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SEMI-ANNUAL REPORT
JUNE 30, 2000
MORGAN STANLEY DEAN WITTER
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TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to the Shareholders.................................. 1
Fund Performance............................................ 16
Portfolio of Investments:
Money Market............................................ 17
North American Government Securities.................... 20
Diversified Income...................................... 22
Balanced Growth......................................... 34
Utilities............................................... 37
Dividend Growth......................................... 41
Value-Added Market...................................... 44
Growth.................................................. 54
American Opportunities.................................. 57
Mid-Cap Equity.......................................... 61
Global Equity........................................... 63
Developing Growth....................................... 68
Emerging Markets........................................ 72
Financial Statements:
Statement of Assets and Liabilities..................... 78
Statement of Operations................................. 80
Statement of Changes in Net Assets...................... 82
Notes to Financial Statements............................... 87
Financial Highlights........................................ 96
Change in Independent Accountants........................... 102
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS TWO WORLD TRADE CENTER,
INVESTMENT SERIES NEW YORK, NEW YORK 10048
LETTER TO THE SHAREHOLDERS JUNE 30, 2000
DEAR SHAREHOLDER:
The six-month period ended June 30, 2000, continued to be dominated by volatile
return trends for long-term financial assets around the globe. While
large-capitalization growth stocks continued to outperform most other asset
classes over the entire period, the recent leadership sectors -- technology,
media and telecommunications -- also provided the greatest price swings as
sustainable earnings growth became the investment community's main focus. Health
care, especially pharmaceuticals and biotechnology, also came to life late in
the second quarter, providing strong performance.
Strong economic growth and mounting inflationary pressure prompted the Federal
Reserve Board to continue on its path of tight monetary policy by raising the
federal funds rate 100 basis points over three steps, to 6.50 percent.
Short-term interest rates rose 70 basis points, to 6.91 percent, before dropping
in June and ending the period at 6.36 percent. The effect of these increases was
less pronounced for long-term Treasuries, which benefited from a federal
government program of buying back outstanding debt. The subsequent reduction in
the supply of long-term Treasuries resulted in an inverted yield curve, where
short-term Treasury yields were higher than those of longer-term Treasuries. By
May, signs of more moderate economic growth appeared and the fixed-income market
rallied on hopes that the Fed's rate tightening might be nearing its end.
INTERNATIONAL OVERVIEW
During the six-month period under review, European stock markets reflected
events in the U.S. stock market. January was an uncertain month for share prices
as investors waited for a Y2K fallout, but February saw strong gains in European
stock markets when these fears proved unfounded. European markets peaked in
early March and, mirroring falls in the Nasdaq market, traded flat to down in
May and June. New-economy sectors such as technology, telecommunications and
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
media were strong until an early March correction. However, as the valuation
differential between these sectors and old-economy stocks became overextended,
investors preferred to switch funds into more reasonably valued areas of the
market such as consumer durables and pharmaceuticals.
Japan has recently endured several noteworthy setbacks: its economy dipped back
into recession late last year, many Japanese companies are struggling to compete
in the fast-changing global economy, government debt continues to rise and an
unanticipated transfer of power to a new prime minister has created political
uncertainty. Despite these stumbling blocks, however, Japan's equity market has
continued to perform very well. Business sentiment among Japan's corporate
leaders is also improving, lending credence to the improved economic optimism
among global investors and the hope for a self- sustaining economic recovery.
More than one strategist is drawing a parallel of Japan today with the U.S. in
1991 and 1992. The argument centers around evidence that corporations are
aggressively restructuring, reducing their head count in order to improve
profits in light of minimal revenue growth.
The positive economic conditions experienced by emerging Asian countries in 1999
continued into 2000. Asia is likely to post reasonable trade surpluses in 2000
for the third consecutive year as exports continue to grow, aided by long-term
trends in the outsourcing of semiconductor, computer and telecommunications
equipment manufacturing. With the overall consumer sentiment positive, Asia's
export-led recovery is being supplemented by growth in domestic consumption.
Economic and earnings growth numbers are surprising on the upside, especially in
North Asian economies, and the consensus overall growth outlook for 2000 has
been upgraded.
CLASSES OF SHARES
On July 24, 2000, the Fund began offering Class Y shares of each Portfolio,
except for the North American Government Securities Portfolio and the Emerging
Markets Portfolio. Only Class X shares were issued prior to that date. The
performance figures shown below for each Portfolio are for the Portfolio's
Class X shares. For each Portfolio, Class Y shares' performance will vary
somewhat from Class X shares' performance due to differing expenses.
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
AMERICAN OPPORTUNITIES PORTFOLIO
For the six-month period ended June 30, 2000, the American Opportunities
Portfolio produced a total return of -0.77 percent, compared to -0.43 percent
for the S&P 500(1).
The Portfolio began the year with significant emphasis on technology and
biotechnology. Then, with the signal from the Federal Reserve Board that it was
going to move to restrain the pace of economic growth by lifting interest rates,
the Fund began to adjust its portfolio weightings. First, any highly valued
issues that were not currently profitable were eliminated. Next, the overall
exposure to technology stocks was reduced. The Portfolio's technology groups
that were most economically sensitive, such as semiconductors and semiconductor
equipment, were significantly trimmed back. The health-care sector was increased
by purchasing drug, generics, specialty pharmacy and health-care services
groups. Financials were also added, given our view that interest rates would
fall in the face of a decelerating economy. Brokers and insurance group holdings
were increased and select consumer staples were also purchased.
As the Portfolio enters the second half of its fiscal year, many consumer,
industrial and monetary indicators are signaling that the economy has begun to
slow. In addition, many important measures of inflation have begun to reverse,
suggesting that the Fed appears to have successfully engineered a soft landing.
During similar periods the markets have responded quite favorably, with groups
such as health care, technology, financials and consumer staples assuming market
leadership. We believe that the Portfolio is well positioned to benefit from
this outlook.
BALANCED GROWTH PORTFOLIO
For the six-month period ended June 30, 2000, the Balanced Growth Portfolio
produced a total return of -6.36 percent versus -0.43 percent for the S&P 500
and 3.99 percent for the Lehman Brothers Aggregate Bond Index.(2)
------------------------
(1) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index the
performance of which is based on the performance of 500 widely held common
stocks chosen for market size, liquidity and industry representation. The
performance of the index does not include any expenses, fees or charges. The
index is unmanaged and should not be considered an investment.
(2) The Lehman Brothers Aggregate Bond Index tracks the performance of all U.S.
government agency and Treasury securities, investment-grade corporate debt
securities, agency mortgage-backed securities and asset-backed securities.
The performance of the index does not include any expenses, fees or charges.
The index is unmanaged and should not be considered an investment.
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
The Portfolio's underperformance relative to the S&P 500 was largely the result
of its underexposure to high-technology stocks. Because most technology stocks
generally pay little if any dividends, they do not make up a large portion of
the portfolio. Instead, the Portfolio's screening process led to an
overweighting of basic materials, capital goods and utilities, which enjoy
strong cash flows and attractive dividend yields. The Portfolio's emphasis on
these sectors impeded its performance during the period because these stocks
significantly underperformed growth stocks.
The Portfolio's asset mix is 65 percent equities and 35 percent fixed-income
securities. On June 30, 2000, the large-capitalization equity segment was fully
invested among 30 common stocks spread across 20 different industry groups.
Since late last year, the Portfolio's equity component has shifted its emphasis
toward traditional companies that have made serious commitments to e-commerce.
With this new orientation in mind, we initiated positions in Electronic Data
Systems, Quaker Oats and Sears. We believe that this added focus on "bricks and
clicks" companies will better enable the Portfolio to participate in the new
economy while maintaining a diversified portfolio of high-quality,
dividend-paying stocks.
As of June 30, 2000, the Portfolio's fixed-income assets were allocated among
mortgage-backed securities (65 percent of fixed-income assets), U.S. treasuries
(24 percent), U.S. agency obligations (7 percent) and corporate obligations (3
percent), with the balance in cash equivalents. Over the course of the six-month
period under review, the Portfolio's cash reserves were reduced. This action,
coupled with some minor rebalancing of the fixed-income portfolio, enabled us to
increase our exposure to mortgage-backed securities and U.S. agency obligations.
DEVELOPING GROWTH PORTFOLIO
For the six-month period ended June 30, 2000, the Developing Growth Portfolio
produced a total return of -7.52 percent versus -0.43 percent for the S&P 500
and 3.04 percent for the Russell 2000 Index.(3)
The Portfolio's underperformance relative to its benchmark indexes is
attributable to its overweighted position in high technology and Internet
issues, which underwent a dramatic sell off in April and May due in part to
investors' concerns over the possible effects of an economic slowdown on growth
within the technology industry.
------------------------
(3) The Russell 2000 Index is a capitalization-weighted index comprising 2000 of
the smallest stocks (on the basis of capitalization) in the Russell 3000
Index. The index does not include any expenses, fees or charges. The index
is unmanaged and should not be considered an investment.
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
Since the end of 1999, the Portfolio has increased its weighting in both the
biotechnology and medical technology sectors. We have also added select European
small-cap stocks to the Portfolio, because of their attractive valuations in
Europe relative to their U.S. counterparts.
When selecting stocks for the Portfolio, we look for companies that have a sound
business model and are expected to grow earnings by at least 20 percent
annually. We will continue to focus on companies with strong management teams
and unique products or services, favoring those where insiders have been buying
stock. We also seek out strong risk/reward situations, where we believe a
company has prospects of better-than-expected earnings or is a misunderstood
growth story.
DIVERSIFIED INCOME PORTFOLIO
For the six-month period ended June 30, 2000, the Diversified Income Portfolio
produced a total return of 0.20 percent versus 3.22 percent for the Lehman
Brothers Intermediate U.S. Government/ Credit Intermediate Bond Index.(4)
GLOBAL SHORT-TERM SECURITIES COMPONENT. Throughout the period under review, the
Portfolio's global short-term securities segment continued its strategy of
seeking the best-performing markets within its investment-grade mandate while
maintaining attractive income and dividend levels. While the global
interest-rate environment for securities with longer maturities improved during
the period, interest rates for those with shorter maturities generally rose.
Consequently, the limited-duration exposure of approximately 1.50 years for this
portion of the Portfolio was quite helpful. While this component was largely
invested in non-U.S. markets, some of that exposure was currency hedged. About
40 percent of the global component was invested in the British and Swedish
markets, which held up considerably better than the core European markets.
U.S. GOVERNMENT/MORTGAGE-BACKED COMPONENT. In an effort to enhance the
Portfolio's total return potential, we reduced the Portfolio's U.S. Treasury
allocation to 2 percent of the component's assets and increased its
mortgage-backed and agency positions to 71 percent and 27 percent, respectively.
LONG-TERM HIGH-YIELD SECURITIES COMPONENT. The past year and a half has been an
extremely difficult period for the high-yield market, particularly the B-rated
sector, the market's largest area. This
------------------------
(4) The Lehman Brothers Intermediate U.S. Government/Credit Bond Index (formerly
the Lehman Brothers Intermediate U.S. Government/Corporate Bond Index)
tracks the performance of government and corporate bonds, including U.S.
government agency and U.S. Treasury securities and corporate and yankee
bonds with maturities of 1 to 10 years. The performance of the index does
not include any expenses, fees or charges. The index is unmanaged and should
not be considered an investment.
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
prolonged weakness has caused high-yield bond prices to decline sharply and
yields to rise dramatically. Although the high-yield securities component's
position in the more defensive, higher-quality end of the market held up
relatively well during the turbulent market environment, its long-term core
position in the B-rated sector was adversely affected. However, with yields on
B-rated issues at 10-year highs and many issues trading at significant discounts
to their stated maturity value, we view the B-rated sector as extremely
undervalued. In light of our positive long-term outlook, we are maintaining our
focus on this large sector of the market, which we consider offers the Portfolio
strong long-term total return potential.
From an industry perspective we presently view the telecommunications sector as
an excellent investment opportunity, given the overwhelming trend toward
providing expanded worldwide telecommunications services, including voice, video
and data services, over a combination of hard line and wireless networks. The
combination of very strong growth prospects for this area of the economy along
with an incentive to form strategic partnerships with other major players
provides the fundamental backdrop for higher profitability and future
significant credit improvement. Included among the high-yield securities
component's current holdings are a number of telecom companies that recently
have either announced important strategic partnerships or have raised equity
capital to fuel future growth and profits.
DIVIDEND GROWTH PORTFOLIO
For the six-month period ended June 30, 2000, the Portfolio returned -8.99
percent to shareholders versus -0.43 percent for the S&P 500.
The Portfolio's underperformance relative to the S&P 500 was largely caused by
its underexposure to high growth stocks, particularly those in the technology
sector. Technology stocks soared to new heights during the first three months of
2000, before giving back much of those gains in April and May. Because most
technology stocks generally pay little if any dividends, they do not make up a
large portion of the Portfolio. Instead, the Portfolio's screening process has
led to its being overweighted in basic materials, capital goods and utilities,
which enjoy strong cash flows and attractive dividend yields. The Fund's
emphasis on these sectors impeded its performance during the period because
these stocks significantly underperformed growth stocks.
Since late last year, the Portfolio's equity component has shifted its emphasis
toward traditional companies that have made serious commitments to e-commerce.
Portfolio transactions during the period included a reallocation of assets to
better reflect the dividend growth discipline. As a result,
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
holdings in 14 companies were liquidated and a position in Electronic Data
Systems was initiated. On June 30 the Portfolio was relatively fully invested
among 80 common stocks spread across 41 different industry groups.
EMERGING MARKETS PORTFOLIO
For the six-month period ended June 30, 2000, the Emerging Markets Portfolio's
total return was -2.62 percent compared to -9.04 percent for the International
Finance Corporation (IFCI) Emerging Markets Total Return Index.(5)
Following a strong rally toward the end of 1999, most emerging equity markets
experienced a much-anticipated correction during the first quarter of 2000. A
short-lived Y2K relief gave way to concerns about higher U.S. interest rates,
tighter global liquidity and rapidly decelerating U.S. economic growth -- all of
which suggest a weaker global growth outlook for 2001. However, most regions saw
a relief rally in June, fueled by signs that U.S. economic growth might be
moderating and that the tightening phase of U.S. interest rates could soon come
to an end.
Asian stock markets generally experienced a rapid, sharp correction in line with
global equity markets early in the year. In the June rally, however, the markets
of North Asia, which are more attuned to the U.S. economic cycle, saw a sharper
rebound than their Southeast Asian peers. Electronics, hardware and software
companies particularly benefited from the rally. Investors were also encouraged
by a historic summit between North and South Korea and by a permanent trade
agreement between China and the United States. The Southeast Asian markets of
Indonesia, the Philippines and Thailand continued to suffer from rising
political risk and lack of progress on corporate reform.
Although most Latin American equity markets continued to post modest gains in
the first few months of the year, the region was not immune to sharp volatility
during April and May. At the same time, portfolio flows to Latin America were
hurt by a rebalancing of the MSCI Emerging Markets index, which resulted in a
decrease in Latin America's index weighting from about 28 percent to 23 percent
to accommodate the index's reinclusion of Malaysia and its greater weighting for
Taiwan. On
------------------------
(5) The International Finance Corporation's Emerging Markets Total Return Index
(IFCI) is designed to measure more precisely the returns foreign portfolio
investors might receive from investing in baskets of stocks that were
legally and practically available to them in the emerging markets of Latin
America, East Asia, South Asia, Europe, the Mideast and Africa. The
performance of the index does not include any expenses, fees or charges. The
index is unmanaged and should not be considered an investment.
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
the positive side, Latin America's macroeconomic fundamentals are generally
showing improvement and political tensions have begun to subside following
several high-profile presidential elections in the region.
In the Europe, Middle East and Africa region there was a shift in emphasis
during the first half of 2000 toward the central European equity markets and
away from Turkey. This group of economies is poised to benefit significantly
from the anticipated acceleration of western European growth this year. In South
Africa the market has been in a downtrend since the beginning of the year as
investors have avoided commodity-related stocks. Investor sentiment was also
adversely affected by the prospects for political and economic fallout from
troubles in Zimbabwe.
Although the Portfolio benefited from an overweighted position in Asia in the
early part of the year, that became a negative influence once the markets
corrected in March. However, the Portfolio's move into cash did add value from
an asset allocation point of view. Otherwise, most of the value added during the
first half of 2000 reflected stock selection, notably in Latin America and Asia.
As of June 30, 2000, the Portfolio's largest holdings were Korea (16.9 percent),
Taiwan (16.2 percent), Mexico (10.2 percent), Brazil (9.3 percent), South Africa
(7.7 percent), India (6.7 percent), Hong Kong (6.0 percent), and Turkey (6.0
percent). The Portfolio also held smaller positions in Greece, Israel, Poland,
Argentina, Chile, Hungary, Russia, China and Venezuela. At the end of the
quarter, the Portfolio held a cash position of 2.1 percent.
Most emerging stock markets consolidated during the first half of 2000, driven
by concerns about a Fed-induced hard landing scenario in the U.S. Recently
released data have raised hopes of a soft landing, and the market has already
begun to discount fewer rate hikes going forward. While fundamentals in most
emerging markets are showing signs of continued improvement, TCW Investment
Management Company (TCW), the Portfolio's sub-advisor, believes that the likely
catalyst for a further rebound in equity prices would be confirmation that U.S.
interest-rate hikes are largely finished.
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
GLOBAL EQUITY PORTFOLIO
For the six-month period ended June 30, 2000, the Global Equity Portfolio
produced a total return of 1.97 percent, compared to -2.56 percent for the MSCI
World Index.(6) Portfolio performance was favorably affected by overweighted
positions in the energy and pharmaceutical sectors.
As of June 30, the Portfolio's assets were allocated as follows: 40.0 percent in
the United States (underweighted relative to the MSCI World Index), 36.7 percent
in Europe (overweighted), 14.1 percent in Japan (overweighted), 5.24 percent in
Asia (overweighted), 0.76 percent in Latin America (overweighted) and 4.0 in
other regions.
At the period's end, the Portfolio's top holdings included Oxford Health Plans,
TotalFina Elf, Alcatel, Sun Microsystems, Human Genome Sciences and Eli Lilly.
GROWTH PORTFOLIO
For the six-month period ended June 30, 2000, the Growth Portfolio posted a
total return of 6.28 percent versus -0.43 percent for the S&P 500.
The Portfolio maintained and benefited from its philosophy of opportunistic
concentration driven by bottom-up, fundamental company analysis and an emphasis
on gaining an information edge in the sectors and companies in which it invests.
The Portfolio's top positions continue to reflect a mix of classic growth stocks
such as Cisco Systems, General Electric, Pfizer, Microsoft, Intel and Home Depot
as well as less well known growth names such as Tyco International and United
Technologies.
According to Morgan Stanley Dean Witter Investment Management Inc., the
Portfolio's sub-advisor, more than 80 percent of the Fund's outperformance
relative to the S&P 500 Index was driven by its stock picking versus its sector
allocation. In particular, the Portfolio's strong results were achieved despite
its continued relatively neutral posture toward technology versus the index.
Stock picking for the Portfolio in technology has proven to be very good,
because technology in general accounted for more than 40 percent of the
Portfolio's total relative outperformance over the 12-month period. The absence
of a large overweighted position in technology helped the Portfolio's relative
performance
------------------------
(6) The Morgan Stanley Capital International Europe, Australia and Far East
Index (MSCI EAFE) measures the performance for a diverse range of global
stock markets within Europe, Australia and the Far East. The index does not
include any expenses, fees, charges, or reinvestment of dividends. The index
is unmanaged and should not be considered an investment.
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LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
versus many other large-capitalization growth funds toward the end of the fiscal
year as many stocks in this group experienced downside volatility. The
Portfolio's positions in such old-economy names as Tyco, United Technologies and
Pfizer helped sustain its strong performance during this period.
Major contributors to the Portfolio's performance were Cisco Systems, Intel,
Tyco International and JDS Uniphase. Major detractors to performance for the
period included General Dynamics, Eli Lilly, Pitney Bowes, MCI WorldCom, and
Procter & Gamble.
Tyco's continued strong business fundamentals and the excitement regarding its
announced value-enhancing subsidiary-IPO, TyCom, the company's undersea
fiberoptic cable business, drove the stock's appreciation of 22 percent in the
first six months of 2000. This increase more than offset the stock's
fourth-quarter decline. The sub-advisor continues to believe in the company's
ability to meet or exceed consensus earnings expectations which, coupled with
additional value-enhancing strategic moves (such as a potential subsidiary-IPO,
M/A-Com, the leading manufacturer of the gallium arsenide semiconductor
substrate used in wireless communication devices), is expected to drive
additional future performance.
The sub-advisor made a strategic decision to continue to add to its already
overweighted position in health care from late in the first quarter. This
decision was based on the sub-advisor's belief that the sector's consistent
earnings growth will be increasingly valuable to investors as overall S&P 500
earnings growth moderates from its current high levels. This strategy proved
prudent, as health care was the Portfolio's second-best-performing sector for
the period under review. Large positions in this sector include American Home
Products, Pfizer and Johnson & Johnson.
Consumer cyclicals, one of our weakest performing sectors year-to-date, resulted
from the downturn of the retail sector during the second quarter. Our
investments in Home Depot, down 22 percent, and Costco, down 37 percent, were
our largest detractors from performance for the period. Home Depot, the leading
home improvement retailer, was among several retail stocks punished by the
market despite having no changes in its fundamentals. Although the company met
the Wall Street consensus numbers, many sell-side analysts became concerned
about a potential earnings shortfall. Issues such as labor and infrastructure
expenses growing faster than the company anticipated, as well as rising interest
rates, slower housing turnover and the rising cost of gas created pressure in
the stock as well as the sector. Further due diligence led the sub-advisor to
the conclusion that this was an overreaction to short-term issues; in fact, it
viewed this as a buying opportunity.
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
MID-CAP EQUITY PORTFOLIO
For the six-month period ended June 30, 2000, the Mid-Cap Equity Portfolio
produced a total return of 10.00 percent versus a 8.97 percent increase for the
S&P MidCap 400 Index.(7)
During the first half of its fiscal year, the Portfolio's sector weightings
shifted gradually, mostly from the capital appreciation of some of its major
holdings. The largest weighting in the portfolio remains technology at 36.4
percent, followed by services, with a 28.8 percent weighting. The weighting in
health care rose in the month to 11.3 percent, followed by consumer at 10.7
percent. In June we made several adjustments to the Portfolio. We built
positions in Affymetrix and Akamai Technologies. In keeping with its strict sell
disciplines, the Portfolio sold our position in DoubleClick, because of negative
changes in our outlook for its fundamentals.
According to TCW Investment Management Company (TCW), the Portfolio's
sub-advisor, one benefit of the difficult market environment is that some of the
very best companies it seeks to own in the Portfolio currently sell at
attractive valuations. Furthermore, some of the most promising newly public
companies now stay within the Portfolio's market-cap range long enough for the
Portfolio to be able to buy a meaningful amount of their stock. Finally, TCW is
taking advantage of the current difficult environment to seek to upgrade the
quality of the stocks in the Portfolio, selling issues where TCW's level of
conviction is not as high as it once was and replacing them with what the sub-
advisor believes to be the very best names in a particular sector.
MONEY MARKET PORTFOLIO
As of June 30, 2000, the Money Market Portfolio had assets in excess of $120
million, down 5.11 percent from one year earlier. The Portfolio's average life
was 52 days and its net investment income for the six-month fiscal period ended
June 30, 2000, was 2.80 percent, while its 30-day moving average yield for June
was 5.87 percent.
On June 30, 2000, approximately 74 percent of the Portfolio's assets were
invested in high-quality commercial paper, 19 percent in federal agency
obligations and the remaining 7 percent in short-term bank notes and negotiable
certificates of deposit issued by financially strong commercial banks.
------------------------
(7) The S&P Midcap 400 Index is a market-value-weighted index the performance of
which is based on the performance of 400 domestic stocks chosen for market
size, liquidity and industry group representation. The index does not
include any expenses, fees or charges. The index is unmanaged and should not
be considered an investment.
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
At the end of the period under review, approximately 91 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 attempt to 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 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, 2000, the North American Government
Securities Portfolio produced a total return of 2.67 percent versus 3.15 percent
for the Lehman Brothers Short (1 - 5 Years) U.S. Government Index.(8)
As of June 30, 2000, 100 percent of the Portfolio's assets was invested in the
United States. The Portfolio's sub-advisor, TCW Investment Management Company
(TCW), continues to emphasize high-quality mortgage-backed securities, including
various types of AAA-rated collateralized mortgage obligations (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 those sectors for investment
opportunities that it believes are attractive relative to those in the United
States.
Over the last six months, the financial markets focused on the presidential
elections in Mexico and the slowdown in the U.S. economy. The Mexican government
continues to pursue stability in its fiscal and monetary policies. The peso
weakened at the beginning of the year but rebounded higher by June. Rising oil
prices have continued to benefit the Mexican economy this year.
In the U.S., rates at the short end of the curve rose on news of economic
strength, while rates at the long end fell as the government began purchasing
long Treasuries to reduce its outstanding debt. As a result, the yield curve
inverted, causing volatility to increase and spreads to widen. The bond market
eventually rallied in June as the long-awaited evidence of an economic slowdown
emerged. The mortgage sector was one of the best-performing fixed-income sectors
in the first six months of 2000, even though a political debate about the
government's support of FHLMC and FNMA caused spreads to widen temporarily.
------------------------
(8) The Lehman Brothers Short (1-5) U.S. Government index measures the
performance of all U.S. government agency and U.S. Treasury securities with
maturities of one to five years. The performance of the index does not
include any expenses, fees or charges. The index is unmanaged and should not
be considered an investment.
12
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
While much of the recent data on the U.S. economy have been favorable for the
bond market, they are far from conclusive. Soaring energy costs over the past
few weeks increase the likelihood of an increase in inflationary measures in the
near future. Our outlook for the mortgage sector remains favorable, as yields
and spreads are still well above historic norms. We continue to emphasize call
protection and well-structured securities.
UTILITIES PORTFOLIO
For the six-month period ended June 30, 2000, the Utilities Portfolio produced a
total return of 3.44 percent versus -0.43 percent for the S&P 500 Index. The
Portfolio's outperformance relative to the broad market was attributable
primarily to solid performance within its electric power and natural gas
holdings. Select holdings within the Portfolio's telecommunications allocation
also contributed to its overall performance.
During the six-month period under review, the telecommunications sector
continued to benefit from positive global demand. Growth was particularly robust
within the wireless and broadband communications subsectors, which benefited
from accelerated demand for connectivity. The telecommunications infrastructure
sector, which experienced healthy order flow during the period, remains one of
the fastest growing industries worldwide. Within the electric power sector,
share prices appreciated sharply as companies within the sector benefited from
their defensive appeal, attractive relative valuations and strong financial
results. This sector's positive financial performance was driven by excellent
results associated with new-economy growth businesses in addition to surging
electric power usage. The natural gas sector remained fundamentally strong and
continued to benefit from robust profitability, favorable supply/demand dynamics
and a firm pricing environment. The sector's performance was further bolstered
by strong growth in diversified operations, which provided a nice complement to
the core business's results.
On June 30, 2000, 92 percent of the Portfolio's net assets were allocated to
utility and utility-related equities. Within this equity component, 60 percent
was allocated to telecommunications, 28 percent to electric power and 12 percent
to energy. Adding a further degree of diversification to the Portfolio was its
international holdings (13 percent of its net assets), which focused on
telecommunications infrastructure growth. The Portfolio's high-quality
fixed-income allocation accounted for 4 percent of net assets with the remaining
4 percent held in cash and cash equivalents.
During the second half of 2000, we currently anticipate modestly increasing the
Portfolio's international component while maintaining a healthy balance between
the telecommunications,
13
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
electric power and natural gas industries. Broad diversification among the
various utility industries and their subsectors remains an important component
of the Portfolio's overall investment strategy. We believe that the Portfolio
remains well positioned as it pursues its objective of seeking both capital
appreciation and current income.
VALUE-ADDED MARKET PORTFOLIO
For the six-month period ended June 30, 2000, the Value-Added Market Portfolio
produced a total return of -0.59 percent, compared to -0.43 percent for the S&P
500.
The Portfolio invests in substantially all the stocks included in the
Standard & Poor's 500 Index. Unlike the index, the Portfolio equally weights all
stock positions, thereby emphasizing the stocks of smaller- to
medium-capitalized companies, which have historically outperformed
larger-capitalization companies. In addition, the Fund is overrepresented in the
cyclical and utilities sectors and underrepresented in the health care and
technology sectors, relative to the capitalization-weighted S&P 500 as a result
of the Portfolio's strategy.
We believe that the health of the domestic economy will largely determine how
the equity market will perform in the months to come. With recent economic data
indicating that the Fed's interest-rate hikes have begun to slow the economy,
there is a growing consensus that the Fed may discontinue its tightening
strategy. If investors continue to remain focused on company fundamentals and
the overall economic outlook, it is reasonable to believe they will recognize
undervalued sectors of the market, such as cyclical and basic materials stocks.
Such a scenario would likely bode well for the equally weighted strategy
employed by the Portfolio.
LOOKING AHEAD
As we enter the second half of its fiscal year, many consumer, industrial and
monetary indicators are signaling that the U.S. economy has begun to slow. In
addition, many important measures of inflation have begun to reverse, suggesting
that the Fed appears to have successfully engineered a soft landing. We caution,
however, that the Fed has expressed concern about consumer wealth and rising
prices. As such, we anticipate that the central bank will continue to focus on
inflation and may increase short-term rates if it feels that the economic
momentum is not slowing sufficiently.
14
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 2000, CONTINUED
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,
[/S/ CHARLES A. FIUMEFREDDO] [/S/ MITCHELL M. MERIN]
CHARLES A. FIUMEFREDDO MITCHELL M. MERIN
CHAIRMAN OF THE BOARD PRESIDENT
15
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FUND PERFORMANCE JUNE 30, 2000
________________________AVERAGE ANNUAL TOTAL RETURNS (1)________________________
<TABLE>
<CAPTION>
DATE OF SINCE
1 YEAR 5 YEARS INCEPTION INCEPTION
-------- -------- --------- ---------
<S> <C> <C> <C> <C>
Money Market 5.36% 5.21% 11/9/94 5.31%
North American Government
Securities 4.52 4.82 11/9/94 4.90
Diversified Income (0.92) 4.87 11/9/94 4.92
Balanced Growth (10.71) 9.88 11/9/94 11.36
Utilities 29.90 23.62 11/9/94 22.99
Dividend Growth (18.90) 14.74 11/9/94 16.87
Value-Added Market (2.51) 15.34 11/9/94 16.31
Growth 28.48 22.07 11/9/94 20.80
American Opportunities 35.12 29.06 11/9/94 29.06
Mid-Cap Equity 85.27 -- 1/21/97 31.83
Global Equity 25.36 15.16 11/9/94 14.65
Developing Growth 46.99 24.83 11/9/94 26.90
Emerging Markets 30.41 8.66 11/9/94 7.60
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE. WHEN YOU SELL FUND SHARES, THEY MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
-----------------
(1) Figures shown 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.
16
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL ANNUALIZED YIELD
AMOUNT IN ON DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (74.0%)
BANKING (8.3%)
$ 1,785 Citicorp............................... 6.60% 07/25/00 $ 1,777,217
2,000 Morgan (J.P.) & Co. Inc................ 6.75 08/22/00 1,980,818
2,310 State Street Corp...................... 6.19 07/17/00 2,303,758
3,890 Wachovia Corp.......................... 6.09 07/10/00-07/12/00 3,883,749
------------
9,945,542
------------
DIVERSIFIED FINANCIAL SERVICES (9.8%)
5,825 Associates First Capital Corp.......... 6.16-6.70 07/07/00-09/11/00 5,788,969
6,075 General Electric Capital Corp.......... 6.13-7.13 07/11/00-01/16/01 5,988,795
------------
11,777,764
------------
DIVERSIFIED MANUFACTURING (2.8%)
3,440 Honeywell International................ 6.63 08/18/00 3,409,948
------------
FINANCE - AUTOMOTIVE (9.2%)
2,200 American Honda Finance Corp............ 6.68 08/01/00 2,187,497
1,500 BMW U.S. Capital Corp.................. 6.63 08/08/00 1,489,597
5,565 DaimlerChrysler North America Holding
Corp................................. 6.23-6.68 07/24/00-07/28/00 5,539,586
1,800 Ford Motor Credit Co................... 6.61 07/21/00 1,793,470
------------
11,010,150
------------
FINANCE - CONSUMER (7.4%)
4,065 American Express Credit Corp........... 6.66-6.79 07/03/00-08/11/00 4,049,189
4,850 New Center Asset Trust................. 6.13-6.14 07/14/00-07/19/00 4,837,245
------------
8,886,434
------------
FINANCE - CORPORATE (8.2%)
5,930 CIT Group Inc.......................... 6.08-6.79 07/05/00-09/01/00 5,891,028
3,975 Ciesco, L.P............................ 6.55-6.58 07/10/00-07/20/00 3,964,650
------------
9,855,678
------------
FOOD & BEVERAGES (0.9%)
1,100 Heinz (H.J.) Co........................ 6.64 07/21/00 1,095,966
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL ANNUALIZED YIELD
AMOUNT IN ON DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
INTERNATIONAL BANKS (13.2%)
$ 3,135 Cregem North America Inc............... 6.70% 09/07/00 $ 3,095,976
2,000 Deutsche Bank Financial Inc............ 6.64 08/08/00 1,986,151
2,910 KFW International Finance Inc.......... 6.66-6.69 09/07/00-09/27/00 2,867,457
2,085 Societe Generale N.A. Inc.............. 6.57 07/05/00 2,083,487
5,898 UBS Finance (Del) LLC.................. 6.71-6.96 07/03/00-09/05/00 5,867,501
------------
15,900,572
------------
INVESTMENT BANKER/BROKERS/SERVICES (3.2%)
3,850 Goldman Sachs Group Inc................ 6.64-6.78 08/11/00-08/23/00 3,815,717
------------
MAJOR CHEMICALS (1.1%)
1,300 Dupont (E.I.) De Nemours & Co.......... 6.21 07/07/00 1,298,674
------------
MAJOR PHARMACEUTICALS (5.2%)
6,300 Schering Corp.......................... 6.16-6.34 07/26/00-08/29/00 6,255,472
------------
MAJOR U.S. TELECOMMUNICATIONS (2.7%)
3,310 AT & T Corp............................ 6.56-6.69 07/11/00-08/02/00 3,297,452
------------
UTILITIES (2.0%)
2,395 National Rural
Utilities Cooperative
Finance Corp......................... 6.75 08/24/00 2,371,182
------------
TOTAL COMMERCIAL PAPER
(AMORTIZED COST $88,920,551)............................................................. 88,920,551
------------
CERTIFICATES OF DEPOSIT (3.2%)
1,800 Citibank. N.A.......................... 6.61 10/03/00 1,800,000
2,000 First Union National Bank.............. 6.52 07/12/00 2,000,000
------------
TOTAL CERTIFICATE OF DEPOSIT
(AMORTIZED COST $3,800,000).............................................................. 3,800,000
------------
SHORT-TERM BANK NOTE (4.2%)
5,000 Bank of America, N.A. (AMORTIZED COST
$5,000,000).......................... 6.60-6.82 07/18/00-09/05/00 5,000,000
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL ANNUALIZED YIELD
AMOUNT IN ON DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCIES (18.9%)
$ 6,554 Federal Home Loan Mortgage Corp........ 5.80-6.13% 07/06/00-08/17/00 $ 6,535,634
16,645 Federal National Mortgage Assoc........ 5.84-7.18 08/03/00-05/18/01 16,187,620
------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $22,723,254)............................................................. 22,723,254
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(AMORTIZED COST $120,443,805) (a)......................................................... 100.3% 120,443,805
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... (0.3) (380,840)
----- -------------
NET ASSETS................................................................................ 100.0% $ 120,062,965
----- -------------
----- -------------
</TABLE>
---------------------
(a) Cost is the same for federal income tax purposes.
