<PAGE> 1
DIVERSIFIED INVESTMENT ADVISORS
DIVERSIFIED INVESTORS PORTFOLIOS
SEMI-ANNUAL REPORT
JUNE 30, 2000
INTERNATIONAL EQUITY PORTFOLIO
HIGH YIELD BOND PORTFOLIO
AGGRESSIVE EQUITY PORTFOLIO
SPECIAL EQUITY PORTFOLIO
EQUITY GROWTH PORTFOLIO
GROWTH AND INCOME PORTFOLIO
EQUITY VALUE PORTFOLIO
VALUE & INCOME PORTFOLIO
BALANCED PORTFOLIO
CORE BOND PORTFOLIO
INTERMEDIATE GOVERNMENT
BOND PORTFOLIO
HIGH QUALITY BOND PORTFOLIO
MONEY MARKET PORTFOLIO
[LOGO]
DIVERSIFIED
INVESTMENT
ADVISORS
<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, 1999.... 14
PORTFOLIO OF INVESTMENTS
Money Market Portfolio --................................... 16
High Quality Bond Portfolio --.............................. 18
Intermediate Government Bond Portfolio --................... 21
Core Bond Portfolio --...................................... 24
Balanced Portfolio --....................................... 27
Value & Income Portfolio --................................. 37
Equity Value Portfolio --................................... 41
Growth & Income Portfolio --................................ 44
Equity Growth Portfolio --.................................. 47
Special Equity Portfolio --................................. 50
Aggressive Equity Portfolio --.............................. 57
High Yield Bond Portfolio --................................ 59
International Equity Portfolio --........................... 62
Notes to Financial Statements............................... 68
</TABLE>
<PAGE> 3
SECOND QUARTER 2000
ECONOMIC OVERVIEW
During the second quarter of 2000, the financial markets encountered a
great deal of uncertainty as well as diverging market views. This resulted in a
significant amount of market rotation and volatility. The fact that most stock
indices declined between 2.7% and 4.7% inadequately describes the tremendous
volatility investors withstood in the second quarter. Most of the uncertainty
was attributable to the direction of the economy as well as interest rates and
corporate profits.
The economy continued on its torrid pace in the first quarter of the year
as the Gross Domestic Product, a measure of all the goods and services produced
in the U.S., increased by an annual rate of 5.4%. This measure is well above the
Federal Reserve's growth target of 3.5%. In an attempt to subside the economic
imbalances, the Federal Reserve Board increased interest rates by 50 basis
points in the quarter.
It appears as though the six increases in the Fed Funds Rate over the past
year are having an effect on economic activity. The most recent economic data
suggests that the economy is slowing. This has become most evident among the
consumer sector. Consumer spending has slowed to approximately a 3% annual pace.
This is down significantly from the 11% clip we experienced in late 1999 and
early 2000. In addition, the higher energy prices are negatively impacting the
economy. The higher prices tend to act as additional tax on the economy, as this
causes consumer disposable income to fall.
Although consumer spending has slowed, we have to wonder if this is just a
slight pause with consumer activity picking up in the next quarter or two. The
consumer confidence level, albeit lower than it was earlier in the year, remains
very high. With the job market remarkably tight, wages continuing to increase
between 3.5% and 4.0%, and equity prices recovering from the recent sell-off,
consumers will most likely remain upbeat. Also, lets not forget that after
strong economic activity in the first quarter of 1998 and 1999, the economy
paused in the second quarter of each year, then catapulted in the second half of
the year. We would like to see growth slow across various sectors of the
economy, not concentrated in a few areas. Parts of the manufacturing sector
continue to exhibit strong patterns.
Inflation measures such as the Consumer Price Index (CPI) and the Producer
Price Index (PPI) are maintaining their upward trend from their 1999 lows. The
headline PPI has increased 3.8% on a year-over-year basis, and the CPI has
increased 3.1%. Through June of 1999, the PPI and CPI measures were up only a
modest 1.5% and 2.0%, respectively. While the latest numbers are not in
dangerous territory, they currently portray an upward pattern. Another measure
worth noting, was the latest increase in the Employment Cost Index (ECI) which
rose 1.4% in the first quarter, the largest increase since September 1990. This
measure had an immediate impact on the financial markets as both bonds and
stocks aggressively sold off on the news.
FINANCIAL MARKETS
The broad investment grade bond market, as measured by the Lehman Brothers
Aggregate Index, returned 1.7% in the second quarter. After pausing in April and
May, the bond market broke out of its slump in June by rising 2.1%, its best
performance since September 1998. The bond market benefited from strong
performances in both the Government sector and in each of the spread sectors,
which all recorded strong returns. The rally in the bond market was caused by
generally weaker economic data throughout the month. The first sign of slower
growth came in the first week of the month with a much less than anticipated
labor report, which announced that non-farm payrolls increased by 231,000,
significantly below the consensus estimate of 375,000. Also, the report
indicated that the unemployment rate increased to 4.1% from 3.9%. Later in the
month, a favorable CPI increase of only 0.1% coupled with a weaker than expected
housing report, added to investors growing conviction that the Fed would remain
on hold at its June 28, 2000 FOMC meeting. This would turn out to be the case;
however, the Fed did leave the door open for future increases particularly at
the meeting on August 22, 2000.
The apparent economic slowdown led investors to believe that the Fed is
nearing the end of its tightening cycle. Accordingly, two-year rates dropped 13
basis points to 6.36%, while the 10-year Treasury ended the quarter unchanged at
6.02%. The shape of the yield curve remains inverted with the 30 year Treasury
bond at 5.89%.
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For the quarter, bond portfolios with an intermediate duration generally
outperformed bond portfolios with relatively short or long durations. Also,
after lagging in the first quarter, mortgage backed securities outperformed,
with asset backed and Treasuries following behind, and corporate bonds lagging.
However, for the year, Treasuries performed the best. This result is largely
attributable to the Treasury buying back U.S. Treasury Bonds due to the current
surplus in the federal budget, as well as investors flocking to Treasury Bonds
due to economic uncertainty earlier in the year. Accordingly, high yield bonds
are significantly lagging for the year.
As investors favored the relative safety of fixed income securities, stocks
finished the second quarter lower as investors reacted negatively to the
prospects of higher interest rates and slower economic growth and their impact
on a fully valued market. As a result, the U.S. stock market, as measured by the
S&P 500 Index, fell 2.7%.
The second quarter witnessed significant volatility and sector rotation.
After significantly leading the market in 1999 and in the first quarter of 2000,
growth stocks sold off in April and May by approximately 10%. Small cap stocks,
as measured by the Russell 2000 Index, also fell prey to the selling by falling
nearly 12%. This was largely attributable to a correction in the technology
sector as concerns surfaced about whether many developing technology and
internet companies would ever post a profit, leading to a sell-off in this very
over valued sector of the market. From its peak on March 10 to its low on May
24, the NASDAQ Composite declined over 35% and finished the quarter down 13%.
Internet funds declined over 40%, while technology stocks declined approximately
10%.
In this difficult market, stocks with good earnings and more conservative
valuations outperformed. As evidence of this, two of the best performing sectors
were health care and consumer staples. During this period, value stocks, as
measured by the Russell 1000 Value Index, remained flat.
In June, however, these trends reversed and the relatively cheaper value
stocks sold-off by declining 4.6%, and large cap growth and small cap stocks
strongly rallied by returning 7.6% and 8.7%, respectively.
For the quarter, large cap growth stocks again outperformed on a relative
basis followed by international, small cap and large cap value.
OUTLOOK
Going forward, the market still faces a number of uncertainties: the time
and extent of further tightening, the degree of economic slowdown and its effect
on earnings. Right now it appears as though the rate of economic growth has
begun to slow as evidenced by the recent data. However, with employment levels
remaining strong and bolstering consumer confidence, there is a chance that
consumer spending may accelerate and keep the economy growing at a rapid pace.
Let's not forget that consumer activity accounts for nearly two thirds of total
economic activity. This is the reason why we carefully examine consumer levels
and patterns. Therefore, the belief that the Fed tightening is over may be a bit
premature as the next round of economic data may again heighten inflation
concerns.
In order to have a sustained rally in bonds, we will need clear evidence
that economic growth is slowing and that the slow down has broadened to most
sectors of the economy. This may not be forthcoming until later this year.
However, any rise in interest rates should be limited. We do not anticipate the
economy to go into a recession. With that in mind, we will maintain our current
level in bonds. We believe that the bond market, particularly corporate and high
yield bonds, looks attractive.
The recent weakness in growth and particularly technology stocks has not
brought their valuation levels in line with the rest of the market. We believe
that these overvalued stocks remain vulnerable to slowing economic growth and
declining profits. Therefore, after a near run rally, such as the one we have
experienced over the past six weeks, the market may experience some further
weakness later in the summer, with growth stocks being more vulnerable. Based on
our analysis of the current market and relative valuations, we will be selling
into this rally and most likely pull in the reins. Again, with more questions
than answers at this point, and until the future of the economy and Fed activity
become more certain, a defensive portfolio strategy seems appropriate.
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MONEY MARKET FUND
To maintain ample liquidity to moderate the impact of substantial first
quarter moves in cash flow in and out of the Money Market portfolio and
capitalize on the rise in 1-3 week money market interest rates, the Money Market
Portfolio's average maturity was shortened up in the first quarter.
Going forward, the average maturity of the portfolio will be adjusted
selectively to capitalize on opportunities where the portfolio will be rewarded
for duration extension. Presently, the yield curve in the money market is fairly
flat out through the 2-3 month area, so there is little yield sacrifice in
maintaining a short average maturity in the portfolio.
The portfolio continues to be invested in high quality short-term
instruments, principally commercial paper. Our investment strategy is to
emphasize purchases of 30-90 day maturities to provide flexibility to respond to
any changes in the marketplace without sacrificing current income.
HIGH QUALITY BOND
The domestic economy slowed during the second quarter as prolonged doses of
monetary policy tightening (50 basis points in May) from the Fed finally began
to take hold. Signs of slowing in the consumer, housing, and manufacturing
sectors, and reports indicating a modest increase in inflation buoyed the bond
market. While Treasury yields fell by 13 to 17 basis points between one and
five-year maturities, the Treasury curve remained inverted at the two-year
maturity, with a peak yield of 6.36%.
We were active during the quarter with purchases in the asset backed,
Yankee and corporate sectors and swaps in the brokerage sector. The net result
of these transactions from a sector standpoint was to increase the allocation in
the asset backed and Yankee sectors to 44% and 8% respectively, while modestly
reducing the allocation to the domestic corporate sector. At quarter end, the
portfolio was yielding 85 basis points over that of the Merrill Lynch 1-3
Government Bond Index.
INTERMEDIATE GOVERNMENT BOND
Government bond prices took another round trip in the second quarter: first
falling sharply early in the period, then gradually climbing back to end June
virtually unchanged. After a double-dose of tightening in May, we believe that
the Fed will probably stay on the sidelines for the remainder of the year. The
markets' overall tone has improved only slightly. Risk premiums remain high, and
overall market liquidity is still poor. Treasuries were the best performers,
aided by the continuing debt buy-back, while a cloud of political uncertainty
shades agencies. Lastly, the shape of the yield curve is both volatile and
inverted.
Our long-term view is that current bond yields are very attractive and will
look even more so as competition for investor dollars from equity markets cools
off. However, we expect great volatility within a gradually declining yield
range, as the market over-reacts to the latest batch of economic data. Our
strategy remains to position the portfolio with a slightly long duration
posture, and to carefully add exposure, focusing on higher-yielding agency and
government-guaranteed issues, on market weakness.
CORE BOND
During the quarter, the Fed imposed a 50 basis point rate hike, bringing
the fed funds rate to 6.5%. This was the sixth rate increase rate since June of
last year. As signs of potential slowing in economic growth began to emerge
towards quarter end, investors perceived the Fed to be nearing the end of its
tightening cycle. Accordingly, two-year rates rallied 13 basis points to 6.36%
while the 10-year Treasury ended the quarter unchanged at 6.02%.
In early April we moved to a one year overweight in GNMA's and later
reduced this to 0.5 years as spreads tightened 10 basis points. Going forward,
we feel GNMA pass throughs have more room to tighten and will likely maintain
this overweight. Mid-way through the quarter we increased our underweight in
investment grade corporates to 0.5 years. Given the flat credit curve, most of
this underweight is in the 30-year
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area. This underweight worked to our advantage as corporate spreads widened
roughly 10 basis points for industrial credits and 30 basis points in the
finance sector. We maintained a 3% allocation to domestic high yield corporates,
which widened 30 basis points largely because of concerns over future rate
hikes. Given current valuations and our defensive focus in this sector, we feel
this asset class offers significant relative value going forward.
HIGH YIELD BOND
During the month of June the portfolio was repositioned. Exposure to old
economy industries which would be the most adversely impacted by higher interest
rates was reduced. As a percentage of the portfolio, the weighting in the
housing industry and steel was reduced in addition to auto exposure being
lowered. Exposure to telecommunications was increased with the majority of this
increase related to European telecom names. Exposure to cable was lowered with
an emphasis away from U.S. cable companies to European operators. The service
industry position was increased as well. We expect to deploy cash into the new
issue area, which we believe represents value from a pricing and structure
perspective.
The best performing industries in June were supermarkets (+4.16%), energy
(+3.84%) and cable (+3.56%). Project finance bonds and zero coupon bonds also
outperformed. June was the first month in 2000 to record positive inflows into
the high yield market; $1.2 billion was invested in high yield mutual funds
during the month.
The CSFB HY Index is currently yielding 13.40%. At this level we believe
investors are being significantly compensated for credit risk. We expect demand
for capital by issuers, especially in the telecommunications area, to remain
strong. However, we expect mergers and acquisitions activity to generate capital
gain returns. Industries we expect to experience strong acquisition activity
include cellular communications, European telecommunications, and the oil and
gas operators.
BALANCED
During the quarter, the Fed imposed a 50 basis point rate hike, bringing
the fed funds rate to 6.5%. In early April, we moved to a one year overweight in
GNMA's and later reduced this to 0.5 years as spreads tightened 10 basis points.
We maintained a 6% allocation to domestic high yield corporates, which widened
30 basis points largely because of concerns over future rate hikes. Given
current valuations and our defensive focus in this sector, we feel this asset
class offers significant relative value going forward.
We also maintained a 4% allocation to emerging market securities throughout
the quarter. Positive fundamental developments across Central Europe and Latin
America continue to highlight the attractive relative value of this sector.
Market returns during the quarter suffered from expectations of aggressive
interest rate increases by the Fed. Underperformance during the quarter came
from positions in the Consumer Cyclicals and Healthcare sectors. This was
partially offset by outperformance from our positioning within the Communication
Services sector. Our outlook for the second half of the year is one of balance
between market risks related to the slowing of the U.S. economy, and market
positives such as the resolution of the Presidential race and the approaching
end of the Fed's interest rate increases.
EQUITY VALUE
The weak returns of the portfolio and Russell 1000 Value Index in the two
first full months since Sanford Bernstein began as manager mask abrupt changes.
In May, the index had positive returns, beating the broad market, and the
portfolio did better yet. In June, however, the index fell, underperforming the
broad market. With investors rotating back to high-priced technology stocks and
fleeing low-priced and pro-cyclical securities, the portfolio underperformed. In
this difficult market environment, both sector and security selection detracted
from portfolio performance. The portfolio's overweight of consumer cyclicals and
underweight of consumer growth both hurt performance. The bigger drag, however,
came from stock
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selection, particularly within financials, technology and utilities. The
portfolio's underweight of the weak (but still high-priced) technology sector
added to relative performance in the two-month period, but these gains were more
than offset by security selection. In our view, these stocks still represent a
very attractively priced way to benefit from the growth in the major technology
companies, whose goods they distribute.
VALUE & INCOME
The economy finally began to show some signs of deceleration during the
second quarter. The combination of higher interest rates, rising energy costs
and a sharp market correction, especially in the popular technology sector,
cooled consumer spending. The stock market sell-off hit the growth area the
hardest, while several value sectors such as healthcare, finance and energy
rallied.
The portfolio has substantial holdings in these areas and they contributed
to results for the quarter. Consensus forecasts call for the earnings of the
companies in the portfolio to grow about as fast as the market for each of the
next two years. Never in our experience have we seen valuations this low without
severe industrial distress. We expect investors to recognize this discrepancy
and drive prices to more appropriate levels relative to earnings prospects.
Until future Fed activity becomes more certain, we will take a defensive
portfolio strategy by reducing exposure to economy sensitive sectors while
increasing holdings in financials, healthcare and consumer staples.
GROWTH & INCOME
During the second quarter, the technology-laden NASDAQ Composite continued
to slide. As a result, the portfolio underperformed the S&P 500 Index, which
declined 2.7% in the second quarter. Underweighting health care, particularly
pharmaceuticals, and poor performance by select biotechnology holdings made this
sector the single largest detractor from portfolio performance. Strength in
communications equipment and computer hardware could not overcome the negative
impact of overweighting the weak technology sector. Lagging performance in
electronics, computers, and contract manufacturing holdings hurt performance.
We expect the current momentum of economic expansion to continue for the
foreseeable future, although moderating from 1999's high level. Despite a
possible economic slowdown, market volatility, high energy prices, and the
inevitable market uncertainty, it is important to remember that the United
States still exhibits low inflation and a strong economy. We continue to believe
that the current economic environment will reward high-quality growth companies
that are experiencing strong demand for their products and stable or improving
pricing power.
EQUITY GROWTH
Stocks finished the second quarter lower as investors reacted negatively to
the prospects of higher interest rates and the impact of slower economic growth
on a fully valued market. In this difficult environment, stocks with good
earnings and more conservative valuations tended to do well. Two of the best
performing sectors were Healthcare and Consumer Staples. With a significant
portion of the portfolio invested in these sectors, we were able to outperform
the Russell 1000 Growth Index for the quarter. Despite the volatility in biotech
stocks during the period, our overweight in Pharmaceuticals & Biotechnology was
positive for performance. Overweight to Communications Equipment and stock
selection within the group had the largest negative impact on performance.
Going forward, the key to the economic outlook remains the Federal
Reserve's ability to keep inflation in check as it attempts to engineer a soft
landing. If successful, the result should be a more moderately growing economy
in which we believe higher quality issues that can produce solid double-digit
earnings growth will excel.
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SPECIAL EQUITY
The fact that most indices declined only slightly, inadequately describes
the tremendous volatility investors withstood in the second quarter.
Year-to-date, the Russell 2000 Index has had a rise or fall of more than 3% on
24 separate days (none in 1999). Much of the volatility is a function of rapidly
changing investor sentiment toward technology and biotechnology sectors.
Waste collection, healthcare and takeover issues drove our second quarter
performance to the upside. We continue to benefit from the pursuit of
undervalued stocks by private groups and corporate capital. Performance for the
quarter was positively impacted by gains in C&D Technologies (up 90.6%), Ruby
Tuesday (up 43.6%) and Rational Software (up 21.5%). On the negative side, cable
television and radio stocks continue to slide. Financial holdings as a group
declined for the quarter in addition to semiconductor and semiconductor
equipment stocks. Technology continues to provide the main growth spark in the
economy and is the equity markets prime source of price movement, both positive
and negative.
Our view is that the Federal Reserve and the decline in the capital
markets, particularly the NASDAQ, have slowed the economy and thus raised the
probability of the Fed accomplishing their goal of a soft landing. We expect a
strong earnings release period to provide both stability and leadership to our
positions.
AGGRESSIVE EQUITY
Rising interest rates coupled with extended valuations led to continued
volatility for growth stocks. Reported earnings were very good across all
sectors, but not strong enough to overcome concerns over future growth,
especially in the technology sector.
Performance this quarter was due to appreciation across all sectors;
technology stocks such as Corning, and Siebel Systems; healthcare stocks such as
King Pharmaceutical, and Ivax Corp; and utility stocks such as Calpine. We were
less fortunate in our holdings of Costco, which was sold after indicating its
earnings growth would slow. We added to our positions in Varian, Check Point
Software, and Ivax, and initiated a position in Priority Healthcare. These
companies are all characterized by strong organic revenue growth and reported
earnings well above market expectations.
We view the market with cautious optimism. Strong growth opportunities
exist in the stocks that we own. We expect relative valuations in these issues
will be important over the balance of the year.
INTERNATIONAL EQUITY
The sell-off in equity markets that began in March continued through April.
European markets then began to turn around in late May and posted strong results
for June, paring their losses for the quarter. Throughout the second quarter
investors continued to reexamine the valuations of technology-related companies.
The resulting volatility pressured technology, media, and telecommunications
securities.
Prior to the technology correction in March, we took advantage of the
relative value found in consumer, food, and beverage stocks. Stock selection and
underweighting in Germany were additive over the quarter, as well as our
exposure to Canada. The portfolio's emphasis on technology-related companies
dampened performance. Stock selection in Japan, primarily in technology and
telecommunications, detracted from returns over the quarter.
With the strong comeback in many of the consumer and financial companies we
favored, we are beginning to take profits in these sectors and look at some more
reasonable values in the telecommunications industries. We also plan to remain
positioned in European exporters from a variety of industries. Should the Euro
remain range-bound, many of the exporters we favor that already offer
double-digit sales growth could show solid earnings results for some time to
come.
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DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE AND
MARKET QUALITY BOND BOND BOND BALANCED INCOME (1)
------------ ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Securities, at cost.............. $488,937,549 $236,825,917 $208,168,880 $744,874,058 $612,417,917 $1,085,836,656
============ ============ ============ ============ ============ ==============
Securities, at market............ $488,937,549 $233,364,591 $205,003,792 $743,384,935 $635,501,328 $1,116,205,487
Repurchase agreements, at
value.......................... 64,460 1,886,676 631,322 15,788,470 7,576,928 17,761,296
Cash............................. 24,088 29,667 -- -- 219,666 921
Foreign currency holdings, at
value (Cost $3,275,926)........ -- -- -- -- -- --
Receivable for securities sold... -- -- -- 34,396,137 15,163,300 3,006,572
Unrealized appreciation on
foreign currency forward
contracts...................... -- -- -- 257,386 93,253 --
Interest receivable.............. 537,685 2,459,481 2,610,015 7,148,003 3,033,341 5,402
Dividends receivable............. -- -- -- -- 246,974 2,359,944
Receivable from securities
lending........................ -- 25,931 892 -- 98,177 --
Reimbursement from advisor....... -- -- 2,000 -- -- 1,087
------------ ------------ ------------ ------------ ------------ --------------
Total assets............. 489,563,782 237,766,346 208,248,021 800,974,931 661,932,967 1,139,340,709
------------ ------------ ------------ ------------ ------------ --------------
LIABILITIES:
Due to Advisor................... -- -- -- -- 87,024 --
Deposit for securities loaned.... -- 9,340,000 28,730,000 42,412,500 44,792,400 25,044,861
Payable for securities
purchased...................... -- -- -- 217,892,825 90,305,074 1,674,570
Unrealized depreciation on
foreign currency forward
contracts...................... -- -- -- 400,476 142,036 --
Investment advisory fees......... 102,323 77,124 53,511 152,548 198,124 432,096
Accrued expenses................. 18,460 14,830 17,884 32,897 189,961 59,459
------------ ------------ ------------ ------------ ------------ --------------
Total liabilities........ 120,783 9,431,954 28,801,395 260,891,246 135,714,619 27,210,986
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS............... $489,442,999 $228,334,392 $179,446,626 $540,083,685 $526,218,348 $1,112,129,723
============ ============ ============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-in capital.................. $489,442,999 $231,795,718 $182,611,714 $541,942,641 $503,271,035 $1,081,760,892
Net unrealized appreciation
(depreciation) on securities
and futures.................... -- (3,461,326) (3,165,088) (1,489,123) 23,083,411 30,368,831
Net unrealized appreciation
(depreciation) on translation
of assets and liabilities in
foreign currencies............. -- -- -- (369,833) (136,098) --
------------ ------------ ------------ ------------ ------------ --------------
NET ASSETS............... $489,442,999 $228,334,392 $179,446,626 $540,083,685 $526,218,348 $1,112,129,723
============ ============ ============ ============ ============ ==============
</TABLE>
---------------
(1) Formerly Equity Income
See notes to financial statements.
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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>
$194,101,072 $1,159,342,247 $1,164,730,026 $1,097,293,914 $364,526,961 $115,870,036 $579,732,874
============ ============== ============== ============== ============ ============ ============
$175,135,899 $1,464,413,352 $1,484,777,591 $1,363,807,036 $505,585,984 $110,955,894 $762,297,123
3,554,864 23,316,736 29,843,994 57,762,293 4,031,732 11,530,251 22,276,534
-- -- 24 -- -- -- 671
-- -- -- -- -- -- 3,270,195
-- 5,662,282 7,609,494 7,190,255 10,050,705 2,347,204 5,241,870
-- -- -- -- -- -- 1,044,784
1,645 29,404 25,576 26,346 12,378 2,478,701 19,307
488,471 464,739 486,696 651,018 25,992 -- 1,252,865
692 32,321 22,302 50,694 9,369 -- 53,292
-- -- -- -- -- -- 6,191
------------ -------------- -------------- -------------- ------------ ------------ ------------
179,181,571 1,493,918,834 1,522,765,677 1,429,487,642 519,716,160 127,312,050 795,462,832
------------ -------------- -------------- -------------- ------------ ------------ ------------
-- -- -- 15,166 -- -- --
6,768,500 166,821,394 135,995,998 109,119,228 76,599,800 -- 91,268,648
-- 11,974,512 8,180,591 2,080,372 1,930,774 2,407,770 5,294,661
-- -- -- -- -- -- 595,537
87,912 648,478 696,127 930,690 337,062 59,438 428,486
1,671 57,069 52,725 224,532 14,343 23,714 77,484
------------ -------------- -------------- -------------- ------------ ------------ ------------
6,858,083 179,501,453 144,925,441 112,369,988 78,881,979 2,490,922 97,664,816
------------ -------------- -------------- -------------- ------------ ------------ ------------
$172,323,488 $1,314,417,381 $1,377,840,236 $1,317,117,654 $440,834,181 $124,821,128 $697,798,016
============ ============== ============== ============== ============ ============ ============
$191,288,661 $1,009,346,276 $1,057,792,671 $1,050,604,532 $299,775,158 $129,735,270 $514,813,568
(18,965,173) 305,071,105 320,047,565 266,513,122 141,059,023 (4,914,142) 182,564,249
-- -- -- -- -- -- 420,199
------------ -------------- -------------- -------------- ------------ ------------ ------------
$172,323,488 $1,314,417,381 $1,377,840,236 $1,317,117,654 $440,834,181 $124,821,128 $697,798,016
============ ============== ============== ============== ============ ============ ============
</TABLE>
9
<PAGE> 11
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE VALUE AND
MARKET QUALITY BOND BOND BOND BALANCED INCOME(1)
----------- ------------ ------------ ----------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................ $13,734,342 $7,047,690 $5,410,187 $16,622,649 $ 6,841,307 $ 678,698
Securities lending income...... -- 8,881 36,559 128,176 63,129 55,665
Dividend income................ -- -- -- -- 1,696,879 15,040,195
Less: withholding taxes........ -- -- -- -- (10,852) (33,135)
----------- ---------- ---------- ----------- ------------ -------------
Total income............ 13,734,342 7,056,571 5,446,746 16,750,825 8,590,463 15,741,423
----------- ---------- ---------- ----------- ------------ -------------
EXPENSES:
Investment advisory fees....... 553,983 378,361 309,645 901,037 1,161,755 2,790,973
Custody fees................... 49,975 18,353 18,523 15,022 32,588 22,423
Professional fees.............. 9,176 6,889 6,320 43,675 15,428 33,019
Reports to shareholders........ 1,553 455 622 14,603 82,792 3,066
Miscellaneous fees............. 925 932 930 1,171 1,068 1,893
----------- ---------- ---------- ----------- ------------ -------------
Total expenses.......... 615,612 404,990 336,040 975,508 1,293,631 2,851,374
Expenses reimbursed by the
advisor...................... -- -- -- -- -- --
----------- ---------- ---------- ----------- ------------ -------------
Net expenses............ 615,612 404,990 336,040 975,508 1,293,631 2,851,374
----------- ---------- ---------- ----------- ------------ -------------
Net investment income (loss)..... 13,118,730 6,651,581 5,110,706 15,775,317 7,296,832 12,890,049
----------- ---------- ---------- ----------- ------------ -------------
NET REALIZED AND UNREALIZED GAINS
(LOSSES) ON SECURITIES AND
FOREIGN CURRENCIES:
Net realized gains (losses) on
securities and futures....... (39,665) (575,986) (860,394) (9,001,331) 15,240,812 218,244,142
Net realized gains (losses) on
foreign currency
transactions................. -- -- -- 349,358 465,598 --
Net change in unrealized
appreciation (depreciation)
on securities and futures.... 398,999 1,778,421 7,622,503 (19,525,569) (324,077,768)
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign
currencies................... -- -- -- (369,833) (147,164) --
----------- ---------- ---------- ----------- ------------ -------------
Net realized and unrealized gains
(losses) on securities and
foreign currencies............. (39,665) (176,987) 918,027 (1,399,303) (3,966,323) (105,833,626)
----------- ---------- ---------- ----------- ------------ -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $13,079,065 $6,474,594 $6,028,733 $14,376,014 $ 3,330,509 $ (92,943,577)
=========== ========== ========== =========== ============ =============
</TABLE>
---------------
(1) Formerly Equity Income
See notes to financial statements.
10
<PAGE> 12
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE INCOME GROWTH EQUITY EQUITY BOND EQUITY
------------ ------------ ------------ ----------- ------------ ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 253,996 $ 652,175 $ 723,562 $ 2,014,982 $ 354,831 $ 6,040,048 $ 1,158,516
9,759 153,951 147,853 481,360 157,394 -- 180,885
3,722,093 3,200,457 3,390,098 2,669,618 243,898 -- 5,219,224
-- (41,590) (20,342) -- -- -- (549,606)
------------ ------------ ------------ ----------- ------------ ----------- ------------
3,985,848 3,964,993 4,241,171 5,165,960 756,123 6,040,048 6,009,019
------------ ------------ ------------ ----------- ------------ ----------- ------------
828,538 3,739,395 3,999,794 5,022,745 1,753,886 336,680 2,463,396
15,570 96,871 117,785 106,957 14,210 26,188 307,795
12,469 24,105 14,994 30,658 6,303 5,236 11,109
1,031 4,412 3,229 86,672 292 683 1,736
1,139 1,589 2,053 2,059 938 928 1,235
------------ ------------ ------------ ----------- ------------ ----------- ------------
858,747 3,866,372 4,137,855 5,249,091 1,775,629 369,715 2,785,271
(2,250) -- -- -- -- (2,595) --
------------ ------------ ------------ ----------- ------------ ----------- ------------
856,497 3,866,372 4,137,855 5,249,091 1,775,629 367,120 2,785,271
------------ ------------ ------------ ----------- ------------ ----------- ------------
3,129,351 98,621 103,316 (83,131) (1,019,506) 5,672,928 3,223,748
------------ ------------ ------------ ----------- ------------ ----------- ------------
(71,977,477) 38,838,756 96,113,089 53,819,001 (16,338,945) (8,482,252) 49,744,922
-- -- -- -- -- -- (2,845,954)
24,814,934 (66,588,239) (89,120,059) 17,567,788 53,841,421 1,636,306 (54,305,465)
-- -- -- -- -- -- 2,252,925
------------ ------------ ------------ ----------- ------------ ----------- ------------
(47,162,543) (27,749,483) 6,993,030 71,386,789 37,502,476 (6,845,946) (5,153,572)
------------ ------------ ------------ ----------- ------------ ----------- ------------
$(44,033,192) $(27,650,862) $ 7,096,346 $71,303,658 $ 36,482,970 $(1,173,018) $ (1,929,824)
============ ============ ============ =========== ============ =========== ============
</TABLE>
11
<PAGE> 13
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE
MARKET QUALITY BOND BOND BOND BALANCED
--------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss).............. $ 13,118,730 $ 6,651,581 $ 5,110,706 $ 15,775,317 $ 7,296,832
Net realized gains (losses) on securities
and futures............................. (39,665) (575,986) (860,394) (9,001,331) 15,240,812
Net realized gains (losses) on foreign
currency transactions................... -- -- -- 349,358 465,598
Net change in unrealized appreciation
(depreciation) on securities and
futures................................. -- 398,999 1,778,421 7,622,503 (19,525,569)
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities in foreign currencies... -- -- -- (369,833) (147,164)
--------------- ------------ ------------ ------------- ------------
Net increase (decrease) in net assets
resulting from operations............... 13,079,065 6,474,594 6,028,733 14,376,014 3,330,509
--------------- ------------ ------------ ------------- ------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital invested............ 2,486,189,042 68,161,293 38,743,795 150,283,711 76,176,228
Value of capital withdrawn................ (2,426,593,935) (46,207,592) (40,130,287) (140,297,484) (78,872,292)
--------------- ------------ ------------ ------------- ------------
Net increase (decrease) in net assets
resulting from capital transactions....... 59,595,107 21,953,701 (1,386,492) 9,986,227 (2,696,064)
--------------- ------------ ------------ ------------- ------------
Net increase (decrease) in net assets....... 72,674,172 28,428,295 4,642,241 24,362,241 634,445
NET ASSETS:
Beginning of period....................... 416,768,827 199,906,097 174,804,385 515,721,444 525,583,903
--------------- ------------ ------------ ------------- ------------
End of period............................. $ 489,442,999 $228,334,392 $179,446,626 $ 540,083,685 $526,218,348
=============== ============ ============ ============= ============
</TABLE>
---------------
(1) Formerly Equity Income
See notes to financial statements.
12
<PAGE> 14
<TABLE>
<CAPTION>
VALUE AND EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD
INCOME(1) VALUE INCOME GROWTH EQUITY EQUITY BOND
-------------- ------------- -------------- -------------- -------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 12,890,049 $ 3,129,351 $ 98,621 $ 103,316 $ (83,131) $ (1,019,506) $ 5,672,928
218,244,142 (71,977,477) 38,838,756 96,113,089 53,819,001 (16,338,945) (8,482,252)
-- -- -- -- -- -- --
(324,077,768) 24,814,934 (66,588,239) (89,120,059) 17,567,788 53,841,421 1,636,306
-- -- -- -- -- -- --
-------------- ------------- -------------- -------------- -------------- ------------- ------------
(92,943,577) (44,033,192) (27,650,862) 7,096,346 71,303,658 36,482,970 (1,173,018)
-------------- ------------- -------------- -------------- -------------- ------------- ------------
364,701,069 161,573,271 408,414,187 366,717,088 803,252,726 423,108,382 48,482,867
(574,261,999) (339,320,879) (308,582,387) (262,842,352) (728,473,011) (278,731,593) (47,479,129)
-------------- ------------- -------------- -------------- -------------- ------------- ------------
(209,560,930) (177,747,608) 99,831,800 103,874,736 74,779,715 144,376,789 1,003,738
-------------- ------------- -------------- -------------- -------------- ------------- ------------
(302,504,507) (221,780,800) 72,180,938 110,971,082 146,083,373 180,859,759 (169,280)
1,414,634,230 394,104,288 1,242,236,443 1,266,869,154 1,171,034,281 259,974,422 124,990,408
-------------- ------------- -------------- -------------- -------------- ------------- ------------
$1,112,129,723 $ 172,323,488 $1,314,417,381 $1,377,840,236 $1,317,117,654 $ 440,834,181 $124,821,128
============== ============= ============== ============== ============== ============= ============
<CAPTION>
INTERNATIONAL
EQUITY
---------------
<S> <C>
$ 3,223,748
49,744,922
(2,845,954)
(54,305,465)
2,252,925
---------------
(1,929,824)
---------------
1,176,804,997
(1,069,790,798)
---------------
107,014,199
---------------
105,084,375
592,713,641
---------------
$ 697,798,016
===============
</TABLE>
13
<PAGE> 15
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INTERMEDIATE
MONEY HIGH GOVERNMENT CORE
MARKET QUALITY BOND BOND BOND(2) BALANCED
--------------- ------------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss)... $ 18,759,934 $ 13,120,662 $ 9,454,641 $ 33,418,674 $ 12,600,377
Net realized gains (losses) on
securities and futures....... (81,098) (77,003) 271,445 (16,710,925) 38,806,405
Net realized gains (losses) on
foreign currency
transactions................. -- -- -- -- 534,648
Net change in unrealized
appreciation (depreciation)
on securities and futures.... -- (5,712,669) (6,973,210) (22,172,181) 4,464,554
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign
currencies................... -- -- -- -- 11,066
--------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets resulting from
operations................... 18,678,836 7,330,990 2,752,876 (5,464,432) 56,417,050
--------------- ------------- ------------ ------------- -------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital
invested..................... 2,447,353,613 97,896,479 95,259,001 279,258,506 164,980,620
Value of capital withdrawn..... (2,341,701,375) (132,784,506) (81,781,959) (310,008,160) (201,809,506)
--------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets resulting from capital
transactions................... 105,652,238 (34,888,027) 13,477,042 (30,749,654) (36,828,886)
--------------- ------------- ------------ ------------- -------------
Net increase (decrease) in net
assets......................... 124,331,074 (27,557,037) 16,229,918 (36,214,086) 19,588,164
NET ASSETS:
Beginning of year.............. 292,437,753 227,463,134 158,574,467 551,935,530 505,995,739
--------------- ------------- ------------ ------------- -------------
End of year.................... $ 416,768,827 $ 199,906,097 $174,804,385 $ 515,721,444 $ 525,583,903
=============== ============= ============ ============= =============
</TABLE>
---------------
(2) Formerly Government/Corporate Bond
See notes to financial statements.
