<PAGE>
MORGAN STANLEY DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
[LOGO]
ANNUAL REPORT
DECEMBER 31, 1999
MORGAN STANLEY DEAN WITTER
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to the Shareholders.................................. 1
Portfolio of Investments:
Money Market............................................ 22
North American Government Securities.................... 25
Diversified Income...................................... 27
Balanced Growth......................................... 38
Utilities............................................... 41
Dividend Growth......................................... 45
Value-Added Market...................................... 48
Growth.................................................. 57
American Opportunities.................................. 59
Mid-Cap Equity.......................................... 64
Global Equity........................................... 66
Developing Growth....................................... 71
Emerging Markets........................................ 75
Financial Statements:
Statement of Assets and Liabilities..................... 82
Statement of Operations................................. 84
Statement of Changes in Net Assets...................... 86
Notes to Financial Statements............................... 91
Financial Highlights........................................ 100
Report of Independent Accountants........................... 104
</TABLE>
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<TABLE>
<S> <C>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS TWO WORLD TRADE CENTER,
INVESTMENT SERIES NEW YORK, NEW YORK 10048
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999
</TABLE>
DEAR SHAREHOLDER:
During the 12-month period ended December 31, 1999, many of the world's major
equity markets posted solid gains, while the fixed-income markets suffered
declines as the result of a resurgent global economy and the renewed threat of
inflation.
DOMESTIC EQUITY MARKET OVERVIEW
Calendar year 1999 began much as 1998 ended, with expectations for modest,
below-trend global economic growth accompanied by a continued deceleration of
inflation. Against this backdrop the same sectors that had led in 1998
(financial, retail, internet and technology) outperformed in early 1999.
By the second quarter of the year, however, the markets began to recognize that
the foundation for a synchronized global economic recovery was in place.
Initially this realization sparked a rotation out of the domestic growth stocks
that had led the market for the past two years to long-ignored economically
sensitive groups such as basic cyclicals, energy services and capital goods.
As the third quarter began, it became clearer to the financial markets that the
economic recovery was gaining enough traction to warrant a change in the
favorable monetary policy that had graced the capital markets since 1994. During
the summer, the Federal Reserve Board raised interest rates two times,
pressuring the equity and bond markets downward. Industry sectors that were
particularly penalized by the market correction included interest-rate-sensitive
groups, consumer issues and health care. The technology sector suffered only a
mild correction. Economically sensitive groups, which performed well during the
second quarter, declined significantly because of the Federal Reserve's attempts
to temper the economy's strength.
Market sentiment shifted again during the fourth quarter as investors assumed
that the Fed would tighten rates only once more in order to
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
achieve its aim of slowing economic growth. Although the equity markets reacted
positively to this change in sentiment, the market's breadth remained poor, with
only the technology sector skyrocketing ahead.
GLOBAL EQUITY MARKET OVERVIEW
Despite interest rate increases by the U.S. Federal Reserve, the European
Central Bank and the Bank of England, markets rallied as investors interpreted
the actions to be a "taking back" of the liquidity injection that had occurred
after the near collapse of a major hedge fund in 1998. The interest rate hikes
were perceived to be a normalization of monetary conditions instead of a new
cycle of tightenings designed to combat inflationary forces. The strong rally in
U.S. technology stocks broadened to become a global technology rally as
high-tech shares advanced in Europe, Japan and Asia.
JAPAN AND ASIA
The strong performance of the Japanese market slowed as investors worried that a
strengthening yen would stall the pace of economic recovery. After two strong
quarterly GDP reports, the Japanese economy appeared to have weakened a bit in
the fourth quarter. The key debate continues to center around whether the
economy has begun a sustainable recovery or if it needs another spark from an
additional government fiscal stimulus. In the meantime, corporations continue to
announce restructuring measures aimed at increasing profitability. The flow of
private investments by large multinationals is an encouraging trend that
illustrates the long-term potential for Japanese assets. In Asia, high-tech
shares performed well as global demand remained firm for semiconductors and
computer components. China remains a key focus as its slumping economy rebounds
and investors try to identify the likely beneficiaries of acceptance into the
World Trade Organization.
EUROPE
European equity markets endured some currency-related volatility as the highly
touted euro slid briefly below parity with the dollar before starting to recoup
its losses during the fourth quarter. Meanwhile, the German economy started to
show some positive momentum as business confidence surveys reflected increased
activity. Anecdotal news reports point to a broadening of economic recovery
across the region. Telecommunications stocks provided excitement as a series of
mergers and acquisitions drove positive sentiment.
2
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
LATIN AMERICA
Latin markets, which had been laggards throughout 1999, started to break out of
their malaise in the fourth quarter. The combination of stronger global economic
growth, receding Y2K fears and firmer commodity prices sparked a rebound in
Latin American equity prices. We believe the region appears poised to perform
well in 2000 as global growth accelerates, Brazil rebounds from its economic
slump and higher oil prices improve Mexico's fiscal accounts.