SEE NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (17.8%)
U.S. Treasury Note
$ 500 ................................................................................. 5.375% 06/30/03 $ 486,935
500 ................................................................................. 5.625 12/31/02 491,345
500 ................................................................................. 5.875 10/31/01 496,135
----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(IDENTIFIED COST $1,514,746)....................................................................... 1,474,415
----------
MORTGAGE-BACKED SECURITIES (44.0%)
Federal Home Loan Mortgage Corp.
68 ................................................................................. 7.50 06/01/11 68,138
224 ................................................................................. 7.419 04/01/26 226,695
Federal Home Loan Mortgage Corp. PC Gold
28 ................................................................................. 5.50 11/01/00 26,299
1 ................................................................................. 7.00 07/01/00 633
170 ................................................................................. 7.00 09/01/17 164,892
325 ................................................................................. 7.00 02/01/28 314,626
35 ................................................................................. 7.50 05/01/11 35,055
54 ................................................................................. 7.50 08/01/11 53,807
Federal National Mortgage Assoc.
18 ................................................................................. 6.00 09/01/00 18,223
27 ................................................................................. 6.50 07/01/02 25,726
4 ................................................................................. 6.795 09/01/26 3,889
6 ................................................................................. 6.95 07/01/24 6,501
25 ................................................................................. 7.00 06/01/02 24,811
48 ................................................................................. 7.00 01/01/03 46,836
553 ................................................................................. 7.00 07/01/03 547,514
449 ................................................................................. 7.185 12/01/27 447,729
650 ................................................................................. 7.479 11/01/25 663,593
85 ................................................................................. 7.544 12/01/26 86,488
60 ................................................................................. 7.75 01/01/22 60,378
73 ................................................................................. 7.942 03/01/27 74,166
5 ................................................................................. 8.475 05/01/27 5,566
4 ................................................................................. 8.60 04/01/27 4,430
Government National Mortgage Assoc. II
28 ................................................................................. 6.375 06/20/25 27,712
22 ................................................................................. 6.375 05/20/26 22,245
108 ................................................................................. 6.75 07/20/27 108,656
107 ................................................................................. 6.75 08/20/27 107,323
61 ................................................................................. 7.375 02/20/23 61,738
24 ................................................................................. 7.375 01/20/26 24,452
384 ................................................................................. 7.50 12/20/28 379,179
----------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $3,701,659)....................................................................... 3,637,300
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (37.2%)
U.S. GOVERNMENT AGENCIES (a) (33.3%)
$1,000 Federal Agricultural Mortgage Corp............................................... 6.39% 07/13/00 $ 997,870
700 Federal Farm Credit Bank......................................................... 6.35 07/14/00 698,391
Federal Home Loan Banks
400 ................................................................................. 6.35 07/05/00 399,718
350 ................................................................................. 6.41 07/05/00 349,750
300 Federal Home Loan Mortgage Corp.................................................. 6.40 07/13/00 299,360
----------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $2,745,089)........................................................................ 2,745,089
----------
REPURCHASE AGREEMENT (3.9%)
326 The Bank of New York (dated 06/30/00; proceeds $325,761) (b)
(IDENTIFIED COST $325,572)..................................................... 7.00 07/03/00 325,572
----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $3,070,661)....................................................................... 3,070,661
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $8,287,066) (c)............................................................ 99.0% 8,182,376
OTHER ASSETS IN EXCESS OF LIABILITIES....................................................... 1.0 78,571
----- -----------
NET ASSETS.................................................................................. 100.0% $ 8,260,947
----- -----------
----- -----------
</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 $324,266 Federal Home Loan Banks 6.75% due 02/01/02
valued at $332,089.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $475 and the aggregate
gross unrealized depreciation is $105,165, resulting in net unrealized
depreciation of $104,690.
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
GOVERNMENT & CORPORATE BONDS (87.9%)
FOREIGN (23.0%)
AUSTRALIA (0.0%)
CABLE TELEVISION
$ 1,300 Australis Holdings Property Ltd. (a)........................ 15.00++% 11/01/02 $ 13,000
3 Australis Media Ltd. (a).................................... 15.75 05/15/03 33
-----------
TOTAL AUSTRALIA.................................................................................. 13,033
-----------
BERMUDA (0.2%)
OTHER TELECOMMUNICATIONS
200 Globenet Comm Group Ltd..................................... 13.00 07/15/07 203,000
-----------
CANADA (1.6%)
BEVERAGES - NON-ALCOHOLIC (0.5%)
500 Sparkling Spring Water...................................... 11.50 11/15/07 400,000
-----------
CONSUMER/BUSINESS SERVICES (0.2%)
200 MDC Communication Corp...................................... 10.50 12/01/06 192,000
-----------
CONSUMER ELECTRONICS/APPLIANCES (0.0%)
750 International Semi-Tech Microelectronics, Inc. (a).......... 11.50++ 08/15/03 7,500
-----------
FOREIGN GOVERNMENT OBLIGATION (0.7%)
CAD 850 Government of Canada (b).................................... 5.50 09/01/02 568,197
-----------
OTHER TELECOMMUNICATIONS (0.2%)
$ 200 Worldwide Fiber Inc......................................... 12.00 08/01/09 190,000
-----------
TOTAL CANADA..................................................................................... 1,357,697
-----------
DENMARK (4.6%)
FOREIGN GOVERNMENT OBLIGATIONS
DKK 10,000 Kingdom of Denmark (b)...................................... 8.00 11/15/01 1,311,666
18,000 Kingdom of Denmark (b)...................................... 9.00 11/15/00 2,327,846
-----------
TOTAL DENMARK.................................................................................... 3,639,512
-----------
FINLAND (1.8%)
FOREIGN GOVERNMENT OBLIGATION
GBP 900 Republic of Finland (b)..................................... 8.00 04/07/03 1,411,589
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
NETHERLANDS (6.7%)
FOREIGN GOVERNMENT OBLIGATIONS (6.4%)
EUR 1,500 Netherlands
Government Bond........................................... 8.50% 03/15/01 $ 1,465,672
2,250 Netherlands
Government Bond (b)....................................... 5.75 09/15/02 2,178,752
GBP 900 BK Nederlandse
Gemeenten (b)............................................. 7.00 12/20/02 1,373,436
-----------
5,017,860
-----------
OTHER TELECOMMUNICATIONS (0.3%)
$ 200 Versatel Telecom International NV........................... 13.25 05/15/08 204,000
-----------
TOTAL NETHERLANDS................................................................................ 5,221,860
-----------
NORWAY (1.9%)
CONTRACT DRILLING (0.1%)
125 Northern Offshore ASA....................................... 10.00 05/15/05 79,375
-----------
FOREIGN GOVERNMENT OBLIGATION (1.8%)
NOK 11,430 Norway Government
Bond (b).................................................. 9.50 10/31/02 1,398,374
-----------
TOTAL NORWAY..................................................................................... 1,477,749
-----------
SWEDEN (2.2%)
FOREIGN GOVERNMENT OBLIGATION
SEK 15,000 Swedish Government
Bond (b).................................................. 5.50 04/12/02 1,717,892
-----------
UNITED KINGDOM (4.0%)
CELLULAR TELEPHONE (0.3%)
$ 600 Dolphin Telecom PLC......................................... 14.00++ 05/15/09 210,000
-----------
FOREIGN GOVERNMENT OBLIGATION (2.5%)
GBP 1,300 U.K. Treasury Bond (b)...................................... 7.00 06/07/02 2,004,304
-----------
INTERNATIONAL BANKS (0.8%)
400 Abbey National Treasury Service (b)......................... 7.125 03/14/01 608,533
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
23
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
OTHER TELECOMMUNICATIONS (0.4%)
$ 200 Esprit Telecom Group PLC.................................... 10.875% 06/15/08 $ 152,000
200 Esprit Telecom Group PLC.................................... 11.50 12/15/07 156,000
-----------
308,000
-----------
TOTAL UNITED KINGDOM............................................................................. 3,130,837
-----------
TOTAL FOREIGN
(IDENTIFIED COST $20,731,713).................................................................... 18,173,169
-----------
UNITED STATES (64.9%)
CORPORATE BONDS (29.9%)
ADVERTISING (0.3%)
300 Interep National Radio
Sales Inc................................................. 10.00 07/01/08 270,000
-----------
AEROSPACE (0.3%)
300 Sabreliner Corp. - 144A*.................................... 11.00 06/15/08 248,250
-----------
BROADCAST/MEDIA (0.4%)
400 Tri-State Outdoor Media Group, Inc.......................... 11.00 05/15/08 380,000
-----------
BROADCASTING (0.2%)
200 XM Satellite Radio Holdings Inc. (Units)++ (Class A) -
144A*..................................................... 14.00 03/15/10 177,000
-----------
CABLE TELEVISION (1.4%)
300 Knology Holdings Inc........................................ 11.875++ 10/15/07 162,000
400 Optel, Inc. (a) (c)......................................... 13.00 02/15/05 240,000
1,000 Optel, Inc. (Series B) (a) (c).............................. 11.50 07/01/08 600,000
-----------
1,002,000
-----------
CASINO/GAMBLING (1.5%)
1,200 Aladdin Gaming Holdings/Capital Corp. LLC (Series B)........ 13.50++ 03/01/10 702,000
850 Fitzgeralds Gaming Corp. (Series B) (c)..................... 12.25 12/15/04 450,500
-----------
1,152,500
-----------
CELLULAR TELEPHONE (1.8%)
200 Dobson/Sygnet Communications................................ 12.25 12/15/08 213,500
500 McCaw International Ltd..................................... 13.00++ 04/15/07 384,415
300 Nextel Communications, Inc.................................. 10.65++ 09/15/07 235,500
300 Tritel PCS Inc.............................................. 12.75++ 05/15/09 198,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
24
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 500 Triton Communications LLC................................... 11.00++% 05/01/08 $ 365,000
-----------
1,396,415
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (0.2%)
200 J.B. Poindexter & Co., Inc.................................. 12.50 05/15/04 189,000
-----------
CONSUMER/BUSINESS SERVICES (0.9%)
200 Anacomp, Inc. (Series B).................................... 10.875 04/01/04 128,500
500 Comforce Operating, Inc..................................... 12.00 12/01/07 270,000
300 Muzak LLC................................................... 9.875 03/15/09 274,500
-----------
673,000
-----------
CONSUMER ELECTRONICS/APPLIANCES (0.4%)
310 Windmere-Durable Holdings, Inc.............................. 10.00 07/31/08 303,800
-----------
CONSUMER SPECIALTIES (0.7%)
700 Samsonite Corp.............................................. 10.75 06/15/08 582,750
-----------
CONTAINERS/PACKAGING (1.1%)
325 Berry Plastics Corp......................................... 12.25 04/15/04 305,500
735 Envirodyne Industries, Inc.................................. 10.25 12/01/01 422,625
150 Impac Group Inc. (Series B)................................. 10.125 03/15/08 162,750
-----------
890,875
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (0.3%)
300 High Voltage Engineering, Inc............................... 10.75 08/15/04 214,500
-----------
DIVERSIFIED FINANCIAL SERVICES (1.5%)
GBP 800 General Electric Capital Corp. (b).......................... 6.625 03/16/01 1,212,083
-----------
DIVERSIFIED MANUFACTURING (0.8%)
$ 300 Eagle-Picher Industries, Inc................................ 9.375 03/01/08 253,500
200 Jordan Industries, Inc...................................... 10.375 08/01/07 186,000
325 Jordan Industries, Inc. (Series B).......................... 11.75++ 04/01/09 208,000
-----------
647,500
-----------
DRUGSTORE CHAINS (0.2%)
300 Rite Aid Corp............................................... 7.70 02/15/27 135,000
-----------
E.D.P. SERVICES (0.2%)
200 Globix Corp................................................. 12.50 02/01/10 165,000
-----------
ELECTRONIC DISTRIBUTORS (0.0%)
400 CHS Electronics, Inc. (a) (c)............................... 9.875 04/15/05 8,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
25
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
ENVIRONMENTAL SERVICES (0.4%)
$ 350 Allied Waste North America, Inc............................. 10.00% 08/01/09 $ 292,250
-----------
FOOD CHAINS (0.6%)
250 Big V Supermarkets, Inc. (Series B)......................... 11.00 02/15/04 200,000
500 Pueblo Xtra International, Inc. (Series C).................. 9.50 08/01/03 245,000
-----------
445,000
-----------
FOOD DISTRIBUTORS (0.6%)
300 Fleming Companies, Inc. (Series B).......................... 10.625 07/31/07 252,000
200 Volume Services of
America Inc............................................... 11.25 03/01/09 183,000
-----------
435,000
-----------
HOTELS/RESORTS (0.5%)
300 Epic Resorts LLC (Series B)................................. 13.00 06/15/05 180,000
299 Resort At Summerlin (Series B).............................. 13.00 12/15/07 194,522
-----------
374,522
-----------
INDUSTRIAL SPECIALTIES (1.0%)
200 Cabot Safety Corp........................................... 12.50 07/15/05 200,000
200 Indesco International Inc................................... 9.75 04/15/08 74,000
350 International Wire Group, Inc. (Series B)................... 11.75 06/01/05 351,750
250 Outsourcing Services Group, Inc. (Series B)................. 10.875 03/01/06 200,000
-----------
825,750
-----------
INTERNET SERVICES (0.2%)
200 PSINet Inc.................................................. 11.00 08/01/09 187,000
-----------
MEDICAL SPECIALTIES (0.5%)
600 Mediq Inc./PRN Life Support Services Inc. (c)............... 11.00 06/01/08 60,000
600 Universal Hospital Services, Inc............................ 10.25 03/01/08 342,000
-----------
402,000
-----------
MEDICAL/NURSING SERVICES (0.4%)
500 Pediatric Services of America, Inc. (Series A).............. 10.00 04/15/08 330,000
-----------
MILITARY/GOV'T/TECHNICAL (0.2%)
200 Loral Space & Communications Ltd............................ 9.50 01/15/06 146,500
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
26
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
MOVIES/ENTERTAINMENT (0.1%)
$ 200 Regal Cinemas, Inc.......................................... 9.50% 06/01/08 $ 48,000
-----------
OFFICE EQUIPMENT/SUPPLIES (0.6%)
700 Mosler, Inc................................................. 11.00 04/15/03 441,000
-----------
OIL REFINING/MARKETING (0.0%)
500 Transamerican
Refining Corp. (a) (c).................................... 16.00 06/30/03 6,250
-----------
OTHER TELECOMMUNICATIONS (3.8%)
600 Birch Telecom Inc........................................... 14.00 06/15/08 582,000
300 DTI Holdings Inc. (Series B)................................ 12.50++ 03/01/08 129,000
1,700 Firstworld Communications, Inc.............................. 13.00++ 04/15/08 799,000
300 Pac-West Telecomm Inc. (Series B)........................... 13.50 02/01/09 303,000
300 Primus Telecommunications Group, Inc........................ 11.75 08/01/04 240,000
300 Primus Telecommunications Group, Inc........................ 9.875 05/15/08 225,000
300 Viatel Inc.................................................. 11.25 04/15/08 225,000
600 World Access, Inc. (d)...................................... 13.25 01/15/08 510,000
-----------
3,013,000
-----------
PRINTING/FORMS (0.0%)
300 Premier Graphics Inc. (c)................................... 11.50 12/01/05 21,000
-----------
RESTAURANTS (0.5%)
550 FRD Acquisition Corp. (Series B)............................ 12.50 07/15/04 198,000
200 Friendly Ice Cream Corp..................................... 10.50 12/01/07 160,000
-----------
358,000
-----------
RETAIL - SPECIALTY (0.6%)
200 Pantry, Inc................................................. 10.25 10/15/07 189,500
300 Petro Stopping Centers L.P.................................. 10.50 02/01/07 265,500
-----------
455,000
-----------
SPECIALTY FOODS/CANDY (0.3%)
1,839 SFAC New Holdings Inc. (d).................................. 13.00++ 06/15/09 257,471
-----------
TELECOMMUNICATIONS (4.0%)
200 CapRock Communications Corp................................. 11.50 05/01/09 180,000
200 CapRock Communications Corp. (Series B)..................... 12.00 07/15/08 184,000
400 Covad Communications Group, Inc............................. 12.50 02/15/09 340,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
27
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 600 e. Spire Communications, Inc................................ 13.75% 07/15/07 $ 330,000
300 Focal Communications Corp. (Series B)....................... 12.125++ 02/15/08 201,000
250 GST Equipment Funding, Inc. (a)............................. 13.25 05/01/07 142,500
200 Hyperion Telecommunication, Inc. (Series B)................. 12.25 09/01/04 208,000
400 In-Flight Phone Corp. (Series B) (a) (c).................... 14.00 05/15/02 36,000
200 Level 3 Communications, Inc................................. 9.125 05/01/08 179,500
200 MGC Communications Inc. - 144A*............................. 13.00 04/01/10 188,000
150 NextLink
Communications LLC........................................ 12.50 04/15/06 157,500
250 NextLink
Communications LLC........................................ 10.75 06/01/09 246,875
500 Rhythms Netconnections, Inc................................. 12.75 04/15/09 350,000
200 Startec Global Communications Corp.......................... 12.00 05/15/08 160,000
300 Talton Holdings, Inc. (Series B)............................ 11.00 06/30/07 255,000
-----------
3,158,375
-----------
WIRELESS COMMUNICATIONS (3.4%)
1,000 Advanced Radio Telecom Corp................................. 14.00 02/15/07 880,000
100 Arch Escrow Corp............................................ 13.75 04/15/08 82,000
1,800 CellNet Data Systems, Inc................................... 14.00++ 10/01/07 126,000
150 Globalstar LP/Capital Corp.................................. 11.50 06/01/05 43,125
300 Orbcomm Global
LP/Capital Corp........................................... 14.00 08/15/04 234,000
300 Paging Network, Inc. (c).................................... 10.125 08/01/07 126,000
1,050 Paging Network, Inc. (c).................................... 10.00 10/15/08 441,000
400 USA Mobile Communications Holdings, Inc..................... 14.00 11/01/04 336,000
200 Winstar Communications, Inc. - 144A*........................ 14.75++ 04/15/10 95,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
28
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 350 Winstar Communications, Inc. - 144A*........................ 12.75% 04/15/10 $ 337,750
-----------
2,700,875
-----------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $30,916,139).................................................................... 23,544,666
-----------
MORTGAGE-BACKED SECURITIES (25.0%)
362 Federal Home Loan Mortgage Corp. (0.5%)..................... 7.00 06/01/04 355,709
-----------
Federal National Mortgage Assoc. (8.0%)
2,478 .......................................................... 6.00 02/01/11-01/01/29 2,285,602
2,121 .......................................................... 6.50 04/01/12-06/01/28 2,012,880
1,942 .......................................................... 7.00 07/01/25-05/01/27 1,874,067
162 .......................................................... 8.00 07/01/26 162,597
-----------
6,335,146
-----------
Government National Mortgage Assoc. (16.5%)
4,725 .......................................................... 6.00 05/15/28-12/15/28 4,351,837
5,560 .......................................................... 6.50 01/15/24-05/15/29 5,270,775
1,512 .......................................................... 7.00 09/15/22-06/15/29 1,470,075
1,576 .......................................................... 7.50 02/15/26-08/15/29 1,564,353
400 .......................................................... 8.00 02/15/26-06/15/26 403,853
-----------
13,060,893
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $20,549,100).................................................................... 19,751,748
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (10.0%)
500 Federal Home Loan
Banks (0.6%).............................................. 5.53 01/15/03 483,425
-----------
Federal National Mortgage Assoc. (b) (2.5%)
500 .......................................................... 5.60 02/02/01 496,255
GBP 1,000 .......................................................... 6.875 06/07/02 1,526,524
-----------
2,022,779
-----------
$ 6,000 Resolution Funding Corp. (5.0%)............................. 0.00 01/15/05-10/15/07 3,915,970
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
29
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
--------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 1,000 Tennessee Valley Authority (1.3%)........................... 0.00% 07/15/00 $ 997,760
-----------
500 U.S. Treasury Notes (0.6%).................................. 6.25 08/31/02 498,470
-----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(IDENTIFIED COST $8,048,648)..................................................................... 7,918,404
-----------
TOTAL UNITED STATES
(IDENTIFIED COST $59,513,887).................................................................... 51,214,818
-----------
TOTAL GOVERNMENT & CORPORATE BONDS
(IDENTIFIED COST $80,245,600).................................................................... 69,387,987
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES
----------
<C> <S> <C>
COMMON STOCKS (e) (0.2%)
CASINO/GAMBLING (0.0%)
787 Fitzgerald Gaming Corp. (Class D)*..................................................... 1
-----------
CLOTHING/SHOE/ACCESSORY SHOES (0.0%)
50,166 County Seat Stores, Inc. (d)........................................................... 451
-----------
MEDICAL/NURSING SERVICES (0.0%)
34,888 Raintree Healthcare Corp. (d).......................................................... 314
-----------
OTHER TELECOMMUNICATIONS (0.2%)
2,666 Versatel Telecom International NV (Netherlands) (d).................................... 114,971
1,885 World Access, Inc. (d)................................................................. 20,735
-----------
135,706
-----------
SPECIALTY FOODS/CANDY (0.0%)
100 SFAC New Holdings Inc. (d)*............................................................ 25
-----------
TELECOMMUNICATION EQUIPMENT (0.0%)
35,466 FWT Inc. (Class A) (d)................................................................. 355
-----------
TEXTILES (0.0%)
11,192 United States Leather, Inc. (d)........................................................ 112
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $951,022)............................................................. 136,964
-----------
CONVERTIBLE PREFERRED STOCKS (e) (0.2%)
OIL REFINING/MARKETING (0.0%)
878 TCR Holding Corp. (Class B) (Non-Voting)............................................... 9
483 TCR Holding Corp. (Class C) (Non-Voting)............................................... 5
1,273 TCR Holding Corp. (Class D) (Non-Voting)............................................... 13
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
30
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
2,633 TCR Holding Corp. (Class E) (Non-Voting)............................................... $ 26
-----------
53
-----------
TELECOMMUNICATION EQUIPMENT (0.2%)
354,666 FWT, Inc. (Series A) (Non-Conv.) (d)................................................... 177,333
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $962,686)............................................................. 177,386
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE
---------- ----------
<C> <S> <C> <C>
WARRANTS (e) (0.2%)
BROADCASTING (0.0%)
300 UIH Australia/Pacific Inc.................................................. 05/15/06 4,500
-----------
CASINO/GAMBLING (0.0%)
9,000 Aladdin Gaming
Enterprises, Inc. - 144A*................................................ 03/01/10 90
-----------
CELLULAR TELEPHONE (0.0%)
500 McCaw International Ltd. - 144A*........................................... 04/15/07 15,000
-----------
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 1
-----------
OTHER TELECOMMUNICATIONS (0.2%)
500 Birch Telecom Inc. - 144A*................................................. 06/15/08 27,500
1,500 DTI Holdings, Inc. - 144A*................................................. 03/01/08 15
1,700 Firstworld
Communications, Inc. - 144A*............................................. 04/15/08 127,500
-----------
155,015
-----------
TELECOMMUNICATIONS (0.0%)
200 Startec Global Communications Corp. - 144A*................................ 05/15/08 700
-----------
TOTAL WARRANTS
(IDENTIFIED COST $5,639)............................................................... 175,312
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
31
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENT (3.1%)
UNITED STATES
TIME DEPOSIT (f) (0.7%)
NOK 5,088 Chase Manhattan Bank (IDENTIFIED COST $615,513).................... 5.938% 07/10/00 $ 592,675
-----------
REPURCHASE AGREEMENT (2.4%)
$ 1,874 The Bank of New York
(dated 06/30/00; proceeds
$1,875,363) (g)
(IDENTIFIED COST $1,874,270)..................................... 7.00 07/03/00 1,874,270
-----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $2,489,783)............................................................. 2,466,945
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $84,654,730) (h).......................................................... 91.6% 72,344,594
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 8.4 6,615,683
----- ------------
NET ASSETS................................................................................. 100.0% $ 78,960,277
----- ------------
----- ------------
</TABLE>
---------------------
* Resale is restricted to qualified institutional investors.
++ Consists of one or more class of securities traded together as a unit;
stocks or bonds with attached warrants.
++ 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) Acquired through exchange offer.
(e) Non-income producing securities.
(f) Subject to withdrawal restrictions until maturity.
(g) Collateralized by $1,866,752 Federal Home Loan Banks 6.75% due 02/01/02
valued at $1,911,789.
(h) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $560,607 and the
aggregate gross unrealized depreciation is $12,870,743, resulting in net
unrealized depreciation of $12,310,136.
SEE NOTES TO FINANCIAL STATEMENTS
32
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 2000:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS IN EXCHANGE DELIVERY APPRECIATION
TO DELIVER FOR DATE (DEPRECIATION)
----------------------------------------------------------------
<S> <C> <C> <C>
EUR 300,000 $ 286,350 07/19/00 $ (331)
EUR 600,000 $ 574,328 07/24/00 776
GBP 770,000 $ 1,153,437 07/24/00 (14,437)
CAD 381,000 $ 258,406 07/24/00 942
EUR 450,000 $ 424,008 07/26/00 (6,213)
GBP 335,000 $ 506,128 07/26/00 (1,993)
GBP 375,000 $ 567,015 07/26/00 (1,778)
GBP 770,000 $ 1,159,347 07/26/00 (8,574)
------------
Net unrealized depreciation............. $ (31,608)
============
</TABLE>
CURRENCY ABBREVIATIONS:
<TABLE>
<S> <C>
CAD Canadian Dollar.
GBP British Pound.
DKK Danish Krone.
EUR Euro.
NOK Norwegian Krone.
SEK Swedish Krona.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
33
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (62.3%)
AEROSPACE (2.4%)
47,000 United Technologies Corp.............................................. $ 2,767,125
------------
ALUMINUM (2.3%)
91,000 Alcoa Inc............................................................. 2,639,000
------------
AUTO PARTS: O.E.M. (2.1%)
170,000 Delphi Automotive Systems Corp........................................ 2,475,625
7,267 Visteon Corp.......................................................... 88,110
------------
2,563,735
------------
BEVERAGES - NON-ALCOHOLIC (2.5%)
64,000 PepsiCo, Inc.......................................................... 2,844,000
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.1%)
64,000 Deere & Co............................................................ 2,368,000
------------
DEPARTMENT STORES (2.2%)
77,000 Sears, Roebuck & Co................................................... 2,512,125
------------
DISCOUNT CHAINS (2.3%)
45,500 Target Corp........................................................... 2,639,000
------------
DIVERSIFIED MANUFACTURING (2.4%)
32,500 Minnesota Mining & Manufacturing Co................................... 2,681,250
------------
E.D.P. SERVICES (2.2%)
60,000 Electronic Data Systems Corp.......................................... 2,475,000
------------
ELECTRIC UTILITIES (4.4%)
95,500 GPU, Inc.............................................................. 2,584,469
64,000 Unicom Corp........................................................... 2,476,000
------------
5,060,469
------------
ELECTRONIC DATA PROCESSING (2.3%)
24,000 International Business Machines Corp.................................. 2,629,500
------------
FINANCE COMPANIES (2.2%)
110,000 Associates First Capital Corp. (Class A).............................. 2,454,375
------------
FOREST PRODUCTS (2.2%)
57,500 Weyerhaeuser Co....................................................... 2,472,500
------------
MAJOR BANKS (4.0%)
52,500 Bank of America Corp.................................................. 2,257,500
130,000 KeyCorp............................................................... 2,291,250
------------
4,548,750
------------
MAJOR CHEMICALS (2.1%)
54,000 Du Pont (E.I.) de Nemours & Co., Inc.................................. 2,362,500
------------
<CAPTION>
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------------------------------------
<C> <S> <C>
MAJOR PHARMACEUTICALS (2.4%)
47,500 Bristol-Myers Squibb Co............................................... $ 2,766,875
------------
MAJOR U.S. TELECOMMUNICATIONS (2.1%)
75,000 AT&T Corp............................................................. 2,371,875
------------
MOTOR VEHICLES (4.1%)
55,500 Ford Motor Co......................................................... 2,386,500
39,000 General Motors Corp................................................... 2,264,438
------------
4,650,938
------------
MULTI-SECTOR COMPANIES (2.5%)
54,000 General Electric Co................................................... 2,862,000
------------
OIL/GAS TRANSMISSION (2.1%)
37,500 Enron Corp............................................................ 2,418,750
------------
OTHER METALS/MINERALS (2.1%)
63,000 Phelps Dodge Corp..................................................... 2,342,812
------------
PACKAGE GOODS/COSMETICS (2.3%)
45,000 Procter & Gamble Co................................................... 2,576,250
------------
PACKAGED FOODS (2.3%)
35,500 Quaker Oats Company (the)............................................. 2,666,937
------------
RAILROADS (2.3%)
123,000 CSX Corp.............................................................. 2,606,063
------------
SEMICONDUCTORS (2.4%)
20,500 Intel Corp............................................................ 2,739,313
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $73,693,320)......................................... 71,019,142
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
---------
<C> <S> <C>
CORPORATE BONDS (1.2%)
ELECTRONIC DATA PROCESSING (0.4%)
$ 500 IBM Corp.
7.00% due 10/30/25.................................................. 471,305
------------
INTERNATIONAL BANKS (0.1%)
100 Abbey National PLC (United Kingdom)
6.69% due 10/17/05.................................................. 96,362
------------
MAJOR PHARMACEUTICALS (0.0%)
45 Lilly (Eli) & Co.
8.375% due 12/01/06................................................. 48,019
------------
MAJOR U.S. TELECOMMUNICATIONS (0.3%)
400 MCI Communication Corp.
6.95% due 08/15/06.................................................. 385,352
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
34
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
-----------------------------------------------------------------------------------------------
<C> <S> <C>
PAPER (0.2%)
$ 200 Willamette Industries, Inc.
7.85% due 07/01/26.................................................. $ 190,902
------------
SPECIALTY CHEMICALS (0.2%)
200 Praxair, Inc.
6.90% due 11/01/06.................................................. 191,098
------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $1,460,070).......................................... 1,383,038
------------
MORTGAGE-BACKED SECURITIES (24.0%)
993 Federal Home Loan Mortgage Corp.
6.00% due 04/01/03.................................................. 946,772
701 Federal Home Loan Mortgage Corp.
7.00% due 04/01/26-12/01/27......................................... 676,845
322 Federal National Mortgage Assoc.
6.00% due 04/01/04.................................................. 306,690
3,778 Federal National Mortgage Assoc.
6.00% due 04/01/06.................................................. 3,598,728
1,578 Federal National Mortgage Assoc.
6.50% due 01/01/13-05/01/13......................................... 1,520,874
1,509 Federal National Mortgage Assoc.
6.50% due 07/01/06.................................................. 1,459,909
3,224 Federal National Mortgage Assoc.
6.00% due 03/01/13-06/01/13......................................... 3,049,088
906 Federal National Mortgage Assoc.
7.50% due 06/01/27-07/01/29......................................... 892,607
1,624 Federal National Mortgage Assoc.
6.50% due 10/01/17-06/01/28......................................... 1,535,692
1,868 Government National Mortgage Assoc.
