<PAGE> 1
EQUI-SELECT
SERIES TRUST
[LOGO]
ANNUAL
REPORT
December 31, 1997
<PAGE> 2
Equi-Select Series Trust
Annual Report
For the Period Ending December 31, 1997
Table of Contents
Letter to Contract Owners......................................................1
Management's Discussion and Analysis...........................................2
Equi-Select Series Trust Financial Statements
Portfolios of Investments................................................12
Statements of Assets and Liabilities.....................................29
Statements of Operations.................................................31
Statements of Changes in Net Assets......................................33
Financial Highlights.....................................................35
Notes to Financial Statements............................................44
Report of Independent Auditors...........................................53
Trustees and Executive Officers......................................Inside
Back
Cover
- --------------------------------------------------------------------------------
The information contained in this report is intended for general informational
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Trust and Separate Account
prospectuses which contain important information concerning the Trust, the
Company, and its current public offering of variable annuity contracts.
- --------------------------------------------------------------------------------
<PAGE> 3
LETTER TO CONTRACT HOLDERS
Dear Contract Holders:
We are pleased to present the 1997 Annual Report of the Equi-Select Series Trust
(the "Trust"). The following report provides information about the performance
and financial position of the portfolios in the Trust.
Please note that portfolio returns are calculated after operating expenses have
been deducted. Benchmark returns (except the Lipper Balanced Fund Index) do not
reflect any expenses. Operating expenses include advisory, custody, legal,
audit, and other expenses associated with the operations of the Trust. They do
not reflect charges for the variable annuity and variable life contracts
thereunder whose proceeds are invested in the Portfolios. Benchmark returns
would be lower if these expenses were taken into account.
The Trust continued to grow at a rapid pace. During 1997, net assets increased
by $530 million to end the year at $823 million. This growth contributes to
investment performance by reducing the impact of operating expenses. As net
assets increase, the Trust obtains economies of scale on some of its operating
expenses. All of the Trust's equity portfolios experienced significant
reductions in their expense ratios in 1997.
Effective January 2, 1998, Directed Services, Inc. ("DSI") became the advisor of
the Equi-Select Series Trust. The previous investment advisor was Equitable
Investment Services Inc. ("EISI"), an affiliate of DSI. Despite this change, the
same individuals will be responsible for providing advisory oversight. EISI's
advisory oversight personnel were transferred to DSI.
Also on January 2, 1998, ING Investment Management, LLC ("ING") became the
sub-advisor for the Money Market, Mortgage-Backed Securities and Advantage
Portfolios. Previously, these portfolios were managed by EISI, an affiliate of
ING. Please note, however, that Robert Bowman is still the portfolio manager for
these portfolios.
We are committed to providing quality products and service to contract owners,
and we look forward to helping you meet your financial objectives. Thank you for
your continued support.
Sincerely,
/s/ Paul R. Schlaack
----------------------------------
Paul R. Schlaack
President, Chairman, and Principal
Executive Officer
Equi-Select Series Trust
1
<PAGE> 4
MONEY MARKET PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<S> <C>
The Money Market Portfolio (the "Portfolio") seeks to ----------------------------------------------------------
achieve maximum current income, consistent with the AVERAGE ANNUAL TOTAL RETURN
preservation of capital and the maintenance of
liquidity. For the year, the Portfolio had a total 1 YEAR 5.02%
return of 5.02%. SINCE INCEPTION* 4.99%
Short-term interest rates increased gradually
throughout the first quarter of the year. Economic * The Portfolio commenced operations on October 4, 1994.
activity had accelerated during the fourth quarter of ----------------------------------------------------------
1996 and first quarter of 1997, and investors were Average annual total returns of the Portfolio include
concerned about inflationary pressures. On March 25, reinvestment of dividends and distributions. They do not reflect
the Federal Reserve Board (the "Fed") raised the charges for the variable annuity and variable life contracts
discount rate by 25 basis points (0.25%) to 5.50%, thereunder whose proceeds are invested in the Portfolio.
demonstrating their concerns about inflation. Inclusion of these charges would result in reducing the total
return figures for the period shown. Results represent past
During the second quarter, the economy slowed and performance and do not indicate future results.
inflationary concerns subsided. Short-term interest
rates declined during the second and third quarters. Investment in the Money Market Portfolio (or in any other
Then, in the fourth quarter, Asian markets started Portfolio) is neither insured or guaranteed by the U.S.
their downturn. Government. There can be no assurance that the Money Market
Portfolio will be able to maintain a stable net asset value of
The Asian crisis caused short-term interest rates to $1.00 per share.
increase during November and most of December. In TOP TEN ISSUERS
late- December, it became apparent that the Fed was AS A PERCENTAGE OF INVESTMENTS
considering a reduction in the federal funds rate.
Short- term interest rates pulled back, and the year Hershey Foods Corporation 4.4%
closed on a positive note. International Business Machines Credit Corp. 4.4%
Allied Signal Corporation 4.4%
Despite these fluctuations in short-term interest Swiss Bank Corporation 4.2%
rates, the current yield of the Portfolio remained Heinz Company 3.8%
remarkably stable. The 30-day yield ranged from 4.76% Anheuser Busch Company 3.6%
to 5.01%. The highest yields were obtained during the Disney (Walt) Company 3.3%
fourth quarter. Merrill Lynch, Pierce, Fenner & Smith 3.2%
Archer Daniels-Midland Company 3.1%
The Portfolio Manager maintained a fairly Ameritech Corporation 3.0%
conservative stance throughout the year. The average
maturity of the Portfolio ranged from 35 days to 70
days.
In January and February, the average maturity was
generally between 60 and 70 days. During March, the
average maturity was reduced to protect the Portfolio
from the effects of rising interest rates. As of
April 30, the Portfolio had an average maturity of
approximately 35 days.
Short-term interest rates declined between May and
September, and the average maturity was extended. The
Portfolio had an average maturity of 45 days on June
30 and 65 days on September 30.
As economic problems developed in Asia, the average
maturity was reduced. The average maturity was
approximately 45 days at the end of the year.
Recently, the Portfolio Manager has been extending
the Portfolio's average maturity. This strategy will
position the Portfolio for a stable or declining
interest rate environment.
This strategy may be changed as conditions warrant.
The Portfolio holds highly liquid instruments, and
this provides the Portfolio Manager with a
significant amount of flexibility.
EQUITABLE INVESTMENT SERVICES, INC.
</TABLE>
2
<PAGE> 5
MORTGAGE-BACKED SECURITIES PORTFOLIO
DECEMBER 31, 1997
The Mortgage-Backed Securities Portfolio (the "Portfolio") seeks to obtain a
high current return, consistent with the safety of principal. In 1997, the
Portfolio generated a return of 7.25%. The Lehman Brothers Mortgage-Backed
Securities Index (the "benchmark") had an annual return of 9.49%.
The benchmark only contains mortgage-backed securities. Diversification
requirements preclude the Portfolio from investing entirely in these securities.
As a result, approximately 30% of the Portfolio is normally invested in U.S.
Treasury securities.
Lower exposure to mortgage-backed securities hurt performance relative to the
benchmark. During 1997, mortgage-backed securities produced significantly higher
returns than U.S. Treasury securities with similar duration.
The Portfolio started the year in a defensive position. The average duration was
decreased, and holdings of mortgage- backed securities were reduced (in favor of
U.S. Treasury securities). This strategy had a negative impact on performance,
as interest rates declined throughout the first quarter.
In the second quarter, the Portfolio acquired several high coupon
mortgage-backed securities. These types of securities would perform well in a
stable interest rate environment. Interest rates continued to decline, however,
and Portfolio returns continued to trail the benchmark.
Bond yields declined in the fourth quarter, primarily because of economic
problems in Asia. These lower yields boosted the performance of the bond market.
At the same time, they caused turbulence in the mortgage securities market.
Lower interest rates create opportunities for homeowners to refinance. Mortgage
prepayments generally increase as interest rates decrease. Higher prepayment
rates usually hurt the performance of mortgage-backed securities.
Lower exposure to mortgage-backed securities helped performance during the
fourth quarter. In December, the Portfolio had a total return of 1.52%, while
the benchmark returned only 0.91%.
The Portfolio Manager believes that interest rates will continue to fall in
1998. He has positioned the Portfolio for a declining interest rate environment.
The Portfolio has invested a greater percentage of its assets in 15-year
mortgage-backed securities and lower coupon issues. Intermediate-term U.S.
Treasury securities also represent a larger percentage of the Portfolio.
The Portfolio Manager is optimistic about 1998, but he is investing cautiously.
Economic conditions in Asia have created a significant amount of uncertainty in
U.S. markets. He thinks that a defensive strategy is prudent under these
circumstances.
EQUITABLE INVESTMENT SERVICES, INC.
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 7.25%
SINCE INCEPTION* 8.20%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio Lehman MBS Index
<S> <C> <C>
10000 10000
10010 9994
9980 9963
12/31/94 10054 10043
10257 10257
10511 10519
10531 10569
10683 10719
11039 11057
6/30/95 11089 11120
11089 11139
11201 11254
11292 11353
11394 11454
11516 11585
12/31/95 11650 11730
11714 11818
11575 11720
11489 11678
11457 11645
11403 11611
6/30/96 11543 11771
11575 11814
11553 11814
11736 12012
11951 12247
12123 12423
12/31/96 12038 12358
12106 12449
12129 12491
12004 12373
12174 12571
12277 12694
6/30/97 12390 12842
12583 13O84
12549 13O53
12674 13218
12799 13365
12799 134O9
12/31/97 12911 13531
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY ISSUER
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Fed. Home Loan Mortgage Corp. 27.1%
Govt. National Mortgage Assoc. 22.7%
Fed. National Mortgage Assoc. 18.5%
Short Term Investments 15.4%
U.S. Treasury 9.4%
Country Wide Funding Corp. 4.0%
Corporate Bonds and Notes 2.9%
</TABLE>
3
<PAGE> 6
INTERNATIONAL FIXED INCOME PORTFOLIO
DECEMBER 31, 1997
The International Fixed Income Portfolio (the "Portfolio") seeks to provide a
high total return. The Portfolio had an annual return of 0.64%. Over the same
period, the Merrill Lynch Global Government Bond Index II (the "benchmark") had
a return of 1.16%.
The bond market environment during 1997 was very positive. In local currency
terms, returns in developed bond markets varied between 6.28% (German bonds) and
14.85% (U.K. Gilts). This strong performance can be attributed to many factors,
including low rates of inflation, budget deficit reductions in the United States
and Europe, and slow economic growth in Europe and Japan.
Toward the end of the year, bond markets received a further boost from
developments in Asia. Economic problems in Southeast Asia are expected to have a
deflationary effect on economies elsewhere. This would further delay any
prospect of higher interest rates.
Although the bond markets performed strongly in local currency terms,
performance was substantially weaker in U.S. dollar terms. The U.S. dollar
strengthened significantly during the year -- by 10.7% versus the Yen and 14.3%
versus the Deutschemark. The U.S. economy continued to perform more strongly
than the European/ Japanese economies, and U.S. financial markets rallied
sharply. These factors contributed to the strength of the U.S. dollar.
The optimal strategy during the year was to be fully invested with a long
duration. Overweight positions should have been maintained in the United States,
United Kingdom, and the high-yielding European markets. Underweight positions
were appropriate in the core European markets and Japan. The optimal currency
strategy was to overweight the U.S. dollar.
Exposure to the U.S. dollar was overweighted at the beginning of the year, but
it was reduced prematurely. Nonetheless, this strategy helped performance
significantly.
We maintained an underweight position in Japan and overweight positions in the
United Kingdom and Australia. All of these decisions had a positive impact on
performance.
We followed a fairly neutral duration strategy. Duration was longer than the
benchmark in the United States, Japan, Denmark and the Netherlands. A shorter
duration was maintained in other European markets. Overall, duration positioning
made a small positive contribution to relative performance.
As of December 31, 1997, the Portfolio had overweighted positions in Canada,
Australia and Europe. Exposure to Japan and the United States was underweighted.
The Portfolio had a duration of 5.1 years, which is slightly lower than the
benchmark. Currency exposure was fairly similar to the benchmark.
CREDIT SUISSE ASSET MANAGEMENT LIMITED
===========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 0.64%
SINCE INCEPTION* 6.92%
* The Portfolio commenced operations on October 4, 1994.
==========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio JP Morgan Global Merrill Lynch Global
Govt. Bond Index Govt. Bond Index II**
<S> <C> <C> <C>
10000 10000 10000
10120 10150 10163
10070 10022 10022
12/31/94 10097 10045 10066
10268 10248 10214
10450 10513 10526
10671 11047 11162
10812 11223 11346
11105 11537 11346
5/30/95 11105 11609 11751
11205 11664 11732
11185 11340 11353
11342 11595 11598
11473 11708 11669
11615 11839 11806
12/31/95 11760 11985 11925
11771 11862 11787
11675 11793 11718
11644 11775 11702
11697 11732 11668
11686 11743 11664
6/20/96 11771 11846 11761
11877 12064 11970
11898 12114 12014
12009 12181 12077
12211 12423 12309
12424 12600 12483
12/31/96 12344 12512 12389
12185 12199 12066
12128 12115 11987
11992 12023 11894
11924 11955 11809
12208 12237 12131
6/30/97 12298 12377 12289
12230 12551 12222
12185 12316 12204
12487 12589 12465
12681 12856 12720
12487 12702 12542
12/31/97 12423 12688 12512
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
** The comparative index has changed to the Merrill Lynch Global Government Bond
Index II. This index is very similar to the J.P. Morgan Global Government
Bond Index, and it should provide a similar representation of returns on
government bonds worldwide.
DISTRIBUTION BY COUNTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Sweden 4.7%
United States 31.2%
Germany 17.4%
Japan 5.4%
Denmark 4.9%
United Kingdom 13.3%
Other Countries 23.1%
</TABLE>
4
<PAGE> 7
OTC PORTFOLIO
DECEMBER 31, 1997
The primary objective of the OTC Portfolio (the "Portfolio") is to seek to
obtain long-term growth of capital. For the year ended December 31, 1997, the
OTC Portfolio provided a total return of 19.67%. This compares to a 29.01%
return for the Russell Midcap Index and 22.36% return for the Russell 2000
Index.
Technology stocks usually represent a significant percentage of the Portfolio.
The Portfolio invests primarily in stocks traded on the over-the-counter (OTC)
securities market, and technology stocks represent a disproportionately large
percentage of the OTC market.
In 1997, technology stocks trailed the market by a significant margin.
Nonetheless, they had a positive impact on Portfolio performance.
Technology exposure was relatively low during the first quarter. The technology
weighting was increased to 45% in the second and third quarters, and many
companies produced exceptional returns. Examples include Oracle (41.7%), Adobe
(25.9%), Synopsis (70.0%), Intel (32.8%) and Cadence Design (55.1%). Technology
stocks fell sharply during the fourth quarter, but exposure had been scaled back
considerably.
Many industries performed exceptionally well this year. Strong financial markets
helped investment management companies, and their assets under management grew
significantly. In this industry, Franklin Resources and Kansas City Southern
produced the highest returns.
Offshore oil companies had strong performance because of higher commodity prices
and shortages of deep water drilling equipment.
One of the strongest individual holdings was Gemstar, the primary provider of
interactive navigation services for the cable television industry. It benefited
from improvements by many cable providers. Cable Design Technology also had
exceptional performance, as the market for high speed networks continued to
expand rapidly.
Health maintenance organizations (HMOs), gaming companies and lower-tier
financial companies had a negative impact on performance. Two of the weakest
individual holdings were Ascend Communications and HCIA. Both of these companies
lost more than 60 percent in 1997.
Ascend Communications supplies components that are critically important to high
speed data networks. The company is well positioned, but product delays and
other problems have constrained performance. HCIA provides data and services to
the health care industry. During 1997, its revenue fell significantly short of
expectations.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 19.67%
SINCE INCEPTION* 22.61%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio S&P 500 Rusell 2000 Index Russel Midcap Index
<S> <C> <C> <C> <C>
10000 10000 10000 10000
10280 10224 9961 10077
10150 9852 9558 9632
12/31/94 10363 9998 9558 9632
10183 10257 9691 9957
10423 10657 10094 10473
11133 10971 10268 10773
10493 11294 10497 10935
11023 11744 10697 11294
6/30/95 11774 12017 11231 11674
12684 12415 11878 12241
13204 12446 12124 12428
12804 12924 11788 12425
13334 13491 12283 13043
12/31/95 13409 13751 12608 13119
13542 14219 12594 13395
14530 14351 12987 13710
14541 14489 13251 13908
16062 14702 13959 14302
16684 15081 14510 14518
6/30/96 15929 15138 13914 14300
14219 14470 12698 13415
14974 14776 13436 14054
16036 15607 13961 14748
16036 15607 13961 14748
15312 16037 13746 14666
16014 17248 14312 15772
12/31/96 16180 16906 14687 15611
16859 17962 14981 16195
15969 18103 14617 16171
14705 17361 13928 15483
15138 18396 13967 15869
17503 19521 15521 17027
6/30/97 17573 20388 16186 17584
18487 22010 16939 19051
18828 20778 17326 18844
19728 21916 18594 19919
19256 21184 17778 19144
19445 22164 17663 19600
12/31/97 19363 22545 17972 20140
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY INDUSTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Computer Industry 18.0%
Communication 10.3%
Electronics 8.6%
Media 8.1%
Health Care and Services 7.3%
Retail 6.2%
Short Term Investments 5.7%
Other Equity Securities 35.8%
</TABLE>
5
<PAGE> 8
RESEARCH PORTFOLIO
DECEMBER 31, 1997
The Research Portfolio (the "Portfolio") seeks long-term growth of capital and
future income. For the one year period ended December 31, 1997, the Portfolio
provided a total return of 20.12%. This compares to a return of 33.36% for the
Standard & Poors 500 Index (the "S&P 500") and 29.01% for the Russell Midcap
Index.
Equity markets were very strong during 1997. However, the highest returns were
generated by a small number of very large companies. Indices like the S&P 500
were difficult to beat because they are dominated by these large companies.
Portfolio returns were very similar to the S&P 500 Index during the second and
third quarter of the year. In the first and fourth quarters, performance was
substantially weaker. The Portfolio lost a total of 4.35% during these periods,
while the S&P 500 generated a positive return of 5.63%.
Over the past year, exposure to the technology sector was increased. This
strategy had a negative impact on performance, as technology stocks fell sharply
in the first and fourth quarters of 1997.
The most recent decline is attributed primarily to economic problems in
Southeast Asia. Many technology companies have strong ties to these economies.
Uncertain demand and weakened currencies are expected to have a negative impact
on their earnings.
Recently, the Portfolio's technology exposure has become more conservative. The
technology sector remains a significant component of the Portfolio. However,
there is an emphasis on companies that are not heavily influenced by
developments in Southeast Asia.
The Portfolio holds a small number of foreign stocks. These holdings also hurt
performance during the fourth quarter.
On the positive side, the financial services sector produced exceptional returns
during 1997. Economic conditions have been very favorable for these companies.
Successful consolidations have also boosted stock prices. Exposure to the
financial services sector was increased during the year.
Within the financial services sector, PNC Bank, Corestates Financial and
Comerica, Inc. have produced some of the highest returns. All of these companies
have developed solid competitive positions within their industry.
The Portfolio Manager will continue to seek fundamentally strong companies in a
variety of industry groups. Stocks are selected by a team of research analysts,
and the Portfolio's holdings always represent their best investment ideas.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
=========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 20.12%
SINCE INCEPTION* 23.03%
* The Portfolio commenced operations on October 4, 1994.
=========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUTAIN CHART]
<TABLE>
<CAPTION>
Portfolio S&P 500 Index Russel Midcap Index
<S> <C> <C> <C>
10000 10000 10000
10200 10224 10077
9680 9852 9632
12/31/94 9677 9998 9757
9697 10257 9957
10070 10657 10473
10383 10971 10773
10554 11294 10935
10928 11744 11294
6/30/95 11301 12017 11674
11997 12415 12241
12028 12446 12428
12391 12971 12709
12461 12924 12425
12885 13491 13043
12/31/95 13218 13751 13119
13495 14219 13396
14080 14351 13710
14090 14489 13908
14665 14702 14302
15137 15081 14518
6/30/96 14921 15138 14300
14151 14470 13415
14593 14776 14054
15502 15607 14748
15657 16037 14866
16562 17248 15772
12/31/96 16300 16906 15611
16891 17962 16195
16796 18103 16171
15856 17361 15483
16553 18395 15869
17715 19521 17027
6/30/97 18381 20388 17584
19754 22010 19051
18920 20778 18844
19910 21916 19919
18912 21184 19144
19475 22164 19600
12/31/97 19579 22545 20140
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
TOP TEN INDUSTRIES
AS A PERCENTAGE OF INVESTMENTS
<TABLE>
<C> <C>
Computer Industry 11.4%
Financial Services 7.2%
Insurance 6.5%
Chemicals and Allied Products 5.0%
Retail 4.8%
Consumer Services 4.7%
Food and Beverages 4.3%
Federal Home Loan Banks 4.1%
Health Care and Services 4.0%
Telecommunications 3.9%
</TABLE>
6
<PAGE> 9
TOTAL RETURN PORTFOLIO
DECEMBER 31, 1997
The Total Return Portfolio (the "Portfolio") seeks above-average income
(compared to a portfolio entirely invested in equity securities) consistent with
the prudent employment of capital.
For the year ended December 31, 1997, the Portfolio provided a total return of
20.89%. Over the same period, the Standard & Poors 500 Index ("S&P 500") had a
total return of 33.36%, and the Lehman Brothers Government/ Corporate Bond Index
("Lehman") had a total return of 9.76%. The benchmark for this portfolio (60%
S&P 500, 40% Lehman) had an annual return of 23.66%.
Equity markets have performed exceptionally well over the past year. This
performance is primarily attributable to a favorable macroeconomic environment.
The economy has seen solid growth in Gross Domestic Product (GDP) and corporate
profits. Inflation is in check and interest rates remained reasonably steady. We
also continue to see strong demand for equity securities, as households allocate
more of their investment dollars to stocks.
The Portfolio benefited from the increase in stock prices. In particular, the
Portfolio has been heavily weighted in financial stocks and energy stocks, both
of which did well over the past 12 months. Our stock selection process is
focused on large, dividend paying companies with reasonable valuations and
attractive growth prospects. We continue to find these traits in the financial
and energy sectors. Our stock selection process also focuses on reducing
volatility. As a result, we held less in over-the-counter stocks, in general,
and technology stocks, in particular.
Our bond strategy remained fairly constant throughout the period. We typically
held more corporate bonds than treasury securities (approximately 65% of the
bond component was invested in corporate issues). The duration of the Portfolio
was approximately 5.5 years throughout much of the period.
Significant exposure to the corporate sector allows the Portfolio to benefit
from strengthening corporate profits. Our duration strategy anticipates flat or
slightly lower interest rates.
Looking forward, we are less optimistic about corporate earnings. We believe
that earnings growth may slow over the next 12 months. The Portfolio Manager has
lowered the equity weighting to 55% and increased the cash position to 11%.
The Portfolio Manager's long-term outlook for stocks continues to be quite
positive, and he plans to increase the equity weighting from its current level.
We anticipate better equity values over the next several months, and we will
probably invest our cash position when those opportunities arise.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 20.89%
SINCE INCEPTION* 17.49%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
12/31/33 Portfolio S&P 500 Index 60% S&P 500 Index/ Lehman Government
40% Lehman Government/ Bond Index
Corporate Bond Index**
<S> <C> <C> <C> <C>
10000 10000 10000 10000
10070 10224 10130 9989
9749 9852 9900 9971
12/31/94 9850 9998 10014 10037
9981 10257 10246 10230
10193 10657 10581 10467
10344 10971 10797 10537
10566 11294 11050 10684
10940 11744 11499 11132
6/30/95 11020 12017 11698 11221
11152 12415 11920 11177
11263 12446 11996 11320
11585 12971 12357 11435
11535 12924 12396 11603
11989 13491 12812 11794
12/31/95 12266 13751 13038 11968
12493 14219 13348 12043
12482 14351 13325 11787
12637 14489 13369 11688
12689 14702 13465 11608
12761 15081 13684 11588
6/30/96 12833 15138 13780 11743
12585 14170 13390 11770
12761 14776 13562 11742
13164 15607 14144 11950
13474 16037 14514 12229
14114 17248 15330 12454
12/31/96 13947 16906 15070 12316
14307 17962 15709 12330
14466 18103 15804 12356
14148 17361 15300 12209
14541 18396 15993 12388
15082 19521 16714 12503
6/30/97 15495 20388 17294 12654
16301 22010 18422 13041
15803 20778 17625 12894
16399 21916 18388 13097
16155 21184 18033 13307
16591 22164 18649 13397
12/31/97 16860 22545 18934 13517
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
** The comparative index has changed from prior years. The new benchmark
(60% S&P 500, 40% Lehman Government/Corporate) more accurately reflects the
returns of the broad securities markets.
DISTRIBUTION BY ASSET TYPE
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Corporate Bonds and Notes 12.4%
U.S. Treasury Securities 15.9%
Short-Term Investments 14.8%
Mortgage-Backed Securities 3.4%
Common Stock 50.7%
Other Investments 2.8%
</TABLE>
7
<PAGE> 10
ADVANTAGE PORTFOLIO
DECEMBER 31, 1997
The Advantage Portfolio (the "Portfolio") seeks current income with a very low
degree of share-price fluctuation. During 1997, the Portfolio had a total return
of 5.71%. The Salomon Brothers 1-Year Treasury Index (the "benchmark") had a
return of 6.11%.
The Portfolio entered 1997 with a very defensive structure. It had very little
credit risk, and its effective maturity was shorter than normal.
Interest rates increased during the first quarter because of concerns about
inflation. Because of its defensive posture, the Portfolio produced strong
returns relative to its benchmark. Low levels of inflation persisted, and
interest rates declined in April. This time, the Portfolio's defensive position
had a negative impact on performance.
In May, the Portfolio Manager adopted a more aggressive stance. He increased the
Portfolio's average effective maturity, reduced credit quality, and purchased
high coupon callable debt. Portfolio returns were very similar to the benchmark
during May and June.
Inflationary pressures appeared to resurface over the summer, and the Portfolio
was invested more conservatively. This strategy hurt performance, as interest
rates dropped significantly in July.
At the end of October, economic problems surfaced in Asia. Bond yields dropped,
boosting overall performance. At the same time, however, yields on corporate
securities increased relative to U.S. Treasury yields. This had a negative
impact on performance relative to the benchmark. Approximately 75% of the
Portfolio is invested in corporate debt securities. The benchmark only contains
U.S. Treasury securities.
The Portfolio Manager thinks that interest rates will continue to decline in
1998. The crisis in Asia should slow down the U.S. economy. Inflation and
commodity prices should also remain low. Given these conditions, a reduction in
the federal funds rate is likely.
Difficulties in Asia have also caused investors to invest more heavily in the
bond market. This trend is likely to continue, as economic conditions remain
uncertain in that area of the world. Higher demand for fixed income securities
should result in lower yields.
Currently, the Portfolio is invested in a more aggressive manner. The Portfolio
Manager has conducted extensive research to identify attractive high-yield
investments. The Portfolio has assumed greater credit risk, and the effective
maturity has been extended. The Portfolio has also purchased high coupon
callable debt.
EQUITABLE INVESTMENT SERVICES, INC.
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 5.71%
SINCE INCEPTION* 6.77%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio Salomon 1-Yr Treasury
<S> <C> <C>
10000 10000
10020 10041
10060 10035
12/31/94 10097 10071
10107 10172
10178 10261
10209 10322
10320 10393
10462 10486
6/30/95 10542 10547
10644 10598
10725 10650
10796 10697
10887 10757
10958 10822
12/31/95 11022 10886
11130 10956
11195 10969
11217 11033
11249 11041
11303 11086
6/30/96 11368 11148
11412 11190
11455 11245
11531 11320
11596 11406
11661 11464
12/31/96 11696 11503
11763 11560
11820 11602
11842 11633
11876 11704
11954 11778
6/30/97 12033 11848
12112 11933
12145 11975
12207 12040
12252 12108
12319 12149
12/31/97 12364 12207
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY ASSET TYPE
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Commercial Paper 25.8%
U.S. Treasury Securities 4.5%
Govt. Agency Securities Dept. 9.5%
Corporate Bonds 51.2%
Other Investments 9.0%
</TABLE>
8
<PAGE> 11
VALUE + GROWTH PORTFOLIO
DECEMBER 31, 1997
The objective of the Value + Growth Portfolio (the "Portfolio") is capital
appreciation. The Portfolio's strategy is to buy securities that exhibit
favorable relationships between growth rates and price to earnings ratios in
sectors offering above average growth potential.
During 1997, the Portfolio produced a return of 15.69%. Over the same period,
the Standard & Poors 500 Index and Russell Midcap Index had returns of 33.36%
and 29.01%, respectively.
Throughout 1997, the Portfolio had a large position in the technology sector.
During the first nine months of the year, this strategy had a positive impact on
performance. The Portfolio posted a nine-month return of 34.38%. The Standard &
Poors 500 Index had a return of 29.64% over the same period.
In the fourth quarter, stocks fell due to economic problems in Asia. Technology
stocks were hit the hardest. The Portfolio posted a quarterly loss of 13.92%. In
contrast, the Standard & Poors 500 Index had a positive return of 2.87%.
Despite recent performance, the Portfolio Manager remains optimistic about the
technology sector. The Portfolio continues to hold significant positions in
Compaq Computer Corporation, Dell Computer Corporation, and several other
technology companies.
The Portfolio Manager is also optimistic about the financial services sector. He
has identified several companies that are positioned to take advantage of the
rapidly growing retirement savings market.
Disposable household income is projected to increase more than 30% between 1995
and 2000. As the U.S. population ages, a larger percentage of this income will
probably be channeled into retirement savings vehicles. For these reasons, the
Portfolio Manager is very optimistic about some of the leading companies serving
the retirement savings market.
Currently, Merrill Lynch & Company Inc. is one of the Portfolio's largest
holdings. It has strong brokerage and investment management operations, and more
than $1 trillion in assets under management. The Portfolio also holds positions
in Travelers Group, Inc. and Charles Schwab Corporation.
Going into 1998, the Portfolio's characteristics are encouraging. The Portfolio
has approximately the same price/earnings ratio as the Standard & Poors 500
Index, but the Portfolio has substantially higher projected earnings growth. The
Portfolio Manager seeks to identify stocks with these characteristics because he
believes that they will generate exceptional returns over long periods of time.
ROBERTSON, STEPHENS & COMPANY
INVESTMENT MANAGEMENT, L.P.
======================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 15.69%
SINCE INCEPTION* 17.99%
* The Portfolio commenced operations on April 1, 1996.
======================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (APRIL 1, 1996)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio S&P 500 Index Russell Midcap Index
<S> <C> <C> <C>
4/1/96 10000 10000 10000
10490 10147 10283
10670 10409 10439
6/30/96 10230 10448 10282
9640 9987 9645
10030 10198 10105
9/30/96 10880 10771 10604
10820 11068 10689
11850 11904 11340
12/31/96 11547 11668 11224
12355 12397 11644
12173 12494 11627
3/31/97 11375 11982 11133
12011 12697 11410
13325 13473 12242
6/30/97 13315 14072 12643
15254 15191 13697
14830 14341 13549
9/30/97 15511 15126 14322
13844 14621 13765
13753 15297 14092
12/31/97 13359 15560 14481
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY INDUSTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
Financial Services 17.9%
Drugs & Health Care Services 8.4%
Consumer Speciality Retail 14.5%
Computer Components, Software and Services 20.6%
Other Equity Securities 30.9%
Semiconductors and Equipment 7.7%
<PAGE> 12
GROWTH & INCOME PORTFOLIO
DECEMBER 31, 1997
The Growth & Income Portfolio (the "Portfolio") seeks high long-term total
returns. The Portfolio invests primarily in small and mid-cap companies.
However, the Portfolio Manager tries to reduce risk by investing in convertible
bonds and other income-producing securities.
For the year, the Portfolio provided a total return of 25.15%. The Russell
Midcap Index and Russell 2000 Index had total returns of 29.01% and 22.36%,
respectively.
Equity markets exhibited considerable volatility during 1997. Fortunately, the
value of the Portfolio fluctuated significantly less than the overall market.
Equity markets declined in the first and fourth quarters of the year. During
these periods, the Russell 2000 Index lost a total of 8.35%, while the Portfolio
only declined by 5.00%. Stock prices appreciated significantly in the second and
third quarters of the year. During this six-month period, the Russell 2000 Index
had a total return of 33.51%, and the Portfolio returned 31.72%. Overall,
investors received superior risk-adjusted performance.
The Portfolio's overweighting in the oil services industry helped performance.
Noble Drilling Corporation, Camco International Inc. and Patterson Energy Inc.
all produced strong returns. At the end of 1997, oil service companies
represented 13 percent of the Portfolio.
While the price of oil has fluctuated, integrated oil companies continue their
search for oil reserves. As we enter 1998, the number of drilling rigs at work
worldwide is at a ten year high. We believe this trend, coupled with industry
consolidation, will support continued strong performance of energy service
stocks.
The cable television industry has also produced strong returns. Last summer,
stock prices appreciated substantially after Microsoft Corporation announced a
$1 billion investment in Comcast Corporation. At year-end, the industry
represented 7% of the Portfolio. Current positions include Tele-Communications
Inc., Nextlevel Systems and U.S. West Media Group.
The Portfolio holds a large number of securities, and it is well diversified
across industry groups. We are optimistic about the prospects of the financial
services and energy sectors. The Portfolio is currently overweighted in both of
these areas. We are less optimistic about the consumer sector, and it is
underweighted in the Portfolio.
We are cautiously optimistic about 1998 and have positioned the Portfolio more
conservatively than in 1997. Still, we believe that the Portfolio will continue
to provide investors with strong risk-adjusted returns in the coming year.
ROBERTSON, STEPHENS & COMPANY
INVESTMENT MANAGEMENT, L.P.
======================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 25.15%
SINCE INCEPTION* 29.84%
* The Portfolio commenced operations on April 1, 1996.
======================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (APRIL 1, 1996)
[INVESTMENT MOUTAIN CHART]
<TABLE>
<CAPTION>
12/13/11 Portfolio S&P 500 Index Russel Midcap Index** Russel 2000 Index
<S> <C> <C> <C> <C>
4/1/96 10000 10000 10000 10000
10720 10147 10283 10535
11480 10409 10439 10950
6/30/96 11110 10448 10282 10500
11250 9987 9645 9583
11030 10198 10105 10140
9/30/96 11740 10771 10604 10536
11850 11068 10689 10373
12500 11904 11340 10801
12/31/96 12621 11668 11224 11084
13042 12397 11644 11305
12761 12494 11627 11031
3/31/97 12310 11982 11133 10511
12180 12697 11410 10540
13313 13473 12242 11713
6/30/97 13784 14072 12643 12215
14746 15191 13697 12783
15287 14341 13549 13076
9/30/97 16221 15126 14322 14033
15969 14621 13765 13416
15536 15297 14092 13330
12/31/97 15796 15560 14481 13563
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
** The comparative indices have changed from prior year. The Russell Midcap
Index and Russell 2000 Index more accurately reflect the investment style of
the portfolio.
DISTRIBUTION BY INDUSTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Telecommunications 4.9%
Computer Industry 5.2%
Banking and Finance 10.5%
Oil and Gas 5.7%
Retail 5.7%
Utility 8.4%
Other Investments 10.2%
Other Equity Securities 49.4%
</TABLE>
10
<PAGE> 13
DESCRIPTION OF COMPARATIVE INDICES
J.P. Morgan Global Government Bond Index -- an index comprised of government
bonds from major countries, including the United States.
Lehman Brothers Government/Corporate Bond Index -- an index consisting of U.S.
government securities and investment grade corporate debt securities. As of
January 31, 1998, the average maturity of the index was 10.2 years.
Lehman Brothers Mortgage-Backed Securities Index -- an index consisting of 15-
and 30-year fixed rate securities backed by mortgage pools of the Government
National Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation
(FHLMC), and Federal National Mortgage Association (FNMA).
Merrill Lynch Global Government Bond Index II -- an index comprised of
government bonds from major countries, including the United States.
Russell Midcap Index -- an index consisting of the 800 smallest companies in the
Russell 1000 Index. The Russell 1000 Index contains the 1,000 largest companies
in the U.S. As of May 31, 1997, the median market capitalization of the Russell
Midcap Index was $2.3 billion.
Russell 2000 Index -- an index consisting of the 2,000 smallest companies in the
Russell 3000 Index. The Russell 3000 Index contains the 3,000 largest companies
in the U.S. As of May 31, 1997, the median market capitalization of the Russell
2000 Index was $400 million.
Salomon Brothers 1-Year Treasury Index -- an index consisting of 1-year U.S.
Treasury securities.
Standard & Poors 500 Index -- an index consisting of 500 U.S. stocks. As of
January 31, 1998, the mean market value of these companies was $15.3 billion.
11
<PAGE> 14
[This page intentionally left blank]
12
<PAGE> 15
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
COMMERCIAL PAPER - 98.8%
AEROSPACE & DEFENSE - 4.4%
AlliedSignal Corporation,
5.420%+ due 01/12/1998............. $1,552,000 $ 1,549,235
-----------
AUTOMOTIVE - 5.4%
Daimler-Benz Aktieng:
5.390%+ due 01/12/1998............. 800,000 798,582
5.240%+ due 01/20/1998............. 575,000 573,322
5.590%+ due 01/20/1998............. 200,000 199,377
5.620%+ due 03/24/1998............. 344,000 339,573
-----------
1,910,854
BEVERAGES - 9.5%
Anheuser Busch Company:
5.220%+ due 01/09/1998............. 403,000 402,491
5.420%+ due 02/02/1998............. 1,288,000 1,281,566
Coca-Cola Company:
5.463%+ due 01/27/1998............. 700,000 697,118
5.430%+ due 02/20/1998............. 1,000,000 992,305
-----------
3,373,480
CHEMICALS - 6.1%
Cargill Inc.:
5.190%+ due 01/13/1998............. 500,000 499,072
5.440%+ due 03/09/1998............. 1,028,000 1,017,458
Du Pont (E.I.) de Nemours & Company,
5.100%+ due 01/12/1998............. 661,000 659,891
-----------
2,176,421
COMPUTERS & COMPUTER PRODUCTS - 7.3%
Hewlett Packard Company,
5.090%+ due 01/22/1998............. 1,019,000 1,015,463
International Business Machines
Credit Corporation,
5.220%+ due 01/08/1998............. 1,568,000 1,566,262
-----------
2,581,725
FINANCIAL SERVICES - 17.0%
Associates Corporation of North
America, 5.540%+ due 01/16/1998.... 1,000,000 997,500
Bellsouth Capital Funding,
5.530%+ due 02/12/1998............. 780,000 774,831
Ford Motor Credit Corporation,
5.100%+ due 01/07/1998............. 1,000,000 999,068
General Electric Capital Corporation:
5.390%+ due 01/21/1998............. 1,000,000 996,844
5.460%+ due 02/23/1998............. 321,000 318,372
5.470%+ due 02/25/1998............. 275,000 272,659
Hyundai Motor Financial Corporation,
5.310%+ due 01/09/1998............. 301,000 300,630
Pitney Bowes Credit Corporation,
5.120%+ due 01/14/1998............. 500,000 499,011
TMI - 1, 4.640%+ due 01/05/1998...... 905,000 904,392
-----------
6,063,307
FOODS - 14.5%
Archer-Daniels-Midland Company:
5.410%+ due 02/06/1998............. 651,000 647,367
5.630%+ due 03/06/1998............. 1,100,000 1,088,853
Heinz Company,
5.440%+ due 02/23/1998............. 1,375,000 1,363,663
Hershey Foods Corporation,
5.480%+ due 01/30/1998............. 1,576,000 1,568,611
Procter & Gamble Corporation, 5.450%+
due 03/02/1998..................... 500,000 495,395
-----------
5,163,889
COMMERCIAL PAPER (CONTINUED)
FOREIGN BANKS - 8.1%
Swiss Bank Corporation,
5.650%+ due 05/22/1998............. $1,500,000 $ 1,501,177
Societe Generale de Paris,
5.720%+ due 08/04/1998............. 1,000,000 999,426
Toronto Dominion,
5.330%+ due 01/26/1998............. 400,000 398,453
-----------
2,899,056
FOREIGN GOVERNMENT - 2.6%
Sweden (Kingdom of),
5.460%+ due 03/16/1998............. 950,000 939,240
-----------
MULTIMEDIA - 3.3%
Disney (Walt) Company,
5.390%+ due 02/27/1998............. 1,200,000 1,189,588
-----------
SECURITIES BROKERAGE - 7.1%
Goldman, Sachs & Company,
5.440%+ due 01/15/1998............. 1,000,000 997,744
Merrill Lynch, Pierce, Fenner & Smith
Inc.: 5.110%+ due 01/06/1998....... 1,136,000 1,135,107
5.510%+ due 03/25/1998............. 400,000 394,891
-----------
2,527,742
TELECOMMUNICATIONS - 7.7%
AT&T Corporation:
4.880%+ due 01/02/1998............. 808,000 807,876
4.950%+ due 01/05/1998............. 537,000 536,673
5.100%+ due 01/15/1998............. 125,000 124,736
5.390%+ due 03/09/1998............. 266,000 263,297
Bell South Telephone Company,
5.620%+ due 02/24/1998............. 1,000,000 991,420
-----------
2,724,002
UTILITY - 5.8%
Ameritech Corporation,
5.170%+ due 02/06/1998............. 1,079,000 1,072,958
Florida Power Company,
5.630%+ due 02/19/1998............. 1,016,000 1,008,021
-----------
2,080,979
TOTAL COMMERCIAL PAPER - (Cost
$35,179,518) 35,179,518
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 1.2%
FEDERAL FARM CREDIT BANK - 1.0%
FFCB, 5.390%+ due 06/16/1998......... 350,000 341,430
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.2%
FHLMC, 5.750%+ due 07/13/1998........ 80,000 77,719
-----------
TOTAL U.S. GOVERNMENT AGENCY DISCOUNT
NOTES - (Cost $419,149) 419,149
-----------
TOTAL INVESTMENTS -
(COST $35,598,667*) - 100.0% $35,598,667
OTHER ASSETS AND LIABILITIES - (0.0)% (4,300)
-----------
NET ASSETS - 100.0% $35,594,367
===========
</TABLE>
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
See accompanying notes.