14
<PAGE> 16
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD
INCOME VALUE INCOME GROWTH EQUITY EQUITY BOND
-------------- ------------- -------------- -------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 25,448,578 $ 7,083,256 $ 689,241 $ 1,116,335 $ 1,261,365 $ (666,121) $ 9,510,613
127,039,697 18,628,659 140,686,075 112,928,394 167,967,618 26,650,206 (6,387,877)
-- -- -- -- -- -- --
(38,715,500) (35,807,019) 152,827,628 214,814,984 70,038,822 65,836,552 (2,312,494)
-- -- -- -- -- -- --
-------------- ------------- -------------- -------------- -------------- ------------- -------------
113,772,775 (10,095,104) 294,202,944 328,859,713 239,267,805 91,820,637 810,242
-------------- ------------- -------------- -------------- -------------- ------------- -------------
448,574,397 258,787,553 663,367,352 724,768,783 641,434,602 308,383,031 196,525,358
(514,820,438) (244,447,936) (486,602,314) (475,207,907) (633,758,010) (221,556,953) (167,216,173)
-------------- ------------- -------------- -------------- -------------- ------------- -------------
(66,246,041) 14,339,617 176,765,038 249,560,876 7,676,592 86,826,078 29,309,185
-------------- ------------- -------------- -------------- -------------- ------------- -------------
47,526,734 4,244,513 470,967,982 578,420,589 246,944,397 178,646,715 30,119,427
1,367,107,496 389,859,775 771,268,461 688,448,565 924,089,884 81,327,707 94,870,981
-------------- ------------- -------------- -------------- -------------- ------------- -------------
$1,414,634,230 $ 394,104,288 $1,242,236,443 $1,266,869,154 $1,171,034,281 $ 259,974,422 $ 124,990,408
============== ============= ============== ============== ============== ============= =============
<CAPTION>
INTERNATIONAL
EQUITY
--------------
<S> <C>
$ 3,165,100
26,587,874
(1,679,242)
206,238,143
(518,396)
--------------
233,793,479
--------------
1,014,210,775
(975,508,786)
--------------
38,701,989
--------------
272,495,468
320,218,173
--------------
$ 592,713,641
==============
</TABLE>
15
<PAGE> 17
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 90.19%
$10,800,000 American Express Credit Corp.,
6.88%, 07/03/00.............. $ 10,795,872
11,758,000 American Express Credit Corp.,
6.56%, 07/18/00.............. 11,721,576
11,000,000 American General Finance Corp.,
6.58%, 07/14/00.............. 10,973,863
8,000,000 Associates Corporation of North
America, 6.56%, 07/19/00..... 7,973,760
15,000,000 Associates First Capital,
6.95%, 07/03/00.............. 14,994,208
1,550,000 BankAmerica Corp., 5.93%,
07/13/00..................... 1,546,936
11,833,000 CIT Group Holdings, 6.55%,
08/07/00..................... 11,753,341
1,640,000 Ciesco, L.P., 6.56%,
07/20/00..................... 1,634,322
13,744,000 Citicorp, 6.54%, 08/01/00...... 13,666,598
14,820,000 Coca Cola Enterprises, Inc.,
6.07%, 08/21/00.............. 14,692,561
4,346,000 Colonial Pipeline Company,
6.60%, 08/02/00.............. 4,320,504
6,400,000 Colonial Pipeline Company,
6.60%, 08/21/00.............. 6,340,160
2,500,000 Conagra, Inc., 6.80%,
07/25/00..................... 2,488,667
1,005,000 Country Wide Home Loans, 6.92%,
07/05/00..................... 1,004,227
19,000,000 Country Wide Home Loans, 6.55%,
07/07/00..................... 18,979,258
4,000,000 Dominion Resources, Inc.,
6.83%, 07/20/00.............. 3,985,581
20,000,000 Edison Asset Securitization,
6.58%, 08/11/00.............. 19,850,122
7,842,000 Enterprise Funding Corp.,
6.60%, 07/27/00.............. 7,804,620
13,000,000 Ford Motor Credit Company,
6.00%, 07/03/00.............. 12,995,667
10,000,000 Ford Motor Credit Company,
6.62%, 09/13/00.............. 9,863,922
5,000,000 GE Capital Corp., 6.50%,
07/03/00..................... 4,998,195
17,923,000 GE Capital Corp., 6.53%,
07/19/00..................... 17,864,481
17,000,000 GTE Corp., 6.60%, 07/11/00..... 16,968,833
18,600,000 General Motors Acceptance
Corp., 6.60%, 07/27/00....... 18,511,340
20,000,000 Golden Funding Corp., 6.57%,
07/14/00..................... 19,952,550
10,000,000 Goldman Sachs Group, L.P.,
6.66%, 08/15/00.............. 9,916,750
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER (CONTINUED)
$12,000,000 Heller Financial, Inc., 6.65%,
07/17/00..................... $ 11,964,533
8,000,000 Heller Financial, Inc., 6.65%,
07/25/00..................... 7,964,533
651,000 Household Finance, 6.55%,
07/05/00..................... 650,526
11,500,000 Household International Corp.,
6.62%, 08/11/00.............. 11,413,296
4,500,000 International Bank for
Reconstruction and
Development, 5.73%,
10/15/00..................... 4,424,057
1,100,000 International Bank for
Reconstruction and
Development, 5.85%,
10/15/00..................... 1,081,066
9,823,000 Merrill Lynch & Company, Inc.,
6.58%, 07/14/00.............. 9,799,660
11,129,000 Merrill Lynch & Company, Inc.,
6.66%, 08/21/00.............. 11,023,998
12,650,000 Montauk Funding Corp., 6.56%,
07/26/00..................... 12,592,372
7,350,000 Montauk Funding Corp., 6.63%,
08/25/00..................... 7,275,551
4,000,000 Nabisco, Inc., 6.75%,
07/13/00..................... 3,991,000
4,000,000 Norfolk Southern Corp., 6.80%,
07/24/00..................... 3,982,622
4,500,000 Paccar Financial Group, 6.56%,
07/05/00..................... 4,496,720
12,592,000 Sony Capital Corp., 6.62%,
07/12/00..................... 12,566,529
4,000,000 TRW, Inc., 6.73%, 07/10/00..... 3,993,270
815,000 Target Corp., 6.62%,
07/06/00..................... 814,251
5,969,000 Target Corp., 6.60%,
07/28/00..................... 5,939,454
13,500,000 Textron Financial Corp., 6.67%,
07/07/00..................... 13,484,993
6,500,000 Textron Financial Corp., 6.55%,
07/27/00..................... 6,469,252
6,300,000 Toronto Dominion Bank, 5.90%,
07/03/00..................... 6,297,935
5,752,000 Trident Capital Finance, 6.57%,
08/08/00..................... 5,712,110
15,000,000 Windmill Funding Corp., 6.58%,
07/26/00..................... 14,931,459
5,000,000 Windmill Funding Corp., 6.65%,
08/14/00..................... 4,959,361
------------
TOTAL COMMERCIAL PAPER
(Cost $441,426,462)............ 441,426,462
------------
</TABLE>
See notes to financial statements.
16
<PAGE> 18
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
FEDERAL HOME LOAN BANK -- 3.29%
$ 4,750,000 6.60%, 02/22/01................ $ 4,860,087
11,250,000 6.75%, 03/01/01................ 11,250,000
------------
TOTAL FEDERAL HOME LOAN BANK
(Cost $16,110,087)............. 16,110,087
------------
CERTIFICATE OF DEPOSIT -- 1.45%
7,095,000 Canadian Imperial Bank of
Commerce, 6.29%, 07/25/00
(Cost $7,095,000)............ 7,095,000
------------
SHORT-TERM CORPORATE NOTES -- 4.97%
1,600,000 Banc One, Floating Rate, 6.70%,
07/06/00(+).................. 1,600,000
4,706,000 Capital One Funding Corp.,
Floating Rate, 6.70%,
07/06/00(+).................. 4,706,000
9,000,000 Goldman Sachs Group, Floating
Rate, 6.406%, 06/15/01(+).... 9,000,000
9,000,000 Lehman Syndicated Loan Fund,
Floating Rate, 6.801%,
03/15/01(+).................. 9,000,000
------------
TOTAL SHORT-TERM CORPORATE
NOTES
(Cost $24,306,000)............. 24,306,000
------------
TOTAL SECURITIES
(Cost $488,937,549)............ 488,937,549
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.01%
$ 64,460 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $64,492,
(Collateralized by Freddie
Mac Adjustable Rate Mortgage,
6.409%, due 01/01/21, with a
value of $67,883) (Cost
$64,460)..................... $ 64,460
------------
Total Investments -- 99.91%
(Cost $489,002,009)............ 489,002,009
Other assets less
liabilities -- 0.09%........... 440,990
------------
NET ASSETS -- 100.00%.......... $489,442,999
============
The aggregate cost of investments for federal income tax
purposes at June 30, 2000, is $489,002,009.
</TABLE>
---------------
+ This interest rate is subject to change weekly based on the greater of the 30
day or 90 day Federal composite rate. The rate shown was in effect as of June
30, 2000.
See notes to financial statements.
17
<PAGE> 19
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 88.48%
AUTOMOBILES -- 2.60%
$ 1,000,000 DaimlerChrysler N.A. Holdings,
7.125%, 03/01/02............. $ 999,465
5,000,000 DaimlerChrysler N.A. Holdings,
6.59%, 06/18/02.............. 4,930,645
------------
TOTAL AUTOMOBILES.............. 5,930,110
------------
BANKS -- 13.14%
3,500,000 Bank of America Corp., 10.00%,
02/01/03..................... 3,699,745
8,000,000 First Omni Bank, Series 96-A,
6.65%, 09/15/03.............. 7,966,240
4,000,000 First Union Corp., 8.00%,
11/15/02..................... 4,028,108
3,120,000 Midland Bank PLC, 8.625%,
12/15/04..................... 3,260,568
4,000,000 RBSG Capital Corp., 10.125%,
03/01/04..................... 4,300,776
2,050,000 Svenska Handelsbanken, 8.35%,
07/15/04..................... 2,094,098
4,700,000 Union Acceptance Corp., 5.57%,
09/08/03..................... 4,648,065
------------
TOTAL BANKS.................... 29,997,600
------------
BROKERAGE -- 9.95%
6,000,000 Bear Stearns & Company, 6.125%,
02/01/03..................... 5,783,214
6,000,000 Lehman Brothers Holdings Inc.,
6.00%, 02/26/01.............. 5,952,492
3,000,000 Merrill Lynch & Company, 5.75%,
11/04/02..................... 2,891,808
4,000,000 Morgan Stanley Dean Witter &
Company, 5.625%, 01/20/04.... 3,754,984
3,000,000 Paine Webber Group, 7.875%,
02/15/03..................... 2,993,658
1,273,854 Travelers Mortgage, 12.00%,
03/01/14..................... 1,353,348
------------
TOTAL BROKERAGE................ 22,729,504
------------
FINANCE -- 17.26%
1,000,000 Abbey National First Capital,
8.20%, 10/15/04.............. 1,025,269
2,000,000 Associates Corp. N.A., 6.15%,
01/13/03..................... 1,938,066
4,000,000 Associates Corp. N.A., 7.80%,
09/15/04..................... 4,023,156
3,500,000 CIT Equipment Collateral,
Series 2000-1, Class A4,
7.58%, 03/20/08.............. 3,528,280
2,500,000 CIT Group, Inc., 5.50%,
02/15/04..................... 2,313,962
2,000,000 Copelco Capital Funding Corp.,
Series 1998-4, Class A4,
5.92%, 07/15/03.............. 1,964,180
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCE (CONTINUED)
$ 5,000,000 Copelco Capital Funding Corp.,
7.12%, 08/18/03.............. $ 5,009,600
505,441 Copelco Capital Funding Corp.
II, 6.34%, 07/20/04.......... 504,081
5,000,000 Florida Windstorm Underwriting,
6.50%, 08/25/02.............. 4,907,390
39,735 Freddie Mac, 10.15%,
04/15/06..................... 39,785
1,000,000 General Motors Acceptance
Corp., 7.40%, 06/07/02....... 1,000,633
5,000,000 International Lease Finance,
5.45%, 02/08/02.............. 4,867,710
5,000,000 Norwest Financial, Inc.,
6.375%, 7/16/02.............. 4,919,415
2,900,000 Salomon, Inc., 6.75%,
08/15/03..................... 2,840,753
519,521 Textron Financial Corp., 6.05%,
03/16/09..................... 517,646
------------
TOTAL FINANCE.................. 39,399,926
------------
PRIVATE ASSET BACKED: BANKS -- 1.44%
826,800 Banc One Auto Grantor Trust,
6.27%, 11/20/03.............. 822,451
2,488,785 Banc One Auto Grantor Trust,
6.29%, 07/20/04.............. 2,465,764
------------
TOTAL PRIVATE ASSET BACKED:
BANKS.......................... 3,288,215
------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 8.52%
3,900,000 Dayton Hudson Credit Card
Master Trust, Series 97-1A,
6.25%, 08/25/05.............. 3,825,237
4,000,000 Discover Card Master Trust I,
Series 98-6A, 5.85%,
01/17/06..................... 3,851,600
6,000,000 Proffitt's Credit Card Master
Trust, Series 98-2A, 6.00%,
09/15/04..................... 5,936,940
4,375,000 Sears Credit Account Master
Trust, Series 96-1A, 6.20%,
02/16/06..................... 4,336,806
1,500,000 Sears Credit Account Master
Trust, 7.00%, 07/16/08....... 1,496,820
------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS................... 19,447,403
------------
PRIVATE ASSET BACKED: FINANCE -- 11.89%
5,000,000 Caterpillar Financial Asset
Trust, 6.20%, 04/25/04(a).... 4,927,900
403,744 Chase Manhattan Grantor Trust,
6.61%, 09/15/02.............. 403,167
4,000,000 John Deere Capital Corp.,
6.90%, 10/18/02.............. 3,939,944
1,575,594 Nations Credit Grantor Trust,
Series 1997-A, 6.75%,
08/15/13..................... 1,547,233
</TABLE>
See notes to financial statements.
18
<PAGE> 20
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCE (CONTINUED)
$ 5,000,000 Navistar Financial Corp.,
7.20%, 05/17/04.............. $ 4,996,900
1,913,098 Navistar Financial Corp.,
Series 98-A, Class A, 5.94%,
11/15/04..................... 1,891,326
291,510 Pemex Exp Grantor Trust, 7.66%,
08/15/01..................... 294,504
5,000,000 Providian Master Trust, Series
2000-A, 7.49%, 08/17/09...... 5,048,950
824,731 USAA Auto Loan Grantor Trust,
6.00%, 05/15/04.............. 819,593
3,325,534 USAA Auto Loan Grantor Trust,
6.10%, 02/15/06.............. 3,283,366
------------
TOTAL PRIVATE ASSET BACKED:
FINANCE........................ 27,152,883
------------
PRIVATE ASSET BACKED: OTHER -- 2.74%
2,000,000 Countrywide Asset Backed
Certificates, Series 2-AF2,
8.21%, 08/25/25.............. 2,016,240
3,000,000 Midstate Trust, Series 2-A4,
9.625%, 04/01/03............. 3,066,990
1,189,406 New York City Tax Lien Trust,
Series 98-1C, 6.12%,
07/25/06..................... 1,180,961
------------
TOTAL PRIVATE ASSET BACKED:
OTHER........................ 6,264,191
------------
PRIVATE ASSET BACKED: PHARMACEUTICALS --1.12%
2,483,346 Upjohn Company, 9.79%,
02/01/04..................... 2,557,871
------------
PRIVATE ASSET BACKED: RECEIVABLES -- 12.81%
4,000,000 Associates Automobile
Receivables Trust, 7.30%,
01/15/04(a).................. 3,993,200
303,231 Chevy Chase Auto Receivables
Trust, 6.60%, 12/15/02....... 302,891
4,450,742 Compass Auto Receivables Trust,
Series 1998-A, Class A3,
5.90%, 05/15/04.............. 4,404,098
2,441,412 EAB Lease Receivables Trust,
5.66%, 09/15/02.............. 2,417,730
3,000,000 First Sierra Receivables,
5.54%, 06/15/02.............. 2,970,330
5,000,000 First Sierra Receivables,
5.73%, 07/15/04.............. 4,814,300
791,672 First Sierra Receivables II,
6.85%, 02/10/03.............. 789,812
360,092 Heller Equipment Asset
Receivables Trust, Series
1997-1, Class A2, 6.39%,
05/25/05..................... 357,701
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: RECEIVABLES (CONTINUED)
$ 4,329,549 Newcourt Receivables Asset
Trust, Series 1997-1, Class
A4, 6.193%, 05/20/05......... $ 4,290,886
5,000,000 Textron Financial Corp.
Receivables Trust, Series
1998-A, Class A2, 5.89%,
01/15/05..................... 4,915,000
------------
TOTAL PRIVATE ASSET BACKED:
RECEIVABLES.................... 29,255,948
------------
PRIVATE ASSET BACKED: RETAIL -- 0.07%
166,333 Premier Auto Trust, 6.40%,
10/06/01..................... 166,300
------------
PRIVATE ASSET BACKED: TRANSPORTATION -- 2.81%
6,400,940 Railcar Trust, 7.75%,
06/01/04..................... 6,409,005
------------
REAL ESTATE INVESTMENT TRUST -- 2.80%
2,000,000 Camden Property Trust, 7.23%,
10/30/00..................... 1,990,600
1,445,000 HRPT Properties Trust, 6.75%,
12/18/02..................... 1,386,346
321,406 Merrill Lynch Mortgage
Investors, Inc., 10.35%,
05/15/09..................... 323,003
200,823 Merrill Lynch Mortgage
Investors, Inc., 9.40%,
09/15/09..................... 202,883
2,500,000 Spieker Properties LP, 6.65%,
12/15/00..................... 2,488,168
------------
TOTAL REAL ESTATE INVESTMENT
TRUST.......................... 6,391,000
------------
TELECOMMUNICATIONS -- 1.33%
3,000,000 Worldcom, Inc., 7.875%,
05/15/03..................... 3,025,572
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $205,401,233)............ 202,015,528
------------
US GOVERNMENT AGENCY SECURITIES -- 5.42%
FANNIE MAE -- 0.02%
1,087 PL# 6346, 6.75%, 02/01/03...... 1,084
54,196 PL# 137455, 7.00%, 04/01/04.... 52,321
------------
TOTAL FANNIE MAE............... 53,405
------------
FEDERAL HOME LOAN BANK -- 0.22%
500,000 6.75%, 05/01/02................ 498,614
------------
FREDDIE MAC -- 4.69%
10,000,000 5.50%, 05/15/02................ 9,756,540
510,466 PL# 850082, 9.00%, 10/01/05.... 518,315
274,222 PL# D06777, 7.50%, 03/01/08.... 274,128
153,212 PL# 306816, 7.00%, 01/01/18.... 151,373
------------
TOTAL FREDDIE MAC.............. 10,700,356
------------
</TABLE>
See notes to financial statements.
19
<PAGE> 21
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US GOVERNMENT AGENCY SECURITIES (CONTINUED)
RESOLUTION TRUST CORP. -- 0.49%
$ 1,130,649 Resolution Trust Corp., 7.946%,
08/25/21..................... $ 1,125,471
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$12,361,008)................... 12,377,846
------------
FOREIGN GOVERNMENT OBLIGATION -- 3.34%
7,750,000 Hydro Quebec, 6.36%, 01/15/02
(Cost $7,728,309)............ 7,635,850
------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 0.37%
611,268 Janus Money Market Fund(b)..... 611,268
238,395 Merrimac Cash Fund -- Premium
Class(b)..................... 238,395
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $849,663)...... 849,663
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 0.87%
$ 2,000,000 Cooperative Association of
Tractor, 6.95%, 07/13/00
(Cost $1,995,367)............ 1,995,367
------------
TIME DEPOSITS -- 2.14%
1,744,507 Bank of Montreal, 6.59%,
07/05/00(b).................. 1,744,507
305,634 Bank of Montreal, 6.90%,
07/05/00(b).................. 305,634
733,522 BNP Paribas, 6.75%,
07/05/00(b).................. 733,522
783,663 BNP Paribas, 6.75%,
07/05/00(b).................. 783,663
211,460 Fleet National Bank, 7.125%,
10/31/00(b).................. 211,460
366,761 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 366,761
733,522 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. 733,522
------------
TOTAL TIME DEPOSITS (Cost
$4,879,069).................... 4,879,069
------------
SHORT TERM CORPORATE NOTES -- 1.58%
366,761 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. 366,761
244,507 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 244,507
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$ 2,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b).................. $ 2,000,000
1,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)...... 1,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $3,611,268)........ 3,611,268
------------
TOTAL SECURITIES (Cost
$236,825,917).................. 233,364,591
------------
REPURCHASE AGREEMENT -- 0.83%
1,886,676 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $1,887,624
(Collateralized by Small
Business Administration Loan,
9.375%, due 08/25/24, with a
value of $1,981,010) (Cost
$1,886,676).................. 1,886,676
------------
Total Investments -- 103.03%
(Cost $238,712,593)............ 235,251,267
Liabilities less other
assets -- (3.03%).............. (6,916,875)
------------
NET ASSETS -- 100.00%.......... $228,334,392
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $238,712,593.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $ 435,576
Gross unrealized depreciation.......... (3,896,902)
------------
Net unrealized depreciation............ $ (3,461,326)
============
</TABLE>
---------------
<TABLE>
<S> <C>
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(++) This interest rate is subject to change monthly
based on the London Interbank Offered Rate
("LIBOR"). The rate shown was in effect at June 30,
2000.
</TABLE>
See notes to financial statements.
20
<PAGE> 22
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
US TREASURY NOTES -- 26.46%
$25,000,000 6.25%, 01/31/02(a)............. $ 24,906,250
5,000,000 5.625%, 12/31/02(a)............ 4,910,940
10,000,000 5.50%, 03/31/03................ 9,775,000
6,000,000 6.50%, 10/15/06................ 6,067,500
2,000,000 4.75%, 11/15/08................ 1,816,250
------------
TOTAL US TREASURY NOTES
(Cost $48,090,039)............. 47,475,940
------------
US GOVERNMENT AGENCY SECURITIES -- 62.71%
FANNIE MAE -- 8.67%
2,000,000 CMO, Series 94-75, 7.00%,
01/25/03..................... 1,981,240
2,000,000 5.75%, 04/15/03................ 1,937,986
3,000,000 5.125%, 02/13/04............... 2,818,494
2,000,000 5.875%, 04/23/04............... 1,916,694
2,000,000 7.25%, 01/15/10(a)............. 2,016,328
4,917,814 Series 96-M7, Class B, 6.8585%,
06/17/11..................... 4,883,399
------------
TOTAL FANNIE MAE............... 15,554,141
------------
FEDERAL HOME LOAN BANK -- 7.67%
5,000,000 7.39%, 08/22/01................ 5,024,360
4,000,000 4.875%, 01/22/02............... 3,881,912
3,000,000 5.125%, 02/26/02............... 2,917,791
2,000,000 5.50%, 01/21/03................ 1,932,646
------------
TOTAL FEDERAL HOME LOAN BANK... 13,756,709
------------
FREDDIE MAC -- 12.60%
7,000,000 6.00%, 07/20/01................ 6,933,556
7,000,000 6.30%, 06/01/04................ 6,779,829
3,000,000 CMO, Series 1574, 6.50%,
02/15/21..................... 2,944,170
5,300,000 CMO, Series 1500, 7.00%,
06/15/22..................... 5,099,077
404,184 CMO, Series 31, Floating Rate,
7.0875% (++), 08/25/23....... 403,527
455,524 CMO, Series 1710, Floating
Rate, 7.1875% (++),
02/15/24..................... 454,753
------------
TOTAL FREDDIE MAC.............. 22,614,912
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 14.76%
2,180 PL# 209631, 7.50%, 04/15/02.... 2,184
12,728 PL# 328000, 7.50%, 06/15/07.... 12,844
6,000 PL# 328084, 7.50%, 07/15/07.... 6,054
8,641 PL# 335542, 7.50%, 08/15/07.... 8,720
75,235 PL# 335995, 7.50%, 08/15/07.... 75,917
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 21,074 PL# 322072, 7.50%, 08/15/07.... $ 21,265
99,614 PL# 323189, 7.50%, 08/15/07.... 100,517
136,771 PL# 328188, 7.50%, 08/15/07.... 138,011
158,443 PL# 328192, 7.50%, 08/15/07.... 159,880
46,721 PL# 328200, 7.50%, 08/15/07.... 47,145
229,289 PL# 329060, 7.50%, 08/15/07.... 231,368
208,023 PL# 332267, 7.50%, 08/15/07.... 209,909
49,024 PL# 333320, 7.50%, 09/15/07.... 49,468
114,832 PL# 333709, 7.50%, 09/15/07.... 115,873
227,135 PL# 297619, 7.50%, 09/15/07.... 229,194
180,052 PL# 332704, 7.50%, 09/15/07.... 181,685
147,760 PL# 369749, 6.50%, 09/15/08.... 143,498
200,059 PL# 345975, 6.50%, 10/15/08.... 194,288
475,684 PL# 374726, 6.50%, 10/15/08.... 461,963
147,190 PL# 345973, 6.50%, 11/15/08.... 142,944
93,486 PL# 363874, 6.50%, 11/15/08.... 90,789
285,261 PL# 370448, 6.50%, 11/15/08.... 277,033
387,209 PL# 371094, 6.50%, 11/15/08.... 376,041
216,523 PL# 366531, 6.50%, 11/15/08.... 210,278
3,441,046 PL# 2483, 7.00%, 09/20/27...... 3,327,347
12,066,642 PL# 2631, 7.00%, 08/20/28...... 11,667,936
8,286,189 PL# 2645, 7.00%, 09/20/28...... 8,012,397
------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION........... 26,494,548
------------
HOUSING AND URBAN DEVELOPMENT -- 2.75%
5,000,000 6.23%, 08/01/02................ 4,934,510
------------
TENNESSEE VALLEY AUTHORITY -- 2.84%
2,500,000 6.375%, 06/15/05............... 2,430,158
3,000,000 5.375%, 11/13/08............... 2,664,333
------------
TOTAL TENNESSEE VALLEY
AUTHORITY.................... 5,094,491
------------
US GOVERNMENT GUARANTEED BOND -- 7.69%
4,242,815 6.12%, 04/01/08................ 4,064,065
9,821,429 7.05%, 11/15/13................ 9,738,045
------------
TOTAL US GOVERNMENT GUARANTEED
BOND........................... 13,802,110
------------
US TREASURY INFLATION INDEX -- 5.73%
10,000,000 3.625%, 01/15/08............... 10,275,590
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$115,197,622).................. 112,527,011
------------
</TABLE>
See notes to financial statements.
21
<PAGE> 23
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 3.21%
FINANCIAL SERVICES -- 1.11%
$ 2,000,000 Ford Motor Credit Company,
7.50%, 03/15/05.............. $ 1,989,044
------------
OIL AND GAS -- 0.51%
1,000,000 Amoco Company, 6.00%,
06/09/08..................... 916,973
------------
SHIPBUILDING -- 1.59%
2,724,000 Sulphur Carriers, 8.30%,
10/15/09..................... 2,850,775
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $5,637,170).............. 5,756,792
------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
2.78%
FEDERAL HOME LOAN BANK -- 1.10%
689,000 6.39%, 07/07/00................ 688,266
1,300,000 6.41%, 07/14/00................ 1,296,991
------------
TOTAL FEDERAL HOME LOAN BANK... 1,985,257
------------
FREDDIE MAC -- 1.68%
700,000 6.36%, 07/05/00................ 699,505
2,319,000 6.43%, 07/18/00................ 2,311,959
------------
TOTAL FREDDIE MAC.............. 3,011,464
------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$4,996,721).................. 4,996,721
------------
COMMERCIAL PAPER -- 3.07%
2,800,000 Conagra, Inc., 6.95%,
07/07/00..................... 2,796,757
626,000 Countrywide Home Loans, 6.58%,
07/13/00..................... 624,627
100,000 Fannie Mae, 5.80%, 07/20/00.... 99,694
2,000,000 Norfolk Southern Corp., 6.75%,
07/11/00..................... 1,996,250
------------
TOTAL COMMERCIAL PAPER (Cost
$5,517,328).................... 5,517,328
------------
TIME DEPOSITS -- 8.18%
752,109 Bank of Montreal, 6.59%,
07/05/00(b).................. 752,109
940,136 Bank of Montreal, 6.90%,
07/05/00(b).................. 940,136
856,326 BNP Paribas, 6.75%,
07/05/00(b).................. 856,326
3,948,570 BNP Paribas, 6.75%,
07/05/00(b).................. 3,948,570
4,797,462 Fleet National Bank, 7.125%,
10/31/00(b).................. 4,797,462
1,128,163 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 1,128,163
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
TIME DEPOSITS (CONTINUED)
$ 2,256,326 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. $ 2,256,326
------------
TOTAL TIME DEPOSITS (Cost
$14,679,092)................... 14,679,092
------------
SHORT TERM CORPORATE NOTES -- 6.37%
3,564,349 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. 3,564,349
872,982 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 872,982
2,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b).................. 2,000,000
5,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b).................. 5,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $11,437,331)............. 11,437,331
------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 1.46%
1,880,271 Janus Money Market Fund(b)..... 1,880,271
733,306 Merrimac Cash Fund -- Premium
Class(b)..................... 733,306
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $2,613,577).... 2,613,577
------------
TOTAL SECURITIES
(Cost $208,168,880)............ 205,003,792
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.35%
$ 631,322 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $631,639
(Collateralized by Small
Business Administration Loan,
8.875%, due 01/25/15, with a
value of $662,888) (Cost
$631,322).................... 631,322
------------
Total Investments -- 114.59%
(Cost $208,800,202)............ 205,635,114
Liabilities less other
assets -- (14.59)%............. (26,188,488)
------------
NET ASSETS -- 100.00%.......... $179,446,626
============
</TABLE>
See notes to financial statements.
22
<PAGE> 24
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
The aggregate cost of securities for federal income tax purposes at June 30,
2000, is $208,800,202.
The following amount is based on cost for federal income tax purposes:
<TABLE>
<S> <C>
Gross unrealized appreciation......... $ 548,956
Gross unrealized depreciation......... (3,714,044)
------------
Net unrealized depreciation........... $ (3,165,088)
============
</TABLE>
---------------
<TABLE>
<S> <C>
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(++) This interest rate is subject to change monthly based
on the London Interbank Offered Rate ("LIBOR"). The
rate shown was the rate in effect at June 30, 2000.
</TABLE>
See notes to financial statements.
23
<PAGE> 25
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
US TREASURY SECURITIES -- 18.46%
US TREASURY BOND -- 9.96%
$53,450,000 6.25%, 08/15/23............... $ 53,784,063
-------------
US TREASURY NOTE -- 8.50%
43,800,000 7.50%, 02/15/05(a)............ 45,935,250
-------------
TOTAL US TREASURY SECURITIES
(Cost $99,462,923)............ 99,719,313
-------------
US GOVERNMENT AGENCY SECURITIES -- 51.05%
FANNIE MAE -- 17.54%
22,400,000 6.00%, 07/01/30............... 20,482,000
27,600,000 6.50%, 07/01/30............... 26,004,389
50,000,000 7.00%, 07/01/30............... 48,234,400
-------------
TOTAL FANNIE MAE.............. 94,720,789
-------------
FEDERAL HOME LOAN BANK -- 1.98%
11,000,000 4.875%, 01/22/02.............. 10,675,258
-------------
FREDDIE MAC -- 10.44%
14,000,000 6.30%, 06/01/04............... 13,559,658
41,310,000 6.625%, 09/15/09.............. 39,839,364
3,000,000 Series 1666, Class E, 6.00%,
12/15/19.................... 2,960,316
-------------
TOTAL FREDDIE MAC............. 56,359,338
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 20.60%
21,156,845 PL# 2631, 7.00%, 08/20/28..... 20,457,780
21,100,000 6.50%, 07/15/30............... 20,012,042
20,000,000 7.00%, 07/15/30............... 19,437,500
26,300,000 7.50%, 07/15/30............... 26,102,750
25,000,000 8.00%, 07/15/30............... 25,257,800
-------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.......... 111,267,872
-------------
TENNESSEE VALLEY AUTHORITY -- 0.49%
3,000,000 5.375%, 11/13/08.............. 2,664,333
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$276,653,797)................. 275,687,590
-------------
CORPORATE BONDS & NOTES -- 31.41%
AEROSPACE -- 0.17%
1,000,000 K&F Industries, Series B,
9.25%, 10/15/07............. 945,000
-------------
BANKS -- 5.46%
15,000,000 First Chicago Master Trust II,
Series 96-QA, Floating Rate,
6.7813%(++), 04/15/03....... 15,015,450
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
BANKS (CONTINUED)
$ 7,000,000 Inter-American Development
Bank, 8.875%, 08/22/01...... $ 7,161,840
7,500,000 Wells Fargo Company, 6.625%,
07/15/04.................... 7,315,702
-------------
TOTAL BANKS................... 29,492,992
-------------
BROADCASTING -- 0.16%
1,000,000 Charter Communications,
8.625%, 04/01/09............ 878,750
-------------
CHEMICALS -- 0.18%
1,000,000 Lyondell Chemical Company,
9.875%, 05/01/07............ 987,500
-------------
COMPUTER SOFTWARE AND SERVICES -- 1.66%
9,000,000 Sun Microsystems, Inc., 7.35%,
08/15/04.................... 8,980,128
-------------
CONSTRUCTION -- 0.16%
1,000,000 D.R. Horton, Inc., 8.00%,
02/01/09.................... 870,000
-------------
CONSUMER GOODS AND SERVICES -- 0.18%
1,000,000 Scotts Company, 8.625%,
01/15/09.................... 960,000
-------------
ELECTRIC -- INTEGRATED -- 1.79%
5,000,000 Edison Mission Energy, 7.73%,
06/15/09.................... 4,862,460
5,000,000 Texas Utilities Electric
Company, 7.17%, 08/01/07.... 4,823,205
-------------
TOTAL ELECTRIC --INTEGRATED... 9,685,665
-------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.43%
2,500,000 Waste Management, Inc.,
6.375%, 12/01/03............ 2,300,203
-------------
FINANCE -- 10.72%
10,800,000 Deutsche Floorplan Receivables
Master Trust, Series 00-1A,
Floating Rate, 6.8213%(++),
04/15/05.................... 10,796,963
10,000,000 Ford Motor Credit Company,
6.9675%, 03/17/03 (a)....... 9,987,300
1,800,000 MBNA Corp., 00-B, 6.7075%,
07/15/05.................... 1,796,062
10,000,000 Medallion Trust, Series 00-1G,
6.5088%, 07/12/31........... 10,000,500
15,000,000 Sallie Mae Student Loan Trust,
00-1, 6.34%, 10/27/08....... 14,992,200
10,330,054 Washington Mutual, Inc.,
Series 00-A1, Floating Rate,
6.90%(++), 06/25/24......... 10,309,497
-------------
TOTAL FINANCE................. 57,882,522
-------------
</TABLE>
See notes to financial statements.