FIXED-INCOME MARKET OVERVIEW
The U.S. economy continued its path of strength throughout 1999, propelled by a
rising stock market, low inflation and unemployment, and a recovery in many
overseas economies. The domestic economy's sustained vitality led to steadily
higher interest rates during the year. With renewed strength in the world
economy and the threat of domestic inflation looming, the Federal Reserve Board
raised the federal-funds rate twice in the third quarter and again in November,
to 5.50 percent. These moves effectively reversed the three-step rate reduction
of the previous year. If the U.S. economy continues to grow and unemployment
remains low in the months ahead, the Fed may feel it needs to continue on its
path of a tighter monetary policy to combat potential inflationary pressures.
Interest rates on long-term U.S. Treasuries were highly volatile over the course
of the year. The yield on the five-year Treasury note rose 180 basis points, to
6.34 percent, while the yield on the 30-year Treasury bond climbed 139 basis
points, to 6.48 percent.
GLOBAL FIXED-INCOME MARKET OVERVIEW
During 1999 the performance of the investment-grade global markets was
disappointing. In contrast to the prior fiscal year, when U.S. bond yields
reached their lowest levels in decades, the U.S. 10-year Treasury-note yield
rose by 142 basis points. Prices in many European bond markets reached new highs
during the first half of the fiscal year but eventually succumbed to
accelerating economic growth. Moreover, the continuing strength of the U.S.
dollar relative to most investment-grade currencies resulted in currency losses
for most nondollar-denominated investments. Emerging markets enjoyed significant
recoveries from the depressed levels reached during the Asian and Russian debt
crises.
The U.S. and other high-grade government markets had been prime beneficiaries of
the flight to quality during the period through early October 1998. As normalcy
returned to the global financial markets and economic growth reaccelerated,
market participants sold their bonds, partly to seek
3
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
higher returns from equities but also out of fear that faster economic growth
would cause inflation to pick up. This fear was accentuated by rising prices for
oil and industrial commodities as the fiscal year progressed. This environment
turned out to be especially favorable for the U.S. dollar and the Japanese yen,
at the expense of investments denominated in other currencies.
There were a few brighter spots in the investment-grade markets. The spreads
between mortgage-bond yields and Treasury-note yields narrowed, as did the
spreads between various European bond yields and German government yields. This
provided a relative performance opportunity to switch into the better-performing
markets. A few of these, most notably the Greek government market and
intermediate-maturity Norwegian notes, went up in price despite the global
trend. Moreover, several of the European currencies held up better than the core
European ones that coalesced into the new euro on January 1, 1999.
AMERICAN OPPORTUNITIES PORTFOLIO
For the 12-month period ended December 31, 1999, the American Opportunities
Portfolio produced a total return of 55.81 percent, compared to 21.04 percent
for the S&P 500. The accompanying chart compares the performance of the
Portfolio to that of the S&P 500.
Throughout the first quarter of 1999, the Portfolio maintained an emphasis on
domestically oriented companies that we believed would benefit from the relative
strength of the U.S. economy. Market leaders during this period included
financial companies, select steady growth technology groups and consumer
cyclicals.
During the second quarter, the equity market underwent a major rotation leading
to steady growth stocks falling out of favor. Groups such as health care posted
declines during this period, while retailers and financials significantly
underperformed the overall market. The Portfolio, which utilizes a
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: AMERICAN OPPORTUNITIES FUND S&P 500 (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,069 $9,916
Dec. 1995 $13,991 $13,639
Dec. 1996 $15,803 $16,769
Dec. 1997 $20,848 $22,362
Dec. 1998 $27,266 $28,752
Dec. 1999 $42,482 (2) $34,801
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
55.81%(1) 33.36%(1) 32.49%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index, the
performance of which is based on the average performance of 500 widely held
common stocks. The performance of the Index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
4
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
top-down sector-rotation discipline to select industries expected to have the
strongest relative earnings based on our economic outlook, reoriented itself to
emphasize groups with greater global exposure. Given our more favorable outlook
for worldwide growth, we overweighted the Portfolio in basic cyclicals, capital
goods and technology stocks and reduced our commitments to consumer staples,
financials and health care.
While breadth or group participation narrowed sharply during the second quarter
of 1999, the market posted overall positive returns for the period. However,
this was not the case in the third quarter, which ended the period down and
resulted in a further narrowing in market breadth. The market reacted negatively
to the Federal Reserve's shift toward a series of rate hikes in its attempt to
slow the rate of economic growth. Within this context, the Portfolio reduced its
exposure to sectors with less economic sensitivity. The proceeds were not
redeployed until the market had stabilized later in the quarter. This strategy
benefited the Portfolio's relative performance during this period of high market
volatility.
With investors believing that the Federal Reserve would remain on the sidelines
until after the new year, the market rebounded sharply in the fourth quarter,
but within a narrow range. Technology groups -- particularly those related to
the new economy -- far outperformed the broader market. One reason for this
lopsided rebound was the unusual nature of the global economic recovery, which
has yet to accelerate business for the basic cyclical and capital goods
companies that have traditionally benefited during the early stages of a
recovery. Instead, demand has focused on technology companies, particularly
those with products that serve e-commerce and expanding bandwidth needs. During
the fourth quarter, the Portfolio's performance benefited from its increased
exposure to these companies.
