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MORGAN STANLEY DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
SELECT
DIMENSIONS
SEMI-ANNUAL REPORT
JUNE 30, 1999
MORGAN STANLEY DEAN WITTER
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LETTER TO THE SHAREHOLDERS JUNE 30, 1999
DEAR SHAREHOLDER:
Most of the world's major equity markets posted gains during the six-month
period ended June 30, 1999, as concerns over the Asian financial crisis and its
contagion effects eased. However, volatility remained high throughout the first
half of 1999 as the continued strength of the U.S. economy and investor concern
over renewed inflation resulted in higher domestic interest rates.
MARKET OVERVIEW
U.S. EQUITY MARKET
Over the course of the first half of 1999, the U.S. economic outlook changed,
and consequently so did the market leadership. The year began much as 1998
ended, with expectations for modest, below-trend global economic growth
accompanied by continued deceleration of inflation. Against this backdrop, the
same growth stocks that led in 1998 (financials, retail, Internet and
technology) outperformed in early 1999.
By the second quarter, however, expectations began to change as it became
evident that the first-quarter U.S. economic and profit growth had been much
stronger than expected. Also, economies of Asia outside of Japan were rebounding
much more quickly and strongly than anticipated. In Europe, evidence began to
build that the consumer market there was gradually reviving. Given all these
developments, investors began to lift their assumptions of global growth.
Responding to these upward revisions in global economic expectations, commodity
indexes moved upward for the first time in several years, pulling interest rates
up with them. These events together led to a rotation in sector leadership away
from more expensively priced domestic growth stocks to more globally exposed
value and economically sensitive stocks.
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DOMESTIC FIXED-INCOME MARKET
Interest rates in the United States moved steadily higher over the past six
months. Investors grew increasingly uneasy over indications that the U.S.
economy was still growing robustly, raising concerns that higher interest rates
and inflation might be just around the corner. Even though most inflation
indicators remained within tolerable limits, tight labor markets combined with
high levels of consumer spending and confidence to worry investors. A shift in
investors' preferences from U.S. Treasuries towards higher-yielding asset
classes also contributed to the bond market sell-off. Between December 31, 1998
and June 30, 1999, the yield on the benchmark 10-year U.S. Treasury bond rose
114 basis points.
The market breathed a sigh of relief on June 30 when a widely anticipated 25
basis-point hike in the federal-funds rate occurred and the Federal Reserve
Board announced that it would wait for evidence that inflation was accelerating
before increasing rates again. After rallying briefly on the decision of the
committee to drop their so-called bias toward higher interest rates and return
to a neutral directive, the market resumed its sell-off. Although the tone of
the Federal Open Market Committee's statements and the removal of the supposed
bias lessened the likelihood of another rate hike in August, the possibility
still exists and is considered likely by a growing number of analysts.
HIGH YIELD BOND MARKET OVERVIEW
Late 1998 fears of a worldwide economic slowdown were replaced in early 1999 by
concerns over a rapidly growing economy and the potential for inflationary
pressures to build. As a result of these inflation concerns, interest rates rose
substantially during the first half, resulting in a significant weakness in the
high-quality fixed-income markets. While the threat of inflation and higher
interest rates are clearly also a negative factor for the high-yield market, the
reality of continued economic growth and strong corporate earnings helped to
maintain stability in the high-yield marketplace. As a result, the high-yield
market was one of the best performing fixed-income sectors during the first half
of 1999.
EUROPEAN EQUITY MARKETS
The six-month period ended June 30, 1999 saw the European equity markets
continue their recovery from the sharp falls occasioned by the Asian and
emerging markets crises of mid-1998. The key economic event of the period was
the successful launch of the European Monetary Union (EMU) on January 1. The 11
first-wave members -- Germany, France, Italy, Spain, The Netherlands, Belgium,
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Austria, Luxembourg, Portugal, Ireland and Finland -- successfully transferred
control of their monetary policy to the European Central Bank (ECB). The process
occurred smoothly as the ECB assumed responsibility for interest-rate policy
across the newly created eurozone.
While the economic crises in Asia, Latin America and Russia continued to have a
negative effect on Europe's economies, economic developments within Europe
itself were generally positive and improving. Inflation remains low and stable,
and interest rates have been cut by the ECB and the Bank of England. Consumer
confidence has been improving in most economies and the weakness of the euro
relative to the dollar has been helping export-related companies. Economic
growth is expected to accelerate significantly in late 1999 and 2000.
Against this background, the European equity markets generally performed well.
First-quarter corporate earnings reports were in line with expectations.
Takeover and merger activity continued to be strong, with unprecedented
developments in a number of key industries (e.g., an unsolicited bid by BNP for
Societe Generale and Paribas, and a contested takeover approach by Olivetti for
Telecom Italia). Individual and corporate investors in Europe have continued to
move assets out of bonds and into equities.
ASIAN AND JAPANESE EQUITY MARKETS
All the major Asian markets performed well during the first half of 1999, with
South Korea, Indonesia, China and Thailand leading the way. The Asian markets
have risen for a variety of reasons, but probably the most important single
factor has been the restoration of confidence among domestic and foreign
investors once exchange rates stabilized and economies bottomed after the shock
of the Asian crisis. The currency stability, established in the second half of
1998 allowed local governments to ease monetary policy and bring interest rates
down quickly. Lower interest rates have eased the banking crisis in many
countries, reduced government financing costs, lowered the cost of capital for
businesses and encouraged local investors to shift from fixed-income to equity
investments.
The power of high Asian savings rates has been illustrated by the ability of
local retail and institutional investors to subscribe to a heavy calendar of new
corporate equity issues. This new equity has helped many Asian companies repair
their balance sheets and removed the risk of corporate distress, thus enhancing
equity valuations. Asian countries have needed to raise new equity without
incurring additional debt from foreign investors. The absence of heavy bond
financing requirements has in this regard mitigated the negative effects of
rising international bond yields and
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the small U.S. Federal Reserve interest-rate increase. Although the economic
recovery under way in many countries should not be characterized as export led,
an increase in export orders -- particularly for electronic components -- has
been a positive, especially for the economies of Singapore, Taiwan and Malaysia.
Finally, after several years of economies and corporate earnings being
disappointing on the downside, we are now in an environment of rising
expectation, where forecasts of economic activity have been continually revised
upward across most of the region.
The Japanese equity markets continued to rise during the second quarter of 1999.
In part, this growing optimism among investors stemmed from the weakness of the
yen as the Bank of Japan maintained its intervention policy as well as guiding
short-term interest rates to zero. A recovery in the Asian stock market and
economic activity also helped the overall sentiment. Signs of an improvement in
the Japanese fundamentals, including a surprisingly strong preliminary release
of first-quarter GDP at an annualized rate of 7.9 percent, set investors
scrambling to raise their equity allocations to Japan.
EMERGING EQUITY MARKETS
The emerging equity markets continued to rally during the first half of 1999,
reflecting the improved outlook for Asia and Latin America. Stock prices surged
early in the quarter on the back of rebounding commodity prices, stability in
Brazil and lower interest rates, which created a more optimistic outlook for
global economic growth. Despite concerns about higher U.S. interest rates, the
emerging markets were encouraged by favorable news regarding signs of stronger
economic growth in Japan and Europe. Although the IMF recently lowered its 1999
global growth forecast, it revised world output for 2000 upward to 3.4 percent.
AMERICAN OPPORTUNITIES PORTFOLIO
For the six-month period ended June 30, 1999, the American Opportunities
Portfolio produced a total return of 14.42 percent versus 12.38 percent for the
Standard & Poor's 500 Composite Stock Price Index (S&P 500) and 12.62 percent
for the Lipper Variable Annuity Growth Underlying Funds Average.
Throughout the first half of 1999, the Portfolio's performance continued to be
driven by its sector-rotation approach. The Portfolio looks to capitalize on
change by overweighting sectors we believe are best positioned to show
above-average earnings growth relative to that of the S&P 500. Early in the year
the Portfolio was focused on the same domestically oriented growth industries
that it owned in 1998. At that time the U.S. economy was by far the strongest
major economy in the world and the
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portfolio was tilted toward industries and companies that would best stand to
benefit more from domestic trends. The major sector emphases included
beneficiaries of decelerating inflation and declining interest rates, which
stimulated consumer spending. Among the sectors emphasized were interest-related
industries (e.g., banks, brokerages, miscellaneous financials, life insurance,
autos, consumer electronics, retailing and restaurants), selective technology
groups (e.g., high growth, non-commodity groups like the Internet, communication
equipment and select semiconductor stocks), domestic industries with internal
growth drivers (e.g., radio, cable companies, broadcasters and satellite
companies) and steady growth industries (e.g., drugs, domestic and foreign
wireless and wireline telephone companies).
In the second quarter, the Portfolio was broadened to include industries with
greater global exposure and economic sensitivity, given growing signs of
economic revival abroad and continued strength on the domestic front. The
industries sold or reduced in order to fund purchases in more economically
sensitive and globally exposed groups included banks, autos, drugs, cable,
consumer staples and miscellaneous financials. The cyclical and industrial
groups added or expanded included basic cyclicals, capital goods companies,
energy and energy services, and makers of semiconductors and semiconductor
equipment.
We believe that the global economy will rebound to a more-normalized,
pre-emerging markets crisis rate of growth over the next eighteen months. We
expect that this leveling off should occur as economies in emerging markets and
Japan increasingly stabilize and move ahead. Likewise, we believe that the
European bloc will work its way back to its pre-contagion growth rates, driven
by an improvement in exports and a revival in consumer spending. The Portfolio
has positioned itself for this global acceleration with purchases made in the
technology, industrial and basic cyclical sectors. Many component suppliers in
these sectors may also benefit from a Y2K effect during the second half of 1999.
U.S. domestic growth, while likely to slow from its previous torrid growth pace,
should remain solid. We expect that positions in media, health care, consumer
electronics, business services and in select retail and financial stocks will
benefit from this domestic outlook.
BALANCED GROWTH PORTFOLIO
For the six-month period ended June 30, 1999, the Balanced Growth Portfolio
produced a total return of 8.57 percent versus 12.38 percent for the Standard &
Poor's 500 Composite Stock Price Index (S&P 500), -1.37 percent for the Lehman
Brothers Aggregate Bond Index and 6.12 percent for the Lipper Variable Annuity
Balanced Underlying Funds Average.
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On June 30, 1999, the Portfolio's asset mix was 65 percent equities and 35
percent fixed-income securities. The Portfolio's equity segment was relatively
fully invested, with 27 common stocks of large-capitalization companies spread
among 23 different industry groups. During the six-month period under review no
positions were added to the portfolio, nor were any liquidated.
As the cash flow permitted, the Portfolio purchased current-coupon mortgages at
very attractive levels, enhancing the Portfolio's total return potential. On
June 30 the Portfolio's fixed-income assets were allocated as follows: 67
percent in mortgage-backed securities, 24 percent in U.S. Treasuries, 9 percent
in U.S. corporate obligations, 5 percent in U.S. agency obligations and 3
percent in cash equivalents.
DEVELOPING GROWTH PORTFOLIO
For the six-month period ended June 30, 1999, the Developing Growth Portfolio
produced a total return of 21.13 percent versus 12.38 percent for the Standard &
Poor's 500 Composite Stock Price Index (S&P 500), 9.28 percent for the Russell
2000 Index and 9.90 percent for the Lipper Variable Annuity Small-Cap Underlying
Funds Average.
The Portfolio continues to invest in companies with strong fundamentals and
attractive valuations. As of June 30, 1999, the Portfolio was overweighted in
the technology, health care and consumer sectors, where it believes growth
momentum remains strong. Among the Portfolio's largest equity holdings are
Marshall Industries, Backweb Technology, Advanced Energy Industries, Power
Integration and Powertel.
As we move into the second half of the fiscal year the Portfolio is slowly
increasing its cash position. Near-term concerns over a possible consumer
spending slowdown and the potential effects of Y2K have resulted in the
Portfolio focusing on companies with good earnings visibility.
DIVERSIFIED INCOME PORTFOLIO
For the six-month period ended June 30, 1999, the Diversified Income Portfolio
produced a total return of -0.72 percent versus -0.58 percent for the Lehman
Brothers Government/Corporate Intermediate Bond Index and -0.53 percent for the
Lipper Variable Annuity General Bond Underlying Funds Average.
GLOBAL SHORT-TERM BOND COMPONENT. With rising U.S. interest rates putting
pressure on global investment-grade bonds, the average maturity of the global
bond component was kept around two years. As opportunities developed in the
Scandinavian markets, funds were swapped out of the
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United States and core European markets into Sweden and Norway. These
Scandinavian investments also dampened the impact of the decline in the euro
relative to the U.S. dollar, because the Swedish and Norwegian currencies were
perceived to be somewhat less vulnerable to the surge in the dollar against the
currencies of most developed countries.
On June 30, approximately 58 percent of the global component was invested in
European markets (approximately 14 percent each in Sweden, Norway and Denmark
and about 8 percent each in the United Kingdom and continental Europe). A
portion of the European currency exposure was hedged to lessen the effect of
currency fluctuations. The remaining portion was divided between New Zealand and
the United States. This component remained invested in securities rated AA or
better with maturities of three years or less from the date of purchase.
U.S. GOVERNMENT/MORTGAGE COMPONENT. During this period, as cash flows permitted,
we purchased current-coupon mortgages at very attractive levels, enhancing the
Fund's prospects for higher total returns. As of June 30, 1999, the component's
assets were invested as follows: 72 percent in mortgage-backed securities, 19
percent in U.S. agency obligations and 9 percent in U.S. Treasuries.
HIGH YIELD BOND COMPONENT. During the period under review, the high-yield bond
component's significant, long-term core position in the B-rated sector of the
market experienced modest price declines related to the general weakness in the
fixed-income markets. However, these declines were more than offset by the
market's high coupon income during the first half of 1999.
The high-yield bond component continues to concentrate on industry sectors that
have historically proven to be more predictable, recession resistant and growth
oriented, such as cable television, cellular, food and beverages, media and
telecommunications. We believe these industry groups are poised to perform well
over the next year given the steady growth prospects of these sectors and the
expected continued consolidation and merger activity within these industries,
which should lead to improved credit quality. We continue to focus primarily on
domestic companies, given the more favorable outlook for the U.S. economy, and
are avoiding the more-volatile emerging foreign high-yield markets.
DIVIDEND GROWTH PORTFOLIO
For the six-month period ended June 30, 1999, the Dividend Growth Portfolio
produced a total return of 12.80 percent versus 12.38 percent for the S&P 500
and 11.70 percent for the Lipper Variable Annuity Growth and Income Underlying
Funds Average.
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The Portfolio's outperformance of its Lipper peer group was due largely to its
disciplined stock selection process, which emphasizes, among other things, a
cash-dividend payment. One of the Portfolio's primary objectives is to provide
reasonable current yield. While this tilt toward yield may dampen the
Portfolio's relative performance slightly, it can also provide significant
stability during volatile markets, as was the case during the past six months.
On June 30, the Portfolio was relatively fully invested. Portfolio transactions
during this period included the reallocation of assets to reflect more accurate
use of the dividend growth discipline. To implement this rebalancing, several
positions were partially liquidated to fund the purchase of additional equity
positions. These new positions were added as a means in which to use the
Portfolio's assets more effectively. At the end of June the Portfolio was
invested in 98 common stocks spread among 50 different industry groups.
EMERGING MARKETS PORTFOLIO
For the six-month period ended June 30, 1999, the Emerging Markets Portfolio
produced a total return of 37.05 percent versus 37.25 percent for the
International Finance Corporation's Investable Emerging Markets Total Return
Index and 33.90 percent for the Lipper Variable Annuity Emerging Markets
Underlying Funds Average.
ASIA AND THE PACIFIC
During the first half of 1999, the Asian equity markets continued to surge to
new recovery highs. The driving forces were abundant liquidity, low interest
rates, stable currencies and recovering economies. Asia appears to be finally on
the mend, moving from the "bust" part of the economic cycles typical of emerging
markets into the recovery part of the cycle, which could eventually lead to
another seeming "boom" period of sustainable growth. Whereas previously Asia had
been driven very much by the asset and services cycle of property and banking,
the new sources of growth rest on the much sounder basis of tradable goods such
as the exports derived from the industrialized economies of Korea and Taiwan.
Such growth provides a much sounder foundation to the longer-term prospects for
Asia. TCW Funds Management, Inc., the Portfolio's sub-advisor, remains positive
on the outlook for Asia and considers it the most attractive of the emerging
market regions.
LATIN AMERICA
The Latin American equity markets began the year on a turbulent note as the
Brazilian central bank widened the trading band of the real and ultimately
allowed the currency to float freely in mid-January. Despite sharp declines
immediately following the devaluation, most of the region's markets
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rebounded quickly, due to proactive efforts by Brazilian authorities to restore
investor confidence. Although the Latin American markets have staged an
impressive rally thus far in 1999, in order to sustain this rally a
strengthening global economy is necessary to absorb Latin American exports and
continue the current virtual circle. Also, there must be a willingness on the
part of global investors to purchase Latin American stocks, because they
represent value or because of a perception that the equity markets have already
discounted the bottom of the current economic cycle.
EMERGING EUROPE, THE MIDDLE EAST AND AFRICA
In the EMEA (Emerging Europe, Middle East and Africa) region, the Balkan
conflict had a negative impact both on local investor sentiment and
international asset allocation decisions throughout much of the period. Although
the region remains volatile, the recent end of the war has decreased the
region's political uncertainty and improved the economic outlook for such
neighboring countries as Greece and Hungary. Emerging Europe is experiencing a
period of relatively sluggish output growth and high interest rates. The
prospect for a sharp contraction of the trade deficits in the region hinges to a
large extent on EU and German import demand. German demand for Central European
imports has steadily declined since early 1998 but exhibited the first signs of
a revitalization in June. With interest rates expected to fall sharply and an
improved outlook for earnings momentum, the region is poised for improving stock
market performance. The Portfolio remains overweighted in Poland, Hungary,
Turkey and Israel.
The Russian financial markets have once again been subject to intense volatility
following the sacking of Prime Minister Primakov. Later in the period, however,
the market rallied strongly and the Portfolio shifted from a significantly
underweighted allocation to a neutral position and stock prices ended the first
half of 1999 up 151.2 percent in U.S. dollar terms. Russia's short-term economic
outlook is improving as producers continue to benefit from the weaker ruble and
a growth in prices for Russian raw materials.
In South Africa, the market gained 25.5 percent during the first half of 1999,
driven higher principally by mining shares (on the back of higher global
commodity prices) and aggressive rotation into other cyclical sectors (notably
steel and paper). The elections to replace President Nelson Mandela went
extremely smooth and his successor, Thabo Mbeki, has nominated a sound cabinet.
After the elections the currency recovered and banks lowered interest rates to
18 percent. On June 30, 1999, the Portfolio was underweighted in South African
issues.
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At the end of the first half of 1999, the Portfolio's largest holdings were
South Korea (17.0 percent), Taiwan (15.4 percent), Mexico (11.7 percent), South
Africa (11.0 percent), Brazil (7.3 percent), Greece (5.3 percent), Turkey (4.1
percent), Poland (3.7 percent), Israel (3.3 percent) and Hong Kong (1.9
percent). The Portfolio also held smaller positions in India, Chile, the
Philippines, Hungary, Argentina, Russia, Peru, Thailand and Colombia. At the end
of the quarter the Portfolio held a cash position of 3.8 percent.
The outlook for emerging markets has improved considerably in the period under
review, due to abundant liquidity flows into most regions. These flows have
helped bring down interest rates and allowed economies to start recovering, most
notably in Asia. Any economic recovery in Japan or Europe will benefit the Asian
and the EMEA regions, where prospects continue to look favorable. Latin America
continues to be more tied to the United States. Provided that the U.S. economy
continues to perform well and interest rates are not raised further, recoveries
can be anticipated in Latin America next year. For the first time in several
years, all the emerging market economies
appear to be moving in the same upward direction.
GLOBAL EQUITY PORTFOLIO
For the six-month period ended June 30, 1999, the Global Equity Portfolio
produced a total return of 9.12 percent, compared to 8.69 percent for the Morgan
Stanley Capital International (MSCI) World Index and 11.47 percent for the
Lipper Variable Annuity Global Underlying Funds Average.
The European equity markets have been disappointing, down 2.4 percent, as
mirrored by the performance of the euro. Introduced with great fanfare on
January 1, the euro found its value versus the dollar eroded by 12.2 percent as
economic momentum remains strong in the United States but stays weak in Europe.
The big positive surprise to date has been the rally in Japan. After nine years
of economic stagnation, recent measures of economic activity suggest that an
economic rebound is coming. The Japanese market, up 20.4 percent, responded
favorably to the combination of stronger economic signals and a host of
restructuring announcements among companies. The U.S. market (up 12.38 percent)
continued to perform positively despite the potential for an increase in
interest rates.
Performance in emerging markets has rebounded on the back of a stronger Japanese
market and a rise in commodity prices. In Asia, Korea (up 75.9 percent),
Singapore (up 60.4 percent) and Hong Kong (up 31.5 percent) all enjoyed strong
rises. Returns in Latin America (up 31.6 percent) have
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been more subdued, because of the devaluation in Brazil earlier in the year.
Much of the region's positive performance is attributable to the Mexican market,
which advanced 51.2 percent on the back of a sharp rise in the price of oil.
The Portfolio's asset allocation targets are 40 percent in Europe (overweighted
versus the MSCI World Index), 38 percent in North America (underweighted), 12
percent in Japan (market weighted), 8 percent in Asia (overweighted) and 2
percent in Latin America (overweighted). The Fund's overweighted position in
Europe has not affected overall performance versus the MSCI Index; however, it
has impaired the Portfolio's performance relative to its Lipper peer group.
Looking ahead, the weak euro should rekindle economic growth, and more favorable
equity market performance.
GROWTH PORTFOLIO
For the six-month period ended June 30, 1999, the Growth Portfolio produced a
total return of 15.07 percent versus 12.38 percent for the S&P 500 Index and
12.62 percent for the Lipper Variable Annuity Growth Underlying Funds Average.
The Portfolio's non-traditional growth stock holdings drove its performance over
the period under review, with Tyco and United Technologies contributing to the
overall return. Tyco became the Portfolio's largest holding late in the first
quarter when pressure from the acquisition of AMP led the Portfolio to again
increase its position. Subsequent to the AMP acquisition, Tyco also announced
further acquisitions of Raychem and several smaller niche companies.
During the period, Gulfstream Aerospace agreed to be acquired by General
Dynamics. Once the deal closes in the third quarter, the portfolio will hold
about a 2 percent position in General Dynamics. Morgan Stanley Dean Witter
Investment Management Inc., the Portfolio's sub-advisor, views General Dynamics
as one of its non-traditional growth holdings. The company has been increasing
its earnings per share (EPS) at an annual rate of about 15 percent. With its
strong balance sheet and astute management, the sub-advisor believes the company
can grow its EPS at 10 percent or so, and about 15 percent after taking into
account acquisitions such as Gulfstream Aerospace and the subsequently announced
GTE defense unit purchase.
"Embedded" Internet exposure, one of the Portfolio's key sector themes, came
about as a result of our stock research. The sub-advisor believes the Internet
phenomenon is permanently altering the way businesses interact with customers
and interface with other businesses. However, rather than choosing to own the
"dot.com" company du jour, the sub-advisor has opted for exposure to Internet
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content, advertising/media, telecom/satellite infrastructure and hardware plays
through several well-established companies such as Clear Channel Communications,
Comcast, Time Warner, AT&T, MCI Worldcom, Cisco, Sun Microsystems and Hughes
Electronics. In total, embedded Internet companies accounted for about 25
percent of the portfolio on June 30. The sub-advisor believes that this figure
actually understates the Portfolio's "embedded" exposure, because it excludes
its 4.6 percent stake in Microsoft (a clear Internet beneficiary) as well as
tower antennae companies such as American Tower and Crown Castle (1.1 percent),
which will benefit from the proliferation of wireless devices that can provide
Internet connectivity. Even General Electric (a 4.3 percent holding) can be
considered an embedded Internet play, through its NBC subsidiary.
After increasing the Portfolio's health-care exposure in the first quarter from
just over 10 percent to about 14 percent by March 31, the Portfolio's weighting
remained fairly stable during the second quarter. However, opportunistic
investments and sales in the second quarter led the mix of investments toward
companies the Portfolio's sub-advisor believe have more powerful business
momentum. Toward this end, the Portfolio eliminated its investment in Bausch &
Lomb after a substantial run-up in its stock price. The sub-advisor increased
the Portfolio's positions in Bristol-Myers Squibb and Warner Lambert because it
believes the investment community does not fully appreciate their earnings
potential. Bristol-Myers is one of only a handful of drug companies that will
experience accelerating earnings growth over the next few years. The sub-advisor
believes Warner Lambert should maintain its growth rate in the industry through
2000. Proposed Medicare legislation and a strengthening economy (which makes
stable pharmaceuticals earnings growth look relatively less attractive) have led
to a nearly 20 percent relative underperformance for the drug group for the year
to date. The sub-advisor believes these stocks are near their relative lows and
will look to add to them opportunistically.
As a reminder, the Portfolio seeks long-term capital appreciation by investing
in growth-oriented equity securities of medium- and large-capitalization --
predominately U.S. -- corporations. The portfolio tends to be diversified by
issue; we held 78 securities at June 30. The portfolio remains a mix of
"classic" growth stocks such as Microsoft, General Electric, Cisco, Merck and
Intel as well as less traditional growth names like Tyco International, United
Technologies and Clear Channel Communications. At quarter-end, the Portfolio's
largest position was Tyco, representing 6.9 percent of the portfolio, with the
ten largest holdings accounting for 38.5 percent of the assets. The sub-advisor
continues to believe that its philosophy of opportunistic concentration (of
which the weighting in Tyco is a good example) will lead to above-index
performance.
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MID-CAP GROWTH PORTFOLIO
For the six-month period ended June 30, 1999, the Mid-Cap Growth Portfolio
produced a total return of 14.05 percent, versus 6.87 percent for the Standard &
Poor's Mid-Cap Index and 13.00 percent for the Lipper Variable Annuity Mid-Cap
Underlying Funds Average.
The Portfolio performed in the top third of its Lipper peer group for the first
half of the year. The Portfolio's overweighted exposure to mid-cap technology
and energy issues contributed to its relative outperformance.
As of June 30, 1999, the Portfolio's net assets totaled slightly more than $31.6
million, with approximately 31 percent invested in the technology and capital
goods sectors, 38 percent in the consumer and consumer-related sectors, 12
percent in the basic industry and economically sensitive sectors and 15 percent
in the financial services and interest-rate-sensitive sectors. Cash represented
the balance of the Portfolio's assets. At the end of the second quarter the
Portfolio owned 70 stocks.
Over the course of the last six months, mid-cap stocks have underperformed the
larger caps. Although the S&P 400 Mid-Cap Index has traded at less than half the
multiple of the S&P 500, investors have preferred to keep their money in larger,
more liquid issues. With this in mind we have selected stocks for the Portfolio
that we believe are poised to show solid earnings growth for the next several
quarters. Certain issues in the energy and technology sectors have contributed
sharply to the Portfolio's performance for the first half of the year and both
sectors have outperformed the broad market over the last several months.
From a macroeconomic perspective, the issue of rising interest rates continues
to scare investors. In this environment, larger companies are becoming
increasingly aware of expenses affecting their margins. We have witnessed some
of the larger companies "squeezing" some of their suppliers on pricing. A great
number of the companies that supply larger companies fall into the mid-cap
universe. As we started to become aware of this loss of pricing power that some
mid-cap companies were facing, we chose to stay invested in companies that had
proprietary products and stable pricing in their industries. Furthermore, as
some equity markets in the emerging countries continue to improve we are
anticipating money from larger-cap names being repatriated into the domestic
U.S. markets. A liquidity outflow from some large-cap stocks could provide an
opportunity for mid-cap issues to outperform on a relative basis.
13
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1999, CONTINUED
On August 4, 1999, the Mid-Cap Growth Portfolio's shareholders approved a new
sub-advisory agreement between Morgan Stanley Dean Witter Advisors Inc., the
Portfolio's investment manager, and TCW Funds Management, Inc. (TCW). Under this
agreement, TCW will perform the same investment duties previously performed by
MSDW Advisors. Upon effectiveness of this agreement on August 9, 1999, the name
of the Mid-Cap Growth Portfolio was changed to the Mid-Cap Equity Portfolio.
MONEY MARKET PORTFOLIO
For the six-month period ended June 30, 1999, the Money Market Portfolio's yield
(net investment income) was 2.23 percent and its 30-day annualized yield for
June was 4.43 percent. The Portfolio's average life was 60 days.
On June 30, 1999, approximately 68 percent of the Portfolio's assets were
invested in high-quality commercial paper, 19 percent in federal agency
obligations, 11 percent in short-term bank notes and certificates of deposit of
major, financially strong commercial banks, and the remaining 2 percent in
bankers' acceptances issued by such institutions.
At the end of the fiscal period under review, approximately 90 percent of the
Portfolio's holdings were due to mature in less than four months. Consequently,
the Portfolio is well positioned for stability of value with a very high degree
of liquidity. We always operate the Portfolio in a conservative style without
the use of derivatives or structured notes that might fluctuate excessively with
changing interest rates. As always, the Money Market Portfolio serves as a
useful investment for liquidity, preservation of capital and a yield that
reflects prevailing money market conditions.
NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
For the six-month period ended June 30, 1999, the North American Government
Securities Portfolio produced a total return of 1.56 percent versus 0.52 percent
for the Lehman Brothers Short (1-5) U.S. Government Index and -2.77 percent for
the Lipper Variable Annuity Global Income Underlying Funds Average.
As of June 30, 1999, 100 percent of the Portfolio's assets was invested in the
United States. The Portfolio's sub-advisor, TCW Funds Management, Inc. (TCW),
continues to emphasize high-quality mortgage-backed securities, including
various types of AAA-rated collateralized mortgage obligations
14
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1999, CONTINUED
(CMOs), pass-through securities and adjustable-rate mortgages (ARMs). The
Portfolio is currently on the sidelines with respect to investing in both the
Mexican and Canadian markets. TCW continues to monitor these sectors for
investment opportunities attractive relative to those in the United States.
Conditions in the financial markets of Mexico improved over the past six months.
An attendance to sound economic fundamentals helped stabilize the currency and
drive interest rates lower. The average 28-day cetes rate fell from 31.20
percent at the end of December 1998 to 28.42 percent at the end of June. The
peso appreciated from 9.897 to 9.55 pesos per dollar over the same period.
Nonetheless, the outlook for Mexico remains uncertain, because the risks
associated with other, more volatile emerging markets continue to inject
volatility into the Mexican financial system. TCW reduced the Portfolio's
holdings in Mexican securities to zero earlier this year. In Canada, the economy
and financial markets have improved in tandem with those of the United States.
Nonetheless, high hedge costs and interest-rate risks kept the Portfolio from
reinvesting in Canada.
Recent developments domestically and abroad allow TCW to remain positive in its
outlook for the financial markets and the economy in the United States. There
are a few signs that economic growth is moderating, particularly in the housing
sector. Mortgages remain cheap relative to their historical valuations, and
further declines in market volatility should tighten spreads. The mortgage
sector is positioned to perform well in the near term. Today's higher yield
levels, combined with our continued focus on call protection and security
structure, allow the Portfolio to maintain a positive outlook on the mortgage
sector and the performance of the Portfolio. With regard to Mexico and Canada,
however, the forecast is less favorable. Even though the economies of both these
countries are fundamentally strong, hedge costs and other risks continue to
reduce the relative attractiveness of these markets. Nonetheless, TCW will
continue to evaluate these factors when weighting any decision to invest in
non-dollar-denominated securities.
UTILITIES PORTFOLIO
For the six-month period ended June 30, 1999, the Utilities Portfolio provided a
total return of 14.44 percent versus 12.38 percent for the S&P 500 and 6.74 for
the Lipper Variable Annuity Utility Underlying Funds Index. The Portfolio's
outperformance relative to its peer group reflected its above-average weighting
in broad-based global telecommunications investments.
During the first six months of 1999, the broad equity market produced robust
gains amid a backdrop of strong economic growth and low inflation. Utilities
stocks also advanced in this environment as investors were attracted to both the
energy and telecommunications sectors of the market.
15
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1999, CONTINUED
During the first half of this year, the electric utility industry continued to
navigate toward a competitive landscape with many states passing fair and
balanced restructuring bills. In addition, the electric utility sector remained
focused on share repurchases and consolidation, with many companies continuing
to implement growth initiatives designed to provide good earnings visibility for
shareholders. The telecommunications sector also benefited during the six-month
period as investors were attracted to the powerful demand trends occurring
across the entire global telecommunications spectrum. Moreover,
telecommunications companies produced strong earnings buoyed by solid core
growth, surging data and wireless usage worldwide, and robust demand for
convenience features such as Caller ID and Call Waiting. The natural gas sector
also performed nicely during the first half of 1999 as pricing of this commodity
strengthened due to a positive supply-and-demand backdrop. The natural gas
sector further benefited from ongoing merger and acquisition activity and
favorable growth fundamentals within its diversified business segments.
Widespread diversification remains a key characteristic and strength of the
Portfolio. On June 30, 1999, 91.9 percent of the Portfolio's net assets was
allocated to utility and utility-related equities, 4.4 percent to high-quality
fixed-income securities and 3.7 percent to cash and cash equivalents. Within the
equity component, 51 percent were telecommunications, with electric utilities
and energy/ other accounting for the balance. Enhancing overall diversification
were selective foreign securities accounting for 16 percent of net assets
primarily focused on the growth area of global telecommunications.
During the period under review, new holdings added to the Portfolio included
General Instrument Corp., Scientific-Atlanta, Telecom Italia, GST
Communications, Equant N.V., Nicor Inc. and Veba Corp.
During the second half of 1999, the Portfolio anticipates maintaining a prudent
balance among electric utilities, telecommunications and energy. Currently, the
Portfolio expects to increase its international telecommunications holdings
modestly while expanding its allocation to the natural gas sector. We believe
the Portfolio is well positioned to meet its long-term investment objectives.
On August 4, 1999, the Utilities Portfolio's shareholders approved the following
changes to the Portfolio's investment objective and investment restrictions:
CHANGE IN INVESTMENT OBJECTIVE. Shareholders approved changing the Portfolio's
investment objective to: "seek both capital appreciation and current income."
Prior to this change, the Portfolio's objective was "to provide current income
and long-term growth of income and capital, by investing primarily in
16
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1999, CONTINUED
equity and fixed-income securities of companies engaged in the public utilities
industry." Adoption of this change eliminated long-term growth of income as an
objective of the Portfolio and eliminated the requirement that the Portfolio
invest primarily in the equity and fixed-income securities of companies engaged
in the public utilities industry.
CHANGE IN INVESTMENT RESTRICTIONS. The Portfolio's shareholders approved a
revision to the Portfolio's investment restriction on concentrating investments.
The change had the effect of specifying that the Portfolio will concentrate
investments in the utilities industry.
VALUE-ADDED MARKET PORTFOLIO
For the six-month period ended June 30, 1999, the Value-Added Market Portfolio
produced a total return of 14.35 percent versus 12.38 percent for the S&P 500
and 11.70 percent for the Lipper Variable Annuity Growth and Income Underlying
Funds Average.
The Portfolio invests in substantially all the stocks included in the S&P 500.
Unlike that index, however, the Portfolio weights all stock positions equally,
thereby placing greater emphasis than the index does on the stocks of small-
to-medium-capitalized companies, which have historically outperformed
larger-capitalization companies. In addition, the Portfolio is overrepresented
in the cyclical and utilities sectors and underrepresented in health care and
technology, relative to the capitalization-weighted S&P 500. The Portfolio's
outperformance relative to the S&P 500 can be attributed to its focus on
small-and mid-cap stocks. The shift in sentiment toward cyclical and smaller-cap
stocks in the second half of the fiscal year favored the Portfolio's
equal-weighted indexing strategy.
We believe the shift in sentiment toward cyclical and economically sensitive
stocks to be a sustainable change in strategy rather than a temporary,
momentum-driven move. It seems to be premised on the belief that the U.S.
economy will remain strong, that the global economy is improving, and that these
sectors are under-owned and underperforming. If these assessments prove true,
companies in these sectors could outperform over the next six to twelve months.
Such a scenario would bode well for the Portfolio.
LOOKING AHEAD
We believe the global economy will rebound to a more-normalized rate of growth
over the next eighteen months. This improvement should occur as economies in
emerging markets and Japan
17
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1999, CONTINUED
increasingly stabilize and move ahead. Likewise, we believe that the European
bloc will work its way back to pre-contagion growth rates, driven by an
improvement in exports and a revival in consumer spending.
We appreciate your ongoing support of Morgan Stanley Dean Witter Select
Dimensions Investment Series and look forward to continuing to serve your
investment needs and objectives.