6.50% due 08/15/28-09/15/29......................................... 1,772,270
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
-----------------------------------------------------------------------------------------------
<C> <S> <C>
$ 7,265 Government National Mortgage Assoc. II
6.50% due 04/20/28-03/20/29......................................... $ 6,858,687
2,232 Government National Mortgage Assoc.
7.50% due 08/15/23-10/15/29......................................... 2,215,287
2,734 Government National Mortgage Assoc.
6.00% due 04/15/28-12/15/28......................................... 2,517,272
------------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $28,610,767)......................................... 27,350,721
------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (11.4%)
1,100 Federal Home Loan Banks
5.65% due 02/06/03.................................................. 1,064,800
1,500 Federal Home Loan Banks
5.96% due 02/05/08.................................................. 1,393,650
500 Resolution Funding Corp.
0.00% due 10/15/04.................................................. 379,170
1,705 U.S. Treasury Bond
7.50% due 11/15/24.................................................. 1,982,472
1,065 U.S. Treasury Bond
6.00% due 02/15/26.................................................. 1,041,314
1,400 U.S. Treasury Note
6.625% due 04/30/02................................................. 1,404,704
500 U.S. Treasury Note
5.50% due 05/31/03.................................................. 488,670
80 U.S. Treasury Note
7.875% due 11/15/04................................................. 84,716
1,300 U.S. Treasury Note
5.875% due 11/15/05................................................. 1,277,705
500 U.S. Treasury Note
6.25% due 02/15/07.................................................. 500,640
2,000 U.S. Treasury Note
6.125% due 08/15/07................................................. 1,987,660
2,000 U.S. Treasury Note Strip
0.00% due 08/15/06.................................................. 1,379,340
------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(IDENTIFIED COST $13,191,934)......................................... 12,984,841
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
35
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
-----------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (0.5%)
REPURCHASE AGREEMENT
$ 532 The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds
$532,042) (a) (IDENTIFIED COST $531,939)............................ $ 531,939
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $117,488,030) (b)......................................................... 99.4% 113,269,681
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 0.6 677,398
----- ------------
NET ASSETS................................................................................. 100.0% $113,947,079
----- ------------
----- ------------
</TABLE>
---------------------
(a) Collateralized by $529,806 Federal Home Loan Banks 6.75% due 02/01/02
valued at $542,588.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $7,797,933 and the
aggregate gross unrealized depreciation is $12,016,282, resulting in net
unrealized depreciation of $4,218,349.
SEE NOTES TO FINANCIAL STATEMENTS
36
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (91.9%)
ELECTRIC UTILITIES (24.5%)
48,000 AES Corp. (The)*....................................................................... $ 2,190,000
44,000 Allegheny Energy, Inc.................................................................. 1,204,500
26,000 Alliant Energy, Inc.................................................................... 676,000
15,000 Ameren Corp............................................................................ 506,250
5,000 Avista Corp............................................................................ 87,187
56,000 Calpine Corp.*......................................................................... 3,682,000
3,600 Capstone Turbine Corp.*................................................................ 162,675
38,500 Cinergy Corp........................................................................... 979,344
15,000 CLECO Corp............................................................................. 502,500
24,000 Consolidated Edison, Inc............................................................... 711,000
30,000 Constellation Energy Group, Inc........................................................ 976,875
28,081 CP&L, Inc.............................................................................. 896,837
26,000 Dominion Resources, Inc................................................................ 1,114,750
25,000 DPL, Inc............................................................................... 548,437
32,500 DQE, Inc............................................................................... 1,283,750
40,000 DTE Energy Co.......................................................................... 1,222,500
33,355 Duke Energy Corp....................................................................... 1,880,388
40,000 Edison International................................................................... 820,000
41,000 Energy East Corp....................................................................... 781,562
42,500 Entergy Corp........................................................................... 1,155,469
10,000 Florida Progress Corp.................................................................. 468,750
45,000 FPL Group, Inc......................................................................... 2,227,500
14,000 GPU, Inc............................................................................... 378,875
40,000 IPALCO Enterprises, Inc................................................................ 805,000
15,000 Kansas City Power & Light Co........................................................... 337,500
31,700 LG&E Energy Corp....................................................................... 756,837
20,000 Minnesota Power, Inc................................................................... 346,250
46,000 Montana Power Co....................................................................... 1,624,375
25,000 National Grid Group PLC (ADR) (United Kingdom)......................................... 1,003,125
11,000 New Century Energies, Inc.............................................................. 330,000
27,000 Niagara Mohawk Holdings Inc.*.......................................................... 376,312
24,000 NiSource Inc........................................................................... 447,000
30,000 Northeast Utilities.................................................................... 652,500
20,000 Northern States Power Co............................................................... 403,750
20,000 Northwestern Corp...................................................................... 462,500
45,000 NRG Energy, Inc.*...................................................................... 821,250
22,000 NSTAR.................................................................................. 895,125
24,000 OGE Energy Corp........................................................................ 444,000
30,500 PECO Energy Co......................................................................... 1,229,532
29,500 PG & E Corp............................................................................ 726,437
25,500 Pinnacle West Capital Corp............................................................. 863,812
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
25,000 PPL Corp............................................................................... $ 548,437
12,500 Public Service Company of New Mexico................................................... 192,969
39,000 Public Service Enterprise Group, Inc................................................... 1,350,375
20,000 Quanta Services, Inc.*................................................................. 1,100,000
80,000 Reliant Energy, Inc.................................................................... 2,365,000
31,000 SCANA Corp............................................................................. 747,875
42,040 Sierra Pacific Resources............................................................... 528,127
30,000 Southern Co............................................................................ 699,375
27,000 TECO Energy, Inc....................................................................... 541,687
22,000 TXU Corp............................................................................... 649,000
21,000 Unicom Corp............................................................................ 812,437
15,000 United Illuminating Co................................................................. 656,250
26,000 Wisconsin Energy Corp.................................................................. 515,125
------------
47,689,111
------------
ELECTRICAL PRODUCTS (1.0%)
15,000 Emerson Electric Co.................................................................... 905,625
20,000 General Electric Co.................................................................... 1,060,000
------------
1,965,625
------------
ENERGY (10.8%)
20,000 AGL Resources, Inc..................................................................... 318,750
10,000 BP Amoco PLC (ADR)..................................................................... 565,625
40,000 Columbia Energy Group.................................................................. 2,625,000
28,500 Dynegy, Inc. (Class A)................................................................. 1,946,906
28,622 El Paso Energy Corp.................................................................... 1,457,933
40,824 Enron Corp............................................................................. 2,633,148
15,000 Exxon Mobil Corp....................................................................... 1,177,500
51,600 KeySpan Corp........................................................................... 1,586,700
40,000 Kinder Morgan, Inc..................................................................... 1,382,500
29,000 MCN Energy Group Inc................................................................... 619,875
35,000 MDU Resources Group, Inc............................................................... 756,875
26,000 New Jersey Resources Corp.............................................................. 989,625
20,000 Nicor Inc.............................................................................. 652,500
13,750 Northwest Natural Gas Co............................................................... 306,797
29,000 Questar Corp........................................................................... 561,875
12,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 738,750
10,000 South Jersey Industries, Inc........................................................... 260,000
55,000 UtiliCorp United, Inc.................................................................. 1,093,125
16,000 Vectren Corp........................................................................... 276,000
22,000 Washington Gas Light Co................................................................ 529,375
15,000 Williams Companies, Inc................................................................ 625,312
------------
21,104,171
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
37
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (55.1%)
20,000 ADC Telecommunications, Inc.*.......................................................... $ 1,676,250
20,000 Advanced Fibre Communications, Inc.*................................................... 905,000
19,000 Alcatel Alsthom (ADR) (France)......................................................... 1,263,500
19,160 ALLTEL Corp............................................................................ 1,186,723
40,000 Amdocs Ltd.*........................................................................... 3,070,000
25,000 American Tower Corp. (Class A)*........................................................ 1,042,187
25,000 Antec Corp.*........................................................................... 1,037,500
38,000 AT&T Canada, Inc. (Class B)*........................................................... 1,256,375
35,462 AT&T Corp.............................................................................. 1,121,486
15,000 BCE, Inc. (Canada)..................................................................... 357,187
14,144 Bell Atlantic Corp.*................................................................... 718,692
20,000 BellSouth Corp......................................................................... 852,500
34,000 BroadWing Inc.*........................................................................ 881,875
20,625 CenturyTel, Inc........................................................................ 592,969
11,000 China Telecom (Hong Kong) Ltd. (ADR)*.................................................. 1,955,937
18,800 China Unicom Ltd. (ADR) (Hong Kong)*................................................... 399,500
40,000 Cisco Systems, Inc.*................................................................... 2,542,500
10,000 COLT Telecom Group PLC (ADR) (United Kingdom)*......................................... 1,339,375
15,000 Comcast Corp. (Class A Special)*....................................................... 608,437
20,000 Commonwealth Telephone Enterprises, Inc.*.............................................. 936,250
10,000 Corning Inc............................................................................ 2,698,750
35,000 Crown Castle International Corp.*...................................................... 1,275,312
12,000 Deutsche Telekom AG (ADR) (Germany).................................................... 681,000
11,500 Dobson Communications Corp. (Class A)*................................................. 221,375
33,750 Dycom Industries, Inc.*................................................................ 1,552,500
20,000 EchoStar Communications Corp. (Class A)*............................................... 662,500
7,200 France Telecom S.A. (ADR) (France)..................................................... 1,026,000
10,000 General Motors Corp. (Class H) (Hughes Electronics)*................................... 877,500
78,005 Global Crossing Ltd. (Bermuda)*........................................................ 2,052,507
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
47,000 Global Telesystems Group, Inc.*........................................................ $ 566,938
12,500 GTE Corp............................................................................... 778,125
60,000 Hellenic Telecommunication Organization S.A. (OTE) (ADR) (Greece)...................... 731,250
14,000 ICG Communications, Inc.*.............................................................. 309,750
50,200 Infonet Services Corp. (Class B)*...................................................... 599,263
40,000 Intermedia Communications Inc.*........................................................ 1,185,000
10,000 International Business Machines Corp................................................... 1,095,625
25,000 ITC DeltaCom, Inc.*.................................................................... 556,250
10,000 JDS Uniphase Corp.*.................................................................... 1,198,125
45,000 Koninklijke (Royal) Philips Electronics NV (Netherlands)............................... 2,137,500
20,000 KPNQwest N.V. (Registered Shares) (Netherlands)*....................................... 792,500
25,000 Level 3 Communications, Inc.*.......................................................... 2,198,438
14,584 Lucent Technologies Inc................................................................ 864,102
10,000 Magyar Tavkozlesi RT (MATAV) (ADR) (Hungary)........................................... 344,375
105,000 McLeodUSA, Inc. (Class A)*............................................................. 2,172,188
14,000 MediaOne Group, Inc.*.................................................................. 928,393
50,000 Metromedia Fiber Network, Inc. (Class A)*.............................................. 1,984,375
30,000 MGC Communication, Inc.*............................................................... 1,798,125
10,000 Microsoft Corp.*....................................................................... 799,375
30,000 Molex Inc.............................................................................. 1,445,625
49,875 Motorola, Inc.......................................................................... 1,449,492
25,000 Net2000 Communications, Inc.*.......................................................... 409,375
10,000 Net2Phone, Inc.*....................................................................... 356,250
25,000 Nextel Communications, Inc. (Class A)*................................................. 1,529,688
52,000 NEXTLINK Communications, Inc. (Class A)*............................................... 1,972,750
13,000 Nippon Telegraph & Telephone Corp. (ADR) (Japan)....................................... 888,875
40,000 Nokia Oyj (ADR) (Finland).............................................................. 1,997,500
45,555 Nortel Networks Corp. (Canada)......................................................... 3,109,129
18,000 NorthEast Optic Network, Inc.*......................................................... 1,120,500
20,000 Pegasus Communications Corp.*.......................................................... 978,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
38
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
10,000 Pinnacle Holdings Inc.*................................................................ $ 540,000
70,000 Portugal Telecom S.A. (ADR) (Portugal)................................................. 787,500
15,000 Primus Telecommunications Group, Inc.*................................................. 373,125
15,000 PSINet, Inc.*.......................................................................... 375,938
45,650 Qwest Communications International, Inc.*.............................................. 2,268,234
26,000 RCN Corp.*............................................................................. 658,125
25,000 Rhythms NetConnections Inc.*........................................................... 314,063
16,000 Royal PTT Nederland NV (ADR) (KPN) (Netherlands)....................................... 719,000
60,000 SBA Communications Corp.*.............................................................. 3,116,250
29,272 SBC Communications, Inc................................................................ 1,266,014
30,000 Scientific - Atlanta, Inc.............................................................. 2,235,000
10,000 Sonera Corp. (ADR) (Finland)........................................................... 459,375
14,000 Sprint Corp. (FON Group)............................................................... 714,000
21,000 Sprint Corp. (PCS Group)*.............................................................. 1,249,500
12,000 Sun Microsystems, Inc.*................................................................ 1,091,250
20,000 Tele Danmark AS (ADR) (Denmark)........................................................ 680,000
9,800 TeleCorp PCS, Inc.*.................................................................... 395,063
15,918 Telefonica Espana S.A. (ADR) (Spain)*.................................................. 1,019,747
15,000 Teleglobe Inc.......................................................................... 315,938
13,000 Telephone & Data Systems, Inc.......................................................... 1,303,250
15,000 Teligent, Inc. (Class A)*.............................................................. 353,438
25,000 Tellabs, Inc.*......................................................................... 1,710,938
20,000 Telstra Corp. Ltd. (ADR) (Australia)................................................... 413,750
40,000 Time Warner Telecom Inc. (Class A)*.................................................... 2,580,000
50,000 Tyco International Ltd. (Bermuda)...................................................... 2,368,750
5,327 U.S. West, Inc......................................................................... 456,790
7,000 United States Cellular Corp.*.......................................................... 441,000
10,000 Viacom, Inc. (Class A)*................................................................ 683,750
25,000 Vodafone Group PLC (ADR) (United Kingdom).............................................. 1,035,938
19,000 Voicestream Wireless Corp.*............................................................ 2,209,938
20,000 Western Wireless Corp. (Class A)*...................................................... 1,088,750
20,000 Williams Communications Group, Inc.*................................................... 663,750
36,000 WinStar Communications, Inc.*.......................................................... 1,219,500
28,290 WorldCom, Inc.*........................................................................ 1,297,804
------------
107,494,786
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
WATER SUPPLY (0.5%)
11,000 E'Town Corp............................................................................ $ 730,813
16,000 Philadelphia Suburban Corp............................................................. 328,000
------------
1,058,813
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $125,396,509)......................................................... 179,312,506
------------
PREFERRED STOCKS (0.1%)
ELECTRIC UTILITIES (0.1%)
6,000 Alabama Power Capital Trust I (Series Q) $1.84......................................... 129,000
1,000 Duquesne Capital LP (Series A) $2.094.................................................. 23,625
2,500 Public Service Electric & Gas Capital (Series B) $2.00................................. 57,969
1,000 Tennessee Valley Authority (Series 95-A) $2.00......................................... 24,625
5,000 Virginia Power Capital $2.013.......................................................... 115,937
------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $388,687)............................................................. 351,156
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
-----------
<C> <S> <C>
CORPORATE BONDS (3.9%)
ELECTRIC UTILITIES (1.4%)
$ 1,000 DPL Inc. - 144A** 8.25% due 03/01/07......................................... 980,790
1,000 Edison Mission Energy FDG - 144A** 7.33% due 09/15/08........................ 944,290
249 Niagara Mohawk Power Corp. 8.77% due 01/01/18................................ 251,684
500 Salton Sea Funding Corp.
7.475% due 11/30/18........................................................ 478,035
------------
2,654,799
------------
ENERGY (1.5%)
1,000 CMS Panhandle Holding Co. 7.00% due 07/15/29................................. 879,870
1,000 EL Paso Energy Corp. 7.625% due 07/15/11..................................... 976,610
1,000 Tosco Corp. 8.125% due 02/15/30.............................................. 1,008,450
------------
2,864,930
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
39
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
--------------------------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (1.0%)
$ 1,000 BellSouth Capital Funding 7.75% due 02/15/10................................. $ 999,410
500 Electric Lightwave, Inc. - 144A** 6.05% due 05/15/04......................... 471,600
500 LCI International, Inc. 7.25% due 06/15/07................................... 482,155
------------
1,953,165
------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $7,717,254)................................................. 7,472,894
------------
</TABLE>
<TABLE>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (3.9%)
REPURCHASE AGREEMENT
$ 7,590 The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds $7,594,258) (a)
(IDENTIFIED COST $7,589,830)......................................................... $ 7,589,830
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $141,092,280)............................................................ 99.8% 194,726,386
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 0.2 340,293
----- -------------
NET ASSETS................................................................................ 100.0% $ 195,066,679
----- -------------
----- -------------
</TABLE>
---------------------
ADR American Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
(a) Collateralized by $7,687,139 Federal Home Loan Banks 6.75% due 05/01/02
valued at $7,741,765.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $61,794,523 and the
aggregate gross unrealized depreciation is $8,160,417, resulting in net
unrealized appreciation of $53,634,106.
SEE NOTES TO FINANCIAL STATEMENTS
40
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (98.2%)
AEROSPACE (2.6%)
228,000 Goodrich (B.F.) Co. (The).............................................................. $ 7,766,250
132,000 United Technologies Corp............................................................... 7,771,500
------------
15,537,750
------------
ALUMINUM (2.6%)
260,000 Alcan Aluminium, Ltd. (Canada)......................................................... 8,060,000
258,000 Alcoa, Inc............................................................................. 7,482,000
------------
15,542,000
------------
APPAREL (1.2%)
310,000 VF Corp................................................................................ 7,381,875
------------
AUTO PARTS: O.E.M. (4.9%)
340,000 Dana Corp.............................................................................. 7,203,750
490,000 Delphi Automotive Systems Corp......................................................... 7,135,625
140,000 Johnson Controls, Inc.................................................................. 7,183,750
170,000 TRW Inc................................................................................ 7,373,750
21,997 Visteon Corp.*......................................................................... 266,711
------------
29,163,586
------------
AUTOMOTIVE AFTERMARKET (1.1%)
335,000 Goodyear Tire & Rubber Co.............................................................. 6,700,000
------------
BEVERAGES - NON-ALCOHOLIC (2.7%)
132,000 Coca Cola Co........................................................................... 7,581,750
190,000 PepsiCo, Inc........................................................................... 8,443,125
------------
16,024,875
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.3%)
205,000 Caterpillar, Inc....................................................................... 6,944,375
187,000 Deere & Co............................................................................. 6,919,000
------------
13,863,375
------------
CONSUMER ELECTRONICS/APPLIANCES (1.1%)
145,000 Whirlpool Corp......................................................................... 6,760,625
------------
DEPARTMENT STORES (1.2%)
225,000 Sears, Roebuck & Co.................................................................... 7,340,625
------------
DISCOUNT CHAINS (1.4%)
140,000 Target Corp............................................................................ 8,120,000
------------
DIVERSIFIED FINANCIAL SERVICES (1.3%)
85,000 Providian Financial Corp............................................................... 7,650,000
------------
DIVERSIFIED MANUFACTURING (3.9%)
220,000 Honeywell International, Inc........................................................... 7,411,250
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
95,000 Minnesota Mining & Manufacturing Co.................................................... $ 7,837,500
165,000 Tyco International Ltd. (Bermuda)...................................................... 7,816,875
------------
23,065,625
------------
E.D.P. SERVICES (1.3%)
185,000 Electronic Data Systems Corp........................................................... 7,631,250
------------
ELECTRIC UTILITIES (6.3%)
173,000 Dominion Resources, Inc................................................................ 7,417,375
160,000 FPL Group, Inc......................................................................... 7,920,000
257,000 GPU, Inc............................................................................... 6,955,062
265,000 Reliant Energy, Inc.................................................................... 7,834,062
200,000 Unicom Corp............................................................................ 7,737,500
------------
37,863,999
------------
ELECTRONIC DATA PROCESSING (2.6%)
65,000 Hewlett-Packard Co..................................................................... 8,116,875
70,000 International Business Machines Corp................................................... 7,669,375
------------
15,786,250
------------
FINANCE COMPANIES (3.7%)
335,000 Associates First Capital Corp. (Class A)............................................... 7,474,687
130,000 Fannie Mae............................................................................. 6,784,375
188,000 Household International, Inc........................................................... 7,813,750
------------
22,072,812
------------
FOOD CHAINS (1.5%)
230,000 Albertson's, Inc....................................................................... 7,647,500
69,800 Winn-Dixie Stores, Inc................................................................. 999,012
------------
8,646,512
------------
FOOD DISTRIBUTORS (2.6%)
385,000 Supervalu, Inc......................................................................... 7,339,062
195,000 SYSCO Corp............................................................................. 8,214,375
------------
15,553,437
------------
FOREST PRODUCTS (1.2%)
165,000 Weyerhaeuser Co........................................................................ 7,095,000
------------
INTEGRATED OIL COMPANIES (3.9%)
142,000 BP Amoco PLC (ADR) (United Kingdom).................................................... 8,031,875
95,000 Exxon Mobil Corp....................................................................... 7,457,500
128,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 7,880,000
------------
23,369,375
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
41
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
LIFE INSURANCE (3.8%)
210,000 Aegon N.V. (ARS) (Netherlands)......................................................... $ 7,481,250
130,000 Jefferson-Pilot Corp................................................................... 7,336,875
215,000 Lincoln National Corp.................................................................. 7,766,875
------------
22,585,000
------------
MAJOR BANKS (3.4%)
155,000 Bank of America Corp................................................................... 6,665,000
385,000 KeyCorp................................................................................ 6,785,625
61,500 Morgan (J.P.) & Co., Inc............................................................... 6,772,687
------------
20,223,312
------------
MAJOR CHEMICALS (2.3%)
230,000 Dow Chemical Co........................................................................ 6,943,125
156,000 Du Pont (E.I.) de Nemours & Co., Inc................................................... 6,825,000
------------
13,768,125
------------
MAJOR PHARMACEUTICALS (5.3%)
135,000 American Home Products Corp............................................................ 7,931,250
138,000 Bristol-Myers Squibb Co................................................................ 8,038,500
143,000 Pharmacia Corp......................................................................... 7,391,312
165,000 Schering-Plough Corp................................................................... 8,332,500
------------
31,693,562
------------
MAJOR U.S. TELECOMMUNICATIONS (2.4%)
140,000 Bell Atlantic Corp..................................................................... 7,113,750
116,000 GTE Corp............................................................................... 7,221,000
------------
14,334,750
------------
MANAGED HEALTH CARE (1.3%)
117,000 Aetna Inc.............................................................................. 7,509,937
------------
MOTOR VEHICLES (3.6%)
147,000 DaimlerChrysler AG (Germany)........................................................... 7,653,188
168,000 Ford Motor Co.......................................................................... 7,224,000
117,000 General Motors Corp.................................................................... 6,793,313
------------
21,670,501
------------
MULTI-SECTOR COMPANIES (1.3%)
150,000 General Electric Co.................................................................... 7,950,000
------------
OFFICE EQUIPMENT/SUPPLIES (2.6%)
196,000 Pitney Bowes, Inc...................................................................... 7,840,000
380,000 Xerox Corp............................................................................. 7,885,000
------------
15,725,000
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OIL & GAS PRODUCTION (1.3%)
135,000 Kerr-McGee Corp........................................................................ $ 7,956,563
------------
OIL REFINING/MARKETING (2.5%)
255,000 Sunoco, Inc............................................................................ 7,506,563
290,000 USX-Marathon Group..................................................................... 7,268,125
------------
14,774,688
------------
OIL/GAS TRANSMISSION (2.5%)
155,000 El Paso Energy Corp.................................................................... 7,895,313
112,000 Enron Corp............................................................................. 7,224,000
------------
15,119,313
------------
OTHER METALS/MINERALS (1.2%)
190,000 Phelps Dodge Corp...................................................................... 7,065,625
------------
PACKAGE GOODS/COSMETICS (4.1%)
195,000 Avon Products, Inc..................................................................... 8,677,500
140,000 Kimberly-Clark Corp.................................................................... 8,032,500
132,000 Procter & Gamble Co.................................................................... 7,557,000
------------
24,267,000
------------
PACKAGED FOODS (1.3%)
105,000 Quaker Oats Company (The).............................................................. 7,888,125
------------
PAINTS/COATINGS (1.3%)
170,000 PPG Industries, Inc.................................................................... 7,533,125
------------
PAPER (2.4%)
240,000 International Paper Co................................................................. 7,155,000
285,000 Mead Corp.............................................................................. 7,196,250
------------
14,351,250
------------
PHOTOGRAPHIC PRODUCTS (1.3%)
130,000 Eastman Kodak Co....................................................................... 7,735,000
------------
RAILROADS (2.6%)
330,000 Burlington Northern Santa Fe Corp...................................................... 7,569,375
365,000 CSX Corp............................................................................... 7,733,438
------------
15,302,813
------------
RENTAL/LEASING COMPANIES (1.0%)
330,000 Ryder System, Inc...................................................................... 6,249,375
------------
SEMICONDUCTORS (1.3%)
58,500 Intel Corp............................................................................. 7,817,063
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $626,021,586)......................................................... 586,689,098
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
42
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (a) (1.6%)
U.S. GOVERNMENT AGENCY
$ 9,450 Federal Home Loan Banks 6.57% due 07/03/00 (AMORTIZED COST $9,446,551)............... $ 9,446,551
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $635,468,137) (B)........................................................ 99.8% 596,135,649
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 0.2 1,028,751
----- -------------
NET ASSETS................................................................................ 100.0% $ 597,164,400
----- -------------
----- -------------
</TABLE>
---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) 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 $45,986,519 and the
aggregate gross unrealized depreciation is $85,319,007, resulting in net
unrealized depreciation of $39,332,488.
