TELECOMMUNICATIONS..... 175,652,203
--------------
TOTAL COMMON STOCK (Cost
$840,587,794)................ 1,249,755,417
--------------
REGULATED INVESTMENT COMPANIES -- 0.98%
4,017,316 Janus Money Market Fund(b)... 4,017,316
8,344,524 Merrimac Cash Fund -- Premium
Class(b)................... 8,344,524
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$12,361,840)................. 12,361,840
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
CERTIFICATES OF DEPOSIT -- 0.90%
$ 1,004,329 American Express Centurion
Bank, 6.15%, 01/26/00(b)... 1,004,329
2,259,740 Den Danske Bank, 6.39%,
01/20/00(b)................ 2,259,740
4,860,611 Den Danske Bank, 6.41%,
01/27/00(b)................ 4,860,611
1,004,329 Royal Bank of Scotland,
6.15%, 01/20/00(b)......... 1,004,329
2,259,740 Royal Bank of Scotland,
6.31%, 01/27/00(b)......... 2,259,740
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $11,388,749)........... 11,388,749
--------------
SHORT TERM CORPORATE NOTES -- 4.10%
7,000,000 Bank of Montreal, Floating
Rate, 4.33%(++),
04/05/00(b)................ 7,000,000
4,000,000 Goldman Sachs & Company,
Floating Rate, 6.446%(++),
02/04/00(b)................ 4,000,000
6,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b)................ 6,000,000
5,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.60%(++), 01/11/00(b)..... 5,000,000
30,000,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b)................ 30,000,000
--------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $52,000,000)........... 52,000,000
--------------
</TABLE>
See notes to financial statements.
122
<PAGE> 124
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
TIME DEPOSIT -- 0.46%
$ 5,806,052 BankBoston, N.A., 4.68%,
01/03/00(b) (Cost
$5,806,052)................ $ 5,806,052
--------------
TOTAL SECURITIES (Cost
$922,144,435)................ 1,331,312,058
--------------
REPURCHASE AGREEMENTS --2.15%
17,369,727 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity
$17,374,156 (Collateralized
by Freddie Mac, 6.23%, due
03/25/22, with a value of
$5,464,526, and Ginnie Mae,
Adjustable Rate Mortgage,
6.375%, due 04/20/24, with
a value of $12,773,688)
(Cost $17,369,727)......... 17,369,727
9,924,680 With Morgan Stanley Dean
Witter & Company, dated
12/31/99, 2.03%, due
01/03/00, repurchase
proceeds at maturity
$9,926,359 (Collateralized
by U.S. Treasury Notes,
7.25%, due 05/15/04, with a
value of $10,125,693) (Cost
$9,924,680)................ 9,924,680
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $27,294,407)........... 27,294,407
--------------
Total Investments -- 107.24%
(Cost $949,438,842).......... 1,358,606,465
Liabilities less other
assets -- (7.24)%............ (91,737,311)
--------------
NET ASSETS -- 100.00%........ $1,266,869,154
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999, is $953,944,640.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $428,244,710
Gross unrealized depreciation.......... (23,582,885)
------------
Net unrealized appreciation............ $404,661,825
============
</TABLE>
- ---------------
<TABLE>
<S> <C>
(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 December
31, 1999.
(ADR) American Depository Receipts.
</TABLE>
See notes to financial statements.
123
<PAGE> 125
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 94.00%
ADVERTISING -- 0.80%
66,200 TMP Worldwide, Inc.(c)....... $ 9,400,400
--------------
AEROSPACE -- 0.94%
219,900 AAR Corp. ................... 3,944,456
146,700 REMEC, Inc.(c)............... 3,740,850
70,100 The Titan Corp.(c)........... 3,303,463
--------------
TOTAL AEROSPACE.............. 10,988,769
--------------
AIRLINES -- 0.14%
67,900 Atlantic Coast Airlines
Holdings, Inc.(a)(c)....... 1,612,625
--------------
AUTOMOTIVE SERVICES -- 0.06%
110,800 Keystone Automotive
Industries, Inc.(c)........ 650,950
--------------
BANKS -- 2.20%
246,503 Charter One Financials,
Inc. ...................... 4,714,370
143,139 Firstar Corp. ............... 3,023,811
138,160 First Washington Bancorp,
Inc. ...................... 2,037,860
173,010 Hudson United Bancorp. ...... 4,422,568
325,000 Peoples Bank................. 6,865,625
16,000 Silicon Valley
Bancshares(c).............. 792,000
145,400 Sterling Financial
Corp.(c)................... 1,672,100
73,304 Summit Bancorp. ............. 2,244,935
--------------
TOTAL BANKS.................. 25,773,269
--------------
BROADCASTING -- 1.64%
158,000 Acme Communications,
Inc.(c).................... 5,253,500
340,000 Metro-Goldwyn-Mayer,
Inc.(a)(c)................. 8,011,250
158,000 Salem Communications Corp. --
Class A(c)................. 3,574,750
57,700 Spanish Broadcasting Systems,
Inc. -- Class A(c)......... 2,322,425
--------------
TOTAL BROADCASTING........... 19,161,925
--------------
BUILDING PRODUCTS -- 0.19%
186,800 U.S. Aggregates, Inc. ....... 2,241,600
--------------
BUSINESS SERVICES -- 5.57%
154,800 ABM Industries, Inc. ........ 3,154,050
219,700 AHL Services, Inc.(c)........ 4,586,237
75,500 Cornell Corrections,
Inc.(c).................... 632,313
94,350 Iron Mountain, Inc.(c)....... 3,709,134
171,900 Manpower, Inc. .............. 6,467,737
58,200 On Assignment, Inc.(c)....... 1,738,725
123,850 Optimal Robotics Corp.(c).... 4,613,413
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
BUSINESS SERVICES (CONTINUED)
273,700 Orthodontic Centers of
America, Inc.(c)........... $ 3,267,294
257,500 Protection One, Inc.(c)...... 498,906
36,900 RCM Technologies, Inc.(c).... 636,525
227,600 RSA Security, Inc.(c)........ 17,639,000
100,000 Reynolds & Reynolds
Company -- Class A......... 2,250,000
259,700 Sterling Commerce, Inc.(c)... 8,846,031
140,100 Superior Consultant Holdings
Corp.(c)................... 1,996,425
124,900 The InterCept Group,
Inc.(c).................... 3,707,969
60,000 Volt Information Sciences,
Inc.(c).................... 1,432,500
--------------
TOTAL BUSINESS SERVICES...... 65,176,259
--------------
CHEMICALS -- 0.20%
81,300 Chemed Corp. ................ 2,327,212
--------------
COMMERCIAL SERVICES -- 2.16%
103,800 Central Parking Corp.(a)..... 1,985,175
231,200 Coinmach Laundry
Corp.(a)(c)................ 2,456,500
115,600 F.Y.I., Inc.(c).............. 3,930,400
62,200 Innotrac Corp.(c)............ 855,250
197,000 Mac-Gray Corp.(c)............ 751,062
207,600 Marketing Specialists
Corp.(c)................... 778,500
43,100 MemberWorks, Inc.(c)......... 1,430,381
201,900 MPW Industrial Services
Group, Inc.(c)............. 1,602,581
116,561 Nova Corp.(c)................ 3,678,957
77,200 Pierce Leahy Corp.(c)........ 3,338,900
48,500 Student Advantage,
Inc.(a)(c)................. 1,076,094
270,000 The IT Group, Inc.(c)........ 2,480,625
196,200 Towne Services, Inc.(c)...... 784,800
115,500 United Road Services,
Inc.(c).................... 187,688
--------------
TOTAL COMMERCIAL SERVICES.... 25,336,913
--------------
COMMUNICATIONS -- 7.41%
195,500 Adelphia Communications
Corp. -- Class A(a)(c)..... 12,829,688
82,000 American Tower Corp. -- Class
A(a)(c).................... 2,506,125
315,000 Cabletron Systems, Inc.(c)... 8,190,000
73,500 Citadel Communications
Corp.(c)................... 4,768,312
169,900 Digital Microwave Corp.(c)... 3,982,031
</TABLE>
See notes to financial statements.
124
<PAGE> 126
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMMUNICATIONS (CONTINUED)
222,100 Emmis Communications Corp. --
Class A(c)................. $ 27,682,677
100,600 Harmonic, Inc.(a)(c)......... 9,550,712
94,400 Insight Communications
Company, Inc.(c)........... 2,796,600
140,700 Inter-Tel, Inc. ............. 3,517,500
228,950 Performance Technologies,
Inc.(c).................... 3,978,006
55,000 Powerwave Technologies,
Inc.(a)(c)................. 3,210,625
186,697 Saga Communications,
Inc.(c).................... 3,780,614
--------------
TOTAL COMMUNICATIONS......... 86,792,890
--------------
COMPUTER AND SOFTWARE SERVICES -- 12.27%
216,600 Actuate Corp.(c)............. 9,286,725
84,650 Advent Software, Inc.(c)..... 5,454,634
67,000 Autoweb.com, Inc.(c)......... 728,625
143,200 Best Software, Inc.(c)....... 4,224,400
140,700 Bindview Development
Corp.(c)................... 6,991,031
18,100 Brio Technology, Inc.(c)..... 760,200
95,000 Broadbase Software,
Inc.(a)(c)................. 10,687,500
87,400 CACI International,
Inc.(c).................... 1,977,425
160,000 CNET, Inc.(a)(c)............. 9,080,000
32,171 DoubleClick, Inc.(c)......... 8,141,274
24,600 Exchange Applications,
Inc.(c).................... 1,374,525
145,000 GetThere.com, Inc.(a)(c)..... 5,836,250
232,100 Harbinger Corp.(c)........... 7,383,681
70,500 Legato Systems, Inc.(c)...... 4,851,281
18,900 Loislaw.com, Inc.(c)......... 739,462
85,000 Manugistics Group, Inc.(c)... 2,746,562
29,100 MedicaLogic, Inc.(c)......... 611,100
110,200 Metamor Worldwide, Inc.(c)... 3,209,575
39,100 MICROS Systems, Inc.(a)(c)... 2,893,400
100,000 Mission Critical Software,
Inc.(c).................... 7,000,000
56,100 Multex.com, Inc.(c).......... 2,110,763
18,650 Netegrity, Inc.(c)........... 1,061,884
73,600 Pinnacle Systems, Inc.(c).... 3,118,800
200,000 Policy Management Systems
Corp.(c)................... 5,112,500
11,700 Pomeroy Computer Resources,
Inc.(c).................... 155,025
31,205 PSINet, Inc.(a)(c)........... 1,926,909
66,000 Puma Technology, Inc.(c)..... 8,621,250
72,300 QRS Corp.(c)................. 7,591,500
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER AND SOFTWARE SERVICES (CONTINUED)
36,600 RadiSys Corp.(c)............. $ 1,866,600
267,800 Rational Software Corp.(c)... 13,155,675
200,000 Telescan, Inc.(c)............ 4,937,500
--------------
TOTAL COMPUTER AND SOFTWARE
SERVICES..................... 143,636,056
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.30%
139,600 Cybex Computer Products
Corp.(c)................... 5,653,800
100,000 SanDisk Corp.(c)............. 9,625,000
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 15,278,800
--------------
CONSTRUCTION -- 0.14%
253,500 Michael Baker Corp.(c)....... 1,679,437
--------------
CONSUMER GOODS AND SERVICES -- 0.91%
329,800 Carriage Services, Inc.(c)... 1,958,187
64,350 Diamond Technology Partners,
Inc.(c).................... 5,530,078
67,600 Glacier Water Services,
Inc.(a)(c)................. 1,094,275
235,800 Helen of Troy Ltd.(c)........ 1,709,550
89,800 Pameco Corp.(c).............. 364,813
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 10,656,903
--------------
EDUCATION -- 1.11%
89,100 Bright Horizons Family
Solutions, Inc.(c)......... 1,670,625
77,200 Career Education Corp.(c).... 2,962,550
197,200 Childrens Comprehensive
Services, Inc.(c).......... 1,109,250
471,765 ITT Educational Services,
Inc.(c).................... 7,282,872
--------------
TOTAL EDUCATION.............. 13,025,297
--------------
ELECTRONICS -- 3.82%
112,700 Aavid Thermal Technologies,
Inc.(c).................... 2,768,194
103,950 ACT Manufacturing, Inc.(c)... 3,898,125
51,100 ANADIGICS, Inc.(c)........... 2,411,281
55,100 BOLDER Technologies
Corp.(c)................... 702,525
19,900 FARO Technologies, Inc.(c)... 58,456
280,000 Genesis Microchip,
Inc.(a)(c)................. 5,915,000
107,550 Hughes Supply, Inc.(c)....... 2,319,047
</TABLE>
See notes to financial statements.
125
<PAGE> 127
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS (CONTINUED)
185,000 Maker Communications,
Inc.(c).................... $ 7,908,750
146,000 Power Integrations,
Inc.(c).................... 6,998,875
105,000 Rogers Corp.(c).............. 4,016,250
309,300 Sensormatic Electronics
Corp.(a)(c)................ 5,393,419
75,000 Thomas & Betts Corp. ........ 2,390,625
--------------
TOTAL ELECTRONICS............ 44,780,547
--------------
ENGINEERING -- 0.21%
111,800 URS Corp.(c)................. 2,424,663
--------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.03%
275,320 Allied Waste Industries,
Inc.(c).................... 2,426,258
214,700 Capital Environmental
Resource, Inc.(c).......... 1,274,781
151,900 Casella Waste Systems,
Inc. -- Class A(a)(c)...... 2,867,112
203,000 Waste Connections, Inc.(c)... 2,930,813
223,100 Waste Industries, Inc.(c).... 2,523,819
--------------
TOTAL ENVIRONMENTAL
MANAGEMENT SERVICES.......... 12,022,783
--------------
EQUIPMENT RENTAL AND LEASING -- 1.08%
142,800 Aaron Rents, Inc. -- Class
B.......................... 2,534,700
140,000 Amplicon, Inc. .............. 1,522,500
145,000 Electro Rent Corp.(c)........ 1,685,625
177,900 Rent-A-Center, Inc.(a)(c).... 3,524,644
79,000 XTRA Corp.(c)................ 3,367,375
--------------
TOTAL EQUIPMENT RENTAL AND
LEASING...................... 12,634,844
--------------
FINANCE -- 2.07%
320,490 Allied Capital Corp. ........ 5,868,973
145,900 Cash American Investments,
Inc. ...................... 1,422,525
128,160 CCB Financial Corp. ......... 5,582,970
51,500 Creditrust Corp.(a)(c)....... 395,906
127,340 Metris Companies, Inc. ...... 4,544,446
114,100 NCO Group, Inc.(c)........... 3,437,263
90,000 Washington Mutual, Inc. ..... 2,340,000
48,800 Web Street, Inc.(c).......... 603,900
--------------
TOTAL FINANCE................ 24,195,983
--------------
FOOD AND BEVERAGE -- 2.64%
110,000 Applebees International,
Inc. ...................... 3,245,000
157,500 Benihana, Inc.(c)............ 2,273,906
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
82,000 CEC Entertainment, Inc.(c)... $ 2,326,750
132,300 Garden Fresh Restaurant
Corp.(c)................... 2,265,637
138,000 Morrison Management
Specialists, Inc. ......... 2,975,625
131,700 Outback Steakhouse,
Inc.(c).................... 3,415,969
59,200 P.F. Chang's China Bistro,
Inc.(c).................... 1,472,600
159,300 RARE Hospitality
International, Inc.(c)..... 3,447,348
476,600 Ruby Tuesday, Inc. .......... 8,668,163
90,800 Sylvan, Inc.(c).............. 771,800
--------------
TOTAL FOOD AND BEVERAGE...... 30,862,798
--------------
INDUSTRIAL AUTOMATION --0.46%
58,800 Brooks Automation, Inc.(c)... 1,914,675
52,400 PRI Automation, Inc.(a)(c)... 3,517,350
--------------
TOTAL INDUSTRIAL
AUTOMATION................... 5,432,025
--------------
INSURANCE -- 0.75%
103,300 Annuity and Life Re
(Holdings), Ltd. .......... 2,698,712
38,600 National Western Life
Insurance -- Class A(c).... 2,648,925
149,400 Penn-America Group, Inc. .... 1,157,850
141,600 Penn Treaty American
Corp.(a)(c)................ 2,230,200
--------------
TOTAL INSURANCE.............. 8,735,687
--------------
LEISURE AND
RECREATION -- 0.78%
173,000 American Coin
Merchandising(c)........... 475,750
108,000 Bally Total Fitness
Holdings(a)(c)............. 2,882,250
83,700 Isle of Capri Casinos,
Inc.(c).................... 1,103,794
232,000 Mandalay Resort
Group(a)(c)................ 4,669,000
--------------
TOTAL LEISURE AND
RECREATION................... 9,130,794
--------------
MACHINERY -- 1.14%
101,400 Asyst Technologies,
Inc.(c).................... 6,648,037
207,600 JLG Industries, Inc. ........ 3,308,625
100,000 Kennametal, Inc. ............ 3,362,500
--------------
TOTAL MACHINERY.............. 13,319,162
--------------
</TABLE>
See notes to financial statements.