5
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
BALANCED GROWTH PORTFOLIO
For the 12-month period ended December 31, 1999, the Balanced Growth Portfolio
produced a total return of 3.52 percent versus 21.04 percent for the S&P 500 and
- -0.82 percent for the Lehman Brothers Aggregate Bond Index. The accompanying
chart compares the performance of the Portfolio to that of the S&P and Lehman
indexes.
The Portfolio's asset mix as of
December 31, 1999, was 65 percent
equities and 35 percent fixed-income
securities. The equity segment was
relatively fully invested, with 27
common stocks of large-capitalization
companies spread among 24 industry
groups. During this period, positions
in Keycorp, Minnesota Mining &
Manufacturing, Phelps Dodge and United
Technologies were initiated and
positions in Banc One, Raytheon,
Tenneco and Timken were liquidated.
During the year, we increased the
weighting of mortgage-backed securities
in the portfolio by reducing the
exposure to corporate bonds. As cash
flow and proceeds from sales permitted,
we purchased current-coupon mortgages
at very attractive levels, enhancing
the Portfolio's prospects for higher
total returns. This reallocation of
assets was made as interest-rate
spreads on mortgage-backed securities
narrowed over the course of the year,
helping to mitigate some of the
detrimental effects on the portfolio of
the rising-interest-rate environment.
As of December 31, 1999, the
Portfolio's fixed-income assets were
invested as follows: 62 percent in
mortgage-backed securities, 20 percent
in U.S. Treasuries, 6 percent in U.S.
agency obligations, 3 percent in U.S. corporate obligations and the remaining 9
percent in cash equivalents.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: BALANCED GROWTH FUND S&P 500 (3) LEHMAN (4)
($ IN THOUSANDS)
<S> <C> <C> <C>
Nov. 1994 $10,000 $10,000 $10,000
Dec. 1994 $10,060 $9,916 $10,069
Dec. 1995 $12,359 $13,639 $11,929
Dec. 1996 $14,033 $16,769 $12,362
Dec. 1997 $16,542 $22,362 $13,555
Dec. 1998 $18,926 $28,752 $14,733
Dec. 1999 $19,591 (2) $34,801 $14,612
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
3.52%(1) 14.26%(1) 13.97%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index, the
performance of which is based on the average performance of 500 widely held
common stocks. The performance of the Index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
(4) 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.
6
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
DEVELOPING GROWTH PORTFOLIO
For the 12-month period ended December 31, 1999, the Developing Growth Portfolio
produced a total return of 92.52 percent versus 21.26 percent for the Russell
2000 Index. The accompanying chart compares the performance of the Portfolio to
that of the Russell index.
Across the board, equity markets posted double-digit returns for 1999, but it
was the explosive performance of technology-related companies that allowed the
Nasdaq Composite Index to post a return of 85.59 percent. Recognizing the
unprecedented momentum in Internet infrastructure and software-related
companies, the Portfolio maintained a weighting of more than 40 percent in
technology. While it is impossible to expect the same returns that the Portfolio
has delivered over the past year, we believe that attractive investment
opportunities will continue to arise in the years ahead.
As of December 31, the top ten
industries represented in the Portfolio
were Internet services (12.7 percent),
computer software (12.0 percent),
telecommunications (5.5 percent),
electronic production equipment (5.0
percent), E.D.P. services (3.7
percent), biotechnology (3.2 percent),
medical specialties (2.9 percent),
semiconductors (2.6 percent),
advertising (2.5 percent) and specialty
chemicals (2.3 percent).
In 2000, the Portfolio expects to
continue focusing on both the
technology and the health-care sectors.
Specifically, the Portfolio anticipates
emphasizing biotechnology, wireless
telecommunications and Internet
infrastructure. As we enter the first
half of 2000 we are mindful of the
possibility of further increases in
interest rates. Thus we continue to
screen current holdings and new
investments for any impact that a
higher-rate environment might bring.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: DEVELOPING GROWTH FUND RUSSELL 2000 (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,158 $9,905
Dec. 1995 $15,365 $12,800
Dec. 1996 $17,355 $14,911
Dec. 1997 $19,745 $18,245
Dec. 1998 $21,530 $17,780
Dec. 1999 $41,449 (2) $21,560
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
92.52%(1) 32.48%(1) 31.86%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Russell 2000 Index is a capitalization weighted index which is comprised
of 2000 of the smallest stocks (on the basis of capitalization) in the
Russell 3000 Index. The performance of the Index does not include any
expenses, fees or charges. The Index is unmanaged and should not be
considered an investment.
7
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
DIVERSIFIED INCOME PORTFOLIO
For the 12-month period ended December 31, 1999, the Diversified Income
Portfolio produced a total return of -1.83 percent versus 0.39 percent for the
Lehman Brothers Government/Corporate Intermediate Bond Index. The accompanying
chart compares the performance of the Portfolio to that of the Lehman index.