SEE NOTES TO FINANCIAL STATEMENTS
43
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (96.6%)
ACCIDENT & HEALTH INSURANCE (0.5%)
7,500 AFLAC, Inc............................................................................. $ 344,531
21,100 UnumProvident Corp..................................................................... 423,319
------------
767,850
------------
ADVERTISING (0.6%)
8,000 Interpublic Group of Companies, Inc.................................................... 344,000
4,000 Omnicom Group, Inc..................................................................... 356,250
5,600 Young & Rubicam, Inc................................................................... 320,250
------------
1,020,500
------------
AEROSPACE (1.2%)
9,400 Boeing Co.............................................................................. 393,037
11,700 Goodrich (B.F.) Co. (The).............................................................. 398,531
16,800 Lockheed Martin Corp................................................................... 416,850
6,300 Northrop Grumman Corp.................................................................. 417,375
6,200 United Technologies Corp............................................................... 365,025
------------
1,990,818
------------
AIR FREIGHT/DELIVERY SERVICES (0.2%)
8,700 FedEx Corp.*........................................................................... 330,600
------------
AIRLINES (0.9%)
10,100 AMR Corp.*............................................................................. 267,019
6,800 Delta Air Lines, Inc................................................................... 343,825
19,950 Southwest Airlines Co.................................................................. 377,803
12,500 US Airways Group Inc.*................................................................. 487,500
------------
1,476,147
------------
ALCOHOLIC BEVERAGES (0.7%)
5,400 Anheuser-Busch Companies, Inc.......................................................... 403,312
5,900 Brown-Forman Corp. (Class B)........................................................... 317,125
7,100 Coors (Adolph) Co. (Class B)........................................................... 429,550
------------
1,149,987
------------
ALUMINUM (0.6%)
11,200 Alcan Aluminum Ltd. (Canada)........................................................... 347,200
23,296 Alcoa, Inc............................................................................. 675,584
------------
1,022,784
------------
APPAREL (0.6%)
8,600 Liz Claiborne, Inc..................................................................... 303,150
21,100 Russell Corp........................................................................... 422,000
12,000 VF Corp................................................................................ 285,750
------------
1,010,900
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
AUTO PARTS: O.E.M. (0.8%)
11,400 Dana Corp.............................................................................. $ 241,537
21,200 Delphi Automotive Systems Corp......................................................... 308,725
4,500 Eaton Corp............................................................................. 301,500
5,700 Johnson Controls, Inc.................................................................. 292,481
6,300 TRW Inc................................................................................ 273,262
1,821 Visteon Corp.*......................................................................... 22,080
------------
1,439,585
------------
AUTOMOTIVE AFTERMARKET (0.4%)
24,100 Cooper Tire & Rubber Co................................................................ 268,112
13,100 Genuine Parts Co....................................................................... 262,000
12,400 Goodyear Tire & Rubber Co.............................................................. 248,000
------------
778,112
------------
BEVERAGES - NON-ALCOHOLIC (0.6%)
6,600 Coca Cola Co........................................................................... 379,087
16,900 Coca-Cola Enterprises Inc.............................................................. 275,681
9,600 PepsiCo, Inc........................................................................... 426,600
------------
1,081,368
------------
BIOTECHNOLOGY (0.4%)
6,200 Amgen Inc.*............................................................................ 435,550
4,300 Biogen, Inc.*.......................................................................... 277,081
------------
712,631
------------
BOOKS/MAGAZINES (0.5%)
8,400 Harcourt General, Inc.................................................................. 456,750
11,300 Meredith Corp.......................................................................... 381,375
------------
838,125
------------
BROADCASTING (0.2%)
4,800 Clear Channel Communications, Inc.*.................................................... 360,000
------------
BUILDING MATERIALS (0.3%)
20,600 Owens Corning.......................................................................... 190,550
8,500 Vulcan Materials Co.................................................................... 362,844
------------
553,394
------------
BUILDING MATERIALS/D I Y CHAINS (0.3%)
6,300 Home Depot, Inc. (The)................................................................. 314,606
6,800 Lowe's Companies, Inc.................................................................. 279,225
------------
593,831
------------
BUILDING PRODUCTS (0.3%)
15,500 Armstrong Holdings, Inc................................................................ 237,344
14,500 Masco Corp............................................................................. 261,906
------------
499,250
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
44
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CABLE TELEVISION (0.4%)
7,500 Comcast Corp. (Class A Special)*....................................................... $ 304,219
4,900 MediaOne Group, Inc.*.................................................................. 324,937
------------
629,156
------------
CASINO/GAMBLING (0.2%)
16,200 Harrah's Entertainment, Inc.*.......................................................... 339,187
------------
CELLULAR TELEPHONE (0.4%)
5,200 Nextel Communications, Inc. (Class A)*................................................. 318,175
6,200 Sprint Corp. (PCS Group)*.............................................................. 368,900
------------
687,075
------------
CLOTHING/SHOE/ACCESSORY STORES (0.8%)
8,750 Gap, Inc. (The)........................................................................ 273,437
18,900 Limited (The), Inc..................................................................... 408,712
12,900 Nordstrom, Inc......................................................................... 311,212
16,900 TJX Companies, Inc..................................................................... 316,875
------------
1,310,236
------------
COAL MINING (0.0%)
2,387 Arch Coal, Inc......................................................................... 18,350
------------
COMPUTER COMMUNICATIONS (0.7%)
6,000 3Com Corp.*............................................................................ 345,375
6,400 Adaptec, Inc.*......................................................................... 145,600
12,700 Cabletron Systems, Inc.*............................................................... 320,675
5,100 Cisco Systems, Inc.*................................................................... 324,169
------------
1,135,819
------------
COMPUTER SOFTWARE (1.8%)
3,600 Adobe Systems, Inc..................................................................... 467,550
8,100 Autodesk, Inc.......................................................................... 280,969
7,400 BMC Software, Inc.*.................................................................... 269,637
5,000 Citrix Systems, Inc.*.................................................................. 94,687
6,200 Computer Associates International, Inc................................................. 317,362
12,200 Compuware Corp.*....................................................................... 125,812
3,500 Microsoft Corp.*....................................................................... 279,781
13,000 Novell, Inc.*.......................................................................... 120,250
4,700 Oracle Corp.*.......................................................................... 394,800
14,700 Parametric Technology Corp.*........................................................... 160,781
18,000 PeopleSoft, Inc.*...................................................................... 299,250
2,500 Veritas Software Corp.*................................................................ 282,500
------------
3,093,379
------------
COMPUTER/VIDEO CHAINS (0.6%)
5,400 Best Buy Co., Inc.*.................................................................... 341,550
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
7,900 Circuit City Stores, Inc.-Circuit City Group........................................... $ 262,181
8,200 RadioShack Corp........................................................................ 388,475
------------
992,206
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (0.9%)
7,700 Caterpillar, Inc....................................................................... 260,837
9,300 Cummins Engine Co., Inc................................................................ 253,425
10,100 Deere & Co............................................................................. 373,700
8,600 Navistar International Corp.*.......................................................... 267,137
8,000 PACCAR, Inc............................................................................ 317,500
------------
1,472,599
------------
CONSUMER ELECTRONICS/APPLIANCES (0.4%)
9,600 Maytag Corp............................................................................ 354,000
6,000 Whirlpool Corp......................................................................... 279,750
------------
633,750
------------
CONSUMER SUNDRIES (0.2%)
17,300 American Greetings Corp. (Class A)..................................................... 328,700
------------
CONTAINERS/PACKAGING (1.2%)
9,400 Ball Corp.............................................................................. 302,562
9,600 Bemis Company, Inc..................................................................... 322,800
18,900 Crown Cork & Seal Co., Inc............................................................. 283,500
17,100 Owens-Illinois, Inc.*.................................................................. 199,856
34,500 Pactiv Corp............................................................................ 271,687
6,900 Sealed Air Corp.*...................................................................... 361,387
6,200 Temple-Inland, Inc..................................................................... 260,400
------------
2,002,192
------------
CONTRACT DRILLING (0.4%)
13,600 Rowan Companies, Inc.*................................................................. 413,100
6,500 Transocean Sedco Forex Inc.*........................................................... 347,344
------------
760,444
------------
DEPARTMENT STORES (1.2%)
20,900 Dillard's, Inc. (Class A).............................................................. 256,025
8,000 Federated Department Stores, Inc.*..................................................... 270,000
8,800 Kohl's Corp.*.......................................................................... 489,500
10,800 May Department Stores Co............................................................... 259,200
20,600 Penney (J.C.) Co., Inc................................................................. 379,812
10,500 Sears, Roebuck & Co.................................................................... 342,562
------------
1,997,099
------------
DISCOUNT CHAINS (1.1%)
22,800 Consolidated Stores Corp.*............................................................. 273,600
8,400 Costco Wholesale Corp.*................................................................ 277,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
45
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
17,500 Dollar General Corp.................................................................... $ 341,250
39,600 Kmart Corp.*........................................................................... 269,775
5,800 Target Corp............................................................................ 336,400
6,300 Wal-Mart Stores, Inc................................................................... 363,037
------------
1,861,262
------------
DIVERSIFIED COMMERCIAL SERVICES (0.4%)
10,050 Paychex, Inc........................................................................... 422,100
7,800 Sabre Holdings Corp.*.................................................................. 222,300
------------
644,400
------------
DIVERSIFIED ELECTRONIC PRODUCTS (0.2%)
8,300 Rockwell International Corp............................................................ 261,450
------------
DIVERSIFIED FINANCIAL SERVICES (0.8%)
7,700 American Express Co.................................................................... 401,362
6,550 Citigroup, Inc......................................................................... 394,637
22,100 Conseco, Inc........................................................................... 215,475
4,100 Providian Financial Corp............................................................... 369,000
------------
1,380,474
------------
DIVERSIFIED MANUFACTURING (1.4%)
7,000 Danaher Corp........................................................................... 346,062
9,200 Dover Corp............................................................................. 373,175
8,300 Honeywell International, Inc........................................................... 279,606
10,100 ITT Industries, Inc.................................................................... 306,787
4,300 Minnesota Mining & Manufacturing Co.................................................... 354,750
19,000 Thermo Electron Corp.*................................................................. 400,187
8,000 Tyco International Ltd. (Bermuda)...................................................... 379,000
------------
2,439,567
------------
DRUGSTORE CHAINS (0.8%)
10,100 CVS Corp............................................................................... 404,000
15,000 Longs Drug Stores Corp................................................................. 326,250
26,500 Rite Aid Corp.......................................................................... 173,906
13,200 Walgreen Co............................................................................ 424,875
------------
1,329,031
------------
E.D.P. PERIPHERALS (0.8%)
5,600 EMC Corp.*............................................................................. 430,850
4,000 Lexmark International Group, Inc. (Class A)*........................................... 269,000
4,200 Network Appliance, Inc.*............................................................... 337,837
5,600 Seagate Technology, Inc.*.............................................................. 308,000
------------
1,345,687
------------
E.D.P. SERVICES (1.1%)
8,100 Automatic Data Processing, Inc......................................................... 433,856
15,700 Ceridian Corp.*........................................................................ 377,781
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
4,800 Computer Sciences Corp.*............................................................... $ 358,500
7,000 Electronic Data Systems Corp........................................................... 288,750
8,300 First Data Corp........................................................................ 411,887
------------
1,870,774
------------
ELECTRIC UTILITIES (6.0%)
9,100 AES Corp. (The)*....................................................................... 415,187
9,700 Ameren Corp............................................................................ 327,375
20,080 American Electric Power Co., Inc....................................................... 594,870
14,300 Cinergy Corp........................................................................... 363,756
15,800 CMS Energy Corp........................................................................ 349,575
10,300 Consolidated Edison, Inc............................................................... 305,137
12,000 Constellation Energy Group, Inc........................................................ 390,750
10,300 CP&L, Inc.............................................................................. 328,956
8,000 Dominion Resources, Inc................................................................ 343,000
9,900 DTE Energy Co.......................................................................... 302,569
6,300 Duke Energy Corp....................................................................... 355,162
18,400 Edison International................................................................... 377,200
15,000 Entergy Corp........................................................................... 407,812
14,900 FirstEnergy Corp....................................................................... 348,287
8,000 Florida Progress Corp.................................................................. 375,000
7,500 FPL Group, Inc......................................................................... 371,250
9,700 GPU, Inc............................................................................... 262,506
10,400 New Century Energies, Inc.............................................................. 312,000
23,400 Niagara Mohawk Holdings Inc.*.......................................................... 326,137
15,800 Northern States Power Co............................................................... 318,962
9,100 PECO Energy Co......................................................................... 366,844
15,300 PG & E Corp............................................................................ 376,762
11,200 Pinnacle West Capital Corp............................................................. 379,400
14,300 PPL Corp............................................................................... 313,706
10,700 Public Service Enterprise Group, Inc................................................... 370,487
13,500 Reliant Energy, Inc.................................................................... 399,094
13,600 Southern Co............................................................................ 317,050
9,900 TXU Corp............................................................................... 292,050
9,900 Unicom Corp............................................................................ 383,006
------------
10,373,890
------------
ELECTRICAL PRODUCTS (0.8%)
8,800 Cooper Industries, Inc................................................................. 286,550
6,400 Emerson Electric Co.................................................................... 386,400
3,900 Energizer Holdings, Inc................................................................ 71,175
7,000 Molex Inc.............................................................................. 337,312
13,800 Thomas & Betts Corp.................................................................... 263,925
------------
1,345,362
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
46
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC COMPONENTS (0.5%)
11,600 Andrew Corp.*.......................................................................... $ 389,325
9,400 Solectron Corp.*....................................................................... 393,625
------------
782,950
------------
ELECTRONIC DATA PROCESSING (1.6%)
5,600 Apple Computer, Inc.*.................................................................. 292,950
12,400 COMPAQ Computer Corp................................................................... 316,975
7,300 Dell Computer Corp.*................................................................... 359,981
5,700 Gateway, Inc........................................................................... 323,475
2,800 Hewlett-Packard Co..................................................................... 349,650
3,300 International Business Machines Corp................................................... 361,556
7,200 NCR Corp.*............................................................................. 280,350
3,900 Sun Microsystems, Inc.*................................................................ 354,656
10,700 Unisys Corp.*.......................................................................... 155,819
------------
2,795,412
------------
ELECTRONIC PRODUCTION EQUIPMENT (0.6%)
4,100 Applied Materials, Inc.*............................................................... 371,562
6,200 KLA-Tencor Corp.*...................................................................... 363,087
4,500 Teradyne, Inc.*........................................................................ 330,750
------------
1,065,399
------------
ENGINEERING & CONSTRUCTION (0.2%)
10,100 Fluor Corp............................................................................. 319,412
------------
ENVIRONMENTAL SERVICES (0.5%)
44,900 Allied Waste Industries, Inc.*......................................................... 449,000
21,200 Waste Management, Inc.................................................................. 402,800
------------
851,800
------------
FARMING/SEEDS/MILLING (0.2%)
29,200 Archer-Daniels-Midland Co.............................................................. 286,525
------------
FINANCE COMPANIES (1.6%)
15,300 Associates First Capital Corp. (Class A)............................................... 341,381
8,100 Capital One Financial Corp............................................................. 361,462
12,500 Countrywide Credit Industries, Inc..................................................... 378,906
5,100 Fannie Mae............................................................................. 266,156
6,700 Freddie Mac............................................................................ 271,350
8,800 Household International, Inc........................................................... 365,750
14,100 MBNA Corp.............................................................................. 382,462
8,600 SLM Holding Corp....................................................................... 321,962
------------
2,689,429
------------
FINANCIAL PUBLISHING/SERVICES (0.6%)
10,900 Dun & Bradstreet Corp.................................................................. 312,012
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
14,100 Equifax, Inc........................................................................... $ 370,125
6,900 McGraw-Hill Companies, Inc............................................................. 372,600
------------
1,054,737
------------
FLUID CONTROLS (0.2%)
9,100 Parker-Hannifin Corp................................................................... 311,675
------------
FOOD CHAINS (1.0%)
10,500 Albertson's, Inc....................................................................... 349,125
16,800 Great Atlantic & Pacific Tea Co., Inc.................................................. 279,300
18,900 Kroger Co.*............................................................................ 416,981
9,600 Safeway Inc.*.......................................................................... 433,200
19,000 Winn-Dixie Stores, Inc................................................................. 271,937
------------
1,750,543
------------
FOOD DISTRIBUTORS (0.5%)
18,400 Supervalu, Inc......................................................................... 350,750
11,200 SYSCO Corp............................................................................. 471,800
------------
822,550
------------
FOREST PRODUCTS (0.5%)
9,900 Georgia-Pacific Corp................................................................... 259,875
24,800 Louisiana-Pacific Corp................................................................. 269,700
6,200 Weyerhaeuser Co........................................................................ 266,600
------------
796,175
------------
GENERIC DRUGS (0.3%)
8,600 Watson Pharmaceuticals, Inc.*.......................................................... 462,250
------------
HOME BUILDING (0.6%)
13,700 Centex Corp............................................................................ 321,950
17,000 Kaufman & Broad Home Corp.............................................................. 336,812
15,000 Pulte Corp............................................................................. 324,375
------------
983,137
------------
HOME FURNISHINGS (0.6%)
17,200 Leggett & Platt, Inc................................................................... 283,800
12,500 Newell Rubbermaid, Inc................................................................. 321,875
20,500 Tupperware Corp........................................................................ 451,000
------------
1,056,675
------------
HOSPITAL/NURSING MANAGEMENT (0.6%)
14,800 HCA-The Healthcare Corp................................................................ 449,550
22,000 Manor Care, Inc........................................................................ 154,000
18,400 Tenet Healthcare Corp.*................................................................ 496,800
------------
1,100,350
------------
HOTELS/RESORTS (0.6%)
14,400 Carnival Corp.......................................................................... 280,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
47
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
39,600 Hilton Hotels Corp..................................................................... $ 371,250
10,500 Marriott International, Inc. (Class A)................................................. 378,656
------------
1,030,706
------------
INDUSTRIAL MACHINERY/COMPONENTS (0.3%)
5,000 Illinois Tool Works Inc................................................................ 285,000
7,400 Ingersoll-Rand Co...................................................................... 297,850
------------
582,850
------------
INDUSTRIAL SPECIALTIES (0.7%)
10,300 Ecolab, Inc............................................................................ 402,344
6,900 Millipore Corp......................................................................... 520,088
17,300 Pall Corp.............................................................................. 320,050
------------
1,242,482
------------
INSURANCE BROKERS/SERVICES (0.4%)
10,500 AON Corp............................................................................... 326,156
3,800 Marsh & McLennan Companies, Inc........................................................ 396,863
------------
723,019
------------
INTEGRATED OIL COMPANIES (1.7%)
6,200 Amerada Hess Corp...................................................................... 382,850
3,800 Chevron Corp........................................................................... 322,288
14,200 Conoco, Inc. (Class B)................................................................. 348,788
5,100 Exxon Mobil Corp....................................................................... 400,350
7,000 Phillips Petroleum Co.................................................................. 354,813
6,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 369,375
6,000 Texaco, Inc............................................................................ 319,500
11,000 Unocal Corp............................................................................ 364,375
------------
2,862,339
------------
INTERNET SERVICES (0.4%)
5,300 America Online, Inc.*.................................................................. 279,575
2,700 Yahoo! Inc.*........................................................................... 334,463
------------
614,038
------------
INVESTMENT BANKERS/BROKERS/SERVICES (1.3%)
8,820 Bear Stearns Companies, Inc............................................................ 367,133
4,100 Lehman Brothers Holdings, Inc.......................................................... 387,706
3,700 Merrill Lynch & Co., Inc............................................................... 425,500
4,600 Morgan Stanley Dean Witter & Co. (Note 3).............................................. 382,950
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
8,700 Paine Webber Group, Inc................................................................ $ 395,850
10,200 Schwab (Charles) Corp.................................................................. 342,975
------------
2,302,114
------------
INVESTMENT MANAGERS (0.4%)
10,500 Franklin Resources, Inc................................................................ 318,938
8,800 Price (T.) Rowe Associates, Inc........................................................ 374,000
------------
692,938
------------
LIFE INSURANCE (0.7%)
5,300 American General Corp.................................................................. 323,300
5,100 Jefferson-Pilot Corp................................................................... 287,831
9,800 Lincoln National Corp.................................................................. 354,025
12,800 Torchmark Corp......................................................................... 316,000
------------
1,281,156
------------
MAJOR BANKS (3.7%)
6,400 Bank of America Corp................................................................... 275,200
10,000 Bank of New York Co., Inc.............................................................. 465,000
10,600 Bank One Corp.......................................................................... 281,563
11,500 BB&T Corp.............................................................................. 274,563
6,450 Chase Manhattan Corp. (The)............................................................ 297,103
7,000 Comerica, Inc.......................................................................... 314,125
10,300 First Union Corp....................................................................... 255,569
11,200 FleetBoston Financial Corp............................................................. 380,800
16,600 Huntington Bancshares, Inc............................................................. 262,488
16,000 KeyCorp................................................................................ 282,000
9,600 Mellon Financial Corp.................................................................. 349,800
2,900 Morgan (J.P.) & Co., Inc............................................................... 319,363
15,400 National City Corp..................................................................... 262,763
7,200 PNC Bank Corp.......................................................................... 337,500
12,100 SouthTrust Corp........................................................................ 273,763
3,900 State Street Corp...................................................................... 413,644
11,500 Summit Bancorp......................................................................... 283,188
5,600 SunTrust Banks, Inc.................................................................... 255,850
14,300 U.S. Bancorp........................................................................... 275,275
4,600 Wachovia Corp.......................................................................... 249,550
9,900 Wells Fargo & Co....................................................................... 383,625
------------
6,492,732
------------
MAJOR CHEMICALS (1.1%)
10,200 Dow Chemical Co. (The)................................................................. 307,913
6,000 DuPont (E.I.) de Nemours & Co., Inc.................................................... 262,500
7,900 Eastman Chemical Co.................................................................... 377,225
20,100 Hercules Inc........................................................................... 282,656
9,700 Rohm & Haas Co......................................................................... 334,650
6,900 Union Carbide Corp..................................................................... 341,550
------------
1,906,494
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
48
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MAJOR PHARMACEUTICALS (2.5%)
9,000 Abbott Laboratories.................................................................... $ 401,063
7,000 American Home Products Corp............................................................ 411,250
5,800 Bristol-Myers Squibb Co................................................................ 337,850
4,300 Johnson & Johnson...................................................................... 438,063
4,900 Lilly (Eli) & Co....................................................................... 489,388
4,900 Merck & Co., Inc....................................................................... 375,463
20,400 Pfizer Inc............................................................................. 979,200
7,792 Pharmacia Corp......................................................................... 402,749
8,600 Schering-Plough Corp................................................................... 434,300
------------
4,269,326
------------
MAJOR U.S. TELECOMMUNICATIONS (1.7%)
4,900 ALLTEL Corp............................................................................ 303,494
8,350 AT&T Corp.............................................................................. 264,069
6,100 Bell Atlantic Corp..................................................................... 309,956
8,000 BellSouth Corp......................................................................... 341,000
5,300 GTE Corp............................................................................... 329,925
8,300 SBC Communications, Inc................................................................ 358,975
6,200 Sprint Corp. (FON Group)............................................................... 316,200
4,800 U.S. West, Inc......................................................................... 411,600
7,000 WorldCom, Inc.*........................................................................ 321,125
------------
2,956,344
------------
MANAGED HEALTH CARE (0.8%)
6,200 Aetna, Inc............................................................................. 397,963
43,100 Humana, Inc.*.......................................................................... 210,113
5,200 UnitedHealth Group Inc................................................................. 445,900
5,400 Wellpoint Health Networks, Inc.*....................................................... 391,163
------------
1,445,139
------------
MEAT/POULTRY/FISH (0.2%)
18,700 ConAgra, Inc........................................................................... 356,469
------------
MEDIA CONGLOMERATES (0.6%)
9,700 Disney (Walt) Co. (The)................................................................ 376,481
3,900 Time Warner Inc........................................................................ 296,400
6,295 Viacom, Inc. (Class B)*................................................................ 429,240
------------
1,102,121
------------
MEDICAL EQUIPMENT & SUPPLIES (0.2%)
7,100 Medtronic, Inc......................................................................... 353,669
------------
MEDICAL SPECIALTIES (2.7%)
9,800 ALZA Corp. (Class A)*.................................................................. 579,425
7,400 Bard (C.R.), Inc....................................................................... 356,125
5,900 Bausch & Lomb, Inc..................................................................... 456,513
5,800 Baxter International, Inc.............................................................. 407,813
12,700 Becton, Dickinson & Co................................................................. 364,331
11,300 Biomet, Inc............................................................................ 434,344
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
15,600 Boston Scientific Corp.*............................................................... $ 342,225
1,160 Edwards Lifesciences Corp.*............................................................ 21,460
5,400 Guidant Corp........................................................................... 267,300
11,900 Mallinckrodt, Inc...................................................................... 516,906
6,400 PE Corporation-PE Biosystems Group..................................................... 421,600
12,600 St. Jude Medical, Inc.*................................................................ 578,025
------------
4,746,067
------------
MEDICAL/DENTAL DISTRIBUTORS (0.4%)
6,000 Cardinal Health, Inc................................................................... 444,000
15,100 McKesson HBOC, Inc..................................................................... 316,156
------------
760,156
------------
MEDICAL/NURSING SERVICES (0.2%)
48,800 Healthsouth Corp.*..................................................................... 350,750
------------
METALS FABRICATIONS (0.2%)
19,500 Timken Co. (The)....................................................................... 363,188
------------
MID - SIZED BANKS (1.5%)
19,600 AmSouth Bancorporation................................................................. 308,700
5,362 Fifth Third Bancorp.................................................................... 339,147
17,200 Firstar Corp........................................................................... 362,275
6,100 Northern Trust Corp.................................................................... 396,500
10,185 Old Kent Financial Corp................................................................ 272,449
13,600 Regions Financial Corp................................................................. 269,450
17,800 Synovus Financial Corp................................................................. 313,725
10,000 Union Planters Corp.................................................................... 279,375
------------
2,541,621
------------
MILITARY/GOV'T/TECHNICAL (0.6%)
6,400 General Dynamics Corp.................................................................. 334,400
6,000 PerkinElmer, Inc....................................................................... 396,750
16,100 Raytheon Co. (Class B)................................................................. 309,925
------------
1,041,075
------------
MOTOR VEHICLES (0.5%)
6,500 Ford Motor Co.......................................................................... 279,500
4,900 General Motors Corp.................................................................... 284,506
7,400 Harley-Davidson, Inc................................................................... 284,900
------------
848,906
------------
MOVIES/ENTERTAINMENT (0.2%)
6,400 Seagram Co. Ltd. (Canada).............................................................. 371,200
------------
MULTI-LINE INSURANCE (1.1%)
13,800 Allstate Corp.......................................................................... 307,050
3,500 American International Group, Inc...................................................... 411,250
4,500 CIGNA Corp............................................................................. 420,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
49
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
7,500 Hartford Financial Services Group Inc.................................................. $ 419,531
13,600 Safeco Corp............................................................................ 270,300
------------
1,828,881
------------
MULTI-SECTOR COMPANIES (1.2%)
17,600 Crane Co............................................................................... 427,900
12,000 Fortune Brands, Inc.................................................................... 276,750
8,100 General Electric Co.................................................................... 429,300
40,900 McDermott International, Inc........................................................... 360,431
14,200 National Service Industries, Inc....................................................... 276,900
5,200 Textron, Inc........................................................................... 282,425
------------
2,053,706
------------
NATURAL GAS (1.0%)
6,800 Eastern Enterprises.................................................................... 428,400
9,800 Nicor Inc.............................................................................. 319,725
12,300 ONEOK, Inc............................................................................. 319,031
10,900 Peoples Energy Corp.................................................................... 352,888
17,400 Sempra Energy.......................................................................... 295,800
------------
1,715,844
------------
NEWSPAPERS (1.0%)
5,700 Dow Jones & Co., Inc................................................................... 417,525
4,800 Gannett Co., Inc....................................................................... 287,100
6,100 Knight-Ridder, Inc..................................................................... 324,444
8,900 New York Times Co. (The) (Class A)..................................................... 351,550
8,000 Tribune Co............................................................................. 280,000
------------
1,660,619
------------
OFFICE EQUIPMENT/SUPPLIES (0.6%)
6,100 Avery Dennison Corp.................................................................... 409,463
7,100 Pitney Bowes, Inc...................................................................... 284,000
14,500 Xerox Corp............................................................................. 300,875
------------
994,338
------------
OIL & GAS PRODUCTION (1.5%)
8,400 Anardarko Petroleum Corp............................................................... 414,225
7,300 Apache Corp............................................................................ 429,331
10,100 Burlington Resources, Inc.............................................................. 386,325
7,100 Kerr-McGee Corp........................................................................ 418,456
17,800 Occidental Petroleum Corp.............................................................. 374,913
26,400 Union Pacific Resources Group, Inc..................................................... 580,800
------------
2,604,050
------------
OIL REFINING/MARKETING (0.8%)
9,700 Ashland, Inc........................................................................... 340,106
13,400 Sunoco, Inc............................................................................ 394,463
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
12,500 Tosco Corp............................................................................. $ 353,906
12,900 USX-Marathon Group..................................................................... 323,306
------------
1,411,781
------------
OIL/GAS TRANSMISSION (1.1%)
7,200 Coastal Corp........................................................................... 438,300
5,900 Columbia Energy Group.................................................................. 387,188
8,600 El Paso Energy Corp.................................................................... 438,063
5,400 Enron Corp............................................................................. 348,300
9,000 Williams Companies, Inc................................................................ 375,188
------------
1,987,039
------------
OILFIELD SERVICES/EQUIPMENT (0.8%)
14,600 Baker Hughes Inc....................................................................... 467,200
9,700 Halliburton Co......................................................................... 457,719
5,100 Schlumberger, Ltd...................................................................... 380,588
------------
1,305,507
------------
OTHER CONSUMER SERVICES (0.3%)
8,500 Block (H.&R.), Inc..................................................................... 275,188
17,100 Cendant Corp.*......................................................................... 239,400
------------
514,588
------------
OTHER METALS/MINERALS (0.5%)
16,600 Allegheny Technologies Inc............................................................. 298,800
18,200 Inco Ltd. (Canada)*.................................................................... 279,825
7,400 Phelps Dodge Corp...................................................................... 275,188
------------
853,813
------------
OTHER PHARMACEUTICALS (0.3%)
7,400 Allergan, Inc.......................................................................... 551,300
------------
OTHER SPECIALTY STORES (1.0%)
12,000 AutoZone, Inc.*........................................................................ 264,000
10,000 Bed Bath & Beyond Inc.*................................................................ 361,875
31,300 Office Depot, Inc.*.................................................................... 195,625
47,000 Pep Boys-Manny Moe & Jack.............................................................. 282,000
18,200 Staples, Inc.*......................................................................... 279,825
23,300 Toys 'R' Us, Inc.*..................................................................... 339,306
------------
1,722,631
------------
OTHER TELECOMMUNICATIONS (0.3%)
8,700 CenturyTel, Inc........................................................................ 250,125
10,600 Global Crossing Ltd. (Bermuda)*........................................................ 278,913
------------
529,038
------------
PACKAGE GOODS/COSMETICS (1.7%)
13,000 Alberto-Culver Co. (Class B)........................................................... 397,313
11,900 Avon Products, Inc..................................................................... 529,550
9,100 Clorox Co.............................................................................. 407,794
6,700 Colgate-Palmolive Co................................................................... 401,163
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
50
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
9,100 Gillette Co............................................................................ $ 317,931
9,300 International Flavors & Fragrances, Inc................................................ 280,744
6,300 Kimberly-Clark Corp.................................................................... 361,463
5,400 Procter & Gamble Co.................................................................... 309,150
------------
3,005,108
------------
PACKAGED FOODS (2.4%)
7,100 Bestfoods.............................................................................. 491,675
10,300 Campbell Soup Co....................................................................... 299,988
9,500 General Mills, Inc..................................................................... 363,375
9,300 Heinz (H.J.) Co........................................................................ 406,875
12,400 Kellogg Co............................................................................. 368,900
30,700 Nabisco Group Holdings................................................................. 796,281
5,500 Quaker Oats Company (The).............................................................. 413,188
13,400 Ralston-Ralston Purina Group........................................................... 267,163
17,000 Sara Lee Corp.......................................................................... 328,313
6,500 Unilever N.V. (Netherlands)............................................................ 279,500
------------
4,015,258
------------
PAINTS/COATINGS (0.4%)
6,200 PPG Industries, Inc.................................................................... 274,738
16,500 Sherwin-Williams Co.................................................................... 349,594
------------
624,332
------------
PAPER (1.3%)
10,000 Boise Cascade Corp..................................................................... 258,750
13,700 Fort James Corp........................................................................ 316,813
12,822 International Paper Co................................................................. 382,251
10,300 Mead Corp.............................................................................. 260,051
9,300 Potlatch Corp.......................................................................... 308,063
13,300 Westavaco Corp......................................................................... 330,006
9,200 Willamette Industries, Inc............................................................. 250,700
------------
2,106,634
------------
PHOTOGRAPHIC PRODUCTS (0.4%)
5,400 Eastman Kodak Co....................................................................... 321,300
17,100 Polaroid Corp.......................................................................... 308,869
------------
630,169
------------
PRECIOUS METALS (1.0%)
18,900 Barrick Gold Corp. (Canada)............................................................ 343,744
28,800 Freeport-McMoRan Copper & Gold, Inc. (Class B)......................................... 266,400
48,400 Homestake Mining Co.................................................................... 332,750
17,400 Newmont Mining Corp.................................................................... 376,275
35,800 Placer Dome Inc. (Canada).............................................................. 342,338
------------
1,661,507
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PRECISION INSTRUMENTS (0.4%)
3,500 Agilent Technologies, Inc.*............................................................ $ 258,125
6,000 Tektronix, Inc......................................................................... 444,000
------------
702,125
------------
PRINTING/FORMS (0.4%)
11,900 Deluxe Corp............................................................................ 280,394
14,600 Donnelley (R.R.) & Sons Co............................................................. 329,413
------------
609,807
------------
PROPERTY - CASUALTY INSURERS (1.0%)
6,300 Chubb Corp............................................................................. 387,450
9,900 Cincinnati Financial Corp.............................................................. 311,231
6,400 Loews Corp............................................................................. 384,000
4,300 Progressive Corp....................................................................... 318,200
10,800 St. Paul Companies, Inc................................................................ 368,550
------------
1,769,431
------------
RAILROADS (0.9%)
13,500 Burlington Northern Santa Fe Corp...................................................... 309,656
12,400 CSX Corp............................................................................... 262,725
4,700 Kansas City Southern Industries, Inc................................................... 416,831
20,000 Norfolk Southern Corp.................................................................. 297,500
7,800 Union Pacific Corp..................................................................... 290,063
------------
1,576,775
------------
RECREATIONAL PRODUCTS/TOYS (0.5%)
15,600 Brunswick Corp......................................................................... 258,375
18,350 Hasbro, Inc............................................................................ 276,397
28,400 Mattel, Inc............................................................................ 374,525
------------
909,297
------------
RENTAL/LEASING COMPANIES (0.1%)
13,700 Ryder System, Inc...................................................................... 259,444
------------
RESTAURANTS (0.7%)
19,600 Darden Restaurants, Inc................................................................ 318,500
9,100 McDonald's Corp........................................................................ 299,731
10,100 Tricon Global Restaurants, Inc.*....................................................... 285,325
16,100 Wendy's International, Inc............................................................. 286,781
------------
1,190,337
------------
SAVINGS & LOAN ASSOCIATIONS (0.5%)
2,900 Charter One Financial, Inc............................................................. 66,700
9,500 Golden West Financial Corp............................................................. 387,719
12,100 Washington Mutual, Inc................................................................. 349,388
------------
803,807
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
51
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS (1.9%)
4,900 Advanced Micro Devices, Inc.*.......................................................... $ 378,525
4,600 Analog Devices, Inc.*.................................................................. 349,600
5,500 Conexant Systems, Inc.*................................................................ 267,094
2,800 Intel Corp............................................................................. 374,150
4,900 LSI Logic Corp.*....................................................................... 265,213
3,800 Maxim Integrated Products, Inc.*....................................................... 257,925
4,600 Micron Technology, Inc.*............................................................... 405,126
6,400 National Semiconductor Corp.*.......................................................... 363,200
4,400 Texas Instruments, Inc................................................................. 302,225
4,700 Xilinx, Inc.*.......................................................................... 388,044
------------
3,351,102
------------
SERVICES TO THE HEALTH INDUSTRY (0.6%)
13,600 IMS Health Inc......................................................................... 244,800
21,400 Quintiles Transnational Corp.*......................................................... 300,938
6,700 Shared Medical Systems Corp............................................................ 488,681
------------
1,034,419
------------
SHOE MANUFACTURING (0.4%)
8,300 Nike, Inc. (Class B)................................................................... 330,444
26,300 Reebok International Ltd.*............................................................. 419,156
------------
749,600
------------
SPECIALTY CHEMICALS (1.4%)
10,800 Air Products & Chemicals, Inc.......................................................... 332,775
18,200 Engelhard Corp......................................................................... 310,538
6,800 FMC Corp.*............................................................................. 394,400
24,700 Grace (W. R.) & Co..................................................................... 299,488
9,500 Great Lakes Chemical Corp.............................................................. 299,250
8,800 Praxair, Inc........................................................................... 329,450
13,200 Sigma-Aldrich Corp..................................................................... 386,100
------------
2,352,001
------------
SPECIALTY FOODS/CANDY (0.4%)
6,900 Hershey Foods Corp..................................................................... 334,650
4,500 Wrigley (Wm.) Jr. Co. (Class A)........................................................ 360,844
------------
695,494
------------
SPECIALTY INSURERS (0.4%)
6,800 MBIA, Inc.............................................................................. 327,675
7,100 MGIC Investment Corp................................................................... 323,050
------------
650,725
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SPECIALTY STEELS (0.2%)
7,900 Nucor Corp............................................................................. $ 262,181
------------
STEEL/IRON ORE (0.4%)
48,400 Bethlehem Steel Corp.*................................................................. 172,425
14,200 USX-U.S. Steel Group................................................................... 263,588
26,400 Worthington Industries, Inc............................................................ 277,200
------------
713,213
------------
TELECOMMUNICATION EQUIPMENT (1.9%)
5,200 ADC Telecommunications, Inc.*.......................................................... 435,825
3,800 Comverse Technology, Inc.*............................................................. 353,400
1,600 Corning Inc............................................................................ 431,800
5,000 Lucent Technologies Inc................................................................ 296,250
9,170 Motorola, Inc.......................................................................... 266,503
6,000 Nortel Networks Corp. (Canada)......................................................... 409,500
2,700 QUALCOMM Inc.*......................................................................... 161,831
5,600 Scientific-Atlanta, Inc................................................................ 417,200
6,200 Tellabs, Inc.*......................................................................... 424,313
------------
3,196,622
------------
TEXTILES (0.2%)
10,100 Springs Industries, Inc. (Class A)..................................................... 325,094
------------
TOBACCO (0.4%)
15,200 Philip Morris Companies, Inc........................................................... 403,750
17,600 UST, Inc............................................................................... 258,500
------------
662,250
------------
TOOLS/HARDWARE (0.7%)
8,700 Black & Decker Corp.................................................................... 342,019
7,500 Briggs & Stratton Corp................................................................. 256,875
11,900 Snap-On, Inc........................................................................... 316,838
12,600 Stanley Works.......................................................................... 299,250
------------
1,214,982
------------
WHOLESALE DISTRIBUTORS (0.1%)
7,400 Grainger (W.W.), Inc................................................................... 228,013
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $139,999,986)......................................................... 167,276,751
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
52
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
SHORT-TERM INVESTMENT (1.1%)
REPURCHASE AGREEMENT
The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds $1,905,253) (a)
$$1,905
(IDENTIFIED COST $1,904,882)......................................................... $ 1,904,882
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $141,904,868) (B)........................................................ 97.7% 169,181,633
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 2.3 4,033,422
----- -------------
NET ASSETS................................................................................ 100.0% $ 173,215,055
----- -------------
----- -------------
</TABLE>
---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Collateralized by $1,890,241 Federal Home Loan Banks 6.75% due 05/01/02
valued at $1,943,015.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $47,604,535 and the
aggregate gross unrealized depreciation is $20,327,770, resulting in net
unrealized appreciation of $27,276,765.