126
<PAGE> 128
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MAINTENANCE AND SERVICE -- 0.51%
266,600 Group Maintenance America
Corp.(c)................... $ 2,849,287
123,550 The Shaw Group, Inc.(c)...... 3,127,359
--------------
TOTAL MAINTENANCE AND
SERVICE...................... 5,976,646
--------------
MANUFACTURING -- 4.49%
300,900 Alpha Industries, Inc.(c).... 17,245,331
381,800 C&D Technology, Inc. ........ 16,226,500
85,000 E-Tek Dynamics, Inc.(c)...... 11,443,125
139,800 Lydall, Inc.(c).............. 926,175
151,800 Motorcar Parts and
Accessories, Inc.(c)....... 170,775
157,600 Rock of Ages Corp.(c)........ 719,050
140,600 Trex Company, Inc.(c)........ 3,761,050
177,075 Watsco, Inc. ................ 2,047,430
--------------
TOTAL MANUFACTURING.......... 52,539,436
--------------
MEDIA -- 3.15%
185,000 Cumulus Media, Inc. -- Class
A(c)....................... 9,388,750
614,400 Granite Broadcasting
Corp.(c)................... 6,220,800
126,450 Gray Communications Systems,
Inc. -- Class B............ 1,707,075
171,000 Houghton Mifflin Company..... 7,214,063
35,500 Liberty Digital, Inc. --
Class A(c)................. 2,635,875
126,500 NBC Internet, Inc. -- Class
A(c)....................... 9,772,125
--------------
TOTAL MEDIA.................. 36,938,688
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 4.64%
229,400 American Retirement
Corp.(a)(c)................ 1,820,862
170,800 Brookdale Living Communities,
Inc.(c).................... 2,113,650
231,500 Caredata.com, Inc.(c)........ 1,533,687
267,000 Centennial Healthcare
Corp.(c)................... 801,000
99,600 drkoop.com, Inc.(a)(c)....... 1,182,750
25,916 Healtheon/WebMD
Corp.(a)(c)................ 971,850
168,800 Horizon Health Corp.(c)...... 1,202,700
99,500 Lifeline Systems, Inc.(c).... 1,492,500
106,600 National Dentex Corp.(c)..... 1,785,550
284,500 Orthalliance, Inc. -- Class
A(a)(c).................... 1,778,125
285,000 Owens & Minor Holding
Company.................... 2,547,188
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDICAL AND OTHER HEALTH SERVICES (CONTINUED)
255,700 Prime Medical Service,
Inc.(c).................... $ 2,333,263
96,800 Province Healthcare
Company(c)................. 1,839,200
585,600 Quorum Health Group,
Inc.(c).................... 5,453,400
481,600 Res-Care, Inc.(a)(c)......... 6,140,400
157,100 Rural/Metro Corp.(c)......... 672,592
226,400 Shared Medical Systems
Corp. ..................... 11,532,250
254,000 Universal Health Services --
Class B(c)................. 9,144,000
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES.............. 54,344,967
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.31%
31,400 ArthroCare Corp.(c).......... 1,915,400
107,400 Candela Corp.(a)(c).......... 2,000,325
121,200 Closure Medical
Corp.(a)(c)................ 1,560,450
65,600 Cytyc Corp.(a)(c)............ 4,005,700
112,200 Molecular Devices Corp.(c)... 5,834,400
--------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES..................... 15,316,275
--------------
METALS AND MINING -- 0.09%
78,600 Wolverine Tube, Inc.(c)...... 1,110,225
--------------
OIL AND GAS -- 2.54%
221,800 Berry Petroleum.............. 3,354,725
71,600 Devon Energy Corp. .......... 2,353,850
360,000 Marine Drilling Companies,
Inc.(c).................... 8,077,500
200,000 Pride International,
Inc.(c).................... 2,925,000
330,000 Rowan Companies, Inc.(c)..... 7,156,875
216,700 Tosco Corp. ................. 5,891,531
--------------
TOTAL OIL AND GAS............ 29,759,481
--------------
PHARMACEUTICALS -- 2.25%
52,700 Alkermes, Inc.(c)............ 2,588,888
57,900 Celgene Corp.(a)(c).......... 4,053,000
207,100 Duane Reade, Inc.(a)(c)...... 5,708,194
135,600 Jones Pharma, Inc. .......... 5,890,125
125,900 Medicis Pharmaceutical
Corp. -- Class A(c)........ 5,358,619
214,300 Natrol, Inc.(c).............. 1,500,100
71,400 Noven Pharmaceuticals,
Inc.(c).................... 1,294,125
--------------
TOTAL PHARMACEUTICALS........ 26,393,051
--------------
</TABLE>
See notes to financial statements.
127
<PAGE> 129
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.24%
22,200 Alexandria Real Estate
Equities, Inc. ............ $ 706,238
108,569 Chateau Communities, Inc. ... 2,816,008
232,100 Equity Inns, Inc. ........... 1,566,675
77,700 Health Care Property
Investments, Inc. ......... 1,855,088
61,600 National Health Investors,
Inc. ...................... 916,300
129,400 Pacific Gulf Properties,
Inc. ...................... 2,620,350
97,900 Sovran Self Storage, Inc. ... 1,853,981
69,200 Sun Communities, Inc. ....... 2,227,375
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 14,562,015
--------------
RESEARCH AND DEVELOPMENT -- 0.74%
104,900 Albany Molecular Research,
Inc.(c).................... 3,199,450
30,300 CuraGen Corp.(c)............. 2,113,425
223,000 Kendle International,
Inc.(c).................... 2,202,125
102,000 PAREXEL International
Corp.(c)................... 1,204,875
--------------
TOTAL RESEARCH AND
DEVELOPMENT.................. 8,719,875
--------------
RETAIL -- 2.79%
176,300 Blue Rhino Corp.(a)(c)....... 1,718,925
353,850 Consolidated Stores
Corp.(c)................... 5,750,063
50,925 Cost Plus, Inc.(c)........... 1,814,203
184,200 Duckwall-Alco Stores,
Inc.(c).................... 1,404,525
187,100 Fred's, Inc. ................ 2,981,906
98,600 Hibbet Sporting Goods,
Inc.(c).................... 1,676,200
196,400 Hot Topic, Inc.(a)(c)........ 4,566,300
108,300 Michael Anthony Jewelers,
Inc.(c).................... 318,131
164,900 Regis Corp. ................. 3,112,488
31,200 SCP Pool Corp.(c)............ 809,250
134,400 Shop At Home, Inc.(c)........ 1,335,600
145,500 The Men's Wearhouse,
Inc.(c).................... 4,274,063
66,600 Tweeter Home Entertainment
Group, Inc.(c)............. 2,364,300
208,100 U.S. Vision, Inc.(c)......... 533,256
--------------
TOTAL RETAIL................. 32,659,210
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SECURITY -- 0.62%
128,000 Burns International Services
Corp.(c)................... $ 1,384,000
265,500 Pittston Brink's Group....... 5,841,000
--------------
TOTAL SECURITY............... 7,225,000
--------------
SEMICONDUCTORS -- 8.30%
67,800 American Xtal Technology,
Inc.(a)(c)................. 1,182,262
137,500 ATMI, Inc.(c)................ 4,546,094
69,700 Credence Systems Corp.(c).... 6,029,050
234,600 Cree Research, Inc.(a)(c).... 20,028,975
116,000 DuPont Photomasks, Inc.(c)... 5,597,000
230,000 Fairchild Semiconductor
Corp. -- Class A(c)........ 6,842,500
347,200 Integrated Device Technology,
Inc.(c).................... 10,068,800
85,000 National Semiconductor
Corp.(c)................... 3,639,063
300,000 PLX Technology, Inc.(c)...... 5,681,250
60,400 Qlogic Corp.(c).............. 9,656,450
105,000 TranSwitch Corp.(c).......... 7,619,063
62,000 TriQuint Semiconductor,
Inc.(c).................... 6,897,500
275,000 Varian Semiconductor
Equipment Associates,
Inc.(c).................... 9,350,000
--------------
TOTAL SEMICONDUCTORS......... 97,138,007
--------------
TELECOMMUNICATIONS -- 6.04%
119,600 Adaptive Broadband
Corp.(c)................... 8,827,975
94,400 CFW Communications Company... 3,280,400
176,700 Classic Communications,
Inc. -- Class A(a)(c)...... 6,460,594
234,100 Comdial Corp.(a)(c).......... 2,326,369
238,727 Davel Communications Group... 1,133,953
270,000 ICG Communications,
Inc.(c).................... 5,062,500
153,800 Leap Wireless International,
Inc.(c).................... 12,073,300
253,190 Metrocall, Inc.(c)........... 427,258
172,200 Metro One Telecommunications,
Inc.(c).................... 2,238,600
249,900 P-Com, Inc.(a)(c)............ 2,210,066
154,930 Price Communications
Corp.(c)................... 4,308,991
35,600 Primus Telecommunications
Group, Inc.(c)............. 1,361,700
93,600 Rural Cellular Corp. -- Class
A(c)....................... 8,470,800
</TABLE>
See notes to financial statements.
128
<PAGE> 130
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
79,500 SeaChange International,
Inc.(c).................... $ 2,812,313
61,800 Somera Communications,
Inc.(c).................... 768,638
135,000 Western Wireless Corp. --
Class A(c)................. 9,011,250
--------------
TOTAL TELECOMMUNICATIONS..... 70,774,707
--------------
TRANSPORT SERVICES -- 0.44%
105,200 Monaco Coach Corp.(c)........ 2,689,175
49,350 Oshkosh Truck Corp. ......... 1,446,572
4,000 Petroleum Helicopters, Inc.
(Voting)................... 37,000
96,200 Petroleum Helicopters, Inc.
(Non-Voting)............... 937,950
--------------
TOTAL TRANSPORT SERVICES..... 5,110,697
--------------
TRANSPORTATION: FREIGHT -- 3.12%
204,900 Air Express International
Corp. ..................... 6,620,831
430,000 Airborne Freight Corp. ...... 9,460,000
296,300 Circle International Group,
Inc. ...................... 6,592,675
148,700 CNF Transportation, Inc. .... 5,130,150
76,000 Forward Air Corp.(c)......... 3,296,500
115,474 Fritz Companies, Inc.(c)..... 1,212,477
238,300 Pittston BAX Group........... 2,531,938
65,000 Sea Containers Ltd.(a)....... 1,730,625
--------------
TOTAL TRANSPORTATION:
FREIGHT...................... 36,575,196
--------------
UTILITIES: ELECTRIC -- 0.71%
850,000 El Paso Electric
Company(c)................. 8,340,625
--------------
TOTAL COMMON STOCK
(Cost $851,817,359).......... 1,100,762,692
--------------
REGULATED INVESTMENT COMPANIES -- 1.61%
5,677,316 Janus Money Market Fund(b)... 5,677,316
13,207,608 Merrimac Cash Fund -- Premium
Class(b)................... 13,207,608
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$18,884,924)................. 18,884,924
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
CERTIFICATES OF
DEPOSIT -- 1.16%
$ 2,014,753 American Express Centurion
Bank, 6.15%, 01/26/00(b)... 2,014,753
3,193,490 Den Danske Bank, 6.39%,
01/20/00(b)................ 3,193,490
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (CONTINUED)
$ 3,193,490 Den Danske Bank, 6.41%,
01/27/00(b)................ $ 3,193,490
2,014,753 Royal Bank of Scotland,
6.15%, 01/20/00(b)......... 2,014,753
3,193,490 Royal Bank of Scotland,
6.31%, 01/27/00(b)......... 3,193,490
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $13,609,976)........... 13,609,976
--------------
TIME DEPOSITS -- 1.18%
13,761,867 BankBoston, N.A., 4.68%,
01/03/00(b) (Cost
$13,761,867)............... 13,761,867
--------------
SHORT TERM CORPORATE NOTES -- 5.89%
6,000,000 Bank of Montreal, Floating
Rate, 4.33%(++),
04/05/00(b)................ 6,000,000
10,000,000 First Union National Bank,
Floating Rate, 4.765%(++),
05/01/00(b)................ 10,000,000
7,000,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b)................ 7,000,000
18,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.60%(++), 01/11/00(b)..... 18,000,000
28,000,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b)................ 28,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $69,000,000)..... 69,000,000
--------------
TOTAL SECURITIES
(Cost $967,074,126).......... 1,216,019,459
--------------
REPURCHASE AGREEMENTS --5.51%
21,761,202 With Investors Bank & Trust
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity,
$21,766,751 (Collateralized
by Freddie Mac, 7.70%, due
03/15/24, with a value of
$8,422,979, and Ginnie Mae,
Adjustable Rate Mortgage,
6.375%, due 04/20/22, with
a value of $14,428,376)
(Cost $21,761,202)......... 21,761,202
</TABLE>
See notes to financial statements.
129
<PAGE> 131
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$ 9,935,394 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity,
$9,937,927 (Collateralized
by Fannie Mae, 7.00%, due
04/01/09, with a value of
$4,323,381, and Student
Loan Marketing Association,
5.685%, due 10/25/05, with
a value of $6,108,855)
(Cost $9,935,394).......... $ 9,935,394
22,745,452 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity
$22,751,252 (Collateralized
by Ginnie Mae, Adjustable
Rate Mortgage, 6.375% , due
01/20/24, with a value of
$17,640,747, and Small
Business Administration
Loan, 6.125%, due 03/25/24,
with a value of $6,241,978)
(Cost $22,745,452)......... 22,745,452
10,028,630 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase
proceeds at maturity
$10,031,187 (Collateralized
by various Small Business
Administration Loans,
8.125% - 8.375%, due
11/25/10 to 02/25/24, with
a total value of
$10,530,062) (Cost
$10,028,630)............... 10,028,630
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $64,470,678)........... 64,470,678
--------------
Total Investments -- 109.35%
(Cost $1,031,544,804)........ 1,280,490,137
Liabilities less other
assets -- (9.35)%............ (109,455,856)
--------------
NET ASSETS -- 100.00%........ $1,171,034,281
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999, is $1,036,760,410.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $330,649,712
Gross unrealized depreciation.......... (86,919,985)
------------
Net unrealized appreciation............ $243,729,727
============
</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 December
31, 1999.
See notes to financial statements.
130
<PAGE> 132
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 100.52%
ACCOUNTING SERVICES -- 1.53%
150,000 Profit Recovery Group
International, Inc.(c)....... $ 3,984,375
------------
ADVERTISING -- 1.95%
88,000 Interpublic Group of Companies,
Inc. ........................ 5,076,500
------------
BANKS -- 1.56%
100,000 Wells Fargo Company............ 4,043,750
------------
COMMUNICATIONS EQUIPMENT -- 6.89%
60,000 Harmonic, Inc.(c).............. 5,696,250
70,000 Powerwave Technologies,
Inc.(c)...................... 4,086,250
46,200 QUALCOMM, Inc.(c).............. 8,136,975
------------
TOTAL COMMUNICATIONS
EQUIPMENT...................... 17,919,475
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.41%
80,920 Sun Microsystems, Inc.(c)...... 6,266,243
------------
COMPUTER SOFTWARE AND SERVICES -- 15.15%
31,500 America Online, Inc.(c)........ 2,376,281
62,000 Cisco Systems, Inc.(c)......... 6,641,750
11,000 Check Point Software
Technologies Ltd.(a)(c)...... 2,186,250
80,000 Entrust Technologies,
Inc.(c)...................... 4,795,000
41,000 Exodus Communications,
Inc.(c)...................... 3,641,313
28,500 Microsoft Corp.(c)............. 3,327,375
62,000 Siebel Systems, Inc.(c)........ 5,208,000
100,000 Synopsys, Inc.(c).............. 6,675,000
10,500 Yahoo!, Inc.(a)(c)............. 4,543,219
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 39,394,188
------------
CONSUMER GOODS AND SERVICES -- 4.81%
51,500 General Electric Company....... 7,969,625
41,500 Procter & Gamble Company....... 4,546,844
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 12,516,469
------------
ELECTRONICS -- 4.33%
25,000 Oak Industries, Inc.(c)........ 2,653,125
46,500 Sanmina Corp. (a)(c)........... 4,644,188
41,500 Solectron Corp.(c)............. 3,947,687
------------
TOTAL ELECTRONICS.............. 11,245,000
------------
FINANCIAL SERVICES -- 1.69%
26,500 American Express Company....... 4,405,625
------------
INSURANCE -- 1.73%
41,500 American International Group... 4,487,188
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MANUFACTURING -- 4.18%
36,000 Corning, Inc. ................. $ 4,641,750
21,000 Optical Coating Laboratory,
Inc. ........................ 6,216,000
------------
TOTAL MANUFACTURING............ 10,857,750
------------
MEDIA -- 8.46%
40,000 AMFM, Inc.(c).................. 3,130,000
150,000 AT & T Corp.-Liberty Media
Group -- Class A(a)(c)....... 8,512,500
51,500 Clear Channel
Communications(c)............ 4,596,375
114,000 Comcast Corp. -- Class A
(Special).................... 5,764,125
------------
TOTAL MEDIA.................... 22,003,000
------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.34%
95,000 MedQuist, Inc.(c).............. 2,452,187
77,500 Medtronic, Inc. ............... 2,823,906
15,700 VISX, Inc.(c).................. 812,475
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 6,088,568
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.88%
80,000 ArthroCare Corp.(c)............ 4,880,000
------------
PHARMACEUTICALS -- 9.27%
36,000 Bristol-Myers Squibb Company... 2,310,750
26,000 Johnson & Johnson.............. 2,421,250
77,500 Jones Pharma, Inc. ............ 3,366,406
100,000 King Pharmaceuticals, Inc.