Very truly yours,
<TABLE>
<S> <C>
[SIGNATURE] [SIGNATURE]
CHARLES A. FIUMEFREDDO MITCHELL M. MERIN
CHAIRMAN OF THE BOARD PRESIDENT
</TABLE>
18
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FUND PERFORMANCE JUNE 30, 1999
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS (1)
- ----------------------------------------------------------------
<S> <C> <C> <C>
SINCE
INCEPTION 1 YEAR INCEPTION
----------- ----------- -----------
Money Market 11/09/94 4.82 5.30
North American Government
Securities 11/09/94 3.58 4.98
Diversified Income 11/09/94 0.39 6.22
Balanced Growth 11/09/94 12.08 16.80
Utilities 11/09/94 24.98 21.56
Dividend Growth 11/09/94 18.62 26.45
Value-Added 11/09/94 15.42 20.83
Growth 11/09/94 17.79 19.22
American Opportunities 11/09/94 24.64 27.80
Mid-Cap Growth 1/21/97 10.11 14.68
Global Equity 11/09/94 10.66 12.48
Developing Growth 11/09/94 20.65 22.96
Emerging Markets 11/09/94 21.79 3.24
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
-----------------
(1) Figures assume reinvestment of all distributions for the underlying fund
based on net asset value (NAV). They do not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
19
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (68.5%)
ALUMINUM (1.9%)
$ $2,400 Aluminum Co. of America................................... 4.89% 7/13/99 $ 2,396,120
------------
BANKING (8.0%)
3,500 Bank of America Corp...................................... 4.87-4.92 07/07/99-08/05/99 3,489,438
1,500 Chase Manhattan Corp...................................... 4.90 07/26/99 1,494,979
3,200 Morgan (J.P.) & Co. Inc................................... 4.86-5.21 07/14/99-09/15/99 3,176,176
2,000 Wells Fargo & Co.......................................... 4.89 08/17/99 1,987,441
------------
10,148,034
------------
CONSTRUCTION/AGRICULTURAL/EQUIPMENT/TRUCKS (2.6%)
3,330 Caterpillar Financial Services Ltd........................ 4.89-5.31 07/09/99-07/28/99 3,321,174
------------
DIVERSIFIED FINANCIAL SERVICES (7.8%)
1,800 Associates Corp. of North America......................... 5.03 08/10/99 1,790,020
2,000 Associates First Capital Corp............................. 4.94 09/02/99 1,982,955
6,240 General Electric Capital Corp............................. 4.89-5.08 07/30/99-10/22/99 6,166,595
------------
9,939,570
------------
DIVERSIFIED MANUFACTURING (2.9%)
3,760 Siemens Capital Corp...................................... 5.00-5.20 07/01/99-09/30/99 3,738,111
------------
FINANCE - AUTOMOTIVE (7.8%)
2,165 BMW U.S. Capital Corp..................................... 4.84 07/12/99 2,161,825
1,200 Daimler-Chrysler North America Holding Corp............... 4.89 07/16/99 1,197,590
4,570 Ford Motor Credit Co...................................... 4.85-4.86 07/09/99-07/23/99 4,558,715
2,000 General Motors Acceptance Corp............................ 5.00 09/01/99 1,982,984
------------
9,901,114
------------
FINANCE - CONSUMER (8.9%)
5,590 American Express Credit Corp.............................. 4.86-5.40 07/02/99-08/12/99 5,576,980
2,000 Household Finance Corp.................................... 4.88 07/19/99 1,995,160
2,000 New Center Asset Trust.................................... 4.88 08/09/99 1,989,578
1,710 Norwest Financial Inc..................................... 5.04 07/20/99 1,705,469
------------
11,267,187
------------
FINANCE - CORPORATE (1.6%)
2,000 CIT Group, Inc............................................ 4.88 08/02/99 1,991,431
------------
INSURANCE (4.8%)
4,600 American General Finance Corp............................. 4.88-4.91 07/29/99-08/26/99 4,576,065
1,564 Prudential Funding Corp................................... 4.93 07/16/99 1,560,813
------------
6,136,878
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
INTEGRATED OIL COMPANIES (2.4%)
$ 3,000 BP American Inc........................................... 5.70% 07/01/99 $ 3,000,000
------------
INTERNATIONAL BANKS (14.9%)
3,005 Abbey National North America Corp......................... 4.93-5.10 07/08/99-08/09/99 2,995,352
3,880 CBA (Del) Bank Financial Inc.............................. 4.87-4.99 08/03/99-08/27/99 3,856,657
3,770 Deutsche Bank Financial Inc............................... 4.87-4.89 07/21/99-09/08/99 3,677,057
1,500 Internationale Nederlanden (U.S.) Funding Corp............ 4.89 07/06/99 1,498,994
3,400 Societe Generale N.A. Inc................................. 4.86-4.94 08/03/99-08/23/99 3,379,471
3,500 UBS Finance (DE) LLC...................................... 4.96-5.02 10/02/99-10/19/99 3,449,185
------------
18,856,716
------------
RETAIL (2.1%)
2,640 Sears Roebuck Acceptance Corp............................. 5.06-5.07 07/30/99-08/13/99 2,626,095
------------
RETAIL/LEASING COMPANIES (1.2%)
1,500 International Lease Finance Corp.......................... 4.87 09/20/99 1,483,868
------------
UTILITIES (1.6%)
2,000 National Rural Utilities Cooperative Finance Corp......... 4.97 09/13/99 1,979,856
------------
TOTAL COMMERCIAL PAPER
(AMORTIZED COST $86,786,154)............................................................. 86,786,154
------------
BANKERS' ACCEPTANCES (1.6%)
BANKING
1,000 Northern Trust Company
(AMORTIZED COST $1,977,365)............................... 5.09 09/20/99 1,977,365
------------
CERTIFICATE OF DEPOSIT (3.5%)
MAJOR BANKS
4,500 Chase Manhattan Bank (USA)
(AMORTIZED COST $4,500,000)............................... 4.90-4.95 07/27/99-08/11/99 4,500,000
------------
SHORT-TERM BANK NOTES (7.8%)
MAJOR BANKS
5,900 F.C.C. National Bank...................................... 4.89-5.05 08/24/99-10/08/99 5,900,000
2,000 First Union National Bank................................. 4.90 09/24/99 2,000,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 2,000 NationsBank, N.A.......................................... 4.91% 08/18/99 $ 2,000,000
------------
TOTAL SHORT-TERM BANK NOTES
(AMORTIZED COST $9,900,000).............................................................. 9,900,000
------------
U.S. GOVERNMENT AGENCIES (18.7%)
8,334 Federal Farm Credit Bank.................................. 4.73-5.56 07/09/99-03/17/00 8,179,190
3,045 Federal Home Loan Banks................................... 4.75-5.00 07/02/99-03/16/00 2,977,236
8,175 Federal Home Loan Mortgage Corp........................... 4.84-5.08 08/02/99-12/07/99 8,081,497
4,554 Federal National Mortgage Assoc........................... 4.87-4.96 08/20/99-04/03/00 4,464,931
------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $23,702,854)............................................................. 23,702,854
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(AMORTIZED COST $126,866,373) (a)......................................................... 100.1 % 126,866,373
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS............................................ (0.1) (70,085)
------ -------------
NET ASSETS................................................................................ 100.0 % $ 126,796,288
------ -------------
------ -------------
</TABLE>
- ---------------------
(a) Cost is the same for federal income tax purposes.
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (12.7%)
U.S. Treasury Note
$ 500 .................................................. 5.375% 06/30/03 $ 493,765
150 .................................................. 5.50 04/15/00 150,262
500 .................................................. 5.625 12/31/02 499,020
100 .................................................. 6.00 08/15/99 100,149
----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(IDENTIFIED COST $1,263,187)............................................ 1,243,196
----------
MORTGAGE-BACKED SECURITIES (53.9%)
Federal Home Loan Mortgage Corp. PC Gold
42 .................................................. 5.50 11/01/00 40,968
692 .................................................. 5.976 04/01/26 702,204
16 .................................................. 6.00 11/01/99 15,745
3 .................................................. 7.00 07/01/00 2,719
201 .................................................. 7.00 09/01/17 200,628
362 .................................................. 7.00 02/01/28 360,461
44 .................................................. 7.50 05/01/11 44,425
84 .................................................. 7.50 06/01/11 85,177
65 .................................................. 7.50 08/01/11 66,461
Federal National Mortgage Assoc.
41 .................................................. 6.00 09/01/00 40,637
93 .................................................. 6.489 12/01/26 94,421
34 .................................................. 6.50 07/01/02 33,469
137 .................................................. 6.75 01/01/22 137,779
145 .................................................. 6.895 03/01/27 147,415
4 .................................................. 6.975 04/01/27 4,437
34 .................................................. 7.00 06/01/02 33,971
59 .................................................. 7.00 01/01/03 58,822
699 .................................................. 7.00 07/01/03 702,449
6 .................................................. 7.10 05/01/27 5,571
850 .................................................. 7.478 11/01/25 867,307
9 .................................................. 7.42 09/01/26 9,263
644 .................................................. 7.573 12/01/27 650,101
6 .................................................. 7.575 07/01/24 6,516
Government National Mortgage Assoc. II
74 .................................................. 6.375 02/20/23 75,066
32 .................................................. 6.375 01/20/26 32,287
155 .................................................. 6.625 07/20/27 156,054
154 .................................................. 6.625 08/20/27 155,826
34 .................................................. 6.875 06/20/25 34,755
29 .................................................. 6.875 05/20/26 29,565
457 .................................................. 7.50 12/20/28 461,053
----------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $5,282,663)............................................ 5,255,552
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
23
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (32.3%)
U.S. GOVERNMENT AGENCIES (a) (29.8%)
$ 231 Federal Agricultural Mortgage Corp................ 5.00 % 07/26/99 $ 230,198
Federal Farm Credit Bank
539 .................................................. 4.85 07/06/99 538,637
500 .................................................. 4.79 07/21/99 498,669
Federal Home Loan Banks
200 .................................................. 4.80 07/12/99 199,706
360 .................................................. 4.85 07/02/99 359,952
382 .................................................. 4.87 08/25/99 379,158
700 .................................................. 4.90 08/13/99 695,903
----------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $2,902,223)............................................. 2,902,223
----------
REPURCHASE AGREEMENT (3.2%)
247 The Bank of New York (dated 06/30/99; proceeds
$247,142) (b)
(IDENTIFIED COST $247,111)...................... 4.625 07/01/99 247,111
----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $3,149,334)............................................ 3,149,334
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $9,695,184) (c).................................................. 98.9% 9,648,082
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.................................... 1.1 107,696
------ -----------
NET ASSETS........................................................................ 100.0% $ 9,755,778
------ -----------
------ -----------
</TABLE>
- ---------------------
(a) Securities were purchased on a discount basis. The interest rates shown
have been adjusted to reflect a money market equivalent yield.
(b) Collateralized by $255,096 U.S. Treasury Bill 0.00% due 09/30/99 valued at
$252,053.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $6,810, and the
aggregate gross unrealized depreciation is $53,911, resulting in net
unrealized depreciation of $47,101.
SEE NOTES TO FINANCIAL STATEMENTS
24
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
GOVERNMENT & CORPORATE BONDS (92.1%)
FOREIGN (22.1%)
AUSTRALIA (0.0%)
CABLE TELEVISION
$ 1,300 Australis Holdings Property
Ltd. (a)..................... 15.00++% 11/01/02 $ 19,500
3 Australis Media Ltd. (a)....... 15.75++ 05/15/03 16
-----------
TOTAL AUSTRALIA......................................................... 19,516
-----------
CANADA (1.2%)
BEVERAGES - NON-ALCOHOLIC (0.4%)
500 Sparkling Spring Water......... 11.50 11/15/07 410,000
-----------
CELLULAR TELEPHONE (0.2%)
200 Clearnet Communications Inc.... 14.75++ 12/15/05 182,000
-----------
CONSUMER/BUSINESS SERVICES (0.2%)
200 MDC Communications Corp........ 10.50 12/01/06 203,000
-----------
CONSUMER ELECTRONIC/APPLIANCES (0.1%)
750 International Semi-Tech
Microelectronics............. 11.50++ 08/15/03 135,000
-----------
TELECOMMUNICATIONS (0.3%)
200 MetroNet Communications Corp... 12.00 08/15/07 230,500
-----------
TOTAL CANADA............................................................ 1,160,500
-----------
DENMARK (4.3%)
FOREIGN GOVERNMENT OBLIGATION
DKK 26,000 Kingdom of Denmark (b)......... 8.00 11/15/01 3,945,287
-----------
GERMANY (2.0%)
FOREIGN GOVERNMENT OBLIGATION
EUR 1,700 Germany (Republic of).......... 4.50 05/17/02 1,804,476
-----------
NETHERLANDS (0.2%)
OTHER TELECOMMUNICATIONS
$ 200 Versatel Telecommunications
BV........................... 13.25 05/15/08 209,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
25
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
NEW ZEALAND (3.5%)
EXTRA GOVERNMENTAL INSTITUTIONS - BANKS
NZD 2,850 International Bank for
Reconstruction & Development
(b).......................... 7.00% 09/18/00 $ 1,543,974
3,000 International Bank for
Reconstruction & Development
(b).......................... 7.25 04/09/01 1,635,941
-----------
TOTAL NEW ZEALAND....................................................... 3,179,915
-----------
NORWAY (4.9%)
CONTRACT DRILLING (0.2%)
$ 400 Northern Offshore ASA.......... 10.00 05/15/05 220,000
-----------
FOREIGN GOVERNMENT OBLIGATION (4.7%)
NOK 32,760 Norway Government Bond (b)..... 7.00 05/31/01 4,273,423
-----------
TOTAL NORWAY............................................................ 4,493,423
-----------
SWEDEN (4.9%)
FOREIGN GOVERNMENT OBLIGATION
SEK 36,500 Swedish Government Bond........ 5.50 04/12/02 4,457,079
-----------
UNITED KINGDOM (1.1%)
CELLULAR TELEPHONE (0.2%)
$ 300 Dolphin Telecom PLC - 144A*.... 14.00++ 05/15/09 144,000
-----------
INTERNATIONAL BANKS (0.7%)
GBP 400 Abbey National Treasury Service
(b).......................... 7.125 03/14/01 644,651
-----------
OTHER TELECOMMUNICATIONS (0.2%)
$ 200 Esprit Telecom Group PLC....... 10.875 06/15/08 208,000
-----------
TOTAL UNITED KINGDOM.................................................... 996,651
-----------
TOTAL FOREIGN
(IDENTIFIED COST $21,791,171)........................................... 20,265,847
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
26
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
UNITED STATES (70.0%)
CORPORATE BONDS (30.4%)
ADVERTISING (0.3%)
$ 300 Interep National Radio Sales... 10.00% 07/01/08 $ 306,000
-----------
AEROSPACE (0.3%)
300 Sabreliner Corp. - 144A*....... 11.00 06/15/08 261,000
-----------
BEVERAGES - NON-ALCOHOLIC (0.7%)
600 PepsiCo, Inc................... 15.00 08/06/99 604,812
-----------
BROADCAST/MEDIA (0.4%)
400 Tri-State Outdoor Media Group,
Inc.......................... 11.00 05/15/08 406,000
-----------
BROADCASTING (0.5%)
200 Paxson Communications Corp..... 11.625 10/01/02 208,500
200 Spanish Broadcasting System,
Inc.......................... 12.50 06/15/02 222,000
-----------
430,500
-----------
CABLE TELEVISION (0.5%)
300 Knology Holdings Inc........... 11.875++ 10/15/07 174,000
400 Optel, Inc..................... 11.50 07/01/08 296,000
-----------
470,000
-----------
CASINO/GAMBLING (1.2%)
1,200 Aladdin Gaming/Capital Corp.
(Series B)................... 13.50++ 03/01/10 540,000
850 Fitzgeralds Gaming Corp.
(Series B) (c)............... 12.25 12/15/04 471,750
115 Lady Luck Gaming (Series SA)... 11.875 03/01/01 116,869
-----------
1,128,619
-----------
CELLULAR TELEPHONE (1.5%)
200 American Cellular Corp......... 10.50 05/15/08 205,000
200 Dobson/Sygnet Communications... 12.25 12/15/08 208,000
500 McCaw International Ltd........ 13.00++ 04/15/07 301,875
300 Nextel Communications, Inc..... 10.65++ 09/15/07 219,000
300 Tritel PCS Inc. - 144A*........ 12.75++ 05/15/09 163,500
500 Triton PCS Inc................. 11.00++ 05/01/08 322,500
-----------
1,419,875
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
27
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (0.2%)
$ 200 J.B. Poindexter & Co., Inc..... 12.50% 05/15/04 $ 191,000
-----------
CONSUMER/BUSINESS SERVICES (1.8%)
200 Anacomp, Inc. (Series B)....... 10.875 04/01/04 210,000
500 CEX Holdings, Inc. (Series
B)........................... 9.625 06/01/08 468,750
500 Comforce Operating, Inc........ 12.00 12/01/07 475,000
700 Entex Information Services,
Inc.......................... 12.50 08/01/06 476,000
-----------
1,629,750
-----------
CONSUMER ELECTRONICS/APPLIANCES (0.3%)
310 Windmere-Durable Holdings,
Inc.......................... 10.00 07/31/08 296,050
-----------
CONSUMER SPECIALTIES (0.6%)
700 Samsonite Corp................. 10.75 06/15/08 570,500
-----------
CONTAINERS/PACKAGING (1.1%)
325 Berry Plastics Corp............ 12.25 04/15/04 334,750
600 Environdyne Industries, Inc.... 10.25 12/01/01 462,000
200 Impac Group Inc. (Series B).... 10.125 03/15/08 190,000
-----------
986,750
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (0.3%)
300 High Voltage Engineering,
Inc.......................... 10.50 08/15/04 279,000
-----------
DIVERSIFIED FINANCIAL SERVICES (2.0%)
GBP 800 General Electric Capital Corp.
(b).......................... 6.625 03/16/01 1,279,955
350 General Electric Capital
Corp......................... 6.375 02/27/02 563,289
-----------
1,843,244
-----------
DIVERSIFIED MANUFACTURING (0.7%)
$ 200 Eagle-Picher Industries,
Inc.......................... 9.375 03/01/08 190,000
200 Jordan Industries, Inc......... 10.375 08/01/07 200,000
325 Jordan Industries, Inc. (Series
B)........................... 11.75++ 04/01/09 211,250
-----------
601,250
-----------
ELECTRONIC DISTRIBUTORS (0.3%)
400 CHS Electronics, Inc........... 9.875 04/15/05 280,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
28
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FOOD CHAINS (0.8%)
$ 250 Big V Supermarkets, Inc.
(Series B)................... 11.00% 02/15/04 $ 256,250
500 Pueblo Xtra International, Inc.
(Series C)................... 9.50 08/01/03 477,500
-----------
733,750
-----------
FOOD DISTRIBUTORS (0.3%)
300 Fleming Companies, Inc. (Series
B)........................... 10.625 07/31/07 279,000
-----------
HOTELS/RESORTS (1.0%)
300 Epic Resorts LLC............... 13.00 06/15/05 277,500
600 Motels of America, Inc. (Series
B)........................... 12.00 04/15/04 384,000
299 Resort At Summerlin (Series
B)........................... 13.00 12/15/07 272,331
-----------
933,831
-----------
INDUSTRIAL SPECIALTIES (0.7%)
350 International Wire Group, Inc.
(Series B)................... 11.75 06/01/05 364,000
250 Outsourcing Services Group,
Inc. (Series B).............. 10.875 03/01/06 237,500
-----------
601,500
-----------
MEDIA CONGLOMERATES (0.8%)
700 Disney (Walt) & Co............. 13.50 03/10/00 739,501
-----------
MEDICAL SPECIALTIES (0.9%)
400 Mediq Inc./PRN Life Support
Services Inc................. 11.00 06/01/08 312,000
300 Universal Hospital Services,
Inc.......................... 10.25 03/01/08 255,000
300 Universal Hospital Services,
Inc.......................... 10.25 03/01/08 264,000
-----------
831,000
-----------
MEDICAL/NURSING SERVICES (0.3%)
500 Pediatric Services of America,
Inc. (Series A).............. 10.00 04/15/08 255,000
-----------
MILITARY/GOV'T/TECHNICAL (0.2%)
200 Loral Space & Communications
Ltd.......................... 9.50 01/15/06 175,000
-----------
OFFICE EQUIPMENT/SUPPLIES (0.4%)
400 Mosler, Inc.................... 11.00 04/15/03 340,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
29
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
OIL REFINING/MARKETING (0.3%)
$ 500 Transamerican Refining Corp.
(Series B) (c)............... 16.00% 06/30/03 $ 237,500
-----------
OTHER CONSUMER SERVICES (0.2%)
200 Volume Services America Inc. -
144A*........................ 11.25 03/01/09 220,000
-----------
PRINTING/FORMS (0.3%)
300 Premier Graphics Inc........... 11.50 12/01/05 282,000
-----------
RESTAURANTS (0.6%)
200 FRD Acquisition Corp. (Series
B)........................... 12.50 07/15/04 194,000
200 Friendly Ice Cream Corp........ 10.50 12/01/07 176,750
900 Planet Hollywood International,
Inc. (c)..................... 12.00 04/01/05 189,000
-----------
559,750
-----------
RETAIL -- SPECIALTY (0.2%)
200 Pantry, Inc.................... 10.25 10/15/07 201,000
-----------
SERVICES TO THE HEALTH INDUSTRY (0.2%)
200 Unilab Corp.................... 11.00 04/01/06 220,000
-----------
SPECIALTY FOODS/CANDY (0.2%)
1,000 Specialty Foods Acquisition
Corp. (Series B)............. 13.00++ 08/15/05 180,000
-----------
TELECOMMUNICATIONS (6.3%)
400 21st Century Telecom Group,
Inc.......................... 12.25++ 02/15/08 174,000
500 Birch Telecom Inc.............. 14.00 06/15/08 477,500
200 CapRock Communications Corp.
(Series B)................... 12.00 07/15/08 206,000
400 Covad Communications Group,
Inc.......................... 12.50 02/15/09 386,000
300 DTI Holdings Inc. (Series B)... 12.50++ 03/01/08 132,000
600 e. Spire Communications,
Inc.......................... 13.75 07/15/07 480,000
600 Facilicom International, Inc.
(Series B)................... 10.50 01/15/08 468,000
1,700 Firstworld Communications,
Inc.......................... 13.00++ 04/15/08 901,000
300 Focal Communications Corp.
(Series B)................... 12.125++ 02/15/08 168,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
30
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 250 GST Equipment Funding, Inc..... 13.25% 05/01/07 $ 265,000
200 Hyperion Telecommunication,
Inc. (Series B).............. 12.25 09/01/04 211,000
400 In-Flight Phone Corp. (Series
B) (c)....................... 14.00 05/15/02 44,000
200 Level 3 Communications, Inc.... 9.125 05/01/08 197,250
150 NextLink Communications,
Inc.......................... 12.50 04/15/06 163,875
300 Pac-West Telecomm Inc. -
144A*........................ 13.50 02/01/09 299,250
300 Primus Telecommunication Group,
Inc.......................... 11.75 08/01/04 304,500
300 Primus Telecommunication Group,
Inc. (Series B).............. 9.875 05/15/08 283,500
400 Rhythms Netconnections -
144A*........................ 12.75 04/15/09 376,000
200 Talton Holdings, Inc. (Series
B)........................... 11.00 06/30/07 189,000
-----------
5,725,875
-----------
TELECOMMUNICATIONS EQUIPMENT (0.2%)
1,900 FWT, Inc. (c).................. 9.875 11/15/07 190,000
-----------
WIRELESS COMMUNICATION (3.8%)
1,000 Advanced Radio Telecom Corp.... 14.00 02/15/07 920,000
100 Arch Escrow Corp. - 144A*...... 13.75 04/15/08 90,000
1,800 CellNet Data Systems Inc....... 14.00++ 10/01/07 792,000
150 Globalstar LP/Capital Corp..... 11.50 06/01/05 99,000
250 Globalstar LP/Capital Corp..... 11.375 02/15/04 170,000
300 Orbcomm Global LP/Capital
Corp......................... 14.00 08/15/04 300,750
300 Paging Network, Inc............ 10.125 08/01/07 231,000
300 Paging Network, Inc............ 10.00 10/15/08 231,000
400 USA Mobile Communications
Holdings, Inc................ 14.00 11/01/04 382,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
31
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 250 Winstar Equipment Corp......... 12.50% 03/15/04 $ 262,500
-----------
3,478,250
-----------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $31,410,924)........................................... 27,887,307
-----------
MORTGAGE-BACKED SECURITIES (23.2%)
426 Federal Home Loan Mortgage
Corp. (0.5%)................. 7.00 06/01/04 427,412
-----------
Federal National Mortgage
Assoc. (8.1%)
2,714 ............................... 6.00 02/01/11-01/01/29 2,577,170
2,428 ............................... 6.50 04/01/12-06/01/28 2,367,912
2,277 ............................... 7.00 07/01/25-05/01/27 2,257,473
206 ............................... 8.00 07/01/26 211,020
-----------
7,413,575
-----------
Government National Mortgage
Assoc. (14.6%)
4,901 ............................... 6.00 05/15/28-12/15/28 4,605,741
6,113 ............................... 6.50 01/15/24-05/15/29 5,900,947
1,710 ............................... 7.00 09/15/22-06/15/29 1,692,222
706 ............................... 7.50 02/15/26-07/15/26 714,568
500 ............................... 8.00 02/15/26-06/15/26 514,438
-----------
13,427,916
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $21,660,581)........................................... 21,268,903
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (16.4%)
500 Federal Home Loan Banks
(0.5%)....................... 5.53 01/15/03 489,880
-----------
Federal National Mortgage
Assoc. (b) (3.3%)
500 ............................... 5.60 02/02/01 498,590
NZD 4,520 ............................... 7.00 09/26/00 2,448,416
-----------
2,947,006
-----------
$ 6,000 Resolution Funding Corp.
(4.1%)....................... 0.00 01/15/05-10/15/07 3,760,860
-----------
1,000 Tennessee Valley Authority
(1.0%)....................... 0.00 07/15/00 944,710
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
32
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. Treasury
Notes (b) (7.5%)
$ 1,800 ............................... 5.75% 11/30/02 $ 1,803,096
1,000 ............................... 6.25 08/31/02 1,016,320
1,000 ............................... 6.375 09/30/01 1,016,290
3,000 ............................... 6.25 01/31/02 3,044,400
-----------
6,880,106
-----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(IDENTIFIED COST $15,010,336)........................................... 15,022,562
-----------
TOTAL UNITED STATES
(IDENTIFIED COST $68,081,841)........................................... 64,178,772
-----------
TOTAL GOVERNMENT & CORPORATE BONDS
(IDENTIFIED COST $89,873,012)........................................... 84,444,619
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES
- ---------
<C> <S> <C>
COMMON STOCKS (d) (0.3%)
CASINO/GAMBLING (0.0%)
787 Fitzgerald Gaming Corp.................................................. 8
-----------
CELLULAR TELEPHONE (0.0%)
1 Price Communications Corp............................................... 10
-----------
CLOTHING/SHOE/ACCESSORY SHOES (0.0%)
50,166 County Seat Stores, Inc. (e)............................................ 16,956
-----------
MEDICAL/NURSING SERVICES (0.3%)
34,888 Raintree Healthcare Corp. (e)........................................... 188,395
-----------
TELECOMMUNICATIONS (0.0%)
342 AT&T Canada Inc. (Canada) (Non-Voting).................................. 21,803
-----------
TEXTILES (0.0%)
11,192 U.S. Leather, Inc. (e).................................................. 16,788
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $912,731).............................................. 243,960
-----------
CONVERTIBLE PREFERRED STOCKS (0.0%)
OIL REFINING/MARKETING
878 Transcontinental Refining Corp. (Class B) (Non-Voting).................. 53
483 Transcontinental Refining Corp. (Class C) (Non-Voting).................. 27
1,273 Transcontinental Refining Corp. (Class D) (Non-Voting).................. 67
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
33
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C>
2,633 Transcontinental Refining Corp. (Class E) (Non-Voting).................. $ 166
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $313).................................................. 313
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE
- --------- ----------
<C> <S> <C> <C>
WARRANTS (d) (0.1%)
BROADCASTING (0.0%)
300 Uih Australia/Pacific Inc................................... 05/15/06 3
-----------
CASINO/GAMBLING (0.0%)
9,000 Aladdin Gaming Enterprises - 144A*.......................... 03/01/10 90
-----------
CELLULAR TELEPHONE (0.0%)
500 McCaw International Ltd. - 144A*............................ 04/15/07 1,250
-----------
HOTELS/RESORTS (0.0%)
300 Epic Resorts LLC/Capital - 144A*............................ 06/15/05 3
250 Resort At Summerlin - 144A*................................. 12/15/07 3
-----------
6
-----------
OIL REFINING/MARKETING (0.0%)
500 Transamerican Refining Corp. - 144A*........................ 06/30/03 5
-----------
OTHER TELECOMMUNICATIONS (0.0%)
200 Versatel Telecom - 144A* (Netherlands)...................... 05/15/08 10,000
-----------
TELECOMMUNICATIONS (0.1%)
500 Birch Telecom Inc. - 144A*.................................. 06/15/08 2,500
1,500 DTI Holdings, Inc. - 144A*.................................. 03/01/08 15
1,700 Firstworld Communications, Inc. - 144A*..................... 04/15/08 85,000
-----------
87,515
-----------
TOTAL WARRANTS
(IDENTIFIED COST $1,782)................................................ 98,869
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
- --------- --------- ---------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (3.9%)
UNITED STATES
TIME DEPOSITS (f) (2.5%)
MAJOR BANKS
NZD 980 Chase Manhattan Bank................................ 4.375% 07/06/99 522,830
NOK 1,890 Chase Manhattan Bank................................ 6.125 09/28/99 240,074
EUR 729 Chase Manhattan Bank................................ 2.40 07/01/99 753,930
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
34
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
EUR 730 Chase Manhattan Bank................................ 2.43 % 07/08/99 $ 754,281
---------
TOTAL TIME DEPOSITS
(IDENTIFIED COST $2,267,476).............................................. 2,271,115
---------
REPURCHASE AGREEMENT (1.4%)
$ 1,314 The Bank of New York (dated 06/30/99; proceeds
$1,314,283) (g)
(IDENTIFIED COST $1,314,114)...................... 4.625 07/01/99 1,314,114
---------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $3,581,590).............................................. 3,585,229
---------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $94,369,428) (h)......................................... 96.4% 88,372,990
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................ 3.6 3,300,593
------ ------------
NET ASSETS................................................................ 100.0% $ 91,673,583
------ ------------
------ ------------
</TABLE>
- ---------------------
* Resale is restricted to qualified institutional investors.
++ Currently a zero coupon bond and will pay interest at the rate shown at a
future specified date.
(a) Issuer in bankruptcy.
(b) Some or all of these securities are segregated in connection with open
forward foreign currency contracts.
(c) Non-income producing securities; issuer in default.
(d) Non-income producing securities.
(e) Acquired through exchange offer.
(f) Subject to withdrawal restrictions until maturity.
(g) Collateralized by $1,160,830 U.S. Treasury Bond 7.50% due 11/15/24 valued
at $1,340,396.
(h) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $997,800 and the
aggregate gross unrealized depreciation is $6,994,238, resulting in net
unrealized depreciation of $5,996,438.
SEE NOTES TO FINANCIAL STATEMENTS
35
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1999:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS IN EXCHANGE DELIVERY APPRECIATION
TO DELIVER FOR DATE (DEPRECIATION)
- -------------------------------------------------------------------
<S> <C> <C> <C>
$ 518,420 NZD 980,000 07/02/99 $ 4,410
NZD 1,174,000 $ 620,019 07/06/99 (6,381)
NZD 3,179,000 $ 1,707,981 07/06/99 11,794
NZD 4,945,000 $ 2,611,900 07/26/99 (27,544)
EUR 994,000 $ 1,029,973 07/28/99 633
EUR 2,000,000 $ 2,088,400 07/29/99 17,147
EUR 1,757,229 $ 1,820,735 08/30/99 4,639
--------------
Net unrealized appreciation................ $ 4,698
--------------
--------------
</TABLE>
CURRENCY ABBREVIATIONS:
<TABLE>
<S> <C>
GBP British Pound.
DKK Danish Krone.
EUR Euro.
NZD New Zealand Dollar.
NOK Norwegian Krone.
SEK Swedish Krona.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
36
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (64.3%)
ALUMINUM (2.3%)
48,500 Alcoa Inc.............................................................................. $ 3,000,937
------------
AUTO PARTS: O.E.M. (2.3%)
160,000 Delphi Automotive Systems Corp......................................................... 2,970,000
------------
BEVERAGES - NON-ALCOHOLIC (2.5%)
84,000 PepsiCo, Inc........................................................................... 3,249,750
------------
COMPUTER HARDWARE (2.4%)
24,000 International Business Machines Corp................................................... 3,102,000
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.4%)
76,500 Deere & Co............................................................................. 3,031,312
------------
DEPARTMENT STORES (2.3%)
72,500 May Department Stores Co............................................................... 2,963,437
------------
DISCOUNT CHAINS (2.4%)
48,000 Dayton Hudson Corp..................................................................... 3,120,000
------------
DIVERSIFIED FINANCIAL SERVICES (2.5%)
73,200 Associates First Capital Corp. (Class A)............................................... 3,243,675
------------
ELECTRIC UTILITIES (4.5%)
70,500 GPU, Inc............................................................................... 2,974,219
73,500 Unicom Corp............................................................................ 2,834,344
------------
5,808,563
------------
FOREST PRODUCTS (2.3%)
44,000 Weyerhaeuser Co........................................................................ 3,025,000
------------
INTEGRATED OIL COMPANIES (2.3%)
36,000 Atlantic Richfield Co.................................................................. 3,008,250
------------
MAJOR BANKS (5.1%)
46,000 Bank of America Corp................................................................... 3,372,375
53,500 Bank One Corp.......................................................................... 3,186,594
------------
6,558,969
------------
MAJOR CHEMICALS (2.4%)
45,500 Du Pont (E.I.) de Nemours & Co., Inc................................................... 3,108,219
------------
MAJOR PHARMACEUTICALS (2.5%)
46,000 Bristol-Myers Squibb Co................................................................ 3,240,125
------------
MAJOR U.S. TELECOMMUNICATIONS (2.5%)
57,000 AT&T Corp.............................................................................. 3,181,313
------------
MEAT/POULTRY/FISH (2.4%)
114,000 ConAgra, Inc........................................................................... 3,035,250
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
METALS FABRICATIONS (2.3%)
155,000 Timken Co. (The)....................................................................... $ 3,022,500
------------
MILITARY/GOV'T/TECHNICAL (2.4%)
43,500 Raytheon Co. (Class B)................................................................. 3,061,313
------------
MOTOR VEHICLES (4.7%)
54,000 Ford Motor Co.......................................................................... 3,047,625
45,000 General Motors Corp.................................................................... 2,970,000
------------
6,017,625
------------
MULTI-SECTOR COMPANIES (4.9%)
29,500 General Electric Co.................................................................... 3,333,500
123,000 Tenneco, Inc........................................................................... 2,936,625
------------
6,270,125
------------
OIL/GAS TRANSMISSION (2.4%)
38,000 Enron Corp............................................................................. 3,106,500
------------
PACKAGE GOODS/COSMETICS (2.3%)
34,000 Procter & Gamble Co.................................................................... 3,034,500
------------
RAILROADS (2.2%)
64,000 CSX Corp............................................................................... 2,900,000
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $71,718,884).......................................................... 83,059,363
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
<C> <S> <C>
CORPORATE BONDS (3.1%)
AEROSPACE (0.1%)
$ 150 Lockheed Martin Corp.
7.25% due 05/15/06................................................................... 149,017
------------
COMPUTER HARDWARE (0.4%)
500 IBM Corp.
7.00% due 10/30/25................................................................... 489,470
------------
DIVERSIFIED FINANCIAL SERVICES (0.1%)
100 Abbey National PLC (United Kingdom)
6.69% due 10/17/05................................................................... 98,876
------------
ELECTRIC UTILITIES (0.1%)
15 Texas Utilities Electric Co.
7.875% due 04/01/24.................................................................. 14,736
150 Union Electric Co.
6.75% due 05/01/08................................................................... 149,369
------------
164,105
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
37
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INVESTMENT BANKERS/BROKERS/SERVICES (0.4%)
$ 400 Bear Stearns Co., Inc.
6.50% due 08/01/02................................................................... $ 398,048
150 Merrill Lynch & Co., Inc.
6.00% due 01/15/01................................................................... 149,852
------------
547,900
------------
MAJOR BANKS (0.4%)
145 Citicorp
6.375% due 01/15/06.................................................................. 141,014
200 NationsBank Corp.
7.50% due 09/15/06................................................................... 206,316
110 Wells Fargo & Co.
6.875% due 04/01/06.................................................................. 109,250
------------
456,580
------------
MAJOR CHEMICALS (0.0%)
40 Monsanto Co.
8.875% due 12/15/09.................................................................. 45,480
------------
MAJOR PHARMACEUTICALS (0.0%)
45 Lilly (Eli) & Co.
8.375% due 12/01/06.................................................................. 49,553
------------
MAJOR U.S. TELECOMMUNICATIONS (0.3%)
400 MCI Communication Corp.
6.95% due 08/15/06................................................................... 401,240
------------
MEDIA CONGLOMERATES (0.1%)
180 Walt Disney Co. (Series B)
6.75% due 03/30/06................................................................... 180,448
------------
MILITARY/GOV'T/TECHNICAL (0.3%)
400 Raytheon Co.
6.45% due 08/15/02................................................................... 399,928
------------
PAPER (0.2%)
15 Mead Corp.
7.125% due 08/01/25.................................................................. 13,818
200 Willamette Industries, Inc.
7.85% due 07/01/26................................................................... 208,100
------------
221,918
------------
RENT/LEASING COMPANIES (0.1%)
100 General American Transportation Corp.
6.75% due 03/01/06................................................................... 96,362
------------
SMALLER BANKS (0.3%)
325 Norwest Corp.
6.80% due 05/15/02................................................................... 329,167
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SPECIALTY CHEMICALS (0.2%)
$ 200 Praxair, Inc.
6.90% due 11/01/06................................................................... $ 197,024
------------
TELECOMMUNICATIONS EQUIPMENT (0.1%)
120 Northern Telecom Capital
7.40% due 06/15/06................................................................... 122,689
------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $3,958,721)........................................................... 3,949,757
------------
MORTGAGE-BACKED SECURITIES (22.4%)
1,252 Federal Home Loan Mortgage Corp.
6.00% due 04/01/03................................................................... 1,216,989
606 Federal Home Loan Mortgage Corp.
7.00% due 08/01/12................................................................... 609,064
217 Federal Home Loan Mortgage Corp.
7.00% due 04/01/26................................................................... 215,443
565 Federal Home Loan Mortgage Corp.
7.00% due 12/01/27................................................................... 561,036
386 Federal National Mortgage Assoc.
6.00% due 04/01/04................................................................... 375,056
3,974 Federal National Mortgage Assoc.
6.00% due 04/01/06................................................................... 3,867,556
1,526 Federal National Mortgage Assoc.
6.50% due 07/01/06................................................................... 1,510,245
23 Federal National Mortgage Assoc.
6.50% due 01/01/13................................................................... 22,719
1,321 Federal National Mortgage Assoc.
6.00% due 03/01/13................................................................... 1,277,920
227 Federal National Mortgage Assoc.
6.50% due 03/01/13................................................................... 224,064
846 Federal National Mortgage Assoc.
6.50% due 04/01/13................................................................... 834,898
2,348 Federal National Mortgage Assoc.
6.00% due 05/01/13................................................................... 2,271,090
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
38
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$ 627 Federal National Mortgage Assoc.
6.50% due 05/01/13................................................................... $ 619,105
38 Federal National Mortgage Assoc.
6.00% due 06/01/13................................................................... 36,992
839 Federal National Mortgage Assoc.
6.50% due 10/01/17................................................................... 820,868
930 Federal National Mortgage Assoc.
6.50% due 06/01/28................................................................... 900,798
1,000 Federal National Mortgage Assoc.