GLOBAL SHORT-TERM BOND COMPONENT. With rising U.S. interest rates putting
pressure on global investment-grade bonds, the average maturity of the global
bond component was kept at around two years. As opportunities developed in the
Scandinavian markets, funds were swapped out of the United States and core
European markets into Sweden and Norway. These Scandinavian investments also
dampened the impact of the decline in the euro relative to the U.S. dollar,
because the Swedish and Norwegian currencies were perceived to be somewhat less
vulnerable to the surge in the dollar against the currencies of most developed
countries.
On December 31, approximately 68
percent of the global component was
invested in European markets
(approximately 11 to 14 percent each in
Norway, Denmark, Germany, the
Netherlands and the United Kingdom). A
portion of the European currency
exposure was hedged to lessen the
effect of currency fluctuations. The
remaining portion was invested
primarily in the United States. This
component remained invested in
securities rated AA or better with
maturities of three years or less from
the date of purchase.
U.S. GOVERNMENT/MORTGAGE COMPONENT. As
spreads tightened, we increased our
mortgage holdings to enhance the
Portfolio's prospects for higher total
return. Despite the negative effects of
the year's "bear market" in U.S.
Treasuries, the narrowing spreads of
the mortgage positions helped to
mitigate these effects. As of
December 31, 1999, this component's
assets were invested as follows: 71
percent in mortgage-backed securities,
19 percent in U.S. agency obligations
and the remaining 10 percent in
Treasuries.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: DIVERSIFIED INCOME FUND LEHMAN (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,076 $10,035
Dec. 1995 $10,777 $11,573
Dec. 1996 $11,806 $12,042
Dec. 1997 $12,788 $12,990
Dec. 1998 $13,328 $14,086
Dec. 1999 $13,084 (2) $14,141
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
- -1.83% (1) 5.36% (1) 5.37% (1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Lehman Brothers Mutual Fund Government/Corporate Intermediate 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 Index does not include any
expenses, fees or charges. The Index is unmanaged and should not be
considered an investment.
8
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
HIGH-YIELD BOND COMPONENT. As 1999 ended, the high-yield market had yet to
rebound from the woes that first beset that sector in late 1998. At that time,
concerns about the potential effects of foreign-market crises on the U.S.
economy led investors to seek the relative safety of U.S. government securities
over more economically sensitive investments, resulting in a sharp correction in
the high-yield bond market. Fears about the foreign-market crises have now been
replaced by concerns over potential inflation and ongoing credit-tightening
actions by the Fed. While the high-yield market held up better than most other
fixed-income markets during 1999, it clearly remains quite weak because of the
depressed bond market environment that exists today. As a result, yields on
lower-rated corporate bonds are approaching their highest and most attractive
levels in nearly a decade, providing a significant yield advantage over
Treasuries.
The high-yield component maintained a position in the more defensive,
higher-quality end of the high-yield market, which held up well in this period's
volatile environment. Despite these defensive holdings, however, the component's
more significant, long-term core position in the B-rated sector was adversely
affected by the past year's weak market environment. We continue to emphasize
industry sectors that have historically proven to be somewhat predictable,
recession resistant or growth oriented, such as cable television, cellular, food
and beverages, media, supermarkets and telecommunications. We believe these
industry groups are poised to perform well over the next year. We also expect to
see continued consolidation and merger activity within these industries, which
should result in improved credit quality for many of these industries' players.
We continue to focus primarily on domestic companies, given the favorable
outlook for sustained growth in the U.S. economy, and are avoiding the emerging
high-yield international markets at this time, because of the relatively high
degree of uncertainty and volatility associated with many of these markets over
the past few years.
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
DIVIDEND GROWTH PORTFOLIO
For the 12-month period ended December 31, 1999, the Portfolio returned 0.53
percent to shareholders versus 21.04 percent for the S&P 500. The accompanying
chart compares the performance of the Portfolio to that of the S&P 500.
On December 31, the Portfolio was relatively fully invested. During the period,
the Portfolio's assets were reallocated to reflect a more accurate use of the
dividend-growth discipline. To implement this, several positions were partially
liquidated to fund the purchase of additional equity positions. In an effort to
gain some exposure to the technology sector boom that had boosted the markets
during the period, a position in Hewlett-Packard was initiated, while positions
in Atlantic Richfield, SmithKline Beecham, Tenneco and U.S. West were
liquidated. At the end of the fiscal year, the Portfolio was invested in 94
common stocks spread among 52 industry groups.
We believe that the Portfolio's
underperformance relative to its
benchmark was largely due to its
limited exposure to high-technology
stocks and its underweighting in the
financial sector. Technology stocks now
constitute 30 percent of the market cap
of the S&P 500, while financials
represent 13 percent. The significance
of the technology sector is further
underscored by the fact that it
accounted for roughly 70 percent of the
performance of the S&P 500.
High-technology stocks generally pay
little if any dividends and therefore
are not included in the Portfolio.