(a)(c)....................... 5,606,250
20,000 MedImmune, Inc.(c)............. 3,317,500
114,000 Pfizer, Inc. .................. 3,697,875
41,225 Warner-Lambert Company......... 3,377,873
------------
TOTAL PHARMACEUTICALS.......... 24,097,904
------------
RESTAURANTS -- 0.64%
41,500 McDonald's Corp. .............. 1,672,969
------------
RETAIL -- 5.26%
51,500 Costco Wholesale Corp.(c)...... 4,699,375
50,000 Dayton-Hudson Corp. ........... 3,671,875
77,250 Home Depot, Inc. .............. 5,296,453
------------
TOTAL RETAIL................... 13,667,703
------------
SCIENTIFIC EQUIPMENT -- 0.87%
100,000 Varian, Inc.(c)................ 2,250,000
------------
SEMICONDUCTORS -- 11.09%
103,500 Amkor Technology, Inc.(c)...... 2,923,875
31,000 Applied Materials, Inc.(c)..... 3,927,312
16,000 Broadcom Corp. -- Class A
(c).......................... 4,358,000
103,500 Conexant Systems, Inc.(a)(c)... 6,869,812
</TABLE>
See notes to financial statements.
131
<PAGE> 133
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SEMICONDUCTORS (CONTINUED)
180,000 LTX Corp.(c)................... $ 4,027,500
42,000 QLogic Corp.(c)................ 6,714,750
------------
TOTAL SEMICONDUCTORS........... 28,821,249
------------
TELECOMMUNICATIONS -- 12.39%
61,000 Carrier Access Corp.(a)(c)..... 4,106,063
54,000 MCI Worldcom, Inc.(c).......... 2,865,375
84,325 Polycom, Inc.(c)............... 5,370,448
46,500 Tellabs, Inc.(c)............... 2,984,719
60,000 VoiceStream Wireless
Corp.(a)(c).................. 8,538,750
125,000 Western Wireless Corp. -- Class
A(c)......................... 8,343,750
------------
TOTAL TELECOMMUNICATIONS....... 32,209,105
------------
UTILITIES -- 2.09%
85,000 Calpine Corp.(c)............... 5,440,000
------------
TOTAL COMMON STOCK
(Cost $174,109,459)............ 261,327,061
------------
REGULATED INVESTMENT COMPANY -- 0.00%
3,455 Janus Money Market Fund(b)
(Cost $3,455)................ 3,455
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
CERTIFICATES OF DEPOSIT -- 1.69%
$ 500,866 American Express Centurion
Bank, 6.15%, 01/26/00(b)..... 500,866
1,126,944 Den Danske Bank, 6.39%,
01/20/00(b).................. 1,126,944
1,126,944 Den Danske Bank, 6.41%,
01/27/00(b).................. 1,126,944
500,865 Royal Bank Of Scotland, 6.15%,
01/20/00(b).................. 500,865
1,126,944 Royal Bank Of Scotland, 6.31%,
01/27/00(b).................. 1,126,944
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $4,382,563).............. 4,382,563
------------
TIME DEPOSIT -- 0.30%
786,682 BankBoston, N.A., 4.68%,
01/03/00(b) (Cost
$786,682).................... 786,682
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 13.66%
$ 3,000,000 Bank of Montreal, Floating
Rate, 4.33%(++),
04/05/00(b).................. $ 3,000,000
2,000,000 First Union National Bank,
Floating Rate, 4.765%(++),
05/01/00(b).................. 2,000,000
11,500,000 JP Morgan Securities, Inc.,
Floating Rate, 4.605%(++),
07/07/00(b).................. 11,500,000
9,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
4.60%(++), 01/11/00(b)....... 9,000,000
10,000,000 Prudential Securities, Inc.,
Floating Rate, 4.85%(++),
03/10/00(b).................. 10,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $35,500,000)....... 35,500,000
------------
Total Investments -- 116.17%
(Cost $214,782,159)............ $301,999,761
Liabilities less other
assets -- (16.17%)............. (42,025,339)
------------
NET ASSETS -- 100.00%.......... $259,974,422
============
The aggregate cost of securities for federal income tax
purposes at December 31, 1999 is $214,903,431.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation............ $ 91,065,180
Gross unrealized depreciation............ (3,968,850)
------------
Net unrealized appreciation.............. $ 87,096,330
============
</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 December
31, 1999.
See notes to financial statements.
132
<PAGE> 134
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 95.70%
AEROSPACE -- 2.95%
$2,000,000 BE Aerospace, 8.00%, 03/01/08... $ 1,740,000
1,375,000 BE Aerospace, 9.50%, 11/01/08... 1,292,500
1,200,000 Compass Aerospace, 10.125%,
04/15/05...................... 660,000
------------
TOTAL AEROSPACE................. 3,692,500
------------
AUTOMOTIVE PARTS AND EQUIPMENT -- 1.38%
1,900,000 Accuride Corp., 9.25%,
02/01/08...................... 1,729,000
------------
AUTOMOTIVE RENTAL -- 3.24%
1,650,000 Avis Rent A Car, Inc., 11.00%,
05/01/09...................... 1,732,500
1,300,000 Budget Group, Inc., 9.125%,
04/01/06...................... 1,209,000
1,150,000 United Rentals, Inc., 9.25%,
01/15/09...................... 1,104,000
------------
TOTAL AUTOMOTIVE RENTAL......... 4,045,500
------------
BROADCASTING -- 2.87%
1,500,000 Echostar DBS Corp., 9.25%,
02/01/06...................... 1,507,500
2,100,000 Sinclair Broadcast Group,
10.00%, 09/30/05.............. 2,079,000
------------
TOTAL BROADCASTING.............. 3,586,500
------------
BUILDING PRODUCTS -- 0.84%
1,100,000 American Standard, Inc., 8.25%,
06/01/09...................... 1,054,625
------------
BUSINESS SERVICES -- 2.00%
1,600,000 Fisher Scientific International,
9.00%, 02/01/08............... 1,534,000
1,000,000 Fisher Scientific
International -- 144A, 9.00%,
02/01/08...................... 958,750
------------
TOTAL BUSINESS SERVICES......... 2,492,750
------------
CHEMICALS -- 4.56%
1,175,000 General Chemical Industrial
Products, 10.625%, 05/01/09... 1,163,250
1,150,000 Lyondell Chemical Company --
144A, 9.625%, 05/01/07........ 1,175,875
1,300,000 Octel Developments, PLC, 10.00%,
05/01/06...................... 1,287,000
2,000,000 ZSC Speciality Chemical PLC --
144A, 11.00%, 07/01/09........ 2,075,000
------------
TOTAL CHEMICALS................. 5,701,125
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
COMMERCIAL SERVICES -- 2.57%
$2,200,000 Mail-Well Corp., 8.75%,
12/15/08...................... $ 2,090,000
1,225,000 Pierce Leahy Command Company,
8.125%, 05/15/08.............. 1,120,875
------------
TOTAL COMMERCIAL SERVICES....... 3,210,875
------------
COMPUTER SOFTWARE AND SERVICES -- 2.13%
1,400,000 Psinet, Inc., 10.50%,
12/01/06...................... 1,410,500
1,300,000 Unisys Corp., 7.875%,
04/01/08...................... 1,254,500
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES........................ 2,665,000
------------
CONSTRUCTION -- 5.07%
1,400,000 D.R. Horton, Inc., 8.375%,
06/15/04...................... 1,356,250
1,850,000 Kaufman and Broad Home Corp.,
7.75%, 10/15/04............... 1,739,000
1,700,000 Nortek, Inc., 8.875%,
08/01/08...................... 1,615,000
1,750,000 Toll Corp., 8.125%, 02/01/09.... 1,627,500
------------
TOTAL CONSTRUCTION.............. 6,337,750
------------
CONSUMER GOODS AND SERVICES -- 2.82%
1,800,000 Huntsman Packaging Corp.,
9.125%, 10/01/07.............. 1,782,000
1,800,000 Scotts Company -- 144A, 8.625%,
01/15/09...................... 1,746,000
------------
TOTAL CONSUMER GOODS AND
SERVICES........................ 3,528,000
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.59%
2,250,000 Allied Waste North America
Industries, Inc., 7.875%,
01/01/09...................... 1,988,438
------------
FINANCE -- 1.15%
1,500,000 Williams Scotsman, Inc., 9.875%,
06/01/07...................... 1,440,000
------------
FOOD AND BEVERAGE -- 3.05%
2,600,000 Canandaigua Brands, Inc., 8.50%,
03/01/09...................... 2,489,500
1,250,000 Chiquita Brands International,
Inc., 10.00%, 06/15/09........ 903,125
100,000 Cott Corp., 9.375%, 07/01/05.... 98,500
325,000 Delta Beverage Group, 9.75%,
12/15/03...................... 325,000
------------
TOTAL FOOD AND BEVERAGE......... 3,816,125
------------
</TABLE>
See notes to financial statements.
133
<PAGE> 135
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
INDUSTRIAL -- 12.34%
$1,000,000 AK Steel Corp., 9.125%,
12/15/06...................... $ 1,017,500
1,000,000 American Pacific Corp., 9.25%,
03/01/05...................... 1,005,000
1,300,000 Atlas Air, Inc. -- 144A, 9.375%,
11/15/06...................... 1,254,500
1,800,000 Building Materials Corp., 8.00%,
12/01/08...................... 1,629,000
450,000 Burke Industries, Inc., 10.00%,
08/15/07...................... 184,500
2,000,000 Carrols Corp., 9.50%,
12/01/08...................... 1,820,000
1,075,000 Classic Cable, Inc., 9.375%,
08/01/09...................... 1,056,187
1,125,000 Geologistics Corp., 9.75%,
10/15/07...................... 337,500
1,975,000 HMH Properties, 7.875%,
08/01/08...................... 1,760,219
1,850,000 Muzak LLC, 9.875%, 03/15/09..... 1,776,000
920,000 P&L Coal Holdings Corp., 8.875%,
05/15/08...................... 899,300
625,000 Pronet, Inc., 11.875%,
06/15/05...................... 425,000
1,100,000 Republic Group, Inc., 9.50%,
07/15/08...................... 1,034,000
1,300,000 Wesco Distribution, Inc.,
9.125%, 06/01/08.............. 1,222,000
------------
TOTAL INDUSTRIAL................ 15,420,706
------------
LEISURE AND RECREATION -- 8.63%
2,000,000 Bally Total Fitness Holding,
9.875%, 10/15/07.............. 1,940,000
2,025,000 Cinemark USA, 9.625%, 08/01/08.. 1,822,500
1,600,000 Harrahs Operating Company, Inc.,
7.875%, 12/15/05.............. 1,546,000
1,100,000 Mohegan Tribal Gaming, 8.75%,
01/01/09...................... 1,083,500
1,800,000 Park Place Entertainment Corp.,
7.875%, 12/15/05.............. 1,723,500
150,000 Riddell Sports, Inc., 10.50%,
07/15/07...................... 129,750
1,200,000 Six Flags Entertainment, 8.875%,
04/01/06...................... 1,171,500
1,400,000 Town Sports International,
9.75%, 10/15/04............... 1,365,000
------------
TOTAL LEISURE AND RECREATION.... 10,781,750
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
MACHINERY -- 2.94%
$1,975,000 Advanced Lighting Technologies,
Inc. -- 144A, 8.00%,
03/15/08...................... $ 1,678,750
2,000,000 National Equipment Services,
10.00%, 11/30/04.............. 2,000,000
------------
TOTAL MACHINERY................. 3,678,750
------------
MANAGEMENT SERVICES -- 1.13%
1,550,000 Iron Mountain, Inc., 8.25%,
07/01/11...................... 1,406,625
------------
MANUFACTURING -- 7.19%
2,100,000 AEP Industries, 9.875%,
11/15/07...................... 2,021,250
1,550,000 Consumers Packaging,
Inc. -- 144A, 9.75%,
02/01/07...................... 1,085,000
625,000 Dyersburg Corp., 9.75%,
09/01/07...................... 250,000
700,000 Fedders North America, 9.375%,
8/15/07....................... 686,000
2,575,000 Federal-Mogul Corp., 7.50%,
01/15/09...................... 2,293,712
1,600,000 Mark IV Industries, Inc., 7.75%,
04/01/06...................... 1,496,240
1,150,000 Portola Packaging, 10.75%,
10/01/05...................... 1,150,000
------------
TOTAL MANUFACTURING............. 8,982,202
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.93%
2,500,000 Tenet Healthcare Corp., 8.625%,
01/15/07...................... 2,412,500
------------
METALS AND MINING -- 0.64%
800,000 Kaiser Aluminum and Chemicals,
10.875%, 10/15/06............. 802,000
------------
OIL AND GAS -- 3.46%
2,000,000 Gulf Canada Resources Ltd.,
9.25%, 01/15/04............... 2,020,000
2,375,000 Plains Resources, Inc., 10.25%,
03/15/06...................... 2,303,750
------------
TOTAL OIL AND GAS............... 4,323,750
------------
PAPER AND FOREST
PRODUCTS -- 0.55%
750,000 US Timberlands, 9.625%,
11/15/07...................... 692,812
------------
PUBLISHING -- 1.74%
2,175,000 American Media Operations, Inc.,
10.25%, 05/01/09.............. 2,180,438
------------
RETAIL -- 0.74%
1,000,000 Ameriking, Inc., 10.75%,
12/01/06...................... 920,000
------------
</TABLE>
See notes to financial statements.
134
<PAGE> 136
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
SPECIAL PURPOSE ENTITY -- 2.02%
$2,000,000 Caithness Coso Funding Corp.,
9.05%, 12/15/09............... $ 1,990,000
500,000 RBF Finance Company, 11.375%,
03/15/09...................... 535,000
------------
TOTAL SPECIAL PURPOSE ENTITY.... 2,525,000
------------
TELECOMMUNICATIONS -- 13.15%
1,300,000 Adelphia Communications Corp.,
9.375%, 11/15/09.............. 1,274,000
900,000 Call-Net Enterprises, Inc.,
9.375%, 05/15/09.............. 740,250
2,600,000 Charter Communications Holdings,
LLC, 8.625%, 04/01/09......... 2,401,750
1,900,000 Global Crossing Holding, LTD.,
9.625%, 05/15/08.............. 1,900,000
2,475,000 Intermedia Communications, Inc.,
9.50%, 03/01/09............... 2,363,625
2,000,000 Level 3 Communications, Inc.,
9.125%, 05/01/08.............. 1,885,000
1,650,000 McLeodUSA, Inc., 8.125%,
02/15/09...................... 1,538,625
2,000,000 Nextel Communications, 9.375%,
11/15/09...................... 1,960,000
700,000 Nextlink Communications, 9.625%,
10/01/07...................... 682,500
550,000 Nextlink Communications, 10.50%,
12/01/09...................... 558,250
500,000 Rural Cellular Corp., 9.625%,
05/15/08...................... 511,250
600,000 Voicestream Wireless Corp.,
10.375%, 11/15/09............. 618,000
------------
TOTAL TELECOMMUNICATIONS........ 16,433,250
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
TRANSPORTATION -- 1.15%
$1,500,000 American Commercial Lines, LLC,
10.25%, 06/30/08.............. $ 1,440,000
------------
UTILITIES: ELECTRIC -- 1.87%
2,200,000 AES Corp., 10.25%, 07/15/06..... 2,233,000
100,000 Calpine Corp., 9.25%,
02/01/04...................... 100,750
------------
TOTAL UTILITIES: ELECTRIC....... 2,333,750
------------
TOTAL SECURITIES (Cost
$126,172,168)................... 119,621,721
------------
REPURCHASE AGREEMENT -- 1.96%
2,447,625 With Investors Bank & Trust,
dated 12/31/99, 3.06%, due
01/03/00, repurchase proceeds
at maturity $2,448,249
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
6.437%, due 01/01/20, with a
value of $2,570,021) (Cost
$2,447,625)................... 2,447,625
------------
Total Investments -- 97.66%
(Cost $128,619,793)............. 122,069,346
Other assets less
liabilities -- 2.34%............ 2,921,062
------------
NET ASSETS -- 100.00%........... $124,990,408
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at December 31, 1999, is $128,673,751.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $ 322,158
Gross unrealized depreciation.......... (6,926,563)
------------
Net unrealized depreciation............ $ (6,604,405)
============
</TABLE>
See notes to financial statements.