7.50% due 07/14/29................................................................... 1,012,813
369 Government National Mortgage Assoc.
7.50% due 08/15/27................................................................... 373,995
374 Government National Mortgage Assoc.
6.00% due 04/15/28................................................................... 350,965
242 Government National Mortgage Assoc.
6.00% due 05/15/28................................................................... 227,326
343 Government National Mortgage Assoc.
6.00% due 06/15/28................................................................... 322,069
125 Government National Mortgage Assoc.
6.50% due 08/15/28................................................................... 120,774
998 Government National Mortgage Assoc.
6.50% due 09/15/28................................................................... 964,154
990 Government National Mortgage Assoc.
6.00% due 11/15/28................................................................... 930,249
178 Government National Mortgage Assoc.
6.50% due 11/15/28................................................................... 171,949
1,003 Government National Mortgage Assoc.
6.00% due 12/15/28................................................................... 942,400
692 Government National Mortgage Assoc.
6.50% due 04/15/29................................................................... 668,604
930 Government National Mortgage Assoc. II
6.50% due 04/20/28................................................................... 894,537
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$ 966 Government National Mortgage Assoc. II
6.50% due 08/20/28................................................................... $ 929,478
992 Government National Mortgage Assoc. II
6.50% due 10/20/28................................................................... 954,167
1,948 Government National Mortgage Assoc. II
6.50% due 12/20/28................................................................... 1,873,703
986 Government National Mortgage Assoc. II
6.50% due 01/20/29................................................................... 948,332
979 Government National Mortgage Assoc. II
6.50% due 02/20/29................................................................... 941,861
993 Government National Mortgage Assoc. II
6.50% due 03/20/29................................................................... 954,957
------------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $29,702,234).......................................................... 28,946,176
------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (8.0%)
1,100 Federal Home Loan Banks
5.65% due 02/06/03................................................................... 1,080,189
1,500 Federal Home Loan Banks
5.96% due 02/05/08................................................................... 1,436,520
500 Resolution Funding Corp.
0.00% due 10/15/04................................................................... 365,005
1,705 U.S. Treasury Bond
7.50% due 11/15/24................................................................... 1,976,862
1,065 U.S. Treasury Bond
6.00% due 02/15/26................................................................... 1,037,683
750 U.S. Treasury Note
7.75% due 01/31/00................................................................... 761,348
385 U.S. Treasury Note
6.625% due 06/30/01.................................................................. 392,696
1,400 U.S. Treasury Note
6.625% due 04/30/02.................................................................. 1,435,322
500 U.S. Treasury Note
5.50% due 05/31/03................................................................... 496,005
80 U.S. Treasury Note
7.875% due 11/15/04.................................................................. 87,462
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
39
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$ 1,300 U.S. Treasury Note
5.875% due 11/15/05.................................................................. $ 1,300,858
------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(IDENTIFIED COST $10,443,165).......................................................... 10,369,950
------------
SHORT-TERM INVESTMENT (a) (5.1%)
U.S. GOVERNMENT AGENCY
6,650 Federal Home Loan Banks 4.60% due 07/01/99
(IDENTIFIED COST $6,650,000)......................................................... 6,650,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $122,473,004) (b)........................................................ 102.9% 132,975,246
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... (2.9) (3,754,490)
------ -------------
NET ASSETS................................................................................ 100.0% $ 129,220,756
------ -------------
------ -------------
</TABLE>
- ---------------------
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximtes identified
cost. The aggregate gross unrealized appreciation is $13,703,837 and the
aggregate gross unrealized depreciation is $3,201,596, resulting in net
unrealized appreciation of $10,502,241.
SEE NOTES TO FINANCIAL STATEMENTS
40
<PAGE>
UTILITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (91.6%)
ELECTRIC UTILITIES (28.4%)
16,000 AES Corp. (The)*....................................................................... $ 930,000
14,000 Allegheny Energy, Inc.................................................................. 448,875
15,000 Alliant Energy Co...................................................................... 425,625
10,000 American Electric Power Co............................................................. 375,625
17,000 BEC Energy............................................................................. 701,250
15,000 Calpine Corp........................................................................... 810,000
15,000 Carolina Power & Light Co.............................................................. 642,187
10,000 Central & South West Corp.............................................................. 233,750
13,500 CINERGY Corp........................................................................... 432,000
15,000 CLECO Corp............................................................................. 455,625
22,000 CMS Energy Corp........................................................................ 921,250
14,000 Consolidated Edison, Inc............................................................... 633,500
15,000 Dominion Resources, Inc................................................................ 649,687
17,500 DQE, Inc............................................................................... 702,187
13,355 Duke Energy Corp....................................................................... 726,178
22,500 Dycom Industries, Inc.*................................................................ 1,260,000
18,000 Edison International................................................................... 481,500
6,348 Enersis S.A. (ADR) (Chile)............................................................. 145,210
12,500 Entergy Corp........................................................................... 390,625
10,000 Florida Progress Corp.................................................................. 413,125
20,000 FPL Group, Inc......................................................................... 1,092,500
14,000 GPU, Inc............................................................................... 590,625
7,500 Illinova Corp.......................................................................... 204,375
30,000 Independent Energy Holdings PLC (ADR) (United Kingdom)*................................ 405,000
30,000 IPALCO Enterprises, Inc................................................................ 635,625
10,000 Kansas City Power & Light Co........................................................... 255,000
31,700 LG&E Energy Corp....................................................................... 665,700
17,300 Metzler Group, Inc. (The)*............................................................. 476,831
35,000 MidAmerican Energy Holdings Co......................................................... 1,211,875
20,000 Minnesota Power, Inc................................................................... 397,500
15,000 Montana Power Co....................................................................... 1,057,500
12,000 Nevada Power Co........................................................................ 300,000
11,000 New Century Energies, Inc.............................................................. 426,937
10,000 New England Electric System............................................................ 501,250
25,000 Niagara Mohawk Holdings Inc............................................................ 401,562
24,000 NiSource Inc........................................................................... 619,500
30,000 Northeast Utilities*................................................................... 530,625
15,000 Northern States Power Co............................................................... 362,812
20,000 Northwestern Corp...................................................................... 483,750
24,000 OGE Energy Corp........................................................................ 570,000
22,500 PECO Energy Co......................................................................... 942,187
9,500 PG & E Corp............................................................................ 308,750
10,500 Pinnacle West Capital Corp............................................................. 422,625
12,500 Public Service Company of New Mexico................................................... 248,437
6,000 Public Service Enterprise Group, Inc................................................... 245,250
20,000 Reliant Energy, Inc.................................................................... 552,500
22,000 SCANA Corp............................................................................. 514,250
16,000 Sierra Pacific Resources............................................................... 582,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
15,000 Southern Co............................................................................ $ 397,500
22,000 TECO Energy, Inc....................................................................... 500,500
12,000 Texas Utilities Co..................................................................... 495,000
11,000 TNP Enterprises, Inc................................................................... 398,750
21,000 Unicom Corp............................................................................ 809,812
15,000 United Illuminating Co................................................................. 636,562
60,000 USEC Inc............................................................................... 892,500
10,000 Veba AG (ADR) (Germany)................................................................ 592,500
13,000 Western Resources, Inc................................................................. 346,125
16,000 Wisconsin Energy Corp.................................................................. 401,000
------------
32,253,414
------------
ENERGY (10.5%)
20,000 AGL Resources, Inc..................................................................... 368,750
6,000 Consolidated Natural Gas Co............................................................ 364,500
10,000 Eastern Enterprises.................................................................... 397,500
12,622 El Paso Energy Corp.................................................................... 444,136
15,912 Enron Corp............................................................................. 1,300,806
7,000 Ente Nazionale Idrocarburi SpA (ADR) (Italy)........................................... 420,000
10,000 Exxon Corp............................................................................. 771,250
16,000 Indiana Energy Inc..................................................................... 341,000
31,600 KeySpan Corp........................................................................... 833,450
18,000 KN Energy, Inc......................................................................... 240,750
29,000 MCN Energy Group Inc................................................................... 601,750
15,000 MDU Resources Group, Inc............................................................... 342,187
14,000 New Jersey Resources Corp.............................................................. 524,125
10,000 Nicor Inc.............................................................................. 380,625
15,000 North Carolina Natural Gas Corp........................................................ 510,937
13,750 Northwest Natural Gas Co............................................................... 330,000
24,000 Questar Corp........................................................................... 459,000
12,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 723,000
14,541 Sempra Energy.......................................................................... 328,990
7,000 South Jersey Industries, Inc........................................................... 198,187
21,000 Utilicorp United, Inc.................................................................. 510,562
17,000 Washington Gas Light Co................................................................ 442,000
10,000 Williams Companies, Inc................................................................ 425,625
16,000 YPF Sociedad Anomina (ADR) (Argentina)................................................. 608,000
------------
11,867,130
------------
TELECOMMUNICATIONS (50.9%)
10,000 ADC Telecommunications, Inc.*.......................................................... 455,000
14,000 Alcatel Alsthom (ADR) (France)......................................................... 397,250
14,160 ALLTEL Corp............................................................................ 1,012,440
9,000 Ameritech Corp......................................................................... 661,500
19,000 AT&T Canada Inc. (Canada).............................................................. 1,211,250
30,462 AT&T Corp.............................................................................. 1,700,160
15,000 BCE, Inc. (Canada)..................................................................... 739,687
11,144 Bell Atlantic Corp..................................................................... 728,539
10,000 BellSouth Corp......................................................................... 468,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
41
<PAGE>
UTILITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
20,000 Cellnet Data Systems, Inc.*............................................................ $ 178,750
20,625 CenturyTel Inc......................................................................... 819,843
13,000 China Telecom (Hong Kong) Ltd. (ADR)*.................................................. 741,000
24,000 Cincinnati Bell, Inc................................................................... 598,500
20,000 Cisco Systems, Inc.*................................................................... 1,288,750
28,200 COLT Telecom Group PLC (ADR) (United Kingdom)*......................................... 2,409,337
15,000 Comcast Corp. (Class A Special)........................................................ 576,562
15,000 Comcast Corp. (Class A)................................................................ 537,187
15,000 Commonwealth Telephone Enterprises, Inc.*.............................................. 605,625
22,000 Convergys Corp......................................................................... 423,500
35,000 Crown Castle International Corp.*...................................................... 726,250
12,000 Deutsche Telekom AG (ADR) (Germany).................................................... 507,000
10,000 Equant N.V. (Netherlands).............................................................. 941,250
11,900 Esat Telecom Group PLC (ADR) (Ireland)*................................................ 517,650
8,200 France Telecom S.A. (ADR) (France)..................................................... 631,400
15,000 Frontier Corp.......................................................................... 885,000
15,000 General Instrument Corp.*.............................................................. 637,500
5,000 General Motors Corp. (Class H) (Hughes Electronics)*................................... 281,250
28,655 Global Crossing Ltd. (Bermuda)*........................................................ 1,219,628
21,000 Global Telesystems Group, Inc.*........................................................ 1,699,687
14,000 Grupo Iusacell, S.A. de C.V. (Series L) (ADR) (Mexico)*................................ 182,000
20,000 GST Telecommunications, Inc.*.......................................................... 262,500
9,500 GTE Corp............................................................................... 719,625
12,000 ICG Communications, Inc.*.............................................................. 254,250
30,000 Intermedia Communications Inc.*........................................................ 898,125
20,000 ITC DeltaCom, Inc.*.................................................................... 558,750
12,000 Level 3 Communications, Inc.*.......................................................... 722,250
14,584 Lucent Technologies Inc................................................................ 983,508
10,000 Magyar Tavkozlesi RT (MATAV) (ADR) (Hungary)........................................... 275,000
18,860 MCI WorldCom, Inc...................................................................... 1,621,960
15,000 McLeodUSA, Inc. (Class A)*............................................................. 823,125
16,000 MediaOne Group, Inc.*.................................................................. 1,190,000
20,000 Metromedia Fiber Network, Inc. (Class A)*.............................................. 718,750
30,000 Metromedia International Group, Inc.*.................................................. 225,000
10,000 Motorola, Inc.......................................................................... 947,500
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
18,000 Nextel Communications, Inc. (Class A)*................................................. $ 903,375
15,000 NEXTLINK Communications, Inc. (Class A)*............................................... 1,114,687
13,000 Nippon Telegraph & Telephone Corp. (ADR) (Japan)....................................... 814,125
10,000 Nokia Corp. (ADR) (Finland)............................................................ 915,625
10,000 Nortel Networks Corp. (Canada)......................................................... 868,125
25,000 NorthEast Optic Network, Inc.*......................................................... 376,562
10,000 Pacific Gateway Exchange, Inc.*........................................................ 290,000
12,000 Portugal Telecom S.A. (ADR) (Portugal)................................................. 494,250
20,000 Primus Telecommunications Group, Inc.*................................................. 447,500
14,000 QUALCOMM Inc.*......................................................................... 2,009,000
40,650 Qwest Communications International, Inc.*.............................................. 1,343,990
21,000 RCN Corp.*............................................................................. 874,141
8,000 Royal PTT Nederland NV (ADR) (Netherlands)............................................. 384,000
10,000 RSL Communications, Ltd. (Class A) (Bermuda)*.......................................... 193,125
60,000 SBA Communications Corp................................................................ 585,000
19,428 SBC Communications, Inc................................................................ 1,126,824
15,000 Scientific-Atlanta, Inc................................................................ 540,000
14,000 Sprint Corp. (FON Group)............................................................... 739,375
10,500 Sprint Corp. (PCS Group)*.............................................................. 599,812
20,000 Tele Danmark AS (ADR) (Denmark)........................................................ 515,000
8,000 Telecom Italia S.p.A. (ADR) (Italy).................................................... 841,500
5,202 Telefonica Espana S.A. (ADR) (Spain)................................................... 765,344
17,000 Teleglobe Inc.......................................................................... 505,750
14,000 Telephone & Data Systems, Inc.......................................................... 1,022,875
15,000 Teligent, Inc. (Class A)*.............................................................. 896,250
5,000 Telstra Corp. Ltd. (ADR) (Australia)................................................... 572,500
5,327 U.S. West, Inc......................................................................... 312,961
7,000 United States Cellular Corp.*.......................................................... 374,500
5,000 Vodafone Group PLC (ADR) (United Kingdom).............................................. 985,000
30,000 VoiceStream Wireless Corp.*............................................................ 853,125
20,000 Western Wireless Corp. (Class A)*...................................................... 540,000
20,000 Winstar Communications, Inc.*.......................................................... 975,000
------------
57,761,909
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
42
<PAGE>
UTILITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
WATER SUPPLY (1.8%)
22,000 American Water Works Company, Inc...................................................... $ 676,500
25,000 Azurix Corp.*.......................................................................... 500,000
11,000 E'Town Corp............................................................................ 503,250
16,000 Philadelphia Suburban Corp............................................................. 369,000
------------
2,048,750
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $72,065,325).......................................................... 103,931,203
------------
PREFERRED STOCKS (0.3%)
ELECTRIC UTILITIES (0.3%)
6,000 Alabama Power Capital Trust I (Series Q) $1.84......................................... 147,375
1,000 Duquesne Capital LP (Series A) $2.094.................................................. 25,125
2,500 Public Service Electric & Gas Capital (Series B) $2.00................................. 63,281
1,000 Tennessee Valley Authority (Series 95-A) $2.00......................................... 25,250
5,000 Virginia Power Capital $2.013.......................................................... 125,625
------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $388,687)............................................................. 386,656
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
<C> <S> <C>
CORPORATE BONDS (4.4%)
ELECTRIC UTILITIES (1.1%)
$ 500 Niagara Mohawk Power Corp.
8.00% due 06/01/04................................................................... 523,270
250 Niagara Mohawk Power Corp.
8.77% due 01/01/18................................................................... 257,278
500 Salton Sea Funding Co. - 144A**
7.475% due 11/30/18.................................................................. 477,970
------------
1,258,518
------------
NATURAL GAS (0.8%)
1,000 Panhandle Holding Co. - 144A**
7.00% due 07/15/29................................................................... 914,390
------------
TELECOMMUNICATIONS (2.5%)
500 Aliant Communications, Inc.
6.75% due 04/01/28................................................................... 458,800
500 Electric Lightwave, Inc.
6.05% due 05/15/04................................................................... 484,360
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$ 500 GTE Corp.
7.51% due 04/01/09................................................................... $ 519,770
500 LCI International, Inc.
7.25% due 06/15/07................................................................... 484,990
1,000 Sprint Capital Corp.
6.875% due 11/15/28.................................................................. 912,130
------------
2,860,050
------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $5,332,517)........................................................... 5,032,958
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SHORT-TERM INVESTMENT (a) (3.6%)
U.S. GOVERNMENT AGENCY
4,050 Federal Home Loan Banks 4.60% due 07/01/99 (AMORTIZED COST $4,050,000)................. 4,050,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $81,836,529) (B)....................................................... 99.9% 113,400,817
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.......................................... 0.1 97,467
------ -------------
NET ASSETS.............................................................................. 100.0% $ 113,498,284
------ -------------
------ -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $33,393,818 and the
aggregate gross unrealized depreciation is $1,829,531, resulting in net
unrealized appreciation of $31,564,287.
SEE NOTES TO FINANCIAL STATEMENTS
43
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (73.8%)
AEROSPACE (1.9%)
69,800 Goodrich (B.F.) Co. (The).............................................................. $ 2,966,500
81,700 Lockheed Martin Corp................................................................... 3,043,325
140,000 United Technologies Corp............................................................... 10,036,250
------------
16,046,075
------------
ALUMINUM (1.4%)
72,800 Alcan Aluminium Ltd. (Canada).......................................................... 2,325,050
155,000 Alcoa Inc.............................................................................. 9,590,625
------------
11,915,675
------------
APPAREL (0.2%)
38,700 VF Corp................................................................................ 1,654,425
------------
AUTO PARTS: O.E.M. (2.3%)
42,300 Dana Corp.............................................................................. 1,948,444
470,000 Delphi Automotive Systems Corp......................................................... 8,724,375
24,000 Johnson Controls, Inc.................................................................. 1,663,500
138,000 TRW Inc................................................................................ 7,572,750
------------
19,909,069
------------
AUTOMOTIVE AFTERMARKET (0.9%)
127,000 Goodyear Tire & Rubber Co.............................................................. 7,469,187
------------
BEVERAGES - NON-ALCOHOLIC (1.2%)
6,600 Coca Cola Co........................................................................... 412,500
245,000 PepsiCo, Inc........................................................................... 9,478,437
------------
9,890,937
------------
BUILDING PRODUCTS (0.1%)
21,000 Armstrong World Industries, Inc........................................................ 1,214,062
------------
COMPUTER HARDWARE (1.1%)
75,000 International Business Machines Corp................................................... 9,693,750
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.3%)
127,000 Caterpillar, Inc....................................................................... 7,620,000
297,700 Deere & Co............................................................................. 11,796,362
------------
19,416,362
------------
CONSUMER ELECTRONICS/APPLIANCES (1.2%)
133,000 Whirlpool Corp......................................................................... 9,842,000
------------
CONTAINERS/PACKAGING (0.3%)
83,300 Crown Cork & Seal Co., Inc............................................................. 2,374,050
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DEPARTMENT STORES (2.3%)
251,200 May Department Stores Co............................................................... $ 10,267,800
201,200 Sears, Roebuck & Co.................................................................... 8,965,975
------------
19,233,775
------------
DISCOUNT CHAINS (0.2%)
28,000 Dayton Hudson Corp..................................................................... 1,820,000
------------
DIVERSIFIED ELECTRONIC PRODUCTS (1.0%)
75,000 Honeywell, Inc......................................................................... 8,690,625
------------
DIVERSIFIED FINANCIAL SERVICES (0.4%)
34,700 Providian Financial Corp............................................................... 3,244,450
------------
DIVERSIFIED MANUFACTURING (1.5%)
105,000 Minnesota Mining & Manufacturing Co.................................................... 9,128,437
34,000 Tyco International Ltd. (Bermuda)...................................................... 3,221,500
------------
12,349,937
------------
ELECTRIC UTILITIES (3.2%)
34,700 Dominion Resources, Inc................................................................ 1,502,944
127,000 FPL Group, Inc......................................................................... 6,937,375
209,000 GPU, Inc............................................................................... 8,817,187
63,200 Reliant Energy, Inc.................................................................... 1,745,900
224,400 Unicom Corp............................................................................ 8,653,425
------------
27,656,831
------------
ENGINEERING & CONSTRUCTION (0.2%)
37,100 Fluor Corp............................................................................. 1,502,550
------------
FINANCE COMPANIES (2.5%)
235,000 Associates First Capital Corp. (Class A)............................................... 10,413,437
46,400 Fannie Mae............................................................................. 3,172,600
169,000 Household International, Inc........................................................... 8,006,375
------------
21,592,412
------------
FOOD CHAINS (1.7%)
255,650 Albertson's, Inc....................................................................... 13,181,953
23,100 Winn-Dixie Stores, Inc................................................................. 853,256
------------
14,035,209
------------
FOOD DISTRIBUTORS (0.4%)
92,000 Supervalu, Inc......................................................................... 2,363,250
45,800 SYSCO Corp............................................................................. 1,365,412
------------
3,728,662
------------
FOREST PRODUCTS (1.1%)
140,000 Weyerhaeuser Co........................................................................ 9,625,000
------------
HOME FURNISHINGS (0.4%)
68,900 Newell Rubbbermaid, Inc................................................................ 3,203,850
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
44
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INTEGRATED OIL COMPANIES (4.8%)
115,000 Atlantic Richfield Co.................................................................. $ 9,609,687
25,700 BP Amoco PLC (ADR) (United Kingdom).................................................... 2,788,450
120,000 Exxon Corp............................................................................. 9,255,000
45,500 Kerr-McGee Corp........................................................................ 2,283,531
95,000 Mobil Corp............................................................................. 9,405,000
127,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 7,651,750
------------
40,993,418
------------
LIFE INSURANCE (0.6%)
35,100 Aegon N.V. (ARS) (Netherlands)......................................................... 2,597,400
40,700 Jefferson-Pilot Corp................................................................... 2,693,831
------------
5,291,231
------------
MAJOR BANKS (2.5%)
145,000 Bank of America Corp................................................................... 10,630,312
243,000 KeyCorp................................................................................ 7,806,375
21,100 Morgan (J.P.) & Co., Inc............................................................... 2,964,550
------------
21,401,237
------------
MAJOR CHEMICALS (1.9%)
70,000 Dow Chemical Co........................................................................ 8,881,250
46,100 Du Pont (E.I.) de Nemours & Co., Inc................................................... 3,149,206
40,300 Hercules, Inc.......................................................................... 1,584,294
70,400 Monsanto Co............................................................................ 2,776,400
------------
16,391,150
------------
MAJOR PHARMACEUTICALS (4.1%)
210,000 Abbott Laboratories.................................................................... 9,555,000
215,000 American Home Products Corp............................................................ 12,362,500
116,000 Bristol-Myers Squibb Co................................................................ 8,170,750
59,000 Schering-Plough Corp................................................................... 3,127,000
31,000 Smithkline Beecham PLC (ADR) (United Kingdom).......................................... 2,047,938
------------
35,263,188
------------
MAJOR U.S. TELECOMMUNICATIONS (2.6%)
170,000 Bell Atlantic Corp..................................................................... 11,113,750
45,900 GTE Corp............................................................................... 3,476,925
127,000 U.S. West, Inc......................................................................... 7,461,250
------------
22,051,925
------------
MANAGED HEALTH CARE (0.9%)
90,000 Aetna Inc.............................................................................. 8,049,375
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MEAT/POULTRY/FISH (0.2%)
74,500 ConAgra, Inc........................................................................... $ 1,983,563
------------
MILITARY/GOV'T/TECHNICAL (0.9%)
106,000 Raytheon Co. (Class B)................................................................. 7,459,750
------------
MOTOR VEHICLES (3.2%)
100,000 DaimlerChrysler AG (Germany)........................................................... 8,887,500
185,000 Ford Motor Co.......................................................................... 10,440,938
117,000 General Motors Corp.................................................................... 7,722,000
------------
27,050,438
------------
MULTI-LINE INSURANCE (1.1%)
178,000 Lincoln National Corp.................................................................. 9,311,625
------------
MULTI-SECTOR COMPANIES (2.6%)
90,000 General Electric Co.................................................................... 10,170,000
502,700 Tenneco, Inc........................................................................... 12,001,963
------------
22,171,963
------------
NATURAL GAS (1.2%)
165,000 Consolidated Natural Gas Co............................................................ 10,023,750
------------
OFFICE EQUIPMENT/SUPPLIES (1.6%)
162,800 Pitney Bowes, Inc...................................................................... 10,459,900
57,000 Xerox Corp............................................................................. 3,366,563
------------
13,826,463
------------
OIL & GAS PRODUCTION (1.0%)
195,000 Burlington Resources, Inc.............................................................. 8,433,750
------------
OIL REFINING/MARKETING (1.3%)
58,500 Sunoco, Inc............................................................................ 1,765,969
286,000 USX-Marathon Group..................................................................... 9,312,875
------------
11,078,844
------------
OIL/GAS TRANSMISSION (2.1%)
211,000 El Paso Energy Corp.................................................................... 7,424,563
116,000 Enron Corp............................................................................. 9,483,000
39,500 Sonat, Inc............................................................................. 1,308,438
------------
18,216,001
------------
OTHER METALS/MINERALS (1.4%)
195,000 Phelps Dodge Corp...................................................................... 12,077,813
------------
PACKAGE GOODS/COSMETICS (3.4%)
57,600 Avon Products, Inc..................................................................... 3,196,800
190,000 Gillette Co............................................................................ 7,790,000
69,700 International Flavors & Fragrances, Inc................................................ 3,092,938
127,000 Kimberly-Clark Corp.................................................................... 7,239,000
85,000 Procter & Gamble Co.................................................................... 7,586,250
------------
28,904,988
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
45
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PACKAGED FOODS (1.4%)
178,400 Quaker Oats Company (The).............................................................. $ 11,841,300
------------
PAINTS/COATINGS (1.7%)
248,000 PPG Industries, Inc.................................................................... 14,647,500
------------
PAPER (1.2%)
138,000 International Paper Co................................................................. 6,969,000
69,900 Mead Corp.............................................................................. 2,918,325
------------
9,887,325
------------
PHOTOGRAPHIC PRODUCTS (1.1%)
140,000 Eastman Kodak Co....................................................................... 9,485,000
------------
RAILROADS (2.1%)
253,000 Burlington Northern Santa Fe Corp...................................................... 7,843,000
200,000 CSX Corp............................................................................... 9,062,500
------------
16,905,500
------------
RECREATIONAL PRODUCTS/TOYS (0.1%)
35,300 Brunswick Corp......................................................................... 983,988
------------
RENTAL/LEASING COMPANIES (0.9%)
285,000 Ryder System, Inc...................................................................... 7,410,000
------------
TOBACCO (0.1%)
35,300 UST, Inc............................................................................... 1,032,525
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $550,772,361)......................................................... 628,282,503
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
<C> <S> <C>
SHORT-TERM INVESTMENTS (15.5%)
U.S. GOVERNMENT AGENCIES (a) (15.4%)
$ 50,000 Federal Home Loan Banks 5.01% due 07/07/99............................................. 49,958,250
77,500 Federal Home Loan Mortgage Corp. 4.60% due 07/01/99.................................... 77,500,000
4,000 Federal Home Loan Mortgage Corp. 4.78% due 07/01/99.................................... 4,000,000
------------
TOTAL U.S. GOVERNMENT AGENCIES
(IDENTIFIED COST $131,458,250)......................................................... 131,458,250
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (0.1%)
$ 1,009 The Bank of New York 4.625% due 07/01/99 (dated 06/30/99; proceeds $1,010,079) (b)
(IDENTIFIED COST $1,009,950)......................................................... $ 1,009,950
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $132,468,200)......................................................... 132,468,200
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $683,240,561) (C)........................................................ 89.3% 760,750,703
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 10.7 90,842,079
------ -------------
NET ASSETS................................................................................ 100.0% $ 851,592,782
------ -------------
------ -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
ARS American Regulatory Share.
(a) Securities were purchased on a discount basis. The interest rates shown
have been adjusted to reflect a money market equivalent yield.
(b) Collateralized by $1,030,149 U.S. Treasury Bill due 07/01/99 valued at
$1,030,177.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $82,758,011 and the
aggregate gross unrealized depreciation is $5,247,869, resulting in net
unrealized appreciation of $77,510,142.