24
<PAGE> 26
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS & NOTES (CONTINUED)
FOOD AND BEVERAGE -- 0.90%
$ 5,000,000 Diageo Capital PLC, 6.625%,
06/24/04.................... $ 4,867,575
-------------
LEISURE AND RECREATION --0.73%
1,000,000 Argosy Gaming Company, 10.75%,
06/01/09.................... 1,033,750
1,000,000 HMH Properties, 7.875%,
08/01/08.................... 897,500
1,000,000 MGM Grand, Inc., Series B,
9.75%, 06/01/07............. 1,017,500
1,000,000 Park Place Entertainment,
9.375%, 02/15/07............ 1,000,000
-------------
TOTAL LEISURE AND
RECREATION.................. 3,948,750
-------------
MANUFACTURING -- 0.17%
1,000,000 American Standard Inc.,
7.375%, 02/01/08............ 905,000
-------------
MEDIA -- 1.87%
10,000,000 Time Warner, Inc., 7.75%,
06/15/05.................... 10,072,740
-------------
OIL AND GAS -- 0.19%
1,000,000 R&B Falcon Corp., 9.50%,
12/15/08.................... 1,005,000
-------------
PRIVATE ASSET BACKED: CREDIT
CARDS -- 4.45%
10,000,000 Advanta Credit Card Master
Trust, Series 96-E, 6.751%,
05/15/04.................... 10,007,200
14,000,000 BA Master Credit Card Trust,
Series 98-A, Floating Rate,
6.7613%(++), 04/15/05....... 14,010,640
-------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS.................. 24,017,840
-------------
TELECOMMUNICATIONS -- 2.19%
10,000,000 AT&T Corp., 6.50%, 09/15/02... 9,900,000
1,000,000 McLeodUSA, Inc., 9.25%,
07/15/07.................... 965,000
1,000,000 Nextlink Communications,
10.75%, 11/15/08............ 985,000
-------------
TOTAL TELECOMMUNICATIONS...... 11,850,000
-------------
TOTAL CORPORATE BONDS & NOTES
(Cost $170,689,926)........... 169,649,665
-------------
<CAPTION>
SHARES
------
<C> <S> <C>
PREFERRED STOCK -- 0.53%
SPECIAL PURPOSE ENTITY
140,000 Swire Pacific -- 144A, 8.84%
(Cost $2,922,500)........... 2,843,750
-------------
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
FOREIGN GOVERNMENT OBLIGATIONS -- 6.29%
$ 6,000,000 Austria Government Bond,
3.40%, 10/20/04............. $ 5,335,921
5,400,000 Republic of France OAT, 5.50%,
10/25/07.................... 5,233,639
2,000,000 Royal Bank of
Scotland -- 144A, 6.77%,
03/31/49.................... 1,935,497
6,950,000 United Kingdom Treasury,
6.50%, 12/07/03............. 10,726,775
6,250,000 United Kingdom Treasury,
8.50%, 12/07/05............. 10,725,038
-------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost
$33,617,165).................. 33,956,870
-------------
SHORT TERM US GOVERNMENT AGENCY SECURITIES --
14.73%
FEDERAL HOME LOAN BANK -- 1.85%
10,000,000 6.40%, 07/07/00............... 9,989,334
-------------
FREDDIE MAC -- 12.88%
25,000,000 6.40%, 07/11/00............... 24,955,555
20,000,000 6.54%, 08/17/00............... 19,829,233
25,000,000 6.52%, 08/24/00............... 24,755,500
-------------
TOTAL FREDDIE MAC............. 69,540,288
-------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$79,529,622).................. 79,529,622
-------------
<CAPTION>
SHARES
------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 0.71%
2,775,740 Janus Money Market Fund(b).... 2,775,740
1,082,539 Merrimac Cash Fund -- Premium
Class(b).................... 1,082,539
-------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $3,858,279)... 3,858,279
-------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 9.18%
$25,000,000 Bank of America, 6.64%,
08/15/00.................... 24,792,500
25,000,000 Merrill Lynch & Company, Inc.,
6.62%, 08/15/00............. 24,793,125
-------------
TOTAL COMMERCIAL PAPER (Cost
$49,585,625).................. 49,585,625
-------------
TIME DEPOSITS -- 1.37%
31,228 Bank of Montreal, 6.59%,
07/05/00(b)................. 31,228
387,870 Bank of Montreal, 6.90%,
07/05/00(b)................. 387,870
830,890 BNP Paribas, 6.75%,
07/05/00(b)................. 830,890
</TABLE>
See notes to financial statements.
25
<PAGE> 27
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
TIME DEPOSITS (CONTINUED)
$ 3,681,479 BNP Paribas, 6.75%,
07/05/00(b)................. $ 3,681,479
470,126 Fleet National Bank, 7.125%,
10/31/00(b)................. 470,126
1,665,443 Royal Bank of Scotland, 6.70%,
07/05/00(b)................. 1,665,443
330,890 Royal Bank of Scotland, 6.85%,
07/05/00(b)................. 330,890
-------------
TOTAL TIME DEPOSITS (Cost
$7,397,926)................... 7,397,926
-------------
SHORT TERM CORPORATE NOTES -- 3.92%
3,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................. 3,000,000
2,729,006 Bank of Montreal, Floating
Rate, 6.63%(++), 08/16/00
(b)......................... 2,729,006
4,317,300 Bear Stearns & Company, Inc.,
Floating Rate, 7.375%(++),
07/26/00(b)................. 4,317,300
1,109,989 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................. 1,109,989
4,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)..... 4,000,000
6,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40% (++),
12/08/00(b)................. 6,000,000
-------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $21,156,295)...... 21,156,295
-------------
TOTAL SECURITIES (Cost
$744,874,058)................. 743,384,935
-------------
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
REPURCHASE AGREEMENTS -- 2.92%
$10,000,000 With Goldman Sachs & Company,
dated 06/30/00, 7.205%, due
07/03/00, repurchase
proceeds at maturity
$10,006,004 (Collateralized
by Electronic Data Systems,
7.125%, due 05/15/05, with a
value of $685,895, Ford
Motor Credit Company, 6.55%,
due 09/10/02, with a value
of $751,421, Honeywell
International, 6.20%, due
02/01/08, with a value of
$4,127,613, Household
Finance Corp., 5.875%, due
09/25/04, with a value of
$1,195,588, Lowe's
Companies, Inc., 6.875%, due
02/15/28, with a value of
$2,014,548, Pacific Gas &
Electric, 8.75%, due
01/01/01, with a value of
$1,013,693, Toyota Motor
Credit Corp., 5.50%, due
09/17/01, with a value of
$997,663)(b)................ $10,000,000
5,788,470 With Investors Bank & Trust
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$5,791,379 (Collateralized
by Small Business
Administration Loan, 9.375%,
01/25/24, with a value of
$6,077,893)................. 5,788,470
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $15,788,470)............ 15,788,470
-------------
Total Investments -- 140.57%
(Cost $760,662,528)........... 759,173,405
Liabilities less other
assets -- (40.57)%............ (219,089,720)
-------------
NET ASSETS -- 100.00%......... $ 540,083,685
=============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $760,662,528.
The following amount is based on costs for federal income
tax purposes:
Gross unrealized appreciation........... $ 1,732,155
Gross unrealized depreciation........... (3,221,278)
-----------
Net unrealized depreciation............. $(1,489,123)
===========
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
26
<PAGE> 28
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK -- 60.26%
ADVERTISING -- 0.16%
7,600 Interpublic Group of
Companies, Inc. ............ $ 326,800
4,800 Omnicom Group, Inc. .......... 427,500
1,800 Young & Rubicam, Inc. ........ 102,937
-------------
TOTAL ADVERTISING............. 857,237
-------------
AEROSPACE -- 0.36%
20,200 Boeing Company................ 844,613
4,600 General Dynamics Corp. ....... 240,350
1,700 Goodrich (B.F.) Company....... 57,906
2,000 Northrop Grumman Corp. ....... 132,500
10,600 United Technologies Corp. .... 624,075
-------------
TOTAL AEROSPACE............... 1,899,444
-------------
AGRICULTURE EQUIPMENT -- 0.05%
6,600 Deere & Company............... 244,200
-------------
AIRLINES -- 0.07%
2,700 Delta Air Lines, Inc. ........ 136,519
13,600 Southwest Airlines Company.... 257,550
-------------
TOTAL AIRLINES................ 394,069
-------------
APPAREL -- 0.06%
1,500 Liz Claiborne, Inc. .......... 52,875
1,000 Russell Corp. ................ 20,000
300 Springs Industries, Inc. ..... 9,656
8,300 TJX Companies, Inc. .......... 155,625
2,900 V. F. Corp. .................. 69,056
-------------
TOTAL APPAREL................. 307,212
-------------
AUTOMOTIVE EQUIPMENT -- 0.25%
4,200 AutoZone, Inc.(c)............. 92,400
1,000 Cummins Engine Company,
Inc. ....................... 27,250
4,800 Dana Corp. ................... 101,700
12,493 Delphi Automotive Systems
Corp. ...................... 181,929
5,600 Genuine Parts Company......... 112,000
2,600 Johnson Controls, Inc. ....... 133,412
6,400 Teradyne, Inc.(c)............. 470,400
2,900 TRW, Inc. .................... 125,788
4,347 Visteon Corp. ................ 52,707
-------------
TOTAL AUTOMOTIVE EQUIPMENT.... 1,297,586
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
BANKS -- 2.21%
36,800 Bank of America Corp. ........ $ 1,582,400
17,300 Bank of New York Company,
Inc. ....................... 804,450
9,600 BB&T Corp. ................... 229,200
29,100 Chase Manhattan Corp. ........ 1,340,419
4,800 Comerica, Inc. ............... 215,400
8,300 Fifth Third Bancorp........... 524,975
22,900 First Union Corp. ............ 568,206
23,100 Firstar Corp. ................ 486,544
35,400 Fleet Boston Financial
Corp. ...................... 1,203,600
4,800 Golden West Financial
Corp. ...................... 195,900
3,900 J.P. Morgan & Company......... 429,487
10,900 Mellon Financial Corp. ....... 397,169
6,000 Northern Trust Corp. ......... 390,375
5,100 SouthTrust Corp. ............. 115,388
3,600 State Street Corp. ........... 381,825
5,400 Summit Bancorp................ 132,975
7,700 SunTrust Banks, Inc. ......... 351,794
8,400 Synovus Financial Corp. ...... 148,050
1,700 Union Planters Corp. ......... 47,494
8,900 U.S. Bancorp.................. 171,325
5,400 Wachovia Corp. ............... 292,950
6,100 Washington Mutual, Inc. ...... 176,137
36,800 Wells Fargo & Company......... 1,426,000
-------------
TOTAL BANKS................... 11,612,063
-------------
BUILDING MATERIALS -- 0.58%
51,200 Home Depot, Inc. ............. 2,556,800
12,000 Lowe's Companies, Inc. ....... 492,750
-------------
TOTAL BUILDING MATERIALS...... 3,049,550
-------------
CHEMICALS -- 0.47%
6,700 Air Products and Chemicals,
Inc. ....................... 206,444
15,300 Dow Chemical Company.......... 461,869
23,200 du Pont (E. I.) de Nemours.... 1,015,000
2,400 Eastman Chemical Company...... 114,600
3,300 Engelhard Corp. .............. 56,306
1,000 FMC Corp.(c).................. 58,000
2,000 Grace (W.R.) & Company(c)..... 24,250
1,800 Great Lakes Chemical Corp. ... 56,700
3,000 International Flavors &
Fragrances, Inc. ........... 90,563
4,600 Praxair, Inc. ................ 172,212
</TABLE>
See notes to financial statements.
27
<PAGE> 29
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CHEMICALS (CONTINUED)
1,300 Sigma-Aldrich Corp. .......... $ 38,025
3,500 Union Carbide Corp. .......... 173,250
-------------
TOTAL CHEMICALS............... 2,467,219
-------------
COMMUNICATIONS EQUIPMENT -- 0.53%
11,100 ADC Telecommunications,
Inc.(c)..................... 931,013
5,600 Comverse Technology,
Inc.(a)(c).................. 520,800
22,100 QUALCOMM, Inc.(a)(c).......... 1,326,000
-------------
TOTAL COMMUNICATIONS
EQUIPMENT..................... 2,777,813
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.88%
13,800 Apple Computer, Inc.(a)(c).... 722,775
2,600 Avery-Dennison Corp. ......... 174,525
38,000 Compaq Computer Corp. ........ 971,375
57,400 Dell Computer Corp.(c)........ 2,830,537
9,200 Gateway, Inc.(c).............. 522,100
29,900 Hewlett-Packard Company....... 3,733,762
40,200 International Business
Machines Corp. ............. 4,404,413
3,700 Lexmark International Group,
Inc.(c)..................... 248,825
11,000 Network Appliance, Inc.(c).... 885,500
2,900 Pitney Bowes, Inc. ........... 116,000
5,000 Seagate Technology, Inc.(c)... 275,000
58,100 Sun Microsystems, Inc.(c)..... 5,283,469
1,300 Tektronix, Inc. .............. 96,200
7,900 Xerox Corp. .................. 163,925
-------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT..................... 20,428,406
-------------
COMPUTER SOFTWARE AND SERVICES -- 9.49%
4,400 Adaptec, Inc.(c).............. 100,100
3,500 Adobe Systems, Inc. .......... 455,000
67,300 America Online, Inc.(c)....... 3,550,075
13,900 Automatic Data Processing,
Inc. ....................... 744,519
5,800 BMC Software, Inc.(a)(c)...... 211,610
262,300 Cisco Systems, Inc.(c)........ 16,672,444
5,800 Citrix Systems, Inc.(a)(c).... 109,837
13,300 Computer Associates
International, Inc. ........ 680,794
4,300 Computer Sciences Corp.(c).... 321,156
10,800 Electronic Data Systems
Corp. ...................... 445,500
63,600 EMC Corp.(c).................. 4,893,225
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
9,400 First Data Corp. ............. $ 466,475
7,600 IMS Health, Inc.(a)........... 136,800
2,400 Mercury Interactive
Corp.(c).................... 232,200
116,800 Microsoft Corp.(a)(c)......... 9,344,000
83,200 Oracle Corp.(c)............... 6,994,000
6,500 PeopleSoft, Inc.(c)........... 108,875
2,200 Sapient Corp.(c).............. 235,262
4,700 Siebel Systems, Inc.(c)....... 768,744
8,100 Unisys Corp.(c)............... 117,956
15,400 Veritas Software
Corp.(a)(c)................. 1,740,440
12,800 Yahoo!, Inc.(a)(c)............ 1,585,600
-------------
TOTAL COMPUTER SOFTWARE AND
SERVICES...................... 49,914,612
-------------
CONSTRUCTION -- 0.05%
2,200 Fluor Corp. .................. 69,575
1,300 Kaufman & Broad Home Corp. ... 25,756
2,000 Pulte Corp. .................. 43,250
2,400 Vulcan Materials Company...... 102,450
-------------
TOTAL CONSTRUCTION............ 241,031
-------------
CONSUMER GOODS AND SERVICES -- 3.56%
800 Alberto-Culver
Company -- Class B.......... 24,450
2,600 Avon Products, Inc. .......... 115,700
2,100 Brunswick Corp. .............. 34,781
18,300 Cendant Corp.(c).............. 256,200
5,500 Clorox Company................ 246,469
12,800 Colgate-Palmolive
Company(a).................. 766,400
8,300 Eastman Kodak Company......... 493,850
4,000 Ecolab, Inc. ................. 156,250
7,400 FedEx Corp.(c)................ 281,200
6,700 Fort James Corp. ............. 154,938
4,000 Fortune Brands, Inc. ......... 92,250
223,900 General Electric Company...... 11,866,700
23,200 Gillette Company.............. 810,550
12,700 Kimberly-Clark Corp. ......... 728,662
5,900 Leggett & Platt, Inc. ........ 97,350
900 Maytag Corp. ................. 33,188
1,200 National Service Industries,
Inc. ....................... 23,400
6,200 Newell Rubbermaid, Inc. ...... 159,650
4,200 Nike, Inc. -- Class B......... 167,212
4,300 Pactiv Corp.(c)............... 33,863
8,850 Paychex, Inc. ................ 371,700
</TABLE>
See notes to financial statements.
28
<PAGE> 30
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CONSUMER GOODS AND SERVICES (CONTINUED)
14,500 Procter & Gamble Company...... $ 830,125
9,400 Ralston-Ralston Purina
Corp. ...................... 187,412
1,300 SABRE Holdings Corp. -- Class
A........................... 37,050
2,500 Stanley Works................. 59,375
1,800 Tupperware Corp. ............. 39,600
13,000 Unilever N.V. (ADR)(a)........ 559,000
1,800 Whirlpool Corp. .............. 83,925
-------------
TOTAL CONSUMER GOODS AND
SERVICES...................... 18,711,250
-------------
ELECTRONICS -- 0.57%
8,503 Agilent Technologies, Inc. ... 627,096
10,100 Emerson Electric Company...... 609,788
6,900 Linear Technology Corp. ...... 441,169
6,700 Maxim Integrated Products,
Inc.(c)..................... 455,181
3,800 Molex, Inc. .................. 182,875
4,300 Rockwell International
Corp. ...................... 135,450
13,200 Solectron Corp.(c)............ 552,750
-------------
TOTAL ELECTRONICS............. 3,004,309
-------------
FINANCIAL SERVICES -- 3.92%
31,600 American Express Company...... 1,647,150
5,800 American General Corp. ....... 353,800
16,500 Associates First Capital
Corp. -- Class A............ 368,156
3,780 Bear Stearns Companies,
Inc. ....................... 157,343
4,700 Capital One Financial
Corp. ...................... 209,737
123,600 Citigroup, Inc. .............. 7,446,900
1,900 Deluxe Corp. ................. 44,769
5,100 Dun & Bradstreet Corp. ....... 145,988
22,600 Fannie Mae.................... 1,179,437
8,600 Franklin Resources, Inc. ..... 261,225
15,500 Freddie Mac................... 627,750
3,000 H&R Block, Inc. .............. 97,125
10,550 Household International,
Inc. ....................... 438,484
5,400 Lehman Brothers Holdings,
Inc. ....................... 510,638
3,100 MBIA, Inc. ................... 149,381
21,100 MBNA, Corp. .................. 572,337
3,100 MGIC Investment Corp. ........ 141,050
11,500 Merrill Lynch & Company,
Inc. ....................... 1,322,500
33,900 Morgan Stanley Dean Witter &
Company..................... 2,822,175
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
1,470 Old Kent Financial Group...... $ 39,323
5,200 Paine Webber Group, Inc. ..... 236,600
7,900 PNC Financial Services
Group....................... 370,312
3,400 Providian Financial Corp. .... 306,000
30,200 Schwab (Charles) Corp. ....... 1,015,475
3,500 T. Rowe Price Associates,
Inc. ....................... 148,750
-------------
TOTAL FINANCIAL SERVICES...... 20,612,405
-------------
FOOD AND BEVERAGE -- 2.03%
13,800 Anheuser-Busch Companies,
Inc. ....................... 1,030,688
15,800 Archer-Daniels-Midland
Company..................... 155,037
6,500 Bestfoods..................... 450,125
1,200 Brown-Forman Corp. -- Class
B............................. 64,500
54,900 Coca-Cola Company............. 3,153,319
12,800 ConAgra, Inc. ................ 244,000
1,500 Coors (Adolph)
Company -- Class B.......... 90,750
6,900 General Mills, Inc.(a)........ 263,925
8,300 Heinz (H.J.) Company.......... 363,125
2,600 Hershey Foods Corp. .......... 126,588
9,400 Kellogg Company............... 279,650
33,500 Pepsico, Inc. ................ 1,488,656
53,700 Philip Morris Companies,
Inc. ....................... 1,426,406
3,100 Quaker Oats Company........... 232,888
20,100 Sara Lee Corp. ............... 388,181
4,900 Seagram Company, Ltd.......... 284,200
8,900 Sysco Corp. .................. 374,912
5,600 UST, Inc. .................... 82,250
2,500 Wrigley (Wm.) Jr. Company..... 200,469
-------------
TOTAL FOOD AND BEVERAGE....... 10,699,669
-------------
INSURANCE -- 1.27%
6,200 AFLAC, Inc. .................. 284,813
34,200 American International Group,
Inc. ....................... 4,018,500
3,300 Aon Corp. .................... 102,506
2,000 Chubb Corp. .................. 123,000
4,800 CIGNA Corp. .................. 448,800
4,700 Cincinnati Financial Corp. ... 147,756
5,100 Hartford Financial Services
Group, Inc. ................ 285,281
3,300 Jefferson-Pilot Corp. ........ 186,244
2,900 Loews Corp. .................. 174,000
</TABLE>
See notes to financial statements.
29
<PAGE> 31
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
6,200 Marsh & McLennan Companies,
Inc. ....................... $ 647,512
5,100 St. Paul Companies, Inc. ..... 174,038
4,200 Torchmark Corp. .............. 103,687
-------------
TOTAL INSURANCE............... 6,696,137
-------------
LEISURE AND RECREATION -- 0.06%
3,500 Harrah's Entertainment,
Inc.(c)..................... 73,281
6,500 Marriott International,
Inc. -- Class A............. 234,406
-------------
TOTAL LEISURE AND
RECREATION.................... 307,687
-------------
MACHINERY AND OTHER PRODUCTS -- 0.15%
8,300 Caterpillar, Inc. ............ 281,163
5,900 Dover Corp. .................. 239,319
2,400 Grainger (W.W.), Inc. ........ 73,950
4,400 Ingersoll-Rand Company........ 177,100
-------------
TOTAL MACHINERY AND OTHER
PRODUCTS...................... 771,532
-------------
MANUFACTURING -- 1.56%
9,400 Alcan Aluminium Ltd.(a)....... 291,400
1,000 Ball Corp. ................... 32,188
1,500 Bemis Company, Inc. .......... 50,437
700 Briggs & Stratton Corp. ...... 23,975
10,600 Corning, Inc. ................ 2,860,675
2,100 Crane Company................. 51,056
3,100 Danaher Corp. ................ 153,256
1,900 Eaton Corp. .................. 127,300
17,800 Honeywell International,
Inc. ....................... 599,637
2,300 ITT Industries, Inc. ......... 69,863
7,800 Illinois Tool Works, Inc. .... 444,600
10,000 Minnesota Mining and
Manufacturing Company....... 825,000
4,700 Owens Illinois, Inc.(c)....... 54,931
3,200 Parker-Hannifin Corp. ........ 109,600
4,600 PPG Industries, Inc. ......... 203,837
2,600 Sealed Air Corp.(c)........... 136,175
4,000 Sherwin-Williams Company...... 84,750
4,000 Textron, Inc. ................ 217,250
1,800 Timken Corp. ................. 33,525
37,500 Tyco International Ltd........ 1,776,563
3,500 USX-US Steel Group............ 64,969
-------------
TOTAL MANUFACTURING........... 8,210,987
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA -- 1.58%
7,700 Clear Channel Communications,
Inc.(c)..................... $ 577,500
2,200 Dow Jones & Company, Inc. .... 161,150
7,500 Gannett Company, Inc. ........ 448,594
2,400 Knight-Ridder, Inc.(a)........ 127,650
14,500 MediaOne Group, Inc.(c)....... 961,550
1,100 Meredith Corp. ............... 37,125
27,100 Time Warner, Inc. ............ 2,059,600
30,900 Viacom, Inc. -- Class B(c).... 2,106,994
47,100 Walt Disney Company........... 1,828,069
-------------
TOTAL MEDIA................... 8,308,232
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.21%
11,800 Healthsouth Corp.(c).......... 84,812
8,100 Tenet Healthcare Corp. ....... 218,700
12,100 The Healthcare Company........ 367,538
3,600 UnitedHealth Group, Inc. ..... 308,700
2,000 Wellpoint Health Networks,
Inc.(c)..................... 144,875
-------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES...................... 1,124,625
-------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.46%
2,900 Allergan, Inc. ............... 216,050
1,500 Bard (C.R.), Inc. ............ 72,188
1,700 Bausch & Lomb, Inc. .......... 131,538
7,800 Baxter International, Inc. ... 548,437
5,800 Becton Dickinson & Company.... 166,388
1,800 Biogen, Inc. ................. 116,100
3,500 Biomet, Inc. ................. 134,531
6,800 Guidant Corp.(c).............. 336,600
41,600 Johnson & Johnson............. 4,238,000
1,700 Mallinckrodt, Inc. ........... 73,844
28,400 Medtronic, Inc. .............. 1,414,675
1,400 PerkinElmer, Inc. ............ 92,575
2,600 St. Jude Medical, Inc.(c)..... 119,275
-------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES...................... 7,660,201
-------------
METALS AND MINING -- 0.27%
21,016 Alcoa, Inc. .................. 609,464
10,100 Barrick Gold Corp. ........... 183,694
4,300 INCO Ltd...................... 66,112
4,400 Newmont Mining Corp. ......... 95,150
2,300 Nucor Corp. .................. 76,331
</TABLE>
See notes to financial statements.
30
<PAGE> 32
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
METALS AND MINING (CONTINUED)
8,500 Placer Dome, Inc. ............ $ 81,281
11,200 USX-Marathon Group............ 280,700
2,500 Worthington Industries,
Inc. ....................... 26,250
-------------
TOTAL METALS AND MINING....... 1,418,982
-------------
MOTOR VEHICLES -- 0.63%
33,200 Ford Motor Company............ 1,427,600
23,700 General Motors Corp. ......... 1,376,081
7,800 Harley-Davidson, Inc. ........ 300,300
3,500 Navistar International
Corp.(c).................... 108,719
3,300 PACCAR, Inc. ................. 130,969
-------------
TOTAL MOTOR VEHICLES.......... 3,343,669
-------------
OIL AND GAS -- 4.29%
2,700 Amerada Hess Corp. ........... 166,725
3,600 Anadarko Petroleum Corp.(a)... 177,525
4,000 Apache Corp. ................. 235,250
1,600 Ashland, Inc. ................ 56,100
7,800 Baker Hughes, Inc. ........... 249,600
4,800 Burlington Resources, Inc. ... 183,600
23,900 Chevron Corp. ................ 2,027,019
5,600 Coastal Corp. ................ 340,900
2,200 Columbia Energy Group......... 144,375
9,700 Conoco, Inc. -- Class B....... 238,256
17,300 Enron Corp. .................. 1,115,850
127,500 Exxon-Mobil Corp. ............ 10,008,750
3,100 Kerr-McGee Corp. ............. 182,706
15,800 Occidental Petroleum Corp. ... 332,788
9,000 Phillips Petroleum Company.... 456,188
3,500 Rowan Companies, Inc.(c)...... 106,312
62,800 Royal Dutch Petroleum
Company..................... 3,866,125
6,300 Schlumberger Ltd.............. 470,137
3,500 Sunoco, Inc. ................. 103,031
21,600 Texaco, Inc. ................. 1,150,200
5,400 Tosco Corp. .................. 152,887
9,800 Union Pacific Resources
Group......................... 215,600
5,400 Unocal Corp. ................. 178,875
10,000 Williams Companies, Inc. ..... 416,875
-------------
TOTAL OIL AND GAS............. 22,575,674
-------------
PAPER AND FOREST PRODUCTS -- 0.19%
1,700 Boise Cascade Corp. .......... 43,988
4,000 Georgia-Pacific Group......... 105,000
6,610 International Paper Company... 197,052
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PAPER AND FOREST PRODUCTS (CONTINUED)
3,400 Louisiana-Pacific Corp. ...... $ 36,975
3,200 Mead Corp. ................... 80,800
800 Potlatch Corp. ............... 26,500
1,700 Temple-Inland, Inc. .......... 71,400
2,900 Westvaco Corp. ............... 71,956
7,300 Weyerhaeuser Company.......... 313,900
2,600 Willamette Industries,
Inc. ....................... 70,850
-------------
TOTAL PAPER AND FOREST
PRODUCTS...................... 1,018,421
-------------
PHARMACEUTICALS -- 5.06%
36,900 Abbott Laboratories........... 1,644,356
15,200 American Home Products
Corp. ...................... 893,000
22,900 Amgen, Inc.(c)................ 1,608,725
43,800 Bristol-Myers Squibb
Company..................... 2,551,350
6,100 Cardinal Health, Inc. ........ 451,400
33,100 Lilly (Eli) & Company......... 3,305,862
51,000 Merck & Company, Inc. ........ 3,907,875
30,384 Pharmacia Corp. .............. 1,570,473
184,325 Pfizer, Inc. ................. 8,847,600
34,500 Schering-Plough Corp. ........ 1,742,250
2,200 Watson Pharmaceuticals,
Inc.(c)..................... 118,250
-------------
TOTAL PHARMACEUTICALS......... 26,641,141
-------------
PUBLISHING -- 0.12%
4,700 McGraw-Hill Companies,
Inc. ....................... 253,800
4,500 New York Times
Company -- Class A.......... 177,750
1,700 R.R. Donnelley and Sons
Company..................... 38,356
5,300 Tribune Company............... 185,500
-------------
TOTAL PUBLISHING.............. 655,406
-------------
RESTAURANTS -- 0.23%
3,800 Darden Restaurants, Inc. ..... 61,750
30,300 McDonald's Corp. ............. 998,006
1,700 Tricon Global Restaurants,
Inc.(c)..................... 48,025
5,200 Wendy's International,
Inc. ....................... 92,625
-------------
TOTAL RESTAURANTS............. 1,200,406
-------------
RETAIL -- 2.50%
3,500 Bed Bath & Beyond, Inc.(c).... 126,875
6,000 Best Buy Company, Inc.(c)..... 379,500
4,500 Circuit City Stores-Circuit
City Group.................. 149,344
</TABLE>
See notes to financial statements.
31
<PAGE> 33
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
5,100 Costco Wholesale
Corp.(a)(c)................. $ 168,300
4,400 CVS Corp. .................... 176,000
3,906 Dollar General Corp. ......... 76,167
4,800 Federated Department Stores,
Inc.(c)..................... 162,000
9,700 Gap, Inc. .................... 303,125
1,600 Harcourt General, Inc. ....... 87,000
7,600 Kohl's Corp.(c)............... 422,750
18,800 Kroger Company(c)............. 414,775
15,800 Limited (The), Inc.(a)........ 341,675
1,000 Longs Drug Stores Corp. ...... 21,750
3,600 May Department Stores
Company..................... 86,400
1,600 Nordstrom, Inc.(a)............ 38,600
5,900 RadioShack Corp. ............. 279,512
11,700 Safeway, Inc.(c).............. 527,962
8,500 Sears, Roebuck & Company...... 277,313
3,700 SUPERVALU, Inc. .............. 70,531
14,200 Target Corp. ................. 823,600
130,500 Wal-Mart Stores, Inc. ........ 7,520,062
22,400 Walgreen Company.............. 721,000
-------------
TOTAL RETAIL.................. 13,174,241
-------------
RUBBER PRODUCTS -- 0.01%
2,400 Cooper Tire & Rubber
Company..................... 26,700
-------------
SCIENTIFIC & TECHNICAL INSTRUMENTS -- 0.10%
1,300 Millipore Corp. .............. 97,988
6,300 PE Corp.-PE Biosystems
Group....................... 415,012
-------------
TOTAL SCIENTIFIC & TECHNICAL
INSTRUMENTS................... 513,000
-------------
SEMICONDUCTORS -- 5.84%
5,400 Advanced Micro Devices,
Inc.(a)(c).................. 417,150
7,800 Altera Corp.(c)............... 795,112
13,400 Analog Devices, Inc.(c)....... 1,018,400
30,000 Applied Materials, Inc.(c).... 2,718,750
7,400 Conexant System(a)(c)......... 359,825
122,400 Intel Corp. .................. 16,363,350
7,200 KLA-Tencor Corp.(c)........... 421,650
10,900 LSI Logic Corp.(c)............ 589,963
12,000 Micron Technology, Inc.(c).... 1,056,750
50,697 Motorola, Inc. ............... 1,473,382
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SEMICONDUCTORS (CONTINUED)
6,600 National Semiconductor
Corp.(c).................... $ 374,550
61,100 Texas Instruments, Inc. ...... 4,196,806
11,700 Xilinx, Inc. (c).............. 965,981
-------------
TOTAL SEMICONDUCTORS.......... 30,751,669
-------------
TELECOMMUNICATIONS -- 5.21%
7,500 ALLTELL Corp. ................ 464,531
34,900 AT&T Corp. ................... 1,103,713
34,300 Bell Atlantic Corp. .......... 1,742,869
41,800 BellSouth Corp. .............. 1,781,725
21,800 GTE Corp. .................... 1,357,050
10,500 Global Crossing, Ltd.......... 276,281
35,800 Lucent Technologies, Inc. .... 2,121,150
17,800 Nextel Communications,
Inc. -- Class A(c).......... 1,089,138
103,200 Nortel Networks Corp.(a)...... 7,043,400
77,100 SBC Communications, Inc. ..... 3,334,575
6,400 Scientific-Atlanta, Inc. ..... 476,800
17,600 Sprint Corp. (FON Group)...... 897,600
20,500 Sprint Corp. (PCS
Group)(a)(c)................ 1,219,750
9,100 Tellabs, Inc.(c).............. 622,781
11,300 US WEST, Inc. ................ 968,975
63,500 WorldCom, Inc. (c)............ 2,913,063
-------------
TOTAL TELECOMMUNICATIONS...... 27,413,401
-------------
TOOLS -- 0.04%
2,000 Black & Decker Corp. ......... 78,625
2,900 Cooper Industries, Inc. ...... 94,431
1,400 Snap-on, Inc. ................ 37,275
-------------
TOTAL TOOLS................... 210,331
-------------
TOYS -- 0.01%
4,600 Hasbro, Inc. ................. 69,288
-------------
TRANSPORTATION -- 0.18%
5,800 AMR Corp.(c).................. 153,338
11,300 Burlington Northern Santa Fe
Corp. ...................... 259,194
2,500 Kansas City Southern
Industries, Inc. ........... 221,719
2,200 Ryder System, Inc. ........... 41,662
7,000 Union Pacific Corp. .......... 260,313
-------------
TOTAL TRANSPORTATION.......... 936,226
-------------
</TABLE>
See notes to financial statements.