135
<PAGE> 137
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS -- 97.63%
AUTOMOBILE -- 3.32%
70,200 Bayerische Motoren Werke
AG(a).................... $ 2,181,205 GER
18,000 DaimlerChrysler AG........ 1,389,190 GER
97,000 Fiat SpA.................. 1,395,151 ITA
43,000 Fiat SpA.................. 1,221,854 ITA
135,900 GKN PLC................... 2,135,546 UK
218,000 Mitsubishi Motors
Corp.(c)................. 743,315 JPN
337,000 Nissan Motor Company,
Ltd.(c).................. 1,323,567 JPN
21,800 Peugeot SA................ 4,925,025 FRA
193,000 Suzuki Motor Corp. ....... 2,811,412 JPN
20,444 Valeo SA.................. 1,569,615 FRA
------------
TOTAL AUTOMOBILE.......... 19,695,880
------------
BANKS -- 6.62%
121,234 ABN AMRO Holding N.V. .... 3,013,526 NET
26,000 Allied Irish Banks PLC.... 294,476 IRE
281,490 Australia & New Zealand
Bank Group, Ltd. ........ 2,041,000 AUS
52,000 Banco Bilbao Vizcaya SA... 736,970 SPA
35,000 Bank of Scotland.......... 405,583 UK
18,265 Banque National de Paris
(BNP).................... 1,676,924 FRA
65,000 Canadian Imperial Bank of
Commerce................. 1,543,750 CDA
36,666 Deutsche Bank AG.......... 3,077,476 GER
127,050 ForeningsSparbanken --
Class A.................. 1,858,970 SWE
176,000 Fuji Bank, Ltd.(a)........ 1,707,464 JPN
3,020 Holderbank Financial
Glaris -- Class B........ 4,112,868 SWI
40,352 ING Groep N.V. ........... 2,424,263 NET
746,000 Keppel Tatlee Bank,
Ltd. .................... 1,647,839 SIN
343,600 Lloyds TSB Group PLC...... 4,289,021 UK
50,246 Royal Bank of Scotland
Group PLC................ 889,178 UK
185,000 Svenska Handelsbanken
AB -- Class A............ 2,317,088 SWE
275,000 Toyo Trust & Banking Co.,
Ltd. .................... 1,128,435 JPN
714,960 Turkiye Is Bankasi
(Isbank) (GDR)........... 2,752,596 TUR
487,329 Westpac Banking Corp. .... 3,350,436 AUS
------------
TOTAL BANKS............... 39,267,863
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS -- 1.08%
70,905 DSM NV.................... $ 2,828,514 NET
162,000 Mitsui Chemicals, Inc. ... 1,302,577 JPN
300 Norsk Hydro ASA (ADR)..... 12,825 NOR
53,400 Norsk Hydro ASA........... 2,232,430 NOR
------------
TOTAL CHEMICALS........... 6,376,346
------------
COMPUTER EQUIPMENT -- 1.04%
45,000 Fujitsu, Ltd. ............ 2,048,751 JPN
14,300 Nidec Corporation......... 4,121,439 JPN
------------
TOTAL COMPUTER
EQUIPMENT................. 6,170,190
------------
COMPUTER SOFTWARE AND SERVICES -- 0.37%
20,000 Meitec Corp. ............. 635,044 JPN
68,000 Newbridge Networks
Corp.(c)................. 1,534,250 CDA
------------
TOTAL COMPUTER SOFTWARE
AND SERVICES.............. 2,169,294
------------
CONSTRUCTION -- 2.49%
7,700 Bouygues SA............... 4,869,880 FRA
134,000 Okumura Corp. ............ 451,660 JPN
22,000 Rohm Company, Ltd. ....... 9,027,403 JPN
7,444 Sanitec Oyj(c)............ 96,995 FIN
37,000 Sekisui House, Ltd. ...... 327,147 JPN
------------
TOTAL CONSTRUCTION........ 14,773,085
------------
CONSUMER GOODS AND SERVICES -- 9.72%
7,900 Christian Dior SA......... 1,947,871 FRA
153,300 Cifra SA (ADR)(a)(c)...... 3,072,454 MEX
76,000 Hennes & Mauritz.......... 2,535,398 SWE
53,000 Kao Corp. ................ 1,509,403 JPN
268,000 Nikon Corp. .............. 7,855,000 JPN
29,700 Nintendo Corp., Ltd. ..... 4,927,028 JPN
125,344 Reckitt Benckiser PLC..... 1,172,706 UK
6,500 Sony Corp. (ADR).......... 1,850,875 JPN
76,700 Sony Corp. ............... 22,705,378 JPN
35,000 Sony Music Entertainment,
Inc. .................... 6,968,881 JPN
380,000 Storehouse PLC............ 284,772 UK
20,000 TDK Corp. ................ 2,757,070 JPN
------------
TOTAL CONSUMER GOODS AND
SERVICES.................. 57,586,836
------------
</TABLE>
See notes to financial statements.
136
<PAGE> 138
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 12.58%
19,800 ASM Lithography Holding
N.V.(c).................. $ 2,188,965 NET
79,200 ASM Lithography Holding
N.V.(a)(c)............... 9,009,000 NET
400,000 Caradon PLC............... 999,240 UK
18,500 Epcos AG(c)............... 1,390,693 GER
31,000 FANUC, Ltd. .............. 3,940,305 JPN
231,000 Hitachi, Ltd. ............ 3,701,244 JPN
271,000 Johnson Electric Holdings,
Ltd. .................... 1,739,603 HNG
17,500 Keyence Corp. ............ 7,095,401 JPN
74,000 Murata Manufacturing
Company, Ltd. ........... 17,351,372 JPN
392,000 NEC Corp. ................ 9,325,562 JPN
51,599 Samsung Electronics
(GDR)(a)................. 6,154,409 KOR
6,200 STMicroelectronics
N.V.(c).................. 949,540 NET
65,600 STMicroelectronics N.V. --
New York Shares(a)(c).... 9,934,300 NET
13,000 Taiyo Yuden Company,
Ltd. .................... 769,674 JPN
------------
TOTAL ELECTRONICS......... 74,549,308
------------
ENGINEERING -- 0.06%
24,261 Chudenko Corp. ........... 368,105 JPN
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.00%
900 Kurita Water Industries... 14,280 JPN
------------
FINANCE -- 3.22%
8,600 AIFUL Corp. .............. 1,050,266 JPN
2,284 CIE Financial Richemont... 5,422,019 SWI
64,100 De Beers Consolidated
Mines, Ltd. (ADR)........ 1,854,894 SOA
3,600 Fairfax Financial
Holdings, Ltd.(c)........ 608,961 CDA
115,396 Lend Lease Corp., Ltd. ... 1,611,344 AUS
6,800 Nichiei Company, Ltd. .... 147,487 JPN
152,000 Nomura Securities Co.,
Ltd. .................... 2,739,876 JPN
12,400 Orix Corp. ............... 2,788,803 JPN
6,000 Shohkoh Fund & Company,
Ltd. .................... 2,371,159 JPN
181,000 Wako Securities Company,
Ltd.(a)(c)............... 479,216 JPN
------------
TOTAL FINANCE............. 19,074,025
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE -- 3.86%
71,000 Asahi Breweries, Ltd. .... $ 775,519 JPN
676,000 Cadbury Schweppes PLC..... 4,074,793 UK
464,753 Coca-Cola Amatil, Ltd. ... 1,265,058 AUS
216,988 Coca-Cola Beverages
PLC(c)................... 411,756 AUS
333,200 Coca-Cola Beverages
PLC(c)................... 633,680 AUS
7,500 Groupe Danone............. 1,759,038 FRA
77,175 Heineken N.V. ............ 3,745,411 NET
30,000 Heineken N.V. -- Class
A........................ 1,050,912... NET
2,700 Louis Vuitton Moet
Hennessy................. 1,203,453 FRA
1,270 Nestle(a)................. 2,314,310 SWI
95,000 Panamerican Beverages,
Inc. -- Class A.......... 1,953,437 MEX
275,000 Tate & Lyle PLC........... 1,764,015 UK
265,000 Unilever PLC.............. 1,945,444 UK
------------
TOTAL FOOD AND BEVERAGE... 22,896,826
------------
INDUSTRIAL -- 3.59%
50,322 Advantest Corp. .......... 13,274,325 JPN
16,200 Compagnie de
Saint-Gobain............. 3,031,500 FRA
29,361 Preussag AG............... 1,665,362 GER
1,525 SGS Societe Generale de
Surveillance Holding
SA(c).................... 1,933,959 SWI
430,000 Tomkins PLC............... 1,386,062 UK
------------
TOTAL INDUSTRIAL.......... 21,291,208
------------
INSURANCE -- 2.42%
80,000 Assicurazioni Generali,
Ltd. .................... 2,630,040 ITA
480,000 Mitsui Marine and Fire
Insurance Company,
Ltd. .................... 2,841,888 JPN
629,030 QBE Insurance Group,
Ltd. .................... 2,922,348 AUS
407,964 Royal & Sun Alliance
Insurance Group PLC...... 3,100,200 UK
802 Schweizerische
Rueckversicherungs-
Gesellschaft(a).......... 1,638,839 SWI
210,000 Yasuda Fire and Marine
Insurance................ 1,185,870 JPN
------------
TOTAL INSURANCE........... 14,319,185
------------
</TABLE>
See notes to financial statements.
137
<PAGE> 139
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
INVESTMENT HOLDING COMPANIES -- 0.80%
325,000 Hutchison Whampoa......... $ 4,724,362 HNG
------------
LEISURE AND RECREATION -- 0.26%
32,500 Accor SA(a)............... 1,562,613 FRA
------------
MANUFACTURING -- 9.81%
26,549 ABB AB -- Class A(c)...... 3,230,034 SWI
1,041,100 Invensys PLC.............. 5,654,630 UK
106,161 Mannesmann AG............. 25,750,182 GER
80,000 Metra Oy.................. 1,483,408 FIN
120,863 Morgan Crucible Company
PLC...................... 562,956 UK
44,500 Pohang Iron & Steel
Company, Ltd. (ADR)(a)... 1,557,500 KOR
77,000 Siemens AG................ 9,801,499 GER
75,000 THK Company, Ltd.(a)...... 3,026,235 JPN
135,000 Thyssen Krupp AG(c)....... 4,079,619 GER
390,900 TI Group PLC.............. 2,992,574 UK
------------
TOTAL MANUFACTURING....... 58,138,637
------------
MEDIA -- 2.96%
176 Canal Plus................ 25,491 FRA
17,100 Grupo Televisa
(GDR)(a)(c).............. 1,167,075 MEX
140,137 News Corp., Ltd. ......... 1,356,204 AUS
29,750 News Corp., Ltd. (ADR).... 1,137,937 AUS
390,806 Reuters Group PLC......... 5,350,681 UK
433 Reuters Group PLC (ADR)... 34,992 UK
177,207 Singapore Press Holdings,
Ltd. .................... 3,839,828 SIN
176,224 Thomson Corp. ............ 4,614,073 CDA
------------
TOTAL MEDIA............... 17,526,281
------------
METALS AND MINING -- 1.60%
38,050 Broken Hill Proprietary
(ADR).................... 1,010,703 AUS
410,302 Broken Hill Proprietary... 5,369,786 AUS
43,663 Pechiney SA -- Class A.... 3,105,020 FRA
------------
TOTAL METALS AND MINING... 9,485,509
------------
OIL AND GAS -- 3.33%
583,600 Eni Spa................... 3,193,809 ITA
164,000 Enterprise Oil PLC........ 1,110,132 UK
880,000 Santos, Ltd. ............. 2,389,640 AUS
281,000 Sasol Beperk Ltd. ........ 2,304,565 SOA
395,000 Shell Transport &
Trading.................. 3,275,419 UK
16,000 Suncor Energy, Inc. ...... 665,875 CDA
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
OIL AND GAS (CONTINUED)
19,300 Suncor Energy, Inc. ...... $ 805,775 CDA
48,000 Talisman Energy,
Inc.(c).................. 1,220,400 CDA
15,000 Total Fina S.A. -- Series
B........................ 1,992,073 FRA
29,500 Veba AG................... 1,432,564 GER
180,800 Woodside Petroleum,
Ltd. .................... 1,330,923 AUS
------------
TOTAL OIL AND GAS......... 19,721,175
------------
PAPER AND FOREST PRODUCTS -- 1.17%
189,000 Sumitomo Forestry......... 1,458,740 JPN
137,000 UPM-Kymmeme............... 5,492,604 FIN
------------
TOTAL PAPER AND FOREST
PRODUCTS.................. 6,951,344
------------
PHARMACEUTICALS -- 4.83%
31,062 AstraZeneca PLC (ADR)..... 1,296,838 UK
136,100 AstraZeneca PLC........... 5,632,975 UK
128,328 AstraZeneca PLC........... 5,407,691 UK
130,200 BOC Group................. 2,790,915 UK
3,244 Novartis AG............... 4,738,127 SWI
60,000 Sankyo Company, Ltd. ..... 1,231,008 JPN
105,480 Sanofi-Synthelabo SA(c)... 4,370,574 FRA
18,000 Shionogi & Company,
Ltd. .................... 218,241 JPN
60,000 Takeda Chemical
Industries, Ltd. ........ 2,960,286 JPN
------------
TOTAL PHARMACEUTICALS..... 28,646,655
------------
REAL ESTATE -- 0.56%
188,000 Cheung Kong Holdings,
Ltd. .................... 2,388,239 HNG
134,000 Mitsui Fudosan............ 905,947 JPN
------------
TOTAL REAL ESTATE......... 3,294,186
------------
RETAIL -- 0.22%
121,000 Kingfisher PLC............ 1,339,760 UK
------------
SEMICONDUCTORS -- 2.64%
114,300 Tokyo Electron, Ltd. ..... 15,633,817 JPN
------------
TELECOMMUNICATIONS -- 18.24%
6,819 Cable & Wireless HKT, Ltd.
(ADR)(a)................. 198,603 USA
641,600 Cable & Wireless HKT,
Ltd. .................... 1,852,941 HNG
55,000 Cable & Wireless PLC(a)... 929,868 UK
116,300 Deutsche Telekom AG....... 8,276,303 GER
48,800 Eircom PLC................ 211,792 IRE
13,400 Ericsson AB -- Class B.... 857,986 SWE
</TABLE>
See notes to financial statements.
138
<PAGE> 140
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
34,400 Ericsson L M Telephone
(ADR).................... $ 2,259,650 SWE
5,500 Korea Telecom Corp.
(ADR).................... 411,125 KOR
293 Nippon Telegraph and
Telephone Corp. ......... 5,017,614 JPN
26,400 Nokia Corp. (ADR)......... 5,016,000 FIN
106,800 Nokia Oyj................. 19,268,237 FIN
46,000 Nortel Networks Corp. .... 4,646,000 CDA
531 NTT Mobile Communications
Network, Inc. ........... 20,421,078 JPN
160,000 Portugal Telecom SA....... 1,746,416 POR
11,000 Societe Europeenne des
Satellites (FDR)......... 1,598,670 LUX
15,247 Swisscom AG............... 6,134,111 SWI
523,000 Telecom Italia Mobile..... 2,479,491 ITA
179,000 Telecom Italia Mobile..... 1,989,674 ITA
698,000 Telecom Italia Spa........ 4,232,602 ITA
102,555 Telecom Italia Spa(a)..... 1,439,072 ITA
260,861 Telefonica S.A.(c)........ 6,484,248 SPA
80,300 Telefonos De Mexico
(ADR)(a)................. 9,033,750 MEX
88,900 Teleglobe, Inc. .......... 2,015,265 CDA
3,800 Teleglobe, Inc. (ADR)..... 86,212 CDA
31,000 Vodafone AirTouch PLC
(ADR)(a)................. 1,534,500 UK
------------
TOTAL
TELECOMMUNICATIONS........ 108,141,208
------------
TIRE AND RUBBER -- 0.10%
26,000 Bridgestone Corp. ........ 571,540 JPN
------------
TRANSPORTATION -- 0.74%
130,000 Bombardier Inc., Class
B........................ 2,661,580 CDA
83,200 Bombardier Inc., Class
B........................ 1,699,743 CDA
------------
TOTAL TRANSPORTATION...... 4,361,323
------------
TOTAL COMMON STOCK
(Cost $341,050,434)....... 578,650,841
------------
PREFERRED STOCK -- 0.24%
CHEMICALS -- 0.24%
22,000 Henkel KGaA (Cost
$1,738,214).............. 1,459,751 GER
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
WARRANTS -- 0.01%
BANKS -- 0.01%
10,205 Banque National de Paris
CVG (expire 07/15/02)(c)
(Cost $547,301).......... $ 46,846 FRA
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
NON-CONVERTIBLE BOND -- 0.03%
CONSTRUCTION -- 0.03%
$ 146,785 Sekisui House, 2.50%,
01/31/02 (Cost
$160,403)................. 174,390 JPN
------------
CONVERTIBLE BONDS AND NOTES -- 0.09%
FOOD AND BEVERAGE -- 0.09%
215,285 Asahi Breweries Series 8,
0.90%, 12/26/01.......... 231,484 JPN
48,928 Asahi Breweries Series 9,
0.95%, 12/26/02.......... 53,000 JPN
225,071 Asahi Breweries Series 10,
1.00%, 12/26/03.......... 245,387 JPN
------------
TOTAL FOOD AND BEVERAGE
(Cost $495,634)........... 529,871
------------
<CAPTION>
SHARES
------
<C> <S> <C> <C>
REGULATED INVESTMENT COMPANIES -- 0.48%
2,378,970 Janus Money Market
Fund(b).................. 2,378,970 USA
500,000 Merrimac Cash Fund --
Premium Class(b)......... 500,000 USA
------------
TOTAL REGULATED INVESTMENT
COMPANIES
(Cost $2,878,970)......... 2,878,970
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
CERTIFICATES OF DEPOSIT -- 1.33%
$ 594,742 American Express Centurion
Bank, 6.15%,
01/26/00(b).............. 594,742 USA
2,677,877 Den Danske Bank, 6.39%,
01/20/00(b).............. 2,677,877 USA
1,338,171 Den Danske Bank, 6.41%,
01/27/00(b).............. 1,338,171 USA
594,742 Royal Bank of Scotland,
6.15%, 01/20/00(b)....... 594,742 USA
2,677,877 Royal Bank of Scotland,
6.31%, 01/27/00(b)....... 2,677,877 USA
------------
TOTAL CERTIFICATES OF
DEPOSIT
(Cost $7,883,409)......... 7,883,409
------------
</TABLE>
See notes to financial statements.