13
<PAGE> 16
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
MORTGAGE-BACKED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS - 67.8%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 26.9%
FHLMC:
Pool #E20197,
7.000% due 10/01/2010........................ $764,506 $ 776,684
Pool #E65976,
6.500% due 04/01/2011........................ 436,261 437,352
Pool #E65441,
7.500% due 04/01/2011........................ 420,235 431,527
Gold, Pool #G10555,
6.000% due 06/01/2011........................ 749,932 738,211
Pool #D53633,
7.000% due 06/01/2024........................ 64,956 65,585
Pool #D54394,
7.000% due 07/01/2024........................ 186,652 188,458
Pool #C00374,
9.000% due 09/01/2024........................ 444,641 473,124
Pool #D58465,
9.000% due 01/01/2025........................ 514,064 546,995
Pool #C80428,
8.000% due 09/01/2026........................ 449,453 465,323
Pool #D55706,
7.000% due 08/01/2044........................ 592,589 598,325
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) - 22.5%
GNMA:
Pool #351992,
6.000% due 12/15/2008........................ 211,769 209,122
Pool #368358,
6.000% due 01/15/2009........................ 205,239 202,673
Pool #192568,
8.000% due 05/15/2017........................ 494,212 512,745
Pool #223830,
8.000% due 06/15/2017........................ 165,487 171,693
Pool #229269,
8.000% due 07/15/2017........................ 91,904 95,350
Pool #388581,
7.500% due 01/15/2024........................ 338,229 346,790
Pool #412787,
7.000% due 03/15/2026........................ 454,144 458,118
Pool #429361,
7.000% due 03/15/2026........................ 476,886 481,058
Pool #398795,
8.500% due 07/15/2026........................ 323,744 340,232
Pool #399003,
9.000% due 12/15/2026........................ 356,000 380,921
Pool #452930,
7.500% due 07/15/2027........................ 741,362 760,126
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 18.4%
FNMA:
Pool #341094,
6.500% due 04/01/2011........................ 330,051 332,114
Pool #344243,
6.500% due 04/01/2011........................ 412,449 415,027
Pool #267373,
6.500% due 01/01/2024........................ 384,591 379,904
Pool #271306,
6.500% due 02/01/2024........................ 301,671 297,993
Pool #190854,
6.500% due 06/01/2024........................ 202,880 200,407
Pool #299481,
8.000% due 04/01/2025........................ 424,374 439,358
Pool #332150,
8.500% due 12/01/2025........................ 424,969 443,957
Pool #397498,
7.500% due 08/01/2027........................ 697,786 714,358
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS - (Cost $11,612,207) 11,903,530
-----------
U.S. TREASURY OBLIGATION - 9.4%
U.S. TREASURY NOTES:
6.500%+ due 08/15/2005......................... 600,000 626,262
5.625%+ due 02/15/2006......................... 500,000 494,675
6.500%+ due 10/15/2006......................... 500,000 523,771
-----------
TOTAL U.S. TREASURY OBLIGATIONS -
(Cost $1,600,049) 1,644,708
-----------
COLLATERALIZED MORTGAGE
OBLIGATION - 4.0% - (COST $702,297)
ASSET-BACKED SECURITY
Countrywide Funding Corporation,
#1995-4, 7.500% due 09/25/2025................. $700,000 $ 701,199
-----------
CORPORATE BONDS AND NOTES - 2.9% -
(COST $499,830)
SECURITIES BROKERAGE
Lehman Brothers Holdings, 6.625% due
12/27/2002..................................... 500,000 503,125
-----------
SHORT TERM INVESTMENTS - 15.3%
FINANCIAL SERVICES - 9.9%
Capital One Bank,
6.620%+ due 04/13/1998......................... 500,000 500,720
Ford Motor Credit Corporation,
4.637%+ due 01/02/1998......................... 747,000 746,870
Union Planters National Bank,
6.290%+ due 08/20/1998......................... 500,000 500,700
-----------
1,748,290
FEDERAL AGENCY OBLIGATIONS - 2.7%
Federal Farm Credit Bank,
5.722%+ due 09/30/1998......................... 500,000 479,520
-----------
INVESTMENT COMPANY - 2.7%
Merrill Lynch Institutional Fund,
5.440% due 01/01/2050.......................... 466,077 466,077
-----------
TOTAL SHORT TERM INVESTMENTS - (Cost
$2,695,348) 2,693,887
-----------
TOTAL INVESTMENTS - (COST $17,108,731*) - 99.3%
$17,446,449
OTHER ASSETS AND LIABILITIES - 0.7% 121,028
-----------
NET ASSETS - 100.0% $17,567,477
===========
</TABLE>
*Aggregate cost for Federal tax purposes.
+Annualized yield at date of purchase.
See accompanying notes.
14
<PAGE> 17
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
INTERNATIONAL FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------------ -----------
<S> <C> <C>
GOVERNMENT BONDS - 91.2%
AUSTRALIA - 4.1% (AUD)
New South Wales Treasury
Corporation, 6.500% due
05/01/2006...................... $ 750,000 $ 495,497
-----------
CANADA - 2.2% (CAD)
Government of Canada, 7.000% due
12/01/2006...................... 350,000 268,602
-----------
DENMARK - 4.5% (DKK)
Kingdom of Denmark, 7.000% due
12/15/2004...................... 3,400,000 540,872
-----------
FRANCE - 4.2% (FRF)
Government of France, 7.000% due
10/12/2000...................... 2,000,000 353,887
Obligation Assimilable du Tresor,
5.500% due 04/25/2004........... 900,000 153,718
-----------
507,605
GERMANY - 15.8% (DEM)
Bundesrepublik, 6.000% due
01/04/2007...................... 750,000 436,284
German Federal Republic: 5.750%
due 05/28/1999.................. 750,000 426,612
5.125% due 11/21/2000........... 875,000 495,525
5.250% due 02/21/2001........... 150,000 85,122
6.750% due 07/15/2004........... 500,000 303,029
6.000% due 01/05/2006........... 300,000 174,547
-----------
1,921,119
ITALY - 4.2% (ITL)
Republic of Italy: 10.500% due
04/01/2000...................... 300,000,000 189,090
6.250% due 03/01/2002........... 250,000,000 147,541
10.000% due 08/01/2003.......... 250,000,000 172,202
-----------
508,833
JAPAN - 4.9% (JPY)
Government of Japan, 2.300% due
09/20/2007...................... 75,000,000 594,485
-----------
NETHERLANDS - 4.3% (NLG)
Dutch Government, 6.000% due
01/15/2006...................... 1,000,000 517,828
-----------
SPAIN - 2.2% (ESP)
Government of Spain, 7.900% due
02/28/2002...................... 37,000,000 268,848
-----------
SWEDEN - 4.3% (SEK)
Kingdom of Sweden:
6.000% due 02/09/2005........... 1,000,000 127,000
6.500% due 10/25/2006........... 3,000,000 391,650
-----------
518,650
GOVERNMENT BONDS (CONTINUED)
UNITED KINGDOM - 12.1% (GBP)
U.K. Treasury:
7.000% due 06/07/2002........... $ 350,000 $ 587,217
7.500% due 12/07/2006........... 500,000 882,763
-----------
1,469,980
UNITED STATES - 28.4% (USD)
U.S. Treasury Notes:
5.500% due 12/31/2000........... 350,000 348,089
7.250% due 08/15/2004........... 1,000,000 1,081,510
7.000% due 07/15/2006........... 1,200,000 1,295,820
6.500% due 10/15/2006........... 700,000 733,278
-----------
3,458,697
TOTAL GOVERNMENT BONDS - (Cost
$11,192,763) 11,071,016
-----------
TOTAL INVESTMENTS -
(COST $11,192,763*) - 91.2% $11,071,016
OTHER ASSETS AND LIABILITIES - 8.8% 1,062,012
-----------
NET ASSETS - 100.0% $12,133,028
===========
</TABLE>
*Aggregate cost for Federal tax purposes is $11,196,511.
GLOSSARY OF TERMS
AUD - Australian Dollar
CAD - Canadian Dollar
DEM - German Deutsche Mark
DKK - Danish Krona
ESP - Spanish Peseta
FRF - French Franc
GBP - Great Britain Pound Sterling
ITL - Italian Lira
JPY - Japanese Yen
NLG - Netherlands Guilder
SEK - Swedish Krona
USD - United States Dollar
See accompanying notes.
15
<PAGE> 18
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
OTC PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 93.8%
AIRLINES - 0.0%#
Midway Airlines Corporation+........ 500 $ 7,563
------------
BANKING AND FINANCE - 2.1%
Compass Bancshares Inc. ............ 27,100 1,185,626
First Hawaiian Inc. ................ 28,000 1,113,000
------------
2,298,626
BROADCASTING - 1.1%
American Radio Systems
Corporation....................... 10,600 565,113
Jacor Communications Inc.+.......... 12,400 658,750
------------
1,223,863
CHEMICALS AND ALLIED PRODUCTS - 0.7%
Cambrex Corporation................. 9,500 437,000
Cytec Industries Inc.+.............. 8,100 380,194
------------
817,194
COMMERCIAL SERVICES - 0.8%
Paymentech Inc.+.................... 62,000 914,500
------------
COMMUNICATION - 10.3%
Aerial Communications+.............. 161,800 1,152,825
Ascend Communications Inc.+......... 211,310 5,177,095
Aspect Telecommunications+.......... 103,600 2,162,650
Cisco Systems+...................... 25,200 1,404,900
Cox Communication, New Class+....... 17,800 713,112
DST System+......................... 16,400 700,075
------------
11,310,657
COMPUTER INDUSTRY - 18.0%
Adobe Systems Inc. ................. 15,100 622,875
Affiliated Computer Services,
Class A........................... 6,400 168,400
Aspen Technology Inc.+.............. 8,900 304,825
Best Software Inc.+................. 500 4,625
BMC Software Inc.+.................. 19,500 1,279,688
Clarify Inc.+....................... 35,000 406,875
Comverse Technology Inc.+........... 23,300 908,700
Concentra Managed Care+............. 6,965 235,069
Edify Corporation+.................. 235,900 4,423,125
Electronic Arts Inc. ............... 4,500 170,156
Fiserv Inc.+........................ 20,700 1,016,887
HCIA Inc.+.......................... 55,800 662,625
Intel Corporation................... 10,200 716,550
Microsoft Corporation+.............. 8,700 1,124,475
Oracle Systems+..................... 150,400 3,355,800
Rational Software+.................. 8,500 96,688
Scopus Technology Inc.+............. 19,600 235,200
Security Dynamics Technology Inc.+.. 15,400 550,550
Siebel Systems Inc.+................ 1 28
SPR Inc.+........................... 200 3,400
Synopsys Inc.+...................... 34,092 1,218,789
Technology Solutions................ 16,500 435,187
Transition Systems+................. 51,000 1,128,375
Vantive Corporation+................ 28,200 712,050
------------
19,780,942
CONSUMER DURABLES - 0.9%
IRI International Corporation+...... 1,100 15,400
Compuware Corporation+.............. 29,300 937,600
------------
953,000
ELECTRONICS - 12.5%
Actel Corporation+.................. 23,500 296,687
Analog Devices Inc.+................ 38,800 1,074,275
Cable Design Technologies+.......... 110,300 4,287,912
Teradyne Inc.+...................... 118,200 3,782,400
Tyco International Ltd. ............ 96,168 4,333,570
------------
13,774,844
ENERGY - 0.1%
Camco International Inc. ........... 2,300 146,481
------------
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES - 2.4%
Franklin Resources Inc. ............
26,600 $ 2,312,537
Green Tree Financial Corporation....
12,100 316,869
------------
2,629,406
FOOD AND BEVERAGES - 2.7%
Friendly Ice Cream Corporation+.....
3,000 34,875
McCormick & Company Inc. ...........
41,800 1,170,400
Robert Mondavi Corporation, Class
A+................................
13,800 672,750
Tootsie Roll Industries.............
17,500 1,093,750
------------
2,971,775
HEALTH CARE AND SERVICES - 7.3%
Acuson+............................. 13,300 220,282
Advanced Health Corporation......... 1,800 28,575
Amerisource Health Corporation+..... 22,900 1,345,375
Health Management Associates Inc. .. 9,600 242,400
Healthsouth Corporation+............ 21,200 588,300
Mariner Health Group Inc.+.......... 172,000 2,795,000
Renal Treatment Centers Inc.+....... 23,000 830,875
St. Jude Medical Inc.+.............. 26,600 811,300
United Healthcare Corporation....... 23,489 1,167,110
------------
8,029,217
HOTELS AND RESTAURANTS - 1.6%
Applebee's International Inc. ...... 26,900 485,882
Four Seasons Hotels Inc. ........... 9,800 309,925
Landry's Seafood Restaurants+....... 39,400 945,600
------------
1,741,407
INFORMATION PROCESSING - 1.6%
HBO & Company....................... 36,860 1,769,280
PRT Group Inc.+..................... 1,200 13,650
------------
1,782,930
INSURANCE - 1.0%
Compdent Corporation+............... 27,600 559,762
Conseco Inc. ....................... 11,100 504,356
Esg Re Ltd.+........................ 700 16,450
------------
1,080,568
MANUFACTURING - 0.2%
Danka Business System, ADR.......... 13,300 211,969
------------
MEDIA - 8.1%
E.W. Scripps Company................ 9,200 445,625
Gemstar International Group Ltd.+... 347,223 8,463,561
------------
8,909,186
MEDICAL SUPPLIES - 3.8%
Apache Medical Systems Inc.......... 27,600 35,362
Hologic Inc.+....................... 23,700 490,294
Idexx Laboratories Inc.+............ 12,800 204,000
Mentor Corporation.................. 25,800 941,700
Microprose Inc.+.................... 273,100 597,406
Physician Sales & Services Inc.+.... 39,200 842,800
Uromed Corporation+................. 318,800 1,125,762
------------
4,237,324
OFFICE SUPPLIES - 1.7%
Viking Office Products+............. 86,800 1,893,325
------------
OIL AND GAS - EQUIPMENT & SERVICES - 4.1%
Apache Corporation.................. 10,500 368,156
Cooper Cameron Corporation+......... 18,800 1,146,800
Diamond Offshore Drilling........... 18,600 895,125
Global Industries Ltd.+............. 75,600 1,285,200
National-Oilwell Inc. .............. 10,000 341,875
Noble Drilling Corporation+......... 8,500 260,312
Snyder Oil Corporation.............. 750 13,687
Corporation+...................... 368,500 100,567
Transocean Offshore Inc. ........... 2,700 130,106
------------
4,541,828
</TABLE>
See accompanying notes.
16
<PAGE> 19
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
OTC PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
OTHER - 0.0%#
Conning Corporation+................ 300 $ 5,025
Ivex Packaging Corporation+......... 700 16,800
------------
21,825
RAILROADS - 1.1%
Kansas City Southern Industries..... 24,400 774,700
Wisconsin Central Transportation
Corporation+...................... 16,400 383,350
------------
1,158,050
Drill-Quip.......................... 500 17,562
------------
RETAIL - 6.2%
AC Moore Arts & Crafts Inc.+........ 200 2,275
Fred Meyer Inc.+.................... 45,000 1,636,875
Gymboree Corporation+............... 86,150 2,358,357
Novel Denim Holdings Ltd.+.......... 300 6,000
Office Depot Inc.+.................. 37,000 885,688
Rite Aid Corporation................ 33,300 1,954,294
------------
6,843,489
TECHNOLOGY - 4.7%
Cadence Design Systems Inc.+........ 31,840 780,080
Concord EFS Inc.+................... 35,300 878,087
First Data Corporation.............. 18,400 538,200
Shared Medical Systems
Corporation....................... 45,800 3,022,800
------------
5,219,167
TELECOMMUNICATIONS - 0.8%
Microcell Telecommunications+....... 1,400 9,450
Nextlink Communications, Class A+... 500 10,657
U. S. Cellular Corporation+......... 27,900 864,900
------------
885,007
103,401,705
TOTAL COMMON STOCK (Cost $95,254,310) ------------
SHORT TERM INVESTMENT - 5.7% - (COST $6,299,169)
FEDERAL HOME LOAN BANK
FHLB,
4.878% ++ due 01/02/1998.......... $6,300,000 $ 6,299,169
------------
TOTAL INVESTMENTS -
(COST $101,553,479*) - 99.5% $109,700,874
OTHER ASSETS AND LIABILITIES - 0.5% 579,291
------------
NET ASSETS - 100.0% $110,280,165
============
</TABLE>
* Aggregate cost for Federal tax purposes is $103,278,221.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
17
<PAGE> 20
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 97.6%
AEROSPACE AND DEFENSE - 3.5%
Lockheed Martin Corporation........ 21,300 $ 2,098,050
Newport News Shipbuilding.......... 72,000 1,831,500
United Technologies Corporation.... 61,600 4,485,250
------------
8,414,800
APPLICATIONS SOFTWARE - 0.0%#
Siebel Systems Inc.+............... 1 14
------------
AUTO REPAIR AND AUTO PARTS - 0.4%
Kwik-Fit Holdings Plc.............. 185,600 1,071,442
------------
BANKING AND FINANCE - 3.1%
BankBoston Corporation............. 16,040 1,506,757
Chase Manhattan Corporation........ 23,576 2,581,572
PNC Bank Corporation............... 29,100 1,660,519
Wells Fargo & Company.............. 4,700 1,595,356
------------
7,344,204
Praxair............................ 27,900 1,255,500
------------
BROADCASTING - 2.6%
Clear Channel Communications....... 20,900 1,660,244
HBO & Company...................... 63,300 3,038,400
Jacor Communications Inc.+......... 28,800 1,530,000
------------
6,228,644
BROKERAGE - 1.8%
Chubb Corporation.................. 24,900 1,883,062
Merrill Lynch & Company Inc. ...... 20,300 1,480,631
Morgan Stanley, Dean Witter
Discover......................... 17,300 1,022,863
------------
4,386,556
BUSINESS SERVICES - 2.1%
Cendant Corporation................ 149,866 5,151,644
------------
CHEMICALS & ALLIED PRODUCTS - 5.1%
Air Products & Chemicals Inc. ..... 21,100 1,735,475
Bristol Myers Squibb Company....... 72,000 6,813,000
Cytec Industries Inc.+............. 50,600 2,375,037
Du Pont (E. I.) De Nemours &
Company.......................... 20,200 1,213,262
------------
12,136,774
COMMERCIAL SERVICES - 0.4%
Accustaff Inc.+.................... 44,600 1,025,800
------------
COMPUTER INDUSTRY - 11.6%
Adobe Systems Inc. ................ 41,200 1,699,500
BMC Software, Inc.+................ 36,600 2,401,875
Cisco Systems+..................... 45,300 2,525,475
Compaq Computer Corporation........ 68,350 3,857,503
Electronic Arts Inc.+.............. 54,400 2,057,000
Intel Corporation.................. 53,500 3,758,375
Microsoft Corporation+............. 46,000 5,945,500
Oracle Systems+.................... 134,700 3,005,494
Sun Microsystems Inc.+............. 28,500 1,136,438
Sybase Inc.+....................... 32,100 427,331
Synopsys Inc. ..................... 28,900 1,033,175
------------
27,847,666
CONSUMER SERVICES - 4.8%
Compuware Corporation+............. 69,400 2,220,800
Gillette Company................... 48,400 4,861,175
Procter & Gamble Company........... 55,400 4,421,613
------------
11,503,588
COSMETICS AND TOILETRIES - 0.5%
Revlon Companies Inc.+............. 33,200 1,172,375
------------
ELECTRONICS - 5.4%
Analog Devices Inc. ............... 29,600 819,549
Cooper Industries Inc. ............ 38,300 1,876,700
COMMON STOCK (CONTINUED)
ELECTRONICS - (CONTINUED)
Sony Corporation................... 26,000 $ 2,310,226
Teradyne Inc.+..................... 30,800 985,600
Tyco International Ltd. ........... 156,834 7,067,332
------------
13,059,407
ENVIRONMENTAL CONTROL - 1.0%
Browning Ferris Industries Inc. ... 63,400 2,345,800
------------
FINANCIAL SERVICES - 7.4%
Advanta Corporation, Class B....... 9,000 228,375
Allstate Corporation............... 22,400 2,035,600
American Express Company........... 12,300 1,097,775
Associates First Capital
Corporation...................... 14,200 1,009,975
Comerica Inc. ..................... 28,500 2,572,125
Corestate Financial Corporation.... 25,200 2,017,575
Federal National Mortgage
Association...................... 40,200 2,293,912
Fleet Financial Group Inc. ........ 32,700 2,450,456
Franklin Resources Inc. ........... 11,650 1,012,822
ReliaStar Financial Corporation.... 43,754 1,802,118
Union Planters Corporation......... 18,362 1,247,468
------------
17,768,201
FOOD AND BEVERAGES - 4.3%
Coca Cola Company.................. 68,000 4,530,500
Earthgrains Company................ 17,000 799,000
McCormick & Company Inc. .......... 51,800 1,450,400
Safeway Inc.+...................... 57,100 3,611,575
------------
10,391,475
HEALTH CARE AND SERVICES - 4.1%
Cardinal Health Corporation........ 25,300 1,900,662
HEALTHSOUTH Corporation+........... 69,534 1,929,569
Tenet Healthcare Corporation....... 47,600 1,576,750
United Healthcare Corporation...... 87,400 4,342,688
------------
9,749,669
HOTELS AND RESTAURANTS - 1.3%
Hilton Hotels Corporation.......... 30,500 907,375
Host Marriott Corporation.......... 63,500 1,246,188
Jarvis Hotels Plc**................ 301,800 750,926
Promus Hotel Corporation+.......... 4,116 172,872
------------
3,077,361
HOUSEHOLD PRODUCTS - 3.1%
Clorox Company..................... 21,900 1,731,469
Colgate Palmolive Company.......... 71,600 5,262,600
Dial Corporation................... 22,300 464,119
------------
7,458,188
INSURANCE - 6.7%
Cigna Corporation.................. 10,900 1,886,381
Conseco Inc. ...................... 92,600 4,207,512
FPIC Insurance Group Inc.+......... 6,800 198,050
Hartford Financial Services
Group............................ 29,100 2,722,669
Lincoln National Corporation
Ltd.............................. 21,500 1,679,688
PennCorp Financial Group Inc. ..... 30,600 1,092,038
Travelers Group Inc. .............. 42,500 2,289,688
Skandia Forsakrings AB............. 40,800 1,924,407
------------
16,000,433
MACHINERY - 0.5%
American Standard Company+......... 32,600 1,248,987
------------
MEDICAL PRODUCTS AND SUPPLIES - 3.2%
Boston Scientific Corporation+..... 44,500 2,041,437
Novartis AG........................ 3,056 4,955,167
Sankyo Company Ltd................. 18,000 406,741
UroMed Corporation+................ 52,400 185,038
------------
7,588,383
OFFICE EQUIPMENT - 0.8%
Canon Inc. ........................ 82,000 1,909,460
------------
</TABLE>
See accompanying notes.
18
<PAGE> 21
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS - 2.9%
British Petroleum Corporation,
ADR.............................. 40,867 $ 3,256,589
Chevron Corporation................ 17,600 1,355,200
USX Marathon Group Inc., New....... 68,500 2,311,875
------------
6,923,664
OTHER - 1.5%
Alcatel Alsthom CGE, Sponsored
ADR.............................. 92,800 2,349,000
Cia Cervejaria Brahma, ADR......... 95,200 1,350,650
------------
3,699,650
PAPER AND PAPER PRODUCTS - 2.1%
Kimberly Clark Corporation......... 72,500 3,575,156
Stone Container Corporation........ 132,300 1,380,881
------------
4,956,037
RAILROADS - 1.6%
Burlington Northern Santa Fe....... 24,600 2,286,262
Wisconsin Central Transportation
Corporation+....................... 72,800 1,701,700
------------
3,987,962
REAL ESTATE - 0.0%#
Wharf Holdings Inc. ............... 12,000 26,326
------------
RETAIL - 4.9%
CVS Corporation.................... 10,300 659,844
Fred Meyer Inc.+................... 45,200 1,644,150
Gymboree Corporation+.............. 39,300 1,075,837
Home Depot Inc. ................... 61,600 3,607,450
Office Depot Inc.+................. 66,800 1,599,025
Reebok International Ltd. ......... 11,900 342,869
Rite Aid Corporation............... 48,700 2,858,081
------------
11,787,256
TECHNOLOGY - 3.1%
Cadence Design System Inc.+........ 82,100 2,011,450
Computer Association International
Inc. ............................ 63,825 3,374,747
First Data Corporation............. 68,200 1,994,850
------------
7,381,047
TELECOMMUNICATIONS - 4.0%
Aspect Telecommunication+.......... 103,400 2,158,475
Brooks Fiber Properties Inc.+...... 13,300 731,500
Intermedia Communications+......... 15,100 917,325
MCI Communications Corporation..... 35,000 1,498,438
Sprint Corporation................. 47,300 2,772,963
Worldcom Inc+...................... 51,500 1,557,875
------------
9,636,576
COMMON STOCK (CONTINUED)
TOBACCO - 2.0%
Philip Morris Companies Inc. ...... 107,000 $ 4,848,438
------------
UTILITIES - 1.3%
Baker Hughes Inc. ................. 43,300 1,888,962
California Energy Inc. ............ 39,200 1,127,000
------------
3,015,962
TOTAL COMMON STOCK - (Cost 234,399,289
$211,232,631) ------------
PRINCIPAL
AMOUNT
----------
FEDERAL AGENCY OBLIGATIONS - 4.2%
- - (COST $9,996,914)
FEDERAL HOME LOAN BANKS
FHLB:
4.878%++ due 01/02/1998.......... $6,500,000 6,499,142
4.304%++ due 01/05/1998.......... 3,500,000 3,497,772
------------
9,996,914
TOTAL INVESTMENTS - (COST $221,451,885*) -
101.8% $244,396,203
OTHER ASSETS AND LIABILITIES - (1.8)% (4,281,674)
------------
NET ASSETS - 100.0% $240,114,529
============
</TABLE>
* Aggregate cost for Federal tax purposes is $221,819,171.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
19
<PAGE> 22
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 51.4%
AEROSPACE AND DEFENSE - 1.9%
General Dynamics Corporation........ 13,200 $ 1,140,975
Lockheed Martin Corporation......... 7,300 719,050
Raytheon Company, Class A........... 2,359 116,349
Raytheon Company, Class B........... 20,100 1,015,050
United Technologies Corporation..... 4,300 313,094
------------
3,304,518
ALUMINUM - 0.4%
Aluminum Company of America......... 9,300 654,487
------------
AUTOMOBILES - 0.7%
Ford Motor Company.................. 21,900 1,066,256
General Motors Corporation.......... 2,500 151,563
Volvo AB- ADR....................... 3,900 105,300
------------
1,323,119
AUTO PARTS - 0.4%
Lear Corporation+................... 13,900 660,250
------------
BANKING AND FINANCE - 3.0%
BankBoston Corporation.............. 2,000 187,875
Bank of New York Inc. .............. 22,900 1,323,906
BB&T Corporation Class A............ 6,600 422,812
Chase Manhattan Corporation......... 4,828 528,666
Fleet Financial Group Inc. ......... 5,700 427,144
Nationsbank Corporation............. 15,500 942,594
PNC Bank Corporation................ 25,100 1,432,269
------------
5,265,266
BUILDING CONSTRUCTION - 0.1%
Sherwin-Williams Company............ 7,000 194,250
------------
CHEMICALS - 2.8%
Air Products & Chemicals Inc. ...... 10,600 871,850
Akzo Nobel.......................... 8,250 1,422,400
Dow Chemical Company................ 2,800 284,200
Hoechst AG.......................... 9,200 322,179
Nalco Chemical Company.............. 4,900 193,856
Philip Morris Companies Inc. ....... 40,450 1,832,891
------------
4,927,376
COMPUTERS & BUSINESS EQUIPMENT - 1.1%
Digital Equipment Corporation, Class
A+.................................. 13,800 510,600
International Business Machines
Corporation......................... 14,100 1,474,331
------------
1,984,931
CONGLOMERATES - 0.1%
Eastern Enterprises Inc. ........... 4,000 180,000
Tenneco Inc. ....................... 900 35,550
------------
215,550
CONSUMER GOODS & SERVICES - 0.2%
Service Corporation International... 7,641 282,239
------------
DRUGS & HEALTH CARE SERVICES - 2.1%
American Home Products
Corporation....................... 15,900 1,216,350
Astra AB, ADR....................... 1 17
Novartis AG......................... 578 937,201
Smithkline Beecham Plc, ADR......... 30,900 1,589,419
------------
3,742,987
ELECTRICAL EQUIPMENT - 1.3%
General Electric Company............ 23,400 1,716,975
Hubbell Inc., Class B............... 10,000 493,125
------------
2,210,100
ELECTRONICS - 0.3%
Tyco International Ltd. ............ 12,000 540,750
------------
ENVIRONMENTAL CONTROL - 0.7%
Browning Ferris Industries Inc. .... 32,100 1,187,700
------------
FINANCIAL SERVICES - 5.6%
Allstate Corporation................ 3,500 $ 318,063
American Express Company............ 18,100 1,615,425
Beneficial Corporation.............. 1,900 157,938
Corestate Financial Corporation..... 7,900 632,494
Edwards A.G. Incorporated........... 16,100 639,975
Federal Home Loan Mortgage
Corporation......................... 12,400 520,025
Federal National Mortgage
Association....................... 20,800 1,186,900
Merrill Lynch & Company Inc. ....... 4,200 306,337
Morgan Stanley Dean Witter
Discover.......................... 10,400 614,900
National City Corporation........... 27,500 1,808,125
Northern Trust Corporation.......... 17,100 1,192,725
Norwest Financial Corporation....... 24,400 942,450
------------
9,935,357
FOOD AND BEVERAGES - 0.7%
Diageo Plc.......................... 44,800 411,665
General Mills Incorporated.......... 3,400 243,525
McCormick & Company Inc. ........... 6,300 176,400
PepsiCo Incorporated................ 10,400 378,950
Tricon Global Restaurant+........... 1,330 38,653
------------
1,249,193
FOREST PRODUCTS - 0.8%
Champion International.............. 8,500 385,157
Weyerhaeuser Company................ 20,800 1,020,500
------------
1,405,657
GAS EXPLORATION - 2.5%
Coastal Corporation................. 20,400 1,263,525
New Century Energies Inc. .......... 11,000 527,312
Occidental Petroleum Corporation.... 18,500 542,282
Pacific Enterprises Inc. ........... 1,700 63,962
Repsol S.A., ADR.................... 7,700 327,731
USX-Marathon Group Inc. ............ 28,200 951,750
Williams Companies Inc. ............ 24,080 683,270
------------
4,359,832
GROCERY - 0.3%
Safeway Inc.+....................... 7,000 442,750
------------
HEALTH MAINTENANCE ORGANIZATIONS - 0.2%
United Healthcare Corporation....... 7,500 372,656
------------
HOUSEHOLD PRODUCTS - 0.3%
Colgate Palmolive Company........... 2,600 191,100
Rubbermaid Inc. .................... 15,100 377,500
------------
568,600
INSURANCE - 4.4%
Chubb Corporation................... 17,000 1,285,625
Cigna Corporation................... 9,100 1,574,870
Lincoln National Corporation........ 15,000 1,171,875
Provident Companies Inc. ........... 17,000 656,625
St. Paul Companies Inc. ............ 11,500 943,719
Torchmark Corporation............... 28,800 1,211,400
Travelers Group Inc. ............... 15,449 832,342
------------
7,676,456
MACHINE DIVERSIFIED - 0.5%
Deere & Company..................... 12,600 734,737
Stanley Works Company............... 1,800 84,937
------------
819,674
MANUFACTURING - 1.5%
Allied Signal Inc. ................. 37,400 1,456,261
Cooper Industries Inc. ............. 19,500 955,500
Dexter Corporation.................. 5,000 215,937
------------
2,627,698
MEDICAL SUPPLIES - 0.2%
Baxter International Inc. .......... 5,400 272,362
------------
</TABLE>
See accompanying notes.
20
<PAGE> 23
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
METALS - 0.0%#
Phelps Dodge Corporation............ 1,000 $ 62,250
------------
OIL AND GAS - 5.4%
Amoco Corporation................... 6,700 570,337
Atlantic Richfield Company.......... 10,500 841,312
British Petroleum Plc, ADR.......... 28,478 2,269,341
Chevron Corporation................. 5,500 423,500
Exxon Corporation................... 17,500 1,070,781
Keyspan Energy Corporation.......... 8,300 305,544
Mobil Corporation................... 11,300 815,719
Royal Dutch Petroleum Company....... 22,100 1,197,544
Texaco Inc. ........................ 25,400 1,381,125
Union Pacific Resources Group
Inc. ............................. 6,800 164,900
Unocal Corporation.................. 10,000 388,125
------------
9,428,228
PHARMACEUTICALS - 1.3%
Bristol Myers Squibb Company........ 24,500 2,318,312
------------
PHOTOGRAPHY - 0.4%
Eastman Kodak Company............... 10,500 638,531
------------
POLLUTION CONTROL - 0.4%
Waste Management Inc. .............. 27,600 759,000
------------
RAILROADS AND EQUIPMENT - 1.2%
Burlington Northern Santa Fe........ 6,000 557,625
Canadian National Railway Company... 12,000 567,000
Illinois Central Corporation........ 20,200 688,062
Norfolk Southern Corporation........ 12,400 382,075
------------
2,194,762
REAL ESTATE - 1.0%
Arden Reality Group Inc. ........... 14,000 430,500
Boston Properties Inc., Class A..... 7,800 257,887
Hospitalities Properties Trust...... 8,000 263,000
Meditrust Corporation............... 6,969 256,111
Tower Realty Trust Inc. ............ 4,000 98,500
TriNet Corporate Realty Trust
Inc. ............................. 10,600 410,087
------------
1,716,085
RETAIL - 1.9%
CVS Corporation..................... 800 51,250
Fred Meyer Inc.+.................... 10,000 363,750
J.C. Penney Company Inc. ........... 14,300 862,469
May Department Stores Company....... 3,300 173,869
Rite Aid Corporation................ 25,200 1,478,925
Sears, Roebuck & Company............ 6,300 285,075
York International Corporation...... 4,000 158,250
------------
3,373,588
TELECOMMUNICATIONS - 3.1%
AT&T Corporation.................... 19,900 1,218,875
Alcatel Alsthom, ADR................ 17,703 448,107
GTE Corporation..................... 29,700 1,551,825
SBC Communications Inc. ............ 7,433 544,467
Sprint Corporation.................. 17,700 1,037,662
Telephone & Data Systems Inc. ...... 6,900 321,281
Viacom Inc., Class B+............... 7,200 298,350
------------
5,420,567
TIRES & RUBBER - 0.6%
BF Goodrich Company................. 24,700 1,023,506
------------
UTILITY - 4.0%
Baker Hughes Inc. .................. 12,000 523,500
Bellsouth Corporation............... 14,700 827,794
Carolina Power & Light Company...... 15,000 636,562
CMS Energy Corporation.............. 11,000 484,687
Cinergy Corp........................ 10,000 383,750
DPL Incorporated.................... 3,000 86,250
Duke Energy Corporation............. 13,288 735,823
FPL Group Inc. ..................... 13,200 781,275
GPU Inc. ........................... 7,800 $ 328,575
PacifiCorp.......................... 22,900 625,456
Pinnacle West Capital Corporation... 21,300 902,587
Sierra Pacific Resources............ 10,000 375,000
UGI Corporation..................... 12,600 369,337
Texas Utilities Company............. 4,900 203,656
------------
7,264,252
TOTAL COMMON STOCK - (Cost $76,183,958) 90,422,839
------------
PREFERRED STOCK - 2.2%
AEROSPACE - 0.1%
Loral Space and Communications
Ltd.+**........................... 3,200 197,600
------------
CHEMICALS - 0.7%
Henkel KGAA......................... 20,900 1,318,594
------------
FINANCIAL SERVICES - 1.0%
Finova Finance Trust................ 1,900 133,000
McKesson Financing Trust**.......... 6,500 486,687
NB Capital Corporation**............ 200 218,200
Newell Financial**.................. 10,200 532,950
WBK Strypes Trust................... 8,700 291,450
------------
1,662,287
HOTELS AND RESTAURANTS - 0.2%
Host Marriott Financial Trust**..... 6,100 366,000
------------
INDUSTRIAL MACHINERY - 0.1%
Case Corporation Series A........... 1,100 155,650
------------
STEEL - 0.1%
Timet Capital Trust I**............. 1,900 94,525
------------
TOTAL PREFERRED STOCK - (Cost 3,794,656
$3,348,648) ------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
CORPORATE BONDS AND NOTES - 12.6%
AEROSPACE - 0.1%
Jet Equipment Trust: 9.410% due
06/15/2010**...................... $ 50,000 59,810
8.640% due 11/01/2012**........... 48,101 54,165
10.690% due 11/01/2013**.......... 10,000 13,300
Northrop Grumman Corporation, 9.375%
due 10/15/2024.................... 100,000 119,625
------------
246,900
AIRLINES - 0.2%
Continental Airlines Inc.: 9.500%
due 12/15/2001.................... 150,000 158,250
9.500% due 10/15/2013............. 98,039 114,426
10.220% due 07/02/2014............ 24,303 29,489
Delta Air Lines Inc., 8.500% due
03/15/2002........................ 100,000 107,625
United Air Lines Corporation, 7.270%
due 01/30/2013.................... 39,716 40,461
------------
450,251
AUTOMOBILES - 0.1%
Ford Motor Company, 7.700% due
05/15/2097........................ 90,000 100,012
------------
BANKING AND FINANCE - 0.8%
Banco Commercial S.A., 8.250% due
02/05/2007........................ 220,000 212,850
Colonial Capital II, 8.920% due
01/15/2027........................ 100,000 109,875
</TABLE>
See accompanying notes.
21
<PAGE> 24
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
BANKING AND FINANCE - (CONTINUED)
First PV Funding Corporation:
10.300% due 01/15/2014............ $ 208,000 $ 223,340
10.150% due 01/15/2016............ 29,000 30,776
MBNA Capital I, 8.278% due
12/01/2026........................ 600,000 618,750
MBNA Corporation, 6.963% due
09/12/2002**...................... 100,000 101,350
Midland Funding Corporation II,
11.750% due 07/23/2005............ 31,000 36,425
Rigs National Corporation, 8.500%
due 02/01/2006.................... 100,000 105,875
------------
1,439,241
BROADCASTING - 0.3%
Continental Cablevision Inc., 8.300%
due 05/15/2006.................... 110,000 121,000
Control Cablevision Inc., 11.000%
due 06/01/2007.................... 250,000 278,750
Tele-Communications Inc., 8.250% due
01/15/2003........................ 140,000 148,400
------------
548,150
BUILDING AND CONSTRUCTION - 0.0%#
Owens Corning Fiberglass
Corporation, 8.875% due
06/01/2002........................ 10,000 10,925
------------
CHEMICALS - 0.2%
Philip Morris Inc., 7.750% due
01/15/2027........................ 300,000 325,125
PT Polysindo Eka Perkasa, 13.000%
due 06/15/2001.................... 55,000 49,500
------------
374,625
COMMERCIAL SERVICES - 0.2%
Loewen Group Interest Company,
6.700% due 10/01/1999............. 375,000 373,076
------------
DRUGS & HEALTH CARE SERVICES - 0.1%
Tenet Healthcare Company: 8.000% due
01/15/2005........................ 100,000 101,875
10.125% due 03/01/2005............ 35,000 38,237
8.625% due 01/15/2007............. 15,000 15,544
------------
155,656
ENTERTAINMENT - 0.8%
Circus Circus Entertainment: 7.000%
due 11/15/2036.................... 350,000 346,500
6.700% due 11/15/2096............. 100,000 100,875
Time Warner Company: 6.100% due
12/30/2001**...................... 250,000 246,563
9.125% due 01/15/2013............. 325,000 384,719
9.150% due 02/01/2023............. 230,000 282,900
------------
1,361,557
FINANCIAL SERVICES - 2.3%
APP International Finance Company,
10.250% due 10/01/2000............ 300,000 285,000
Bear Stearns Company Inc., 6.750%
due 12/15/2007.................... 270,000 273,375
Beaver Valley II Funding
Corporation: 8.250% due
06/01/2003........................ 151,000 155,719
8.625% due 06/01/2007............. 60,000 65,775
9.000% due 06/01/2017............. 250,000 280,625
Capital One Financial Corporation,
7.250% due 12/01/2003............. 100,000 101,000
Conseco Finance Trust, 8.796% due
04/01/2027........................ 100,000 111,625
ContiFinancial Corporation, 7.500%
due 03/15/2002.................... 530,000 518,075
Dynex Capital Corporation, 7.875%
due 07/15/2002.................... 100,000 98,625
First Bank Capital Trust, 8.234% due
02/01/2027........................ $ 300,000 $ 322,125
Indah Kiat Finance Mautitius Ltd.,
8.880% due 11/01/2000............. 300,000 267,000
Lehman Brothers Holdings Inc.:
6.400% due 12/27/1999............. 100,000 100,500
7.125% due 09/15/2003............. 100,000 103,125
7.500% due 08/01/2026............. 100,000 105,500
Providian Capital I, 9.525% due
02/01/2027**...................... 100,000 109,375
Safeco Capital Trust Company, 8.072%
due 07/15/2037.................... 615,000 648,056
Salton Sea Funding Corporation,
7.370% due 05/30/2005............. 20,000 20,725
SoCo Capital Trust, 8.190% due
02/01/2037........................ 45,000 49,837
State Street Institutional Capital,
Class A, 7.940% due
12/30/2026**...................... 100,000 106,206
Washington Mutual Capital I, 8.375%
due 06/01/2027.................... 250,000 275,000
------------
3,997,268
FOREST PRODUCTS - 0.7%
Boise Cascade Corporation, 7.430%
due 10/10/2005.................... 100,000 104,500
Georgia Pacific Corporation: 9.875%
due 11/01/2021.................... 10,000 11,400
9.500% due 05/15/2022............. 1,000,000 1,143,750
------------
1,259,650
GAS EXPLORATION - 0.1%
Enserch Exploration Inc., 7.540% due
01/02/2009**...................... 100,000 100,290
Transocean Offshore Inc., 8.000% due
04/15/2027........................ 100,000 113,875
------------
214,165
HOTELS AND RESTAURANTS - 0.1%
Hilton Hotels Corporation, 7.950%
due 04/15/2007.................... 85,000 90,419
------------
INDUSTRIAL - 1.4%
Burlington Industries Inc., 7.250%
due 08/01/2027.................... 120,000 122,850
Edelnor Corporation, 7.750% due
03/15/2006........................ 50,000 48,500
Fox/Liberty Network Company, 8.875%
due 08/15/2007**.................. 100,000 100,000
Hearst-Argyle TV Inc., 7.500% due
11/15/2027........................ 224,000 228,200
Louis Dreyfus Natural Gas Company,
6.875% due 12/01/2007**........... 230,000 231,366
News America Holdings: 8.000% due
10/17/2016........................ 300,000 322,500
7.750% due 12/01/2045............. 500,000 523,125
Seacor Smit Inc.: 7.200% due
09/15/2009........................ 375,000 382,500
7.840% due 05/30/2010............. 100,000 107,375
Solutia Inc., 7.375 due
10/15/2027........................ 100,000 103,250
UPM-Kymmene Corporation, 7.450% due
11/12/2027**...................... 270,000 272,109
------------
2,441,775
INSURANCE - 0.2%
Equitable Life Assured Society,
7.700% due 12/01/2015**........... 80,000 86,300
Nationwide Mutual Life Insurance
Company, 7.500% due
02/15/2024**...................... 100,000 102,375
</TABLE>
See accompanying notes.
