<PAGE> 1
DIVERSIFIED INVESTORS
PORTFOLIOS
Semi-Annual Report
June 30,1999
INTERNATIONAL EQUITY PORTFOLIO
HIGH YIELD BOND PORTFOLIO
AGGRESSIVE EQUITY PORTFOLIO
SPECIAL EQUITY PORTFOLIO
EQUITY GROWTH PORTFOLIO
GROWTH AND INCOME PORTFOLIO
EQUITY VALUE PORTFOLIO
EQUITY INCOME PORTFOLIO
BALANCED PORTFOLIO
GOVERNMENT/CORPORATE BOND PORTFOLIO
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
HIGH QUALITY BOND PORTFOLIO
MONEY MARKET PORTFOLIO
[LOGO]
DIVERSIFIED
INVESTMENT
ADVISERS
<PAGE> 2
DIVERSIFIED INVESTORS PORTFOLIOS
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
Economic and Market Review.................................. 2
Statements of Assets and Liabilities........................ 8
Statements of Operations.................................... 10
Statements of Changes in Net Assets......................... 12
Statements of Changes in Net Assets -- December 31, 1998.... 14
PORTFOLIO OF INVESTMENTS
Money Market Portfolio --................................... 16
High Quality Bond Portfolio --.............................. 18
Intermediate Government Bond Portfolio --................... 21
Government/Corporate Bond Portfolio --...................... 23
Balanced Portfolio --....................................... 26
Equity Income Portfolio --.................................. 35
Equity Value Portfolio --................................... 38
Growth & Income Portfolio --................................ 41
Equity Growth Portfolio --.................................. 44
Special Equity Portfolio --................................. 47
Aggressive Equity Portfolio --.............................. 54
High Yield Bond Portfolio --................................ 56
International Equity Portfolio --........................... 59
Notes to Financial Statements............................... 64
</TABLE>
<PAGE> 3
SECOND QUARTER 1999
ECONOMIC OVERVIEW
During the second quarter, the Federal Reserve Board raised interest rates,
bond prices continued to fall, and stocks produced another strong showing.
The U.S. economy continued to show signs of acceleration, with leading
economic indicators signaling economic vigor. Strong domestic demand, less
deflation in prices and improving conditions abroad are stimulating a rebound in
U.S. production. Spending on consumer durables grew at a robust rate, as did
orders for capital goods. The latter underscores business expectations, which
remain strong. The Year 2000 scenario could create some quarterly volatility,
but the impact should be modest given the ongoing strength in production,
consumer confidence and a rising backlog in unfilled orders.
Inflation, as measured by the Consumer Price and Producer Price Indices,
remains relatively benign by rising only 2.0% and 1.5%, respectively, over the
past 12 months. The indices, however, have started to show an upward trend,
which has sparked renewed inflation concerns.
FINANCIAL MARKETS
The stock market, as measured by the S&P 500 Index, returned 6.9% for the
quarter. Equity style performance changed dramatically from the prior quarters.
After lagging for 18 months, large cap value rebounded strongly and outperformed
its growth counterpart. The Russell 1000 Value Index returned 11.3% versus 3.9%
for the Russell 1000 Growth Index. The value style was led primarily by the
economically sensitive areas such as energy, basic materials and industrial
sectors.
Small capitalization stocks, which have lagged large cap stocks for the
past few years, returned 15.6% for the quarter (as measured by the Russell 2000
Equity Index). The primary catalyst for the strong rebound was due to very
favorable fundamentals.
Also, unlike the prior quarters, the breadth of the market improved for the
second quarter. Advancing issues outnumbered declining issues by a 3-to-1 ratio
on the NYSE and by nearly a 2-to-1 margin on the NASDAQ. Those statistics
reflected a far stronger performance for the general market than was the case
earlier in the year.
Non-U.S. equity markets continued their advance in the second quarter. The
strongest gains came from Singapore and Hong Kong with returns of 45.5% and
23.3%, respectively. Both markets benefited from falling interest rates and
growing confidence that the worst of the Asian financial crisis is over. Japan
also had a strong quarter, with the Nikkei briefly passing 18,000. Europe was
slightly negative in U.S. dollar terms. The Euro continued its slide,
approaching parity with the dollar.
Bond prices fell during the quarter, as the Lehman Brothers
Government/Corporate Index posted a loss of 1.1%. Strong domestic growth and
anticipation of a rate increase by the Federal Reserve Board created a bearish
bias in the bond market. With domestic growth brisk and improvement in many
foreign economies, the Federal Reserve Board raised the Federal Funds rate by 25
basis points to 5% at quarter-end. Treasury yields rose 55 basis points (2 to
10-year maturities), and approximately 35 basis points for the 30 year bond.
Corporate spreads widened over fear of heavy supply in the third quarter
and a lack of investor demand, particularly in light of rising interest rates
and an unwillingness by the dealer community to hold inventory. Though credit
fundamentals continue to improve in the asset-backed sector, spreads widened in
anticipation of heavy new issuance in the third quarter and in sympathy with
wider spreads in the corporate sector. While heavy supply could have a negative
influence on spreads in the asset backed and corporate sectors in the near term,
strong credit fundamentals may cause spreads to tighten over the long term.
OUTLOOK
There does not appear to be any roadblocks that would trigger significant
slowing. In order to have a broad based economic slowdown, we would likely need
higher interest rates or a significant correction in stocks.
2
<PAGE> 4
We believe that economic growth will subside from 4% to approximately 3.5%,
as unemployment remains relatively low. International economies may provide an
additional source of strength as Asian financial markets continue their
recovery.
As the job market continues to tighten and prices on basic materials
continue to rise in response to global demand, we may see continued upward
pressure on interest rates. We believe consumer prices will be in the 2.1% range
for 1999, up from last year's 1.5% rate. Economic reports will be closely
monitored given the present nervousness and heightened sensitivity to interest
rates. We believe that the 30-year Treasury will trade within a range of 5.25%
to 6.30%.
Corporate earnings will be closely monitored in the third quarter given the
economy's strong growth. We believe that the stock market will continue its
rally on the heels of strong earnings announcements, particularly the
economically sensitive securities. Additional interest rate hikes by the Fed
will depend on the result of inflation and labor market statistics.
MONEY MARKET PORTFOLIO
During the past three months, U.S. financial markets have seemingly
regained a measure of stability clearly lacking in the second half of 1998. The
U.S. Treasury market spent much of the quarter in retreat as the long bond's
yield moved above 6% for the first time since May 1998. Yields on money market
securities generally increased about 0.25% during the past few months. The Fed
felt compelled to increase interest rates based on the continued buoyant
performance of the U.S. economy, despite the relative absence of inflationary
signs.
Going forward, the average maturity of the portfolio will be adjusted
selectively to capitalize on opportunities where the portfolio will be rewarded
for duration extension. To take advantage of such perceived market
opportunities, the average maturity of the portfolio was reduced from 65.6 days
at 3/31/99 to approximately 59.9 days at 6/30/99.
HIGH QUALITY BOND
Treasury prices declined during the quarter as strong domestic growth and
anticipation of a rate increase by the Fed created a bearish bias in the
Treasury market. Corporate spreads widened over fear of heavy supply in the
third quarter and lack of investor demand in light of rising interest rates.
Spreads widened in the asset backed sector in anticipation of heavy new issuance
and in sympathy with wide corporate spreads.
The Portfolio was active during the quarter with transactions in the
domestic corporate and yankee sectors. Positions in the asset backed sector were
increased with the additions of Railcar, First Sierra Equipment and John Deere
notes. CIT Group Holdings was sold and a note issued by IBM International
Finance was purchased.
While heavy supply could have a negative influence on spreads in the asset
backed and corporate sectors in the near term, strong credit fundamentals may
cause spreads to tighten over the longer term.
INTERMEDIATE GOVERNMENT BOND
U.S. Treasury prices fell steadily in the second quarter, continuing an
eight-month bear market for bonds. The price drop is attributable to surging
domestic growth, global economic recovery, and a firming in key commodity
prices, which led market participants to expect a monetary tightening by the
Federal Reserve. Treasury yields moved up by 35-55 basis points. The yield curve
remained flat by historical standards, with relatively little incremental return
for extending out in maturity. Of further note was the continued relative poor
performance of U.S. Government Agency securities.
The economy continues to move forward with strong momentum, but most
measures of inflation remain subdued. We believe the remainder of the year will
see a modest economic slowdown with the possibility of another Fed tightening.
The Portfolio currently maintains a neutral duration posture, with a strategy of
adding exposure on weakness.
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<PAGE> 5
GOVERNMENT/CORPORATE BOND
Interest rates continued their upward climb in the second quarter as the
threat of last year's financial crunch receded. The U.S. economy continued its
seemingly permanent expansion while the Federal Reserve raised short-term rates
by 25 basis points on the last day of the quarter. The broader bond market had
anticipated the move well in advance. Sharply higher oil prices and a potential
shortage of U.S. workers spawned inflation concerns, leading the market to worry
that additional Fed tightenings would follow.
Corporate bonds underperformed, despite the strong economy. Spreads on
corporate bonds drifted higher by 25-35 basis points, possibly due to pressures
of increased supply or perhaps lingering concern about the effects of Y2K on the
economy.
The portfolio began the period positioned defensively. Treasuries were
added throughout the quarter at lower prices. We envision the economy cooling
down somewhat in the second half and believe rates now stand near the upper end
of their range, providing attractive levels for investors.
HIGH YIELD BOND
Second quarter performance was negatively impacted by two factors -- higher
credit quality of the portfolio relative to the market, as well as the
underperformance of certain individual issues. Index returns were inversely
correlated with credit quality, with BB's providing slightly negative returns
(-0.3%), B's remaining flat (0.00%), and CCC's providing positive returns
(+5.79%). Several individual account holdings - Jitney Jungle Supermarkets,
Dyersburg, and Axiohm - experienced significant and unexpected price pressure
during the quarter. Transaction activity was moderate reflecting the sale of
credit risk and appreciated securities and the purchase of higher quality B and
BB-rated issues. Positions were established in Lyondell Chemical and American
Standard. Rogers Cantel and Duane Reade were sold.
Technical conditions in the high yield market have proven to be difficult
this year. We are maintaining our overweighting in single B's, which have
historically outperformed in periods of sustained economic growth.
BALANCED
The Fed tightened on the last day of June on concerns of accelerated
economic growth. Market breadth widened as value themes and small cap ideas
regained respectability with investors. The previously out-of-favor cyclicals,
such as machinery and commodity chemicals were among the best performing
industry groups. The equity portion of the Portfolio outperformed its benchmark
primarily due to an overweight in the industrial cyclical sector. The issue
under debate is whether the global growth will continue to dominate investor
sentiment and policymakers' concerns.
Spreads on mortgage-backed securities, corporate bonds, and emerging market
debt have widened in response to the perceived inevitability of the Fed interest
rate hike. The Portfolio did not benefit from strategies involving high yield
corporates and emerging market debt sectors. Going forward, we believe that the
market's reaction to the recent Fed hike in rates may prove to be an
overreaction over the intermediate and long term. The Portfolio's non-Treasury
holdings offer attractive value and should contribute significant yield going
forward.
EQUITY INCOME
The global economic recovery continued gaining momentum in the second
quarter. A major contributor has been accommodative monetary policies by central
banks, which lowered interest rates late in the quarter. The U.S. also continued
its locomotive growth as Southeast Asia and Latin America are just beginning to
recover.
As the financial crisis hit world markets last year, investors moved into
the largest and safest companies. Now as world financial markets stabilized, the
market has broadened out. Increased interest in value and economy sensitive
stocks took center stage due to an improving earnings outlook. Cyclical stocks,
which suffered the most from the crisis, should benefit from this recovery.
4
<PAGE> 6
The Portfolio maintains a substantial portion invested in cyclicals, mainly
basic materials, capital goods and energy, all of which contributed to strong
second quarter results.
EQUITY VALUE
The equity markets gained a renewed enthusiasm for value issues as investor
sentiment shifted away from popular large cap growth stocks to broader sectors
of the market as a result of a rebound in economic growth in the U.S., Europe
and emerging markets. The Portfolio benefited from this increased global
activity due to our overweighting in economically sensitive sectors such as
basic industry, capital goods, and consumer cyclicals.
Capital goods, consumer cyclicals and energy sectors all contributed
positively to performance driven by AlliedSignal (+28%) and Emerson (+18%).
Conoco was increased and new positions in Marathon and Tosco were established.
Slightly dampening performance were holdings in Texas Utilities, Lockheed Martin
and Crown, Cork & Seal. These issues remain value players.
Broader market participation across a wide variety of industries may
indicate that investors are beginning to look hard at valuations and
fundamentals. We firmly believe that an important rotation has begun in the
market which should reward reasonably valued companies with attractive
fundamentals.
GROWTH & INCOME
The acceleration of economic growth both in the U.S. and abroad became
apparent during the second quarter, leading to a dramatic shift in investor
sentiment and a rapid, widespread market rotation. Investors sold large-cap
growth stocks, which had dominated the market since mid 1994, to buy
economically sensitive, cyclical stocks, which offered more predictable
earnings. The shift of investor sentiment from growth companies to more
value-oriented, economically sensitive stocks that exhibit more cyclical profit
growth hindered overall performance. An underweight in value-oriented,
economically sensitive sectors of the market offset the portfolio's strong
showing in conglomerates, technology, and consumer staples.
The Portfolio continues to take advantage of current market conditions by
broadening its holdings while still maintaining its growth bias. We remain
focused on the strong earnings growth of companies in the consumer cyclical,
technology and consumer staples sectors and are underweighting the less
attractive healthcare and energy sectors.
EQUITY GROWTH
The domestic stock market experienced another positive period during the
second quarter as market activity represented a broadening out into value stocks
and small capitalization stocks. Investor interest in these sectors increased as
improving economic conditions in Asia and Latin America led to expectations of
increased demand for energy and commodity products.
Weakness in the shares of global consumer growth companies and
pharmaceutical holdings offset continued strength in technology positions.
Coca-Cola, Gillette, and Proctor & Gamble were added to the portfolio as a
result of price weakness. Portfolio holdings Hewlett-Packard, Solectron, and
Tellabs improved their sales and order trends which translated into significant
price appreciation while technology holdings such as AOL detracted from
performance.
Looking forward, we expect a pick-up in earnings growth for the global
consumer companies in the second half of this year and solid earnings momentum
thereafter. Selected technology holdings should continue to perform well as
global industry conditions improve. We are cautiously optimistic about the
upcoming environment and will maintain some cash reserves in order to take
advantage of attractive opportunities as they arise.
SPECIAL EQUITY
The second quarter presented a welcome reprieve to the long-beleaguered
small company sector as interest broadened away from the limited number of large
cap growth stocks that had dominated performance over the past 2 years. Buyers
quickly switched their focus to mid and small cap stocks and more economically
sensitive issues.
5
<PAGE> 7
Performance was driven by strong relative sector earnings performance and
bolstered by healthy takeover activity. Particularly strong gainers were Alpha
Industries (+98%), Metris (+62%) and Applebee's (+46%). Purchase activity was
skewed toward new names TCA Cable TV and Price Communications. Selling focused
on companies not meeting fundamental expectations -- Pride Petroleum, RFS Hotel,
and Arch Communications.
We continue to see positive momentum for small cap stocks as their
valuations remain at a 20% discount to the S&P 500.
AGGRESSIVE EQUITY
The second quarter encountered a number of key developments in the market.
Most important was a broadening of market leadership with the small-cap market
finally showing strength. However, market volatility was exacerbated by the
vicious rotation to cyclical stocks from growth stocks. Concerns about higher
inflation, higher interest rates and an additional Fed rate hike kept investors
wary.
The Portfolio saw few major changes during the second quarter. Realty
Information Group was added and companies that have demonstrated above average
earnings growth such as Broadcom, Tellabs and Uniphase remain in the Portfolio.
The market's rotation from growth to cyclical caused some performance
degradation during the quarter but we feel confident that investors will
continue to pay a premium for companies that can consistently grow their
earnings. Earnings for the second quarter should be explosive, however, the key
will be the direction of the Fed's next move.
INTERNATIONAL EQUITY
Global equity markets continued their advance in the second quarter with
Singapore and Hong Kong leading the way. Both markets including Japan benefited
from the growing confidence that the worst of the Asian financial crisis is
over. Larger European markets experienced good returns, however, economic growth
remained sluggish.
Exceptional stock selection boosted returns in the second quarter with the
largest gains coming from Japanese holdings Advantest (+44%) and Tokyo Electron
(+31%) and German holdings Mannesmann (+18%) and Deutsche Bank (+25%). Stock
selection in Canada and an underweighting in the U.K. detracted from
performance. Our underweight in Europe and overweight in the Pacific also
contributed to our strong relative performance in the second quarter.
Investors have begun focusing more on fundamentals and less on safety and
liquidity. As a result, we have begun reducing our exposure to large cap growth
stocks in Europe. While economic growth remains uncertain in both Europe and
Japan, we believe these markets will benefit from the continuing strength of the
U.S. economy and the recovery in emerging markets.
6
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DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE EQUITY
MARKET QUALITY BOND BOND BOND BALANCED INCOME
------------ ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Securities, at cost......... $353,581,935 $218,791,282 $214,922,993 $684,168,777 $656,249,688 $1,078,940,014
============ ============ ============ ============ ============ ==============
Securities, at market....... $353,581,935 $216,567,999 $212,612,142 $675,312,671 $671,089,657 $1,599,099,738
Repurchase agreements,
at value................... 43,897 7,805,468 50,704 -- 5,034,884 --
Cash........................ 34,089 -- 383 -- -- 57,974
Foreign currency holdings,
at value (Cost $296,612)... -- -- -- -- -- --
Receivable for securities
sold....................... -- -- -- -- 10,793,837 5,615,802
Unrealized appreciation on
foreign currency forward
contracts.................. -- -- -- -- 188,317 --
Interest receivable......... 1,688,095 2,261,938 2,247,241 8,394,257 2,225,781 14,005
Dividends receivable........ -- -- -- -- 316,764 2,203,734
Receivable from securities
lending.................... -- 318 12,478 19,952 11,363 13,446
Reimbursement from
advisor.................... -- -- 2,000 -- 14,531 1,087
------------ ------------ ------------ ------------ ------------ --------------
Total assets....... 355,348,016 226,635,723 214,924,948 683,726,880 689,675,134 1,607,005,786
------------ ------------ ------------ ------------ ------------ --------------
LIABILITIES:
Due to custodian............ -- -- -- 2,329,527 -- --
Deposit for securities
loaned..................... -- -- 40,056,000 83,890,000 94,660,438 89,359,690
Payable for securities
purchased.................. -- 2,277,035 -- -- 80,007,254 --
Unrealized depreciation on
foreign currency forward
contracts.................. -- -- -- -- -- --
Payable to advisor.......... 8,581 12,209 -- 2,904 -- --
Accrued expenses:
Investment advisory fees... 82,377 70,851 57,078 190,425 205,198 611,653
Custody fees............... -- 1,654 -- 22,400 -- 93,265
Professional fees.......... 7,140 10,213 10,229 2,330 2,343 1,106
Reports to shareholders.... 2,234 1,830 1,004 3,433 1,299 9,551
Miscellaneous fees......... 1,167 3,560 3,427 6,197 1,350 15,926
------------ ------------ ------------ ------------ ------------ --------------
Total
liabilities...... 101,499 2,377,352 40,127,738 86,447,216 174,877,882 90,091,191
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS......... $355,246,517 $224,258,371 $174,797,210 $597,279,664 $514,797,252 $1,516,914,595
============ ============ ============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-in capital............. $355,246,517 $226,481,654 $177,108,061 $606,135,770 $499,957,283 $ 996,754,871
Net unrealized appreciation
(depreciation) on
securities............... -- (2,223,283) (2,310,851) (8,856,106) 14,839,969 520,159,724
Net unrealized appreciation
(depreciation) on
translation of assets and
liabilities in foreign
currencies............... -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS......... $355,246,517 $224,258,371 $174,797,210 $597,279,664 $514,797,252 $1,516,914,595
============ ============ ============ ============ ============ ==============
</TABLE>
See notes to financial statements.
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<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>
$436,013,517 $ 860,580,791 $710,606,105 $ 803,588,568 $110,431,977 $103,878,289 $348,237,691
============ ============== ============ ============== ============ ============ ============
$453,388,022 $1,098,544,408 $961,595,206 $ 997,984,829 $144,337,044 $ 99,067,312 $433,510,980
3,809,792 4,550,117 35,004,921 79,543,532 8,127,604 7,156,211 28,299,368
-- -- -- -- -- -- 15,332
-- -- -- -- -- -- 295,329
9,317,957 11,525,471 79,906 7,596,010 3,350,000 1,910,469 412,946
-- -- -- -- -- -- 612,550
4,086 11,746 12,344 24,739 3,071 2,402,638 12,472
918,479 368,602 471,529 522,764 32,279 -- 739,428
9,882 14,272 19,496 80,314 248 -- 27,957
148 -- -- -- 2,854 -- 6,191
------------ -------------- ------------ -------------- ------------ ------------ ------------
467,448,366 1,115,014,616 997,183,402 1,085,752,188 155,853,100 110,536,630 463,932,553
------------ -------------- ------------ -------------- ------------ ------------ ------------
-- -- -- -- -- -- --
23,803,300 73,367,847 54,216,228 100,464,700 13,825,260 -- 37,745,037
-- 10,338,195 155,859 5,784,121 788,188 1,900,000 781,009
-- -- -- -- -- -- 296,768
-- 7,850 12,329 28,586 -- 1,444 --
230,023 525,764 504,128 671,286 112,745 53,806 246,934
22,687 -- -- 3,114 14,901 -- --
1,114 757 2,107 -- 10,122 13,438 8,956
2,154 3,504 3,647 6,887 404 510 1,749
10,970 4,297 4,692 5,518 8,802 1,545 1,350
------------ -------------- ------------ -------------- ------------ ------------ ------------
24,070,248 84,248,214 54,898,990 106,964,212 14,760,422 1,970,743 39,081,803
------------ -------------- ------------ -------------- ------------ ------------ ------------
$443,378,118 $1,030,766,402 $942,284,412 $ 978,787,976 $141,092,678 $108,565,887 $424,850,750
============ ============== ============ ============== ============ ============ ============
$426,003,613 $ 792,802,785 $691,295,311 $ 784,391,715 $107,187,611 $113,376,864 $339,270,783
17,374,505 237,963,617 250,989,101 194,396,261 33,905,067 (4,810,977) 85,273,289
-- -- -- -- -- -- 306,678
------------ -------------- ------------ -------------- ------------ ------------ ------------
$443,378,118 $1,030,766,402 $942,284,412 $ 978,787,976 $141,092,678 $108,565,887 $424,850,750
============ ============== ============ ============== ============ ============ ============
</TABLE>
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DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE EQUITY
MARKET QUALITY BOND BOND BOND BALANCED INCOME
---------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................. $8,535,506 $ 7,037,476 $ 4,908,000 $ 18,719,193 $ 5,387,376 $ 737,659
Dividend income................. -- -- -- -- 2,415,091 15,668,953
Less: withholding taxes......... -- -- -- -- (19,412) (8,075)
---------- ----------- ----------- ------------ ------------ ------------
Total income............. 8,535,506 7,037,476 4,908,000 18,719,193 7,783,055 16,398,537
---------- ----------- ----------- ------------ ------------ ------------
EXPENSES:
Investment advisory fees........ 420,570 399,753 294,685 1,046,028 1,136,922 3,209,046
Custody fees.................... 31,542 26,216 18,544 47,480 51,708 113,534
Professional fees............... 11,638 12,101 11,652 12,562 12,734 14,193
Reports to shareholders......... 355 283 191 665 606 1,643
Miscellaneous fees.............. 1,417 1,295 1,232 1,650 1,468 1,914
---------- ----------- ----------- ------------ ------------ ------------
Total expenses........... 465,522 439,648 326,304 1,108,385 1,203,438 3,340,330
Expenses reimbursed by the
advisor......................... -- -- (491) -- (1,074) --
---------- ----------- ----------- ------------ ------------ ------------
Net expenses............. 465,522 439,648 325,813 1,108,385 1,202,364 3,340,330
---------- ----------- ----------- ------------ ------------ ------------
Net investment income (loss)...... 8,069,984 6,597,828 4,582,187 17,610,808 6,580,691 13,058,207
---------- ----------- ----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAINS
(LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES:
Net realized gains (losses) on
securities.................... (7,031) 342,660 306,979 (2,335,042) 36,909,225 36,472,486
Net realized gains (losses) on
foreign currency
transactions.................. -- -- -- -- 207,819 --
Net change in unrealized
appreciation (depreciation) on
securities.................... -- (4,075,626) (4,340,552) (21,916,661) (23,304,458) 126,997,626
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign
currencies.................... -- -- -- -- 178,661 --
---------- ----------- ----------- ------------ ------------ ------------
Net realized and unrealized gains
(losses) on securities and
foreign currencies.............. (7,031) (3,732,966) (4,033,573) (24,251,703) 13,991,247 163,470,112
---------- ----------- ----------- ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS...................... $8,062,953 $ 2,864,862 $ 548,614 $ (6,640,895) $ 20,571,938 $176,528,319
========== =========== =========== ============ ============ ============
</TABLE>
See notes to financial statements.
10
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<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>
$ 221,469 $ 610,358 $ 728,813 $ 2,168,151 $ 169,860 $ 4,782,663 $ 695,174
4,338,646 2,558,263 2,491,975 2,445,866 162,876 -- 3,722,935
-- -- (12,865) (15,515) -- -- (398,129)
----------- ----------- ----------- ----------- ----------- ----------- -----------
4,560,115 3,168,621 3,207,923 4,598,502 332,736 4,782,663 4,019,980
----------- ----------- ----------- ----------- ----------- ----------- -----------
1,193,792 2,719,390 2,574,583 3,584,688 514,153 284,938 1,384,342
54,383 60,458 49,168 117,987 22,405 21,267 161,124
12,137 12,548 12,947 13,817 11,398 11,444 14,254
492 849 761 1,037 86 122 381
1,416 1,612 1,494 1,434 1,149 1,202 1,443
----------- ----------- ----------- ----------- ----------- ----------- -----------
1,262,220 2,794,857 2,638,953 3,718,963 549,191 318,973 1,561,544
(5,804) (1,170) (33) -- (19,136) (8,132) (652)
----------- ----------- ----------- ----------- ----------- ----------- -----------
1,256,416 2,793,687 2,638,920 3,718,963 530,055 310,841 1,560,892
----------- ----------- ----------- ----------- ----------- ----------- -----------
3,303,699 374,934 569,003 879,539 (197,319) 4,471,822 2,459,088
----------- ----------- ----------- ----------- ----------- ----------- -----------
19,789,037 71,069,873 36,319,054 59,668,730 3,579,602 (3,909,874) 10,879,245
-- -- -- -- -- -- (767,044)
25,347,593 19,131,900 56,636,462 15,489,750 12,524,017 (573,024) 54,641,719
-- -- -- -- -- -- 1,621,008
----------- ----------- ----------- ----------- ----------- ----------- -----------
45,136,630 90,201,773 92,955,516 75,158,480 16,103,619 (4,482,898) 66,374,928
----------- ----------- ----------- ----------- ----------- ----------- -----------
$48,440,329 $90,576,707 $93,524,519 $76,038,019 $15,906,300 $ (11,076) $68,834,016
=========== =========== =========== =========== =========== =========== ===========
</TABLE>
11
<PAGE> 13
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1999
(UNAUDITED)
<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)............... $ 8,069,984 $ 6,597,828 $ 4,582,187 $ 17,610,808 $ 6,580,691
Net realized gains (losses) on
securities............................... (7,031) 342,659 306,979 (2,335,042) 36,909,225
Net realized gains (losses) on foreign
currency transactions.................... -- -- -- -- 207,819
Net change in unrealized appreciation
(depreciation) on securities............. -- (4,075,625) (4,340,552) (21,916,661) (23,304,458)
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities in foreign currencies.... -- -- -- -- 178,661
--------------- ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations................ 8,062,953 2,864,862 548,614 (6,640,895) 20,571,938
--------------- ------------ ------------ ------------ ------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital invested............. 1,104,518,936 49,572,175 45,819,901 132,002,755 73,193,586
Value of capital withdrawn................. (1,049,773,125) (55,641,800) (30,145,772) (80,017,726) (84,964,011)
--------------- ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from capital transactions........ 54,745,811 (6,069,625) 15,674,129 51,985,029 (11,770,425)
--------------- ------------ ------------ ------------ ------------
Net increase (decrease) in net assets........ 62,808,764 (3,204,763) 16,222,743 45,344,134 8,801,513
NET ASSETS:
Beginning of period........................ 292,437,753 227,463,134 158,574,467 551,935,530 505,995,739
--------------- ------------ ------------ ------------ ------------
End of period.............................. $ 355,246,517 $224,258,371 $174,797,210 $597,279,664 $514,797,252
=============== ============ ============ ============ ============
</TABLE>
See notes to financial statements.