139
<PAGE> 141
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
<C> <S> <C> <C>
TIME DEPOSIT -- 0.01%
$ 33,748 BankBoston, N.A., 4.68%,
01/03/00(b) (Cost
$33,748)................. $ 33,748 USA
------------
SHORT TERM CORPORATE NOTES -- 6.33%
10,500,000 JP Morgan Securities,
Inc., Floating Rate,
4.605%(++),
07/07/00(b).............. 10,500,000 USA
5,000,000 Morgan Stanley Dean Witter
& Company, Floating Rate,
4.60%(++), 01/11/00(b)... 5,000,000 USA
22,000,000 Prudential Securities,
Inc., Floating Rate,
4.85%(++), 03/10/00(b)... 22,000,000 USA
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $37,500,000)........ 37,500,000
------------
TOTAL SECURITIES
(Cost $392,288,113)....... 629,157,826
------------
REPURCHASE AGREEMENT -- 2.27%
13,474,597 With Investors Bank and
Trust, dated 12/31/99,
3.06%, due 01/03/00,
repurchase proceeds at
maturity $13,478,033
(Collateralized by Small
Business Administration
Loan, 8.125%, due
10/25/21, with a value of
$3,964,609, and a Fannie
Mae, 5.40%, due 06/25/23,
with a value of
$10,183,717) (Cost
$13,474,597)............. 13,474,597 USA
------------
Total Investments -- 108.42%
(Cost $405,762,710)....... 642,632,423
Liabilities less other
assets -- (8.42)%......... (49,918,782)
------------
NET ASSETS -- 100.00%.... $592,713,641
============
The aggregate cost of securities for federal income tax purposes
at December 31, 1999 is $409,641,506.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation........ $256,376,848
Gross unrealized depreciation........ (23,385,931)
------------
Net unrealized appreciation.......... $232,990,917
============
</TABLE>
- ---------------
(a) All or part of the security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at December
31, 1999.
(ADR) American Depository Receipt.
(FDR) Foreign Depository Receipt.
(GDR) Global Depository Receipt.
<TABLE>
<CAPTION>
PERCENT OF TOTAL
COUNTRY COMPOSITION SECURITIES AT VALUE
------------------- -------------------
<S> <C>
Australia (AUS)...................... 3.86%
Canada (CDA)......................... 3.44%
Finland (FIN)........................ 4.88%
France (FRA)......................... 4.99%
Germany (GER)........................ 9.42%
Hong Kong (HNG)...................... 1.67%
Ireland (IRE)........................ 0.08%
Italy (ITA).......................... 2.89%
Japan (JPN).......................... 30.59%
Korea (KOR).......................... 1.27%
Luxembourg (LUX)..................... 0.25%
Mexico (MEX)......................... 2.37%
Netherlands (NET).................... 5.47%
Norway (NOR)......................... 0.35%
Portugal (POR)....................... 0.27%
Singapore (SIN)...................... 0.85%
South Africa (SOA)................... 0.65%
Spain (SPA).......................... 1.12%
Sweden (SWE)......................... 1.53%
Switzerland (SWI).................... 4.59%
Turkey (TUR)......................... 0.43%
United Kingdom (UK).................. 9.39%
United States (USA).................. 9.64%
-------
TOTAL PERCENTAGE..................... 100.00%
=======
</TABLE>
See notes to financial statements.
140
<PAGE> 142
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements
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 (formerly the Government/Corporate
Bond Series), the Balanced Series, 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 gains and losses on disposition of foreign currencies and
foreign currency forward contracts, and the
141
<PAGE> 143
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
C. FOREIGN CURRENCY TRANSLATION (CONTINUED)
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 the difference between the proceeds from (or
cost of) the closing transaction and the Series basis in the contract.
142
<PAGE> 144
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
F. FUTURES CONTRACTS (CONTINUED)
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.
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................................................ 21.73
High Quality Bond........................................... 42.02
Intermediate Government Bond................................ 39.73
Core Bond................................................... 30.54
Balanced.................................................... 56.67
Equity Income............................................... 53.89
Equity Value................................................ 18.51
Growth & Income............................................. 43.30
Equity Growth............................................... 56.12
Special Equity.............................................. 38.14
Aggressive Equity........................................... 36.96
High Yield Bond............................................. 24.39
International Equity........................................ 35.95
</TABLE>
143
<PAGE> 145
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
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. 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(1) 0.15
Core Bond Series.......................... Payden & Rygel Investment Counsel 0.35 (3)
Balanced Series........................... (4) 0.45(1) (5)
Equity Income Series...................... Asset Management Group 0.45 (6)
Equity Value Series....................... Ark Asset Management Company, Inc. 0.57(1) (7)
Growth & Income Series.................... Putnam Advisory Company, Inc. 0.60(1) (8)
Equity Growth Series...................... (9) 0.62(1) (10)
Special Equity Series..................... (11) 0.80(1) (12)
Aggressive Equity Series.................. McKinley Capital Management 0.97(1) (13)
High-Yield Bond Series.................... Delaware Investment Advisors 0.55(1) (14)
International Equity Series............... Capital Guardian Trust Company 0.75(1) (15)
</TABLE>
- ---------------
(1) The Advisor is currently waiving a portion of its fee.
(2) The High Quality Bond Series changed its fee schedule with Merganser
Capital Management on December 1, 1999. For the period from January 1
through November 30, 1999, the Subadvisor received 0.25% on the first
$100,000,000 in average daily net assets, and 0.15% on all average daily
net assets in excess of $100,000,000. For the period from December 1
through December 31, 1999, Merganser Capital Management received 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 Core Bond Series (formerly Government/Corporate Bond), changed its
subadvisor on August 18, 1999 from Capital Management Group to Payden &
Rygel Investment Counsel. For the period from January 1 through August 17,
1999, the Subadvisor received 0.15% of average daily net assets. For the
period from August 18 through December 31, 1999, the net assets of the Core
Bond and Balanced Series -- fixed income securities, were 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 in accordance with the
subadvisory agreement.
144
<PAGE> 146
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
(4) The Balanced Series changed subadvisors on March 31, 1999. Aeltus
Investment Management, Inc. and Payden & Rygel Investment Counsel replaced
Institutional Capital Corporation for equity and fixed income securities,
respectively.
(5) For the period from January 1 through March 30, 1999, the Subadvisor
received 0.35% on the first $500,000,000 in average daily net assets, 0.30%
on the next $500,000,000 in average daily net assets, and 0.25% on all
average daily net assets in excess of $1,000,000,000. For the period from
March 31 through December 31, 1999, 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. For the period from March 31
through August 17, 1999, Payden & Rygel Investment Counsel received 0.20%
on the first $50,000,000 in average daily net assets, 0.15% on the next
$50,000,000 of average daily net assets, and 0.10% on all average daily net
assets in excess of $100,000,000. For the period from August 18 through
December 31, 1999, 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 the
Balanced Series (fixed income securities).
(6) 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.
(7) 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.
(8) 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.
(9) The Equity Growth Series has two subadvisors: Montag & Caldwell, Inc. and
Dresdner RCM Global Investors, Inc.
(10) 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.
(11) The Special Equity Series has four Subadvisors: Husic Capital; Robertson,
Stephens; Liberty Investment Management, Inc.; and Westport Asset
Management, Inc. On March 26, 1999, Robertson, Stephens replaced Ark Asset
Management Co., Inc. and on November 16, 1999, Husic Capital replaced
Pilgrim Baxter & Associates.
(12) 0.50% of average daily net assets for the two Subadvisors: Liberty
Investment Management, Inc., and Westport Asset Management.
For the period from January 1 through March 25, 1999, Ark Asset Management
Co., Inc. received 0.50% of average daily net assets. For the period from
March 26 through December 31, 1999, 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. For the period from January 1
through November 15, 1999, Pilgrim Baxter & Associates, received 0.50% of
average daily net assets. For the period from November 16 through December
31, 1999, 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.
145
<PAGE> 147
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
(13) 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.
(14) 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.
(15) 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.
For the period ended December 31, 1999, 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.
Equity 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 December 31,
1999, amounted to $32,109.
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
146
<PAGE> 148
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
4. SECURITIES LENDING (CONTINUED)
expenses, for lending its securities which is included in interest income on the
Statements of Operations. At December 31, 1999, the Series loaned securities
having market values as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
------------ ------------
<S> <C> <C>
High Quality Bond Series.................................... $ 4,950,589 $ 5,100,000
Intermediate Government Bond Series......................... 36,036,130 37,078,875
Core Bond Series............................................ 174,374,302 178,096,125
Balanced Series............................................. 38,971,455 39,899,150
Equity Income Series........................................ 37,774,450 38,823,800
Equity Value Series......................................... 23,407,988 24,259,200
Growth & Income Series...................................... 142,298,143 146,119,866
Equity Growth Series........................................ 79,207,727 81,556,641
Special Equity Series....................................... 110,786,790 115,256,767
Aggressive Equity Series.................................... 39,738,750 40,672,700
International Equity Series................................. 46,700,352 48,296,127
</TABLE>
5. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities (excluding short-term securities) for the year ended December 31,
1999, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
<S> <C> <C> <C>
High Quality Bond Series............ Government Obligations $ 7,963,439 $ 18,378,186
Other 112,555,841 124,531,852
Intermediate Government Bond Government Obligations 73,227,101 38,000,668
Series............................
Other 10,000,000 504,790
Core Bond Series.................... Government Obligations 1,700,229,693 1,368,710,844
Other 277,627,355 428,568,240
Balanced Series..................... Government Obligations 624,796,062 664,679,086
Other 728,751,481 713,327,783
Equity Income Series................ Other 599,826,080 612,087,097
Equity Value Series................. Other 326,032,659 320,020,142
Growth & Income Series.............. Other 1,015,736,628 842,248,718
Equity Growth Series................ Other 645,516,164 402,122,068
Special Equity Series............... Other 1,518,506,457 1,501,352,759
Aggressive Equity Series............ Other 273,265,811 185,811,897
High-Yield Bond Series.............. Other 196,264,932 148,264,159
International Equity Series......... Other 182,600,953 142,363,504
</TABLE>
147
<PAGE> 149
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
6. FOREIGN CURRENCY FORWARD CONTRACTS
At December 31, 1999, 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
BALANCED CURRENCY FOR DATE VALUE APPRECIATION/(DEPRECIATION)
-------- ----------- --------------- ------------- ------------ ---------------------------
<S> <C> <C> <C> <C> <C>
SALE CONTRACTS:
British Pound
Sterling........... 2,230,000 $3,571,077 3/07/2000 $3,601,959 $ (30,882)
Euro................. 3,500,000 3,571,855 1/13/2000 3,530,575 41,280
New Zealand Dollar... 6,800,000 3,496,832 2/22/2000 3,559,021 (62,189)
Swedish Krona........ 30,000,000 3,609,891 2/17/2000 3,541,820 68,071
-----------
TOTAL...... $ 16,280
===========
<CAPTION>
INTERNATIONAL EQUITY
- --------------------
<S> <C> <C> <C> <C> <C>
SALE CONTRACTS:
Japanese Yen......... 332,578,560 $3,084,000 2/28/2000 $3,285,447 $ (201,447)
===========
</TABLE>
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> <C>
Euro/Australian
Dollar............. 01/19/2000 $2,626,404 $2,667,485 $ (41,081)
Euro/Canadian
Dollar............. 01/28/2000 951,975 1,033,826 (81,851)
Euro/Canadian
Dollar............. 03/07/2000 1,090,495 1,107,085 (16,590)
Euro/Canadian
Dollar............. 03/23/2000 1,832,776 1,956,048 (123,272)
Euro/British Pound... 01/28/2000 1,625,694 1,680,534 (54,840)
Euro/British Pound... 02/04/2000 438,750 451,710 (12,960)
Euro/Korean Won...... 03/31/2000 1,585,101 1,774,182 (189,081)
Euro/Japanese Yen.... 01/20/2000 5,757,432 6,420,481 (663,049)
Euro/Japanese Yen.... 01/20/2000 2,256,909 2,515,946 (259,037)
Euro/Japanese Yen.... 02/28/2000 2,738,832 2,829,768 (90,936)
Euro/Japanese Yen.... 05/26/2000 2,896,660 2,994,825 (98,165)
-----------
TOTAL...... $(1,630,862)
===========
</TABLE>
7. FUTURES CONTRACTS
At December 31, 1999, the Balanced Series entered into a futures contract.
The open contracts were as follows:
<TABLE>
<CAPTION>
BALANCED FUTURES EXPIRATION DATE CONTRACTS UNREALIZED APPRECIATION
- ---------------- --------------- ------------- ---------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Future....... 03/17/2000 73 $ 185,836
===========
</TABLE>
148
<PAGE> 150
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
8. 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
YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
- ------------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
MONEY MARKET
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
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
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**
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
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
EQUITY INCOME
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+
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
</TABLE>
- ---------------
<TABLE>
<S> <C>
* Ratios have been restated.
** Formerly Government/Corporate Bond.
*** 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>
149
<PAGE> 151
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
8. FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF NET INVESTMENT
RATIO OF INVESTMENT INCOME
RATIO OF EXPENSES TO INCOME (LOSS) TO
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO AVERAGE NET
YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
- ------------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
GROWTH & INCOME
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
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
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
AGGRESSIVE EQUITY+
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++
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+++
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>
* Ratios have been restated.
** Formerly Government/Corporate Bond.
*** 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>
150
<PAGE> 152
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Owners of Beneficial Interests
of the Diversified Investors Portfolios:
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations, and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Diversified
Investors Portfolios (comprising, the Money Market Portfolio, High Quality Bond
Portfolio, Intermediate Government Bond Portfolio, Core Bond Portfolio (formerly
Government/Corporate Bond Portfolio), Balanced Portfolio, Equity Income
Portfolio, Equity Value Portfolio, Growth & Income Portfolio, Equity Growth
Portfolio, Special Equity Portfolio, Aggressive Equity Portfolio, High Yield
Bond Portfolio and International Equity Portfolio) (collectively the
"Portfolios") at December 31, 1999, the results of each of their operations for
the year then ended, the changes in each of their net assets for each of the two
years in the period then ended, and the financial highlights for each of the
periods presented, in conformity with accounting principles generally accepted
in the United States. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Portfolios' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with auditing standards generally accepted in
the United States, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
February 18, 2000
151
<PAGE> 153
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152
<PAGE> 154
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
TO OUR SHAREHOLDERS
The 1999 fiscal year was one of significant change, growth, and
opportunity. Highlights from the year include:
- The Funds' fiscal year end was changed from February 28 to December 31.
Accordingly, this report covers the ten-month period ending December 31.
Future semi-annual reports will cover the six-month period ending June
30, and future annual reports will cover the 12-month period ending
December 31.
- The Dow Jones Industrial Average, which measures the value of 30 actively
traded, well-established U.S. companies, surpassed 10,000 points on March
16, 1999.
- The return of the Standard and Poor's 500 index, which measures the
performance of 500 widely-held industrial, transportation, financial, and
utility stocks of U.S. companies, surpassed 20% for the fifth consecutive
year.
- The Federal Reserve Board raised short-term interest rates three times
during the year.
As we look back on another year in which the Dow Jones Industrial Average
and the S&P 500 Index reached record-high levels, we urge investors to maintain
a long-term perspective when making investment decisions. While one fund's
recent performance may be better than another's, it is important to remember
that past performance is no guarantee of future returns. Even as market
conditions change, you should maintain your investment strategy as long as it
remains appropriate for your short- or long-term objectives. One trait many
successful investors share is the ability to stay focused on their personal
financial goals while ignoring temporary market swings.
The Barclays Global Investors Funds offer a simple, cost-effective way for
you to invest in your future. We trust that the Funds are fulfilling your
expectations and will continue to do so. We appreciate your confidence and look
forward to continuing to help you meet your investment goals.
BARCLAYS GLOBAL INVESTORS FAMILY OF FUNDS FEBRUARY 2000
153
<PAGE> 155
BARCLAYS GLOBAL INVESTORS FUNDS MARKET OVERVIEW
TEN-MONTH PERIOD ENDING DECEMBER 31, 1999
U.S. EQUITY MARKETS
The fiscal year that began March 1, 1999 opened on a positive note for
large-cap stocks. The Dow Jones Industrial Average reached a new milestone on
March 16, breaking through the 10,000-point barrier. A healthy U.S. economy and
an appetite for technology stocks drove the market, with an emphasis on rising
earnings that left value stocks largely ignored in favor of growth stocks.
During the months of April and May, concern surfaced about an overheated
economy. Although unemployment figures remained benign, consumer and wholesale
prices had begun to heat up. A recovery in European countries compounded worries
of potential inflation and corresponding Federal Reserve intervention. Markets
reflected this apprehension, as investors shunned growth stocks for value:
within the S&P 500, value stocks returned 10.80%, vs. growth stocks' return of
3.83% for the quarter ending June 30. The S&P 500 Index returned 7.05% overall,
closing the quarter at a new high.
Although it raised short-term interest rates by 0.25% on June 30, the
Federal Reserve Board indicated that there would not be additional increases in
the near future. The markets welcomed the news and enjoyed a brief rally.
However, worries over higher interest rates were rekindled as many companies
released favorable earnings reports in July. After reaching new highs on July
16, U.S. equities tumbled through the end of the third quarter and into the
second week of October, giving back some of the gains they had accumulated for
the year. Tightening labor markets and strong domestic demand figures released
in August contributed to the decline. For the quarter ended September 30, the
S&P 500 Index lost 6.24%. Only the technology-driven Nasdaq posted positive
returns for the quarter.
October began on a negative note as high producer price reports provided
further indications of an overheated economy. However, the tide soon changed and
markets rebounded sharply during the second half of the month. The S&P 500 Index
returned 6.33% for October, one of its best monthly returns in a decade. The
technology sector propelled the Nasdaq to new highs, setting 16 record closing
highs in November. The surge in equities continued through year end, and the S&P
500 Index gained 14.88% for the quarter. Its return of 21.04% for the year
marked the fifth year in a row that its performance has exceeded 20%. For the
Nasdaq, results were even more stunning, as technology stocks drove the index up
22% for the month of December alone, returning 86% for the year.