22
<PAGE> 25
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
INSURANCE - (CONTINUED)
Travelers Capital II, 7.750% due
12/01/2036........................ $ 150,000 $ 158,625
------------
347,300
OIL AND GAS - 1.0%
Chesapeake Energy Corporation,
7.875% due 03/15/2004............. 197,000 194,784
Gulf of Canada Resources Ltd.,
9.250% due 01/15/2004............. 100,000 105,500
Louisiana Land & Exploration
Company, 7.650% due 12/01/2023.... 100,000 107,500
Oryx Energy Company: 10.000% due
04/01/2001........................ 100,000 109,875
8.375% due 07/15/2004............. 100,000 108,375
Tennessee Gas Pipeline Company,
7.625% due 04/01/2037............. 1,000,000 1,102,500
Texas Gas Transmission Inc., 7.250%
due 07/15/2027.................... 100,000 104,000
------------
1,832,534
OTHER - 0.1%
Lasmo (USA) Inc., 7.300% due
11/15/2027........................ 180,000 184,950
------------
PRECIOUS METALS AND MINING - 0.2%
Freeport McMoran Copper & Gold Inc.,
7.500% due 11/15/2006............. 70,000 70,262
Ultramar Diamond Company, 7.200% due
10/15/2017........................ 205,000 210,894
------------
281,156
REAL ESTATE - 0.3%
Socgen Real Estate Company, 7.640%
due 12/29/2049**.................. 400,000 418,500
Mirage Resorts Inc., 6.750% due
08/01/2007........................ 100,000 100,125
------------
518,625
TELECOMMUNICATIONS - 1.0%
Jasmine Submarine Telecommunications
Ltd.,
8.483% due 05/30/2011**........... 100,000 79,000
TCI Communications Inc.: 7.385% due
08/27/2001........................ 525,000 534,187
9.650% due 03/31/2027............. 100,000 112,625
U.S. Cellular Corporation, 7.250%
due 08/15/2007.................... 200,000 206,500
Worldcom Inc.: 8.875% due
01/15/2006........................ 200,000 215,250
7.750% due 04/01/2007............. 313,000 336,475
7.750% due 04/01/2027............. 246,000 267,832
------------
1,751,869
TRANSPORTATION - 0.2%
Federal Express Corporation, 7.650%
due 01/15/2014.................... 300,000 321,750
------------
UTILITIES - 2.2%
California Energy Incorporated:
10.250% due 01/15/2004............ 75,000 81,375
7.630% due 10/15/2007............. 130,000 130,975
Cleveland Electric Illuminating
Company: 7.880% due 11/01/2017.... 250,000 264,062
9.000% due 07/01/2023............. 100,000 110,000
Commonwealth Edison Company: 6.400%
due 10/15/2005.................... 200,000 195,250
7.625% due 01/15/2007............. 100,000 105,125
8.500% due 01/15/2027............. 300,000 321,228
El Paso Electric Company, 8.900% due
02/01/2006........................ 50,000 55,437
Empresa Nacional de Electricidad,
7.325% due 02/01/2037............. $ 100,000 $ 100,500
Hidroelectrica Alicura, 8.375% due
03/15/1999**...................... 100,000 99,000
Long Island Lighting Company: 8.900%
due 07/15/2019.................... 50,000 53,187
9.000% due 11/01/2022............. 560,000 623,700
Niagara Mohawk Power Corporation:
6.875% due 03/01/2001............. 250,000 250,000
8.770% due 01/01/2018............. 567,000 618,030
8.500% due 07/01/2023............. 90,000 94,162
North Atlantic Energy Corporation,
9.050% due 06/01/2002............. 65,000 65,650
Texas-New Mexico Power Company,
12.500% due 01/15/1999............ 100,000 107,250
Texas Utility Electric Company,
7.170 due 08/01/2007.............. 240,000 249,300
Utilicorp United Incorporated,
8.450% due 11/15/1999............. 10,000 10,375
Waterford 3 Funding Corporation,
8.090% due 01/02/2017............. 300,000 312,750
------------
3,847,356
TOTAL CORPORATE BONDS AND 22,149,210
NOTES - (Cost $21,418,534) ------------
FOREIGN GOVERNMENT BONDS - 0.1%
(COST $99,825)
Republic of Panama, 7.880% due
02/13/2000........................ 100,000 97,250
------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 20.2%
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.7%
Beneficial Mortgage Corporation,
6.088% due 09/28/2037............. 1,089,651 1,087,603
BCF L.L.C., 7.750% due
09/25/2026**...................... 98,029 98,166
------------
TOTAL COLLATERALIZED MORTGAGE 1,185,769
OBLIGATIONS - (Cost $1,183,483) ------------
MORTGAGE-BACKED OBLIGATIONS - 3.4%
Federal National Mortgage
Association: 7.500% due
07/01/2011........................ 777,707 798,363
7.000% due 05/01/2012............. 706,161 716,972
7.000% due 06/01/2012............. 377,397 383,175
7.000% due 07/01/2012............. 1,275,086 1,293,961
7.000% due 11/01/2012............. 1,311,542 1,331,622
Government National Mortgage Associatio
8.000% due 06/20/2025............. 300,000 314,830
7.500% due 05/15/2027............. 987,858 1,012,861
7.500% due 09/15/2027............. 197,205 202,197
------------
6,053,981
U.S. TREASURIES - 16.1%
United States Treasury Bond: 9.250%
due 08/15/1998.................... 55,000 56,212
9.125% due 01/15/1999............. 5,900,000 6,166,621
6.250% due 08/31/2002............. 960,000 980,083
9.875% due 11/15/2015............. 120,000 170,870
6.625% due 02/15/2027............. 454,000 492,795
6.375% due 08/15/2027............. 3,403,000 3,593,092
6.125% due 11/15/2027............. 1,260,000 1,295,872
</TABLE>
See accompanying notes.
23
<PAGE> 26
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY SECURITIES (CONTINUED)
U.S. TREASURIES - (CONTINUED)
United States Treasury Notes: 5.500%
due 12/31/2000.................... $1,000,000 $ 994,540
6.625% due 03/31/2002............. 4,200,000 4,337,844
5.750% due 10/31/2002............. 2,600,000 2,603,016
5.625% due 12/31/2002............. 2,000,000 1,992,683
7.250% due 05/15/2004............. 460,000 496,570
6.500% due 10/15/2006............. 362,000 379,209
6.625% due 05/15/2007............. 4,000,000 4,235,600
6.125% due 08/15/2007............. 547,000 562,349
------------
28,357,356
TOTAL U.S. GOVERNMENT AND AGENCY 35,597,106
SECURITIES - (Cost $34,105,059) ------------
SHORT TERM INVESTMENTS - 15.0%
FEDERAL HOME LOAN BANK - 7.9%
FHLB: 4.750%++ due 01/02/1998....... 1,700,000 1,699,779
5.730%++ due 01/05/1998........... 2,700,000 2,698,281
5.400%++ due 01/06/1998........... 9,600,000 9,592,800
------------
13,990,860
FEDERAL NATIONAL MORTGAGE CORPORATION - 3.4%
3.234++ due 01/08/1998............ 5,900,000 5,895,366
------------
TENNESSEE VALLEY AUTHORITY - 3.7%
4.478++ due 01/16/1998............ 6,600,000 6,584,875
------------
TOTAL SHORT TERM INVESTMENTS - (Cost 26,471,101
$26,471,098) ------------
TOTAL INVESTMENTS -
(COST $162,810,605) - 101.5% $178,532,162
OTHER ASSETS AND LIABILITIES - (1.5)% (2,635,623)
------------
NET ASSETS - 100.0% $175,896,539
============
</TABLE>
* Aggregate cost for Federal tax purposes is $162,818,945.
** Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in
transactions exempt from registration to qualified institutional
buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
24
<PAGE> 27
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
ADVANTAGE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
CORPORATE DEBT SECURITIES - 50.7%
BANKS - 5.6%
Capital One Bank, 6.620% due
04/13/1998......................... $ 500,000 $ 500,720
Union Planters National Bank, 6.290%
due 08/20/1998..................... 500,000 500,700
-----------
1,001,420
BROKERAGE - 5.1%
Paine Webber Group Inc., 6.344% due
07/24/2003......................... 350,000 356,776
Salomon Brothers Inc., 8.800% due
02/17/1998......................... 550,000 551,894
-----------
908,670
COMMUNICATION - 7.0%
New Corporation Ltd, 11.000% due
06/15/2002......................... 500,000 522,500
Viacom International Inc., 8.750% due
05/15/2001......................... 195,000 197,925
Worldcom Inc., 9.375% due
01/15/2004......................... 500,000 533,750
-----------
1,254,175
ENTERTAINMENT AND LEISURE - 11.8%
Blockbuster Entertainment
Corporation, 6.625% due
02/15/1998......................... 655,000 655,871
Caesars World Inc., 8.875% due
08/15/2002......................... 400,000 412,500
United Artists, 11.500% due
05/01/2002......................... 1,000,000 1,045,000
-----------
2,113,371
FINANCIAL SERVICES - 13.9%
AT&T Capital Corporation, 6.520% due
05/14/1999......................... 500,000 500,790
Chrysler Financial Corporation,
6.440% due 10/06/1998.............. 500,000 501,750
Figgie International Inc., 9.875% due
10/01/1999......................... 500,000 522,500
MBNA Global Capital Securities,
6.550%+++ due 02/01/2027........... 500,000 474,990
NTC Capital I, 6.278%+++ due
01/15/2027......................... 500,000 481,865
-----------
2,481,895
REAL ESTATE - 1.7%
Taubman Realty Group Ltd., MTN,
6.489% due 07/30/1998.............. 300,000 300,918
-----------
TOBACCO - 2.8%
Philip Morris Companies Inc., 6.000%
due 11/15/1999..................... 500,000 500,000
-----------
UTILITY/ELECTRIC - 2.8%
Consumers Energy Company, 8.750% due
02/15/1998......................... 500,000 501,276
-----------
TOTAL CORPORATE DEBT SECURITIES 9,061,725
- (Cost $9,070,622) -----------
MORTGAGE PASS-THROUGHS - 5.3%
COLLATERALIZED MORTGAGE OBLIGATIONS
MBNA Master Credit Card Trust,
6.115%++ due 11/15/2001............ 750,000 749,528
Morgan Stanley Capital I Inc.,
9.000%++ due 05/01/2016............ 193,856 194,561
-----------
TOTAL MORTGAGE 944,089
PASS-THROUGHS - (Cost $949,413) -----------
FOREIGN BONDS - U.S. DOLLAR DENOMINATED - 3.5%
- - (COST $631,054)
GOVERNMENT
Kingdom of Sweden, 5.683% due
04/02/1998......................... $ 640,000 $ 630,880
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 9.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) - 3.2%
FHLMC:
5.749%++ due 07/13/1998............ 413,000 400,862
Pool #846224, 7.488% due
07/01/2024......................... 156,975 160,800
-----------
561,662
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.8%
FNMA:
Conventional, Pool #103363, 7.820%
due 12/01/2017..................... 145,651 150,350
-----------
FEDERAL FARM CREDIT BANK (FFCB) - 5.4%
FFCB:
5.675%++ due 08/14/1998............ 1,000,000 966,150
-----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS 1,678,162
- (Cost $1,679,401) -----------
U.S. TREASURY OBLIGATIONS - 4.5%
- - (COST $798,733)
U.S. TREASURY NOTES
5.875% due 07/31/1999.............. 800,000 802,512
-----------
COMMERCIAL PAPER-DISCOUNT NOTES - 25.6%
AUTOMOTIVE - 3.2%
Daimler-Benz Aktieng, 5.605%++ due
04/29/1998......................... 577,000 566,504
-----------
FINANCIAL SERVICES - 19.3%
ABN Amro Corporation, 5.817%++ due
07/02/1998......................... 798,000 775,568
Ford Motor Credit Corporation,
4.572%++ due 01/06/1998............ 661,000 660,441
Hyundai Motor Financial Corporation,
5.306%+++ due 01/09/1998........... 796,000 795,022
Oyster Creek Fuel Corporation,
3.754%++ due 01/05/1998............ 749,000 748,480
Progress Capital Corporation,
2.007%++ due 01/02/1998............ 465,000 464,922
-----------
3,444,433
SECURITIES BROKERAGE - 3.1%
Merrill Lynch & Company Inc.,
5.719%++ due 05/27/1998............ 572,000 558,981
-----------
TOTAL COMMERCIAL PAPER -DISCOUNT NOTES - (Cost
$4,570,432) 4,569,918
-----------
TOTAL INVESTMENTS -
(COST $17,699,655*) - 99.0% $17,687,286
OTHER ASSETS AND LIABILITIES - 1.00% 170,524
-----------
NET ASSETS - 100.0% $17,857,810
===========
</TABLE>
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
+++ Floating rate security. Rate shown is rate in effect at 12/31/1997.
GLOSSARY OF TERMS
MTN - Medium Term Note
See accompanying notes.
25
<PAGE> 28
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
VALUE + GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- -----------
<S> <C> <C>
COMMON STOCKS - 95.3%
APPAREL - 3.9%
GAP, Inc. ........................... 38,050 $ 1,348,397
Nordstrom Inc. ...................... 29,000 1,750,875
-----------
3,099,272
COMPUTER COMPONENTS, SOFTWARE AND SERVICES - 19.6%
Adaptec, Inc.+....................... 40,900 1,518,412
BMC Software, Inc.+.................. 25,400 1,666,875
Bay Networks, Inc.+.................. 56,400 1,441,725
Cadence Design Systems, Inc.+........ 64,800 1,587,600
Compaq Computer Corporation.......... 46,250 2,610,234
Dell Computer Corporation+........... 30,800 2,587,200
EMC Corporation+..................... 34,200 938,362
Lucent Technologies, Inc............. 15,200 1,214,100
Technical Data Corporation+.......... 35,500 1,380,063
VLSI Technologies, Inc.+............. 30,800 727,650
-----------
15,672,221
CONSUMER SPECIALTY RETAIL - 13.8%
CVS Corporation...................... 26,700 1,710,469
Compusa Inc.+........................ 90,232 2,797,192
Costco Companies, Inc.+.............. 29,900 1,334,288
Dayton Hudson Corporation............ 22,900 1,545,750
Inacom Corporation+.................. 49,375 1,385,586
Starbucks Corporation+............... 30,600 1,174,275
Walgreen Company..................... 35,800 1,123,225
-----------
11,070,785
DRUGS AND HEALTH CARE SERVICES - 8.0%
Cardinal Health, Inc. ............... 19,500 1,464,938
Lilly Eli and Company................ 15,166 1,055,933
McKesson Corporation................. 22,000 2,380,125
Pfizer Inc........................... 19,900 1,483,794
-----------
6,384,790
ELECTRONICS - 3.6%
KLA Instruments Corporation+......... 40,900 1,579,762
Sony Corporation, New................ 13,900 1,261,425
-----------
2,841,187
FINANCIAL SERVICES - 17.0%
Ahmanson HF and Company.............. 32,900 2,202,244
Chase Manhattan Corporation.......... 14,500 1,587,750
Citicorp............................. 14,300 1,808,056
Equitable Companies, Inc. ........... 12,900 643,388
Franklin Resources Inc. ............. 12,600 1,095,413
Household International, Inc. ....... 11,700 1,492,481
Merrill Lynch and Company Inc. ...... 32,660 2,382,139
Northern Trust Corporation........... 16,200 1,129,950
Schwab Charles Corporation New....... 30,700 1,287,481
-----------
13,628,902
FOOD CHAINS - 2.3%
General Nutrition Companies, Inc. ... 20,300 690,200
Safeway, Inc+........................ 18,700 1,182,775
-----------
1,872,975
COMMON STOCKS (CONTINUED)
HEALTH CARE ADMINISTRATIVE - 3.1%
Concentra Managed Care, Inc.+........ 28,200 $ 951,750
Healthcare Compare Corporation+...... 29,700 1,518,413
-----------
2,470,163
HEALTH MAINTENANCE ORGANIZATION - 1.8%
United Healthcare Corporation........ 29,200 1,450,875
-----------
INFORMATION PROCESSING - 3.1%
HBO and Company...................... 50,900 2,443,200
-----------
INSURANCE - 3.6%
SunAmerica Inc. ..................... 30,650 1,310,287
Travelers Group, Inc. ............... 29,400 1,583,925
-----------
2,894,212
OFFICE SUPPLIES - 1.1%
Staples, Inc.+....................... 30,700 851,925
-----------
PACKAGE DELIVERY - 1.0%
Federal Express Company.............. 12,500 763,281
-----------
PERSONEL PLACEMENT - 0.5%
Robert Half International Inc.+...... 10,300 412,000
-----------
PHARMACEUTICALS - 1.1%
Bristol-Myers Squibb Company......... 9,600 908,400
-----------
SEMICONDUCTORS AND EQUIPMENT - 7.3%
Applied Materials Inc.+.............. 68,600 2,066,575
National Semiconductor Corporation... 25,600 664,000
Novellus Systems, Inc.+.............. 40,900 1,321,581
Teradyne Inc.+....................... 57,100 1,827,200
-----------
5,879,356
TELECOMMUNICATIONS - 1.3%
Northern Telecommunications Ltd. .... 11,800 1,050,200
-----------
TRANSPORTATION - 3.2%
CNF Transportation Inc. ............. 33,400 1,281,725
Swift Transportation Company Inc.+... 7,900 255,762
U.S. Freightways Corporation......... 17,100 555,750
Werner Enterprises Inc. ............. 10,300 211,150
Yellow Corporation+.................. 10,300 258,787
-----------
2,563,174
TOTAL COMMON STOCKS - (Cost 76,256,918
$71,512,504) -----------
TOTAL INVESTMENTS - (COST $71,512,504*) - 95.3% $76,256,918
OTHER ASSETS AND LIABILITIES - 4.7% 3,799,318
-----------
NET ASSETS - 100.0% $80,056,236
===========
</TABLE>
* Aggregate cost for Federal tax purpose is $72,276,317.
+ Non-income producing security.
See accompanying notes.
26
<PAGE> 29
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 72.3%
AEROSPACE AND DEFENSE - 1.1%
EVI Inc+............................ 28,000 $ 1,449,000
------------
AIRLINES - 1.3%
Continental Airlines Inc, Class
B+................................ 35,000 1,684,375
------------
BANKING AND FINANCE - 9.4%
American General Corporation+....... 25,000 1,351,563
AmSouth Bancorporation.............. 25,000 1,357,813
Cape Cod Bank & Trust Company....... 25,000 987,500
Compass Bancshares Inc. ............ 25,000 1,093,750
Federal National Mortgage
Association....................... 22,000 1,255,375
First Union Corporation............. 35,200 1,804,000
Fleet Financial Group Inc. ......... 17,000 1,273,937
Mellon Bank Corporation............. 18,000 1,091,250
TCF Financial Corporation+.......... 36,000 1,221,750
Washington Mutual Savings Bank...... 19,000 1,212,438
------------
12,649,376
BIOPHARMACEUTICALS - 1.6%
Genentech Inc+...................... 25,000 1,515,625
Millenium Pharmaceuticals+.......... 32,000 608,000
------------
2,123,625
CHEMICALS AND ALLIED PRODUCTS - 3.1%
Crompton & Knowles Corporation...... 35,000 927,500
Imperial Chemical Industries Plc,
ADR............................... 14,000 909,125
Medusa Corporation.................. 31,200 1,304,550
Philip Morris Companies Inc. ....... 22,500 1,019,531
------------
4,160,706
COMMUNICATION - 4.0%
CBS Corporation..................... 30,000 883,125
Communications Satellite
Corporation....................... 42,500 1,030,625
GTE Corporation..................... 25,000 1,306,250
P-Communications, Inc.+............. 25,000 431,250
Tele-Communication, Class A+........ 60,000 1,676,238
------------
5,327,488
COMPUTER INDUSTRY - 4.7%
Data General Corporation+........... 45,000 784,687
Filenet Corporation+................ 42,000 1,265,250
Intersolv+.......................... 80,000 1,620,000
Secure Computing Corporation+....... 59,800 706,387
Siebel Systems Inc+................. 50 2,091
Sun Microsystems Inc+............... 30,000 1,196,250
System Software Associates Inc.+.... 80,000 700,000
------------
6,274,665
CONSUMER DURABLES - 1.5%
Albertsons Inc. .................... 24,500 1,160,688
Compuware Corporation+.............. 25,000 800,000
------------
1,960,688
DATA SERVICES - 0.4%
Choicepoint Inc.+................... 12,500 596,875
------------
ELECTRONICS - 0.1%
Brilliant Digital Entertainment+.... 33,900 158,906
------------
ENERGY - 4.2%
Camco International Inc.+........... 22,000 1,401,125
GPU Inc............................. 27,500 1,158,437
Oryx Energy Company+................ 30,000 765,000
Patterson Energy Inc.+.............. 26,000 1,005,875
Williams Companies Inc.+............ 45,000 1,276,875
------------
5,607,312
FISHING AND HUNTING - 1.1%
Alliant Techsystems Inc.+........... 27,500 $ 1,533,125
------------
FOOD AND BEVERAGES - 2.3%
Cadbury Schweppes Plc............... 71,500 720,420
International Multifoods
Corporation....................... 35,000 990,938
JP Foodservice+..................... 37,500 1,385,156
------------
3,096,514
HEALTH CARE SERVICES - 1.7%
Beverly Enterprises Inc.+........... 82,500 1,072,500
Genzyme Corporation+................ 45,000 1,248,750
Pharmerica Inc.+.................... 906 9,400
------------
2,330,650
HOTELS AND RESTAURANTS - 0.1%
Canadian Hotel Income Properties.... 10,000 67,154
------------
HOUSEHOLD PRODUCTS - 0.8%
Sunbeam Corporation................. 25,000 1,053,125
------------
INSURANCE - 0.8%
Hartford Life, Class A.............. 25,000 1,132,812
------------
MEDICAL PRODUCTS AND SERVICES - 2.2%
Novoste Corporation+................ 10,000 225,000
Perclose Inc.+...................... 68,900 1,326,325
Spine Tech Inc.+.................... 27,800 1,429,963
------------
2,981,288
NETWORK SOFTWARE - 1.0%
Concentric Network Corporation+..... 80,500 714,437
N2K Inc.+........................... 40,000 585,000
Nextlevel Systems+.................. 4,000 71,500
------------
1,370,937
OIL AND GAS - 5.2%
Artisan Corporation................. 14,800 113,922
Burlington Resources Inc. .......... 27,000 1,209,938
Cooper Cameron Corporation+......... 31,000 1,891,000
Noble Drilling Corporation+......... 20,000 612,500
Nordic American Tanker Shipping..... 75,000 1,237,500
Pioneer Natural Resources Company... 22,500 651,094
Western Atlas, Inc.+................ 16,000 1,184,000
------------
6,899,954
OTHER - 1.5%
Walter Industries Inc.+............. 95,000 1,959,375
------------
PHARMACEUTICALS - 1.1%
Dusa Pharmaceuticals Inc.+.......... 63,900 734,850
Guilford Pharmaceuticals Inc.+...... 20,000 402,500
Intercardia Inc.+................... 16,000 286,000
------------
1,423,350
REAL ESTATE - 2.4%
Criimi Mae Inc. .................... 66,700 1,000,500
FBR Asset Investment Corporation+... 25,000 500,000
JP Realty Inc....................... 35,000 907,812
Walden Residential Properties
Inc............................... 30,000 765,000
------------
3,173,312
RETAIL - 5.1%
Dress Barn Inc.+.................... 58,000 1,645,750
Egghead Inc.+....................... 160,000 1,040,000
Gadzooks Inc.+...................... 47,500 997,500
Miller (Herman) Inc. ............... 26,500 1,445,906
Vans Inc.+.......................... 115,000 1,739,375
------------
6,868,531
TECHNOLOGY - 2.0%
ANTEC Corporation+.................. 75,000 1,171,875
Data Dimensions Inc.+............... 20,000 345,000
Platinum Technology Inc.+........... 42,500 1,200,625
------------
2,717,500
</TABLE>
See accompanying notes.
27
<PAGE> 30
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS - 4.4%
Cincinnati Bell Inc................. 37,500 $ 1,162,500
Clearnet Communications, Class A+... 35,000 398,125
LCI International Worldwide
Telecommunications+................. 42,500 1,306,875
Tele-Communications TCI Group, Class
A+.................................. 54,099 1,531,690
U.S. West Media+.................... 53,000 1,530,375
------------
5,929,565
TRANSPORTATION - 1.6%
Consolidated Freightways
Corporation+...................... 60,000 817,500
Genesee & Wyoming Inc., Class A+.... 35,500 829,813
Hvide Marine Inc., Class A+......... 20,000 515,000
------------
2,162,313
UTILITY - 7.6%
Baker Hughes Inc. .................. 25,000 1,090,625
CMS Energy Corporation.............. 22,500 991,406
Citizens Utilities Company, Class
B+................................ 111,100 1,069,337
Duke Power Company.................. 26,500 1,467,437
Houston Industries Inc. ............ 40,000 1,067,500
Houston Industries Inc.+............ 19,000 1,084,187
Nabors Industries Inc.+............. 45,000 1,414,688
Southern Company.................... 50,000 1,293,750
Union Electric Company.............. 15,000 648,750
------------
10,127,680
TOTAL COMMON STOCK - (Cost 96,820,201
$88,290,852) ------------
PREFERRED STOCK - 8.8%
AIRLINES - 2.4%
Trans World Airlines+............... 38,500 1,424,500
Trans World Airlines **............. 25,000 1,612,500
Trans World Airlines+**............. 5,000 185,000
------------
3,222,000
COMMUNICATIONS - 2.2%
Cablevision Systems Corporation+.... 20,000 770,000
IXC Communications Inc.+**.......... 8,400 1,179,211
Metromedia International Group
Inc.+............................. 22,500 1,018,125
------------
2,967,336
ENTERTAINMENT AND LEISURE - 0.8%
Royal Caribbean Cruise Ltd.......... 12,000 1,020,750
------------
FINANCIAL SERVICES - 1.6%
Conceco Finance Trust............... 27,000 1,383,750
Newell Financial Trust**............ 13,700 715,825
------------
2,099,575
METALS AND MINING - 1.0%
Coeur d'Alene Mine Corporation+..... 40,000 485,000
WHX Corporation, Series A........... 20,000 915,000
------------
1,400,000
PET FOOD - 0.8%
Ralston Purina Company+............. 16,000 1,114,000
------------
TOTAL PREFERRED STOCK - (Cost 11,823,661
$9,677,440) ------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
CONVERTIBLE BONDS - 3.6%
COMMUNICATION - 0.4%
Itron Inc., 6.750% due
03/31/2004**...................... $ 500,000 490,000
------------
</TABLE>
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CONVERTIBLE BONDS (CONTINUED)
COMPUTER INDUSTRY - 1.2%
System Software Company, 7.000% due
09/15/2002........................ $2,000,000 $ 1,695,000
------------
CONSUMER GOODS - 1.0%
Loews Corporation, 3.125% due
09/15/2007........................ 850,000 852,125
Sports Authority Inc., 5.250% due
09/15/2001........................ 500,000 438,750
------------
1,290,875
INDUSTRIAL - 0.3%
Offshore Logistic Inc., 6.000% due
12/15/2003**...................... 300,000 345,750
------------
MEDICAL PRODUCTS AND SERVICES - 0.7%
Hybridon Inc., 9.000% due
04/01/2004**...................... 500,000 275,000
Renal Treatment Centers Inc., 5.625%
due 07/15/2006.................... 400,000 480,000
UroMed Corporation, 6.000% due
10/15/2003**...................... 350,000 210,000
------------
965,000
TOTAL CONVERTIBLE BONDS -
(Cost $5,174,870) 4,786,625
------------
CORPORATE BONDS - 5.6%
COMMUNICATION - 0.3%
Cellstar Corporation, Series 144A,**
5.000% due 10/15/2002............. 600,000 441,000
------------
COMPUTER INDUSTRY - 0.3%
Apple Computer Inc., 6.000% due
06/01/2001........................ 500,000 401,875
------------
CONSUMER GOODS - 0.3%
Assisted Living Concepts, 6.000% due
11/01/2002........................ 375,000 413,439
------------
ELECTRONICS - 0.4%
Read-Rite Corporation, 6.500% due
09/01/2004........................ 600,000 501,000
------------
FINANCIAL SERVICES - 0.5%
Alternative Living Services, 5.250%
due 12/15/2002.................... 600,000 693,000
------------
HOTELS AND RESTAURANTS - 0.1%
Boston Chicken Company, 7.750% due
05/01/2004........................ 250,000 153,750
------------
HUMAN SERVICES - 0.8%
American Retirement Corporation,
5.750% due 10/01/2002............. 1,000,000 1,020,000
------------
MEDICAL PRODUCTS AND SERVICES - 0.4%
Spacehab Inc., 8.000% due
10/15/2007**...................... 500,000 511,875
------------
OIL AND GAS - 0.6%
Key Energy Group Inc., 5.000% due
09/15/2004........................ 1,000,000 863,750
------------
PERSONNEL SERVICES - 0.4%
Corestaff Inc., 2.940% due
08/15/2004........................ 700,000 583,625
------------
</TABLE>
See accompanying notes.
28
<PAGE> 31
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
RETAIL - 0.6%
Charming Shoppes Inc., 7.500% due
07/15/2006........................ $ 800,000 $ 758,000
------------
TELECOMMUNICATIONS - 0.9%
P-Communications Inc., 144A,**
4.250% due 11/01/2002............. 1,250,000 1,162,500
------------
TOTAL CORPORATE BONDS - (Cost 7,503,814
$7,665,048) ------------
TOTAL INVESTMENTS - (COST $110,808,210*) - 90.3% $120,934,301
OTHER ASSETS AND LIABILITIES - 9.7% 12,926,818
------------
NET ASSETS - 100.0% $133,861,119
============
</TABLE>
*Aggregate cost for Federal tax purposes is $111,317,908.
**Securities exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from registrations
to qualified institutional buyers.
+Non-income producing securities.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
29
<PAGE> 32
EQUI-SELECT SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MORTGAGE-
MONEY BACKED INTERNATIONAL
MARKET SECURITIES FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at value(a).................. $35,598,667 $17,446,449 $11,071,016
Cash, including foreign currency, at value.............. 65 634 827,460
Receivable for securities sold.......................... -- -- --
Receivable for forward currency contracts (Note 6)...... -- -- 1,534
Interest receivable..................................... 81,064 141,059 254,490
Dividends receivable.................................... -- -- --
Receivable for fund shares sold......................... -- 4,638 --
Receivable from Investment Adviser (Note 3)............. 664 5,129 5,628
Prepaid insurance....................................... 2,616 2,616 2,616
Deferred organization costs............................. 4,318 4,318 4,318
Other assets............................................ 42,147 -- 3,240
---------------------------------------------------
TOTAL ASSETS.......................................... 35,729,541 17,604,843 12,170,302
LIABILITIES
Payable due to custodian................................ -- -- --
Payable for securities purchased........................ -- -- --
Payable for forward currency contracts (Note 6)......... -- -- --
Payable for fund shares repurchased..................... 97,285 -- 7,475
Payable for audit fees.................................. 5,169 5,169 5,169
Payable for custody fees................................ 3,599 -- 4,051
Payable for organizational expenses..................... 4,317 4,317 4,317
Payable to Investment Adviser (Note 3).................. 11,299 13,419 11,581
Accounts payable and accrued expenses................... 13,505 14,461 4,681
---------------------------------------------------
TOTAL LIABILITIES..................................... 135,174 37,366 37,274
---------------------------------------------------
NET ASSETS............................................ $35,594,367 $17,567,477 $12,133,028
===================================================
NET ASSETS CONSIST OF:
Paid-in Capital (Note 5)................................ $35,599,125 $17,246,493 $12,283,996
Undistributed net investment income (distributions in
excess of net investment income) (Note 2)............. -- 1,232 (14,895)
Accumulated net realized gain (loss) on investments and
foreign currency transactions......................... (4,758) (17,966) (6,443)
Net unrealized appreciation (depreciation) of:
Investments........................................... -- 337,718 (121,747)
Foreign currency transactions......................... -- -- (7,883)
---------------------------------------------------
NET ASSETS............................................ $35,594,367 $17,567,477 $12,133,028
===================================================
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on shares
of beneficial interest outstanding)................... $ 1.00 $ 10.85 $ 10.41
Total shares outstanding at end of period............... 35,599,125 1,619,442 1,165,908
(a) Investments in securities, at cost.................. $35,598,667 $17,108,731 $11,192,763
</TABLE>
See accompanying notes.
30
<PAGE> 33
<TABLE>
<CAPTION>
TOTAL VALUE + GROWTH &
OTC RESEARCH RETURN ADVANTAGE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C>
$109,700,874 $244,396,203 $178,532,162 $17,687,286 $76,256,918 $120,934,301
336,353 388,363 214,297 -- 5,501,594 10,356,870
630,813 2,866,114 38,393 5,655 2,748,925 3,077,338
-- -- -- -- -- --
-- -- 957,195 208,768 40,310 283,375
37,766 277,364 214,949 -- 25,003 87,664
20,029 465,707 454,340 -- 217,330 825,376
-- -- -- 14,677 -- --
2,616 2,616 2,529 2,616 2,616 2,616
4,318 4,318 4,257 4,318 4,953 4,953
-- -- -- 7,615 -- --
-------------------------------------------------------------------------------------
110,732,769 248,400,685 180,418,122 17,930,935 84,797,649 135,572,493
-- -- -- 18,576 -- --
355,100 8,087,979 4,377,778 -- 4,546,742 1,597,704
-- 70 1,311 -- -- --
15 24 9 14,973 112,737 30
5,169 5,169 5,169 5,169 5,169 5,169
2,876 12,261 -- 4,301 3,052 --
4,317 4,317 4,317 4,317 6,479 6,478
72,878 155,260 113,651 12,861 61,004 100,151
12,249 21,076 19,348 12,928 6,230 1,842
-------------------------------------------------------------------------------------
452,604 8,286,156 4,521,583 73,125 4,741,413 1,711,374
-------------------------------------------------------------------------------------
$110,280,165 $240,114,529 $175,896,539 $17,857,810 $80,056,236 $133,861,119
=====================================================================================
$ 99,924,253 $214,843,954 $157,250,075 $17,649,661 $76,908,007 $122,745,471
-- 56,595 837,623 226,364 -- --
2,208,517 2,296,904 2,086,340 (5,846) (1,596,185) 927,874
8,147,395 22,944,318 15,721,557 (12,369) 4,744,414 10,187,774
-- (27,242) 944 -- -- --
-------------------------------------------------------------------------------------
$110,280,165 $240,114,529 $175,896,539 $17,857,810 $80,056,236 $133,861,119
=====================================================================================
$ 15.82 $ 17.94 $ 15.36 $ 10.53 $ 13.22 $ 14.47
6,970,469 13,381,540 11,452,552 1,695,981 6,057,590 9,253,565
$101,553,479 $221,451,885 $162,810,605 $17,699,655 $71,512,504 $110,808,210
</TABLE>
31
<PAGE> 34
EQUI-SELECT SERIES TRUST
STATEMENTS OF OPERATIONS
FOR YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
MORTGAGE-
MONEY BACKED INTERNATIONAL
MARKET SECURITIES FIXED INCOME
INVESTMENT INCOME PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
<S> <C> <C> <C>
Interest income......................................... $1,854,243 $956,995 $ 678,824
Dividend income......................................... -- -- --
Foreign taxes withheld.................................. -- -- (1,271)
---------------------------------------------------------
TOTAL INVESTMENT INCOME................................. 1,854,243 956,995 677,553
EXPENSES
Investment adviser fee (Note 3)......................... 121,158 103,748 98,908
Administration fee...................................... 18,755 17,290 16,954
Audit fee............................................... 9,891 9,891 9,891
Custodian fees and expenses............................. 51,194 48,574 60,996
Trustee's fees (Note 3)................................. 3,319 3,319 3,319
Legal fee............................................... 6,432 6,432 6,432
Insurance expense....................................... 3,283 3,283 3,283
Transfer agent expense.................................. 4,407 4,852 5,396
Amortization of organization expense.................... 2,471 2,471 2,471
Miscellaneous expense................................... 7,748 5,782 5,378
---------------------------------------------------------
Total operating expenses before reimbursement......... 228,658 205,642 213,028
Expenses reimbursed by the Investment Adviser (Note
3).................................................... (8,931) (32,639) (26,816)
---------------------------------------------------------
NET EXPENSES.......................................... 219,727 173,003 186,212
---------------------------------------------------------
NET INVESTMENT INCOME (LOSS).......................... 1,634,516 783,992 491,341
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS AND FOREIGN CURRENCY
Net realized gain (loss) on:
Investments........................................... (4,758) (17,042) (43,206)
Foreign currency transactions......................... -- -- 38,612
Change in unrealized appreciation (depreciation) of:
Investments........................................... -- 218,071 (399,604)
Foreign currency translations......................... -- -- 3,144
---------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. (4,758) 201,029 (401,054)
---------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................... $1,629,758 $985,021 $ 90,287
=========================================================
</TABLE>
See accompanying notes.
32
<PAGE> 35
<TABLE>
<CAPTION>
TOTAL VALUE + GROWTH &
OTC RESEARCH RETURN ADVANTAGE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C>
$ 263,161 $ 389,953 $ 3,215,080 $1,144,022 $ 122,067 $ 766,578
154,454 1,480,426 1,455,818 -- 196,359 1,260,050
(260) (23,246) (10,716) -- (724) (64,265)
--------------------------------------------------------------------------------
417,355 1,847,133 4,660,182 1,144,022 317,702 1,962,363
614,080 1,211,826 871,199 86,778 435,386 793,103
25,017 45,820 35,690 17,374 21,507 26,501
9,891 9,891 9,891 9,891 9,399 9,399
79,237 153,771 112,957 51,894 60,150 73,684
3,319 3,319 3,319 3,319 2,514 2,514
6,432 6,432 6,432 6,432 6,430 6,430
3,283 3,283 3,283 3,283 3,443 3,443
6,918 6,597 6,833 4,371 7,040 7,502
2,471 2,471 2,471 2,471 1,526 1,526
6,638 15,907 8,086 6,876 1,664 7,787
--------------------------------------------------------------------------------
757,286 1,459,317 1,060,161 192,689 549,059 931,889
-- -- -- (53,840) -- --
--------------------------------------------------------------------------------
757,286 1,459,317 1,060,161 138,849 549,059 931,889
--------------------------------------------------------------------------------
(339,931) 387,816 3,600,021 1,005,173 (231,357) 1,030,474
6,780,268 8,560,438 4,883,900 (8,561) (1,483,576) 10,048,777
(222) (5,156) (4,468) -- -- --
7,014,867 15,925,334 11,534,974 (11,335) 2,941,921 6,532,632
-- (27,765) 991 -- -- 61,683
--------------------------------------------------------------------------------
13,794,913 24,452,851 16,415,397 (19,896) 1,458,345 16,643,092
--------------------------------------------------------------------------------
$13,454,982 $24,840,667 $20,015,418 $ 985,277 $ 1,226,988 $17,673,566
================================================================================
</TABLE>
33
<PAGE> 36
EQUI-SELECT SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1997 AND THE PERIOD ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
MORTGAGE-
MONEY BACKED INTERNATIONAL
MARKET SECURITIES FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
Net investment income (loss)............................ $ 1,634,516 $ 783,992 $ 491,341
Net realized gain (loss) on:
Investments........................................... (4,758) (17,042) (43,206)
Foreign currency transaction.......................... -- -- 38,612
Change in unrealized appreciation (depreciation) of:
Investments........................................... -- 218,071 (399,604)
Foreign currency translations......................... -- -- 3,144
---------------------------------------------------------
Net increase in net assets resulting from
operations....................................... 1,629,758 985,021 90,287
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................... (1,634,516) (783,416) (527,603)
Distributions from net realized gain on investments..... -- -- (18,155)
Distributions in excess of net realized gain on
investments and foreign currency transactions......... -- -- (65,902)
FUND SHARE TRANSACTIONS (Note 5).......................... 16,446,793 6,228,184 1,907,620
---------------------------------------------------------
TOTAL INCREASE IN NET ASSETS.............................. 16,442,035 6,429,789 1,386,247
NET ASSETS:
Beginning of year....................................... 19,152,332 11,137,688 10,746,781
---------------------------------------------------------
END OF YEAR(a).......................................... $35,594,367 $17,567,477 $12,133,028
=========================================================
(a) Including undistributed net investment income
(distributions in excess of net investment income)...... $ -- $ 1,232 $ (14,895)
=========================================================
INCREASE IN NET ASSETS FROM OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1996
Net investment income (loss)............................ $ 615,473 $ 603,801 $ 470,966
Net realized gain (loss) on:
Investments........................................... -- 31,785 227,301
Foreign currency transaction.......................... -- -- 91,817
Change in unrealized appreciation (depreciation) of:
Investments........................................... -- (257,057) (272,112)
Foreign currency translations......................... -- -- 1,809
---------------------------------------------------------
Net increase in net assets resulting from
operations....................................... 615,473 378,529 519,781
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................... (615,473) (603,807) (565,542)
Distributions in excess of net realized gain on
investments and foreign currency transactions......... -- (32,250) (177,436)
FUND SHARE TRANSACTIONS (Note 5).......................... 13,410,068 2,739,838 2,413,725
---------------------------------------------------------
TOTAL INCREASE IN NET ASSETS.............................. 13,410,068 2,482,310 2,190,528
NET ASSETS:
Beginning of period..................................... 5,742,264 8,655,378 8,556,253
---------------------------------------------------------
END OF PERIOD(a)........................................ $19,152,332 $11,137,688 $10,746,781
=========================================================
(a) Including undistributed net investment income (loss).... $ -- $ -- $ 89,168
=========================================================
</TABLE>
See accompanying notes.