32
<PAGE> 34
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
UTILITIES -- 1.05%
10,800 AES Corp.(c).................. $ 492,750
4,300 Ameren Corp. ................. 145,125
7,340 American Electric Power
Company, Inc. .............. 217,447
4,200 Carolina Power and Light,
Inc. ....................... 134,138
4,200 CINergy Corp. ................ 106,838
5,700 Consolidated Edison, Inc. .... 168,863
3,800 Constellation Energy Group.... 123,737
3,900 DTE Energy Company............ 119,194
5,631 Dominion Resources, Inc. ..... 241,429
8,500 Duke Energy Corp. ............ 479,188
3,100 El Paso Energy Corp. ......... 157,906
7,600 Entergy Corp. ................ 206,625
7,400 FirstEnergy Corp. ............ 172,975
2,900 Florida Progress Corp. ....... 135,938
5,600 FPL Group, Inc. .............. 277,200
3,600 GPU, Inc. .................... 97,425
2,700 New Century Energies, Inc. ... 81,000
500 Nicor, Inc. .................. 16,312
3,600 Northern States Power
Company..................... 72,675
5,300 Peco Energy Company........... 213,656
11,900 PG&E Corp. ................... 293,038
4,100 PP&L Resources, Inc. ......... 89,944
1,100 Peoples Energy Corp. ......... 35,612
2,400 Pinnacle West Capital
Corp. ...................... 81,300
4,800 Public Service Enterprise
Group, Inc. ................ 166,200
8,800 Reliant Energy, Inc. ......... 260,150
7,000 Sempra Energy................. 119,000
18,100 Southern Company.............. 421,956
7,300 TXU Corp. .................... 215,350
5,400 Unicom Corp. ................. 208,913
-------------
TOTAL UTILITIES............... 5,551,884
-------------
TOTAL COMMON STOCK (Cost
$293,323,602)................. 317,097,915
-------------
PREFERRED STOCK -- 0.23%
SPECIAL PURPOSE ENTITY
58,200 Swire Pacific (Cost
$1,231,563)................. 1,182,188
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -------------
<C> <S> <C>
REGULATED INVESTMENT COMPANIES -- 0.77%
2,899,793 Janus Money Market Fund(b).... $ 2,899,793
1,130,919 Merrimac Cash Fund -- Premium
Class(b).................... 1,130,919
-------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $4,030,712)... 4,030,712
-------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 14.26%
AUTOMOTIVE PARTS AND EQUIPMENT -- 0.04%
$ 250,000 Sanluis Corp., 8.875%,
03/18/08.................... 226,931
-------------
BANKS -- 2.07%
250,000 Cho Hung Bank -- 144A, 11.50%,
04/01/10.................... 240,625
6,000,000 First Chicago Master Trust,
Series 96-Q, Floating Rate,
6.78%(++), 04/15/03......... 6,006,180
230,000 Hanvit Bank, 11.75%,
03/01/10.................... 222,525
1,500,000 Standard Chartered -- 144A,
PLC, Floating Rate,
5.8375%(++), 12/31/49....... 1,003,596
3,500,000 Wachovia Corp., 6.70%,
06/21/04.................... 3,415,104
-------------
TOTAL BANKS................... 10,888,030
-------------
CHEMICALS -- 0.14%
700,000 Sterling Chemicals, Series B,
12.375%, 07/15/06........... 710,500
-------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.66%
3,500,000 Sun Microsystems, Inc., 7.50%,
08/15/06.................... 3,493,052
-------------
CONSTRUCTION -- 0.15%
600,000 D.R. Horton, Inc., 8.00%,
12/01/09.................... 522,000
300,000 Kaufman & Broad Home Corp.,
9.625%, 11/15/06............ 285,750
-------------
TOTAL CONSTRUCTION............ 807,750
-------------
CONSUMER GOODS AND SERVICES -- 0.14%
750,000 Scotts Company, 8.625%,
01/15/09.................... 720,000
-------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 0.30%
600,000 Allied Waste North America,
7.875%, 01/01/09............ 511,500
1,150,000 Waste Management, Inc., 4.00%,
02/01/02.................... 1,066,625
-------------
TOTAL ENVIRONMENTAL MANAGEMENT
SERVICES...................... 1,578,125
-------------
</TABLE>
See notes to financial statements.
33
<PAGE> 35
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCE -- 4.86%
$ 4,000,000 Bear Stearns Company, Inc.,
Floating Rate, 7.125%(++),
03/28/03.................... $ 3,992,952
4,000,000 Deutsche Floorplan Receivables
Master Trust, Floating Rate,
6.8213%(++), 04/15/05....... 3,998,875
2,000,000 Ford Motor Credit Company,
Floating Rate, 6.9675%(++),
03/17/03(a)................. 1,997,460
2,000,000 MBNA Corp., 6.963%,
09/12/02.................... 1,955,500
700,000 MBNA Corp., 6.7075%,
07/15/05.................... 698,469
4,000,000 Medallion Trust, Floating
Rate, 6.5088%(++),
07/12/31.................... 4,000,200
5,000,000 SLM Student Loan Trust,
2000-A1L, Floating Rate,
6.34%(++), 10/27/08......... 4,997,400
3,944,202 Washington Mutual, Floating
Rate, 6.90%(++), 06/25/24... 3,945,682
-------------
TOTAL FINANCE................. 25,586,538
-------------
LEISURE AND RECREATION -- 0.31%
350,000 Harrah's Operating Co., Inc.,
7.875%, 12/15/05............ 329,000
350,000 Hollywood Park, Inc., 9.25%,
02/15/07.................... 348,250
350,000 Mandalay Resort Group, 9.25%,
12/01/05(a)................. 337,750
625,000 MGM Grand, Inc., 9.75%,
06/01/07.................... 637,500
-------------
TOTAL LEISURE AND
RECREATION.................... 1,652,500
-------------
MANUFACTURING -- 0.31%
600,000 AK Steel Corp., 7.875%,
02/15/09.................... 532,500
600,000 American Standard, Inc.,
7.375%, 02/01/08............ 543,000
600,000 Flag Limited, 8.25%,
01/30/08.................... 534,000
-------------
TOTAL MANUFACTURING........... 1,609,500
-------------
MEDIA -- 0.98%
300,000 Cablevision SA, 13.75%,
04/30/07.................... 279,000
300,000 Multicanal SA, 13.125%,
04/15/09.................... 288,000
500,000 Price Communications Wire,
9.125%, 12/15/06............ 505,000
350,000 Sinclair Broadcast Group,
9.00%, 07/15/07............. 314,125
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
MEDIA (CONTINUED)
$ 3,500,000 Walt Disney Company, 6.75%,
03/30/06.................... $ 3,425,898
350,000 Young Broadcasting, Inc.,
8.75%, 06/15/07............... 322,000
-------------
TOTAL MEDIA................... 5,134,023
-------------
MEDICAL AND OTHER HEALTH SERVICES -- 0.07%
350,000 Tenet Healthcare Corp., 9.25%
09/01/10.................... 352,625
-------------
METAL & GLASS CONTAINERS -- 0.05%
300,000 Owens-Illinois, Inc., 7.85%,
05/15/04.................... 284,857
-------------
OIL & GAS -- 0.12%
625,000 R&B Falcon Corp., 9.50%,
12/15/08.................... 628,125
-------------
PRIVATE ASSET BACKED: CREDIT CARDS -- 1.52%
4,000,000 BA Master Credit Card Trust,
Floating Rate, 6.76%(++),
04/15/05.................... 4,003,040
4,000,000 Fleet Credit Card Master
Trust, Floating Rate,
6.73%(++), 05/15/04......... 4,002,880
-------------
TOTAL PRIVATE ASSET BACKED:
CREDIT CARDS.................. 8,005,920
-------------
PRIVATE ASSET BACKED: FINANCE -- 1.01%
3,500,000 GMAC Commercial Mortgage
Securities, Inc., 6.625%,
10/20/03.................... 3,414,086
2,000,000 L.A. Arena Funding, LLC,
7.656%, 12/15/21............ 1,882,500
-------------
TOTAL PRIVATE ASSET BACKED:
FINANCE....................... 5,296,586
-------------
RETAIL -- 0.11%
600,000 K-Mart Corp., 8.375%,
12/01/04.................... 572,713
-------------
SPECIAL PURPOSE ENTITY -- 0.65%
3,500,000 Duke Capital Corp., 7.50%,
10/01/09.................... 3,443,573
-------------
TELECOMMUNICATIONS -- 0.65%
200,000 Alestra SA, 12.625%,
05/15/09.................... 180,750
350,000 Globo Communicacoes, 10.50%,
12/20/06.................... 303,081
350,000 KPN/Qwest BV, 144A, 8.125%,
06/01/09.................... 329,000
500,000 McLeodUSA, Inc., 9.25%,
07/15/07.................... 482,500
</TABLE>
See notes to financial statements.
34
<PAGE> 36
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 350,000 NTL, Inc., 10.00%, 02/15/07... $ 330,750
600,000 Nextel Communications, 0.00%,
10/31/07.................... 445,500
250,000 Nuevo Grupo Iusacell SA,
14.25%, 12/01/06............ 261,250
200,000 Philippine Long Distance
Telephone, 10.50%,
04/15/09.................... 197,803
250,000 PTC International Finance,
11.25%, 12/01/09............ 253,750
170,000 Slovak Wireless SA -- 144A,
11.25%, 03/30/07............ 163,623
500,000 Williams Communications Group,
Inc., 10.875%, 10/01/09..... 488,750
-------------
TOTAL TELECOMMUNICATIONS...... 3,436,757
-------------
UTILITIES -- 0.12%
625,000 AES Corp., 9.50%, 06/01/09.... 612,500
-------------
TOTAL CORPORATES BOND AND
NOTES (Cost $75,949,033)...... 75,040,605
-------------
FOREIGN GOVERNMENT BONDS AND NOTES -- 3.30%
240,000 Argentina, 7.375%, 03/31/05... 219,656
329,000 Federative Republic of Brazil,
7.375%, 04/15/06............ 300,212
985,127 Federative Republic of Brazil,
8.00%, 04/15/14............. 725,333
500,000 Federative Republic of Brazil,
7.375%, 04/15/24............ 395,000
200,000 Kingdom of Morocco, Floating
Rate, 7.75%(++), 01/01/09... 178,880
200,000 Republic of Argentina, 11.75%,
04/07/09.................... 186,000
2,300,000 Republic of Austria, 3.40%,
10/20/04.................... 2,047,336
750,000 Republic of Bulgaria, Series
A, 2.75%, 07/28/12.......... 552,188
2,100,000 Republic of France O.A.T.,
5.50%, 10/25/07............. 2,037,193
200,000 Republic of Panama, 4.25%,
07/17/14.................... 159,452
400,000 Republic of Philippines,
9.875%, 01/15/19............ 327,000
535,710 Republic of Venezuela, 7.875%,
12/18/07.................... 437,273
600,000 Russia Federation, 10.00%,
06/26/07.................... 459,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
FOREIGN GOVERNMENT BONDS AND NOTES
(CONTINUED)
$ 600,000 Russia Federation, 12.75%,
06/24/28.................... $ 517,308
200,000 South Africa Republic, 9.125%,
05/19/09.................... 196,050
4,014,750 United Kingdom Treasury,
6.50%, 12/07/03............. 4,090,066
3,636,000 United Kingdom Treasury,
8.50%, 12/07/05............. 4,118,414
500,000 United Mexican States, Series
A, 6.25%, 12/31/19.......... 417,500
-------------
TOTAL FOREIGN GOVERNMENT BONDS
AND NOTES (Cost
$17,168,823).................. 17,363,861
-------------
US GOVERNMENT SECURITIES -- 10.56%
US TREASURY BOND -- 2.87%
15,020,000 6.25%, 08/15/23............... 15,113,875
-------------
US TREASURY NOTES -- 7.69%
18,000,000 5.50%, 02/28/03(a)............ 17,611,884
21,800,000 7.50%, 02/15/05(a)............ 22,862,750
-------------
TOTAL US TREASURY NOTES....... 40,474,634
-------------
TOTAL US GOVERNMENT SECURITIES
(Cost $55,568,663)............ 55,588,509
-------------
US GOVERNMENT AGENCY SECURITIES -- 16.99%
FANNIE MAE -- 7.55%
8,910,000 TBA, 6.00%, 07/01/30.......... 8,147,081
11,000,000 TBA, 6.50%, 07/01/30.......... 10,364,068
22,000,000 TBA, 7.00%, 07/01/30.......... 21,223,136
-------------
TOTAL FANNIE MAE.............. 39,734,285
-------------
FREDDIE MAC -- 1.83%
10,000,000 6.625%, 09/15/09.............. 9,644,000
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 7.61%
7,591,215 PL# 780743, 8.00%, 12/15/26... 7,676,222
8,800,000 TBA, 6.50%, 07/15/30.......... 8,346,254
12,000,000 TBA, 7.00%, 07/15/30.......... 11,662,500
10,500,000 TBA, 7.50%, 07/15/30.......... 10,421,250
1,900,000 TBA, 8.00%, 07/15/30.......... 1,919,593
-------------
TOTAL GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION.......... 40,025,819
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES (Cost
$89,352,087).................. 89,404,104
-------------
</TABLE>
See notes to financial statements.
35
<PAGE> 37
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
TIME DEPOSITS -- 2.94%
$ 1,496,795 Bank of Montreal, 6.90%,
07/05/00(b)................. $ 1,496,795
6,177,153 BNP Paribas, 6.75%,
07/05/00(b)................. 6,177,153
2,397,811 Fleet National Bank, 7.125%,
10/31/00(b)................. 2,397,811
1,796,153 Royal Bank of Scotland, 6.70%,
07/05/00(b)................. 1,796,153
3,592,306 Royal Bank of Scotland, 6.85%,
07/05/00(b)................. 3,592,306
-------------
TOTAL TIME DEPOSITS (Cost
$15,460,218).................. 15,460,218
-------------
SHORT TERM CORPORATE NOTES -- 4.81%
2,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................. 2,000,000
2,141,555 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................. 2,141,555
1,159,915 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................. 1,159,915
11,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................. 11,000,000
1,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)..... 1,000,000
8,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................. 8,000,000
-------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $25,301,470)...... 25,301,470
-------------
COMMERCIAL PAPER -- 1.89%
10,000,000 Associates Financial Services,
6.60%, 07/17/00 (Cost
$9,970,666)................. 9,970,666
-------------
SHORT TERM US GOVERNMENT
AGENCY SECURITIES -- 4.74%
FANNIE MAE -- 3.80%
20,000,000 6.40%, 07/05/00............... 19,985,778
-------------
FEDERAL HOME LOAN BANK -- 0.94%
5,000,000 6.47%, 07/26/00............... 4,977,535
-------------
TOTAL SHORT TERM US GOVERNMENT
AGENCY SECURITIES (Cost
$24,963,313).................. 24,963,313
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- -------------
<C> <S> <C>
SHORT TERM US GOVERNMENT SECURITY -- 0.02%
US TREASURY BILL
$ 100,000 6.135%, 11/09/00 (Cost
$97,767).................... $ 97,767
-------------
TOTAL SECURITIES (Cost
$612,417,917)................. 635,501,328
-------------
REPURCHASE AGREEMENT -- 1.44%
7,576,928 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$7,580,736 (Collateralized
by Freddie Mac, 7.00%, due
06/15/11, with a value of
$7,955,775) (Cost
$7,576,928)................. 7,576,928
-------------
Total Investments -- 122.21%
(Cost $619,994,845)........... 643,078,256
Liabilities less other
assets -- (22.21)%............ (116,859,908)
-------------
NET ASSETS -- 100.00%......... $ 526,218,348
=============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $619,994,845.
Gross unrealized appreciation........ $ 41,816,813
Gross unrealized depreciation........ (18,733,402)
--------------
Net unrealized appreciation.......... $ 23,083,411
==============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipt.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
36
<PAGE> 38
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 97.18%
AEROSPACE -- 3.02%
159,600 Boeing Company............... $ 6,673,275
199,900 Northrop Grumman Corp. ...... 13,243,375
90,000 Textron, Inc. ............... 4,888,125
150,000 United Technologies Corp. ... 8,831,250
--------------
TOTAL AEROSPACE.............. 33,636,025
--------------
APPAREL -- 0.48%
226,000 V.F. Corp. .................. 5,381,625
--------------
AUTOMOBILES -- 1.77%
384,200 Ford Motor Company........... 16,520,600
54,963 General Motors Corp. ........ 3,191,289
--------------
TOTAL AUTOMOBILES............ 19,711,889
--------------
AUTOMOTIVE EQUIPMENT -- 0.53%
261,600 Genuine Parts Company........ 5,232,000
50,305 Visteon Corp.(c)............. 609,943
--------------
TOTAL AUTOMOTIVE EQUIPMENT... 5,841,943
--------------
BANKS -- 8.22%
421,800 Bank of America Corp. ....... 18,137,400
140,000 Bank of New York Companies,
Inc. ...................... 6,510,000
333,500 Bank One Corp. .............. 8,858,594
167,850 Chase Manhattan Corp. ....... 7,731,591
100,000 Fleet Boston Financial
Corp. ..................... 3,400,000
66,800 J.P. Morgan & Company........ 7,356,350
387,100 KeyCorp...................... 6,822,638
70,000 Mellon Financial Corp. ...... 2,550,625
408,400 National City Corp.(a)....... 6,968,325
309,800 Regions Financial Corp. ..... 6,157,275
253,600 Summit Bancorp............... 6,244,900
275,400 Wells Fargo & Company........ 10,671,750
--------------
TOTAL BANKS.................. 91,409,448
--------------
CHEMICALS -- 2.98%
13,600 Air Products & Chemicals,
Inc. ...................... 419,050
118,800 Cabot Corp. ................. 3,237,300
302,400 Dow Chemical Company......... 9,128,700
95,000 du Pont (E.I.) de Nemours.... 4,156,250
143,900 Eastman Chemical Company..... 6,871,225
61,300 FMC Corp.(c)................. 3,555,400
106,400 Lubrizol Corp. .............. 2,234,400
70,500 Union Carbide Corp. ......... 3,489,750
--------------
TOTAL CHEMICALS.............. 33,092,075
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT -- 1.64%
12,000 Compaq Computer Corp. ....... $ 306,750
26,600 Hewlett-Packard Company...... 3,321,675
115,000 Pitney Bowes, Inc. .......... 4,600,000
102,400 Tech Data Corp.(c)........... 4,460,800
270,000 Xerox Corp. ................. 5,602,500
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 18,291,725
--------------
CONSTRUCTION -- 0.25%
116,600 Centex Corp. ................ 2,740,100
--------------
CONSUMER GOODS AND SERVICES -- 6.08%
220,000 Avon Products, Inc. ......... 9,790,000
80,000 Colgate-Palmolive Company.... 4,790,000
231,800 Dana Corp. .................. 4,911,263
221,775 Fort James Corp. ............ 5,128,547
420,000 General Electric Company..... 22,260,000
95,000 Kimberly-Clark Corp. ........ 5,450,625
279,200 Leggett & Platt, Inc. ....... 4,606,800
115,200 Newell Rubbermaid, Inc.(a)... 2,966,400
45,000 Procter & Gamble Company..... 2,576,250
111,000 Whirlpool Corp. ............. 5,175,375
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 67,655,260
--------------
ELECTRONICS -- 2.23%
176,800 Arrow Electronics, Inc.(c)... 5,480,800
86,200 Avnet, Inc. ................. 5,107,350
80,000 Eaton Corp. ................. 5,360,000
110,000 Emerson Electric Company..... 6,641,250
113,800 Thomas & Betts Corp. ........ 2,176,425
--------------
TOTAL ELECTRONICS............ 24,765,825
--------------
FINANCIAL SERVICES -- 5.37%
485,100 Citigroup, Inc. ............. 29,227,275
204,100 Fannie Mae................... 10,651,469
134,500 MBIA, Inc. .................. 6,481,219
57,400 Morgan Stanley Dean Witter &
Company.................... 4,778,550
296,300 Washington Mutual, Inc.(a)... 8,555,662
--------------
TOTAL FINANCIAL SERVICES..... 59,694,175
--------------
FOOD & BEVERAGES -- 2.19%
40,000 Coca-Cola Company............ 2,297,500
372,400 ConAgra, Inc. ............... 7,098,875
208,400 IBP, Inc. ................... 3,217,175
</TABLE>
See notes to financial statements.
37
<PAGE> 39
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
FOOD & BEVERAGES (CONTINUED)
65,000 Pepsico, Inc. ............... $ 2,888,438
274,200 SUPERVALU, Inc. ............. 5,226,938
418,800 Tyson Foods, Inc. -- Class
A.......................... 3,664,500
--------------
TOTAL FOOD & BEVERAGES....... 24,393,426
--------------
INSURANCE -- 4.38%
64,600 Aetna, Inc. ................. 4,146,512
141,500 American General Corp. ...... 8,631,500
79,600 American International Group,
Inc. ...................... 9,353,000
174,100 Chubb Corp. ................. 10,707,150
65,000 CIGNA Corp. ................. 6,077,500
60,000 Lincoln National Corp. ...... 2,167,500
224,600 St. Paul Companies, Inc. .... 7,664,475
--------------
TOTAL INSURANCE.............. 48,747,637
--------------
MACHINERY -- 0.94%
135,000 Caterpillar, Inc. ........... 4,573,125
160,000 Deere & Company.............. 5,920,000
--------------
TOTAL MACHINERY.............. 10,493,125
--------------
MANUFACTURING -- 2.28%
139,000 American Standard Company,
Inc.(c).................... 5,699,000
130,000 Honeywell International,
Inc. ...................... 4,379,375
112,800 Minnesota Mining &
Manufacturing Company...... 9,306,000
172,200 Owens-Illinois, Inc.(c)...... 2,012,587
192,600 Sonoco Products Company...... 3,960,337
--------------
TOTAL MANUFACTURING.......... 25,357,299
--------------
MEDICAL PRODUCTS -- 1.83%
115,000 Baxter International,
Inc. ...................... 8,085,937
120,000 Johnson & Johnson, Inc. ..... 12,225,000
--------------
TOTAL MEDICAL PRODUCTS....... 20,310,937
--------------
METALS AND MINING -- 0.57%
220,000 Alcoa, Inc. ................. 6,380,000
--------------
OIL AND GAS -- 19.72%
104,100 Amerada Hess Corp. .......... 6,428,175
200,000 Baker Hughes, Inc. .......... 6,400,000
200,000 BP Amoco PLC (ADR)........... 11,312,500
140,000 Burlington Resources,
Inc. ...................... 5,355,000
229,100 Chevron Corp. ............... 19,430,544
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
337,700 Conoco, Inc. -- Class B...... $ 7,429,400
165,000 Diamond Offshore Drilling,
Inc.(a).................... 5,795,625
195,000 El Paso Energy Corp. ........ 9,932,812
140,000 Enron Corp. ................. 9,030,000
668,400 Exxon-Mobil Corp. ........... 52,469,400
140,000 Halliburton Company.......... 6,606,250
100,000 Kerr-McGee Corp. ............ 5,893,750
321,100 Occidental Petroleum
Corp. ..................... 6,763,169
255,200 Phillips Petroleum Company... 12,935,450
115,000 Royal Dutch Petroleum
Company.................... 7,079,687
80,000 Schlumberger, Ltd.(a)........ 5,970,000
292,800 Texaco, Inc. ................ 15,591,600
200,000 Tidewater, Inc. ............. 7,200,000
226,000 Unocal Corp. ................ 7,486,250
245,000 Williams Companies, Inc. .... 10,213,438
--------------
TOTAL OIL AND GAS............ 219,323,050
--------------
PAPER AND FOREST PRODUCTS -- 3.06%
105,000 Bowater, Inc. ............... 4,633,125
145,000 Georgia-Pacific Group........ 3,806,250
368,800 International Paper
Company.................... 10,994,850
139,350 Temple Inland, Inc. ......... 5,852,700
197,500 Westvaco Corp. .............. 4,900,469
90,000 Weyerhauser Company.......... 3,870,000
--------------
TOTAL PAPER AND FOREST
PRODUCTS..................... 34,057,394
--------------
PHARMACEUTICALS -- 7.44%
175,000 Abbott Laboratories.......... 7,798,437
170,000 American Home Products
Corp. ..................... 9,987,500
150,000 Bristol-Myers Squibb
Company.................... 8,737,500
115,000 Lilly (Eli) & Company........ 11,485,625
145,000 Merck & Company, Inc. ....... 11,110,625
220,000 Pfizer, Inc. ................ 10,560,000
165,000 Pharmacia Corp. ............. 8,528,437
140,000 Schering-Plough Corp. ....... 7,070,000
115,000 SmithKline Beecham PLC
(ADR)...................... 7,496,562
--------------
TOTAL PHARMACEUTICALS........ 82,774,686
--------------
PUBLISHING -- 0.44%
90,000 McGraw-Hill Companies,
Inc. ...................... 4,860,000
--------------
</TABLE>
See notes to financial statements.
38
<PAGE> 40
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.49%
115,000 Boston Properties, Inc. ..... $ 4,441,875
190,000 Crescent Real Estate Equity
Company.................... 3,895,000
150,000 Equity Office Properties..... 4,134,375
90,000 Equity Residential
Properties................. 4,140,000
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 16,611,250
--------------
RECREATION AND LEISURE -- 0.25%
71,100 The Walt Disney Company...... 2,759,569
--------------
RETAIL -- 1.11%
184,900 Federated Department Stores,
Inc.(c).................... 6,240,375
244,600 May Department Stores
Company.................... 5,870,400
5,700 Sears, Roebuck & Company..... 185,963
--------------
TOTAL RETAIL................. 12,296,738
--------------
RUBBER PRODUCTS -- 0.56%
148,900 Cooper Tire & Rubber
Company.................... 1,656,512
227,000 Goodyear Tire & Rubber
Company.................... 4,540,000
--------------
TOTAL RUBBER PRODUCTS........ 6,196,512
--------------
TELECOMMUNICATIONS -- 8.36%
407,500 AT & T Corp. ................ 12,887,188
259,950 Bell Atlantic Corp. ......... 13,208,709
300,500 BellSouth Corp. ............. 12,808,813
292,300 GTE Corp. ................... 18,195,675
77,400 Motorola, Inc. .............. 2,249,437
396,000 SBC Communications, Inc. .... 17,127,000
130,000 Sprint Corp. (FON Group)..... 6,630,000
115,000 US West, Inc.(a)............. 9,861,250
--------------
TOTAL TELECOMMUNICATIONS..... 92,968,072
--------------
TOBACCO -- 1.00%
417,100 Philip Morris Companies,
Inc. ...................... 11,079,219
--------------
TOOLS -- 0.53%
181,700 Cooper Industries, Inc. ..... 5,916,606
--------------
TRANSPORTATION -- 1.40%
123,000 Burlington Northern Santa Fe
Corp. ..................... 2,821,312
19,500 CSX Corp. ................... 413,156
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TRANSPORTATION (CONTINUED)
384,500 Norfolk Southern Corp. ...... $ 5,719,438
176,800 Union Pacific Corp. ......... 6,574,750
--------------
TOTAL TRANSPORTATION......... 15,528,656
--------------
UTILITIES: ELECTRIC -- 7.06%
216,900 Allegheny Energy, Inc. ...... 5,937,637
195,500 Ameren Corp.(a).............. 6,598,125
216,300 American Electric Power
Company, Inc.(a)........... 6,407,888
251,100 Cinergy Corp. ............... 6,387,356
208,500 Consolidated Edison, Inc. ... 6,176,813
140,000 Duke Energy Corp. ........... 7,892,500
268,000 FirstEnergy Corp. ........... 6,264,500
180,000 KeySpan Corp. ............... 5,535,000
108,200 New Century Energies,
Inc. ...................... 3,246,000
64,725 Northern States Power
Company.................... 1,306,636
291,000 PG&E Corp. .................. 7,165,875
167,400 Puget Sound Energy,
Inc.(a).................... 3,567,713
316,300 Southern Company............. 7,373,744
235,700 Wisconsin Energy Corp. ...... 4,669,806
--------------
TOTAL UTILITIES.............. 78,529,593
--------------
TOTAL COMMON STOCK (Cost
$1,050,435,028).............. 1,080,803,859
--------------
REGULATED INVESTMENT COMPANIES -- 0.27%
2,133,930 Janus Money Market Fund(b)... 2,133,930
832,233 Merrimac Cash Fund -- Premium
Class(b)................... 832,233
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$2,966,163).................. 2,966,163
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
COMMERCIAL PAPER -- 1.83%
$ 7,709,000 Bell Atlantic Corp., 6.52%,
07/24/00................... 7,676,888
2,993,000 Conagra, Inc., 6.95%,
07/07/00................... 2,989,533
8,000,000 Delphi Auto Systems Corp.,
6.78%, 07/07/00............ 7,990,960
1,700,000 General Electric Capital
Company, 6.50%, 07/03/00... 1,699,386
--------------
TOTAL COMMERCIAL PAPER (Cost
$20,356,767)................. 20,356,767
--------------
</TABLE>
See notes to financial statements.
39
<PAGE> 41
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
TIME DEPOSITS -- 0.96%
$ 1,977,360 Bank of Montreal, 6.59%,
07/05/00(b)................ $ 1,977,360
624,809 Bank of Montreal, 6.90%,
07/05/00(b)................ 624,809
1,453,008 BNP Paribas, 6.75%,
07/05/00(b)................ 1,453,008
4,379,883 Fleet National Bank, 7.125%,
10/31/00(b)................ 4,379,883
749,771 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 749,771
1,499,541 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 1,499,541
--------------
TOTAL TIME DEPOSITS (Cost
$10,684,372)................. 10,684,372
--------------
SHORT TERM CORPORATE NOTES -- 0.12%
573,427 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 573,427
820,899 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 820,899
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $1,394,326)...... 1,394,326
--------------
TOTAL SECURITIES (Cost
$1,085,836,656).............. 1,116,205,487
--------------
REPURCHASE AGREEMENTS -- 1.60%
7,761,296 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$7,765,196 (Collateralized
by Freddie Mac, 5.66%, due
12/15/08, with a value of
$8,149,361)................ 7,761,296
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$10,000,000 With Morgan Stanley Dean
Witter & Company, dated
06/30/00, 7.23%, due
07/03/00, repurchase
proceeds at maturity
$10,006,025 (Collateralized
by Star Bank N.A., 6.375%,
due 03/01/04, with a value
of $1,204,188, Bank of
America Corp., 10.20%, due
07/15/15, with a value of
$10,255,192)(b)............ $ 10,000,000
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $17,761,296)........... 17,761,296
--------------
Total Investments -- 101.96%
(Cost $1,103,597,952)........ 1,133,966,783
Liabilities less other
assets -- (1.96)%............ (21,837,060)
--------------
NET ASSETS -- 100.00%........ $1,112,129,723
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $1,103,597,952.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation........ $ 115,932,313
Gross unrealized depreciation........ (85,563,482)
--------------
Net unrealized appreciation.......... $ 30,368,831
==============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipts
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
40
<PAGE> 42
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 97.70%
AEROSPACE -- 1.15%
47,400 Boeing Company................. $ 1,981,912
------------
APPAREL -- 0.93%
67,100 V.F. Corp. .................... 1,597,819
------------
AUTOMOBILES -- 2.04%
81,700 Ford Motor Company............. 3,513,100
------------
AUTOMOTIVE PRODUCTS -- 1.99%
82,600 Dana Corp. .................... 1,750,087
77,700 Genuine Parts Company.......... 1,554,000
10,697 Visteon Corp. ................. 129,704
------------
TOTAL AUTOMOTIVE PRODUCTS...... 3,433,791
------------
BANKS -- 11.55%
102,000 Bank of America Corp. ......... 4,386,000
107,500 Bank One Corp. ................ 2,855,469
9,750 Chase Manhattan Corp. ......... 449,109
115,000 KeyCorp........................ 2,026,875
134,400 National City Corp.(c)......... 2,293,200
92,100 Regions Financial Corp. ....... 1,830,487
75,400 Summit Bancorp................. 1,856,725
95,800 Washington Mutual, Inc. ....... 2,766,225
37,300 Wells Fargo & Company.......... 1,445,375
------------
TOTAL BANKS.................... 19,909,465
------------
CHEMICALS -- 4.30%
41,100 Cabot Corp. ................... 1,119,975
49,800 Dow Chemical Company........... 1,503,337
42,700 Eastman Chemical Company....... 2,038,925
18,200 FMC Corp.(c)................... 1,055,600
31,600 Lubrizol Corp. ................ 663,600
20,900 Union Carbide Corp. ........... 1,034,550
------------
TOTAL CHEMICALS................ 7,415,987
------------
COMPUTERS AND OFFICE EQUIPMENT -- 0.77%
30,400 Tech Data Corp.(c)............. 1,324,300
------------
CONSUMER GOODS AND SERVICES -- 2.20%
83,000 Leggett & Platt, Inc. ......... 1,369,500
34,200 Newell Rubbermaid, Inc.(a)..... 880,650
32,900 Whirlpool Corp. ............... 1,533,962
------------
TOTAL CONSUMER GOODS AND
SERVICES....................... 3,784,112
------------
CONSTRUCTION -- 0.47%
34,700 Centex Corp. .................. 815,450
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 2.32%
59,400 Arrow Electronics, Inc.(c)..... $ 1,841,400
25,600 Avnet, Inc. ................... 1,516,800
33,800 Thomas & Betts Corp. .......... 646,425
------------
TOTAL ELECTRONICS.............. 4,004,625
------------
FINANCIAL SERVICES -- 8.42%
96,600 Citigroup, Inc. ............... 5,820,150
60,600 Fannie Mae..................... 3,162,563
19,900 JP Morgan & Company, Inc. ..... 2,191,488
40,000 MBIA, Inc. .................... 1,927,500
17,000 Morgan Stanley Dean Witter &
Company...................... 1,415,250
------------
TOTAL FINANCIAL SERVICES....... 14,516,951
------------
FOOD AND BEVERAGE -- 2.41%
110,700 ConAgra, Inc. ................. 2,110,219
61,900 IBP, Inc. ..................... 955,581
124,400 Tyson Foods, Inc. -- Class A... 1,088,500
------------
TOTAL FOOD AND BEVERAGE........ 4,154,300
------------
INSURANCE -- 7.07%
24,200 Aetna, Inc. ................... 1,553,338
42,000 American General Corp. ........ 2,562,000
23,700 American International Group,
Inc. ........................ 2,784,750
35,400 Chubb Corp. ................... 2,177,100
64,200 St. Paul Companies, Inc. ...... 2,190,825
37,100 Torchmark Corp. ............... 915,906
------------
TOTAL INSURANCE................ 12,183,919
------------
MANUFACTURING -- 2.30%
31,800 American Standard Company,
Inc.(c)...................... 1,303,800
9,800 Minnesota Mining &
Manufacturing Company........ 808,500
56,100 Owens-Illinois, Inc.(c)........ 655,669
58,350 Sonoco Products Company........ 1,199,822
------------
TOTAL MANUFACTURING............ 3,967,791
------------
OIL AND GAS -- 17.01%
34,000 Amerada Hess Corp. ............ 2,099,500
45,800 Chevron Corp. ................. 3,884,412
99,600 Conoco, Inc. -- Class B........ 2,191,200
146,600 Exxon -- Mobil Corp. .......... 11,508,100
94,900 Occidental Petroleum Corp...... 1,998,831
45,500 Phillips Petroleum Company..... 2,306,281
</TABLE>
See notes to financial statements.