12
<PAGE> 14
<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>
$ 13,058,207 $ 3,303,699 $ 374,934 $ 569,003 $ 879,539 $ (197,319) $ 4,471,822 $ 2,459,088
36,472,485 19,789,036 71,069,873 36,319,054 59,668,730 3,579,602 (3,909,874) 10,879,245
-- -- -- -- -- -- -- (767,044)
126,997,627 25,347,594 19,131,900 56,636,462 15,489,750 12,524,017 (573,024) 54,641,719
-- -- -- -- -- -- -- 1,621,008
-------------- ------------- -------------- ------------- ------------- ------------ ------------ -------------
176,528,319 48,440,329 90,576,707 93,524,519 76,038,019 15,906,300 (11,076) 68,834,016
-------------- ------------- -------------- ------------- ------------- ------------ ------------ -------------
196,584,032 138,593,142 377,769,531 376,376,502 288,158,571 103,696,950 87,735,022 365,851,254
(223,305,252) (133,515,128) (208,848,297) (216,065,174) (309,498,498) (59,838,279) (74,029,040) (330,052,693)
-------------- ------------- -------------- ------------- ------------- ------------ ------------ -------------
(26,721,220) 5,078,014 168,921,234 160,311,328 (21,339,927) 43,858,671 13,705,982 35,798,561
-------------- ------------- -------------- ------------- ------------- ------------ ------------ -------------
149,807,099 53,518,343 259,497,941 253,835,847 54,698,092 59,764,971 13,694,906 104,632,577
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
-------------- ------------- -------------- ------------- ------------- ------------ ------------ -------------
$1,516,914,595 $ 443,378,118 $1,030,766,402 $ 942,284,412 $ 978,787,976 $141,092,678 $108,565,887 $ 424,850,750
============== ============= ============== ============= ============= ============ ============ =============
</TABLE>
13
<PAGE> 15
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 appreciation
(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.
14
<PAGE> 16
<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>
15
<PAGE> 17
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 74.93%
$ 3,500,000 American Crystal Sugar Company,
5.12%, 07/09/99.............. $ 3,496,018
9,800,000 American Express Credit Corp.,
5.05%, 07/08/99.............. 9,790,377
3,000,000 Aristar Inc., 4.98%,
07/16/99..................... 2,993,775
1,000,000 Associates Corp. of North
America, 4.85%, 07/14/99..... 998,249
3,500,000 Associates Corp. of North
America, 4.87%, 08/03/99..... 3,484,375
3,000,000 Associates Corp. of North
America, 4.88%, 10/08/99..... 2,959,740
5,000,000 Avco Financial Services, Inc.,
4.85%, 07/28/99.............. 4,981,812
6,400,000 BankAmerica Corp., 4.81%,
08/03/99..................... 6,371,781
7,600,000 BankAmerica Corp., 4.87%,
08/25/99..................... 7,543,454
7,600,000 Ciesco, 5.00%, 07/19/99........ 7,581,000
5,900,000 CIT Group Holdings, Inc.,
4.84%, 07/09/99.............. 5,893,654
2,300,000 CIT Group Holdings, Inc.,
4.84%, 07/13/99.............. 2,296,289
1,200,000 ConAgra, Inc., 5.09%,
07/26/99..................... 1,195,758
2,000,000 CSX Corp., 5.08%, 07/08/99..... 1,998,024
2,200,000 Dominion Resources, Inc.,
5.08%, 07/07/99.............. 2,198,137
1,000,000 Dominion Resources, Inc.,
5.10%, 07/12/99.............. 998,442
2,100,000 Edison Assets Securitization,
4.81%, 07/01/99.............. 2,100,000
1,000,000 Edison Assets Securitization,
4.80%, 07/02/99.............. 999,866
2,025,000 Edison Assets Securitization,
4.81%, 07/26/99.............. 2,018,236
1,000,000 Edison Assets Securitization,
5.00%, 07/26/99.............. 996,528
1,300,000 Edison Assets Securitization,
4.98%, 07/30/99.............. 1,294,785
5,100,000 Enterprise Funding Corp.,
4.85%, 07/14/99.............. 5,091,068
3,000,000 Enterprise Funding Corp.,
5.00%, 07/22/99.............. 2,991,250
3,079,000 Enterprise Funding Corp.,
4.83%, 08/02/99.............. 3,065,781
1,000,000 Enterprise Funding Corp.,
5.07%, 08/03/99.............. 995,352
4,500,000 Finova Capital Corp., 4.86%,
08/06/99..................... 4,478,130
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER (CONTINUED)
$ 3,000,000 Ford Motor Credit -- Canada,
4.82%, 07/09/99.............. $ 2,996,787
3,100,000 Ford Motor Credit Corp., 5.20%,
09/23/99..................... 3,062,387
900,000 General Electric Capital Corp.,
5.20%, 07/06/99.............. 899,350
400,000 General Electric Capital Corp.,
4.81%, 07/07/99.............. 399,679
2,900,000 General Electric Capital Corp.,
5.02%, 08/02/99.............. 2,887,060
7,000,000 General Motors Acceptance
Corp., 4.81%, 07/12/99....... 6,989,712
2,700,000 General Motors Acceptance
Corp., 4.90%, 07/16/99....... 2,694,488
4,000,000 General Motors Acceptance
Corp., 4.83%, 11/22/99....... 3,922,720
8,300,000 Golden Funding Corp., 5.08%,
08/10/99..................... 8,253,151
4,600,000 Heller Financial Inc., 5.05%,
07/27/99..................... 4,583,223
15,000,000 Household International Corp.,
4.88%, 07/21/99.............. 14,959,333
3,000,000 Houston Industries Finance
Company, 5.08%, 07/14/99..... 2,994,497
3,400,000 Johnson Controls Inc., 4.94%,
07/19/99..................... 3,391,602
6,000,000 Lehman Brothers Holdings Inc.,
6.15%, 03/15/00.............. 6,013,404
10,000,000 Lehman Brothers Holdings Inc.,
4.97%, 07/06/99.............. 9,993,098
2,000,000 MCI Worldcom, Inc., 5.02%,
07/13/99..................... 1,996,653
9,400,000 Merrill Lynch and Company,
Inc., 4.86%, 07/06/99........ 9,393,655
7,823,000 Montauk Funding Corp., 4.84%,
07/01/99..................... 7,823,000
5,000,000 Montauk Funding Corp., 4.86%,
07/20/99..................... 4,987,175
2,000,000 Montauk Funding Corp., 4.89%,
08/06/99..................... 1,990,220
3,000,000 Montauk Funding Corp., 4.88%,
08/16/99..................... 2,981,293
1,000,000 Norfolk Southern Corporation,
5.27%, 07/27/99.............. 996,194
5,700,000 Paccar Financial Group, 5.03%,
02/01/00..................... 5,528,771
13,200,000 Sears Roebuck Acceptance Corp.,
4.85%, 07/09/99.............. 13,185,773
</TABLE>
See notes to financial statements.
16
<PAGE> 18
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER (CONTINUED)
$ 900,000 Sears Roebuck Acceptance Corp.,
5.13%, 07/20/99.............. $ 897,563
3,000,000 Textron Financial Corp., 5.15%,
07/14/99..................... 2,994,421
5,500,000 Transamerica Commercial
Finance -- Canada, 5.00%,
07/14/99..................... 5,490,069
12,900,000 Trident Capital Finance, 5.05%,
07/23/99..................... 12,860,189
1,000,000 TRW Inc., 5.23%, 07/13/99...... 998,257
15,000,000 Union Bancal Corp., 5.25%,
05/08/00..................... 15,000,000
1,300,000 Windmill Funding Corp., 4.85%,
07/06/99..................... 1,299,124
5,000,000 Windmill Funding Corp., 4.98%,
07/26/99..................... 4,982,708
10,000,000 Windmill Funding Corp., 5.00%,
08/12/99..................... 9,941,667
------------
TOTAL COMMERCIAL PAPER
(Cost $266,199,104)............ 266,199,104
------------
US GOVERNMENT AGENCY SECURITIES -- 3.74%
FEDERAL HOME LOAN BANK -- 3.66%
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... 13,000,000
------------
FEDERAL HOME LOAN MORTGAGE
CORP. -- 0.08%
300,000 4.98%, 08/19/99................ 297,967
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$13,297,967)................... 13,297,967
------------
CERTIFICATES OF DEPOSIT -- 7.46%
9,000,000 Royal Bank of Canada, 4.98%,
01/24/00..................... 8,999,063
10,000,000 Toronto-Dominion Bank, 5.67%,
07/26/99..................... 9,999,801
7,500,000 Wachovia Corp., 4.97%,
07/29/99..................... 7,500,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $26,498,864)............. 26,498,864
------------
SHORT-TERM CORPORATE NOTES -- 13.40%
2,600,000 Banc One, Floating Rate, 5.11%,
07/01/99+.................... 2,600,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT-TERM CORPORATE NOTES (CONTINUED)
$ 4,986,000 Capital One Funding Corp.,
Floating Rate, 5.11%,
07/01/99+.................... $ 4,986,000
10,000,000 Dow Chemical Co., Floating
Rate, 5.04%, 09/15/99+....... 10,000,000
9,000,000 Goldman Sachs Group, Floating
Rate, 4.90%, 09/15/99+....... 9,000,000
7,000,000 Goldman Sachs Group, Floating
Rate, 5.40%, 02/25/00+....... 7,000,000
9,000,000 Lehman Syndicated Loan Fund,
Floating Rate, 5.14%,
03/15/00+.................... 9,000,000
5,000,000 Asset Backed Securities
Investment Trust, Variable
Rate, 4.95%, 08/15/99++...... 5,000,000
------------
TOTAL SHORT-TERM CORPORATE
NOTES
(Cost $47,586,000)............. 47,586,000
------------
TOTAL SECURITIES
(Cost $353,581,935)............ 353,581,935
------------
REPURCHASE AGREEMENT -- 0.01%
43,897 With Investors Bank & Trust,
dated 06/30/99, 5.18%, due
07/01/99, repurchase proceeds
at maturity $43,902,
(Collateralized by Fannie
Mae, 6.925%, due 09/01/24
with a value of $44,506)
(Cost $43,897)............... 43,897
------------
Total Investments -- 99.54%
(Cost $353,625,832)............ 353,625,832
Other assets less
liabilities -- 0.46%........... 1,620,685
------------
NET ASSETS -- 100.00%.......... $355,246,517
============
</TABLE>
The aggregate cost of investments for federal income tax purposes at June 30,
1999, is $353,625,832.
- ---------------
+ This interest rate is subject to change weekly based on the greater of the 30
day or 90 day Federal composite rate. The rate shown was in effect as of June
30, 1999.
++ This interest rate is subject to change monthly based on the London Interbank
Offered Rate ("LIBOR"). The rate shown was in effect at June 30, 1999.
See notes to financial statements.
17
<PAGE> 19
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 91.09%
BANKS -- 13.02%
$5,000,000 Chase Manhattan Corp., Medium -
Term Note, 5.15%, 12/15/00.... $ 4,903,920
8,000,000 First Omni Bank, Series 96-A,
6.65%, 09/15/03............... 8,088,000
3,750,000 First Union Corp., 8.00%,
11/15/02...................... 3,911,835
3,120,000 Midland Bank PLC, 8.625%, due
12/15/04...................... 3,350,150
4,000,000 Norwest Corp., 6.75%,
05/12/00...................... 4,026,940
2,000,000 RBSG Capital Corp., 10.125%,
03/01/04...................... 2,263,462
2,653,705 Union Acceptance Corp., 6.40%,
10/10/02...................... 2,656,492
------------
TOTAL BANKS..................... 29,200,799
------------
BROKERAGE -- 8.89%
5,500,000 Bear Stearns & Company, 6.50%,
06/15/00...................... 5,514,729
5,000,000 Lehman Brothers Holdings Inc.,
6.00%, 02/26/01............... 4,939,970
1,000,000 Lehman Brothers Holdings Inc.,
Medium - Term Note, 6.40%,
08/30/00...................... 998,615
5,000,000 Merrill Lynch & Company,
Medium - Term Note, 5.75%,
11/04/02...................... 4,875,050
3,750,000 Morgan Stanley Dean Witter,
5.625%, 01/20/04.............. 3,601,005
------------
TOTAL BROKERAGE................. 19,929,369
------------
FINANCE -- 27.09%
1,000,000 Abbey National First Capital,
8.20%, 10/15/04............... 1,059,526
2,000,000 Associates Corp. N.A., 6.15%,
01/13/03...................... 1,972,798
3,170,000 Associates Corp. N.A., 6.01%,
02/07/03...................... 3,110,902
4,400,000 Associates Corp. N.A., Medium -
Term Note, 7.80%, 09/15/04.... 4,592,914
1,338,542 Copelco Capital Funding Corp.,
6.34%, 07/20/04............... 1,342,276
5,000,000 Florida Windstorm Underwriting,
6.50%, 08/25/02............... 4,981,390
7,000,000 Ford Motor Credit Corp., 7.00%,
09/25/01...................... 7,105,630
8,000,000 General Motors Acceptance Corp.,
Medium - Term Note, 5.40%,
04/09/01...................... 7,879,200
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCE (CONTINUED)
$5,000,000 IBM International Finance NV,
6.25%, 10/10/00............... $ 5,011,045
5,000,000 International Lease Finance,
Medium - Term Note, 5.45%,
02/08/02...................... 4,886,070
7,500,000 John Deere Capital, 5.75%,
08/07/00...................... 7,448,737
1,334,342 Textron Financial Corp., 6.05%,
03/16/09...................... 1,336,090
8,000,000 Travelers Group, Inc., 7.25%,
05/01/01...................... 8,139,000
1,701,681 Travelers Mortgage, 12.00%,
03/01/14...................... 1,886,041
------------
TOTAL FINANCE................... 60,751,619
------------
PRIVATE ASSET BACKED: BANKS -- 3.07%
1,789,922 Banc One Auto Grantor Trust,
6.27%, 11/20/03............... 1,800,465
4,581,340 Banc One Auto Grantor Trust,
6.29%, 07/20/04............... 4,599,620
484,142 Western Finance Grantor Trust,
5.875%, 03/01/02.............. 484,956
------------
TOTAL PRIVATE ASSET BACKED:
BANKS........................... 6,885,041
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 6.41%
3,900,000 Dayton Hudson Credit Card Master
Trust, Series 97-1A, 6.25%,
08/25/05...................... 3,890,484
4,000,000 Discover Card Master Trust I,
Series 98-6A, 5.85%,
01/17/06...................... 3,921,200
5,000,000 Sears Credit Account Master
Trust, Series 96-1A, 6.20%,
02/16/06...................... 5,018,100
1,500,000 Sears Credit Account Master
Trust, 7.00%, 07/16/08........ 1,535,760
------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS.................... 14,365,544
------------
PRIVATE ASSET BACKED: FINANCE -- 3.09%
1,146,739 Chase Manhattan Grantor Trust,
6.61%, 09/15/02............... 1,154,720
3,148,832 Navistar Financial Corp., Owner
Trust, Series 98-A, Class A,
5.94%, 11/15/04............... 3,155,224
533,208 Pemex Exp Grantor Trust, 7.66%,
08/15/01...................... 546,442
2,068,461 USAA Auto Loan Grantor Trust,
6.00%, 05/15/04............... 2,070,053
------------
TOTAL PRIVATE ASSET BACKED:
FINANCE......................... 6,926,439
------------
</TABLE>
See notes to financial statements.
18
<PAGE> 20
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: OTHER -- 3.09%
$2,763,440 New York City Tax Lien Trust,
Series 98-1C, 6.12%,
07/25/06...................... $ 2,748,241
4,000,000 Midstate Trust, Series 2-A4,
9.625%, 04/01/03.............. 4,190,060
------------
TOTAL PRIVATE ASSET BACKED:
OTHER........................... 6,938,301
------------
PRIVATE ASSET BACKED: PHARMACEUTICALS -- 1.36%
2,849,891 Upjohn Company, 9.79%,
02/01/04...................... 3,053,744
------------
PRIVATE ASSET BACKED: RECEIVABLES -- 16.30%
3,508,441 Capital Equipment Receivable
Trust, Series 96-1, 6.28%,
06/15/00...................... 3,512,827
915,993 Chevy Chase Auto Receivable
Trust, 6.60%, 12/15/02........ 921,562
8,000,000 Compass Auto Receivables Trust,
Series 1998-A3, 5.90%,
05/15/04...................... 8,014,160
3,000,000 EAB Lease Receivables Trust,
5.66%, 09/15/02............... 2,980,781
5,000,000 First Sierra Receivables, 5.73%,
07/15/04...................... 4,918,750
1,771,245 First Sierra Receivables II,
6.85%, 02/10/03............... 1,787,576
743,135 Heller Equipment Asset
Receivables Trust, Series
1997-1, Class A2, 6.39%,
05/25/05...................... 746,263
25,542 IBM Credit Receivable Lease
Asset Master Trust, 6.55%,
07/16/01...................... 25,554
8,250,000 Newcourt Receivables Asset
Trust, Series 1997-1, Class
A4, 6.193%, 05/20/05.......... 8,225,497
5,000,000 Textron Financial Corp.
Receivable Trust, Series
1998-A, 5.89%, 01/15/05....... 4,971,400
452,448 Toyota Auto Receivable Trust,
Series 96-AA, 6.30%,
07/20/01...................... 452,710
------------
TOTAL PRIVATE ASSET BACKED:
RECEIVABLES..................... 36,557,080
------------
PRIVATE ASSET BACKED: RETAIL -- 4.88%
5,000,000 John Deere Owner Trust, 5.94%,
10/15/02...................... 4,981,250
1,500,000 Premier Auto Trust, 6.40%,
10/06/01...................... 1,506,090
4,500,000 Union Acceptance Corp., 5.57%,
09/08/03...................... 4,467,375
------------
TOTAL PRIVATE ASSET BACKED:
RETAIL.......................... 10,954,715
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: TRANSPORTATION -- 3.56%
$7,740,330 Railcar Trust, 7.75%,
06/01/04...................... $ 7,978,655
------------
REAL ESTATE -- 0.33%
434,830 Merrill Lynch Mortgage
Investors, Inc., 10.35%,
05/15/09...................... 454,170
269,522 Merrill Lynch Mortgage
Investors, Inc., 9.40%,
09/15/09...................... 280,683
------------
TOTAL REAL ESTATE............... 734,853
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $206,419,997)............. 204,276,159
------------
US TREASURY NOTES -- 1.78%
4,000,000 5.375%, 06/30/00
(Cost $3,998,540)............. 4,002,500
------------
US GOVERNMENT AGENCY SECURITIES -- 1.47%
FANNIE MAE -- 0.05%
5,598 PL# 6346, 6.75%, 02/01/03....... 5,635
97,104 PL# 137455, 7.00%, 04/01/04..... 96,124
------------
TOTAL FANNIE MAE................ 101,759
------------
FREDDIE MAC -- 0.73%
800,565 PL# 850082, 9.00%, 10/01/05..... 826,196
91,801 REMIC, Series MH-1, 10.15%,
04/15/06...................... 92,489
451,434 PL# D06777, 7.50%, 03/01/08..... 460,472
2,410 PL# 273991, 6.50%, 03/01/13..... 2,346
253,578 PL# 306816, 7.00%, 01/01/18..... 255,566
------------
TOTAL FREDDIE MAC............... 1,637,069
------------
RESOLUTION TRUST CORP. -- 0.69%
1,565,039 Resolution Trust Corp., 7.94%,
08/25/21...................... 1,559,327
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost $3,325,473).... 3,298,155
------------
FOREIGN GOVERNMENT OBLIGATION -- 2.23%
5,000,000 Hydro Quebec, 6.36%, 01/15/02
(Cost $5,047,272)............. 4,991,185
------------
TOTAL SECURITIES
(Cost $218,791,282)............. 216,567,999
------------
</TABLE>
See notes to financial statements.
19
<PAGE> 21
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.48%
$7,805,468 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase proceeds
at maturity $7,906,390
(Collateralized by a Freddie
Mac Adjustable Rate Mortgage,
6.599%, due 09/01/18, with a
value of $828,136, and Norwest
Asset Securities Corp., 6.25%,
due 05/25/29, with a value of
$7,367,637)
(Cost $7,805,468)............. $ 7,805,468
------------
Total Investments -- 100.05%
(Cost $226,596,750)............. 224,373,467
Liabilities less other assets --
(0.05%)......................... (115,096)
------------
NET ASSETS -- 100.00%........... $224,258,371
============
</TABLE>
The aggregate cost of investments for federal income tax purposes at June 30,
1999, is $226,596,750.
The following amount is based on costs for federal income tax purposes:
<TABLE>
<S> <C>
Gross unrealized appreciation.......... $ 247,684
Gross unrealized depreciation.......... (2,470,967)
------------
Net unrealized depreciation............ $ (2,223,283)
============
</TABLE>
See notes to financial statements.
20
<PAGE> 22
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US TREASURY NOTES -- 36.79%
$ 5,000,000 6.00%, 08/15/99................................... $ 5,007,815
7,000,000 7.75%, 12/31/99................................... 7,087,500
2,500,000 8.875%, 05/15/00.................................. 2,576,562
31,000,000 6.25%, 01/31/02(a)................................ 31,455,328
5,000,000 5.625%, 12/31/02(a)............................... 4,989,065
11,000,000 6.50%, 10/15/06(a)................................ 11,350,625
2,000,000 4.75%, 11/15/08(a)................................ 1,835,626
------------
TOTAL US TREASURY NOTES
(Cost $65,257,621)................................ 64,302,521
------------
US GOVERNMENT AGENCY SECURITIES -- 55.89%
FANNIE MAE -- 7.94%
2,000,000 CMO, Series 94-75, 7.00%, 01/25/03................ 2,015,580
2,000,000 5.75%, 04/15/03................................... 1,977,146
3,000,000 5.125%, 02/13/04(a)............................... 2,874,528
2,000,000 5.875%, 04/23/04.................................. 1,947,262
5,000,000 Series 96-M7, Class B, 6.84%, 06/17/11............ 5,060,400
------------
TOTAL FANNIE MAE.................................. 13,874,916
------------
FEDERAL HOME LOAN BANK -- 7.98%
5,000,000 7.39%, 08/22/01................................... 5,150,415
4,000,000 4.875%, 01/22/02.................................. 3,900,832
3,000,000 5.125%, 02/26/02(a)............................... 2,940,165
2,000,000 5.50%, 01/21/03................................... 1,964,264
------------
TOTAL FEDERAL HOME LOAN BANK...................... 13,955,676
------------
FREDDIE MAC -- 8.32%
5,000,000 6.30%, 06/01/04................................... 4,955,070
3,000,000 CMO, Series 1574, 6.50%, 02/15/21................. 2,991,510
5,300,000 CMO, Series 1500, 7.00%, 06/15/22................. 5,268,253
579,619 CMO, Series 31, Floating Rate, 6.025%, 08/25/23... 582,649
743,966 CMO, Series 1710, Floating Rate, 6.062%,
02/15/24........................................ 746,526
------------
TOTAL FREDDIE MAC................................. 14,544,008
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 17.43%
3,919 PL# 209631, 7.50%, 04/15/02....................... 4,010
15,282 PL# 328000, 7.50%, 06/15/07....................... 15,733
8,162 PL# 328084, 7.50%, 07/15/07....................... 8,403
10,502 PL# 335542, 7.50%, 08/15/07....................... 10,811
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US GOVERNMENT AGENCY
SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 99,647 PL# 335995, 7.50%, 08/15/07....................... $ 102,586
35,184 PL# 322072, 7.50%, 08/15/07....................... 36,222
228,088 PL# 323189, 7.50%, 08/15/07....................... 234,814
164,044 PL# 328188, 7.50%, 08/15/07....................... 168,882
227,658 PL# 328192, 7.50%, 08/15/07....................... 234,372
61,926 PL# 328200, 7.50%, 08/15/07....................... 63,752
271,150 PL# 329060, 7.50%, 08/15/07....................... 279,146
236,318 PL# 332267, 7.50%, 08/15/07....................... 243,287
54,251 PL# 333320, 7.50%, 09/15/07....................... 55,851
194,868 PL# 333709, 7.50%, 09/15/07....................... 200,615
282,498 PL# 297619, 7.50%, 09/15/07....................... 290,829
213,689 PL# 332704, 7.50%, 09/15/07....................... 219,990
161,144 PL# 369749, 6.50%, 09/15/08....................... 159,166
221,718 PL# 345975, 6.50%, 10/15/08....................... 218,996
541,546 PL# 374726, 6.50%, 10/15/08....................... 534,898
187,315 PL# 345973, 6.50%, 11/15/08....................... 185,015
105,954 PL# 363874, 6.50%, 11/15/08....................... 104,654
369,259 PL# 370448, 6.50%, 11/15/08....................... 364,725
511,466 PL# 371094, 6.50%, 11/15/08....................... 505,186
278,150 PL# 366531, 6.50%, 11/15/08....................... 274,736
3,876,156 PL# 2483, 7.00%, 09/20/27......................... 3,812,083
13,337,647 PL# 2631, 7.00%, 08/20/28......................... 13,117,175
9,163,849 PL# 2645, 7.00%, 09/20/28......................... 9,012,370
------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.............................. 30,458,307
------------
US TREASURY INFLATION INDEX -- 5.72%
10,000,000 3.625%, 01/15/08.................................. 9,995,832
------------
HOUSING AND URBAN DEVELOPMENT -- 2.88%
5,000,000 6.23%, 08/01/02................................... 5,031,560
------------
TENNESSEE VALLEY AUTHORITY -- 3.02%
2,500,000 6.375%, 06/15/05.................................. 2,507,340
3,000,000 5.375%, 11/13/08.................................. 2,766,138
------------
TOTAL TENNESSEE VALLEY AUTHORITY.................. 5,273,478
------------
US GOVERNMENT GUARANTEED BOND -- 2.60%
4,747,605 6.12%, 04/01/08................................... 4,552,194
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost $99,041,722)..................... 97,685,971
------------
</TABLE>
See notes to financial statements.
21
<PAGE> 23
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 6.05%
FANNIE MAE -- 3.14%
$ 400,000 4.77%, 07/01/99................................... $ 400,000
200,000 4.77%, 07/01/99................................... 200,000
700,000 4.80%, 07/13/99................................... 698,880
400,000 4.76%, 07/16/99................................... 399,207
1,400,000 4.74%, 07/19/99................................... 1,396,682
1,800,000 5.85%, 07/28/99................................... 1,793,304
400,000 4.90%, 08/16/99................................... 397,495
200,000 4.90%, 08/24/99................................... 198,530
------------
TOTAL FANNIE MAE.................................. 5,484,098
------------
FREDDIE MAC -- 2.91%
300,000 5.10%, 07/09/99................................... 299,660
400,000 4.68%, 07/12/99................................... 399,428
2,600,000 4.68%, 07/12/99................................... 2,596,282
100,000 4.84%, 07/29/99................................... 99,624
700,000 4.92%, 08/19/99................................... 695,255
1,000,000 4.92%, 08/19/99................................... 993,303
------------
TOTAL FREDDIE MAC................................. 5,083,552
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES
(Cost $10,567,650)................................ 10,567,650
------------
REGULATED INVESTMENT COMPANY -- 2.30%
4,021,531 Merrimac Cash Fund -- Premium Class(b) (Cost
$4,021,531)..................................... 4,021,531
------------
TIME DEPOSITS -- 6.31%
3,959,661 Royal Bank of Scotland, 4.86%, 07/01/99(b)........ 3,959,661
3,093,485 Bank of Montreal, 4.87%, 07/21/99(b).............. 3,093,485
207,357 Royal Bank of Scotland, 4.87%, 07/26/99(b)........ 207,357
3,773,966 BankBoston, 6.00%, 10/29/99(b).................... 3,773,966
------------
TOTAL TIME DEPOSITS (Cost $11,034,469)............ 11,034,469
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 14.30%
$ 5,000,000 Morgan Stanley Dean Witter & Co., 5.98%,
01/11/00(b)..................................... $ 5,000,000
5,000,000 Goldman Sachs & Co., 4.90%, 02/04/00(b)........... 5,000,000
10,000,000 Prudential Securities, Inc., 6.20%, 10/07/99(b)... 10,000,000
5,000,000 Republic New York Securities Corp., 6.20%,
10/07/99(b)..................................... 5,000,000
------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $25,000,000)................................ 25,000,000
------------
TOTAL SECURITIES (Cost $214,922,993).............. 212,612,142
------------
REPURCHASE AGREEMENT -- 0.03%
50,704 With Investors Bank & Trust, dated 06/30/99,
5.99%, due 07/01/99, repurchase proceeds at
maturity $50,709 (Collateralized by Freddie Mac,
6.881%, due 10/01/23, with a value of $53,288)
(Cost $50,704).................................. 50,704
------------
Total Investments -- 121.66%
(Cost $214,973,697)............................... 212,662,846
Liabilities less
other assets -- (21.66)%.......................... (37,865,636)
------------
NET ASSETS -- 100.00%............................. $174,797,210
============
The aggregate cost of securities for federal income tax purposes at June 30, 1999,
is $214,973,697.