34
<PAGE> 37
<TABLE>
<CAPTION>
TOTAL VALUE + GROWTH &
OTC RESEARCH RETURN ADVANTAGE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ (339,931) $ 387,816 $ 3,600,021 $ 1,005,173 $ (231,357) $ 1,030,474
6,780,268 8,560,438 4,883,900 (8,561) (1,483,576) 10,048,777
(222) (5,156) (4,468) -- -- --
7,014,867 15,925,334 11,534,974 (11,335) 2,941,921 6,532,632
-- (27,765) 991 -- -- 61,683
-------------------------------------------------------------------------------------
13,454,982 24,840,667 20,015,418 985,277 1,226,988 17,673,566
-- (325,992) (2,759,357) (780,582) -- (954,239)
(4,604,698) (7,116,667) (3,063,811) (2,783) (17,323) (9,673,157)
-- -- -- -- -- --
58,108,301 147,537,679 104,402,326 3,167,308 59,124,707 84,414,141
-------------------------------------------------------------------------------------
66,958,585 164,935,687 118,594,576 3,369,220 60,334,372 91,460,311
43,321,580 75,178,842 57,301,963 14,488,590 19,721,864 42,400,808
-------------------------------------------------------------------------------------
$110,280,165 $240,114,529 $175,896,539 $17,857,810 $80,056,236 $133,861,119
=====================================================================================
$ -- $ 56,595 $ 837,623 $ 226,364 $ -- $ --
=====================================================================================
$ (145,833) $ 18,374 $ 1,112,609 $ 550,836 $ (76,276) $ 50,453
2,735,463 2,825,747 694,215 (2,371) 181,947 528,810
(146) 32,712 4,984 -- -- --
851,565 5,333,270 3,063,457 (738) 1,802,493 3,593,459
-- 722 2 -- -- --
-------------------------------------------------------------------------------------
3,441,049 8,210,825 4,875,267 547,727 1,908,164 4,172,722
-- (12,458) (1,110,704) (528,200) -- (50,452)
(2,298,074) (2,117,360) (500,838) (16,970) (200,957) (52,792)
33,123,983 52,912,033 38,535,331 8,495,968 18,014,657 38,331,330
-------------------------------------------------------------------------------------
34,266,958 58,993,040 41,799,056 8,498,525 19,721,864 42,400,808
9,054,622 16,185,802 15,502,907 5,990,065 -- --
-------------------------------------------------------------------------------------
$ 43,321,580 $ 75,178,842 $ 57,301,963 $14,488,590 $19,721,864 $ 42,400,808
=====================================================================================
$ -- $ (73) $ 5,234 $ 4,488 $ -- $ --
=====================================================================================
</TABLE>
35
<PAGE> 38
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
MONEY MARKET PORTFOLIO**
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $1.00 $1.00 $1.00 $1.00
----------- ----------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.05 0.05 0.05 0.01
Net realized and unrealized gain on investments............. -- -- -- --
----------- ----------- ---------- --------
Total from investment operations............................ 0.05 0.05 0.05 0.01
----------- ----------- ---------- --------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.05) (0.05) (0.05) (0.01)
Net capital gains distributions............................. -- -- -- --
----------- ----------- ---------- --------
Total distributions......................................... (0.05) (0.05) (0.05) (0.01)
----------- ----------- ---------- --------
Net asset value, end of period.............................. $1.00 $1.00 $1.00 $1.00
=========== =========== ========== ========
Total Return(2)............................................. 5.02% 4.84% 5.19% 1.06%
=========== =========== ========== ========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $35,594,367 $19,152,332 $5,742,264 $446,684
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.68% 0.68% 0.72% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.71% 1.11% 2.59% 23.22%
Ratio of net investment income to average net assets(3)..... 5.06% 4.76% 5.11% 4.66%
Net investment income (loss) (without
reimbursement)(1)(3)...................................... $0.05 $0.04 $0.04 $(0.03)
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
** BEA Associates became the sub-advisor to the Portfolio in April, 1995. EISI
took over management of the Portfolio in June, 1995.
See accompanying notes.
36
<PAGE> 39
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
MORTGAGE BACKED SECURITIES PORTFOLIO**
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $10.59 $10.84 $9.90 $10.00
----------- ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.51 0.58 0.52 0.15
Net realized and unrealized gain (loss) on investments...... 0.26 (0.22) 1.05 (0.10)
----------- ----------- ---------- ----------
Total from investment operations............................ 0.77 0.36 1.57 0.05
----------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.51) (0.58) (0.52) (0.15)
Net capital gains distributions............................. -- (0.03) (0.11) --
----------- ----------- ---------- ----------
Total distributions......................................... (0.51) (0.61) (0.63) (0.15)
----------- ----------- ---------- ----------
Net asset value, end of period.............................. $10.85 $10.59 $10.84 $9.90
=========== =========== ========== ==========
Total Return(2)............................................. 7.25% 3.39% 15.92% 0.50%
=========== =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $17,567,477 $11,137,688 $8,655,378 $4,976,609
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.25% 1.25% 0.90% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.49% 1.67% 1.99% 2.43%
Ratio of net investment income to average net assets(3)..... 5.66% 5.69% 6.26% 6.33%
Net investment income (without reimbursement)(1)(3)......... $0.49 $0.54 $0.43 $0.11
Portfolio turnover rate(4).................................. 27% 19% 34% 52%
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
** BEA Associates became the sub-advisor to the Portfolio in April, 1995. EISI
took over management of the Portfolio in June, 1995.
See accompanying notes.
37
<PAGE> 40
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
INTERNATIONAL FIXED INCOME PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $10.88 $11.09 $10.02 $10.00
----------- ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.43 0.53 0.41 0.15
Net realized and unrealized gain (loss) on investments...... (0.35) 0.02 1.24 (0.05)
----------- ----------- ---------- ----------
Total from investment operations............................ 0.08 0.55 1.65 0.10
----------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.47) (0.58) (0.47) (0.08)
Net capital gains distributions............................. (0.02) (0.18) (0.11) --
Distributions in excess of net capital gains................ (0.06) -- -- --
----------- ----------- ---------- ----------
Total distributions......................................... (0.55) (0.76) (0.58) (0.08)
----------- ----------- ---------- ----------
Net asset value, end of period.............................. $10.41 $10.88 $11.09 $10.02
=========== =========== ========== ==========
Total Return(2)............................................. 0.64% 5.05% 15.81% 1.01%
=========== =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $12,133,028 $10,746,781 $8,556,253 $5,062,830
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.60% 1.60% 1.00% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.83% 1.94% 2.13% 2.53%
Ratio of net investment income to average net assets(3)..... 4.22% 4.73% 5.94% 5.93%
Net investment income (without reimbursement)(1)(3)......... $0.41 $0.49 $0.31 $0.10
Portfolio turnover rate(4).................................. 69% 113% 89% 6%
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
See accompanying notes.
38
<PAGE> 41
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
OTC PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
------------ ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $13.82 $12.08 $10.36 $10.00
------------ ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment (loss)(1).................................... (0.05) (0.03) (0.02) --
Net realized and unrealized gain on investments............. 2.76 2.52 3.07 0.36
------------ ----------- ---------- ----------
Total from investment operations............................ 2.71 2.49 3.05 0.36
------------ ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... -- -- -- --
Net capital gains distributions............................. (0.71) (0.75) (1.33) --
------------ ----------- ---------- ----------
Total distributions......................................... (0.71) (0.75) (1.33) --
------------ ----------- ---------- ----------
Net asset value, end of period.............................. $15.82 $13.82 $12.08 $10.36
============ =========== ========== ==========
Total Return(2)............................................. 19.67% 20.68% 29.23% 3.59%
============ =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $110,280,165 $43,321,580 $9,054,622 $1,695,685
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.99% 1.35% 1.07% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.99% 1.35% 2.52% 7.10%
Ratio of net investment income (loss) to average net
assets(3)................................................. (0.44)% (0.63)% (0.22)% 0.16%
Net investment (loss) (without reimbursement)(1)(3)......... $(0.05) $(0.03) $(0.10) $(0.12)
Portfolio turnover rate(4).................................. 141% 122% 111% 6%
Average commission rate paid(5)............................. $0.0496 $0.0402 -- --
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
See accompanying notes.
39
<PAGE> 42
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
RESEARCH PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
------------ ----------- ----------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $15.43 $12.88 $9.59 $10.00
------------ ----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.03 -- 0.03 0.09
Net realized and unrealized gain (loss) on investments...... 3.08 3.00 3.48 (0.41)
------------ ----------- ----------- -----------
Total from investment operations............................ 3.11 3.00 3.51 (0.32)
------------ ----------- ----------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.03) 0.00# (0.03) (0.09)
Net capital gains distributions............................. (0.57) (0.45) (0.19) --
------------ ----------- ----------- -----------
Total distributions......................................... (0.60) (0.45) (0.22) (0.09)
------------ ----------- ----------- -----------
Net asset value, end of period.............................. $17.94 $15.43 $12.88 $9.59
============ =========== =========== ===========
Total Return(2)............................................. 20.12% 23.37% 36.58% (3.22)%
============ =========== =========== ===========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $240,114,529 $75,178,842 $16,185,802 $1,626,521
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.96% 1.31% 1.12% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.96% 1.31% 2.48% 7.48%
Ratio of net investment income to average net assets(3)..... 0.26% 0.05% 0.58% 4.65%
Net investment income (loss) (without
reimbursement)(1)(3)...................................... $0.03 -- $(0.04) $(0.04)
Portfolio turnover rate(4).................................. 80% 68% 83% 85%
Average commission rate paid(5)............................. $0.0476 $0.0281 -- --
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
# Amount is less than $0.003 per share.
See accompanying notes.
40
<PAGE> 43
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
TOTAL RETURN PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
------------ ----------- ----------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $13.15 $11.90 $9.76 $10.00
------------ ----------- ----------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.32 0.26 0.21 0.09
Net realized and unrealized gain (loss) on investments...... 2.42 1.37 2.19 (0.24)
------------ ----------- ----------- ----------
Total from investment operations............................ 2.74 1.63 2.40 (0.15)
------------ ----------- ----------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.25) (0.26) (0.21) (0.09)
Net capital gains distributions............................. (0.28) (0.12) (0.05) --
------------ ----------- ----------- ----------
Total distributions......................................... (0.53) (0.38) (0.26) (0.09)
------------ ----------- ----------- ----------
Net asset value, end of period.............................. $15.36 $13.15 $11.90 $9.76
============ =========== =========== ==========
Total Return(2)............................................. 20.89% 13.70% 24.51% (1.47)%
============ =========== =========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $175,896,539 $57,301,963 $15,502,907 $1,298,365
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.97% 1.25% 1.11% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.97% 1.25% 2.36% 8.31%
Ratio of net investment income to average net assets(3)..... 3.31% 3.29% 3.88% 4.58%
Net investment income (loss) (without
reimbursement)(1)(3)...................................... $0.32 $0.26 $0.14 $(0.06)
Portfolio turnover rate(4).................................. 98% 131% 89% 45%
Average commission rate paid(5)............................. $0.0563 $0.0510 -- --
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
See accompanying notes.
41
<PAGE> 44
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
ADVANTAGE PORTFOLIO**
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $10.41 $10.18 $9.98 $10.00
----------- ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.61 0.40 0.71 0.12
Net realized and unrealized gain (loss) on investments...... (0.01) 0.22 0.20 (0.02)
----------- ----------- ---------- ----------
Total from investment operations............................ 0.60 0.62 0.91 0.10
----------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.48) (0.38) (0.71) (0.12)
Net capital gains distributions............................. -- (0.01) -- --
----------- ----------- ---------- ----------
Total distributions......................................... (0.48) (0.39) (0.71) (0.12)
----------- ----------- ---------- ----------
Net asset value, end of period.............................. $10.53 $10.41 $10.18 $9.98
=========== =========== ========== ==========
Total Return(2)............................................. 5.71% 6.06% 9.18% 0.99%
=========== =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $17,857,810 $14,488,590 $5,990,065 $3,449,166
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.80% 0.80% 0.77% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.11% 1.55% 2.13% 3.06%
Ratio of net investment income to average net assets(3)..... 5.79% 5.86% 8.56% 5.32%
Net investment income (without reimbursement)(1)(3)......... $0.58 $0.35 $0.60 $0.07
Portfolio turnover rate(4).................................. 116% 85% 166% 94%
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
** Strong Capital Management, Inc. became the sub-advisor to the Portfolio in
October, 1994. EISI took over management of the Portfolio on April 1, 1996.
See accompanying notes.
42
<PAGE> 45
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
VALUE + GROWTH PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Period Ended
12/31/97 12/31/96*
----------- -------------
<S> <C> <C>
Net asset value, beginning of period........................ $11.43 $10.00
----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment (loss)(1).................................... (0.04) (0.04)
Net realized and unrealized gain on investments............. 1.83 1.59
----------- -----------
Total from investment operations............................ 1.79 1.55
----------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... -- --
Net capital gains distributions............................. -- (0.12)
----------- -----------
Total distributions......................................... -- (0.12)
----------- -----------
Net asset value, end of period.............................. $13.22 $11.43
=========== ===========
Total Return(2)............................................. 15.69% 15.49%
=========== ===========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $80,056,236 $19,721,864
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.20% 1.70%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.20% 1.90%
Ratio of net investment (loss) to average net assets(3)..... (0.50)% (0.90)%
Net investment (loss) (without reimbursement)(1)(3)......... $(0.04) $(0.05)
Portfolio turnover rate(4).................................. 224% 143%
Average commission rate paid(5)............................. $0.0570 $0.0523
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period April 1, 1996 (commencement of investment operations) through
December 31, 1996.
See accompanying notes.
43
<PAGE> 46
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
GROWTH & INCOME PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Period Ended
12/31/97 12/31/96*
------------ -------------
<S> <C> <C>
Net asset value, beginning of period........................ $12.59 $10.00
------------ -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.13 0.02
Net realized and unrealized gain on investments............. 3.02 2.61
------------ -----------
Total from investment operations............................ 3.15 2.63
------------ -----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.11) (0.02)
Net capital gains distributions............................. (1.16) (0.02)
------------ -----------
Total distributions......................................... (1.27) (0.04)
------------ -----------
Net asset value, end of period.............................. $14.47 $12.59
============ ===========
Total Return(2)............................................. 25.15% 26.19%
============ ===========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $133,861,119 $42,400,808
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.12% 1.64%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.12% 1.64%
Ratio of net investment income to average net assets(3)..... 1.23% 0.38%
Net investment income (without reimbursement)(1)(3)......... $0.13 $0.02
Portfolio turnover rate(4).................................. 227% 115%
Average commission rate paid(5)............................. $0.0577 $0.0551
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period April 1, 1996 (commencement of investment operations) through
December 31, 1996.
See accompanying notes.
44
<PAGE> 47
EQUI-SELECT SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1997
NOTE 1 - ORGANIZATION
Equi-Select Series Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Trust is managed by Equitable Investment Services, Inc. ("EISI") which is a
wholly-owned subsidiary of Equitable of Iowa Companies ("Equitable of Iowa").
Equitable of Iowa became an indirect wholly owned subsidiary of ING Groep, N.V.
("ING") on October 24, 1997. The Trust was organized as a Massachusetts business
trust on May 11, 1994, and offers nine portfolios, each having differing
investment objectives and policies: Money Market Portfolio, Mortgage-Backed
Securities Portfolio, International Fixed Income Portfolio, OTC Portfolio,
Research Portfolio, Total Return Portfolio, Advantage Portfolio, Value + Growth
Portfolio and Growth & Income Portfolio (each "Portfolio" or, collectively, "The
Portfolios"). On September 15, 1994, Equitable Life Insurance Company of Iowa
made the initial purchase of shares of beneficial interest in the amount of
10,000 shares for the Money Market Portfolio and 1,000 shares for each of the
other Portfolios other than the Value + Growth Portfolio and the Growth & Income
Portfolio. On March 28, 1996, Equitable Life Insurance Company of Iowa made the
initial purchase of shares of beneficial interest in the amount of 1,000 shares
for the Value + Growth Portfolio and 1,000 shares for the Growth & Income
Portfolio. The shares of the Trust are sold to certain life insurance companies'
separate accounts to fund the benefits under variable annuity and variable life
contracts issued by such life insurance companies, including Equitable Life
Insurance Company of Iowa and Golden American Life Insurance Company. All
Portfolios (except the Value + Growth and the Growth & Income Portfolios) began
investment operations on October 4, 1994 and the Value + Growth and the Growth &
Income Portfolios began investment operations on April 1, 1996.
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements.
ESTIMATES - The preparation of the financial statements in conformity with
generally accepted accounting principles may require management to make certain
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of these financial statements and the reported amounts
of income and expenses during the reporting period. Actual results could differ
from those estimates.
VALUATION OF INVESTMENTS - For all Portfolios except the Money Market Portfolio,
portfolio securities traded on a national securities exchange or quoted on the
NASDAQ National Market System are valued at the last reported sale price on the
principle exchange or reported by NASDAQ or, if there is no reported sale, and
in the case of over-the-counter securities not included on NASDAQ, at a bid
price. Debt securities, including zero-coupon securities, and certain foreign
securities are valued by a pricing service. Securities for which current market
quotations are not readily available are valued at fair value as determined in
good faith by the Trustees, or by an individual acting under the direction of
the Trustees. Prices for securities primarily traded in foreign markets are
expressed in the local currency's value and are translated into U.S. dollars at
the current rate of exchange. Short-term securities, including all securities in
the Money Market Portfolio and debt securities with a remaining maturity of 60
days or less, are valued at their amortized cost, which approximates market
value.
REPURCHASE AGREEMENTS - In connection with transactions in repurchase
agreements, the Trust's custodian takes possession of the underlying collateral
securities, the value of which is at least equal to the principal amount,
including interest, of the repurchase agreement. To the extent that the term of
any repurchase agreement exceeds one business day, the value of the collateral
is marked-to-market on a daily basis to ensure the adequacy of the collateral.
In the event of default of the obligation to repurchase, the Trust has the right
to liquidate the collateral and apply the proceeds in satisfaction of the
obligation. Under certain circumstances, in the event of default or bankruptcy
by the other party to the agreement, realization and/or retention of the
collateral or proceeds may be subject to legal proceedings.
INVESTMENT TRANSACTIONS - Investment security transactions are recorded on a
trade date basis. Realized gains and losses from security transactions are
determined on the basis of identified cost.
INVESTMENT INCOME - Dividend income is recorded on the ex-dividend date, except
certain dividends from foreign securities where the ex-dividend date may have
passed, which are reported as income when the Trust identifies the dividend.
Interest income, which includes certain accretion of original discount, is
accrued as earned. Investment income is recorded net of foreign taxes withheld
where recovery of such taxes is uncertain.
FOREIGN CURRENCY TRANSLATIONS - The records of the Trust are maintained in U.S.
dollars. Foreign currency amounts are translated into U.S. dollars at a current
rate of exchange of such currency to determine the value of investments, other
assets and liabilities. Purchases and sales of securities and income and
expenses are converted at the prevailing rate of exchange on the respective
dates of such transactions.
45
<PAGE> 48
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
A Portfolio may realize currency gains or losses between the trade and
settlement dates on security transactions. To minimize such currency gains or
losses, the Portfolio may enter into a foreign currency exchange contract for
the purchase or sale (for a fixed amount of U.S. dollars) of an amount of the
foreign currency required to settle the security transaction.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by a Portfolio on each day and the resulting net unrealized
appreciation, depreciation and related net receivable or payment amounts are
determined by using forward currency exchange rates supplied by a quotation
service.
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward currency
contracts, disposition of foreign currencies, currency gains and losses realized
between the trade and settlement dates on security transactions, and the
difference between the amount of net investment income accrued and the U.S.
dollar amount actually received.
FORWARD FOREIGN CURRENCY CONTRACTS - A forward foreign currency contract
("Forward") is an agreement between two parties to buy and sell a currency at a
set price on a future date. The market value of the Forward fluctuates with
changes in currency exchange rates. The Forward is marked-to-market daily and
the change in the market value is recorded by a Portfolio as an unrealized gain
or loss. When the Forward is closed, the Portfolio records a gain or loss equal
to the difference between the value at the time it was opened and the value at
the time it was closed. The Portfolio could be exposed to risk if a counterparty
is unable to meet the terms of the contract or if the value of the currency
changes unfavorably. The Portfolio may enter into Forwards in connection with
planned purchases and sales of securities, to hedge specific receivables or
payables against changes in future exchange rates or to hedge the U.S. dollar
value of Portfolio securities denominated in a foreign currency.
CURRENCY CALL AND PUT OPTIONS - A call option written by a Portfolio obligates
the Portfolio to sell specified currency to the option holder at a specified
price at any time before the expiration date. A put option written by a
Portfolio obligates the Portfolio to purchase specified currency from the option
holder at a specified price at any time before the expiration date. These
transactions involve a risk that a Portfolio may, upon exercise of the option,
be required to sell currency at a price that is less than its market value or be
required to purchase currency at a price that exceeds its market value. A
Portfolio may also realize gains or losses by entering into closing purchase
transactions identical to call or put options that have been written by the
Portfolio in order to terminate its obligation under a call or put option. In
determining the amount of gain or loss realized, the option premium paid and
related transactions costs are added to the exercise price.
DOLLAR ROLL TRANSACTIONS - A Portfolio may enter into dollar roll transactions,
in which a Portfolio sells securities for delivery in the current month and
simultaneously contracts to repurchase substantially similar (same type, same or
similar interest rate and maturity) securities on a specified future date.
During the roll period the Portfolio forgoes principal and interest paid on the
securities. The Portfolios account for such dollar rolls as financing
transactions, and are compensated by the interest earned on the cash proceeds of
the initial sale and by the lower repurchase price at a future date. To the
extent that a Portfolio has commitments under dollar roll transactions, liquid,
high grade debt securities are segregated in an amount equivalent to these
obligations. There were no dollar roll commitments outstanding at December 31,
1997.
EXPENSES - Expenses directly attributable to a Portfolio are charged to the
Portfolio. Expenses not directly attributable to a Portfolio are allocated among
the affected Portfolios. Certain costs incurred in connection with the
organization of the Trust and each Portfolio have been deferred and are being
amortized on a straight line basis over a five year period.
DISTRIBUTIONS TO SHAREHOLDERS - Each of the Portfolios (except the Money Market
Portfolio) declares and distributes dividends from net investment income and
distributes its net realized capital gains, if any, at least annually. The Money
Market Portfolio declares dividends daily and distributes monthly. All
distributions are paid in shares of the relevant Portfolio at net asset value.
Income and capital gains distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for market discount,
foreign currency transactions, losses deferred due to wash sales, "post October
31 losses" and excise tax regulations. Distributions are recorded on the
ex-dividend date.
FEDERAL INCOME TAXES - Each Portfolio is treated as a separate entity for
Federal income tax purposes. Each Portfolio intends to qualify each year as a
regulated investment company under Subchapter M of the Internal Revenue Code of
1986. By so qualifying, the Portfolios will not be subject to Federal income
taxes to the extent that they distribute all of their taxable income, including
realized capital gains, for the fiscal year. In addition, by distributing
substantially all of their net investment income, capital gains and certain
other amounts during the calendar year, the Portfolios will not be subject to a
Federal excise tax.
46
<PAGE> 49
NOTE 3 - AGREEMENTS AND FEES
The Trust has entered into an Investment Advisory Agreement (the "Agreement")
with EISI, under which EISI manages the business and affairs of the Portfolios
and the Trust. Under the Agreement, each Portfolio pays EISI a monthly fee at
the annual rate based on the average daily net assets of each Portfolio as
follows:
<TABLE>
<CAPTION>
ADVISORY FEES
-------------
<S> <C> <C>
Money Market Portfolio 0.375% of first $50 million
0.35% in excess of $50 million
Mortgage-Backed Securities Portfolio 0.75% of first $200 million
0.65% of next $300 million
0.55% of next $500 million
0.50% of next $1 billion
0.40% in excess of $2 billion
International Fixed Income Portfolio 0.85% of first $200 million
0.75% of next $300 million
0.60% of next $500 million
0.55% of next $1 billion
0.40% in excess of $2 billion
OTC, Research & Total Return Portfolios 0.80% of first $300 million
0.55% in excess of $300 million
Advantage Portfolio 0.50% of first $100 million
0.35% in excess of $100 million
Value + Growth Portfolio 0.95% of first $500 million
0.75% in excess of $500 million
Growth & Income Portfolio 0.95% of first $200 million
0.75% in excess of $200 million
</TABLE>
EISI has entered into Sub-Advisory Agreements with Credit Suisse Asset
Management Limited (formerly CS First Boston Investment Management Ltd.) with
respect to the International Fixed Income Portfolio, Massachusetts Financial
Services Company with respect to the OTC, Research and Total Return Portfolios
and Robertson, Stephens & Company Investment Management, L.P., with respect to
the Value + Growth and Growth & Income Portfolios; each of whom, under the
supervision of EISI, is responsible for the day-to-day investment management of
each of the Portfolios. On April 1, 1996, EISI assumed responsibility for the
day-to-day investment management of the Advantage Portfolio from Strong Capital
Management. The fees payable to the sub-advisors under the Sub-Advisory
Agreements are borne by EISI, and the Trust does not bear the direct cost of the
sub-advisory activities. EISI does not receive sub-advisory fees for the
Money-Market, Mortgage-Backed Securities and Advantage Portfolios.
EISI has agreed to voluntarily reimburse each Portfolio for all expenses
(excluding the advisory fee) that exceed .30% of the average daily net assets
for the Money Market and Advantage Portfolios, .50% of the average daily net
assets of the Mortgage-Backed Securities Portfolio, .75% of the average daily
net assets of the International Fixed Income Portfolio, and .40% of the average
daily net assets of the OTC, Total Return, Research, Value + Growth and Growth &
Income Portfolios (changed from .75% of the average daily net assets effective
February 3, 1997). This undertaking is subject to termination at any time
without notice to the shareholders. For the year ended December 31, 1997, EISI
has agreed to reimburse the Trust $122,226 for expenses in excess of the
voluntary expense limitations, of which $26,098 was owed to the Trust as of
December 31, 1997.
Each Trustee of the Trust who is not an interested person of the Trust or
Advisor or Sub-Advisor receives an annual fee of $6,000 and an additional fee of
$1,500 for each Trustees' meeting attended.
47
<PAGE> 50
NOTE 4 - INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding the
Money Market Portfolio and all short-term securities for the Trust, for the year
ended December 31, 1997, were as follows:
<TABLE>
<CAPTION>
Non-U.S. U.S. Non-U.S. U.S.
Government Government Government Government
Purchases Purchases Sales Sales
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Mortgage-Backed Securities....... $ 1,001,070 $ 6,667,769 $ -- $ 2,922,461
International Fixed Income....... 8,241,371 394,813 6,119,814 1,209,352
OTC.............................. 145,774,715 -- 101,023,284 --
Research......................... 251,033,845 -- 115,188,189 --
Total Return..................... 108,235,544 66,558,533 51,024,298 42,416,803
Advantage........................ 10,908,905 1,600,625 11,377,849 1,394,301
Value + Growth................... 148,863,748 -- 93,082,367 --
Growth & Income.................. 239,770,274 901,275 176,468,944 1,242,275
</TABLE>
The identified cost of investments in securities and repurchase agreements owned
by the Trust for federal income tax purposes and their respective gross
unrealized appreciation and depreciation at December 31, 1997 were as follows:
<TABLE>
<CAPTION>
Net
Gross Gross Unrealized
Identified Unrealized Unrealized Appreciation/
Cost Appreciation Depreciation (Depreciation)
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market..................... $ 35,598,667 $ -- $ -- $ --
Mortgage-Backed Securities....... 17,108,731 346,050 8,332 337,718
International Fixed Income....... 11,196,511 266,392 391,887 (125,495)
OTC.............................. 103,278,221 16,136,863 9,714,210 6,422,653
Research......................... 221,819,171 29,160,368 6,583,336 22,577,032
Total Return..................... 162,818,945 16,698,769 985,552 15,713,217
Advantage........................ 17,699,655 30,264 42,633 (12,369)
Value + Growth................... 72,276,317 7,389,312 3,408,711 3,980,601
Growth & Income.................. 111,317,908 13,500,860 3,884,467 9,616,393
</TABLE>
NOTE 5 - SHAREHOLDER TRANSACTIONS
Transactions in shares and dollars were as follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
--------------------------- ---------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold..................................... 102,433,107 $102,433,107 43,299,625 $ 43,299,625
Shares issued to shareholders in reinvestment of
dividends..................................... 1,634,516 1,634,516 615,473 615,473
Shares redeemed................................. (87,620,830) (87,620,830) (30,505,030) (30,505,030)
----------- ------------ ----------- ------------
Net increase.................................... 16,446,793 $ 16,446,793 13,410,068 $ 13,410,068
=========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE-BACKED SECURITIES PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
--------------------------- ---------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold..................................... 673,451 $ 7,363,783 723,505 $ 7,834,453
Shares issued to shareholders in reinvestment of
dividends..................................... 132,084 1,419,276 46,370 502,728
Shares redeemed................................. (237,370) (2,554,875) (517,091) (5,597,343)
----------- ------------ ----------- ------------
Net increase.................................... 568,165 $ 6,288,184 252,784 $ 2,739,838
=========== ============ =========== ============
</TABLE>
48
<PAGE> 51
NOTE 5 - SHAREHOLDER TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 574,229 $ 6,192,469 451,977 $ 5,052,351
Shares issued to shareholders in reinvestment of
dividends........................................ 123,463 1,314,326 39,922 443,273
Shares redeemed.................................... (519,578) (5,599,175) (275,956) (3,081,899)
---------- ------------ ---------- -----------
Net increase....................................... 178,114 $ 1,907,620 215,943 $ 2,413,725
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
OTC PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 4,441,443 $ 67,796,730 2,338,803 $32,591,217
Shares issued to shareholders in reinvestment of
dividends ....................................... 453,828 6,811,842 87,570 1,086,357
Shares redeemed.................................... (1,059,015) (16,500,271) (41,713) (553,591)
---------- ------------ ---------- -----------
Net increase....................................... 3,836,256 $ 58,108,301 2,384,660 $33,123,983
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
RESEARCH PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 8,748,698 $151,457,707 3,696,388 $54,264,879
Shares issued to shareholders in reinvestment of
dividends........................................ 547,082 9,454,599 29,426 392,354
Shares redeemed.................................... (786,315) (13,374,627) (110,466) (1,745,200)
---------- ------------ ---------- -----------
Net increase....................................... 8,509,465 $147,537,679 3,615,348 $52,912,033
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 6,753,656 $ 99,379,611 3,064,004 $38,670,842
Shares issued to shareholders in reinvestment of
dividends........................................ 498,505 7,367,301 33,107 397,108
Shares redeemed.................................... (157,164) (2,344,586) (41,981) (532,619)
---------- ------------ ---------- -----------
Net increase....................................... 7,094,997 $104,402,326 3,055,040 $38,535,331
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
ADVANTAGE PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 1,027,871 $ 10,963,172 1,254,663 $13,234,277
Shares issued to shareholders in reinvestment of
dividends........................................ 126,816 1,328,534 41,159 419,439
Shares redeemed.................................... (850,644) (9,124,398) (492,025) (5,157,748)
---------- ------------ ---------- -----------
Net increase....................................... 304,043 $ 3,167,308 803,797 $ 8,495,968
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
VALUE + GROWTH PORTFOLIO
YEAR ENDED APRIL 1, 1996* TO
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 5,752,136 $ 78,025,275 1,745,712 $18,222,782
Shares issued to shareholders in reinvestment of
dividends ....................................... 19,194 218,281 -- --
Shares redeemed.................................... (1,439,264) (19,118,849) (20,188) (208,125)
---------- ------------ ---------- -----------
Net increase....................................... 4,332,066 $ 59,124,707 1,725,524 $18,014,657
========== ============ ========== ===========
</TABLE>
49
<PAGE> 52
NOTE 5 - SHAREHOLDER TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
GROWTH & INCOME PORTFOLIO
YEAR ENDED APRIL 1, 1996* TO
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- ------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold......................................... 6,421,112 $ 91,268,138 3,387,238 $38,559,796
Shares issued to shareholders in reinvestment of
dividends ........................................ 746,751 10,730,642 -- --
Shares redeemed..................................... (1,282,562) (17,584,639) (18,974) (228,466)
---------- ------------ --------- -----------
Net increase........................................ 5,885,301 $ 84,414,141 3,368,264 $38,331,330
========== ============ ========= ===========
</TABLE>
* Date of commencement of investment operations.
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
At December 31, 1997, the outstanding forward exchange currency contracts, which
contractually obligate the Trust to deliver currencies at a specified date, were
as follows:
INTERNATIONAL FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR UNREALIZED
PURCHASED SOLD DATE DATE CURRENT VALUE DEPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NLG USD 02/06/1998 $ 400,000 $ 381,276 $(18,724)
DEM USD 03/16/1998 250,000 246,622 (3,378)
JPY USD 03/16/1998 1,018,095 1,012,433 (5,662)
---------- ---------- --------
$1,668,095 $1,640,331 $(27,764)
</TABLE>
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON UNREALIZED
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR APPRECIATION/
SOLD PURCHASED DATE DATE CURRENT VALUE DEPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GBP USD 01/26/1998 $ 900,247 $ 921,729 $(21,482)
NLG USD 02/06/1998 542,753 523,182 19,571
AUD USD 02/27/1998 232,900 220,139 12,761
CAD USD 02/27/1998 133,455 132,386 1,069
DKK USD 03/03/1998 521,725 511,237 10,488
SEK USD 03/16/1998 387,918 381,027 6,891
---------- ---------- --------
$2,718,998 $2,689,700 $ 29,298
Net Unrealized Appreciation of Forward Foreign Currency
Contracts.................................................... $ 1,534
--------
</TABLE>
RESEARCH PORTFOLIO
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR UNREALIZED
PURCHASED SOLD DATE DATE CURRENT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CHF USD 01/07/1998 $ 164,156 $ 164,086 $(70)
----
Net Unrealized Depreciation of Forward Foreign Currency
Contracts..................................................... $(70)
----
</TABLE>
50
<PAGE> 53
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS (CONTINUED)
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR UNREALIZED
PURCHASED SOLD DATE DATE CURRENT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DEM USD 01/06/1998 $ 113,790 $ 113,151 $ (639)
NLG USD 01/06/1998 112,787 112,115 (672)
---------- ---------- --------
$ 226,577 $ 225,266 $ (1,311)
Net Unrealized Depreciation of Forward Foreign Currency
Contracts..................................................... $ (1,311)
--------
</TABLE>
GLOSSARY OF TERMS
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DEM - Deutsche Mark
DKK - Danish Kroner
GBP - Great British Pound
JPY - Japanese Yen
NLG - Dutch Guilder
SEK - Swedish Krona
USD - United States Dollar
NOTE 7 - CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Portfolios indicated below have capital
loss carryforwards as of December 31, 1997 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
EXPIRING
IN 2005
--------
<S> <C>
Money Market Portfolio.................... $ 3,127
Mortgage-Backed Securities Portfolio...... 17,966
Value + Growth Portfolio.................. 171,187
</TABLE>
NOTE 8 - SUBSEQUENT EVENT
Effective January 2, 1998, Directed Services, Inc. ("DSI"), an affiliate of
EISI, is assuming the advisory responsibilities of EISI. DSI is also assuming
all responsibilities for the management of sub-advisors pursuant to the terms of
the Sub-Advisory Agreements. EISI's management personnel are becoming a part of
DSI and will continue the oversight of portfolio management.
Effective January 2, 1998, ING Investment Management, LLC ("IIMLLC"), an
affiliate of EISI, assumed the portfolio management responsibilities of EISI,
for the Money Market Portfolio, the Mortgage-Backed Securities Portfolio and the
Advantage Portfolio of the Trust. The EISI personnel who manage these portfolios
have moved to IIMLLC and no changes in investment personnel are anticipated for
any portfolio.
51
<PAGE> 54
EQUI-SELECT SERIES TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
At a Special Meeting of Shareholders of the Trust held on October 9, 1997, the
following actions were taken:
(1) The new Investment Advisory Agreement between the Trust and Equitable
Investment Services, Inc. to become effective upon the merger of Equitable of
Iowa with PFHI Holdings, Inc. was approved by the shareholders of the Trust as
follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
------------------------------------------------------
<S> <C> <C> <C> <C>
71,360,107 1,601,777 4,150,807 77,112,691
</TABLE>
(2) The new Sub-Advisory Agreement between the Trust, EISI and each Portfolio's
corresponding Sub-Advisor to become effective upon the merger of Equitable of
Iowa with PFHI was approved by the shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
-----------------------------------------------------
<S> <C> <C> <C> <C>
International Fixed Income Portfolio................... 1,025,834 2,837 46,178 1,074,849
OTC Portfolio.......................................... 4,967,521 61,155 378,727 5,407,403
Research Portfolio..................................... 9,279,749 87,246 680,828 10,047,823
Total Return Portfolio................................. 7,945,997 62,354 491,536 8,499,887
Value + Growth Portfolio............................... 3,420,870 39,957 204,505 3,665,332
Growth & Income Portfolio.............................. 5,734,505 127,079 343,850 6,205,434
</TABLE>
(3) The new Sub-Advisory Agreement between the Trust, EISI and Robertson,
Stephens to be effective upon the merger of Robertson, Stephens & Company
Investment Management, L.P. with BankAmerica Corporation, was approved by the
shareholders of the Portfolios as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
----------------------------------------------------
<S> <C> <C> <C> <C>
Value + Growth Portfolio................................ 3,431,426 31,762 202,144 3,665,332
Growth & Income Portfolio............................... 5,735,579 130,452 339,403 6,205,434
</TABLE>
52
<PAGE> 55
TAX INFORMATION - (UNAUDITED)
THE EQUI-SELECT SERIES TRUST
FISCAL YEAR ENDED DECEMBER 31, 1997
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1997, were as follows:
<TABLE>
<S> <C> <C>
International Fixed Income Portfolio................. $ 56,119
OTC Portfolio........................................ 48,308
Research Portfolio................................... 2,472,944
Total Return Portfolio............................... 1,700,455
Growth & Income Portfolio............................ 20,061
</TABLE>
53
<PAGE> 56
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
To the Contract Holders and Trustees
Equi-Select Series Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Equi-Select Series Trust (the "Trust")
(comprising, respectively, the Money Market, Mortgage-Backed Securities,
International Fixed Income, OTC, Research, Total Return, Advantage, Value +
Growth, and Growth & Income Portfolios) as of December 31, 1997, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1997, by correspondence with the custodian
and brokers, or other appropriate auditing procedures where replies from brokers
were not received. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Equi-Select Series Trust at December
31, 1997, the results of their operations for the year then ended, the changes
in their net assets for each of the two years in the period then ended, and the
financial highlights for each of the periods indicated therein, in conformity
with generally accepted accounting principles.
ERNST & YOUNG LLP
Boston, Massachusetts
February 20, 1998
54
<PAGE> 57
[This page intentionally left blank]
<PAGE> 58
[This page intentionally left blank]
<PAGE> 59
EQUI-SELECT SERIES TRUST
------------------------
TRUSTEES AND EXECUTIVE OFFICERS
Paul R. Schlaack, Trustee, Principal Executive Officer and President*
J. Michael Earley, Trustee
R. Barbara Gitenstein, Trustee
Elizabeth Newell, Trustee
Stanley B. Seidler, Trustee
Paul E. Larson, Treasurer and Principal Financial Officer
Myles R. Tashman, Secretary
Eric J. Engstrom, Principal Accounting Officer
Kimberly K. Krumviede, Vice President
* Interested Trustee
------------------------
Blazzard, Grodd & Hasenauer, P.C., Legal Counsel
Equitable Investment Services, Inc., Investment Adviser
Ernst & Young, LLP, Independent Auditors
- ------------------------------------------------------------------------------
The information contained in this report is intended for general informational
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Trust and Separate Account
prospectuses which contain important information concerning the Trust, the
Company, and its current public offering of variable contracts.
- ------------------------------------------------------------------------------
<PAGE> 60
The PrimElite Variable Annuity is distributed by Equitable of Iowa Securities
Network, Inc., an affiliate of Equitable Life Insurance Company of Iowa.
Equi-Select Series Trust
909 LOCUST - DES MOINES, IA - 50309-2899
Equi-Select Trust
909 LOCUST
DES MOINES, IA - 50309-2899 Bulk Rate
U.S. Postage
PAID
Des Moines, IA
Permit No. 3361
<PAGE> 61
Equi-Select Series Trust
909 LOCUST - DES MOINES, IA - 50309-2899
Equi-Select Trust
SERIES TRUST
909 LOCUST STREET
DES MOINES, IA - 50309-2899 Bulk Rate
U.S. Postage
PAID
Des Moines, IA
Permit No. 3361
<PAGE> 62
------------------------------------------------
EQUI-SELECT SERIES TRUST
ANNUAL
REPORT
December 31, 1997
[LOGO]
PrimElite
------------------------------------------------
VARIABLE ANNUITY
------------------------------------------------
PE-25 02/24/1998
<PAGE> 63
Equi-Select Series Trust
Annual Report
For the Period Ending December 31, 1997
Table of Contents
Letter to Contract Owners......................................................1
Management's Discussion and Analysis...........................................2
Equi-Select Series Trust Financial Statements
Portfolios of Investments................................................12
Statements of Assets and Liabilities.....................................29
Statements of Operations.................................................31
Statements of Changes in Net Assets......................................33
Financial Highlights.....................................................35
Notes to Financial Statements............................................44
Report of Independent Auditors...........................................53
Trustees and Executive Officers......................................Inside
Back
Cover
- --------------------------------------------------------------------------------
The information contained in this report is intended for general informational
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Trust and Separate Account
prospectuses which contain important information concerning the Trust, the
Company, and its current public offering of variable annuity contracts.
- --------------------------------------------------------------------------------
<PAGE> 64
LETTER TO CONTRACT HOLDERS
Dear Contract Holders:
We are pleased to present the 1997 Annual Report of the Equi-Select Series Trust
(the "Trust"). The following report provides information about the performance
and financial position of the portfolios in the Trust.