SEE NOTES TO FINANCIAL STATEMENTS
53
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (97.6%)
ADVERTISING (0.6%)
7,100 Omnicom Group, Inc..................................................................... $ 632,349
------------
AEROSPACE (3.9%)
87,300 United Technologies Corp............................................................... 5,139,787
------------
ALCOHOLIC BEVERAGES (1.0%)
17,300 Anheuser-Busch Companies, Inc.......................................................... 1,292,094
------------
BEVERAGES - NON-ALCOHOLIC (1.0%)
29,100 PepsiCo, Inc........................................................................... 1,293,131
------------
BIOTECHNOLOGY (1.0%)
8,200 Amgen Inc.*............................................................................ 576,050
1,200 Genentech, Inc.*....................................................................... 206,400
5,300 MedImmune, Inc.*....................................................................... 391,869
3,100 Tularik Inc.*.......................................................................... 91,062
------------
1,265,381
------------
BROADCASTING (2.2%)
18,700 AMFM, Inc.*............................................................................ 1,290,300
21,600 Clear Channel Communications, Inc.*.................................................... 1,620,000
------------
2,910,300
------------
BUILDING MATERIALS/DIY CHAINS (2.8%)
73,350 Home Depot, Inc. (The)*................................................................ 3,662,916
------------
CABLE TELEVISION (3.5%)
73,700 AT&T Corp. - Liberty Media Group (Class A)*............................................ 1,787,225
23,800 Comcast Corp. (Class A Special)*....................................................... 965,387
4,300 Comcast Corp. (Class A)*............................................................... 167,969
21,300 MediaOne Group, Inc.*.................................................................. 1,412,483
8,800 TV Guide, Inc. (Class A)*.............................................................. 301,400
------------
4,634,464
------------
CELLULAR TELEPHONE (1.2%)
10,700 AT&T Wireless Group, Inc.*............................................................. 298,262
21,400 Crown Castle International Corp.*...................................................... 779,762
7,700 Nextel Communications, Inc. (Class A)*................................................. 471,144
------------
1,549,168
------------
CLOTHING/SHOE/ACCESSORY STORES (0.8%)
29,000 Intimate Brands, Inc................................................................... 572,750
22,000 Limited (The), Inc..................................................................... 475,750
------------
1,048,500
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMPUTER COMMUNICATIONS (4.9%)
88,500 Cisco Systems, Inc.*................................................................... $ 5,625,281
5,000 Juniper Networks, Inc.*................................................................ 727,500
------------
6,352,781
------------
COMPUTER SOFTWARE (4.6%)
46,000 Microsoft Corp.*....................................................................... 3,677,125
27,900 Oracle Corp.*.......................................................................... 2,343,600
------------
6,020,725
------------
DISCOUNT CHAINS (1.7%)
16,700 Costco Wholesale Corp.*................................................................ 551,100
29,200 Wal-Mart Stores, Inc................................................................... 1,682,650
------------
2,233,750
------------
DIVERSIFIED ELECTRONIC PRODUCTS (1.4%)
1,800 Exfo Electro-Optical Engineering Inc. (Canada)*........................................ 78,975
14,200 JDS Uniphase Corp.*.................................................................... 1,701,337
------------
1,780,312
------------
DIVERSIFIED FINANCIAL SERVICES (2.9%)
28,400 American Express Co.................................................................... 1,480,350
38,000 Citigroup, Inc......................................................................... 2,289,500
------------
3,769,850
------------
DIVERSIFIED MANUFACTURING (6.0%)
166,300 Tyco International Ltd. (Bermuda)...................................................... 7,878,462
------------
E.D.P. PERIPHERALS (0.9%)
11,100 EMC Corp.*............................................................................. 854,006
6,200 Seagate Technology, Inc.*.............................................................. 341,000
------------
1,195,006
------------
E.D.P. SERVICES (0.2%)
3,500 StorageNetworks, Inc.*................................................................. 315,875
------------
ELECTRIC UTILITIES (0.2%)
8,500 Montana Power Co....................................................................... 300,156
------------
ELECTRICAL PRODUCTS (0.0%)
1,400 Capstone Turbine Corp.*................................................................ 63,262
------------
ELECTRONIC COMPONENTS (0.0%)
2,200 Stratos Lightwave, Inc.*............................................................... 61,187
------------
ELECTRONIC DATA PROCESSING (2.9%)
6,700 Hewlett-Packard Co..................................................................... 836,662
10,800 International Business Machines Corp................................................... 1,183,275
19,700 Sun Microsystems, Inc.*................................................................ 1,791,469
------------
3,811,406
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
54
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC PRODUCTION EQUIPMENT (2.2%)
28,300 Applied Materials, Inc.*............................................................... $ 2,564,687
8,000 ASM Lithography Holding NV (Netherlands)*.............................................. 352,500
------------
2,917,187
------------
ENGINEERING & CONSTRUCTION (0.1%)
6,000 Spectrasite Holdings, Inc.*............................................................ 170,250
------------
FINANCE COMPANIES (0.8%)
19,100 Fannie Mae............................................................................. 996,781
------------
FOOD CHAINS (0.7%)
19,200 Safeway Inc.*.......................................................................... 866,400
------------
HOSPITAL/NURSING MANAGEMENT (0.3%)
14,700 HCA-The Healthcare Corp................................................................ 446,512
------------
INTERNET SERVICES (0.9%)
13,500 Genuity Inc.*.......................................................................... 124,875
3,500 Inktomi Corp.*......................................................................... 413,875
1,100 VeriSign, Inc.*........................................................................ 193,944
3,800 Yahoo! Inc.*........................................................................... 470,725
------------
1,203,419
------------
MAJOR BANKS (2.3%)
45,400 Bank of New York Co., Inc.............................................................. 2,111,100
26,300 FleetBoston Financial Corp............................................................. 894,200
------------
3,005,300
------------
MAJOR PHARMACEUTICALS (12.9%)
10,800 Abbott Laboratories.................................................................... 481,275
32,700 American Home Products Corp............................................................ 1,921,125
16,200 Bristol-Myers Squibb Co................................................................ 943,650
19,600 Johnson & Johnson...................................................................... 1,996,750
5,700 Lilly (Eli) & Co....................................................................... 569,287
18,100 Merck & Co., Inc....................................................................... 1,386,912
155,175 Pfizer Inc............................................................................. 7,448,400
32,164 Pharmacia Corp......................................................................... 1,662,477
8,800 Schering-Plough Corp................................................................... 444,400
------------
16,854,276
------------
MAJOR U.S. TELECOMMUNICATIONS (3.1%)
600 AT&T Corp.............................................................................. 18,975
6,300 BellSouth Corp......................................................................... 268,537
30,100 GTE Corp............................................................................... 1,873,725
14,700 Sprint Corp. (FON Group)............................................................... 749,700
25,000 WorldCom, Inc.*........................................................................ 1,146,875
------------
4,057,812
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MEDIA CONGLOMERATES (2.9%)
35,100 Time Warner Inc........................................................................ $ 2,667,600
16,090 Viacom, Inc. (Class B)*................................................................ 1,097,137
------------
3,764,737
------------
MEDICAL SPECIALTIES (0.3%)
6,700 PE Corporation-PE Biosystems Group..................................................... 441,363
------------
MILITARY/GOV'T/TECHNICAL (1.6%)
31,800 General Dynamics Corp.................................................................. 1,661,550
5,300 General Motors Corp. (Class H)......................................................... 465,075
------------
2,126,625
------------
MULTI-LINE INSURANCE (1.1%)
11,900 American International Group, Inc...................................................... 1,398,250
------------
MULTI-SECTOR COMPANIES (5.2%)
110,200 General Electric Co.................................................................... 5,840,600
18,800 Textron, Inc........................................................................... 1,021,075
------------
6,861,675
------------
OTHER SPECIALTY STORES (0.4%)
6,800 Tiffany & Co........................................................................... 459,000
------------
OTHER TELECOMMUNICATIONS (0.7%)
12,040 Global Crossing Ltd. (Bermuda)*........................................................ 316,803
3,500 NEXTLINK Communications, Inc. (Class A)*............................................... 132,781
8,100 Pinnacle Holdings Inc.*................................................................ 437,400
------------
886,984
------------
PACKAGE GOODS/COSMETICS (0.5%)
12,400 Procter & Gamble Co.................................................................... 709,900
------------
PACKAGED FOODS (0.4%)
6,700 Quaker Oats Company (The).............................................................. 503,338
------------
RESTAURANTS (0.2%)
7,300 Brinker International, Inc.*........................................................... 213,525
------------
SEMICONDUCTORS (9.1%)
3,400 Analog Devices, Inc.*.................................................................. 258,400
3,200 Broadcom Corp. (Class A)*.............................................................. 700,600
6,100 Infineon Techologies AG (ADR) (Germany)*............................................... 483,425
42,100 Intel Corp............................................................................. 5,625,613
10,700 Intersil Holding Corp.*................................................................ 577,800
23,500 Maxim Integrated Products, Inc.*....................................................... 1,595,063
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
55
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
1,400 PMC - Sierra, Inc.*.................................................................... $ 248,675
34,400 Texas Instruments, Inc................................................................. 2,362,850
------------
11,852,426
------------
SPECIALTY FOODS/CANDY (0.2%)
8,100 Keebler Foods Co....................................................................... 300,713
------------
TELECOMMUNICATION EQUIPMENT (7.2%)
31,400 American Tower Corp. (Class A)......................................................... 1,308,988
4,800 CIENA Corp.*........................................................................... 799,800
4,100 Corning Inc............................................................................ 1,106,488
22,200 Lucent Technologies Inc................................................................ 1,315,350
58,400 Motorola, Inc.......................................................................... 1,697,250
46,100 Nortel Networks Corp. (Canada)......................................................... 3,146,325
------------
9,374,201
------------
TOBACCO (0.8%)
38,600 Philip Morris Companies, Inc........................................................... 1,025,313
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $101,908,143)......................................................... 127,646,849
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (3.1%)
REPURCHASE AGREEMENT
$ 4,045 The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds $4,047,750) (a)
(IDENTIFIED COST $4,045,390)......................................................... $ 4,045,390
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $105,953,533) (B) ....................................................... 100.7% 131,692,239
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... (0.7) (903,585)
----- -------------
NET ASSETS................................................................................ 100.0% $ 130,788,654
----- -------------
----- -------------
</TABLE>
---------------------
* Non-income producing security.
ADR American Depository Receipt
(a) Collateralized by $4,097,256 Federal Home Loan Banks 6.75% due 05/01/02
valued at $4,126,372.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $28,043,250 and the
aggregate gross unrealized depreciation is $2,304,544, resulting in net
unrealized appreciation of $25,738,706.
SEE NOTES TO FINANCIAL STATEMENTS
56
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (98.0%)
ADVERTISING (0.6%)
57,000 Omnicom Group, Inc..................................................................... $ 5,076,562
------------
ALCOHOLIC BEVERAGES (1.9%)
145,000 Anheuser-Busch Companies, Inc.......................................................... 10,829,687
81,000 Coors (Adolph) Co. (Class B)........................................................... 4,900,500
------------
15,730,187
------------
BEVERAGES - NON-ALCOHOLIC (1.8%)
321,600 PepsiCo, Inc........................................................................... 14,291,100
------------
BIOTECHNOLOGY (6.2%)
19,000 Abgenix, Inc.*......................................................................... 2,276,437
77,000 Amgen Inc.*............................................................................ 5,409,250
79,300 Cephalon, Inc.*........................................................................ 4,857,125
102,300 COR Therapeutics, Inc.*................................................................ 8,721,075
30,000 Human Genome Sciences, Inc.*........................................................... 3,999,375
49,000 IDEC Pharmaceuticals Corp.*............................................................ 5,745,250
25,000 ImClone Systems, Inc.*................................................................. 1,910,937
46,000 Immunex Corp.*......................................................................... 2,274,125
160,000 MedImmune, Inc.*....................................................................... 11,830,000
38,400 Millennium Pharmaceuticals, Inc.*...................................................... 4,293,600
25,000 QLT PhotoTherapeutics Inc. (Canada)*................................................... 1,940,625
------------
53,257,799
------------
BROADCASTING (2.6%)
95,900 Clear Channel Communications, Inc.*.................................................... 7,192,500
100,000 Infinity Broadcasting Corp. (Series A)*................................................ 3,643,750
69,000 Univision Communications, Inc. (Class A)*.............................................. 7,141,500
226,000 USA Networks, Inc.*.................................................................... 4,887,250
------------
22,865,000
------------
CABLE TELEVISION (2.3%)
178,600 AT&T Corp. - Liberty Media Group (Class A)*............................................ 4,331,050
62,000 Cablevision Systems Corp. (Class A)*................................................... 4,208,250
119,000 Comcast Corp. (Class A Special)*....................................................... 4,826,937
140,100 Cox Communications, Inc. (Class A)*.................................................... 6,383,306
------------
19,749,543
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CELLULAR TELEPHONE (0.1%)
20,200 Sprint Corp. (PCS Group)*.............................................................. $ 1,201,900
------------
COMPUTER COMMUNICATIONS (3.1%)
257,500 Cisco Systems, Inc.*................................................................... 16,367,344
44,300 Extreme Networks, Inc.*................................................................ 4,648,731
40,400 Juniper Networks, Inc.*................................................................ 5,878,200
------------
26,894,275
------------
COMPUTER SOFTWARE (6.0%)
42,000 Check Point Software Technologies Ltd. (Israel)*....................................... 8,914,500
15,400 E.piphany, Inc.*....................................................................... 1,650,687
31,700 i2 Technologies, Inc.*................................................................. 3,304,725
22,400 Mercury Interactive Corp.*............................................................. 2,167,200
20,000 Micromuse Inc.*........................................................................ 3,308,750
240,600 Oracle Corp.*.......................................................................... 20,210,400
1,000 Oracle Corp. (Japan)................................................................... 362,264
900 Oracle Corp. (Japan)*.................................................................. 330,708
53,800 Siebel Systems, Inc.*.................................................................. 8,799,662
25,200 Veritas Software Corp.*................................................................ 2,847,600
------------
51,896,496
------------
CONTRACT DRILLING (3.2%)
200,200 ENSCO International Inc................................................................ 7,169,662
69,100 Global Marine, Inc.*................................................................... 1,947,756
110,400 Nabors Industries, Inc.*............................................................... 4,588,500
100,000 Noble Drilling Corp.*.................................................................. 4,118,750
85,000 R&B Falcon Corp.*...................................................................... 2,002,812
160,000 Rowan Companies, Inc.*................................................................. 4,860,000
56,900 Transocean Sedco Forex Inc.*........................................................... 3,040,594
------------
27,728,074
------------
DEPARTMENT STORES (0.3%)
53,200 Kohl's Corp.*.......................................................................... 2,959,250
------------
DIVERSIFIED COMMERCIAL SERVICES (0.7%)
142,500 Paychex, Inc........................................................................... 5,985,000
------------
DIVERSIFIED ELECTRONIC PRODUCTS (1.7%)
5,700 Exfo Electro-Optical Engineering Inc. (Canada)*........................................ 250,087
82,000 JDS Uniphase Corp.*.................................................................... 9,824,625
100,000 Koninklijke (Royal ) Philips Electronics NV (Netherlands).............................. 4,714,736
------------
14,789,448
------------
DIVERSIFIED FINANCIAL SERVICES (3.7%)
132,000 American Express Co.................................................................... 6,880,500
172,000 AXA Financial, Inc..................................................................... 5,848,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
57
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
273,300 Citigroup, Inc......................................................................... $ 16,466,325
30,000 Providian Financial Corp............................................................... 2,700,000
------------
31,894,825
------------
E.D.P. PERIPHERALS (1.5%)
142,400 EMC Corp.*............................................................................. 10,955,900
29,300 Network Appliance, Inc.*............................................................... 2,356,819
------------
13,312,719
------------
E.D.P. SERVICES (0.7%)
1,600 Amdocs Ltd.*........................................................................... 122,800
63,300 Automatic Data Processing, Inc......................................................... 3,390,506
29,000 First Data Corp........................................................................ 1,439,125
14,700 StorageNetworks, Inc.*................................................................. 1,326,675
------------
6,279,106
------------
ELECTRIC UTILITIES (0.3%)
41,000 Calpine Corp.*......................................................................... 2,695,750
------------
ELECTRICAL PRODUCTS (0.1%)
16,900 Capstone Turbine Corp.*................................................................ 763,669
------------
ELECTRONIC COMPONENTS (0.4%)
50,700 Flextronics International, Ltd. (Singapore)*........................................... 3,482,456
------------
ELECTRONIC DATA PROCESSING (2.1%)
176,000 Dell Computer Corp.*................................................................... 8,679,000
29,000 Hewlett-Packard Co..................................................................... 3,621,375
66,800 Sun Microsystems, Inc.*................................................................ 6,074,625
------------
18,375,000
------------
ELECTRONIC PRODUCTION EQUIPMENT (1.8%)
121,700 Applied Materials, Inc.*............................................................... 11,029,062
93,110 ASM Lithography Holding N.V. (Netherlands)*............................................ 4,102,659
------------
15,131,721
------------
FINANCE COMPANIES (0.3%)
66,000 Capital One Financial Corp............................................................. 2,945,250
------------
FOOD CHAINS (0.2%)
41,300 Safeway Inc.*.......................................................................... 1,863,662
------------
GENERIC DRUGS (2.4%)
145,000 Alpharma Inc. (Class A)................................................................ 9,026,250
210,000 Ivax Corp.*............................................................................ 8,715,000
52,000 Watson Pharmaceuticals, Inc.*.......................................................... 2,795,000
------------
20,536,250
------------
HOSPITAL/NURSING MANAGEMENT (0.2%)
56,000 HCA-The Healthcare Corp................................................................ 1,701,000
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INSURANCE BROKERS/SERVICES (0.6%)
50,000 Marsh & McLennan Companies, Inc........................................................ $ 5,221,875
------------
INTERNET SERVICES (2.1%)
52,700 Art Technology Group, Inc.*............................................................ 5,319,406
68,700 BEA Systems, Inc.*..................................................................... 3,392,062
69,400 BroadVision, Inc.*..................................................................... 3,522,050
24,100 VeriSign, Inc.*........................................................................ 4,249,131
23,700 Virage, Inc.*.......................................................................... 428,081
8,200 webMethods, Inc.*...................................................................... 1,288,937
------------
18,199,667
------------
INVESTMENT BANKERS/BROKERS/SERVICES (2.8%)
9,600 Donaldson, Lufkin & Jenrette, Inc...................................................... 407,400
120,000 Lehman Brothers Holdings, Inc.......................................................... 11,347,500
90,000 Merrill Lynch & Co., Inc............................................................... 10,350,000
32,000 Paine Webber Group, Inc................................................................ 1,456,000
20,400 Schwab (Charles) Corp.................................................................. 685,950
------------
24,246,850
------------
MAJOR BANKS (2.1%)
235,400 Bank of New York Co., Inc.............................................................. 10,946,100
64,900 State Street Corp...................................................................... 6,883,456
------------
17,829,556
------------
MAJOR PHARMACEUTICALS (6.5%)
47,400 Abbott Laboratories.................................................................... 2,112,263
213,000 American Home Products Corp............................................................ 12,513,750
50,100 Aventis S.A. (France).................................................................. 3,655,490
45,000 Johnson & Johnson...................................................................... 4,584,375
19,100 Lilly (Eli) & Co....................................................................... 1,907,613
487,250 Pfizer Inc............................................................................. 23,388,000
60,000 Pharmacia Corp......................................................................... 3,101,250
69,000 Smithkline Beecham PLC (ADR) (United Kingdom).......................................... 4,497,938
------------
55,760,679
------------
MANAGED HEALTH CARE (0.8%)
82,400 UnitedHealth Group Inc................................................................. 7,065,800
------------
MEDIA CONGLOMERATES (4.1%)
296,000 Disney (Walt) Co. (The)................................................................ 11,488,500
123,900 Fox Entertainment Group, Inc. (Series A)*.............................................. 3,763,463
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
58
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
114,004 News Corporation Ltd. (The) (ADR) (Australia).......................................... $ 6,213,218
208,000 Viacom, Inc. (Class B)*................................................................ 14,183,000
------------
35,648,181
------------
MEDICAL SPECIALTIES (2.6%)
73,400 ALZA Corp. (Class A)*.................................................................. 4,339,775
21,900 Bausch & Lomb, Inc..................................................................... 1,694,513
100,000 Cytyc Corp.*........................................................................... 5,331,250
28,000 Inhale Therapeutic Systems, Inc.*...................................................... 2,840,250
27,900 MiniMed, Inc.*......................................................................... 3,299,175
60,000 Novoste Corp.*......................................................................... 3,660,000
7,000 Qiagen N.V. (Netherlands)*............................................................. 1,211,000
------------
22,375,963
------------
MEDICAL/DENTAL DISTRIBUTORS (1.0%)
59,000 Andrx Corp.*........................................................................... 3,768,625
60,000 Cardinal Health, Inc................................................................... 4,440,000
------------
8,208,625
------------
METALS FABRICATIONS (0.2%)
68,700 Grant Predico, Inc.*................................................................... 1,717,500
------------
MID - SIZED BANKS (0.9%)
117,400 Northern Trust Corp.................................................................... 7,631,000
------------
MILITARY/GOV'T/TECHNICAL (0.3%)
30,900 General Motors Corp. (Class H)*........................................................ 2,711,475
------------
MULTI-LINE INSURANCE (3.1%)
174,700 American International Group, Inc...................................................... 20,527,250
33,000 AXA (ADR) (France)..................................................................... 2,625,563
66,500 Hartford Financial Services Group, Inc................................................. 3,719,844
------------
26,872,657
------------
OIL & GAS PRODUCTION (1.6%)
50,000 Anardarko Petroleum Corp............................................................... 2,465,625
80,000 Apache Corp............................................................................ 4,705,000
46,000 Devon Energy Corp...................................................................... 2,584,625
130,000 EOG Resources, Inc..................................................................... 4,355,000
------------
14,110,250
------------
OIL/GAS TRANSMISSION (0.9%)
61,000 Dynegy, Inc. (Class A)................................................................. 4,167,063
61,000 Enron Corp............................................................................. 3,934,500
------------
8,101,563
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OILFIELD SERVICES/EQUIPMENT (3.1%)
132,900 BJ Services Co.*....................................................................... $ 8,306,250
40,000 Cooper Cameron Corp.*.................................................................. 2,640,000
149,100 Schlumberger Ltd....................................................................... 11,126,588
40,700 Smith International, Inc.*............................................................. 2,963,469
47,000 Weatherford International, Inc.*....................................................... 1,871,188
------------
26,907,495
------------
OTHER PHARMACEUTICALS (4.1%)
75,000 Allergan, Inc.......................................................................... 5,587,500
109,300 Celgene Corp.*......................................................................... 6,435,038
38,000 Elan Corp. PLC (ADR) (Ireland)*........................................................ 1,840,625
43,800 Forest Laboratories, Inc.*............................................................. 4,423,800
59,000 Sepracor, Inc.*........................................................................ 7,113,188
175,000 Teva Pharmaceutical Industries Ltd. (ADR) (Israel)..................................... 9,701,563
------------
35,101,714
------------
OTHER TELECOMMUNICATIONS (0.0%)
8,800 NEXTLINK Communications, Inc. (Class A)*............................................... 333,850
------------
PACKAGE GOODS/COSMETICS (0.4%)
87,100 Avon Products, Inc..................................................................... 3,875,950
------------
PACKAGED FOODS (0.5%)
59,200 Quaker Oats Company (The).............................................................. 4,447,400
------------
PRECISION INSTRUMENTS (0.1%)
3,900 Waters Corp.*.......................................................................... 486,769
------------
PROPERTY - CASUALTY INSURERS (0.5%)
16,100 ACE, Ltd. (Bermuda).................................................................... 450,800
56,500 Chubb Corp............................................................................. 3,474,750
------------
3,925,550
------------
RECREATIONAL PRODUCTS/TOYS (0.2%)
80,000 Callaway Golf Co....................................................................... 1,305,000
------------
SEMICONDUCTORS (8.8%)
52,900 Advanced Micro Devices, Inc.*.......................................................... 4,086,525
10,000 Broadcom Corp. (Class A)*.............................................................. 2,189,375
164,400 Intel Corp............................................................................. 21,967,950
310,000 Micron Technology, Inc.*............................................................... 27,299,375
36,000 SDL, Inc.*............................................................................. 10,266,750
45,700 STMicroelectronics NV (France)......................................................... 2,933,369
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
59
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
49,000 Texas Instruments, Inc................................................................. $ 3,365,688
47,000 Xilinx, Inc.*.......................................................................... 3,880,438
------------
75,989,470
------------
SPECIALTY FOODS/CANDY (0.2%)
44,000 Keebler Foods Co.*..................................................................... 1,633,500
------------
TELECOMMUNICATION EQUIPMENT (6.3%)
9,200 Accelerated Networks, Inc.*............................................................ 387,550
70,000 CIENA Corp.*........................................................................... 11,663,750
65,100 Comverse Technology, Inc.*............................................................. 6,054,300
64,000 Corning Inc............................................................................ 17,272,000
5,100 New Focus, Inc.*....................................................................... 418,838
105,200 Nortel Networks Corp. (Canada)......................................................... 7,179,900
15,100 ONI Systems Corp.*..................................................................... 1,769,531
113,000 Scientific - Atlanta, Inc.............................................................. 8,418,500
15,000 Sycamore Networks, Inc.*............................................................... 1,655,626
------------
54,819,995
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $701,153,596)......................................................... 845,934,376
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
---------
<C> <S> <C>
SHORT-TERM INVESTMENTS (6.2%)
U.S. GOVERNMENT AGENCY (a) (6.1%)
$ 52,800 Federal Home Loan Banks 6.57% due 07/03/00 (AMORTIZED COST $52,780,728)................ 52,780,728
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (0.1%)
$ 1,235 The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds $1,235,991) (b)
(IDENTIFIED COST $1,235,270)......................................................... $ 1,235,270
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $54,015,998).......................................................... 54,015,998
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $755,169,594) (C)........................................................ 104.2% 899,950,374
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... (4.2) (36,543,040)
----- -------------
NET ASSETS................................................................................ 100.0% $ 863,407,334
----- -------------
----- -------------
</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) Collateralized by $1,230,315 Federal Loan Home Banks 6.75% due 02/01/02
valued at $1,259,998.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $152,700,227 and the
aggregate gross unrealized depreciation is $7,919,447, resulting in net
unrealized appreciation of $144,780,780.
FUTURE CONTRACTS OPEN AT JUNE 30, 2000:
<TABLE>
<CAPTION>
UNDERLYING
NUMBER OF DESCRIPTION, DELIVERY FACE AMOUNT UNREALIZED
CONTRACTS YEAR AND MONTH AT VALUE DEPRECIATION
-----------------------------------------------------------------------
<S> <C> <C> <C>
(228) NASDAQ 100 Index $87,027,600 $ (390,965)
SEP/2000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
60
<PAGE>
MID-CAP EQUITY
PORTFOLIO OF INVESTMENT JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (92.4%)
BIOTECHNOLOGY (6.2%)
24,900 Abgenix, Inc.*......................................................................... $ 2,983,331
4,600 Affymetrix, Inc.*...................................................................... 759,287
14,200 Genentech, Inc.*....................................................................... 2,442,400
12,900 Gilead Sciences, Inc.*................................................................. 917,512
20,100 Human Genome Sciences, Inc.*........................................................... 2,679,581
------------
9,782,111
------------
BROADCASTING (6.3%)
25,699 Clear Channel Communications, Inc...................................................... 1,927,425
31,800 Cox Radio, Inc. (Class A)*............................................................. 890,400
38,000 Hispanic Broadcasting Corp.*........................................................... 1,258,750
31,800 Univision Communications, Inc. (Class A)*.............................................. 3,291,300
73,600 Westwood One, Inc.*.................................................................... 2,511,600
------------
9,879,475
------------
CABLE TELEVISION (4.7%)
44,100 Cablevision Systems Corp. (Class A)*................................................... 2,993,287
89,600 EchoStar Communications Corp. (Class A)*............................................... 2,968,000
66,100 Mediacom Communications Corp. (Class A)*............................................... 1,016,287
46,200 TCI Satellite Entertainment, Inc.*..................................................... 401,362
------------
7,378,936
------------
CATALOG/SPECIALTY DISTRIBUTION (0.9%)
39,700 Amazon.com, Inc.*...................................................................... 1,441,606
------------
CLOTHING/SHOE/ACCESSORY STORES (0.5%)
14,100 Talbot's, Inc. (The)................................................................... 774,619
------------
COMPUTER COMMUNICATIONS (6.8%)
5,900 Foundry Networks, Inc.*................................................................ 651,212
69,200 Juniper Networks, Inc.*................................................................ 10,068,600
------------
10,719,812
------------
COMPUTER SOFTWARE (10.8%)
8,300 Phone.com, Inc.*....................................................................... 542,094
23,200 Rational Software Corp.*............................................................... 2,154,700
87,900 Siebel Systems, Inc.*.................................................................. 14,377,144
------------
17,073,938
------------
DIVERSIFIED COMMERCIAL SERVICES (2.1%)
28,100 CheckFree Holdings Corp.*.............................................................. 1,448,906
43,350 Paychex, Inc........................................................................... 1,820,700
------------
3,269,606
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
E.D.P. SERVICES (0.1%)
1,300 StorageNetworks, Inc.*................................................................. $ 117,325
------------
ENGINEERING & CONSTRUCTION (2.9%)
59,100 Metromedia Fiber Network, Inc. (Class A)*.............................................. 2,345,531
76,700 Spectrasite Holdings, Inc.*............................................................ 2,176,362
------------
4,521,893
------------
INTERNET SERVICES (19.8%)
10,600 Active Software, Inc.*................................................................. 823,487
6,900 Akamai Technologies, Inc.*............................................................. 818,944
45,500 Ariba, Inc.*........................................................................... 4,459,000
24,500 Commerce One, Inc.*.................................................................... 1,116,281
41,600 Exodus Communications, Inc.*........................................................... 1,916,200
31,600 Portal Software, Inc.*................................................................. 2,020,425
24,600 Scient Corp.*.......................................................................... 1,096,237
2,100 Selectica Inc. *....................................................................... 146,212
14,100 StarMedia Network, Inc.*............................................................... 266,138
44,900 VeriSign, Inc.*........................................................................ 7,916,431
31,400 Viant Corp.*........................................................................... 930,225
81,700 Vignette Corp.*........................................................................ 4,248,400
43,200 Yahoo! Inc.*........................................................................... 5,351,400
------------
31,109,380
------------
INVESTMENT BANKERS/BROKERS/SERVICES (1.3%)
126,000 E*TRADE Group, Inc.*................................................................... 2,071,125
------------
INVESTMENT MANAGERS (1.6%)
57,700 Price (T.) Rowe Associates, Inc........................................................ 2,452,250
------------
MEDICAL SPECIALTIES (1.1%)
14,400 MiniMed, Inc.*......................................................................... 1,702,800
------------
MEDICAL/DENTAL DISTRIBUTORS (1.8%)
43,700 Andrx Corp.*........................................................................... 2,791,338
------------
OTHER CONSUMER SERVICES (2.4%)
57,200 eBay, Inc.*............................................................................ 3,103,100
21,000 Homestore.com, Inc.*................................................................... 615,563
------------
3,718,663
------------
OTHER PHARMACEUTICALS (1.6%)
20,700 Sepracor, Inc.*........................................................................ 2,495,644
------------
OTHER SPECIALTY STORES (1.2%)
53,800 Bed Bath & Beyond Inc.*................................................................ 1,946,888
------------
OTHER TELECOMMUNICATIONS (3.8%)
88,000 AT&T Canada, Inc. (Class B)*........................................................... 2,909,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
61
<PAGE>
MID-CAP EQUITY
PORTFOLIO OF INVESTMENT JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
37,800 Global Crossing Ltd. (Bermuda)*........................................................ $ 994,613
102,000 McLeodUSA, Inc. (Class A)*............................................................. 2,110,125
------------
6,014,238
------------
SEMICONDUCTORS (11.3%)
37,500 Altera Corp.*.......................................................................... 3,820,313
85,600 Maxim Integrated Products, Inc.*....................................................... 5,810,100
98,600 Xilinx, Inc.*.......................................................................... 8,140,663
------------
17,771,076
------------
SERVICES TO THE HEALTH INDUSTRY (1.0%)
32,600 Healtheon/WebMD Corp.*................................................................. 480,850
34,400 MedQuist Inc.*......................................................................... 1,169,600
------------
1,650,450
------------
TELECOMMUNICATION EQUIPMENT (4.2%)
55,200 American Tower Corp. (Class A)*........................................................ 2,301,150
2,600 ONI Systems Corp.*..................................................................... 304,688
13,100 Sonus Networks Inc.*................................................................... 2,068,163
18,100 Sycamore Networks, Inc.*............................................................... 1,997,788
------------
6,671,789
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $115,156,229)......................................................... 145,354,962
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
---------
<C> <S> <C>
SHORT-TERM INVESTMENTS (7.6%)
U.S. GOVERNMENT AGENCIES (a) (2.9%)
$ 3,000 Federal Home Loan Banks 6.43% due 07/05/00............................................. 2,997,857
870 Federal Home Loan Banks 6.45% due 07/05/00............................................. 869,376
755 Federal Home Loan Banks 6.47% due 07/19/00............................................. 752,558
------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $4,619,791)............................................................ 4,619,791
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (4.7%)
$ 7,323 The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds $7,327,301) (b)
(IDENTIFIED COST $7,323,029)......................................................... $ 7,323,029
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $11,942,820).......................................................... 11,942,820
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $127,099,049) (C)........................................................ 100.0% 157,297,782
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... 0.0 (45,736)
----- -------------
NET ASSETS................................................................................ 100.0% $ 157,252,046
----- -------------
----- -------------
</TABLE>
---------------------
* Non-income producing security.
(a) Purchased on a discount basis. The interest rate shown has been adjusted to
reflect a money market equivalent yield.
(b) Collateralized by $7,416,917 Federal Home Loan Banks 6.75% due 05/01/02
valued at $7,469,622.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $40,860,971 and the
aggregate gross unrealized depreciation is $10,662,238, resulting in net
unrealized appreciation of $30,198,733.