The following amount is based on costs for federal income tax purposes:
</TABLE>
<TABLE>
<S> <C>
Gross unrealized appreciation........... $ 417,488
Gross unrealized depreciation........... (2,728,339)
-----------
Net unrealized depreciation............. $(2,310,851)
===========
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
See notes to financial statements.
22
<PAGE> 24
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US TREASURY SECURITIES -- 17.27%
US TREASURY NOTES -- 8.15%
$ 1,000,000 6.25%, 01/31/02 (a)............ $ 1,014,688
26,000,000 6.50%, 10/15/06 (a)............ 26,828,750
35,000,000 Strips, 0.00%, 02/15/08 (c).... 20,845,265
------------
TOTAL US TREASURY NOTES........ 48,688,703
------------
US TREASURY BOND -- 9.12%
40,000,000 9.875%, 11/15/15 (a)........... 54,475,000
------------
TOTAL US TREASURY SECURITIES
(Cost $106,046,871)............ 103,163,703
------------
US GOVERNMENT AGENCY SECURITIES -- 20.78%
FEDERAL HOME LOAN BANK -- 2.80%
12,000,000 4.875%, 01/22/02............... 11,702,496
5,000,000 6.64%, 12/13/16................ 5,028,250
------------
TOTAL FEDERAL HOME LOAN BANK... 16,730,746
------------
FANNIE MAE -- 0.83%
5,000,000 5.875%, 04/23/04............... 4,868,155
85,117 7.00%, 12/01/25................ 84,258
------------
TOTAL FANNIE MAE............... 4,952,413
------------
FREDDIE MAC -- 4.27%
10,000,000 6.30%, 06/01/04................ 9,910,140
1,685,704 Series 1377, Floating Rate,
5.50% (++), 09/15/07......... 1,697,925
5,000,000 Series 1666, Class E, 6.00%,
12/15/19..................... 4,970,470
1,738,858 Series 31, Floating Rate,
5.525% (++), 08/25/23........ 1,747,947
2,360,414 Series 1710, Floating Rate,
5.50% (++), 02/15/24......... 2,368,536
5,000,000 Series 2068, 6.50%, 03/15/26... 4,820,500
------------
TOTAL FREDDIE MAC.............. 25,515,518
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 7.22%
701,710 PL# 413611, 7.00%, 01/15/26.... 693,408
745,327 PL# 292340, 7.00%, 02/15/26.... 736,510
699,311 PL# 373622, 7.00%, 03/15/26.... 691,038
653,418 PL# 373637, 7.00%, 03/15/26.... 645,688
868,672 PL# 428420, 7.00%, 04/15/26.... 858,396
35,567,058 PL# 2631, 7.00%, 08/20/28...... 34,979,134
4,581,924 PL# 2645, 7.00%, 09/20/28...... 4,506,185
------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION........... 43,110,359
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
US TREASURY INFLATION INDEX -- 4.36%
$15,000,000 3.375%, 01/15/07............... $ 15,087,260
10,000,000 3.625%, 01/15/08............... 9,995,831
1,000,000 3.625%, 04/15/28............... 970,185
------------
TOTAL US TREASURY INFLATION
INDEX.......................... 26,053,276
------------
STUDENT LOAN MARKETING ASSOCIATION -- 0.83%
5,000,000 Series 1996-2 A2, Floating
Rate, 5.2167% (++),
07/25/09..................... 4,956,250
------------
TENNESSEE VALLEY AUTHORITY -- 0.47%
3,000,000 5.37%, 11/13/08................ 2,766,138
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$125,605,493).................. 124,084,700
------------
CORPORATE BONDS & NOTES -- 60.67%
AEROSPACE -- 3.13%
5,000,000 Boeing Company, 8.625%,
11/15/31..................... 5,651,080
13,000,000 Lockheed Martin Corp., 6.85%,
05/15/01..................... 13,058,435
------------
TOTAL AEROSPACE................ 18,709,515
------------
AUTOMOTIVE PRODUCTS -- 5.30%
4,000,000 BF Goodrich Company, 8.65%,
04/15/25..................... 4,425,392
5,000,000 Ford Holdings, 9.30%,
03/01/30..................... 6,098,880
6,000,000 Ford Motor Company, 6.625%,
10/01/28..................... 5,435,640
10,000,000 Ford Motor Credit Company,
6.125%, 04/28/03............. 9,853,960
5,000,000 General Motors Corp., 8.80%,
03/01/21..................... 5,842,525
------------
TOTAL AUTOMOTIVE PRODUCTS...... 31,656,397
------------
BANKS -- 9.46%
5,000,000 BankAmerica Corp., 6.625%,
05/30/01..................... 5,016,170
10,000,000 Bankers Trust Company of New
York, 6.75%, 10/03/01........ 10,032,120
4,000,000 Bank of New York Company,
6.50%, 12/01/03.............. 3,995,336
5,000,000 Chase Manhattan Corp., 5.75%,
04/15/04..................... 4,841,520
5,000,000 Chase Manhattan Corp., 6.00%,
02/15/09..................... 4,629,800
8,000,000 Inter-American Development
Bank, 7.875%, 08/22/01....... 8,408,624
</TABLE>
See notes to financial statements.
23
<PAGE> 25
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
BANKS (CONTINUED)
$ 6,000,000 Midland Bank PLC, Floating
Rate, 5.475% (++),
06/29/49..................... $ 4,699,800
5,000,000 Republic New York Corp., 7.00%,
03/22/11..................... 4,897,650
5,000,000 Societe Generale, Rule 144A,
7.85%, 04/29/49.............. 4,898,965
5,000,000 Swiss Bank Corp., 7.75%,
09/01/26..................... 5,070,025
------------
TOTAL BANKS.................... 56,490,010
------------
BROKERAGE -- 0.80%
5,000,000 Lehman Brothers Holding Inc.,
6.625%, 02/05/06............. 4,784,685
------------
CONSUMER GOODS AND SERVICES -- 1.06%
5,200,000 Proctor & Gamble, 9.36%,
01/01/21..................... 6,313,996
------------
ELECTRONICS -- 1.54%
10,000,000 Emerson Electric, 5.50%,
09/15/08..................... 9,178,500
------------
FINANCE -- 16.91%
15,275,000 Abbey National PLC, 6.70%,
06/29/49..................... 14,166,692
10,000,000 Associates Corp., 6.45%,
09/15/00..................... 10,026,050
5,000,000 Atlantic Mutual Insurance
Company, 8.15%, 02/15/28..... 4,093,330
5,000,000 BT Institutional Capital
Trust -- B, 7.75%,
12/01/26..................... 4,784,125
5,000,000 Capital Equipment Receivables
Trust 96-1, Class B, 6.57%,
03/15/01..................... 5,013,600
5,000,000 Cez Finance BV, 7.125%, 07/15/07 . 4,581,100
5,000,000 Chase Capital IV, Floating
Rate, 5.62% (++), 08/01/28... 4,834,765
7,040,000 Discover Card Master Trust,
Series 1994-2, Class A,
Floating Rate, 5.3375% (++),
10/16/04..................... 7,072,877
6,000,000 Dow Capital BV, 9.20%, 06/01/10 . 6,899,250
5,000,000 General Electric Capital Corp.,
8.50%, 07/24/08.............. 5,567,785
5,000,000 General Motors Acceptance
Corp., 8.40%, 10/15/99....... 5,033,130
5,000,000 Household Finance Corp.,
5.875%, 11/01/02............. 4,900,300
10,000,000 JP Morgan & Company, 6.00%,
01/15/09..................... 9,174,350
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
FINANCE (CONTINUED)
$ 5,000,000 Merrill Lynch & Co., 6.375%,
10/15/08..................... $ 4,751,210
10,000,000 World Financial Network Credit
Card Master Trust, Series
96-A, Class A, 6.70%,
02/15/04..................... 10,116,400
------------
TOTAL FINANCE.................. 101,014,964
------------
FOOD AND BEVERAGE -- 0.99%
5,000,000 Seagrams (Joseph) & Sons,
9.65%, 08/15/18.............. 5,941,190
------------
FREIGHT -- 0.20%
1,000,000 United Parcel Service, 8.375%,
04/01/30..................... 1,205,103
------------
INDUSTRIAL -- 8.18%
5,000,000 Celulosa Arauco Y Constitucion,
6.75%, 12/15/03.............. 4,606,700
15,000,000 Conagra Inc., 5.50%,
10/15/02..................... 14,570,760
5,000,000 ICI Wilmington, Inc., 6.75%,
09/15/02..................... 4,995,575
10,000,000 ICI Wilmington, Inc., 6.95%,
09/15/04..................... 9,976,230
10,000,000 TRW, Inc., 7.125%, 06/01/09.... 9,751,980
5,000,000 Zeneca Wilmington, 6.30%,
06/15/03..................... 4,959,760
------------
TOTAL INDUSTRIAL............... 48,861,005
------------
INSURANCE -- 1.46%
5,000,000 Aetna Services, 7.625%, 08/15/26 . 4,901,695
4,000,000 Prudential Insurance Company,
6.375%, 07/23/06............. 3,831,032
------------
TOTAL INSURANCE................ 8,732,727
------------
METALS AND MINING -- 0.83%
5,000,000 Commercial Metals Company,
7.20%, 07/15/05.............. 4,968,210
------------
OIL AND GAS -- 3.40%
10,000,000 Amoco Company, 6.00%, 06/09/08 ... 9,517,930
5,000,000 Occidental Petroleum Corp.,
10.125%, 09/15/09............ 5,777,910
4,000,000 Texaco Capital, Inc., 9.75%,
03/15/20..................... 5,040,120
------------
TOTAL OIL AND GAS.............. 20,335,960
------------
PAPER AND FOREST PRODUCTS -- 1.40%
8,000,000 Westvaco, 10.125%, 06/01/19.... 8,383,760
------------
</TABLE>
See notes to financial statements.
24
<PAGE> 26
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
TELECOMMUNICATIONS -- 2.77%
$ 6,000,000 Cable & Wireless
Communications, 6.75%,
12/01/08..................... $ 5,738,262
5,000,000 GTE North, Inc., 7.625%,
05/15/26..................... 4,852,605
6,000,000 MCI Worldcom, Inc., 6.125%,
08/15/01..................... 5,970,744
------------
TOTAL TELECOMMUNICATIONS....... 16,561,611
------------
TOBACCO -- 0.80%
5,000,000 Universal Corp., 6.50%, 02/15/06 .... 4,767,095
------------
TRANSPORTATION -- 0.82%
5,000,000 Union Pacific Corp., 6.34%,
11/25/03..................... 4,878,205
------------
UTILITIES -- 1.62%
5,000,000 Commonwealth Edison Company,
8.50%, 07/15/22.............. 5,067,015
5,000,000 Korea Electric Power Corp.,
7.00%, 02/01/27.............. 4,610,320
------------
TOTAL UTILITIES................ 9,677,335
------------
TOTAL CORPORATE BONDS & NOTES
(Cost $366,912,413)............ 362,460,268
------------
SHORT TERM CORPORATE NOTES -- 9.00%
1,714,000 Capital One Funding Corp.,
5.30%, 04/01/11.............. 1,714,000
10,000,000 Goldman Sachs & Company,
6.095%, 07/01/99 (b)......... 10,000,000
15,000,000 JP Morgan Securities, Inc.,
6.105%, 10/12/99 (b)......... 15,000,000
22,000,000 Morgan Stanley Dean Witter,
Floating Rate, 5.975% (++),
01/11/00 (b)................. 22,000,000
5,000,000 Prudential Securities, Inc.,
6.25%, 03/10/00 (b).......... 5,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $53,714,000)....... 53,714,000
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REGULATED INVESTMENT COMPANY -- 4.40%
$26,271,000 Merrimac Cash Fund -- Premium
Class (b) (Cost
$26,271,000)................. $ 26,271,000
------------
TIME DEPOSITS -- 0.94%
5,618,880 BankBoston, N.A., 5.995%,
10/29/99 (b)................. 5,618,880
10 Bank of Montreal, 4.87%,
07/21/99 (b)................. 10
10 Royal Bank of Scotland, 4.86%,
07/01/99 (b)................. 10
100 Royal Bank of Scotland, 4.87%,
07/26/99 (b)................. 100
------------
TOTAL TIME DEPOSITS (Cost
$5,619,000).................... 5,619,000
------------
Total Investments -- 113.06%
(Cost $684,168,777)............ 675,312,671
Liabilities less other
assets -- (13.06)%............. (78,033,007)
NET ASSETS -- 100.00%.......... $597,279,664
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 1999, is $684,168,777.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation.......... $ 5,288,152
Gross unrealized depreciation.......... (14,144,258)
------------
Net unrealized depreciation............ $ (8,856,106)
============
</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 June 30, 1999.
</TABLE>
See notes to financial statements.
25
<PAGE> 27
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK -- 64.13%
ADVERTISING -- 0.14%
3,800 Interpublic Group of
Companies, Inc.(a).......... $ 329,175
4,800 Omnicom Group, Inc. .......... 384,000
-------------
TOTAL ADVERTISING............. 713,175
-------------
AEROSPACE -- 0.55%
26,000 Boeing Company................ 1,148,875
4,600 General Dynamics Corp. ....... 315,100
1,700 Goodrich (B.F.) Company(a).... 72,250
6,300 Raytheon Company -- Class B... 443,362
12,000 United Technologies Corp. .... 860,250
-------------
TOTAL AEROSPACE............... 2,839,837
-------------
AGRICULTURE -- 0.01%
1,200 Pioneer Hi-Bred International,
Inc. ....................... 46,725
-------------
AIRLINES -- 0.09%
15,200 Southwest Airlines Company.... 473,100
-------------
APPAREL -- 0.13%
1,500 Liz Claiborne, Inc. .......... 54,750
14,700 TJX Companies, Inc. .......... 489,694
2,900 V. F. Corp. .................. 123,975
-------------
TOTAL APPAREL................. 668,419
-------------
AUTOMOBILES: CARS -- 0.84%
54,500 Ford Motor Company............ 3,075,844
19,150 General Motors Corp. ......... 1,263,900
-------------
TOTAL AUTOMOBILES: CARS....... 4,339,744
-------------
AUTOMOBILES: TRUCKS -- 0.07%
3,500 Navistar International
Corp.(c).................... 175,000
3,300 PACCAR, Inc. ................. 176,137
-------------
TOTAL AUTOMOBILES: TRUCKS..... 351,137
-------------
AUTOMOTIVE EQUIPMENT -- 0.23%
1,000 Cummins Engine Company, Inc. . 57,125
4,800 Dana Corp. ................... 221,100
20,793 Delphi Automotive Systems
Corp. ...................... 385,970
5,600 Genuine Parts Company......... 196,000
2,600 Johnson Controls, Inc. ....... 180,213
2,900 TRW, Inc. .................... 159,137
-------------
TOTAL AUTOMOTIVE EQUIPMENT.... 1,199,545
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
BANKS -- 4.56%
5,100 AmSouth Bancorporation(a)..... $ 118,256
7,900 BankBoston Corp. ............. 403,888
50,800 Bank of America Corp. ........ 3,724,275
20,400 Bank of New York Company,
Inc. ....................... 748,425
35,000 Bank One Corp. ............... 2,084,687
9,600 BB&T Corp. ................... 352,200
37,800 Chase Manhattan Corp. ........ 3,274,425
4,800 Comerica, Inc. ............... 285,300
8,300 Fifth Third Bancorp........... 552,469
25,600 Firstar Corp. ................ 716,800
25,700 Fleet Financial Group,
Inc. ....................... 1,140,437
2,400 Golden West Financial
Corp. ...................... 235,200
6,500 Huntington Bancshares,
Inc. ....................... 227,500
12,000 Keycorp....................... 385,500
16,200 Mellon Bank Corp. ............ 589,275
4,900 Mercantile Bancorporation,
Inc. ....................... 279,913
6,700 J.P. Morgan & Company......... 941,350
9,900 National City Corp. .......... 648,450
3,500 Northern Trust Corp. ......... 339,500
9,400 PNC Bank Corp.(a)............. 541,675
6,900 Regions Financial Corp. ...... 265,219
3,300 Republic New York Corp. ...... 225,019
5,100 SouthTrust Corp. ............. 195,712
4,300 State Street Corp.(a)......... 367,112
5,400 Summit Bancorp. .............. 225,788
7,700 SunTrust Banks, Inc. ......... 534,669
8,400 Synovus Financial Corp. ...... 166,950
18,000 U.S. Bancorp.................. 612,000
1,700 Union Planters Corp. ......... 75,969
6,300 Wachovia Corp. ............... 539,044
15,900 Washington Mutual, Inc. ...... 562,462
49,100 Wells Fargo Company........... 2,099,025
-------------
TOTAL BANKS................... 23,458,494
-------------
BUILDING MATERIALS -- 1.13%
70,800 Home Depot, Inc. ............. 4,562,175
2,100 Owens Corning................. 72,187
16,900 Lowe's Companies, Inc. ....... 958,019
7,900 Masco Corp.(a)................ 228,112
-------------
TOTAL BUILDING MATERIALS...... 5,820,493
-------------
</TABLE>
See notes to financial statements.
26
<PAGE> 28
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CHEMICALS -- 0.93%
4,800 Air Products and Chemicals,
Inc. ....................... $ 193,200
10,500 Dow Chemical Company.......... 1,332,188
32,800 duPont (EI) deNemours......... 2,240,650
3,300 Engelhard Corp. .............. 74,662
1,000 FMC Corp.(c).................. 68,312
2,000 Grace (W.R.) & Company(c)..... 36,750
1,800 Great Lakes Chemical Corp. ... 82,912
1,400 Nalco Chemical Company........ 72,625
4,600 Praxair, Inc. ................ 225,112
5,264 Rohm and Haas Company......... 225,714
2,800 Sigma-Aldrich Corp. .......... 96,425
3,100 Union Carbide Corp. .......... 151,125
-------------
TOTAL CHEMICALS............... 4,799,675
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.34%
5,400 Apple Computer, Inc.(a)....... 250,087
2,600 Avery Dennison Corp. ......... 156,975
74,000 Dell Computer Corp.(c)........ 2,738,000
4,600 Gateway, Inc.(a)(c)........... 271,400
2,200 Harris Corp. ................. 86,213
44,700 Hewlett-Packard Company....... 4,492,350
81,900 International Business
Machines Corp. ............. 10,585,575
7,200 Pitney Bowes, Inc. ........... 462,600
8,800 Seagate Technology, Inc.(c)... 225,500
28,000 Sun Microsystems, Inc.(c)..... 1,928,500
19,200 Xerox Corp.(a)................ 1,134,000
-------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT..................... 22,331,200
-------------
COMPUTER SOFTWARE AND SERVICES -- 6.25%
1,900 Adobe Systems, Inc. .......... 156,097
31,600 America Online, Inc.(c)....... 3,491,800
16,500 Automatic Data Processing, Inc. . 726,000
6,900 BMC Software, Inc.(c)......... 372,600
3,300 Ceridian Corp.(c)............. 107,869
93,000 Cisco Systems, Inc.(c)........ 5,998,500
20,800 Computer Associates
International, Inc. ........ 1,144,000
4,900 Computer Sciences Corp.(c).... 339,019
8,500 Compuware Corp.(c)............ 270,406
11,900 Electronic Data Systems
Corp. ...................... 673,094
38,300 EMC Corp.(c).................. 2,106,500
4,600 Equifax, Inc. ................ 164,162
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
11,800 First Data Corp. ............. $ 577,462
7,600 IMS Health, Inc. ............. 237,500
150,600 Microsoft Corp.(c)............ 13,582,238
10,400 Novell, Inc.(c)............... 275,600
36,800 Oracle Corp.(c)............... 1,366,200
700 Shared Medical Systems
Corp. ...................... 45,675
13,700 Unisys Corp. ................. 533,444
-------------
TOTAL COMPUTER SOFTWARE AND
SERVICES...................... 32,168,166
-------------
CONSTRUCTION -- 0.03%
2,400 Centex Corp. ................. 90,150
1,300 Kaufman & Broad Home Corp. ... 32,338
2,000 Pulte Corp. .................. 46,125
-------------
TOTAL CONSTRUCTION............ 168,613
-------------
CONSUMER GOODS AND SERVICES -- 3.89%
7,000 Avon Products, Inc. .......... 388,500
2,100 Brunswick Corp. .............. 58,537
8,700 Cendant Corp. ................ 178,350
3,100 Clorox Company................ 331,119
7,000 Colgate-Palmolive Company..... 691,250
10,000 Eastman Kodak Company......... 677,500
4,000 Ecolab, Inc. ................. 174,500
6,700 Fort James Corp. ............. 253,762
4,000 Fortune Brands, Inc. ......... 165,500
96,500 General Electric Company...... 10,904,500
1,100 Jostens, Inc. ................ 23,169
20,600 Kimberly-Clark Corp. ......... 1,174,200
2,800 Maytag Corp. ................. 195,125
1,100 National Service Industries, Inc. . 39,600
7,600 Nike, Inc. -- Class B......... 481,175
7,650 Paychex, Inc. ................ 243,844
34,000 Procter & Gamble Company...... 3,034,500
9,200 Ralston -- Ralston Purina Corp. . 280,025
1,800 Tupperware Corp. ............. 45,900
7,617 Unilever N.V. (ADR)........... 531,286
1,800 Whirlpool Corp. .............. 133,200
-------------
TOTAL CONSUMER GOODS AND
SERVICES...................... 20,005,542
-------------
ELECTRONICS -- 0.32%
13,100 Emerson Electric Company...... 823,663
4,400 Rockwell International
Corp. ...................... 267,300
</TABLE>
See notes to financial statements.
27
<PAGE> 29
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS (CONTINUED)
7,300 Solectron Corp.(c)............ $ 486,819
1,800 Thomas & Betts Corp. ......... 85,050
-------------
TOTAL ELECTRONICS............. 1,662,832
-------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.21%
4,900 Browning-Ferris Industries,
Inc......................... 210,700
16,000 Waste Management, Inc. ....... 860,000
-------------
TOTAL ENVIRONMENTAL MANAGEMENT
SERVICES...................... 1,070,700
-------------
FINANCIAL SERVICES -- 4.78%
13,600 American Express Company...... 1,769,700
7,800 American General Corp. ....... 587,925
19,500 Associates First Capital
Corp. -- Class A............ 864,094
3,600 Bear Stearns Companies,
Inc. ....................... 168,300
5,400 Capital One Financial
Corp. ...................... 300,713
161,200 Citigroup, Inc. .............. 7,657,000
2,600 Countrywide Credit Industries, Inc. . 111,150
1,900 Deluxe Corp. ................. 73,981
5,100 Dun & Bradstreet Corp. ....... 180,731
29,900 Fannie Mae.................... 2,044,413
6,200 Franklin Resources, Inc. ..... 251,875
30,900 Freddie Mac................... 1,792,200
3,000 H & R Block, Inc. ............ 150,000
13,950 Household International,
Inc. ....................... 660,881
5,400 Lehman Brothers Holdings,
Inc. ....................... 336,150
3,100 MBIA, Inc. ................... 200,725
21,500 MBNA, Inc. ................... 658,438
3,100 MGIC Investment Corp. ........ 150,737
14,100 Merrill Lynch & Company,
Inc.(a)..................... 1,127,119
26,000 Morgan Stanley Dean Witter &
Company..................... 2,665,000
6,700 Paine Webber Group, Inc. ..... 313,225
6,500 Providian Financial Corp. .... 607,750
5,100 SLM Holding Corp. ............ 233,644
15,400 Schwab (Charles) Corp. ....... 1,692,075
-------------
TOTAL FINANCIAL SERVICES...... 24,597,826
-------------
FOOD AND BEVERAGE -- 1.87%
21,700 Anheuser-Busch Companies...... 1,539,344
7,900 Bestfoods..................... 391,050
1,200 Brown-Forman Corp. -- Class
B........................... 78,225
66,200 Coca-Cola Company............. 4,137,500
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
15,200 ConAgra, Inc. ................ $ 404,700
1,500 Coors (Adolph) -- Class B..... 74,250
4,300 General Mills, Inc. .......... 345,612
10,200 Heinz (H.J.) Company.......... 511,275
12,600 Kellogg Company............... 415,800
3,700 Nabisco Group Holdings
Corp. ...................... 72,381
3,100 Quaker Oats Company........... 205,763
23,400 Sara Lee Corp. ............... 530,887
4,800 Seagrams Company, Ltd. ....... 241,800
3,700 SUPERVALU, Inc. .............. 95,044
10,400 Sysco Corp. .................. 310,050
2,900 Wrigley (Wm.) Jr. Company..... 261,000
-------------
TOTAL FOOD AND BEVERAGE....... 9,614,681
-------------
INSURANCE -- 1.80%
9,900 AFLAC, Inc. .................. 473,963
23,000 Allstate Corp. ............... 825,125
35,200 American International Group,
Inc......................... 4,120,600
7,950 Aon Corp. .................... 327,937
6,400 Cigna Corp. .................. 569,600
4,800 Chubb Corp. .................. 333,600
900 Cincinnatti Financial
Corp. ...................... 33,806
8,800 Conseco, Inc. ................ 267,850
7,000 Hartford Financial Services
Group, Inc. ................ 408,187
3,300 Jefferson-Pilot Corp. ........ 218,419
1,200 Loews Corp. .................. 94,950
9,500 Marsh & McLennan Companies,
Inc. ....................... 717,250
1,800 Progressive Corp. ............ 261,000
4,200 Provident Companies, Inc. .... 168,000
2,600 St. Paul Companies, Inc. ..... 82,713
4,200 Torchmark Corp. .............. 143,325
4,300 UNUM Corp. ................... 235,425
-------------
TOTAL INSURANCE............... 9,281,750
-------------
LEISURE AND RECREATION --0.31%
23,100 Carnival Corp. ............... 1,120,350
3,500 Harrah's Entertainment,
Inc. ....................... 77,000
7,300 Hilton Hotels Corp. .......... 103,569
7,600 Marriott International,
Inc. -- Class A(a).......... 284,050
-------------
TOTAL LEISURE AND
RECREATION.................... 1,584,969
-------------
</TABLE>
See notes to financial statements.
28
<PAGE> 30
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MACHINERY -- 0.22%
9,700 Caterpillar, Inc. ............ $ 582,000
2,500 Dover Corp. .................. 87,500
1,100 Grainger (W.W.), Inc. ........ 59,194
6,000 Ingersoll-Rand Company........ 387,750
-------------
TOTAL MACHINERY............... 1,116,444
-------------
MANUFACTURING -- 1.70%
6,500 Alcan Aluminium Ltd. ......... 207,594
1,100 Allegheny Teledyne, Inc. ..... 24,887
20,400 AlliedSignal, Inc. ........... 1,285,200
1,100 Armstrong World Industries,
Inc. ....................... 63,594
1,000 Ball Corp. ................... 42,250
1,500 Bemis Company, Inc. .......... 59,625
700 Briggs & Stratton Corp. ...... 40,425
6,200 Corning, Inc.(a).............. 434,775
2,100 Crane Co. .................... 66,019
3,100 Danaher Corp. ................ 180,188
1,900 Eaton Corp. .................. 174,800
1,400 EG&G, Inc. ................... 49,875
1,100 Fleetwood Enterprises,
Inc. ....................... 29,081
3,400 Honeywell, Inc. .............. 393,975
3,200 ITT Industries, Inc. ......... 122,000
7,800 Illinois Tool Works........... 639,600
11,200 Minnesota Mining and
Manufacturing Company....... 973,700
600 Parker-Hannifin Corp. ........ 27,450
4,600 PPG Industries, Inc. ......... 271,688
2,000 Raychem Corp. ................ 74,000
2,600 Sealed Air Corp.(a)(c)........ 168,675
4,000 Sherwin-Williams Company...... 111,000
4,700 Textron, Inc. ................ 386,869
30,900 Tyco International Ltd.(a).... 2,927,775
-------------
TOTAL MANUFACTURING........... 8,755,045
-------------
MEDIA -- 1.18%
8,500 CBS Corp. .................... 369,219
17,600 Comcast Corp. -- Special Class A . 676,500
2,200 Dow Jones & Company, Inc. .... 116,737
8,700 Gannett Company, Inc. ........ 620,962
1,900 King World Productions,
Inc. ....................... 66,144
2,400 Knight-Ridder, Inc.(a)........ 131,850
17,200 MediaOne Group, Inc. ......... 1,279,250
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA (CONTINUED)
1,100 Meredith Corp. ............... $ 38,087
33,800 Time Warner, Inc. ............ 2,484,300
6,300 Viacom, Inc. -- Class B(c).... 277,200
-------------
TOTAL MEDIA................... 6,060,249
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.20%
16,700 Columbia/HCA Healthcare
Corp. ...................... 380,969
8,800 HEALTHSOUTH Corp.(c).......... 131,450
5,800 United HealthCare Corp. ...... 363,225
2,000 Wellpoint Health Networks,
Inc.(c)..................... 169,750
-------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES...................... 1,045,394
-------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.62%
2,500 Allergan, Inc. ............... 277,500
2,200 Bard (C.R.), Inc. ............ 105,188
1,700 Bausch & Lomb, Inc. .......... 130,050
8,900 Baxter International, Inc. ... 539,563
7,700 Becton, Dickinson & Company... 231,000
3,500 Biomet, Inc. ................. 139,125
15,000 Boston Scientific Corp.(c).... 659,063
10,900 Guidant Corp. ................ 560,669
52,100 Johnson & Johnson............. 5,105,800
1,700 Mallinckrodt, Inc. ........... 61,838
6,800 Medtronic, Inc. .............. 529,550
-------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES...................... 8,339,346
-------------
METALS AND MINING -- 0.24%
13,400 Alcoa, Inc. .................. 829,125
10,700 Barrick Gold Corp.(a)......... 207,312
500 Nucor Corp. .................. 23,719
7,000 Placer Dome, Inc. ............ 82,688
2,700 USX-U. S. Steel Group......... 72,900
2,500 Worthington Industries,
Inc. ....................... 41,094
-------------
TOTAL METALS AND MINING....... 1,256,838
-------------
OIL AND GAS -- 3.60%
2,700 Amerada Hess Corp. ........... 160,650
12,200 Atlantic Richfield Co. ....... 1,019,463
5,300 Burlington Resources, Inc. ... 229,225
19,800 Chevron Corp. ................ 1,884,712
6,600 Coastal Corp. ................ 264,000
1,700 Columbia Energy Group......... 106,569
</TABLE>
See notes to financial statements.