Please note that portfolio returns are calculated after operating expenses have
been deducted. Benchmark returns (except the Lipper Balanced Fund Index) do not
reflect any expenses. Operating expenses include advisory, custody, legal,
audit, and other expenses associated with the operations of the Trust. They do
not reflect charges for the variable annuity and variable life contracts
thereunder whose proceeds are invested in the Portfolios. Benchmark returns
would be lower if these expenses were taken into account.
The Trust continued to grow at a rapid pace. During 1997, net assets increased
by $530 million to end the year at $823 million. This growth contributes to
investment performance by reducing the impact of operating expenses. As net
assets increase, the Trust obtains economies of scale on some of its operating
expenses. All of the Trust's equity portfolios experienced significant
reductions in their expense ratios in 1997.
Effective January 2, 1998, Directed Services, Inc. ("DSI") became the advisor of
the Equi-Select Series Trust. The previous investment advisor was Equitable
Investment Services Inc. ("EISI"), an affiliate of DSI. Despite this change, the
same individuals will be responsible for providing advisory oversight. EISI's
advisory oversight personnel were transferred to DSI.
Also on January 2, 1998, ING Investment Management, LLC ("ING") became the
sub-advisor for the Money Market, Mortgage-Backed Securities and Advantage
Portfolios. Previously, these portfolios were managed by EISI, an affiliate of
ING. Please note, however, that Robert Bowman is still the portfolio manager for
these portfolios.
We are committed to providing quality products and service to contract owners,
and we look forward to helping you meet your financial objectives. Thank you for
your continued support.
Sincerely,
/s/ Paul R. Schlaack
----------------------------------
Paul R. Schlaack
President, Chairman, and Principal
Executive Officer
Equi-Select Series Trust
1
<PAGE> 65
MONEY MARKET PORTFOLIO
DECEMBER 31, 1997
<TABLE>
<S> <C>
The Money Market Portfolio (the "Portfolio") seeks to ----------------------------------------------------------
achieve maximum current income, consistent with the AVERAGE ANNUAL TOTAL RETURN
preservation of capital and the maintenance of
liquidity. For the year, the Portfolio had a total 1 YEAR 5.02%
return of 5.02%. SINCE INCEPTION* 4.99%
Short-term interest rates increased gradually
throughout the first quarter of the year. Economic * The Portfolio commenced operations on October 4, 1994.
activity had accelerated during the fourth quarter of ----------------------------------------------------------
1996 and first quarter of 1997, and investors were Average annual total returns of the Portfolio include
concerned about inflationary pressures. On March 25, reinvestment of dividends and distributions. They do not reflect
the Federal Reserve Board (the "Fed") raised the charges for the variable annuity and variable life contracts
discount rate by 25 basis points (0.25%) to 5.50%, thereunder whose proceeds are invested in the Portfolio.
demonstrating their concerns about inflation. Inclusion of these charges would result in reducing the total
return figures for the period shown. Results represent past
During the second quarter, the economy slowed and performance and do not indicate future results.
inflationary concerns subsided. Short-term interest
rates declined during the second and third quarters. Investment in the Money Market Portfolio (or in any other
Then, in the fourth quarter, Asian markets started Portfolio) is neither insured or guaranteed by the U.S.
their downturn. Government. There can be no assurance that the Money Market
Portfolio will be able to maintain a stable net asset value of
The Asian crisis caused short-term interest rates to $1.00 per share.
increase during November and most of December. In TOP TEN ISSUERS
late- December, it became apparent that the Fed was AS A PERCENTAGE OF INVESTMENTS
considering a reduction in the federal funds rate.
Short- term interest rates pulled back, and the year Hershey Foods Corporation 4.4%
closed on a positive note. International Business Machines Credit Corp. 4.4%
Allied Signal Corporation 4.4%
Despite these fluctuations in short-term interest Swiss Bank Corporation 4.2%
rates, the current yield of the Portfolio remained Heinz Company 3.8%
remarkably stable. The 30-day yield ranged from 4.76% Anheuser Busch Company 3.6%
to 5.01%. The highest yields were obtained during the Disney (Walt) Company 3.3%
fourth quarter. Merrill Lynch, Pierce, Fenner & Smith 3.2%
Archer Daniels-Midland Company 3.1%
The Portfolio Manager maintained a fairly Ameritech Corporation 3.0%
conservative stance throughout the year. The average
maturity of the Portfolio ranged from 35 days to 70
days.
In January and February, the average maturity was
generally between 60 and 70 days. During March, the
average maturity was reduced to protect the Portfolio
from the effects of rising interest rates. As of
April 30, the Portfolio had an average maturity of
approximately 35 days.
Short-term interest rates declined between May and
September, and the average maturity was extended. The
Portfolio had an average maturity of 45 days on June
30 and 65 days on September 30.
As economic problems developed in Asia, the average
maturity was reduced. The average maturity was
approximately 45 days at the end of the year.
Recently, the Portfolio Manager has been extending
the Portfolio's average maturity. This strategy will
position the Portfolio for a stable or declining
interest rate environment.
This strategy may be changed as conditions warrant.
The Portfolio holds highly liquid instruments, and
this provides the Portfolio Manager with a
significant amount of flexibility.
EQUITABLE INVESTMENT SERVICES, INC.
</TABLE>
2
<PAGE> 66
MORTGAGE-BACKED SECURITIES PORTFOLIO
DECEMBER 31, 1997
The Mortgage-Backed Securities Portfolio (the "Portfolio") seeks to obtain a
high current return, consistent with the safety of principal. In 1997, the
Portfolio generated a return of 7.25%. The Lehman Brothers Mortgage-Backed
Securities Index (the "benchmark") had an annual return of 9.49%.
The benchmark only contains mortgage-backed securities. Diversification
requirements preclude the Portfolio from investing entirely in these securities.
As a result, approximately 30% of the Portfolio is normally invested in U.S.
Treasury securities.
Lower exposure to mortgage-backed securities hurt performance relative to the
benchmark. During 1997, mortgage-backed securities produced significantly higher
returns than U.S. Treasury securities with similar duration.
The Portfolio started the year in a defensive position. The average duration was
decreased, and holdings of mortgage- backed securities were reduced (in favor of
U.S. Treasury securities). This strategy had a negative impact on performance,
as interest rates declined throughout the first quarter.
In the second quarter, the Portfolio acquired several high coupon
mortgage-backed securities. These types of securities would perform well in a
stable interest rate environment. Interest rates continued to decline, however,
and Portfolio returns continued to trail the benchmark.
Bond yields declined in the fourth quarter, primarily because of economic
problems in Asia. These lower yields boosted the performance of the bond market.
At the same time, they caused turbulence in the mortgage securities market.
Lower interest rates create opportunities for homeowners to refinance. Mortgage
prepayments generally increase as interest rates decrease. Higher prepayment
rates usually hurt the performance of mortgage-backed securities.
Lower exposure to mortgage-backed securities helped performance during the
fourth quarter. In December, the Portfolio had a total return of 1.52%, while
the benchmark returned only 0.91%.
The Portfolio Manager believes that interest rates will continue to fall in
1998. He has positioned the Portfolio for a declining interest rate environment.
The Portfolio has invested a greater percentage of its assets in 15-year
mortgage-backed securities and lower coupon issues. Intermediate-term U.S.
Treasury securities also represent a larger percentage of the Portfolio.
The Portfolio Manager is optimistic about 1998, but he is investing cautiously.
Economic conditions in Asia have created a significant amount of uncertainty in
U.S. markets. He thinks that a defensive strategy is prudent under these
circumstances.
EQUITABLE INVESTMENT SERVICES, INC.
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 7.25%
SINCE INCEPTION* 8.20%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio Lehman MBS Index
<S> <C> <C>
10000 10000
10010 9994
9980 9963
12/31/94 10054 10043
10257 10257
10511 10519
10531 10569
10683 10719
11039 11057
6/30/95 11089 11120
11089 11139
11201 11254
11292 11353
11394 11454
11516 11585
12/31/95 11650 11730
11714 11818
11575 11720
11489 11678
11457 11645
11403 11611
6/30/96 11543 11771
11575 11814
11553 11814
11736 12012
11951 12247
12123 12423
12/31/96 12038 12358
12106 12449
12129 12491
12004 12373
12174 12571
12277 12694
6/30/97 12390 12842
12583 13O84
12549 13O53
12674 13218
12799 13365
12799 134O9
12/31/97 12911 13531
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY ISSUER
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Fed. Home Loan Mortgage Corp. 27.1%
Govt. National Mortgage Assoc. 22.7%
Fed. National Mortgage Assoc. 18.5%
Short Term Investments 15.4%
U.S. Treasury 9.4%
Country Wide Funding Corp. 4.0%
Corporate Bonds and Notes 2.9%
</TABLE>
3
<PAGE> 67
INTERNATIONAL FIXED INCOME PORTFOLIO
DECEMBER 31, 1997
The International Fixed Income Portfolio (the "Portfolio") seeks to provide a
high total return. The Portfolio had an annual return of 0.64%. Over the same
period, the Merrill Lynch Global Government Bond Index II (the "benchmark") had
a return of 1.16%.
The bond market environment during 1997 was very positive. In local currency
terms, returns in developed bond markets varied between 6.28% (German bonds) and
14.85% (U.K. Gilts). This strong performance can be attributed to many factors,
including low rates of inflation, budget deficit reductions in the United States
and Europe, and slow economic growth in Europe and Japan.
Toward the end of the year, bond markets received a further boost from
developments in Asia. Economic problems in Southeast Asia are expected to have a
deflationary effect on economies elsewhere. This would further delay any
prospect of higher interest rates.
Although the bond markets performed strongly in local currency terms,
performance was substantially weaker in U.S. dollar terms. The U.S. dollar
strengthened significantly during the year -- by 10.7% versus the Yen and 14.3%
versus the Deutschemark. The U.S. economy continued to perform more strongly
than the European/ Japanese economies, and U.S. financial markets rallied
sharply. These factors contributed to the strength of the U.S. dollar.
The optimal strategy during the year was to be fully invested with a long
duration. Overweight positions should have been maintained in the United States,
United Kingdom, and the high-yielding European markets. Underweight positions
were appropriate in the core European markets and Japan. The optimal currency
strategy was to overweight the U.S. dollar.
Exposure to the U.S. dollar was overweighted at the beginning of the year, but
it was reduced prematurely. Nonetheless, this strategy helped performance
significantly.
We maintained an underweight position in Japan and overweight positions in the
United Kingdom and Australia. All of these decisions had a positive impact on
performance.
We followed a fairly neutral duration strategy. Duration was longer than the
benchmark in the United States, Japan, Denmark and the Netherlands. A shorter
duration was maintained in other European markets. Overall, duration positioning
made a small positive contribution to relative performance.
As of December 31, 1997, the Portfolio had overweighted positions in Canada,
Australia and Europe. Exposure to Japan and the United States was underweighted.
The Portfolio had a duration of 5.1 years, which is slightly lower than the
benchmark. Currency exposure was fairly similar to the benchmark.
CREDIT SUISSE ASSET MANAGEMENT LIMITED
===========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 0.64%
SINCE INCEPTION* 6.92%
* The Portfolio commenced operations on October 4, 1994.
==========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio JP Morgan Global Merrill Lynch Global
Govt. Bond Index Govt. Bond Index II**
<S> <C> <C> <C>
10000 10000 10000
10120 10150 10163
10070 10022 10022
12/31/94 10097 10045 10066
10268 10248 10214
10450 10513 10526
10671 11047 11162
10812 11223 11346
11105 11537 11346
5/30/95 11105 11609 11751
11205 11664 11732
11185 11340 11353
11342 11595 11598
11473 11708 11669
11615 11839 11806
12/31/95 11760 11985 11925
11771 11862 11787
11675 11793 11718
11644 11775 11702
11697 11732 11668
11686 11743 11664
6/20/96 11771 11846 11761
11877 12064 11970
11898 12114 12014
12009 12181 12077
12211 12423 12309
12424 12600 12483
12/31/96 12344 12512 12389
12185 12199 12066
12128 12115 11987
11992 12023 11894
11924 11955 11809
12208 12237 12131
6/30/97 12298 12377 12289
12230 12551 12222
12185 12316 12204
12487 12589 12465
12681 12856 12720
12487 12702 12542
12/31/97 12423 12688 12512
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
** The comparative index has changed to the Merrill Lynch Global Government Bond
Index II. This index is very similar to the J.P. Morgan Global Government
Bond Index, and it should provide a similar representation of returns on
government bonds worldwide.
DISTRIBUTION BY COUNTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Sweden 4.7%
United States 31.2%
Germany 17.4%
Japan 5.4%
Denmark 4.9%
United Kingdom 13.3%
Other Countries 23.1%
</TABLE>
4
<PAGE> 68
OTC PORTFOLIO
DECEMBER 31, 1997
The primary objective of the OTC Portfolio (the "Portfolio") is to seek to
obtain long-term growth of capital. For the year ended December 31, 1997, the
OTC Portfolio provided a total return of 19.67%. This compares to a 29.01%
return for the Russell Midcap Index and 22.36% return for the Russell 2000
Index.
Technology stocks usually represent a significant percentage of the Portfolio.
The Portfolio invests primarily in stocks traded on the over-the-counter (OTC)
securities market, and technology stocks represent a disproportionately large
percentage of the OTC market.
In 1997, technology stocks trailed the market by a significant margin.
Nonetheless, they had a positive impact on Portfolio performance.
Technology exposure was relatively low during the first quarter. The technology
weighting was increased to 45% in the second and third quarters, and many
companies produced exceptional returns. Examples include Oracle (41.7%), Adobe
(25.9%), Synopsis (70.0%), Intel (32.8%) and Cadence Design (55.1%). Technology
stocks fell sharply during the fourth quarter, but exposure had been scaled back
considerably.
Many industries performed exceptionally well this year. Strong financial markets
helped investment management companies, and their assets under management grew
significantly. In this industry, Franklin Resources and Kansas City Southern
produced the highest returns.
Offshore oil companies had strong performance because of higher commodity prices
and shortages of deep water drilling equipment.
One of the strongest individual holdings was Gemstar, the primary provider of
interactive navigation services for the cable television industry. It benefited
from improvements by many cable providers. Cable Design Technology also had
exceptional performance, as the market for high speed networks continued to
expand rapidly.
Health maintenance organizations (HMOs), gaming companies and lower-tier
financial companies had a negative impact on performance. Two of the weakest
individual holdings were Ascend Communications and HCIA. Both of these companies
lost more than 60 percent in 1997.
Ascend Communications supplies components that are critically important to high
speed data networks. The company is well positioned, but product delays and
other problems have constrained performance. HCIA provides data and services to
the health care industry. During 1997, its revenue fell significantly short of
expectations.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 19.67%
SINCE INCEPTION* 22.61%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio S&P 500 Rusell 2000 Index Russel Midcap Index
<S> <C> <C> <C> <C>
10000 10000 10000 10000
10280 10224 9961 10077
10150 9852 9558 9632
12/31/94 10363 9998 9558 9632
10183 10257 9691 9957
10423 10657 10094 10473
11133 10971 10268 10773
10493 11294 10497 10935
11023 11744 10697 11294
6/30/95 11774 12017 11231 11674
12684 12415 11878 12241
13204 12446 12124 12428
12804 12924 11788 12425
13334 13491 12283 13043
12/31/95 13409 13751 12608 13119
13542 14219 12594 13395
14530 14351 12987 13710
14541 14489 13251 13908
16062 14702 13959 14302
16684 15081 14510 14518
6/30/96 15929 15138 13914 14300
14219 14470 12698 13415
14974 14776 13436 14054
16036 15607 13961 14748
16036 15607 13961 14748
15312 16037 13746 14666
16014 17248 14312 15772
12/31/96 16180 16906 14687 15611
16859 17962 14981 16195
15969 18103 14617 16171
14705 17361 13928 15483
15138 18396 13967 15869
17503 19521 15521 17027
6/30/97 17573 20388 16186 17584
18487 22010 16939 19051
18828 20778 17326 18844
19728 21916 18594 19919
19256 21184 17778 19144
19445 22164 17663 19600
12/31/97 19363 22545 17972 20140
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY INDUSTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Computer Industry 18.0%
Communication 10.3%
Electronics 8.6%
Media 8.1%
Health Care and Services 7.3%
Retail 6.2%
Short Term Investments 5.7%
Other Equity Securities 35.8%
</TABLE>
5
<PAGE> 69
RESEARCH PORTFOLIO
DECEMBER 31, 1997
The Research Portfolio (the "Portfolio") seeks long-term growth of capital and
future income. For the one year period ended December 31, 1997, the Portfolio
provided a total return of 20.12%. This compares to a return of 33.36% for the
Standard & Poors 500 Index (the "S&P 500") and 29.01% for the Russell Midcap
Index.
Equity markets were very strong during 1997. However, the highest returns were
generated by a small number of very large companies. Indices like the S&P 500
were difficult to beat because they are dominated by these large companies.
Portfolio returns were very similar to the S&P 500 Index during the second and
third quarter of the year. In the first and fourth quarters, performance was
substantially weaker. The Portfolio lost a total of 4.35% during these periods,
while the S&P 500 generated a positive return of 5.63%.
Over the past year, exposure to the technology sector was increased. This
strategy had a negative impact on performance, as technology stocks fell sharply
in the first and fourth quarters of 1997.
The most recent decline is attributed primarily to economic problems in
Southeast Asia. Many technology companies have strong ties to these economies.
Uncertain demand and weakened currencies are expected to have a negative impact
on their earnings.
Recently, the Portfolio's technology exposure has become more conservative. The
technology sector remains a significant component of the Portfolio. However,
there is an emphasis on companies that are not heavily influenced by
developments in Southeast Asia.
The Portfolio holds a small number of foreign stocks. These holdings also hurt
performance during the fourth quarter.
On the positive side, the financial services sector produced exceptional returns
during 1997. Economic conditions have been very favorable for these companies.
Successful consolidations have also boosted stock prices. Exposure to the
financial services sector was increased during the year.
Within the financial services sector, PNC Bank, Corestates Financial and
Comerica, Inc. have produced some of the highest returns. All of these companies
have developed solid competitive positions within their industry.
The Portfolio Manager will continue to seek fundamentally strong companies in a
variety of industry groups. Stocks are selected by a team of research analysts,
and the Portfolio's holdings always represent their best investment ideas.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
=========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 20.12%
SINCE INCEPTION* 23.03%
* The Portfolio commenced operations on October 4, 1994.
=========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUTAIN CHART]
<TABLE>
<CAPTION>
Portfolio S&P 500 Index Russel Midcap Index
<S> <C> <C> <C>
10000 10000 10000
10200 10224 10077
9680 9852 9632
12/31/94 9677 9998 9757
9697 10257 9957
10070 10657 10473
10383 10971 10773
10554 11294 10935
10928 11744 11294
6/30/95 11301 12017 11674
11997 12415 12241
12028 12446 12428
12391 12971 12709
12461 12924 12425
12885 13491 13043
12/31/95 13218 13751 13119
13495 14219 13396
14080 14351 13710
14090 14489 13908
14665 14702 14302
15137 15081 14518
6/30/96 14921 15138 14300
14151 14470 13415
14593 14776 14054
15502 15607 14748
15657 16037 14866
16562 17248 15772
12/31/96 16300 16906 15611
16891 17962 16195
16796 18103 16171
15856 17361 15483
16553 18395 15869
17715 19521 17027
6/30/97 18381 20388 17584
19754 22010 19051
18920 20778 18844
19910 21916 19919
18912 21184 19144
19475 22164 19600
12/31/97 19579 22545 20140
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
TOP TEN INDUSTRIES
AS A PERCENTAGE OF INVESTMENTS
<TABLE>
<C> <C>
Computer Industry 11.4%
Financial Services 7.2%
Insurance 6.5%
Chemicals and Allied Products 5.0%
Retail 4.8%
Consumer Services 4.7%
Food and Beverages 4.3%
Federal Home Loan Banks 4.1%
Health Care and Services 4.0%
Telecommunications 3.9%
</TABLE>
6
<PAGE> 70
TOTAL RETURN PORTFOLIO
DECEMBER 31, 1997
The Total Return Portfolio (the "Portfolio") seeks above-average income
(compared to a portfolio entirely invested in equity securities) consistent with
the prudent employment of capital.
For the year ended December 31, 1997, the Portfolio provided a total return of
20.89%. Over the same period, the Standard & Poors 500 Index ("S&P 500") had a
total return of 33.36%, and the Lehman Brothers Government/ Corporate Bond Index
("Lehman") had a total return of 9.76%. The benchmark for this portfolio (60%
S&P 500, 40% Lehman) had an annual return of 23.66%.
Equity markets have performed exceptionally well over the past year. This
performance is primarily attributable to a favorable macroeconomic environment.
The economy has seen solid growth in Gross Domestic Product (GDP) and corporate
profits. Inflation is in check and interest rates remained reasonably steady. We
also continue to see strong demand for equity securities, as households allocate
more of their investment dollars to stocks.
The Portfolio benefited from the increase in stock prices. In particular, the
Portfolio has been heavily weighted in financial stocks and energy stocks, both
of which did well over the past 12 months. Our stock selection process is
focused on large, dividend paying companies with reasonable valuations and
attractive growth prospects. We continue to find these traits in the financial
and energy sectors. Our stock selection process also focuses on reducing
volatility. As a result, we held less in over-the-counter stocks, in general,
and technology stocks, in particular.
Our bond strategy remained fairly constant throughout the period. We typically
held more corporate bonds than treasury securities (approximately 65% of the
bond component was invested in corporate issues). The duration of the Portfolio
was approximately 5.5 years throughout much of the period.
Significant exposure to the corporate sector allows the Portfolio to benefit
from strengthening corporate profits. Our duration strategy anticipates flat or
slightly lower interest rates.
Looking forward, we are less optimistic about corporate earnings. We believe
that earnings growth may slow over the next 12 months. The Portfolio Manager has
lowered the equity weighting to 55% and increased the cash position to 11%.
The Portfolio Manager's long-term outlook for stocks continues to be quite
positive, and he plans to increase the equity weighting from its current level.
We anticipate better equity values over the next several months, and we will
probably invest our cash position when those opportunities arise.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 20.89%
SINCE INCEPTION* 17.49%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
12/31/33 Portfolio S&P 500 Index 60% S&P 500 Index/ Lehman Government
40% Lehman Government/ Bond Index
Corporate Bond Index**
<S> <C> <C> <C> <C>
10000 10000 10000 10000
10070 10224 10130 9989
9749 9852 9900 9971
12/31/94 9850 9998 10014 10037
9981 10257 10246 10230
10193 10657 10581 10467
10344 10971 10797 10537
10566 11294 11050 10684
10940 11744 11499 11132
6/30/95 11020 12017 11698 11221
11152 12415 11920 11177
11263 12446 11996 11320
11585 12971 12357 11435
11535 12924 12396 11603
11989 13491 12812 11794
12/31/95 12266 13751 13038 11968
12493 14219 13348 12043
12482 14351 13325 11787
12637 14489 13369 11688
12689 14702 13465 11608
12761 15081 13684 11588
6/30/96 12833 15138 13780 11743
12585 14170 13390 11770
12761 14776 13562 11742
13164 15607 14144 11950
13474 16037 14514 12229
14114 17248 15330 12454
12/31/96 13947 16906 15070 12316
14307 17962 15709 12330
14466 18103 15804 12356
14148 17361 15300 12209
14541 18396 15993 12388
15082 19521 16714 12503
6/30/97 15495 20388 17294 12654
16301 22010 18422 13041
15803 20778 17625 12894
16399 21916 18388 13097
16155 21184 18033 13307
16591 22164 18649 13397
12/31/97 16860 22545 18934 13517
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
** The comparative index has changed from prior years. The new benchmark
(60% S&P 500, 40% Lehman Government/Corporate) more accurately reflects the
returns of the broad securities markets.
DISTRIBUTION BY ASSET TYPE
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Corporate Bonds and Notes 12.4%
U.S. Treasury Securities 15.9%
Short-Term Investments 14.8%
Mortgage-Backed Securities 3.4%
Common Stock 50.7%
Other Investments 2.8%
</TABLE>
7
<PAGE> 71
ADVANTAGE PORTFOLIO
DECEMBER 31, 1997
The Advantage Portfolio (the "Portfolio") seeks current income with a very low
degree of share-price fluctuation. During 1997, the Portfolio had a total return
of 5.71%. The Salomon Brothers 1-Year Treasury Index (the "benchmark") had a
return of 6.11%.
The Portfolio entered 1997 with a very defensive structure. It had very little
credit risk, and its effective maturity was shorter than normal.
Interest rates increased during the first quarter because of concerns about
inflation. Because of its defensive posture, the Portfolio produced strong
returns relative to its benchmark. Low levels of inflation persisted, and
interest rates declined in April. This time, the Portfolio's defensive position
had a negative impact on performance.
In May, the Portfolio Manager adopted a more aggressive stance. He increased the
Portfolio's average effective maturity, reduced credit quality, and purchased
high coupon callable debt. Portfolio returns were very similar to the benchmark
during May and June.
Inflationary pressures appeared to resurface over the summer, and the Portfolio
was invested more conservatively. This strategy hurt performance, as interest
rates dropped significantly in July.
At the end of October, economic problems surfaced in Asia. Bond yields dropped,
boosting overall performance. At the same time, however, yields on corporate
securities increased relative to U.S. Treasury yields. This had a negative
impact on performance relative to the benchmark. Approximately 75% of the
Portfolio is invested in corporate debt securities. The benchmark only contains
U.S. Treasury securities.
The Portfolio Manager thinks that interest rates will continue to decline in
1998. The crisis in Asia should slow down the U.S. economy. Inflation and
commodity prices should also remain low. Given these conditions, a reduction in
the federal funds rate is likely.
Difficulties in Asia have also caused investors to invest more heavily in the
bond market. This trend is likely to continue, as economic conditions remain
uncertain in that area of the world. Higher demand for fixed income securities
should result in lower yields.
Currently, the Portfolio is invested in a more aggressive manner. The Portfolio
Manager has conducted extensive research to identify attractive high-yield
investments. The Portfolio has assumed greater credit risk, and the effective
maturity has been extended. The Portfolio has also purchased high coupon
callable debt.
EQUITABLE INVESTMENT SERVICES, INC.
========================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 5.71%
SINCE INCEPTION* 6.77%
* The Portfolio commenced operations on October 4, 1994.
========================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (OCTOBER 4, 1994)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio Salomon 1-Yr Treasury
<S> <C> <C>
10000 10000
10020 10041
10060 10035
12/31/94 10097 10071
10107 10172
10178 10261
10209 10322
10320 10393
10462 10486
6/30/95 10542 10547
10644 10598
10725 10650
10796 10697
10887 10757
10958 10822
12/31/95 11022 10886
11130 10956
11195 10969
11217 11033
11249 11041
11303 11086
6/30/96 11368 11148
11412 11190
11455 11245
11531 11320
11596 11406
11661 11464
12/31/96 11696 11503
11763 11560
11820 11602
11842 11633
11876 11704
11954 11778
6/30/97 12033 11848
12112 11933
12145 11975
12207 12040
12252 12108
12319 12149
12/31/97 12364 12207
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY ASSET TYPE
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Commercial Paper 25.8%
U.S. Treasury Securities 4.5%
Govt. Agency Securities Dept. 9.5%
Corporate Bonds 51.2%
Other Investments 9.0%
</TABLE>
8
<PAGE> 72
VALUE + GROWTH PORTFOLIO
DECEMBER 31, 1997
The objective of the Value + Growth Portfolio (the "Portfolio") is capital
appreciation. The Portfolio's strategy is to buy securities that exhibit
favorable relationships between growth rates and price to earnings ratios in
sectors offering above average growth potential.
During 1997, the Portfolio produced a return of 15.69%. Over the same period,
the Standard & Poors 500 Index and Russell Midcap Index had returns of 33.36%
and 29.01%, respectively.
Throughout 1997, the Portfolio had a large position in the technology sector.
During the first nine months of the year, this strategy had a positive impact on
performance. The Portfolio posted a nine-month return of 34.38%. The Standard &
Poors 500 Index had a return of 29.64% over the same period.
In the fourth quarter, stocks fell due to economic problems in Asia. Technology
stocks were hit the hardest. The Portfolio posted a quarterly loss of 13.92%. In
contrast, the Standard & Poors 500 Index had a positive return of 2.87%.
Despite recent performance, the Portfolio Manager remains optimistic about the
technology sector. The Portfolio continues to hold significant positions in
Compaq Computer Corporation, Dell Computer Corporation, and several other
technology companies.
The Portfolio Manager is also optimistic about the financial services sector. He
has identified several companies that are positioned to take advantage of the
rapidly growing retirement savings market.
Disposable household income is projected to increase more than 30% between 1995
and 2000. As the U.S. population ages, a larger percentage of this income will
probably be channeled into retirement savings vehicles. For these reasons, the
Portfolio Manager is very optimistic about some of the leading companies serving
the retirement savings market.
Currently, Merrill Lynch & Company Inc. is one of the Portfolio's largest
holdings. It has strong brokerage and investment management operations, and more
than $1 trillion in assets under management. The Portfolio also holds positions
in Travelers Group, Inc. and Charles Schwab Corporation.
Going into 1998, the Portfolio's characteristics are encouraging. The Portfolio
has approximately the same price/earnings ratio as the Standard & Poors 500
Index, but the Portfolio has substantially higher projected earnings growth. The
Portfolio Manager seeks to identify stocks with these characteristics because he
believes that they will generate exceptional returns over long periods of time.
ROBERTSON, STEPHENS & COMPANY
INVESTMENT MANAGEMENT, L.P.
======================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 15.69%
SINCE INCEPTION* 17.99%
* The Portfolio commenced operations on April 1, 1996.
======================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (APRIL 1, 1996)
[INVESTMENT MOUNTAIN CHART]
<TABLE>
<CAPTION>
Portfolio S&P 500 Index Russell Midcap Index
<S> <C> <C> <C>
4/1/96 10000 10000 10000
10490 10147 10283
10670 10409 10439
6/30/96 10230 10448 10282
9640 9987 9645
10030 10198 10105
9/30/96 10880 10771 10604
10820 11068 10689
11850 11904 11340
12/31/96 11547 11668 11224
12355 12397 11644
12173 12494 11627
3/31/97 11375 11982 11133
12011 12697 11410
13325 13473 12242
6/30/97 13315 14072 12643
15254 15191 13697
14830 14341 13549
9/30/97 15511 15126 14322
13844 14621 13765
13753 15297 14092
12/31/97 13359 15560 14481
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
DISTRIBUTION BY INDUSTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
Financial Services 17.9%
Drugs & Health Care Services 8.4%
Consumer Speciality Retail 14.5%
Computer Components, Software and Services 20.6%
Other Equity Securities 30.9%
Semiconductors and Equipment 7.7%
<PAGE> 73
GROWTH & INCOME PORTFOLIO
DECEMBER 31, 1997
The Growth & Income Portfolio (the "Portfolio") seeks high long-term total
returns. The Portfolio invests primarily in small and mid-cap companies.
However, the Portfolio Manager tries to reduce risk by investing in convertible
bonds and other income-producing securities.
For the year, the Portfolio provided a total return of 25.15%. The Russell
Midcap Index and Russell 2000 Index had total returns of 29.01% and 22.36%,
respectively.
Equity markets exhibited considerable volatility during 1997. Fortunately, the
value of the Portfolio fluctuated significantly less than the overall market.
Equity markets declined in the first and fourth quarters of the year. During
these periods, the Russell 2000 Index lost a total of 8.35%, while the Portfolio
only declined by 5.00%. Stock prices appreciated significantly in the second and
third quarters of the year. During this six-month period, the Russell 2000 Index
had a total return of 33.51%, and the Portfolio returned 31.72%. Overall,
investors received superior risk-adjusted performance.
The Portfolio's overweighting in the oil services industry helped performance.
Noble Drilling Corporation, Camco International Inc. and Patterson Energy Inc.
all produced strong returns. At the end of 1997, oil service companies
represented 13 percent of the Portfolio.
While the price of oil has fluctuated, integrated oil companies continue their
search for oil reserves. As we enter 1998, the number of drilling rigs at work
worldwide is at a ten year high. We believe this trend, coupled with industry
consolidation, will support continued strong performance of energy service
stocks.
The cable television industry has also produced strong returns. Last summer,
stock prices appreciated substantially after Microsoft Corporation announced a
$1 billion investment in Comcast Corporation. At year-end, the industry
represented 7% of the Portfolio. Current positions include Tele-Communications
Inc., Nextlevel Systems and U.S. West Media Group.
The Portfolio holds a large number of securities, and it is well diversified
across industry groups. We are optimistic about the prospects of the financial
services and energy sectors. The Portfolio is currently overweighted in both of
these areas. We are less optimistic about the consumer sector, and it is
underweighted in the Portfolio.
We are cautiously optimistic about 1998 and have positioned the Portfolio more
conservatively than in 1997. Still, we believe that the Portfolio will continue
to provide investors with strong risk-adjusted returns in the coming year.
ROBERTSON, STEPHENS & COMPANY
INVESTMENT MANAGEMENT, L.P.
======================================================
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 25.15%
SINCE INCEPTION* 29.84%
* The Portfolio commenced operations on April 1, 1996.
======================================================
VALUE OF A $10,000 INVESTMENT
SINCE INCEPTION (APRIL 1, 1996)
[INVESTMENT MOUTAIN CHART]
<TABLE>
<CAPTION>
12/13/11 Portfolio S&P 500 Index Russel Midcap Index** Russel 2000 Index
<S> <C> <C> <C> <C>
4/1/96 10000 10000 10000 10000
10720 10147 10283 10535
11480 10409 10439 10950
6/30/96 11110 10448 10282 10500
11250 9987 9645 9583
11030 10198 10105 10140
9/30/96 11740 10771 10604 10536
11850 11068 10689 10373
12500 11904 11340 10801
12/31/96 12621 11668 11224 11084
13042 12397 11644 11305
12761 12494 11627 11031
3/31/97 12310 11982 11133 10511
12180 12697 11410 10540
13313 13473 12242 11713
6/30/97 13784 14072 12643 12215
14746 15191 13697 12783
15287 14341 13549 13076
9/30/97 16221 15126 14322 14033
15969 14621 13765 13416
15536 15297 14092 13330
12/31/97 15796 15560 14481 13563
</TABLE>
Average annual total returns of the Portfolio include reinvestment of dividends
and distributions. They do not reflect charges for the variable annuity and
variable life contracts thereunder whose proceeds are invested in the Portfolio.
Inclusion of these charges would result in reducing the total return figures for
the period shown. Results represent past performance and do not indicate future
results.
** The comparative indices have changed from prior year. The Russell Midcap
Index and Russell 2000 Index more accurately reflect the investment style of
the portfolio.
DISTRIBUTION BY INDUSTRY
AS A PERCENTAGE OF INVESTMENTS
[INVESTMENT PIE CHART]
<TABLE>
<S> <C>
Telecommunications 4.9%
Computer Industry 5.2%
Banking and Finance 10.5%
Oil and Gas 5.7%
Retail 5.7%
Utility 8.4%
Other Investments 10.2%
Other Equity Securities 49.4%
</TABLE>
10
<PAGE> 74
DESCRIPTION OF COMPARATIVE INDICES
J.P. Morgan Global Government Bond Index -- an index comprised of government
bonds from major countries, including the United States.
Lehman Brothers Government/Corporate Bond Index -- an index consisting of U.S.
government securities and investment grade corporate debt securities. As of
January 31, 1998, the average maturity of the index was 10.2 years.
Lehman Brothers Mortgage-Backed Securities Index -- an index consisting of 15-
and 30-year fixed rate securities backed by mortgage pools of the Government
National Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation
(FHLMC), and Federal National Mortgage Association (FNMA).
Merrill Lynch Global Government Bond Index II -- an index comprised of
government bonds from major countries, including the United States.
Russell Midcap Index -- an index consisting of the 800 smallest companies in the
Russell 1000 Index. The Russell 1000 Index contains the 1,000 largest companies
in the U.S. As of May 31, 1997, the median market capitalization of the Russell
Midcap Index was $2.3 billion.
Russell 2000 Index -- an index consisting of the 2,000 smallest companies in the
Russell 3000 Index. The Russell 3000 Index contains the 3,000 largest companies
in the U.S. As of May 31, 1997, the median market capitalization of the Russell
2000 Index was $400 million.
Salomon Brothers 1-Year Treasury Index -- an index consisting of 1-year U.S.
Treasury securities.
Standard & Poors 500 Index -- an index consisting of 500 U.S. stocks. As of
January 31, 1998, the mean market value of these companies was $15.3 billion.
11
<PAGE> 75
[This page intentionally left blank]
12
<PAGE> 76
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
COMMERCIAL PAPER - 98.8%
AEROSPACE & DEFENSE - 4.4%
AlliedSignal Corporation,
5.420%+ due 01/12/1998............. $1,552,000 $ 1,549,235
-----------
AUTOMOTIVE - 5.4%
Daimler-Benz Aktieng:
5.390%+ due 01/12/1998............. 800,000 798,582
5.240%+ due 01/20/1998............. 575,000 573,322
5.590%+ due 01/20/1998............. 200,000 199,377
5.620%+ due 03/24/1998............. 344,000 339,573
-----------
1,910,854
BEVERAGES - 9.5%
Anheuser Busch Company:
5.220%+ due 01/09/1998............. 403,000 402,491
5.420%+ due 02/02/1998............. 1,288,000 1,281,566
Coca-Cola Company:
5.463%+ due 01/27/1998............. 700,000 697,118
5.430%+ due 02/20/1998............. 1,000,000 992,305
-----------
3,373,480
CHEMICALS - 6.1%
Cargill Inc.:
5.190%+ due 01/13/1998............. 500,000 499,072
5.440%+ due 03/09/1998............. 1,028,000 1,017,458
Du Pont (E.I.) de Nemours & Company,
5.100%+ due 01/12/1998............. 661,000 659,891
-----------
2,176,421
COMPUTERS & COMPUTER PRODUCTS - 7.3%
Hewlett Packard Company,
5.090%+ due 01/22/1998............. 1,019,000 1,015,463
International Business Machines
Credit Corporation,
5.220%+ due 01/08/1998............. 1,568,000 1,566,262
-----------
2,581,725
FINANCIAL SERVICES - 17.0%
Associates Corporation of North
America, 5.540%+ due 01/16/1998.... 1,000,000 997,500
Bellsouth Capital Funding,
5.530%+ due 02/12/1998............. 780,000 774,831
Ford Motor Credit Corporation,
5.100%+ due 01/07/1998............. 1,000,000 999,068
General Electric Capital Corporation:
5.390%+ due 01/21/1998............. 1,000,000 996,844
5.460%+ due 02/23/1998............. 321,000 318,372
5.470%+ due 02/25/1998............. 275,000 272,659
Hyundai Motor Financial Corporation,
5.310%+ due 01/09/1998............. 301,000 300,630
Pitney Bowes Credit Corporation,
5.120%+ due 01/14/1998............. 500,000 499,011
TMI - 1, 4.640%+ due 01/05/1998...... 905,000 904,392
-----------
6,063,307
FOODS - 14.5%
Archer-Daniels-Midland Company:
5.410%+ due 02/06/1998............. 651,000 647,367
5.630%+ due 03/06/1998............. 1,100,000 1,088,853
Heinz Company,
5.440%+ due 02/23/1998............. 1,375,000 1,363,663
Hershey Foods Corporation,
5.480%+ due 01/30/1998............. 1,576,000 1,568,611
Procter & Gamble Corporation, 5.450%+
due 03/02/1998..................... 500,000 495,395
-----------
5,163,889
COMMERCIAL PAPER (CONTINUED)
FOREIGN BANKS - 8.1%
Swiss Bank Corporation,
5.650%+ due 05/22/1998............. $1,500,000 $ 1,501,177
Societe Generale de Paris,
5.720%+ due 08/04/1998............. 1,000,000 999,426
Toronto Dominion,
5.330%+ due 01/26/1998............. 400,000 398,453
-----------
2,899,056
FOREIGN GOVERNMENT - 2.6%
Sweden (Kingdom of),
5.460%+ due 03/16/1998............. 950,000 939,240
-----------
MULTIMEDIA - 3.3%
Disney (Walt) Company,
5.390%+ due 02/27/1998............. 1,200,000 1,189,588
-----------
SECURITIES BROKERAGE - 7.1%
Goldman, Sachs & Company,
5.440%+ due 01/15/1998............. 1,000,000 997,744
Merrill Lynch, Pierce, Fenner & Smith
Inc.: 5.110%+ due 01/06/1998....... 1,136,000 1,135,107
5.510%+ due 03/25/1998............. 400,000 394,891
-----------
2,527,742
TELECOMMUNICATIONS - 7.7%
AT&T Corporation:
4.880%+ due 01/02/1998............. 808,000 807,876
4.950%+ due 01/05/1998............. 537,000 536,673
5.100%+ due 01/15/1998............. 125,000 124,736
5.390%+ due 03/09/1998............. 266,000 263,297
Bell South Telephone Company,
5.620%+ due 02/24/1998............. 1,000,000 991,420
-----------
2,724,002
UTILITY - 5.8%
Ameritech Corporation,
5.170%+ due 02/06/1998............. 1,079,000 1,072,958
Florida Power Company,
5.630%+ due 02/19/1998............. 1,016,000 1,008,021
-----------
2,080,979
TOTAL COMMERCIAL PAPER - (Cost
$35,179,518) 35,179,518
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 1.2%
FEDERAL FARM CREDIT BANK - 1.0%
FFCB, 5.390%+ due 06/16/1998......... 350,000 341,430
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.2%
FHLMC, 5.750%+ due 07/13/1998........ 80,000 77,719
-----------
TOTAL U.S. GOVERNMENT AGENCY DISCOUNT
NOTES - (Cost $419,149) 419,149
-----------
TOTAL INVESTMENTS -
(COST $35,598,667*) - 100.0% $35,598,667
OTHER ASSETS AND LIABILITIES - (0.0)% (4,300)
-----------
NET ASSETS - 100.0% $35,594,367
===========
</TABLE>
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
See accompanying notes.