Not surprisingly, the technology sector was the largest contributor to U.S.
equity performance for the year. Although value stocks and growth stocks fell
alternately in and out of favor, growth stocks overwhelmingly outperformed value
stocks.
U.S. FIXED-INCOME MARKETS
The 1999 fiscal year began with a dramatic shift in the economic landscape
that 1998 experienced. The turmoil sparked by Russia's devaluation of the ruble
and default on its debt in August 1998, had ultimately led to the Federal
Reserve Board's three consecutive monthly short-term interest rate cuts, a
cumulative 0.75%, in the fall of 1998. By January 1999, many investors had
anticipated an economic slowdown in the U.S., and expectations of further easing
of monetary policy were predominant.
However, investors were soon to learn that the U.S. economy had grown a
staggering 6.0% in the fourth quarter of 1998. Coupled with reports of the
lowest unemployment rates since 1970, the economic outlook caused market
participants to rethink their position.
As investors' fears about inflation mounted, interest rates rose. During
the second quarter of 1999, the yields on 30-year Treasury bonds rose to just
over 6%. On June 30, the Federal Reserve Board raised short-term interest rates
0.25%, citing improved global conditions, recovering foreign economies, and
continued strength in the domestic economy. However, the bond market rallied in
response to the Fed's move to a neutral stance in regard to further tightening.
154
<PAGE> 156
In the third quarter, tightness in the labor market and weakness in the
dollar drove yields higher. The employment cost index, released at the end of
July, rose at its fastest rate in eight years. By August 6, the 30-year Treasury
bond yield had risen to 6.28%, its highest level in 20 months. In the midst of
these inflationary pressures, the Federal Reserve Board increased rates another
0.25% on July 16. After a bleak August, bonds staged a brief rally in September
as nervousness about technology stocks heightened and reassuring Gross Domestic
Product figures were released. The 30-year Treasury yield dropped to 6.05%
Discouraging manufacturing reports released on October 1 sent bond prices
falling sharply, as inflation fears resurfaced. Yields continued rising through
the month, reaching their highest levels since September 1997. On November 16,
the Federal Reserve Board raised short-term interest rates for a third time. The
cumulative 0.75% hike for the year exactly reversed the cuts made in the fall of
1998. Bonds reacted by falling for the remainder of the month. December marked
the ninth consecutive monthly decline in bond prices for 1999, as further signs
of a strong economy compounded existing inflation concerns. The 30-year Treasury
bonds finished the year with an annual return of -8.74%, making the worst
returns in over twenty years.
S&P 500 STOCK FUND
The goal of the S&P 500 Fund is to hold all of the stocks in -- and match
as closely as possible the performance of -- the Standard & Poor's 500 Index.
For the 10 months ended December 31, 1999, the Fund returned 19.67%, compared to
the index's return of 19.90%. As can be expected, the Fund's performance lagged
slightly, largely due to administrative and management fees that are deducted
from the Fund.
"Net investment income" includes income from dividends and interest on the
Fund's investments after management and administrative fees have been deducted.
Cumulative dividends on net investment income were approximately $0.29 per share
during this period. Of course, past performance is no guarantee of future
results.
The S&P 500 Index's rise of 21.04% for the 1999 calendar year marked its
fifth consecutive year of returns exceeding 20%, unprecedented in the history of
the index. The technology stock sector of the index returned 75.13% for the
year. For example, QUALCOMM Inc., a manufacturer of communications technologies
and products, returned 94.50% for the month of December and 2,617.9% for the
year. Nortel Networks, a leading global supplier of data and telephone network
solutions and services, also contributed to the index's strong performance,
gaining 304.0% for the year. Although value and growth stocks were alternately
in and out of favor during the year, growth strongly outperformed value for the
year, gaining 28.25% compared to 12.72% for value stocks.
The year witnessed continued economic growth. Signs of a healthy economy
that prevailed early in the year turned intermittently to indications of an
overheated one throughout the year. As a result, the Federal Reserve Board
increased short-term interest rates three times in 1999, in June, August, and
November, effectively reversing the three interest rate cuts implemented in
1998.
Inflationary concerns briefly interrupted the general upward trend in the
index in the third and fourth quarters. The index plunged 6.24% during the third
quarter, falling from an all-time high in July. Strong economic reports in early
October sent the index tumbling again, only to surge ahead and close the month
up 6.33%. The markets responded to the November 16 rate hike with mild
indifference, and the index continued its climb through year-end, returning an
impressive 14.88% for the fourth quarter.
The Fund will continue to track the S&P 500 Index as closely as possible,
by investing in the same companies that make up the index.
155
<PAGE> 157
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see cost below) (Note 1).... $4,872,292,818
RECEIVABLES:
Dividends and interest................................. 4,418,560
Receivable for daily variation margin on open financial
futures contracts..................................... 413,112
--------------
TOTAL ASSETS................................................ 4,877,124,490
--------------
LIABILITIES
PAYABLES:
Collateral for securities loaned (Note 4).............. 49,172,532
Due to Bank............................................ 4,859
Due to BGI (Note 2).................................... 422,073
--------------
TOTAL LIABILITIES........................................... 49,599,464
--------------
TOTAL NET ASSETS............................................ $4,827,525,026
--------------
INVESTMENTS AT COST......................................... $3,180,701,263
==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
156
<PAGE> 158
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED FOR THE YEAR ENDED
DECEMBER 31, 1999* FEBRUARY 28, 1999
-------------------- ------------------
<S> <C> <C>
NET INVESTMENT INCOME
Dividends............................................... $ 44,329,664 $ 36,647,898
Interest................................................ 9,795,587 8,379,792
------------ ------------
TOTAL INVESTMENT INCOME......................... 54,125,251 45,027,690
------------ ------------
EXPENSES (NOTE 2)
Advisory Fees........................................... 1,821,793 1,353,414
------------ ------------
TOTAL EXPENSES.................................. 1,821,793 1,353,414
------------ ------------
NET INVESTMENT INCOME..................................... 52,303,458 43,674,276
------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments......... 147,202,745 143,991,139
Net realized gain (loss) on sale of futures contracts... 23,076,772 37,982,701
Net change in unrealized appreciation (depreciation) of
investments.......................................... 549,246,681 265,023,900
Net change in unrealized appreciation (depreciation) of
future contract...................................... 12,849,150 (14,225,550)
------------ ------------
NET GAIN (LOSS) ON INVESTMENTS............................ 732,375,348 432,772,190
------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.............................................. $784,678,806 $476,446,466
============ ============
</TABLE>
- ---------------
<TABLE>
<S> <C> <C>
+ Net of foreign withholding tax of: $ 28,773 $ 5,288
++ Interest income includes securities lending income of: $ 272,312 $ 78,935
* For the ten months ended December 31, 1999. The Master Portfolio changed its fiscal year end from
February 28 to December 31.
</TABLE>
The accompanying notes are an integral part of these financial statements.
157
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MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, 1999* FEBRUARY 28, 1999 FEBRUARY 28, 1998
-------------------- ------------------ ------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)............ $ 52,303,458 $ 43,674,276 $ 35,530,147
Net realized gain (loss) on sales of
investments.......................... 170,279,517 181,973,840 71,368,439
Net change in unrealized appreciation
(depreciation) of investments........ 562,095,831 250,798,350 463,085,650
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............... 784,678,806 476,446,466 569,984,236
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS............................ 355,753,442 856,583,098 299,742,532
-------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS......... 1,140,432,248 1,333,029,564 869,726,768
-------------- -------------- --------------
NET ASSETS:
Beginning net assets...................... 3,687,092,778 2,354,063,214 1,484,336,446
-------------- -------------- --------------
ENDING NET ASSETS......................... $4,827,525,026 $3,687,092,778 $2,354,063,214
============== ============== ==============
</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.
158
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MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS -- 96.26%
ADVERTISING -- 0.27%
107,383 Interpublic Group Co Inc..... $ 6,194,657
67,509 Omnicom Group................ 6,750,900
--------------
TOTAL ADVERTISING (Cost
$6,043,792).................. 12,945,557
--------------
AEROSPACE/DEFENSE -- 1.18%
356,357 Boeing Co.................... 14,811,088
71,266 General Dynamics Corp........ 3,759,281
34,653 Goodrich (B F) Co............ 952,957
299,106 Honeywell International
Inc........................ 17,254,677
151,413 Lockheed Martin Corp......... 3,312,159
26,579 Northrop Grumman Corp........ 1,436,927
129,063 Raytheon Co Class B.......... 3,428,236
182,808 United Technologies Corp..... 11,882,520
--------------
TOTAL AEROSPACE/DEFENSE (Cost
$50,908,685)................. 56,837,845
--------------
AIRLINES -- 0.22%
57,567 AMR Corp+.................... 3,856,989
53,167 Delta Air Lines Inc.......... 2,648,381
193,037 Southwest Airlines Co........ 3,124,786
28,465 USAirways Group Inc+......... 912,659
--------------
TOTAL AIRLINES (Cost
$9,589,571).................. 10,542,815
--------------
APPAREL -- 0.17%
24,271 Liz Claiborne Inc............ 913,196
107,232 Nike Inc Class B............. 5,314,686
22,146 Reebok International Ltd+.... 181,320
13,707 Russell Corp................. 229,592
46,290 VF Corp...................... 1,388,700
--------------
TOTAL APPAREL (Cost
$8,026,371).................. 8,027,494
--------------
AUTO MANUFACTURERS -- 0.93%
458,260 Ford Motor Co................ 24,488,269
243,639 General Motors Corp Class
A.......................... 17,709,510
25,666 Navistar International
Corp+...................... 1,215,927
30,273 PACCAR Inc................... 1,341,472
--------------
TOTAL AUTO MANUFACTURERS
(Cost $31,543,211)........... 44,755,178
--------------
AUTO PARTS & EQUIPMENT -- 0.20%
29,617 Cooper Tire & Rubber Co...... 460,915
64,030 Dana Corp.................... 1,916,898
216,361 Delphi Automotive Systems
Corp....................... 3,407,686
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
AUTO PARTS & EQUIPMENT (CONTINUED)
60,125 Goodyear Tire & Rubber Co.... $ 1,694,773
46,477 TRW Inc...................... 2,413,899
--------------
TOTAL AUTO PARTS & EQUIPMENT
(Cost $11,608,581)........... 9,894,171
--------------
BANKS -- 4.96%
133,902 Amsouth Bancorp.............. 2,585,982
279,156 Bank of New York Co Inc...... 11,166,240
437,601 Bank One Corp................ 14,030,582
647,205 BankAmerica Corp............. 32,481,601
120,484 BB&T Corp.................... 3,298,250
313,185 Chase Manhattan Corp......... 24,330,560
59,938 Comerica Inc................. 2,798,355
109,658 Fifth Third Bancorp.......... 8,046,156
362,892 First Union Corp............. 11,907,394
374,181 Firstar Corp................. 7,904,574
349,568 FleetBoston Financial Corp... 12,169,336
63,654 Golden West Financial........ 2,132,409
88,677 Huntington Bancshares Inc.... 2,117,163
171,409 KeyCorp...................... 3,792,424
195,583 Mellon Financial Corp........ 6,662,046
66,489 Morgan (J P) & Co Inc........ 8,419,170
235,464 National City Corp........... 5,577,554
85,146 Northern Trust Corp.......... 4,512,738
34,400 Old Kent Financial Corp...... 1,216,900
114,295 PNC Bank Corp................ 5,086,127
85,833 Regions Financial Corp....... 2,156,554
40,184 Republic New York Corp....... 2,893,248
63,289 SouthTrust Corp.............. 2,393,115
61,542 State Street Boston Corp..... 4,496,412
66,056 Summit Bancorp............... 2,022,965
122,242 SunTrust Banks Inc........... 8,411,778
103,581 Synovus Financial Corp....... 2,058,672
278,309 U.S. Bancorp................. 6,627,233
53,845 Union Planters Corp.......... 2,123,512
77,040 Wachovia Corp................ 5,238,720
220,472 Washington Mutual Inc........ 5,732,272
623,474 Wells Fargo & Co............. 25,211,730
--------------
TOTAL BANKS (Cost
$226,819,971)................ 239,601,772
--------------
BEVERAGES -- 1.91%
177,324 Anheuser-Busch Inc........... 12,567,839
26,460 Brown-Forman Corp Class B.... 1,514,835
</TABLE>
The accompanying notes are an integral part of these financial statements.
159
<PAGE> 161
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BEVERAGES (CONTINUED)
934,391 Coca-Cola Co................. $ 54,428,276
162,898 Coca-Cola Enterprises Co..... 3,278,322
14,382 Coors (Adolph) Co Class B.... 755,055
17 Diageo PLC ADR (UK).......... 544
553,554 Pepsico Inc.................. 19,512,779
--------------
TOTAL BEVERAGES (Cost
$80,351,664)................. 92,057,650
--------------
BIOTECHNOLOGY -- 0.66%
386,562 Amgen Inc+................... 23,217,880
240,552 Monsanto Co.................. 8,569,739
--------------
TOTAL BIOTECHNOLOGY (Cost
$15,323,757)................. 31,787,619
--------------
BUILDING MATERIALS -- 0.13%
15,543 Armstrong World Industries
Inc........................ 518,748
156,883 Masco Corp................... 3,980,906
20,986 Owens Corning Fiberglas
Corp....................... 405,292
32,120 Vulcan Materials Co.......... 1,282,793
--------------
TOTAL BUILDING MATERIALS
(Cost $6,873,934)............ 6,187,739
--------------
CHEMICALS -- 1.20%
87,959 Air Products & Chemicals
Inc........................ 2,952,124
28,437 Ashland Inc.................. 936,644
83,558 Dow Chemical Co.............. 11,165,438
394,057 Du Pont (E I) de Nemours..... 25,958,505
30,282 Eastman Chemical Co.......... 1,444,073
48,653 Engelhard Corp............... 918,325
27,178 Grace (W R) Co+.............. 377,095
22,691 Great Lakes Chemical Corp.... 866,513
38,616 Hercules Inc................. 1,076,421
60,801 Praxair Inc.................. 3,059,050
81,296 Rohm & Haas Co............... 3,307,731
65,777 Sherwin Williams Co.......... 1,381,317
39,041 Sigma-Aldrich Corp........... 1,173,670
51,017 Union Carbide Corp........... 3,405,385
--------------
TOTAL CHEMICALS (Cost
$47,443,341)................. 58,022,291
--------------
COMMERCIAL SERVICES -- 0.49%
37,527 Block (H R) Inc.............. 1,641,806
274,479 Cendant Corp+................ 7,290,848
30,074 Deluxe Corp.................. 825,155
49,915 Donnelley (R R) & Sons Co.... 1,238,516
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
62,396 Dun & Bradstreet Corp........ $ 1,840,682
50,020 Ecolab Inc................... 1,957,033
55,846 Equifax Inc.................. 1,315,871
105,816 McKesson HBOC Inc............ 2,387,474
94,001 Paychex Inc.................. 3,760,040
25,800 Quintiles Transnational
Corp+...................... 482,137
101,954 Service Corp International... 707,306
--------------
TOTAL COMMERCIAL SERVICES
(Cost $28,439,975)........... 23,446,868
--------------
COMPUTERS -- 9.58%
133,118 3Com Corp+................... 6,256,546
31,300 Adaptec Inc+................. 1,561,087
60,296 Apple Computer Inc+.......... 6,199,183
62,807 Cabletron Systems Inc+....... 1,632,982
55,853 Ceridian Corp+............... 1,204,330
1,229,986 Cisco Systems Inc+........... 131,762,250
644,412 Compaq Computer Corp......... 17,439,400
61,031 Computer Sciences Corp+...... 5,775,058
961,746 Dell Computer Corp+.......... 49,049,046
179,898 Electronic Data Systems
Corp....................... 12,041,922
383,629 EMC Corp+.................... 41,911,468
119,048 Gateway Inc+................. 8,578,897
383,434 Hewlett-Packard Co........... 43,687,511
681,649 International Business
Machine Corp............... 73,618,092
44,975 Lexmark International Group
Class A+................... 4,070,237
53,250 Network Appliance Inc+....... 4,423,078
79,776 Seagate Technology Inc+...... 3,714,570
73,128 Silicon Graphics Inc+........ 717,569
585,786 Sun Microsystems Inc+........ 45,361,803
108,675 Unisys Corp+................. 3,470,808
--------------
TOTAL COMPUTERS (Cost
$176,115,888)................ 462,475,837
--------------
COSMETICS/PERSONAL CARE -- 2.16%
21,777 Alberto-Culver Co Class B.... 562,119
96,143 Avon Products Inc............ 3,172,719
221,134 Colgate-Palmolive Co......... 14,373,710
408,333 Gillette Co.................. 16,818,215
40,998 International Flavor &
Fragrances Inc............. 1,547,674
</TABLE>
The accompanying notes are an integral part of these financial statements.