29
<PAGE> 31
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
3,000 Consolidated Natural Gas
Company..................... $ 182,250
10,300 Enron Corp. .................. 842,025
71,600 Exxon Corp. .................. 5,522,150
23,300 Mobil Corp. .................. 2,306,700
10,100 Occidental Petroleum Corp. ... 213,363
6,100 Phillips Petroleum Company.... 306,906
62,500 Royal Dutch Petroleum
Company(a).................. 3,765,625
16,200 Texaco, Inc. ................. 1,012,500
5,800 Unocal Corp. ................. 229,825
11,200 USX-Marathon Group............ 364,700
2,450 Williams Companies, Inc. ..... 104,278
-------------
TOTAL OIL AND GAS............. 18,514,941
-------------
PAPER AND FOREST PRODUCTS -- 0.47%
1,700 Boise Cascade Corp. .......... 73,100
2,700 Champion International
Corp. ...................... 129,263
8,600 Georgia-Pacific Group......... 407,425
11,700 International Paper Company... 590,850
3,400 Louisiana-Pacific Corp. ...... 80,750
3,200 Mead Corp. ................... 133,600
1,700 Temple-Inland, Inc. .......... 116,025
9,600 Weyerhaeuser Company(a)....... 660,000
4,600 Willamette Industries,
Inc. ....................... 211,887
-------------
TOTAL PAPER AND FOREST
PRODUCTS.................... 2,402,900
-------------
PHARMACEUTICALS -- 4.18%
44,200 Abbott Laboratories(a)........ 2,011,100
23,300 Amgen, Inc. .................. 1,418,387
75,200 Bristol-Myers Squibb
Company..................... 5,296,900
7,300 Cardinal Health, Inc.(a)...... 468,113
28,500 Eli Lilly & Company........... 2,041,313
63,300 Merck & Company, Inc. ........ 4,684,200
17,500 Monsanto Company.............. 690,156
13,600 Pharmacia & Upjohn, Inc. ..... 772,650
42,900 Schering-Plough Corp. ........ 2,273,700
25,400 Warner-Lambert Company........ 1,762,125
2,600 Watson Pharmaceuticals,
Inc.(c)..................... 91,163
-------------
TOTAL PHARMACEUTICALS......... 21,509,807
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PUBLISHING -- 0.18%
4,700 McGraw-Hill Companies,
Inc. ....................... $ 253,506
5,500 New York Times Company --
Class A..................... 202,469
4,100 R.R. Donnelley Corp. ......... 151,956
1,700 Times Mirror Company -- Class
A........................... 100,725
2,800 Tribune Company............... 243,950
-------------
TOTAL PUBLISHING.............. 952,606
-------------
RETAIL -- 4.41%
13,845 Albertson's, Inc. ............ 713,883
10,500 CVS Corp. .................... 536,812
3,650 Circuit City Stores -- Circuit
City Group.................. 339,450
10,000 Costco Companies, Inc. ....... 800,625
16,400 Dayton-Hudson Corp. .......... 1,066,000
3,200 Dillard's, Inc. -- Class A.... 112,400
6,125 Dollar General Corp. ......... 177,625
9,600 Federated Department Stores,
Inc.(c)..................... 508,200
39,000 Gap, Inc. .................... 1,964,625
1,200 Great Atlantic & Pacific Tea
Company, Inc. .............. 40,575
1,600 Harcourt General, Inc. ....... 82,500
17,800 Kmart Corp.................... 292,587
5,900 Kohl's Corp.(c)............... 455,406
23,400 Kroger Company(c)............. 653,737
10,300 Limited (The), Inc. .......... 467,362
12,100 May Department Stores
Company(a).................. 494,587
3,300 Nordstrom, Inc. .............. 110,550
7,600 Penney (J.C.) Company,
Inc. ....................... 369,075
18,800 Safeway, Inc.(c).............. 930,600
10,300 Sears, Roebuck & Co. ......... 458,994
21,000 Staples, Inc.(c).............. 649,687
4,600 Tandy Corp. .................. 224,825
212,700 Wal-Mart Stores, Inc.(a)...... 10,262,775
28,000 Walgreen Company.............. 822,500
4,600 Winn-Dixie Stores, Inc. ...... 169,912
-------------
TOTAL RETAIL.................. 22,705,292
-------------
RETAIL: RESTAURANTS -- 0.46%
7,300 Darden Restaurants, Inc.(a)... 159,231
41,000 McDonald's Corp. ............. 1,693,812
</TABLE>
See notes to financial statements.
30
<PAGE> 32
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL: RESTAURANTS
(CONTINUED)
7,000 Tricon Global Restaurants,
Inc.(c)..................... $ 378,875
5,200 Wendy's International,
Inc. ....................... 147,225
-------------
TOTAL RETAIL: RESTAURANTS..... 2,379,143
-------------
RUBBER PRODUCTS -- 0.05%
3,300 Goodyear Tire & Rubber
Company..................... 194,081
2,400 Cooper Tire & Rubber
Company..................... 56,700
-------------
TOTAL RUBBER PRODUCTS......... 250,781
-------------
SEMICONDUCTORS -- 2.45%
17,000 Applied Materials, Inc.(c).... 1,255,875
97,000 Intel Corp. .................. 5,771,500
2,800 KLA-Tencor Corp.(c)........... 181,650
3,800 LSI Logic Corp.(c)............ 175,275
28,800 Motorola, Inc. ............... 2,728,800
17,300 Texas Instruments, Inc. ...... 2,508,500
-------------
TOTAL SEMICONDUCTORS.......... 12,621,600
-------------
TELECOMMUNICATIONS -- 7.99%
7,500 ALLTELL Corp. ................ 536,250
94,850 AT&T Corp.(a)................. 5,293,816
51,200 Ameritech Corp. .............. 3,763,200
45,300 Bell Atlantic Corp. .......... 2,961,487
71,400 BellSouth Corp. .............. 3,346,875
4,150 CenturyTel, Inc. ............. 164,962
5,300 Frontier Corp. ............... 312,700
5,300 General Instrument Corp.(c)... 225,250
28,800 GTE Corp. .................... 2,181,600
133,400 Lucent Technologies, Inc. .... 8,996,163
54,000 MCI Worldcom, Inc.(a)(c)...... 4,657,500
18,650 Nortel Networks Corp. ........ 1,619,053
57,200 SBC Communications, Inc. ..... 3,317,600
4,000 Scientific-Atlanta, Inc. ..... 144,000
18,600 Sprint Corp. (FON Group)...... 982,313
10,500 Sprint Corp. (PCS
Group)(a)(c)................ 599,812
17,400 Tellabs, Inc.(c).............. 1,175,587
14,700 US WEST, Inc. ................ 863,625
-------------
TOTAL TELECOMMUNICATIONS...... 41,141,793
-------------
TOBACCO -- 0.57%
68,600 Philip Morris Companies,
Inc. ....................... 2,756,862
5,600 UST, Inc. .................... 163,800
-------------
TOTAL TOBACCO................. 2,920,662
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TOOLS -- 0.06%
2,000 Black & Decker Corp. ......... $ 126,250
2,900 Cooper Industries, Inc. ...... 150,800
1,400 Snap-on, Inc. ................ 50,663
-------------
TOTAL TOOLS................... 327,713
-------------
TOYS -- 0.10%
4,600 Hasbro, Inc. ................. 128,513
4,700 Mattel, Inc. ................. 124,256
11,800 Toys "R" Us, Inc.(c).......... 244,112
-------------
TOTAL TOYS.................... 496,881
-------------
TRANSPORTATION -- 0.48%
4,900 AMR Corp.(c).................. 334,425
5,300 Burlington Northern Santa
Fe.......................... 164,300
6,300 CSX Corp. .................... 285,469
5,100 Delta Air Lines, Inc. ........ 293,887
12,000 FDX Corp.(a)(c)............... 651,000
2,500 Kansas City Southern
Industries, Inc............. 159,531
4,300 Norfolk Southern Corp. ....... 129,537
2,200 Ryder System, Inc. ........... 57,200
7,000 Union Pacific Corp. .......... 408,188
-------------
TOTAL TRANSPORTATION.......... 2,483,537
-------------
UTILITIES -- 1.49%
5,200 AES Corp. .................... 302,250
4,300 Ameren Corp. ................. 165,013
5,900 American Electric Power
Company, Inc. .............. 221,619
4,700 Carolina Power & Light
Company(a).................. 201,219
6,600 Central & South West Corp. ... 154,275
4,900 Cinergy Corp. ................ 156,800
3,100 CMS Energy Corp. ............. 129,813
7,200 Consolidated Edison, Inc. .... 325,800
4,600 Constellation Energy Group.... 136,275
6,100 DTE Energy Company............ 244,000
6,000 Dominion Resources, Inc.(a)... 259,875
11,300 Duke Energy Corp. ............ 614,438
8,100 Edison International.......... 216,675
7,600 Entergy Corp. ................ 237,500
2,900 Florida Progress Corp. ....... 119,806
5,600 FPL Group, Inc. .............. 305,900
7,400 FirstEnergy Corp. ............ 229,400
</TABLE>
See notes to financial statements.
31
<PAGE> 33
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
UTILITIES (CONTINUED)
5,400 GPU, Inc. .................... $ 227,813
3,600 New Century Energies, Inc. ... 139,725
5,200 Niagara Mohawk Holdings,
Inc. ....................... 83,525
1,500 Nicor, Inc. .................. 57,094
6,400 Northern States Power
Company..................... 154,800
10,200 Peco Energy Company........... 427,125
11,900 PG & E Corp. ................. 386,750
6,600 PP & L Resources, Inc. ....... 202,950
1,700 PacifiCorp.................... 31,237
1,100 Peoples Energy Corp. ......... 41,456
6,900 Public Service Enterprise
Group, Inc. ................ 282,037
8,800 Reliant Energy, Inc. ......... 243,100
7,400 Sempra Energy................. 167,425
21,600 Southern Company.............. 572,400
8,800 Texas Utilities Company....... 363,000
6,700 Unicom Corp. ................. 258,369
-------------
TOTAL UTILITIES............... 7,659,464
-------------
TOTAL COMMON STOCK (Cost
$311,093,653)................. 330,137,059
-------------
PREFERRED STOCK -- 0.68%
AUTOMOBILES -- 0.09%
8,000 Federal-Mogul Financing Trust
144A........................ 471,000
-------------
LEISURE AND RECREATION --0.11%
13,000 Host Marriot Financing
Trust....................... 541,125
-------------
MANUFACTURING -- 0.17%
20,000 Owens Illinois, Inc. ......... 875,000
-------------
OIL AND GAS -- 0.10%
11,000 Tosco Financing Trust......... 536,250
-------------
TRANSPORTATION -- 0.21%
20,000 Union Pacific Capital Trust... 1,057,500
-------------
TOTAL PREFERRED STOCK (Cost
$3,191,600)................... 3,480,875
-------------
REGULATED INVESTMENT COMPANIES -- 1.90%
9,797,104 Merrimac Cash Fund -- Premium
Class(b) (Cost
$9,797,104)................. 9,797,104
-------------
<CAPTION>
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 12.51%
ADVERTISING 0.20%
$ 600,000 Omnicom Group, Inc., 144A,
2.25%, 01/06/13............. $ 1,008,750
-------------
BANKS -- 1.73%
9,000,000 Home Savings of America,
6.50%, 08/15/04............. 8,880,831
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.84%
275,000 EMC Corp., 3.25%, 03/15/02.... 1,355,063
9,000,000 IBM Corp., Medium-Term Note,
5.40%, 01/26/09............. 8,141,166
-------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT..................... 9,496,229
-------------
CONSTRUCTION -- 0.25%
1,250,000 Cemex SA, 10.75%, 07/15/00.... 1,288,754
-------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.18%
1,000,000 Allied Waste North America,
7.875%, 01/01/09............ 927,500
-------------
FINANCE -- 0.17%
900,000 Merrill Lynch, 0.25%,
05/10/06.................... 883,080
-------------
LEISURE AND RECREATION --0.19%
1,000,000 Harrah's Operating Co., Inc.,
7.875%, 12/15/05............ 967,500
-------------
MACHINERY -- 0.19%
1,000,000 American Standard, Inc.,
7.375%, 02/01/08............ 965,000
-------------
MANUFACTURING -- 0.56%
1,000,000 AK Steel Corp., 7.875%,
02/15/09.................... 960,000
1,000,000 Chancellor Media Corp.,
8.125%, 12/15/07............ 965,000
1,000,000 Flag Limited, 8.25%,
01/30/08.................... 940,000
-------------
TOTAL MANUFACTURING........... 2,865,000
-------------
MEDIA -- 0.73%
1,000,000 Falcon Holding Group L.P.,
9.285%, 04/15/10............ 700,000
750,000 Grupo Televisa S.A., 11.375%,
05/15/03.................... 766,875
400,000 Multicanal SA, 9.25%,
02/01/02.................... 348,000
1,000,000 Sinclair Broadcast Group,
9.00%, 07/15/07............. 987,500
1,000,000 Young Broadcasting, Inc.,
8.75%, 06/15/07............. 970,000
-------------
TOTAL MEDIA................... 3,772,375
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.19%
1,000,000 Tenet Healthcare Corp.,
8.625%, 01/15/07............ 985,000
-------------
</TABLE>
See notes to financial statements.
32
<PAGE> 34
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
OFFICE SUPPLIES AND EQUIPMENT -- 0.18%
$ 1,100,000 Office Depot, Inc., 0.00%,
11/01/08(c)................. $ 903,375
-------------
OIL AND GAS -- 0.17%
900,000 Diamond Offshore Drilling,
3.75%, 02/15/07............. 884,250
-------------
PRIVATE ASSET BACKED: FINANCE -- 0.36%
2,000,000 L.A. Arena Funding, LLC,
7.656%, 12/15/21............ 1,875,000
-------------
SPECIAL PURPOSE ENTITY --1.16%
6,000,000 U.S. West Captial Funding,
5.546%, 06/15/00............ 5,995,836
-------------
TELECOMMUNICATIONS -- 2.64%
1,000,000 Clear Channel Communications,
2.625%, 04/01/03............ 1,265,000
1,500,000 KPN/Qwest BV, 144A, 8.125%,
06/01/09.................... 1,462,500
1,000,000 NTL, Inc., 10.00%, 02/15/07... 1,035,000
1,000,000 Nextel Communications, 9.75%,
10/31/2007.................. 697,500
9,000,000 Sprint Capital Corp., 6.125%,
11/15/08.................... 8,387,550
750,000 Telefonica de Argentina,
8.375%, 10/01/00............ 751,284
-------------
TOTAL TELECOMMUNICATIONS...... 13,598,834
-------------
TRANSPORTATION -- 1.77%
9,000,000 CSX Corp., 7.45%, 05/01/07.... 9,114,138
-------------
TOTAL CORPORATES BOND AND
NOTES (Cost $67,247,427)...... 64,411,452
-------------
FOREIGN GOVERNMENT BONDS AND NOTES -- 3.48%
3,000,000 Deutschland Republic, 7.375%,
01/03/05.................... 3,585,735
3,174,301 Hellenic Republic, 8.60%,
03/26/08.................... 3,650,000
3,437,200 New Zealand Government, 8.00%,
04/15/04.................... 3,690,063
750,000 Republic of Argentina,
Floating Rate, 9.25%,
02/23/01.................... 740,625
738,000 Republic of Brazil, 7.375%,
01/01/01.................... 702,022
750,000 Republic of Panama, 7.875%,
02/13/02.................... 724,819
2,200,000 United Kingdom Gilts, 7.00%,
06/07/02.................... 3,610,042
1,250,000 United Mexican States,
Floating Rate, 6.52%,
06/27/02.................... 1,193,750
-------------
TOTAL FOREIGN GOVERNMENT BONDS
AND NOTES (Cost
$18,728,004).................. 17,897,056
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
US GOVERNMENT SECURITIES -- 14.63%
US TREASURY BONDS -- 4.70%
$ 6,175,000 7.25%, 05/15/16(a)............ $ 6,777,063
15,975,000 7.875%, 11/15/04(a)........... 17,442,703
-------------
TOTAL US TREASURY BONDS....... 24,219,766
-------------
US TREASURY NOTES -- 9.93%
20,000,000 5.50%, 12/31/00(a)............ 20,006,260
29,665,000 7.50%, 05/15/02(a)............ 31,101,913
-------------
TOTAL US TREASURY NOTES....... 51,108,173
-------------
TOTAL US GOVERNMENT SECURITIES
(Cost $76,233,418)............ 75,327,939
-------------
US GOVERNMENT AGENCY SECURITIES -- 14.60%
FANNIE MAE -- 9.14%
9,600,000 TBA, 6.00%, 08/01/29.......... 9,066,000
28,500,000 TBA, 7.00%, 08/01/29.......... 28,286,250
9,600,000 TBA, 7.50%, 09/01/29.......... 9,726,000
-------------
TOTAL FANNIE MAE.............. 47,078,250
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 5.46%
9,285,504 PL# 780743, 8.00%, 12/15/26... 9,544,588
19,200,000 TBA, 6.50%, 08/15/29.......... 18,552,000
-------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.......... 28,096,588
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$75,095,147).................. 75,174,838
-------------
COMMERCIAL PAPER -- 1.94%
10,000,000 General Motors Acceptance
Corp., 4.78%, 07/01/99 (Cost
$10,000,000)................ 10,000,000
-------------
TIME DEPOSITS -- 1.53%
3,817,013 BankBoston, N.A., 5.995%,
10/29/99(b)................. 3,817,013
1,292,737 Bank of Montreal, 4.87%,
07/21/99(b)................. 1,292,737
722,813 Royal Bank of Scotland PLC,
4.86%, 07/01/1999(b)........ 722,813
2,030,772 Royal Bank of Scotland PLC,
4.87%, 07/26/1999(b)........ 2,030,772
-------------
TOTAL TIME DEPOSITS (Cost
$7,863,335)................... 7,863,335
-------------
SHORT TERM CORPORATE NOTES -- 14.96%
12,000,000 First Union National Bank,
Floating Rate, 5.195%,
05/01/00(b)................. 12,000,000
20,000,000 JP Morgan Securities, Inc.,
Floating Rate, 6.105%,
10/12/99(b)................. 20,000,000
</TABLE>
See notes to financial statements.
33
<PAGE> 35
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$20,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
5.975%, 01/11/00(b)......... $ 20,000,000
25,000,000 Prudential Securities, Inc.,
Floating Rate, 6.25%,
03/10/00(b)................. 25,000,000
-------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $77,000,000)...... 77,000,000
-------------
TOTAL SECURITIES (Cost
$656,249,688)................. 671,089,658
-------------
REPURCHASE AGREEMENTS -- 0.98%
3,634,884 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase
proceeds at maturity
$3,635,313, (Collateralized
by Freddie Mac, 7.50%, due
04/01/07, with a value of
$3,816,758)................. 3,634,884
1,400,000 With Morgan Stanley Dean
Witter & Company dated
06/30/99, 4.12%, due
07/01/99, repurchase
proceeds at maturity
$1,400,160, (Collateralized
by U.S. Treasury Notes,
5.75%, due 06/30/01, with a
value of $1,432,013)........ 1,400,000
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
TOTAL REPURCHASE AGREEMENTS
(Cost $5,034,884)............. $ 5,034,884
-------------
Total Investments -- 131.34%
(Cost $661,284,572)........... $ 676,124,542
Liabilities less other
assets -- (31.34)%............ (161,327,290)
-------------
NET ASSETS -- 100.00%......... $ 514,797,252
=============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30,1999 is $661,284,572.
Gross unrealized appreciation.......... $ 27,663,346
Gross unrealized depreciation.......... (12,823,376)
------------
Net unrealized appreciation............ $ 14,839,970
============
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) -- American Depository Receipt.
See notes to financial statements.
34
<PAGE> 36
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 99.32%
AEROSPACE -- 3.70%
230,000 Northrop Grumman Corp. ...... $ 15,251,875
200,000 Textron, Inc. ............... 16,462,500
340,000 United Technologies.......... 24,373,750
--------------
TOTAL AEROSPACE.............. 56,088,125
--------------
AUTOMOBILES -- 2.26%
135,000 Delphi Automotive Systems.... 2,505,937
330,000 Ford Motor Company........... 18,624,375
200,000 General Motors Corp. ........ 13,200,000
--------------
TOTAL AUTOMOBILES............ 34,330,312
--------------
BANKS -- 8.00%
440,000 Bank of New York............. 16,142,500
300,000 Bank of America Corp. ....... 21,993,750
340,000 BankBoston Corp. ............ 17,382,500
260,000 Chase Manhattan Corp. ....... 22,522,500
270,000 Fleet Financial Group,
Inc. ...................... 11,981,250
440,000 Mellon Bank Corp. ........... 16,005,000
360,000 Wells Fargo & Company........ 15,390,000
--------------
TOTAL BANKS.................. 121,417,500
--------------
CHEMICALS -- 3.52%
170,000 Dow Chemicals Co. ........... 21,568,750
290,000 du Pont (E.I.) de
Nemours(a)................. 19,810,625
280,000 Rohm & Haas Company.......... 12,005,000
--------------
TOTAL CHEMICALS.............. 53,384,375
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.64%
400,000 Pitney Bowes, Inc. .......... 25,700,000
500,000 Xerox Corp.(a)............... 29,531,250
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 55,231,250
--------------
CONSUMER GOODS AND SERVICES -- 7.34%
540,000 Avon Products, Inc. ......... 29,970,000
180,000 Colgate-Palmolive Company.... 17,775,000
300,000 Dana Corp. .................. 13,818,750
440,000 General Electric Company..... 49,720,000
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 111,283,750
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 3.40%
170,000 Eaton Corp.(a)............... $ 15,640,000
420,000 Edison International......... 11,235,000
280,000 Emerson Electric............. 17,605,000
150,000 Thomas & Betts Corp. ........ 7,087,500
--------------
TOTAL ELECTRONICS............ 51,567,500
--------------
FINANCE -- 2.20%
200,000 Fannie Mae................... 13,675,000
140,000 J.P. Morgan & Company(a)..... 19,670,000
--------------
TOTAL FINANCE................ 33,345,000
--------------
INSURANCE -- 5.74%
220,000 Chubb Corp.(a)............... 15,290,000
270,000 CIGNA Corp. ................. 24,030,000
520,000 Citigroup.................... 24,700,000
440,000 Lincoln National Corp. ...... 23,017,500
--------------
TOTAL INSURANCE.............. 87,037,500
--------------
MACHINERY -- 2.39%
340,000 Caterpiller Inc. ............ 20,400,000
400,000 Deere & Co. ................. 15,850,000
--------------
TOTAL MACHINERY.............. 36,250,000
--------------
MANUFACTURING -- 3.92%
190,000 Honeywell, Inc.(a)........... 22,016,250
170,000 Minnesota Mining &
Manufacturing.............. 14,779,375
240,000 Tyco International Ltd.(a)... 22,740,000
--------------
TOTAL MANUFACTURING.......... 59,535,625
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.00%
250,000 Baxter International,
Inc. ...................... 15,156,250
--------------
METALS AND MINING -- 2.42%
260,000 Alcoa, Inc. ................. 16,087,500
190,000 Phelps Dodge Corp. .......... 11,768,125
150,000 Reynolds Metals Company...... 8,850,000
--------------
TOTAL METALS AND MINING...... 36,705,625
--------------
</TABLE>
See notes to financial statements.
35
<PAGE> 37
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS -- 17.66%
190,000 BP Amoco PLC -- (ADR)(a)..... $ 20,615,000
160,000 Atlantic Richfield Company... 13,370,000
380,000 Baker Hughes, Inc. .......... 12,730,000
160,000 Chevron Corp. ............... 15,230,000
230,000 CMS Energy Corp.(a).......... 9,631,250
310,000 Consolidated Natural Gas..... 18,832,500
440,000 Diamond Offshore Drilling,
Inc. ...................... 12,485,000
480,000 El Paso Energy Corp. ........ 16,890,000
310,000 Enron Corp. ................. 25,342,500
300,000 Exxon Corp. ................. 23,137,500
350,000 Halliburton Company.......... 15,837,500
220,000 Mobil Corp. ................. 21,780,000
260,000 Schlumberger, Ltd. .......... 16,558,750
250,000 Texaco, Inc. ................ 15,625,000
700,000 Williams Companies, Inc. .... 29,793,750
--------------
TOTAL OIL AND GAS............ 267,858,750
--------------
PAPER AND FOREST PRODUCTS -- 6.60%
300,000 Bowater, Inc. ............... 14,175,000
460,000 Georgia-Pacific Group........ 21,792,500
620,000 International Paper
Company.................... 31,310,000
210,000 Temple Inland, Inc. ......... 14,332,500
270,000 Weyerhaeuser Company(a)...... 18,562,500
--------------
TOTAL PAPER AND FOREST
PRODUCTS..................... 100,172,500
--------------
PHARMACEUTICALS -- 6.74%
380,000 American Home Products
Corp. ..................... 21,850,000
280,000 Bristol-Myers Squibb
Company.................... 19,722,500
50,000 Eli Lilly & Company.......... 3,581,250
220,000 Merck & Company, Inc. ....... 16,280,000
330,000 Pharmacia & Upjohn, Inc. .... 18,748,125
230,000 SmithKline Beecham PLC
(ADR)...................... 15,194,375
100,000 Warner-Lambert Company....... 6,937,500
--------------
TOTAL PHARMACEUTICALS........ 102,313,750
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PUBLISHING -- 1.32%
370,000 McGraw-Hill Companies,
Inc. ...................... $ 19,956,875
--------------
REAL ESTATE INVESTMENT TRUSTS -- 2.64%
140,000 Avalonbay Communities,
Inc. ...................... 5,180,000
220,000 Boston Properties Inc. ...... 7,892,500
360,000 Crescent Real Estate Equity
Company.................... 8,550,000
320,000 Equity Office Properties..... 8,200,000
170,000 Equity Residential
Properties................. 7,660,625
90,000 Health Care Property
Investment, Inc. .......... 2,598,750
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 40,081,875
--------------
TELECOMMUNICATIONS -- 11.84%
320,000 Ameritech Corp. ............. 23,520,000
465,000 AT & T Corp. ................ 25,952,813
340,000 Bell Atlantic Corp. ......... 22,227,500
420,000 Bellsouth Corp. ............. 19,687,500
280,000 Frontier Corp. .............. 16,520,000
260,000 GTE Corp. ................... 19,695,000
390,000 SBC Communications, Inc. .... 22,620,000
300,000 Sprint Corp. (FON Grp.)...... 15,843,750
230,000 US West, Inc. ............... 13,512,500
--------------
TOTAL TELECOMMUNICATIONS..... 179,579,063
--------------
TOBACCO -- 0.69%
260,000 Philip Morris Companies,
Inc. ...................... 10,448,750
--------------
UTILITIES: ELECTRIC -- 2.30%
230,000 Carolina Power & Light(a).... 9,846,875
290,000 Duke Energy Corp. ........... 15,768,750
170,000 FPL Group, Inc. ............. 9,286,250
--------------
TOTAL UTILITIES: ELECTRIC.... 34,901,875
--------------
TOTAL COMMON STOCK (Cost
$986,486,526)................ 1,506,646,250
--------------
</TABLE>
See notes to financial statements.