While the Portfolio's tilt toward yield
may have dampened its relative
performance slightly, this same
prejudice toward income provided a
degree of stability amid the market
volatility that occurred over the past
year.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: DIVIDEND GROWTH FUND S&P 500 (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $9,995 $9,916
Dec. 1995 $14,005 $13,639
Dec. 1996 $17,435 $16,769
Dec. 1997 $21,990 $22,362
Dec. 1998 $26,329 $28,752
Dec. 1999 $26,468 (2) $34,801
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
0.53%(1) 21.50%(1) 20.84%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index, the
performance of which is based on the average performance of 500 widely held
common stocks. The performance of the Index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
10
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MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
EMERGING MARKETS PORTFOLIO
For the 12-month period ended December 31, 1999, the Emerging Markets
Portfolio's total return was 83.53 percent compared to 67.11 percent for the
International Finance Corporation Emerging Markets Composite Total Return Index
(IFCI). The accompanying chart compares the performance of the Portfolio to that
of the IFCI.
The emerging equity markets rallied during the Portfolio's fiscal year,
reflecting the improved outlook for Asia and Latin America. Stock prices jumped
early in 1999 on the back of rebounding commodity prices, stability in Brazil
and lower interest rates, which have created a more optimistic outlook for
global economic growth. Despite concerns about higher U.S. interest rates, the
emerging markets were encouraged by favorable news regarding signs of stronger
economic growth in Japan and Europe.
The Portfolio has generally reduced its
exposure to interest-rate-sensitive
stocks and is currently focused on
cyclical growth plays. With respect to
specific Asian country allocations, the
Portfolio was overweighted in Korea and
Taiwan, because of improved prospects
in those markets for a stronger than
expected economic recovery. The
Portfolio had no exposure to Malaysia,
because of ongoing capital controls on
foreign investors, nor to Indonesia,
reflecting its continued political
risk. Other Asian holdings were
relatively neutral. In Latin America,
the Portfolio overweighted Mexico,
where earnings prospects are relatively
sound, and Brazil, which we believe is
poised to enjoy an economic rebound in
2000. The Portfolio maintained an
underweighted allocation to Chile
because of the weakness in copper
prices and concerns about its currency.
In eastern Europe, Poland and Hungary
were overweighted on account of their
positive economic outlooks. The
Portfolio raised its position in South
Africa and was neutrally weighted at
the end of the period.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: EMERGING MARKETS FUND IFCI (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,057 $8,740
Dec. 1995 $10,000 $8,004
Dec. 1996 $11,769 $8,754
Dec. 1997 $11,918 $7,464
Dec. 1998 $8,458 $5,821
Dec. 1999 $15,523 (2) $9,728
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
83.53% (1) 9.07% (1) 8.93% (1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The International Finance Corporation Emerging Markets Total Returns 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 Index
does not include any expenses, fees, or charges. The Index is unmanaged and
should not be considered an investment.
11
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
As of December 31, 1999, the Portfolio was fully invested, with a cash position
of less than 0.1 percent. Its largest country allocations were South Korea (15.2
percent), Taiwan (12.3 percent), Mexico (12.2 percent), South Africa (11.6
percent), Brazil (11.0 percent), Turkey (7.5 percent), India (6.1 percent) and
Greece (5.1 percent).
GLOBAL EQUITY PORTFOLIO
For the 12-month period ended December 31, 1999, the Global Equity Portfolio
produced a total return of 34.14 percent, compared to 24.93 percent for the MSCI
World Index. The accompanying chart compares the performance of the Portfolio to
that of the MSCI index.
As of December 31, the Portfolio's
assets were allocated as follows: 38.8
percent in the United States
(underweighted versus the MSCI World
Index), 36.5 percent in Europe
(overweighted), 15.7 percent Japan
(overweighted), 3.6 percent Asia
(overweighted), 1.0 percent Latin
America (overweighted), 4.3 percent in
other regions and the remaining 0.1
percent in cash. The overweighted
positions in Japan and Asia contributed
significantly to the Portfolio's
performance. As of December 31, the
Portfolio's top 10 holdings included
Cisco Systems, Sony, Gateway,
Telefonica Espana, Sun Microsystems and
General Motors.
Looking ahead, we anticipate that the
combination of stronger global growth
and low inflation will make for a
positive environment for the global
equity markets.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: GLOBAL EQUITY FUND MSCI WORLD IX (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $9,970 $9,854
Dec. 1995 $11,342 $11,869
Dec. 1996 $12,639 $13,500
Dec. 1997 $13,733 $15,628
Dec. 1998 $15,809 $19,431
Dec. 1999 $21,205 (2) $24,276
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
34.14%(1) 16.29%(1) 15.74%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Morgan Stanley Capital International World Index (MSCI) measures
performance from a diverse range of global stock markets including the U.S.,
Europe, Australia, New Zealand, and the Far East. The performance of the
Index is listed in U.S. dollars and assumes reinvestment of net dividends.
"Net dividends" reflects a reduction in dividends after taking into account
withholding of taxes by certain foreign countries represented in the index.
The index does not take into account the Fund's 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 DECEMBER 31, 1999, CONTINUED
GROWTH PORTFOLIO
For the 12-month period ended December 31, 1999, the Growth Portfolio posted a
total return of 39.10 percent versus 21.04 percent for the S&P 500. The
accompanying chart compares the performance of the Portfolio to that of the S&P
500.