SEE NOTES TO FINANCIAL STATEMENTS
46
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (99.0%)
ACCIDENT & HEALTH INSURANCE (0.5%)
7,000 AFLAC, Inc............................................................................ $ 335,125
10,500 Torchmark Corp........................................................................ 358,312
6,000 UNUM Corp............................................................................. 328,500
------------
1,021,937
------------
ADVERTISING (0.4%)
4,900 Interpublic Group of Companies, Inc................................................... 424,462
5,100 Omnicom Group, Inc.................................................................... 408,000
------------
832,462
------------
AEROSPACE (1.0%)
9,400 Boeing Co............................................................................. 415,362
8,800 Goodrich (B.F.) Co. (The)............................................................. 374,000
9,800 Lockheed Martin Corp.................................................................. 365,050
5,000 Northrop Grumman Corp................................................................. 331,562
6,200 United Technologies Corp.............................................................. 444,462
------------
1,930,436
------------
AIR FREIGHT/DELIVERY SERVICES (0.2%)
7,800 FDX Corp.*............................................................................ 423,150
------------
AIRLINES (0.8%)
5,500 AMR Corp.*............................................................................ 375,375
5,800 Delta Air Lines, Inc.................................................................. 334,225
13,300 Southwest Airlines Co................................................................. 413,962
8,000 US Airways Group Inc.*................................................................ 348,500
------------
1,472,062
------------
ALCOHOLIC BEVERAGES (0.6%)
5,400 Anheuser-Busch Companies, Inc......................................................... 383,062
5,100 Brown-Forman Corp. (Class B).......................................................... 332,456
7,100 Coors (Adolph) Co. (Class B).......................................................... 351,450
------------
1,066,968
------------
ALUMINUM (0.6%)
11,500 Alcan Aluminum Ltd. (Canada).......................................................... 367,281
6,800 Alcoa Inc............................................................................. 420,750
5,800 Reynolds Metals Co.................................................................... 342,200
------------
1,130,231
------------
APPAREL (0.8%)
35,200 Fruit of the Loom, Inc. (Class A)..................................................... 343,200
10,000 Liz Claiborne, Inc.................................................................... 365,000
18,000 Russell Corp.......................................................................... 351,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
8,800 VF Corp............................................................................... $ 376,200
------------
1,435,400
------------
AUTO PARTS: O.E.M. (1.0%)
9,200 Dana Corp............................................................................. 423,775
19,000 Delphi Automotive Systems Corp........................................................ 352,687
4,300 Eaton Corp............................................................................ 395,600
5,500 Johnson Controls, Inc................................................................. 381,219
6,800 TRW Inc............................................................................... 373,150
------------
1,926,431
------------
AUTOMOTIVE AFTERMARKET (0.6%)
15,000 Cooper Tire & Rubber Co............................................................... 354,375
10,600 Genuine Parts Co...................................................................... 371,000
6,000 Goodyear Tire & Rubber Co............................................................. 352,875
------------
1,078,250
------------
BEVERAGES - NON-ALCOHOLIC (0.5%)
5,600 Coca Cola Co.......................................................................... 350,000
10,900 Coca-Cola Enterprises Inc............................................................. 324,275
9,400 PepsiCo, Inc.......................................................................... 363,662
------------
1,037,937
------------
BIOTECHNOLOGY (0.2%)
6,000 Amgen Inc.*........................................................................... 364,875
------------
BOOKS/MAGAZINES (0.4%)
7,300 Harcourt General, Inc................................................................. 376,406
9,900 Meredith Corp......................................................................... 342,787
------------
719,193
------------
BROADCASTING (0.5%)
10,000 CBS Corp.............................................................................. 434,375
6,000 Clear Channel Communications, Inc.*................................................... 413,625
------------
848,000
------------
BUILDING MATERIALS (0.2%)
10,000 Owens Corning......................................................................... 343,750
------------
BUILDING MATERIALS/DIY CHAINS (0.4%)
6,300 Home Depot, Inc. (The)................................................................ 405,956
6,300 Lowe's Companies, Inc................................................................. 357,131
------------
763,087
------------
BUILDING PRODUCTS (0.5%)
6,700 Armstrong World Industies, Inc........................................................ 387,344
12,500 Masco Corp............................................................................ 360,937
------------
748,281
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
47
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CABLE TELEVISION (0.4%)
11,200 Comcast Corp. (Class A Special)....................................................... $ 430,500
5,800 MediaOne Group, Inc.*................................................................. 431,375
------------
861,875
------------
CASINO/GAMBLING (0.4%)
19,900 Harrah's Entertainment, Inc.*......................................................... 437,800
21,000 Mirage Resorts, Inc.*................................................................. 351,750
------------
789,550
------------
CELLULAR TELEPHONE (0.7%)
9,100 Nextel Communications, Inc. (Class A)*................................................ 456,706
7,300 Sprint Corp. (PCS Group)*............................................................. 417,012
2,150 Vodafone AirTouch PLC (ADR) (United Kingdom).......................................... 423,550
------------
1,297,268
------------
CLOTHING/SHOE/ACCESSORY STORES (0.8%)
8,850 Gap, Inc. (The)....................................................................... 445,819
9,700 Limited, Inc. (The)................................................................... 440,137
10,000 Nordstrom, Inc........................................................................ 335,000
11,800 TJX Companies, Inc.................................................................... 393,087
------------
1,614,043
------------
COMPUTER COMMUNICATIONS (0.6%)
12,800 3Com Corp.*........................................................................... 340,800
35,100 Cabletron Systems, Inc.*.............................................................. 456,300
7,000 Cisco Systems, Inc.*.................................................................. 451,062
------------
1,248,162
------------
COMPUTER HARDWARE (1.6%)
9,000 Apple Computer, Inc.*................................................................. 416,812
15,600 COMPAQ Computer Corp.................................................................. 369,525
25,200 Data General Corp.*................................................................... 366,975
10,200 Dell Computer Corp.*.................................................................. 376,762
5,800 Gateway Inc........................................................................... 342,200
4,400 Hewlett-Packard Co.................................................................... 442,200
3,500 International Business Machines Corp.................................................. 452,375
6,400 Sun Microsystems, Inc.*............................................................... 440,800
------------
3,207,649
------------
COMPUTER SOFTWARE (2.1%)
5,000 Adobe Systems, Inc.................................................................... 410,625
14,000 Autodesk, Inc......................................................................... 413,875
8,300 BMC Software, Inc.*................................................................... 447,681
8,400 Computer Associates International, Inc................................................ 462,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
13,100 Compuware Corp.*...................................................................... $ 415,925
4,400 Microsoft Corp.*...................................................................... 396,550
15,500 Novell, Inc.*......................................................................... 410,750
11,800 Oracle Corp.*......................................................................... 438,075
24,200 Parametric Technology Corp.*.......................................................... 335,775
20,000 PeopleSoft, Inc.*..................................................................... 345,000
------------
4,076,256
------------
COMPUTER/VIDEO CHAINS (0.5%)
4,900 Circuit City Stores, Inc.-Circuit City Group.......................................... 455,700
9,100 Tandy Corp............................................................................ 444,762
------------
900,462
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (1.5%)
8,800 Case Corp............................................................................. 423,500
7,100 Caterpillar, Inc...................................................................... 426,000
7,600 Cummins Engine Co., Inc............................................................... 434,150
10,100 Deere & Co............................................................................ 400,212
4,900 NACCO Industries, Inc. (Class A)...................................................... 360,150
8,600 Navistar International Corp.*......................................................... 430,000
8,000 PACCAR, Inc........................................................................... 427,000
------------
2,901,012
------------
CONSUMER ELECTRONICS/APPLIANCES (0.5%)
6,100 Maytag Corp........................................................................... 425,094
6,000 Whirlpool Corp........................................................................ 444,000
------------
869,094
------------
CONSUMER SPECIALTIES (0.2%)
16,200 Jostens, Inc.......................................................................... 341,212
------------
CONSUMER SUNDRIES (0.2%)
12,400 American Greetings Corp. (Class A).................................................... 373,550
------------
CONTAINERS/PACKAGING (1.2%)
8,800 Ball Corp............................................................................. 371,800
9,000 Bemis Company, Inc.................................................................... 357,750
12,400 Crown Cork & Seal Co., Inc............................................................ 353,400
12,900 Owens-Illinois, Inc.*................................................................. 421,669
6,900 Sealed Air Corp.*..................................................................... 447,637
6,200 Temple-Inland, Inc.................................................................... 423,150
------------
2,375,406
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
48
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CONTRACT DRILLING (0.5%)
16,700 Helmerich & Payne, Inc................................................................ $ 397,669
25,500 Rowan Companies, Inc.*................................................................ 470,156
------------
867,825
------------
DEPARTMENT STORES (1.4%)
12,200 Dillard's, Inc. (Class A)............................................................. 428,525
14,500 Dollar General Corp................................................................... 420,500
8,000 Federated Department Stores, Inc.*.................................................... 423,500
5,500 Kohl's Corp.*......................................................................... 424,531
8,050 May Department Stores Co.............................................................. 329,044
7,500 Penney (J.C.) Co., Inc................................................................ 364,219
8,000 Sears, Roebuck & Co................................................................... 356,500
------------
2,746,819
------------
DISCOUNT CHAINS (0.9%)
12,900 Consolidated Stores Corp.*............................................................ 348,300
4,400 Costco Companies, Inc.*............................................................... 352,000
5,800 Dayton Hudson Corp.................................................................... 377,000
22,200 Kmart Corp.*.......................................................................... 364,912
8,400 Wal-Mart Stores, Inc.................................................................. 405,300
------------
1,847,512
------------
DIVERSIFIED COMMERCIAL SERVICES (0.2%)
11,000 Paychex, Inc.......................................................................... 349,250
------------
DIVERSIFIED ELECTRONIC PRODUCTS (0.6%)
10,100 Harris Corp........................................................................... 395,794
3,700 Honeywell, Inc........................................................................ 428,737
7,100 Rockwell International Corp........................................................... 431,325
------------
1,255,856
------------
DIVERSIFIED FINANCIAL SERVICES (0.9%)
3,200 American Express Co................................................................... 416,400
9,450 Citigroup Inc......................................................................... 448,875
4,100 Providian Financial Corp.............................................................. 383,350
5,600 Transamerica Corp..................................................................... 420,000
------------
1,668,625
------------
DIVERSIFIED MANUFACTURING (1.7%)
14,900 Allegheny Teledyne Inc................................................................ 337,112
6,700 AlliedSignal, Inc..................................................................... 422,100
7,300 Cooper Industries, Inc................................................................ 379,600
6,100 Danaher Corp.......................................................................... 354,562
9,200 Dover Corp............................................................................ 322,000
8,700 ITT Industries, Inc................................................................... 331,687
4,300 Minnesota Mining & Manufacturing Co................................................... 373,831
21,900 Thermo Electron Corp.*................................................................ 439,369
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
4,700 Tyco International Ltd. (Bermuda)..................................................... $ 445,325
------------
3,405,586
------------
DRUGSTORE CHAINS (0.7%)
7,100 CVS Corp.............................................................................. 360,325
10,000 Longs Drug Stores Corp................................................................ 345,625
14,200 Rite Aid Corp......................................................................... 349,675
13,200 Walgreen Co........................................................................... 387,750
------------
1,443,375
------------
E.D.P. PERIPHERALS (0.5%)
6,400 EMC Corp.*............................................................................ 352,000
6,000 Network Appliance, Inc.*.............................................................. 335,250
13,400 Seagate Technology, Inc.*............................................................. 343,375
------------
1,030,625
------------
E.D.P. SERVICES (1.0%)
8,800 Automatic Data Processing, Inc........................................................ 387,200
11,000 Ceridian Corp.*....................................................................... 359,562
5,300 Computer Sciences Corp.*.............................................................. 366,694
7,400 Electronic Data Systems Corp.......................................................... 418,562
9,000 First Data Corp....................................................................... 440,437
------------
1,972,455
------------
ELECTRIC UTILITIES (5.4%)
7,500 AES Corp. (The)*...................................................................... 435,937
9,000 Ameren Corp........................................................................... 345,375
9,000 American Electric Power Co., Inc...................................................... 338,062
7,500 Carolina Power & Light Co............................................................. 321,094
14,600 Central & South West Corp............................................................. 341,275
10,500 CINergy Corp.......................................................................... 336,000
8,300 CMS Energy Corp....................................................................... 347,562
7,600 Consolidated Edison, Inc.............................................................. 343,900
12,000 Constellation Energy Group, Inc....................................................... 355,500
7,700 Dominion Resources, Inc............................................................... 333,506
8,000 DTE Energy Co......................................................................... 320,000
6,300 Duke Energy Corp...................................................................... 342,562
12,300 Edison International.................................................................. 329,025
12,000 Entergy Corp.......................................................................... 375,000
11,500 FirstEnergy Corp...................................................................... 356,500
8,000 Florida Progress Corp................................................................. 330,500
6,300 FPL Group, Inc........................................................................ 344,137
8,000 GPU, Inc.............................................................................. 337,500
9,000 New Century Energies, Inc............................................................. 349,312
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
49
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
22,000 Niagara Mohawk Holdings Inc........................................................... $ 353,375
14,000 Northern States Power Co.............................................................. 338,625
18,500 PacifiCorp............................................................................ 339,937
8,900 PECO Energy Co........................................................................ 372,687
10,500 PG & E Corp........................................................................... 341,250
13,800 PP&L Resources, Inc................................................................... 424,350
8,900 Public Service Enterprise Group, Inc.................................................. 363,787
12,500 Reliant Energy, Inc................................................................... 345,312
12,100 Southern Co........................................................................... 320,650
8,300 Texas Utilities Co.................................................................... 342,375
9,500 Unicom Corp........................................................................... 366,344
------------
10,491,439
------------
ELECTRICAL PRODUCTS (0.6%)
5,500 Emerson Electric Co................................................................... 345,812
12,000 Raychem Corp.......................................................................... 444,000
8,200 Thomas & Betts Corp................................................................... 387,450
------------
1,177,262
------------
ELECTRONIC COMPONENTS (0.5%)
22,700 Andrew Corp.*......................................................................... 429,881
6,700 Solectron Corp.*...................................................................... 446,806
------------
876,687
------------
ELECTRONIC DATA PROCESSING (0.4%)
26,000 Silicon Graphics, Inc.*............................................................... 425,750
11,400 Unisys Corp.*......................................................................... 443,887
------------
869,637
------------
ELECTRONIC PRODUCTION EQUIPMENT (0.5%)
6,100 Applied Materials, Inc.*.............................................................. 450,637
7,200 KLA-Tencor Corp.*..................................................................... 466,650
------------
917,287
------------
ENGINEERING & CONSTRUCTION (0.4%)
10,500 Fluor Corp............................................................................ 425,250
25,800 Foster Wheeler Corp................................................................... 364,425
------------
789,675
------------
ENVIRONMENTAL SERVICES (0.4%)
10,100 Browning-Ferris Industries, Inc....................................................... 434,300
7,200 Waste Management, Inc................................................................. 387,000
------------
821,300
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
FARMING/SEEDS/MILLING (0.4%)
23,000 Archer-Daniels-Midland Co............................................................. $ 355,062
10,800 Pioneer Hi-Bred International, Inc.................................................... 420,525
------------
775,587
------------
FINANCE COMPANIES (1.6%)
8,200 Associates First Capital Corp. (Class A).............................................. 363,362
8,100 Capital One Financial Corp............................................................ 451,069
8,200 Countrywide Credit Industries, Inc.................................................... 350,550
5,100 Fannie Mae............................................................................ 348,712
6,000 Freddie Mac........................................................................... 348,000
8,800 Household International, Inc.......................................................... 416,900
14,100 MBNA Corp............................................................................. 431,812
7,500 SLM Holding Corp...................................................................... 343,594
------------
3,053,999
------------
FINANCIAL PUBLISHING/SERVICES (0.7%)
6,200 Dow Jones & Co., Inc.................................................................. 328,987
9,900 Dun & Bradstreet Corp................................................................. 350,831
9,200 Equifax, Inc.......................................................................... 328,325
7,400 McGraw-Hill Companies, Inc............................................................ 399,137
------------
1,407,280
------------
FLUID CONTROLS (0.2%)
9,600 Parker-Hannifin Corp.................................................................. 439,200
------------
FOOD CHAINS (1.0%)
8,600 Albertson's, Inc...................................................................... 443,437
10,600 Great Atlantic & Pacific Tea Co., Inc................................................. 358,412
15,600 Kroger Co.*........................................................................... 435,825
7,500 Safeway Inc.*......................................................................... 371,250
9,600 Winn-Dixie Stores, Inc................................................................ 354,600
------------
1,963,524
------------
FOOD DISTRIBUTORS (0.4%)
14,500 Supervalu, Inc........................................................................ 372,469
12,800 SYSCO Corp............................................................................ 381,600
------------
754,069
------------
FOREST PRODUCTS (0.7%)
9,000 Georgia-Pacific Group................................................................. 426,375
16,600 Louisiana-Pacific Corp................................................................ 394,250
6,500 Weyerhaeuser Co....................................................................... 446,875
------------
1,267,500
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
50
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
GENERIC DRUGS (0.2%)
8,800 Watson Pharmaceuticals, Inc.*......................................................... $ 308,550
------------
HOME BUILDING (0.7%)
10,000 Centex Corp........................................................................... 375,625
14,200 Fleetwood Enterprises, Inc............................................................ 375,412
13,400 Kaufman & Broad Home Corp............................................................. 333,325
15,000 Pulte Corp............................................................................ 345,937
------------
1,430,299
------------
HOME FURNISHINGS (0.4%)
8,200 Newell Rubbermaid, Inc................................................................ 381,300
18,200 Tupperware Corp....................................................................... 464,100
------------
845,400
------------
HOSPITAL/NURSING MANAGEMENT (0.5%)
16,100 Columbia/HCA Healthcare Corp.......................................................... 367,281
13,400 HCR Manor Care, Inc................................................................... 324,112
19,500 Tenet Healthcare Corp.*............................................................... 361,969
------------
1,053,362
------------
HOTELS/RESORTS (0.6%)
7,400 Carnival Corp......................................................................... 358,900
25,200 Hilton Hotels Corp.................................................................... 357,525
9,900 Marriott International, Inc. (Class A)................................................ 370,012
------------
1,086,437
------------
INDUSTRIAL MACHINERY/COMPONENTS (0.6%)
33,400 Harnischfeger Industries, Inc. (Canada)............................................... 66,800
5,000 Illinois Tool Works Inc............................................................... 410,000
6,800 Ingersoll-Rand Co..................................................................... 439,450
18,800 Milacron Inc.......................................................................... 347,800
------------
1,264,050
------------
INDUSTRIAL SPECIALTIES (0.7%)
10,300 Ecolab, Inc........................................................................... 449,337
11,200 Millipore Corp........................................................................ 454,300
18,500 Pall Corp............................................................................. 410,469
------------
1,314,106
------------
INSURANCE BROKERS/SERVICES (0.4%)
8,100 AON Corp.............................................................................. 334,125
5,400 Marsh & McLennan Companies, Inc....................................................... 407,700
------------
741,825
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INTEGRATED OIL COMPANIES (1.9%)
6,200 Amerada Hess Corp..................................................................... $ 368,900
4,600 Atlantic Richfield Co................................................................. 384,388
3,800 Chevron Corp.......................................................................... 361,713
4,600 Exxon Corp............................................................................ 354,775
8,700 Kerr-McGee Corp....................................................................... 436,631
4,100 Mobil Corp............................................................................ 405,900
7,000 Phillips Petroleum Co................................................................. 352,188
6,000 Royal Dutch Petroleum Co. (ADR) (Netherlands)......................................... 361,500
5,500 Texaco, Inc........................................................................... 343,750
10,300 Unocal Corp........................................................................... 408,138
------------
3,777,883
------------
INTERNET SERVICES (0.2%)
3,200 America Online, Inc.*................................................................. 353,600
------------
INVESTMENT BANKERS/BROKERS/SERVICES (1.2%)
8,400 Bear Stearns Companies, Inc........................................................... 392,700
6,600 Lehman Brothers Holdings, Inc......................................................... 410,850
4,400 Merrill Lynch & Co., Inc.............................................................. 351,725
4,100 Morgan Stanley Dean Witter & Co. (Note 3)............................................. 420,250
8,000 Paine Webber Group, Inc............................................................... 374,000
4,200 Schwab (Charles) Corp................................................................. 461,475
------------
2,411,000
------------
INVESTMENT MANAGERS (0.4%)
10,100 Franklin Resources, Inc............................................................... 410,313
5,500 Kansas City Southern Industries, Inc.................................................. 350,969
------------
761,282
------------
LIFE INSURANCE (0.7%)
4,800 American General Corp................................................................. 361,800
12,200 Conseco, Inc.......................................................................... 371,338
5,100 Jefferson-Pilot Corp.................................................................. 337,556
7,200 Lincoln National Corp................................................................. 376,650
------------
1,447,344
------------
MAJOR BANKS (4.4%)
5,700 Bank of America Corp.................................................................. 417,881
10,000 Bank of New York Co., Inc............................................................. 366,875
7,200 Bank One Corp......................................................................... 428,850
7,800 BankBoston Corp....................................................................... 398,775
4,900 Chase Manhattan Corp.................................................................. 424,463
6,000 Comerica, Inc......................................................................... 356,625
7,700 First Union Corp...................................................................... 361,900
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
51
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
12,000 Firstar Corp.......................................................................... $ 336,000
7,900 Fleet Financial Group, Inc............................................................ 350,563
9,900 Huntington Bancshares, Inc............................................................ 345,881
10,700 KeyCorp............................................................................... 343,738
9,600 Mellon Bank Corp...................................................................... 349,200
2,900 Morgan (J.P.) & Co., Inc.............................................................. 407,450
5,400 National City Corp.................................................................... 353,700
6,300 PNC Bank Corp......................................................................... 363,038
6,400 Republic New York Corp................................................................ 436,400
8,500 SouthTrust Corp....................................................................... 325,656
4,400 State Street Corp..................................................................... 375,650
8,400 Summit Bancorp........................................................................ 351,225
5,100 SunTrust Banks, Inc................................................................... 354,131
10,600 U.S. Bancorp.......................................................................... 360,400
4,000 Wachovia Corp......................................................................... 342,250
9,900 Wells Fargo & Co...................................................................... 423,225
------------
8,573,876
------------
MAJOR CHEMICALS (1.4%)
3,400 Dow Chemical Co....................................................................... 431,375
5,400 DuPont (E.I.) de Nemours & Co., Inc................................................... 368,888
7,000 Eastman Chemical Co................................................................... 362,250
11,200 Hercules, Inc......................................................................... 440,300
9,000 Monsanto Co........................................................................... 354,938
9,700 Rohm & Haas Co........................................................................ 415,907
6,900 Union Carbide Corp.................................................................... 336,375
------------
2,710,033
------------
MAJOR PHARMACEUTICALS (1.9%)
7,800 Abbott Laboratories................................................................... 354,900
6,800 American Home Products Corp........................................................... 391,000
5,800 Bristol-Myers Squibb Co............................................................... 408,538
4,100 Johnson & Johnson..................................................................... 401,800
5,400 Lilly (Eli) & Co...................................................................... 386,775
4,900 Merck & Co., Inc...................................................................... 362,600
3,500 Pfizer, Inc........................................................................... 384,125
6,300 Pharmacia & Upjohn, Inc............................................................... 357,919
6,600 Schering-Plough Corp.................................................................. 349,800
5,600 Warner-Lambert Co..................................................................... 388,500
------------
3,785,957
------------
MAJOR U.S. TELECOMMUNICATIONS (2.1%)
5,900 ALLTEL Corp........................................................................... 421,850
6,200 Ameritech Corp........................................................................ 455,700
7,350 AT&T Corp............................................................................. 410,222
6,400 Bell Atlantic Corp.................................................................... 418,400
8,000 BellSouth Corp........................................................................ 375,000
5,500 GTE Corp.............................................................................. 416,625
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
4,400 MCI WorldCom, Inc..................................................................... $ 378,400
7,200 SBC Communications, Inc............................................................... 417,600
7,800 Sprint Corp. (FON Group).............................................................. 411,938
6,000 U.S. West, Inc........................................................................ 352,500
------------
4,058,235
------------
MANAGED HEALTH CARE (0.8%)
3,900 Aetna, Inc............................................................................ 348,806
27,000 Humana, Inc.*......................................................................... 349,313
6,800 United HealthCare Corp................................................................ 425,850
4,000 Wellpoint Health Networks, Inc.*...................................................... 339,500
------------
1,463,469
------------
MEAT/POULTRY/FISH (0.2%)
13,400 ConAgra, Inc.......................................................................... 356,775
------------
MEDIA CONGLOMERATES (0.6%)
11,900 Disney (Walt) Co...................................................................... 366,669
5,800 Time Warner Inc....................................................................... 426,300
9,600 Viacom, Inc. (Class B)*............................................................... 422,400
------------
1,215,369
------------
MEDICAL EQUIPMENT & SUPPLIES (0.2%)
5,100 Medtronic, Inc........................................................................ 397,163
------------
MEDICAL SPECIALTIES (2.0%)
8,000 ALZA Corp. (Class A)*................................................................. 407,000
7,400 Bard (C.R.), Inc...................................................................... 353,813
5,900 Bausch & Lomb, Inc.................................................................... 451,350
5,800 Baxter International, Inc............................................................. 351,625
11,500 Becton, Dickinson & Co................................................................ 345,000
8,900 Biomet, Inc........................................................................... 352,663
10,400 Boston Scientific Corp.*.............................................................. 456,950
6,600 Guidant Corp.......................................................................... 339,488
11,900 Mallinckrodt, Inc..................................................................... 432,863
12,600 St. Jude Medical, Inc.*............................................................... 448,875
------------
3,939,627
------------
MEDICAL/DENTAL DISTRIBUTORS (0.4%)
5,900 Cardinal Health, Inc.................................................................. 378,338
11,500 McKesson HBOC, Inc.................................................................... 369,438
------------
747,776
------------
MEDICAL/NURSING SERVICES (0.2%)
28,800 HEALTHSOUTH Corp.*.................................................................... 430,200
------------
METALS FABRICATIONS (0.2%)
19,500 Timken Co. (The)...................................................................... 380,250
------------
MID-SIZED BANKS (1.3%)
15,000 AmSouth Bancorporation................................................................ 347,813
5,362 Fifth Third Bancorp................................................................... 356,908
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
52
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
6,500 Mercantile Bancorporation, Inc........................................................ $ 371,313
4,500 Northern Trust Corp................................................................... 436,500
9,100 Regions Financial Corp................................................................ 346,369
17,000 Synovus Financial Corp................................................................ 337,875
8,300 Union Planters Corp................................................................... 370,906
------------
2,567,684
------------
MILITARY/GOV'T/TECHNICAL (0.7%)
12,900 EG & G, Inc........................................................................... 459,563
6,200 General Dynamics Corp................................................................. 424,700
5,800 Raytheon Co. (Class B)................................................................ 408,175
------------
1,292,438
------------
MOTOR VEHICLES (0.4%)
6,500 Ford Motor Co......................................................................... 366,844
5,600 General Motors Corp................................................................... 369,600
------------
736,444
------------
MOVIES/ENTERTAINMENT (0.4%)
12,500 King World Productions Inc.*.......................................................... 435,156
8,400 Seagram Co. Ltd. (Canada)............................................................. 423,150
------------
858,306
------------
MULTI-LINE INSURANCE (1.1%)
10,000 Allstate Corp......................................................................... 358,750
3,400 American International Group, Inc..................................................... 398,013
4,500 CIGNA Corp............................................................................ 400,500
6,000 Hartford Financial Services Group Inc. (Note 3)....................................... 349,875
9,000 Provident Companies, Inc.............................................................. 360,000
7,300 Safeco Corp........................................................................... 322,113
------------
2,189,251
------------
MULTI-SECTOR COMPANIES (1.5%)
13,100 Crane Co.............................................................................. 411,831
9,700 Fortune Brands, Inc................................................................... 401,338
3,600 General Electric Co................................................................... 406,800
4,500 Loews Corp............................................................................ 356,063
12,000 McDermott International, Inc.......................................................... 339,000
9,000 National Service Industries, Inc...................................................... 324,000
15,000 Tenneco, Inc.......................................................................... 358,125
4,300 Textron, Inc.......................................................................... 353,944
------------
2,951,101
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
NATURAL GAS (1.1%)
5,900 Consolidated Natural Gas Co........................................................... $ 358,425
9,200 Eastern Enterprises................................................................... 365,700
9,300 Nicor Inc............................................................................. 353,981
11,700 ONEOK, Inc............................................................................ 371,475
9,000 Peoples Energy Corp................................................................... 339,188
15,300 Sempra Energy*........................................................................ 346,163
------------
2,134,932
------------
NEWSPAPERS (0.9%)
4,600 Gannett Co., Inc...................................................................... 328,325
6,100 Knight-Ridder, Inc.................................................................... 335,119
10,500 New York Times Co. (The) (Class A).................................................... 386,531
5,500 Times Mirror Co. (Class A)............................................................ 325,875
4,900 Tribune Co............................................................................ 426,913
------------
1,802,763
------------
OFFICE EQUIPMENT/SUPPLIES (0.6%)
6,600 Avery Dennison Corp................................................................... 398,475
6,000 Pitney Bowes, Inc..................................................................... 385,500
6,400 Xerox Corp............................................................................ 378,000
------------
1,161,975
------------
OIL & GAS PRODUCTION (1.0%)
10,000 Anardarko Petroleum Corp.............................................................. 368,125
12,000 Apache Corp........................................................................... 468,000
8,200 Burlington Resources, Inc............................................................. 354,650
17,800 Occidental Petroleum Corp............................................................. 376,025
28,000 Union Pacific Resources Group, Inc.................................................... 456,750
------------
2,023,550
------------
OIL REFINING/MARKETING (0.6%)
9,000 Ashland, Inc.......................................................................... 361,125
12,000 Sunoco, Inc........................................................................... 362,250
12,000 USX-Marathon Group.................................................................... 390,750
------------
1,114,125
------------
OIL/GAS TRANSMISSION (1.0%)
10,000 Coastal Corp.......................................................................... 400,000
5,900 Columbia Gas System, Inc.............................................................. 369,856
5,400 Enron Corp............................................................................ 441,450
11,200 Sonat, Inc............................................................................ 371,000
9,400 Williams Companies, Inc............................................................... 400,088
------------
1,982,394
------------
OILFIELD SERVICES/EQUIPMENT (0.7%)
13,200 Baker Hughes Inc...................................................................... 442,200
9,700 Halliburton Co........................................................................ 438,925
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
53
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
6,500 Schlumberger, Ltd..................................................................... $ 413,969
------------
1,295,094
------------
OTHER CONSUMER SERVICES (0.6%)
7,900 Block (H.&R.), Inc.................................................................... 395,000
19,500 Cendant Corp.*........................................................................ 399,750
21,200 Service Corp. International........................................................... 408,100
------------
1,202,850
------------
OTHER METALS/MINERALS (0.8%)
20,000 ASARCO, Inc........................................................................... 376,250
28,900 Cyprus Amax Minerals Co............................................................... 438,919
25,300 Inco Ltd. (Canada).................................................................... 455,400
5,800 Phelps Dodge Corp..................................................................... 359,238
------------
1,629,807
------------
OTHER PHARMACEUTICALS (0.2%)
4,000 Allergan, Inc......................................................................... 444,000
------------
OTHER SPECIALTY STORES (1.0%)
12,000 AutoZone, Inc.*....................................................................... 361,500
14,000 Office Depot, Inc.*................................................................... 308,875
22,300 Pep Boys-Manny, Moe & Jack............................................................ 482,238
12,200 Staples, Inc.*........................................................................ 376,675
19,000 Toys 'R' Us, Inc.*.................................................................... 393,063
------------
1,922,351
------------
OTHER TELECOMMUNICATIONS (0.4%)
8,700 CenturyTel Inc........................................................................ 345,825
7,400 Frontier Corp......................................................................... 436,600
------------
782,425
------------
OTHER TRANSPORTATION (0.1%)
30,600 Laidlaw, Inc. (Canada)................................................................ 225,675
------------
PACKAGE GOODS/COSMETICS (1.5%)
12,700 Alberto-Culver Co. (Class B).......................................................... 338,138
7,900 Avon Products, Inc.................................................................... 438,450
3,400 Clorox Co............................................................................. 363,163
3,900 Colgate-Palmolive Co.................................................................. 385,125
8,200 Gillette Co........................................................................... 336,200
7,600 International Flavors & Fragrances, Inc............................................... 337,250
6,300 Kimberly-Clark Corp................................................................... 359,100
4,000 Procter & Gamble Co................................................................... 357,000
------------
2,914,426
------------
PACKAGED FOODS (1.7%)
7,100 Bestfoods............................................................................. 351,450
8,100 Campbell Soup Co...................................................................... 375,638
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
4,500 General Mills, Inc.................................................................... $ 361,688
7,300 Heinz (H.J.) Co....................................................................... 365,913
10,500 Kellogg Co............................................................................ 346,500
5,700 Quaker Oats Company (The)............................................................. 378,338
10,900 Ralston-Ralston Purina Group.......................................................... 331,769
15,500 Sara Lee Corp......................................................................... 351,656
5,100 Unilever N.V. (Nethernlands).......................................................... 355,725
------------
3,218,677
------------
PAINTS/COATINGS (0.4%)
6,000 PPG Industries, Inc................................................................... 354,375
13,000 Sherwin-Williams Co................................................................... 360,750
------------
715,125
------------
PAPER (1.7%)
10,000 Boise Cascade Corp.................................................................... 428,750
7,800 Champion International Corp........................................................... 373,425
9,000 Fort James Corp....................................................................... 340,875
8,500 International Paper Co................................................................ 429,250
10,300 Mead Corp............................................................................. 430,025
9,300 Potlatch Corp......................................................................... 408,619
14,700 Westavaco Corp........................................................................ 426,300
9,200 Willamette Industries, Inc............................................................ 423,775
------------
3,261,019
------------
PHOTOGRAPHIC PRODUCTS (0.4%)
5,000 Eastman Kodak Co...................................................................... 338,750
16,400 Polaroid Corp......................................................................... 453,050
------------
791,800
------------
PRECIOUS METALS (1.1%)
18,900 Barrick Gold Corp. (Canada)........................................................... 366,188
71,000 Battle Mountain Gold Co............................................................... 173,063
26,100 Freeport-McMoran Copper & Gold, Inc. (Class B)........................................ 468,169
42,000 Homestake Mining Co................................................................... 343,875
18,500 Newmont Mining Corp................................................................... 367,688
30,000 Placer Dome Inc. (Canada)............................................................. 354,375
------------
2,073,358
------------
PRECISION INSTRUMENTS (0.4%)
3,900 Pe Corp-Pe Biosystems Group........................................................... 447,525
13,100 Tektronix, Inc........................................................................ 395,456
------------
842,981
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
54
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PRINTING/FORMS (0.5%)
10,000 Deluxe Corp........................................................................... $ 389,375
8,900 Donnelley (R.R.) & Sons Co............................................................ 329,856
29,000 Moore Corp. Ltd. (Canada)............................................................. 242,875
------------
962,106
------------
PROPERTY-CASUALTY INSURERS (0.7%)
5,100 Chubb Corp............................................................................ 354,450
9,100 Cincinnati Financial Corp............................................................. 340,681
2,300 Progressive Corp...................................................................... 333,500
10,800 St. Paul Companies, Inc............................................................... 343,575
------------
1,372,206
------------
RAILROADS (0.7%)
11,000 Burlington Northern Santa Fe Corp..................................................... 341,000
8,200 CSX Corp.............................................................................. 371,563
11,000 Norfolk Southern Corp................................................................. 331,375
6,900 Union Pacific Corp.................................................................... 402,356
------------
1,446,294
------------
RECREATIONAL PRODUCTS/TOYS (0.6%)
15,600 Brunswick Corp........................................................................ 434,850
13,950 Hasbro, Inc........................................................................... 389,728
13,000 Mattel, Inc........................................................................... 343,688
------------
1,168,266
------------
RENTAL/LEASING COMPANIES (0.2%)
13,700 Ryder System, Inc..................................................................... 356,200
------------
RESTAURANTS (0.8%)
18,300 Darden Restaurants, Inc............................................................... 399,169
9,100 McDonald's Corp....................................................................... 375,944
6,800 Tricon Global Restaurants, Inc.*...................................................... 368,050
13,800 Wendy's International, Inc............................................................ 390,713
------------
1,533,876
------------
SAVINGS & LOAN ASSOCIATIONS (0.4%)
3,500 Golden West Financial Corp............................................................ 343,000
9,600 Washington Mutual, Inc................................................................ 339,600
------------
682,600
------------
SEMICONDUCTORS (1.2%)
18,900 Advanced Micro Devices, Inc.*......................................................... 341,381
6,400 Intel Corp............................................................................ 380,400
9,600 LSI Logic Corp.*...................................................................... 442,800
9,200 Micron Technology, Inc.*.............................................................. 370,875
17,600 National Semiconductor Corp.*......................................................... 445,500
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
3,100 Texas Instruments, Inc................................................................ $ 449,500
------------
2,430,456
------------
SERVICES TO THE HEALTH INDUSTRY (0.4%)
10,400 IMS Health Inc........................................................................ 325,000
6,700 Shared Medical Systems Corp........................................................... 437,175
------------
762,175
------------
SHOE MANUFACTURING (0.4%)
6,800 Nike, Inc. (Class B).................................................................. 430,525
23,000 Reebok International Ltd. (United Kingdom)*........................................... 428,375
------------
858,900
------------
SMALLER BANKS (0.2%)
9,600 BB&T Corp............................................................................. 352,200
------------
SPECIALTY CHEMICALS (1.6%)
9,000 Air Products & Chemicals, Inc......................................................... 362,250
18,200 Engelhard Corp........................................................................ 411,775
6,300 FMC Corp.*............................................................................ 430,369
23,100 Grace (W. R.) & Co.................................................................... 424,463
8,000 Great Lakes Chemical Corp............................................................. 368,500
8,400 Nalco Chemical Co..................................................................... 435,750
8,800 Praxair, Inc.......................................................................... 430,650
10,000 Sigma-Aldrich Corp.................................................................... 344,375
------------
3,208,132
------------
SPECIALTY FOODS/CANDY (0.4%)
6,200 Hershey Foods Corp.................................................................... 368,125
4,100 Wrigley (Wm.) Jr. Co. (Class A)....................................................... 369,000
------------
737,125
------------
SPECIALTY INSURERS (0.4%)
5,200 MBIA, Inc............................................................................. 336,700
9,000 MGIC Investment Corp.................................................................. 437,625
------------
774,325
------------
SPECIALTY STEELS (0.2%)
7,100 Nucor Corp............................................................................ 336,806
------------
STEEL/IRON ORE (0.8%)
55,000 Armco, Inc.*.......................................................................... 364,375
43,000 Bethlehem Steel Corp.*................................................................ 330,563
13,500 USX-U.S. Steel Group.................................................................. 364,500
26,400 Worthington Industries, Inc........................................................... 432,300
------------
1,491,738
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
55
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS EQUIPMENT (1.6%)
6,600 Corning Inc........................................................................... $ 462,825
10,600 General Instrument Corp.*............................................................. 450,500
6,600 Lucent Technologies Inc............................................................... 445,088
4,700 Motorola, Inc......................................................................... 445,325
5,100 Nortel Networks Corp. (Canada)........................................................ 442,744
12,200 Scientific-Atlanta, Inc............................................................... 439,200
6,600 Tellabs, Inc.*........................................................................ 445,913
------------
3,131,595
------------
TEXTILES (0.2%)
10,100 Springs Industries, Inc. (Class A).................................................... 440,613
------------
TOBACCO (0.5%)
17,400 Nabisco Group Holdings Corp........................................................... 340,388
8,700 Philip Morris Companies, Inc.......................................................... 349,631
11,200 UST, Inc.............................................................................. 327,600
------------
1,017,619
------------
TOOLS/HARDWARE (0.8%)
6,300 Black & Decker Corp................................................................... 397,688
7,200 Briggs & Stratton Corp................................................................ 415,800
10,700 Snap-On, Inc.......................................................................... 387,206
12,600 Stanley Works......................................................................... 405,563
------------
1,606,257
------------
WHOLESALE DISTRIBUTORS (0.4%)
7,400 Grainger (W.W.), Inc.................................................................. 398,213
30,300 IKON Office Solutions, Inc............................................................ 454,500
------------
852,713
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $137,585,688)........................................................ 192,700,984
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (1.5%)
REPURCHASE AGREEMENT
$ 2,955 The Bank of New York 4.625% due 07/01/99 (dated 06/30/99; proceeds $2,955,811) (a)
(IDENTIFIED COST $2,955,432)........................................................ $ 2,955,432
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $140,541,120) (B)........................................................ 100.5% 195,656,416
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS............................................ (0.5) (1,013,111)
------ -------------
NET ASSETS................................................................................ 100.0% $ 194,643,304
------ -------------
------ -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Collateralized by $2,924,396 U.S. Treasury Note 6.625% due 04/30/02 valued
at $3,014,540.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $59,829,786 and the
aggregate gross unrealized depreciation is $4,714,490, resulting in net
unrealized appreciation of $55,115,296.
SEE NOTES TO FINANCIAL STATEMENTS
56
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (97.3%)
ADVERTISING (1.1%)
9,000 Omnicom Group, Inc...................................................................... $ 720,000
-----------
AEROSPACE (5.8%)
19,600 Gulfstream Aerospace Corp.*............................................................. 1,324,225
34,600 United Technologies Corp................................................................ 2,480,387
-----------
3,804,612
-----------
ALCOHOLIC BEVERAGES (0.6%)
5,300 Anheuser-Busch Companies, Inc........................................................... 375,969
-----------
BEVERAGES - NON-ALCOHOLIC (0.5%)
10,800 Coca-Cola Enterprises Inc............................................................... 321,300
-----------
BIOTECHNOLOGY (1.2%)
13,200 Amgen Inc.*............................................................................. 802,725
-----------
BROADCASTING (4.1%)
11,600 Chancellor Media Corp.*................................................................. 638,725
29,700 Clear Channel Communications, Inc.*..................................................... 2,047,444
-----------
2,686,169
-----------
BUILDING MATERIALS/DIY CHAINS (2.6%)
26,800 Home Depot, Inc. (The).................................................................. 1,726,925
-----------
CABLE TELEVISION (3.6%)
30,600 AT&T Corp. - Liberty Media Group (Class A)*............................................. 1,124,550
26,400 Comcast Corp. (Class A Special)......................................................... 1,014,750
4,500 Comcast Corp. (Class A)................................................................. 161,156
400 MediaOne Group, Inc.*................................................................... 29,750
-----------
2,330,206
-----------
CELLULAR TELEPHONE (0.5%)
15,100 Crown Castle International Corp.*....................................................... 313,325
-----------
CLOTHING/SHOE/ACCESSORY STORES (1.9%)
17,200 Abercrombie & Fitch Co. (Class A)*...................................................... 825,600
8,505 Intimate Brands, Inc.................................................................... 402,924
-----------
1,228,524
-----------
COMPUTER COMMUNICATIONS (4.3%)
39,250 Cisco Systems, Inc.*.................................................................... 2,529,172
1,800 Juniper Networks, Inc.*................................................................. 268,087
-----------
2,797,259
-----------
COMPUTER HARDWARE (0.4%)
3,700 Sun Microsystems, Inc.*................................................................. 254,837
-----------
COMPUTER SOFTWARE (6.7%)
4,700 BMC Software, Inc.*..................................................................... 253,506
8,800 Compuware Corp.*........................................................................ 279,400
33,000 Microsoft Corp.*........................................................................ 2,974,125
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
5,400 New Era of Networks, Inc.*.............................................................. $ 236,925
15,600 Novell, Inc.*........................................................................... 413,400
4,550 Oracle Corp.*........................................................................... 168,919
-----------
4,326,275
-----------
DISCOUNT CHAINS (4.0%)
16,200 Costco Companies, Inc.*................................................................. 1,296,000
26,700 Wal-Mart Stores, Inc.................................................................... 1,288,275
-----------
2,584,275
-----------
DIVERSIFIED COMMERCIAL SERVICES (0.4%)
8,533 Nielsen Media Research, Inc.*........................................................... 249,590
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (0.6%)
2,300 Uniphase Corp.*......................................................................... 381,800
-----------
DIVERSIFIED FINANCIAL SERVICES (3.4%)
8,900 American Express Co..................................................................... 1,158,112
22,000 Citigroup Inc........................................................................... 1,045,000
-----------
2,203,112
-----------
DIVERSIFIED MANUFACTURING (6.9%)
47,500 Tyco International Ltd. (Bermuda)....................................................... 4,500,625
-----------
E.D.P. SERVICES (0.4%)
11,300 Quantum Corp.*.......................................................................... 271,200
-----------
ELECTRIC UTILITIES (0.3%)
2,600 Montana Power Co........................................................................ 183,300
-----------
ELECTRONIC PRODUCTION EQUIPMENT (1.0%)
8,700 Applied Materials, Inc.*................................................................ 642,712
-----------
INTEGRATED OIL COMPANIES (0.4%)
3,100 Exxon Corp.............................................................................. 239,087
-----------
INTERNET SERVICES (1.5%)
7,100 America Online, Inc.*................................................................... 784,550
400 Ask Jeeves, Inc.*....................................................................... 5,600
3,000 At Home Corp. (Series A)*............................................................... 161,813
100 Clarent Corp.*.......................................................................... 1,500
-----------
953,463
-----------
MAJOR BANKS (1.1%)
20,200 Bank of New York Co., Inc............................................................... 741,088
-----------
MAJOR PHARMACEUTICALS (11.7%)
5,000 American Home Products Corp............................................................. 287,500
22,600 Bristol-Myers Squibb Co................................................................. 1,591,888
6,300 Johnson & Johnson....................................................................... 617,400
4,400 Lilly (Eli) & Co........................................................................ 315,150
20,700 Merck & Co., Inc........................................................................ 1,531,800
10,200 Pfizer, Inc............................................................................. 1,119,450
4,800 Pharmacia & Upjohn, Inc................................................................. 272,700
10,500 Schering-Plough Corp.................................................................... 556,500
19,300 Warner-Lambert Co....................................................................... 1,338,938
-----------
7,631,326
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
57
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MAJOR U.S. TELECOMMUNICATIONS (6.3%)
18,946 AT&T Corp............................................................................... $ 1,057,424
14,700 Bell Atlantic Corp...................................................................... 961,013
24,200 MCI WorldCom, Inc....................................................................... 2,081,200
-----------
4,099,637
-----------
MEDIA CONGLOMERATES (2.6%)
22,700 Time Warner Inc......................................................................... 1,668,450
-----------
MILITARY/GOV'T/TECHNICAL (1.8%)
4,800 General Motors Corp. (Class H)*......................................................... 270,000
6,200 Litton Industries, Inc.*................................................................ 444,850
25,600 Loral Space & Communications Ltd.*...................................................... 460,800
-----------
1,175,650
-----------
MOTOR VEHICLES (0.0%)
200 Harley-Davidson, Inc.................................................................... 10,875
-----------
MULTI-SECTOR COMPANIES (5.6%)
24,900 General Electric Co..................................................................... 2,813,700
10,100 Textron, Inc............................................................................ 831,356
-----------
3,645,056
-----------
OFFICE EQUIPMENT/SUPPLIES (2.2%)
22,000 Pitney Bowes, Inc....................................................................... 1,413,500
-----------
OTHER CONSUMER SERVICES (0.0%)
100 E-LOAN, Inc.*........................................................................... 3,850
-----------
OTHER SPECIALTY STORES (0.7%)
21,400 Office Depot, Inc.*..................................................................... 472,138
-----------
PACKAGE GOODS/COSMETICS (1.2%)
8,500 Procter & Gamble Co..................................................................... 758,625
-----------
PROPERTY - CASUALTY INSURERS (1.3%)
373 Berkshire Hathaway, Inc. (Class B)*..................................................... 835,520
-----------
RESTAURANTS (0.3%)
6,400 Brinker International, Inc.*............................................................ 174,000
-----------
RETAIL - SPECIALTY (1.7%)
1,800 Best Buy Co., Inc.*..................................................................... 121,500
20,225 Gap, Inc. (The)......................................................................... 1,018,834
-----------
1,140,334
-----------
SEMICONDUCTORS (3.3%)
28,900 Intel Corp.............................................................................. 1,717,744
2,900 Texas Instruments, Inc.................................................................. 420,500
-----------
2,138,244
-----------
SPECIALTY FOODS/CANDY (0.4%)
9,700 Keebler Foods Co.*...................................................................... 294,638
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS EQUIPMENT (3.6%)
17,300 American Tower Corp. (Class A)*......................................................... $ 415,200
2,000 CIENA Corp.*............................................................................ 60,500
2,900 L-3 Communications Holdings, Inc.*...................................................... 140,106
8,800 Lucent Technologies Inc................................................................. 593,450
11,700 Motorola, Inc........................................................................... 1,108,575
-----------
2,317,831
-----------
TOBACCO (1.1%)
17,700 Philip Morris Companies, Inc............................................................ 711,319
-----------
WHOLESALE DISTRIBUTORS (0.2%)
5,800 WESCO International, Inc.*.............................................................. 118,900
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $49,804,975)........................................................... 63,248,271
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
<C> <S> <C>
SHORT-TERM INVESTMENT (2.5%)
REPURCHASE AGREEMENT
$ 1,593 The Bank of New York 4.625% due 07/01/99 (dated 06/30/99; proceeds $1,593,059) (a)
(IDENTIFIED COST $1,592,854).......................................................... 1,592,854
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $51,397,829) (B).......................................................... 99.8% 64,841,125
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 0.2 139,471
------ ------------
NET ASSETS................................................................................. 100.0% $ 64,980,596
------ ------------
------ ------------
</TABLE>
- ---------------------
* Non-income producing security.