SEE NOTES TO FINANCIAL STATEMENTS
62
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (95.8%)
CANADA (4.0%)
BIOTECHNOLOGY
45,000 QLT PhotoTherapeutics Inc.*..................................................... $ 3,493,125
------------
CABLE TELEVISION
90,000 Videotron Group Ltd............................................................. 2,090,903
------------
INTERNATIONAL BANKS
45,000 Bank of Montreal................................................................ 1,899,439
------------
TOTAL CANADA.................................................................... 7,483,467
------------
CHINA (1.0%)
OTHER TELECOMMUNICATIONS
900,000 China Unicom Ltd.*.............................................................. 1,899,124
------------
FINLAND (1.2%)
TELECOMMUNICATION EQUIPMENT
44,000 Nokia Corp. (ADR) (Class A)..................................................... 2,197,250
------------
FRANCE (8.2%)
E.D.P. SERVICES
6,700 Cap Gemini S.A.................................................................. 1,179,782
------------
ELECTRONIC DATA PROCESSING
152,000 Bull S.A.*...................................................................... 1,331,732
------------
INTERNATIONAL BANKS
28,800 Societe Generale (Series A)..................................................... 1,731,663
------------
MULTI-SECTOR COMPANIES
30,000 Lagardere S.C.A................................................................. 2,290,560
18,000 Vivendi S.A..................................................................... 1,588,217
------------
3,878,777
------------
OIL REFINING/MARKETING
24,122 TotalFina Elf................................................................... 3,697,339
------------
TELECOMMUNICATION EQUIPMENT
55,000 Alcatel......................................................................... 3,606,200
------------
TOTAL FRANCE.................................................................... 15,425,493
------------
GERMANY (3.1%)
INTERNATIONAL BANKS
27,000 Bayerische Hypo-Und Vereinsbank AG.............................................. 1,754,855
------------
MAJOR CHEMICALS
46,000 Bayer AG........................................................................ 1,791,218
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MULTI-SECTOR COMPANIES
45,000 E. ON AG*....................................................................... $ 2,207,527
------------
TOTAL GERMANY................................................................... 5,753,600
------------
GREECE (0.4%)
TELECOMMUNICATIONS
65,000 Hellenic Telecommunication Organization S.A. (OTE) (ADR)*....................... 792,188
------------
HONG KONG (1.2%)
INTERNATIONAL BANKS
100,000 Dao Heng Bank Group Ltd......................................................... 442,552
------------
REAL ESTATE
500,000 Wharf (Holdings) Ltd. (The)*.................................................... 894,724
------------
UTILITIES
201,000 CLP Holdings Ltd................................................................ 935,939
------------
TOTAL HONG KONG................................................................. 2,273,215
------------
ITALY (0.5%)
MULTI-SECTOR COMPANIES
710,000 Finmeccanica SpA *.............................................................. 975,779
------------
JAPAN (14.1%)
CELLULAR TELEPHONE
50 NTT DoCoMo, Inc................................................................. 1,353,774
------------
CONSUMER ELECTRONICS/APPLIANCES
65,000 Pioneer Corp.................................................................... 2,532,547
14,000 Sony Corp....................................................................... 1,307,547
------------
3,840,094
------------
DIVERSIFIED ELECTRONIC PRODUCTS
110,000 Hitachi Ltd..................................................................... 1,587,736
------------
ELECTRONIC COMPONENTS
14,000 TDK Corp........................................................................ 2,012,830
------------
ELECTRONIC DATA PROCESSING
35,000 Fujitsu Ltd..................................................................... 1,211,792
------------
INDUSTRIAL MACHINERY/COMPONENTS
22,000 Fanuc Ltd....................................................................... 2,239,434
------------
INVESTMENT BANKERS/BROKERS/SERVICES
80,000 Nomura Securities Co., Ltd...................................................... 1,958,491
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
63
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MOTOR VEHICLES
90,000 Suzuki Motor Corp............................................................... $ 1,161,509
------------
OTHER PHARMACEUTICALS
27,000 Yamanouchi Pharmaceutical Co., Ltd.............................................. 1,474,811
------------
PACKAGE GOODS/COSMETICS
10,000 Uni-Charm Corp.................................................................. 605,660
------------
PHOTOGRAPHIC PRODUCTS
300,000 Konica Corp..................................................................... 2,547,170
------------
RAILROADS
200 East Japan Railway Co........................................................... 1,162,264
------------
RECREATIONAL PRODUCTS/TOYS
25,500 Enix Corp....................................................................... 1,474,670
------------
SEMICONDUCTORS
8,000 Rohm Co., Ltd................................................................... 2,339,623
------------
TELECOMMUNICATIONS
120 Nippon Telegraph & Telephone Corp............................................... 1,596,226
------------
TOTAL JAPAN..................................................................... 26,566,084
------------
MEXICO (0.8%)
TELECOMMUNICATIONS
25,000 Telefonos de Mexico S.A. (Series L) (ADR) (Mexico).............................. 1,428,125
------------
NETHERLANDS (4.3%)
DIVERSIFIED ELECTRONIC PRODUCTS
48,000 Koninklijke (Royal) Philips Electronics NV...................................... 2,263,073
------------
DIVERSIFIED FINANCIAL SERVICES
31,000 ING Groep NV.................................................................... 2,094,717
------------
LIFE INSURANCE
60,000 Aegon N.V....................................................................... 2,134,229
------------
PAINTS/COATINGS
40,000 Akzo Nobel N.V.................................................................. 1,698,832
------------
TOTAL NETHERLANDS............................................................... 8,190,851
------------
SINGAPORE (0.9%)
AIRLINES
95,000 Singapore Airlines Ltd.*........................................................ 939,723
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
NEWSPAPERS
50,000 Singapore Press Holdings Ltd.................................................... $ 780,934
------------
TOTAL SINGAPORE................................................................. 1,720,657
------------
SOUTH KOREA (2.1%)
CELLULAR TELEPHONE
45,000 SK Telecom Co., Ltd. (ADR)...................................................... 1,634,063
------------
DIVERSIFIED ELECTRONIC PRODUCTS
12,000 Samsung Electronics (GDR) *..................................................... 2,358,000
------------
TOTAL SOUTH KOREA............................................................... 3,992,063
------------
SPAIN (3.1%)
MEDIA CONGLOMERATES
100,000 Grupo Prisa, S.A.*.............................................................. 2,319,192
------------
NON - U.S. UTILITIES
60,000 Union Electrica Fenosa, S.A..................................................... 1,085,153
------------
TELECOMMUNICATIONS
38,984 Telefonica S.A. (ADR)*.......................................................... 2,497,413
------------
TOTAL SPAIN..................................................................... 5,901,758
------------
SWEDEN (1.8%)
MULTI-SECTOR COMPANIES
130,000 Investor AB (B Shares).......................................................... 1,781,227
------------
TELECOMMUNICATION EQUIPMENT
84,000 Telefonaktiebolaget LM Ericsson AB (Series "B" Free)............................ 1,666,724
------------
TOTAL SWEDEN.................................................................... 3,447,951
------------
SWITZERLAND (3.2%)
BUILDING MATERIALS
1,340 Holderbank Financiere Glarus AG (B Shares)...................................... 1,640,950
------------
INTERNATIONAL BANKS
8,600 UBS AG (Registered Shares)...................................................... 1,258,511
------------
MAJOR PHARMACEUTICALS
160 Roche Holdings AG............................................................... 1,555,719
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
64
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PACKAGED FOODS
800 Nestle S.A. (Registered Shares)................................................. $ 1,599,314
------------
TOTAL SWITZERLAND............................................................... 6,054,494
------------
UNITED KINGDOM (10.9%)
AEROSPACE
185,000 BAE Systems PLC................................................................. 1,155,495
340,543 Rolls-Royce PLC................................................................. 1,210,637
------------
2,366,132
------------
ALCOHOLIC BEVERAGES
190,000 Diageo PLC...................................................................... 1,708,077
------------
CELLULAR TELEPHONE
342,234 Vodafone AirTouch PLC........................................................... 1,385,267
------------
COMPUTER/VIDEO CHAINS
156,190 Dixons Group PLC................................................................ 636,949
------------
DIVERSIFIED FINANCIAL SERVICES
100,000 Lloyds TSB Group PLC............................................................ 945,984
350,000 Old Mutual PLC.................................................................. 770,697
------------
1,716,681
------------
ELECTRIC UTILITIES
130,000 Scottish Hydro-Electric Plc..................................................... 1,194,305
------------
INTEGRATED OIL COMPANIES
25,256 BP Amoco PLC (ADR).............................................................. 1,428,543
------------
MAJOR PHARMACEUTICALS
40,000 AstraZeneca Group PLC........................................................... 1,870,744
65,000 SmithKline Beecham PLC.......................................................... 852,371
------------
2,723,115
------------
MOVIES/ENTERTAINMENT
140,000 Carlton Communications PLC...................................................... 1,804,040
------------
NEWSPAPERS
102,000 United News & Media PLC......................................................... 1,469,004
------------
OIL & GAS PRODUCTION
200,000 Enterprise Oil PLC.............................................................. 1,670,632
------------
TELECOMMUNICATION EQUIPMENT
180,000 Racal Electronics PLC........................................................... 1,222,502
------------
TELECOMMUNICATIONS
90,000 British Telecommunications PLC.................................................. 1,165,198
------------
TOTAL UNITED KINGDOM............................................................ 20,490,445
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
UNITED STATES (35.0%)
AEROSPACE
90,900 Lockheed Martin Corp............................................................ $ 2,255,456
------------
ALUMINUM
40,000 Alcoa, Inc...................................................................... 1,160,000
------------
AUTO PARTS: O.E.M.
4,917 Visteon Corp.*.................................................................. 59,613
------------
BIOTECHNOLOGY
25,700 Human Genome Sciences, Inc.*.................................................... 3,426,131
------------
CLOTHING/SHOE/ACCESSORY STORES
45,300 Gap, Inc. (The)................................................................. 1,415,625
------------
COMPUTER COMMUNICATIONS
33,100 Cisco Systems, Inc.*............................................................ 2,103,919
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS
42,600 Caterpillar, Inc................................................................ 1,443,075
------------
DIVERSIFIED ELECTRONIC PRODUCTS
18,000 JDS Uniphase Corp.*............................................................. 2,156,625
35,300 Rockwell International Corp..................................................... 1,111,950
------------
3,268,575
------------
DIVERSIFIED FINANCIAL SERVICES
26,400 American Express Co............................................................. 1,376,100
23,450 Citigroup, Inc.................................................................. 1,412,863
------------
2,788,963
------------
DIVERSIFIED MANUFACTURING
35,062 Honeywell International Inc..................................................... 1,181,151
------------
ELECTRONIC DATA PROCESSING
43,800 Gateway, Inc.*.................................................................. 2,485,650
20,000 Hewlett-Packard Co.............................................................. 2,497,500
38,000 Sun Microsystems, Inc.*......................................................... 3,455,625
------------
8,438,775
------------
FINANCE COMPANIES
16,100 Fannie Mae...................................................................... 840,219
------------
INTEGRATED OIL COMPANIES
17,200 Chevron Corp.................................................................... 1,458,775
34,626 Exxon Mobil Corp................................................................ 2,718,141
------------
4,176,916
------------
INTERNET SERVICES
21,400 America Online, Inc.*........................................................... 1,128,850
------------
MAJOR BANKS
30,900 Chase Manhattan Corp. (The)..................................................... 1,423,331
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
65
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MAJOR CHEMICALS
35,400 Dow Chemical Co. (The).......................................................... $ 1,068,638
------------
MAJOR PHARMACEUTICALS
22,800 American Home Products Corp..................................................... 1,339,500
30,700 Lilly (Eli) & Co................................................................ 3,066,163
------------
4,405,663
------------
MANAGED HEALTH CARE
167,500 Oxford Health Plans, Inc.*...................................................... 3,988,594
------------
MEDIA CONGLOMERATES
55,400 Disney (Walt) Co. (The)......................................................... 2,150,213
------------
MEDICAL SPECIALTIES
25,200 Baxter International, Inc....................................................... 1,771,875
5,040 Edwards Lifesciences Corp.*..................................................... 93,240
------------
1,865,115
------------
MILITARY/GOV'T/TECHNICAL
27,600 General Motors Corp. (Class H)*................................................. 2,421,900
------------
MOTOR VEHICLES
37,550 Ford Motor Co................................................................... 1,614,650
------------
OTHER SPECIALTY STORES
50,200 Bed Bath & Beyond Inc.*......................................................... 1,816,613
------------
PACKAGE GOODS/COSMETICS
24,600 Colgate-Palmolive Co............................................................ 1,472,925
------------
PACKAGED FOODS
54,600 General Mills, Inc.............................................................. 2,088,450
------------
PAPER
19,946 International Paper Co.......................................................... 594,604
------------
PRECISION INSTRUMENTS
30,228 Agilent Technologies, Inc.*..................................................... 2,229,315
------------
SAVINGS & LOAN ASSOCIATIONS
53,400 Golden West Financial Corp...................................................... 2,179,388
------------
SEMICONDUCTORS
23,200 Intel Corp...................................................................... 3,100,100
------------
TOTAL UNITED STATES............................................................. 66,106,767
TOTAL COMMON STOCKS
(IDENTIFIED COST $136,266,792).................................................. 180,699,311
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (5.0%)
REPURCHASE AGREEMENT
$ 9,373 The Bank of New York 7.00% due 07/03/00 (dated 06/30/00; proceeds $9,378,135) (a)
(IDENTIFIED COST $9,372,668)................................................... $ 9,372,668
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $145,639,460) (b)........................................................ 100.8% 190,071,979
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... (0.8) (1,435,377)
----- -------------
NET ASSETS................................................................................ 100.0% $ 188,636,602
----- -------------
----- -------------
</TABLE>
---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
(a) Collateralized by $9,492,834 Federal Home Loan Banks 6.75% due 05/01/02
valued at $9,560,292.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $50,714,873 and the
aggregate gross unrealized depreciation is $6,282,353, resulting in net
unrealized appreciation of $44,432,250.
FORWARD FOREIGN CURRENCY CONTRACT OPEN AT JUNE 30, 2000:
<TABLE>
<CAPTION>
CONTRACT IN EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE APPRECIATION
----------------------------------------------------------------
<S> <C> <C> <C>
$1,985,152 EUR 2,080,000 06/30/00 $ (16,432)
</TABLE>
CURRENCY ABBREVIATION:
<TABLE>
<S> <C>
EUR Euro.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
66
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Aerospace......................................................................... $ 4,621,589 2.4%
Airlines.......................................................................... 939,723 0.5
Alcoholic Beverages............................................................... 1,708,077 0.9
Aluminum.......................................................................... 1,160,000 0.6
Auto Parts: O.E.M................................................................. 59,613 0.0
Biotechnology..................................................................... 6,919,256 3.7
Building Materials................................................................ 1,640,950 0.9
Cable Television.................................................................. 2,090,903 1.1
Cellular Telephone................................................................ 4,373,103 2.3
Clothing/Shoe/Accessory Stores.................................................... 1,415,625 0.8
Computer Communications........................................................... 2,103,919 1.1
Computer/Video Chains............................................................. 636,949 0.3
Construction/Agricultural Equipment/Trucks........................................ 1,443,075 0.8
Consumer Electronics/Appliances................................................... 3,840,094 2.0
Diversified Electronic Products................................................... 9,477,384 5.0
Diversified Financial Services.................................................... 6,600,361 3.5
Diversified Manufacturing......................................................... 1,181,151 0.6
E.D.P. Services................................................................... 1,179,781 0.6
Electric Utilities................................................................ 1,194,305 0.6
Electronic Components............................................................. 2,012,830 1.1
Electronic Data Processing........................................................ 10,982,299 5.8
Finance Companies................................................................. 840,219 0.4
Industrial Machinery/Components................................................... 2,239,434 1.2
Integrated Oil Companies.......................................................... 5,605,458 3.0
International Banks............................................................... 7,087,021 3.8
Internet Services................................................................. 1,128,850 0.6
Investment Bankers/Brokers/Services............................................... 1,958,491 1.0
Life Insurance.................................................................... 2,134,229 1.1
Major Banks....................................................................... 1,423,331 0.8
Major Chemicals................................................................... 2,859,856 1.5
Major Pharmaceuticals............................................................. 8,684,497 4.6
Managed Health Care............................................................... 3,988,594 2.1
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Media Conglomerates............................................................... $ 4,469,405 2.4%
Medical Specialties............................................................... 1,865,115 1.0
Military/Gov't/Technical.......................................................... 2,421,900 1.3
Motor Vehicles.................................................................... 2,776,159 1.5
Movies/Entertainment.............................................................. 1,804,040 1.0
Multi-Sector Companies............................................................ 8,843,310 4.7
Newspapers........................................................................ 2,249,938 1.2
Non - U.S. Utilities.............................................................. 1,085,153 0.6
Oil & Gas Production.............................................................. 1,670,632 0.9
Oil Refining/Marketing............................................................ 3,697,339 2.0
Other Pharmaceuticals............................................................. 1,474,811 0.8
Other Specialty Stores............................................................ 1,816,613 1.0
Other Telecommunications.......................................................... 1,899,124 1.0
Package Goods/Cosmetics........................................................... 2,078,585 1.1
Packaged Foods.................................................................... 3,687,764 2.0
Paints/Coatings................................................................... 1,698,832 0.9
Paper............................................................................. 594,604 0.3
Photographic Products............................................................. 2,547,170 1.4
Precision Instruments............................................................. 2,229,315 1.2
Railroads......................................................................... 1,162,264 0.6
Real Estate....................................................................... 894,724 0.5
Recreational Products/Toys........................................................ 1,474,670 0.8
Repurchase Agreement.............................................................. 9,372,668 5.0
Savings & Loan Associations....................................................... 2,179,388 1.2
Semiconductors.................................................................... 5,439,723 2.9
Telecommunication Equipment....................................................... 8,692,677 4.6
Telecommunications................................................................ 7,479,150 4.0
Utilities......................................................................... 935,939 0.5
------------ -----
$190,071,979 100.8%
------------ -----
------------ -----
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Common Stocks..................................................................... $$180,699,311 95.8%
Short-Term Investment............................................................. 9,372,668 5.0
------------ -----
$190,071,979 100.8%
------------ -----
------------ -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
67
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (77.1%)
ADVERTISING (1.1%)
53,200 Getty Images, Inc.*.................................................................... $ 1,971,725
------------
AIR FREIGHT/DELIVERY SERVICES (0.9%)
31,720 C.H. Robinson Worldwide, Inc........................................................... 1,568,157
------------
AIRLINES (0.4%)
9,000 Continental Airlines, Inc. (Class B)*.................................................. 423,000
9,000 Northwest Airlines Corp. (Class A)*.................................................... 273,375
------------
696,375
------------
APPAREL (0.7%)
69,500 Guess?, Inc.*.......................................................................... 973,000
------------
AUTO PARTS: O.E.M. (0.6%)
39,000 Gentex Corp.*.......................................................................... 975,000
------------
BIOTECHNOLOGY (3.5%)
9,000 Alkermes, Inc.*........................................................................ 423,562
23,600 Charles River Laboratories International, Inc.*........................................ 523,625
900 ILEX Oncology, Inc.*................................................................... 31,837
14,500 Intermune Pharmaceuticals, Inc.*....................................................... 594,500
5,900 Myriad Genetics, Inc.*................................................................. 873,569
15,900 QLT PhotoTherapeutics Inc. (Canada)*................................................... 1,234,237
42,300 Titan Pharmaceuticals, Inc.*........................................................... 1,818,900
8,700 Trimeris, Inc.*........................................................................ 608,456
------------
6,108,686
------------
BROADCASTING (0.6%)
31,500 Westwood One, Inc.*.................................................................... 1,074,937
------------
CABLE TELEVISION (0.6%)
20,200 Pegasus Communications Corp.*.......................................................... 988,537
------------
CELLULAR TELEPHONE (1.8%)
41,500 Clearnet Communications Inc. (Class A) (Canada)*....................................... 1,154,219
24,000 TeleCorp PCS, Inc.*.................................................................... 967,500
38,000 Tritel, Inc.*.......................................................................... 1,128,125
------------
3,249,844
------------
COMPUTER COMMUNICATIONS (0.1%)
1,900 Extended Systems Inc.*................................................................. 182,400
------------
COMPUTER SOFTWARE (7.1%)
42,000 Daleen Technologies, Inc.*............................................................. 648,375
22,300 Entrust Technologies Inc.*............................................................. 1,848,112
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
30,000 Inet Technologies, Inc.*............................................................... $ 1,627,500
19,500 Micromuse Inc.*........................................................................ 3,226,031
20,000 NetIQ Corp.*........................................................................... 1,192,500
43,200 Peregrine Systems, Inc.*............................................................... 1,503,900
44,300 Project Software & Development, Inc.*.................................................. 819,550
9,000 Puma Technology, Inc.*................................................................. 241,312
28,600 SmartForce PLC (ADR) (Ireland)*........................................................ 1,369,225
2,600 Witness Systems, Inc.*................................................................. 62,725
------------
12,539,230
------------
CONTRACT DRILLING (2.9%)
100,000 Marine Drilling Companies, Inc.*....................................................... 2,800,000
63,000 R&B Falcon Corp.*...................................................................... 1,484,437
22,400 Santa Fe International Corp............................................................ 782,600
------------
5,067,037
------------
DISCOUNT CHAINS (0.4%)
20,000 BJ's Wholesale Club, Inc.*............................................................. 660,000
------------
DIVERSIFIED ELECTRONIC PRODUCTS (0.2%)
37,000 MSI Holdings, Inc.*.................................................................... 333,000
------------
E.D.P. PERIPHERALS (1.2%)
30,000 DSP Group, Inc.*....................................................................... 1,706,250
13,500 Electronics for Imaging, Inc.*......................................................... 340,875
------------
2,047,125
------------
E.D.P. SERVICES (1.5%)
26,200 Concord Communications, Inc.*.......................................................... 1,069,287
30,000 Manhattan Associates, Inc.*............................................................ 742,500
49,600 Pegasus Solutions, Inc.*............................................................... 536,300
3,200 StorageNetworks, Inc.*................................................................. 288,800
------------
2,636,887
------------
ELECTRIC UTILITIES (0.3%)
57,400 BayCorp Holdings, Ltd.*................................................................ 466,375
------------
ELECTRICAL PRODUCTS (1.0%)
2,000 C&D Technologies, Inc.*................................................................ 113,000
1,900 Capstone Turbine Corp.*................................................................ 85,856
14,400 Power-One, Inc.*....................................................................... 1,639,800
------------
1,838,656
------------
ELECTRONIC COMPONENTS (3.7%)
30,000 Benchmark Electronics, Inc.*........................................................... 1,096,875
3,800 Bluewave Systems Inc.*................................................................. 38,950
10,800 Bookham Technology PLC (ADR) (United Kingdom).......................................... 638,550
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
68
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
77,500 MEMC Electronic Materials, Inc.*....................................................... $ 1,395,000
18,000 Methode Electronics, Inc. (Class A).................................................... 695,250
74,500 Oak Technology, Inc.*.................................................................. 1,601,750
25,000 Parthus Technologies PLC (Ireland)..................................................... 72,010
30,000 Power Integrations, Inc.*.............................................................. 706,875
7,400 Stratos Lightwave, Inc.*............................................................... 205,812
------------
6,451,072
------------
ELECTRONIC DATA PROCESSING (0.0%)
900 RadiSys Corp.*......................................................................... 50,681
------------
ELECTRONIC DISTRIBUTORS (0.8%)
50,000 Metron Technology N.V.*................................................................ 606,250
25,800 Safeguard Scientifics, Inc.*........................................................... 827,212
------------
1,433,462
------------
ELECTRONIC PRODUCTION EQUIPMENT (7.3%)
22,300 Advanced Energy Industries, Inc.*...................................................... 1,314,306
13,500 Applied Science & Technology, Inc.*.................................................... 345,094
23,600 ASM International NV (Netherlands)..................................................... 625,400
41,300 Asyst Technologies, Inc.*.............................................................. 1,404,200
25,000 ATMI, Inc.*............................................................................ 1,160,937
26,500 EMCORE Corp.*.......................................................................... 3,178,344
27,500 GaSonics International Corp.*.......................................................... 1,084,531
65,000 inSilicon Corp.*....................................................................... 975,000
28,000 MKS Instruments, Inc.*................................................................. 1,088,500
15,000 Photon Dynamics, Inc.*................................................................. 1,120,312
25,000 Therma-Wave Inc.*...................................................................... 550,000
------------
12,846,624
------------
ENGINEERING & CONSTRUCTION (0.6%)
40,000 Spectrasite Holdings, Inc.*............................................................ 1,135,000
------------
FINANCE COMPANIES (0.2%)
50,000 NextCard, Inc.*........................................................................ 421,875
------------
GENERIC DRUGS (0.9%)
33,000 Ivax Corp.*............................................................................ 1,369,500
11,000 Warner Chilcott Laboratories (ADR) (Ireland)*.......................................... 244,750
------------
1,614,250
------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INDUSTRIAL MACHINERY/COMPONENTS (0.5%)
12,500 Applied Power, Inc. (Class A).......................................................... $ 418,750
7,500 Singulus Technologies AG (Germany)..................................................... 443,796
------------
862,546
------------
INTERNET SERVICES (5.6%)
8,935 Akamai Technologies, Inc.*............................................................. 1,060,473
35,000 Art Technology Group, Inc.*............................................................ 3,532,813
62,700 Delano Technology Corp. (Canada)*...................................................... 760,238
18,300 Digex, Inc.*........................................................................... 1,243,256
10,300 Intertrust Technologies Corp.*......................................................... 211,150
54,300 Metalink Ltd. (Israel)*................................................................ 1,588,275
5,000 Optio Software, Inc.*.................................................................. 29,063
17,000 Quest Software, Inc.*.................................................................. 941,375
20,000 SINA.com (Hong Kong)*.................................................................. 507,500
------------
9,874,143
------------
INVESTMENT BANKERS/BROKERS/SERVICES (0.6%)
22,600 eSPEED, Inc (Class A)*................................................................. 981,688
9,000 LaBranche & Co., Inc.*................................................................. 129,375
------------
1,111,063
------------
MEDICAL EQUIPMENT & SUPPLIES (0.1%)
4,500 Zoll Medical Corp.*.................................................................... 220,500
------------
MEDICAL SPECIALTIES (4.4%)
25,500 ABIOMED, Inc.*......................................................................... 784,125
45,550 ArthroCare Corp.*...................................................................... 2,425,538
11,300 Cytyc Corp.*........................................................................... 602,431
15,500 Digene Corp.*.......................................................................... 625,813
10,000 Mentor Corp............................................................................ 271,250
44,900 PharmaNetics, Inc.*.................................................................... 883,969
30,300 ResMed, Inc.*.......................................................................... 810,525
46,000 SonoSite, Inc.*........................................................................ 1,322,500
------------
7,726,151
------------
MEDICAL/DENTAL DISTRIBUTORS (0.4%)
9,500 Priority Healthcare Corp.*............................................................. 703,000
------------
MEDICAL/NURSING SERVICES (0.4%)
96,000 Hooper Holmes, Inc..................................................................... 768,000
------------
METALS FABRICATIONS (1.3%)
13,500 Grant Predico, Inc.*................................................................... 337,500
43,300 Maverick Tube Corp.*................................................................... 1,255,700
15,000 Shaw Group Inc.*....................................................................... 706,875
------------
2,300,075
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
69
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MILITARY/GOV'T/TECHNICAL (2.0%)
15,000 M-Systems Flash Disk Pioneers Ltd. (Israel)*........................................... $ 1,167,188
51,800 Titan Corp. (The)*..................................................................... 2,318,050
------------
3,485,238
------------
OFFICE/PLANT AUTOMATION (0.1%)
2,700 Adept Technology, Inc.*................................................................ 126,056
------------
OIL & GAS PRODUCTION (0.8%)
15,000 Barrett Resources Corp.*............................................................... 456,563
31,500 Cross Timbers Royalty Trust............................................................ 696,938
17,500 Forest Oil Corp.*...................................................................... 278,906
------------
1,432,407
------------
OILFIELD SERVICES/EQUIPMENT (0.4%)
12,300 BJ Services Co.*....................................................................... 768,750
------------
OTHER PHARMACEUTICALS (2.8%)
48,600 Celgene Corp.*......................................................................... 2,861,325
57,000 Cell Pathways, Inc.*................................................................... 1,332,375
22,100 Connetics Corp.*....................................................................... 323,213
25,000 Dendreon Corp.*........................................................................ 400,000
------------
4,916,913
------------
OTHER SPECIALTY STORES (0.7%)
40,000 Cost Plus, Inc.*....................................................................... 1,147,500
------------
OTHER TELECOMMUNICATIONS (4.1%)
5,900 Clarent Corp.*......................................................................... 421,850
25,000 Crane Co............................................................................... 607,813
28,200 Efficient Networks, Inc.*.............................................................. 2,074,463
4,200 Helsingin Puhelin Oyj (Finland)*....................................................... 411,270
29,000 ITC DeltaCom, Inc.*.................................................................... 645,250
24,600 Pinnacle Holdings Inc.*................................................................ 1,328,400
30,000 Primus Telecommunications Group, Inc.*................................................. 746,250
2,500 RTX Telecom A/S (Denmark)*............................................................. 79,941
23,800 Viatel, Inc.*.......................................................................... 678,300
31,100 WorldQuest Networks, Inc.*............................................................. 217,700
------------
7,211,237
------------
PRECIOUS METALS (1.0%)
63,800 Stillwater Mining Co.*................................................................. 1,778,425
------------
PRECISION INSTRUMENTS (2.0%)
12,900 Coherent, Inc.*........................................................................ 1,079,569
30,000 Mettler-Toledo International Inc.*..................................................... 1,200,000
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
5,000 Trimble Navigation Ltd.*............................................................... $ 244,063
10,900 Zygo Corp.............................................................................. 989,856
------------
3,513,488
------------
PROPERTY - CASUALTY INSURERS (0.4%)
25,000 ACE, Ltd. (Bermuda).................................................................... 700,000
------------
RENTAL/LEASING COMPANIES (0.3%)
27,300 Comdisco, Inc.......................................................................... 609,131
------------
SEMICONDUCTORS (5.7%)
33,800 Exar Corp.*............................................................................ 2,946,938
22,700 Integrated Device Technology, Inc.*.................................................... 1,362,000
40,000 Integrated Silicon Solution, Inc.*..................................................... 1,517,500
9,000 Intersil Holding Corp.*................................................................ 486,000
300 Micronas Semiconductor Holding AG (Switzerland)*....................................... 167,157
31,200 MRV Communications, Inc.*.............................................................. 2,098,200
9,000 QuickLogic Corporation*................................................................ 204,188
26,700 S-3*................................................................................... 390,488
16,000 Silicon Image, Inc.*................................................................... 798,000
------------
9,970,471
------------
SERVICES TO THE HEALTH INDUSTRY (0.2%)
5,400 Laboratory Corp. of America Holdings*.................................................. 416,475
------------
SHOE MANUFACTURING (0.1%)
4,900 Kenneth Cole Productions, Inc. (Class A)*.............................................. 196,000
------------
TELECOMMUNICATION EQUIPMENT (4.8%)
66,000 BreezeCom Ltd. (Israel)*............................................................... 2,862,750
30,000 CommScope, Inc.*....................................................................... 1,230,000
70,800 DDi Corp.*............................................................................. 2,013,375
11,500 L-3 Communications Holdings, Inc.*..................................................... 656,219
30,000 MCK Communications, Inc.*.............................................................. 693,750
30,500 Paradyne Networks, Inc.*............................................................... 993,156
------------
8,449,250
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $102,272,514)......................................................... 135,616,754
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
70
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT(a) (21.6%)
U.S. GOVERNMENT AGENCY
$ 38,000 Federal Home Loan Banks 6.57% due 07/03/00 (AMORTIZED COST $37,986,130)................ $ 37,986,130
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $140,258,644)(B)......................................................... 98.7% 173,602,884
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 1.3 2,245,416
----- -------------
NET ASSETS................................................................................ 100.0% $ 175,848,300
----- -------------
----- -------------
</TABLE>
---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) 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 $42,139,413, and the
aggregate gross unrealized depreciation is $8,795,173, resulting in net
unrealized appreciation of $33,344,240.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 2000:
<TABLE>
<CAPTION>
CONTRACTS IN EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE DEPRECIATION
--------------------------------------------------------------------
<S> <C> <C> <C>
$ 141,263 EUR 147,842 07/05/2000 $ (163)
</TABLE>
CURRENCY ABBREVIATION:
------------------------
<TABLE>
<S> <C>
EUR Euro.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
71
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON AND PREFERRED
STOCKS (97.2%)
ARGENTINA (1.6%)
INTERNATIONAL BANKS
2,610 Banco Frances del Rio de La Plato S.A. (ADR)....................... $ 56,441
-----------
OIL & GAS PRODUCTION
4,924 PC Holdings S.A. (ADR)............................................. 90,171
-----------
TELECOMMUNICATIONS
6,420 Telecom Argentina Stet - France Telecom S.A. (Class B) (ADR)....... 176,550
-----------
TOTAL ARGENTINA.................................................... 323,162
-----------
BRAZIL (9.3%)
ALCOHOLIC BEVERAGES
3,665 Companhia Cervejaria Brahma (ADR).................................. 62,305
-----------
CELLULAR TELEPHONE
2,630 Telesp Celular Sul Participacoes S.A. (ADR) (Pref.)................ 118,021
-----------
ELECTRIC UTILITIES
3,402 Companhia Energetica de Minas Gerais S.A. (ADR) (Pref.)............ 58,366
3,900 Companhia Paranaense de Energia - Copel (ADR) (Pref.).............. 36,319
-----------
94,685
-----------
INTEGRATED OIL COMPANIES
12,576 Petroleo Brasileiro S.A. (Pref.)................................... 379,283
-----------
INTERNATIONAL BANKS
15,400,000 Banco Bradesco S.A. (Pref.)........................................ 133,802
1,461,000 Banco Itau S.A. (Pref.)............................................ 127,342
2,770 Uniao de Bancos Brasileiros S.A. (GDR)............................. 79,637
-----------
340,781
-----------
OTHER METALS/MINERALS
3,740 Companhia Vale do Rio Doce (Pref.) (A Shares)...................... 105,142
5,000 Companhia Vale do Rio Doce S.A. (Debentures)*++.................... --
-----------
105,142
-----------
OTHER TELECOMMUNICATIONS
1,534 Tele Centro Sul Participacoes S.A.