13
<PAGE> 77
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
MORTGAGE-BACKED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS - 67.8%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 26.9%
FHLMC:
Pool #E20197,
7.000% due 10/01/2010........................ $764,506 $ 776,684
Pool #E65976,
6.500% due 04/01/2011........................ 436,261 437,352
Pool #E65441,
7.500% due 04/01/2011........................ 420,235 431,527
Gold, Pool #G10555,
6.000% due 06/01/2011........................ 749,932 738,211
Pool #D53633,
7.000% due 06/01/2024........................ 64,956 65,585
Pool #D54394,
7.000% due 07/01/2024........................ 186,652 188,458
Pool #C00374,
9.000% due 09/01/2024........................ 444,641 473,124
Pool #D58465,
9.000% due 01/01/2025........................ 514,064 546,995
Pool #C80428,
8.000% due 09/01/2026........................ 449,453 465,323
Pool #D55706,
7.000% due 08/01/2044........................ 592,589 598,325
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) - 22.5%
GNMA:
Pool #351992,
6.000% due 12/15/2008........................ 211,769 209,122
Pool #368358,
6.000% due 01/15/2009........................ 205,239 202,673
Pool #192568,
8.000% due 05/15/2017........................ 494,212 512,745
Pool #223830,
8.000% due 06/15/2017........................ 165,487 171,693
Pool #229269,
8.000% due 07/15/2017........................ 91,904 95,350
Pool #388581,
7.500% due 01/15/2024........................ 338,229 346,790
Pool #412787,
7.000% due 03/15/2026........................ 454,144 458,118
Pool #429361,
7.000% due 03/15/2026........................ 476,886 481,058
Pool #398795,
8.500% due 07/15/2026........................ 323,744 340,232
Pool #399003,
9.000% due 12/15/2026........................ 356,000 380,921
Pool #452930,
7.500% due 07/15/2027........................ 741,362 760,126
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 18.4%
FNMA:
Pool #341094,
6.500% due 04/01/2011........................ 330,051 332,114
Pool #344243,
6.500% due 04/01/2011........................ 412,449 415,027
Pool #267373,
6.500% due 01/01/2024........................ 384,591 379,904
Pool #271306,
6.500% due 02/01/2024........................ 301,671 297,993
Pool #190854,
6.500% due 06/01/2024........................ 202,880 200,407
Pool #299481,
8.000% due 04/01/2025........................ 424,374 439,358
Pool #332150,
8.500% due 12/01/2025........................ 424,969 443,957
Pool #397498,
7.500% due 08/01/2027........................ 697,786 714,358
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS - (Cost $11,612,207) 11,903,530
-----------
U.S. TREASURY OBLIGATION - 9.4%
U.S. TREASURY NOTES:
6.500%+ due 08/15/2005......................... 600,000 626,262
5.625%+ due 02/15/2006......................... 500,000 494,675
6.500%+ due 10/15/2006......................... 500,000 523,771
-----------
TOTAL U.S. TREASURY OBLIGATIONS -
(Cost $1,600,049) 1,644,708
-----------
COLLATERALIZED MORTGAGE
OBLIGATION - 4.0% - (COST $702,297)
ASSET-BACKED SECURITY
Countrywide Funding Corporation,
#1995-4, 7.500% due 09/25/2025................. $700,000 $ 701,199
-----------
CORPORATE BONDS AND NOTES - 2.9% -
(COST $499,830)
SECURITIES BROKERAGE
Lehman Brothers Holdings, 6.625% due
12/27/2002..................................... 500,000 503,125
-----------
SHORT TERM INVESTMENTS - 15.3%
FINANCIAL SERVICES - 9.9%
Capital One Bank,
6.620%+ due 04/13/1998......................... 500,000 500,720
Ford Motor Credit Corporation,
4.637%+ due 01/02/1998......................... 747,000 746,870
Union Planters National Bank,
6.290%+ due 08/20/1998......................... 500,000 500,700
-----------
1,748,290
FEDERAL AGENCY OBLIGATIONS - 2.7%
Federal Farm Credit Bank,
5.722%+ due 09/30/1998......................... 500,000 479,520
-----------
INVESTMENT COMPANY - 2.7%
Merrill Lynch Institutional Fund,
5.440% due 01/01/2050.......................... 466,077 466,077
-----------
TOTAL SHORT TERM INVESTMENTS - (Cost
$2,695,348) 2,693,887
-----------
TOTAL INVESTMENTS - (COST $17,108,731*) - 99.3%
$17,446,449
OTHER ASSETS AND LIABILITIES - 0.7% 121,028
-----------
NET ASSETS - 100.0% $17,567,477
===========
</TABLE>
*Aggregate cost for Federal tax purposes.
+Annualized yield at date of purchase.
See accompanying notes.
14
<PAGE> 78
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
INTERNATIONAL FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------------ -----------
<S> <C> <C>
GOVERNMENT BONDS - 91.2%
AUSTRALIA - 4.1% (AUD)
New South Wales Treasury
Corporation, 6.500% due
05/01/2006...................... $ 750,000 $ 495,497
-----------
CANADA - 2.2% (CAD)
Government of Canada, 7.000% due
12/01/2006...................... 350,000 268,602
-----------
DENMARK - 4.5% (DKK)
Kingdom of Denmark, 7.000% due
12/15/2004...................... 3,400,000 540,872
-----------
FRANCE - 4.2% (FRF)
Government of France, 7.000% due
10/12/2000...................... 2,000,000 353,887
Obligation Assimilable du Tresor,
5.500% due 04/25/2004........... 900,000 153,718
-----------
507,605
GERMANY - 15.8% (DEM)
Bundesrepublik, 6.000% due
01/04/2007...................... 750,000 436,284
German Federal Republic: 5.750%
due 05/28/1999.................. 750,000 426,612
5.125% due 11/21/2000........... 875,000 495,525
5.250% due 02/21/2001........... 150,000 85,122
6.750% due 07/15/2004........... 500,000 303,029
6.000% due 01/05/2006........... 300,000 174,547
-----------
1,921,119
ITALY - 4.2% (ITL)
Republic of Italy: 10.500% due
04/01/2000...................... 300,000,000 189,090
6.250% due 03/01/2002........... 250,000,000 147,541
10.000% due 08/01/2003.......... 250,000,000 172,202
-----------
508,833
JAPAN - 4.9% (JPY)
Government of Japan, 2.300% due
09/20/2007...................... 75,000,000 594,485
-----------
NETHERLANDS - 4.3% (NLG)
Dutch Government, 6.000% due
01/15/2006...................... 1,000,000 517,828
-----------
SPAIN - 2.2% (ESP)
Government of Spain, 7.900% due
02/28/2002...................... 37,000,000 268,848
-----------
SWEDEN - 4.3% (SEK)
Kingdom of Sweden:
6.000% due 02/09/2005........... 1,000,000 127,000
6.500% due 10/25/2006........... 3,000,000 391,650
-----------
518,650
GOVERNMENT BONDS (CONTINUED)
UNITED KINGDOM - 12.1% (GBP)
U.K. Treasury:
7.000% due 06/07/2002........... $ 350,000 $ 587,217
7.500% due 12/07/2006........... 500,000 882,763
-----------
1,469,980
UNITED STATES - 28.4% (USD)
U.S. Treasury Notes:
5.500% due 12/31/2000........... 350,000 348,089
7.250% due 08/15/2004........... 1,000,000 1,081,510
7.000% due 07/15/2006........... 1,200,000 1,295,820
6.500% due 10/15/2006........... 700,000 733,278
-----------
3,458,697
TOTAL GOVERNMENT BONDS - (Cost
$11,192,763) 11,071,016
-----------
TOTAL INVESTMENTS -
(COST $11,192,763*) - 91.2% $11,071,016
OTHER ASSETS AND LIABILITIES - 8.8% 1,062,012
-----------
NET ASSETS - 100.0% $12,133,028
===========
</TABLE>
*Aggregate cost for Federal tax purposes is $11,196,511.
GLOSSARY OF TERMS
AUD - Australian Dollar
CAD - Canadian Dollar
DEM - German Deutsche Mark
DKK - Danish Krona
ESP - Spanish Peseta
FRF - French Franc
GBP - Great Britain Pound Sterling
ITL - Italian Lira
JPY - Japanese Yen
NLG - Netherlands Guilder
SEK - Swedish Krona
USD - United States Dollar
See accompanying notes.
15
<PAGE> 79
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
OTC PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 93.8%
AIRLINES - 0.0%#
Midway Airlines Corporation+........ 500 $ 7,563
------------
BANKING AND FINANCE - 2.1%
Compass Bancshares Inc. ............ 27,100 1,185,626
First Hawaiian Inc. ................ 28,000 1,113,000
------------
2,298,626
BROADCASTING - 1.1%
American Radio Systems
Corporation....................... 10,600 565,113
Jacor Communications Inc.+.......... 12,400 658,750
------------
1,223,863
CHEMICALS AND ALLIED PRODUCTS - 0.7%
Cambrex Corporation................. 9,500 437,000
Cytec Industries Inc.+.............. 8,100 380,194
------------
817,194
COMMERCIAL SERVICES - 0.8%
Paymentech Inc.+.................... 62,000 914,500
------------
COMMUNICATION - 10.3%
Aerial Communications+.............. 161,800 1,152,825
Ascend Communications Inc.+......... 211,310 5,177,095
Aspect Telecommunications+.......... 103,600 2,162,650
Cisco Systems+...................... 25,200 1,404,900
Cox Communication, New Class+....... 17,800 713,112
DST System+......................... 16,400 700,075
------------
11,310,657
COMPUTER INDUSTRY - 18.0%
Adobe Systems Inc. ................. 15,100 622,875
Affiliated Computer Services,
Class A........................... 6,400 168,400
Aspen Technology Inc.+.............. 8,900 304,825
Best Software Inc.+................. 500 4,625
BMC Software Inc.+.................. 19,500 1,279,688
Clarify Inc.+....................... 35,000 406,875
Comverse Technology Inc.+........... 23,300 908,700
Concentra Managed Care+............. 6,965 235,069
Edify Corporation+.................. 235,900 4,423,125
Electronic Arts Inc. ............... 4,500 170,156
Fiserv Inc.+........................ 20,700 1,016,887
HCIA Inc.+.......................... 55,800 662,625
Intel Corporation................... 10,200 716,550
Microsoft Corporation+.............. 8,700 1,124,475
Oracle Systems+..................... 150,400 3,355,800
Rational Software+.................. 8,500 96,688
Scopus Technology Inc.+............. 19,600 235,200
Security Dynamics Technology Inc.+.. 15,400 550,550
Siebel Systems Inc.+................ 1 28
SPR Inc.+........................... 200 3,400
Synopsys Inc.+...................... 34,092 1,218,789
Technology Solutions................ 16,500 435,187
Transition Systems+................. 51,000 1,128,375
Vantive Corporation+................ 28,200 712,050
------------
19,780,942
CONSUMER DURABLES - 0.9%
IRI International Corporation+...... 1,100 15,400
Compuware Corporation+.............. 29,300 937,600
------------
953,000
ELECTRONICS - 12.5%
Actel Corporation+.................. 23,500 296,687
Analog Devices Inc.+................ 38,800 1,074,275
Cable Design Technologies+.......... 110,300 4,287,912
Teradyne Inc.+...................... 118,200 3,782,400
Tyco International Ltd. ............ 96,168 4,333,570
------------
13,774,844
ENERGY - 0.1%
Camco International Inc. ........... 2,300 146,481
------------
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES - 2.4%
Franklin Resources Inc. ............
26,600 $ 2,312,537
Green Tree Financial Corporation....
12,100 316,869
------------
2,629,406
FOOD AND BEVERAGES - 2.7%
Friendly Ice Cream Corporation+.....
3,000 34,875
McCormick & Company Inc. ...........
41,800 1,170,400
Robert Mondavi Corporation, Class
A+................................
13,800 672,750
Tootsie Roll Industries.............
17,500 1,093,750
------------
2,971,775
HEALTH CARE AND SERVICES - 7.3%
Acuson+............................. 13,300 220,282
Advanced Health Corporation......... 1,800 28,575
Amerisource Health Corporation+..... 22,900 1,345,375
Health Management Associates Inc. .. 9,600 242,400
Healthsouth Corporation+............ 21,200 588,300
Mariner Health Group Inc.+.......... 172,000 2,795,000
Renal Treatment Centers Inc.+....... 23,000 830,875
St. Jude Medical Inc.+.............. 26,600 811,300
United Healthcare Corporation....... 23,489 1,167,110
------------
8,029,217
HOTELS AND RESTAURANTS - 1.6%
Applebee's International Inc. ...... 26,900 485,882
Four Seasons Hotels Inc. ........... 9,800 309,925
Landry's Seafood Restaurants+....... 39,400 945,600
------------
1,741,407
INFORMATION PROCESSING - 1.6%
HBO & Company....................... 36,860 1,769,280
PRT Group Inc.+..................... 1,200 13,650
------------
1,782,930
INSURANCE - 1.0%
Compdent Corporation+............... 27,600 559,762
Conseco Inc. ....................... 11,100 504,356
Esg Re Ltd.+........................ 700 16,450
------------
1,080,568
MANUFACTURING - 0.2%
Danka Business System, ADR.......... 13,300 211,969
------------
MEDIA - 8.1%
E.W. Scripps Company................ 9,200 445,625
Gemstar International Group Ltd.+... 347,223 8,463,561
------------
8,909,186
MEDICAL SUPPLIES - 3.8%
Apache Medical Systems Inc.......... 27,600 35,362
Hologic Inc.+....................... 23,700 490,294
Idexx Laboratories Inc.+............ 12,800 204,000
Mentor Corporation.................. 25,800 941,700
Microprose Inc.+.................... 273,100 597,406
Physician Sales & Services Inc.+.... 39,200 842,800
Uromed Corporation+................. 318,800 1,125,762
------------
4,237,324
OFFICE SUPPLIES - 1.7%
Viking Office Products+............. 86,800 1,893,325
------------
OIL AND GAS - EQUIPMENT & SERVICES - 4.1%
Apache Corporation.................. 10,500 368,156
Cooper Cameron Corporation+......... 18,800 1,146,800
Diamond Offshore Drilling........... 18,600 895,125
Global Industries Ltd.+............. 75,600 1,285,200
National-Oilwell Inc. .............. 10,000 341,875
Noble Drilling Corporation+......... 8,500 260,312
Snyder Oil Corporation.............. 750 13,687
Corporation+...................... 368,500 100,567
Transocean Offshore Inc. ........... 2,700 130,106
------------
4,541,828
</TABLE>
See accompanying notes.
16
<PAGE> 80
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
OTC PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
OTHER - 0.0%#
Conning Corporation+................ 300 $ 5,025
Ivex Packaging Corporation+......... 700 16,800
------------
21,825
RAILROADS - 1.1%
Kansas City Southern Industries..... 24,400 774,700
Wisconsin Central Transportation
Corporation+...................... 16,400 383,350
------------
1,158,050
Drill-Quip.......................... 500 17,562
------------
RETAIL - 6.2%
AC Moore Arts & Crafts Inc.+........ 200 2,275
Fred Meyer Inc.+.................... 45,000 1,636,875
Gymboree Corporation+............... 86,150 2,358,357
Novel Denim Holdings Ltd.+.......... 300 6,000
Office Depot Inc.+.................. 37,000 885,688
Rite Aid Corporation................ 33,300 1,954,294
------------
6,843,489
TECHNOLOGY - 4.7%
Cadence Design Systems Inc.+........ 31,840 780,080
Concord EFS Inc.+................... 35,300 878,087
First Data Corporation.............. 18,400 538,200
Shared Medical Systems
Corporation....................... 45,800 3,022,800
------------
5,219,167
TELECOMMUNICATIONS - 0.8%
Microcell Telecommunications+....... 1,400 9,450
Nextlink Communications, Class A+... 500 10,657
U. S. Cellular Corporation+......... 27,900 864,900
------------
885,007
103,401,705
TOTAL COMMON STOCK (Cost $95,254,310) ------------
SHORT TERM INVESTMENT - 5.7% - (COST $6,299,169)
FEDERAL HOME LOAN BANK
FHLB,
4.878% ++ due 01/02/1998.......... $6,300,000 $ 6,299,169
------------
TOTAL INVESTMENTS -
(COST $101,553,479*) - 99.5% $109,700,874
OTHER ASSETS AND LIABILITIES - 0.5% 579,291
------------
NET ASSETS - 100.0% $110,280,165
============
</TABLE>
* Aggregate cost for Federal tax purposes is $103,278,221.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
17
<PAGE> 81
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 97.6%
AEROSPACE AND DEFENSE - 3.5%
Lockheed Martin Corporation........ 21,300 $ 2,098,050
Newport News Shipbuilding.......... 72,000 1,831,500
United Technologies Corporation.... 61,600 4,485,250
------------
8,414,800
APPLICATIONS SOFTWARE - 0.0%#
Siebel Systems Inc.+............... 1 14
------------
AUTO REPAIR AND AUTO PARTS - 0.4%
Kwik-Fit Holdings Plc.............. 185,600 1,071,442
------------
BANKING AND FINANCE - 3.1%
BankBoston Corporation............. 16,040 1,506,757
Chase Manhattan Corporation........ 23,576 2,581,572
PNC Bank Corporation............... 29,100 1,660,519
Wells Fargo & Company.............. 4,700 1,595,356
------------
7,344,204
Praxair............................ 27,900 1,255,500
------------
BROADCASTING - 2.6%
Clear Channel Communications....... 20,900 1,660,244
HBO & Company...................... 63,300 3,038,400
Jacor Communications Inc.+......... 28,800 1,530,000
------------
6,228,644
BROKERAGE - 1.8%
Chubb Corporation.................. 24,900 1,883,062
Merrill Lynch & Company Inc. ...... 20,300 1,480,631
Morgan Stanley, Dean Witter
Discover......................... 17,300 1,022,863
------------
4,386,556
BUSINESS SERVICES - 2.1%
Cendant Corporation................ 149,866 5,151,644
------------
CHEMICALS & ALLIED PRODUCTS - 5.1%
Air Products & Chemicals Inc. ..... 21,100 1,735,475
Bristol Myers Squibb Company....... 72,000 6,813,000
Cytec Industries Inc.+............. 50,600 2,375,037
Du Pont (E. I.) De Nemours &
Company.......................... 20,200 1,213,262
------------
12,136,774
COMMERCIAL SERVICES - 0.4%
Accustaff Inc.+.................... 44,600 1,025,800
------------
COMPUTER INDUSTRY - 11.6%
Adobe Systems Inc. ................ 41,200 1,699,500
BMC Software, Inc.+................ 36,600 2,401,875
Cisco Systems+..................... 45,300 2,525,475
Compaq Computer Corporation........ 68,350 3,857,503
Electronic Arts Inc.+.............. 54,400 2,057,000
Intel Corporation.................. 53,500 3,758,375
Microsoft Corporation+............. 46,000 5,945,500
Oracle Systems+.................... 134,700 3,005,494
Sun Microsystems Inc.+............. 28,500 1,136,438
Sybase Inc.+....................... 32,100 427,331
Synopsys Inc. ..................... 28,900 1,033,175
------------
27,847,666
CONSUMER SERVICES - 4.8%
Compuware Corporation+............. 69,400 2,220,800
Gillette Company................... 48,400 4,861,175
Procter & Gamble Company........... 55,400 4,421,613
------------
11,503,588
COSMETICS AND TOILETRIES - 0.5%
Revlon Companies Inc.+............. 33,200 1,172,375
------------
ELECTRONICS - 5.4%
Analog Devices Inc. ............... 29,600 819,549
Cooper Industries Inc. ............ 38,300 1,876,700
COMMON STOCK (CONTINUED)
ELECTRONICS - (CONTINUED)
Sony Corporation................... 26,000 $ 2,310,226
Teradyne Inc.+..................... 30,800 985,600
Tyco International Ltd. ........... 156,834 7,067,332
------------
13,059,407
ENVIRONMENTAL CONTROL - 1.0%
Browning Ferris Industries Inc. ... 63,400 2,345,800
------------
FINANCIAL SERVICES - 7.4%
Advanta Corporation, Class B....... 9,000 228,375
Allstate Corporation............... 22,400 2,035,600
American Express Company........... 12,300 1,097,775
Associates First Capital
Corporation...................... 14,200 1,009,975
Comerica Inc. ..................... 28,500 2,572,125
Corestate Financial Corporation.... 25,200 2,017,575
Federal National Mortgage
Association...................... 40,200 2,293,912
Fleet Financial Group Inc. ........ 32,700 2,450,456
Franklin Resources Inc. ........... 11,650 1,012,822
ReliaStar Financial Corporation.... 43,754 1,802,118
Union Planters Corporation......... 18,362 1,247,468
------------
17,768,201
FOOD AND BEVERAGES - 4.3%
Coca Cola Company.................. 68,000 4,530,500
Earthgrains Company................ 17,000 799,000
McCormick & Company Inc. .......... 51,800 1,450,400
Safeway Inc.+...................... 57,100 3,611,575
------------
10,391,475
HEALTH CARE AND SERVICES - 4.1%
Cardinal Health Corporation........ 25,300 1,900,662
HEALTHSOUTH Corporation+........... 69,534 1,929,569
Tenet Healthcare Corporation....... 47,600 1,576,750
United Healthcare Corporation...... 87,400 4,342,688
------------
9,749,669
HOTELS AND RESTAURANTS - 1.3%
Hilton Hotels Corporation.......... 30,500 907,375
Host Marriott Corporation.......... 63,500 1,246,188
Jarvis Hotels Plc**................ 301,800 750,926
Promus Hotel Corporation+.......... 4,116 172,872
------------
3,077,361
HOUSEHOLD PRODUCTS - 3.1%
Clorox Company..................... 21,900 1,731,469
Colgate Palmolive Company.......... 71,600 5,262,600
Dial Corporation................... 22,300 464,119
------------
7,458,188
INSURANCE - 6.7%
Cigna Corporation.................. 10,900 1,886,381
Conseco Inc. ...................... 92,600 4,207,512
FPIC Insurance Group Inc.+......... 6,800 198,050
Hartford Financial Services
Group............................ 29,100 2,722,669
Lincoln National Corporation
Ltd.............................. 21,500 1,679,688
PennCorp Financial Group Inc. ..... 30,600 1,092,038
Travelers Group Inc. .............. 42,500 2,289,688
Skandia Forsakrings AB............. 40,800 1,924,407
------------
16,000,433
MACHINERY - 0.5%
American Standard Company+......... 32,600 1,248,987
------------
MEDICAL PRODUCTS AND SUPPLIES - 3.2%
Boston Scientific Corporation+..... 44,500 2,041,437
Novartis AG........................ 3,056 4,955,167
Sankyo Company Ltd................. 18,000 406,741
UroMed Corporation+................ 52,400 185,038
------------
7,588,383
OFFICE EQUIPMENT - 0.8%
Canon Inc. ........................ 82,000 1,909,460
------------
</TABLE>
See accompanying notes.
18
<PAGE> 82
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
RESEARCH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
OIL AND GAS - 2.9%
British Petroleum Corporation,
ADR.............................. 40,867 $ 3,256,589
Chevron Corporation................ 17,600 1,355,200
USX Marathon Group Inc., New....... 68,500 2,311,875
------------
6,923,664
OTHER - 1.5%
Alcatel Alsthom CGE, Sponsored
ADR.............................. 92,800 2,349,000
Cia Cervejaria Brahma, ADR......... 95,200 1,350,650
------------
3,699,650
PAPER AND PAPER PRODUCTS - 2.1%
Kimberly Clark Corporation......... 72,500 3,575,156
Stone Container Corporation........ 132,300 1,380,881
------------
4,956,037
RAILROADS - 1.6%
Burlington Northern Santa Fe....... 24,600 2,286,262
Wisconsin Central Transportation
Corporation+....................... 72,800 1,701,700
------------
3,987,962
REAL ESTATE - 0.0%#
Wharf Holdings Inc. ............... 12,000 26,326
------------
RETAIL - 4.9%
CVS Corporation.................... 10,300 659,844
Fred Meyer Inc.+................... 45,200 1,644,150
Gymboree Corporation+.............. 39,300 1,075,837
Home Depot Inc. ................... 61,600 3,607,450
Office Depot Inc.+................. 66,800 1,599,025
Reebok International Ltd. ......... 11,900 342,869
Rite Aid Corporation............... 48,700 2,858,081
------------
11,787,256
TECHNOLOGY - 3.1%
Cadence Design System Inc.+........ 82,100 2,011,450
Computer Association International
Inc. ............................ 63,825 3,374,747
First Data Corporation............. 68,200 1,994,850
------------
7,381,047
TELECOMMUNICATIONS - 4.0%
Aspect Telecommunication+.......... 103,400 2,158,475
Brooks Fiber Properties Inc.+...... 13,300 731,500
Intermedia Communications+......... 15,100 917,325
MCI Communications Corporation..... 35,000 1,498,438
Sprint Corporation................. 47,300 2,772,963
Worldcom Inc+...................... 51,500 1,557,875
------------
9,636,576
COMMON STOCK (CONTINUED)
TOBACCO - 2.0%
Philip Morris Companies Inc. ...... 107,000 $ 4,848,438
------------
UTILITIES - 1.3%
Baker Hughes Inc. ................. 43,300 1,888,962
California Energy Inc. ............ 39,200 1,127,000
------------
3,015,962
TOTAL COMMON STOCK - (Cost 234,399,289
$211,232,631) ------------
PRINCIPAL
AMOUNT
----------
FEDERAL AGENCY OBLIGATIONS - 4.2%
- - (COST $9,996,914)
FEDERAL HOME LOAN BANKS
FHLB:
4.878%++ due 01/02/1998.......... $6,500,000 6,499,142
4.304%++ due 01/05/1998.......... 3,500,000 3,497,772
------------
9,996,914
TOTAL INVESTMENTS - (COST $221,451,885*) -
101.8% $244,396,203
OTHER ASSETS AND LIABILITIES - (1.8)% (4,281,674)
------------
NET ASSETS - 100.0% $240,114,529
============
</TABLE>
* Aggregate cost for Federal tax purposes is $221,819,171.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
19
<PAGE> 83
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 51.4%
AEROSPACE AND DEFENSE - 1.9%
General Dynamics Corporation........ 13,200 $ 1,140,975
Lockheed Martin Corporation......... 7,300 719,050
Raytheon Company, Class A........... 2,359 116,349
Raytheon Company, Class B........... 20,100 1,015,050
United Technologies Corporation..... 4,300 313,094
------------
3,304,518
ALUMINUM - 0.4%
Aluminum Company of America......... 9,300 654,487
------------
AUTOMOBILES - 0.7%
Ford Motor Company.................. 21,900 1,066,256
General Motors Corporation.......... 2,500 151,563
Volvo AB- ADR....................... 3,900 105,300
------------
1,323,119
AUTO PARTS - 0.4%
Lear Corporation+................... 13,900 660,250
------------
BANKING AND FINANCE - 3.0%
BankBoston Corporation.............. 2,000 187,875
Bank of New York Inc. .............. 22,900 1,323,906
BB&T Corporation Class A............ 6,600 422,812
Chase Manhattan Corporation......... 4,828 528,666
Fleet Financial Group Inc. ......... 5,700 427,144
Nationsbank Corporation............. 15,500 942,594
PNC Bank Corporation................ 25,100 1,432,269
------------
5,265,266
BUILDING CONSTRUCTION - 0.1%
Sherwin-Williams Company............ 7,000 194,250
------------
CHEMICALS - 2.8%
Air Products & Chemicals Inc. ...... 10,600 871,850
Akzo Nobel.......................... 8,250 1,422,400
Dow Chemical Company................ 2,800 284,200
Hoechst AG.......................... 9,200 322,179
Nalco Chemical Company.............. 4,900 193,856
Philip Morris Companies Inc. ....... 40,450 1,832,891
------------
4,927,376
COMPUTERS & BUSINESS EQUIPMENT - 1.1%
Digital Equipment Corporation, Class
A+.................................. 13,800 510,600
International Business Machines
Corporation......................... 14,100 1,474,331
------------
1,984,931
CONGLOMERATES - 0.1%
Eastern Enterprises Inc. ........... 4,000 180,000
Tenneco Inc. ....................... 900 35,550
------------
215,550
CONSUMER GOODS & SERVICES - 0.2%
Service Corporation International... 7,641 282,239
------------
DRUGS & HEALTH CARE SERVICES - 2.1%
American Home Products
Corporation....................... 15,900 1,216,350
Astra AB, ADR....................... 1 17
Novartis AG......................... 578 937,201
Smithkline Beecham Plc, ADR......... 30,900 1,589,419
------------
3,742,987
ELECTRICAL EQUIPMENT - 1.3%
General Electric Company............ 23,400 1,716,975
Hubbell Inc., Class B............... 10,000 493,125
------------
2,210,100
ELECTRONICS - 0.3%
Tyco International Ltd. ............ 12,000 540,750
------------
ENVIRONMENTAL CONTROL - 0.7%
Browning Ferris Industries Inc. .... 32,100 1,187,700
------------
FINANCIAL SERVICES - 5.6%
Allstate Corporation................ 3,500 $ 318,063
American Express Company............ 18,100 1,615,425
Beneficial Corporation.............. 1,900 157,938
Corestate Financial Corporation..... 7,900 632,494
Edwards A.G. Incorporated........... 16,100 639,975
Federal Home Loan Mortgage
Corporation......................... 12,400 520,025
Federal National Mortgage
Association....................... 20,800 1,186,900
Merrill Lynch & Company Inc. ....... 4,200 306,337
Morgan Stanley Dean Witter
Discover.......................... 10,400 614,900
National City Corporation........... 27,500 1,808,125
Northern Trust Corporation.......... 17,100 1,192,725
Norwest Financial Corporation....... 24,400 942,450
------------
9,935,357
FOOD AND BEVERAGES - 0.7%
Diageo Plc.......................... 44,800 411,665
General Mills Incorporated.......... 3,400 243,525
McCormick & Company Inc. ........... 6,300 176,400
PepsiCo Incorporated................ 10,400 378,950
Tricon Global Restaurant+........... 1,330 38,653
------------
1,249,193
FOREST PRODUCTS - 0.8%
Champion International.............. 8,500 385,157
Weyerhaeuser Company................ 20,800 1,020,500
------------
1,405,657
GAS EXPLORATION - 2.5%
Coastal Corporation................. 20,400 1,263,525
New Century Energies Inc. .......... 11,000 527,312
Occidental Petroleum Corporation.... 18,500 542,282
Pacific Enterprises Inc. ........... 1,700 63,962
Repsol S.A., ADR.................... 7,700 327,731
USX-Marathon Group Inc. ............ 28,200 951,750
Williams Companies Inc. ............ 24,080 683,270
------------
4,359,832
GROCERY - 0.3%
Safeway Inc.+....................... 7,000 442,750
------------
HEALTH MAINTENANCE ORGANIZATIONS - 0.2%
United Healthcare Corporation....... 7,500 372,656
------------
HOUSEHOLD PRODUCTS - 0.3%
Colgate Palmolive Company........... 2,600 191,100
Rubbermaid Inc. .................... 15,100 377,500
------------
568,600
INSURANCE - 4.4%
Chubb Corporation................... 17,000 1,285,625
Cigna Corporation................... 9,100 1,574,870
Lincoln National Corporation........ 15,000 1,171,875
Provident Companies Inc. ........... 17,000 656,625
St. Paul Companies Inc. ............ 11,500 943,719
Torchmark Corporation............... 28,800 1,211,400
Travelers Group Inc. ............... 15,449 832,342
------------
7,676,456
MACHINE DIVERSIFIED - 0.5%
Deere & Company..................... 12,600 734,737
Stanley Works Company............... 1,800 84,937
------------
819,674
MANUFACTURING - 1.5%
Allied Signal Inc. ................. 37,400 1,456,261
Cooper Industries Inc. ............. 19,500 955,500
Dexter Corporation.................. 5,000 215,937
------------
2,627,698
MEDICAL SUPPLIES - 0.2%
Baxter International Inc. .......... 5,400 272,362
------------
</TABLE>
See accompanying notes.
20
<PAGE> 84
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
METALS - 0.0%#
Phelps Dodge Corporation............ 1,000 $ 62,250
------------
OIL AND GAS - 5.4%
Amoco Corporation................... 6,700 570,337
Atlantic Richfield Company.......... 10,500 841,312
British Petroleum Plc, ADR.......... 28,478 2,269,341
Chevron Corporation................. 5,500 423,500
Exxon Corporation................... 17,500 1,070,781
Keyspan Energy Corporation.......... 8,300 305,544
Mobil Corporation................... 11,300 815,719
Royal Dutch Petroleum Company....... 22,100 1,197,544
Texaco Inc. ........................ 25,400 1,381,125
Union Pacific Resources Group
Inc. ............................. 6,800 164,900
Unocal Corporation.................. 10,000 388,125
------------
9,428,228
PHARMACEUTICALS - 1.3%
Bristol Myers Squibb Company........ 24,500 2,318,312
------------
PHOTOGRAPHY - 0.4%
Eastman Kodak Company............... 10,500 638,531
------------
POLLUTION CONTROL - 0.4%
Waste Management Inc. .............. 27,600 759,000
------------
RAILROADS AND EQUIPMENT - 1.2%
Burlington Northern Santa Fe........ 6,000 557,625
Canadian National Railway Company... 12,000 567,000
Illinois Central Corporation........ 20,200 688,062
Norfolk Southern Corporation........ 12,400 382,075
------------
2,194,762
REAL ESTATE - 1.0%
Arden Reality Group Inc. ........... 14,000 430,500
Boston Properties Inc., Class A..... 7,800 257,887
Hospitalities Properties Trust...... 8,000 263,000
Meditrust Corporation............... 6,969 256,111
Tower Realty Trust Inc. ............ 4,000 98,500
TriNet Corporate Realty Trust
Inc. ............................. 10,600 410,087
------------
1,716,085
RETAIL - 1.9%
CVS Corporation..................... 800 51,250
Fred Meyer Inc.+.................... 10,000 363,750
J.C. Penney Company Inc. ........... 14,300 862,469
May Department Stores Company....... 3,300 173,869
Rite Aid Corporation................ 25,200 1,478,925
Sears, Roebuck & Company............ 6,300 285,075
York International Corporation...... 4,000 158,250
------------
3,373,588
TELECOMMUNICATIONS - 3.1%
AT&T Corporation.................... 19,900 1,218,875
Alcatel Alsthom, ADR................ 17,703 448,107
GTE Corporation..................... 29,700 1,551,825
SBC Communications Inc. ............ 7,433 544,467
Sprint Corporation.................. 17,700 1,037,662
Telephone & Data Systems Inc. ...... 6,900 321,281
Viacom Inc., Class B+............... 7,200 298,350
------------
5,420,567
TIRES & RUBBER - 0.6%
BF Goodrich Company................. 24,700 1,023,506
------------
UTILITY - 4.0%
Baker Hughes Inc. .................. 12,000 523,500
Bellsouth Corporation............... 14,700 827,794
Carolina Power & Light Company...... 15,000 636,562
CMS Energy Corporation.............. 11,000 484,687
Cinergy Corp........................ 10,000 383,750
DPL Incorporated.................... 3,000 86,250
Duke Energy Corporation............. 13,288 735,823
FPL Group Inc. ..................... 13,200 781,275
GPU Inc. ........................... 7,800 $ 328,575
PacifiCorp.......................... 22,900 625,456
Pinnacle West Capital Corporation... 21,300 902,587
Sierra Pacific Resources............ 10,000 375,000
UGI Corporation..................... 12,600 369,337
Texas Utilities Company............. 4,900 203,656
------------
7,264,252
TOTAL COMMON STOCK - (Cost $76,183,958) 90,422,839
------------
PREFERRED STOCK - 2.2%
AEROSPACE - 0.1%
Loral Space and Communications
Ltd.+**........................... 3,200 197,600
------------
CHEMICALS - 0.7%
Henkel KGAA......................... 20,900 1,318,594
------------
FINANCIAL SERVICES - 1.0%
Finova Finance Trust................ 1,900 133,000
McKesson Financing Trust**.......... 6,500 486,687
NB Capital Corporation**............ 200 218,200
Newell Financial**.................. 10,200 532,950
WBK Strypes Trust................... 8,700 291,450
------------
1,662,287
HOTELS AND RESTAURANTS - 0.2%
Host Marriott Financial Trust**..... 6,100 366,000
------------
INDUSTRIAL MACHINERY - 0.1%
Case Corporation Series A........... 1,100 155,650
------------
STEEL - 0.1%
Timet Capital Trust I**............. 1,900 94,525
------------
TOTAL PREFERRED STOCK - (Cost 3,794,656
$3,348,648) ------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
CORPORATE BONDS AND NOTES - 12.6%
AEROSPACE - 0.1%
Jet Equipment Trust: 9.410% due
06/15/2010**...................... $ 50,000 59,810
8.640% due 11/01/2012**........... 48,101 54,165
10.690% due 11/01/2013**.......... 10,000 13,300
Northrop Grumman Corporation, 9.375%
due 10/15/2024.................... 100,000 119,625
------------
246,900
AIRLINES - 0.2%
Continental Airlines Inc.: 9.500%
due 12/15/2001.................... 150,000 158,250
9.500% due 10/15/2013............. 98,039 114,426
10.220% due 07/02/2014............ 24,303 29,489
Delta Air Lines Inc., 8.500% due
03/15/2002........................ 100,000 107,625
United Air Lines Corporation, 7.270%
due 01/30/2013.................... 39,716 40,461
------------
450,251
AUTOMOBILES - 0.1%
Ford Motor Company, 7.700% due
05/15/2097........................ 90,000 100,012
------------
BANKING AND FINANCE - 0.8%
Banco Commercial S.A., 8.250% due
02/05/2007........................ 220,000 212,850
Colonial Capital II, 8.920% due
01/15/2027........................ 100,000 109,875
</TABLE>
See accompanying notes.
21
<PAGE> 85
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
BANKING AND FINANCE - (CONTINUED)
First PV Funding Corporation:
10.300% due 01/15/2014............ $ 208,000 $ 223,340
10.150% due 01/15/2016............ 29,000 30,776
MBNA Capital I, 8.278% due
12/01/2026........................ 600,000 618,750
MBNA Corporation, 6.963% due
09/12/2002**...................... 100,000 101,350
Midland Funding Corporation II,
11.750% due 07/23/2005............ 31,000 36,425
Rigs National Corporation, 8.500%
due 02/01/2006.................... 100,000 105,875
------------
1,439,241
BROADCASTING - 0.3%
Continental Cablevision Inc., 8.300%
due 05/15/2006.................... 110,000 121,000
Control Cablevision Inc., 11.000%
due 06/01/2007.................... 250,000 278,750
Tele-Communications Inc., 8.250% due
01/15/2003........................ 140,000 148,400
------------
548,150
BUILDING AND CONSTRUCTION - 0.0%#
Owens Corning Fiberglass
Corporation, 8.875% due
06/01/2002........................ 10,000 10,925
------------
CHEMICALS - 0.2%
Philip Morris Inc., 7.750% due
01/15/2027........................ 300,000 325,125
PT Polysindo Eka Perkasa, 13.000%
due 06/15/2001.................... 55,000 49,500
------------
374,625
COMMERCIAL SERVICES - 0.2%
Loewen Group Interest Company,
6.700% due 10/01/1999............. 375,000 373,076
------------
DRUGS & HEALTH CARE SERVICES - 0.1%
Tenet Healthcare Company: 8.000% due
01/15/2005........................ 100,000 101,875
10.125% due 03/01/2005............ 35,000 38,237
8.625% due 01/15/2007............. 15,000 15,544
------------
155,656
ENTERTAINMENT - 0.8%
Circus Circus Entertainment: 7.000%
due 11/15/2036.................... 350,000 346,500
6.700% due 11/15/2096............. 100,000 100,875
Time Warner Company: 6.100% due
12/30/2001**...................... 250,000 246,563
9.125% due 01/15/2013............. 325,000 384,719
9.150% due 02/01/2023............. 230,000 282,900
------------
1,361,557
FINANCIAL SERVICES - 2.3%
APP International Finance Company,
10.250% due 10/01/2000............ 300,000 285,000
Bear Stearns Company Inc., 6.750%
due 12/15/2007.................... 270,000 273,375
Beaver Valley II Funding
Corporation: 8.250% due
06/01/2003........................ 151,000 155,719
8.625% due 06/01/2007............. 60,000 65,775
9.000% due 06/01/2017............. 250,000 280,625
Capital One Financial Corporation,
7.250% due 12/01/2003............. 100,000 101,000
Conseco Finance Trust, 8.796% due
04/01/2027........................ 100,000 111,625
ContiFinancial Corporation, 7.500%
due 03/15/2002.................... 530,000 518,075
Dynex Capital Corporation, 7.875%
due 07/15/2002.................... 100,000 98,625
First Bank Capital Trust, 8.234% due
02/01/2027........................ $ 300,000 $ 322,125
Indah Kiat Finance Mautitius Ltd.,
8.880% due 11/01/2000............. 300,000 267,000
Lehman Brothers Holdings Inc.:
6.400% due 12/27/1999............. 100,000 100,500
7.125% due 09/15/2003............. 100,000 103,125
7.500% due 08/01/2026............. 100,000 105,500
Providian Capital I, 9.525% due
02/01/2027**...................... 100,000 109,375
Safeco Capital Trust Company, 8.072%
due 07/15/2037.................... 615,000 648,056
Salton Sea Funding Corporation,
7.370% due 05/30/2005............. 20,000 20,725
SoCo Capital Trust, 8.190% due
02/01/2037........................ 45,000 49,837
State Street Institutional Capital,
Class A, 7.940% due
12/30/2026**...................... 100,000 106,206
Washington Mutual Capital I, 8.375%
due 06/01/2027.................... 250,000 275,000
------------
3,997,268
FOREST PRODUCTS - 0.7%
Boise Cascade Corporation, 7.430%
due 10/10/2005.................... 100,000 104,500
Georgia Pacific Corporation: 9.875%
due 11/01/2021.................... 10,000 11,400
9.500% due 05/15/2022............. 1,000,000 1,143,750
------------
1,259,650
GAS EXPLORATION - 0.1%
Enserch Exploration Inc., 7.540% due
01/02/2009**...................... 100,000 100,290
Transocean Offshore Inc., 8.000% due
04/15/2027........................ 100,000 113,875
------------
214,165
HOTELS AND RESTAURANTS - 0.1%
Hilton Hotels Corporation, 7.950%
due 04/15/2007.................... 85,000 90,419
------------
INDUSTRIAL - 1.4%
Burlington Industries Inc., 7.250%
due 08/01/2027.................... 120,000 122,850
Edelnor Corporation, 7.750% due
03/15/2006........................ 50,000 48,500
Fox/Liberty Network Company, 8.875%
due 08/15/2007**.................. 100,000 100,000
Hearst-Argyle TV Inc., 7.500% due
11/15/2027........................ 224,000 228,200
Louis Dreyfus Natural Gas Company,
6.875% due 12/01/2007**........... 230,000 231,366
News America Holdings: 8.000% due
10/17/2016........................ 300,000 322,500
7.750% due 12/01/2045............. 500,000 523,125
Seacor Smit Inc.: 7.200% due
09/15/2009........................ 375,000 382,500
7.840% due 05/30/2010............. 100,000 107,375
Solutia Inc., 7.375 due
10/15/2027........................ 100,000 103,250
UPM-Kymmene Corporation, 7.450% due
11/12/2027**...................... 270,000 272,109
------------
2,441,775
INSURANCE - 0.2%
Equitable Life Assured Society,
7.700% due 12/01/2015**........... 80,000 86,300
Nationwide Mutual Life Insurance
Company, 7.500% due
02/15/2024**...................... 100,000 102,375
</TABLE>
See accompanying notes.