36
<PAGE> 38
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
REGULATED INVESTMENT COMPANY -- 0.00%
10 Merrimac Cash Fund -- Premium
Class(b) (Cost $10)........ $ 10
--------------
PRINCIPAL
- -----------
COMMERCIAL PAPER -- 0.20%
$ 100,000 American Express Credit
Corp., 5.05%, 07/22/99..... 99,705
100,000 General Electric Capital Co.,
4.81%, 07/07/99............ 99,920
200,000 General Electric Capital Co.,
4.90%, 07/22/99............ 199,428
500,000 MCI Worldcom, Inc., 5.02%,
07/13/99................... 499,163
600,000 Sears Roebuck Acceptance,
5.13%, 07/20/99............ 598,376
1,500,000 TRW, Inc., 5.25%, 07/13/99... 1,497,375
--------------
TOTAL COMMERCIAL PAPER (Cost
$2,993,967).................. 2,993,967
--------------
TIME DEPOSITS -- 0.62%
3,931,197 BankBoston, N.A., 5.995%,
10/29/99(b)................ 3,931,197
1,854,595 Bank of Montreal, 4.87%,
07/21/99(b)................ 1,854,595
3,573,878 Royal Bank of Scotland,
4.86%, 07/01/99(b)......... 3,573,878
10 Royal Bank of Scotland,
4.87%, 07/26/99(b)......... 10
--------------
TOTAL TIME DEPOSITS
(Cost $9,359,680)............ 9,359,680
--------------
SHORT TERM CORPORATE NOTES -- 5.27%
25,000,000 Bear Stearns and Co., Inc.,
Floating Rate, 6.005%(++),
12/27/99(b)................ 25,000,000
5,000,000 First Union National Bank,
Floating Rate, 5.195%(++),
05/01/00(b)................ 5,000,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$10,000,000 JP Morgan Securities, Inc.,
Floating Rate, 6.105%(++),
10/12/99(b)................ $ 10,000,000
30,000,000 Morgan Stanley Dean Witter &
Co., Floating Rate,
5.975%(++), 01/11/00(b).... 30,000,000
10,000,000 Morgan Stanley Dean Witter &
Co., 6.105%, 07/01/99(b)... 10,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $80,000,000)..... 80,000,000
--------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
0.01%
100,000 Freddie Mac, 4.69%, 07/14/99
(Cost $99,831)............. 99,831
--------------
Total Investments -- 105.42%
(Cost $1,078,940,014)........ 1,599,099,738
Liabilities less other
assets -- (5.42)%............ (82,185,143)
--------------
NET ASSETS -- 100.00%........ $1,516,914,595
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 1999 is $1,078,940,014.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation.......... $524,958,153
Gross unrealized depreciation.......... (4,798,429)
------------
Net unrealized appreciation............ $520,159,724
============
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(ADR) -- American Depository Receipts.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
1999.
See notes to financial statements.
37
<PAGE> 39
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 96.89%
AEROSPACE -- 1.19%
141,700 Lockheed Martin Corp. ......... $ 5,278,325
------------
AUTOMOBILES -- 0.88%
69,300 Ford Motor Company............. 3,911,119
------------
AUTOMOTIVE PRODUCTS -- 0.65%
154,800 Delphi Automotive Systems
Corp. ....................... 2,873,475
------------
BANKS -- 7.87%
157,300 BankBoston Corp. .............. 8,041,962
143,900 Bank of America Corp. ......... 10,549,669
77,800 Bank One Corp. ................ 4,633,962
74,700 Household International,
Inc. ........................ 3,538,912
35,000 KeyCorp. ...................... 1,124,375
198,600 Washington Mutual, Inc. ....... 7,025,475
------------
TOTAL BANKS.................... 34,914,355
------------
CHEMICALS -- 4.20%
162,600 Air Products & Chemicals....... 6,544,650
84,300 PPG Industries, Inc. .......... 4,978,969
145,300 Praxair, Inc. ................. 7,110,619
------------
TOTAL CHEMICALS................ 18,634,238
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.77%
354,600 Compaq Computer Corp. ......... 8,399,587
151,900 Seagate Technology, Inc.(c).... 3,892,438
------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT...................... 12,292,025
------------
CONSUMER GOODS AND SERVICES -- 6.56%
200,400 Dana Corp. .................... 9,230,925
113,000 Eastman Kodak.................. 7,655,750
95,000 Kimberly-Clark Corp. .......... 5,415,000
146,200 Newell Rubbermaid, Inc.(a)..... 6,798,300
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 29,099,975
------------
DEFENSE -- 1.29%
59,400 Raytheon Company -- Class A.... 4,091,175
23,000 Raytheon Company -- Class B.... 1,618,625
------------
TOTAL DEFENSE.................. 5,709,800
------------
ELECTRIC -- INTEGRATED -- 0.88%
95,500 Public Service Enterprise
Group, Inc. ................. 3,903,563
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 1.31%
92,800 Emerson Electric............... $ 5,834,800
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.20%
99,400 Waste Management, Inc. ........ 5,342,750
------------
FINANCE -- 0.75%
42,100 Loews Corp. ................... 3,331,163
------------
FOOD AND BEVERAGE -- 5.11%
534,197 Archer Daniels Midland......... 8,246,666
65,800 Bestfoods...................... 3,257,100
238,700 ConAgra, Inc. ................. 6,355,387
207,100 Pepsi Bottling Group, Inc. .... 4,776,244
------------
TOTAL FOOD AND BEVERAGE........ 22,635,397
------------
INSURANCE -- 10.59%
117,400 Aetna, Inc. ................... 10,499,962
232,800 Allstate Corp. ................ 8,351,700
139,000 Chubb Corp. ................... 9,660,500
69,300 CIGNA Corp. ................... 6,167,700
205,200 St. Paul Companies............. 6,527,925
104,600 UNUM Corp. .................... 5,726,850
------------
TOTAL INSURANCE................ 46,934,637
------------
MACHINERY -- 2.49%
174,900 Crown Cork & Seal, Inc. ....... 4,984,650
152,900 Deere & Company................ 6,058,662
------------
TOTAL MACHINERY................ 11,043,312
------------
MANUFACTURING -- 1.73%
265,400 Masco Corp.(a)................. 7,663,425
------------
MEDIA -- 0.90%
55,900 Gannett Company, Inc. ......... 3,989,862
------------
MEDICAL AND OTHER HEALTH SERVICES -- 4.03%
140,900 Baxter International, Inc. .... 8,542,062
121,200 McKesson HBOC, Inc. ........... 3,893,550
292,300 Tenet Healthcare Corp.(c)...... 5,425,819
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 17,861,431
------------
</TABLE>
See notes to financial statements.
38
<PAGE> 40
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS -- 13.93%
78,500 Amerada Hess Corp. ............ $ 4,670,750
30,600 Atlantic Richfield Company..... 2,557,012
162,200 Burlington Resources, Inc. .... 7,015,150
339,600 Conoco, Inc. .................. 9,466,350
114,400 duPont (E.I.) de Nemours....... 7,814,950
103,200 Halliburton Company............ 4,669,800
105,000 USX-Marathon Group............. 3,419,063
175,400 Occidental Petroleum........... 3,705,325
36,500 Schlumberger Ltd. ............. 2,324,594
94,700 Tenneco, Inc. ................. 2,260,963
30,000 Texaco, Inc. .................. 1,875,000
6,400 Tosco Corp. ................... 166,000
288,200 Union Pacific Resources
Group........................ 4,701,263
179,300 Unocal Corp. .................. 7,104,763
------------
TOTAL OIL AND GAS.............. 61,750,983
------------
PAPER AND FOREST PRODUCTS -- 5.21%
124,000 Champion International......... 5,936,500
228,800 Fort James Corp. .............. 8,665,800
168,000 International Paper
Company(a)................... 8,484,000
------------
TOTAL PAPER AND FOREST
PRODUCTS..................... 23,086,300
------------
RETAIL -- 4.62%
161,500 Federated Department
Stores(c).................... 8,549,406
157,200 May Department Stores(a)....... 6,425,550
123,400 Sears, Roebuck & Company....... 5,499,013
------------
TOTAL RETAIL................... 20,473,969
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS -- 7.48%
112,000 AT&T Corp.(a).................. $ 6,251,000
126,802 Bell Atlantic Corp. ........... 8,289,681
136,000 GTE Corp. ..................... 10,302,000
141,500 US West, Inc. ................. 8,313,125
------------
TOTAL TELECOMMUNICATIONS....... 33,155,806
------------
TIRE AND RUBBER -- 1.47%
110,900 Goodyear Tire & Rubber Company . 6,522,306
------------
TRANSPORTATION -- 5.73%
60,500 Allied Signal, Inc. ........... 3,811,500
280,500 Burlington Northern Santa Fe... 8,695,500
163,700 CSX Corp. ..................... 7,417,656
181,900 Norfolk Southern Corp. ........ 5,479,738
------------
TOTAL TRANSPORTATION........... 25,404,394
------------
UTILITIES: ELECTRIC -- 4.05%
93,400 American Electric Power,
Inc.(a)...................... 3,508,337
152,700 FirstEnergy Corp. ............. 4,733,700
76,600 FPL Group, Inc. ............... 4,184,275
133,600 Texas Utilities Company........ 5,511,000
------------
TOTAL UTILITIES: ELECTRIC...... 17,937,312
------------
TOTAL COMMON STOCK (Cost
$412,210,217).................. 429,584,722
------------
REGULATED INVESTMENT COMPANY -- 0.39%
1,732,194 Merrimac Cash Fund -- Premium
Class(b) (Cost $1,732,194)... 1,732,194
------------
</TABLE>
See notes to financial statements.
39
<PAGE> 41
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 3.61%
$ 2,000,000 First Union National Bank,
5.195%, 05/01/00(b).......... $ 2,000,000
14,000,000 Prudential Securities, Inc.,
6.25%, 03/10/00(b)........... 14,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $16,000,000)....... 16,000,000
------------
TIME DEPOSITS -- 1.37%
54,188 BankBoston, N.A., 5.995%,
10/29/99(b).................. 54,188
830,107 Bank of Montreal, 4.87%,
07/21/99(b).................. 830,107
4,465,609 Royal Bank of Scotland, 4.86%,
07/01/99(b).................. 4,465,609
721,202 Royal Bank of Scotland, 4.87%,
07/26/99(b).................. 721,202
------------
TOTAL TIME DEPOSITS (Cost
$6,071,106).................... 6,071,106
------------
TOTAL SECURITIES (Cost
$436,013,517).................. 453,388,022
------------
REPURCHASE AGREEMENT -- 0.86%
3,809,792 With Investors Bank & Trust
dated 06/30/99, 4.25%, due
07/01/99, repurchase proceeds
at maturity $3,810,241
(Collateralized by Freddie
Mac, 6.881%, due 10/01/23,
with a value of $4,000,406)
(Cost $3,809,792)............ 3,809,792
------------
Total Investments -- 103.12%
(Cost $439,823,309)............ 457,197,814
Liabilities less other
assets -- (3.12)%.............. (13,819,696)
------------
NET ASSETS -- 100.00%.......... $443,378,118
============
The aggregate cost of securities for federal income tax
purposes at June 30, 1999 is $439,823,309.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation............ $ 36,610,075
Gross unrealized depreciation............ (19,235,570)
------------
Net unrealized appreciation.............. $ 17,374,505
============
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
See notes to financial statements.
40
<PAGE> 42
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 99.46%
ADVERTISING -- 1.40%
166,200 Interpublic Group, Inc.(a)... $ 14,397,075
--------------
AEROSPACE -- 2.59%
101,100 AlliedSignal, Inc. .......... 6,369,300
283,700 United Technologies Corp. ... 20,337,744
--------------
TOTAL AEROSPACE.............. 26,707,044
--------------
BANKS -- 4.69%
107,900 Bank of America Corp. ....... 7,910,419
83,600 Comerica, Inc. .............. 4,968,975
118,300 Fifth Third Bancorp(a)....... 7,874,344
99,500 First Security Corp. ........ 2,711,375
470,376 Firstar Corp. ............... 13,170,528
30,900 Northern Trust Corp. ........ 2,997,300
180,800 Wells Fargo Company.......... 7,729,200
15,100 Zions Bancorporation......... 958,850
--------------
TOTAL BANKS.................. 48,320,991
--------------
CHEMICALS -- 1.46%
97,200 du Pont (E.I.) de Nemours.... 6,639,975
172,100 Praxair, Inc. ............... 8,422,144
--------------
TOTAL CHEMICALS.............. 15,062,119
--------------
BROADCAST SERVICES -- 3.77%
455,816 AT&T Corp. -- Liberty Media
Group -- Class A(c)........ 16,751,238
60,500 Clear Channel Communications,
Inc.(c).................... 4,170,719
138,500 Comcast Corp. ............... 5,323,594
169,700 MediaOne Group, Inc.(a)(c)... 12,621,438
--------------
TOTAL BROADCAST SERVICES..... 38,866,989
--------------
COMPUTER SOFTWARE AND SERVICES -- 9.41%
66,900 America Online, Inc.(c)...... 7,392,450
293,200 Cisco Systems, Inc.(c)....... 18,911,400
33,600 CMGI, Inc.(a)(c)............. 3,832,500
70,550 Comverse Technology,
Inc.(c).................... 5,326,525
471,400 Microsoft Corp.(c)........... 42,514,387
181,600 Sun Microsystems, Inc.(c).... 12,507,700
166,200 Unisys Corp.(c).............. 6,471,413
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 96,956,375
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 5.29%
99,100 Apple Computer, Inc.(a)(c)... 4,589,569
92,800 EMC Corp.(c)................. 5,104,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT (CONTINUED)
97,300 Hewlett-Packard Co. ......... $ 9,778,650
176,900 International Business
Machines Corp. ............ 22,864,325
44,100 Lexmark International Group,
Inc.(c).................... 2,913,356
144,900 Pitney Bowes, Inc. .......... 9,309,825
--------------
TOTAL COMPUTER AND OFFICE
EQUIPMENT.................... 54,559,725
--------------
CONSUMER GOODS AND SERVICES -- 5.77%
55,600 Clorox Company(a)............ 5,938,775
101,500 Colgate-Palmolive Company.... 10,023,125
330,000 General Electric Company..... 37,290,000
108,900 Kimberly-Clark Corp. ........ 6,207,300
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 59,459,200
--------------
ELECTRONICS -- 3.56%
233,700 Motorola, Inc. .............. 22,143,075
136,100 Solectron Corp.(c)........... 9,076,169
37,800 Texas Instruments, Inc. ..... 5,481,000
--------------
TOTAL ELECTRONICS............ 36,700,244
--------------
FINANCIAL SERVICES -- 6.34%
114,500 American Express
Company(a)................. 14,899,312
98,300 Capital One Financial
Corp. ..................... 5,474,081
81,800 Charles Schwab Corp. ........ 8,987,775
438,300 Citigroup, Inc. ............. 20,819,250
68,000 Morgan Stanley Dean Witter &
Co. ....................... 6,970,000
87,100 Providian Financial Corp. ... 8,143,850
--------------
TOTAL FINANCIAL SERVICES..... 65,294,268
--------------
FOOD AND BEVERAGE -- 0.90%
187,500 Safeway, Inc.(c)............. 9,281,250
--------------
INSURANCE -- 3.11%
99,400 AFLAC Inc. .................. 4,758,775
83,000 American General Corp. ...... 6,256,125
179,400 American International
Group...................... 21,001,013
--------------
TOTAL INSURANCE.............. 32,015,913
--------------
LEISURE AND
RECREATION -- 0.84%
178,000 Carnival Corp., Class A...... 8,633,000
--------------
MANUFACTURING -- 4.61%
41,500 Honeywell, Inc. ............. 4,808,812
</TABLE>
See notes to financial statements.
41
<PAGE> 43
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MANUFACTURING (CONTINUED)
64,700 Sealed Air Corp.(a)(c)....... $ 4,197,413
406,200 Tyco International Ltd.(a)... 38,487,450
--------------
TOTAL MANUFACTURING.......... 47,493,675
--------------
MEDIA -- 3.78%
312,400 Time Warner Inc. ............ 22,961,400
363,800 Viacom Inc. Class B(c)....... 16,007,200
--------------
TOTAL MEDIA.................. 38,968,600
--------------
MEDICAL -- BIOMEDICAL -- 1.52%
103,900 Amgen, Inc.(c)............... 6,324,913
114,000 Biogen, Inc.(c).............. 7,331,625
16,000 Immunex Corp.(c)............. 2,039,000
--------------
TOTAL MEDICAL --BIOMEDICAL... 15,695,538
--------------
MEDICAL PRODUCTS -- 1.67%
65,200 Bausch & Lomb, Inc. ......... 4,987,800
124,900 Johnson & Johnson............ 12,240,200
--------------
TOTAL MEDICAL PRODUCTS....... 17,228,000
--------------
OIL AND GAS -- 3.33%
148,100 Conoco, Inc.(a).............. 4,128,287
162,500 Enron Corp. ................. 13,284,375
218,900 Exxon Corp. ................. 16,882,662
--------------
TOTAL OIL AND GAS............ 34,295,324
--------------
PHARMACEUTICALS -- 6.05%
33,300 Allergan, Inc. .............. 3,696,300
196,600 American Home Products
Corp. ..................... 11,304,500
193,100 Pharmacia & Upjohn, Inc. .... 10,970,494
399,200 Schering-Plough Corp. ....... 21,157,600
220,300 Warner Lambert Company....... 15,283,313
--------------
TOTAL PHARMACEUTICALS........ 62,412,207
--------------
RETAIL -- 13.23%
34,500 Amazon.com, Inc.(a)(c)....... 4,316,812
102,700 Best Buy Co., Inc.(c)........ 6,932,250
190,900 Costco Companies, Inc.(c).... 15,283,931
291,900 CVS Corp. ................... 14,923,387
89,400 Dayton Hudson Corp. ......... 5,811,000
241,800 Estee Lauder Companies --
Class A(a)................. 12,120,225
160,275 Gap, Inc. ................... 8,073,853
274,200 Home Depot, Inc. ............ 17,668,762
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
35,200 NIKE, Inc. .................. $ 2,228,600
351,000 TJX Companies, Inc. ......... 11,692,688
537,000 Wal-Mart Stores, Inc. ....... 25,910,250
389,700 Walgreen Company............. 11,447,438
--------------
TOTAL RETAIL................. 136,409,196
--------------
TELECOMMUNICATIONS -- 14.93%
67,300 ALLTEL Corp. ................ 4,811,950
214,700 BellSouth Corp. ............. 10,064,062
425,900 Lucent Technologies.......... 28,721,631
253,300 MCI Worldcom, Inc.(c)........ 21,847,125
119,678 Nokia Corp. (ADR)............ 10,958,017
65,900 Qualcom, Inc.(a)(c).......... 9,456,650
389,400 SBC Communications, Inc. .... 22,585,200
410,200 Sprint Corp. (Fon Group)..... 21,663,687
88,400 Sprint Corp. (PCS
Group)(c).................. 5,049,850
144,500 Tellabs, Inc.(c)............. 9,762,781
45,700 Vodafone AirTouch PLC
(ADR)...................... 9,002,900
--------------
TOTAL TELECOMMUNICATIONS..... 153,923,853
--------------
TRANSPORTATION -- 1.21%
142,200 FDX Corp.(a)(c).............. 7,714,350
82,000 Union Pacific Corp. ......... 4,781,625
--------------
TOTAL TRANSPORTATION......... 12,495,975
--------------
TOTAL COMMON STOCK
(Cost $787,212,944)........ 1,025,176,561
--------------
<CAPTION>
PRINCIPAL
- -----------
<C> <S> <C>
REGULATED INVESTMENT COMPANY -- 0.00%
$ 100 Merrimac Cash Fund -- Premium
Class (b) (Cost $100)...... 100
--------------
TIME DEPOSITS -- 2.85%
2,235,052 BankBoston, N.A.,
5.995%, 10/29/99(b)........ 2,235,052
19,941,152 Bank of Montreal,
4.87%, 07/21/99(b)......... 19,941,152
5,422,829 Royal Bank of Scotland,
4.86%, 07/01/99(b)......... 5,422,829
1,768,714 Royal Bank of Scotland,
4.87%, 07/26/99(b)......... 1,768,714
--------------
TOTAL TIME DEPOSITS
(Cost $29,367,747)......... 29,367,747
--------------
</TABLE>
See notes to financial statements.
42
<PAGE> 44
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE
NOTES -- 4.27%
$ 6,000,000 First Union National Bank,
Floating Rate, 5.195%,
05/01/00(b)................ $ 6,000,000
10,000,000 JP Morgan Securities, Inc.,
Floating Rate, 6.105%,
10/12/99(b)................ 10,000,000
13,000,000 Morgan Stanley Dean Witter &
Co., Floating Rate, 5.975%,
01/11/00(b)................ 13,000,000
15,000,000 Prudential Securities, Inc.,
Floating Rate, 6.25%,
03/10/00(b)................ 15,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $44,000,000)........... 44,000,000
--------------
TOTAL SECURITIES
(Cost $860,580,791)........ 1,098,544,408
--------------
REPURCHASE AGREEMENTS --0.44%
4,550,117 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase
proceeds at maturity
$4,550,655 (Collateralized
by Federal Home Loan Bank,
6.395%, due 10/15/02 with a
value of $4,784,356) (Cost
$4,550,117)................ 4,550,117
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES
(CONTINUED)
Total Investments -- 107.02%
(Cost $865,130,908)........ 1,103,094,525
Liabilities less other
assets -- (7.02)%.......... (72,328,123)
--------------
NET ASSETS -- 100.00%........ $1,030,766,402
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of investments for federal income tax
purposes at June 30, 1999 is $865,130,908.
The following amount is based on costs for federal
income tax purposes:
Gross unrealized appreciation......... $244,253,279
Gross unrealized depreciation......... (6,289,662)
------------
Net unrealized appreciation........... $237,963,617
============
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) -- American Depository Receipts.
See notes to financial statements.
43
<PAGE> 45
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 96.30%
ADVERTISING -- 1.74%
95,000 Clear Channel Communications,
Inc. ........................ $ 6,549,062
113,700 Interpublic Group, Inc.(a)..... 9,849,263
------------
TOTAL ADVERTISING.............. 16,398,325
------------
BANKS -- 0.85%
65,000 Associates First Capital
Corp. ....................... 2,880,312
140,000 Bank of New York............... 5,136,250
------------
TOTAL BANKS.................... 8,016,562
------------
BEVERAGES -- 0.64%
85,000 Anheuser-Busch Companies,
Inc. ........................ 6,029,687
------------
COMPUTER SOFTWARE AND SERVICES -- 10.80%
133,000 America Online, Inc.(c)........ 14,696,500
441,900 Cisco Systems, Inc.(a)(c)...... 28,502,550
116,500 Electronic Arts(c)............. 6,320,125
433,100 Microsoft Corp.(a)(c).......... 39,060,206
190,100 Oracle Corp. .................. 7,057,463
17,500 PE Corp-Celera Genomics
Group(c)..................... 283,281
34,000 Yahoo!, Inc.(c)................ 5,856,500
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 101,776,625
------------
COMPUTERS AND OFFICE EQUIPMENT -- 5.05%
125,000 Dell Computer Corp.(c)......... 4,625,000
297,500 EMC Corp.(a)(c)................ 16,362,500
215,600 Hewlett-Packard Company(a)..... 21,667,800
38,000 International Business
Machines..................... 4,911,500
------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT...................... 47,566,800
------------
CONSTRUCTION -- 0.30%
50,000 Lowe's Companies, Inc. ........ 2,834,375
------------
CONSUMER GOODS AND SERVICES -- 10.89%
55,000 Colgate-Palmolive Company...... 5,431,250
350,600 General Electric Company....... 39,617,800
577,000 Gillette Company............... 23,657,000
148,300 Newell Rubbermaid, Inc.(a)..... 6,895,950
302,500 Proctor & Gamble Company....... 26,998,125
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 102,600,125
------------
DEFENSE -- 0.83%
75,000 General Dynamics Corp.(a)...... 5,137,500
38,000 United Technologies Corp. ..... 2,724,125
------------
TOTAL DEFENSE.................. 7,861,625
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 2.80%
29,400 Circuit City Stores............ $ 2,734,200
227,100 Electronic Data Systems........ 12,845,344
162,400 Solectron Corp.(c)............. 10,830,050
------------
TOTAL ELECTRONICS.............. 26,409,594
------------
FINANCE -- 2.73%
96,300 American Express Company....... 12,531,037
120,000 Citigroup, Inc. ............... 5,700,000
110,000 Fannie Mae..................... 7,521,250
------------
TOTAL FINANCE.................. 25,752,287
------------
FOOD AND BEVERAGE -- 4.15%
164,800 Bestfoods...................... 8,157,600
403,600 Coca-Cola Company.............. 25,225,000
185,000 Coca-Cola Enterprises,
Inc.(a)...................... 5,688,750
------------
TOTAL FOOD AND BEVERAGE........ 39,071,350
------------
INSURANCE -- 2.57%
206,500 American International Group... 24,173,406
------------
LEISURE AND RECREATION -- 3.45%
245,900 Carnival Corp. ................ 11,926,150
274,300 Marriot International, Inc.,
Class A(a)................... 10,251,962
333,900 Walt Disney Company............ 10,288,294
------------
TOTAL LEISURE AND RECREATION... 32,466,406
------------
MANUFACTURING -- 2.94%
35,000 PE Corp-PE Biosystems Group.... 4,016,250
250,000 Tyco International Ltd.(a)..... 23,687,500
------------
TOTAL MANUFACTURING............ 27,703,750
------------
MEDIA -- 0.43%
55,000 Time Warner, Inc. ............. 4,042,500
------------
MEDICAL AND OTHER HEALTH SERVICES -- 6.77%
37,000 Bausch & Lomb, Inc. ........... 2,830,500
335,200 Boston Scientific
Corp.(a)(c).................. 14,727,850
57,000 Cardinal Health, Inc.(a)....... 3,655,125
280,600 Johnson & Johnson(a)........... 27,498,800
193,600 Medtronics, Inc. .............. 15,076,600
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 63,788,875
------------
OIL AND GAS -- 0.90%
100,000 Conoco, Inc. .................. 2,787,500
70,000 Enron Corp. ................... 5,722,500
------------
TOTAL OIL AND GAS.............. 8,510,000
------------
</TABLE>
See notes to financial statements.
44
<PAGE> 46
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PHARMACEUTICALS -- 11.23%
140,000 Alza Corp.(c).................. $ 7,122,500
90,000 American Home Products
Corp. ....................... 5,175,000
248,100 Bristol-Myers Squibb Company... 17,475,544
221,100 Eli Lilly & Company............ 15,836,287
45,000 Forest Laboratories, Inc.(c)... 2,081,250
190,400 Merck & Company, Inc. ......... 14,089,600
292,800 Pfizer, Inc. .................. 32,134,800
30,000 Sepracor, Inc.(a)(c)........... 2,437,500
136,000 Warner-Lambert Company......... 9,435,000
------------
TOTAL PHARMACEUTICALS.......... 105,787,481
------------
RESTAURANTS -- 2.53%
508,700 McDonald's Corp. .............. 21,015,669
52,000 Tricon Global Restaurants,
Inc.(c)...................... 2,814,500
------------
TOTAL RESTAURANTS.............. 23,830,169
------------
RETAIL -- 7.03%
135,500 Costco Companies, Inc. ........ 10,848,469
80,000 Dayton-Hudson Corp. ........... 5,200,000
219,750 Gap Stores..................... 11,069,906
338,400 Home Depot, Inc. .............. 21,805,650
66,000 Nike, Inc. .................... 4,178,625
54,900 Nordstrom, Inc. ............... 1,839,150
105,000 Office Depot, Inc.(c).......... 2,316,563
53,000 Safeway, Inc.(c)............... 2,623,500
70,000 Walgreen Company............... 2,056,250
90,000 Wal-Mart Stores, Inc. ......... 4,342,500
------------
TOTAL RETAIL................... 66,280,613
------------
SEMICONDUCTORS -- 3.65%
90,000 Altera Corp.(c)................ 3,313,125
446,100 Intel Corp. ................... 26,542,950
22,000 STMicroelectronics N.V.(a)..... 1,526,250
21,000 Texas Instruments, Inc. ....... 3,045,000
------------
TOTAL SEMICONDUCTORS........... 34,427,325
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS -- 11.26%
37,000 Global TeleSytems Group,
Inc.(a)(c)................... $ 2,997,000
55,000 GTE Corp. ..................... 4,166,250
90,000 LM Ericsson (ADR).............. 2,964,375
240,250 Lucent Technologies............ 16,201,859
356,800 MCI Worldcom, Inc.(a)(c)....... 30,774,000
85,000 Motorola, Inc. ................ 8,053,750
121,000 Nextel Communications, Inc.