Morgan Stanley Dean Witter Investment Management Inc., the Portfolio's
sub-advisor, continues to utilize bottom-up fundamental company analysis. At
year-end the Portfolio held positions in about 80 stocks, with the top 10
holdings accounting for nearly 39 percent of total assets. The Portfolio
reflects a mix of classic growth stocks such as Microsoft, Cisco Systems,
General Electric, Home Depot and less well-known growth names such as Tyco
International, Clear Channel Communications and United Technologies.
According to the sub-advisor, performance was primarily attributable to stock
selection rather than sector allocation. Performance was broadbased, with no
single stock accounting for more than 10 percent of overall performance. In
addition, much of the Portfolio's outperformance in 1999 was attributable to
avoiding companies with deteriorating fundamentals.
Among the Portfolio's largest holdings,
the sub-advisor believes Tyco remains
an undervalued and misunderstood growth
stock. Fears of accounting
irregularities prompted by a short
seller's report and a subsequently
announced informal SEC inquiry resulted
in a 22 percent decline in the stock's
price in the fourth quarter (although
Tyco was up 5 percent for the year).
The sub-advisor continues to believe in
the management of this company and in
the growth of the company's underlying
cash flows. Despite the recent stock
decline, Tyco has continued to
outperform analysts' expectations for
earnings and cash flow during the
second half of 1999.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: GROWTH FUND S&P 500 (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,067 $9,916
Dec. 1995 $11,405 $13,639
Dec. 1996 $14,091 $16,769
Dec. 1997 $17,343 $22,362
Dec. 1998 $19,636 $28,752
Dec. 1999 $27,314 (2) $34,801
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
39.10% (1) 22.10% (1) 21.58% (1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index, the
performance of which is based on the average performance of 500 widely held
common stocks. The performance of the Index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
13
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
Clear Channel Communications, another large holding, continues to reap the cash
flow rewards of operating and consolidating its radio, outdoor advertising and
television businesses. Over the past few years, Clear Channel has become a
dominant player in global media. Its strong management team continues to find
ways to expand the company's platform in ways that are beneficial to the wealth
of its stockholders. The pending AMFM Inc. acquisition is another move that is
expected to further consolidate the radio industry to the advantage of Clear
Channel. The sub-advisor believes that the embedded Internet opportunity within
Clear Channel, a theme common to many of the Portfolio's holdings, could drive
growth in ways not yet fully appreciated. As such, the Portfolio continues to
overweight the broadcasting group.
United Technologies is another top-ten holding of the Portfolio. According to
the sub-advisor, this old-economy company has consistently provided 15
percent-plus annual earnings growth despite its Asian exposure in 1998 and its
commercial aerospace exposure in 1999. The company is embracing the Internet,
including a joint venture with a company that will help them put Internet-based
advertisements in elevators.
Warner-Lambert performed well in 1999 despite overall weakness in the large-cap
pharmaceutical universe. The sub-advisor continues to believe in the stock's
value as part of its impending merger with Pfizer.
The sub-advisor believes that the Portfolio is well positioned for the current
economic environment. The Portfolio is about market weighted in technology and
also owns some nontechnology stocks that the sub-advisor believes will benefit
from the growth of the Internet and the impact it will have on other companies.
The sub-advisor is a believer in the new economy but remains convinced that
there are many old-economy companies that will also benefit from the Internet.
14
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
MID-CAP EQUITY PORTFOLIO
The 12-month period ended December 31, 1999, proved to be a rewarding one for
the Mid-Cap Equity Portfolio. During this period, the Portfolio was up 92.10
percent versus a 14.72 percent increase for the S&P 400 Midcap Index. The
accompanying chart compares the performance of the Portfolio to that of the S&P
index.
The Portfolio's top sector weighting as of December 31 was services at 34.1
percent, followed by technology at 28.2 percent and consumer with 18.5 percent.
Finance remains the lowest weighted among the Portfolio's five core growth
sectors with only 5.1 percent, because of the lingering pricing pressure
confronting most of the companies in this area.
According to TCW Investment Management
Company, the Portfolio's sub-advisor,
the strategy of the Portfolio remains
unchanged: investing in what the
sub-advisor believes to be rapidly
growing companies whose earnings power
is significantly underestimated by Wall
Street consensus. During this past
year, the main investment theme
continued to be seeking companies that
were positioned to take advantage of
the high-powered growth occurring in
communications and data, driven mostly
by the Internet. Instead of remaining
just a personal-computer-dependent
application, the Web has moved on to
television and digital wireless
telephony and a whole host of growth
companies has arisen to facilitate this
transition. Key holdings benefiting
from this trend include Qualcomm,
Gemstar International Group and JDS
Uniphase. In addition, the Portfolio
maintains an exposure to companies that
have been successful at creating
entirely new businesses on the Web,
including Yahoo! and eBay, and in
companies that are allowing their
clients to use the Internet to improve
their own business processes, such as
VeriSign, Vignette and Scient.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: MID-CAP EQUITY FUND S&P MID-CAP (3)
($ IN THOUSANDS)
<S> <C> <C>
Jan. 1997 $10,000 $10,000
Dec. 1997 $11,584 $12,688
Dec. 1998 $12,241 $15,112
Dec. 1999 $23,516 (2) $17,337
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR SINCE INCEPTION
92.10%(1) 33.75%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The S&P 400 Midcap Index is a market-value weighted index, the performance
of which is based on the average performance of 400 domestic stocks chosen
for market size, liquidity, and industry group 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.