(a) Collateralized by $1,630,041 U.S. Treasury Bill 0.00% due 07/29/99 valued
at $1,624,711.
(b) The aggregate cost for federal income tax purposes approximates indentified
cost. The aggregate gross unrealized appreciation is $13,838,369 and the
aggregate gross unrealized depreciation is $395,073, resulting in net
unrealized appreciation of $13,443,296.
SEE NOTES TO FINANCIAL STATEMENTS
58
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (95.8%)
ADVERTISING (0.2%)
12,000 Interpublic Group of Companies, Inc.................................................... $ 1,039,500
------------
AEROSPACE (0.8%)
54,000 United Technologies Corp............................................................... 3,871,125
------------
AIRLINES (1.0%)
164,900 Southwest Airlines Co.................................................................. 5,132,512
------------
ALCOHOLIC BEVERAGES (1.5%)
67,000 Anheuser-Busch Companies, Inc.......................................................... 4,752,812
8,500 LVMH-Moet Hennessy Louis Vuitton (France).............................................. 2,493,991
6,900 LVMH-Moet Hennessy Louis Vuitton (France) (Rights)*.................................... 202,168
------------
7,448,971
------------
ALUMINUM (0.9%)
71,000 Alcoa Inc.............................................................................. 4,393,125
------------
AUTO PARTS: O.E.M. (0.4%)
40,000 Lear Corp.*............................................................................ 1,990,000
------------
BEVERAGES - NON-ALCOHOLIC (0.3%)
40,000 Coca-Cola Enterprises Inc.............................................................. 1,190,000
22,600 Pepsi Bottling Group, Inc.............................................................. 521,212
------------
1,711,212
------------
BIOTECHNOLOGY (2.6%)
50,000 Biogen, Inc.*.......................................................................... 3,215,625
74,000 Bristol-Myers Squibb Co................................................................ 5,212,375
95,000 Cephalon, Inc.*........................................................................ 1,615,000
15,000 IDEC Pharmaceuticals Corp.*............................................................ 1,155,000
6,000 Immunex Corp.*......................................................................... 764,250
15,000 MedImmune, Inc.*....................................................................... 1,020,000
------------
12,982,250
------------
BOOKS/MAGAZINES (0.4%)
50,000 Reader's Digest Assoc., Inc. (Class A)................................................. 1,987,500
------------
BROADCASTING (3.8%)
110,000 CBS Corp............................................................................... 4,778,125
22,500 Chancellor Media Corp.*................................................................ 1,238,906
51,000 Clear Channel Communications, Inc.*.................................................... 3,515,812
48,000 Grupo Televisa S.A. (GDR) (Mexico)*.................................................... 2,151,000
40,000 Hispanic Broadcasting Corp.*........................................................... 3,032,500
46,800 Univision Communications, Inc. (Class A)*.............................................. 3,088,800
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
33,000 USA Networks, Inc.*.................................................................... $ 1,322,062
------------
19,127,205
------------
BUILDING MATERIALS/DIY CHAINS (0.8%)
60,000 Home Depot, Inc. (The)................................................................. 3,866,250
------------
CABLE TELEVISION (3.0%)
8,000 Adelphia Communications Corp. (Class A)*............................................... 515,500
100,000 AT&T Corp. - Liberty Media Group (Class A)*............................................ 3,675,000
17,000 Cablevision Systems Corp. (Class A)*................................................... 1,190,000
25,000 Comcast Corp. (Class A Special)........................................................ 960,937
56,000 Cox Communications, Inc. (Class A)*.................................................... 2,061,500
42,000 EchoStar Communications Corp. (Class A)*............................................... 6,444,375
------------
14,847,312
------------
CASINO/GAMBLING (0.5%)
23,000 Mandalay Resort Group*................................................................. 485,875
44,000 MGM Grand, Inc.*....................................................................... 2,156,000
------------
2,641,875
------------
CELLULAR TELEPHONE (1.5%)
59,000 Nextel Communications, Inc. (Class A)*................................................. 2,961,062
39,000 Sprint Corp. (PCS Group)*.............................................................. 2,227,875
105,000 Vodafone AirTouch PLC (United Kingdom)................................................. 2,069,550
15,000 Western Wireless Corp. (Class A)*...................................................... 405,000
------------
7,663,487
------------
CLOTHING/SHOE/ACCESSORY STORES (1.1%)
36,500 Gap, Inc. (The)........................................................................ 1,838,687
58,800 Intimate Brands, Inc................................................................... 2,785,650
22,627 Limited (The), Inc..................................................................... 1,026,700
------------
5,651,037
------------
COMPUTER COMMUNICATIONS (1.5%)
86,000 Cisco Systems, Inc.*................................................................... 5,541,625
14,000 Juniper Networks, Inc.*................................................................ 2,085,125
------------
7,626,750
------------
COMPUTER SOFTWARE (5.6%)
14,300 BackWeb Technologies Ltd. (Israel)*.................................................... 387,887
3,500 Bottomline Technologies, Inc........................................................... 185,062
25,000 Citrix Systems, Inc.*.................................................................. 1,404,687
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
59
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
77,000 Compuware Corp.*....................................................................... $ 2,444,750
75,000 i2 Technologies, Inc.*................................................................. 3,225,000
70,000 Microsoft Corp.*....................................................................... 6,308,750
120,000 Oracle Corp.*.......................................................................... 4,455,000
32,000 Rational Software Corp.*............................................................... 1,054,000
73,000 Siebel Systems, Inc.*.................................................................. 4,836,250
39,000 Veritas Software Corp.*................................................................ 3,702,562
------------
28,003,948
------------
COMPUTER/VIDEO CHAINS (2.5%)
62,000 Best Buy Co., Inc.*.................................................................... 4,185,000
50,000 Circuit City Stores, Inc.-Circuit City Group........................................... 4,650,000
144 Dixons Group PLC (United Kingdom)...................................................... 2,691
72,200 Tandy Corp............................................................................. 3,528,775
------------
12,366,466
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (0.4%)
17,000 Caterpillar, Inc....................................................................... 1,020,000
20,000 Navistar International Corp.*.......................................................... 1,000,000
------------
2,020,000
------------
CONSUMER ELECTRONICS/APPLIANCES (0.7%)
33,000 Sony Corp. (Japan)..................................................................... 3,553,218
------------
CONTAINERS/PACKAGING (1.0%)
70,000 Temple-Inland, Inc..................................................................... 4,777,500
------------
CONTRACT DRILLING (0.4%)
50,000 ENSCO International Inc................................................................ 996,875
63,000 Rowan Companies, Inc.*................................................................. 1,161,562
------------
2,158,437
------------
DEPARTMENT STORES (0.6%)
36,600 Federated Department Stores, Inc.*..................................................... 1,937,512
25,000 Sears, Roebuck & Co.................................................................... 1,114,062
------------
3,051,574
------------
DISCOUNT CHAINS (3.2%)
50,000 Ames Department Stores, Inc.*.......................................................... 2,275,000
154,000 Dayton Hudson Corp..................................................................... 10,010,000
77,000 Wal-Mart Stores, Inc................................................................... 3,715,250
------------
16,000,250
------------
DIVERSIFIED COMMERCIAL SERVICES (0.9%)
14,000 CheckFree Holdings Corp.*.............................................................. 385,000
45,000 Concord EFS, Inc.*..................................................................... 1,904,062
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
35,000 SABRE Group Holdings, Inc.*............................................................ $ 2,406,250
------------
4,695,312
------------
DIVERSIFIED ELECTRONIC PRODUCTS (1.0%)
23,000 Honeywell, Inc......................................................................... 2,665,125
20,000 Rockwell International Corp............................................................ 1,215,000
6,000 Uniphase Corp.*........................................................................ 996,000
------------
4,876,125
------------
DIVERSIFIED FINANCIAL SERVICES (1.9%)
36,000 American Express Co.................................................................... 4,684,500
50,400 Citigroup Inc.......................................................................... 2,394,000
37,100 Equitable Companies, Inc............................................................... 2,485,700
------------
9,564,200
------------
DIVERSIFIED MANUFACTURING (2.7%)
45,000 AlliedSignal, Inc...................................................................... 2,835,000
24,000 Mannesmann AG (Germany)................................................................ 3,589,139
25,000 Minnesota Mining & Manufacturing Co.................................................... 2,173,437
50,000 Tyco International Ltd. (Bermuda)...................................................... 4,737,500
------------
13,335,076
------------
DRUGSTORE CHAINS (0.7%)
36,000 CVS Corp............................................................................... 1,827,000
50,000 Walgreen Co............................................................................ 1,468,750
------------
3,295,750
------------
E.D.P. PERIPHERALS (0.2%)
18,800 Lexmark International Group, Inc. (Class A)*........................................... 1,241,975
------------
E.D.P. SERVICES (1.8%)
73,000 Electronic Data Systems Corp........................................................... 4,129,062
99,000 First Data Corp........................................................................ 4,844,812
------------
8,973,874
------------
ELECTRIC UTILITIES (0.4%)
38,000 AES Corp. (The)*....................................................................... 2,208,750
------------
ELECTRONIC COMPONENTS (0.4%)
26,000 Flextronics International, Ltd.*....................................................... 1,436,500
5,000 Sanmina Corp.*......................................................................... 379,375
------------
1,815,875
------------
ELECTRONIC DATA PROCESSING (0.2%)
25,000 Unisys Corp.*.......................................................................... 973,438
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
60
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC PRODUCTION EQUIPMENT (3.0%)
73,000 Applied Materials, Inc.*............................................................... $ 5,392,875
52,000 ASM Lithography Holding NV (Netherlands)*.............................................. 3,068,000
11,300 Jabil Circuit, Inc.*................................................................... 509,913
60,010 Taiwan Semiconductor Manufacturing Co. Ltd. (ADR) (Taiwan)*............................ 2,040,340
56,200 Teradyne, Inc.*........................................................................ 4,032,350
------------
15,043,478
------------
ENVIRONMENTAL SERVICES (0.5%)
45,000 Waste Management, Inc.................................................................. 2,418,750
------------
FINANCE COMPANIES (0.9%)
45,000 Capital One Financial Corp............................................................. 2,505,938
48,600 MBNA Corp.............................................................................. 1,488,375
8,600 NextCard, Inc.*........................................................................ 291,325
------------
4,285,638
------------
FLUID CONTROLS (0.2%)
20,400 Parker-Hannifin Corp................................................................... 933,300
------------
FOREST PRODUCTS (0.9%)
90,000 Georgia-Pacific Group.................................................................. 4,263,750
------------
HOSPITAL/NURSING MANAGEMENT (0.2%)
43,000 Columbia/HCA Healthcare Corp........................................................... 980,938
------------
INDUSTRIAL MACHINERY/COMPONENTS (0.6%)
14,300 Illinois Tool Works Inc................................................................ 1,172,600
25,300 Ingersoll-Rand Co...................................................................... 1,635,013
------------
2,807,613
------------
INSURANCE BROKERS/SERVICES (0.4%)
28,700 Marsh & McLennan Companies, Inc........................................................ 2,166,850
------------
INTEGRATED OIL COMPANIES (0.9%)
21,000 BP Amoco PLC (ADR) (United Kingdom).................................................... 2,278,500
27,400 Exxon Corp............................................................................. 2,113,225
------------
4,391,725
------------
INTERNET SERVICES (2.3%)
8,700 America Online, Inc.*.................................................................. 961,350
2,300 Ask Jeeves, Inc.*...................................................................... 32,200
4,600 High Speed Access Corp.*............................................................... 117,875
50,000 RealNetworks, Inc.*.................................................................... 3,443,750
26,000 VeriSign, Inc.*........................................................................ 2,242,500
5,000 Vignette Corp.*........................................................................ 385,625
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
25,600 Yahoo! Inc.*........................................................................... $ 4,408,000
------------
11,591,300
------------
INVESTMENT BANKERS/BROKERS/SERVICES (0.1%)
12,000 Paine Webber Group, Inc................................................................ 561,000
------------
LIFE INSURANCE (0.3%)
25,000 Lincoln National Corp.................................................................. 1,307,813
------------
MAJOR BANKS (1.8%)
30,000 Chase Manhattan Corp................................................................... 2,598,750
64,000 Huntington Bancshares, Inc............................................................. 2,236,000
30,000 Morgan (J.P.) & Co., Inc............................................................... 4,215,000
------------
9,049,750
------------
MAJOR CHEMICALS (0.2%)
9,000 Dow Chemical Co........................................................................ 1,141,875
------------
MAJOR PHARMACEUTICALS (1.8%)
62,000 American Home Products Corp............................................................ 3,565,000
25,000 COR Therapeutics, Inc.*................................................................ 365,625
35,000 Johnson & Johnson...................................................................... 3,430,000
27,300 Pharmacia & Upjohn, Inc................................................................ 1,550,981
667 SmithKline Beecham PLC (United Kingdom)................................................ 8,671
------------
8,920,277
------------
MAJOR U.S. TELECOMMUNICATIONS (1.4%)
55,000 AT&T Corp.............................................................................. 3,069,688
25,000 MCI WorldCom, Inc...................................................................... 2,150,000
38,000 Sprint Corp. (FON Group)............................................................... 2,006,875
------------
7,226,563
------------
MANAGED HEALTH CARE (1.0%)
57,000 United HealthCare Corp................................................................. 3,569,625
16,000 Wellpoint Health Networks, Inc.*....................................................... 1,358,000
------------
4,927,625
------------
MEDIA CONGLOMERATES (1.5%)
93,000 Fox Entertainment Group, Inc. (Series A)*.............................................. 2,505,188
38,600 Time Warner Inc........................................................................ 2,837,100
53,000 Viacom, Inc. (Class B)*................................................................ 2,332,000
------------
7,674,288
------------
MEDICAL EQUIPMENT & SUPPLIES (0.3%)
68,000 Summit Technology, Inc.*............................................................... 1,496,000
------------
MEDICAL SPECIALTIES (2.4%)
20,000 Bausch & Lomb, Inc..................................................................... 1,530,000
81,200 Boston Scientific Corp.*............................................................... 3,567,725
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
61
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
24,000 Minimed, Inc.*......................................................................... $ 1,846,500
31,000 Perclose, Inc.*........................................................................ 1,488,000
34,400 St. Jude Medical, Inc.*................................................................ 1,225,500
28,000 VISX, Inc.*............................................................................ 2,219,000
------------
11,876,725
------------
MILITARY/GOV'T/TECHNICAL (1.3%)
61,800 General Motors Corp. (Class H)*........................................................ 3,476,250
44,300 Raytheon Co. (Class B)................................................................. 3,117,613
------------
6,593,863
------------
MOVIES/ENTERTAINMENT (1.0%)
98,700 Seagram Co. Ltd. (Canada).............................................................. 4,972,013
------------
MULTI-LINE INSURANCE (1.1%)
33,000 American International Group, Inc...................................................... 3,863,063
16,000 CIGNA Corp............................................................................. 1,424,000
------------
5,287,063
------------
MULTI-SECTOR COMPANIES (1.0%)
44,000 General Electric Co.................................................................... 4,972,000
------------
NEWSPAPERS (0.4%)
24,800 Tribune Co............................................................................. 2,160,700
------------
OFFICE EQUIPMENT/SUPPLIES (0.1%)
10,800 Avery Dennison Corp.................................................................... 652,051
------------
OIL & GAS PRODUCTION (0.8%)
100,000 Apache Corp............................................................................ 3,900,000
------------
OIL/GAS TRANSMISSION (1.0%)
60,000 Enron Corp............................................................................. 4,905,000
------------
OILFIELD SERVICES/EQUIPMENT (1.5%)
3,000 Baker Hughes Inc....................................................................... 100,500
100,900 Halliburton Co......................................................................... 4,565,725
15,700 Smith International, Inc.*............................................................. 681,969
65,100 Weatherford International, Inc.*....................................................... 2,384,288
------------
7,732,482
------------
OTHER CONSUMER SERVICES (0.0%)
4,600 E-LOAN, Inc.*.......................................................................... 177,100
------------
OTHER SPECIALTY STORES (0.5%)
80,000 Kingfisher PLC (United Kingdom)........................................................ 920,851
14,300 Tiffany & Co........................................................................... 1,379,950
------------
2,300,801
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER TELECOMMUNICATIONS (0.2%)
11,000 McLeodUSA, Inc. (Class A)*............................................................. $ 603,625
5,000 NEXTLINK Communications, Inc. (Class A)*............................................... 371,563
5,000 RCN Corp.*............................................................................. 208,125
------------
1,183,313
------------
PACKAGE GOODS/COSMETICS (1.9%)
93,000 Avon Products, Inc..................................................................... 5,161,500
24,000 Colgate-Palmolive Co................................................................... 2,370,000
42,000 Estee Lauder Companies, Inc. (Class A)................................................. 2,105,250
------------
9,636,750
------------
PAPER (0.9%)
50,600 International Paper Co................................................................. 2,555,300
38,000 Willamette Industries, Inc............................................................. 1,750,375
------------
4,305,675
------------
PROPERTY - CASUALTY INSURERS (0.3%)
20,000 Chubb Corp............................................................................. 1,390,000
10,000 St. Paul Companies, Inc................................................................ 318,125
------------
1,708,125
------------
RAILROADS (0.2%)
18,100 Canadian National Railway Co. (Canada)................................................. 1,212,700
------------
RESTAURANTS (0.7%)
38,400 Brinker International, Inc.*........................................................... 1,044,000
45,000 Granada Group PLC (United Kingdom)*.................................................... 835,152
45,000 Outback Steakhouse, Inc.*.............................................................. 1,760,625
------------
3,639,777
------------
SEMICONDUCTORS (4.7%)
9,000 Broadcom Corp. (Class A)*.............................................................. 1,300,500
6,000 Conexant Systems, Inc.*................................................................ 348,000
29,000 Linear Technology Corp................................................................. 1,950,250
29,000 LSI Logic Corp.*....................................................................... 1,337,625
5,300 Maker Communications, Inc.*............................................................ 162,975
30,000 Maxim Integrated Products, Inc.*....................................................... 1,995,000
58,000 PMC - Sierra, Inc.*.................................................................... 3,418,375
6,000 STMicroelectronics NV (Netherlands).................................................... 400,585
42,000 STMicroelectronics NV (Netherlands).................................................... 2,913,750
30,000 Texas Instruments, Inc................................................................. 4,350,000
12,000 TriQuint Semiconductor, Inc............................................................ 681,750
33,000 Vitesse Semiconductor Corp.*........................................................... 2,239,875
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
62
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
44,000 Xilinx, Inc.*.......................................................................... $ 2,519,000
------------
23,617,685
------------
SHOE MANUFACTURING (1.0%)
80,000 Nike, Inc. (Class B)................................................................... 5,065,000
------------
SPECIALTY CHEMICALS (0.6%)
34,000 Air Products & Chemicals, Inc.......................................................... 1,368,500
36,000 Praxair, Inc........................................................................... 1,761,750
------------
3,130,250
------------
TELECOMMUNICATIONS (1.5%)
433 Nippon Telegraph & Telephone Corp. (Japan)............................................. 5,037,376
30,000 Telefonos de Mexico S.A. (Series L) (ADR) (Mexico)..................................... 2,424,375
------------
7,461,751
------------
TELECOMMUNICATIONS EQUIPMENT (8.5%)
62,500 Comverse Technology, Inc.*............................................................. 4,710,938
63,178 Ericsson (L.M.) Telefonaktiebolaqet Co. (Class B) (ADR) (Sweden)....................... 2,076,977
73,000 General Instrument Corp.*.............................................................. 3,102,500
60,000 Lucent Technologies Inc................................................................ 4,046,250
58,000 Motorola, Inc.......................................................................... 5,495,500
68,700 Nokia Corp. (ADR) (Finland)............................................................ 6,290,344
34,300 Nortel Networks Corp. (Canada)......................................................... 2,977,669
45,000 QUALCOMM Inc.*......................................................................... 6,457,500
75,000 RF Micro Devices, Inc.*................................................................ 5,596,875
43,300 Scientific-Atlanta, Inc................................................................ 1,558,800
8,000 Tellabs, Inc.*......................................................................... 540,500
------------
42,853,853
------------
WHOLESALE DISTRIBUTORS (0.5%)
45,000 Grainger (W.W.), Inc................................................................... 2,421,563
------------
WIRELESS COMMUNICATIONS (0.5%)
11,000 VoiceStream Wireless Corp.*............................................................ 312,813
47,000 WinStar Communications, Inc.*.......................................................... 2,291,250
------------
2,604,063
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $432,782,670)......................................................... 480,450,715
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (a) (6.3%)
U.S. GOVERNMENT AGENCY
$ 31,400 Federal Home Loan Banks 4.60% due 07/01/99 (AMORTIZED COST $31,400,000)................ $ 31,400,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $464,182,670) (B)........................................................ 102.1% 511,850,715
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS............................................ (2.1) (10,196,475)
------ -------------
NET ASSETS................................................................................ 100.0% $ 501,654,240
------ -------------
------ -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to relect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates indentified
cost. The aggregate gross unrealized appreciation is $54,593,873 and the
aggregate gross unrealized depreciation is $6,925,828, resulting in net
unrealized appreciation of $47,668,045.
FUTURES CONTRACTS OPEN AT JUNE 30, 1999:
<TABLE>
<CAPTION>
UNDERLYING
DESCRIPTION, FACE
NUMBER OF DELIVERY YEAR, AND AMOUNT UNREALIZED
CONTRACTS MONTH AT VALUE DEPRECIATION
- --------------------------------------------------------------------
<S> <C> <C> <C>
103 S&P 500 FUTURES $ 35,578,775 $ (1,558,724)
SEPTEMBER/1999
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
63
<PAGE>
MID-CAP GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (91.6%)
ACCIDENT & HEALTH INSURANCE (1.0%)
6,500 AFLAC, Inc.............................................................................. $ 311,187
-----------
ADVERTISING (1.2%)
10,500 Valassis Communications, Inc.*.......................................................... 384,562
-----------
AEROSPACE (0.9%)
15,000 BE Aerospace, Inc.*..................................................................... 280,312
-----------
APPAREL (2.4%)
4,000 Gucci Group NV (Netherlands)............................................................ 280,000
6,500 Tommy Hilfiger Corp.*................................................................... 477,750
-----------
757,750
-----------
AUTO PARTS: O.E.M. (1.6%)
18,000 Gentex Corp.*........................................................................... 504,000
-----------
BIOTECHNOLOGY (2.4%)
10,000 IDEC Pharmaceuticals Corp.*............................................................. 770,000
-----------
BROADCASTING (1.1%)
4,999 Clear Channel Communications, Inc.*..................................................... 344,619
-----------
BUILDING MATERIALS (2.2%)
12,000 Martin Marietta Materials, Inc.......................................................... 708,000
-----------
BUILDING PRODUCTS (2.3%)
15,000 American Standard Companies, Inc.*...................................................... 720,000
-----------
CATALOG/SPECIALTY DISTRIBUTION (0.6%)
1,500 Amazon.com, Inc.*....................................................................... 187,594
-----------
CLOTHING/SHOE/ACCESSORY STORES (2.3%)
4,000 Abercrombie & Fitch Co. (Class A)*...................................................... 192,000
12,000 Ann Taylor Stores Corp.*................................................................ 540,000
-----------
732,000
-----------
COMPUTER COMMUNICATIONS (1.5%)
13,000 Adaptec, Inc.*.......................................................................... 458,250
100 Brocade Communications Systems, Inc.*................................................... 9,644
-----------
467,894
-----------
COMPUTER SOFTWARE (6.1%)
7,500 Adobe Systems, Inc...................................................................... 615,937
10,000 Citrix Systems, Inc.*................................................................... 561,875
10,000 Hyperion Solutions Corp.*............................................................... 178,125
3,000 Marimba, Inc.*.......................................................................... 158,062
10,000 Mercury Interactive Corp.*.............................................................. 353,750
1,000 Siebel Systems, Inc.*................................................................... 66,250
-----------
1,933,999
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.5%)
8,000 Navistar International Corp.*........................................................... $ 400,000
7,500 PACCAR, Inc............................................................................. 400,312
-----------
800,312
-----------
CONSUMER ELECTRONICS/APPLIANCES (2.2%)
10,000 Maytag Corp............................................................................. 696,875
-----------
CONTAINERS/PACKAGING (1.8%)
9,000 Sealed Air Corp.*....................................................................... 583,875
-----------
CONTRACT DRILLING (3.0%)
5,000 Diamond Offshore Drilling, Inc.......................................................... 141,875
44,000 Rowan Companies, Inc.*.................................................................. 811,250
-----------
953,125
-----------
DISCOUNT CHAINS (1.9%)
25,000 Family Dollar Stores, Inc............................................................... 600,000
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (4.3%)
9,000 Gemstar International
Group Ltd.*........................................................................... 587,250
20,000 Harris Corp............................................................................. 783,750
-----------
1,371,000
-----------
DIVERSIFIED FINANCIAL SERVICES (0.4%)
1,500 Providian Financial Corp................................................................ 140,250
-----------
E.D.P. PERIPHERALS (0.6%)
3,000 Lexmark International Group, Inc. (Class A)*............................................ 198,187
-----------
E.D.P. SERVICES (0.6%)
7,000 CSG Systems International, Inc.*........................................................ 183,312
-----------
ELECTRONIC COMPONENTS (0.8%)
4,000 Solectron Corp.*........................................................................ 266,750
-----------
ELECTRONIC PRODUCTION EQUIPMENT (1.7%)
12,000 Jabil Circuit, Inc.*.................................................................... 541,500
-----------
ENGINEERING & CONSTRUCTION (1.7%)
4,000 Dycom Industries, Inc.*................................................................. 224,000
7,500 Quanta Services, Inc.*.................................................................. 330,000
-----------
554,000
-----------
FLUID CONTROLS (1.8%)
12,500 Parker-Hannifin Corp.................................................................... 571,875
-----------
HOME BUILDING (1.2%)
15,000 Kaufman & Broad Home Corp............................................................... 373,125
-----------
HOSPITAL/NURSING MANAGEMENT (2.0%)
55,000 Health Management Associates, Inc. (Class A)*........................................... 618,750
-----------
INTEGRATED OIL COMPANIES (0.7%)
3,500 Amerada Hess Corp....................................................................... 208,250
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
64
<PAGE>
MID-CAP GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INTERNET SERVICES (0.7%)
4,000 At Home Corp. (Series A)*............................................................... $ 215,750
-----------
MAJOR CHEMICALS (1.4%)
10,000 Rohm & Haas Co.......................................................................... 428,750
-----------
MEDICAL SPECIALTIES (1.7%)
7,000 Bausch & Lomb, Inc...................................................................... 535,500
-----------
MILITARY/GOV'T/TECHNICAL (1.4%)
6,500 General Dynamics Corp................................................................... 445,250
-----------
MOTOR VEHICLES (1.3%)
7,500 Harley-Davidson, Inc.................................................................... 407,813
-----------
MOVIES/ENTERTAINMENT (1.0%)
5,000 SFX Entertainment, Inc. (Class A)*...................................................... 320,000
-----------
NEWSPAPERS (1.7%)
15,000 New York Times Co. (The) (Class A)...................................................... 552,188
-----------
OIL & GAS PRODUCTION (1.5%)
12,000 Apache Corp............................................................................. 468,000
-----------
OIL REFINING/MARKETING (2.5%)
30,000 Tosco Corp.............................................................................. 778,125
-----------
OILFIELD SERVICES/EQUIPMENT (1.6%)
12,000 Smith International, Inc.*.............................................................. 521,250
-----------
OTHER SPECIALTY STORES (6.0%)
5,500 Bed Bath & Beyond, Inc.*................................................................ 211,063
8,400 Best Buy Co., Inc.*..................................................................... 567,000
6,000 Linens 'N Things, Inc.*................................................................. 262,500
4,500 Staples, Inc.*.......................................................................... 138,938
7,500 Tiffany & Co............................................................................ 723,750
-----------
1,903,251
-----------
OTHER TELECOMMUNICATIONS (1.8%)
7,500 NEXTLINK Communications, Inc. (Class A)*................................................ 557,344
-----------
PACKAGE GOODS/COSMETICS (0.9%)
8,000 Dial Corp. (The)........................................................................ 297,500
-----------
REAL ESTATE INVESTMENT TRUSTS (2.0%)
25,000 Equity Office Properties Trust.......................................................... 640,625
-----------
RESTAURANTS (2.6%)
8,000 Foodmaker, Inc.*........................................................................ 227,000
15,000 Outback Steakhouse, Inc.*............................................................... 586,875
-----------
813,875
-----------
SEMICONDUCTORS (3.1%)
8,000 Analog Devices, Inc.*................................................................... 401,500
3,000 Broadcom Corp. (Class A)*............................................................... 433,500
3,000 LSI Logic Corp.*........................................................................ 138,375
-----------
973,375
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SMALLER BANKS (1.0%)
5,000 Zions Bancorporation.................................................................... $ 317,500
-----------
TELECOMMUNICATIONS (2.0%)
25,000 Cincinnati Bell, Inc.................................................................... 623,438
-----------
TELECOMMUNICATIONS EQUIPMENT (3.4%)
10,000 Antec Corp.*............................................................................ 318,750
4,000 Comverse Technology, Inc.*.............................................................. 301,500
6,000 RF Micro Devices, Inc.*................................................................. 447,750
-----------
1,068,000
-----------
WIRELESS COMMUNICATIONS (1.2%)
7,500 Winstar Communications, Inc.*........................................................... 365,625
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $25,924,405)........................................................... 28,996,262
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
<C> <S> <C>
SHORT-TERM INVESTMENT (a) (8.1%)
U.S. GOVERNMENT AGENCY
$ 2,550 Federal Home Loan Banks 4.60% due 07/01/99 (AMORTIZED COST $2,550,000).................. 2,550,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $28,474,405) (B).......................................................... 99.7% 31,546,262
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................. 0.3 104,666
------ ------------
NET ASSETS................................................................................. 100.0% $ 31,650,928
------ ------------
------ ------------
</TABLE>
- ---------------------
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $3,773,921 and the
aggregate gross unrealized depreciation is $702,064, resulting in net
unrealized appreciation of $3,071,857.