Class A(a)(c)................ 6,072,688
169,000 Nokia Corp. (ADR).............. 15,474,063
49,000 Qualcom, Inc.(a)(c)............ 7,031,500
45,000 SBC Communications, Inc. ...... 2,610,000
143,800 Tellabs, Inc.(c)............... 9,715,488
------------
TOTAL TELECOMMUNICATIONS....... 106,060,973
------------
THERAPEUTICS -- 1.69%
250,000 Amgen, Inc.(c)................. 15,218,750
42,000 SangStat Medical Corp.(a)(c)... 724,500
------------
TOTAL THERAPEUTICS............. 15,943,250
------------
TOBACCO -- 1.07%
250,000 Philip Morris Companies,
Inc. ........................ 10,046,875
------------
TOTAL COMMON STOCK (Cost
$656,389,877).................. 907,378,978
------------
REGULATED INVESTMENT COMPANIES -- 0.51%
4,862,896 Merrimac Cash Fund -- Premium
Class(b) (Cost $4,862,896)... 4,862,896
------------
<CAPTION>
PRINCIPAL
- -----------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 3.82%
$ 5,000,000 Goldman Sachs & Company, 4.90%,
02/04/00(b).................. 5,000,000
10,000,000 JP Morgan Securities, Inc.,
Floating Rate, 6.105% (++),
10/12/99(b).................. 10,000,000
21,000,000 Morgan Stanley Dean Witter,
Floating Rate, 5.975% (++),
01/11/00(b).................. 21,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $36,000,000)....... 36,000,000
------------
</TABLE>
See notes to financial statements.
45
<PAGE> 47
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
TIME DEPOSITS -- 1.42%
$ 727,939 BankBoston, N.A., 5.995%,
10/29/99(b).................. $ 727,939
8,711,925 Bank of Montreal, 4.87%,
07/21/99(b).................. 8,711,925
3,411,344 Royal Bank of Scotland, 4.86%,
07/01/99(b).................. 3,411,344
502,124 Royal Bank of Scotland, 4.87%,
07/26/99(b).................. 502,124
------------
TOTAL TIME DEPOSITS (Cost
$13,353,332)................... 13,353,332
------------
TOTAL SECURITIES (Cost
$710,606,105).................. 961,595,206
------------
REPURCHASE AGREEMENTS -- 3.71%
7,790,174 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase proceeds
at maturity $7,791,093
(Collaterized by Freddie Mac,
Floating Rate, 6.00% (++),
with a value of $7,326,462,
due 05/15/23, and Fannie Mae
Adjustable Rate Mortgage,
6.542%, with a value of
$853,337, due 09/01/23)...... 7,790,174
6,814,747 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase proceeds
at maturity $6,815,552,
(Collateralized by Freddie
Mac, Floating Rate, 5.70%
(++), with a value of
$910,763, due 11/15/23, and
Fannie Mae, Floating Rate,
6.244% (++), with a value of
$6,245,203 due 10/25/22)..... 6,814,747
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$20,400,000 With Morgan Stanley Dean
Witter, dated 06/30/99,
4.12%, due 07/01/99,
repurchase proceeds at
maturity $20,402,335,
(Collateralized by U.S.
Treasury Notes, 5.75%, with a
value of $20,809,248, due
06/30/01).................... $ 20,400,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $35,004,921)............. 35,004,921
------------
Total Investments -- 105.76%
(Cost $745,611,026)............ 996,600,127
Liabilities less other
assets -- (5.76)%.............. (54,315,715)
------------
NET ASSETS -- 100.00%.......... $942,284,412
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 1999, is $745,611,026.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation.......... $258,218,803
Gross unrealized depreciation.......... (7,229,702)
------------
Net unrealized appreciation............ $250,989,101
============
</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 June 30, 1999.
</TABLE>
(ADR) -- American Depository Receipts.
See notes to financial statements.
46
<PAGE> 48
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 91.70%
ADVERTISING -- 0.33%
79,300 Lamar Advertising
Company(c)................. $ 3,246,344
--------------
AEROSPACE -- 0.75%
219,900 AAR Corp. ................... 4,988,981
146,000 REMEC, Inc.(c)............... 2,354,250
--------------
TOTAL AEROSPACE.............. 7,343,231
--------------
AIRLINES -- 0.08%
39,500 Atlantic Coast Airlines
Holdings, Inc. ............ 750,500
--------------
BANKS -- 3.40%
234,765 Charter One Financials,
Inc. ...................... 6,529,402
138,160 First Washington Bancorp,
Inc. ...................... 2,771,835
167,971 Hudson United Bancorp........ 5,144,112
68,455 Mercantile Bancorporation.... 3,910,492
325,000 Peoples Bank................. 9,892,187
145,400 Sterling Financial
Corp.(c)................... 2,008,338
73,304 Summit Bancorp.(a)........... 3,065,024
--------------
TOTAL BANKS.................. 33,321,390
--------------
BUSINESS SERVICES -- 3.38%
107,100 ABM Industries, Inc. ........ 3,286,631
36,100 AHL Services, Inc.(c)........ 900,244
92,300 Century Business Services,
Inc.(a)(c)................. 1,338,350
232,100 Cornell Corrections,
Inc.(c).................... 3,815,144
46,500 Data Processing Resources
Corp.(c)................... 1,098,562
94,350 Iron Mountain, Inc.(c)....... 2,700,769
171,900 Manpower, Inc. .............. 3,889,237
54,000 MARC, Inc. .................. 783,000
92,600 Metzler Group, Inc.(c)....... 2,558,075
39,000 NovaCare Employee Services,
Inc.(c).................... 107,250
37,700 Pre-Paid Legal Services,
Inc.(a)(c)................. 1,024,969
22,100 ProBusiness Services,
Inc. ...................... 792,838
257,500 Protection One, Inc. ........ 1,384,063
100,000 Reynolds & Reynolds
Company.................... 2,331,250
113,600 Superior Consultant Holdings
Corp.(c)................... 2,804,500
106,700 USWeb Corp.(c)............... 2,367,406
31,600 Veritas DGC, Inc.(c)......... 578,675
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
BUSINESS SERVICES (CONTINUED)
60,000 Volt Information Sciences,
Inc.(c).................... $ 1,372,500
--------------
TOTAL BUSINESS SERVICES...... 33,133,463
--------------
CHEMICALS -- 0.36%
82,800 Chemed Corp. ................ 2,753,100
138,900 Eco Soil Systems, Inc.(c).... 746,587
--------------
TOTAL CHEMICALS.............. 3,499,687
--------------
COMMERCIAL SERVICES -- 3.14%
28,900 Abacus Direct Corp.(c)....... 2,644,350
170,600 Coinmach Laundry
Corp.(a)(c)................ 2,164,487
50,300 Coinstar, Inc.(a)............ 1,442,981
135,400 Condor Technology Solutions,
Inc.(c).................... 634,687
101,500 F.Y.I., Inc.(c).............. 3,184,562
172,800 International
Telecommunication Data
Systems, Inc.(c)........... 2,764,800
51,500 Lason, Inc.(c)............... 2,555,687
199,900 Mac-Gray Corp.(c)............ 1,749,125
116,600 Mail-Well, Inc.(c)........... 1,887,462
142,500 MPW Industrial Services
Group, Inc.(c)............. 1,425,000
117,661 Nova Corp.(c)................ 2,941,525
76,100 Pierce Leahy Corp.(c)........ 1,878,719
59,200 Quanta Services, Inc.(c)..... 2,604,800
283,500 Towne Services, Inc.(a)(c)... 2,232,563
115,500 United Road Services,
Inc.(c).................... 591,938
--------------
TOTAL COMMERCIAL SERVICES.... 30,702,686
--------------
COMMUNICATIONS -- 3.88%
28,900 Adelphia Communications
Corp.(a)(c)................ 1,838,762
82,000 American Tower Corp. -- Class
A(a)....................... 1,968,000
73,500 Citadel Communications
Corp.(c)................... 2,659,781
181,400 Digital Microwave Corp.(c)... 2,312,850
226,800 Emmis Communications
Corp.(c)................... 11,198,250
28,700 Harmonic, Inc.(c)............ 1,648,456
47,200 InfoSpace.com, Inc.(c)....... 2,218,400
142,400 Inter-Tel, Inc. ............. 2,598,800
59,300 Jones Intercable, Inc. --
Class A(c)................. 2,905,700
</TABLE>
See notes to financial statements.
47
<PAGE> 49
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMMUNICATIONS (CONTINUED)
227,000 Performance Technologies,
Inc.(c).................... $ 4,568,375
60,000 Powerwave Technologies,
Inc.(c).................... 1,935,000
114,018 Saga Communications,
Inc.(c).................... 2,123,585
--------------
TOTAL COMMUNICATIONS......... 37,975,959
--------------
COMPUTER AND SOFTWARE SERVICES -- 12.72%
10,700 About.com., Inc.(a)(c)....... 555,062
72,300 Actuate Corp.(c)............. 1,915,950
78,500 Advantage Learning Systems,
Inc.(c).................... 1,736,812
19,800 Advent Software, Inc.(c)..... 1,326,600
16,400 AnswerThink Consulting Group,
Inc.(a)(c)................. 414,100
61,000 Ardent Software, Inc.(c)..... 1,296,250
143,200 Best Software, Inc.(c)....... 2,309,100
211,300 Bindview Development
Corp.(c)................... 5,018,375
43,500 Broadvision, Inc.(c)......... 3,208,125
87,400 CACI International,
Inc.(c).................... 1,966,500
1 Cisco Systems, Inc. ......... 31
60,300 Clarify, Inc.(c)............. 2,487,375
29,200 Cognizant Technology
Solutions Corp.(a)(c)...... 761,025
37,600 Concord Communications,
Inc.(c).................... 1,692,000
101,400 Dendrite International,
Inc.(c).................... 3,663,075
65,900 Electronics For Imaging,
Inc.(c).................... 3,385,612
43,800 Excalibur Technologies
Corp.(a)(c)................ 624,150
56,500 Exchange Applications,
Inc.(c).................... 2,302,375
31,100 Factset Research Systems,
Inc. ...................... 1,761,037
39,300 Great Plains Software,
Inc.(c).................... 1,854,469
320,000 Harbinger Corp.(c)........... 4,000,000
45,100 International Integration,
Inc.(c).................... 1,014,750
55,150 International Network
Services(c)................ 2,226,681
17,750 Iturf, Inc.(c)............... 320,609
50,000 Legato Systems, Inc.(c)...... 2,887,500
68,800 Mercury Interactive
Corp.(c)................... 2,433,800
96,500 Microchip Technology,
Inc.(a)(c)................. 4,571,688
75,100 Micromuse, Inc.(c)........... 3,745,613
55,400 MicroStrategy, Inc.(a)(c).... 2,098,275
46,600 Mindspring Enterprises,
Inc.(c).................... 2,064,963
40,000 Multex.com, Inc.(a)(c)....... 1,045,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER AND SOFTWARE SERVICES (CONTINUED)
67,900 NetGravity, Inc.(c).......... $ 1,544,725
69,000 Network Solutions, Inc. --
Class A(c)................. 5,459,625
77,600 New Era of Networks,
Inc.(a)(c)................. 3,409,550
27,400 OneSource Information
Services, Inc.(c).......... 239,750
123,850 Optimal Robotics Corp. ...... 1,230,759
40,600 Peregrine Systems, Inc.(c)... 1,042,913
301,300 Pervasive Software,
Inc.(c).................... 7,494,838
58,000 Pinnacle Systems, Inc.(c).... 1,950,250
69,300 Pomeroy Computer Resources,
Inc.(c).................... 965,869
45,000 Progress Software Corp.(c)... 1,271,250
85,700 QRS Corp.(c)................. 6,684,600
267,800 Rational Software Corp.(c)... 8,820,663
61,200 Remedy Corp.(c).............. 1,644,750
34,600 Sanchez Computer Associates,
Inc.(a)(c)................. 1,198,025
21,000 Sapient Corp.(a)(c).......... 1,189,125
168,000 Security Dynamics
Technologies, Inc.(c)...... 3,570,000
28,400 The BISYS Group,
Inc.(a)(c)................. 1,661,400
59,400 THQ, Inc.(a)(c).............. 1,707,750
101,700 TSI International Software
Ltd.(c).................... 2,885,738
32,000 Verity, Inc.(c).............. 1,734,000
42,700 Visual Networks, Inc.(c)..... 1,366,400
88,000 Whittman-Hart, Inc.(c)....... 2,794,000
--------------
TOTAL COMPUTER AND SOFTWARE
SERVICES................... 124,552,882
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.05%
112,700 Computer Network Technology
Corp.(c)................... 2,437,137
153,400 Cybex Computer Products
Corp.(c)................... 4,276,025
33,600 Kronos, Inc.(c).............. 1,528,800
26,600 MMC Networks, Inc. .......... 1,190,350
18,700 SanDisk Corp.(c)............. 841,500
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................. 10,273,812
--------------
CONSTRUCTION -- 0.20%
253,500 Michael Baker Corp.(c)....... 1,917,094
--------------
</TABLE>
See notes to financial statements.
48
<PAGE> 50
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CONSUMER GOODS AND SERVICES -- 1.17%
192,500 Carriage Services,
Inc.(a)(c)................. $ 3,609,375
5,000 Enamelon, Inc.(a)(c)......... 6,250
36,400 Fossil, Inc.(c).............. 1,760,850
67,500 Glacier Water Services,
Inc.(a)(c)................. 1,341,562
184,900 Helen of Troy Ltd.(c)........ 3,316,644
98,300 Pameco Corp.(c).............. 749,538
172,100 U.S. Home & Garden,
Inc.(c).................... 645,375
--------------
TOTAL CONSUMER GOODS AND
SERVICES................... 11,429,594
--------------
EDUCATION -- 1.25%
72,300 Bright Horizons Family
Solutions, Inc. ........... 1,364,662
77,200 Career Education Corp.(c).... 2,610,325
131,700 Childrens Comprehensive
Services, Inc.(c).......... 913,669
74,100 DeVry, Inc.(c)............... 1,657,987
136,825 ITT Educational Services,
Inc.(c).................... 3,566,001
79,700 Sylvan Learning Systems,
Inc.(c).................... 2,166,844
--------------
TOTAL EDUCATION.............. 12,279,488
--------------
ELECTRONICS -- 4.57%
210,500 Aavid Thermal Technologies,
Inc.(c).................... 4,762,562
116,200 ANADIGICS, Inc.(c)........... 4,299,400
67,800 Applied Micro Circuits
Corp.(c)................... 5,576,550
133,800 Cerprobe Corp. .............. 1,338,000
54,000 Electro Scientific
Industries, Inc.(c)........ 2,256,190
19,500 Emulex Corp.(c).............. 2,168,156
20,000 FARO Technologies, Inc.(c)... 100,000
135,400 Gentex Corp.(c).............. 3,791,200
107,550 Hughes Supply, Inc. ......... 3,192,891
60,600 MIPS Technologies, Inc.(c)... 2,905,013
93,000 Power Integrations,
Inc.(c).................... 6,800,625
22,430 Richardson Electronics
Ltd. ...................... 152,804
105,000 Rogers Corp. ................ 3,097,500
309,300 Sensormatic Electronics
Corp. ..................... 4,310,869
--------------
TOTAL ELECTRONICS............ 44,751,760
--------------
ENGINEERING -- 0.27%
91,600 URS Corp.(c)................. 2,685,025
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.54%
184,520 Allied Waste Industries,
Inc.(a)(c)................. $ 3,644,270
146,793 BHA Group, Inc. ............. 1,211,042
84,600 Casella Waste Systems,
Inc.(a)(c)................. 2,199,600
146,600 Superior Services, Inc.(c)... 3,912,388
72,200 US Liquids, Inc.(c).......... 1,507,175
146,100 Waste Industries, Inc.(c).... 2,611,538
--------------
TOTAL ENVIRONMENTAL
MANAGEMENT SERVICES........ 15,086,013
--------------
EQUIPMENT RENTAL AND LEASING -- 1.46%
130,900 Aaron Rents, Inc. -- Class
B.......................... 2,912,525
140,000 Amplicon, Inc. .............. 1,960,000
145,000 Electro Rent Corp.(c)........ 1,558,750
177,900 Rent-A-Center, Inc.(c)....... 4,269,600
79,000 XTRA Corp. .................. 3,629,063
--------------
TOTAL EQUIPMENT RENTAL AND
LEASING.................... 14,329,938
--------------
FINANCE -- 3.83%
311,690 Allied Capital Corp. ........ 7,480,560
145,900 Cash American Investments,
Inc. ...................... 1,878,462
128,160 CCB Financial Corp. ......... 6,776,460
139,600 Creditrust Corp.(a)(c)....... 3,873,900
127,340 Metris Companies, Inc. ...... 5,189,105
154,800 NCO Group, Inc.(c)........... 5,882,400
55,200 Profit Recovery Group
International, Inc.(c)..... 2,611,650
36,900 Rock Financial Corp.(a)...... 576,563
90,000 Washington Mutual, Inc. ..... 3,183,750
--------------
TOTAL FINANCE................ 37,452,850
--------------
FOOD AND BEVERAGE -- 2.88%
92,600 American Italian Pasta --
Class A(c)................. 2,812,725
110,000 Applebees International,
Inc. ...................... 3,313,750
141,500 Benihana, Inc.(c)............ 2,051,750
12,600 Buffets, Inc. ............... 144,900
16,900 CEC Entertainment, Inc. ..... 714,025
37,600 Dave & Buster's, Inc.(c)..... 1,090,400
166,400 Garden Fresh Restaurant
Corp.(c)................... 3,120,000
147,100 Merkert Amerian Corp.(c)..... 1,397,450
132,900 RARE Hospitality
International, Inc.(c)..... 3,388,950
</TABLE>
See notes to financial statements.
49
<PAGE> 51
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
476,600 Ruby Tuesday, Inc. .......... $ 9,055,400
90,800 Sylvan, Inc.(c).............. 1,055,550
--------------
TOTAL FOOD AND BEVERAGE...... 28,144,900
--------------
INDUSTRIAL AUTOMATION --0.65%
98,900 Cognex Corp.(c).............. 3,121,531
90,000 PRI Automation, Inc.(a)(c)... 3,262,500
--------------
TOTAL INDUSTRIAL
AUTOMATION................. 6,384,031
--------------
INSURANCE -- 1.42%
170,800 Annuity and Life Re
(Holdings), Ltd. .......... 3,832,325
78,100 Mutual Risk Management
Ltd.(a).................... 2,606,588
38,600 National Western Life
Insurance -- Class A....... 3,715,250
134,300 Penn-America Group, Inc. .... 1,393,363
96,500 Penn Treaty American
Corp.(c)................... 2,322,031
--------------
TOTAL INSURANCE.............. 13,869,557
--------------
LEISURE AND
RECREATION -- 0.20%
172,100 American Coin
Merchandising(c)........... 1,118,650
35,400 Argosy Gaming Company........ 311,962
61,500 ResortQuest International,
Inc.(c).................... 507,375
--------------
TOTAL LEISURE AND
RECREATION................. 1,937,987
--------------
MACHINERY -- 0.63%
207,600 JLG Industries, Inc. ........ 4,229,850
64,700 Specialty Equipment
Company(c)................. 1,904,606
--------------
TOTAL MACHINERY.............. 6,134,456
--------------
MAINTENANCE AND SERVICE -- 0.22%
163,100 Group Maintenance America
Corp.(c)................... 2,110,106
--------------
MANUFACTURING -- 4.92%
300,900 Alpha Industries, Inc.(c).... 14,330,362
381,800 C&D Technology, Inc. ........ 11,692,625
143,800 Catalytica, Inc.(c).......... 2,013,200
82,300 Chase Industries, Inc.(c).... 694,406
94,200 DT Industries, Inc. ......... 865,462
82,300 E-Tek Dynamics, Inc.(a)(c)... 3,914,394
47,200 LSI Industries, Inc. ........ 1,138,700
139,800 Lydall, Inc.(c).............. 1,607,700
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MANUFACTURING (CONTINUED)
151,800 Motorcar Parts and
Accessories, Inc.(c)....... $ 815,925
138,100 Rock of Ages Corp.(c)........ 1,415,525
87,900 Scotsman Industries, Inc. ... 1,895,344
75,500 SLI, Inc.(c)................. 2,038,500
145,300 Trex Company, Inc.(c)........ 3,686,988
122,175 Watsco, Inc. ................ 2,000,616
--------------
TOTAL MANUFACTURING.......... 48,109,747
--------------
MEDIA -- 2.42%
65,500 Consolidated Graphics,
Inc.(c).................... 3,275,000
209,400 Granite Broadcasting
Corp.(a)(c)................ 1,635,938
51,650 Gray Communications Systems,
Inc. ...................... 1,033,000
74,800 Gray Communications Systems,
Inc. -- Class B............ 1,056,550
171,000 Houghton Mifflin Company..... 8,047,687
37,700 Macrovision Corp.(c)......... 2,822,787
199,500 Medialink Worldwide,
Inc.(c).................... 3,192,000
47,900 TCA Cable TV, Inc. .......... 2,658,450
--------------
TOTAL MEDIA.................. 23,721,412
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 8.85%
187,300 Advocat, Inc.(c)............. 362,894
59,100 Brookdale Living Communities,
Inc.(c).................... 875,419
231,500 Caredata.com, Inc. .......... 2,083,500
169,900 CareMatrix Corp.(a)(c)....... 2,113,131
105,100 Centennial Healthcare
Corp.(c)................... 555,065
26,700 drkoop.com, Inc.(a)(c)....... 425,531
37,300 Express Scripts, Inc. --
Class A(c)................. 2,244,994
138,400 Horizon Health Corp.(c)...... 1,003,400
24,800 LCA-Vision, Inc. ............ 230,950
68,400 Lifeline Systems, Inc. ...... 1,316,700
50,400 Lunar Corp.(c)............... 396,900
271,700 Mariner Post -- Acute
Network, Inc.(c)........... 152,831
98,200 MEDE AMERICA Corp.(c)........ 3,707,050
64,800 Medical Manager
Corp.(a)(c)................ 2,867,400
129,350 MedQuist, Inc.(c)............ 5,659,063
56,600 MiniMed, Inc.(c)............. 4,354,663
138,000 Morrison Health Care,
Inc. ...................... 3,450,000
106,300 National Dentex Corp.(c)..... 1,833,675
</TABLE>
See notes to financial statements.
50
<PAGE> 52
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDICAL AND OTHER HEALTH SERVICES (CONTINUED)
256,500 Orthalliance, Inc. -- Class
A(c)....................... $ 1,891,688
285,000 Owens & Minor Holding
Company.................... 3,135,000
255,700 Prime Medical Service,
Inc.(c).................... 1,885,788
549,600 Quorum Health Group,
Inc.(c).................... 6,904,350
111,950 Renal Care Group, Inc.(c).... 2,896,706
421,200 Res-Care, Inc.(a)(c)......... 9,582,300
41,700 ResMed, Inc.(c).............. 1,383,919
157,100 Rural/Metro Corp. ........... 1,512,088
187,400 Shared Medical Systems
Corp.(a)................... 12,227,850
242,200 Universal Health Services --
Class B.................... 11,565,050
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES............ 86,617,905
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.42%
37,732 Bindley Western Industries,
Inc. ...................... 870,203
54,400 Biomatrix, Inc.(a)(c)........ 1,176,400
121,200 CLOSURE Medical
Corp.(a)(c)................ 3,636,000
143,000 Molecular Devices Corp.(c)... 5,362,500
128,500 Summit Technology, Inc. ..... 2,827,000
--------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES................... 13,872,103
--------------
METALS AND MINING -- 0.47%
136,000 Furon Company................ 2,584,000
78,600 Wolverine Tube, Inc.(c)...... 1,974,825
--------------
TOTAL METALS AND MINING...... 4,558,825
--------------
OIL AND GAS -- 1.04%
135,900 Berry Petroleum.............. 1,894,106
160,000 PennzEnergy Company.......... 2,670,000
216,700 Tosco Corp. ................. 5,620,656
--------------
TOTAL OIL AND GAS............ 10,184,762
--------------
PHARMACEUTICALS -- 2.38%
52,900 Alkermes, Inc.(a)(c)......... 1,223,312
203,600 Duane Reade, Inc.(a)(c)...... 6,235,250
82,400 Jones, Inc. ................. 3,244,500
62,900 King Pharmaceuticals,
Inc.(c).................... 1,627,537
173,700 Medicis Pharmaceutical
Corp. -- Class A........... 4,407,638
230,900 Natrol, Inc.(c).............. 1,731,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PHARMACEUTICALS (CONTINUED)
87,900 Roberts Pharmaceutical
Corp.(c)................... $ 2,131,575
111,200 Vertex Pharmaceuticals,
Inc.(a)(c)................. 2,682,700
--------------
TOTAL PHARMACEUTICALS........ 23,284,262
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.47%
68,569 Chateau Communities, Inc. ... 2,052,784
204,500 Equity Inns, Inc. ........... 1,891,625
66,000 Health Care Property
Investments, Inc. ......... 1,905,750
61,600 National Health Investors,
Inc. ...................... 1,405,250
115,100 Pacific Gulf Properties,
Inc. ...................... 2,604,138
97,900 Sovran Self Storage, Inc. ... 2,637,181
53,500 Sun Communities, Inc. ....... 1,899,250
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS..................... 14,395,978
--------------
RESEARCH AND DEVELOPMENT -- 0.89%
101,100 Albany Molecular Research,
Inc.(c).................... 3,007,725
212,900 Kendle International,
Inc.(c).................... 3,406,400
172,600 PAREXEL International
Corp.(c)................... 2,297,738
--------------
TOTAL RESEARCH AND
DEVELOPMENT................ 8,711,863
--------------
RETAIL -- 4.43%
58,200 American Eagle Outfitters,
Inc.(c).................... 2,648,100
50,300 AnnTaylor Stores Corp.(c).... 2,263,500
28,200 bebe stores, inc.(a)......... 958,800
128,800 Blue Rhino Corp.(a)(c)....... 1,183,350
353,850 Consolidated Stores
Corp.(c)................... 9,553,950
87,550 Cost Plus, Inc.(c)........... 3,983,525
120,000 Duckwall -- Alco Stores,
Inc.(c).................... 1,260,000
142,600 Fred's, Inc. ................ 2,228,125
98,600 Hibbet Sporting Goods,
Inc.(a).................... 2,169,200
157,400 Hot Topic, Inc.(a)(c)........ 4,249,800
77,600 Linens 'n Things, Inc.(c).... 3,395,000
108,300 Michael Anthony Jewelers,
Inc.(c).................... 439,969
45,500 99 Cents Only Stores(c)...... 2,272,156
60,300 O'Reilly Automotive,
Inc.(c).................... 3,037,613
104,500 The Men's Wearhouse,
Inc.(c).................... 2,664,750
208,100 U.S. Vision, Inc.(c)......... 1,086,032
--------------
TOTAL RETAIL................. 43,393,870
--------------
</TABLE>
See notes to financial statements.
51
<PAGE> 53
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SECURITY -- 0.97%
119,500 Borg-Warner Security
Corp. ..................... $ 2,427,344
265,500 Pittston Brink's Group....... 7,102,125
--------------
TOTAL SECURITY............... 9,529,469
--------------
SEMICONDUCTORS -- 4.28%
108,000 American Xtal Technology,
Inc.(c).................... 2,571,750
150,500 ATMI, Inc.(c)................ 4,477,375
100,000 Cree Research, Inc.(a)(c).... 7,693,750
3,250 GlobeSpan, Inc.(a)........... 129,187
75,550 hi/fn, inc.(c)............... 5,751,244
21,500 Lattice Semiconductor
Corp.(c)................... 1,338,375
16,100 PLX Technology, Inc.(c)...... 762,738
64,700 Qlogic Corp.(c).............. 8,540,400
44,400 SDL, Inc.(c)................. 2,267,175
177,450 TranSwitch Corp.(c).......... 8,406,694
--------------
TOTAL SEMICONDUCTORS......... 41,938,688
--------------
TELECOMMUNICATIONS -- 4.14%
29,700 Adaptive Broadband Corp. .... 649,687
87,200 CFW Communications
Company.................... 2,114,600
200,300 Comdial Corp.(c)............. 1,414,619
238,727 Davel Communications Group... 1,283,158
57,650 Dycom Industries, Inc.(c).... 3,228,400
135,000 Excel Switching
Corp.(a)(c)................ 4,041,562
43,400 Melita International
Corp.(c)................... 585,900
253,190 Metrocall, Inc.(c)........... 696,273
233,900 Metro One Telecommunications,
Inc.(c).................... 3,216,125
274,500 P-Com, Inc.(c)............... 1,436,843
71,800 Polycom, Inc.(c)............. 2,800,200
34,300 Premiere Technologies,
Inc.(c).................... 394,450
79,300 Price Communications
Corp. ..................... 1,189,500
42,400 Proxim, Inc.(c).............. 2,459,200
72,200 RF Micro Devices, Inc.(c).... 5,387,925
172,000 Rural Cellular Corp. -- Class
A(c)....................... 3,440,000
119,700 STAR Telecommunications,
Inc.(a)(c)................. 935,156
180,000 Transaction Network Services,
Inc.(c).................... 5,265,000
--------------
TOTAL TELECOMMUNICATIONS..... 40,538,598
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TRANSPORT SERVICES -- 0.40%
47,300 Coach USA, Inc.(c)........... $ 1,983,644
16,100 Monaco Coach Corp. .......... 681,231
4,000 Petroleum Helicopters, Inc.