15
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
The Portfolio continues to hold quite a few older-line companies not related to
the new economy. In the broadcast sector, the Portfolio maintains positions in
Univision, the nation's leading Hispanic broadcaster, and Echostar, a satellite
video provider. Both companies have ridden the wave of consumers looking for
more choices in entertainment. In the health-care arena, the Portfolio owns
Biogen and Genentech, which have been successful in developing new
pharmaceuticals.
TCW continues to cast a wide net, looking for companies that have developed new
processes or are changing the dynamics of an existing industry. It is here that
the Portfolio seeks to add the most value for its shareholders, by identifying
companies with the potential to exceed Wall Street's growth estimates. As the
true magnitude of the opportunity these companies face becomes more evident,
other investors are expected to rush in to gain exposure, which could drive
stock prices higher over time. This in a nutshell describes the Portfolio's
investment process, a philosophy that the Portfolio's sub-advisor continued to
follow regardless of the prevailing macroeconomic conditions.
TCW seeks to identify companies that are driving change while avoiding those
that may be negatively affected by it. As the pace of change accelerates, TCW
anticipates that the market will reward companies that are creating the new
economy while penalizing those that remain wedded to the old. Finally, while it
is impossible to expect the same returns that the Portfolio has delivered over
the past few years, TCW believes that attractive investment opportunities will
arise in the years ahead.
On August 4, 1999, a special meeting of the Mid-Cap Equity Portfolio's (formerly
known as Mid-Cap Growth Portfolio) shareholders was held for the purpose of
voting on the following matter:
(1) Approval of a new sub-advisory agreement between Morgan Stanley Dean Witter
Advisors Inc. and TCW Investment Management Company (formerly TCW Funds
Management, Inc.):
<TABLE>
<S> <C>
For......................................................... 2,097,761.291
Against..................................................... 44,708.393
Abstain..................................................... 183,251.844
</TABLE>
16
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
MONEY MARKET PORTFOLIO
As of December 31, 1999, the Money Market Portfolio had assets in excess of $136
million, up 12.4 percent from one year earlier. The Portfolio's average life was
60 days and its net investment income for the 12-month fiscal period ended
December 31, 1999 was 4.67 percent while its 30-day moving average yield for
December was 5.32 percent.
On December 31, 1999, approximately 73 percent of the Portfolio's assets were
invested in high-quality commercial paper, 16 percent in federal agency
obligations and the remaining 11 percent in short-term bank notes and
certificates of deposit issued by financially strong commercial banks. At the
end of the period under review, approximately 85 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. As always, we try to operate the Portfolio in a conservative manner
without the use of derivatives or structured notes that might fluctuate
excessively with changing interest rates. We believe that the Portfolio
continues to serve 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 12-month period ended
December 31, 1999, the North American
Government Securities Portfolio
produced a total return of 3.40 percent
versus 1.96 percent for the Lehman
Brothers Short (1-5 Year) U.S.
Government Index. The accompanying
chart compares the performance of the
Portfolio to that of the Lehman Index.
As of December 31, 1999, 100 percent of
the portfolio's assets were 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
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: NORTH AMERICAN GOVERNMENT SECURITIES FUND LEHMAN (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,061 $10,022
Dec. 1995 $10,705 $11,291
Dec. 1996 $11,171 $11,810
Dec. 1997 $11,831 $12,650
Dec. 1998 $12,337 $13,618
Dec. 1999 $12,756 (2) $13,885
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
3.40%(1) 4.86%(1) 4.85%(1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) 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.
17
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
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.
The Mexican economy continued to perform well in 1999. Despite Mexico's
generally sound economic fundamentals, real interest rates remained high,
leading to a nominal strengthening of the peso. The outlook for Mexico remains
uncertain due to increasing political tensions and uncertainties related to the
upcoming presidential election. In Canada the economy improved over the past 12
months as unemployment rates declined and the Canadian dollar remained stable.
Political unrest in Quebec subsided and recent polls indicate that most
Quebecois oppose secession.
In the United States, robust economic
growth and a tight labor market caused
investors to be concerned about
inflationary pressures, driving
interest rates higher. The mortgage
sector was one of the best-performing
high-grade fixed-income sectors in
1999. Positive technical factors played
an increasingly important role in the
performance of this sector as the
supply of new issues diminished
steadily during the year. Even though
inflationary pressures have been
minimal, the Federal Reserve is
expected to raise interest rates again.
However, our continued focus on call
protection and security structure,
combined with today's higher yields,
allows us to maintain a positive
outlook for the mortgage sector and the
Portfolio's performance.