22
<PAGE> 86
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
INSURANCE - (CONTINUED)
Travelers Capital II, 7.750% due
12/01/2036........................ $ 150,000 $ 158,625
------------
347,300
OIL AND GAS - 1.0%
Chesapeake Energy Corporation,
7.875% due 03/15/2004............. 197,000 194,784
Gulf of Canada Resources Ltd.,
9.250% due 01/15/2004............. 100,000 105,500
Louisiana Land & Exploration
Company, 7.650% due 12/01/2023.... 100,000 107,500
Oryx Energy Company: 10.000% due
04/01/2001........................ 100,000 109,875
8.375% due 07/15/2004............. 100,000 108,375
Tennessee Gas Pipeline Company,
7.625% due 04/01/2037............. 1,000,000 1,102,500
Texas Gas Transmission Inc., 7.250%
due 07/15/2027.................... 100,000 104,000
------------
1,832,534
OTHER - 0.1%
Lasmo (USA) Inc., 7.300% due
11/15/2027........................ 180,000 184,950
------------
PRECIOUS METALS AND MINING - 0.2%
Freeport McMoran Copper & Gold Inc.,
7.500% due 11/15/2006............. 70,000 70,262
Ultramar Diamond Company, 7.200% due
10/15/2017........................ 205,000 210,894
------------
281,156
REAL ESTATE - 0.3%
Socgen Real Estate Company, 7.640%
due 12/29/2049**.................. 400,000 418,500
Mirage Resorts Inc., 6.750% due
08/01/2007........................ 100,000 100,125
------------
518,625
TELECOMMUNICATIONS - 1.0%
Jasmine Submarine Telecommunications
Ltd.,
8.483% due 05/30/2011**........... 100,000 79,000
TCI Communications Inc.: 7.385% due
08/27/2001........................ 525,000 534,187
9.650% due 03/31/2027............. 100,000 112,625
U.S. Cellular Corporation, 7.250%
due 08/15/2007.................... 200,000 206,500
Worldcom Inc.: 8.875% due
01/15/2006........................ 200,000 215,250
7.750% due 04/01/2007............. 313,000 336,475
7.750% due 04/01/2027............. 246,000 267,832
------------
1,751,869
TRANSPORTATION - 0.2%
Federal Express Corporation, 7.650%
due 01/15/2014.................... 300,000 321,750
------------
UTILITIES - 2.2%
California Energy Incorporated:
10.250% due 01/15/2004............ 75,000 81,375
7.630% due 10/15/2007............. 130,000 130,975
Cleveland Electric Illuminating
Company: 7.880% due 11/01/2017.... 250,000 264,062
9.000% due 07/01/2023............. 100,000 110,000
Commonwealth Edison Company: 6.400%
due 10/15/2005.................... 200,000 195,250
7.625% due 01/15/2007............. 100,000 105,125
8.500% due 01/15/2027............. 300,000 321,228
El Paso Electric Company, 8.900% due
02/01/2006........................ 50,000 55,437
Empresa Nacional de Electricidad,
7.325% due 02/01/2037............. $ 100,000 $ 100,500
Hidroelectrica Alicura, 8.375% due
03/15/1999**...................... 100,000 99,000
Long Island Lighting Company: 8.900%
due 07/15/2019.................... 50,000 53,187
9.000% due 11/01/2022............. 560,000 623,700
Niagara Mohawk Power Corporation:
6.875% due 03/01/2001............. 250,000 250,000
8.770% due 01/01/2018............. 567,000 618,030
8.500% due 07/01/2023............. 90,000 94,162
North Atlantic Energy Corporation,
9.050% due 06/01/2002............. 65,000 65,650
Texas-New Mexico Power Company,
12.500% due 01/15/1999............ 100,000 107,250
Texas Utility Electric Company,
7.170 due 08/01/2007.............. 240,000 249,300
Utilicorp United Incorporated,
8.450% due 11/15/1999............. 10,000 10,375
Waterford 3 Funding Corporation,
8.090% due 01/02/2017............. 300,000 312,750
------------
3,847,356
TOTAL CORPORATE BONDS AND 22,149,210
NOTES - (Cost $21,418,534) ------------
FOREIGN GOVERNMENT BONDS - 0.1%
(COST $99,825)
Republic of Panama, 7.880% due
02/13/2000........................ 100,000 97,250
------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 20.2%
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.7%
Beneficial Mortgage Corporation,
6.088% due 09/28/2037............. 1,089,651 1,087,603
BCF L.L.C., 7.750% due
09/25/2026**...................... 98,029 98,166
------------
TOTAL COLLATERALIZED MORTGAGE 1,185,769
OBLIGATIONS - (Cost $1,183,483) ------------
MORTGAGE-BACKED OBLIGATIONS - 3.4%
Federal National Mortgage
Association: 7.500% due
07/01/2011........................ 777,707 798,363
7.000% due 05/01/2012............. 706,161 716,972
7.000% due 06/01/2012............. 377,397 383,175
7.000% due 07/01/2012............. 1,275,086 1,293,961
7.000% due 11/01/2012............. 1,311,542 1,331,622
Government National Mortgage Associatio
8.000% due 06/20/2025............. 300,000 314,830
7.500% due 05/15/2027............. 987,858 1,012,861
7.500% due 09/15/2027............. 197,205 202,197
------------
6,053,981
U.S. TREASURIES - 16.1%
United States Treasury Bond: 9.250%
due 08/15/1998.................... 55,000 56,212
9.125% due 01/15/1999............. 5,900,000 6,166,621
6.250% due 08/31/2002............. 960,000 980,083
9.875% due 11/15/2015............. 120,000 170,870
6.625% due 02/15/2027............. 454,000 492,795
6.375% due 08/15/2027............. 3,403,000 3,593,092
6.125% due 11/15/2027............. 1,260,000 1,295,872
</TABLE>
See accompanying notes.
23
<PAGE> 87
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY SECURITIES (CONTINUED)
U.S. TREASURIES - (CONTINUED)
United States Treasury Notes: 5.500%
due 12/31/2000.................... $1,000,000 $ 994,540
6.625% due 03/31/2002............. 4,200,000 4,337,844
5.750% due 10/31/2002............. 2,600,000 2,603,016
5.625% due 12/31/2002............. 2,000,000 1,992,683
7.250% due 05/15/2004............. 460,000 496,570
6.500% due 10/15/2006............. 362,000 379,209
6.625% due 05/15/2007............. 4,000,000 4,235,600
6.125% due 08/15/2007............. 547,000 562,349
------------
28,357,356
TOTAL U.S. GOVERNMENT AND AGENCY 35,597,106
SECURITIES - (Cost $34,105,059) ------------
SHORT TERM INVESTMENTS - 15.0%
FEDERAL HOME LOAN BANK - 7.9%
FHLB: 4.750%++ due 01/02/1998....... 1,700,000 1,699,779
5.730%++ due 01/05/1998........... 2,700,000 2,698,281
5.400%++ due 01/06/1998........... 9,600,000 9,592,800
------------
13,990,860
FEDERAL NATIONAL MORTGAGE CORPORATION - 3.4%
3.234++ due 01/08/1998............ 5,900,000 5,895,366
------------
TENNESSEE VALLEY AUTHORITY - 3.7%
4.478++ due 01/16/1998............ 6,600,000 6,584,875
------------
TOTAL SHORT TERM INVESTMENTS - (Cost 26,471,101
$26,471,098) ------------
TOTAL INVESTMENTS -
(COST $162,810,605) - 101.5% $178,532,162
OTHER ASSETS AND LIABILITIES - (1.5)% (2,635,623)
------------
NET ASSETS - 100.0% $175,896,539
============
</TABLE>
* Aggregate cost for Federal tax purposes is $162,818,945.
** Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in
transactions exempt from registration to qualified institutional
buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
24
<PAGE> 88
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
ADVANTAGE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
CORPORATE DEBT SECURITIES - 50.7%
BANKS - 5.6%
Capital One Bank, 6.620% due
04/13/1998......................... $ 500,000 $ 500,720
Union Planters National Bank, 6.290%
due 08/20/1998..................... 500,000 500,700
-----------
1,001,420
BROKERAGE - 5.1%
Paine Webber Group Inc., 6.344% due
07/24/2003......................... 350,000 356,776
Salomon Brothers Inc., 8.800% due
02/17/1998......................... 550,000 551,894
-----------
908,670
COMMUNICATION - 7.0%
New Corporation Ltd, 11.000% due
06/15/2002......................... 500,000 522,500
Viacom International Inc., 8.750% due
05/15/2001......................... 195,000 197,925
Worldcom Inc., 9.375% due
01/15/2004......................... 500,000 533,750
-----------
1,254,175
ENTERTAINMENT AND LEISURE - 11.8%
Blockbuster Entertainment
Corporation, 6.625% due
02/15/1998......................... 655,000 655,871
Caesars World Inc., 8.875% due
08/15/2002......................... 400,000 412,500
United Artists, 11.500% due
05/01/2002......................... 1,000,000 1,045,000
-----------
2,113,371
FINANCIAL SERVICES - 13.9%
AT&T Capital Corporation, 6.520% due
05/14/1999......................... 500,000 500,790
Chrysler Financial Corporation,
6.440% due 10/06/1998.............. 500,000 501,750
Figgie International Inc., 9.875% due
10/01/1999......................... 500,000 522,500
MBNA Global Capital Securities,
6.550%+++ due 02/01/2027........... 500,000 474,990
NTC Capital I, 6.278%+++ due
01/15/2027......................... 500,000 481,865
-----------
2,481,895
REAL ESTATE - 1.7%
Taubman Realty Group Ltd., MTN,
6.489% due 07/30/1998.............. 300,000 300,918
-----------
TOBACCO - 2.8%
Philip Morris Companies Inc., 6.000%
due 11/15/1999..................... 500,000 500,000
-----------
UTILITY/ELECTRIC - 2.8%
Consumers Energy Company, 8.750% due
02/15/1998......................... 500,000 501,276
-----------
TOTAL CORPORATE DEBT SECURITIES 9,061,725
- (Cost $9,070,622) -----------
MORTGAGE PASS-THROUGHS - 5.3%
COLLATERALIZED MORTGAGE OBLIGATIONS
MBNA Master Credit Card Trust,
6.115%++ due 11/15/2001............ 750,000 749,528
Morgan Stanley Capital I Inc.,
9.000%++ due 05/01/2016............ 193,856 194,561
-----------
TOTAL MORTGAGE 944,089
PASS-THROUGHS - (Cost $949,413) -----------
FOREIGN BONDS - U.S. DOLLAR DENOMINATED - 3.5%
- - (COST $631,054)
GOVERNMENT
Kingdom of Sweden, 5.683% due
04/02/1998......................... $ 640,000 $ 630,880
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 9.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) - 3.2%
FHLMC:
5.749%++ due 07/13/1998............ 413,000 400,862
Pool #846224, 7.488% due
07/01/2024......................... 156,975 160,800
-----------
561,662
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.8%
FNMA:
Conventional, Pool #103363, 7.820%
due 12/01/2017..................... 145,651 150,350
-----------
FEDERAL FARM CREDIT BANK (FFCB) - 5.4%
FFCB:
5.675%++ due 08/14/1998............ 1,000,000 966,150
-----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS 1,678,162
- (Cost $1,679,401) -----------
U.S. TREASURY OBLIGATIONS - 4.5%
- - (COST $798,733)
U.S. TREASURY NOTES
5.875% due 07/31/1999.............. 800,000 802,512
-----------
COMMERCIAL PAPER-DISCOUNT NOTES - 25.6%
AUTOMOTIVE - 3.2%
Daimler-Benz Aktieng, 5.605%++ due
04/29/1998......................... 577,000 566,504
-----------
FINANCIAL SERVICES - 19.3%
ABN Amro Corporation, 5.817%++ due
07/02/1998......................... 798,000 775,568
Ford Motor Credit Corporation,
4.572%++ due 01/06/1998............ 661,000 660,441
Hyundai Motor Financial Corporation,
5.306%+++ due 01/09/1998........... 796,000 795,022
Oyster Creek Fuel Corporation,
3.754%++ due 01/05/1998............ 749,000 748,480
Progress Capital Corporation,
2.007%++ due 01/02/1998............ 465,000 464,922
-----------
3,444,433
SECURITIES BROKERAGE - 3.1%
Merrill Lynch & Company Inc.,
5.719%++ due 05/27/1998............ 572,000 558,981
-----------
TOTAL COMMERCIAL PAPER -DISCOUNT NOTES - (Cost
$4,570,432) 4,569,918
-----------
TOTAL INVESTMENTS -
(COST $17,699,655*) - 99.0% $17,687,286
OTHER ASSETS AND LIABILITIES - 1.00% 170,524
-----------
NET ASSETS - 100.0% $17,857,810
===========
</TABLE>
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
+++ Floating rate security. Rate shown is rate in effect at 12/31/1997.
GLOSSARY OF TERMS
MTN - Medium Term Note
See accompanying notes.
25
<PAGE> 89
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
VALUE + GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- -----------
<S> <C> <C>
COMMON STOCKS - 95.3%
APPAREL - 3.9%
GAP, Inc. ........................... 38,050 $ 1,348,397
Nordstrom Inc. ...................... 29,000 1,750,875
-----------
3,099,272
COMPUTER COMPONENTS, SOFTWARE AND SERVICES - 19.6%
Adaptec, Inc.+....................... 40,900 1,518,412
BMC Software, Inc.+.................. 25,400 1,666,875
Bay Networks, Inc.+.................. 56,400 1,441,725
Cadence Design Systems, Inc.+........ 64,800 1,587,600
Compaq Computer Corporation.......... 46,250 2,610,234
Dell Computer Corporation+........... 30,800 2,587,200
EMC Corporation+..................... 34,200 938,362
Lucent Technologies, Inc............. 15,200 1,214,100
Technical Data Corporation+.......... 35,500 1,380,063
VLSI Technologies, Inc.+............. 30,800 727,650
-----------
15,672,221
CONSUMER SPECIALTY RETAIL - 13.8%
CVS Corporation...................... 26,700 1,710,469
Compusa Inc.+........................ 90,232 2,797,192
Costco Companies, Inc.+.............. 29,900 1,334,288
Dayton Hudson Corporation............ 22,900 1,545,750
Inacom Corporation+.................. 49,375 1,385,586
Starbucks Corporation+............... 30,600 1,174,275
Walgreen Company..................... 35,800 1,123,225
-----------
11,070,785
DRUGS AND HEALTH CARE SERVICES - 8.0%
Cardinal Health, Inc. ............... 19,500 1,464,938
Lilly Eli and Company................ 15,166 1,055,933
McKesson Corporation................. 22,000 2,380,125
Pfizer Inc........................... 19,900 1,483,794
-----------
6,384,790
ELECTRONICS - 3.6%
KLA Instruments Corporation+......... 40,900 1,579,762
Sony Corporation, New................ 13,900 1,261,425
-----------
2,841,187
FINANCIAL SERVICES - 17.0%
Ahmanson HF and Company.............. 32,900 2,202,244
Chase Manhattan Corporation.......... 14,500 1,587,750
Citicorp............................. 14,300 1,808,056
Equitable Companies, Inc. ........... 12,900 643,388
Franklin Resources Inc. ............. 12,600 1,095,413
Household International, Inc. ....... 11,700 1,492,481
Merrill Lynch and Company Inc. ...... 32,660 2,382,139
Northern Trust Corporation........... 16,200 1,129,950
Schwab Charles Corporation New....... 30,700 1,287,481
-----------
13,628,902
FOOD CHAINS - 2.3%
General Nutrition Companies, Inc. ... 20,300 690,200
Safeway, Inc+........................ 18,700 1,182,775
-----------
1,872,975
COMMON STOCKS (CONTINUED)
HEALTH CARE ADMINISTRATIVE - 3.1%
Concentra Managed Care, Inc.+........ 28,200 $ 951,750
Healthcare Compare Corporation+...... 29,700 1,518,413
-----------
2,470,163
HEALTH MAINTENANCE ORGANIZATION - 1.8%
United Healthcare Corporation........ 29,200 1,450,875
-----------
INFORMATION PROCESSING - 3.1%
HBO and Company...................... 50,900 2,443,200
-----------
INSURANCE - 3.6%
SunAmerica Inc. ..................... 30,650 1,310,287
Travelers Group, Inc. ............... 29,400 1,583,925
-----------
2,894,212
OFFICE SUPPLIES - 1.1%
Staples, Inc.+....................... 30,700 851,925
-----------
PACKAGE DELIVERY - 1.0%
Federal Express Company.............. 12,500 763,281
-----------
PERSONEL PLACEMENT - 0.5%
Robert Half International Inc.+...... 10,300 412,000
-----------
PHARMACEUTICALS - 1.1%
Bristol-Myers Squibb Company......... 9,600 908,400
-----------
SEMICONDUCTORS AND EQUIPMENT - 7.3%
Applied Materials Inc.+.............. 68,600 2,066,575
National Semiconductor Corporation... 25,600 664,000
Novellus Systems, Inc.+.............. 40,900 1,321,581
Teradyne Inc.+....................... 57,100 1,827,200
-----------
5,879,356
TELECOMMUNICATIONS - 1.3%
Northern Telecommunications Ltd. .... 11,800 1,050,200
-----------
TRANSPORTATION - 3.2%
CNF Transportation Inc. ............. 33,400 1,281,725
Swift Transportation Company Inc.+... 7,900 255,762
U.S. Freightways Corporation......... 17,100 555,750
Werner Enterprises Inc. ............. 10,300 211,150
Yellow Corporation+.................. 10,300 258,787
-----------
2,563,174
TOTAL COMMON STOCKS - (Cost 76,256,918
$71,512,504) -----------
TOTAL INVESTMENTS - (COST $71,512,504*) - 95.3% $76,256,918
OTHER ASSETS AND LIABILITIES - 4.7% 3,799,318
-----------
NET ASSETS - 100.0% $80,056,236
===========
</TABLE>
* Aggregate cost for Federal tax purpose is $72,276,317.
+ Non-income producing security.
See accompanying notes.
26
<PAGE> 90
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK - 72.3%
AEROSPACE AND DEFENSE - 1.1%
EVI Inc+............................ 28,000 $ 1,449,000
------------
AIRLINES - 1.3%
Continental Airlines Inc, Class
B+................................ 35,000 1,684,375
------------
BANKING AND FINANCE - 9.4%
American General Corporation+....... 25,000 1,351,563
AmSouth Bancorporation.............. 25,000 1,357,813
Cape Cod Bank & Trust Company....... 25,000 987,500
Compass Bancshares Inc. ............ 25,000 1,093,750
Federal National Mortgage
Association....................... 22,000 1,255,375
First Union Corporation............. 35,200 1,804,000
Fleet Financial Group Inc. ......... 17,000 1,273,937
Mellon Bank Corporation............. 18,000 1,091,250
TCF Financial Corporation+.......... 36,000 1,221,750
Washington Mutual Savings Bank...... 19,000 1,212,438
------------
12,649,376
BIOPHARMACEUTICALS - 1.6%
Genentech Inc+...................... 25,000 1,515,625
Millenium Pharmaceuticals+.......... 32,000 608,000
------------
2,123,625
CHEMICALS AND ALLIED PRODUCTS - 3.1%
Crompton & Knowles Corporation...... 35,000 927,500
Imperial Chemical Industries Plc,
ADR............................... 14,000 909,125
Medusa Corporation.................. 31,200 1,304,550
Philip Morris Companies Inc. ....... 22,500 1,019,531
------------
4,160,706
COMMUNICATION - 4.0%
CBS Corporation..................... 30,000 883,125
Communications Satellite
Corporation....................... 42,500 1,030,625
GTE Corporation..................... 25,000 1,306,250
P-Communications, Inc.+............. 25,000 431,250
Tele-Communication, Class A+........ 60,000 1,676,238
------------
5,327,488
COMPUTER INDUSTRY - 4.7%
Data General Corporation+........... 45,000 784,687
Filenet Corporation+................ 42,000 1,265,250
Intersolv+.......................... 80,000 1,620,000
Secure Computing Corporation+....... 59,800 706,387
Siebel Systems Inc+................. 50 2,091
Sun Microsystems Inc+............... 30,000 1,196,250
System Software Associates Inc.+.... 80,000 700,000
------------
6,274,665
CONSUMER DURABLES - 1.5%
Albertsons Inc. .................... 24,500 1,160,688
Compuware Corporation+.............. 25,000 800,000
------------
1,960,688
DATA SERVICES - 0.4%
Choicepoint Inc.+................... 12,500 596,875
------------
ELECTRONICS - 0.1%
Brilliant Digital Entertainment+.... 33,900 158,906
------------
ENERGY - 4.2%
Camco International Inc.+........... 22,000 1,401,125
GPU Inc............................. 27,500 1,158,437
Oryx Energy Company+................ 30,000 765,000
Patterson Energy Inc.+.............. 26,000 1,005,875
Williams Companies Inc.+............ 45,000 1,276,875
------------
5,607,312
FISHING AND HUNTING - 1.1%
Alliant Techsystems Inc.+........... 27,500 $ 1,533,125
------------
FOOD AND BEVERAGES - 2.3%
Cadbury Schweppes Plc............... 71,500 720,420
International Multifoods
Corporation....................... 35,000 990,938
JP Foodservice+..................... 37,500 1,385,156
------------
3,096,514
HEALTH CARE SERVICES - 1.7%
Beverly Enterprises Inc.+........... 82,500 1,072,500
Genzyme Corporation+................ 45,000 1,248,750
Pharmerica Inc.+.................... 906 9,400
------------
2,330,650
HOTELS AND RESTAURANTS - 0.1%
Canadian Hotel Income Properties.... 10,000 67,154
------------
HOUSEHOLD PRODUCTS - 0.8%
Sunbeam Corporation................. 25,000 1,053,125
------------
INSURANCE - 0.8%
Hartford Life, Class A.............. 25,000 1,132,812
------------
MEDICAL PRODUCTS AND SERVICES - 2.2%
Novoste Corporation+................ 10,000 225,000
Perclose Inc.+...................... 68,900 1,326,325
Spine Tech Inc.+.................... 27,800 1,429,963
------------
2,981,288
NETWORK SOFTWARE - 1.0%
Concentric Network Corporation+..... 80,500 714,437
N2K Inc.+........................... 40,000 585,000
Nextlevel Systems+.................. 4,000 71,500
------------
1,370,937
OIL AND GAS - 5.2%
Artisan Corporation................. 14,800 113,922
Burlington Resources Inc. .......... 27,000 1,209,938
Cooper Cameron Corporation+......... 31,000 1,891,000
Noble Drilling Corporation+......... 20,000 612,500
Nordic American Tanker Shipping..... 75,000 1,237,500
Pioneer Natural Resources Company... 22,500 651,094
Western Atlas, Inc.+................ 16,000 1,184,000
------------
6,899,954
OTHER - 1.5%
Walter Industries Inc.+............. 95,000 1,959,375
------------
PHARMACEUTICALS - 1.1%
Dusa Pharmaceuticals Inc.+.......... 63,900 734,850
Guilford Pharmaceuticals Inc.+...... 20,000 402,500
Intercardia Inc.+................... 16,000 286,000
------------
1,423,350
REAL ESTATE - 2.4%
Criimi Mae Inc. .................... 66,700 1,000,500
FBR Asset Investment Corporation+... 25,000 500,000
JP Realty Inc....................... 35,000 907,812
Walden Residential Properties
Inc............................... 30,000 765,000
------------
3,173,312
RETAIL - 5.1%
Dress Barn Inc.+.................... 58,000 1,645,750
Egghead Inc.+....................... 160,000 1,040,000
Gadzooks Inc.+...................... 47,500 997,500
Miller (Herman) Inc. ............... 26,500 1,445,906
Vans Inc.+.......................... 115,000 1,739,375
------------
6,868,531
TECHNOLOGY - 2.0%
ANTEC Corporation+.................. 75,000 1,171,875
Data Dimensions Inc.+............... 20,000 345,000
Platinum Technology Inc.+........... 42,500 1,200,625
------------
2,717,500
</TABLE>
See accompanying notes.
27
<PAGE> 91
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
VALUE
SHARES (NOTE 1)
---------- ------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS - 4.4%
Cincinnati Bell Inc................. 37,500 $ 1,162,500
Clearnet Communications, Class A+... 35,000 398,125
LCI International Worldwide
Telecommunications+................. 42,500 1,306,875
Tele-Communications TCI Group, Class
A+.................................. 54,099 1,531,690
U.S. West Media+.................... 53,000 1,530,375
------------
5,929,565
TRANSPORTATION - 1.6%
Consolidated Freightways
Corporation+...................... 60,000 817,500
Genesee & Wyoming Inc., Class A+.... 35,500 829,813
Hvide Marine Inc., Class A+......... 20,000 515,000
------------
2,162,313
UTILITY - 7.6%
Baker Hughes Inc. .................. 25,000 1,090,625
CMS Energy Corporation.............. 22,500 991,406
Citizens Utilities Company, Class
B+................................ 111,100 1,069,337
Duke Power Company.................. 26,500 1,467,437
Houston Industries Inc. ............ 40,000 1,067,500
Houston Industries Inc.+............ 19,000 1,084,187
Nabors Industries Inc.+............. 45,000 1,414,688
Southern Company.................... 50,000 1,293,750
Union Electric Company.............. 15,000 648,750
------------
10,127,680
TOTAL COMMON STOCK - (Cost 96,820,201
$88,290,852) ------------
PREFERRED STOCK - 8.8%
AIRLINES - 2.4%
Trans World Airlines+............... 38,500 1,424,500
Trans World Airlines **............. 25,000 1,612,500
Trans World Airlines+**............. 5,000 185,000
------------
3,222,000
COMMUNICATIONS - 2.2%
Cablevision Systems Corporation+.... 20,000 770,000
IXC Communications Inc.+**.......... 8,400 1,179,211
Metromedia International Group
Inc.+............................. 22,500 1,018,125
------------
2,967,336
ENTERTAINMENT AND LEISURE - 0.8%
Royal Caribbean Cruise Ltd.......... 12,000 1,020,750
------------
FINANCIAL SERVICES - 1.6%
Conceco Finance Trust............... 27,000 1,383,750
Newell Financial Trust**............ 13,700 715,825
------------
2,099,575
METALS AND MINING - 1.0%
Coeur d'Alene Mine Corporation+..... 40,000 485,000
WHX Corporation, Series A........... 20,000 915,000
------------
1,400,000
PET FOOD - 0.8%
Ralston Purina Company+............. 16,000 1,114,000
------------
TOTAL PREFERRED STOCK - (Cost 11,823,661
$9,677,440) ------------
<CAPTION>
PRINCIPAL
AMOUNT
----------
<S> <C> <C>
CONVERTIBLE BONDS - 3.6%
COMMUNICATION - 0.4%
Itron Inc., 6.750% due
03/31/2004**...................... $ 500,000 490,000
------------
</TABLE>
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CONVERTIBLE BONDS (CONTINUED)
COMPUTER INDUSTRY - 1.2%
System Software Company, 7.000% due
09/15/2002........................ $2,000,000 $ 1,695,000
------------
CONSUMER GOODS - 1.0%
Loews Corporation, 3.125% due
09/15/2007........................ 850,000 852,125
Sports Authority Inc., 5.250% due
09/15/2001........................ 500,000 438,750
------------
1,290,875
INDUSTRIAL - 0.3%
Offshore Logistic Inc., 6.000% due
12/15/2003**...................... 300,000 345,750
------------
MEDICAL PRODUCTS AND SERVICES - 0.7%
Hybridon Inc., 9.000% due
04/01/2004**...................... 500,000 275,000
Renal Treatment Centers Inc., 5.625%
due 07/15/2006.................... 400,000 480,000
UroMed Corporation, 6.000% due
10/15/2003**...................... 350,000 210,000
------------
965,000
TOTAL CONVERTIBLE BONDS -
(Cost $5,174,870) 4,786,625
------------
CORPORATE BONDS - 5.6%
COMMUNICATION - 0.3%
Cellstar Corporation, Series 144A,**
5.000% due 10/15/2002............. 600,000 441,000
------------
COMPUTER INDUSTRY - 0.3%
Apple Computer Inc., 6.000% due
06/01/2001........................ 500,000 401,875
------------
CONSUMER GOODS - 0.3%
Assisted Living Concepts, 6.000% due
11/01/2002........................ 375,000 413,439
------------
ELECTRONICS - 0.4%
Read-Rite Corporation, 6.500% due
09/01/2004........................ 600,000 501,000
------------
FINANCIAL SERVICES - 0.5%
Alternative Living Services, 5.250%
due 12/15/2002.................... 600,000 693,000
------------
HOTELS AND RESTAURANTS - 0.1%
Boston Chicken Company, 7.750% due
05/01/2004........................ 250,000 153,750
------------
HUMAN SERVICES - 0.8%
American Retirement Corporation,
5.750% due 10/01/2002............. 1,000,000 1,020,000
------------
MEDICAL PRODUCTS AND SERVICES - 0.4%
Spacehab Inc., 8.000% due
10/15/2007**...................... 500,000 511,875
------------
OIL AND GAS - 0.6%
Key Energy Group Inc., 5.000% due
09/15/2004........................ 1,000,000 863,750
------------
PERSONNEL SERVICES - 0.4%
Corestaff Inc., 2.940% due
08/15/2004........................ 700,000 583,625
------------
</TABLE>
See accompanying notes.
28
<PAGE> 92
<TABLE>
<CAPTION>
EQUI-SELECT SERIES TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1997
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
RETAIL - 0.6%
Charming Shoppes Inc., 7.500% due
07/15/2006........................ $ 800,000 $ 758,000
------------
TELECOMMUNICATIONS - 0.9%
P-Communications Inc., 144A,**
4.250% due 11/01/2002............. 1,250,000 1,162,500
------------
TOTAL CORPORATE BONDS - (Cost 7,503,814
$7,665,048) ------------
TOTAL INVESTMENTS - (COST $110,808,210*) - 90.3% $120,934,301
OTHER ASSETS AND LIABILITIES - 9.7% 12,926,818
------------
NET ASSETS - 100.0% $133,861,119
============
</TABLE>
*Aggregate cost for Federal tax purposes is $111,317,908.
**Securities exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from registrations
to qualified institutional buyers.
+Non-income producing securities.
GLOSSARY OF TERMS
ADR - American Depository Receipt
See accompanying notes.
29
<PAGE> 93
EQUI-SELECT SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MORTGAGE-
MONEY BACKED INTERNATIONAL
MARKET SECURITIES FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at value(a).................. $35,598,667 $17,446,449 $11,071,016
Cash, including foreign currency, at value.............. 65 634 827,460
Receivable for securities sold.......................... -- -- --
Receivable for forward currency contracts (Note 6)...... -- -- 1,534
Interest receivable..................................... 81,064 141,059 254,490
Dividends receivable.................................... -- -- --
Receivable for fund shares sold......................... -- 4,638 --
Receivable from Investment Adviser (Note 3)............. 664 5,129 5,628
Prepaid insurance....................................... 2,616 2,616 2,616
Deferred organization costs............................. 4,318 4,318 4,318
Other assets............................................ 42,147 -- 3,240
---------------------------------------------------
TOTAL ASSETS.......................................... 35,729,541 17,604,843 12,170,302
LIABILITIES
Payable due to custodian................................ -- -- --
Payable for securities purchased........................ -- -- --
Payable for forward currency contracts (Note 6)......... -- -- --
Payable for fund shares repurchased..................... 97,285 -- 7,475
Payable for audit fees.................................. 5,169 5,169 5,169
Payable for custody fees................................ 3,599 -- 4,051
Payable for organizational expenses..................... 4,317 4,317 4,317
Payable to Investment Adviser (Note 3).................. 11,299 13,419 11,581
Accounts payable and accrued expenses................... 13,505 14,461 4,681
---------------------------------------------------
TOTAL LIABILITIES..................................... 135,174 37,366 37,274
---------------------------------------------------
NET ASSETS............................................ $35,594,367 $17,567,477 $12,133,028
===================================================
NET ASSETS CONSIST OF:
Paid-in Capital (Note 5)................................ $35,599,125 $17,246,493 $12,283,996
Undistributed net investment income (distributions in
excess of net investment income) (Note 2)............. -- 1,232 (14,895)
Accumulated net realized gain (loss) on investments and
foreign currency transactions......................... (4,758) (17,966) (6,443)
Net unrealized appreciation (depreciation) of:
Investments........................................... -- 337,718 (121,747)
Foreign currency transactions......................... -- -- (7,883)
---------------------------------------------------
NET ASSETS............................................ $35,594,367 $17,567,477 $12,133,028
===================================================
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on shares
of beneficial interest outstanding)................... $ 1.00 $ 10.85 $ 10.41
Total shares outstanding at end of period............... 35,599,125 1,619,442 1,165,908
(a) Investments in securities, at cost.................. $35,598,667 $17,108,731 $11,192,763
</TABLE>
See accompanying notes.
30
<PAGE> 94
<TABLE>
<CAPTION>
TOTAL VALUE + GROWTH &
OTC RESEARCH RETURN ADVANTAGE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C>
$109,700,874 $244,396,203 $178,532,162 $17,687,286 $76,256,918 $120,934,301
336,353 388,363 214,297 -- 5,501,594 10,356,870
630,813 2,866,114 38,393 5,655 2,748,925 3,077,338
-- -- -- -- -- --
-- -- 957,195 208,768 40,310 283,375
37,766 277,364 214,949 -- 25,003 87,664
20,029 465,707 454,340 -- 217,330 825,376
-- -- -- 14,677 -- --
2,616 2,616 2,529 2,616 2,616 2,616
4,318 4,318 4,257 4,318 4,953 4,953
-- -- -- 7,615 -- --
-------------------------------------------------------------------------------------
110,732,769 248,400,685 180,418,122 17,930,935 84,797,649 135,572,493
-- -- -- 18,576 -- --
355,100 8,087,979 4,377,778 -- 4,546,742 1,597,704
-- 70 1,311 -- -- --
15 24 9 14,973 112,737 30
5,169 5,169 5,169 5,169 5,169 5,169
2,876 12,261 -- 4,301 3,052 --
4,317 4,317 4,317 4,317 6,479 6,478
72,878 155,260 113,651 12,861 61,004 100,151
12,249 21,076 19,348 12,928 6,230 1,842
-------------------------------------------------------------------------------------
452,604 8,286,156 4,521,583 73,125 4,741,413 1,711,374
-------------------------------------------------------------------------------------
$110,280,165 $240,114,529 $175,896,539 $17,857,810 $80,056,236 $133,861,119
=====================================================================================
$ 99,924,253 $214,843,954 $157,250,075 $17,649,661 $76,908,007 $122,745,471
-- 56,595 837,623 226,364 -- --
2,208,517 2,296,904 2,086,340 (5,846) (1,596,185) 927,874
8,147,395 22,944,318 15,721,557 (12,369) 4,744,414 10,187,774
-- (27,242) 944 -- -- --
-------------------------------------------------------------------------------------
$110,280,165 $240,114,529 $175,896,539 $17,857,810 $80,056,236 $133,861,119
=====================================================================================
$ 15.82 $ 17.94 $ 15.36 $ 10.53 $ 13.22 $ 14.47
6,970,469 13,381,540 11,452,552 1,695,981 6,057,590 9,253,565
$101,553,479 $221,451,885 $162,810,605 $17,699,655 $71,512,504 $110,808,210
</TABLE>
31
<PAGE> 95
EQUI-SELECT SERIES TRUST
STATEMENTS OF OPERATIONS
FOR YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
MORTGAGE-
MONEY BACKED INTERNATIONAL
MARKET SECURITIES FIXED INCOME
INVESTMENT INCOME PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
<S> <C> <C> <C>
Interest income......................................... $1,854,243 $956,995 $ 678,824
Dividend income......................................... -- -- --
Foreign taxes withheld.................................. -- -- (1,271)
---------------------------------------------------------
TOTAL INVESTMENT INCOME................................. 1,854,243 956,995 677,553
EXPENSES
Investment adviser fee (Note 3)......................... 121,158 103,748 98,908
Administration fee...................................... 18,755 17,290 16,954
Audit fee............................................... 9,891 9,891 9,891
Custodian fees and expenses............................. 51,194 48,574 60,996
Trustee's fees (Note 3)................................. 3,319 3,319 3,319
Legal fee............................................... 6,432 6,432 6,432
Insurance expense....................................... 3,283 3,283 3,283
Transfer agent expense.................................. 4,407 4,852 5,396
Amortization of organization expense.................... 2,471 2,471 2,471
Miscellaneous expense................................... 7,748 5,782 5,378
---------------------------------------------------------
Total operating expenses before reimbursement......... 228,658 205,642 213,028
Expenses reimbursed by the Investment Adviser (Note
3).................................................... (8,931) (32,639) (26,816)
---------------------------------------------------------
NET EXPENSES.......................................... 219,727 173,003 186,212
---------------------------------------------------------
NET INVESTMENT INCOME (LOSS).......................... 1,634,516 783,992 491,341
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS AND FOREIGN CURRENCY
Net realized gain (loss) on:
Investments........................................... (4,758) (17,042) (43,206)
Foreign currency transactions......................... -- -- 38,612
Change in unrealized appreciation (depreciation) of:
Investments........................................... -- 218,071 (399,604)
Foreign currency translations......................... -- -- 3,144
---------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. (4,758) 201,029 (401,054)
---------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................... $1,629,758 $985,021 $ 90,287
=========================================================
</TABLE>
See accompanying notes.
32
<PAGE> 96
<TABLE>
<CAPTION>
TOTAL VALUE + GROWTH &
OTC RESEARCH RETURN ADVANTAGE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C>
$ 263,161 $ 389,953 $ 3,215,080 $1,144,022 $ 122,067 $ 766,578
154,454 1,480,426 1,455,818 -- 196,359 1,260,050
(260) (23,246) (10,716) -- (724) (64,265)
--------------------------------------------------------------------------------
417,355 1,847,133 4,660,182 1,144,022 317,702 1,962,363
614,080 1,211,826 871,199 86,778 435,386 793,103
25,017 45,820 35,690 17,374 21,507 26,501
9,891 9,891 9,891 9,891 9,399 9,399
79,237 153,771 112,957 51,894 60,150 73,684
3,319 3,319 3,319 3,319 2,514 2,514
6,432 6,432 6,432 6,432 6,430 6,430
3,283 3,283 3,283 3,283 3,443 3,443
6,918 6,597 6,833 4,371 7,040 7,502
2,471 2,471 2,471 2,471 1,526 1,526
6,638 15,907 8,086 6,876 1,664 7,787
--------------------------------------------------------------------------------
757,286 1,459,317 1,060,161 192,689 549,059 931,889
-- -- -- (53,840) -- --
--------------------------------------------------------------------------------
757,286 1,459,317 1,060,161 138,849 549,059 931,889
--------------------------------------------------------------------------------
(339,931) 387,816 3,600,021 1,005,173 (231,357) 1,030,474
6,780,268 8,560,438 4,883,900 (8,561) (1,483,576) 10,048,777
(222) (5,156) (4,468) -- -- --
7,014,867 15,925,334 11,534,974 (11,335) 2,941,921 6,532,632
-- (27,765) 991 -- -- 61,683
--------------------------------------------------------------------------------
13,794,913 24,452,851 16,415,397 (19,896) 1,458,345 16,643,092
--------------------------------------------------------------------------------
$13,454,982 $24,840,667 $20,015,418 $ 985,277 $ 1,226,988 $17,673,566
================================================================================
</TABLE>
33
<PAGE> 97
EQUI-SELECT SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1997 AND THE PERIOD ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
MORTGAGE-
MONEY BACKED INTERNATIONAL
MARKET SECURITIES FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
Net investment income (loss)............................ $ 1,634,516 $ 783,992 $ 491,341
Net realized gain (loss) on:
Investments........................................... (4,758) (17,042) (43,206)
Foreign currency transaction.......................... -- -- 38,612
Change in unrealized appreciation (depreciation) of:
Investments........................................... -- 218,071 (399,604)
Foreign currency translations......................... -- -- 3,144
---------------------------------------------------------
Net increase in net assets resulting from
operations....................................... 1,629,758 985,021 90,287
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................... (1,634,516) (783,416) (527,603)
Distributions from net realized gain on investments..... -- -- (18,155)
Distributions in excess of net realized gain on
investments and foreign currency transactions......... -- -- (65,902)
FUND SHARE TRANSACTIONS (Note 5).......................... 16,446,793 6,228,184 1,907,620
---------------------------------------------------------
TOTAL INCREASE IN NET ASSETS.............................. 16,442,035 6,429,789 1,386,247
NET ASSETS:
Beginning of year....................................... 19,152,332 11,137,688 10,746,781
---------------------------------------------------------
END OF YEAR(a).......................................... $35,594,367 $17,567,477 $12,133,028
=========================================================
(a) Including undistributed net investment income
(distributions in excess of net investment income)...... $ -- $ 1,232 $ (14,895)
=========================================================
INCREASE IN NET ASSETS FROM OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1996
Net investment income (loss)............................ $ 615,473 $ 603,801 $ 470,966
Net realized gain (loss) on:
Investments........................................... -- 31,785 227,301
Foreign currency transaction.......................... -- -- 91,817
Change in unrealized appreciation (depreciation) of:
Investments........................................... -- (257,057) (272,112)
Foreign currency translations......................... -- -- 1,809
---------------------------------------------------------
Net increase in net assets resulting from
operations....................................... 615,473 378,529 519,781
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................... (615,473) (603,807) (565,542)
Distributions in excess of net realized gain on
investments and foreign currency transactions......... -- (32,250) (177,436)
FUND SHARE TRANSACTIONS (Note 5).......................... 13,410,068 2,739,838 2,413,725
---------------------------------------------------------
TOTAL INCREASE IN NET ASSETS.............................. 13,410,068 2,482,310 2,190,528
NET ASSETS:
Beginning of period..................................... 5,742,264 8,655,378 8,556,253
---------------------------------------------------------
END OF PERIOD(a)........................................ $19,152,332 $11,137,688 $10,746,781
=========================================================
(a) Including undistributed net investment income (loss).... $ -- $ -- $ 89,168
=========================================================
</TABLE>
See accompanying notes.