160
<PAGE> 162
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
COSMETICS/PERSONAL CARE (CONTINUED)
202,091 Kimberly-Clark Corp.......... $ 13,186,438
497,231 Procter & Gamble Co.......... 54,477,871
--------------
TOTAL COSMETICS/PERSONAL CARE
(Cost $68,964,678)........... 104,138,746
--------------
DISTRIBUTION/WHOLESALE -- 0.19%
83,938 Costco Wholesale Corp+....... 7,659,342
69,138 Genuine Parts Co............. 1,715,489
--------------
TOTAL DISTRIBUTION/WHOLESALE
(Cost $5,792,322)............ 9,374,831
--------------
DIVERSIFIED FINANCIAL SERVICES -- 4.91%
169,847 American Express Corp........ 28,237,064
276,610 Associates First Capital
Corp....................... 7,589,487
47,199 Bear Stearns Co Inc.......... 2,017,757
75,490 Capital One Financial Corp... 3,637,674
1,275,154 Citigroup Inc................ 70,850,744
43,374 Countrywide Credit Industries
Inc........................ 1,095,193
263,711 Federal Home Loan Mortgage
Corporation................ 12,410,899
388,233 Federal National Mortgage
Association................ 24,240,298
96,631 Franklin Resources Inc....... 3,098,231
181,216 Household International
Inc........................ 6,750,296
45,325 Lehman Brothers Holdings..... 3,838,461
304,775 MBNA Corp.................... 8,305,119
140,237 Merrill Lynch & Co Inc....... 11,709,789
211,367 Morgan Stanley Dean Witter... 30,172,639
55,154 Paine Webber Group Inc....... 2,140,665
35,000 Price (T Rowe) &
Associates................. 1,292,812
54,109 Providian Financial Corp..... 4,927,301
310,318 Schwab (Charles) Corp........ 11,908,453
61,684 SLM Holding Corp............. 2,606,149
--------------
TOTAL DIVERSIFIED FINANCIAL
SERVICES (Cost
$143,235,527)................ 236,829,031
--------------
ELECTRIC -- 1.56%
73,105 AES Corp+.................... 5,464,599
52,966 Ameren Corp.................. 1,734,636
74,389 American Electric Power
Inc........................ 2,389,747
59,226 Carolina Power & Light Co.... 1,802,691
82,182 Central & South West Corp.... 1,643,640
61,411 Cinergy Corp................. 1,481,540
43,993 CMS Energy Corp.............. 1,372,032
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC (CONTINUED)
84,720 Consolidated Edison Inc...... $ 2,922,840
57,860 Constellation Energy Group... 1,677,940
73,506 Dominion Resources Inc....... 2,885,110
56,010 DTE Energy Co................ 1,757,314
138,806 Duke Energy Corp............. 6,957,651
132,874 Edison International......... 3,479,638
94,882 Entergy Corp................. 2,443,211
90,161 FirstEnergy Corp............. 2,045,528
37,858 Florida Progress Corp........ 1,601,867
68,706 FPL Group Inc................ 2,941,476
48,607 GPU Inc...................... 1,455,172
44,293 New Century Energies Inc..... 1,345,400
72,680 Niagra Mohawk Holdings
Inc+....................... 1,012,978
58,795 Northern States Power Co..... 1,146,502
71,748 PECO Energy Co............... 2,493,243
147,012 PG&E Corp.................... 3,013,746
23,500 Pinnacle West Capital Corp... 718,219
59,377 PP & L Resources Inc......... 1,358,249
84,063 Public Service Enterprise
Group...................... 2,926,443
112,934 Reliant Energy Inc........... 2,583,365
260,050 Southern Co.................. 6,111,175
105,661 Texas Utilities Co........... 3,757,569
83,448 Unicom Corp.................. 2,795,508
--------------
TOTAL ELECTRIC (Cost
$77,602,095)................. 75,319,029
--------------
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.25%
165,032 Emerson Electric Co.......... 9,468,711
50,600 Molex Inc.................... 2,868,387
--------------
TOTAL ELECTRICAL COMPONENTS &
EQUIPMENT (Cost
$10,607,048)................. 12,337,098
--------------
ELECTRONICS -- 0.66%
59,990 Analog Devices Inc+.......... 5,579,070
32,858 Johnson Controls Inc......... 1,868,799
17,225 Millipore Corp............... 665,316
41,831 Parker Hannifin Corp......... 2,146,453
38,586 PE Corp -- PE Biosystems
Group...................... 4,642,378
17,648 PerkinElmer Inc.............. 735,701
106,352 Solectron Corp+.............. 10,116,734
18,410 Tektronix Inc................ 715,689
56,740 Teradyne Inc+................ 3,744,840
</TABLE>
The accompanying notes are an integral part of these financial statements.
161
<PAGE> 163
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
61,303 Thermo Electron Corp+........ $ 919,545
21,793 Thomas & Betts Corp.......... 694,652
--------------
TOTAL ELECTRONICS (Cost
$20,085,745)................. 31,829,177
--------------
ENGINEERING & CONSTRUCTION -- 0.03%
29,408..... Fluor Corp................... 1,349,107
15,952 Foster Wheeler Corp.......... 141,574
--------------
TOTAL ENGINEERING &
CONSTRUCTION (Cost
$1,940,013).................. 1,490,681
--------------
ENTERTAINMENT -- 0.05%
48,115 Harrah's Entertainment
Inc+....................... 1,272,040
73,225 Mirage Resorts Inc+.......... 1,121,258
--------------
TOTAL ENTERTAINMENT (Cost
$2,764,549).................. 2,393,298
--------------
ENVIRONMENTAL CONTROL -- 0.09%
50,915 Allied Waste Industries
Inc+....................... 448,688
234,418 Waste Management Inc......... 4,029,059
--------------
TOTAL ENVIRONMENTAL CONTROL
(Cost $12,258,279)........... 4,477,747
--------------
FOOD -- 1.92%
160,326 Albertson's Inc.............. 5,170,514
236,583 Archer-Daniels-Midland Co.... 2,883,355
106,212 Bestfoods.................... 5,582,768
165,111 Campbell Soup Co............. 6,387,732
186,381 ConAgra Inc.................. 4,205,221
116,686 General Mills Inc............ 4,171,524
14,838 Great Atlantic & Pacific Tea
Co......................... 413,609
136,452 Heinz (H J) Co............... 5,432,495
53,535 Hershey Foods Corp........... 2,542,913
154,449 Kellogg Co................... 4,758,960
316,160 Kroger Co+................... 5,967,520
125,413 Nabisco Group Holdings
Corp....................... 1,332,513
51,208 Quaker Oats Co............... 3,360,525
123,746 Ralston-Purina Group......... 3,449,420
190,959 Safeway Inc+................. 6,790,979
343,377 Sara Lee Corp................ 7,575,755
46,279 Super Value Inc.............. 925,580
126,212 Sysco Corp................... 4,993,262
216,889 Unilever NV.................. 11,806,895
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD (CONTINUED)
57,358 Winn-Dixie Stores Inc........ $ 1,373,007
44,437 Wrigley (W M) Jr Co.......... 3,685,494
--------------
TOTAL FOOD (Cost
$95,478,258)................. 92,810,041
--------------
FOREST PRODUCTS & PAPER -- 0.65%
22,043 Boise Cascade Corp........... 892,742
36,981 Champion International
Corp....................... 2,290,511
85,028 Fort James Corp.............. 2,327,642
65,839 Georgia-Pacific Corp......... 3,341,329
157,147 International Paper Co....... 8,868,984
41,771 Louisiana-Pacific Corp....... 595,237
39,296 Mead Corp.................... 1,706,920
11,371 Potlatch Corp................ 507,431
21,587 Temple-Inland Inc............ 1,423,393
38,863 Westvaco Corp................ 1,267,905
83,345 Weyerhauser Co............... 5,985,213
42,972 Willamette Industries Inc.... 1,995,512
--------------
TOTAL FOREST PRODUCTS & PAPER
(Cost $24,681,546)........... 31,202,819
--------------
GAS -- 0.07%
8,432 Eastern Enterprises.......... 484,313
18,445 NICOR Inc.................... 599,463
12,234 ONEOK Inc.................... 307,379
13,909 Peoples Energy Corp.......... 465,952
92,729 Sempra Energy................ 1,611,166
--------------
TOTAL GAS (Cost
$3,873,551).................. 3,468,273
--------------
HAND/MACHINE TOOLS -- 0.11%
33,627 Black & Decker Corp.......... 1,757,011
36,123 Grainger (W W) Inc........... 1,727,131
14,859 Milacron Inc................. 228,457
23,453 Snap-On Inc.................. 622,970
34,452 Stanley Works................ 1,037,867
--------------
TOTAL HAND/MACHINE TOOLS
(Cost $4,908,947)............ 5,373,436
--------------
HEALTH CARE -- 2.24%
50,800 Allergan Inc................. 2,527,300
19,978 Bard (C R) Inc............... 1,058,834
21,821 Bausch & Lomb Inc............ 1,493,375
110,721 Baxter International Inc..... 6,954,663
96,061 Becton Dickinson & Co........ 2,569,632
43,468 Biomet Inc................... 1,738,720
152,221 Boston Scientific Corp+...... 3,329,834
</TABLE>
The accompanying notes are an integral part of these financial statements.
162
<PAGE> 164
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
214,786 Columbia/HCA Healthcare
Corp....................... $ 6,295,915
115,111 Guidant Corp+................ 5,410,217
160,259 Healthsouth Corp+............ 861,392
64,704 Humana Inc+.................. 529,764
520,147 Johnson & Johnson............ 48,438,689
27,624 Mallinckrodt Group Inc....... 878,789
42,886 Manor Care Inc+.............. 686,176
444,856 Medtronics Inc............... 16,209,441
32,653 St Jude Medical Inc+......... 1,002,039
119,123 Tenet Healthcare Corp+....... 2,799,391
66,303 United Healthcare Corp....... 3,522,347
25,355 Wellpoint Health Networks+... 1,671,845
--------------
TOTAL HEALTH CARE (Cost
$84,180,983)................. 107,978,363
--------------
HOLDING COMPANIES -- DIVERSIFIED -- 0.15%
164,437 Seagrams Co Ltd.............. 7,389,388
--------------
TOTAL HOLDING COMPANIES --
DIVERSIFIED (Cost
$6,502,452).................. 7,389,388
--------------
HOME BUILDERS -- 0.03%
23,215 Centex Corp.................. 573,120
13,708 Fleetwood Enterprises Inc.... 282,728
17,979 Kaufman & Broad Home Corp.... 434,867
17,087 Pulte Corp................... 384,458
--------------
TOTAL HOME BUILDERS (Cost
$1,648,851).................. 1,675,173
--------------
HOME FURNISHINGS -- 0.10%
56,700 Leggett & Platt Inc.......... 1,215,506
33,811 Maytag Corp.................. 1,622,928
29,131 Whirlpool Corp............... 1,895,336
--------------
TOTAL HOME FURNISHINGS (Cost
$4,062,818).................. 4,733,770
--------------
HOUSEHOLD PRODUCTS/WARES -- 0.30%
26,270 American Greetings Corp Class
A.......................... 620,629
43,633 Avery-Dennison Corp.......... 3,179,755
90,052 Clorox Co.................... 4,536,370
64,148 Fortune Brands Inc........... 2,120,893
13,796 Jostens Inc.................. 335,415
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD PRODUCTS/WARES (CONTINUED)
107,840 Newell Rubbermaid Inc........ $ 3,127,360
22,621 Tupperware Corp.............. 383,143
--------------
TOTAL HOUSEHOLD PRODUCTS/
WARES (Cost $12,785,042)..... 14,303,565
--------------
INSURANCE -- 2.91%
54,289 Aetna Inc.................... 3,030,005
101,382 AFLAC Corp................... 4,783,963
303,349 Allstate Corp................ 7,280,376
94,773 American General Corp........ 7,190,901
585,625 American International Group
Inc........................ 63,320,703
98,022 Aon Corp..................... 3,920,860
63,769 Chubb Corp................... 3,590,992
70,827 CIGNA Corp................... 5,706,000
63,644 Cincinnati Financial Corp.... 1,984,897
123,646 Conseco Inc.................. 2,210,172
86,412 Hartford Financial Services
Group...................... 4,093,769
40,464 Jefferson-Pilot Corp......... 2,761,668
76,197 Lincoln National Corp........ 3,047,880
41,313 Loews Corp................... 2,507,183
100,335 Marsh & McLennan Companies
Inc........................ 9,600,805
38,539 MBIA Inc..................... 2,035,341
41,931 MGIC Investment Corp......... 2,523,722
28,125 Progressive Corp Ohio........ 2,056,641
51,422 SAFECO Corp.................. 1,279,122
86,993 St Paul Cos.................. 2,930,577
51,586 Torchmark Corp............... 1,499,218
91,610 UNUMProvident Corp........... 2,937,246
--------------
TOTAL INSURANCE (Cost
$108,341,003)................ 140,292,041
--------------
IRON/STEEL -- 0.07%
50,451 Bethlehem Steel Corp+........ 422,527
33,724 Nucor Corp................... 1,848,497
34,183 USX-U.S. Steel Group......... 1,128,039
--------------
TOTAL IRON/STEEL (Cost
$3,375,440).................. 3,399,063
--------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
163
<PAGE> 165
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
LEISURE TIME -- 0.25%
35,682 Brunswick Corp............... $ 793,925
232,789 Carnival Corp Class A........ 11,130,224
--------------
TOTAL LEISURE TIME (Cost
$11,133,423)................. 11,924,149
--------------
LODGING -- 0.08%
100,112 Hilton Hotels Corp........... 963,578
95,283 Marriott International....... 3,007,370
--------------
TOTAL LODGING (Cost
$3,919,019).................. 3,970,948
--------------
MACHINERY -- 0.46%
9,122 Briggs & Stratton Corp....... 489,167
135,328 Caterpillar Inc.............. 6,368,874
15,900 Cummins Engine Co Inc........ 768,169
89,327 Deere & Co................... 3,874,559
79,663 Dover Corp................... 3,614,709
63,286 Ingersoll-Rand Co............ 3,484,685
23,106 McDermott International
Inc........................ 209,398
3,027 NACCO Industries Inc Class
A.......................... 168,188
73,145 Rockwell International
Corp....................... 3,501,817
--------------
TOTAL MACHINERY (Cost
$18,440,998)................. 22,479,566
--------------
MANUFACTURERS -- 5.74%
36,420 Cooper Industries Inc........ 1,472,734
92,903 Corning Inc.................. 11,978,681
26,543 Crane Co..................... 527,542
51,856 Danaher Corp................. 2,502,052
120,341 Eastman Kodak Co............. 7,972,591
27,696 Eaton Corp................... 2,011,422
12,392 FMC Corp+.................... 710,217
1,239,186 General Electric Co.......... 191,764,034
107,786 Illinois Tool Works Inc...... 7,282,292
34,073 ITT Industries Inc........... 1,139,316
152,721 Minnesota Mining &
Manufacturing Co........... 14,947,568
15,998 National Service Industries
Inc........................ 471,941
48,399 Pall Corp.................... 1,043,603
17,470 Polaroid Corp................ 328,654
66,344 PPG Industries Inc........... 4,150,647
57,334 Textron Inc.................. 4,396,801
633,078 Tyco International Ltd....... 24,610,907
--------------
TOTAL MANUFACTURERS (Cost
$143,990,320)................ 277,311,002
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA -- 3.40%
288,983 CBS Corp+.................... $ 18,476,851
127,745 Clear Channel Communications
Inc+....................... 11,401,241
284,258 Comcast Corp Class A......... 14,372,795
781,324 Disney (Walt) Co............. 22,853,727
34,936 Dow Jones & Co Inc........... 2,375,648
106,280 Gannett Co Inc............... 8,668,463
30,498 Knight-Ridder Inc............ 1,814,631
75,095 McGraw-Hill Inc.............. 4,627,729
229,855 MediaOne Group Inc+.......... 17,655,737
20,197 Meredith Corp................ 841,962
66,704 New York Times Co Class A.... 3,276,834
487,770 Time Warner Inc.............. 35,332,839
23,181 Times Mirror Co Class A...... 1,553,127
90,382 Tribune Co................... 4,976,659
264,159 Viacom Inc Class B+.......... 15,965,110
--------------
TOTAL MEDIA (Cost
$91,189,951)................. 164,193,353
--------------
METAL FABRICATE/HARDWARE -- 0.04%
37,270 Allegheny Technologies Inc... 836,246
24,501 Timken Co.................... 500,739
36,040 Worthington Industries Inc... 596,913
--------------
TOTAL METAL
FABRICATE/HARDWARE (Cost
$2,569,460).................. 1,933,898
--------------
METALS -- DIVERSIFIED -- 0.47%
86,465 Alcan Aluminum Ltd........... 3,561,277
139,199 Alcoa Inc.................... 11,553,517
63,424 Freeport McMoRan Inc+........ 1,339,832
70,437 Inco Ltd+.................... 1,655,270
22,901 Phelps Dodge Corp............ 1,537,230
120,056 Placer Dome Inc.............. 1,290,602
24,353 Reynolds Metals Co........... 1,866,049
--------------
TOTAL METALS -- DIVERSIFIED
(Cost $15,205,426)........... 22,803,777
--------------
MINING -- 0.10%
147,998 Barrick Gold Corp............ 2,617,715
92,085 Homestake Mining Co.......... 719,414
64,155 Newmont Mining Corp.......... 1,571,798
--------------
TOTAL MINING (Cost
$6,518,262).................. 4,908,927
--------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
164
<PAGE> 166
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OFFICE/BUSINESS EQUIPMENT -- 0.22%
102,053 Pitney Bowes Inc............. $ 4,930,436
252,366 Xerox Corp................... 5,725,554
--------------
TOTAL OFFICE/BUSINESS
EQUIPMENT (Cost
$13,290,457)................. 10,655,990
--------------
OIL & GAS PRODUCERS -- 4.87%
34,891 Amerada Hess Corp............ 1,980,064
46,745 Anadarko Petroleum Corp...... 1,595,173
41,497 Apache Corp.................. 1,532,795
122,330 Atlantic Richfield Corp...... 10,581,545
70,978 Burlington Resources Inc..... 2,346,710
248,501 Chevron Corp................. 21,526,399
81,860 Coastal Corp................. 2,900,914
238,785 Conoco Inc Class B........... 5,939,776
1,305,075 Exxon Mobil Corp............. 105,140,105
19,470 Helmerich & Payne Inc........ 424,689
32,874 Kerr-McGee Corp.............. 2,038,188
133,734 Occidental Petroleum Corp.... 2,891,998
96,587 Phillips Petroleum Co........ 4,539,589
32,475 Rowan Co Inc+................ 704,302
811,574 Royal Dutch Petroleum Corp... 49,049,504
35,137 Sunoco Inc................... 825,720
206,300 Texaco Inc................... 11,204,669
43,600 Tosco Corp................... 1,185,375
40,219 Transocean Sedco Forex Inc... 1,354,873
97,483 Union Pacific Resources
Group...................... 1,242,908
92,813 Unocal Corp.................. 3,115,036
118,377 USX -- Marathon Group........ 2,922,432
--------------
TOTAL OIL & GAS PRODUCERS
(Cost $170,481,951).......... 235,042,764
--------------
OIL & GAS SERVICES -- 0.44%
126,058 Baker Hughes Inc............. 2,655,097
167,918 Halliburton Co............... 6,758,700
207,742 Schlumberger Ltd............. 11,685,488
--------------
TOTAL OIL & GAS SERVICES
(Cost $18,232,858)........... 21,099,285
--------------
PACKAGING & CONTAINERS -- 0.13%
11,780 Ball Corp.................... 463,838
20,358 Bemis Co..................... 709,985
47,391 Crown Cork & Seal Co......... 1,060,374
60,369 Owens Illinois Inc+.......... 1,512,998
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PACKAGING & CONTAINERS (CONTINUED)
65,875 Pactiv Corp+................. $ 699,922
32,207 Sealed Air Corp+............. 1,668,725
--------------
TOTAL PACKAGING & CONTAINERS
(Cost $9,121,867)............ 6,115,842
--------------
PHARMACEUTICALS -- 5.99%
576,420 Abbott Laboratories.......... 20,931,251
37,839 ALZA Corp+................... 1,310,175
494,953 American Home Products Corp.. 19,519,709
750,938 Bristol-Myers Squibb Co...... 48,200,833
103,852 Cardinal Health Inc.......... 4,971,915
413,744 Lilly (Eli) & Co............. 27,513,976
884,208 Merck & Co Inc............... 59,297,199
1,465,296 Pfizer Inc................... 47,530,539
192,356 Pharmacia & Upjohn Inc....... 8,656,020
556,114 Schering-Plough Corp......... 23,461,059
323,703 Warner Lambert Co............ 26,523,415
35,421 Watson Pharmaceutical Inc+... 1,268,515
--------------
TOTAL PHARMACEUTICALS (Cost
$213,451,375)................ 289,184,606
--------------
PIPELINES -- 0.51%
32,122 Columbia Energy Group........ 2,031,717
36,891 Consolidated Natural Gas
Co......................... 2,395,609
77,357 El Paso Energy Corp.......... 3,002,419
271,020 Enron Corp................... 12,026,513
165,460 Williams Co Inc.............. 5,056,871
--------------
TOTAL PIPELINES (Cost
$17,444,082)................. 24,513,129
--------------
RETAIL -- 6.40%
57,606 AutoZone Inc+................ 1,861,381
41,600 Bed Bath & Beyond Inc+....... 1,445,600
77,898 Best Buy Co Inc+............. 3,909,506
77,063 Circuit City Stores Inc...... 3,472,651
42,302 Consolidated Stores Corp+.... 687,408
149,244 CVS Corp..................... 5,960,432
51,880 Darden Restaurants Inc....... 940,325
167,774 Dayton-Hudson Corp........... 12,320,903
41,422 Dillards Inc Class A......... 836,207
85,424 Dollar General Corp.......... 1,943,396
79,767 Federated Department Stores
Inc+....................... 4,033,219
325,148 Gap Inc...................... 14,956,808
27,581 Harcourt General Inc......... 1,110,135
</TABLE>
The accompanying notes are an integral part of these financial statements.