(Voting)................... 50,000
96,200 Petroleum Helicopters, Inc.
(Non-Voting)............... 1,178,450
--------------
TOTAL TRANSPORT SERVICES..... 3,893,325
--------------
TRANSPORTATION:
FREIGHT -- 3.46%
185,700 Air Express International
Corp. ..................... 4,712,137
430,000 Airborne Freight Corp. ...... 11,905,625
279,100 Circle International Group,
Inc. ...................... 6,105,312
148,700 CNF Transportation, Inc. .... 5,706,362
115,474 Fritz Companies, Inc.(c)..... 1,241,345
211,300 Pittston BAX Group........... 2,007,350
65,000 Sea Containers Ltd. ......... 2,181,563
--------------
TOTAL TRANSPORTATION:
FREIGHT.................... 33,859,694
--------------
UTILITIES: ELECTRIC -- 0.78%
850,000 El Paso Electric Company..... 7,596,875
--------------
TOTAL COMMON STOCK
(Cost $703,123,868).......... 897,520,129
--------------
REGULATED INVESTMENT COMPANY -- 0.73%
7,168,077 Merrimac Cash Fund -- Premium
Class (b)
(Cost $7,168,077).......... 7,168,077
--------------
<CAPTION>
PRINCIPAL
- -----------
<C> <S> <C>
TIME DEPOSITS -- 4.52%
$12,043,657 BankBoston NA, 5.995%,
10/29/99(b)................ 12,043,657
5,901,538 Bank of Montreal, 4.87%,
07/21/99(b)................ 5,901,538
22,181,384 Royal Bank of Scotland,
4.86%, 07/01/99(b)......... 22,181,384
4,170,044 Royal Bank of Scotland,
4.87%, 07/26/99(b)......... 4,170,044
--------------
TOTAL TIME DEPOSITS
(Cost $44,296,623)........... 44,296,623
--------------
SHORT TERM CORPORATE NOTES -- 5.01%
10,000,000 JP Morgan Securities, Inc.,
Floating Rate, 6.105% (++),
10/12/99(b)................ 10,000,000
9,000,000 Morgan Stanley Dean Witter,
Floating Rate, 5.975% (++),
01/11/00(b)................ 9,000,000
</TABLE>
See notes to financial statements.
52
<PAGE> 54
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$30,000,000 Prudential Securities, Inc.,
Floating Rate, 6.25% (++),
03/10/00(b)................ $ 30,000,000
--------------
TOTAL FLOATING RATE NOTES
(Cost $49,000,000)........... 49,000,000
--------------
TOTAL SECURITIES
(Cost $803,588,568).......... 997,984,829
--------------
REPURCHASE AGREEMENTS -- 8.13%
13,752,984 With Investors Bank & Trust
dated 06/30/99, 4.25%, due
07/01/99, repurchase
proceeds at maturity
$13,754,608 (Collateralized
by Freddie Mac Adjustable
Rate Mortgage, 6.998%, due
07/01/26, with a value of
$4,312,527, and Freddie
Mac, 7.00%, 06/15/11, with
a value of $10,128,189)
(Cost $13,752,984)......... 13,752,984
19,673,890 With Investors Bank & Trust
dated 06/30/99, 4.25%, due
07/01/99, repurchase
proceeds at maturity
$19,676,213 (Collateralized
by Freddie Mac, 6.05%, due
12/15/23, with a value of
$16,475,213, and Freddie
Mac, 6.939%, 10/01/24, with
a value of $4,182,465)
(Cost $19,673,890)......... 19,673,890
21,713,373 With Investors Bank & Trust
dated 06/30/99, 4.25%, due
07/01/99, repurchase
proceeds at maturity
$21,715,936 (Collateralized
by Ginnie Mae Adjustable
Rate Mortgage, 6.625%, due
09/20/24, with a value of
$17,947,942, and Small
Business Administration
Loan, 5.50%, 06/25/22, with
a value of $4,851,099)
(Cost $21,713,373)......... 21,713,373
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$24,403,285 With Investors Bank & Trust
dated 06/30/99, 4.25%, due
07/01/99, repurchase
proceeds at maturity
$24,406,166 (Collateralized
by Fannie Mae, 6.50%, due
07/01/14, with a value of
$5,973,166, and Fannie Mae,
6.50%, 04/25/29, with a
value of $19,650,641) (Cost
$24,403,285)............... $ 24,403,285
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $79,543,532)........... 79,543,532
--------------
Total Investments -- 110.09%
(Cost $883,132,100).......... $1,077,528,361
Liabilities less other
assets -- (10.09)%........... (98,740,385)
--------------
NET ASSETS -- 100.00%........ $ 978,787,976
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 1999, is $883,132,100.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation.......... $242,353,135
Gross unrealized depreciation.......... (47,956,874)
------------
Net unrealized appreciation............ $194,396,261
============
</TABLE>
- ---------------
<TABLE>
<C> <S>
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly
based on the London Interbank Offered Rate
("LIBOR"). The rate shown was in effect at June 30,
1999.
</TABLE>
See notes to financial statements.
53
<PAGE> 55
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 92.50%
ADVERTISING -- 2.51%
50,000 Getty Images, Inc. ............. $ 943,750
30,000 Interpublic Group, Inc.(a)...... 2,598,750
------------
TOTAL ADVERTISING............... 3,542,500
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.87%
35,000 Dell Computer Corp.(a)(c)....... 1,295,000
40,000 Sun Microsystems, Inc. ......... 2,755,000
------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT....................... 4,050,000
------------
COMPUTER SOFTWARE AND SERVICES -- 14.69%
25,000 America Online, Inc.(c)......... 2,762,500
40,500 Cisco Systems, Inc.(c).......... 2,612,250
25,000 Check Point Software
Technologies Ltd. ............ 1,340,625
50,000 EMC Corp. ...................... 2,750,000
55,000 InterVU, Inc. .................. 2,107,188
30,000 Microsoft Corp.(c).............. 2,705,625
35,000 New Era of Networks(a).......... 1,537,812
35,000 Siebel Systems, Inc.(a)......... 2,323,125
15,000 Yahoo!, Inc. ................... 2,583,750
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES........................ 20,722,875
------------
CONSUMER GOODS AND SERVICES -- 3.38%
30,300 General Electric Company........ 3,423,900
15,000 Procter & Gamble Company........ 1,338,750
------------
TOTAL CONSUMER GOODS AND
SERVICES........................ 4,762,650
------------
ELECTRONICS -- 7.38%
40,000 Sanmina Corp. .................. 3,035,000
40,000 Solectron Corp. ................ 2,667,500
40,000 Tyco International Ltd.(a)...... 3,790,000
43,750 Vishay Intertechnology, Inc. ... 918,750
------------
TOTAL ELECTRONICS............... 10,411,250
------------
FINANCIAL SERVICES -- 2.35%
25,500 American Express Company........ 3,318,188
------------
INSURANCE -- 2.13%
25,650 American International Group.... 3,002,653
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA -- 3.78%
40,000 Clear Channel Communications.... $ 2,757,500
35,000 Time Warner, Inc.(a)............ 2,572,500
------------
TOTAL MEDIA..................... 5,330,000
------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.32%
30,000 Medtronics, Inc. ............... 2,336,250
15,000 United HealthCare Corp. ........ 939,375
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES........................ 3,275,625
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.67%
53,580 Boston Scientific Corp.(a)(c)... 2,354,171
------------
OIL AND GAS -- 1.13%
25,000 Schlumberger Ltd. .............. 1,592,188
------------
PHARMACEUTICALS -- 10.96%
50,000 Biogen, Inc.(c)................. 3,215,625
35,000 Bristol-Myers Squibb Company.... 2,465,313
20,000 Johnson & Johnson............... 1,960,000
5,000 Jones Pharma, Inc. ............. 196,875
27,500 Pfizer, Inc. ................... 3,018,125
35,000 Schering-Plough Corp. .......... 1,855,000
39,725 Warner-Lambert Company.......... 2,755,922
------------
TOTAL PHARMACEUTICALS........... 15,466,860
------------
REAL ESTATE INVESTMENT -- 1.91%
61,865 Realty Information Group,
Inc. ......................... 2,691,127
------------
RETAIL -- 8.65%
45,000 Best Buy Company, Inc.(c)....... 3,037,500
30,000 Circuit City Stores -- Circuit
City Group.................... 2,790,000
30,000 Costco Companies, Inc. ......... 2,401,875
37,500 Gap Stores...................... 1,889,063
32,500 Home Depot, Inc. ............... 2,094,219
------------
TOTAL RETAIL.................... 12,212,657
------------
RESTAURANTS -- 1.17%
40,000 McDonald's Corp. ............... 1,652,500
------------
SEMICONDUCTORS -- 13.74%
52,500 Applied Materials, Inc.(c)...... 3,878,437
40,000 ASM Lithography Holding N.
V. ........................... 2,375,000
35,000 Broadcom Corp. -- Class A....... 5,059,687
45,000 Conexant Systems, Inc. ......... 2,612,812
22,500 Qlogic Corp. ................... 2,970,000
15,000 Uniphase Corp.(a)............... 2,490,000
------------
TOTAL SEMICONDUCTORS............ 19,385,936
------------
TELECOMMUNICATIONS -- 11.86%
19,400 Advanced Radio Telecom
Corp.(a)...................... 278,875
</TABLE>
See notes to financial statements.
54
<PAGE> 56
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
44,905 AT & T Corp. ................... $ 2,506,260
27,500 Lucent Technologies............. 1,854,531
45,250 MCI Worldcom, Inc.(a)(c)........ 3,902,813
50,000 Polycom, Inc. .................. 1,950,000
20,000 QUALCOMM, Inc. ................. 2,870,000
50,000 Tellabs, Inc. .................. 3,378,125
------------
TOTAL TELECOMMUNICATIONS........ 16,740,604
------------
TOTAL COMMON STOCK
(Cost $96,606,717).............. 130,511,784
------------
REGULATED INVESTMENT COMPANY -- 1.34%
1,890,535 Merrimac Cash Fund -- Premium
Class (b) (Cost $1,890,535)... 1,890,535
------------
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C>
TIME DEPOSITS -- 5.62%
$1,167,905 BankBoston, N.A., 5.995%,
10/29/99(b)................... $ 1,167,905
1,081,970 Bank of Montreal, 4.87%,
07/26/99(b)................... 1,081,970
2,149,103 Royal Bank of Scotland PLC,
4.86%, 07/01/1999(b).......... 2,149,103
3,535,747 Royal Bank of Scotland PLC,
4.87%, 07/26/1999(b).......... 3,535,747
------------
TOTAL TIME DEPOSITS
(Cost $7,934,725)............... 7,934,725
------------
SHORT TERM CORPORATE NOTES -- 2.84%
4,000,000 Prudential Securities, Inc.,
6.25%, 03/10/00(b)
(Cost $4,000,000)............. 4,000,000
------------
TOTAL SECURITIES
(Cost $110,431,977)............. 144,337,044
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 5.76%
$8,127,604 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase proceeds
at maturity $8,128,563
(Collateralized by Small
Business Administration Loan,
7.50%, due 01/25/23, with a
value of $7,412,497, and a
Ginnie Mae Adjustable Rate
Mortgage, 6.375%, due
01/20/24, with a value of
$1,121,679)
(Cost $8,127,604)............. $ 8,127,604
------------
Total Investments -- 108.06%
(Cost $118,559,581)............. 152,464,648
Liabilities less
other assets -- (8.06%)......... (11,371,970)
------------
NET ASSETS -- 100.00%........... $141,092,678
============
</TABLE>
The aggregate cost of securities for federal income tax purposes at June 30,
1999, is $118,559,581.
The following amount is based on costs for federal income tax purposes:
<TABLE>
<S> <C>
Gross unrealized appreciation........... $35,041,396
Gross unrealized depreciation........... (1,136,329)
-----------
Net unrealized appreciation............. $33,905,067
===========
</TABLE>
- ---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
See notes to financial statements.
55
<PAGE> 57
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 91.25%
AEROSPACE -- 2.73%
$2,000,000 BE Aerospace, 8.00%, 03/01/08... $ 1,870,000
1,200,000 Compass Aerospace, 10.125%,
04/15/05...................... 1,092,000
------------
TOTAL AEROSPACE................. 2,962,000
------------
AUTOMOTIVE RENTAL -- 4.53%
1,925,000 Avis Rent A Car, Inc., 11.00%,
05/01/09...................... 1,951,469
1,975,000 United Rentals, Inc., 9.50%,
06/01/08...................... 1,984,875
1,000,000 United Rentals, Inc., 9.00%,
04/01/09...................... 980,000
------------
TOTAL AUTOMOTIVE RENTAL......... 4,916,344
------------
BROADCASTING -- 2.78%
1,500,000 Echostar DBS Corp., 9.25%,
02/01/06...................... 1,516,875
1,575,000 Emmis Communications Corp.,
8.125%, 03/15/09.............. 1,498,219
------------
TOTAL BROADCASTING.............. 3,015,094
------------
BUILDING PRODUCTS -- 1.00%
1,100,000 American Standard, Inc., 8.25%,
06/01/09...................... 1,082,125
------------
BUSINESS SERVICES -- 2.99%
1,200,000 Axiohm Transaction Solutions,
9.75%, 10/01/07............... 780,000
1,600,000 Fisher Scientific International,
9.00%, 02/01/08............... 1,520,000
1,000,000 Fisher Scientific
International -- 144A, 9.00%,
02/01/08...................... 950,000
------------
TOTAL BUSINESS SERVICES......... 3,250,000
------------
CHEMICALS -- 4.21%
1,175,000 General Chemical Industrial
Products, 10.625%, 05/01/09... 1,180,875
2,000,000 Lyondell Chemical Company --
144A, 9.625%, 05/01/07........ 2,055,000
1,300,000 Octel Developments, PLC, 10.00%,
05/01/06...................... 1,339,000
------------
TOTAL CHEMICALS................. 4,574,875
------------
CONSTRUCTION -- 5.18%
100,000 D.R. Horton, Inc., 8.375%,
06/15/04...................... 98,500
600,000 Engle Homes, Inc., 9.25%,
02/01/08...................... 558,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
CONSTRUCTION (CONTINUED)
$1,400,000 Engle Homes, Inc. -- 144A,
9.25%, 02/01/08............... $ 1,361,500
2,000,000 Kaufman and Broad Home Corp.,
7.75%, 10/15/04............... 1,940,000
1,750,000 Toll Corp., 8.125%, 02/01/09.... 1,662,500
------------
TOTAL CONSTRUCTION.............. 5,620,500
------------
CONSUMER GOODS AND SERVICES -- 4.13%
1,300,000 Chattem, Inc., 8.875%,
04/01/08...................... 1,261,000
1,800,000 Huntsman Packaging Corp.,
9.125%, 10/01/07.............. 1,746,000
1,500,000 The Scotts Company, 8.625%,
01/15/09...................... 1,477,500
------------
TOTAL CONSUMER GOODS AND
SERVICES........................ 4,484,500
------------
ELECTRICAL -- 1.27%
1,400,000 Integrated Electrical Services,
Inc., 9.375%, 02/01/09........ 1,379,000
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.92%
2,250,000 Allied Waste N.A., 7.875%,
01/01/09...................... 2,086,875
------------
FOOD AND BEVERAGE -- 3.07%
1,400,000 Aurora Foods, Inc., 8.75%,
07/01/08...................... 1,372,000
1,000,000 Canandaigua Brands, Inc., 8.50%,
03/01/09...................... 962,500
100,000 Cott Corp., 9.375%, 07/01/05.... 97,750
325,000 Delta Beverage Group, 9.75%,
12/15/03...................... 334,750
400,000 Eagle Family Foods, 8.75%,
01/15/08...................... 358,000
225,000 Pueblo Xtra International,
9.50%, 08/01/03............... 207,562
------------
TOTAL FOOD AND BEVERAGE......... 3,332,562
------------
INDUSTRIAL -- 15.09%
500,000 AK Steel Corp., 9.125%,
12/15/06...................... 515,000
1,000,000 American Pacific Corp., 9.25%,
03/01/05...................... 1,020,000
1,000,000 Anthony Crane Rentals, 10.375%,
08/01/08...................... 965,000
1,300,000 Atlas Air, Inc. -- 144A, 9.375%,
11/15/06...................... 1,235,000
</TABLE>
See notes to financial statements.
56
<PAGE> 58
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
INDUSTRIAL (CONTINUED)
$1,800,000 Building Materials Corp., 8.00%,
12/01/08...................... $ 1,678,500
450,000 Burke Industries, Inc., 10.00%,
08/15/07...................... 344,250
1,000,000 Carrols Corp., 9.50%,
12/01/08...................... 932,500
1,600,000 CEX Holdings, Inc., 9.625%,
06/01/08...................... 1,508,000
1,125,000 Geologistics Corp., 9.75%,
10/15/07...................... 850,781
1,000,000 Henry Company Senior Notes,
10.00%, 04/15/08.............. 910,000
1,975,000 HMH Properties, 7.875%,
08/01/08...................... 1,821,937
1,000,000 Jackson Products, Inc., 9.50%,
04/15/05...................... 960,000
625,000 P&L Coal Holdings Corp., 8.875%,
05/15/08...................... 625,000
625,000 Pronet, Inc., 11.875%,
06/15/05...................... 612,500
1,100,000 Republic Group, Inc., 9.50%,
07/15/08...................... 1,083,500
1,000,000 Safety-Kleen Services, Inc.,
9.25%, 06/01/08............... 1,025,000
300,000 Scotsman Group, Inc., 8.625%,
12/15/07...................... 303,000
------------
TOTAL INDUSTRIAL................ 16,389,968
------------
LEISURE AND RECREATION -- 11.13%
1,900,000 Aztar Corp. -- 144A, 8.875%,
05/15/07...................... 1,819,250
2,000,000 Bally Total Fitness Holding,
9.875%, 10/15/07.............. 1,940,000
2,300,000 Carmike Cinemas, Inc., 9.375%,
02/01/09...................... 2,225,250
1,025,000 Cinemark USA, 9.625%, 08/01/08.. 1,004,500
1,600,000 Harrahs Operating Company, Inc.,
7.875%, 12/15/05.............. 1,548,000
1,800,000 Park Place Entertainment Corp.,
7.875%, 12/15/05.............. 1,714,500
700,000 Riddell Sports, Inc., 10.50%,
07/15/07...................... 626,500
1,200,000 Six Flags Entertainment, 8.875%,
04/01/06...................... 1,200,000
------------
TOTAL LEISURE AND RECREATION.... 12,078,000
------------
MACHINERY -- 1.64%
1,975,000 Advance Lighting Technologies,
Inc., 8.00%, 03/15/08......... 1,779,969
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
MANAGEMENT SERVICES -- 1.33%
$1,550,000 Iron Mountain, Inc., 8.25%,
07/01/11...................... $ 1,449,250
------------
MANUFACTURING -- 7.61%
1,600,000 AEP Industries, 9.875%,
11/15/07...................... 1,600,000
1,550,000 Consumers Packaging,
Inc. -- 144A, 9.75%,
02/01/07...................... 1,515,125
625,000 Dyersburg Corp., 9.75%,
09/01/07...................... 312,500
700,000 Fedders North America, 9.375%,
8/15/07....................... 707,000
225,000 Federal-Mogul Corp., 7.75%,
07/01/06...................... 214,977
250,000 Federal-Mogul Corp., 7.50%,
01/15/09...................... 230,406
1,500,000 Federal-Mogul Corp., 7.875%,
07/01/10...................... 1,403,189
1,600,000 Mark IV Industries, Inc., 7.75%,
04/01/06...................... 1,512,053
750,000 Portola Packaging, 10.75%,
10/01/05...................... 765,000
------------
TOTAL MANUFACTURING............. 8,260,250
------------
PUBLISHING -- 1.02%
1,100,000 American Media, Inc., 10.25%,
05/01/09...................... 1,108,250
------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.88%
1,000,000 Alliance Imaging, Inc., 9.625%,
12/15/05...................... 957,500
------------
METALS AND MINING -- 2.26%
650,000 NCI Building Systems, Inc.,
9.25%, 05/01/09............... 625,625
500,000 Renco Metals Senior Notes,
11.50%, 07/01/03.............. 507,500
1,400,000 WHX Corp., 10.50%, 04/15/05..... 1,319,500
------------
TOTAL METALS AND MINING......... 2,452,625
------------
OIL AND GAS -- 3.37%
1,600,000 Comstock Resources, Inc.,
11.25%, 05/01/07.............. 1,632,000
2,000,000 Pride International, Inc.,
10.00%, 06/01/09.............. 2,030,000
------------
TOTAL OIL AND GAS............... 3,662,000
------------
PAPER AND FOREST
PRODUCTS -- 0.69%
750,000 US Timberlands, 9.625%,
11/15/07...................... 746,250
------------
</TABLE>
See notes to financial statements.
57
<PAGE> 59
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
SPECIAL PURPOSE ENTITY -- 1.84%
$2,000,000 Caithness Coso Funding Corp.,
9.05%, 12/15/09............... $ 1,995,000
------------
TELECOMMUNICATIONS -- 9.11%
2,000,000 Adelphia Communications Corp.,
7.75%, 01/15/09............... 1,847,500
1,800,000 Call-Net Enterprises, Inc.,
9.375%, 05/15/09.............. 1,714,500
1,050,000 Intermedia Communications, Inc.,
9.50%, 03/01/09............... 1,013,250
1,550,000 Level 3 Communications, Inc.,
9.125%, 05/01/08.............. 1,522,875
1,650,000 McLeodUSA, Inc., 8.125%,
02/15/09...................... 1,526,250
1,275,000 Metrocall, Inc., 10.375%,
10/01/07...................... 949,875
700,000 Nextlink Communications, 9.625%,
10/01/07...................... 680,750
625,000 Rogers Communications, 8.875%,
07/15/07...................... 628,125
------------
TOTAL TELECOMMUNICATIONS........ 9,883,125
------------
TRANSPORTATION -- 1.38%
1,500,000 American Commercial Lines LLC,
10.25%, 06/30/08.............. 1,500,000
------------
UTILITIES: ELECTRIC -- 0.09%
100,000 Calpine Corp., 9.25%,
02/01/04...................... 101,250
------------
TOTAL SECURITIES (Cost
$103,878,289)................... 99,067,312
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 6.58%
$7,156,211 With Investors Bank & Trust,
dated 06/30/99, 4.25%, due
07/01/99, repurchase proceeds
at maturity $7,157,056
(Collateralized by Fannie Mae
Adjustable Rate Mortgage,
7.352%, due 07/01/23, with a
value of $1,087,109, and Small
Business Administration Loan,
7.625%, due 02/25/24, with a
value of $6,426,948) (Cost
$7,156,211)................... $ 7,156,211
------------
Total Investments -- 97.84%
(Cost $111,034,500)............. 106,223,523
Other assets less
liabilities -- 2.16%............ 2,342,364
------------
NET ASSETS -- 100.00%........... $108,565,887
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of investments for federal income tax
purposes at June 30, 1999, is $111,034,500.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation.......... $ 309,143
Gross unrealized depreciation.......... (5,120,120)
------------
Net unrealized depreciation............ $ (4,810,977)
============
</TABLE>
See notes to financial statements.
58
<PAGE> 60
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS -- 92.63%
AUTOMOBILE -- 3.43%
2,700 Bayerische Motoren Werke
AG....................... $ 1,857,219 GER
970,000 Fiat SpA.................. 1,555,492 ITA
200,000 Fiat SpA(c)............... 633,200 ITA
52,000 GKN PLC................... 887,708 UK
605,000 Nissan Motor Company,
Ltd.(c).................. 2,889,117 JPN
18,800 Peugeot SA................ 2,966,352 FRA
131,000 Suzuki Motor Corp. ....... 2,083,463 JPN
20,444 Valeo SA.................. 1,686,667 FRA
------------
TOTAL AUTOMOBILE.......... 14,559,218
------------
BANKS -- 8.03%
274,961 Australia & New Zealand
Bank Group, Ltd. ........ 2,021,871 AUS
31,668 Bank of Montreal.......... 1,144,719 CDA
35,000 Bank of Scotland.......... 463,431 UK
7,700 Banque National de Paris
(BNP).................... 641,616 FRA
149,000 Barclays PLC.............. 4,335,676 UK
65,000 Canadian Imperial Bank.... 1,560,000 CDA
36,666 Deutsche Bank AG(c)....... 2,236,619 GER
64,050 Forenings Sparbanken --
Class A(c)............... 904,053 SWE
363,000 Fuji Bank, Ltd. .......... 2,531,235 JPN
1,860 Holderbank Financial
Glaris -- Class B........ 2,195,499 SWI
30,352 ING Groep N.V. ........... 1,643,312 NET
746,000 Keppel Tatlee Bank,
Ltd. .................... 1,656,344 SIN
112,136 National Westminster
Bank..................... 2,377,418 UK
28,400 Royal Bank of Canada...... 1,260,250 CDA
49,943 Royal Bank of Scotland
Group PLC................ 1,017,129 UK
10,700 Standard Chartered PLC.... 174,736 UK
193,000 Sumitomo Bank............. 2,393,451 JPN
32,800 Toronto-Dominion Bank..... 1,479,277 CDA
275,000 Toyo Trust & Banking Co.,
Ltd. .................... 808,857 JPN
605,760 Turkiye Is Bankasi
(Isbank) (GDR)........... 1,060,080 TUR
341,000 Westpac Banking Corp. .... 2,211,999 AUS
------------
TOTAL BANKS............... 34,117,572
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS -- 1.06%
20,000 DSM NV.................... $ 2,145,046 NET
50,000 Mitsui Chemicals, Inc. ... 322,220 JAP
53,400 Norsk Hydro ASA........... 2,014,649 NOR
300 Norsk Hydro AS (ADR)(c)... 11,475 NOR
------------
TOTAL CHEMICALS........... 4,493,390
------------
COMPUTER EQUIPMENT -- 1.23%
34,600 Nidec Corporation......... 5,205,601 JPN
------------
COMPUTER SOFTWARE AND SERVICES -- 0.62%
20,000 Meitec Corp. ............. 669,222 JPN
68,000 Newbridge Networks
Corp.(c)................. 1,955,000 CDA
------------
TOTAL COMPUTER SOFTWARE
AND SERVICES.............. 2,624,222
------------
CONSTRUCTION -- 1.29%
157,000 Okumura Corp. ............ 583,710 JPN
22,000 Rohm Company, Ltd. ....... 3,444,426 JPN
8,040 Suez Lyonnaise des Eaux... 1,450,172 FRA
------------
TOTAL CONSTRUCTION........ 5,478,308
------------
CONSUMER GOODS AND SERVICES -- 8.53%
153,300 Cifra SA (ADR)(a)(c)...... 2,882,040 MEX
245,000 EMI Group PLC............. 1,965,733 UK
76,000 Hennes & Mauritz.......... 1,877,261 SWE
21,000 Hoya Corp. ............... 1,185,017 JPN
90,000 Kao Corp. ................ 2,528,172 JPN
218,000 Nikon Corp.(c)............ 3,566,197 JPN
32,700 Nintendo Corp., Ltd. ..... 4,595,544 JPN
48,000 Orkla Asa -- Class B...... 652,421 NOR
120,603 Reckitt and Colman PLC.... 1,257,552 UK
6,500 Sony Corp. (ADR).......... 717,437 JPN
79,700 Sony Corp. ............... 8,593,174 JPN
35,000 Sony Music Entertainment,
Inc. .................... 2,978,448 JPN
380,000 Storehouse PLC............ 808,640 UK
29,000 TDK Corp. ................ 2,652,349 JPN
------------
TOTAL CONSUMER GOODS AND
SERVICES.................. 36,259,985
------------
ELECTRONICS -- 8.84%
19,800 ASM Lithography Holding
N.V.(c).................. 1,145,517 NET
79,200 ASM Lithography Holding
N.V. (ADR)(a)(c)......... 4,702,500 NET
</TABLE>
See notes to financial statements.