(ADR)............................................................ 112,078
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
9,972 Tele Norte Leste Participacoes S.A. (ADR) (Pref.).................. $ 235,589
-----------
347,667
-----------
TELECOMMUNICATIONS
9,032 Embratel Participacoes S.A. (ADR) (Pref.).......................... 213,381
2,235 Telecomunicacoes Brasileiras S.A. - Telebras (ADR)................. 217,074
-----------
430,455
-----------
TOTAL BRAZIL....................................................... 1,878,339
-----------
CAYMAN ISLANDS (1.0%)
MUTUAL FUNDS
8,093 Formosa Growth Fund Ltd.*.......................................... 207,343
-----------
CHILE (1.6%)
ALCOHOLIC BEVERAGES
2,760 Compania Cervecerias Unidas S.A. (ADR)............................. 62,617
2,720 Vina Concha Y Toro S.A. (ADR)...................................... 99,110
-----------
161,727
-----------
BANKING
3,530 Banco Santander Chile (ADR)........................................ 56,480
-----------
BEVERAGES - NON-ALCOHOLIC
2,930 Embotelladora Andina S.A. (Series A) (ADR)......................... 34,428
-----------
TELECOMMUNICATIONS
3,878 Cia de Telecommunicaciones de Chile S.A. (ADR)..................... 70,289
-----------
TOTAL CHILE........................................................ 322,924
-----------
CHINA (2.7%)
ELECTRIC UTILITIES
438,000 Huaneng Power International, Inc. (Class H)........................ 143,271
-----------
OIL & GAS PRODUCTION
910,000 PetroChina Co. Ltd.*............................................... 189,104
-----------
TELECOMMUNICATIONS
10,000 China Unicom Ltd.
(ADR)*........................................................... 212,500
-----------
TOTAL CHINA........................................................ 544,875
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
72
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
GREECE (3.6%)
BUILDING MATERIALS
1,280 Titan Cement Co. S.A............................................... $ 48,518
-----------
CELLULAR TELEPHONE
3,350 Panafon Hellenic Telecom S.A....................................... 37,999
-----------
INTERNATIONAL BANKS
4,613 Alpha Credit Bank.................................................. 181,945
2,926 National Bank of Greece S.A........................................ 115,792
-----------
297,737
-----------
OIL & GAS PRODUCTION
5,550 Hellenic Petroleum S.A............................................. 62,248
-----------
TELECOMMUNICATION EQUIPMENT
2,430 Intracom S.A....................................................... 90,561
-----------
TELECOMMUNICATIONS
7,902 Hellenic Telecommunication Organization S.A........................ 192,454
-----------
TOTAL GREECE....................................................... 729,517
-----------
HONG KONG (6.0%)
CELLULAR TELEPHONE
82,000 China Mobile Ltd.*................................................. 723,155
-----------
ELECTRONIC DATA PROCESSING
410,000 Legend Holdings Ltd................................................ 397,078
-----------
MARINE TRANSPORTATION
112,500 Cosco Pacific Ltd.................................................. 88,751
-----------
TOTAL HONG KONG.................................................... 1,208,984
-----------
HUNGARY (1.6%)
INTERNATIONAL BANKS
2,130 OTP Bank RT........................................................ 110,995
-----------
OTHER TELECOMMUNICATIONS
13,050 Magyar Tavkozlesi RT............................................... 90,751
3,200 Magyar Tavkozlesi RT (ADR)......................................... 110,200
-----------
200,951
-----------
TOTAL HUNGARY...................................................... 311,946
-----------
INDIA (6.7%)
E.D.P. SERVICES
4,900 Infosys Technologies Ltd. (ADR).................................... 868,525
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER TELECOMMUNICATIONS
30,100 Videsh Sanchar Nigam Ltd. (GDR).................................... $ 474,075
-----------
TOTAL INDIA........................................................ 1,342,600
-----------
ISRAEL (3.2%)
FOOD CHAINS
2,385 Blue Square Chain Investments & Properties Ltd..................... 32,788
-----------
INTERNATIONAL BANKS
25,550 Bank Hapoalim Ltd.................................................. 74,000
21,400 Bank Leumi Le-Israel............................................... 44,130
-----------
118,130
-----------
MILITARY/GOV'T/TECHNICAL
5,721 Elbit Systems Ltd.................................................. 84,388
-----------
OTHER PHARMACEUTICALS
3,000 Teva Pharmaceutical Industries Ltd. (ADR).......................... 166,312
-----------
TELECOMMUNICATION EQUIPMENT
2,880 ECI Telecom Ltd. (ADR)............................................. 102,600
1,130 NICE-Systems Ltd. (ADR)*........................................... 87,222
-----------
189,822
-----------
TELECOMMUNICATIONS
10,470 Bezeq Israeli Telecommunication Corp., Ltd......................... 58,266
-----------
TOTAL ISRAEL....................................................... 649,706
-----------
MEXICO (10.2%)
ALCOHOLIC BEVERAGES
58,500 Grupo Modelo S.A. de C.V. (Series C)............................... 135,653
-----------
BEVERAGES - NON-ALCOHOLIC
3,555 Fomento Economico Mexicano, S.A. de C.V. (ADR)..................... 153,087
-----------
BROADCASTING
5,040 Grupo Televisa S.A. de C.V. (GDR)*................................. 347,445
-----------
BUILDING MATERIALS
5,880 Cemex S.A. de C.V. (ADR)........................................... 137,445
-----------
INTERNATIONAL BANKS
24,670 Grupo Financiero Banamex Accival, S.A. de C.V. (Banacci)*.......... 103,647
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
73
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER SPECIALTY STORES
20,800 Organizacion Soriana S.A. de C.V. (Series B)....................... $ 82,744
153,000 Wal-Mart de Mexico S.A. de C.V. (Series C)*........................ 352,456
-----------
435,200
-----------
PACKAGE GOODS/COSMETICS
21,710 Kimberly-Clark de Mexico S.A. de C.V. (A Shares)................... 61,689
-----------
TELECOMMUNICATIONS
12,130 Telefonos de Mexico S.A. de C.V. (Series L) (ADR).................. 692,926
-----------
TOTAL MEXICO....................................................... 2,067,092
-----------
POLAND (1.7%)
INTERNATIONAL BANKS
1,550 Bank Slaski S.A.................................................... 83,366
1,198 BRE Bank S.A....................................................... 37,094
-----------
120,460
-----------
TELECOMMUNICATIONS
11,900 Telekomunikacja Polska S.A. (GDR) - 144A**......................... 83,002
-----------
WHOLESALE DISTRIBUTORS
12,400 Elektrim Spolka Akcyjna S.A.*...................................... 142,202
-----------
TOTAL POLAND....................................................... 345,664
-----------
RUSSIA (1.0%)
ELECTRIC UTILITIES
2,325 Unified Energy Systems (ADR)....................................... 25,720
-----------
INTEGRATED OIL COMPANIES
1,625 Lukoil Holding Co. (ADR)........................................... 82,875
-----------
OIL & GAS PRODUCTION
4,175 Surgutneftegaz (ADR)............................................... 54,797
-----------
TELECOMMUNICATIONS
2,500 Rostelecom (ADR)................................................... 34,063
-----------
TOTAL RUSSIA....................................................... 197,455
-----------
SOUTH AFRICA (7.7%)
ALCOHOLIC BEVERAGES
12,072 South African Breweries Ltd........................................ 90,029
-----------
CLOTHING/SHOE/ACCESSORY STORES
522 Edgars Consolidated Stores Ltd..................................... 5,155
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED FINANCIAL SERVICES
125,010 Sanlam Ltd......................................................... $ 147,580
-----------
INTERNATIONAL BANKS
13,880 Nedcor Investment Bank Holdings.................................... 6,546
9,388 Nedcor Ltd......................................................... 197,030
-----------
203,576
-----------
LIFE INSURANCE
13,610 Liberty Group Ltd.................................................. 129,380
-----------
MULTI-SECTOR COMPANIES
18,750 Johnnic Holdings Ltd............................................... 257,001
-----------
OTHER METALS/MINERALS
7,620 De Beers Consolidated Mines Ltd. (Units) ++........................ 185,306
-----------
PRECIOUS METALS
6,065 Anglo American Platinum Corporation Ltd............................ 174,665
4,940 Anglo American PLC................................................. 234,586
2,076 Anglogold Ltd...................................................... 84,753
-----------
494,004
-----------
REAL ESTATE
5,577 Liberty International PLC.......................................... 45,043
-----------
TOTAL SOUTH AFRICA................................................. 1,557,074
-----------
SOUTH KOREA (16.9%)
BANKING
3,422 Kookmin Bank....................................................... 43,575
-----------
CELLULAR TELEPHONE
3,000 SK Telecom Co., Ltd................................................ 981,931
-----------
DIVERSIFIED ELECTRONIC PRODUCTS
2,688 Samsung Electronics Co............................................. 889,452
-----------
SPECIALTY CHEMICALS
7,001 L.G. Chemical Ltd.................................................. 140,001
-----------
SPECIALTY FOODS/CANDY
720 Cheil Jedang Corp.................................................. 32,993
-----------
STEEL/IRON ORE
5,610 Pohang Iron & Steel Co., Ltd....................................... 485,423
-----------
TELECOMMUNICATIONS
4,800 Korea Telecom Corp.*............................................... 422,687
8,870 Korea Telecom Corp. (ADR).......................................... 429,086
-----------
851,773
-----------
TOTAL SOUTH KOREA.................................................. 3,425,148
-----------
TAIWAN (16.2%)
COMPUTER/VIDEO CHAINS
1,200 Synnex Technology International Corp. (GDR)........................ 25,680
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
74
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED COMMERCIAL SERVICES
16,796 ASE Test Ltd. (ADR)................................................ $ 493,383
-----------
ELECTRONIC DATA PROCESSING
30,287 Acer Inc. (GDR)*................................................... 283,183
45,250 Asustek Computer Inc. (GDR)........................................ 418,562
193 Asustek Computer Inc. (GDR) - 144A**............................... 1,786
-----------
703,531
-----------
ELECTRONIC PRODUCTION EQUIPMENT
27,762 Taiwan Semiconductor Manufacturing Co., Ltd. (ADR)*................ 1,075,793
-----------
SEMICONDUCTORS
17,038 Winbond Electronics Corp. (GDR)*................................... 492,398
16,785 Winbond Electronics Corp. (GDR) - 144A** *......................... 485,099
-----------
977,497
-----------
TOTAL TAIWAN....................................................... 3,275,884
-----------
TURKEY (6.0%)
BUILDING MATERIALS
5,841,600 Akcansa Cimento A.S................................................ 91,276
-----------
CONSUMER ELECTRONICS/APPLIANCES
5,325,000 Arcelik A.S........................................................ 261,622
6,500 Vestel Elektronik Sanayi ve Ticaret A.S. (GDR)*.................... 97,825
-----------
359,447
-----------
FOOD CHAINS
1,134,300 Migros Turk T.A.S.................................................. 210,127
-----------
INTERNATIONAL BANKS
14,002,000 Akbank T.A.S....................................................... 108,265
11,790,936 Turkiye Is Bankasi (C Shares)...................................... 251,663
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
17,827,700 Yapi ve Kredi Bankasi A.S.......................................... $ 198,153
-----------
558,081
-----------
TOTAL TURKEY....................................................... 1,218,931
-----------
VENEZUELA (0.2%)
TELECOMMUNICATIONS
1,530 Compania Anonima Nacional Telefonos de Venezuela (CANTV) (ADR)..... 41,597
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $14,063,385) (A).......................................................... 97.2% 19,648,241
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 2.8 566,620
----- ------------
NET ASSETS................................................................................. 100.0% $ 20,214,861
----- ------------
----- ------------
</TABLE>
---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
++ Consist of one or more class of securities traded together as a unit;
stocks or bonds with attached warrants.
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $5,976,134 and the
aggregate gross unrealized depreciation is $391,278, resulting in net
unrealized appreciation of $5,584,856.
SEE NOTES TO FINANCIAL STATEMENTS
75
<PAGE>
EMERGING MARKETS
SUMMARY OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Alcoholic Beverages................................................................ $ 449,714 2.2%
Banking............................................................................ 100,055 0.5
Beverages - Non-Alcoholic.......................................................... 187,515 0.9
Broadcasting....................................................................... 347,445 1.7
Building Materials................................................................. 277,239 1.4
Cellular Telephone................................................................. 1,861,106 9.2
Clothing/Shoe/Accessory Stores..................................................... 5,155 0.0
Computer/Video Chains.............................................................. 25,680 0.1
Consumer Electronics/Appliances.................................................... 359,447 1.8
Diversified Commercial Services.................................................... 493,382 2.5
Diversified Electronic Products.................................................... 889,452 4.4
Diversified Financial Services..................................................... 147,580 0.7
E.D.P. Services.................................................................... 868,525 4.3
Electric Utilities................................................................. 263,676 1.3
Electronic Data Processing......................................................... 1,100,609 5.5
Electronic Production Equipment.................................................... 1,075,793 5.3
Food Chains........................................................................ 242,914 1.2
Integrated Oil Companies........................................................... 462,158 2.3
International Banks................................................................ 1,909,848 9.5
Life Insurance..................................................................... 129,380 0.6
Marine Transportation.............................................................. 88,751 0.4
Military/Gov't/Technical........................................................... 84,388 0.4
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Multi-Sector Companies............................................................. $ 257,001 1.3%
Mutual Funds....................................................................... 207,343 1.0
Oil & Gas Production............................................................... 396,319 2.0
Other Metals/Minerals.............................................................. 290,448 1.4
Other Pharmaceuticals.............................................................. 166,312 0.8
Other Specialty Stores............................................................. 435,200 2.2
Other Telecommunications........................................................... 1,022,693 5.1
Package Goods/Cosmetics............................................................ 61,689 0.3
Precious Metals.................................................................... 494,005 2.4
Real Estate........................................................................ 45,043 0.2
Semiconductors..................................................................... 977,497 4.8
Specialty Chemicals................................................................ 140,001 0.7
Specialty Foods/Candy.............................................................. 32,993 0.2
Steel/Iron Ore..................................................................... 485,424 2.4
Telecommunication Equipment........................................................ 280,383 1.4
Telecommunications................................................................. 2,843,876 14.1
Wholesale Distributors............................................................. 142,202 0.7
----------- -----
$19,648,241 97.2%
----------- -----
----------- -----
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Common Stocks...................................................................... $18,844,306 93.2%
Preferred Stocks................................................................... 803,935 4.0
----------- -----
$19,648,241 97.2%
----------- -----
----------- -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
76
<PAGE>
(This page has been left blank intentionally.)
77
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (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*...................... $120,443,805 $ 8,182,376 $ 72,344,594 $113,269,681 $194,726,386
Cash.......................... 3,049 27,501 5,272,039 -- --
Receivable for:
Investments sold.......... -- -- 64,889 538,462 --
Shares of beneficial
interest sold........... 214 -- 17,039 36,690 187,613
Dividends................. -- -- -- 95,132 237,568
Interest.................. 88,188 29,357 1,511,637 370,053 196,905
Foreign withholding taxes
reclaimed............... -- -- -- -- 8,371
Principal paydowns........ -- 64,667 -- -- --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- -- 1,718 -- --
Prepaid expenses and other
assets...................... 714 936 4,890 62 247
------------ ------------- ------------- ------------ ------------
TOTAL ASSETS............. 120,535,970 8,304,837 79,216,806 114,310,080 195,357,090
------------ ------------- ------------- ------------ ------------
LIABILITIES:
Payable for:
Investments purchased..... -- -- 91,500 144,532 57,600
Shares of beneficial
interest repurchased.... 402,297 29,038 53,299 138,990 108,717
Variation margin on future
contracts............... -- -- -- -- --
Investment management
fees.................... 50,183 4,407 25,960 57,970 105,210
Payable to bank............... -- -- 33,000 -- --
Unrealized depreciation on
open forward foreign
currency contracts.......... -- -- 33,326 -- --
Accrued expenses and other
payables.................... 20,525 10,445 19,444 21,509 18,884
------------ ------------- ------------- ------------ ------------
TOTAL LIABILITIES........ 473,005 43,890 256,529 363,001 290,411
------------ ------------- ------------- ------------ ------------
NET ASSETS:
Paid-in-capital............... 120,062,883 8,391,316 93,475,278 120,904,203 135,452,797
Accumulated undistributed net
investment income (net
investment loss)............ 82 65 25,624 107 1,325
Accumulated undistributed net
realized gain (accumulated
net realized loss).......... -- (25,744) (2,193,147) (2,738,882) 5,978,451
Net unrealized appreciation
(depreciation).............. -- (104,690) (12,347,478) (4,218,349) 53,634,106
------------ ------------- ------------- ------------ ------------
NET ASSETS............... $120,062,965 $ 8,260,947 $ 78,960,277 $113,947,079 $195,066,679
============ ============= ============= ============ ============
*IDENTIFIED COST......... $120,443,805 $ 8,287,066 $ 84,654,730 $117,488,030 $141,092,280
============ ============= ============= ============ ============
SHARES OF BENEFICIAL
INTEREST OUTSTANDING..... 120,062,883 828,679 9,155,645 8,553,927 7,646,337
============ ============= ============= ============ ============
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED SHARES
OF $.01 PAR VALUE)............ $1.00 $9.97 $8.62 $13.32 $25.51
============ ============= ============= ============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
78
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN MID-CAP GLOBAL
GROWTH MARKET GROWTH OPPORTUNITIES EQUITY EQUITY
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value*...................... $596,135,649 $ 169,181,633 $131,692,239 $899,950,374 $157,297,782 $190,071,979
Cash.......................... 69,835 29 -- -- -- 2,049,353
Receivable for:
Investments sold.......... 2,701,481 6,385,229 186,551 21,376,587 -- --
Shares of beneficial
interest sold........... 125,965 24,483 182,533 374,669 202,466 58,100
Dividends................. 899,382 235,217 67,712 190,614 7,501 139,948
Interest.................. -- 370 2,360 -- 4,272 5,467
Foreign withholding taxes
reclaimed............... 2,399 -- -- 4,652 -- 147,106
Principal paydowns........ -- -- -- -- -- --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- -- -- -- -- 16,432
Prepaid expenses and other
assets...................... 458 627 1,538 2,500 16,268 16,312
------------ ------------- ------------ ------------ ------------ ------------
TOTAL ASSETS............. 599,935,169 175,827,588 132,132,933 921,899,396 157,528,289 192,504,697
------------ ------------- ------------ ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased..... 1,877,082 2,326,873 1,164,062 55,579,685 146,043 3,654,527
Shares of beneficial
interest repurchased.... 542,793 183,236 54,623 480,077 17,482 24,095
Variation margin on future
contracts............... -- -- -- 1,960,800 -- --
Investment management
fees.................... 308,013 73,142 83,293 428,422 91,937 153,434
Payable to bank............... -- -- -- -- -- --
Unrealized depreciation on
open forward foreign
currency contracts.......... -- -- -- -- -- --
Accrued expenses and other
payables.................... 42,881 29,282 42,301 43,078 20,781 36,039
------------ ------------- ------------ ------------ ------------ ------------
TOTAL LIABILITIES........ 2,770,769 2,612,533 1,344,279 58,492,062 276,243 3,868,095
------------ ------------- ------------ ------------ ------------ ------------
NET ASSETS:
Paid-in-capital............... 719,973,890 136,153,264 99,817,146 632,688,907 124,155,853 133,102,156
Accumulated undistributed net
investment income (net
investment loss)............ 156 606,479 (234,379) (46,494) (241,901) 412,943
Accumulated undistributed net
realized gain (accumulated
net realized loss).......... (83,477,158) 9,178,547 5,467,181 86,376,010 3,139,361 10,673,897
Net unrealized appreciation
(depreciation).............. (39,332,488) 27,276,765 25,738,706 144,388,911 30,198,733 44,447,606
------------ ------------- ------------ ------------ ------------ ------------
NET ASSETS............... $597,164,400 $ 173,215,055 $130,788,654 $863,407,334 $157,252,046 $188,636,602
============ ============= ============ ============ ============ ============
*IDENTIFIED COST......... $635,468,137 $ 141,904,868 $105,953,533 $755,169,594 $127,099,049 $145,639,460
============ ============= ============ ============ ============ ============
SHARES OF BENEFICIAL
INTEREST OUTSTANDING..... 43,207,632 9,403,281 5,596,257 29,109,332 6,727,760 10,080,806
============ ============= ============ ============ ============ ============
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED SHARES
OF $.01 PAR VALUE)............ $13.82 $18.42 $23.37 $29.66 $23.37 $18.71
============ ============= ============ ============ ============ ============
<CAPTION>
DEVELOPING EMERGING
GROWTH MARKETS
------------------------------ --------------------------------------
<S> <C> <C>
ASSETS:
Investments in securities, at
value*...................... $173,602,884 $ 19,648,241
Cash.......................... 64,179 418,162
Receivable for:
Investments sold.......... 3,456,007 141,915
Shares of beneficial
interest sold........... 132,534 --
Dividends................. 6,681 34,885
Interest.................. -- 12,590
Foreign withholding taxes
reclaimed............... -- --
Principal paydowns........ -- --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- --
Prepaid expenses and other
assets...................... 499 915
------------ ------------
TOTAL ASSETS............. 177,262,784 20,256,708
------------ ------------
LIABILITIES:
Payable for:
Investments purchased..... 1,205,592 --
Shares of beneficial
interest repurchased.... 121,547 6,505
Variation margin on future
contracts............... -- --
Investment management
fees.................... 67,869 20,662
Payable to bank............... -- --
Unrealized depreciation on
open forward foreign
currency contracts.......... -- --
Accrued expenses and other
payables.................... 19,476 14,680
------------ ------------
TOTAL LIABILITIES........ 1,414,484 41,847
------------ ------------
NET ASSETS:
Paid-in-capital............... 131,155,842 16,224,887
Accumulated undistributed net
investment income (net
investment loss)............ 204,111 (43,353)
Accumulated undistributed net
realized gain (accumulated
net realized loss).......... 11,144,108 (1,551,679)
Net unrealized appreciation
(depreciation).............. 33,344,239 5,585,006
------------ ------------
NET ASSETS............... $175,848,300 $ 20,214,861
============ ============
*IDENTIFIED COST......... $140,258,644 $ 14,063,385
============ ============
SHARES OF BENEFICIAL
INTEREST OUTSTANDING..... 5,748,985 1,432,622
============ ============
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED SHARES
OF $.01 PAR VALUE)............ $30.59 $14.11
============ ============
</TABLE>
79
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED BALANCED
MARKET SECURITIES INCOME GROWTH UTILITIES
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest...................... $ 3,885,728 $ 271,397 $ 3,722,495 $ 1,431,115 $ 422,401
Dividends..................... -- -- -- 960,499 1,451,825*
----------- ------------- ------------- ------------ ------------
TOTAL INCOME............. 3,885,728 271,397 3,722,495 2,391,614 1,874,226
----------- ------------- ------------- ------------ ------------
EXPENSES
Investment management fee..... 318,484 27,999 162,120 359,974 617,940
Shareholder reports and
notices..................... 10,250 518 7,294 12,598 24,506
Professional fees............. 10,965 8,066 9,435 10,158 10,813
Custodian fees................ 5,947 2,310 7,303 6,412 9,113
Trustees' fees and expenses... 360 -- 200 312 344
Transfer agent fees and
expenses.................... 250 250 250 250 250
Other......................... 802 1,949 5,042 140 803
----------- ------------- ------------- ------------ ------------
TOTAL EXPENSES........... 347,058 41,092 191,644 389,844 663,769
----------- ------------- ------------- ------------ ------------
NET INVESTMENT INCOME
(LOSS)................... 3,538,670 230,305 3,530,851 2,001,770 1,210,457
----------- ------------- ------------- ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss) on:
Investments............... 16 (6,098) (1,402,848) (1,729,821) 5,978,456
Futures contracts......... -- -- -- -- --
Foreign exchange
transactions............ -- -- 582,227 -- --
----------- ------------- ------------- ------------ ------------
NET GAIN (LOSS).......... 16 (6,098) (820,621) (1,729,821) 5,978,456
----------- ------------- ------------- ------------ ------------
Net change in unrealized
appreciation/depreciation
on:
Investments............... -- (2,529) (2,535,167) (8,232,799) (2,544,259)
Future contracts.......... -- -- -- -- --
Translation of forward
foreign currency
contracts, other assets
and liabilities
denominated in foreign
currencies.............. -- -- 30,851 -- --
----------- ------------- ------------- ------------ ------------
NET APPRECIATION
(DEPRECIATION)........... -- (2,529) (2,504,316) (8,232,799) (2,544,259)
----------- ------------- ------------- ------------ ------------
NET GAIN (LOSS).......... 16 (8,627) (3,324,937) (9,962,620) 3,434,197
----------- ------------- ------------- ------------ ------------
NET INCREASE (DECREASE)....... $ 3,538,686 $ 221,678 $ 205,914 $ (7,960,850) $ 4,644,654
=========== ============= ============= ============ ============
</TABLE>
------------------
* Net of foreign withholding tax of $17,699, $92,582, $3,977, $199, $14,553,
$179,152 , $375, $10,178, respectively.