165
<PAGE> 167
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
862,041 Home Depot Inc............... $ 59,103,686
53,983 IKON Office Solutions Inc.... 367,759
190,809 Kmart Corp+.................. 1,920,016
62,134 Kohls Corp+.................. 4,485,298
81,938 Limited Inc.................. 3,548,940
15,054 Longs Drug Stores Corp....... 388,581
142,840 Lowe's Co Inc................ 8,534,690
127,673 May Department Stores Co..... 4,117,454
513,168 McDonald's Corp.............. 20,687,085
54,615 Nordstrom Inc................ 1,430,230
138,149 Office Depot Inc+............ 1,511,005
101,249 Penney (J C) Co Inc.......... 2,018,652
20,775 Pep Boys (The) -- Manny Moe &
Jack....................... 189,572
100,031 Rite Aid Corp................ 1,119,097
145,124 Sears Roebuck & Co........... 4,417,212
177,729 Staples Inc+................. 3,687,877
73,625 Tandy Corp................... 3,621,430
122,203 TJX Companies Inc............ 2,497,524
96,075 Toys R Us Inc+............... 1,375,073
59,032 Tricon Global Restaurants+... 2,280,111
1,681,610 Wal-Mart Stores Inc.......... 116,241,291
380,778 Walgreen Co.................. 11,137,757
47,843 Wendy's International Inc.... 986,762
--------------
TOTAL RETAIL (Cost
$172,421,820)................ 309,145,073
--------------
SEMICONDUCTORS -- 3.62%
55,827 Advanced Micro Devices
Inc+....................... 1,615,494
142,318 Applied Materials Inc+....... 18,029,912
1,255,365 Intel Corp................... 103,332,232
33,748 KLA Instruments Corp+........ 3,758,684
55,154 LSI Logic Corp+.............. 3,722,895
95,676 Micron Technology Inc+....... 7,438,779
64,381 National Semiconductor+...... 2,756,312
298,263 Texas Instruments Inc........ 28,894,228
111,400 Xilinx Inc+.................. 5,065,224
--------------
TOTAL SEMICONDUCTORS (Cost
$75,366,825)................. 174,613,760
--------------
SOFTWARE -- 9.57%
46,726 Adobe Systems Inc............ 3,142,324
838,542 America Online Inc+.......... 63,257,512
20,332 Autodesk Inc................. 686,205
234,757 Automatic Data Processing.... 12,647,533
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
90,534 BMC Software Inc+............ $ 7,237,062
30,070 Citrix Systems Inc+.......... 3,698,610
203,896 Computer Associates
International Inc.......... 14,259,977
136,195 Compuware Corp+.............. 5,073,264
161,323 First Data Corp.............. 7,955,240
119,883 IMS Health Inc............... 3,259,319
1,943,474 Microsoft Corp+.............. 226,900,590
128,514 Novell Inc+.................. 5,132,528
538,861 Oracle Corp+................. 60,386,111
103,203 Parametric Technology
Corp+...................... 2,792,931
90,560 PeopleSoft Inc+.............. 1,930,060
10,340 Shared Medical System Corp... 526,694
99,540 Yahoo! Inc+.................. 43,069,714
--------------
TOTAL SOFTWARE (Cost
$206,608,210)................ 461,955,674
--------------
TELECOMMUNICATION EQUIPMENT -- 4.97%
49,901 ADC Telecommunications+...... 3,620,941
32,217 Andrew Corp+................. 610,109
23,500 Comverse Technology Inc+..... 3,401,625
65,466 General Instrument Corp+..... 5,564,610
1,176,833 Lucent Technologies Inc...... 88,041,819
229,918 Motorola Inc................. 33,855,426
502,367 Nortel Networks Corp......... 50,739,067
245,196 QUALCOMM Inc+................ 43,185,146
28,973 Scientific-Atlanta Inc....... 1,611,623
148,663 Tellabs Inc+................. 9,542,306
--------------
TOTAL TELECOMMUNICATION
EQUIPMENT (Cost
$85,508,910)................. 240,172,672
--------------
TELECOMMUNICATIONS -- 0.93%
283,449 Global Crossing Ltd+......... 14,172,450
133,682 NEXTEL Communications Class
A+......................... 13,785,956
164,107 Sprint Corp (PCS Group)+..... 16,820,957
--------------
TOTAL TELECOMMUNICATIONS
(Cost $15,127,390)........... 44,779,363
--------------
TELEPHONE -- 6.71%
114,284 Alltel Corp.................. 9,449,858
1,208,638 AT&T Corp.................... 61,338,379
587,785 Bell Atlantic Corp........... 36,185,514
713,419 BellSouth Corp............... 33,396,927
52,469 CenturyTel Inc............... 2,485,719
</TABLE>
The accompanying notes are an integral part of these financial statements.
166
<PAGE> 168
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX
MASTER PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
368,665 GTE Corp..................... $ 26,013,924
1,063,259 MCI WorldCom Inc+............ 56,419,154
1,290,288 SBC Communications Inc....... 62,901,540
328,630 Sprint Corp.................. 22,120,907
191,430 U.S. West Inc................ 13,782,960
--------------
TOTAL TELEPHONE (Cost
$209,737,582)................ 324,094,882
--------------
TEXTILES -- 0.01%
7,142 Springs Industries Inc Class
A.......................... 285,234
--------------
TOBACCO -- 0.47%
899,120 Philip Morris Co Inc......... 20,848,345
67,406 UST Inc...................... 1,697,789
--------------
TOTAL TOBACCO (Cost
$33,540,360)................. 22,546,134
--------------
TOYS/GAMES/HOBBIES -- 0.07%
75,412 Hasbro Inc................... 1,437,541
159,572 Mattel Inc................... 2,094,383
--------------
TOTAL TOYS/GAMES/HOBBIES
(Cost $5,755,424)............ 3,531,924
--------------
TRANSPORTATION -- 0.45%
177,184 Burlington Northern Santa Fe
Corp....................... 4,296,712
83,427 CSX Corp..................... 2,617,522
113,457 FDX Corp+.................... 4,644,646
41,791 Kansas City Southern
Industries Inc............. 3,118,653
145,750 Norfolk Southern Corp........ 2,987,875
94,580 Union Pacific Corp........... 4,126,053
--------------
TOTAL TRANSPORTATION (Cost
$23,262,453)................. 21,791,461
--------------
TRUCKING & LEASING -- 0.01%
26,060 Ryder System Inc............. 636,841
--------------
TOTAL COMMON STOCKS (Cost
$2,955,509,045).............. 4,647,088,660
--------------
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM INSTRUMENTS -- 4.67%
CASH EQUIVALENTS -- 1.02%
$44,072,532 Goldman Sachs Financial
Square Prime Obligation
Fund, 5.40%,
01/03/2000++............... 44,072,532
5,100,000 Investors Bank & Trust
Depositary Receipt, 5.53%,
01/03/2000++............... 5,100,000
--------------
49,172,532
--------------
REPURCHASE AGREEMENTS -- 3.33%
160,459,092 Morgan Stanley Tri-party
Repurchase Agreement dated
12/31/99, due 01/03/00 with
a maturity value of
$160,491,184 and an
effective yield of 2.40%,
collateralized by U.S.
Treasury Notes with a rate
of 6.25%, a maturity of
04/30/01 and market value
of $163,671,231............ 160,459,092
--------------
U.S. TREASURY BILLS -- 0.32%
15,750,000 U.S. Treasury Bills, 5.04%,
03/23/2000*+++............. 15,572,534
--------------
TOTAL SHORT TERM INSTRUMENTS
(Cost $225,192,218) 225,204,158
--------------
Total Investments -- 100.93%
(Cost $3,180,701,263) (Notes
1 and 3)**................... 4,872,292,818
Other Assets and Liabilities,
Net -- (0.93)%............... (44,767,792)
--------------
NET ASSETS -- 100.00%........ $4,827,525,026
==============
</TABLE>
<TABLE>
<S> <C>
Cost for federal income tax purposes is $3,183,525,561
and net unrealized appreciation consists of:
Gross Unrealized Appreciation........ $1,830,907,457
Gross Unrealized Depreciation........ (142,140,200)
--------------
Net Unrealized Appreciation.......... $1,688,767,257
==============
</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.
167
<PAGE> 169
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
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 (the "Master Portfolios"), the Asset Allocation, Bond Index,
LifePath Income (formerly Lifepath 2000, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, Money Market, S&P 500 Index, Extended Index, International
Index and U.S. Equity Index Master Portfolios. These financial statements relate
to the S&P 500 Index Master Portfolio.
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies 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.
The Board of Trustees of MIP approved a change in fiscal year-end from
February 28 to December 31 for the S&P 500 Index Master Portfolio on February
10, 1999. Accordingly, the financial statements are presented for the ten-month
period ended December 31, 1999.
SECURITY VALUATION
The equity securities of each Master Portfolio are valued at the last
reported sale 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 not amortized.
FEDERAL INCOME TAXES
The Master Portfolio intends to qualify as a partnership for federal income
tax purposes. The Master Portfolio therefore believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, each investor in a Master Portfolio will be taxed on its
allocable share of the partnership's income and capital gains for the purposes
of determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Internal Revenue
Code of 1986, as amended (the "Code").
168
<PAGE> 170
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
It is intended that the Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in
the Master Portfolio will be able to satisfy the requirements of Subchapter M of
the Code, assuming that the regulated investment company invested all of its
assets in the Master Portfolio.
FUTURES CONTRACTS
The S&P 500 Index 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 S&P 500 Index 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
obligations 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
December 31, 1999, the S&P 500 Index Master Portfolio had the following open
long futures contracts outstanding.
S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION NOTIONAL NET UNREALIZED
CONTRACTS TYPE DATE CONTRACT VALUE APPRECIATION
- --------- ---- ---------- -------------- --------------
<C> <S> <C> <C> <C>
484 S & P 500 Index............................... 3/17/00 $179,588,200 $9,872,575
</TABLE>
The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury
Bills for initial margin requirements with a par value of $15,750,000.
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 Portfolio of Investments. The adviser 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 102% of market value. The
repurchase agreements entered into on December 31, 1999, by the Master Portfolio
are collateralized by U.S. Government Securities.
169
<PAGE> 171
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 S&P 500
Index 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 Portfolios.
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
December 31, 1999, 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
each Master Portfolio for the ten months ended December 31, 1999, were as
follows:
<TABLE>
<CAPTION>
S&P 500 INDEX
MASTER PORTFOLIO
----------------
AGGREGATE PURCHASES PERIOD ENDED YEAR ENDED
AND SALES OF: DEC. 31, 1999* FEB. 28, 1999
------------------- -------------- ----------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost........................................... $ 0 $ 0
Sales proceeds.............................................. 0 0
OTHER SECURITIES:
Purchases at cost........................................... $751,324,556 $1,187,951,471
Sales proceeds.............................................. 269,734,128 275,613,257
</TABLE>
- ---------------
* For the ten months ended December 31, 1999. The Master Portfolio changed its
fiscal year end from February 28 to December 31.
4. PORTFOLIO SECURITIES LOANED
As of December 31, 1999, the S&P 500 Index Master Portfolio had loaned
securities which were collateralized by cash. The Master Portfolio receives
transaction fees for providing services in connection with the securities
lending program. The risk to the Portfolio 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 and the value of the
related collateral were as follows:
<TABLE>
<CAPTION>
SECURITIES COLLATERAL
---------- ----------
<S> <C> <C>
S&P 500 Index Master Portfolio.............................. $47,645,223 $49,172,532
</TABLE>
170
<PAGE> 172
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. FINANCIAL HIGHLIGHTS
The ratios of expenses and net investment income to average net assets and
portfolio turnover rates, excluding short-term securities, for the Master
Portfolio are as follows:
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, FEBRUARY 28, FEBRUARY 29,
1999* 1999 1998
------------ ------------ ------------
<S> <C> <C> <C>
S&P 500 Index Master Portfolio
Ratio of expenses to average net assets+................ 0.05% 0.05% 0.05%
Ratio of net investment income to average net assets+... 1.44% 1.61% 1.89%
Portfolio turnover...................................... 7% 11% 6%
</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 period of less that one year.
171
<PAGE> 173
INDEPENDENT AUDITORS' REPORT
To the Interestholders and Board of Trustees
Master Investment Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of the S&P 500 Index Master Portfolio
(one portfolio of Master Investment Portfolio) as of December 31, 1999, and the
related statements of operations for the ten-month period then ended and for the
year-ended February 28, 1999, and the statements of changes in net assets for
the ten-month period then ended and for each of the years in the two-year period
ended February 28, 1999. These financial statements are the responsibility of
the Trust's management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999 by correspondence with
the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the S&P 500 Index Master
Portfolio as of December 31, 1999, the results of its operations and the changes
in its net assets for the periods indicated above in conformity with generally
accepted accounting principles.
[KPMG Signature]
San Francisco, California
February 11, 2000
172
<PAGE> 174
-------------------
DISTRIBUTOR: | BULK RATE |
Diversified Investors Securities Corp. (DISC) | US POSTAGE |
4 Manhattanville Road, Purchase, New York 10577 | PAID |
914-697-8000 www.divinvest.com | NEW YORK, NY |
| PERMIT NO 8048 |
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