34
<PAGE> 98
<TABLE>
<CAPTION>
TOTAL VALUE + GROWTH &
OTC RESEARCH RETURN ADVANTAGE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ (339,931) $ 387,816 $ 3,600,021 $ 1,005,173 $ (231,357) $ 1,030,474
6,780,268 8,560,438 4,883,900 (8,561) (1,483,576) 10,048,777
(222) (5,156) (4,468) -- -- --
7,014,867 15,925,334 11,534,974 (11,335) 2,941,921 6,532,632
-- (27,765) 991 -- -- 61,683
-------------------------------------------------------------------------------------
13,454,982 24,840,667 20,015,418 985,277 1,226,988 17,673,566
-- (325,992) (2,759,357) (780,582) -- (954,239)
(4,604,698) (7,116,667) (3,063,811) (2,783) (17,323) (9,673,157)
-- -- -- -- -- --
58,108,301 147,537,679 104,402,326 3,167,308 59,124,707 84,414,141
-------------------------------------------------------------------------------------
66,958,585 164,935,687 118,594,576 3,369,220 60,334,372 91,460,311
43,321,580 75,178,842 57,301,963 14,488,590 19,721,864 42,400,808
-------------------------------------------------------------------------------------
$110,280,165 $240,114,529 $175,896,539 $17,857,810 $80,056,236 $133,861,119
=====================================================================================
$ -- $ 56,595 $ 837,623 $ 226,364 $ -- $ --
=====================================================================================
$ (145,833) $ 18,374 $ 1,112,609 $ 550,836 $ (76,276) $ 50,453
2,735,463 2,825,747 694,215 (2,371) 181,947 528,810
(146) 32,712 4,984 -- -- --
851,565 5,333,270 3,063,457 (738) 1,802,493 3,593,459
-- 722 2 -- -- --
-------------------------------------------------------------------------------------
3,441,049 8,210,825 4,875,267 547,727 1,908,164 4,172,722
-- (12,458) (1,110,704) (528,200) -- (50,452)
(2,298,074) (2,117,360) (500,838) (16,970) (200,957) (52,792)
33,123,983 52,912,033 38,535,331 8,495,968 18,014,657 38,331,330
-------------------------------------------------------------------------------------
34,266,958 58,993,040 41,799,056 8,498,525 19,721,864 42,400,808
9,054,622 16,185,802 15,502,907 5,990,065 -- --
-------------------------------------------------------------------------------------
$ 43,321,580 $ 75,178,842 $ 57,301,963 $14,488,590 $19,721,864 $ 42,400,808
=====================================================================================
$ -- $ (73) $ 5,234 $ 4,488 $ -- $ --
=====================================================================================
</TABLE>
35
<PAGE> 99
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
MONEY MARKET PORTFOLIO**
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $1.00 $1.00 $1.00 $1.00
----------- ----------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.05 0.05 0.05 0.01
Net realized and unrealized gain on investments............. -- -- -- --
----------- ----------- ---------- --------
Total from investment operations............................ 0.05 0.05 0.05 0.01
----------- ----------- ---------- --------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.05) (0.05) (0.05) (0.01)
Net capital gains distributions............................. -- -- -- --
----------- ----------- ---------- --------
Total distributions......................................... (0.05) (0.05) (0.05) (0.01)
----------- ----------- ---------- --------
Net asset value, end of period.............................. $1.00 $1.00 $1.00 $1.00
=========== =========== ========== ========
Total Return(2)............................................. 5.02% 4.84% 5.19% 1.06%
=========== =========== ========== ========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $35,594,367 $19,152,332 $5,742,264 $446,684
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.68% 0.68% 0.72% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.71% 1.11% 2.59% 23.22%
Ratio of net investment income to average net assets(3)..... 5.06% 4.76% 5.11% 4.66%
Net investment income (loss) (without
reimbursement)(1)(3)...................................... $0.05 $0.04 $0.04 $(0.03)
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
** BEA Associates became the sub-advisor to the Portfolio in April, 1995. EISI
took over management of the Portfolio in June, 1995.
See accompanying notes.
36
<PAGE> 100
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
MORTGAGE BACKED SECURITIES PORTFOLIO**
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $10.59 $10.84 $9.90 $10.00
----------- ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.51 0.58 0.52 0.15
Net realized and unrealized gain (loss) on investments...... 0.26 (0.22) 1.05 (0.10)
----------- ----------- ---------- ----------
Total from investment operations............................ 0.77 0.36 1.57 0.05
----------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.51) (0.58) (0.52) (0.15)
Net capital gains distributions............................. -- (0.03) (0.11) --
----------- ----------- ---------- ----------
Total distributions......................................... (0.51) (0.61) (0.63) (0.15)
----------- ----------- ---------- ----------
Net asset value, end of period.............................. $10.85 $10.59 $10.84 $9.90
=========== =========== ========== ==========
Total Return(2)............................................. 7.25% 3.39% 15.92% 0.50%
=========== =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $17,567,477 $11,137,688 $8,655,378 $4,976,609
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.25% 1.25% 0.90% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.49% 1.67% 1.99% 2.43%
Ratio of net investment income to average net assets(3)..... 5.66% 5.69% 6.26% 6.33%
Net investment income (without reimbursement)(1)(3)......... $0.49 $0.54 $0.43 $0.11
Portfolio turnover rate(4).................................. 27% 19% 34% 52%
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
** BEA Associates became the sub-advisor to the Portfolio in April, 1995. EISI
took over management of the Portfolio in June, 1995.
See accompanying notes.
37
<PAGE> 101
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
INTERNATIONAL FIXED INCOME PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $10.88 $11.09 $10.02 $10.00
----------- ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.43 0.53 0.41 0.15
Net realized and unrealized gain (loss) on investments...... (0.35) 0.02 1.24 (0.05)
----------- ----------- ---------- ----------
Total from investment operations............................ 0.08 0.55 1.65 0.10
----------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.47) (0.58) (0.47) (0.08)
Net capital gains distributions............................. (0.02) (0.18) (0.11) --
Distributions in excess of net capital gains................ (0.06) -- -- --
----------- ----------- ---------- ----------
Total distributions......................................... (0.55) (0.76) (0.58) (0.08)
----------- ----------- ---------- ----------
Net asset value, end of period.............................. $10.41 $10.88 $11.09 $10.02
=========== =========== ========== ==========
Total Return(2)............................................. 0.64% 5.05% 15.81% 1.01%
=========== =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $12,133,028 $10,746,781 $8,556,253 $5,062,830
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.60% 1.60% 1.00% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.83% 1.94% 2.13% 2.53%
Ratio of net investment income to average net assets(3)..... 4.22% 4.73% 5.94% 5.93%
Net investment income (without reimbursement)(1)(3)......... $0.41 $0.49 $0.31 $0.10
Portfolio turnover rate(4).................................. 69% 113% 89% 6%
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
See accompanying notes.
38
<PAGE> 102
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
OTC PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
------------ ----------- ---------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $13.82 $12.08 $10.36 $10.00
------------ ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment (loss)(1).................................... (0.05) (0.03) (0.02) --
Net realized and unrealized gain on investments............. 2.76 2.52 3.07 0.36
------------ ----------- ---------- ----------
Total from investment operations............................ 2.71 2.49 3.05 0.36
------------ ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... -- -- -- --
Net capital gains distributions............................. (0.71) (0.75) (1.33) --
------------ ----------- ---------- ----------
Total distributions......................................... (0.71) (0.75) (1.33) --
------------ ----------- ---------- ----------
Net asset value, end of period.............................. $15.82 $13.82 $12.08 $10.36
============ =========== ========== ==========
Total Return(2)............................................. 19.67% 20.68% 29.23% 3.59%
============ =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $110,280,165 $43,321,580 $9,054,622 $1,695,685
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.99% 1.35% 1.07% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.99% 1.35% 2.52% 7.10%
Ratio of net investment income (loss) to average net
assets(3)................................................. (0.44)% (0.63)% (0.22)% 0.16%
Net investment (loss) (without reimbursement)(1)(3)......... $(0.05) $(0.03) $(0.10) $(0.12)
Portfolio turnover rate(4).................................. 141% 122% 111% 6%
Average commission rate paid(5)............................. $0.0496 $0.0402 -- --
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
See accompanying notes.
39
<PAGE> 103
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
RESEARCH PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
------------ ----------- ----------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $15.43 $12.88 $9.59 $10.00
------------ ----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.03 -- 0.03 0.09
Net realized and unrealized gain (loss) on investments...... 3.08 3.00 3.48 (0.41)
------------ ----------- ----------- -----------
Total from investment operations............................ 3.11 3.00 3.51 (0.32)
------------ ----------- ----------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.03) 0.00# (0.03) (0.09)
Net capital gains distributions............................. (0.57) (0.45) (0.19) --
------------ ----------- ----------- -----------
Total distributions......................................... (0.60) (0.45) (0.22) (0.09)
------------ ----------- ----------- -----------
Net asset value, end of period.............................. $17.94 $15.43 $12.88 $9.59
============ =========== =========== ===========
Total Return(2)............................................. 20.12% 23.37% 36.58% (3.22)%
============ =========== =========== ===========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $240,114,529 $75,178,842 $16,185,802 $1,626,521
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.96% 1.31% 1.12% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.96% 1.31% 2.48% 7.48%
Ratio of net investment income to average net assets(3)..... 0.26% 0.05% 0.58% 4.65%
Net investment income (loss) (without
reimbursement)(1)(3)...................................... $0.03 -- $(0.04) $(0.04)
Portfolio turnover rate(4).................................. 80% 68% 83% 85%
Average commission rate paid(5)............................. $0.0476 $0.0281 -- --
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
# Amount is less than $0.003 per share.
See accompanying notes.
40
<PAGE> 104
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
TOTAL RETURN PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
------------ ----------- ----------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $13.15 $11.90 $9.76 $10.00
------------ ----------- ----------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.32 0.26 0.21 0.09
Net realized and unrealized gain (loss) on investments...... 2.42 1.37 2.19 (0.24)
------------ ----------- ----------- ----------
Total from investment operations............................ 2.74 1.63 2.40 (0.15)
------------ ----------- ----------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.25) (0.26) (0.21) (0.09)
Net capital gains distributions............................. (0.28) (0.12) (0.05) --
------------ ----------- ----------- ----------
Total distributions......................................... (0.53) (0.38) (0.26) (0.09)
------------ ----------- ----------- ----------
Net asset value, end of period.............................. $15.36 $13.15 $11.90 $9.76
============ =========== =========== ==========
Total Return(2)............................................. 20.89% 13.70% 24.51% (1.47)%
============ =========== =========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $175,896,539 $57,301,963 $15,502,907 $1,298,365
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.97% 1.25% 1.11% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 0.97% 1.25% 2.36% 8.31%
Ratio of net investment income to average net assets(3)..... 3.31% 3.29% 3.88% 4.58%
Net investment income (loss) (without
reimbursement)(1)(3)...................................... $0.32 $0.26 $0.14 $(0.06)
Portfolio turnover rate(4).................................. 98% 131% 89% 45%
Average commission rate paid(5)............................. $0.0563 $0.0510 -- --
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
See accompanying notes.
41
<PAGE> 105
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
ADVANTAGE PORTFOLIO**
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Period Ended
12/31/97 12/31/96 12/31/95 12/31/94*
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $10.41 $10.18 $9.98 $10.00
----------- ----------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.61 0.40 0.71 0.12
Net realized and unrealized gain (loss) on investments...... (0.01) 0.22 0.20 (0.02)
----------- ----------- ---------- ----------
Total from investment operations............................ 0.60 0.62 0.91 0.10
----------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.48) (0.38) (0.71) (0.12)
Net capital gains distributions............................. -- (0.01) -- --
----------- ----------- ---------- ----------
Total distributions......................................... (0.48) (0.39) (0.71) (0.12)
----------- ----------- ---------- ----------
Net asset value, end of period.............................. $10.53 $10.41 $10.18 $9.98
=========== =========== ========== ==========
Total Return(2)............................................. 5.71% 6.06% 9.18% 0.99%
=========== =========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $17,857,810 $14,488,590 $5,990,065 $3,449,166
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 0.80% 0.80% 0.77% 0.75%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.11% 1.55% 2.13% 3.06%
Ratio of net investment income to average net assets(3)..... 5.79% 5.86% 8.56% 5.32%
Net investment income (without reimbursement)(1)(3)......... $0.58 $0.35 $0.60 $0.07
Portfolio turnover rate(4).................................. 116% 85% 166% 94%
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
* For the period October 4, 1994 (commencement of investment operations)
through December 31, 1994.
** Strong Capital Management, Inc. became the sub-advisor to the Portfolio in
October, 1994. EISI took over management of the Portfolio on April 1, 1996.
See accompanying notes.
42
<PAGE> 106
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
VALUE + GROWTH PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Period Ended
12/31/97 12/31/96*
----------- -------------
<S> <C> <C>
Net asset value, beginning of period........................ $11.43 $10.00
----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment (loss)(1).................................... (0.04) (0.04)
Net realized and unrealized gain on investments............. 1.83 1.59
----------- -----------
Total from investment operations............................ 1.79 1.55
----------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... -- --
Net capital gains distributions............................. -- (0.12)
----------- -----------
Total distributions......................................... -- (0.12)
----------- -----------
Net asset value, end of period.............................. $13.22 $11.43
=========== ===========
Total Return(2)............................................. 15.69% 15.49%
=========== ===========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $80,056,236 $19,721,864
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.20% 1.70%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.20% 1.90%
Ratio of net investment (loss) to average net assets(3)..... (0.50)% (0.90)%
Net investment (loss) (without reimbursement)(1)(3)......... $(0.04) $(0.05)
Portfolio turnover rate(4).................................. 224% 143%
Average commission rate paid(5)............................. $0.0570 $0.0523
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period April 1, 1996 (commencement of investment operations) through
December 31, 1996.
See accompanying notes.
43
<PAGE> 107
EQUI-SELECT SERIES TRUST
FINANCIAL HIGHLIGHTS
GROWTH & INCOME PORTFOLIO
(For a share of beneficial interest outstanding throughout each period)
<TABLE>
<CAPTION>
Year Ended Period Ended
12/31/97 12/31/96*
------------ -------------
<S> <C> <C>
Net asset value, beginning of period........................ $12.59 $10.00
------------ -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1).................................... 0.13 0.02
Net realized and unrealized gain on investments............. 3.02 2.61
------------ -----------
Total from investment operations............................ 3.15 2.63
------------ -----------
LESS DISTRIBUTIONS:
Distributions from net investment income.................... (0.11) (0.02)
Net capital gains distributions............................. (1.16) (0.02)
------------ -----------
Total distributions......................................... (1.27) (0.04)
------------ -----------
Net asset value, end of period.............................. $14.47 $12.59
============ ===========
Total Return(2)............................................. 25.15% 26.19%
============ ===========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period................................... $133,861,119 $42,400,808
Ratio of operating expenses (with reimbursement) to average
net assets(1)(3).......................................... 1.12% 1.64%
Ratio of operating expenses (without reimbursement) to
average net assets(1)(3).................................. 1.12% 1.64%
Ratio of net investment income to average net assets(3)..... 1.23% 0.38%
Net investment income (without reimbursement)(1)(3)......... $0.13 $0.02
Portfolio turnover rate(4).................................. 227% 115%
Average commission rate paid(5)............................. $0.0577 $0.0551
</TABLE>
- ---------------
(1) Net investment income is after reimbursement of certain fees and expenses by
Equitable Investment Services, Inc. ("EISI") (See Note 3 to the financial
statements). Had EISI not undertaken to reimburse expenses related to the
Portfolio, net investment income (loss) per share and ratio of operating
expenses to average net assets would have been as noted above.
(2) Total return figures are not annualized for periods less than one year.
Total returns do not reflect expenses that apply to the separate account or
related variable insurance contracts and inclusion of these charges would
result in reducing the total return figures for the period shown.
(3) Annualized for periods less than one year.
(4) Portfolio turnover rates are not annualized.
(5) The average commission rate paid is applicable for Portfolios that invest
greater than 10% of average assets in equity security transactions for which
commissions are charged. This disclosure is required for fiscal periods
beginning on or after September 1, 1995.
* For the period April 1, 1996 (commencement of investment operations) through
December 31, 1996.
See accompanying notes.
44
<PAGE> 108
EQUI-SELECT SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1997
NOTE 1 - ORGANIZATION
Equi-Select Series Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Trust is managed by Equitable Investment Services, Inc. ("EISI") which is a
wholly-owned subsidiary of Equitable of Iowa Companies ("Equitable of Iowa").
Equitable of Iowa became an indirect wholly owned subsidiary of ING Groep, N.V.
("ING") on October 24, 1997. The Trust was organized as a Massachusetts business
trust on May 11, 1994, and offers nine portfolios, each having differing
investment objectives and policies: Money Market Portfolio, Mortgage-Backed
Securities Portfolio, International Fixed Income Portfolio, OTC Portfolio,
Research Portfolio, Total Return Portfolio, Advantage Portfolio, Value + Growth
Portfolio and Growth & Income Portfolio (each "Portfolio" or, collectively, "The
Portfolios"). On September 15, 1994, Equitable Life Insurance Company of Iowa
made the initial purchase of shares of beneficial interest in the amount of
10,000 shares for the Money Market Portfolio and 1,000 shares for each of the
other Portfolios other than the Value + Growth Portfolio and the Growth & Income
Portfolio. On March 28, 1996, Equitable Life Insurance Company of Iowa made the
initial purchase of shares of beneficial interest in the amount of 1,000 shares
for the Value + Growth Portfolio and 1,000 shares for the Growth & Income
Portfolio. The shares of the Trust are sold to certain life insurance companies'
separate accounts to fund the benefits under variable annuity and variable life
contracts issued by such life insurance companies, including Equitable Life
Insurance Company of Iowa and Golden American Life Insurance Company. All
Portfolios (except the Value + Growth and the Growth & Income Portfolios) began
investment operations on October 4, 1994 and the Value + Growth and the Growth &
Income Portfolios began investment operations on April 1, 1996.
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements.
ESTIMATES - The preparation of the financial statements in conformity with
generally accepted accounting principles may require management to make certain
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of these financial statements and the reported amounts
of income and expenses during the reporting period. Actual results could differ
from those estimates.
VALUATION OF INVESTMENTS - For all Portfolios except the Money Market Portfolio,
portfolio securities traded on a national securities exchange or quoted on the
NASDAQ National Market System are valued at the last reported sale price on the
principle exchange or reported by NASDAQ or, if there is no reported sale, and
in the case of over-the-counter securities not included on NASDAQ, at a bid
price. Debt securities, including zero-coupon securities, and certain foreign
securities are valued by a pricing service. Securities for which current market
quotations are not readily available are valued at fair value as determined in
good faith by the Trustees, or by an individual acting under the direction of
the Trustees. Prices for securities primarily traded in foreign markets are
expressed in the local currency's value and are translated into U.S. dollars at
the current rate of exchange. Short-term securities, including all securities in
the Money Market Portfolio and debt securities with a remaining maturity of 60
days or less, are valued at their amortized cost, which approximates market
value.
REPURCHASE AGREEMENTS - In connection with transactions in repurchase
agreements, the Trust's custodian takes possession of the underlying collateral
securities, the value of which is at least equal to the principal amount,
including interest, of the repurchase agreement. To the extent that the term of
any repurchase agreement exceeds one business day, the value of the collateral
is marked-to-market on a daily basis to ensure the adequacy of the collateral.
In the event of default of the obligation to repurchase, the Trust has the right
to liquidate the collateral and apply the proceeds in satisfaction of the
obligation. Under certain circumstances, in the event of default or bankruptcy
by the other party to the agreement, realization and/or retention of the
collateral or proceeds may be subject to legal proceedings.
INVESTMENT TRANSACTIONS - Investment security transactions are recorded on a
trade date basis. Realized gains and losses from security transactions are
determined on the basis of identified cost.
INVESTMENT INCOME - Dividend income is recorded on the ex-dividend date, except
certain dividends from foreign securities where the ex-dividend date may have
passed, which are reported as income when the Trust identifies the dividend.
Interest income, which includes certain accretion of original discount, is
accrued as earned. Investment income is recorded net of foreign taxes withheld
where recovery of such taxes is uncertain.
FOREIGN CURRENCY TRANSLATIONS - The records of the Trust are maintained in U.S.
dollars. Foreign currency amounts are translated into U.S. dollars at a current
rate of exchange of such currency to determine the value of investments, other
assets and liabilities. Purchases and sales of securities and income and
expenses are converted at the prevailing rate of exchange on the respective
dates of such transactions.
45
<PAGE> 109
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
A Portfolio may realize currency gains or losses between the trade and
settlement dates on security transactions. To minimize such currency gains or
losses, the Portfolio may enter into a foreign currency exchange contract for
the purchase or sale (for a fixed amount of U.S. dollars) of an amount of the
foreign currency required to settle the security transaction.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by a Portfolio on each day and the resulting net unrealized
appreciation, depreciation and related net receivable or payment amounts are
determined by using forward currency exchange rates supplied by a quotation
service.
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward currency
contracts, disposition of foreign currencies, currency gains and losses realized
between the trade and settlement dates on security transactions, and the
difference between the amount of net investment income accrued and the U.S.
dollar amount actually received.
FORWARD FOREIGN CURRENCY CONTRACTS - A forward foreign currency contract
("Forward") is an agreement between two parties to buy and sell a currency at a
set price on a future date. The market value of the Forward fluctuates with
changes in currency exchange rates. The Forward is marked-to-market daily and
the change in the market value is recorded by a Portfolio as an unrealized gain
or loss. When the Forward is closed, the Portfolio records a gain or loss equal
to the difference between the value at the time it was opened and the value at
the time it was closed. The Portfolio could be exposed to risk if a counterparty
is unable to meet the terms of the contract or if the value of the currency
changes unfavorably. The Portfolio may enter into Forwards in connection with
planned purchases and sales of securities, to hedge specific receivables or
payables against changes in future exchange rates or to hedge the U.S. dollar
value of Portfolio securities denominated in a foreign currency.
CURRENCY CALL AND PUT OPTIONS - A call option written by a Portfolio obligates
the Portfolio to sell specified currency to the option holder at a specified
price at any time before the expiration date. A put option written by a
Portfolio obligates the Portfolio to purchase specified currency from the option
holder at a specified price at any time before the expiration date. These
transactions involve a risk that a Portfolio may, upon exercise of the option,
be required to sell currency at a price that is less than its market value or be
required to purchase currency at a price that exceeds its market value. A
Portfolio may also realize gains or losses by entering into closing purchase
transactions identical to call or put options that have been written by the
Portfolio in order to terminate its obligation under a call or put option. In
determining the amount of gain or loss realized, the option premium paid and
related transactions costs are added to the exercise price.
DOLLAR ROLL TRANSACTIONS - A Portfolio may enter into dollar roll transactions,
in which a Portfolio sells securities for delivery in the current month and
simultaneously contracts to repurchase substantially similar (same type, same or
similar interest rate and maturity) securities on a specified future date.
During the roll period the Portfolio forgoes principal and interest paid on the
securities. The Portfolios account for such dollar rolls as financing
transactions, and are compensated by the interest earned on the cash proceeds of
the initial sale and by the lower repurchase price at a future date. To the
extent that a Portfolio has commitments under dollar roll transactions, liquid,
high grade debt securities are segregated in an amount equivalent to these
obligations. There were no dollar roll commitments outstanding at December 31,
1997.
EXPENSES - Expenses directly attributable to a Portfolio are charged to the
Portfolio. Expenses not directly attributable to a Portfolio are allocated among
the affected Portfolios. Certain costs incurred in connection with the
organization of the Trust and each Portfolio have been deferred and are being
amortized on a straight line basis over a five year period.
DISTRIBUTIONS TO SHAREHOLDERS - Each of the Portfolios (except the Money Market
Portfolio) declares and distributes dividends from net investment income and
distributes its net realized capital gains, if any, at least annually. The Money
Market Portfolio declares dividends daily and distributes monthly. All
distributions are paid in shares of the relevant Portfolio at net asset value.
Income and capital gains distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for market discount,
foreign currency transactions, losses deferred due to wash sales, "post October
31 losses" and excise tax regulations. Distributions are recorded on the
ex-dividend date.
FEDERAL INCOME TAXES - Each Portfolio is treated as a separate entity for
Federal income tax purposes. Each Portfolio intends to qualify each year as a
regulated investment company under Subchapter M of the Internal Revenue Code of
1986. By so qualifying, the Portfolios will not be subject to Federal income
taxes to the extent that they distribute all of their taxable income, including
realized capital gains, for the fiscal year. In addition, by distributing
substantially all of their net investment income, capital gains and certain
other amounts during the calendar year, the Portfolios will not be subject to a
Federal excise tax.
46
<PAGE> 110
NOTE 3 - AGREEMENTS AND FEES
The Trust has entered into an Investment Advisory Agreement (the "Agreement")
with EISI, under which EISI manages the business and affairs of the Portfolios
and the Trust. Under the Agreement, each Portfolio pays EISI a monthly fee at
the annual rate based on the average daily net assets of each Portfolio as
follows:
<TABLE>
<CAPTION>
ADVISORY FEES
-------------
<S> <C> <C>
Money Market Portfolio 0.375% of first $50 million
0.35% in excess of $50 million
Mortgage-Backed Securities Portfolio 0.75% of first $200 million
0.65% of next $300 million
0.55% of next $500 million
0.50% of next $1 billion
0.40% in excess of $2 billion
International Fixed Income Portfolio 0.85% of first $200 million
0.75% of next $300 million
0.60% of next $500 million
0.55% of next $1 billion
0.40% in excess of $2 billion
OTC, Research & Total Return Portfolios 0.80% of first $300 million
0.55% in excess of $300 million
Advantage Portfolio 0.50% of first $100 million
0.35% in excess of $100 million
Value + Growth Portfolio 0.95% of first $500 million
0.75% in excess of $500 million
Growth & Income Portfolio 0.95% of first $200 million
0.75% in excess of $200 million
</TABLE>
EISI has entered into Sub-Advisory Agreements with Credit Suisse Asset
Management Limited (formerly CS First Boston Investment Management Ltd.) with
respect to the International Fixed Income Portfolio, Massachusetts Financial
Services Company with respect to the OTC, Research and Total Return Portfolios
and Robertson, Stephens & Company Investment Management, L.P., with respect to
the Value + Growth and Growth & Income Portfolios; each of whom, under the
supervision of EISI, is responsible for the day-to-day investment management of
each of the Portfolios. On April 1, 1996, EISI assumed responsibility for the
day-to-day investment management of the Advantage Portfolio from Strong Capital
Management. The fees payable to the sub-advisors under the Sub-Advisory
Agreements are borne by EISI, and the Trust does not bear the direct cost of the
sub-advisory activities. EISI does not receive sub-advisory fees for the
Money-Market, Mortgage-Backed Securities and Advantage Portfolios.
EISI has agreed to voluntarily reimburse each Portfolio for all expenses
(excluding the advisory fee) that exceed .30% of the average daily net assets
for the Money Market and Advantage Portfolios, .50% of the average daily net
assets of the Mortgage-Backed Securities Portfolio, .75% of the average daily
net assets of the International Fixed Income Portfolio, and .40% of the average
daily net assets of the OTC, Total Return, Research, Value + Growth and Growth &
Income Portfolios (changed from .75% of the average daily net assets effective
February 3, 1997). This undertaking is subject to termination at any time
without notice to the shareholders. For the year ended December 31, 1997, EISI
has agreed to reimburse the Trust $122,226 for expenses in excess of the
voluntary expense limitations, of which $26,098 was owed to the Trust as of
December 31, 1997.
Each Trustee of the Trust who is not an interested person of the Trust or
Advisor or Sub-Advisor receives an annual fee of $6,000 and an additional fee of
$1,500 for each Trustees' meeting attended.
47
<PAGE> 111
NOTE 4 - INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding the
Money Market Portfolio and all short-term securities for the Trust, for the year
ended December 31, 1997, were as follows:
<TABLE>
<CAPTION>
Non-U.S. U.S. Non-U.S. U.S.
Government Government Government Government
Purchases Purchases Sales Sales
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Mortgage-Backed Securities....... $ 1,001,070 $ 6,667,769 $ -- $ 2,922,461
International Fixed Income....... 8,241,371 394,813 6,119,814 1,209,352
OTC.............................. 145,774,715 -- 101,023,284 --
Research......................... 251,033,845 -- 115,188,189 --
Total Return..................... 108,235,544 66,558,533 51,024,298 42,416,803
Advantage........................ 10,908,905 1,600,625 11,377,849 1,394,301
Value + Growth................... 148,863,748 -- 93,082,367 --
Growth & Income.................. 239,770,274 901,275 176,468,944 1,242,275
</TABLE>
The identified cost of investments in securities and repurchase agreements owned
by the Trust for federal income tax purposes and their respective gross
unrealized appreciation and depreciation at December 31, 1997 were as follows:
<TABLE>
<CAPTION>
Net
Gross Gross Unrealized
Identified Unrealized Unrealized Appreciation/
Cost Appreciation Depreciation (Depreciation)
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market..................... $ 35,598,667 $ -- $ -- $ --
Mortgage-Backed Securities....... 17,108,731 346,050 8,332 337,718
International Fixed Income....... 11,196,511 266,392 391,887 (125,495)
OTC.............................. 103,278,221 16,136,863 9,714,210 6,422,653
Research......................... 221,819,171 29,160,368 6,583,336 22,577,032
Total Return..................... 162,818,945 16,698,769 985,552 15,713,217
Advantage........................ 17,699,655 30,264 42,633 (12,369)
Value + Growth................... 72,276,317 7,389,312 3,408,711 3,980,601
Growth & Income.................. 111,317,908 13,500,860 3,884,467 9,616,393
</TABLE>
NOTE 5 - SHAREHOLDER TRANSACTIONS
Transactions in shares and dollars were as follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
--------------------------- ---------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold..................................... 102,433,107 $102,433,107 43,299,625 $ 43,299,625
Shares issued to shareholders in reinvestment of
dividends..................................... 1,634,516 1,634,516 615,473 615,473
Shares redeemed................................. (87,620,830) (87,620,830) (30,505,030) (30,505,030)
----------- ------------ ----------- ------------
Net increase.................................... 16,446,793 $ 16,446,793 13,410,068 $ 13,410,068
=========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE-BACKED SECURITIES PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
--------------------------- ---------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold..................................... 673,451 $ 7,363,783 723,505 $ 7,834,453
Shares issued to shareholders in reinvestment of
dividends..................................... 132,084 1,419,276 46,370 502,728
Shares redeemed................................. (237,370) (2,554,875) (517,091) (5,597,343)
----------- ------------ ----------- ------------
Net increase.................................... 568,165 $ 6,288,184 252,784 $ 2,739,838
=========== ============ =========== ============
</TABLE>
48
<PAGE> 112
NOTE 5 - SHAREHOLDER TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 574,229 $ 6,192,469 451,977 $ 5,052,351
Shares issued to shareholders in reinvestment of
dividends........................................ 123,463 1,314,326 39,922 443,273
Shares redeemed.................................... (519,578) (5,599,175) (275,956) (3,081,899)
---------- ------------ ---------- -----------
Net increase....................................... 178,114 $ 1,907,620 215,943 $ 2,413,725
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
OTC PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 4,441,443 $ 67,796,730 2,338,803 $32,591,217
Shares issued to shareholders in reinvestment of
dividends ....................................... 453,828 6,811,842 87,570 1,086,357
Shares redeemed.................................... (1,059,015) (16,500,271) (41,713) (553,591)
---------- ------------ ---------- -----------
Net increase....................................... 3,836,256 $ 58,108,301 2,384,660 $33,123,983
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
RESEARCH PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 8,748,698 $151,457,707 3,696,388 $54,264,879
Shares issued to shareholders in reinvestment of
dividends........................................ 547,082 9,454,599 29,426 392,354
Shares redeemed.................................... (786,315) (13,374,627) (110,466) (1,745,200)
---------- ------------ ---------- -----------
Net increase....................................... 8,509,465 $147,537,679 3,615,348 $52,912,033
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 6,753,656 $ 99,379,611 3,064,004 $38,670,842
Shares issued to shareholders in reinvestment of
dividends........................................ 498,505 7,367,301 33,107 397,108
Shares redeemed.................................... (157,164) (2,344,586) (41,981) (532,619)
---------- ------------ ---------- -----------
Net increase....................................... 7,094,997 $104,402,326 3,055,040 $38,535,331
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
ADVANTAGE PORTFOLIO
YEAR ENDED YEAR ENDED
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 1,027,871 $ 10,963,172 1,254,663 $13,234,277
Shares issued to shareholders in reinvestment of
dividends........................................ 126,816 1,328,534 41,159 419,439
Shares redeemed.................................... (850,644) (9,124,398) (492,025) (5,157,748)
---------- ------------ ---------- -----------
Net increase....................................... 304,043 $ 3,167,308 803,797 $ 8,495,968
========== ============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
VALUE + GROWTH PORTFOLIO
YEAR ENDED APRIL 1, 1996* TO
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold........................................ 5,752,136 $ 78,025,275 1,745,712 $18,222,782
Shares issued to shareholders in reinvestment of
dividends ....................................... 19,194 218,281 -- --
Shares redeemed.................................... (1,439,264) (19,118,849) (20,188) (208,125)
---------- ------------ ---------- -----------
Net increase....................................... 4,332,066 $ 59,124,707 1,725,524 $18,014,657
========== ============ ========== ===========
</TABLE>
49
<PAGE> 113
NOTE 5 - SHAREHOLDER TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
GROWTH & INCOME PORTFOLIO
YEAR ENDED APRIL 1, 1996* TO
DECEMBER 31, 1997 DECEMBER 31, 1996
-------------------------- ------------------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold......................................... 6,421,112 $ 91,268,138 3,387,238 $38,559,796
Shares issued to shareholders in reinvestment of
dividends ........................................ 746,751 10,730,642 -- --
Shares redeemed..................................... (1,282,562) (17,584,639) (18,974) (228,466)
---------- ------------ --------- -----------
Net increase........................................ 5,885,301 $ 84,414,141 3,368,264 $38,331,330
========== ============ ========= ===========
</TABLE>
* Date of commencement of investment operations.
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
At December 31, 1997, the outstanding forward exchange currency contracts, which
contractually obligate the Trust to deliver currencies at a specified date, were
as follows:
INTERNATIONAL FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR UNREALIZED
PURCHASED SOLD DATE DATE CURRENT VALUE DEPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NLG USD 02/06/1998 $ 400,000 $ 381,276 $(18,724)
DEM USD 03/16/1998 250,000 246,622 (3,378)
JPY USD 03/16/1998 1,018,095 1,012,433 (5,662)
---------- ---------- --------
$1,668,095 $1,640,331 $(27,764)
</TABLE>
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON UNREALIZED
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR APPRECIATION/
SOLD PURCHASED DATE DATE CURRENT VALUE DEPRECIATION
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GBP USD 01/26/1998 $ 900,247 $ 921,729 $(21,482)
NLG USD 02/06/1998 542,753 523,182 19,571
AUD USD 02/27/1998 232,900 220,139 12,761
CAD USD 02/27/1998 133,455 132,386 1,069
DKK USD 03/03/1998 521,725 511,237 10,488
SEK USD 03/16/1998 387,918 381,027 6,891
---------- ---------- --------
$2,718,998 $2,689,700 $ 29,298
Net Unrealized Appreciation of Forward Foreign Currency
Contracts.................................................... $ 1,534
--------
</TABLE>
RESEARCH PORTFOLIO
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR UNREALIZED
PURCHASED SOLD DATE DATE CURRENT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CHF USD 01/07/1998 $ 164,156 $ 164,086 $(70)
----
Net Unrealized Depreciation of Forward Foreign Currency
Contracts..................................................... $(70)
----
</TABLE>
50
<PAGE> 114
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS (CONTINUED)
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON
CURRENCY CURRENCY SETTLEMENT ORIGINATION U.S. DOLLAR UNREALIZED
PURCHASED SOLD DATE DATE CURRENT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DEM USD 01/06/1998 $ 113,790 $ 113,151 $ (639)
NLG USD 01/06/1998 112,787 112,115 (672)
---------- ---------- --------
$ 226,577 $ 225,266 $ (1,311)
Net Unrealized Depreciation of Forward Foreign Currency
Contracts..................................................... $ (1,311)
--------
</TABLE>
GLOSSARY OF TERMS
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DEM - Deutsche Mark
DKK - Danish Kroner
GBP - Great British Pound
JPY - Japanese Yen
NLG - Dutch Guilder
SEK - Swedish Krona
USD - United States Dollar
NOTE 7 - CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Portfolios indicated below have capital
loss carryforwards as of December 31, 1997 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
EXPIRING
IN 2005
--------
<S> <C>
Money Market Portfolio.................... $ 3,127
Mortgage-Backed Securities Portfolio...... 17,966
Value + Growth Portfolio.................. 171,187
</TABLE>
NOTE 8 - SUBSEQUENT EVENT
Effective January 2, 1998, Directed Services, Inc. ("DSI"), an affiliate of
EISI, is assuming the advisory responsibilities of EISI. DSI is also assuming
all responsibilities for the management of sub-advisors pursuant to the terms of
the Sub-Advisory Agreements. EISI's management personnel are becoming a part of
DSI and will continue the oversight of portfolio management.
Effective January 2, 1998, ING Investment Management, LLC ("IIMLLC"), an
affiliate of EISI, assumed the portfolio management responsibilities of EISI,
for the Money Market Portfolio, the Mortgage-Backed Securities Portfolio and the
Advantage Portfolio of the Trust. The EISI personnel who manage these portfolios
have moved to IIMLLC and no changes in investment personnel are anticipated for
any portfolio.
51
<PAGE> 115
EQUI-SELECT SERIES TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
At a Special Meeting of Shareholders of the Trust held on October 9, 1997, the
following actions were taken:
(1) The new Investment Advisory Agreement between the Trust and Equitable
Investment Services, Inc. to become effective upon the merger of Equitable of
Iowa with PFHI Holdings, Inc. was approved by the shareholders of the Trust as
follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
------------------------------------------------------
<S> <C> <C> <C> <C>
71,360,107 1,601,777 4,150,807 77,112,691
</TABLE>
(2) The new Sub-Advisory Agreement between the Trust, EISI and each Portfolio's
corresponding Sub-Advisor to become effective upon the merger of Equitable of
Iowa with PFHI was approved by the shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
-----------------------------------------------------
<S> <C> <C> <C> <C>
International Fixed Income Portfolio................... 1,025,834 2,837 46,178 1,074,849
OTC Portfolio.......................................... 4,967,521 61,155 378,727 5,407,403
Research Portfolio..................................... 9,279,749 87,246 680,828 10,047,823
Total Return Portfolio................................. 7,945,997 62,354 491,536 8,499,887
Value + Growth Portfolio............................... 3,420,870 39,957 204,505 3,665,332
Growth & Income Portfolio.............................. 5,734,505 127,079 343,850 6,205,434
</TABLE>
(3) The new Sub-Advisory Agreement between the Trust, EISI and Robertson,
Stephens to be effective upon the merger of Robertson, Stephens & Company
Investment Management, L.P. with BankAmerica Corporation, was approved by the
shareholders of the Portfolios as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
----------------------------------------------------
<S> <C> <C> <C> <C>
Value + Growth Portfolio................................ 3,431,426 31,762 202,144 3,665,332
Growth & Income Portfolio............................... 5,735,579 130,452 339,403 6,205,434
</TABLE>
52
<PAGE> 116
TAX INFORMATION - (UNAUDITED)
THE EQUI-SELECT SERIES TRUST
FISCAL YEAR ENDED DECEMBER 31, 1997
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1997, were as follows:
<TABLE>
<S> <C> <C>
International Fixed Income Portfolio................. $ 56,119
OTC Portfolio........................................ 48,308
Research Portfolio................................... 2,472,944
Total Return Portfolio............................... 1,700,455
Growth & Income Portfolio............................ 20,061
</TABLE>
53
<PAGE> 117
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
To the Contract Holders and Trustees
Equi-Select Series Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Equi-Select Series Trust (the "Trust")
(comprising, respectively, the Money Market, Mortgage-Backed Securities,
International Fixed Income, OTC, Research, Total Return, Advantage, Value +
Growth, and Growth & Income Portfolios) as of December 31, 1997, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1997, by correspondence with the custodian
and brokers, or other appropriate auditing procedures where replies from brokers
were not received. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Equi-Select Series Trust at December
31, 1997, the results of their operations for the year then ended, the changes
in their net assets for each of the two years in the period then ended, and the
financial highlights for each of the periods indicated therein, in conformity
with generally accepted accounting principles.
ERNST & YOUNG LLP
Boston, Massachusetts
February 20, 1998
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<PAGE> 120
EQUI-SELECT SERIES TRUST
------------------------
TRUSTEES AND EXECUTIVE OFFICERS
Paul R. Schlaack, Trustee, Principal Executive Officer and President*
J. Michael Earley, Trustee
R. Barbara Gitenstein, Trustee
Elizabeth Newell, Trustee
Stanley B. Seidler, Trustee
Paul E. Larson, Treasurer and Principal Financial Officer
Myles R. Tashman, Secretary
Eric J. Engstrom, Principal Accounting Officer
Kimberly K. Krumviede, Vice President
* Interested Trustee
------------------------
Blazzard, Grodd & Hasenauer, P.C., Legal Counsel
Equitable Investment Services, Inc., Investment Adviser
Ernst & Young, LLP, Independent Auditors
- ------------------------------------------------------------------------------
The information contained in this report is intended for general informational
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Trust and Separate Account
prospectuses which contain important information concerning the Trust, the
Company, and its current public offering of variable contracts.
- ------------------------------------------------------------------------------
<PAGE> 121
The PrimElite Variable Annuity is distributed by Equitable of Iowa Securities
Network, Inc., an affiliate of Equitable Life Insurance Company of Iowa.
Equi-Select Series Trust
909 LOCUST - DES MOINES, IA - 50309-2899
Equi-Select Trust
909 LOCUST
DES MOINES, IA - 50309-2899 Bulk Rate
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