41
<PAGE> 43
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS (CONTINUED)
58,100 Texaco, Inc. .................. $ 3,093,825
67,100 Unocal Corp. .................. 2,222,687
------------
TOTAL OIL AND GAS.............. 29,304,836
------------
PAPER AND FOREST PRODUCTS -- 2.98%
82,500 Fort James Corp. .............. 1,907,813
59,100 International Paper Company.... 1,761,919
58,700 Westvaco Corp. ................ 1,456,494
------------
TOTAL PAPER AND FOREST
PRODUCTS....................... 5,126,226
------------
RECREATION AND LEISURE -- 0.48%
21,100 The Walt Disney Company........ 818,944
------------
RETAIL -- 2.67%
55,000 Federated Department Stores,
Inc.(c)...................... 1,856,250
74,800 May Department Stores
Company...................... 1,795,200
29,200 Sears, Roebuck & Company....... 952,650
------------
TOTAL RETAIL................... 4,604,100
------------
RETAIL: SUPERMARKET -- 0.90%
81,500 Supervalu, Inc. ............... 1,553,594
------------
RUBBER PRODUCTS -- 1.07%
44,200 Cooper Tire & Rubber Company... 491,725
67,400 Goodyear Tire & Rubber
Company...................... 1,348,000
------------
TOTAL RUBBER PRODUCTS.......... 1,839,725
------------
TELECOMMUNICATIONS -- 6.62%
83,000 AT & T Corp. .................. 2,624,875
26,700 Bell Atlantic Corp. ........... 1,356,694
28,000 BellSouth Corp. ............... 1,193,500
46,800 GTE Corp. ..................... 2,913,300
23,100 Motorola, Inc. ................ 671,344
61,400 SBC Communications, Inc. ...... 2,655,550
------------
TOTAL TELECOMMUNICATIONS....... 11,415,263
------------
TOBACCO -- 1.91%
123,900 Philip Morris Companies,
Inc. ........................ 3,291,094
------------
TOOLS -- 1.02%
54,000 Cooper Industries, Inc. ....... 1,758,375
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TRANSPORTATION -- 3.32%
36,500 Burlington Northern Santa Fe
Corp. ....................... $ 837,219
57,600 CSX Corp. ..................... 1,220,400
114,300 Norfolk Southern Corp. ........ 1,700,212
52,600 Union Pacific Corp. ........... 1,956,063
------------
TOTAL TRANSPORTATION........... 5,713,894
------------
UTILITIES: ELECTRIC -- 11.80%
64,500 Allegheny Energy, Inc. ........ 1,765,688
58,100 Ameren Corp.(a)................ 1,960,875
64,280 American Electric Power
Company, Inc. ............... 1,904,295
74,600 Cinergy Corp. ................. 1,897,637
69,100 Consolidated Edison, Inc. ..... 2,047,087
89,800 FirstEnergy Corp. ............. 2,099,075
32,100 New Century Energies, Inc. .... 963,000
46,100 Northern States Power
Company...................... 930,644
86,500 PG&E Corp. .................... 2,130,063
49,700 Puget Sound Energy, Inc.(a).... 1,059,231
94,000 Southern Company, Inc. ........ 2,191,375
70,100 Wisconsin Energy Corp. ........ 1,388,856
------------
TOTAL UTILITIES: ELECTRIC...... 20,337,826
------------
TOTAL COMMON STOCK
(Cost $187,332,572)............ 168,367,399
------------
REGULATED INVESTMENT COMPANIES -- 0.22%
274,285 Janus Money Market Fund(b)..... 274,285
106,971 Merrimac Cash Fund -- Premium
Class(b)..................... 106,971
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost $381,256)...... 381,256
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 2.88%
$ 228,260 Bank of Montreal, 6.59%,
07/05/00(b).................. 228,260
285,327 Bank of Montreal, 6.90%,
07/05/00(b).................. 285,327
684,782 BNP Paribas, 6.75%,
07/05/00(b).................. 684,782
2,737,418 Fleet National Bank, 7.125%,
10/31/00(b).................. 2,737,418
342,391 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 342,391
684,781 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. 684,781
------------
TOTAL TIME DEPOSITS (Cost
$4,962,959).................... 4,962,959
------------
</TABLE>
See notes to financial statements.
42
<PAGE> 44
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 0.83%
$ 164,571 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. $ 164,571
150,000 Bear Stearns and Company, Inc.,
Floating Rate, 7.375%(++),
07/26/00..................... 150,000
109,714 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 109,714
1,000,000 Morgan Stanley Dean Witter &
Company, Inc., Floating Rate,
7.225%(++), 10/06/00(b)...... 1,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $1,424,285)........ 1,424,285
------------
TOTAL SECURITIES (Cost
$194,101,072).................. 175,135,899
------------
REPURCHASE AGREEMENT -- 2.06%
$ 3,554,864 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $3,556,650
(Collateralized by Government
National Mortgage Association
Adjustable Rate Mortgage,
7.125%, due 12/20/23, with a
value of $3,732,687) (Cost
$3,554,864).................. $ 3,554,864
------------
Total Investments -- 103.69%
(Cost $197,655,936)............ 178,690,763
Liabilities less other
assets -- (3.69)%.............. (6,367,275)
------------
NET ASSETS -- 100.00%.......... $172,323,488
============
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $197,655,936.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation............ $ 2,576,968
Gross unrealized depreciation............ (21,542,141)
------------
Net unrealized depreciation.............. $(18,965,173)
============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
43
<PAGE> 45
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 98.72%
ADVERTISING -- 1.42%
293,600 Interpublic Group of
Companies, Inc. ........... $ 12,624,800
68,100 Omnicom Group, Inc.(a)....... 6,065,156
--------------
TOTAL ADVERTISING............ 18,689,956
--------------
BANKS -- 2.27%
87,600 Bank of America Corp. ....... 3,766,800
7,000 Bank of New York Company,
Inc. ...................... 325,500
165,500 Fifth Third Bancorp.......... 10,467,875
413,800 Firstar Corp. ............... 8,715,662
53,500 Northern Trust Corp. ........ 3,480,844
3,300 State Street Corp. .......... 350,006
58,900 Zions Bancorp................ 2,702,956
--------------
TOTAL BANKS.................. 29,809,643
--------------
BROADCAST SERVICES -- 3.32%
1,063,800 AT&T Corp. -- Liberty Media
Group -- Class A(c)........ 25,797,150
237,700 Clear Channel Communications,
Inc.(a)(c)................. 17,827,500
--------------
TOTAL BROADCAST SERVICES..... 43,624,650
--------------
CHEMICALS -- 0.47%
166,400 Praxair, Inc. ............... 6,229,600
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.15%
228,000 Apple Computer, Inc.(a)(c)... 11,941,500
95,500 Avery Dennison Corp. ........ 6,410,437
281,400 EMC Corp.(c)................. 21,650,213
116,900 Hewlett-Packard Company(a)... 14,597,888
--------------
TOTAL COMPUTER AND OFFICE
EQUIPMENT.................... 54,600,038
--------------
COMPUTER SOFTWARE AND SERVICES -- 15.12%
196,800 America Online, Inc.(c)...... 10,381,200
96,700 BEA Systems, Inc.(c)......... 4,780,606
53,800 Brocade Communications
Systems, Inc.(c)........... 9,871,461
743,800 Cisco Systems, Inc.(c)....... 47,277,787
89,800 Comverse Technology,
Inc.(a)(c)................. 8,351,400
65,500 I2 Technologies,
Inc.(a)(c)................. 6,829,397
446,200 Microsoft Corp.(c)........... 35,696,000
202,000 Oracle Corp.(c).............. 16,980,625
49,600 Siebel Systems, Inc.(c)...... 8,112,700
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTER SOFTWARE AND SERVICES (CONTINUED)
224,900 Sun Microsystems, Inc.(c).... $ 20,451,844
126,100 Teradyne, Inc.(c)............ 9,268,350
138,850 Veritas Software
Corp.(a)(c)................ 15,692,216
41,000 Yahoo!, Inc.(a)(c)........... 5,078,875
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 198,772,461
--------------
CONSUMER GOODS AND SERVICES -- 6.16%
78,300 Avon Products, Inc. ......... 3,484,350
182,900 Colgate-Palmolive Company.... 10,951,137
1,023,500 General Electric Company..... 54,245,500
213,600 Kimberly-Clark Corp. ........ 12,255,300
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 80,936,287
--------------
ELECTRONICS -- 1.35%
179,000 Linear Technology Corp. ..... 11,444,813
162,000 SCI Systems, Inc.(c)......... 6,348,375
--------------
TOTAL ELECTRONICS............ 17,793,188
--------------
FINANCIAL SERVICES -- 5.94%
386,900 American Express Company..... 20,167,162
504,700 Citigroup, Inc. ............. 30,408,175
61,300 Merrill Lynch & Company,
Inc. ...................... 7,049,500
103,400 Morgan Stanley Dean Witter &
Company.................... 8,608,050
351,750 Schwab (Charles) Corp. ...... 11,827,594
--------------
TOTAL FINANCIAL SERVICES..... 78,060,481
--------------
FOOD AND BEVERAGE -- 0.88%
71,200 Anheuser-Busch Companies,
Inc. ...................... 5,317,750
147,000 Sysco Corp. ................. 6,192,375
--------------
TOTAL FOOD AND BEVERAGE...... 11,510,125
--------------
INSURANCE -- 2.27%
215,800 American International Group,
Inc. ...................... 25,356,500
48,000 CIGNA Corp. ................. 4,488,000
--------------
TOTAL INSURANCE.............. 29,844,500
--------------
MANUFACTURING -- 5.46%
55,400 Corning, Inc. ............... 14,951,075
99,000 PE Corp. -- PE Biosystems
Group...................... 6,521,625
</TABLE>
See notes to financial statements.
44
<PAGE> 46
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MANUFACTURING (CONTINUED)
82,000 Sealed Air Corp.(c).......... $ 4,294,750
970,900 Tyco International Ltd. ..... 45,996,388
--------------
TOTAL MANUFACTURING.......... 71,763,838
--------------
MEDIA -- 4.67%
235,100 Time Warner, Inc. ........... 17,867,600
637,429 Viacom, Inc. -- Class B(c)... 43,464,690
--------------
TOTAL MEDIA.................. 61,332,290
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 0.53%
98,600 Baxter International,
Inc. ...................... 6,932,812
--------------
OIL AND GAS -- 5.73%
143,200 Anadarko Petroleum
Corp.(a)................... 7,061,550
125,700 Apache Corp. ................ 7,392,731
435,000 Conoco, Inc. -- Class B...... 9,570,000
322,100 Enron Corp. ................. 20,775,450
235,200 Exxon-Mobil Corp. ........... 18,463,200
196,600 Royal Dutch Petroleum
Company.................... 12,103,187
--------------
TOTAL OIL AND GAS............ 75,366,118
--------------
PHARMACEUTICALS -- 8.14%
160,100 Allergan, Inc. .............. 11,927,450
203,200 American Home Products
Corp. ..................... 11,938,000
88,000 Lilly (Eli) & Company........ 8,789,000
821,975 Pfizer, Inc. ................ 39,454,800
181,800 Pharmacia Corp. ............. 9,396,787
505,300 Schering-Plough Corp. ....... 25,517,650
--------------
TOTAL PHARMACEUTICALS........ 107,023,687
--------------
RESEARCH AND DEVELOPMENT -- 2.20%
243,700 Amgen, Inc.(a)(c)............ 17,119,925
68,500 Genentech, Inc.(c)........... 11,782,000
--------------
TOTAL RESEARCH AND
DEVELOPMENT.................. 28,901,925
--------------
RETAIL -- 7.91%
179,000 CVS Corp..................... 7,160,000
223,800 Estee Lauder Companies,
Inc. -- Class A(a)......... 11,064,113
508,400 Home Depot, Inc. ............ 25,388,225
99,200 Kohl's Corp.(c).............. 5,518,000
239,600 RadioShack Corp. ............ 11,351,050
185,500 Target Corp. ................ 10,759,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
464,800 TJX Companies, Inc. ......... $ 8,715,000
416,400 Wal-Mart Stores, Inc. ....... 23,995,050
--------------
TOTAL RETAIL................. 103,950,438
--------------
SEMICONDUCTORS -- 9.79%
204,200 Applied Materials, Inc.(c)... 18,505,625
28,100 Broadcom Corp.(c)............ 6,152,144
344,300 Intel Corp. ................. 46,028,606
159,800 JDS Uniphase Corp.(a)(c)..... 19,156,025
122,600 LSI Logic Corp.(a)(c)........ 6,635,725
289,600 Texas Instruments, Inc. ..... 19,891,900
149,800 Xilinx, Inc.(c).............. 12,367,863
--------------
TOTAL SEMICONDUCTORS......... 128,737,888
--------------
TELECOMMUNICATIONS -- 10.55%
158,600 ALLTEL Corp. ................ 9,823,288
96,000 EchoStar Communications
Corp.(a)................... 3,178,502
72,100 General Motors Corp. -- Class
H(c)....................... 6,326,775
260,900 Nextel Communications,
Inc.(c).................... 15,963,819
327,000 Nokia Corp. (ADR)............ 16,329,563
429,900 Nortel Networks Corp.(a)..... 29,340,675
296,400 Sprint Corp. (FON Group)..... 15,116,400
212,700 Sprint Corp. (PCS
Group)(a)(c)............... 12,655,650
137,200 Tellabs, Inc.(c)............. 9,389,625
277,900 Vodafone Airtouch PLC
(ADR)(a)................... 11,515,481
77,018 VoiceStream Wireless
Corp.(a)(c)................ 8,956,955
--------------
TOTAL TELECOMMUNICATIONS..... 138,596,733
--------------
TRANSPORTATION -- 0.39%
86,700 United Parcel Service,
Inc. -- Class B............ 5,115,300
--------------
TOTAL COMMON STOCK
(Cost $992,520,853).......... 1,297,591,958
--------------
REGULATED INVESTMENT COMPANIES -- 1.14%
10,731,749 Janus Money Market Fund(b)... 10,731,749
4,185,382 Merrimac Cash Fund -- Premium
Class(b)................... 4,185,382
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$14,917,131)................. 14,917,131
--------------
</TABLE>
See notes to financial statements.
45
<PAGE> 47
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
TIME DEPOSITS -- 6.17%
$ 3,315,030 Bank of Montreal, 6.59%,
07/05/00(b)................ $ 3,315,030
5,561,012 Bank of Montreal, 6.90%,
07/05/00(b)................ 5,561,012
13,347,403 BNP Paribas, 6.75%,
07/05/00(b)................ 13,347,403
36,306,263 BNP Paribas, 6.75%,
07/05/00(b)................ 36,306,263
2,481,454 Fleet National Bank, 7.125%,
10/31/00(b)................ 2,481,454
6,673,218 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 6,673,218
13,346,428 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 13,346,428
--------------
TOTAL TIME DEPOSITS (Cost
$81,030,808)................. 81,030,808
--------------
SHORT TERM CORPORATE NOTES -- 5.39%
14,500,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................ 14,500,000
6,977,614 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 6,977,614
2,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++), 07/26/00(b).... 2,000,000
4,395,841 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 4,395,841
5,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................ 5,000,000
15,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b).... 15,000,000
3,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
6.91%(++), 11/22/00(b)..... 3,000,000
20,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................ 20,000,000
--------------
TOTAL SHORT TERM CORPORATE NOTES
(Cost $70,873,455)........... 70,873,455
--------------
TOTAL SECURITIES (Cost
$1,159,342,247).............. 1,464,413,352
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.77%
$23,316,736 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$23,328,453,
(Collateralized by Freddie
Mac, Floating Rate,
5.76%(++), due 10/15/08,
with a value of $4,791,525
and Freddie Mac, Floating
Rate 7.35%(++), due
03/15/30, with a value of
$19,691,048) (Cost
$23,316,736)............... $ 23,316,736
--------------
Total Investments -- 113.19%
(Cost $1,182,658,983)........ $1,487,730,088
Liabilities less other
assets -- (13.19)%........... (173,312,707)
--------------
NET ASSETS -- 100.00%........ $1,314,417,381
==============
The aggregate cost of investments for federal income tax
purposes at June 30, 2000 is $1,182,658,983.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $ 344,231,937
Gross unrealized depreciation.......... (39,160,832)
--------------
Net unrealized appreciation............ $ 305,071,105
==============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) American Depository Receipt
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was the rate in effect
at June 30, 2000.
See notes to financial statements.
46
<PAGE> 48
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 97.89%
ADVERTISING -- 1.48%
160,000 Clear Channel Communications,
Inc.(a)(c)................. $ 12,000,000
195,700 Interpublic Group, Inc. ..... 8,415,100
--------------
TOTAL ADVERTISING............ 20,415,100
--------------
BANKS -- 0.92%
325,900 Wells Fargo & Company........ 12,628,625
--------------
COMPUTER SOFTWARE AND SERVICES -- 12.26%
195,000 America Online, Inc.(c)...... 10,286,250
19,000 Check Point Software
Technologies Ltd.(c)....... 4,023,250
900,000 Cisco Systems, Inc.(c)....... 57,206,250
25,000 Computer Sciences Corp.(c)... 1,867,187
128,300 Electronic Arts (a)(c)....... 9,357,881
621,900 Microsoft Corp.(c)........... 49,752,000
220,000 Oracle Corp.(c).............. 18,493,750
48,000 VERITAS Software
Corp.(a)(c)................ 5,424,749
101,000 Yahoo!, Inc.(c).............. 12,511,375
--------------
TOTAL COMPUTER SOFTWARE AND
SERVICES..................... 168,922,692
--------------
COMPUTERS AND OFFICE EQUIPMENT -- 8.43%
611,100 Dell Computer Corp.(c)....... 30,134,869
410,000 EMC Corp.(c)................. 31,544,375
277,800 Hewlett-Packard Company...... 34,690,275
40,000 International Business
Machines Corp. ............ 4,382,500
169,000 Sun Microsystems, Inc.(c).... 15,368,438
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 116,120,457
--------------
CONSUMER GOODS AND SERVICES -- 7.87%
140,000 Avon Products, Inc. ......... 6,230,000
173,000 Colgate-Palmolive Company.... 10,358,375
1,027,200 General Electric Company..... 54,441,600
660,900 Gillette Company............. 23,090,194
275,700 Newell Rubbermaid, Inc.(a)... 7,099,275
125,000 Procter & Gamble Company..... 7,156,250
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 108,375,694
--------------
DEFENSE -- 0.37%
99,000 General Dynamics Corp. ...... 5,172,750
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS -- 2.42%
401,900 Electronic Data Systems
Corp. ..................... $ 16,578,375
399,900 Solectron Corp.(a)(c)........ 16,745,812
--------------
TOTAL ELECTRONICS............ 33,324,187
--------------
FINANCE -- 2.16%
204,000 American Express Company..... 10,633,500
316,600 Citigroup, Inc. ............. 19,075,150
--------------
TOTAL FINANCE................ 29,708,650
--------------
FOOD AND BEVERAGE -- 5.22%
110,000 Anheuser-Busch Companies,
Inc. ...................... 8,215,625
181,100 Bestfoods.................... 12,541,175
666,600 Coca-Cola Company............ 38,287,838
291,000 Pepsico, Inc. ............... 12,931,312
--------------
TOTAL FOOD AND BEVERAGE...... 71,975,950
--------------
INSURANCE -- 1.94%
226,950 American International
Group...................... 26,666,625
--------------
LEISURE AND
RECREATION -- 0.80%
306,200 Marriot International --
Class A.................... 11,042,338
--------------
MANUFACTURING -- 3.12%
49,700 Honeywell International,
Inc. ...................... 1,674,269
178,000 PE Corp -- PE Biosystems
Group...................... 11,725,750
625,000 Tyco International Ltd. ..... 29,609,375
--------------
TOTAL MANUFACTURING.......... 43,009,394
--------------
MEDIA -- 0.59%
106,000 Time Warner, Inc.(a)......... 8,056,000
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 3.95%
508,900 Boston Scientific Corp.(c)... 11,163,994
299,400 Johnson & Johnson............ 30,501,375
255,400 Medtronic, Inc. ............. 12,722,112
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES.............. 54,387,481
--------------
OIL AND GAS -- 1.01%
157,000 Enron Corp. ................. 10,126,500
50,000 Schlumberger Ltd. ........... 3,731,250
--------------
TOTAL OIL AND GAS............ 13,857,750
--------------
</TABLE>
See notes to financial statements.
47
<PAGE> 49
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
PHARMACEUTICALS -- 12.41%
556,400 Bristol-Myers Squibb
Company.................... $ 32,410,300
170,000 Glaxo Wellcome PLC
(ADR)(a)................... 9,828,125
125,000 Lilly (Eli) & Company........ 12,484,375
160,000 Merck & Company, Inc. ....... 12,260,000
44,000 Millennium Pharmaceuticals,
Inc.(a)(c)................. 4,922,500
1,565,200 Pfizer, Inc. ................ 75,129,600
15,800 Pharmacia Corp. ............. 816,663
319,600 Schering-Plough Corp. ....... 16,139,800
58,000 Sepracor, Inc.(a)(c)......... 6,996,250
--------------
TOTAL PHARMACEUTICALS........ 170,987,613
--------------
RESEARCH AND DEVELOPMENT -- 3.39%
465,000 Amgen, Inc.(a)(c)............ 32,666,250
47,000 Genentech, Inc.(c)........... 8,084,000
45,000 Human Genome Sciences,
Inc.(a)(c)................. 6,001,875
--------------
TOTAL RESEARCH AND
DEVELOPMENT................ 46,752,125
--------------
RESTAURANTS -- 1.27%
533,100 McDonald's Corp. ............ 17,558,981
--------------
RETAIL -- 6.58%
396,800 Circuit City Group........... 13,168,800
424,900 Costco Wholesale
Corp.(a)(c)................ 14,021,700
149,550 Gap, Inc. ................... 4,673,438
448,200 Home Depot, Inc. ............ 22,381,987
225,000 Nike, Inc. -- Class B........ 8,957,813
108,000 Safeway, Inc.(c)............. 4,873,500
110,000 Target Corp. ................ 6,380,000
282,000 Wal-Mart Stores, Inc. ....... 16,250,250
--------------
TOTAL RETAIL................. 90,707,488
--------------
SEMICONDUCTORS -- 8.23%
65,000 Applied Materials, Inc.(c)... 5,890,625
414,100 Intel Corp................... 55,359,994
213,000 JDS Uniphase Corp.(a)(c)..... 25,533,375
102,000 STMicroelectronics N.V.(a)... 6,547,125
90,000 Texas Instruments, Inc. ..... 6,181,875
169,000 Xilinx, Inc.(c).............. 13,953,062
--------------
TOTAL SEMICONDUCTORS......... 113,466,056
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS -- 13.47%
265,000 Ericsson (LM) Telephone
Company (ADR).............. $ 5,300,000
64,000 GTE Corp. ................... 3,984,000
560,700 Lucent Technologies(a)....... 33,221,475
351,900 Motorola, Inc.(a)............ 10,227,094
158,000 Nextel Communications,
Inc. -- Class A(c)......... 9,667,625
536,000 Nokia Corp. (ADR)............ 26,766,500
170,000 Nortel Networks Corp.(a)..... 11,602,500
105,000 QUALCOMM, Inc.(a)(c)......... 6,300,000
288,000 Qwest Communications
International,
Inc.(a)(c)................. 14,310,000
140,000 SBC Communications, Inc. .... 6,055,000
229,400 Tellabs, Inc.(c)............. 15,699,562
165,000 Vodafone AirTouch PLC
(ADR)(a)................... 6,837,187
777,650 WorldCom, Inc.(c)............ 35,674,694
--------------
TOTAL TELECOMMUNICATIONS..... 185,645,637
--------------
TOTAL COMMON STOCK
(Cost $1,028,734,028)........ 1,348,781,593
--------------
REGULATED INVESTMENT COMPANIES -- 0.88%
8,719,555 Janus Money Market Fund(b)... 8,719,555
3,400,625 Merrimac Cash Fund -- Premium
Class(b)................... 3,400,625
--------------
TOTAL REGULATED INVESTMENT
COMPANIES(Cost $12,120,180) 12,120,180
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 4.81%
$ 4,270,386 Bank of Montreal, 6.59%,
07/05/00(b)................ 4,270,386
4,549,619 Bank of Montreal, 6.90%,
07/05/00(b)................ 4,549,619
15,981,321 BNP Paribas, 6.75%,
07/05/00(b)................ 15,981,321
19,848,495 BNP Paribas, 6.75%,
07/05/00(b)................ 19,848,495
5,205,942 Fleet National Bank, 7.125%,
10/31/00(b)................ 5,205,942
5,459,544 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 5,459,544
10,919,086 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 10,919,086
--------------
TOTAL TIME DEPOSITS (Cost
$66,234,393)................. 66,234,393
--------------
</TABLE>
See notes to financial statements.
48
<PAGE> 50
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 4.18%
$ 8,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................ $ 8,000,000
6,153,604 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 6,153,604
1,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++), 07/26/00(b).... 1,000,000
3,487,821 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 3,487,821
10,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................ 10,000,000
5,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b).... 5,000,000
7,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
6.91%(++), 11/22/00(b)..... 7,000,000
17,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................ 17,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $57,641,425)..... 57,641,425
--------------
TOTAL SECURITIES (Cost
$1,164,730,026).............. 1,484,777,591
--------------
REPURCHASE AGREEMENTS --2.17%
2,741,622 With Investors Bank & Trust,
dated 06/30/00, 5.67%, due
07/03/00, repurchase
proceeds at maturity
$2,742,918 (Collateralized
by U.S. Treasury Notes,
5.75%, due 11/15/00, with a
value of $2,796,418)....... 2,741,622
9,536,000 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$9,540,792 (Collateralized
by Government National
Mortgage Association
Adjustable Rate Mortgage,
6.75%, due 07/20/24, with a
value of $10,013,038)...... 9,536,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS
(CONTINUED)
$17,566,372 With Investors Bank & Trust,
dated 06/30/00, 5.67%, due
07/03/00, repurchase
proceeds at maturity
$17,574,672 (Collateralized
by U.S. Treasury Notes,
5.75%, due 11/15/00, with a
value of $17,943,795)...... $ 17,566,372
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $29,843,994) 29,843,994
--------------
Total Investments -- 109.93%
(Cost $1,194,574,020)........ 1,514,621,585
Liabilities less other
assets -- (9.93)%............ (136,781,349)
--------------
NET ASSETS -- 100.00%........ $1,377,840,236
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $1,194,574,020.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation.......... $363,618,843
Gross unrealized depreciation.......... (43,571,279)
------------
Net unrealized appreciation............ $320,047,565
============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(ADR) American Depository Receipts.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
49
<PAGE> 51
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK -- 95.26%
ADVERTISING -- 0.24%
42,300 TMP Worldwide, Inc.(c)....... $ 3,122,269
--------------
AEROSPACE -- 0.20%
219,900 AAR Corp. ................... 2,638,800
--------------
AGRICULTURE -- 0.28%
145,400 Delta and Pine Land
Company.................... 3,644,087
--------------
AUTOMOTIVE SERVICES -- 0.10%
171,500 CSK Auto Corp.(c)............ 1,296,969
--------------
BANKS -- 2.93%
128,160 CCB Financial Corp. ......... 4,741,920
246,503 Charter One Financials,
Inc. ...................... 5,669,569
138,160 First Washington Bancorp,
Inc. ...................... 1,925,605
149,800 Golden State Bancorp,
Inc.(c).................... 2,696,400
790,000 Hibernia Corporation -- Class
A.......................... 8,591,250
248,010 Hudson United Bancorp........ 5,564,724
325,000 Peoples Bank................. 5,971,875
145,400 Sterling Financial
Corp.(c)................... 1,672,100
73,304 Summit Bancorp............... 1,805,111
--------------
TOTAL BANKS.................. 38,638,554
--------------
BUSINESS SERVICES -- 2.49%
204,800 ABM Industries, Inc. ........ 4,710,400
349,200 AHL Services, Inc.(a)(c)..... 2,138,850
64,350 Diamond Technology Partners,
Inc.(c).................... 5,662,800
57,500 eBenX, Inc.(c)............... 1,218,281
303,333 Encompass Service Corp.(c)... 1,744,165
58,100 Hall, Kinion & Associates,
Inc.(c).................... 1,935,456
171,900 Manpower, Inc. .............. 5,500,800
235,000 MPW Industrial Services
Group, Inc.(c)............. 1,821,250
80,900 On Assignment, Inc.(c)....... 2,467,450
394,500 Protection One, Inc.(c)...... 862,969
121,200 RCM Technologies, Inc.(c).... 893,850
100,000 Reynolds & Reynolds
Company -- Class A......... 1,825,000
60,000 Volt Information Sciences,
Inc.(c).................... 1,976,250
--------------
TOTAL BUSINESS SERVICES...... 32,757,521
--------------
COMMERCIAL SERVICES -- 1.62%
115,200 Central Parking Corp.(a)..... 2,728,800
255,800 Coinmach Laundry
Corp.(a)(c)................ 3,629,162
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
187,800 F.Y.I., Inc.(c).............. $ 6,326,513
207,600 Marketing Specialists
Corp.(c)................... 363,300
76,100 MemberWorks, Inc.(c)......... 2,558,863
180,261 NOVA Corp.(c)................ 5,036,042
104,200 Student Advantage, Inc.(c)... 761,963
--------------
TOTAL COMMERCIAL SERVICES.... 21,404,643
--------------
COMMUNICATIONS -- 3.22%
140,400 Adelphia Communications
Corp. -- Class A(a)(c)..... 6,581,250
82,000 American Tower Corp. -- Class
A(a)(c).................... 3,418,375
83,700 Citadel Communications
Corp.(c)................... 2,924,269
519,400 Emmis Communications Corp. --
Class A(c)................. 21,490,175
213,100 Insight Communications
Company, Inc.(c)........... 3,329,688
211,797 Saga Communications, Inc. --
Class A(c)................. 4,659,534
--------------
TOTAL COMMUNICATIONS......... 42,403,291
--------------
COMMUNICATIONS EQUIPMENT -- 5.35%
146,400 Adaptive Broadband
Corp.(c)................... 5,380,200
188,100 Advanced Fibre
Communications, Inc.(c).... 8,523,281
26,950 ANADIGICS, Inc.(a)(c)........ 917,984
34,050 Anaren Microwave, Inc.(c).... 4,468,531
195,300 Aware, Inc.(c)............... 9,984,713
192,800 Com21, Inc.(c)............... 4,820,000
267,600 Comdial Corp.(c)............. 1,187,475
74,400 Copper Mountain Networks,
Inc.(a)(c)................. 6,556,500
141,100 Digital Microwave Corp.(c)... 5,379,438
184,700 Inter-Tel, Inc. ............. 2,966,744
74,500 Powerwave Technologies,
Inc.(c).................... 3,278,000
94,800 REMEC, Inc.(c)............... 3,969,750
86,900 Terayon Communication
Systems, Inc.(a)(c)........ 5,581,969
100,600 Tut Systems, Inc.(c)......... 5,771,925
109,700 Westell Technologies, Inc. --
Class A(c)................. 1,645,500
--------------
TOTAL COMMUNICATIONS
EQUIPMENT.................... 70,432,010
--------------
</TABLE>
See notes to financial statements.
50
<PAGE> 52
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
COMPUTERS AND OFFICE EQUIPMENT -- 1.43%
331,800 Cabletron Systems, Inc.(c)... $ 8,377,950
200,900 Concurrent Computer
Corp.(c)................... 2,636,813
152,600 Cybex Computer Products
Corp.(c)................... 6,561,800
18,500 InFocus Corp.(c)............. 595,469
114,400 T/R Systems, Inc.(c)......... 729,300
--------------
TOTAL COMPUTERS AND OFFICE
EQUIPMENT.................... 18,901,332
--------------
COMPUTER AND SOFTWARE SERVICES -- 10.17%
194,900 Activision, Inc.(a)(c)....... 1,266,850
140,800 Advent Software, Inc.(c)..... 9,081,600
105,100 American Management Systems,
Inc.(c).................... 3,450,233
252,200 Digital Island, Inc.(a)(c)... 12,263,225
114,900 Exchange Applications,
Inc.(c).................... 3,059,212
207,150 InterCept Group, Inc.(c)..... 3,521,550
179,270 Iron Mountain, Inc.(c)....... 6,095,180
90,200 Manugistics Group, Inc.(c)... 4,216,850
214,800 MedicaLogic/Medscape,
Inc.(a)(c)................. 1,986,900
70,700 MICROS Systems, Inc.(c)...... 1,312,369
77,600 Multex.com, Inc.(c).......... 1,954,550
260,900 NBC Internet, Inc. -- Class
A(a)(c).................... 3,261,250
37,750 Netegrity, Inc.(c)........... 2,843,047
38,700 NetSolve, Inc.(c)............ 1,006,200
788,700 Parametric Technology
Corp.(c)................... 8,675,700
107,700 Peregrine Systems, Inc.(c)... 3,735,844
148,700 Pilot Network Services,
Inc.(c).................... 2,211,912
126,600 Pinnacle Holdings, Inc.(c)... 6,836,400
200,000 Policy Management Systems
Corp.(c)................... 3,075,000
87,800 QRS Corp.(c)................. 2,156,587
226,400 RSA Security, Inc.(c)........ 15,678,200
81,000 RadiSys Corp.(c)............. 4,596,750
267,800 Rational Software
Corp.(a)(c)................ 24,888,662
115,524 SeaChange International,
Inc.(c).................... 3,335,756
78,200 Titan Corp.(c)............... 3,499,450
--------------
TOTAL COMPUTER AND SOFTWARE
SERVICES..................... 134,009,277
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.18%
90,200 Chemed Corp. ................ 2,542,512
59,350 Hughes Supply, Inc. ......... 1,172,163
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES
(CONTINUED)
253,500 Michael Baker Corp.(c)....... $ 1,647,750
74,650 Shaw Group, Inc.(c).......... 3,517,881
234,600 U.S. Aggregates, Inc. ....... 4,252,125
198,075 Watsco, Inc. ................ 2,475,937
--------------
TOTAL CONSTRUCTION SERVICES
AND SUPPLIES................. 15,608,368
--------------
CONSUMER GOODS AND SERVICES -- 0.35%
329,800 Carriage Services, Inc.(c)... 1,113,075
100,800 Fossil, Inc.(c).............. 1,959,300
271,900 Helen of Troy Ltd.(c)........ 1,520,954
25,000 Pameco Corp.(c).............. 64,062
--------------
TOTAL CONSUMER GOODS AND
SERVICES..................... 4,657,391
--------------
EDUCATION -- 1.10%
93,000 Bright Horizons Family
Solutions, Inc.(c)......... 1,987,875
77,200 Career Education Corp.(c).... 3,744,200
145,300 Childrens Comprehensive
Services, Inc.(c).......... 444,981
471,765 ITT Educational Services,
Inc.(c).................... 8,285,373
--------------
TOTAL EDUCATION.............. 14,462,429
--------------
ELECTRONICS -- 2.84%
111,350 ACT Manufacturing,
Inc.(a)(c)................. 5,170,816
46,600 Nanometrics, Inc.(c)......... 1,919,338
157,200 Power Integrations,
Inc.(c).................... 3,704,025
210,000 Rogers Corp.(c).............. 7,350,000
100,000 Sawtek, Inc.(a)(c)........... 5,756,250
309,300 Sensormatic Electronics
Corp.(c)................... 4,890,806
450,000 Thomas & Betts Corp. ........ 8,606,250
--------------
TOTAL ELECTRONICS............ 37,397,485
--------------
ENGINEERING -- 0.23%
212,600 URS Corp.(c)................. 2,976,400
--------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 1.33%
362,520 Allied Waste Industries,
Inc.(c).................... 3,625,200
217,200 Capital Environmental
Resource, Inc.(c).......... 733,050
341,700 Casella Waste Systems,
Inc. -- Class A(c)......... 3,673,275
</TABLE>
See notes to financial statements.