SEE NOTES TO FINANCIAL STATEMENTS
65
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS, WARRANTS AND BONDS (93.9%)
AUSTRALIA (0.7%)
TELECOMMUNICATIONS
400,000 Cable & Wireless Optus Ltd.*.................................................... $ 917,104
------------
BRAZIL (0.7%)
TELECOMMUNICATIONS
40,000 Telesp Participacoes S.A. (ADR)................................................. 915,000
------------
CANADA (0.5%)
BIOTECHNOLOGY
32,900 BioChem Pharma, Inc.*........................................................... 614,819
------------
DENMARK (0.6%)
TELECOMMUNICATIONS
33,400 Tele Danmark A/S (ADR).......................................................... 860,050
FINLAND (2.0%)
PAPER
44,000 UPM-Kymmene Oyj................................................................. 1,264,177
------------
TELECOMMUNICATION EQUIPMENT
16,000 Nokia Corp. (ADR) (Class A)..................................................... 1,465,000
------------
TOTAL FINLAND................................................................... 2,729,177
------------
FRANCE (6.5%)
COMPUTER HARDWARE
152,000 Bull SA......................................................................... 1,310,147
------------
INDUSTRIAL MACHINERY/COMPONENTS
70,000 Aerospatiale-Matra.............................................................. 1,616,911
------------
INTEGRATED OIL COMPANIES
8,300 Elf Aquitaine S.A............................................................... 1,220,657
------------
MILITARY/GOV'T/TECHNICAL
24,000 Thomson CSF..................................................................... 835,895
------------
MULTI-LINE INSURANCE
4,000 AXA............................................................................. 489,052
------------
OIL REFINING/MARKETING
7,000 Total S.A. (B Shares)........................................................... 905,036
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
STEEL/IRON ORE
60,000 Usinor Sacilor.................................................................. $ 896,044
------------
TELECOMMUNICATIONS EQUIPMENT
11,000 Alcatel......................................................................... 1,551,800
------------
TOTAL FRANCE.................................................................... 8,825,542
------------
GERMANY (2.8%)
MOTOR VEHICLES
15,000 DaimlerChrysler AG.............................................................. 1,333,125
------------
MULTI-SECTOR COMPANIES
21,000 VEBA AG......................................................................... 1,237,099
------------
TELECOMMUNICATIONS
7,500 Mannesmann AG................................................................... 1,121,606
------------
TOTAL GERMANY................................................................... 3,691,830
------------
GREECE (0.6%)
BROADCASTING
15,000 Antenna TV S.A. (ADR)*.......................................................... 205,313
------------
TELECOMMUNICATIONS
50,000 Hellenic Telecommunication Organization S.A. (OTE) (ADR)*....................... 553,125
------------
TOTAL GREECE.................................................................... 758,438
------------
HONG KONG (2.6%)
BANKING
200,000 Dao Heng Bank Group Ltd......................................................... 897,000
------------
ELECTRIC UTILITIES
123,000 CLP Holdings Ltd................................................................ 597,626
------------
MULTI-SECTOR COMPANIES
125,000 Hutchison Whampoa, Ltd.......................................................... 1,131,721
150,000 New World Development Co., Ltd.................................................. 449,467
------------
1,581,188
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
66
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
NATURAL GAS DISTRIBUTION
292,820 Hong Kong & China Gas Co., Ltd.................................................. $ 424,557
12,100 Hong Kong & China Gas Co., Ltd. (Warrants due 09/30/99)*........................ 1,965
------------
426,522
------------
TOTAL HONG KONG................................................................. 3,502,336
------------
ITALY (1.4%)
INTEGRATED OIL COMPANIES
13,000 ENI SpA (ADR)................................................................... 780,000
------------
LIFE INSURANCE
24,000 Assicurazioni Generali.......................................................... 833,414
------------
TELECOMMUNICATIONS
120,000 Tecnost SpA..................................................................... 297,028
------------
TOTAL ITALY..................................................................... 1,910,442
------------
JAPAN (11.7%)
CONSUMER ELECTRONICS/APPLIANCES
65,000 Pioneer Electronic Corp......................................................... 1,262,995
16,000 Sony Corp....................................................................... 1,722,772
------------
2,985,767
------------
CONTAINERS/PACKAGING
100,000 Rengo Co. Ltd................................................................... 514,851
------------
ELECTRONIC COMPONENTS
14,000 TDK Corp........................................................................ 1,278,713
------------
ELECTRONIC PRODUCTION EQUIPMENT
30,000 Tokyo Electron Ltd.............................................................. 2,032,178
------------
INVESTMENT BANKERS/BROKERS/SERVICES
80,000 Nomura Securities Co., Ltd...................................................... 935,314
------------
MEDICAL SPECIALTIES
50,000 Kawasumi Laboratories, Inc...................................................... 746,700
32,000 Terumo Corp..................................................................... 711,551
------------
1,458,251
------------
MOTOR VEHICLES
90,000 Suzuki Motor Corp............................................................... 1,429,455
------------
OTHER PHARMACEUTICALS
27,000 Yamanouchi Pharmaceutical Co., Ltd.............................................. 1,031,436
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS
10,000 Rohm Co., Ltd................................................................... $ 1,563,531
------------
STEEL/IRON ORE
500,000 Nippon Steel Co................................................................. 1,159,241
------------
TELECOMMUNICATIONS
120 Nippon Telegraph & Telephone Corp............................................... 1,396,040
------------
TOTAL JAPAN..................................................................... 15,784,777
------------
MEXICO (1.5%)
BEVERAGES - NON-ALCOHOLIC
30,000 Panamerican Beverages, Inc. (Class A)........................................... 714,375
------------
MEDIA CONGLOMERATES
20,000 Grupo Televisa S.A. (GDR)*...................................................... 896,250
------------
WIRELESS COMMUNICATIONS
35,000 Grupo lusacell, S.A. de C.V. (Series L) (ADR)................................... 455,000
------------
TOTAL MEXICO.................................................................... 2,065,625
------------
NETHERLANDS (2.8%)
BOOKS/MAGAZINES
18,000 VNU NV.......................................................................... 720,866
------------
DIVERSIFIED ELECTRONIC PRODUCTS
10,000 Koninklijke (Royal) Phillips Electronics NV..................................... 988,543
------------
DIVERSIFIED FINANCIAL SERVICES
26,000 ING Groep NV.................................................................... 1,410,728
------------
FOREIGN GOVERNMENT OBLIGATIONS
580 Tecnost International 4.487% due 06/23/04....................................... 608,661
------------
TOTAL NETHERLANDS............................................................... 3,728,798
------------
NEW ZEALAND (1.3%)
PAPER
700,000 Fletcher Challenge Paper........................................................ 526,564
------------
UTILITIES
750,000 Contact Energy Ltd.*............................................................ 1,224,383
------------
TOTAL NEW ZEALAND............................................................... 1,750,947
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
67
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PORTUGAL (1.6%)
ELECTRIC UTILITIES
50,000 EDP-Electricidade de Portugal, S.A.............................................. $ 902,246
------------
TELECOMMUNICATIONS
10,000 Telecel-Comunicacoes Pessoais S.A............................................... 1,291,875
------------
TOTAL PORTUGAL.................................................................. 2,194,121
------------
SINGAPORE (1.4%)
BANKING
192,500 Overseas Union Bank Ltd......................................................... 927,984
------------
REAL ESTATE
250,000 Allgreen Properties Ltd.*....................................................... 270,429
100,000 City Developments Ltd........................................................... 640,799
------------
911,228
------------
TOTAL SINGAPORE................................................................. 1,839,212
------------
SOUTH KOREA (1.3%)
TELECOMMUNICATIONS
45,000 Korea Telecom Corp. (ADR)*...................................................... 1,800,000
------------
SPAIN (3.1%)
ENGINEERING & CONSTRUCTION
20,000 Grupo Ferrovial, S.A.*.......................................................... 485,745
------------
RETAIL
45,000 Superdiplo S.A.*................................................................ 999,911
------------
TELECOMMUNICATIONS
10,472 Telefonica de Espana S.A. (ADR)................................................. 1,540,743
------------
UTILITIES
26,800 Endesa S.A...................................................................... 572,791
40,000 Union Electrica Fenosa, S.A..................................................... 524,191
------------
1,096,982
------------
TOTAL SPAIN..................................................................... 4,123,381
------------
SWEDEN (1.0%)
METALS FABRICATIONS
73,000 S.K.F. AB (B Shares)............................................................ 1,353,848
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SWITZERLAND (4.2%)
BANKING
4,300 UBS AG (Registered Shares)...................................................... $ 1,286,645
------------
BUILDING MATERIALS
1,040 Holderbank Financiere Glarus AG (B Shares)...................................... 1,230,670
------------
ENGINEERING & CONSTRUCTION
300 Schindler Holdings AG (Registered).............................................. 464,306
------------
MAJOR PHARMACEUTICALS
80 Roche Holdings AG............................................................... 824,402
------------
OTHER TELECOMMUNICATIONS
2,500 Swisscom AG (Registered Shares)*................................................ 943,122
------------
PACKAGED FOODS
500 Nestle S.A. (Registered Shares)................................................. 903,141
------------
TOTAL SWITZERLAND............................................................... 5,652,286
------------
UNITED KINGDOM (10.2%)
ADVERTISING
80,000 WPP Group, PLC.................................................................. 676,762
------------
AEROSPACE
240,543 Rolls-Royce PLC................................................................. 1,018,389
------------
BANKING
64,000 Abbey National PLC.............................................................. 1,201,900
50,630 National Westminster Bank PLC................................................... 1,073,759
------------
2,275,659
------------
CELLULAR TELEPHONE
40,607 Vodafone AirTouch PLC........................................................... 800,364
------------
DIVERSIFIED FINANCIAL SERVICES
16,608 HSBC Holdings PLC............................................................... 605,741
------------
DIVERSIFIED MANUFACTURING
200,000 IMI PLC (Ordinary).............................................................. 810,980
------------
E.D.P. SERVICES
72,000 SEMA Group PLC.................................................................. 694,801
------------
INDUSTRIAL MACHINERY/COMPONENTS
140,000 Invensys PLC.................................................................... 662,808
------------
MAJOR PHARMACEUTICALS
15,000 Zeneca Group PLC................................................................ 580,420
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
68
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MEDIA CONGLOMERATES
30,000 Future Network PLC*............................................................. $ 198,677
------------
MILITARY/GOV'T/TECHNICAL
180,000 Racal Electronics PLC........................................................... 1,099,818
------------
MULTI-LINE INSURANCE
36,000 CGU PLC......................................................................... 520,249
------------
NEWSPAPERS
77,000 United News & Media PLC......................................................... 740,623
------------
RETAIL
140,000 Next PLC........................................................................ 1,700,894
------------
RETAIL - SPECIALTY
25,000 Dixons Group PLC................................................................ 467,127
------------
TELECOMMUNICATIONS
20,700 Esat Telecom Group PLC (ADR)*................................................... 900,450
------------
TOTAL UNITED KINGDOM............................................................ 13,753,762
------------
UNITED STATES (35.4%)
AEROSPACE
18,400 Lockheed Martin Corp............................................................ 685,400
------------
ALUMINUM
25,800 Alcoa Inc....................................................................... 1,596,375
------------
COMPUTER COMMUNICATIONS
38,350 Cisco Systems, Inc.*............................................................ 2,471,178
------------
COMPUTER HARDWARE
21,900 Gateway Inc..................................................................... 1,292,100
20,000 Hewlett-Packard Co.............................................................. 2,010,000
33,400 Sun Microsystems, Inc.*......................................................... 2,300,425
------------
5,602,525
------------
DIVERSIFIED ELECTRONIC PRODUCTS
18,700 Honeywell, Inc.................................................................. 2,166,862
------------
DIVERSIFIED FINANCIAL SERVICES
15,000 American Express Co............................................................. 1,951,875
21,450 Citigroup Inc................................................................... 1,018,875
------------
2,970,750
------------
FINANCE COMPANIES
16,100 Fannie Mae...................................................................... 1,100,837
------------
INTEGRATED OIL COMPANIES
15,400 Atlantic Richfield Co........................................................... 1,286,862
17,200 Chevron Corp.................................................................... 1,637,225
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
13,900 Exxon Corp...................................................................... $ 1,072,037
15,700 Mobil Corp...................................................................... 1,554,300
------------
5,550,424
------------
INTERNET SERVICES
10,700 America Online, Inc.*........................................................... 1,182,350
------------
MAJOR BANKS
20,600 Chase Manhattan Corp............................................................ 1,784,475
------------
MAJOR CHEMICALS
11,800 Dow Chemical Co................................................................. 1,497,125
20,200 Monsanto Co..................................................................... 796,637
------------
2,293,762
------------
MAJOR PHARMACEUTICALS
25,600 Abbott Laboratories............................................................. 1,164,800
22,800 American Home Products Corp..................................................... 1,311,000
22,600 Bristol-Myers Squibb Co......................................................... 1,591,888
------------
4,067,688
------------
MEDIA CONGLOMERATES
45,000 Disney (Walt) Co................................................................ 1,386,563
------------
MILITARY/GOV'T/TECHNICAL
27,600 General Motors Corp. (Class H)*................................................. 1,552,500
------------
MOTOR VEHICLES
18,500 Ford Motor Co................................................................... 1,044,094
------------
PACKAGE GOODS/COSMETICS
12,300 Colgate-Palmolive Co............................................................ 1,214,625
------------
PACKAGED FOODS
16,800 General Mills, Inc.............................................................. 1,350,300
------------
PAPER
28,200 Champion International Corp..................................................... 1,350,075
------------
RETAIL - SPECIALTY
50,200 Bed Bath & Beyond, Inc.*........................................................ 1,926,425
45,300 Gap, Inc. (The)................................................................. 2,281,988
------------
4,208,413
------------
SAVINGS & LOAN ASSOCIATIONS
14,600 Golden West Financial Corp...................................................... 1,430,800
35,180 Washington Mutual, Inc.......................................................... 1,244,493
------------
2,675,293
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
69
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS
23,200 Intel Corp...................................................................... $ 1,378,950
------------
TOTAL UNITED STATES............................................................. 47,633,439
------------
TOTAL COMMON STOCKS, WARRANTS AND BONDS
(IDENTIFIED COST $95,958,400)................................................... 126,404,934
------------
SHORT-TERM INVESTMENT (a) (5.5%)
U.S. GOVERNMENT AGENCY
7,400 Federal Home Loan Banks 4.60% due 07/01/99 (AMORTIZED COST $7,400,000).......... 7,400,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $103,358,400) (b)........................................................ 99.4% 133,804,934
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................ 0.6 800,671
------ -------------
NET ASSETS................................................................................ 100.0% $ 134,605,605
------ -------------
------ -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $32,499,647 and the
aggregate gross unrealized depreciation is $2,053,113, resulting in net
unrealized appreciation of $30,446,534.
FORWARD FOREIGN CURRENCY CONTRACT OPEN AT JUNE 30, 1999:
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ----------------------------------------------------
<S> <C> <C> <C>
EUR 957,614 $990,173 07/02/99 $ 479
</TABLE>
CURRENCY ABBREVIATION:
<TABLE>
<S> <C>
EUR Euro.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
70
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Advertising....................................................................... $ 676,763 0.5%
Aerospace......................................................................... 1,703,789 1.3
Aluminum.......................................................................... 1,596,375 1.2
Banking........................................................................... 5,387,287 4.0
Beverages - Non-Alcoholic......................................................... 714,375 0.5
Biotechnology..................................................................... 614,819 0.5
Books/Magazines................................................................... 720,866 0.5
Broadcasting...................................................................... 205,312 0.2
Building Materials................................................................ 1,230,670 0.9
Cellular Telephone................................................................ 800,364 0.6
Computer Communications........................................................... 2,471,178 1.8
Computer Hardware................................................................. 6,912,672 5.1
Consumer Electronics/Appliances................................................... 2,985,767 2.2
Containers/Packaging.............................................................. 514,851 0.4
Diversified Electronic Products................................................... 3,155,405 2.3
Diversified Financial Services.................................................... 4,987,218 3.7
Diversified Manufacturing......................................................... 810,980 0.6
E.D.P. Services................................................................... 694,801 0.5
Electric Utilities................................................................ 1,499,872 1.1
Electronic Components............................................................. 1,278,713 0.9
Electronic Production Equipment................................................... 2,032,178 1.5
Engineering & Construction........................................................ 950,051 0.7
Finance Companies................................................................. 1,100,837 0.8
Foreign Government Obligations.................................................... 608,661 0.5
Industrial Machinery/Components................................................... 2,279,719 1.7
Integrated Oil Companies.......................................................... 7,551,082 5.6
Internet Services................................................................. 1,182,350 0.9
Investment Bankers/Brokers/Services............................................... 935,314 0.7
Life Insurance.................................................................... 833,414 0.6
Major Banks....................................................................... 1,784,475 1.3
Major Chemicals................................................................... 2,293,763 1.7
Major Pharmaceuticals............................................................. 5,472,509 4.1
Media Conglomerates............................................................... 2,481,489 1.8
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Medical Specialties............................................................... $ 1,458,251 1.1%
Metals Fabrications............................................................... 1,353,848 1.0
Military/Gov't/Technical.......................................................... 3,488,213 2.6
Motor Vehicles.................................................................... 3,806,674 2.8
Multi-Line Insurance.............................................................. 1,009,302 0.8
Multi-Sector Companies............................................................ 2,818,287 2.1
Natural Gas Distribution.......................................................... 426,522 0.3
Newspapers........................................................................ 740,623 0.6
Oil Refining/Marketing............................................................ 905,036 0.7
Other Pharmaceuticals............................................................. 1,031,436 0.8
Other Telecommunications.......................................................... 943,122 0.7
Package Goods/Cosmetics........................................................... 1,214,625 0.9
Packaged Foods.................................................................... 2,253,441 1.7
Paper............................................................................. 3,140,817 2.3
Real Estate....................................................................... 911,229 0.7
Retail............................................................................ 2,700,805 2.0
Retail - Specialty................................................................ 4,675,540 3.5
Savings & Loan Associations....................................................... 2,675,293 2.0
Semiconductors.................................................................... 2,942,481 2.2
Steel/Iron Ore.................................................................... 2,055,285 1.5
Telecommunication Equipment....................................................... 1,465,000 1.1
Telecommunications................................................................ 11,593,021 8.6
Telecommunications Equipment...................................................... 1,551,800 1.2
U.S. Government Agency............................................................ 7,400,000 5.5
Utilities......................................................................... 2,321,364 1.7
Wireless Communications........................................................... 455,000 0.3
------------ ---
$133,804,934 99.4%
------------ ---
------------ ---
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Common Stocks..................................................................... $125,794,308 93.5%
Corporate Bonds................................................................... 608,661 0.4
Short-Term Investment............................................................. 7,400,000 5.5
Warrants.......................................................................... 1,965 0.0
------------ ---
$133,804,934 99.4%
------------ ---
------------ ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
71
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (90.4%)
ADVERTISING (0.9%)
22,000 Getty Images, Inc.*..................................................................... $ 415,250
22,500 R.H. Donnelley Corp.*................................................................... 440,156
-----------
855,406
-----------
AEROSPACE (0.5%)
22,300 AAR Corp................................................................................ 505,931
-----------
AIR FREIGHT/DELIVERY SERVICES (1.2%)
17,100 C.H. Robinson Worldwide, Inc............................................................ 624,150
18,600 Expeditors International of Washington, Inc............................................. 506,850
-----------
1,131,000
-----------
AIRLINES (0.6%)
15,970 Midwest Express Holdings, Inc.*......................................................... 542,980
-----------
APPAREL (1.3%)
14,600 Jones Apparel Group, Inc.*.............................................................. 500,962
27,000 Quiksilver, Inc.*....................................................................... 703,687
-----------
1,204,649
-----------
AUTO PARTS: O.E.M. (0.5%)
18,000 Gentex Corp.*........................................................................... 504,000
-----------
BIOTECHNOLOGY (3.5%)
20,100 Alkermes, Inc.*......................................................................... 459,787
37,800 Cephalon, Inc.*......................................................................... 642,600
28,000 Enzon, Inc.*............................................................................ 575,750
21,800 Incyte Pharmaceuticals, Inc.*........................................................... 574,975
24,000 Medco Research, Inc.*................................................................... 630,000
14,500 Millennium Pharmaceuticals, Inc.*....................................................... 521,094
-----------
3,404,206
-----------
BOOKS/MAGAZINES (0.5%)
31,600 Ziff-Davis Inc.-ZD*..................................................................... 487,825
-----------
BROADCASTING (0.7%)
18,700 Citadel Communications Corp.*........................................................... 676,706
-----------
CABLE TELEVISION (0.6%)
15,000 Pegasus Communications Corp.*........................................................... 590,625
-----------
CELLULAR TELEPHONE (0.8%)
26,400 Powertel, Inc.*......................................................................... 787,050
-----------
CLOTHING/SHOE/ACCESSORY STORES (1.1%)
45,000 Gymboree Corp. (The).................................................................... 472,500
22,100 Pacific Sunwear of California, Inc.*.................................................... 538,687
-----------
1,011,187
-----------
COMPUTER COMMUNICATIONS (1.5%)
18,000 Computer Network Technology Corp.*...................................................... 388,125
5,300 Emulex Corp.*........................................................................... 589,294
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
41,000 Pairgain Technologies, Inc.*............................................................ $ 471,500
-----------
1,448,919
-----------
COMPUTER SOFTWARE (8.7%)
32,200 BackWeb Technologies Ltd. (Israel)*..................................................... 873,425
36,000 CBT Group PLC (ADR) (Ireland)*.......................................................... 587,250
12,000 Citrix Systems, Inc.*................................................................... 674,250
30,000 Excalibur Technologies Corp.*........................................................... 427,500
45,700 FileNET Corp.*.......................................................................... 519,837
23,600 Inet Technologies, Inc.*................................................................ 564,925
20,000 Mercury Interactive Corp.*.............................................................. 707,500
14,000 Micromuse Inc.*......................................................................... 696,500
12,600 New Era of Networks, Inc.*.............................................................. 552,825
20,300 Peregrine Systems, Inc.*................................................................ 520,187
22,800 Project Software & Development, Inc.*................................................... 703,950
60,600 Rogue Wave Sortware, Inc.*.............................................................. 552,975
11,800 Siebel Systems, Inc.*................................................................... 781,750
-----------
8,162,874
-----------
CONTAINERS (0.5%)
60,900 Gaylord Container Corp. (Series A)*..................................................... 483,394
-----------
CONTRACT DRILLING (0.7%)
30,000 Santa Fe International Corp............................................................. 690,000
-----------
DISCOUNT CHAINS (1.3%)
10,100 Ames Department Stores, Inc.*........................................................... 459,550
24,000 BJ's Wholesale Club, Inc.*.............................................................. 721,500
-----------
1,181,050
-----------
DIVERSIFIED COMMERCIAL SERVICES (3.4%)
8,000 Abacus Direct Corp.*.................................................................... 719,500
20,000 Dendrite International, Inc.*........................................................... 722,500
22,000 Iron Mountain, Inc.*.................................................................... 629,750
25,000 Nielsen Media Research, Inc.*........................................................... 731,250
41,000 Private Business, Inc.*................................................................. 412,562
-----------
3,215,562
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (0.5%)
36,500 Sensormatic Electronics Corp.*.......................................................... 508,719
-----------
E.D.P. PERIPHERALS (0.7%)
17,000 DSP Group, Inc.*........................................................................ 610,937
-----------
E.D.P. SERVICES (2.6%)
8,000 Bisys Group, Inc. (The)*................................................................ 468,000
10,900 Concord Communications, Inc.*........................................................... 482,325
21,000 Gartner Group, Inc. (Class A)*.......................................................... 430,500
10,200 National Data Corp...................................................................... 436,050
17,000 Pegasus Systems, Inc.*.................................................................. 636,437
-----------
2,453,312
-----------
ELECTRICAL PRODUCTS (0.5%)
20,000 Belden Inc. ............................................................................ 478,750
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
72
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC COMPONENTS (1.5%)
10,500 Flextronics International, Ltd.*........................................................ $ 580,125
11,000 Power Integrations, Inc.*............................................................... 803,000
-----------
1,383,125
-----------
ELECTRONIC DISTRIBUTORS (2.9%)
9,900 Avnet, Inc.............................................................................. 460,350
24,600 Intraware, Inc.*........................................................................ 590,400
31,000 Marshall Industries*.................................................................... 1,114,062
8,300 Safeguard Scientifics, Inc.*............................................................ 514,600
-----------
2,679,412
-----------
ELECTRONIC PRODUCTION EQUIPMENT (3.2%)
20,000 Advanced Energy Industries, Inc.*....................................................... 810,000
22,000 ATMI, Inc.*............................................................................. 649,000
28,700 EMCORE Corp.*........................................................................... 577,587
32,000 MEMC Electronic Materials, Inc.*........................................................ 390,000
29,200 MKS Instruments, Inc.*.................................................................. 543,850
-----------
2,970,437
-----------
ENGINEERING & CONSTRUCTION (0.6%)
21,500 EMCOR Group, Inc.*...................................................................... 541,531
-----------
FARMING/SEEDS/MILLING (0.4%)
25,000 Seminis, Inc. (Class A)*................................................................ 375,000
-----------
FINANCE COMPANIES (1.1%)
30,000 Advanta Corp. (Class A)................................................................. 541,875
13,500 NextCard, Inc.*......................................................................... 457,312
-----------
999,187
-----------
FINANCIAL PUBLISHING/SERVICES (0.5%)
46,200 Data Broadcasting Corp.*................................................................ 485,100
-----------
FOREST PRODUCTS (0.7%)
12,400 Rayonier, Inc........................................................................... 617,675
-----------
HOME FURNISHINGS (0.6%)
14,800 Ethan Allen Interiors, Inc.............................................................. 558,700
-----------
INDUSTRIAL MACHINERY/COMPONENTS (0.2%)
7,000 ABC-NACO, Inc.*......................................................................... 142,187
-----------
INDUSTRIAL SPECIALTIES (0.7%)
18,000 Pittway Corp. (Class A)................................................................. 615,375
-----------
INTERNET SERVICES (3.0%)
500 Ask Jeeves, Inc.*....................................................................... 7,000
5,800 Exodus Communications, Inc.*............................................................ 695,637
14,000 F5 Networks, Inc.*...................................................................... 571,375
2,100 GoTo.com, Inc.*......................................................................... 58,406
8,000 InterVU Inc.*........................................................................... 305,000
7,000 Network Solutions, Inc.*................................................................ 553,437
13,000 PSINet, Inc.*........................................................................... 567,937
2,500 Software.com, Inc.*..................................................................... 57,969
-----------
2,816,761
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INVESTMENT BANKERS/BROKERS/
SERVICES (2.4%)
17,000 Hambrecht & Quist Group*................................................................ $ 631,125
10,400 Investment Technology Group, Inc........................................................ 336,700
20,200 Jefferies Group, Inc. (New)............................................................. 606,000
10,000 Southwest Securities Group, Inc......................................................... 717,500
-----------
2,291,325
-----------
MANAGED HEALTH CARE (1.1%)
60,000 MedPartners, Inc.*...................................................................... 453,750
61,500 Mid Atlantic Medical Services, Inc.*.................................................... 607,312
-----------
1,061,062
-----------
MEDICAL SPECIALTIES (4.4%)
67,100 Aurora Biosciences Corp.*............................................................... 478,088
36,000 Hanger Orthopedic Group, Inc.*.......................................................... 510,750
45,100 Orthofix International N.V.*............................................................ 670,863
13,000 Perclose, Inc.*......................................................................... 624,000
35,500 SonoSite, Inc.*......................................................................... 603,500
16,400 Wesley Jessen VisionCare, Inc.*......................................................... 523,775
14,000 Xomed Surgical Products, Inc.*.......................................................... 674,625
-----------
4,085,601
-----------
MEDICAL/DENTAL DISTRIBUTORS (0.6%)
15,000 Priority Healthcare Corp.*.............................................................. 517,500
-----------
MEDICAL/NURSING SERVICES (0.8%)
13,500 InfoCure Corp.*......................................................................... 713,813
-----------
METALS FABRICATIONS (0.6%)
19,000 CommScope, Inc.*........................................................................ 584,250
-----------
MID-SIZED BANKS (0.5%)
27,100 Hibernia Corp. (Class A)................................................................ 425,131
-----------
MILITARY/GOV'T/TECHNICAL (1.7%)
30,000 Aeroflex Inc.*.......................................................................... 592,500
22,000 Nichols Research Corp.*................................................................. 478,500
49,000 Titan Corp. (The)*...................................................................... 539,000
-----------
1,610,000
-----------
MISCELLANEOUS (0.2%)
10,000 AppNet Systems, Inc.*................................................................... 134,375
2,100 Viant Corp.*............................................................................ 72,713
-----------
207,088
-----------
MOVIES/ENTERTAINMENT (1.5%)
29,100 CINAR Corp. (Class B) (Canada)*......................................................... 709,313
19,000 Westwood One, Inc.*..................................................................... 678,063
-----------
1,387,376
-----------
MULTI-LINE INSURANCE (0.5%)
16,600 Horace Mann Educators Corp.............................................................. 451,313
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
73
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OFFICE/PLANT AUTOMATION (0.6%)
12,100 Kronos, Inc.*........................................................................... $ 527,863
-----------
OILFIELD SERVICES/EQUIPMENT (1.5%)
26,000 BJ Services Co.*........................................................................ 765,375
33,100 Veritas DGC Inc.*....................................................................... 606,144
-----------
1,371,519
-----------
OTHER CONSUMER SERVICES (0.5%)
17,000 Steiner Leisure Ltd.*................................................................... 511,063
-----------
OTHER PHARMACEUTICALS (0.6%)
21,500 Shire Pharmaceuticals Group PLC (ADR) (United Kingdom)*................................. 553,625
-----------
OTHER SPECIALTY STORES (2.5%)
80,000 Bombay Co., Inc. (The)*................................................................. 615,000
16,000 Cost Plus, Inc.*........................................................................ 726,000
17,800 CSK Auto Corp.*......................................................................... 480,600
12,200 Linens 'N Things, Inc.*................................................................. 533,750
-----------
2,355,350
-----------
OTHER TELECOMMUNICATIONS (3.4%)
22,800 Intermedia Communications Inc.*......................................................... 682,575
25,000 ITC DeltaCom, Inc.*..................................................................... 698,438
16,000 Network Plus Corp.*..................................................................... 335,000
25,300 Pinnacle Holdings Inc.*................................................................. 616,688
25,040 Primus Telecommunications Group, Inc.*.................................................. 560,270
5,000 Viatel, Inc.*........................................................................... 279,375
-----------
3,172,346
-----------
PRECISION INSTRUMENTS (0.5%)
19,900 Mettler-Toledo International Inc.*...................................................... 493,769
-----------
REAL ESTATE INVESTMENT TRUSTS (0.4%)
15,000 Public Storage, Inc. ................................................................... 420,000
-----------
RECREATIONAL PRODUCTS/TOYS (1.4%)
40,000 Callaway Golf Co........................................................................ 585,000
24,900 THQ, Inc.*.............................................................................. 714,319
-----------
1,299,319
-----------
RENTAL/LEASING COMPANIES (0.7%)
25,700 Comdisco, Inc........................................................................... 658,563
-----------
SAVINGS & LOAN ASSOCIATIONS (0.6%)
7,800 First Financial Holdings, Inc........................................................... 146,250
10,400 Telebanc Financial Corp.*............................................................... 401,700
-----------
547,950
-----------
SEMICONDUCTORS (4.4%)
20,000 ANADIGICS, Inc.......................................................................... 738,750
14,000 Analog Devices, Inc.*................................................................... 702,625
10,000 Conexant Systems, Inc.*................................................................. 580,000
2,000 GlobeSpan, Inc.*........................................................................ 78,500
10,000 hi/fn, Inc.*............................................................................ 755,625
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
25,500 National Semiconductor Corp.*........................................................... $ 645,469
9,000 Vitesse Semiconductor Corp.*............................................................ 610,875
-----------
4,111,844
-----------
SERVICES TO THE HEALTH INDUSTRY (3.0%)
14,100 Mede America Corp.*..................................................................... 532,275
11,100 Medical Manager Corp.*.................................................................. 491,175
18,000 Pharmaceutical Product Development, Inc.*............................................... 491,625
20,000 Quest Diagnostics Inc.*................................................................. 547,500
33,300 United Payors & United Providers, Inc.*................................................. 772,144
-----------
2,834,719
-----------
SHOE MANUFACTURING (1.0%)
50,000 Madden (Steven) Ltd.*................................................................... 675,000
23,800 Skechers U.S.A., Inc. (Class A)*........................................................ 249,900
-----------
924,900
-----------
SMALLER BANKS (1.0%)
17,000 Cullen/Frost Bankers, Inc. ............................................................. 468,563
20,000 First Charter Corp...................................................................... 492,500
-----------
961,063
-----------
SPECIALTY CHEMICALS (1.2%)
31,700 Celgene Corp.*.......................................................................... 560,784
31,100 Georgia Gulf Corp....................................................................... 524,813
-----------
1,085,597
-----------
SPECIALTY FOODS/CANDY (1.0%)
17,500 Earthgrains Co. ........................................................................ 451,719
23,000 Universal Foods Corp.*.................................................................. 485,875
-----------
937,594
-----------
TELECOMMUNICATIONS EQUIPMENT (0.8%)
22,500 Antec Corp.*............................................................................ 717,188
-----------
TOOLS/HARDWARE (0.6%)
75,600 Metromedia International Group, Inc.*................................................... 567,000
-----------
TRUCKING (1.1%)
26,000 American Freightways Corp.*............................................................. 507,000
11,500 USFreightways Corp...................................................................... 529,000
-----------
1,036,000
-----------
WIRELESS COMMUNICATIONS (1.3%)
39,500 Clearnet Communications Inc. (Class A)*................................................. 550,531
13,000 Winstar Communications, Inc.*........................................................... 633,750
-----------
1,184,281
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $64,367,372)........................................................... 84,725,584
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
74
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATION (2.1%)
$ 2,000 U.S. Treasury Note 5.625% due 05/15/08 (IDENTIFIED COST $2,153,516)..................... $ 1,959,880
-----------
SHORT-TERM INVESTMENT (a) (9.1%)
U.S. GOVERNMENT AGENCY
8,500 Federal Home Loan Mortgage Corp. 4.60% due 07/01/99 (AMORTIZED COST $8,500,000)......... 8,500,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $75,020,888) (B).......................................................... 101.6% 95,185,464
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS............................................. (1.6) (1,471,627)
------ ------------
NET ASSETS................................................................................. 100.0% $ 93,713,837
------ ------------
------ ------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $21,507,834 and the
aggregate gross unrealized depreciation is $1,343,258, resulting in net
unrealized appreciation of $20,164,576.
SEE NOTES TO FINANCIAL STATEMENTS
75
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON AND PREFERRED STOCKS (96.2%)
ARGENTINA (2.0%)
ALCOHOLIC BEVERAGES
3,145 Quilmes Industrial (Quinsa) S.A. (ADR)................................................ $ 38,919
-----------
INTERNATIONAL BANKS
1,860 Banco de Galicia y Buenos Aires S.A. de C.V. (Class B) (ADR).......................... 37,432
910 Banco Frances del Rio de La Plato S.A. (ADR).......................................... 17,290
-----------
54,722
-----------
OIL & GAS PRODUCTION
21,300 Perez Companc S.A. (Class B).......................................................... 122,491
-----------
OIL/GAS TRANSMISSION
1,700 Transportadora de Gas del Sur S.A. (ADR).............................................. 15,937
-----------
OTHER TELECOMMUNICATIONS
2,270 Telecom Argentina Stet - France Telecom S.A. (Class B) (ADR).......................... 60,723
2,255 Telefonica de Argentina S.A. (ADR).................................................... 70,751
-----------
131,474
-----------
TOTAL ARGENTINA....................................................................... 363,543
-----------
BRAZIL (7.3%)
ELECTRIC UTILITIES
2,812 Companhia Energetica de Minas Gerais S.A. (ADR) (Pref.)............................... 58,876
6,460,000 Companhia Paranaense de Energia - Copel (Pref.)....................................... 52,667
-----------
111,543
-----------
INTEGRATED OIL COMPANIES
920,000 Petroleo Brasileiro S.A. (Pref.)...................................................... 143,193
-----------
INTERNATIONAL BANKS
1,170,000 Banco do Estado de Sao Paulo S.A. (Pref.)*............................................ 50,362
79,000 Banco Itau S.A. (Pref.)............................................................... 40,761
-----------
91,123
-----------
NON - U.S. UTILITIES
2,930,000 Centrais Eletricas Brasileiras S.A. (Pref.)........................................... 59,636
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER METALS/MINERALS
5,000 Companhia Vale do Rio Doce S.A. (Debentures)*......................................... $ --
7,190 Companhia Vale do Rio Doce S.A. (Pref.)............................................... 144,292
-----------
144,292
-----------
OTHER TELECOMMUNICATIONS
6,202,000 Telesp Participacoes S.A. (Pref.)*.................................................... 143,205
-----------
PAPER
2,900,000 Votorantim Celulose e Papel S.A. (Pref.).............................................. 84,321
-----------
SPECIALTY STEELS
3,740,000 Gerdau S.A. (Pref.)*.................................................................. 61,836
-----------
TELECOMMUNICATIONS
4,232,000 Embratel Participacoes S.A. (Pref.)*.................................................. 59,813
460 Tele Centro Sul Participacoes S.A. (ADR).............................................. 25,530
6,872,000 Tele Centro Sul Participacoes S.A. (Pref.)*........................................... 76,791
3,450,000 Tele Norte Leste Participacoes S.A. (Pref.)*.......................................... 63,925
3,160 Telecomunicacoes Brasileiras S.A. - Telebras (ADR).................................... 284,992
-----------
511,051
-----------
TOTAL BRAZIL.......................................................................... 1,350,200
-----------
CHILE (2.3%)
AGRICULTURAL CHEMICALS
400 Sociedad Quimica y Minera de Chile S.A. (ADR)......................................... 14,150
-----------
ALCOHOLIC BEVERAGES
1,570 Compania Cervecerias Unidas S.A. (ADR)................................................ 44,941
3,620 Vina Concha Y Toro (ADR).............................................................. 130,320
-----------
175,261
-----------
FOOD CHAINS
3,850 Distribucion Y Servicio D&S S.A. (ADR)*............................................... 72,187
-----------
NON - U.S. UTILITIES
1,570 Chilectra S.A. (ADR) - 144A**......................................................... 32,725
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
76
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER PHARMACEUTICALS
1,560 Laboratorio Chile S.A. (ADR).......................................................... $ 28,080
-----------
TELECOMMUNICATIONS
4,338 Cia de Telecommunicaciones de Chile S.A. (ADR)........................................ 107,366
-----------
TOTAL CHILE........................................................................... 429,769
-----------
CHINA (1.0%)
NON - U.S. UTILITIES
438,000 Huaneng Power International, Inc. (Class H)*.......................................... 180,637
-----------
COLOMBIA (0.3%)
INTERNATIONAL BANKS
13,300 Bancolombia S.A. (ADR)................................................................ 63,175
-----------
GREECE (5.3%)
BUILDING MATERIALS
690 Titan Cement Co. S.A.................................................................. 63,631
-----------
INTEGRATED OIL COMPANIES
7,200 Hellenic Petroleum S.A.*.............................................................. 65,596
11,242 Hellenic Telecommunication Organization S.A........................................... 241,306
-----------
306,902
-----------
INTERNATIONAL BANKS
3,840 Alpha Credit Bank..................................................................... 247,884
1,100 Ergo Bank S.A......................................................................... 117,881
1,200 National Bank of Greece S.A........................................................... 78,608
-----------
444,373
-----------
TELECOMMUNICATIONS
3,300 Panafon Hellenic Telecom S.A.*........................................................ 79,701
-----------
TELECOMMUNICATIONS EQUIPMENT
1,400 Intracom S.A.......................................................................... 90,374
-----------
TOTAL GREECE.......................................................................... 984,981
-----------
HONG KONG (1.9%)
DIVERSIFIED ELECTRONIC PRODUCTS
50,000 Legend Holdings Ltd................................................................... 48,008
-----------
MARINE TRANSPORTATION
89,000 Cosco Pacific Ltd..................................................................... 73,410
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER SPECIALTY STORES
230,000 China Everbright Ltd.*................................................................ $ 229,727
-----------
TOTAL HONG KONG....................................................................... 351,145
-----------
HUNGARY (2.1%)
INTEGRATED OIL COMPANIES
3,500 MOL Magyar Olaj-es Gazipari RT (GDR) - 144A**......................................... 84,000
-----------
INTERNATIONAL BANKS
2,400 OTP Bank RT........................................................................... 100,219
-----------
OTHER TELECOMMUNICATIONS
17,250 Magyar Tavkozlesi RT.................................................................. 93,450
3,700 Magyar Tavkozlesi RT (ADR)............................................................ 101,750
-----------
195,200
-----------
TOTAL HUNGARY......................................................................... 379,419
-----------
INDIA (2.6%)
E.D.P. SERVICES
5,000 Infosys Technologies Ltd. (ADR)....................................................... 288,750
-----------
OTHER TELECOMMUNICATIONS
12,100 Videsh Sanchar Nigam Ltd. (GDR)*...................................................... 153,973
-----------
TEXTILES
4,084 Reliance Industries Ltd. (GDR)*....................................................... 41,248
-----------
TOTAL INDIA........................................................................... 483,971
-----------
ISRAEL (3.3%)
FOOD CHAINS
3,215 Blue Square Chain Investments & Properties Ltd.*...................................... 52,591
-----------
INTERNATIONAL BANKS
34,650 Bank Hapoalim Ltd..................................................................... 88,792
28,800 Bank Leumi Le-Israel.................................................................. 54,365
-----------
143,157
-----------
MAJOR CHEMICALS
21,600 Makhteshim-Agan Industries Ltd.*...................................................... 48,432
-----------
MILITARY/GOV'T/TECHNICAL
7,735 Elbit Systems Ltd. ................................................................... 135,420
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
77
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER PHARMACEUTICALS
1,200 Teva Pharmaceutical Industries Ltd. (ADR)............................................. $ 59,100
-----------
OTHER TELECOMMUNICATIONS
14,200 Bezeq Israeli Telecommunication Corp., Ltd.*.......................................... 57,117
-----------
TELECOMMUNICATIONS EQUIPMENT
1,900 ECI Telecom Ltd. (ADR)................................................................ 62,700
1,530 NICE-Systems Ltd. (ADR)*.............................................................. 42,170
-----------
104,870
-----------
TOTAL ISRAEL.......................................................................... 600,687
-----------
MEXICO (11.7%)
ALCOHOLIC BEVERAGES
55,400 Grupo Modelo S.A. de C.V. (Series C).................................................. 159,216
-----------
BEVERAGES - NON-ALCOHOLIC
2,200 Coca-Cola Femsa S.A. de C.V. (ADR).................................................... 42,625
4,620 Fomento Economico Mexicano, S.A. de C.V. (ADR)........................................ 184,222
-----------
226,847
-----------
BROADCASTING
6,620 Grupo Televisa S.A. de C.V. (GDR)*.................................................... 296,659
-----------
BUILDING MATERIALS
16,900 Apasco S.A. de C.V.................................................................... 111,222
16,000 Cemex S.A. de C.V. (B Shares)......................................................... 79,829
-----------
191,051
-----------
MULTI-SECTOR COMPANIES
34,000 DESC S.A. de C.V. (Series B).......................................................... 37,415
-----------
OTHER METALS/MINERALS
10,600 Grupo Mexico S.A. (Series B).......................................................... 45,412
-----------
OTHER SPECIALTY STORES
159,700 Cifra S.A. de C.V. (Series C)......................................................... 294,490
22,300 Organizacion Soriana S.A. de C.V. (Series B).......................................... 105,544
-----------
400,034
-----------
PACKAGE GOODS/COSMETICS
37,300 Kimberly-Clark de Mexico S.A. de C.V. (A Shares)...................................... 154,620
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SPECIALTY FOODS/CANDY
59,709 Grupo Industrial Bimbo S.A. de C.V. (Series A)........................................ $ 133,962
-----------
TELECOMMUNICATIONS
6,260 Telefonos de Mexico S.A. de C.V. (Series L) (ADR)..................................... 505,886
-----------
TOTAL MEXICO.......................................................................... 2,151,102
-----------
PERU (0.8%)
BUILDING MATERIALS
39,272 Cementos Lima, S.A.................................................................... 48,324
-----------
OTHER TELECOMMUNICATIONS
3,700 Telefonica del Peru S.A. (ADR)........................................................ 55,962
-----------
PRECIOUS METALS
6,720 Compania de Minas Buenaventura S.A. (B Shares)........................................ 51,429
-----------
TOTAL PERU............................................................................ 155,715
-----------
PHILIPPINES (2.2%)
ALCOHOLIC BEVERAGES
32,340 San Miguel Corp. (Class B)............................................................ 70,359
-----------
INTERNATIONAL BANKS
11,580 Metropolitan Bank & Trust Co. ........................................................ 115,345
-----------
NON - U.S. UTILITIES
8,400 Manila Electric Co. (B Shares)........................................................ 30,165
-----------
OTHER TELECOMMUNICATIONS
3,820 Philippine Long Distance Telephone Co................................................. 116,152
-----------
REAL ESTATE
306,100 SM Prime Holdings Inc................................................................. 69,003
-----------
TOTAL PHILIPPINES..................................................................... 401,024
-----------
POLAND (3.7%)
INTERNATIONAL BANKS
2,000 Bank Slaski S.A....................................................................... 97,959
1,538 BRE Bank S.A.......................................................................... 48,455
-----------
146,414
-----------
TELECOMMUNICATIONS
15,300 Telekomunikacja Polska S.A. (GDR)*.................................................... 109,013
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
78
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
WHOLESALE DISTRIBUTORS
30,000 Elektrim Spolka Akcyjna S.A........................................................... $ 424,745
-----------
TOTAL POLAND.......................................................................... 680,172
-----------
RUSSIA (1.5%)
INTEGRATED OIL COMPANIES
3,600 LUKoil Holding Co. (ADR).............................................................. 144,900
11,000 Surgutneftegaz (ADR).................................................................. 89,375
-----------
234,275
-----------
OTHER TELECOMMUNICATIONS
3,700 Rostelecom (ADR)*..................................................................... 36,306
-----------
TOTAL RUSSIA.......................................................................... 270,581
-----------
SOUTH AFRICA (11.0%)
ALCOHOLIC BEVERAGES
17,992 South African Breweries Ltd........................................................... 156,634
-----------
CLOTHING/SHOE/ACCESSORY STORES
500 Edgars Consolidated Stores Ltd........................................................ 3,896
-----------
DIVERSIFIED FINANCIAL SERVICES
187,000 Sanlam Ltd............................................................................ 222,138
-----------
INTERNATIONAL BANKS
13,880 Nedcor Ltd............................................................................ 319,155
-----------
LIFE INSURANCE
20,360 Liberty Life Association of Africa Ltd................................................ 261,477
8,389 Liberty Life Association of Africa Ltd. (New)......................................... 55,683
-----------
317,160
-----------
MULTI-SECTOR COMPANIES
28,000 Johnnies Industrial Corp., Ltd........................................................ 183,751
-----------
OTHER METALS/MINERALS
7,410 Anglo American PLC*................................................................... 347,171
5,600 De Beers Consolidated Mines Ltd. (Units) ++........................................... 134,534
-----------
481,705
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PRECIOUS METALS
9,045 Anglo American Platinum Corporation Ltd............................................... $ 211,586
3,116 Anglogold Ltd......................................................................... 134,600
-----------
346,186
-----------
TOTAL SOUTH AFRICA.................................................................... 2,030,625
-----------
SOUTH KOREA (17.0%)
DIVERSIFIED ELECTRONIC PRODUCTS
4,868 Samsung Electronics Co. - 144A**...................................................... 534,113
-----------
ELECTRONIC COMPONENTS
20,000 Mirae Co.............................................................................. 90,713
-----------
INTERNATIONAL BANKS
15,700 Kookmin Bank.......................................................................... 318,747
-----------
NON - U.S. UTILITIES
16,000 Korea Electric Power Corp............................................................. 664,881
-----------
OTHER TELECOMMUNICATIONS
4,800 Korea Telecom Corp.*.................................................................. 318,480
-----------
PROPERTY - CASUALTY INSURERS
100 Samsung Fire & Marine Insurance....................................................... 70,410
-----------
SPECIALTY CHEMICALS
14,501 L.G. Chemical Ltd..................................................................... 394,628
-----------
SPECIALTY FOODS/CANDY
600 Cheil Jedang Corp..................................................................... 47,223
-----------
STEEL/IRON ORE
5,610 Pohang Iron & Steel Co., Ltd.......................................................... 670,631
-----------
TOTAL SOUTH KOREA..................................................................... 3,109,826
-----------
TAIWAN (15.4%)
COMPUTER HARDWARE
26,337 Acer Inc. (GDR)*...................................................................... 329,213
51,227 Asustek Computer Inc. (GDR)........................................................... 737,675
90 Asustek Computer Inc. (GDR) - 144A**.................................................. 1,290
-----------
1,068,178
-----------
DIVERSIFIED COMMERCIAL SERVICES
9,296 ASE Test Ltd. (ADR)*.................................................................. 197,540
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
79
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC DISTRIBUTORS
1,200 Synnex Technology International Corp. (GDR)*.......................................... $ 27,120
-----------
ELECTRONIC PRODUCTION EQUIPMENT
12,870 Taiwan Semiconductor Manufacturing Co., Ltd. (ADR).................................... 437,580
-----------
SEMICONDUCTORS
10,258 Advanced Semiconductor Engineering Inc. (GDR)*........................................ 226,445
27,266 Siliconware Precision Industries Co. (GDR)*........................................... 364,683
7,350 Windbond Electronics Corp. (GDR)*..................................................... 81,953
15,122 Windbond Electronics Corp. (GDR) - 144A* **........................................... 168,610
-----------
841,691
-----------
STEEL/IRON ORE
17,238 China Steel Corp. (GDR)............................................................... 263,741
-----------
TOTAL TAIWAN.......................................................................... 2,835,850
-----------
THAILAND (0.7%)
INTERNATIONAL BANKS
36,800 Bangkok Bank PCL*..................................................................... 137,738
-----------
TURKEY (4.1%)
BUILDING MATERIALS
7,141,600 Akcansa Cimento A.S................................................................... 72,699
-----------
CONSUMER ELECTRONICS/APPLIANCES
2,700,000 Arcelik A.S........................................................................... 95,878
-----------
FOOD CHAINS
153,700 Migros Turk T.A.S..................................................................... 191,029
-----------
INTERNATIONAL BANKS
8,501,000 Akbank T.A.S.......................................................................... 124,775
7,176,400 Turkiye Is Bankasi (C Shares)......................................................... 127,419
10,400,000 Yapi ve Kredi Bankasi A.S. ........................................................... 150,186
-----------
402,380
-----------
TOTAL TURKEY.......................................................................... 761,986
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
VIETNAM (0.0%)
MUTUAL FUNDS
1,800 Lazard Vietnam Fund Ltd............................................................... $ --
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL COMMON AND PREFERRED STOCKS
(IDENTIFIED COST $13,911,676)(A)........................................................... 96.2% 17,722,146
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................. 3.8 694,722
------ ------------
NET ASSETS................................................................................. 100.0% $ 18,416,868
------ ------------
------ ------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
++ Consists of one or more classes of securities traded together as a unit;
bonds with attached warrants.