SEE NOTES TO FINANCIAL STATEMENTS
80
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN MID-CAP
GROWTH MARKET GROWTH OPPORTUNITIES EQUITY
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest...................... $ 507,730 $ 58,857 $ 87,651 $ 1,410,018 $ 227,928
Dividends..................... 8,341,025* 1,619,714* 337,232* 1,250,755* 26,517
------------ ------------ ------------ ------------ ------------
TOTAL INCOME............. 8,848,755 1,678,571 424,883 2,660,773 254,445
------------ ------------ ------------ ------------ ------------
EXPENSES
Investment management fee..... 1,912,281 439,166 454,197 2,587,428 479,467
Shareholder reports and
notices..................... 42,126 15,534 9,899 32,275 1,257
Professional fees............. 11,407 9,839 9,099 12,300 9,259
Custodian fees................ 21,901 10,305 42,053 71,231 5,633
Trustees' fees and expenses... 2,021 461 173 1,449 109
Transfer agent fees and
expenses.................... 250 250 250 250 250
Other......................... 2,609 5,730 103 2,334 371
------------ ------------ ------------ ------------ ------------
TOTAL EXPENSES........... 1,992,595 481,285 515,774 2,707,267 496,346
------------ ------------ ------------ ------------ ------------
NET INVESTMENT INCOME
(LOSS)................... 6,856,160 1,197,286 (90,891) (46,494) (241,901)
------------ ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss) on:
Investments............... (73,041,735) 9,189,596 5,536,134 104,727,129 3,164,613
Futures contracts......... -- -- -- (13,924,286) --
Foreign exchange
transactions............ -- -- -- (1,956) --
------------ ------------ ------------ ------------ ------------
NET GAIN (LOSS).......... (73,041,735) 9,189,596 5,536,134 90,800,887 3,164,613
------------ ------------ ------------ ------------ ------------
Net change in unrealized
appreciation/depreciation
on:
Investments............... (887,724) (12,347,265) 1,670,073 (101,979,195) 5,017,680
Future contracts.......... -- -- -- 1,169,757 --
Translation of forward
foreign currency
contracts, other assets
and liabilities
denominated in foreign
currencies.............. -- -- -- 154 --
------------ ------------ ------------ ------------ ------------
NET APPRECIATION
(DEPRECIATION)........... (887,724) (12,347,265) 1,670,073 (100,809,284) 5,017,680
------------ ------------ ------------ ------------ ------------
NET GAIN (LOSS).......... (73,929,459) (3,157,669) 7,206,207 (10,008,397) 8,182,293
------------ ------------ ------------ ------------ ------------
NET INCREASE (DECREASE)....... $(67,073,299) $ (1,960,383) $ 7,115,316 $(10,054,891) $ 7,940,392
============ ============ ============ ============ ============
<CAPTION>
GLOBAL DEVELOPING EMERGING
EQUITY GROWTH MARKETS
------------------------------ -----------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest...................... $ 246,634 $ 660,794 $ 23,239
Dividends..................... 1,701,037* 35,229* 131,540*
------------ ------------ -------------
TOTAL INCOME............. 1,947,671 696,023 154,779
------------ ------------ -------------
EXPENSES
Investment management fee..... 898,568 443,923 136,269
Shareholder reports and
notices..................... 26,833 11,447 1,617
Professional fees............. 11,225 9,820 6,809
Custodian fees................ 21,223 20,145 11,217
Trustees' fees and expenses... 372 270 18
Transfer agent fees and
expenses.................... 250 250 250
Other......................... 3,597 666 3,166
------------ ------------ -------------
TOTAL EXPENSES........... 962,068 486,521 159,346
------------ ------------ -------------
NET INVESTMENT INCOME
(LOSS)................... 985,603 209,502 (4,567)
------------ ------------ -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss) on:
Investments............... 10,737,332 11,271,652 2,828,999
Futures contracts......... -- -- --
Foreign exchange
transactions............ (7,401) -- (13,282)
------------ ------------ -------------
NET GAIN (LOSS).......... 10,729,931 11,271,652 2,815,717
------------ ------------ -------------
Net change in unrealized
appreciation/depreciation
on:
Investments............... (8,001,669) (29,607,787) (3,305,899)
Future contracts.......... -- -- --
Translation of forward
foreign currency
contracts, other assets
and liabilities
denominated in foreign
currencies.............. 15,086 -- (493)
------------ ------------ -------------
NET APPRECIATION
(DEPRECIATION)........... (7,986,583) (29,607,787) (3,306,392)
------------ ------------ -------------
NET GAIN (LOSS).......... 2,743,348 (18,336,135) (490,675)
------------ ------------ -------------
NET INCREASE (DECREASE)....... $ 3,728,951 $(18,126,633) $ (495,242)
============ ============ =============
</TABLE>
81
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
NORTH AMERICAN GOVERNMENT
MONEY MARKET SECURITIES
---------------------------------- ----------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000 DECEMBER 31, 1999
------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income......... $ 3,538,670 $ 6,047,637 $ 230,305 $ 438,530
Net realized gain (loss)...... 16 454 (6,098) (1,587)
Net change in unrealized
appreciation/depreciation... -- -- (2,529) (117,223)
------------ ------------- ----------- ------------
NET INCREASE
(DECREASE)............... 3,538,686 6,048,091 221,678 319,720
------------ ------------- ----------- ------------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... (3,538,607) (6,047,731) (279,405) (429,137)
Net realized gain............. (16) (454) -- --
Paid-in-capital............... -- -- -- --
------------ ------------- ----------- ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (3,538,623) (6,048,185) (279,405) (429,137)
------------ ------------- ----------- ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 65,938,607 144,516,778 2,523 3,768,903
Reinvestment of dividends and
distributions............... 3,538,623 6,048,185 279,405 429,137
Cost of shares repurchased.... (85,089,568) (135,074,457) (1,383,896) (3,057,203)
------------ ------------- ----------- ------------
NET INCREASE
(DECREASE)............... (15,612,338) 15,490,506 (1,101,968) 1,140,837
------------ ------------- ----------- ------------
TOTAL INCREASE
(DECREASE)............... (15,612,275) 15,490,412 (1,159,695) 1,031,420
NET ASSETS:
Beginning of period........... 135,675,240 120,184,828 9,420,642 8,389,222
------------ ------------- ----------- ------------
END OF PERIOD............ $120,062,965 $ 135,675,240 $ 8,260,947 $ 9,420,642
============ ============= =========== ============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ 82 $ 19 $ 65 $ 49,165
============ ============= =========== ============
SHARES ISSUED AND REPURCHASED:
Sold.......................... 65,938,607 144,516,778 252 373,179
Issued in reinvestment of
dividends and
distributions............... 3,538,623 6,048,185 28,055 42,656
Repurchased................... (85,089,568) (135,074,457) (138,581) (303,201)
------------ ------------- ----------- ------------
NET INCREASE (DECREASE)....... (15,612,338) 15,490,506 (110,274) 112,634
============ ============= =========== ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
82
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
DIVERSIFIED INCOME BALANCED GROWTH UTILITIES
---------------------------------- ---------------------------------- --------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED
JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000
----------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income......... $ 3,530,851 $ 7,541,201 $ 2,001,770 $ 3,817,787 $ 1,210,457
Net realized gain (loss)...... (820,621) (2,270,326) (1,729,821) 1,175,402 5,978,456
Net change in unrealized
appreciation/depreciation... (2,504,316) (6,985,905) (8,232,799) (1,416,501) (2,544,259)
------------ ------------ ------------ ------------ ------------
NET INCREASE
(DECREASE)............... 205,914 (1,715,030) (7,960,850) 3,576,688 4,644,654
------------ ------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... (3,308,195) (7,407,990) (2,330,103) (3,740,026) (1,365,168)
Net realized gain............. -- -- (946,223) (13,846,314) (10,447,048)
Paid-in-capital............... -- (231,544) -- -- --
------------ ------------ ------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (3,308,195) (7,639,534) (3,276,326) (17,586,340) (11,812,216)
------------ ------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 6,857,461 25,140,484 12,143,833 38,151,616 40,174,278
Reinvestment of dividends and
distributions............... 3,308,195 7,639,534 3,276,326 17,586,340 11,812,216
Cost of shares repurchased.... (14,373,516) (31,146,173) (18,535,130) (21,281,195) (15,120,667)
------------ ------------ ------------ ------------ ------------
NET INCREASE
(DECREASE)............... (4,207,860) 1,633,845 (3,114,971) 34,456,761 36,865,827
------------ ------------ ------------ ------------ ------------
TOTAL INCREASE
(DECREASE)............... (7,310,141) (7,720,719) (14,352,147) 20,447,109 29,698,265
NET ASSETS:
Beginning of period........... 86,270,418 93,991,137 128,299,226 107,852,117 165,368,414
------------ ------------ ------------ ------------ ------------
END OF PERIOD............ $ 78,960,277 $ 86,270,418 $113,947,079 $128,299,226 $195,066,679
============ ============ ============ ============ ============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ 25,624 $ (197,032) $ 107 $ 328,440 $ 1,325
============ ============ ============ ============ ============
SHARES ISSUED AND REPURCHASED:
Sold.......................... 778,651 2,660,408 860,977 3,333,509 1,423,670
Issued in reinvestment of
dividends and
distributions............... 379,340 813,366 240,214 241,749 460,161
Repurchased................... (1,630,048) (3,307,173) (1,319,769) (1,387,082) (536,983)
------------ ------------ ------------ ------------ ------------
NET INCREASE (DECREASE)....... (472,057) 166,601 (218,578) 2,188,176 1,346,848
============ ============ ============ ============ ============
<CAPTION>
UTILITIES DIVIDEND GROWTH
------------------ ----------------------------------
FOR THE YEAR FOR THE SIX FOR THE YEAR
ENDED MONTHS ENDED ENDED
DECEMBER 31, 1999 JUNE 30, 2000 DECEMBER 31, 1999
------------------------------ ------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income......... $ 1,851,924 $ 6,856,160 $ 14,549,630
Net realized gain (loss)...... 10,576,744 (73,041,735) 129,094,274
Net change in unrealized
appreciation/depreciation... 33,678,427 (887,724) (142,695,765)
------------ ------------ ------------
NET INCREASE
(DECREASE)............... 46,107,095 (67,073,299) 948,139
------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... (1,813,042) (7,902,216) (14,356,475)
Net realized gain............. (778,316) (135,437,035) (68,998,640)
Paid-in-capital............... -- -- --
------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (2,591,358) (143,339,251) (83,355,115)
------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 53,847,696 58,421,759 184,490,155
Reinvestment of dividends and
distributions............... 2,591,358 143,339,251 83,355,115
Cost of shares repurchased.... (20,269,562) (136,995,556) (165,911,876)
------------ ------------ ------------
NET INCREASE
(DECREASE)............... 36,169,492 64,765,454 101,933,394
------------ ------------ ------------
TOTAL INCREASE
(DECREASE)............... 79,685,229 (145,647,096) 19,526,418
NET ASSETS:
Beginning of period........... 85,683,185 742,811,496 723,285,078
------------ ------------ ------------
END OF PERIOD............ $165,368,414 $597,164,400 $742,811,496
============ ============ ============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ 156,036 $ 156 $ 1,046,212
============ ============ ============
SHARES ISSUED AND REPURCHASED:
Sold.......................... 2,571,246 3,157,734 8,484,915
Issued in reinvestment of
dividends and
distributions............... 126,805 10,292,261 3,815,098
Repurchased................... (978,171) (7,539,045) (7,808,848)
------------ ------------ ------------
NET INCREASE (DECREASE)....... 1,719,880 5,910,950 4,491,165
============ ============ ============
</TABLE>
83
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
VALUE-ADDED MARKET GROWTH
---------------------------------- ----------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000 DECEMBER 31, 1999
------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income
(loss)...................... $ 1,197,286 $ 2,018,885 $ (90,891) $ (71,745)
Net realized gain............. 9,189,596 16,263,318 5,536,134 8,668,664
Net change in unrealized
appreciation/depreciation... (12,347,265) 2,356,309 1,670,073 15,446,798
------------ ------------ ------------ ------------
NET INCREASE
(DECREASE)............... (1,960,383) 20,638,512 7,115,316 24,043,717
------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... (790,413) (2,002,626) -- (3,871)
Net realized gain............. (16,263,313) (6,492,085) (7,192,511) (4,876,846)
------------ ------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (17,053,726) (8,494,711) (7,192,511) (4,880,717)
------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 13,979,326 32,832,745 45,695,159 33,517,947
Reinvestment of dividends and
distributions............... 17,053,727 8,494,711 -- 4,880,717
Cost of shares repurchased.... (28,511,917) (38,587,051) (11,528,207) (14,366,545)
------------ ------------ ------------ ------------
NET INCREASE............. 2,521,136 2,740,405 34,166,952 24,032,119
------------ ------------ ------------ ------------
TOTAL INCREASE
(DECREASE)............... (16,492,973) 14,884,206 34,089,757 43,195,119
NET ASSETS:
Beginning of period........... 189,708,028 174,823,822 96,698,897 53,503,778
------------ ------------ ------------ ------------
END OF PERIOD............ $173,215,055 $189,708,028 $130,788,654 $ 96,698,897
============ ============ ============ ============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ 606,479 $ 199,606 $ (234,379) --
============ ============ ============ ============
SHARES ISSUED AND REPURCHASED:
Sold.......................... 704,110 1,641,753 1,923,676 1,668,923
Issued in reinvestment of
dividends and
distributions............... 923,110 422,129 -- 275,120
Repurchased................... (1,458,577) (1,941,093) (483,636) (722,403)
------------ ------------ ------------ ------------
NET INCREASE.................. 168,643 122,789 1,440,040 1,221,640
============ ============ ============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
84
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
AMERICAN OPPORTUNITIES MID-CAP EQUITY GLOBAL EQUITY
------------------------------------ ---------------------------------- --------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED
JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000
------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income
(loss)...................... $ (46,494) $ 1,448,393 $ (241,901) $ 139,683 $ 985,603
Net realized gain............. 90,800,887 74,042,509 3,164,613 12,556,428 10,729,931
Net change in unrealized
appreciation/depreciation... (100,809,284) 179,944,880 5,017,680 20,188,222 (7,986,583)
------------ ------------ ------------ ------------ ------------
NET INCREASE
(DECREASE)............... (10,054,891) 255,435,782 7,940,392 32,884,333 3,728,951
------------ ------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... -- (1,445,841) -- (146,978) (564,070)
Net realized gain............. (71,766,306) (46,008,369) (9,796,856) (27,244) (11,783,182)
------------ ------------ ------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (71,766,306) (47,454,210) (9,796,856) (174,222) (12,347,252)
------------ ------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 167,710,784 223,047,289 87,214,364 32,535,587 25,080,675
Reinvestment of dividends and
distributions............... 71,766,306 47,454,210 -- 174,222 12,273,674
Cost of shares repurchased.... (62,999,108) (81,365,431) (13,054,378) (8,669,033) (13,842,452)
------------ ------------ ------------ ------------ ------------
NET INCREASE............. 176,477,982 189,136,068 74,159,986 24,040,776 23,511,897
------------ ------------ ------------ ------------ ------------
TOTAL INCREASE
(DECREASE)............... 94,656,785 397,117,640 72,303,522 56,750,887 14,893,596
NET ASSETS:
Beginning of period........... 768,750,549 371,632,909 84,948,524 28,197,637 173,743,006
------------ ------------ ------------ ------------ ------------
END OF PERIOD............ $863,407,334 $768,750,549 $157,252,046 $ 84,948,524 $188,636,602
============ ============ ============ ============ ============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ (46,494) -- $ (241,901) -- $ 412,943
============ ============ ============ ============ ============
SHARES ISSUED AND REPURCHASED:
Sold.......................... 4,995,943 8,757,084 3,531,768 1,991,794 1,279,740
Issued in reinvestment of
dividends and
distributions............... 2,419,633 2,113,992 -- 13,119 653,930
Repurchased................... (1,884,365) (3,237,660) (552,834) (633,054) (705,081)
------------ ------------ ------------ ------------ ------------
NET INCREASE.................. 5,531,211 7,633,416 2,978,934 1,371,859 1,228,589
============ ============ ============ ============ ============
<CAPTION>
GLOBAL EQUITY
------------------
FOR THE YEAR
ENDED
DECEMBER 31, 1999
------------------------------ ------------------
<S> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income
(loss)...................... $ 496,336
Net realized gain............. 16,165,852
Net change in unrealized
appreciation/depreciation... 26,404,172
------------
NET INCREASE
(DECREASE)............... 43,066,360
------------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... (497,530)
Net realized gain............. --
------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (497,530)
------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 29,681,396
Reinvestment of dividends and
distributions............... 497,530
Cost of shares repurchased.... 24,526,962
------------
NET INCREASE............. 5,651,964
------------
TOTAL INCREASE
(DECREASE)............... 48,220,794
NET ASSETS:
Beginning of period........... 125,522,212
------------
END OF PERIOD............ $173,743,006
============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ (8,590)
============
SHARES ISSUED AND REPURCHASED:
Sold.......................... 1,823,137
Issued in reinvestment of
dividends and
distributions............... 31,851
Repurchased................... (1,548,072)
------------
NET INCREASE.................. 306,916
============
</TABLE>
85
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
DEVELOPING GROWTH EMERGING MARKETS
---------------------------------- ----------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2000 DECEMBER 31, 1999 JUNE 30, 2000 DECEMBER 31, 1999
------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
OPERATIONS:
Net investment income
(loss)...................... $ 209,502 $ 54,898 $ (4,567) $ (5,570)
Net realized gain............. 11,271,652 31,720,580 2,815,717 833,229
Net change in unrealized
appreciation/depreciation... (29,607,787) 42,343,872 (3,306,392) 9,795,780
------------ ------------ ------------ -----------
NET INCREASE
(DECREASE)............... (18,126,633) 74,119,350 (495,242) 10,623,439
------------ ------------ ------------ -----------
DIVIDENDS AND DISTRIBUTIONS
FROM:
Net investment income......... (9,373) (52,628) -- --
Net realized gain............. (30,566,098) -- -- --
Paid-in-capital............... -- -- -- (29,513)
------------ ------------ ------------ -----------
TOTAL DIVIDENDS AND
DISTRIBUTIONS............ (30,575,471) (52,628) -- (29,513)
------------ ------------ ------------ -----------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from sales....... 52,872,301 27,643,051 3,827 4,228,591
Reinvestment of dividends and
distributions............... 30,575,471 52,628 -- 29,513
Cost of shares repurchased.... (19,492,411) (22,792,517) (2,182,541) (5,235,518)
------------ ------------ ------------ -----------
NET INCREASE
(DECREASE)............... 63,955,361 4,903,162 (2,178,714) (977,414)
------------ ------------ ------------ -----------
TOTAL INCREASE
(DECREASE)............... 15,253,257 78,969,884 (2,673,956) 9,616,512
NET ASSETS:
Beginning of period........... 160,595,043 81,625,159 22,888,817 13,272,305
------------ ------------ ------------ -----------
END OF PERIOD............ $175,848,300 $160,595,043 $ 20,214,861 $22,888,817
============ ============ ============ ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS)................. $ 204,111 $ 3,982 $ (43,353) $ (38,786)
============ ============ ============ ===========
SHARES ISSUED AND REPURCHASED:
Sold.......................... 1,236,323 1,021,132 224 421,932
Issued in reinvestment of
dividends and
distributions............... 999,454 2,217 -- 3,047
Repurchased................... (497,616) (934,031) (146,841) (524,322)
------------ ------------ ------------ -----------
NET INCREASE (DECREASE)....... 1,738,161 89,318 (146,617) (99,343)
============ ============ ============ ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
86
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (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 Equity which commenced
operations on January 21, 1997. On May 1, 2000, all Portfolio shares were
designated Class X shares.
The investment objectives of each Portfolio are as follows:
<TABLE>
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
Government Securities maintaining relatively low volatility of principal by
primarily investing in 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
Income current 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
Growth income by 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 both capital appreciation and current income by
investing in equity and fixed income securities of companies
in the utilities industry.
Dividend Seeks to provide reasonable current income and long-term
Growth growth of 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>
87
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
<TABLE>
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
Opportunities reduce volatility by investing principally in common stock
of companies in industries which, at the time of the
investment, are believed to be undervalued in the
marketplace.
Mid-Cap Seeks long-term capital appreciation by investing primarily
Equity in equity securities 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
Equity through long-term 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
Growth common stocks of smaller 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
Markets in equity securities 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 it is determined by Morgan Stanley Dean Witter
Advisors Inc. (the "Investment Manager"), or (in
88
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
the case of Growth) by Morgan Stanley Dean Witter Investment Management Inc.
("MSDWIM"), or (in the case of the North American Government Securities, Mid-Cap
Equity and Emerging Markets) by TCW Investment Management Company ("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 unrealized
gain/loss on foreign exchange transactions. Pursuant to U.S. Federal income tax
89
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
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. FUTURES CONTRACTS -- Some of the portfolios may enter into futures contracts.
A futures contract is an agreement between two parties to buy and sell financial
instruments at a set price on a future date. Upon entering into such a contract,
the Fund is required to pledge to the broker cash, U.S. Government securities or
other liquid portfolio securities equal to the minimum initial margin
requirements of the applicable futures exchange. Pursuant to the contract, the
Fund agrees to receive from or pay to the broker an amount of cash equal to the
daily fluctuation in the value of the contract. Such receipts or payments known
as variation margin are recorded by the Fund as unrealized gains or losses. Upon
closing of the contract, the Fund realizes a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
F. 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.
G. 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
90
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
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.
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 Equity ......................... 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;
0.50% to the portion of daily net assets exceeding $500 million but not
exceeding $1 billion and 0.475% to the portion of daily net assets
exceeding $1 billion.
** 0.625% to the portion of daily net assets not exceeding $500 million; and
0.60% to the portion of daily net assets in excess of $500 million.
Effective May 1, 2000, the Agreement was amended to reduce the annual rate
to 0.575% of the portion of daily net assets in excess of $1 billion.
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, Mid-Cap Equity, 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. 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.
91
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
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, 2000 were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER
------------------------------- ----------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- -------------- ----------------
<S> <C> <C> <C> <C>
Money Market............................ $20,307,554 $19,485,781 $ 347,728,617 $ 367,703,706
North American Government Securities.... -- 2,289,562 -- --
Diversified Income...................... 1,600,925 8,568,351 13,532,765 23,532,609
Balanced Growth......................... 3,356,509 4,673,027 25,512,769 24,868,793
Utilities............................... 1,978,417 1,971,172 51,658,658 26,083,998
Dividend Growth......................... -- -- 165,449,313 216,374,868
Value-Added Market...................... -- -- 9,251,446 23,624,448
Growth.................................. -- -- 67,691,597 (40,565,634)
American Opportunities.................. -- -- 2,020,715,903 1,905,855,061
Mid-Cap Equity.......................... -- -- 69,069,041 11,985,294
Global Equity........................... -- -- 72,590,146 57,753,943
Developing Growth....................... -- -- 149,394,749 141,544,322
Emerging Markets........................ -- -- 5,232,530 7,993,439
</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 $155,305, as well as realized gain of $131,728.
Included in the aforementioned sales of portfolio securities of Mid-Cap Equity
are sales of Hartford Life, Inc., an affiliate of the Fund, of $1,893,423, as
well as a realized gain of $142,659.
At June 30, 2000, the American Opportunities receivables for investments sold
included unsettled trades with Morgan Stanley & Co Inc., an affiliate of the
Investment Manager, of $938,891.
At June 30, 2000, Developing Growth's payables for investments purchased and
receivables for investments sold included unsettled trades with Dean Witter
Reynolds Inc. ("DWR"), an affiliate of the Investment Manager of $36,000 and
$610,531, respectively.
For the six months ended June 30, 2000, the following Portfolios incurred
brokerage commissions with DWR for executed portfolio transactions:
<TABLE>
<CAPTION>
BALANCED DIVIDEND AMERICAN DEVELOPING
GROWTH UTILITIES GROWTH OPPORTUNITIES GROWTH
-------- --------- -------- ------------- ----------
<S> <C> <C> <C> <C>
$19,300 $15,750 $102,996 $33,543 $9,045
======= ======= ======== ======= ======
</TABLE>
92
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
For the six months ended June 30, 2000, the following Portfolios incurred
brokerage commissions with Morgan Stanley & Co., Inc., for executed portfolio
transactions:
<TABLE>
<CAPTION>
BALANCED DIVIDEND AMERICAN DEVELOPING EMERGING
GROWTH UTILITIES GROWTH GROWTH OPPORTUNITIES GROWTH MARKETS
-------- --------- -------- -------- ------------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
$5,505 $500 $27,176 $3,263 $202,723 $2,250 $221
====== ==== ======= ====== ======== ====== ====
</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, 1999, 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 2007 TOTAL
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
North American Government Securities.............. $ 8 $ 2 $ 4 $ 6 $ 20
Diversified Income................................ -- -- 153 1,214 1,367
Emerging Markets.................................. -- -- 4,296 -- 4,296
</TABLE>
Net capital and foreign 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 1999: Global Equity -- $81,000;
Emerging Markets -- $5,000.
At December 31, 1999, 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>
Diversified Income...................... -
Balance Growth.......................... -
Dividend Growth......................... -
Value-Added............................. -
Growth.................................. -
American Opportunities.................. -
Mid-Cap Equity.......................... -
Global Equity........................... - -
Developing Growth....................... -
Emerging Markets........................ - -
</TABLE>
93
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
Additionally, Diversified Income had temporary differences attributable to the
mark-to-market of open forward foreign currency exchange contracts and interest
on bonds in default and American Opportunities had temporary differences
attributable to the market-to-market of open futures 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, 2000, Diversified Income, Global Equity and Developing Growth had
outstanding forward contracts.
Some of the Portfolios may purchase and sell stock index futures ("futures
contracts") to facilitate trading, increase or decrease the Portfolio's market
exposure, seek higher investment returns, or to seek to protect against a
decline in the value of the Portfolios securities or an increase in prices of
securities that may be purchased.
These futures contracts involve elements of market risk in excess of the amount
reflected in the Statement of Assets and Liabilities. The Portfolio bears the
risk of an unfavorable change in the value of the underlying securities.
At June 30, 2000, American Opportunities had outstanding futures contracts.
At June 30, 2000, Emerging Markets' cash balance consisted principally of
interest bearing deposits with Chase Manhattan Bank N.A., the Portfolio's
custodian.
94
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (UNAUDITED) CONTINUED
6. OTHER BUSINESS
North American Government 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. Effective September 7, 1999, shares of
the Portfolios were no longer offered for new investment other than through
reinvestment of dividends.
7. SUBSEQUENT EVENT
On July 24, 2000, the Fund began offering Class Y shares of each Portfolio,
except for North American Government Securities and Emerging Markets.
95
<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 TOTAL
VALUE NET NET REALIZED TOTAL FROM DISTRIBUTIONS 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
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 0.05 -- 0.05 (0.05) -- (0.05)
2000** 1.00 0.03 -- 0.03 (0.03) -- (0.03)
NORTH AMERICAN GOVERNMENT SECURITIES
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 0.47 (0.13) 0.34 (0.46) -- (0.46)
2000** 10.03 0.27 (0.01) 0.26 (0.32) -- (0.32)
DIVERSIFIED INCOME
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 0.78 (0.96) (0.18) (0.77) (0.02)++ (0.79)
2000** 8.96 0.38 (0.36) 0.02 (0.36) -- (0.36)
BALANCED GROWTH
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 0.48 0.15 0.63 (0.48) (1.90) (2.38)
2000** 14.63 0.33 (1.26) (0.93) (0.27) (0.11) (0.38)
UTILITIES
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 0.34 7.69 8.03 (0.34) (0.15) (0.49)
2000** 26.25 0.18 0.73 0.91 (0.20) (1.45) (1.65)
DIVIDEND GROWTH
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 0.40 (0.10) 0.30 (0.40) (2.03) (2.43)
2000** 19.92 0.20 (1.99) (1.79) (0.23) (4.08) (4.31)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
96
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSET NET ASSETS -------------------------------
VALUE END OF NET
END OF TOTAL PERIOD INVESTMENT
PERIOD RETURN+ (000'S) EXPENSES INCOME
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MONEY MARKET
1995 $ 1.00 6.10% $ 42,089 0.81% 5.11%
1996 1.00 5.07 87,002 0.59 4.94
1997 1.00 5.21 84,045 0.55 5.08
1998 1.00 5.16 120,185 0.55 5.02
1999 1.00 4.78 135,675 0.54 4.67
2000** 1.00 2.80 (1) 120,063 0.54(2) 5.54(2)
NORTH AMERICAN GOVERNMENT SECURITIES
1995 10.18 6.40 1,288 2.50* 3.24*
1996 10.09 4.35 4,172 1.45 4.55
1997 10.17 5.91 5,091 1.26 4.75
1998 10.15 4.28 8,389 1.15 4.52
1999 10.03 3.40 9,421 1.01 4.60
2000** 9.97 2.67 (1) 8,261 0.95(2) 5.33(2)
DIVERSIFIED INCOME
1995 10.22 6.96 8,972 1.33 5.95
1996 10.32 9.54 32,119 0.71 8.26
1997 10.29 8.32 62,287 0.55 8.09
1998 9.93 4.22 93,991 0.49 7.92
1999 8.96 (1.83) 86,270 0.48 8.31
2000** 8.62 0.20 (1) 78,960 0.47(2) 8.71(2)
BALANCED GROWTH
1995 11.89 22.86 16,311 1.39 2.45
1996 13.07 13.54 38,893 0.90 2.35
1997 15.03 17.87 71,323 0.86 2.13
1998 16.38 14.41 107,852 0.71 2.87
1999 14.63 3.52 128,299 0.64 3.10
2000** 13.32 (6.36)(1) 113,947 0.65(2) 3.33(2)
UTILITIES
1995 12.35 28.05 17,959 1.43 3.01
1996 12.94 8.48 35,686 0.80 3.16
1997 15.84 26.45 50,766 0.76 2.83
1998 18.71 22.23 85,683 0.71 2.21
1999 26.25 43.71 165,368 0.70 1.63
2000** 25.51 3.44 (1) 195,067 0.70(2) 1.27(2)
DIVIDEND GROWTH
1995 13.54 40.13 78,694 0.83 2.80
1996 16.45 24.49 258,101 0.67 2.44
1997 19.57 26.12 518,419 0.65 2.11
1998 22.05 19.73 723,285 0.63 1.87
1999 19.92 0.53 742,811 0.60 1.86
2000** 13.82 (8.99)(1) 597,164 0.62(2) 2.13(2)
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
(AFTER EXPENSES WERE ASSUMED)
-----------------------------
NET PORTFOLIO
INVESTMENT TURNOVER
EXPENSES INCOME RATE
------------------------------------------------------------ -----------------------------------------
<S> <C> <C> <C>
MONEY MARKET
1995 -- 5.92% N/A
1996 0.57% 4.96 N/A
1997 0.55 5.08 N/A
1998 0.55 5.02 N/A
1999 0.54 4.67 N/A
2000** 0.54(2) 5.54(2) N/A
NORTH AMERICAN GOVERNMENT SECURITIES
1995 -- 5.74 18%
1996 0.50 5.50 48
1997 1.26 4.75 27
1998 1.15 4.52 51
1999 1.01 4.60 53
2000** 0.95(2) 5.33(2) --
DIVERSIFIED INCOME
1995 -- 7.28 33
1996 0.50 8.47 69
1997 0.55 8.09 110
1998 0.49 7.92 111
1999 0.48 8.31 69
2000** 0.47(2) 8.71(2) 18(1)
BALANCED GROWTH
1995 -- 3.84 99
1996 0.50 2.75 88
1997 0.86 2.13 64
1998 0.71 2.87 93
1999 0.64 3.10 37
2000** 0.65(2) 3.33(2) 24(1)
UTILITIES
1995 -- 4.44 3
1996 0.50 3.46 15
1997 0.76 2.83 34
1998 0.71 2.21 19
1999 0.70 1.63 31
2000** 0.70(2) 1.27(2) 15(1)
DIVIDEND GROWTH
1995 -- 3.63 4
1996 0.67 2.44 39
1997 0.65 2.11 26
1998 0.63 1.87 39
1999 0.60 1.86 101
2000** 0.62(2) 2.13(2) 26(1)
</TABLE>
97
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS, CONTINUED
<TABLE>
<CAPTION>
NET ASSET TOTAL
VALUE NET NET REALIZED TOTAL FROM DISTRIBUTIONS DIVIDENDS
YEAR ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD INCOME (LOSS) GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
VALUE-ADDED MARKET
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 0.22 2.08 2.30 (0.22) (0.73) (0.95)
2000** 20.54 0.13 (0.25) (0.12) (0.09) (1.91) (2.00)
GROWTH
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 -- 2.16 2.16 -- (0.49) (0.49)
1999 18.23 (0.02) 6.65 6.63 -- (1.59) (1.59)
2000** 23.27 (0.03) 1.49 1.46 -- (1.36) (1.36)
AMERICAN OPPORTUNITIES
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 0.08 11.76 11.84 (0.07) (2.48) (2.55)
2000** 32.60 -- (0.25) (0.25) -- (2.69) (2.69)
MID-CAP EQUITY
1997(a) 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 0.06 10.81 10.87 (0.06) (0.01) (0.07)
2000** 22.66 (0.04) 2.30 2.26 -- (1.55) (1.55)
GLOBAL EQUITY
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 0.06 4.94 5.00 (0.06) -- (0.06)
2000** 19.63 0.30 0.09 0.39 (0.06) (1.25) (1.31)
DEVELOPING GROWTH
1995 10.13 0.24 4.88 5.12 (0.25) -- (0.25)
1996 15.00 0.02 1.92 1.94 (0.03) (0.03)++ (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 19.23 19.24 (0.01) -- (0.01)
2000** 40.04 0.04 (3.05) (3.01) -- (6.44) (6.44)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
98
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSET NET ASSETS -------------------------------
VALUE END OF NET
END OF TOTAL PERIOD INVESTMENT
PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
VALUE-ADDED MARKET
1995 $12.24 27.14% $ 23,970 1.46% 1.64%
1996 14.16 17.78 73,516 0.64 1.69
1997 17.56 26.12 141,316 0.58 1.49
1998 19.19 12.19 174,824 0.55 1.20
1999 20.54 12.15 189,708 0.55 1.11
2000** 18.42 (0.59)(1) 173,215 0.55(2) 1.36 (2)
GROWTH
1995 11.07 13.29 3,956 2.50 (0.64)
1996 13.55 23.56 18,215 1.22 (0.03)
1997 16.56 23.07 40,311 1.01 0.13
1998 18.23 13.22 53,504 1.06 0.01
1999 23.27 39.10 96,699 0.90 (0.11)
2000** 23.37 6.28 (1) 130,789 0.91(2) 0.14 (2)
AMERICAN OPPORTUNITIES
1995 13.71 38.95 38,235 0.96 1.11
1996 15.30 12.95 120,904 0.71 0.52
1997 19.69 31.93 230,014 0.68 0.42
1998 23.31 30.78 371,633 0.66 0.62
1999 32.60 55.81 768,751 0.66 0.29
2000** 29.66 (0.77)(1) 863,407 0.64(2) (0.01)(2)
MID-CAP EQUITY
1997(a) 11.40 15.84 (1) 19,236 1.12(2) 0.65 (2)
1998 11.86 5.67 28,198 0.98 (0.40)
1999 22.66 92.10 84,949 0.92 (0.35)
2000** 23.37 10.00 (1) 157,252 0.78(2) (0.38)(2)
GLOBAL EQUITY
1995 10.99 13.76 17,074 1.69 1.09
1996 12.06 11.43 59,246 1.25 0.69
1997 12.97 8.66 102,229 1.13 0.91
1998 14.69 15.11 125,522 1.10 1.01
1999 19.63 34.14 173,743 1.08 0.36
2000** 18.71 1.97 (1) 188,637 1.07(2) 1.09 (2)
DEVELOPING GROWTH
1995 15.00 51.26 17,412 1.24 0.86
1996 16.88 12.95 61,120 0.68 (0.04)
1997 19.16 13.77 82,690 0.60 0.26
1998 20.81 9.04 81,625 0.59 0.19
1999 40.04 92.52 160,595 0.58 0.06
2000** 30.59 (7.52)(1) 175,848 0.55(2) 0.24 (2)
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
(AFTER EXPENSES WERE ASSUMED)
-----------------------------
NET PORTFOLIO
INVESTMENT TURNOVER
EXPENSES INCOME (LOSS) RATE
------------------------------------------------------------ -----------------------------------------
<S> <C> <C> <C>
VALUE-ADDED MARKET
1995 -- 3.10% 4%
1996 0.56% 1.77 4
1997 0.58 1.49 8
1998 0.55 1.20 14
1999 0.55 1.11 21
2000** 0.55(2) 1.36 (2) 5(1)
GROWTH
1995 -- 1.86 39
1996 0.50 0.69 47
1997 1.01 0.13 55
1998 1.06 0.01 223
1999 0.90 (0.11) 88
2000** 0.91(2) 0.14 (2) 36(1)
AMERICAN OPPORTUNITIES
1995 -- 2.07 174
1996 0.69 0.54 232
1997 0.68 0.42 262
1998 0.66 0.62 325
1999 0.66 0.29 360
2000** 0.64(2) (0.01)(2) 240(1)
MID-CAP EQUITY
1997(a) -- 1.77 (2) 104(1)
1998 -- 0.58 323
1999 0.20 0.37 318
2000** 0.78(2) (0.38)(2) 10(1)
GLOBAL EQUITY
1995 -- 2.78 74
1996 0.72 1.22 62
1997 1.13 0.91 87
1998 1.10 1.01 80
1999 1.08 0.36 79
2000** 1.07(2) 1.09 (2) 34(1)
DEVELOPING GROWTH
1995 -- 2.10 80
1996 0.58 0.06 146
1997 0.60 0.26 149
1998 0.59 0.19 193
1999 0.58 0.06 178
2000** 0.55(2) 0.24 (2) 93(1)
</TABLE>
99
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS, CONTINUED
<TABLE>
<CAPTION>
NET ASSET TOTAL
VALUE NET NET REALIZED TOTAL FROM DISTRIBUTIONS DIVIDENDS
YEAR ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD INCOME (LOSS) GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
EMERGING MARKETS
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) (0.07) $ (0.07)+++ (0.14)
1999 7.91 -- 6.60 6.60 -- (0.02)++ (0.02)
2000** 14.49 (0.01) (0.37) (0.38) -- -- --
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
(a) 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.
++ Distribution from paid-in-capital.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 2000 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
100
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSET NET ASSETS -------------------------------
VALUE END OF NET
END OF TOTAL PERIOD INVESTMENT
PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
EMERGING MARKETS
1995 $ 9.69 (0.57)% $ 4,092 2.50%* 0.18%*
1996 11.20 17.69 17,240 2.02 (0.10)
1997 11.31 1.27 23,815 1.71 0.49
1998 7.91 (29.03) 13,272 1.73 0.72
1999 14.49 83.53 22,889 1.84 (0.03)
2000** 14.11 (2.62)(1) 20,215 (1.46)(2) (0.04)(2)
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
(AFTER EXPENSES WERE ASSUMED)
-----------------------------
NET PORTFOLIO
INVESTMENT TURNOVER
EXPENSES INCOME (LOSS) RATE
------------------------------------------------------------ -----------------------------------------
<S> <C> <C> <C>
EMERGING MARKETS
1995 -- 2.68% 36%
1996 0.50% 1.42 46
1997 1.71 0.49 91
1998 1.73 0.72 116
1999 1.84 (0.03) 82
2000** 1.46(2) (0.04)(2) 25(1)
</TABLE>
101
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
CHANGE IN INDEPENDENT ACCOUNTANTS
On July 1, 2000, PricewaterhouseCoopers LLP resigned as independent accountants
of the Fund.
The reports of PricewaterhouseCoopers LLP on the financial statements of the
Fund for the past two fiscal years contained no adverse opinion or disclaimer of
opinion and were not qualified or modified as to uncertainty, audit scope or
accounting principle.
In connection with its audits for the two most recent fiscal years and through
July 1, 2000, there have been no disagreements with PricewaterhouseCoopers LLP
on any matter of accounting principles or practices, financial statement
disclosure, or auditing scope or procedure, which disagreements if not resolved
to the satisfaction of PricewaterhouseCoopers LLP would have caused them to make
reference thereto in their report on the financial statements for such years.
The Fund, with the approval of its Board of Trustees and its Audit Committee,
engaged Deloitte & Touche LLP as its new independent accountants as of July 1,
2000.
102
<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
James F. Higgins
</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 Deloitte & Touche LLP
Harborside Financial Center--Plaza Two Two World Financial Center
Jersey City, New Jersey 07311 New York, New York 10281
</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 Equity
and Emerging Markets Portfolios
----------------------------------
TCW Investment Management Company
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
Growth Portfolio
--------------
Morgan Stanley Dean Witter Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
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.
Morgan Stanley Dean Witter Distributors Inc., member NASD.
<PAGE>
#40474