51
<PAGE> 53
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
ENVIRONMENTAL MANAGEMENT SERVICES (CONTINUED)
354,100 Waste Connections, Inc.(c)... $ 6,993,475
235,500 Waste Industries,
Inc.(a)(c)................. 2,531,625
--------------
TOTAL ENVIRONMENTAL
MANAGEMENT SERVICES.......... 17,556,625
--------------
EQUIPMENT RENTAL AND LEASING -- 1.04%
218,000 Aaron Rents, Inc. -- Class
B.......................... 2,738,625
140,000 Amplicon, Inc. .............. 1,330,000
152,700 Electro Rent Corp.(c)........ 1,870,575
157,500 Rent-Way, Inc.(c)............ 4,597,031
79,000 XTRA Corp.(c)................ 3,115,563
--------------
TOTAL EQUIPMENT RENTAL AND
LEASING...................... 13,651,794
--------------
FINANCE -- 1.19%
397,290 Allied Capital Corp. ........ 6,753,930
191,010 Metris Companies, Inc. ...... 4,799,126
180,400 NCO Group, Inc.(c)........... 4,171,750
--------------
TOTAL FINANCE................ 15,724,806
--------------
FOOD AND BEVERAGE -- 0.13%
70,700 Glacier Water Services,
Inc.(a)(c)................. 839,563
91,100 Sylvan, Inc.(c).............. 842,675
--------------
TOTAL FOOD AND BEVERAGE...... 1,682,238
--------------
INDUSTRIAL AUTOMATION -- 0.14%
28,400 PRI Automation, Inc.(c)...... 1,857,093
--------------
INSURANCE -- 0.53%
54,500 Annuity and Life Re
(Holdings) Ltd. ........... 1,335,250
38,600 National Western Life
Insurance Company -- Class
A(c)....................... 2,779,200
169,100 Penn Treaty American
Corp.(a)(c)................ 2,874,700
--------------
TOTAL INSURANCE.............. 6,989,150
--------------
LEISURE AND RECREATION -- 1.46%
153,500 American Coin Merchandising,
Inc.(c).................... 383,750
154,400 Argosy Gaming Company(c)..... 2,219,500
259,600 Isle of Capri Casinos,
Inc.(c).................... 3,520,825
195,000 MGM Grand, Inc.(a)(c)........ 6,264,375
145,700 Pinnacle Entertainment,
Inc. ...................... 2,832,044
161,000 Station Casinos, Inc.(c)..... 4,025,000
--------------
TOTAL LEISURE AND
RECREATION................... 19,245,494
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MACHINERY -- 0.19%
207,600 JLG Industries, Inc. ........ $ 2,465,250
--------------
MANUFACTURING -- 3.73%
60,100 Applied Films Corp.(c)....... 2,201,162
613,300 C&D Technologies, Inc. ...... 34,651,450
214,800 Checkpoint Systems,
Inc.(c).................... 1,611,000
139,800 Lydall, Inc.(c).............. 1,485,375
30,000 Newport Corp. ............... 3,221,250
151,300 Rock of Ages Corp. -- Class
A(c)....................... 747,044
104,000 Trex Company, Inc.(c)........ 5,200,000
--------------
TOTAL MANUFACTURING.......... 49,117,281
--------------
MEDIA AND ENTERTAINMENT -- 3.29%
108,000 Acme Communications,
Inc.(c).................... 1,971,000
168,200 Beasley Broadcast Group,
Inc. -- Class A(c)......... 2,291,725
322,200 Classic Communications,
Inc. -- Class A(c)......... 2,879,663
227,700 Granite Broadcasting
Corp.(c)................... 1,679,287
126,450 Gray Communications Systems,
Inc. -- Class B............ 1,232,888
35,500 Liberty Digital, Inc. --
Class A(c)................. 1,065,000
113,400 Martha Stewart Living
Omnimedia, Inc. -- Class
A(a)(c).................... 2,494,800
257,500 Mediacom Communications
Corp. -- Class A(c)........ 3,959,062
470,000 Metro-Goldwyn-Mayer,
Inc.(a)(c)................. 12,278,750
162,800 Pegasus Communications
Corp. -- Class A(a)(c)..... 7,987,375
256,800 Salem Communications Corp. --
Class A(c)................. 2,383,438
151,300 Spanish Broadcasting Systems,
Inc. -- Class A(c)......... 3,111,106
--------------
TOTAL MEDIA AND
ENTERTAINMENT................ 43,334,094
--------------
MEDICAL AND OTHER HEALTH SERVICES -- 8.39%
60,000 Accredo Health, Inc.(c)...... 2,073,750
220,500 American Retirement
Corp.(a)(c)................ 1,226,531
233,000 Brookdale Living Communities,
Inc.(c).................... 3,378,500
231,500 Caredata.com, Inc.(c)........ 390,656
72,200 Genzyme Transgenics
Corp.(c)................... 1,958,425
</TABLE>
See notes to financial statements.
52
<PAGE> 54
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDICAL AND OTHER HEALTH SERVICES (CONTINUED)
100,000 Health Management Associates,
Inc.(c).................... $ 1,306,250
1,114,800 HEALTHSOUTH Corp.(c)......... 8,012,625
176,400 Horizon Health Corp.(c)...... 992,250
650,000 IMS Health, Inc.(a).......... 11,700,000
99,700 Lifeline Systems, Inc.(c).... 1,395,800
250,000 Lincare Holdings, Inc.(c).... 6,156,250
33,709 MedQuist, Inc.(a)(c)......... 1,146,092
260,040 Morrison Management
Specialists, Inc. ......... 7,329,877
106,600 National Dentex Corp.(c)..... 1,798,875
312,200 OrthAlliance, Inc. -- Class
A(a)(c).................... 1,873,200
270,500 Orthodontic Centers of
America, Inc.(c)........... 6,120,062
257,700 Prime Medical Services,
Inc.(c).................... 1,997,175
112,000 Province Healthcare
Company(c)................. 4,046,000
698,000 Quorum Health Group,
Inc.(c).................... 7,198,125
129,934 Renal Care Group, Inc.(c).... 3,177,289
331,600 Res-Care, Inc.(a)(c)......... 1,782,350
226,400 Shared Medical Systems
Corp. ..................... 16,513,050
101,200 Sunrise Assisted Living,
Inc.(c).................... 1,872,200
175,000 Triad Hospitals, Inc.(c)..... 4,232,813
194,400 Universal Health Services,
Inc. -- Class B(c)......... 12,830,400
--------------
TOTAL MEDICAL AND OTHER
HEALTH SERVICES.............. 110,508,545
--------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.88%
31,800 Candela Corp.(c)............. 290,175
129,000 Closure Medical
Corp.(a)(c)................ 2,967,000
92,300 Cytyc Corp.(c)............... 4,926,513
101,500 Molecular Devices Corp.(c)... 7,022,531
285,000 Owens & Minor, Inc. ......... 4,898,437
94,500 Zoll Medical Corp.(c)........ 4,630,500
--------------
TOTAL MEDICAL EQUIPMENT AND
SUPPLIES..................... 24,735,156
--------------
METALS AND MINING -- 0.18%
141,900 Wolverine Tube, Inc.(c)...... 2,412,300
--------------
MOTOR VEHICLES -- 0.17%
64,250 Oshkosh Truck Corp. ......... 2,296,938
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS -- 5.76%
266,700 Berry Petroleum Company...... $ 4,533,900
260,000 Cabot Oil & Gas Corp. --
Class A.................... 5,508,750
71,600 Devon Energy Corp.(a)........ 4,023,025
150,000 EOG Resources Inc. .......... 5,025,000
195,400 Global Industries Ltd.(c).... 3,688,175
342,800 Grant Prideco, Inc.(c)....... 8,570,000
374,300 Marine Drilling Companies,
Inc.(c).................... 10,480,400
385,000 Pride International,
Inc.(c).................... 9,528,750
330,000 Rowan Companies, Inc.(c)..... 10,023,750
50,000 Santa Fe Snyder Corp.(c)..... 568,750
158,200 Syntroleum Corp.(c).......... 2,709,175
216,700 Tosco Corp. ................. 6,135,319
125,000 UTI Energy Corp.(c).......... 5,015,625
--------------
TOTAL OIL AND GAS............ 75,810,619
--------------
PHARMACEUTICALS -- 3.62%
70,400 Alkermes, Inc.(a)(c)......... 3,317,600
212,500 Bindley Western Industries,
Inc. ...................... 5,617,969
135,000 Celgene Corp.(c)............. 7,948,125
23,700 Inhale Therapeutic Systems,
Inc.(a)(c)................. 2,404,811
131,700 Jones Pharma, Inc. .......... 5,259,769
125,900 Medicis Pharmaceutical
Corp. -- Class A(c)........ 7,176,300
81,200 Noven Pharmaceuticals,
Inc.(c).................... 2,441,075
181,000 Priority Healthcare Corp. --
Class B(c)................. 13,450,563
--------------
TOTAL PHARMACEUTICALS........ 47,616,212
--------------
PUBLISHING -- 0.78%
171,000 Houghton Mifflin Company..... 7,983,562
101,700 John Wiley & Sons, Inc. --
Class A.................... 2,288,250
--------------
TOTAL PUBLISHING............. 10,271,812
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.20%
76,500 Alexandria Real Estate
Equities, Inc. ............ 2,624,906
144,069 Chateau Communities, Inc. ... 4,069,949
246,800 Equity Inns, Inc. ........... 1,511,650
79,200 Health Care Property
Investors, Inc. ........... 2,158,200
</TABLE>
See notes to financial statements.
53
<PAGE> 55
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
97,900 Sovran Self Storage, Inc. ... $ 2,098,731
99,600 Sun Communities, Inc. ....... 3,330,375
--------------
TOTAL REAL ESTATE INVESTMENT
TRUSTS....................... 15,793,811
--------------
RESEARCH AND DEVELOPMENT -- 0.45%
90,100 Albany Molecular Research,
Inc.(c).................... 4,904,819
28,200 CuraGen Corp.(a)(c).......... 1,073,362
--------------
TOTAL RESEARCH AND
DEVELOPMENT.................. 5,978,181
--------------
RESTAURANTS -- 2.23%
110,000 Applebees International,
Inc. ...................... 3,334,375
157,800 Benihana, Inc. -- Class
A(c)....................... 2,110,575
136,500 CEC Entertainment, Inc.(c)... 3,497,813
131,700 Outback Steakhouse,
Inc.(a)(c)................. 3,852,225
39,500 P.F. Chang's China Bistro,
Inc.(c).................... 1,261,531
116,800 Rare Hospitality
International, Inc.(c)..... 3,299,600
953,200 Ruby Tuesday, Inc. .......... 11,974,575
--------------
TOTAL RESTAURANTS............ 29,330,694
--------------
RETAIL -- 3.30%
241,800 Blue Rhino Corp.(a)(c)....... 1,949,512
456,850 Consolidated Stores
Corp.(c)................... 5,482,200
68,825 Cost Plus, Inc.(c)........... 1,974,417
276,900 Duane Reade, Inc.(a)(c)...... 7,130,175
188,200 Duckwall -- Alco Stores,
Inc.(c).................... 1,552,650
81,700 First Cash, Inc.(c).......... 275,737
212,400 Fred's, Inc. ................ 3,823,200
98,600 Hibbet Sporting Goods,
Inc.(c).................... 2,317,100
119,100 Hot Topic, Inc.(a)(c)........ 3,811,200
86,700 Michael Anthony Jewelers,
Inc.(c).................... 238,425
66,500 MSC Industrial Direct
Company -- Class A(c)...... 1,392,344
56,850 PC Connection, Inc.(a)(c).... 3,240,450
300,000 Ross Stores, Inc. ........... 5,118,750
78,900 SCP Pool Corp.(c)............ 1,854,150
294,600 Shop At Home, Inc.(a)(c)..... 1,376,342
85,500 The Men's Wearhouse,
Inc.(c).................... 1,907,719
--------------
TOTAL RETAIL................. 43,444,371
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.59%
152,950 Optimal Robotics Corp.(c).... $ 5,869,456
25,000 Photon Dynamics, Inc.(c)..... 1,867,188
--------------
TOTAL SCIENTIFIC AND
TECHNICAL INSTRUMENTS........ 7,736,644
--------------
SECURITY -- 0.24%
252,700 Burns International Services
Corp.(c)................... 3,158,750
--------------
SEMICONDUCTORS -- 12.13%
107,900 Actel Corp.(c)............... 4,922,938
571,800 Alpha Industries, Inc.(c).... 25,194,938
119,000 American Xtal Technology,
Inc.(c).................... 5,146,750
139,300 Asyst Technologies,
Inc.(c).................... 4,771,025
38,900 ATMI, Inc.(c)................ 1,808,850
50,000 Brooks Automation, Inc.(c)... 3,196,875
125,200 Cree, Inc.(c)................ 16,714,200
116,000 DuPont Photomasks, Inc.(c)... 7,946,000
150,000 Fairchild International,
Inc. -- Class A(c)......... 6,075,000
262,900 Integrated Device Technology,
Inc.(c).................... 15,741,138
357,600 LTX Corp.(c)................. 12,493,650
125,000 National Semiconductor
Corp.(c)................... 7,093,750
62,500 NETsilicon, Inc.(c).......... 2,046,875
144,300 Oak Technology, Inc.(c)...... 3,111,469
80,700 Pericom Semiconductor
Corp.(c)................... 5,487,600
252,100 PLX Technology, Inc.(c)...... 10,462,150
29,800 QLogic Corp.(c).............. 1,968,663
92,000 Sage, Inc.(c)................ 1,190,250
69,000 TranSwitch Corp.(c).......... 5,325,937
85,400 TriQuint Semiconductor,
Inc.(c).................... 8,171,712
138,200 Varian Semiconductor
Equipment Associates,
Inc.(c).................... 8,680,688
32,850 Zoran Corp.(a)(c)............ 2,166,047
--------------
TOTAL SEMICONDUCTORS......... 159,716,505
--------------
TELECOMMUNICATIONS -- 4.21%
208,300 Alaska Communications System
Holdings, Inc.(c).......... 2,161,112
288,600 Boston Communications Group,
Inc. ...................... 4,040,400
82,400 Caprock Communications
Corp.(c)................... 1,606,800
</TABLE>
See notes to financial statements.
54
<PAGE> 56
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
108,600 CFW Communications Company... $ 4,072,500
238,727 Davel Communications,
Inc.(c).................... 82,074
160,000 Dobson Communications
Corp. -- Class A........... 3,080,000
243,100 ICG Communications,
Inc.(a)(c)................. 5,363,394
71,400 Intermedia Communications,
Inc.(a)(c)................. 2,124,150
135,600 Leap Wireless International,
Inc.(c).................... 6,373,200
22,100 MDSI Mobile Data Solutions,
Inc.(c).................... 508,300
227,200 Metro One Telecommunications,
Inc.(c).................... 2,854,200
127,800 P-Com, Inc.(c)............... 726,863
199,730 Price Communications
Corp.(c)................... 4,706,138
106,100 Primus Telecommunications
Group, Inc.(a)(c).......... 2,639,237
109,700 Rural Cellular Corp. -- Class
A(c)....................... 8,398,906
231,100 Somera Communications,
Inc.(c).................... 3,148,737
75,500 Startec Global Communications
Corp.(c)................... 806,906
50,000 Western Wireless Corp. --
Class A(c)................. 2,725,000
--------------
TOTAL TELECOMMUNICATIONS..... 55,417,917
--------------
TRANSPORT SERVICES -- 0.07%
4,000 Petroleum Helicopters, Inc.
(Voting)................... 38,000
96,200 Petroleum Helicopters, Inc.
(Non-Voting)............... 925,925
--------------
TOTAL TRANSPORT SERVICES..... 963,925
--------------
TRANSPORTATION: FREIGHT -- 2.58%
430,000 Airborne Freight Corp. ...... 8,143,125
332,200 Circle International Group,
Inc. ...................... 8,346,525
148,700 CNF Transportation, Inc. .... 3,382,925
114,000 Forward Air Corp.(a)(c)...... 4,560,000
232,374 Fritz Companies, Inc.(c)..... 2,396,357
424,427 Pittston Brink's Group....... 5,809,345
65,000 Sea Containers Ltd. ......... 1,373,125
--------------
TOTAL TRANSPORTATION:
FREIGHT...................... 34,011,402
--------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ --------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
UTILITIES: ELECTRIC -- 0.72%
850,000 El Paso Electric
Company(c)................. $ 9,509,375
--------------
TOTAL COMMON STOCK (Cost
$988,174,686)................ 1,254,687,808
--------------
REGULATED INVESTMENT COMPANIES -- 0.74%
7,066,275 Janus Money Market Fund(b)... 7,066,275
2,755,848 Merrimac Cash Fund -- Premium
Class(b)................... 2,755,848
--------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$9,822,123).................. 9,822,123
--------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 3.83%
$ 1,838,875 Bank of Montreal, 6.59%,
07/05/00(b)................ 1,838,875
3,615,527 Bank of Montreal, 6.90%,
07/05/00(b)................ 3,615,527
6,630,629 BNP Paribas, 6.75%,
07/05/00(b)................ 6,630,629
13,673,156 BNP Paribas, 6.75%,
07/05/00(b)................ 13,673,156
9,992,708 Fleet National Bank, 7.125%,
10/31/00(b)................ 9,992,708
5,975,944 Royal Bank of Scotland,
6.70%, 07/05/00(b)......... 5,975,944
8,677,265 Royal Bank of Scotland,
6.85%, 07/05/00(b)......... 8,677,265
--------------
TOTAL TIME DEPOSITS (Cost
$50,404,104)................. 50,404,104
--------------
SHORT TERM CORPORATE NOTES -- 3.71%
8,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b)................ 8,000,000
3,446,267 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b)................ 3,446,267
5,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++), 07/26/00(b).... 5,000,000
2,446,734 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b)................ 2,446,734
12,000,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b)................ 12,000,000
</TABLE>
See notes to financial statements.
55
<PAGE> 57
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES (CONTINUED)
$10,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b).... $ 10,000,000
8,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b)................ 8,000,000
--------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $48,893,001)..... 48,893,001
--------------
TOTAL SECURITIES (Cost
$1,097,293,914).............. 1,363,807,036
--------------
REPURCHASE AGREEMENTS -- 4.39%
8,297,584 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity,
$8,301,753 (Collateralized
by Fannie Mae Adjustable
Rate Mortgage, 7.323%, due
09/01/26, with a value of
$8,712,719)................ 8,297,584
9,903,128 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity,
$9,908,105 (Collateralized
by Fannie Mae Adjustable
Rate Mortgage, 5.978%, due
09/01/29, with a value of
$10,398,538)............... 9,903,128
18,363,203 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$18,372,431 (Collateralized
by Freddie Mac Adjustable
Rate Mortgage, 7.621%, due
10/01/24, with a value of
$3,291,920 and Fannie Mae,
6.50%, due 04/25/29, with a
value of $15,989,503)...... 18,363,203
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- --------------
<C> <S> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$21,198,378 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase
proceeds at maturity
$21,209,030 (Collateralized
by Fannie Mae, 5.77%, due
08/25/22, with a value of
$17,430,472 and Ginnie Mae
Adjustable Rate Mortgage,
6.375%, due 06/20/26, with
a value of $4,827,833)..... $ 21,198,378
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost $57,762,293)........... 57,762,293
--------------
Total Investments -- 107.93%
(Cost $1,155,056,207)........ 1,421,569,329
Liabilities less other
assets -- (7.93)%............ (104,451,675)
--------------
NET ASSETS -- 100.00%........ $1,317,117,654
==============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of securities for federal income tax
purposes at June 30, 2000, is $1,155,056,207.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation......... $ 388,328,065
Gross unrealized depreciation......... (121,814,943)
-------------
Net unrealized appreciation........... $ 266,513,122
=============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
56
<PAGE> 58
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK -- 97.31%
ADVERTISING -- 0.98%
100,000 Interpublic Group of Companies,
Inc. ........................ $ 4,300,000
------------
COMMUNICATIONS EQUIPMENT -- 2.37%
210,000 Powerwave Technologies,
Inc.(c)...................... 9,240,000
20,500 QUALCOMM, Inc.(a)(c)........... 1,230,000
------------
TOTAL COMMUNICATIONS
EQUIPMENT...................... 10,470,000
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.67%
80,920 Sun Microsystems, Inc.(c)...... 7,358,662
------------
COMPUTER SOFTWARE AND SERVICES -- 10.93%
31,500 America Online, Inc.(c)........ 1,661,625
124,000 Cisco Systems, Inc.(c)......... 7,881,750
50,000 Check Point Software
Technologies Ltd.(a)(c)...... 10,587,500
160,000 Entrust Technologies,
Inc.(c)...................... 13,240,000
100,000 Exodus Communications,
Inc.(a)(c)................... 4,606,250
3,100 MarchFirst, Inc.(c)............ 56,575
62,000 Siebel Systems, Inc.(a)(c)..... 10,140,875
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 48,174,575
------------
CONSUMER GOODS AND SERVICES -- 1.86%
154,500 General Electric Company....... 8,188,500
------------
ELECTRONICS -- 3.09%
93,000 Sanmina Corp.(c)............... 7,951,500
150,000 Vishay Intertechnology,
Inc.(c)...................... 5,690,625
------------
TOTAL ELECTRONICS.............. 13,642,125
------------
FOOD AND BEVERAGE -- 2.85%
60,000 Anheuser-Busch Companies,
Inc. ........................ 4,481,250
220,000 Hain Celestial Group,
Inc.(c)...................... 8,071,250
------------
TOTAL FOOD AND BEVERAGE........ 12,552,500
------------
FINANCIAL SERVICES -- 0.94%
79,500 American Express Company....... 4,143,938
------------
INSURANCE -- 1.37%
51,500 American International Group... 6,051,250
------------
MANUFACTURING -- 3.47%
56,750 Corning, Inc. ................. 15,315,406
------------
MEDIA -- 5.76%
60,000 AMFM, Inc.(c).................. 4,140,000
400,000 AT & T Corp.-Liberty Media
Group -- Class A(c).......... 9,700,000
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
MEDIA (CONTINUED)
51,500 Clear Channel
Communications(a)(c)......... $ 3,862,500
190,000 Comcast Corp. -- Class A
(Special).................... 7,695,000
------------
TOTAL MEDIA.................... 25,397,500
------------
MEDICAL AND OTHER HEALTH SERVICES -- 2.03%
148,995 MedQuist, Inc.(c).............. 5,065,830
77,500 Medtronic, Inc. ............... 3,860,469
------------
TOTAL MEDICAL AND OTHER HEALTH
SERVICES....................... 8,926,299
------------
MEDICAL EQUIPMENT AND SUPPLIES -- 1.51%
125,000 ArthroCare Corp.(c)............ 6,656,250
------------
OIL AND GAS -- 3.64%
65,000 Dynegy, Inc. .................. 4,440,313
30,000 Enron Corp. ................... 1,935,000
280,000 Kinder Morgan, Inc. ........... 9,677,500
------------
TOTAL OIL & GAS................ 16,052,813
------------
PHARMACEUTICALS -- 18.39%
73,400 Cardinal Health, Inc. ......... 5,431,600
350,000 IVAX Corp.(a)(c)............... 14,525,000
116,250 Jones Pharma, Inc. ............ 4,642,734
427,500 King Pharmaceuticals,
Inc.(a)(c)................... 18,756,563
255,000 Maxim Pharmaceuticals,
Inc.(a)(c)................... 13,100,625
105,000 MedImmune, Inc.(c)............. 7,770,000
227,369 Pfizer, Inc. .................. 10,913,700
80,000 Priority Healthcare Corp. --
Class B(c)................... 5,945,000
------------
TOTAL PHARMACEUTICALS.......... 81,085,222
------------
RETAIL -- 1.42%
125,000 Home Depot, Inc. .............. 6,242,187
------------
SCIENTIFIC EQUIPMENT -- 5.55%
260,000 Varian, Inc.(c)................ 11,992,500
100,000 Waters Corp.(c)................ 12,481,250
------------
TOTAL SCIENTIFIC EQUIPMENT..... 24,473,750
------------
SEMICONDUCTORS -- 18.33%
240,000 Amkor Technology, Inc.(a)(c)... 8,475,000
100,000 Applied Materials, Inc.(c)..... 9,062,500
32,000 Broadcom Corp. -- Class A(c)... 7,006,000
103,500 Conexant Systems, Inc.(a)(c)... 5,032,687
70,000 Intel Corp. ................... 9,358,125
77,952 JDS Uniphase Corp.(c).......... 9,344,496
</TABLE>
See notes to financial statements.
57
<PAGE> 59
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
SEMICONDUCTORS (CONTINUED)
90,000 Kopin Corp.(c)................. $ 6,232,500
230,000 LTX Corp.(c)................... 8,035,625
90,000 QLogic Corp.(c)................ 5,945,625
120,000 Varian Semiconductor Equipment
Associates, Inc.(c).......... 7,537,500
80,000 Virata Corp.(c)................ 4,770,000
------------
TOTAL SEMICONDUCTORS........... 80,800,058
------------
TELECOMMUNICATIONS -- 8.17%
175,000 Carrier Access Corp.(a)(c)..... 9,253,125
84,325 Polycom, Inc.(c)............... 7,934,460
50,000 Sprint Corp. (FON Group)....... 2,550,000
60,000 VoiceStream Wireless
Corp.(c)..................... 6,977,814
125,000 Western Wireless Corp. -- Class
A(c)......................... 6,812,500
54,000 WorldCom, Inc.(c).............. 2,477,250
------------
TOTAL TELECOMMUNICATIONS....... 36,005,149
------------
UTILITIES -- 2.98%
200,000 Calpine Corp.(a)(c)............ 13,150,000
------------
TOTAL COMMON STOCK
(Cost $287,927,161)............ 428,986,184
------------
REGULATED INVESTMENT COMPANY -- 1.57%
4,988,472 Janus Money Market Fund(b)..... 4,988,472
1,945,504 Merrimac Cash Fund -- Premium
Class(b)..................... 1,945,504
------------
TOTAL REGULATED INVESTMENT
COMPANY (Cost $6,933,976)...... 6,933,976
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
TIME DEPOSITS -- 5.03%
$ 670,782 Bank of Montreal, 6.59%,
07/05/00(b).................. 670,782
2,537,441 Bank of Montreal, 6.90%,
07/05/00(b).................. 2,537,441
3,037,890 BNP Paribas, 6.75%,
07/05/00(b).................. 3,037,890
7,345,811 BNP Paribas, 6.75%,
07/05/00(b).................. 7,345,811
1,065,828 Fleet National Bank, 7.125%,
10/31/00(b).................. 1,065,828
1,417,215 Royal Bank of Scotland, 6.70%,
07/05/00(b).................. 1,417,215
6,089,857 Royal Bank of Scotland, 6.85%,
07/05/00(b).................. 6,089,857
------------
TOTAL TIME DEPOSITS (Cost
$22,164,824)................... 22,164,824
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
SHORT TERM CORPORATE NOTES -- 10.78%
$5,500,000 Bank of America, Floating Rate,
6.67%(++), 03/22/01(b)....... $ 5,500,000
293,083 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).................. 293,083
5,000,000 Bear Stearns and Company, Inc.,
Floating Rate, 7.375%(++),
07/26/00(b).................. 5,000,000
2,207,917 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).................. 2,207,917
17,500,000 JP Morgan Securities, Inc.,
Floating Rate, 7.23%(++),
07/07/00(b).................. 17,500,000
11,000,000 Morgan Stanley Dean Witter &
Company, Floating Rate,
7.225%(++), 10/06/00(b)...... 11,000,000
6,000,000 Prudential Securities, Inc.,
Floating Rate, 7.40%(++),
12/08/00(b).................. 6,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost $47,501,000)....... 47,501,000
------------
TOTAL SECURITIES (Cost
$364,526,961).................. 505,585,984
------------
REPURCHASE AGREEMENT -- 0.91%
4,031,732 With Investors Bank & Trust
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $4,033,758
(Collateralized by Freddie
Mac Adjustable Rate Mortgage,
6.409%, due 01/01/21, with a
value of $4,233,722) (Cost
$4,031,732).................. 4,031,732
------------
Total Investments -- 115.60%
(Cost $368,558,693)............ 509,617,716
Liabilities less other
assets -- (15.60%)............. (68,783,535)
------------
NET ASSETS -- 100.00%.......... $440,834,181
============
The aggregate cost of securities for federal income tax
purposes at June 30, 2000 is $368,558,693.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation............ $146,214,920
Gross unrealized depreciation............ (5,155,897)
------------
Net unrealized appreciation.............. $141,059,023
============
</TABLE>
---------------
(a) All or part of this security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing security.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30,
2000.
See notes to financial statements.
58
<PAGE> 60
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 88.58%
AUTOMOTIVE PARTS AND EQUIPMENT -- 1.33%
$ 1,200,000 American Axle & Manufacturing,
Inc., 9.75%, 03/01/09........ $ 1,119,000
600,000 Lear Corp., 8.11%, 05/15/09.... 546,493
------------
TOTAL AUTOMOTIVE PARTS AND
EQUIPMENT...................... 1,665,493
------------
AUTOMOTIVE RENTAL -- 3.16%
1,650,000 Avis Rent A Car, Inc., 11.00%,
05/01/09..................... 1,720,125
725,000 Budget Group, Inc., 9.125%,
04/01/06..................... 464,000
1,150,000 United Rentals, Inc., 9.25%,
01/15/09..................... 1,037,875
1,000,000 Universal Compression, Inc.,
9.875%, 02/15/08............. 720,000
------------
TOTAL AUTOMOTIVE RENTAL........ 3,942,000
------------
BROADCASTING -- 4.84%
550,000 Acme Television, 10.875%,
09/30/04..................... 525,250
2,400,000 Echostar DBS Corp., 9.25%,
02/01/06..................... 2,334,000
2,100,000 Sinclair Broadcast Group,
10.00%, 09/30/05............. 2,005,500
2,000,000 Spectrasite Holdings, Inc.,
11.25%, 04/15/09............. 1,170,000
------------
TOTAL BROADCASTING............. 6,034,750
------------
BUSINESS SERVICES -- 2.27%
2,100,000 Fisher Scientific
International, 9.00%,
02/01/08..................... 1,921,500
1,000,000 Fisher Scientific
International -- 144A, 9.00%,
02/01/08..................... 915,000
------------
TOTAL BUSINESS SERVICES........ 2,836,500
------------
CHEMICALS -- 3.92%
1,000,000 Huntsman Corp. -- 144A, 9.50%,
10/01/07..................... 910,000
2,050,000 Lyondell Chemical Company --
144A, 9.625%, 05/01/07....... 2,019,250
2,000,000 ZSC Specialty Chemical PLC --
144A, 11.00%, 07/01/09....... 1,960,000
------------
TOTAL CHEMICALS................ 4,889,250
------------
COMMERCIAL SERVICES -- 1.01%
1,425,000 Pierce Leahy Command Company,
8.125%, 05/15/08............. 1,254,000
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
COMPUTER SOFTWARE AND SERVICES -- 4.46%
$ 750,000 Covad Communications Group,
12.00%, 02/15/10............. $ 585,000
600,000 Exodus Communications, Inc.,
10.75%, 12/15/09............. 579,000
1,900,000 Exodus Communications, Inc.,
11.625%, 07/15/10............ 1,904,750
1,400,000 Psinet, Inc., 10.50%,
12/01/06..................... 1,288,000
1,300,000 Unisys Corp., 7.875%,
04/01/08..................... 1,215,500
------------
TOTAL COMPUTER SOFTWARE AND
SERVICES....................... 5,572,250
------------
CONSTRUCTION -- 2.57%
1,850,000 Kaufman and Broad Home Corp.,
7.75%, 10/15/04.............. 1,674,250
1,700,000 Nortek, Inc., 8.875%,
08/01/08..................... 1,538,500
------------
TOTAL CONSTRUCTION............. 3,212,750
------------
CONSUMER GOODS AND SERVICES -- 0.77%
1,000,000 Polaroid Corp., 6.75%,
01/15/02..................... 962,817
------------
ENVIRONMENTAL MANAGEMENT SERVICES -- 2.21%
2,250,000 Allied Waste North America
Industries, Inc., 7.875%,
01/01/09..................... 1,918,125
1,000,000 Allied Waste North America
Industries, Inc., 10.00%,
08/01/09..................... 835,000
------------
TOTAL ENVIRONMENTAL MANAGEMENT
SERVICES....................... 2,753,125
------------
FINANCE -- 1.09%
1,500,000 Williams Scotsman, Inc.,
9.875%, 06/01/07............. 1,365,000
------------
FOOD AND BEVERAGE -- 1.97%
2,600,000 Canandaigua Brands, Inc.,
8.50%, 03/01/09.............. 2,366,000
100,000 Cott Corp., 9.375%, 07/01/05... 95,250
------------
TOTAL FOOD AND BEVERAGE........ 2,461,250
------------
INDUSTRIAL -- 7.39%
800,000 AK Steel Corp., 9.125%,
12/15/06..................... 768,000
2,075,000 Atlas Air, Inc. -- 144A,
9.375%, 11/15/06............. 1,992,000
1,800,000 Building Materials Corp.,
8.00%, 12/01/08.............. 1,413,000
2,475,000 HMH Properties, 7.875%,
08/01/08..................... 2,221,312
</TABLE>
See notes to financial statements.
59
<PAGE> 61
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
INDUSTRIAL (CONTINUED)
$ 1,850,000 Muzak LLC, 9.875%, 03/15/09.... $ 1,702,000
1,195,000 P&L Coal Holdings Corp.,
8.875%, 05/15/08............. 1,126,287
------------
TOTAL INDUSTRIAL............... 9,222,599
------------
LEISURE AND RECREATION -- 8.79%
2,000,000 Bally Total Fitness Holding,
9.875%, 10/15/07............. 1,810,000
1,950,000 Harrahs Operating Company,
Inc., 7.875%, 12/15/05....... 1,833,000
1,500,000 Hollywood Casino Shreveport,
13.00%, 08/01/06............. 1,593,750
1,900,000 MGM Grand, Inc., 9.75%,
06/01/07..................... 1,933,250
1,800,000 Park Place Entertainment Corp.,
7.875%, 12/15/05............. 1,692,000
1,200,000 Six Flags Entertainment,
8.875%, 04/01/06............. 1,146,000
1,000,000 Waterford Gaming LLC -- 144A,
9.50%, 03/15/10.............. 960,000
------------
TOTAL LEISURE AND RECREATION... 10,968,000
------------
MACHINERY -- 2.49%
1,975,000 Advanced Lighting Technologies,
Inc. -- 144A, 8.00%,
03/15/08..................... 1,441,750
2,000,000 National Equipment Services,
10.00%, 11/30/04............. 1,660,000
------------
TOTAL MACHINERY................ 3,101,750
------------
MANUFACTURING -- 3.62%
700,000 Fedders North America, 9.375%,
8/15/07...................... 657,125
1,150,000 Portola Packaging, 10.75%,
10/01/05..................... 931,500
2,000,000 Tekni-Plex, Inc. -- 144A,
12.75%, 06/15/10............. 2,000,000
1,000,000 WCI Steel, Inc., Series B,
10.00%, 12/01/04............. 930,000
------------
TOTAL MANUFACTURING............ 4,518,625
------------
MEDICAL AND OTHER HEALTH SERVICES -- 1.91%
2,500,000 Tenet Healthcare Corp., 8.625%,
01/15/07..................... 2,387,500
------------
METALS AND MINING -- 0.80%
1,000,000 Golden Northwest Aluminum,
12.00%, 12/15/06............. 1,000,000
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
OIL AND GAS -- 6.94%
$ 1,775,000 Chesapeake Energy Corp.,
9.625%, 05/01/05............. $ 1,721,750
1,300,000 Frontier Oil Corp., 11.75%,
11/15/09..................... 1,300,000
1,325,000 Nuevo Energy Company, 9.50%,
06/01/08..................... 1,308,437
600,000 Parker Drilling Corp., 9.75%,
11/15/06..................... 580,500
2,375,000 Plains Resources, Inc., 10.25%,
03/15/06..................... 2,392,813
1,325,000 Pride International, Inc.,
10.00%, 06/01/09............. 1,364,750
------------
TOTAL OIL AND GAS.............. 8,668,250
------------
PUBLISHING -- 2.00%
2,550,000 American Media Operations,
Inc., 10.25%, 05/01/09....... 2,499,000
------------
RESTAURANTS -- 0.82%
1,000,000 Sbarro, Inc., 11.00%,
09/15/09..................... 1,022,500
------------
SPECIAL PURPOSE ENTITY -- 4.05%
2,300,000 Caithness Coso Funding Corp.,
9.05%, 12/15/09.............. 2,271,250
1,000,000 ONO Finance PLC, 13.00%,
05/01/09..................... 945,000
1,700,000 RBF Finance Company, 11.375%,
03/15/09..................... 1,844,500
------------
TOTAL SPECIAL PURPOSE ENTITY... 5,060,750
------------
TELECOMMUNICATIONS -- 18.41%
425,000 Crown Castle International
Corp., 9.00%, 05/15/11....... 392,063
400,000 Crown Castle International
Corp., 10.75%, 08/01/11...... 405,500
2,000,000 Dobson Communications Corp.,
10.875%, 07/01/10............ 2,010,000
2,400,000 Global Crossing Holding, LTD.,
9.625%, 05/15/08............. 2,328,000
1,000,000 IPCS, Inc., 14.00%, 07/15/10... 530,000
500,000 Intermedia Communications,
Inc., 8.60%, 06/01/08........ 462,500
2,475,000 Intermedia Communications,
Inc., 9.50%, 03/01/09........ 2,351,250
925,000 Level 3 Communications, Inc.,
11.00%, 03/15/08............. 915,750
2,000,000 Level 3 Communications, Inc.,
9.125%, 05/01/08............. 1,795,000
</TABLE>
See notes to financial statements.