59
<PAGE> 61
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
400,000 Caradon PLC............... $ 945,800 UK
231,000 Hitachi, Ltd. ............ 2,166,179 JPN
17,500 Keyence Corp. ............ 3,062,307 JPN
29,500 Kyocera Corp. ............ 1,730,476 JPN
85,000 Murata Manufacturing
Company, Ltd. ........... 5,590,067 JPN
295,000 NEC Corp. ................ 3,668,118 JPN
51,600 Samsung Electronics
(GDR)(a)(c).............. 2,776,080 KOR
58,000 STMicroelectronics
N.V.(a)(c)............... 4,023,750 FRA
114,300 Tokyo Electron, Ltd. ..... 7,753,083 JPN
------------
TOTAL ELECTRONICS......... 37,563,877
------------
ENGINEERING -- 0.08%
19,261 Chudenko Corp. ........... 351,687 JPN
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.00%
900 Kurita Water Industries... 16,136 JPN
------------
FINANCE -- 5.07%
2,284 CIE Financial Richemont... 4,392,901 SWI
15,700 Compagnie Financiere de
Paribas.................. 1,759,959 FRA
124,000 De Beers Consolidated
Mines, Ltd. (ADR)........ 2,960,500 SOA
3,600 Fairfax Financial Holding
Company(c)............... 960,780 CDA
115,396 Lend Lease Corp., Ltd. ... 1,584,410 AUS
17,800 Newcourt Credit Group,
Inc. .................... 230,311 CDA
25,500 Nichiei Company, Ltd. .... 2,233,216 JPN
30,300 Orix Corp. ............... 2,703,654 JPN
6,000 Shohkoh Fund & Company,
Ltd. .................... 4,302,847 JPN
181,000 Wako Securities Company,
Ltd.(c).................. 400,770 JPN
------------
TOTAL FINANCE............. 21,529,348
------------
FOOD AND BEVERAGE -- 4.48%
113,000 Asahi Breweries, Ltd. .... 1,406,014 JPN
606,000 Cadbury Schweppes PLC..... 3,859,190 UK
459,442 Coca-Cola Amatil, Ltd. ... 1,851,735 AUS
216,988 Coca-Cola Beverages
PLC(c)................... 459,602 AUS
94,900 Coca-Cola Beverages
PLC(c)................... 201,947 AUS
7,500 Groupe Danone............. 1,933,636 FRA
53,375 Heineken N.V. ............ 2,732,944 NET
30,000 Heineken N.V. -- Class
A........................ 1,129,242 NET
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
820 Nestle.................... $ 1,477,444 SWI
95,000 Panamerican Beverages,
Inc. -- Class A.......... 2,262,188 MEX
275,000 Tate & Lyle PLC........... 1,723,095 UK
------------
TOTAL FOOD AND BEVERAGE... 19,037,037
------------
INDUSTRIAL -- 3.91%
57,322 Advantest Corp. .......... 6,298,799 JPN
16,200 Compagnie de
Saint-Gobain............. 2,581,172 FRA
59,061 Preussag AG............... 3,173,306 GER
1,025 SGS Societe Generale de
Surveillance Holding
SA....................... 1,061,534 SWI
430,000 Tomkins PLC............... 1,863,964 UK
384,236 Western Mining Corp.
Holding, Ltd. ........... 1,650,639 AUS
------------
TOTAL INDUSTRIAL.......... 16,629,414
------------
INSURANCE -- 2.52%
80,000 Assicurazioni Generali,
Ltd. .................... 2,772,064 ITA
608,704 QBE Insurance Group,
Ltd. .................... 2,316,727 AUS
317,964 Royal & Sun Alliance
Insurance Group PLC...... 2,851,851 UK
670 Schweizerische
Rueckversicherungs-
Gesellschaft............. 1,275,706 SWI
279,000 Yasuda Fire and Marine
Insurance................ 1,477,556 JPN
------------
TOTAL INSURANCE........... 10,693,904
------------
INVESTMENT HOLDING COMPANIES -- 0.85%
325,000 Hutchison Whampoa......... 2,942,712 HNG
579,000 Sime Darby Berhad......... 683,278 MAL
------------
TOTAL INVESTMENT HOLDING
COMPANIES................. 3,625,990
------------
LEISURE AND RECREATION -- 0.59%
10,000 Accor SA.................. 2,511,149 FRA
------------
MACHINERY -- 0.35%
249,800 BPB Industries............ 1,480,540 UK
------------
MANUFACTURING -- 8.31%
26,548 ABB AB -- Class A......... 2,482,509 SWE
1,041,100 Invensys PLC.............. 4,927,318 UK
93,000 Mannesmann AG............. 13,877,934 GER
80,000 Metra Oy.................. 1,691,288 FIN
120,863 Morgan Crucible Company
PLC...................... 510,586 UK
</TABLE>
See notes to financial statements.
60
<PAGE> 62
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
MANUFACTURING (CONTINUED)
44,300 Scania AB -- Class B...... $ 1,227,119 SWE
66,000 Siemens AG................ 5,091,187 GER
135,000 Thyssen Krupp AG(c)....... 2,969,595 GER
374,000 TI Group PLC.............. 2,505,538 UK
------------
TOTAL MANUFACTURING....... 35,283,074
------------
MEDIA -- 4.18%
44 Canal Plus................ 12,347 FRA
17,100 Grupo Televisa
(GDR)(a)(c).............. 766,294 MEX
49,000 Lagardere S.C.A. ......... 1,824,216 FRA
139,923 News Corp., Ltd. ......... 1,193,851 AUS
29,750 News Corp., Ltd. (ADR).... 1,050,547 AUS
390,806 Reuters Group PLC......... 5,140,740 UK
433 Reuters Group PLC
(ADR)(a)................. 35,100 UK
177,207 Singapore Press Holdings,
Ltd. .................... 3,018,562 SIN
141,224 Thomson Corp. ............ 4,230,013 CDA
35,000 Tokyo Broadcasting........ 506,047 JPN
------------
TOTAL MEDIA............... 17,777,717
------------
METALS AND MINING -- 1.43%
346,397 Broken Hill Proprietary... 4,012,524 AUS
8,050 Broken Hill Proprietary
(ADR).................... 190,685 AUS
43,663 Pechiney SA -- Class A.... 1,876,784 FRA
------------
TOTAL METALS AND MINING... 6,079,993
------------
OIL AND GAS -- 4.33%
472,400 Eni Spa(c)................ 2,820,748 ITA
164,000 Enterprise Oil PLC........ 1,067,656 UK
281,000 Sasol Beperk Limited...... 2,004,710 SOA
395,000 Shell Transport &
Trading.................. 2,962,184 UK
16,000 Suncor Energy, Inc. ...... 652,411 CDA
40,000 Suncor Energy, Inc.
(ADR).................... 1,645,000 CDA
48,000 Talisman Energy,
Inc.(c).................. 1,298,875 CDA
15,000 Total Fina S.A. -- Series
B........................ 1,935,183 FRA
37,000 Veba AG................... 2,174,952 GER
269,900 Woodside Petroleum,
Ltd. .................... 1,827,628 AUS
------------
TOTAL OIL AND GAS......... 18,389,347
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
PAPER AND FOREST PRODUCTS -- 1.17%
189,000 Sumitomo Forestry......... $ 1,470,949 JPN
122,000 UPM-Kymmeme............... 3,497,667 FIN
------------
TOTAL PAPER AND FOREST
PRODUCTS.................. 4,968,616
------------
PHARMACEUTICALS -- 5.50%
13,162 AstraZeneca PLC (ADR)(a).. 515,786 UK
120,400 AstraZeneca PLC........... 4,657,361 UK
128,328 AstraZeneca PLC........... 4,996,220 UK
131,000 BOC Group................. 2,560,539 UK
2,195 Novartis AG............... 3,205,122 SWI
90,480 Sanofi-Synthelabo SA(c)... 3,839,691 FRA
77,000 Takeda Chemical
Industries, Ltd. ........ 3,568,935 JPN
------------
TOTAL PHARMACEUTICALS..... 23,343,654
------------
REAL ESTATE -- 0.65%
188,000 Cheung Kong Holdings
Ltd. .................... 1,671,940 HNG
134,000 Mitsui Fudosan............ 1,084,971 JPN
------------
TOTAL REAL ESTATE......... 2,756,911
------------
RETAIL -- 0.33%
121,000 Kingfisher PLC............ 1,392,347 UK
------------
TELECOMMUNICATIONS -- 14.55%
116,300 Deutsche Telekom AG....... 4,881,437 GER
13,400 Ericsson AB -- Class B.... 429,499 SWE
34,400 Ericsson L M Telephone
(ADR).................... 1,133,050 SWE
641,600 Hong Kong
Telecommunications,
Ltd.(a).................. 1,666,299 HNG
6,819 Hong Kong
Telecommunications, Ltd.
(ADR).................... 183,687 HNG
5,500 Korea Telecom Corp.
(ADR)(c)................. 220,000 KOR
1,830 Nippon Telegraph and
Telephone Corp. ......... 2,132,656 JPN
106,800 Nokia Oyj................. 9,361,896 FIN
26,400 Nokia Corp. (ADR)......... 2,417,250 FIN
23,000 Nortel Networks
Corp.(a)................. 1,996,688 CDA
4,250 NTT Mobile Communications
Network, Inc. ........... 5,760,807 JPN
105,300 Orange PLC(c)............. 1,543,656 UK
</TABLE>
See notes to financial statements.
61
<PAGE> 63
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
7,800 Societe Europeenne des
Satellites (FDR)......... $ 1,132,182 LUX
9,562 Swisscom AG(c)............ 3,598,228 SWI
179,000 Telecom Italia Mobile..... 1,068,827 ITA
523,000 Telecom Italia Mobile..... 1,925,477 ITA
842,000 Telecom Italia Spa(c)..... 4,567,429 ITA
261,555 Telecom Italia Spa........ 2,718,917 ITA
85,249 Telefonica S.A.(c)........ 4,106,504 SPA
30,000 Telefonica De Argentina
(ADR).................... 941,250 ARG
80,300 Telefonos De Mexico
(ADR)(a)................. 6,489,244 MEX
18,000 Vodafone Group PLC
(ADR).................... 3,546,000 UK
------------
TOTAL
TELECOMMUNICATIONS....... 61,820,983
------------
TIRE AND RUBBER -- 0.41%
58,000 Bridgestone Corp. ........ 1,753,856 JPN
------------
TRANSPORTATION -- 0.89%
130,000 Bombardier Inc., Class B
(ADR).................... 1,984,396 CDA
83,200 Bombardier Inc., Class
B........................ 1,264,823 CDA
446,000 Malaysian Airline System
BHD...................... 549,606 MAL
------------
TOTAL TRANSPORTATION...... 3,798,825
------------
TOTAL COMMON STOCK
(Cost $308,088,040)....... 393,542,701
------------
PREFERRED STOCK -- 0.35%
CHEMICALS -- 0.35%
22,000 Henkel KGaA
(Cost $1,738,214)......... 1,501,945 GER
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
NON-CONVERTIBLE BOND -- 0.04%
$123,977.... Sekisui House, 2.50%,
01/31/02 (Cost $163,371) 177,585 JPN
------------
CONVERTIBLE BONDS AND NOTES -- 0.13%
FOOD AND BEVERAGE -- 0.13%
181,833.... Asahi Breweries Series 8,
0.90%, 12/26/01.......... 241,736 JPN
41,326..... Asahi Breweries Series 9,
0.95%, 12/26/02.......... 53,415 JPN
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
CONVERTIBLE BONDS AND NOTES (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
$190,098.... Asahi Breweries Series 10,
1.00%, 12/26/03.......... $ 248,561 JPN
------------
TOTAL FOOD AND BEVERAGE
(Cost $503,029)........... 543,712
------------
SHARES
- -----------
<C> <S> <C> <C>
REGULATED INVESTMENT COMPANY -- 0.24%
1,000,000 Merrimac Cash Fund --
Premium Class(b)
(Cost $1,000,000) 1,000,000 USA
------------
PRINCIPAL
- -----------
TIME DEPOSITS -- 2.29%
$ 81,661 BankBoston, N.A., 5.995%,
10/29/99(b).............. 81,661 USA
2,242,235 Bank of Montreal, 4.87%,
07/21/99(b).............. 2,242,235 USA
6,191,257 Royal Bank of Scotland
PLC, 4.86%,
07/01/1999(b)............ 6,191,257 USA
1,229,884 Royal Bank of Scotland
PLC, 4.87%,
07/26/1999(b)............ 1,229,884 USA
------------
TOTAL TIME DEPOSITS
(Cost $9,745,037)......... 9,745,037
------------
FLOATING RATE NOTES -- 6.36%
17,000,000 Prudential Securities,
Inc., 6.25%,
03/10/00(b).............. 17,000,000 USA
10,000,000 Republic New York
Securities Corp., 6.20%,
10/07/99(b).............. 10,000,000 USA
------------
TOTAL FLOATING RATE NOTES
(Cost $27,000,000)........ 27,000,000
------------
TOTAL SECURITIES
(Cost $348,237,691)....... 433,510,980
------------
REPURCHASE AGREEMENTS -- 6.66%
25,000,000 With Investors Bank and
Trust, dated 06/30/99,
4.25%, due 07/01/99,
repurchase proceeds at
maturity $25,002,951
(Collateralized by
various Fannie Maes,
5.66% -- 7.50%, due
01/05/04 to 02/01/10,
with a value of
$26,250,354)............. 25,000,000 USA
------------
</TABLE>
See notes to financial statements.
62
<PAGE> 64
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$ 3,299,368 With Investors Bank and
Trust, dated 06/30/99,
4.25%, due 07/01/99,
repurchase proceeds at
maturity $3,299,758 (Col-
lateralized by a Fannie
Mae Adjustable Rate
Mortgage Obligation
6.869%, due 10/01/23,
with a value of
$3,464,625).............. $ 3,299,368 USA
------------
TOTAL REPURCHASE
AGREEMENTS
(Cost $28,299,368)....... 28,299,368
------------
Total Investments -- 108.70%
(Cost $376,537,059)....... 461,810,348
Liabilities less other
assets -- (8.70)%......... (36,959,598)
------------
NET ASSETS -- 100.00%.... $424,850,750
============
The aggregate cost of securities for federal income tax purposes
at June 30, 1999 is $376,537,059.
The following amount is based on costs for federal income tax
purposes:
Gross unrealized appreciation........ $102,618,652
Gross unrealized depreciation........ (17,345,363)
------------
Net unrealized appreciation.......... $ 85,273,289
============
</TABLE>
- ---------------
(a) All or part of the security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) -- American Depository Receipt.
(GDR) -- Global Depository Receipt.
<TABLE>
<CAPTION>
PERCENT OF TOTAL
COUNTRY COMPOSITION INVESTMENTS AT VALUE
------------------- --------------------
<S> <C>
Argentina (ARG).................... 0.20%
Australia (AUS).................... 4.31%
Canada (CDA)....................... 4.69%
Finland (FIN)...................... 3.67%
France (FRA)....................... 5.42%
Germany (GER)...................... 8.18%
Hong Kong (HNG).................... 1.40%
Italy (ITA)........................ 3.91%
Japan (JPN)........................ 23.37%
Korea (KOR)........................ 0.65%
Luxembourg (LUX)................... 0.25%
Malaysia (MAL)..................... 0.27%
Mexico (MEX)....................... 2.68%
Netherlands (NET).................. 3.79%
Norway (NOR)....................... 0.58%
Singapore (SIN).................... 1.01%
South Africa (SOA)................. 1.08%
Spain (SPA)........................ 0.89%
Sweden (SWE)....................... 1.74%
Switzerland (SWI).................. 3.73%
Turkey (TUR)....................... 0.23%
United Kingdom (UK)................ 13.65%
United States (USA)................ 14.30%
------
TOTAL PERCENTAGE................... 100.00%
======
</TABLE>
See notes to financial statements.
63
<PAGE> 65
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements
(Unaudited)
1. ORGANIZATION AND BUSINESS
Diversified Investors Portfolios (the "Series Portfolio"), a series trust
organized on September 1, 1993, under the laws of the State of New York, is
composed of thirteen different series that are, in effect, separate investment
funds: the Money Market Series, the High Quality Bond Series, the Intermediate
Government Bond Series, the 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
64
<PAGE> 66
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
C. FOREIGN CURRENCY TRANSLATION -- (CONTINUED)
losses on investments. 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
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. 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.
G. 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.
65
<PAGE> 67
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
G. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- (CONTINUED)
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.
H. 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.
I. 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................................................ 23.87
High Quality Bond........................................... 47.36
Intermediate Government Bond................................ 43.71
Government/Corporate Bond................................... 28.85
Balanced.................................................... 59.43
Equity Income............................................... 57.17
Equity Value................................................ 18.17
Growth & Income............................................. 47.33
Equity Growth............................................... 63.92
Special Equity.............................................. 43.37
Aggressive Equity........................................... 38.43
High Yield Bond............................................. 30.97
International Equity........................................ 38.11
</TABLE>
The Advisor manages the assets of each Series of the Series Portfolio
pursuant to an Investment Advisory Agreement with the Series Portfolio. Subject
to such further policies as the Board of Trustees may determine, the Advisor
provides general investment advice to each Series. For its services, the Advisor
receives from each Series fees accrued daily and paid monthly at an annual rate
equal to the percentages specified in the table below of the corresponding
Series' average daily net assets. The Advisor is currently waiving a portion of
its investment advisory fee to certain Series.
For each Series, the Advisor has entered into Investment Subadvisory
Agreements with the subadvisors listed in the table below (each a "Subadvisor",
collectively the "Subadvisors"). It is the responsibility of a Subadvisor to
make the day-to-day investment decisions of the Series and to place the purchase
and sales orders for securities transactions of such Series, subject in all
cases to the general supervision of the Advisor.
66
<PAGE> 68
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For its services the Subadvisors receive a fee from the Advisor at an annual
rate equal to the percentages specified in the table below of the corresponding
Series' average daily net assets.
<TABLE>
<CAPTION>
ADVISOR SUBADVISOR
PORTFOLIO SERIES PORTFOLIO SUBADVISORS FEE(%) FEE(%)
- ---------------- --------------------- ------- -----------
<S> <C> <C> <C>
Money Market Series....................... Capital Management Group 0.25 0.05
High Quality Bond Series.................. Merganser Capital Management
Corporation 0.35 (2)
Intermediate Government Bond Series....... Capital Management Group 0.35(1) 0.15
Government/Corporate Bond Series.......... Capital Management Group 0.35 0.15
Balanced Series........................... (3) 0.45(1) (4)
Equity Income Series...................... Asset Management Group 0.45 (5)
Equity Value Series....................... Ark Asset Management Company, Inc. 0.57(1) (6)
Growth & Income Series.................... Putnam Advisory Company, Inc. 0.60(1) (7)
Equity Growth Series...................... (8) 0.62(1) (9)
Special Equity Series..................... (10) 0.80 (11)
Aggressive Equity Series.................. McKinley Capital Management 0.97(1) (12)
High-Yield Bond Series.................... Delaware Investment Advisors 0.55(1) (13)
International Equity Series............... Capital Guardian Trust Company 0.75(1) (14)
</TABLE>
- ---------------
(1) The Advisor is currently waiving a portion of its fee.
(2) 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.
(3) 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.
(4) 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 June 30, 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 June 30, 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.
(5) 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.
(6) 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.
(7) 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.
(8) The Equity Growth Series changed subadvisors on January 25, 1998. Montag &
Caldwell, Inc. and Dresdner RCM Global Investors, Inc. replaced Chancellor
LGT Capital Management, Inc.
67
<PAGE> 69
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
(9) 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.
(10) The Special Equity Series has four Subadvisors: Pilgrim Baxter &
Associates, Ltd.; Robertson, Stephens,; Liberty Investment Management,
Inc.; and Westport Asset Management, Inc. On March 26, 1999, Robertson,
Stephens replaced Ark Asset Management Co., Inc.
(11) 0.50% of average daily net assets for the three Subadvisors: Pilgrim
Baxter & Associates, Ltd., 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 June 30, 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.
(12) 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.
(13) 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.
(14) 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 June 30, 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.
Government/Corporate 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 June 30, 1999, amounted to $14,550.
68
<PAGE> 70
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
4. SECURITIES LENDING
All but the High Yield Bond Series may lend its securities to certain
member firms of the New York Stock Exchange. The loans are collateralized at all
times with cash or securities with a market value at least equal to the market
value of the securities on loan. Any deficiencies or excess of collateral must
be delivered or transferred by the member firms no later than the close of
business on the next business day. As with other extensions of credit, the
Series may bear the risk of delay in recovery or even loss of rights in the
collateral should the borrower of the securities fail financially. The Series
receives compensation, net of related expenses, for lending its securities which
is included in interest income on the Statements of Operations. At June 30,
1999, the Series loaned securities having market values as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
------------ ------------
<S> <C> <C>
Intermediate Government Bond Series......................... $ 39,138,249 $ 40,056,000
Government Corporate Bond Series............................ 82,172,490 83,890,000
Balanced Series............................................. 92,278,999 94,660,439
Equity Income Series........................................ 87,316,321 89,359,690
Equity Value Series......................................... 23,416,069 23,803,300
Growth & Income Series...................................... 72,886,681 73,367,847
Equity Growth Series........................................ 53,718,338 54,216,228
Special Equity Series....................................... 98,471,352 100,464,700
Aggressive Equity Series.................................... 13,238,895 13,825,260
International Equity Series................................. 33,015,550 37,745,037
</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 period ended June 30, 1999,
were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C> <C>
High Quality Bond Series............... Government Obligations $ 5,966,719 $ 13,634,216
62,730,777 51,829,605
Other
Intermediate Government Bond Series.... Government Obligations 64,293,613 24,033,876
Government/Corporate Bond Series....... Government Obligations 297,013,844 236,052,452
112,268,820 50,934,519
Other
Balanced Series........................ Government Obligations 243,029,393 729,785,483
545,509,487 312,009
Other
Equity Income Series................... Other 288,610,107 256,837,963
Equity Value Series.................... Other 158,313,655 156,991,162
Growth & Income Series................. Other 586,599,893 419,268,431
Equity Growth Series................... Other 290,260,561 154,455,042
Special Equity Series.................. Other 869,705,626 893,152,448
Aggressive Equity Series............... Other 85,954,092 52,932,316
High-Yield Bond Series................. Other 93,060,312 69,820,817
International Equity Series............ Other 88,933,930 66,497,548
</TABLE>
69
<PAGE> 71
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
6. FOREIGN CURRENCY FORWARD CONTRACTS
At June 30, 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>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION/
CURRENCY FOR DATE VALUE (DEPRECIATION)
------------- ----------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
BALANCED
- ------------------------------
SALE CONTRACTS:
British Pound Sterling........ 2,400,000 $3,853,392 07/13/1999 $3,778,361 $ 75,031
Euro.......................... 3,600,000 3,755,268 11/29/1999 3,753,081 2,187
Greek Drachma................. 1,180,000,000 3,716,184 11/08/1999 3,745,192 (29,008)
New Zealand Dollar............ 7,200,000 3,949,416 07/28/1999 3,809,309 140,107
---------
TOTAL.................... $ 188,317
=========
INTERNATIONAL EQUITY
PURCHASES CONTRACTS:
Australian Dollar............. 2,188,598 $1,385,019 07/30/1999 $1,446,641 $ 61,622
British Pound Sterling........ 73,701 117,077 07/01/1999 116,020 (1,057)
British Pound Sterling........ 67,487 106,715 07/02/1999 106,239 (476)
British Pound Sterling........ 53,899 85,566 07/02/1999 84,848 (718)
British Pound Sterling........ 68,975 108,453 07/06/1999 108,584 131
British Pound Sterling........ 843,033 1,385,019 07/30/1999 1,327,329 (57,690)
Euro.......................... 315,122 336,440 07/22/1999 325,219 (11,221)
Euro.......................... 95,873 100,002 07/30/1999 98,999 (1,003)
Euro.......................... 204,481 213,815 07/30/1999 211,147 (2,668)
Japanese Yen.................. 3,900,988 32,181 07/01/1999 32,247 66
Japanese Yen.................. 280,893,360 2,373,232 08/02/1999 2,332,881 (40,351)
Japanese Yen.................. 145,445,250 1,198,570 08/04/1999 1,208,315 9,745
Japanese Yen.................. 267,161,280 2,225,287 10/13/1999 2,243,639 18,352
---------
TOTAL.................... $ (25,268)
=========
SALE CONTRACTS:
Australian Dollar............. 2,188,598 $1,410,360 07/30/1999 $1,446,642 $ (36,282)
British Pound Sterling........ 843,033 1,385,019 07/30/1999 1,327,330 57,689
British Pound Sterling........ 164,816 265,000 09/03/1999 259,576 5,424
Euro.......................... 44,064 45,615 07/01/1999 45,411 204
Euro.......................... 398,664 412,946 07/02/1999 410,879 2,067
Euro.......................... 315,122 338,000 07/22/1999 325,218 12,782
Japanese Yen.................. 280,893,360 2,472,000 08/02/1999 2,332,881 139,119
Japanese Yen.................. 145,445,250 1,325,000 08/04/1999 1,208,315 116,685
Japanese Yen.................. 270,667,150 2,249,000 08/17/1999 2,252,983 (3,983)
Japanese Yen.................. 360,444,800 3,086,000 08/27/1999 3,004,762 81,238
Japanese Yen.................. 267,161,280 2,328,000 10/13/1999 2,243,639 84,361
---------
TOTAL.................... $ 459,304
=========
</TABLE>
70
<PAGE> 72
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (continued)
(Unaudited)
6. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
<TABLE>
<CAPTION>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION/
CURRENCY FOR DATE VALUE (DEPRECIATION)
------------- ----------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
CROSS CURRENCY
CONTRACTS:
(Purchase/Sale)
Euro/British Pound Sterling... N/A $ 310,316 08/04/1999 $ 313,311 $ (2,995)
Euro/British Pound Sterling... N/A 220,549 09/07/1999 217,288 3,261
Euro/Japanese Yen............. N/A 1,421,622 07/06/1999 1,468,600 (46,978)
Euro/Japanese Yen............. N/A 4,084,203 12/08/1999 4,155,745 (71,542)
---------
TOTAL.................... $(118,254)
=========
</TABLE>
71
<PAGE> 73
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
7. FINANCIAL HIGHLIGHTS
<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
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
- ------------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
MONEY MARKET
06/30/1999* $ 355,246,517 0.28% 0.28% 4.79% 4.79% 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 5.70 5.69 N/A
12/31/1994 161,509,792 0.32 0.30 4.05 4.07 N/A
HIGH QUALITY BOND
06/30/1999* 224,258,371 0.38 0.38 5.78 5.78 30%
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 5.83 5.82 25
12/31/1994 143,996,216 0.41 0.40 5.77 5.79 37
INTERMEDIATE GOVERNMENT BOND
06/30/1999* 174,797,210 0.39 0.39 5.44 5.44 16
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 5.57 5.52 59
12/31/1994 86,638,740 0.45 0.40 5.71 5.76 21
GOVERNMENT/CORPORATE BOND
06/30/1999* 597,279,664 0.37 0.37 5.89 5.89 52
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
12/31/1994 246,985,392 0.40 0.40 5.71 5.72 122
BALANCED
06/30/1999* 514,797,252 0.48 0.48 2.60 2.60 139
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 4.19 4.15 124
12/31/1994 125,509,115 0.53 0.50 3.57 3.61 118
EQUITY INCOME
06/30/1999* 1,516,914,595 0.47 0.47 1.83 1.83 18
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
12/31/1994 588,694,098 0.49 0.49 3.43 3.43 30
</TABLE>
- ---------------
<TABLE>
<S> <C>
* 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>
72
<PAGE> 74
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
7. 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
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
- ------------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
EQUITY VALUE+
06/30/1999* $ 443,378,118 0.60% 0.60% 1.57% 1.57% 38%
12/31/1998 389,859,775 0.61 0.60 1.46 1.47 107
12/31/1997 234,983,715 0.63 0.60 1.43 1.46 120
12/31/1996* 29,033,513 1.06 0.60 1.60 2.07 65
GROWTH & INCOME
06/30/1999* 1,030,766,402 0.62 0.62 0.08 0.08 46
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 1.49 1.47 155
12/31/1994 94,583,300 0.67 0.65 1.35 1.37 21
EQUITY GROWTH
06/30/1999* 942,284,412 0.63 0.63 0.14 0.14 19
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
12/31/1994 148,817,830 0.76 0.75 0.08 0.11 75
SPECIAL EQUITY
06/30/1999* 978,787,976 0.83 0.83 0.20 0.20 106
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 0.250 140
12/31/1995 315,458,225 0.88 0.85 0.33 0.30 155
12/31/1994 217,671,865 0.88 0.85 0.27 0.30 90
AGGRESSIVE EQUITY+
06/30/1999* 141,092,678 1.04 1.00 (0.41) (0.37) 52
12/31/1998 81,327,707 1.10 1.00 (0.41) (0.31) 121
12/31/1997 25,857,650 1.33 1.00 (0.52) (0.19) 243
12/31/1996* 15,479,130 1.59 1.00 (0.72) (0.13) 186
HIGH YIELD BOND++
06/30/1999* 108,565,887 0.62 0.60 8.61 8.63 72
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 8.45 7.73 21
INTERNATIONAL EQUITY+++
06/30/1999* 424,850,750 0.84 0.84 1.33 1.33 19
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 0.53 0.50 7
</TABLE>
- ---------------
<TABLE>
<S> <C>
* 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>
73
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<PAGE> 78
DIVERSIFIED INVESTORS SECURITIES CORPORATION
4 Manhattanville Road, Purchase, New York 10577
(914) 697-8000
2804 (8/99)