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $4,374,067 and the
aggregate gross unrealized depreciation is $563,597, resulting in net
unrealized appreciation of $3,810,470.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1999:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN DELIVERY APPRECIATION/
RECEIVE EXCHANGE FOR DATE (DEPRECIATION)
- -------------------------------------------------------------
<S> <C> <C> <C>
GRD 17,845,447 $ 56,914 07/01/99 $ (167)
ZAR 1,755,558 $ 290,809 07/06/99 860
-----
Net unrealized appreciation.......... $ 693
-----
-----
</TABLE>
<TABLE>
<S> <C>
CURRENCY ABBREVIATIONS:
GRD Greek Drachma.
ZAR South African Rand.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
80
<PAGE>
EMERGING MARKET
SUMMARY OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------
Agricultural Chemicals............................................................. $ 14,150 0.1%
Alcoholic Beverages................................................................ 600,389 3.3
Beverages - Non-Alcoholic.......................................................... 226,847 1.2
Broadcasting....................................................................... 296,659 1.6
Building Materials................................................................. 375,705 2.0
Clothing/Shoe/Accessory Stores..................................................... 3,896 0.0
Computer Hardware.................................................................. 1,068,178 5.8
Consumer Electronics/Appliances.................................................... 95,878 0.5
Diversified Commercial Services.................................................... 197,540 1.1
Diversified Electronic Products.................................................... 582,121 3.2
Diversified Financial Services..................................................... 222,138 1.2
E.D.P. Services.................................................................... 288,750 1.6
Electric Utilities................................................................. 111,543 0.6
Electronic Components.............................................................. 90,713 0.5
Electronic Distributors............................................................ 27,120 0.1
Electronic Production Equipment.................................................... 437,580 2.4
Food Chains........................................................................ 315,807 1.7
Integrated Oil Companies........................................................... 768,370 4.2
International Banks................................................................ 2,336,548 12.7
Life Insurance..................................................................... 317,160 1.7
Major Chemicals.................................................................... 48,432 0.3
Marine Transportation.............................................................. 73,410 0.4
Military/Gov'T/Technical........................................................... 135,420 0.7
Multi-Sector Companies............................................................. 221,166 1.2
Non - U.S. Utilities............................................................... 968,044 5.2
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Oil & Gas Production............................................................... $ 122,491 0.7%
Oil/Gas Transmission............................................................... 15,937 0.1
Other Metals/Minerals.............................................................. 671,409 3.6
Other Pharmaceuticals.............................................................. 87,180 0.5
Other Specialty Stores............................................................. 629,761 3.4
Other Telecommunications........................................................... 1,207,869 6.5
Package Goods/Cosmetics............................................................ 154,620 0.8
Paper.............................................................................. 84,321 0.5
Precious Metals.................................................................... 397,615 2.2
Property - Casualty Insurers....................................................... 70,410 0.4
Real Estate........................................................................ 69,003 0.4
Semiconductors..................................................................... 841,691 4.6
Specialty Chemicals................................................................ 394,628 2.1
Specialty Foods/Candy.............................................................. 181,185 1.0
Specialty Steels................................................................... 61,836 0.3
Steel/Iron Ore..................................................................... 934,372 5.1
Telecommunications................................................................. 1,313,017 7.1
Telecommunications Equipment....................................................... 195,244 1.1
Textiles........................................................................... 41,248 0.2
Wholesale Distributors............................................................. 424,745 2.3
----------- ---
$17,722,146 96.2%
----------- ---
----------- ---
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------
Common Stocks...................................................................... $16,682,468 90.6%
Preferred Stocks................................................................... 1,039,678 5.6
----------- ---
$17,722,146 96.2%
----------- ---
----------- ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
81
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED BALANCED
MARKET SECURITIES INCOME GROWTH UTILITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------
ASSETS:
Investments in
securities, at value
*.................... $126,866,373 $9,648,082 $88,372,990 $132,975,246 $113,400,817
Cash................... 5,789 72,221 3,609,461** -- 142,046
Receivable for:
Investments sold... -- -- 636 -- --
Shares of
beneficial
interest sold.... 272,887 10,747 21,521 176,707 120,241
Dividends.......... -- -- -- 110,330 158,653
Interest........... 149,648 38,485 1,521,111 382,479 68,724
Foreign withholding
taxes
reclaimed........ -- -- -- -- 17,470
Compensated forward
foreign currency
contracts........ -- -- 16,873 -- --
Unrealized appreciation
on open forward
foreign currency
contracts............ -- -- 38,623 -- --
Prepaid expenses and
other assets......... 645 375 1,057 1,761 523
Deferred organizational
expenses............. 578 578 578 578 578
Receivable from
affiliate............ -- -- -- -- --
------------ ----------- ------------ ------------ ------------
TOTAL ASSETS...... 127,295,920 9,770,488 93,582,850 133,647,101 113,909,052
------------ ----------- ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments
purchased........ -- -- 1,377,939 4,206,676 298,750
Shares of
beneficial
interest
repurchased...... 422,028 857 30,387 100,647 31,372
Compensated forward
foreign currency
contracts........ -- -- 373,489 -- --
Variation margin... -- -- -- -- --
Dividends to
shareholders..... -- -- -- -- --
Investment
management
fees............. 58,071 5,651 32,954 68,595 64,973
Payable to bank........ -- -- 39,999 19,279 --
Unrealized depreciation
on open forward
foreign currency
contracts............ -- -- 33,925 -- --
Accrued expenses and
other payables....... 19,533 8,202 20,574 31,148 15,673
------------ ----------- ------------ ------------ ------------
TOTAL
LIABILITIES....... 499,632 14,710 1,909,267 4,426,345 410,768
------------ ----------- ------------ ------------ ------------
NET ASSETS:
Paid-in-capital........ 126,796,185 9,776,710 98,537,794 116,756,668 78,239,381
Accumulated
undistributed net
investment income
(loss)............... 103 38,185 685,655 333,018 158,187
Accumulated
undistributed net
realized gain
(loss)............... -- (12,016) (1,538,098) 1,628,829 3,536,429
Net unrealized
appreciation
(depreciation)....... -- (47,101) (6,011,768) 10,502,241 31,564,287
------------ ----------- ------------ ------------ ------------
NET ASSETS........ $126,796,288 $9,755,778 $91,673,583 $129,220,756 $113,498,284
------------ ----------- ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------
*IDENTIFIED
COST.............. $126,866,373 $9,695,184 $94,369,428 $122,473,004 $ 81,836,529
------------ ----------- ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------
SHARES OF
BENEFICIAL
INTEREST
OUTSTANDING....... 126,796,185 967,092 9,695,535 8,289,916 5,389,161
------------ ----------- ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------
NET ASSET VALUE PER
SHARE
(UNLIMITED AUTHORIZED
SHARES OF $.01 PAR
VALUE)................. $1.00 $10.09 $9.46 $15.59 $21.06
------------ ----------- ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------
</TABLE>
- ------------------
** Including foreign currency of $295 and $1,438,365, respectively.
SEE NOTES TO FINANCIAL STATEMENTS
82
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN MID-CAP GLOBAL DEVELOPING EMERGING
GROWTH MARKET GROWTH OPPORTUNITIES GROWTH EQUITY GROWTH MARKETS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in
securities, at value
*.................... $760,750,703 $195,656,416 $64,841,125 $511,850,715 $31,546,262 $133,804,934 $95,185,464 $17,722,146
Cash................... -- 38,701 -- 27,881 43,106 1,526,981** 59,448 988,404
Receivable for:
Investments sold... 163,524,859 6,944,599 521,420 18,196,578 -- -- 4,262,683 136
Shares of
beneficial
interest sold.... 570,650 268,504 90,507 554,449 44,271 205,490 42,072 244,163
Dividends.......... 1,180,965 208,654 32,914 265,079 18,625 165,900 10,247 21,202
Interest........... 130 380 205 -- -- 505 14,368 7,064
Foreign withholding
taxes
reclaimed........ 88,125 -- -- 36,187 -- 98,827 -- --
Compensated forward
foreign currency
contracts........ -- -- -- -- -- -- -- --
Unrealized appreciation
on open forward
foreign currency
contracts............ -- -- -- -- -- 479 -- --
Prepaid expenses and
other assets......... 2,655 1,157 157 1,449 762 230 32,859 76
Deferred organizational
expenses............. 578 578 578 578 -- 578 578 578
Receivable from
affiliate............ -- -- -- -- 13,727 -- -- --
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
TOTAL ASSETS...... 926,118,665 203,118,989 65,486,906 530,932,916 31,666,753 135,803,924 99,607,719 18,983,769
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
LIABILITIES:
Payable for:
Investments
purchased........ 73,738,255 8,247,652 388,979 27,567,019 -- 1,024,517 5,728,206 520,548
Shares of
beneficial
interest
repurchased...... 300,345 116,911 37,098 560,322 1,336 21,566 104,820 3,654
Compensated forward
foreign currency
contracts........ -- -- -- -- -- -- -- --
Variation margin... -- -- -- 850,482 -- -- -- --
Dividends to
shareholders..... -- -- -- -- -- -- -- --
Investment
management
fees............. 434,222 85,631 44,081 268,889 -- 118,368 39,391 19,153
Payable to bank........ -- -- -- -- -- -- -- --
Unrealized depreciation
on open forward
foreign currency
contracts............ -- -- -- -- -- -- -- --
Accrued expenses and
other payables....... 53,061 25,491 36,152 31,964 14,489 33,868 21,465 23,546
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
TOTAL
LIABILITIES....... 74,525,883 8,475,685 506,310 29,278,676 15,825 1,198,319 5,893,882 566,901
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
NET ASSETS:
Paid-in-capital........ 663,020,626 133,750,432 49,668,155 386,387,911 25,565,985 102,128,548 57,882,228 19,939,074
Accumulated
undistributed net
investment income
(loss)............... 843,818 164,921 (26,075) 242,081 28,855 86,920 12,910 (16,778)
Accumulated
undistributed net
realized gain
(loss)............... 110,218,196 5,612,655 1,895,220 68,916,064 2,984,231 1,951,663 15,654,123 (5,312,427)
Net unrealized
appreciation
(depreciation)....... 77,510,142 55,115,296 13,443,296 46,108,184 3,071,857 30,438,474 20,164,576 3,806,999
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
NET ASSETS........ $851,592,782 $194,643,304 $64,980,596 $501,654,240 $31,650,928 $134,605,605 $93,713,837 $18,416,868
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
*IDENTIFIED
COST.............. $683,240,561 $140,541,120 $51,397,829 $464,182,670 $28,474,405 $103,358,400 $75,020,888 $13,911,676
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
SHARES OF
BENEFICIAL
INTEREST
OUTSTANDING....... 37,762,958 9,243,047 3,374,877 20,919,647 2,346,403 8,418,972 3,719,500 1,701,342
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
NET ASSET VALUE PER
SHARE
(UNLIMITED AUTHORIZED
SHARES OF $.01 PAR
VALUE)................. $22.55 $21.06 $19.25 $23.97 $13.49 $15.99 $25.20 $10.82
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
------------ ------------ ----------- ------------ ----------- ------------ ----------- -----------
</TABLE>
83
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED BALANCED
MARKET SECURITIES INCOME GROWTH UTILITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
INCOME
Interest............... $ 3,084,766 $246,091 $ 3,979,008 $ 1,309,160 $ 242,739
Dividends.............. -- -- -- 884,223 1,034,671*
----------- -------------- ------------ ----------- ------------
TOTAL INCOME...... 3,084,766 246,091 3,979,008 2,193,383 1,277,410
----------- -------------- ------------ ----------- ------------
EXPENSES
Investment management
fee.................. 308,898 29,436 183,698 354,875 317,090
Professional fees...... 10,613 8,055 9,225 10,997 11,681
Custodian fees......... 4,596 6,095 17,996 9,876 7,148
Shareholder reports and
notices.............. 10,121 278 4,909 3,828 7,828
Trustees' fees and
expenses............. -- -- 294 523 289
Transfer agent fees and
expenses............. 250 250 250 250 250
Organizational
expenses............. 796 796 796 796 796
Other.................. 952 527 4,934 2,334 1,195
----------- -------------- ------------ ----------- ------------
TOTAL EXPENSES.... 336,226 45,437 222,102 383,479 346,277
Less: amounts
reimbursed/waived.... -- -- -- -- --
----------- -------------- ------------ ----------- ------------
NET EXPENSES...... 336,226 45,437 222,102 383,479 346,277
----------- -------------- ------------ ----------- ------------
NET INVESTMENT
INCOME (LOSS)..... 2,748,540 200,654 3,756,906 1,809,904 931,133
----------- -------------- ------------ ----------- ------------
NET REALIZED AND
UNREALIZED GAIN (LOSS):
Net realized gain
(loss) on:
Investments........ 454 (2,910) (1,232,360) 2,866,459 3,666,199
Futures
contracts........ -- -- -- -- --
Foreign exchange
transactions..... -- -- (132,478) -- --
----------- -------------- ------------ ----------- ------------
NET GAIN (LOSS)... 454 (2,910) (1,364,838) 2,866,459 3,666,199
----------- -------------- ------------ ----------- ------------
Net change in
unrealized
appreciation/depreciation
on:
Investments........ -- (62,163) (3,137,152) 5,071,290 9,064,349
Futures
contracts........ -- -- -- -- --
Translation of
forward foreign
currency
contracts, other
assets and
liabilities
denominated in
foreign
currencies....... -- -- (17,359) -- --
----------- -------------- ------------ ----------- ------------
NET APPRECIATION
(DEPRECIATION).... -- (62,163) (3,154,511) 5,071,290 9,064,349
----------- -------------- ------------ ----------- ------------
NET GAIN (LOSS)... 454 (65,073) (4,519,349) 7,937,749 12,730,548
----------- -------------- ------------ ----------- ------------
NET INCREASE
(DECREASE)............. $ 2,748,994 $135,581 $ (762,443) $ 9,747,653 $ 13,661,681
----------- -------------- ------------ ----------- ------------
----------- -------------- ------------ ----------- ------------
</TABLE>
- ------------------
* Net of foreign withholding tax of $10,849, $53,817, $8,641, $31,509,
$90,536, $200, and $11,210, respectively.
SEE NOTES TO FINANCIAL STATEMENTS
84
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN MID-CAP GLOBAL DEVELOPING EMERGING
GROWTH MARKET GROWTH OPPORTUNITIES GROWTH EQUITY GROWTH MARKETS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
INCOME
Interest............... $ 390,561 $ 42,822 $ 46,784 $ 1,003,876 $ 36,385 $ 152,350 $ 210,563 $ 14,337
Dividends.............. 9,269,472* 1,417,230* 191,950 1,474,531* 64,850 914,329* 64,679* 135,748*
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
TOTAL INCOME...... 9,660,033 1,460,052 238,734 2,478,407 101,235 1,066,679 275,242 150,085
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
EXPENSES
Investment management
fee.................. 2,229,856 445,540 231,262 1,379,318 109,802 633,035 210,622 88,859
Professional fees...... 11,364 10,796 9,628 10,716 8,294 12,117 10,021 11,354
Custodian fees......... 21,843 13,157 15,993 39,918 20,698 31,240 17,729 27,705
Shareholder reports and
notices.............. 37,041 9,187 5,944 20,801 4,963 6,498 8,103 4,027
Trustees' fees and
expenses............. 2,283 640 83 1,177 -- 315 267 43
Transfer agent fees and
expenses............. 250 250 250 250 250 250 250 250
Organizational
expenses............. 796 796 796 796 -- 796 796 796
Other.................. 2,709 14,041 855 2,265 430 8,334 955 1,972
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
TOTAL EXPENSES.... 2,306,142 494,407 264,811 1,455,241 144,437 692,585 248,743 135,006
Less: amounts
reimbursed/waived.... -- -- -- -- (144,437) -- --
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET EXPENSES...... 2,306,142 494,407 264,811 1,455,241 -- 692,585 248,743 135,006
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET INVESTMENT
INCOME (LOSS)..... 7,353,891 965,645 (26,077) 1,023,166 101,235 374,094 26,499 15,079
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET REALIZED AND
UNREALIZED GAIN (LOSS):
Net realized gain
(loss) on:
Investments........ 114,310,858 5,623,709 3,512,070 76,046,941 5,741,811 6,408,582 16,945,704 31,382
Futures
contracts........ -- -- -- (596,418) -- -- -- --
Foreign exchange
transactions..... -- -- -- (106) -- 17,319 -- (67,334)
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET GAIN (LOSS)... 114,310,858 5,623,709 3,512,070 75,450,417 5,741,811 6,425,901 16,945,704 (35,952)
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
Net change in
unrealized
appreciation/depreciation
on:
Investments........ (26,740,859) 17,847,575 4,821,461 (17,584,720) (1,920,974) 4,416,517 (443,578) 4,714,389
Futures
contracts........ -- -- -- (1,558,724) -- -- -- --
Translation of
forward foreign
currency
contracts, other
assets and
liabilities
denominated in
foreign
currencies....... -- -- -- (1,687) -- (8,060) -- (3,008)
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET APPRECIATION
(DEPRECIATION).... (26,740,859) 17,847,575 4,821,461 (19,145,131) (1,920,974) 4,408,457 (443,578) 4,711,381
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET GAIN (LOSS)... 87,569,999 23,471,284 8,333,531 56,305,286 3,820,837 10,834,358 16,502,126 4,675,429
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
NET INCREASE
(DECREASE)............. $94,923,890 $24,436,929 $8,307,454 $57,328,452 $3,922,072 $11,208,452 $16,528,625 $4,690,508
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
----------- ----------- ---------- ----------- ---------- ---------- ---------- ---------
</TABLE>
85
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
NORTH AMERICAN
GOVERNMENT SECURITIES
-------------------------
MONEY MARKET
---------------------------- FOR THE SIX
MONTHS FOR THE
FOR THE SIX FOR THE YEAR ENDED YEAR
MONTHS ENDED ENDED JUNE 30, ENDED
JUNE 30, 1999 DECEMBER 31, 1999 DECEMBER
(UNAUDITED) 1998 (UNAUDITED) 31, 1998
<S> <C> <C> <C> <C>
- ----------------------------------------------------- -------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment
income............... $ 2,748,540 $ 4,946,059 $ 200,654 $ 285,399
Net realized gain
(loss)............... 454 96 (2,910) 1,246
Net change in
unrealized
appreciation/
depreciation......... -- -- (62,163) (24,395)
------------- ------------ ----------- -----------
NET INCREASE
(DECREASE)........ 2,748,994 4,946,155 135,581 262,250
------------- ------------ ----------- -----------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment
income............... (2,748,550) (4,946,009) (193,288) (270,457)
Net realized gain...... (454) (96) -- --
------------- ------------ ----------- -----------
TOTAL DIVIDENDS
AND
DISTRIBUTIONS..... (2,749,004) (4,946,105) (193,288) (270,457)
------------- ------------ ----------- -----------
TRANSACTIONS IN SHARES
OF BENEFICIAL INTEREST:
Net proceeds from
sales................ 75,735,377 160,543,866 2,686,038 5,217,638
Reinvestment of
dividends and
distributions........ 2,749,004 4,946,105 193,288 270,457
Cost of shares
repurchased.......... (71,872,911) (129,350,587) (1,455,063) (2,182,113)
------------- ------------ ----------- -----------
NET INCREASE...... 6,611,470 36,139,384 1,424,263 3,305,982
------------- ------------ ----------- -----------
TOTAL INCREASE
(DECREASE)........ 6,611,460 36,139,434 1,366,556 3,297,775
NET ASSETS:
Beginning of period.... 120,184,828 84,045,394 8,389,222 5,091,447
------------- ------------ ----------- -----------
END OF PERIOD..... $126,796,288 $120,184,828 $9,755,778 $8,389,222
------------- ------------ ----------- -----------
------------- ------------ ----------- -----------
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 103 $ 113 $ 38,185 $ 30,818
------------- ------------ ----------- -----------
------------- ------------ ----------- -----------
SHARES ISSUED AND
REPURCHASED:
Sold................... 75,735,377 160,543,866 265,347 513,927
Issued in reinvestment
of dividends and
distributions........ 2,749,004 4,946,105 19,125 26,678
Repurchased............ (71,872,911) (129,350,587) (143,699) (214,966)
------------- ------------ ----------- -----------
NET INCREASE
(DECREASE)............. 6,611,470 36,139,384 140,773 325,639
------------- ------------ ----------- -----------
------------- ------------ ----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
86
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
BALANCED GROWTH
DIVERSIFIED INCOME --------------------------
---------------------------
FOR THE SIX
FOR THE SIX FOR THE YEAR MONTHS ENDED FOR THE YEAR
MONTHS ENDED ENDED JUNE 30, ENDED
JUNE 30, 1999 DECEMBER 31, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ 3,756,906 $ 6,202,641 $ 1,809,904 $ 2,564,019
Net realized gain
(loss)................. (1,364,838) 108,452 2,866,459 12,637,891
Net change in unrealized
appreciation/
depreciation........... (3,154,511) (3,240,386) 5,071,290 (3,521,872)
------------- ------------ ------------ ------------
NET INCREASE
(DECREASE).......... (762,443) 3,070,707 9,747,653 11,680,038
------------- ------------ ------------ ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (3,812,068) (5,803,603) (1,726,955) (2,431,401)
Net realized gain........ -- (99,333) (13,846,314) (1,884,145)
------------- ------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (3,812,068) (5,902,936) (15,573,269) (4,315,546)
------------- ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 15,077,880 43,957,759 33,862,321 38,742,816
Reinvestment of dividends
and distributions...... 3,812,068 5,902,936 1,726,953 4,315,546
Cost of shares
repurchased............ (16,632,991) (15,324,330) (8,395,019) (13,894,173)
------------- ------------ ------------ ------------
NET INCREASE........ 2,256,957 34,536,365 27,194,255 29,164,189
------------- ------------ ------------ ------------
TOTAL INCREASE
(DECREASE).......... (2,317,554) 31,704,136 21,368,639 36,528,681
NET ASSETS:
Beginning of period...... 93,991,137 62,287,001 107,852,117 71,323,436
------------- ------------ ------------ ------------
END OF PERIOD....... $ 91,673,583 $93,991,137 $129,220,756 $107,852,117
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
UNDISTRIBUTED NET
INVESTMENT INCOME........ $ 685,655 $ 740,817 $ 333,018 $ 250,069
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
SHARES ISSUED AND
REPURCHASED:
Sold..................... 1,561,541 4,342,229 2,105,244 2,464,618
Issued in reinvestment of
dividends and
distributions.......... 395,218 583,849 105,443 273,422
Repurchased.............. (1,722,325) (1,515,732) (505,100) (898,886)
------------- ------------ ------------ ------------
NET INCREASE
(DECREASE)............... 234,434 3,410,346 1,705,587 1,839,154
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
<CAPTION>
UTILITIES
--------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JUNE 30,1999 DECEMBER 31,
(UNAUDITED) 1998
<S> <C> <C>
- ------------------------- --------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ 931,133 $ 1,400,655
Net realized gain
(loss)................. 3,666,199 648,615
Net change in unrealized
appreciation/
depreciation........... 9,064,349 11,747,508
------------ ------------
NET INCREASE
(DECREASE).......... 13,661,681 13,796,778
------------ ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (890,169) (1,364,710)
Net realized gain........ (778,316) (698,541)
------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (1,668,485) (2,063,251)
------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 25,149,483 34,192,413
Reinvestment of dividends
and distributions...... 890,169 2,063,251
Cost of shares
repurchased............ (10,217,749) (13,071,951)
------------ ------------
NET INCREASE........ 15,821,903 23,183,713
------------ ------------
TOTAL INCREASE
(DECREASE).......... 27,815,099 34,917,240
NET ASSETS:
Beginning of period...... 85,683,185 50,765,945
------------ ------------
END OF PERIOD....... $113,498,284 $85,683,185
------------ ------------
------------ ------------
UNDISTRIBUTED NET
INVESTMENT INCOME........ $ 158,187 $ 117,223
------------ ------------
------------ ------------
SHARES ISSUED AND
REPURCHASED:
Sold..................... 1,288,156 2,031,983
Issued in reinvestment of
dividends and
distributions.......... 45,921 122,896
Repurchased.............. (524,525) (781,200)
------------ ------------
NET INCREASE
(DECREASE)............... 809,552 1,373,679
------------ ------------
------------ ------------
</TABLE>
87
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
DIVIDEND GROWTH VALUE-ADDED MARKET
---------------------------- ---------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 1999 DECEMBER 31, JUNE 30, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
<S> <C> <C> <C> <C>
- ---------------------------------------------------- ---------------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income
(loss)............... $ 7,353,891 $ 11,747,567 $ 965,645 $ 1,916,238
Net realized gain
(loss)............... 114,310,858 65,404,292 5,623,709 6,592,408
Net change in
unrealized
appreciation/
depreciation......... (26,740,859) 31,880,861 17,847,575 9,340,718
------------- ------------- -------------- ----------------
NET INCREASE
(DECREASE)........ 94,923,890 109,032,720 24,436,929 17,849,364
------------- ------------- -------------- ----------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment
income............... (7,363,130) (11,679,096) (984,071) (1,902,826)
Net realized gain...... (68,998,640) (26,160,355) (6,492,085) (2,322,935)
------------- ------------- -------------- ----------------
TOTAL DIVIDENDS
AND
DISTRIBUTIONS..... (76,361,770) (37,839,451) (7,476,156) (4,225,761)
------------- ------------- -------------- ----------------
TRANSACTIONS IN SHARES
OF BENEFICIAL INTEREST:
Net proceeds from
sales................ 101,706,116 192,533,628 16,795,146 42,071,121
Reinvestment of
dividends and
distributions........ 76,361,769 37,839,451 7,476,156 4,225,761
Cost of shares
repurchased.......... (68,322,301) (96,700,375) (21,412,593) (26,412,836)
------------- ------------- -------------- ----------------
NET INCREASE...... 109,745,584 133,672,704 2,858,709 19,884,046
------------- ------------- -------------- ----------------
TOTAL INCREASE
(DECREASE)........ 128,307,704 204,865,973 19,819,482 33,507,649
NET ASSETS:
Beginning of period.... 723,285,078 518,419,105 174,823,822 141,316,173
------------- ------------- -------------- ----------------
END OF PERIOD..... $851,592,782 $723,285,078 $ 194,643,304 $174,823,822
------------- ------------- -------------- ----------------
------------- ------------- -------------- ----------------
UNDISTRIBUTED NET
INVESTMENT INCOME
(LOSS)................. $ 843,818 $ 853,057 $ 164,921 $ 183,347
------------- ------------- -------------- ----------------
------------- ------------- -------------- ----------------
SHARES ISSUED AND
REPURCHASED:
Sold................... 4,501,379 9,213,959 837,136 2,296,136
Issued in reinvestment
of dividends and
distributions........ 3,480,178 1,805,072 370,914 228,033
Repurchased............ (3,024,116) (4,697,895) (1,076,852) (1,458,807)
------------- ------------- -------------- ----------------
NET INCREASE
(DECREASE)............. 4,957,441 6,321,136 131,198 1,065,362
------------- ------------- -------------- ----------------
------------- ------------- -------------- ----------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
88
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
AMERICAN OPPORTUNITIES
GROWTH --------------------------
----------------------------
FOR THE SIX
FOR THE SIX FOR THE YEAR MONTHS ENDED FOR THE YEAR
MONTHS ENDED ENDED JUNE 30, ENDED
JUNE 30, 1999 DECEMBER 31, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ (26,077) $ 3,871 $ 1,023,166 $ 1,787,674
Net realized gain
(loss)................. 3,512,070 3,308,989 75,450,417 40,392,380
Net change in unrealized
appreciation/
depreciation........... 4,821,461 2,556,804 (19,145,131) 37,572,830
------------- ------------ ------------ ------------
NET INCREASE
(DECREASE).......... 8,307,454 5,869,664 57,328,452 79,752,884
------------- ------------ ------------ ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (3,869) (51,873) (788,162) (1,947,082)
Net realized gain........ (4,876,847) (1,299,815) (45,832,013) (24,723,150)
------------- ------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (4,880,716) (1,351,688) (46,620,175) (26,670,232)
------------- ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 10,346,489 28,816,261 111,454,558 112,225,756
Reinvestment of dividends
and distributions...... 4,880,716 183,246 46,620,175 26,670,232
Cost of shares
repurchased............ (7,177,125) (12,331,431) (38,761,679) (50,359,365)
------------- ------------ ------------ ------------
NET INCREASE........ 8,050,080 8,622,816 119,313,054 88,536,623
------------- ------------ ------------ ------------
TOTAL INCREASE
(DECREASE).......... 11,476,818 13,192,665 130,021,331 141,619,275
NET ASSETS:
Beginning of period...... 53,503,778 40,311,113 371,632,909 230,013,634
------------- ------------ ------------ ------------
END OF PERIOD....... $ 64,980,596 $53,503,778 $501,654,240 $371,632,909
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
UNDISTRIBUTED NET
INVESTMENT INCOME........ $ (26,075) -- $ 242,081 $ 7,077
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
SHARES ISSUED AND
REPURCHASED:
Sold..................... 537,998 1,878,945 4,461,785 5,366,406
Issued in reinvestment of
dividends and
distributions.......... 275,120 12,436 2,078,889 1,333,903
Repurchased.............. (372,818) (801,820) (1,565,732) (2,436,239)
------------- ------------ ------------ ------------
NET INCREASE
(DECREASE)............... 440,300 1,089,561 4,974,942 4,264,070
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
<CAPTION>
MID-CAP GROWTH GLOBAL EQUITY
------------------------- -------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED FOR THE YEAR ENDED FOR THE YEAR
JUNE 30, ENDED JUNE 30, ENDED
1999 DECEMBER 31, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
<S> <C> <C> <C> <C>
- ------------------------- -------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ 101,235 $ 138,956 $ 374,094 $ 1,164,734
Net realized gain
(loss)................. 5,741,811 (2,490,436) 6,425,901 (3,070,604)
Net change in unrealized
appreciation/
depreciation........... (1,920,974) 3,446,115 4,408,457 16,931,102
----------- ------------ ----------- ------------
NET INCREASE
(DECREASE).......... 3,922,072 1,094,635 11,208,452 15,025,232
----------- ------------ ----------- ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (79,675) (152,597) (315,312) (731,065)
Net realized gain........ -- (224,094) -- (128,304)
----------- ------------ ----------- ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (79,675) (376,691) (315,312) (859,369)
----------- ------------ ----------- ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 4,945,935 14,883,943 11,872,873 51,953,057
Reinvestment of dividends
and distributions...... 79,675 376,691 315,312 859,369
Cost of shares
repurchased............ (5,414,716) (7,016,976) (13,997,932) (14,403,393)
----------- ------------ ----------- ------------
NET INCREASE........ (389,106) 8,243,658 (1,809,747) 10,207,517
----------- ------------ ----------- ------------
TOTAL INCREASE
(DECREASE).......... 3,453,291 8,961,602 9,083,393 23,292,746
NET ASSETS:
Beginning of period...... 28,197,637 19,236,035 125,522,212 102,229,466
----------- ------------ ----------- ------------
END OF PERIOD....... $31,650,928 $28,197,637 $134,605,605 $125,522,212
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
UNDISTRIBUTED NET
INVESTMENT INCOME........ $ 28,855 $ 7,295 $ 86,920 $ 310,005
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
SHARES ISSUED AND
REPURCHASED:
Sold..................... 395,077 1,315,016 777,317 4,006,028
Issued in reinvestment of
dividends and
distributions.......... 6,314 33,289 20,582 66,503
Repurchased.............. (431,955) (658,565) (925,054) (1,101,520)
----------- ------------ ----------- ------------
NET INCREASE
(DECREASE)............... (30,564) 689,740 (127,155) 2,971,011
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
</TABLE>
89
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
EMERGING MARKETS
DEVELOPING GROWTH --------------------------
---------------------------
FOR THE SIX
FOR THE SIX FOR THE YEAR MONTHS ENDED FOR THE YEAR
MONTHS ENDED ENDED JUNE 30, ENDED
JUNE 30, 1999 DECEMBER 31, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
<S> <C> <C> <C> <C>
- --------------------------------------------------- --------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment
income............... $ 26,499 $ 151,770 $ 15,079 $ 126,142
Net realized gain
(loss)............... 16,945,704 (1,185,922) (35,952) (4,347,772)
Net change in
unrealized
appreciation/
depreciation......... (443,578) 7,288,857 4,711,381 (2,116,653)
------------- ------------ ------------ ------------
NET INCREASE
(DECREASE)........ 16,528,625 6,254,705 4,690,508 (6,338,283)
------------- ------------ ------------ ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment
income............... (20,699) (180,742) (29,513) (146,105)
Net realized gain...... -- (120,681) -- (48,814)
Paid in capital........ -- -- -- (70,872)
------------- ------------ ------------ ------------
TOTAL DIVIDENDS
AND
DISTRIBUTIONS..... (20,699) (301,423) (29,513) (265,791)
------------- ------------ ------------ ------------
TRANSACTIONS IN SHARES
OF BENEFICIAL INTEREST:
Net proceeds from
sales................ 8,815,329 16,665,137 2,502,274 3,482,891
Reinvestment of
dividends and
distributions........ 20,698 301,423 29,513 265,791
Cost of shares
repurchased.......... (13,255,275) (23,985,095) (2,048,219) (7,686,938)
------------- ------------ ------------ ------------
NET INCREASE...... (4,419,248) (7,018,535) 483,568 (3,938,256)
------------- ------------ ------------ ------------
TOTAL INCREASE
(DECREASE)........ 12,088,678 (1,065,253) 5,144,563 (10,542,330)
NET ASSETS:
Beginning of period.... 81,625,159 82,690,412 13,272,305 23,814,635
------------- ------------ ------------ ------------
END OF PERIOD..... $ 93,713,837 $81,625,159 $18,416,868 $13,272,305
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
UNDISTRIBUTED NET
INVESTMENT INCOME
(LOSS)................. $ 12,910 $ 7,110 $ (16,778) $ (2,344)
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
SHARES ISSUED AND
REPURCHASED:
Sold................... 394,978 861,579 263,270 368,627
Issued in reinvestment
of dividends and
distributions........ 943 16,369 3,048 27,733
Repurchased............ (597,927) (1,272,373) (243,558) (823,654)
------------- ------------ ------------ ------------
NET INCREASE
(DECREASE)............. (202,006) (394,425) 22,760 (427,294)
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
90
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Dean Witter Select Dimensions Investment Series (the "Fund"), is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The shares of the Fund are
only sold to Hartford Life Insurance Company and ITT Hartford Life and Annuity
Insurance Company for allocation to certain of its separate accounts to fund
variable annuity contracts and variable life insurance policies they issue.