60
<PAGE> 62
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 1,650,000 McLeodUSA, Inc., 8.125%,
02/15/09..................... $ 1,489,125
970,000 MGC Communications,
Inc. -- 144A, 13.00%,
04/01/10..................... 911,800
2,225,000 Nextel Communications, 9.375%,
11/15/09..................... 2,124,875
2,350,000 Nextlink Communications,
10.50%, 12/01/09............. 2,303,000
295,000 NTL Communications Corp.,
Series B, 11.50%, 10/01/08... 293,525
500,000 NTL, Inc., Series B, 9.75%,
04/01/08..................... 312,500
1,675,000 Rural Cellular Corp., 9.625%,
05/15/08..................... 1,624,750
2,000,000 VersaTel Telcom International,
11.875, 07/15/09............. 1,970,000
1,000,000 Viatel, Inc., 11.50%,
03/15/09..................... 760,000
------------
TOTAL TELECOMMUNICATIONS....... 22,979,638
------------
UTILITIES: ELECTRIC -- 1.76%
2,200,000 AES Corp., 10.25%, 07/15/06.... 2,194,500
------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $115,451,332)............ 110,572,297
------------
<CAPTION>
SHARES
------
<C> <S> <C>
PREFERRED STOCK -- 0.31%
COMMUNICATION SERVICES
1,725 Global Crossing Ltd., 6.75%
(Cost $418,704).............. 383,597
------------
TOTAL SECURITIES
(Cost $115,870,036)............ 110,955,894
------------
<CAPTION>
PRINCIPAL VALUE
--------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 9.24%
$11,530,251 With Investors Bank & Trust,
dated 06/30/00, 6.03%, due
07/03/00, repurchase proceeds
at maturity $11,536,045
(Collateralized by Government
National Mortgage Association
Adjustable Rate Mortgage,
7.125%, due 12/20/23, with a
value of $12,106,993)
(Cost $11,530,251) $ 11,530,251
------------
Total Investments -- 98.13%
(Cost $127,400,287)............ 122,486,145
Other assets less
liabilities -- 1.87%........... 2,334,983
------------
NET ASSETS -- 100.00%.......... $124,821,128
============
</TABLE>
<TABLE>
<S> <C>
The aggregate cost of investments for federal income tax
purposes at June 30, 2000, is $127,400,287.
The following amount is based on cost for federal income
tax purposes:
Gross unrealized appreciation........... $ 628,594
Gross unrealized depreciation........... (5,542,736)
-----------
Net unrealized depreciation............. $(4,914,142)
===========
</TABLE>
See notes to financial statements.
61
<PAGE> 63
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS -- 96.14%
AEROSPACE -- 0.39%
432,480 Bae Systems PLC........... $ 2,697,507 UK
------------
AIRLINES -- 0.39%
124,500 British Airways PLC....... 716,224 UK
43,000 KLM-Konin Luchtvaart MIJ
N.V.(c).................. 1,162,385 NET
86,000 Singapore Airlines,
Ltd. .................... 850,557 SIN
------------
TOTAL AIRLINES............ 2,729,166
------------
AUTOMOBILES -- 3.19%
96,200 Bayerische Motoren Werke
AG....................... 2,918,641 GER
31,000 DaimlerChrysler AG........ 1,623,399 GER
97,000 Fiat SpA(a)............... 1,585,358 ITA
190,900 GKN PLC................... 2,436,304 UK
612,000 Mitsubishi Motors
Corp.(c)................. 2,620,339 JPN
1,049,000 Nissan Motor Company,
Ltd.(c).................. 6,196,758 JPN
9,500 Peugeot SA................ 1,914,207 FRA
146,000 Suzuki Motor Corp. ....... 1,887,765 JPN
20,444 Valeo SA(a)............... 1,097,454 FRA
------------
TOTAL AUTOMOBILES......... 22,280,225
------------
BANKS -- 9.32%
310,700 ABN AMRO Holding N.V. .... 7,642,411 NET
197,640 Allied Irish Banks PLC.... 1,777,100 IRE
446,490 Australia & New Zealand
Bank Group, Ltd. ........ 3,434,133 AUS
192,600 Banco Bilbao Vizcaya SA... 2,889,366 SPA
122,000 Bank of Nova Scotia....... 2,988,927 CDA
35,000 Bank of Scotland.......... 333,021 UK
18,265 Banque National de Paris
(BNP).................... 1,764,870 FRA
65,000 Canadian Imperial Bank of
Commerce................. 1,779,375 CDA
208,050 ForeningsSparbanken --
Class A.................. 3,059,999 SWE
176,000 Fuji Bank, Ltd.(a)........ 1,340,768 JPN
3,020 Holderbank Financial
Glaris -- Class B(a)..... 3,714,488 SWI
53,352 ING Groep N.V. ........... 3,620,899... NET
746,000 Keppel Tatlee Bank,
Ltd. .................... 1,268,498 SIN
1,011,329 Lloyds TSB Group PLC...... 9,553,722 UK
252,559 Royal Bank of Scotland
Group PLC................ 4,228,772 UK
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
185,000 Svenska Handelsbanken
AB -- Class A............ $ 2,699,890 SWE
198,000 The Sanwa Bank, Ltd. ..... 1,583,228 JPN
59,000 Toronto Dominion Bank..... 1,433,517 CDA
275,000 Toyo Trust & Banking Co.,
Ltd. .................... 930,518 JPN
1,429,919 Turkiye Is Bankasi
(Isbank) (GDR)........... 3,002,830 TUR
340,000 UniCredito Italiano
S.P.A. .................. 1,632,850 ITA
603,300 Westpac Banking Corp. .... 4,364,936 AUS
------------
TOTAL BANKS............... 65,044,118
------------
CHEMICALS -- 1.57%
72,770 DSM NV.................... 2,343,820 NET
238,000 Laporte PLC............... 1,729,475 UK
337,000 Mitsui Chemicals, Inc. ... 2,360,247 JAP
300 Norsk Hydro ASA (ADR)..... 12,619 NOR
71,400 Norsk Hydro ASA........... 3,007,211 NOR
30,000 Shin-Etsu Chemical
Company, Ltd. ........... 1,525,497 JPN
------------
TOTAL CHEMICALS........... 10,978,869
------------
COMPUTER EQUIPMENT -- 0.59%
19,000 Creative Technology,
Ltd. .................... 458,248 SIN
48,000 Creative Technology,
Ltd. .................... 1,146,000 SIN
28,600 Nidec Corporation(a)...... 2,486,922 JPN
------------
TOTAL COMPUTER
EQUIPMENT................. 4,091,170
------------
COMPUTER SOFTWARE AND SERVICES -- 0.70%
38,000 Fuji Soft ABC, Inc. ...... 2,259,134 JPN
7,000 Fujitsu Support and
Service, Inc. ........... 694,697 JPN
4,000 Intershop Communications
AG(c).................... 1,828,605 GER
11,500 PT-Multimedia.com --
Servicos de Acesso a
Internet, S.G.P.S.,
SA(c).................... 88,439 POR
------------
TOTAL COMPUTER SOFTWARE
AND SERVICES.............. 4,870,875
------------
CONSTRUCTION -- 2.21%
8,700 Bouygues SA(c)............ 5,837,809 FRA
340 Bouygues SA(c)............ 228,144 FRA
80,000 CRH PLC................... 1,453,224 IRE
22,000 Rohm Company, Ltd. ....... 6,446,033 JPN
</TABLE>
See notes to financial statements.
62
<PAGE> 64
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION (CONTINUED)
13,376 Sanitec Oyj............... $ 134,632 FIN
146,000 Sekisui House, Ltd. ...... 1,353,727 JPN
------------
TOTAL CONSTRUCTION........ 15,453,569
------------
CONSUMER GOODS AND SERVICES -- 6.04%
7,900 Christian Dior SA......... 1,798,553 FRA
76,000 Hennes & Mauritz.......... 1,594,396 SWE
86,000 Kao Corp. ................ 2,633,612 JPN
309,000 Nikon Corp. .............. 11,477,805 JPN
29,700 Nintendo Corp., Ltd. ..... 5,198,831 JPN
2,044 Reckitt Benckiser PLC..... 22,899 UK
13,000 Sony Corp. (ADR).......... 1,226,062 JPN
164,050 Sony Corp.(a)............. 15,350,388 JPN
20,000 TDK Corp. ................ 2,880,866 JPN
------------
TOTAL CONSUMER GOODS AND
SERVICES.................. 42,183,412
------------
ELECTRONICS -- 13.99%
59,400 ASM Lithography Holding
N.V.(a)(c)............... 2,563,449 NET
237,600 ASM Lithography Holding
N.V.(a)(c)............... 10,484,100 NET
400,000 Caradon PLC............... 914,400 UK
14,600 Epcos AG(c)............... 1,462,380 GER
31,000 FANUC, Ltd. .............. 3,161,485 JPN
231,000 Hitachi, Ltd. ............ 3,340,491 JPN
31,000 Hirose Electric Company,
Ltd. .................... 4,837,454 JPN
474,000 Johnson Electric Holdings,
Ltd. .................... 4,484,609 HNG
13,490 Keyence Corp. ............ 4,462,601 JPN
26,300 Mabuchi Motor Company,
Ltd. .................... 3,405,529 JPN
54,000 Murata Manufacturing
Company, Ltd. ........... 7,768,132 JPN
584,000 NEC Corp. ................ 18,380,816 JPN
44,000 Nichicon Corp. ........... 1,081,269 JPN
90,299 Samsung Electronics
(GDR)(a)................. 17,485,047 KOR
162,900 STMicroelectronics
N.V.(a).................. 10,456,144 NET
53,000 Taiyo Yuden Company,
Ltd. .................... 3,326,227 JPN
------------
TOTAL ELECTRONICS......... 97,614,133
------------
EMPLOYMENT AGENCY -- 0.24%
1,982 Adecco SA................. 1,689,386 SWI
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
ENGINEERING -- 0.12%
57,261 Chudenko Corp. ........... $ 808,571 JPN
------------
FINANCE -- 2.42%
19,900 AIFUL Corp. .............. 1,839,500 JPN
2,284 CIE Financial Richemont... 6,173,295 SWI
3,600 Fairfax Financial
Holdings, Ltd.(c)........ 393,610 CDA
170,029 Lend Lease Corp., Ltd. ... 2,175,317 AUS
136,000 Nomura Securities Co.,
Ltd. .................... 3,335,686 JPN
14,880 Orix Corp. ............... 2,201,027 JPN
181,000 Shinko Securities Company,
Ltd. .................... 812,600 JPN
------------
TOTAL FINANCE............. 16,931,035
------------
FOOD AND BEVERAGES -- 3.86%
653,000 Cadbury Schweppes PLC..... 4,290,406 UK
372,953 Coca-Cola Amatil, Ltd. ... 727,780 AUS
216,988 Coca-Cola Beverages
PLC(c)................... 341,604 AUS
466,900 Coca-Cola Beverages
PLC(c)................... 742,184 AUS
15,000 Groupe Danone............. 1,998,658 FRA
126,175 Heineken N.V. ............ 7,710,567 NET
30,000 Heineken N.V. -- Class
A........................ 1,173,312 NET
4,700 Louis Vuitton Moet
Hennessy................. 1,945,869 FRA
1,931 Nestle.................... 3,877,283 SWI
77,500 Panamerican Beverages,
Inc. -- Class A.......... 1,157,656 MEX
275,000 Tate & Lyle PLC........... 1,373,872 UK
265,000 Unilever PLC.............. 1,604,734 UK
------------
TOTAL FOOD AND
BEVERAGES................. 26,943,925
------------
INDUSTRIAL -- 2.28%
35,822 Advantest Corp. .......... 8,007,356 JPN
21,200 Compagnie de Saint-
Gobain(a)................ 2,877,607 FRA
800 SGS Societe Generale de
Surveillance Holding
SA....................... 1,387,398 SWI
40,900 Vivendi SA(a)............. 3,624,623 FRA
------------
TOTAL INDUSTRIAL.......... 15,896,984
------------
INSURANCE -- 2.43%
105,000 Assicurazioni Generali,
Ltd. .................... 3,613,407 ITA
88,600 Manulife Financial
Corp. ................... 1,560,716 CDA
</TABLE>
See notes to financial statements.
63
<PAGE> 65
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
480,000 Mitsui Marine and Fire
Insurance Company,
Ltd. .................... $ 2,313,744 JPN
629,030 QBE Insurance Group,
Ltd. .................... 3,086,399 AUS
407,964 Royal & Sun Alliance
Insurance Group PLC...... 2,649,563 UK
1,302 Schweizerische
Rueckversicherungs-
Gesellschaft(a).......... 2,662,347 SWI
210,000 Yasuda Fire and Marine
Insurance................ 1,109,535 JPN
------------
TOTAL INSURANCE........... 16,995,711
------------
INVESTMENT HOLDING COMPANIES -- 0.84%
464,800 Hutchison Whampoa......... 5,843,512 HNG
------------
LEISURE AND RECREATION -- 0.19%
32,500 Accor SA.................. 1,337,446 FRA
------------
MANUFACTURING -- 5.05%
18,549 ABB, Ltd. ................ 2,227,273 SWI
29,500 E.On AG................... 1,428,060 GER
1,366,100 Invensys PLC(c)........... 5,129,022 UK
34,500 Metra Oy -- Class B....... 596,936 FIN
602,000 Mitsubishi Heavy
Industries, Ltd. ........ 2,674,265 JPN
169,000 Nippon Sheet Glass
Company, Ltd. ........... 2,354,457 JPN
44,500 Pohang Iron & Steel
Company, Ltd. (ADR)(a)... 1,068,000 KOR
82,100 Siemens AG................ 12,434,628 GER
75,000 THK Company, Ltd. ........ 3,799,568 JPN
20,300 Thyssen Krupp AG.......... 331,781 GER
390,900 TI Group PLC.............. 2,130,405 UK
39,000 Ushio, Inc. .............. 1,076,357 JPN
------------
TOTAL MANUFACTURING....... 35,250,752
------------
MEDIA -- 2.77%
176 Canal Plus................ 29,693 FRA
17,100 Grupo Televisa (GDR)(c)... 1,178,831 MEX
140,233 News Corp., Ltd. ......... 1,936,576 AUS
29,750 News Corp., Ltd.
(ADR)(a)................. 1,621,375 AUS
289,306 Reuters Group PLC......... 4,936,052 UK
433 Reuters Group PLC
(ADR)(a)................. 43,273 UK
177,207 Singapore Press Holdings,
Ltd. .................... 2,767,300 SIN
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
176,224 Thomson Corp.(a).......... $ 6,024,112 CDA
29,500 United Pan-Europe
Communications N.V.(c)... 774,546 NET
------------
TOTAL MEDIA............... 19,311,758
------------
METALS AND MINING -- 1.09%
38,050 Broken Hill Proprietary
(ADR).................... 903,687 AUS
410,302 Broken Hill Proprietary... 4,865,484 AUS
43,663 Pechiney SA -- Class
A(a)..................... 1,829,061 FRA
------------
TOTAL METALS AND MINING... 7,598,232
------------
OFFICE SUPPLIES -- 0.16%
22,100 Societe BIC SA............ 1,086,781 FRA
------------
OIL AND GAS -- 2.60%
1,090,600 Eni Spa(a)................ 6,324,935 ITA
214,700 Enterprise Oil PLC........ 1,790,942 UK
880,000 Santos, Ltd. ............. 2,689,368 AUS
491,000 Shell Transport &
Trading.................. 4,099,457 UK
32,000 Suncor Energy, Inc. ...... 738,627 CDA
38,600 Suncor Energy, Inc. ...... 899,862 CDA
48,000 Talisman Energy,
Inc.(c).................. 1,589,016 CDA
------------
TOTAL OIL AND GAS......... 18,132,207
------------
PAPER AND FOREST PRODUCTS -- 0.76%
189,000 Sumitomo Forestry......... 1,273,671 JPN
162,700 UPM-Kymmene............... 4,055,021 FIN
------------
TOTAL PAPER AND FOREST
PRODUCTS.................. 5,328,692
------------
PHARMACEUTICALS -- 6.16%
40,062 AstraZeneca PLC (ADR)..... 1,862,883 UK
136,100 AstraZeneca PLC........... 6,356,387 UK
228,128 AstraZeneca PLC........... 10,664,163 UK
49,963 BOC Group................. 718,573 UK
136,000 Chugai Pharmaceutical
Company, Ltd. ........... 2,577,282 JPN
4,244 Novartis AG............... 6,744,192 SWI
60,000 Sankyo Company, Ltd. ..... 1,358,202 JPN
143,280 Sanofi-Synthelabo SA...... 6,853,598 FRA
210,000 Shionogi & Company,
Ltd. .................... 3,999,471 JPN
28,000 Takeda Chemical
Industries, Ltd. ........ 1,841,941 JPN
------------
TOTAL PHARMACEUTICALS..... 42,976,692
------------
</TABLE>
See notes to financial statements.
64
<PAGE> 66
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
PUBLISHING -- 0.18%
46,400 Wolters Kluwer N.V. ...... $ 1,240,949 NET
------------
REAL ESTATE -- 0.79%
188,000 Cheung Kong Holdings,
Ltd. .................... 2,080,164 HNG
168,000 Land Securities PLC....... 2,009,246 UK
134,000 Mitsui Fudosan............ 1,456,500 JPN
------------
TOTAL REAL ESTATE......... 5,545,910
------------
RETAIL -- 0.79%
242,095 Dixons Group PLC(c)....... 985,908 UK
237,000 Jusco Company, Ltd. ...... 4,502,479 JPN
------------
TOTAL RETAIL.............. 5,488,387
------------
SEMICONDUCTORS -- 5.68%
20,600 Aixtron AG................ 2,833,687 GER
198,000 Chartered Semiconductor
Manufacturing, Ltd.(c)... 1,729,233 SIN
163,200 Infineon Technologies
AG(c).................... 12,914,261 GER
73,700 Infineon Technologies AG
(ADR)(a)(c).............. 5,840,725 GER
114,300 Tokyo Electron, Ltd. ..... 15,686,315 JPN
4,600 Tokyo Seimitsu Company,
Ltd. .................... 617,383 JPN
------------
TOTAL SEMICONDUCTORS...... 39,621,604
------------
TELECOMMUNICATIONS -- 18.08%
6,819 Cable & Wireless HKT, Ltd.
(ADR)(a)................. 146,608 HNG
641,600 Cable & Wireless HKT,
Ltd. .................... 1,411,584 HNG
356,000 Cable & Wireless Optus,
Ltd.(c).................. 1,064,476 AUS
101,000 Cable & Wireless PLC...... 1,710,990 UK
8,500 Colt Telecom Group
PLC(c)................... 283,099 UK
53 DDI Corp. ................ 510,957 JPN
68,000 Deutsche Telekom AG....... 3,898,005 GER
122,800 Ericsson AB -- Class B.... 2,443,192 SWE
251,600 Ericsson (LM) Telephone
Company (ADR)............ 5,032,000 SWE
7,000 Korea Telecom Corp.
(ADR)(a)................. 338,625 KOR
215 Nippon Telegraph and
Telephone Corp. ......... 2,865,271 JPN
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
380,600 Nokia Oyj................. $ 19,500,650 FIN
81,600 Nortel Networks Corp. .... 5,569,200 CDA
514 NTT DoCoMo, Inc. ......... 13,942,902 JPN
160,000 Portugal Telecom SA....... 1,803,680 POR
11,500 PT Multimedia -- Servicos
de Telecomunicacoes e
Multimedia, S.G.P.S.,
SA(c).................... 573,236 POR
11,000 Societe Europeenne des
Satellites (FDR)......... 1,818,923 LUX
15,247 Swisscom AG............... 5,297,793 SWI
40,500 Telecel-Comunicacoes
Pessoais, SA(c).......... 617,285 POR
179,000 Telecom Italia Mobile..... 1,835,985 ITA
523,000 Telecom Italia Mobile..... 2,642,091 ITA
102,555 Telecom Italia Spa........ 1,415,638 ITA
698,000 Telecom Italia Spa(a)..... 4,650,216 ITA
435,861 Telefonica SA(c).......... 9,400,781 SPA
176,600 Telefonos De Mexico
(ADR)(a)................. 10,088,275 MEX
64,000 Telesp-Telecomunicacoes de
Sao Paulo SA............. 1,184,000 BRA
6,137,740 Vodafone AirTouch PLC..... 24,809,359 UK
31,000 Vodafone AirTouch PLC
(ADR)(a)................. 1,284,563 UK
------------
TOTAL
TELECOMMUNICATIONS........ 126,139,384
------------
TIRE AND RUBBER -- 0.04%
13,000 Bridgestone Corp. ........ 275,847 JPN
------------
TRANSPORTATION -- 1.22%
130,000 Bombardier Inc., Class
B........................ 3,527,744 CDA
183,200 Bombardier Inc., Class
B........................ 4,970,509 CDA
------------
TOTAL TRANSPORTATION...... 8,498,253
------------
TOTAL COMMON STOCK (Cost
$488,306,758)............. 670,885,062
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
NON-CONVERTIBLE BOND -- 0.02%
$ 141,656 Sekisui House, 2.50%,
01/31/02 (Cost
$157,468)................ 143,413 JPN
------------
</TABLE>
See notes to financial statements.
65
<PAGE> 67
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE COUNTRY
------ ------------ -------
<C> <S> <C> <C>
REGULATED INVESTMENT COMPANIES -- 1.15%
5,749,153 Janus Money Market
Fund(b).................. $ 5,749,153 USA
2,242,170 Merrimac Cash Fund --
Premium Class(b)......... 2,242,170 USA
------------
TOTAL REGULATED INVESTMENT
COMPANIES (Cost
$7,991,323)............... 7,991,323
------------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C>
TIME DEPOSITS -- 7.12%
$ 2,172,087 Bank of Montreal, 6.59%,
07/05/00(b).............. 2,172,087 USA
3,087,277 Bank of Montreal, 6.90%,
07/05/00(b).............. 3,087,277 USA
10,818,576 BNP Paribas, 6.75%,
07/05/00(b).............. 10,818,576 USA
16,001,413 BNP Paribas, 6.75%,
07/05/00(b).............. 16,001,413 USA
3,271,956 Fleet National Bank,
7.125%, 10/31/00(b)...... 3,271,956 USA
3,704,733 Royal Bank of Scotland,
6.70%, 07/05/00(b)....... 3,704,733 USA
10,631,446 Royal Bank of Scotland,
6.85%, 07/05/00(b)....... 10,631,446 USA
------------
TOTAL TIME DEPOSITS (Cost
$49,687,488).............. 49,687,488
------------
SHORT TERM CORPORATE NOTES -- 4.82%
7,000,000 Bank of America, Floating
Rate, 6.67%(++),
03/22/01(b).............. 7,000,000 USA
1,355,175 Bank of Montreal, Floating
Rate, 6.63%(++),
08/16/00(b).............. 1,355,175 USA
4,000,000 Bear Stearns and Company,
Inc., Floating Rate,
7.375%(++),
07/26/00(b).............. 4,000,000 USA
2,234,662 First Union National Bank,
Floating Rate, 6.90%(++),
05/09/01(b).............. 2,234,662 USA
14,000,000 JP Morgan Securities,
Inc., Floating Rate,
7.23%(++), 07/07/00(b)... 14,000,000 USA
5,000,000 Prudential Securities,
Inc., Floating Rate,
7.40%(++), 12/08/00(b)... 5,000,000 USA
------------
TOTAL SHORT TERM CORPORATE
NOTES (Cost
$33,589,837).............. 33,589,837
------------
TOTAL SECURITIES (Cost
$579,732,874)............. 762,297,123
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE COUNTRY
--------- ------------ -------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 3.19%
$22,276,534 With Investors Bank and
Trust, dated 06/30/00,
6.03%, due 07/03/00,
repurchase proceeds at
maturity $22,287,728
(Collateralized by Fannie
Mae, 6.50%, due 05/18/28,
with a value of
$3,892,062, and IMPAC
Secured Assets, 7.36%,
due 04/25/30, with a
value of $19,498,299)
(Cost $22,276,534)....... $ 22,276,534 USA
------------
Total
Investments -- 112.44%
(Cost $602,009,408)....... 784,573,657
Liabilities less other
assets -- (12.44)%........ (86,775,641)
------------
NET ASSETS -- 100.00%..... $697,798,016
============
The aggregate cost of securities for federal income tax purposes
at June 30, 2000 is $602,009,408.
The following amount is based on cost for federal income tax
purposes:
Gross unrealized appreciation........ $211,351,456
Gross unrealized depreciation........ (28,787,207)
------------
Net unrealized appreciation.......... $182,564,249
============
</TABLE>
---------------
(a) All or part of the security is on loan.
(b) Collateral for securities on loan.
(c) Non-income producing securities.
(ADR) American Depository Receipt.
(FDR) Foreign Depository Receipt.
(GDR) Global Depository Receipt.
(++) This interest rate is subject to change monthly based on the London
Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June
30, 2000.
See notes to financial statements.
66
<PAGE> 68
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF TOTAL
COUNTRY COMPOSITION INVESTMENTS AT VALUE
------------------- --------------------
<S> <C>
Australia (AUS).................... 3.43%
Brazil (BRA)....................... 0.15%
Canada (CDA)....................... 4.01%
Finland (FIN)...................... 3.10%
France (FRA)....................... 4.36%
Germany (GER)...................... 6.06%
Hong Kong (HNG).................... 1.76%
Ireland (IRE)...................... 0.41%
Italy (ITA)........................ 3.02%
Japan (JPN)........................ 25.70%
Korea (KOR)........................ 2.41%
Luxembourg (LUX)................... 0.23%
Mexico (MEX)....................... 1.58%
Netherlands (NET).................. 6.27%
Norway (NOR)....................... 0.38%
Portugal (POR)..................... 0.39%
Singapore (SIN).................... 1.05%
Spain (SPA)........................ 1.57%
Sweden (SWE)....................... 1.89%
Switzerland (SWI).................. 4.30%
Turkey (TUR)....................... 0.38%
United Kingdom (UK)................ 13.06%
United States (USA)................ 14.49%
-------
TOTAL PERCENTAGE................... 100.00%
=======
</TABLE>
See notes to financial statements.
67
<PAGE> 69
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements
(Unaudited)
1. ORGANIZATION AND BUSINESS
Diversified Investors Portfolios (the "Series Portfolio"), a series trust
organized on September 1, 1993, under the laws of the State of New York, is
composed of thirteen different series that are, in effect, separate investment
funds: the Money Market Series, the High Quality Bond Series, the Intermediate
Government Bond Series, the Core Bond Series, the Balanced Series, the Value and
Income Series (formerly the Equity Income Series), the Equity Value Series, the
Growth & Income Series, the Equity Growth Series, the Special Equity Series, the
Aggressive Equity Series, the High-Yield Bond Series, and the International
Equity Series (each a "Series"). The Declaration of Trust permits the Board of
Trustees to issue an unlimited number of beneficial interests in each Series.
Investors in a Series (e.g., investment companies, insurance company separate
accounts and common and commingled trust funds) will each be liable for all
obligations of that Series (and of no other Series).
2. SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Short-term securities having remaining maturities of 60 days or less
are valued at amortized cost which approximates value. The amortized cost
of a security is determined by valuing it at original cost and thereafter
amortizing any discount or premium at a constant rate until maturity.
Equity securities are valued at the last sale price on the exchange on
which they are primarily traded or at the bid price on the Nasdaq system
for unlisted national market issues, or at the last quoted bid price for
securities not reported on the Nasdaq system. Bonds are valued at the last
available price provided by an independent pricing service for securities
traded on a national securities exchange. Bonds that are listed on a
national securities exchange but are not traded and bonds that are
regularly traded in the over-the-counter market are valued at the mean of
the last available bid and asked prices by an independent pricing service.
All other securities will be valued at their fair value as determined by
the Board of Trustees.
B. REPURCHASE AGREEMENTS
Each Series, along with other affiliated entities of the investment
advisor, may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Series investment advisor, subject to the
seller's agreement to repurchase and the Series agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are segregated at the custodian, and pursuant to the
terms of the repurchase agreements must have an aggregate market value
greater than or equal to 102% and 105% of domestic and international
securities, respectively, of the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value
of the repurchase price plus accrued interest, the Series will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met or the seller defaults on its
repurchase obligation, the Series maintains the right to sell the
underlying securities at market value and may claim any resulting loss
against the seller. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to
legal proceedings.
C. FOREIGN CURRENCY TRANSLATION
The accounting records of each Series are maintained in U.S. dollars.
The market values of foreign securities, currency holdings and other assets
and liabilities are translated to U.S. dollars based on the prevailing
exchange rates each business day. Income and expenses denominated in
foreign currencies are translated at prevailing exchange rates when accrued
or incurred. The Series does not isolate realized gains and losses
attributable to changes in exchange rates from gains and losses that arise
from changes in the market value of investments. Such fluctuations are
included with net realized and unrealized gains or losses on securities.
Net realized gains and losses on foreign currency transactions represent
net exchange
68
<PAGE> 70
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
C. FOREIGN CURRENCY TRANSLATION (CONTINUED)
gains and losses on disposition of foreign currencies and foreign currency
forward contracts, and the difference between the amount of investment
income receivable and foreign withholding taxes receivable recorded on the
Series' books and the U.S. dollar equivalent of amounts actually received
or paid. Net unrealized foreign exchange gains and losses arise from
changes in the value of assets and liabilities other than investments in
securities at fiscal year end and foreign currency forward contracts,
resulting from changes in the prevailing exchange rates.
D. FOREIGN CURRENCY FORWARD CONTRACTS
Each Series may enter into foreign currency forward contracts and
forward cross currency contracts in connection with settling planned
purchases or sales of securities or to hedge the currency exposure
associated with some or all of the Series' portfolio securities. A foreign
currency forward contract is an agreement between two parties to buy and
sell a currency at a set price on a future date. The market value of a
foreign currency forward contract fluctuates with changes in forward
currency exchange rates. Foreign currency forward contracts are marked to
market daily and the change in value is recorded by the Series as an
unrealized gain or loss. When a foreign currency forward contract is
extinguished, through delivery or offset by entering into another foreign
currency forward contract, the Series records a realized gain or loss equal
to the difference between the value of the contract at the time it was
opened and the value of the contract at the time it was extinguished. These
contracts may involve market risk in excess of the unrealized gain or loss
reflected in the Series' Statement of Assets and Liabilities and Statement
of Operations. In addition, the Series could be exposed to risk if the
counterparties are unable to meet the terms of the contracts or if the
value of the currency changes unfavorably to the U.S. dollar.
E. OPTIONS
Each Series, with the exception of the Money Market Series, may
purchase and write (sell) call and put options on securities indices for
the purpose of protecting against an anticipated decline in the value of
the securities held by that Series. Index options are marked to market
daily and the change in value is recorded by the Series as an unrealized
gain or loss. A realized gain or loss equal to the difference between the
exercise price and the value of the index is recorded by the Series upon
cash settlement of the option. The use of index options may expose the
Series to the risk that trading in such options may be interrupted if
trading in certain securities included in the index is interrupted or the
value of the securities in the index may not move in direct correlation
with the movements of the Series portfolio. In addition, there is the risk
the Series may not be able to enter into a closing transaction because of
an illiquid secondary market.
F. FUTURES CONTRACTS
Each Series may invest in futures contracts solely for the purpose of
hedging its existing portfolio securities, or securities that the Series
intends to purchase, against fluctuations in fair value caused by changes
in prevailing market or interest rates.
Initial margin deposits made upon entering into futures contracts are
recognized as assets due from the broker (the Series agent in acquiring the
futures position). During the period the futures contract is open, changes
in the value of the contract are recognized as unrealized gains or losses
by "marking to market" on a daily basis to reflect the daily market value
of the contract.
Variation margin payments are received or made by the Series each day,
depending upon the daily fluctuations in the fair value of the underlying
instrument. The Series recognizes a gain or loss equal to the daily
variation margin. When the contract is closed, the Series records a
realized gain or loss equal to
69
<PAGE> 71
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
F. FUTURES CONTRACTS (CONTINUED)
the difference between the proceeds from (or cost of) the closing
transaction and the Series basis in the contract.
Should market conditions move unexpectedly, the Series may not achieve
the anticipated benefits of the financial futures contracts and may realize
a loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates,
and the underlying hedged assets.
G. FEDERAL INCOME TAXES
It is the Series' policy to comply with the applicable provisions of
the Internal Revenue Code. Therefore, no federal income tax provision is
required.
H. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis (the
date the order to buy or sell is executed). Dividend income is recorded on
the ex-dividend date. Interest income is recorded on the accrual basis and
includes amortization of premiums and accretion of discounts on
investments. Realized gains and losses from securities transactions are
recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and
losses from security transactions are determined on each valuation day and
allocated pro rata among the investors in a Series at the time of such
determination.
I. OPERATING EXPENSES
The Series Portfolio accounts separately for the assets, liabilities
and operations of each Series. Expenses directly attributable to a Series
are charged to that Series, while expenses attributable to all Series are
allocated among them.
J. OTHER
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from
those estimates.
70
<PAGE> 72
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES
AUSA Life Insurance Company, Inc. ("AUSA") is an affiliate of Diversified
Investment Advisors, Inc. (the "Advisor"). AUSA has sub-accounts which invest in
the corresponding Portfolios as follows:
<TABLE>
<CAPTION>
PERCENTAGE INVESTMENT
AUSA SUB-ACCOUNT IN PORTFOLIO
---------------- ---------------------
<S> <C>
Money Market................................................ 19.51
High Quality Bond........................................... 38.35
Intermediate Government Bond................................ 38.49
Core Bond................................................... 27.66
Balanced.................................................... 54.91
Value & Income.............................................. 59.81
Equity Value................................................ 26.65
Growth & Income............................................. 42.23
Equity Growth............................................... 52.57
Special Equity.............................................. 37.28
Aggressive Equity........................................... 37.09
High Yield Bond............................................. 23.57
International Equity........................................ 35.43
</TABLE>
The Advisor manages the assets of each Series of the Series Portfolio
pursuant to an Investment Advisory Agreement with the Series Portfolio. Subject
to such further policies as the Board of Trustees may determine, the Advisor
provides general investment advice to each Series. For its services, the Advisor
receives from each Series fees accrued daily and paid monthly at an annual rate
equal to the percentages specified in the table below of the corresponding
Series' average daily net assets. The Advisor is currently waiving a portion of
its investment advisory fee to certain Series.
For each Series, the Advisor has entered into Investment Subadvisory
Agreements with the subadvisors listed in the table below (each a "Subadvisor",
collectively the "Subadvisors"). It is the responsibility of a Subadvisor to
make the day-to-day investment decisions of the Series and to place the purchase
and sales orders for securities transactions of such Series, subject in all
cases to the general supervision of the Advisor.
71
<PAGE> 73
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For its services the Subadvisors receive a fee from the Advisor at an annual
rate equal to the percentages specified in the table below of the corresponding
Series' average daily net assets.
<TABLE>
<CAPTION>
ADVISOR SUBADVISOR
PORTFOLIO SERIES PORTFOLIO SUBADVISORS FEE(%) FEE(%)
---------------- --------------------- ------- ----------
<S> <C> <C> <C>
Money Market Series....................... Capital Management Group 0.25 0.05
High Quality Bond Series.................. Merganser Capital Management Corporation 0.35 (2)
Intermediate Government Bond Series....... Capital Management Group 0.35 0.15
Core Bond Series.......................... Payden & Rygel Investment Counsel 0.35 (3)
Balanced Series........................... (4) 0.45 (5)
Value and Income Series................... (6) 0.45 (7)
Equity Value Series....................... Sanford Bernstein 0.57(1) (8)
Growth & Income Series.................... Putnam Advisory Company, Inc 0.60 (9)
Equity Growth Series...................... (10) 0.62 (11)
Special Equity Series..................... (12) 0.80 (13)
Aggressive Equity Series.................. McKinley Capital Management 0.97 (14)
High-Yield Bond Series.................... Eaton Vance 0.55(1) (15)
International Equity Series............... Capital Guardian Trust Company 0.75 (16)
</TABLE>
---------------
(1) The Advisor is currently waiving a portion of its fee.
(2) 0.20% on the first $100,000,000 in average daily net assets, 0.15% on the
next $100,000,000 in average daily net assets, 0.10% on the next
$100,000,000 in average daily net assets, and 0.05% on all daily average
net assets in excess of $300,000,000.
(3) The net assets of the Core Bond and Balanced Series -- fixed income
securities, are combined to determine the fee. 0.20% on the first
$50,000,000 in average daily net assets, 0.15% on the next $50,000,000 in
average daily net assets, 0.10% on the next $400,000,000 in average daily
net assets, and 0.05% on all daily average net assets in excess of
$500,000,000.
(4) The Balanced Series has two subadvisors: Aeltus Investment Management, Inc.
and Payden & Rygel Investment Counsel for equity and fixed income
securities, respectively.
(5) Aeltus Investment Management, Inc. received 0.20% on the first $200,000,000
in average daily net assets, 0.15% on the next $300,000,000 in average
daily net assets, 0.125% on the next $500,000,000 in average daily net
assets, and 0.10% on all average daily net assets in excess of
$1,000,000,000. Payden & Rygel received a fee of 0.20% on the first
$50,000,000 in average daily net assets, 0.15% on the next $50,000,000 in
average daily net assets, 0.10% on the next $400,000,000 in average daily
net assets, and 0.05% on all daily average net assets in excess of
$500,000,000 on the combined net assets of the Core Bond Series and
Balanced Series (fixed income securities).
(6) Effective April 20, 2000, Value and Income (formerly Equity Income) added
an additional subadvisor, Sanford Bernstein to its existing subadvisor,
Asset Management Group.
(7) For the period January 1 through April 19, 2000, Asset Management Group
received 0.25% on the first $100,000,000 in average daily net assets, and
0.20% on all average daily net assets in excess of $100,000,000. For the
period from April 20 through June 30, 2000, Asset Management Group and
Sanford Bernstein received 0.27% on the first $300,000,000 in average daily
net assets, and 0.16% on the next $700,000,000 in average daily net assets,
and 0.13% on all average daily net assets in excess of $1,000,000,000.
72
<PAGE> 74
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
(8) Equity Value changed its subadvisor on April 20, 2000 from Ark Asset
Management Company, Inc. to Sanford Bernstein. For the period January 1
through April 19, 2000, Ark Asset Management Company, Inc received 0.45% on
the first $100,000,000 in average daily net assets, and 0.40% on the next
$50,000,000 in average daily net assets, and 0.35% on the next $50,000,000
in average daily net assets; when average daily net assets reach
$200,000,000, 0.40% on the first $200,000,000 in average daily net assets,
and 0.35% on all average daily net assets in excess of $200,000,000. For
the period April 20 through June 30, 2000, Sanford Bernstein received 0.27%
on the first $300,000,000 in average daily net assets, and 0.16% on the
next $700,000,000 in average daily net assets, and 0.13% on all average
daily net assets in excess of $1,000,000,000.
(9) 0.30% on the first $100,000,000 in average daily net assets, and 0.20% on
all average daily net assets in excess of $100,000,000.
(10) The Equity Growth Series has two subadvisors: Montag & Caldwell, Inc. and
Dresdner RCM Global Investors, Inc.
(11) 0.50% on the first $50,000,000 in average daily net assets, 0.25% on the
next $50,000,000 in average daily net assets, and 0.20% on all average
daily net assets in excess of $100,000,000.
(12) The Special Equity Series has four Subadvisors: Husic Capital; Robertson,
Stephens; Liberty Investment Management, Inc.; and Westport Asset
Management, Inc.
(13) 0.50% of average daily net assets for the two Subadvisors: Liberty
Investment Management, Inc., and Westport Asset Management.
Robertson, Stephens received 0.50% on the first $100,000,000 in average
daily net assets, and 0.40% on all average daily net assets in excess of
$100,000,000. Husic Capital received 0.40% on the first $250,000,000 in
average daily net assets, 0.25% on the next $100,000,000 in average daily
net assets, and 0.20% on all average daily net assets in excess of
$350,000,000.
(14) 0.90% on the first $10,000,000 in average daily net assets, 0.80% on the
next $15,000,000 in average daily net assets, 0.60% on the next $25,000,000
in average daily net assets, 0.40% on the next $50,000,000 in average daily
net assets, and 0.35% on all average daily net assets in excess of
$100,000,000.
(15) The High Yield Bond Series changed its subadvisor on June 1, 2000 from
Delaware Investment Advisors to Eaton Vance. From the period January 1
through May 31, 2000, 0.40% on the first $20,000,000 in average daily net
assets, 0.30% on the next $20,000,000 in average daily net assets, and
0.20% on all average daily net assets in excess of $40,000,000. For the
period June 1 through June 30, 2000, 0.35% on the first $20,000,000 in
average daily net assets, 0.25% on the next $20,000,000 in average daily
net assets, 0.20% on the next $85,000,000 in average daily net assets, and
0.15% on all average daily net assets in excess of $125,000,000.
(16) 0.75% on the first $25,000,000 in average daily net assets, 0.60% on the
next $25,000,000 in average daily net assets, 0.425% from $50,000,000 to
$250,000,000 in average daily net assets and 0.375% on all average daily
net assets in excess of $250,000,000.
73
<PAGE> 75
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For the period ended June 30, 2000, the Advisor has voluntarily undertaken
to waive fees in accordance with the following expense caps:
<TABLE>
<CAPTION>
FUND EXPENSE CAP
---- -----------------------
<S> <C>
Money Market Series......................................... 30 basis points (b.p.)
High Quality Bond Series.................................... 40 b.p.
Intermediate Government Bond Series......................... 40 b.p.
Core Bond Series............................................ 40 b.p.
Balanced Series............................................. 50 b.p.
Value and Income Series..................................... 50 b.p.
Equity Value Series......................................... 60 b.p.
Growth & Income Series...................................... 65 b.p.
Equity Growth Series........................................ 65 b.p.
Special Equity Series....................................... 85 b.p.
Aggressive Equity Series.................................... 100 b.p.
High-Yield Bond Series...................................... 60 b.p.
International Equity Series................................. 90 b.p.
</TABLE>
Certain trustees and officers of the Series Portfolio are also directors,
officers or employees of the Advisor or its affiliates. None of the
trustees so affiliated receive compensation for services as trustees of the
Series Portfolio. Similarly, none of the Series Portfolio officers receive
compensation from the Series Portfolio. Aggregate remuneration incurred to
non-affiliated trustees of the trust for the period ended June 30, 2000,
amounted to $16,768.
4. SECURITIES LENDING
All but the High Yield Bond Series may lend its securities to certain
member firms of the New York Stock Exchange. The loans are collateralized at all
times with cash or securities with a market value at least equal to the market
value of the securities on loan. Any deficiencies or excess of collateral must
be delivered or transferred by the member firms no later than the close of
business on the next business day. As with other extensions of credit, the
Series may bear the risk of delay in recovery or even loss of rights in the
collateral should the borrower of the securities fail financially. The Series
receives compensation, net of related expenses, for lending its securities which
is included in interest income on the Statements of Operations. At June 30,
2000, the Series loaned securities having market values as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
------------ ------------
<S> <C> <C>
High Quality Bond Series.................................... $ 9,114,459 $ 9,340,000
Intermediate Government Bond Series......................... 28,217,817 28,730,000
Core Bond Series............................................ 42,252,083 42,412,500
Balanced Series............................................. 44,434,663 44,792,400
Value and Income Series..................................... 23,971,884 25,044,861
Equity Value Series......................................... 6,445,871 6,768,500
Growth & Income Series...................................... 161,249,028 166,821,394
Equity Growth Series........................................ 132,271,538 135,995,998
Special Equity Series....................................... 104,384,319 109,119,228
Aggressive Equity Series.................................... 74,015,662 76,599,800
International Equity Series................................. 87,051,285 91,268,648
</TABLE>
74
<PAGE> 76
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
5. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities (excluding short-term securities) for the period ended June 30, 2000,
were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
<S> <C> <C> <C>
High Quality Bond Series............ Government Obligations $ 10,216,110 $ 270,745
Other 71,404,918 47,882,098
Intermediate Government Bond
Series............................ Government Obligations 31,690,579 35,340,860
Other 5,635,695 430,966
Core Bond Series.................... Government Obligations 1,742,904,347 1,849,610,376
Other 192,102,961 135,046,820
Balanced Series..................... Government Obligations 654,603,223 487,935,584
Other 321,893,663 461,450,439
Value and Income Series............. Other 633,331,383 834,166,684
Equity Value Series................. Other 298,161,479 454,591,293
Growth & Income Series.............. Other 499,918,733 409,910,730
Equity Growth Series................ Other 411,870,251 319,837,106
Special Equity Series............... Other 538,757,292 456,218,966
Aggressive Equity Series............ Other 205,241,687 75,085,040
High-Yield Bond Series.............. Other 57,618,388 69,502,259
International Equity Series......... Other 214,877,499 120,142,721
</TABLE>
75
<PAGE> 77
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
6. FOREIGN CURRENCY FORWARD CONTRACTS
At June 30, 2000, the Core Bond Series, the Balanced Series and the
International Equity Series had entered into foreign currency forward contracts
which contractually obligate each Series to deliver/receive currency at
specified future dates. The open contracts were as follows:
<TABLE>
<CAPTION>
FOREIGN IN EXCHANGE SETTLEMENT NET UNREALIZED
CORE BOND CURRENCY FOR DATE VALUE APPRECIATION/(DEPRECIATION)
--------- ---------- ----------- ---------- ----------- ---------------------------
<S> <C> <C> <C> <C> <C>
PURCHASE CONTRACTS:
British Pound
Sterling............. 14,190,155 $21,427,133 07/05/2000 $21,500,307 $ 73,174
Euro................... 11,346,319 10,705,365 07/05/2000 10,870,076 164,711
---------
TOTAL........ $ 237,885
=========
SALE CONTRACTS:
British Pound
Sterling............. 14,190,000 21,308,839 07/31/2000 21,542,281 (233,442)
Euro................... 2,000,000 1,936,600 07/13/2000 1,917,099 19,501
Euro................... 11,350,000 10,725,750 07/31/2000 10,892,784 (167,034)
---------
TOTAL........ $(380,975)
=========
<CAPTION>
BALANCED
--------
<S> <C> <C> <C> <C> <C>
PURCHASE CONTRACTS:
British Pound
Sterling............. 5,429,817 $ 8,199,023 07/05/2000 $ 8,227,023 $ 28,000
Euro................... 4,380,825 4,133,352 07/05/2000 4,196,947 63,595
---------
TOTAL........ $ 91,595
=========
SALE CONTRACTS:
British Pound
Sterling............. 5,430,000 8,154,122 07/31/2000 8,231,699 (77,577)
Euro................... 170,000 164,611 07/13/2000 182,953 1,658
Euro................... 4,380,000 4,139,100 07/31/2000 4,203,559 (64,459)
---------
TOTAL........ $(140,378)
=========
<CAPTION>
INTERNATIONAL EQUITY
--------------------
<S> <C> <C> <C> <C> <C>
SALE CONTRACTS:
Japanese Yen........... 330,962,120 $ 3,077,000 08/28/2000 $ 3,159,872 $ (82,872)
=========
</TABLE>
76
<PAGE> 78
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
(Unaudited)
6. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
FOREIGN CURRENCY CROSS CONTRACTS:
<TABLE>
<CAPTION>
SETTLEMENT PURCHASE SALE NET UNREALIZED
PURCHASE/SALE DATE CURRENT VALUE CURRENT SALE APPRECIATION/ (DEPRECIATION)
------------- ---------- ------------- ------------ ----------------------------
<S> <C> <C> <C> <C>
Euro/Australian Dollar........... 07/19/2000 $2,532,318 $2,436,645 $ 95,673
Euro/Australian Dollar........... 08/10/2000 3,417,893 3,248,423 169,470
Euro/Canadian Dollar............. 08/10/2000 2,718,833 2,555,805 163,028
Euro/Canadian Dollar............. 09/07/2000 1,203,186 1,193,499 9,687
Euro/British Pound............... 07/31/2000 1,824,722 1,672,327 152,395
Euro/British Pound............... 08/04/2000 238,224 215,169 23,055
Euro/British Pound............... 08/10/2000 733,714 677,411 56,303
Euro/British Pound............... 09/01/2000 3,677,247 3,642,112 35,135
Euro/British Pound............... 09/05/2000 601,017 588,770 12,247
Euro/Japanese Yen................ 07/19/2000 4,813,613 4,691,110 122,503
Euro/Japanese Yen................ 07/19/2000 8,066,540 7,861,252 205,288
Euro/Japanese Yen................ 08/28/2000 2,749,891 2,957,566 (207,675)
Euro/Japanese Yen................ 02/20/2001 5,870,042 6,175,032 (304,990)
---------
Total............................................................. $ 532,119
=========
</TABLE>
77
<PAGE> 79
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT INVESTMENT
RATIO OF EXPENSES TO INCOME INCOME (LOSS)
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO TO AVERAGE NET
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
----------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
MONEY MARKET
06/30/2000* $ 489,442,999 0.28% 0.28% 5.91% 5.91% N/A
12/31/1999 416,768,827 0.28 0.28 5.06 5.06 N/A
12/31/1998 292,437,753 0.28 0.28 5.32 5.32 N/A
12/31/1997 232,312,458 0.28 0.28 5.33 5.33 N/A
12/31/1996 185,012,254 0.30 0.30 5.19 5.19 N/A
12/31/1995 141,638,248 0.31 0.30 5.69** 5.70** N/A
HIGH QUALITY
BOND
06/30/2000* 228,334,392 0.37 0.37 6.15 6.15 24%
12/31/1999 199,906,097 0.38 0.38 5.78 5.78 56
12/31/1998 227,463,134 0.39 0.39 5.90 5.90 68
12/31/1997 218,169,438 0.39 0.39 6.12 6.12 62
12/31/1996 197,294,663 0.40 0.40 6.14 6.14 66
12/31/1995 172,526,103 0.41 0.40 5.82** 5.83** 25
INTERMEDIATE
GOVERNMENT
BOND
06/30/2000* 179,446,626 0.38 0.38 5.78 5.78 22
12/31/1999 174,804,385 0.39 0.39 5.46 5.46 25
12/31/1998 158,574,467 0.39 0.39 5.46 5.46 70
12/31/1997 129,186,397 0.41 0.39 5.61 5.62 45
12/31/1996 103,059,880 0.43 0.40 5.63 5.66 60
12/31/1995 85,991,614 0.45 0.40 5.52** 5.57** 59
CORE BOND
06/30/2000* 540,083,685 0.38 0.38 6.13 6.13 310
12/31/1999 515,721,444 0.37 0.37 5.86 5.86 307
12/31/1998 551,935,530 0.38 0.38 5.98 5.98 102
12/31/1997 361,632,885 0.38 0.38 6.49 6.49 64
12/31/1996 322,676,017 0.39 0.39 6.30 6.30 146
12/31/1995 336,539,410 0.39 0.39 5.90** 5.90** 122
BALANCED
06/30/2000* 526,218,348 0.54 0.50 2.79 2.83 170
12/31/1999 525,583,903 0.52 0.50 2.46 2.48 256
12/31/1998 505,995,739 0.48 0.48 3.22 3.22 91
12/31/1997 394,769,913 0.48 0.48 3.55 3.55 87
12/31/1996 264,909,839 0.50 0.50 3.39 3.39 113
12/31/1995 167,032,955 0.54 0.50 4.15** 4.19** 124
</TABLE>
---------------
<TABLE>
<S> <C>
* Unaudited and Annualized (except for Portfolio turnover).
** Ratios have been restated.
*** Annualized (except for Portfolio turnover).
+ Commencement of Operations, April 19, 1996.
++ Commencement of Operations, August 22, 1995.
+++ Commencement of Operations, September 29, 1995.
(1) For the period January 1, 1996 -- November 14, 1996, the
expense cap was 75 bp.
For the period November 15, 1996 -- December 31, 1996, the
expense cap was 65 bp.
</TABLE>
78
<PAGE> 80
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT INVESTMENT
RATIO OF EXPENSES TO INCOME INCOME (LOSS)
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO TO AVERAGE NET
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
----------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
VALUE AND
INCOME
06/30/2000* $1,112,129,723 0.46% 0.46% 2.08% 2.08% 52%
12/31/1999 1,414,634,230 0.46 0.46 1.75 1.75 43
12/31/1998 1,367,107,496 0.47 0.47 2.23 2.23 31
12/31/1997 1,215,071,169 0.47 0.47 2.27 2.27 33
12/31/1996 956,820,669 0.48 0.48 2.97 2.97 26
12/31/1995 764,302,530 0.49 0.49 3.37 3.37 23
EQUITY VALUE+
06/30/2000* 172,323,488 0.59 0.59 2.16 2.16 105
12/31/1999 394,104,288 0.60 0.60 1.70 1.70 80
12/31/1998 389,859,775 0.61 0.60 1.46 1.47 107
12/31/1997 234,983,715 0.63 0.60 1.43 1.46 120
12/31/1996*** 29,033,513 1.06 0.60 1.60 2.07 65
GROWTH &
INCOME
06/30/2000* 1,314,417,381 0.62 0.62 0.02 0.02 33
12/31/1999 1,242,236,443 0.62 0.62 0.07 0.07 86
12/31/1998 771,268,461 0.63 0.63 0.30 0.30 75
12/31/1997 376,260,408 0.64 0.64 0.65 0.65 87
12/31/1996 207,612,426 0.67 0.65 1.02 1.04 142
12/31/1995 124,811,731 0.68 0.65 1.47** 1.49** 155
EQUITY GROWTH
06/30/2000* 1,377,840,236 0.65 0.65 0.02 0.02 25
12/31/1999 1,266,869,154 0.64 0.64 0.12 0.12 44
12/31/1998 688,448,565 0.64 0.64 0.22 0.22 104
12/31/1997 426,312,188 0.65 0.65 0.43 0.43 91
12/31/1996 299,127,686 0.73 0.73(1) (0.17) (0.17) 133
12/31/1995 222,362,390 0.75 0.75 0.41** 0.41** 62
SPECIAL EQUITY
06/30/2000* 1,317,117,654 0.81 0.81 (0.01) (0.01) 39
12/31/1999 1,171,034,281 0.84 0.84 0.13 0.13 171
12/31/1998 924,089,884 0.83 0.83 0.14 0.14 173
12/31/1997 743,388,261 0.84 0.84 0.41 0.41 146
12/31/1996 507,264,243 0.86 0.85 0.24 0.25 140
12/31/1995 315,458,225 0.88 0.85 0.30** 0.33** 155
</TABLE>
---------------
<TABLE>
<S> <C>
* Unaudited and Annualized (except for Portfolio turnover).
** Ratios have been restated.
*** Annualized (except for Portfolio turnover).
+ Commencement of Operations, April 19, 1996.
++ Commencement of Operations, August 22, 1995.
+++ Commencement of Operations, September 29, 1995.
(1) For the period January 1, 1996 -- November 14, 1996, the
expense cap was 75 bp.
For the period November 15, 1996 -- December 31, 1996, the
expense cap was 65 bp.
</TABLE>
79
<PAGE> 81
DIVERSIFIED INVESTORS PORTFOLIOS
Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT INVESTMENT
RATIO OF EXPENSES TO INCOME INCOME (LOSS)
FOR THE NET ASSETS, EXPENSES TO AVERAGE NET (LOSS) TO TO AVERAGE NET
PERIOD/YEAR END OF AVERAGE ASSETS (NET OF AVERAGE NET ASSETS (NET OF PORTFOLIO
ENDED PERIOD/YEAR NET ASSETS REIMBURSEMENTS) ASSETS REIMBURSEMENTS) TURNOVER
----------- -------------- ----------- --------------- ------------ --------------- ---------
<S> <C> <C> <C> <C> <C> <C>
AGGRESSIVE EQUITY+
06/30/2000* $ 440,834,181 0.98% 0.98% (0.56)% (0.56)% 22%
12/31/1999 259,974,422 1.01 1.00 (0.47) (0.46) 132
12/31/1998 81,327,707 1.10 1.00 (0.41) (0.31) 121
12/31/1997 25,857,650 1.33 1.00 (0.52) (0.19) 243
12/31/1996*** 15,479,130 1.59 1.00 (0.72) (0.13) 186
HIGH YIELD
BOND++
06/30/2000* 124,821,128 0.61 0.60 9.26 9.27 59
12/31/1999 124,990,408 0.61 0.60 8.45 8.46 145
12/31/1998 94,870,981 0.63 0.60 8.64 8.67 83
12/31/1997 39,700,131 0.74 0.60 8.46 8.60 109
12/31/1996 15,372,686 1.25 0.60 8.34 9.00 107
12/31/1995*** 8,997,595 1.32 0.60 7.73** 8.45** 21
INTERNATIONAL
EQUITY+++
06/30/2000* 697,798,016 0.85 0.85 0.98 0.98 19
12/31/1999 592,713,641 0.86 0.86 0.74 0.74 35
12/31/1998 320,218,173 0.88 0.87 1.05 1.06 33
12/31/1997 205,306,068 0.88 0.87 0.90 0.91 31
12/31/1996 148,184,897 0.96 0.90 1.12 1.18 29
12/31/1995*** 83,446,315 0.83 0.80 0.50** 0.53** 7
</TABLE>
---------------
<TABLE>
<S> <C>
* Unaudited and Annualized (except for Portfolio turnover).
** Ratios have been restated.
*** Annualized (except for Portfolio turnover).
+ Commencement of Operations, April 19, 1996.
++ Commencement of Operations, August 22, 1995.
+++ Commencement of Operations, September 29, 1995.
(1) For the period January 1, 1996 -- November 14, 1996, the
expense cap was 75 bp.
For the period November 15, 1996 -- December 31, 1996, the
expense cap was 65 bp.
</TABLE>
80
<PAGE> 82
DIVERSIFIED INVESTORS PORTFOLIOS
ARK VALUE
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Securities, at cost........................................... $ 87,523,693
===============
Securities, at market ........................................ $ 82,702,295
Repurchase agreements, at value............................... 1,738,952
Cash.......................................................... 11,432
Receivable for securities sold................................ 132,184
Interest receivable........................................... 291
Dividends receivable.......................................... 166,318
---------------
Total assets............................. 84,751,472
---------------
LIABILITIES:
Payable for securities purchased.............................. 203,992
Investment advisory fees...................................... 125,803
---------------
Total liabilities........................ 329,795
---------------
NET ASSETS............................... $ 84,421,677
===============
NET ASSETS CONSIST OF:
Paid-in capital........................................ $ 89,243,075
Net unrealized depreciation on securities and futures.. (4,821,398)
---------------
NET ASSETS............................... $ 84,421,677
===============
</TABLE>
See notes to financial statements.
<PAGE> 83
DIVERSIFIED INVESTORS PORTFOLIOS
ARK VALUE
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2000 *
(UNAUDITED)
<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Interest income........................................................................ $ 12,723
Dividend income........................................................................ 461,955
----------------
Total income................................................................. 474,678
----------------
EXPENSES:
Investment advisory fees............................................................... 125,803
----------------
Net investment income.......................................................................... 348,875
----------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON
SECURITIES AND FOREIGN CURRENCIES:
Net realized gains on securities and futures........................................... 1,963,991
Net change in unrealized depreciation on securities and futures........................ (4,821,398)
----------------
Net realized and unrealized losses
on securities and foreign currencies.............................................. (2,857,407)
----------------
NET DECREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................................................................... $ (2,508,532)
================
</TABLE>
* Commencement of Operations, April 10, 2000.
See notes to financial statements.
<PAGE> 84
DIVERSIFIED INVESTORS PORTFOLIOS
ARK VALUE
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2000 *
(UNAUDITED)
<TABLE>
<CAPTION>
FROM OPERATIONS:
<S> <C>
Net investment income ..................................................... $ $348,875
Net realized gains on securities and futures............................... 1,963,991
Net change in unrealized depreciation on securities and futures............ (4,821,398)
------------------
Net decrease in net assets resulting from operations....................... (2,508,532)
------------------
FROM CAPITAL TRANSACTIONS:
Proceeds from capital invested ........................................ 86,930,209
Value of capital withdrawn ............................................ -
------------------
Net increase in net assets resulting from capital transactions................. 86,930,209
------------------
Net increase in net assets..................................................... 84,421,677
NET ASSETS:
Beginning of period.................................................... -
------------------
End of period.......................................................... $ 84,421,677
==================
</TABLE>
* Commencement of Operations, April 10, 2000.
See notes to financial statements.
<PAGE> 85
ARK VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
----------------- ---------------------------
<S> <C> <C>
COMMON STOCK - 97.96%
AUTOMOBILES: CARS - 0.74%
14,500 Ford Motor Company $ 623,500
---------------------------
AUTOMOTIVE EQUIPMENT - 0.67%
37,100 Delphi Automotive Systems Corp. 540,269
1,899 Visteon Corp. (a)
23,020
---------------------------
TOTAL AUTOMOTIVE EQUIPMENT 563,289
---------------------------
BANKS - 6.99%
34,100 Bank of America Corp. 1,466,300
26,700 Bank One Corp. 709,219
27,900 Chase Manhattan Corp. 1,285,144
21,500 First Union Corp. 533,469
26,100 Fleet Boston Financial Corp. 887,400
26,300 Wells Fargo Company 1,019,125
---------------------------
TOTAL BANKS 5,900,657
---------------------------
BROADCAST SERVICES - 1.43%
29,900 Comcast Corp. - Class A (a) 1,210,950
---------------------------
BUILDING MATERIALS - 1.57%
73,200 Masco Corp. 1,322,175
---------------------------
CHEMICALS - 4.44%
45,300 Dow Chemical Company 1,367,494
16,800 du Pont (E. I.) de Nemours 735,000
15,900 PPG Industries, Inc. 704,569
25,100 Praxair, Inc. 939,681
---------------------------
TOTAL CHEMICALS 3,746,744
---------------------------
COMPUTERS AND OFFICE EQUIPMENT - 6.49%
105,100 Compaq Computer Corp. 2,686,619
25,500 International Business Machines Corp. 2,793,844
---------------------------
TOTAL COMPUTERS AND OFFICE EQUIPMENT 5,480,463
---------------------------
COMPUTER SOFTWARE AND SERVICES - 2.39%
23,300 Computer Associates International, Inc. 1,192,669
56,700 Unisys Corp. (a) 825,694
---------------------------
TOTAL COMPUTER SOFTWARE AND SERVICES 2,018,363
---------------------------
CONSUMER GOODS AND SERVICES - 4.31%
25,100 Eastman Kodak Company 1,493,450
41,700 Fort James Corp. 964,312
20,600 Procter & Gamble Company 1,179,350
---------------------------
TOTAL CONSUMER GOODS AND SERVICES 3,637,112
---------------------------
ELECTRONICS - 1.73%
24,200 Emerson Electric Company 1,461,075
---------------------------
</TABLE>
See notes to financial statements.
<PAGE> 86
<TABLE>
ENVIRONMENTAL MANAGEMENT SERVICES - 1.48%
<S> <C> <C>
65,600 Waste Management, Inc. (a) 1,246,400
---------------------------
FINANCIAL SERVICES - 6.04%
46,500 Citigroup, Inc. 2,801,625
14,600 Fannie Mae 761,938
18,300 Household International, Inc. 760,594
2,700 Merrill Lynch & Company, Inc. 310,500
5,600 Morgan Stanley Dean Witter & Company 466,200
---------------------------
TOTAL FINANCIAL SERVICES 5,100,857
---------------------------
FOOD AND BEVERAGE - 3.15%
42,900 Archer-Daniels-Midland Company 420,956
60,400 ConAgra, Inc. 1,151,375
12,000 Heinz (H.J.) Company 525,000
19,300 Pepsi Bottling Group, Inc. 563,319
---------------------------
TOTAL FOOD AND BEVERAGE 2,660,650
---------------------------
INSURANCE - 8.15%
37,200 Allstate Corp. 827,700
14,000 American International Group, Inc. 1,645,000
11,800 Chubb Corp. 725,700
15,600 CIGNA Corp. 1,458,600
32,200 St. Paul Companies, Inc. 1,098,825
56,100 UNUMProvident Corp. 1,125,506
---------------------------
TOTAL INSURANCE 6,881,331
---------------------------
MACHINERY - 1.26%
28,700 Deere & Company 1,061,900
---------------------------
MANUFACTURING - 1.43%
14,600 Minnesota Mining & Manufacturing Company 1,204,500
---------------------------
MEDICAL AND OTHER HEALTH SERVICES - 1.41%
44,200 Tenet Healthcare Corp. 1,193,400
---------------------------
MEDICAL EQUIPMENT AND SUPPLIES - 2.04%
21,000 Baxter International, Inc. 1,476,562
2,400 Johnson & Johnson 244,500
---------------------------
TOTAL MEDICAL EQUIPMENT AND SUPPLIES 1,721,062
---------------------------
OIL AND GAS - 10.43%
10,900 Chevron Corp. 924,456
83,800 Conoco, Inc. - Class B 1,843,600
42,800 Exxon - Mobil Corp. 3,359,800
23,300 Texaco, Inc. 1,240,725
57,500 USX - Marathon Group 1,441,094
---------------------------
TOTAL OIL AND GAS 8,809,675
---------------------------
PAPER AND FOREST PRODUCTS - 2.59%
39,100 Georgia - Pacific Group 1,026,375
39,000 International Paper Company 1,162,687
---------------------------
TOTAL PAPER AND FOREST PRODUCTS 2,189,062
---------------------------
PHARMACEUTICALS - 1.96%
</TABLE>
See notes to financial statements.
<PAGE> 87
<TABLE>
<S> <C> <C>
18,100 Abbott Laboratories 806,581
14,600 Bristol-Myers Squibb Company 850,450
---------------------------
TOTAL PHARMACEUTICALS 1,657,031
---------------------------
RESTAURANTS - 0.91%
23,300 McDonald's Corp. 767,444
---------------------------
RETAIL - 6.23%
42,000 Federated Department Stores, Inc. (a) 1,417,500
31,500 Gap, Inc. 984,375
60,300 Kroger Company (a) 1,330,369
63,600 May Department Stores Company 1,526,400
---------------------------
TOTAL RETAIL 5,258,644
---------------------------
TELECOMMUNICATIONS - 12.67%
73,900 AT&T Corp. 2,337,087
34,200 BellSouth Corp. 1,457,775
37,600 GTE Corp. 2,340,600
31,500 Motorola, Inc. 915,469
45,500 SBC Communications, Inc. 1,967,875
36,500 WorldCom, Inc. (a) 1,674,437
----------------------------
TOTAL TELECOMMUNICATIONS 10,693,243
----------------------------
TRANSPORTATION - 2.95%
58,700 Burlington Northern Santa Fe Corp. 1,346,431
77,100 Norfolk Southern Corp. 1,146,862
----------------------------
TOTAL TRANSPORTATION 2,493,293
----------------------------
UTILITIES - 4.50%
58,200 FirstEnergy Corp. 1,360,425
12,800 FPL Group, Inc. 633,600
38,000 Public Service Enterprise Group, Inc. 1,315,750
16,600 TXU Corp. 489,700
----------------------------
TOTAL UTILITIES 3,799,475
----------------------------
TOTAL COMMON STOCK (Cost $87,523,693) 82,702,295
----------------------------
REPURCHASE AGREEMENT - 2.06%
1,738,952 With Investors Bank & Trust, dated 06/30/00,
6.03%, due 07/03/00, repurchase proceeds at
maturity $1,739,825, (Collateralized by
Government National Mortgage Association, 7.375%,
due 02/20/23, with a value of
$1,826,057) (Cost $1,738,952) 1,738,952
----------------------------
Total Investments - 100.02% (Cost $89,262,645) $ 84,441,247
Liabilities less other assets - (0.02)% (19,570)
----------------------------
NET ASSETS - 100.00% $ 84,421,677
============================
The aggregate cost of securities for federal income tax purposes at June 30,
2000 is $89,262,645.
Gross unrealized appreciation $ 3,089,902
Gross unrealized depreciation (7,911,300)
----------------------------
Net unrealized depreciation $ (4,821,398)
============================
</TABLE>
(a) Non-income producing security.
(++) This interest rate is subject to change monthly based on the
London Interbank Offered Rate ("LIBOR"). The rate shown was in
effect at June 30, 2000.
See notes to financial statements.
<PAGE> 88
ARK VALUE
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION AND BUSINESS
Diversified Investors Portfolios (the "Series Portfolio"), is a series
trust organized on September 1, 1993, under the laws of the State of New York.
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). There are currently fourteen series that are, in
effect, separate investment funds, one of which is presented herein. Ark Value
commenced operations on April 10, 2000.
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. All other securities will
be valued at their fair value as determined by the Board of Trustees.
B. REPURCHASE AGREEMENTS
The 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. OPTIONS
The 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.
<PAGE> 89
ARK VALUE
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
D. FUTURES CONTRACTS
The Series may invest in futures contracts solely for the purpose of
hedging its existing portfolio securities, or securities that the Series
intends to purchase, against fluctuations in fair value caused by
changes in prevailing market or interest rates.
Initial margin deposits made upon entering into futures contracts are
recognized as assets due from the broker (the Series agent in acquiring
the futures position). During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains
or losses by "marking to market" on a daily basis to reflect the daily
market value of the contract.
Variation margin payments are received or made by the Series each day,
depending upon the daily fluctuations in the fair value of the
underlying instrument. The Series recognizes a gain or loss equal to the
daily variation margin. When the contract is closed, the Series records
a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transaction and the Series basis in the
contract.
Should market conditions move unexpectedly, the Series may not achieve
the anticipated benefits of the financial futures contracts and may
realize a loss. The use of futures transactions involves the risk of
imperfect correlation in movements in the price of futures contracts,
interest rates, and the underlying hedged assets.
E. 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.
F. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis (the date
the order to buy or sell is executed). Dividend income is recorded on
the ex-dividend date. Interest income is recorded on the accrual basis
and includes amortization of premiums and accretion of discounts on
investments. Realized gains and losses from securities transactions are
recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and
losses from security transactions are determined on each valuation day
and allocated pro rata among the investors in a Series at the time of
such determination.
G. OPERATING EXPENSES
The Series Portfolio accounts separately for the assets, liabilities and
operations of the Series. Expenses directly attributable to the Series
are charged to the Series, while expenses attributable to all Series are
allocated among them.
H. 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.
<PAGE> 90
ARK VALUE
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Advisor manages the assets of the Series Portfolio pursuant to an
Investment Advisory Agreement with the Series Portfolio. An asset charge is
assessed against the assets held by the Fund to pay the fees of the Advisor, as
investment manager to the Fund and for all other customary expenses incurred in
connection with the operation of the Fund. The amount of such charge is based on
the amount which will result in the aggregate charge of 0.60% per annum being
assessed against the average net assets of the Fund.
The Advisor has entered into a Subadvisory Agreement with Ark Asset
Management Co., (the "Subadvisor"). It is the responsibility of the Subadvisor
to make the day-to-day investment decisions of the Fund and to place the
purchase and sale orders for security transactions, subject to the general
supervision of the Advisor. For its services, the Subadvisor receives fees from
the Advisor equal to an annual rate of 0.40% on the first $200 million of net
assets and 0.35% applied to all net assets in excess of $200 million.
For the period ended June 30, 2000, the Advisor has voluntarily undertaken
to waive fees in accordance with the following expense cap:
FUND EXPENSE CAP
---- -----------
Ark Value Series.....................................60 b.p.
4. SECURITIES LENDING
The 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.
5. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities (excluding short-term securities) for the period ended June 30, 2000,
were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------- ----------
<S> <C> <C> <C>
Ark Value Series Other $ 136,155,456 $ 50,595,754
</TABLE>
<PAGE> 91
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Ratio of Ratio of Net Ratio of Net
Net Ratio of Expenses to Investment Investment
Assets, Expenses Average Net Income Income (Loss)
For the End to Assets (Loss) to to Average Net
Period of Average (Net of Average Net Assets (Net of Portfolio
Ended Period Net Assets Reimbursements) Assets Reimbursements) Turnover
-------------------- ---------------- ------------------ ------------------- ------------------ -------------------- ------------
ARK VALUE +
<S> <C> <C> <C> <C> <C> <C>
06/30/2000* $84,421,677 0.58% * 0.58% * 1.62% * 1.62% * 52%
</TABLE>
* Unaudited and Annualized (except for Portfolio turnover)
+ Commencement of Operations, April 10, 2000
<PAGE> 92
DIVERSIFIED INVESTORS SECURITIES CORP. (DISC)
4 Manhattanville Road, Purchase, New York 10577
914-697-8000
2804 (8/00)