The Fund, which consists of 13 separate portfolios ("Portfolios"), was organized
on June 2, 1994, as a Massachusetts business trust and commenced operations on
November 9, 1994, with the exception of Mid-Cap Growth which commenced
operations on January 21, 1997.
The investment objectives of each Portfolio are as follows:
<TABLE>
<CAPTION>
PORTFOLIO INVESTMENT OBJECTIVE
<C> <S>
Money Market Seeks high current income, preservation of capital and liquidity
by investing in short-term money market instruments.
North American Seeks to earn a high level of current income while maintaining
Government relatively low volatility of principal by primarily investing in
Securities investment grade fixed income securities issued or guaranteed by
the U.S., Canadian or Mexican governments.
Diversified Seeks, as a primary objective, to earn a high level of current
Income income and, as a secondary objective, to maximize total return,
but only to the extent consistent with its primary objective, by
equally allocating its assets among three separate groupings of
fixed income securities.
Balanced Seeks to achieve capital growth with reasonable current income by
Growth investing in common stock of companies which have a record of
paying dividends and have the potential for increasing dividends,
securities convertible into common stock and in investment grade
fixed income securities.
Utilities Seeks to provide current income and long-term growth of income and
capital by investing in equity and fixed income securities of
companies in the public utilities industry.
Dividend Seeks to provide reasonable current income and long-term growth of
Growth income and capital by investing primarily in common stock of
companies with a record of paying dividends and the potential for
increasing dividends.
Value-Added Seeks to achieve a high level of total return on its assets
Market through a combination of capital appreciation and current income
by investing, on an equally-weighted basis, in a diversified
portfolio of common stocks of the companies which are represented
in the Standard & Poor's 500 Composite Stock Price Index.
</TABLE>
91
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PORTFOLIO INVESTMENT OBJECTIVE
<C> <S>
Growth Seeks long-term growth of capital by investing primarily in common stocks and
securities convertible into common stocks issued by domestic and foreign
companies.
American Seeks long-term capital growth consistent with an effort to reduce volatility by
Opportunities investing principally in common stock of companies in industries which, at the
(formerly American time of the investment, are believed to be undervalued in the marketplace.
Value)
Mid-Cap Seeks long-term capital appreciation by investing primarily in equity securities
Growth of mid-cap companies (that is, companies whose equity market capitalization falls
within the range of approximately $200 million to $12 billion).
Global Seeks a high level of total return on its assets primarily through long-term
Equity capital growth and, to a lesser extent, from income, through investments in all
types of common stocks and equivalents (such as convertible securities and
warrants), preferred stocks and bonds and other debt obligations of domestic and
foreign companies and governments and international organizations.
Developing Seeks long-term capital growth by investing primarily in common stocks of smaller
Growth and medium-sized companies that, in the opinion of the Investment Manager, have
the potential for growing more rapidly than the economy and which may benefit from
new products or services, technological developments or changes in management.
Emerging Seeks long-term capital appreciation by investing primarily in equity securities
Markets of companies in emerging market countries. The Portfolio may invest up to 35% of
its total assets in high risk fixed income securities that are rated below
investment grade or are unrated.
</TABLE>
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual results could differ from
those estimates.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- Money Market: securities are valued at amortized
cost which approximates market value. All remaining Portfolios: (1) an equity
security listed or traded on the New York, American or other domestic or foreign
stock exchange is valued at its latest sale price on that exchange prior to the
time when assets are valued; if there were no sales that day, the security is
valued at the latest bid price (in cases where securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market pursuant to procedures adopted by the Trustees); (2) all other
portfolio securities for which over-the-counter market quotations are readily
available are valued at the latest available bid price prior to the time of
valuation; (3) when market quotations are not readily available, including
circumstances under which
92
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
it is determined by Morgan Stanley Dean Witter Advisors Inc. (the "Investment
Manager"), or (in the case of Growth) by Morgan Stanley Dean Witter Investment
Management Inc. ("MSDWIM"), or (in the case of the North American Government
Securities and Emerging Markets) by TCW Funds Management Inc. ("TCW"), that sale
or bid prices are not reflective of a security's market value, portfolio
securities are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees
(valuation of debt securities for which market quotations are not readily
available may be based upon current market prices of securities which are
comparable in coupon, rating and maturity or an appropriate matrix utilizing
similar factors); (4) certain of the securities may be valued by an outside
pricing service approved by the Trustees. The pricing service may utilize a
matrix system incorporating security quality, maturity and coupon as the
evaluation model parameters, and/or research and evaluations by its staff,
including review of broker-dealer market price quotations, if available, in
determining what it believes is the fair valuation of the securities valued by
such pricing service; and (5) short-term debt securities having a maturity date
of more than sixty days at time of purchase are valued on a mark-to-market basis
until sixty days prior to maturity and thereafter at amortized cost based on
their value on the 61st day. Short-term debt securities having a maturity date
of sixty days or less at the time of purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date
except certain dividends on foreign securities which are recorded as soon as the
Fund is informed after the ex-dividend date. Interest income is accrued daily
except where collection is not expected. The Money Market Portfolio amortizes
premiums and accretes discounts over the life of the respective securities;
gains and losses realized upon the sale of securities are based on amortized
cost. For all other Portfolios, discounts are accreted over the life of the
respective securities.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Portfolios
investing in foreign currency denominated transactions are translated into U.S.
dollars as follows: (1) the foreign currency market value of investment
securities, other assets and liabilities and forward contracts are translated at
the exchange rates prevailing at the end of the period; and (2) purchases,
sales, income and expenses are translated at the exchange rates prevailing on
the respective dates of such transactions. The resultant exchange gains and
losses are included in the Statement of Operations as realized and
93
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
unrealized gain/loss on foreign exchange transactions. Pursuant to U.S. Federal
income tax regulations, certain exchange gains/losses included in realized and
unrealized gain/loss are included in or are a reduction of ordinary income for
federal income tax purposes. The Portfolios do not isolate that portion of the
results of operations arising as a result of changes in the foreign exchange
rates from the changes in the market prices of the securities.
D. FORWARD FOREIGN CURRENCY CONTRACTS -- Some of the Portfolios may enter into
forward foreign currency contracts which are valued daily at the appropriate
exchange rates. The resultant unrealized exchange gains and losses are included
in the Statement of Operations as unrealized gain/loss on foreign exchange
transactions. The Portfolios record realized gains or losses on delivery of the
currency or at the time the forward contract is extinguished (compensated) by
entering into a closing transaction prior to delivery.
E. FEDERAL INCOME TAX STATUS -- It is the Fund's policy to comply individually
for each Portfolio with the requirements of the Internal Revenue Code applicable
to regulated investment companies and to distribute all of its taxable income to
its shareholders. Accordingly, no federal income tax provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund records dividends and
distributions to its shareholders on the record date. The amount of dividends
and distributions from net investment income and net realized capital gains are
determined in accordance with federal income tax regulations which may differ
from generally accepted accounting principles. These "book/tax" differences are
either considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within the
capital accounts based on their federal tax-basis treatment; temporary
differences do not require reclassification. Dividends and distributions which
exceed net investment income and net realized capital gains for financial
reporting purposes but not for tax purposes are reported as dividends in excess
of net investment income or distributions in excess of net realized capital
gains. To the extent they exceed net investment income and net realized capital
gains for tax purposes, they are reported as distributions of paid-in-capital.
G. ORGANIZATIONAL EXPENSES -- The Investment Manager paid the organizational
expenses of approximately $96,000 ($8,000 for each respective Portfolio,
excluding Mid-Cap Growth) which have been reimbursed for the full amount
thereof, exclusive of amounts waived of approximately $22,000
94
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
($1,833 for each respective Portfolio, excluding Mid-Cap Growth). Such expenses
have been deferred and are being amortized by the straight-line method over a
period not to exceed five years from the commencement of operations.
H. EXPENSES -- Direct expenses are charged to the respective Portfolio and
general Fund expenses are allocated on the basis of relative net assets or
equally among the Portfolios.
2. INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS
Pursuant to an Investment Management Agreement, the Fund pays the Investment
Manager a management fee, accrued daily and payable monthly, by applying the
following annual rates to each Portfolio's net assets determined at the close of
each business day:
<TABLE>
<CAPTION>
ANNUAL ANNUAL
PORTFOLIO RATE PORTFOLIO RATE
- ---------------------------------------- ------ ---------------------------------------- ------
<S> <C> <C> <C>
Money Market............................ 0.50 % Growth ................................. 0.80 %
North American Government Securities.... 0.65 American Opportunities ................. **
Diversified Income...................... 0.40 Mid-Cap Growth ......................... 0.75
Balanced Growth......................... 0.60 Global Equity .......................... 1.00
Utilities............................... 0.65 Developing Growth ...................... 0.50
Dividend Growth......................... * Emerging Markets ....................... 1.25
Value-Added Market...................... 0.50
</TABLE>
- ----------------
* 0.625% to the portion of the daily net assets not exceeding $500 million
and 0.50% to the portion of daily net assets in excess of $500 million.
Effective May 1, 1999, the agreement was amended to reduce the annual rate
to 0.475% of the portion of daily net assets exceeding $1 billion.
** Effective May 1, 1999, the Agreement was amended to reduce the annual rate
from 0.625% of daily net assets to 0.625% to the portion of the daily net
assets not exceeding $500 million and 0.60% of the portion to daily net
assets in excess of $500 million.
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities, equipment,
clerical, bookkeeping and certain legal services and pays the salaries of all
personnel, including officers of the Fund who are employees of the Investment
Manager. The Investment Manager also bears the cost of telephone services, heat,
light, power and other utilities provided to the Fund.
Under Sub-Advisory Agreements between MSDWIM and the Investment Manager and TCW
and the Investment Manager, MSDWIM provides Growth and TCW provides North
American Government Securities and Emerging Markets with investment advice and
portfolio management relating to the Portfolios' investments in securities,
subject to the overall supervision of the Investment Manager.
95
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
As compensation for their services provided pursuant to the Sub-Advisory
Agreements, the Investment Manager pays MSDWIM and TCW monthly compensation
equal to 40% of its monthly compensation.
The Investment Manager has undertaken to reimburse all operating expenses and
waive the compensation provided for in its Investment Management Agreement with
Mid-Cap Growth until such time as the Portfolio has $50 million of net assets or
December 31, 1999, whichever occurs first. At June 30, 1999, included in the
Statements of Assets and Liabilities is a receivable from an affiliate which
represents expense reimbursements due to the Portfolio.
3. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
Purchases and sales/maturities of portfolio securities, excluding short-term
investments (except for the Money Market Portfolio), for the six months ended
June 30, 1999 were as follows:
<TABLE>
<CAPTION>
U.S.GOVERNMENT SECURITIES OTHER
------------------------------- --------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
Money Market............................ $32,265,463 $ 38,417,309 $379,566,683 $ 370,349,917
North American Government Securities.... 4,464,380 1,997,334 -- --
Diversified Income...................... 9,369,092 12,067,158 24,522,091 22,581,489
Balanced Growth......................... 11,500,502 3,319,896 16,861,114 12,677,723
Utilities............................... 745,859 718,414 30,110,057 14,834,758
Dividend Growth......................... -- -- 363,627,913 545,613,064
Value-Added Market...................... -- -- 17,708,155 18,109,389
Growth.................................. -- -- 35,308,556 32,792,061
American Opportunities.................. 19,504,688 19,442,344 945,572,274 887,113,210
Mid-Cap Growth.......................... -- -- 69,395,214 70,879,643
Global Equity........................... -- -- 47,013,250 48,772,780
Developing Growth....................... -- -- 87,526,368 95,648,561
Emerging Markets........................ -- -- 8,849,069 8,146,313
</TABLE>
Included in the aforementioned sales of portfolio securities of Value-Added
Market are sales of Morgan Stanley Dean Witter & Co., an affiliate of the
Investment Manager, of $110,170, as well as a realized gain of $60,633.
Included in the aforementioned sales of portfolio securities of Value-Added
Market are sales of Hartford Financial Services Group, an affiliate of the Fund,
of $257,784, as well as a realized gain of $147,406.
96
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
For the six months ended June 30, 1999, the following Portfolios incurred
brokerage commissions with Dean Witter Reynolds Inc. ("DWR"), an affiliate of
the Investment Manager, for executed portfolio transactions:
<TABLE>
<CAPTION>
DIVERSIFIED BALANCED DIVIDEND AMERICAN MID-CAP GLOBAL DEVELOPING
INCOME GROWTH UTILITIES GROWTH OPPORTUNITIES GROWTH EQUITY GROWTH
- --------------- ------------ ----------- ----------- ----------------- ----------- --------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 525 $ 11,598 $ 8,600 $ 33,665 $ 31,755 $ 20,144 $ 5,242 $ 26,073
----- ------------ ----------- ----------- ------- ----------- --------- -------
----- ------------ ----------- ----------- ------- ----------- --------- -------
</TABLE>
Included at June 30, 1999, in the payable for investments purchased and
receivable for investments sold were $1,867,616 and $956,520, respectively, for
American Opportunities, $1,559,891 and $7,814,689, respectively, for Dividend
Growth and $793,781 and $320,908, respectively, for Developing Growth for
unsettled trades with DWR.
Included at June 30, 1999, in the payable for investments purchased and
receivable for investments sold were $417,361 and $1,359,522, respectively, for
American Opportunities, $0 and $1,867,663, respectively, for Balanced Growth and
$1,026,463 and $8,491,694, respectively, for Dividend Growth for unsettled
trades with Morgan Stanley & Co., Inc., an affiliate of the Investment Manager.
For the six months ended June 30, 1999, the following Portfolios incurred
brokerage commissions with Morgan Stanley & Co., Inc. for executed portfolio
transactions:
<TABLE>
<CAPTION>
BALANCED DIVIDEND AMERICAN MID-CAP GLOBAL DEVELOPING EMERGING
GROWTH GROWTH GROWTH OPPORTUNITIES GROWTH EQUITY GROWTH MARKETS
- ------------ ----------- ----------- ----------------- ----------- ----------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 7,985 $ 74,925 $ 2,115 $ 164,240 $ 8,040 $ 17,379 $ 3,565 $ 1,654
------ ----------- ----------- -------- ----------- ----------- ------ ------
------ ----------- ----------- -------- ----------- ----------- ------ ------
</TABLE>
Morgan Stanley Dean Witter Trust FSB, an affiliate of the Investment Manager, is
the Fund's transfer agent.
4. FEDERAL INCOME TAX STATUS
At December 31, 1998, the following Portfolios had an approximate net capital
loss carryover which may be used to offset future capital gains to the extent
provided by regulations:
<TABLE>
<CAPTION>
(AMOUNTS IN THOUSANDS)
AVAILABLE THROUGH ------------------------------
DECEMBER 31, 2004 2005 2006 TOTAL
- -------------------------------------------------- ------ ------ ------ ------
<S> <C> <C> <C> <C>
North American Government Securities.............. $ 5 $ 2 -- $ 7
Diversified Income................................ -- -- $ 164 164
Mid-Cap Growth.................................... -- -- 2,388 2,388
Global Equity..................................... -- -- 3,935 3,935
Developing Growth................................. -- -- 1,207 1,207
Emerging Markets.................................. -- -- 4,785 4,785
</TABLE>
97
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
Net capital and currency losses incurred after October 31 ("post-October
losses") within the taxable year are deemed to arise on the first business day
of the Portfolio's next taxable year. The following Portfolios incurred and will
elect to defer post-October losses during fiscal 1998: Capital: North American
Government Securities -- $2,000; Utilities -- $130,000; Growth -- $956,000;
Global Equity -- $426,000; Emerging Markets -- $290,000; Currency: Diversified
Income $280,000; American Opportunities $8,000.
At December 31, 1998, the primary reason(s) for significant temporary book/tax
differences were as follows:
<TABLE>
<CAPTION>
TEMPORARY DIFFERENCES
-----------------------------
POST-OCTOBER LOSS DEFERRALS
LOSSES FROM WASH SALES
------------ ---------------
<S> <C> <C>
North American Government Securities.... -
Diversified Income...................... - -
Balance Growth.......................... -
Utilities............................... -
Dividend Growth......................... -
Value-Added............................. -
Growth.................................. - -
American Opportunities.................. - -
Mid-Cap Growth.......................... -
Global Equity........................... - -
Developing Growth....................... -
Emerging Markets........................ - -
</TABLE>
Additionally, Diversified Income had temporary differences attributable to the
mark-to-market of open forward foreign currency exchange contracts and
compensated forward foreign currency exchange contracts.
5. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
Some of the Portfolios may enter into forward foreign currency contracts
("forward contracts") to facilitate settlement of foreign currency denominated
portfolio transactions or to manage foreign currency exposure associated with
foreign currency denominated securities.
Forward contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Portfolios bear the
risk of an unfavorable change in the foreign exchange rates underlying the
forward contracts. Risks may also arise upon entering into these contracts from
the potential inability of the counterparties to meet the terms of their
contracts.
At June 30, 1999, Diversified Income had outstanding forward contracts.
98
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED) CONTINUED
At June 30, 1999, Emerging Markets' cash balance consisted principally of
interest bearing deposits with Chase Manhattan Bank N.A., the Portfolio's
custodian.
6. SUBSEQUENT EVENTS
Mid-Cap Growth -- On August 4, 1999, the shareholders of Mid-Cap Growth approved
a new sub-advisory agreement between the Investment Manager and TCW. Under terms
of the Agreement, TCW will provide the Portfolio with investment advice and
portfolio management relating to the Portfolios' investments in securities
subject to the overall supervision of the Investment Manager. As compensation
for its services, the Investment Manager will pay TCW monthly compensation equal
to 40% of its monthly compensation. The sub-advisory agreement was effective on
August 9, 1999. Upon effectiveness of the sub-advisory agreement, the Portfolio
changed its name to Mid-Cap Equity.
Utilities -- On August 4, 1999, the shareholders of Utilities approved changing
the Portfolios' investment objective to "seek both capital appreciation and
current income". This change will have the effect of (i) eliminating long-term
growth of income as an objective and (ii) permitting the Portfolio to invest
primarily in the entire utilities industry, as opposed to the more limited
public utilities industry. The new objective was effective on August 9, 1999.
North American Government Securities and Emerging Markets -- On April 22, 1999,
the Fund's Board of Trustees approved the termination of these Portfolios and
the substitution of shares of similar portfolios of the Morgan Stanley Dean
Witter Universal Funds. The substitution will not be consumated unless
authorized by the Securities and Exchange Commission.
99
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET
VALUE NET NET REALIZED TOTAL FROM DISTRIBUTIONS TOTAL DIVIDENDS
YEAR ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET
1994 (a) $ 1.00 $ 0.01 -- $ 0.01 $(0.01) -- $(0.01)
1995 1.00 0.06 -- 0.06 (0.06) -- (0.06)
1996 1.00 0.05 -- 0.05 (0.05) -- (0.05)
1997 1.00 0.05 -- 0.05 (0.05) -- (0.05)
1998 1.00 0.05 -- 0.05 (0.05) -- (0.05)
1999 ** 1.00 0.02 -- 0.02 (0.02) -- (0.02)
NORTH AMERICAN GOVERNMENT SECURITIES
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02)
1995 10.04 0.53 $ 0.11 0.64 (0.50) -- (0.50)
1996 10.18 0.52 (0.09) 0.43 (0.52) -- (0.52)
1997 10.09 0.48 0.09 0.57 (0.49) -- (0.49)
1998 10.17 0.46 (0.03) 0.43 (0.45) -- (0.45)
1999 ** 10.15 0.22 (0.06) 0.16 (0.22) -- (0.22)
DIVERSIFIED INCOME
1994 (a) 10.00 0.08 -- 0.08 (0.03) -- (0.03)
1995 10.05 0.57 0.11 0.68 (0.51) -- (0.51)
1996 10.22 0.80 0.13 0.93 (0.82) $(0.01) (0.83)
1997 10.32 0.80 0.02 0.82 (0.83) (0.02) (0.85)
1998 10.29 0.79 (0.37) 0.42 (0.77) (0.01) (0.78)
1999 ** 9.93 0.39 (0.46) (0.07) (0.40) -- (0.40)
BALANCED GROWTH
1994 (a) 10.00 0.08 (0.02) 0.06 (0.02) -- (0.02)
1995 10.04 0.40 1.85 2.25 (0.40) -- (0.40)
1996 11.89 0.33 1.25 1.58 (0.33) (0.07) (0.40)
1997 13.07 0.29 2.01 2.30 (0.30) (0.04) (0.34)
1998 15.03 0.44 1.68 2.12 (0.43) (0.34) (0.77)
1999 ** 16.38 0.21 1.11 1.32 (0.21) (1.90) (2.11)
UTILITIES
1994 (a) 10.00 0.07 -- 0.07 (0.03) -- (0.03)
1995 10.04 0.45 2.30 2.75 (0.44) -- (0.44)
1996 12.35 0.43 0.60 1.03 (0.43) (0.01) (0.44)
1997 12.94 0.39 2.96 3.35 (0.40) (0.05) (0.45)
1998 15.84 0.37 3.06 3.43 (0.37) (0.19) (0.56)
1999 ** 18.71 0.18 2.50 2.68 (0.18) (0.15) (0.33)
DIVIDEND GROWTH
1994 (a) 10.00 0.08 (0.09) (0.01) (0.02) -- (0.02)
1995 9.97 0.36 3.57 3.93 (0.36) -- (0.36)
1996 13.54 0.34 2.94 3.28 (0.35) (0.02) (0.37)
1997 16.45 0.38 3.80 4.18 (0.38) (0.68) (1.06)
1998 19.57 0.39 3.38 3.77 (0.39) (0.90) (1.29)
1999 ** 22.05 0.22 2.53 2.75 (0.22) (2.03) (2.25)
VALUE-ADDED MARKET
1994 (a) 10.00 0.06 (0.14) (0.08) (0.02) -- (0.02)
1995 9.90 0.31 2.34 2.65 (0.31) -- (0.31)
1996 12.24 0.23 1.93 2.16 (0.23) (0.01) (0.24)
1997 14.16 0.23 3.43 3.66 (0.23) (0.03) (0.26)
1998 17.56 0.22 1.90 2.12 (0.22) (0.27) (0.49)
1999 ** 19.19 0.11 2.60 2.71 (0.11) (0.73) (0.84)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
100
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET
ASSETS
RATIOS TO AVERAGE NET (AFTER EXPENSES WERE
ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSETS ASSUMED) ------------------------
NET ASSET TOTAL END OF ------------------------- NET PORTFOLIO
YEAR ENDED VALUE END INVESTMENT PERIOD NET INVESTMENT INVESTMENT TURNOVER
DECEMBER 31 OF PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) EXPENSES INCOME (LOSS) RATE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET
1994 (a) $ 1.00 0.76%(1) $ 1,234 2.50%*(2) 3.33%*(2) -- 5.83%(2) N/A
1995 1.00 6.10 42,089 0.81 5.11 -- 5.92 N/A
1996 1.00 5.07 87,002 0.59 4.94 0.57% 4.96 N/A
1997 1.00 5.21 84,045 0.55 5.08 0.55 5.08 N/A
1998 1.00 5.16 120,185 0.55 5.02 0.55 5.02 N/A
1999 ** 1.00 2.23(1) 126,796 0.54(2) 4.45(2) 0.54(2) 4.45(2) N/A
NORTH AMERICAN
GOVERNMENT
SECURITIES
1994 (a) 10.04 0.61(1) 122 2.50*(2) 1.78*(2) -- 4.28(2) --
1995 10.18 6.40 1,288 2.50* 3.24* -- 5.74 18%
1996 10.09 4.35 4,172 1.45 4.55 0.50 5.50 48
1997 10.17 5.91 5,091 1.26 4.75 1.26 4.75 27
1998 10.15 4.28 8,389 1.15 4.52 1.15 4.52 51
1999 ** 10.09 1.56(1) 9,756 1.00(2) 4.43(2) 1.00(2) 4.43(2) 36(1)
DIVERSIFIED
INCOME
1994 (a) 10.05 0.76(1) 402 2.50*(2) 3.08*(2) -- 5.58(2) --
1995 10.22 6.96 8,972 1.33 5.95 -- 7.28 33
1996 10.32 9.54 32,119 0.71 8.26 0.50 8.47 69
1997 10.29 8.32 62,287 0.55 8.09 0.55 8.09 110
1998 9.93 4.22 93,991 0.49 7.92 0.49 7.92 111
1999 ** 9.46 (0.72) (1) 91,674 0.48(2) 8.18(2) 0.48(2) 8.18(2) 39(1)
BALANCED GROWTH
1994 (a) 10.04 0.60(1) 796 2.50*(2) 2.90*(2) -- 5.40(2) --
1995 11.89 22.86 16,311 1.39 2.45 -- 3.84 99
1996 13.07 13.54 38,893 0.90 2.35 0.50 2.75 88
1997 15.03 17.87 71,323 0.86 2.13 0.86 2.13 64
1998 16.38 14.41 107,852 0.71 2.87 0.71 2.87 93
1999 ** 15.59 8.57(1) 129,221 0.65(2) 3.06(2) 0.65(2) 3.06(2) 14(1)
UTILITIES
1994 (a) 10.04 0.65(1) 498 2.50*(2) 2.79*(2) -- 5.29(2) --
1995 12.35 28.05 17,959 1.43 3.01 -- 4.44 3
1996 12.94 8.48 35,686 0.80 3.16 0.50 3.46 15
1997 15.84 26.45 50,766 0.76 2.83 0.76 2.83 34
1998 18.71 22.23 85,683 0.71 2.21 0.71 2.21 19
1999 ** 21.06 14.44(1) 113,498 0.73(2) 1.91(2) 0.73(2) 1.91(2) 16(1)
DIVIDEND GROWTH
1994 (a) 9.97 (0.05) (1) 1,378 2.50*(2) 3.28*(2) -- 5.78(2) --
1995 13.54 40.13 78,694 0.83 2.80 -- 3.63 4
1996 16.45 24.49 258,101 0.67 2.44 0.67 2.44 39
1997 19.57 26.12 518,419 0.65 2.11 0.65 2.11 26
1998 22.05 19.73 723,285 0.63 1.87 0.63 1.87 39
1999 ** 22.55 12.80(1) 851,593 0.60(2) 1.92(2) 0.60(2) 1.92(2) 50(1)
VALUE-ADDED
MARKET
1994 (a) 9.90 (0.76) (1) 349 2.50*(2) 1.25*(2) -- 3.75(2) --
1995 12.24 27.14 23,970 1.46 1.64 -- 3.10 4
1996 14.16 17.78 73,516 0.64 1.69 0.56 1.77 4
1997 17.56 26.12 141,316 0.58 1.49 0.58 1.49 8
1998 19.19 12.19 174,824 0.55 1.20 0.55 1.20 14
1999 ** 21.06 14.35(1) 194,643 0.55(2) 1.08(2) 0.55(2) 1.08(2) 10(1)
</TABLE>
<TABLE>
<C> <S>
- ---------------------
</TABLE>
EMPTY FOOTNOTE
101
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS, CONTINUED
<TABLE>
<CAPTION>
NET ASSET NET
VALUE INVESTMENT NET REALIZED TOTAL FROM DISTRIBUTIONS TOTAL DIVIDENDS
YEAR ENDED BEGINNING INCOME AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
GROWTH
1994 (a) $ 10.00 $ 0.07 -- $ 0.07 $(0.02) -- $(0.02)
1995 10.05 0.26 $ 1.05 1.31 (0.29) -- (0.29)
1996 11.07 0.08 2.52 2.60 (0.08) $(0.04) (0.12)
1997 13.55 0.09 3.09 3.18 (0.10) (0.07) (0.17)
1998 16.56 0.00 2.16 2.16 -- (0.49) (0.49)
1999 ** 18.23 (0.01) 2.62 2.61 -- (1.59) (1.59)
AMERICAN OPPORTUNITIES
1994 (a) 10.00 0.06 0.01 0.07 (0.02) -- (0.02)
1995 10.05 0.21 3.66 3.87 (0.21) -- (0.21)
1996 13.71 0.08 1.68 1.76 (0.10) (0.07) (0.17)
1997 15.30 0.07 4.73 4.80 (0.06) (0.35) (0.41)
1998 19.69 0.13 5.57 5.70 (0.14) (1.94) (2.08)
1999 ** 23.31 0.05 3.12 3.17 (0.04) (2.47) (2.51)
MID-CAP GROWTH
1997 (b) 10.00 0.18 1.39 1.57 (0.17) -- (0.17)
1998 11.40 0.06 0.57 0.63 (0.07) (0.10) (0.17)
1999 ** 11.86 0.04 1.62 1.66 (0.03) -- (0.03)
GLOBAL EQUITY
1994 (a) 10.00 0.07 (0.10) (0.03) (0.03) -- (0.03)
1995 9.94 0.29 1.05 1.34 (0.29) -- (0.29)
1996 10.99 0.15 1.10 1.25 (0.17) (0.01) (0.18)
1997 12.06 0.12 0.92 1.04 (0.11) (0.02) (0.13)
1998 12.97 0.14 1.81 1.95 (0.18) (0.05) (0.23)
1999 ** 14.69 0.23 1.11 1.34 (0.04) -- (0.04)
DEVELOPING GROWTH
1994 (a) 10.00 0.08 0.08 0.16 (0.03) -- (0.03)
1995 10.13 0.24 4.88 5.12 (0.25) -- (0.25)
1996 15.00 0.02 1.92 1.94 (0.04)++ (0.02) (0.06)
1997 16.88 0.05 2.27 2.32 (0.04) -- (0.04)
1998 19.16 0.03 1.69 1.72 (0.04) (0.03) (0.07)
1999 ** 20.81 0.01 4.39 4.40 (0.01) -- (0.01)
EMERGING MARKETS
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02)
1995 10.04 0.29 (0.33) (0.04) (0.31) -- (0.31)
1996 9.69 0.16 1.51 1.67 (0.16) -- (0.16)
1997 11.20 0.06 0.11 0.17 (0.06) -- (0.06)
1998 11.31 0.07 (3.33) (3.26) (0.11)+++ (0.03) (0.14)
1999 ** 7.91 (0.01) 2.94 2.93 -- (0.02) (0.02)
</TABLE>
<TABLE>
<C> <S>
- ---------------------
(a) For the period November 9, 1994 (commencement of operations) through December 31, 1994.
(b) For the period January 21, 1997 (commencement of operations) through December 31, 1997.
+ Calculated based on the net asset value as of the last business day of the period.
++ Includes distributions from paid-in-capital of $0.01.
+++ Includes distributions from paid-in-capital of $0.04.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 1999 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
102
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET
ASSETS
RATIOS TO AVERAGE NET (AFTER EXPENSES WERE
ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSETS ASSUMED) ------------------------
NET ASSET TOTAL END OF ------------------------- NET PORTFOLIO
YEAR ENDED VALUE END INVESTMENT PERIOD NET INVESTMENT INVESTMENT TURNOVER
DECEMBER 31 OF PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) EXPENSES INCOME (LOSS) RATE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
GROWTH
1994 (a) $ 10.05 0.67%(1) $ 316 2.50%*(2) 2.32%*(2) -- 4.82%(2) --
1995 11.07 13.29 3,956 2.50* (0.64) * -- 1.86 39%
1996 13.55 23.56 18,215 1.22 (0.03) 0.50% 0.69 47
1997 16.56 23.07 40,311 1.01 0.13 1.01 0.13 55
1998 18.23 13.22 53,504 1.06 0.01 1.06 0.01 223
1999 ** 19.25 15.07(1) 64,981 0.92(2) (0.09) (2) 0.92(2) (0.09) (2) 58(1)
AMERICAN
OPPORTUNITIES
1994 (a) 10.05 0.69(1) 823 2.50*(2) 1.60*(2) -- 4.10(2) 10(1)
1995 13.71 38.95 38,235 0.96 1.11 -- 2.07 174
1996 15.30 12.95 120,904 0.71 0.52 0.69 0.54 232
1997 19.69 31.93 230,014 0.68 0.42 0.68 0.42 262
1998 23.31 30.78 371,633 0.66 0.62 0.66 0.62 325
1999 ** 23.97 14.42(1) 501,654 0.66(2) 0.46(2) 0.66(2) 0.46(2) 227(1)
MID-CAP GROWTH
1997 (b) 11.40 15.84(1) 19,236 1.12(2) 0.65(2) -- 1.77(2) 104(1)
1998 11.86 5.67 28,198 0.98 (0.40) -- 0.58 323
1999 ** 13.49 14.05(1) 31,651 0.99(2) (0.30) (2) -- 0.69(2) 247(1)
GLOBAL EQUITY
1994 (a) 9.94 (0.30) (1) 1,194 2.50*(2) 2.20*(2) -- 4.70(2) --
1995 10.99 13.76 17,074 1.69 1.09 -- 2.78 74
1996 12.06 11.43 59,246 1.25 0.69 0.72 1.22 62
1997 12.97 8.66 102,229 1.13 0.91 1.13 0.91 87
1998 14.69 15.11 125,522 1.10 1.01 1.10 1.01 80
1999 ** 15.99 9.12(1) 134,606 1.09(2) 0.59(2) 1.09(2) 0.59(2) 39(1)
DEVELOPING
GROWTH
1994 (a) 10.13 1.58(1) 380 2.50*(2) 2.31*(2) -- 4.81(2) 3(1)
1995 15.00 51.26 17,412 1.24 0.86 -- 2.10 80
1996 16.88 12.95 61,120 0.68 (0.04) 0.58 0.06 146
1997 19.16 13.77 82,690 0.60 0.26 0.60 0.26 149
1998 20.81 9.04 81,625 0.59 0.19 0.59 0.19 193
1999 ** 25.20 21.13(1) 93,714 0.59(2) 0.06(2) 0.59(2) 0.06(2) 110(1)
EMERGING
MARKETS
1994 (a) 10.04 0.57(1) 448 2.50*(2) 2.22*(2) -- 4.72(2) --
1995 9.69 (0.57) 4,092 2.50* 0.18* -- 2.68 36
1996 11.20 17.69 17,240 2.02 (0.10) 0.50 1.42 46
1997 11.31 1.27 23,815 1.71 0.49 1.71 0.49 91
1998 7.91 (29.03) 13,272 1.73 0.72 1.73 0.72 116
1999 ** 10.82 37.05(1) 18,417 1.90(2) 0.21(2) 1.90(2) 0.21(2) 61(1)
</TABLE>
<TABLE>
<C> <S>
- ---------------------
(a) For the period November 9, 1994 (commencement of operations) through December 31, 1994.
(b) For the period January 21, 1997 (commencement of operations) through December 31, 1997.
+ Calculated based on the net asset value as of the last business day of the period.
++ Includes distributions from paid-in-capital of $0.01.
+++ Includes distributions from paid-in-capital of $0.04.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 1999 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
EMPTY FOOTNOTE
103
<PAGE>
Trustees
------------------------------------------------------------
<TABLE>
<S> <C>
Michael Bozic Dr. Manuel H. Johnson
Charles A. Fiumefreddo Michael E. Nugent
Edwin J. Garn Philip J. Purcell
Wayne E. Hedien John L. Schroeder
</TABLE>
Officers
------------------------------------------------------------
Charles A. Fiumefreddo
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
Mitchell M. Merin
PRESIDENT
Barry Fink
VICE PRESIDENT, SECRETARY AND GENERAL COUNSEL
Thomas F. Caloia
TREASURER
<TABLE>
<S> <C>
Transfer Agent Independent Accountants
------------------------------------------------ ------------------------------------------------
Morgan Stanley Dean Witter Trust FSB PricewaterhouseCoopers LLP
Harborside Financial Center--Plaza Two 1177 Avenue of the Americas
Jersey City, New Jersey 07311 New York, New York 10036
</TABLE>
Investment Manager
------------------------------------------------------------
Morgan Stanley Dean Witter Advisors Inc.
Two World Trade Center
New York, New York 10048
Sub-Advisors
------------------------------------------------------------
North American Government Securities, Mid-Cap Growth
and Emerging Markets Portfolios
----------------------------------
TCW Funds Management, Inc.
Growth Portfolio
--------------
Morgan Stanley Dean Witter Investment Management Inc.
The financial statements included herein have been taken from the records of the
Fund without examination by the independent accountants and accordingly they do
not express an opinion thereon.
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and trustees,
fees, expenses and other pertinent information, please see the prospectus of the
Fund.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective prospectus. Read the
prospectus carefully before investing.
<PAGE>
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