UTILITIES PORTFOLIO
For the 12-month period ended
December 31, 1999, the Utilities
Portfolio produced a total return of
43.71 percent versus 21.04 percent for
the S&P 500 Index. The Portfolio's
outperformance relative to the S&P 500
was attributable to its focus on the
rapidly
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: UTILITIES FUND S&P 500 (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $10,065 $9,916
Dec. 1995 $12,888 $13,369
Dec. 1996 $13,981 $16,769
Dec. 1997 $17,679 $22,362
Dec. 1998 $21,609 $28,752
Dec. 1999 $31,056(2) $34,801
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
43.71%(1) 25.27% (1) 24.66% (1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index, the
performance of which is based on the average performance of 500 widely held
common stocks. The performance of the Index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
18
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
growing telecommunications sector. The accompanying chart compares the
performance of the Portfolio to that of the S&P 500.
During the 12-month period ended December 31, 1999, the utilities industry
continued its path toward deregulation as merger and acquisition activity
remained strong and the formation of strategic alliances enhanced the
competitive landscape. The telecommunications sector proved to be among the
stock market's most rewarding industry groups during 1999 as increased demand
for data, Internet and wireless services, as well as strong global
infrastructure sales among broadband equipment suppliers, resulted in
exceptional returns for many companies in this sector. The power-related portion
of the utilities industry continued to restructure in making the transition from
monopoly status to a more market-driven, growth-oriented landscape. Further
enhancing the overall attractiveness of this sector was the growing trend of
many power companies expanding their businesses through selective overseas
investments and by diversifying into telecommunications and natural gas. The
fundamentals of the natural gas industry remained healthy throughout 1999, as
evidenced by a tight balance between supply and demand.
At fiscal year-end, the Portfolio remained well diversified, both globally and
across the utilities sector. On December 31, 1999, 92 percent of the Portfolio's
net assets were allocated to utility and utility-related equities. Within the
equity portfolio, telecommunications represented 67 percent of assets, power 23
percent and energy 10 percent. Adding a further degree of diversification to the
Portfolio were its international holdings (15 percent of its net assets), which
focused on telecommunications infrastructure growth. The high-quality
fixed-income portfolio accounted for 4 percent of net assets, with the remaining
4 percent held in cash equivalents.
During the year, the Portfolio initiated positions in Time Warner Telecom, MGC
Communications, General Instrument Corp., Scientific Atlanta, Harmonic Inc.,
Metromedia Fiber Networks, Corning Inc., Tellabs Inc., and SBA Communications.
19
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
On August 4, 1999, a special meeting of the Utilities Portfolio's shareholders
was held for the purpose of voting on two separate matters, the results of which
were as follows:
(1) Approval of a change in the Portfolio's investment objective from an
objective to provide current income and long-term growth of income and
capital, by investing primarily in equity and fixed-income securities of
companies engaged in the public utilities industry, to an objective to seek
both capital appreciation and current income:
<TABLE>
<S> <C>
For......................................................... 4,749,040.324
Against..................................................... 77,440.722
Abstain..................................................... 321,203.214
</TABLE>
(2) Approval of a change in the Fund's
investment restrictions to provide
that each Portfolio of the Fund may
not: With the exception of the
Utilities Portfolio, which will
invest 25 percent or more of the
value of its total assets in the
utilities industry, invest 25
percent or more of the value of its
total assets in securities of
issuers in any one industry:
<TABLE>
<S> <C>
For..................... 4,761,279.593
Against................. 59,137.277
Abstain................. 327,267.390
</TABLE>
VALUE-ADDED MARKET PORTFOLIO
For the 12-month period ended
December 31, 1999, the Value-Added
Market Portfolio gained 12.15 percent,
compared to 21.04 percent for the S&P
500. The accompanying chart compares
the performance of the Portfolio to
that of the S&P 500.
The Portfolio invests in substantially
all the stocks included in the S&P 500.
Unlike the index, however, the
Portfolio weights all stock positions
equally, thereby emphasizing the stocks
of small- and
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000: VALUE-ADDED MARKET FUND S&P 500 (3)
($ IN THOUSANDS)
<S> <C> <C>
Nov. 1994 $10,000 $10,000
Dec. 1994 $9,924 $9,916
Dec. 1995 $12,617 $13,639
Dec. 1996 $14,861 $16,769
Dec. 1997 $18,743 $22,362
Dec. 1998 $21,028 $28,752
Dec. 1999 $23,583 (2) $34,801
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEAR SINCE INCEPTION
12.15% (1) 18.90% (1) 18.16% (1)
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) Closing value on December 31, 1999 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
(3) The Standard & Poor's 500 Stock Index (S&P 500) is a broad-based index, the
performance of which is based on the average performance of 500 widely held
common stocks. The performance of the Index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
20
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS DECEMBER 31, 1999, CONTINUED
mid-cap companies. These stocks have historically outperformed large-cap
companies over the long term, though in recent years large-cap stocks have
significantly outpaced small-caps. In addition, the Fund is overweighted in the
cyclical and utilities sectors and underweighted in the health-care and
technology sectors relative to the capitalization-weighted S&P 500.
The shift in sentiment toward small- and mid-cap stocks that occurred during the
second quarter of 1999 turned out to be temporary. The market actually narrowed
in the last quarter of 1999 instead of broadening, as that shift seemed to
indicate it would. The top 10 securities comprised 25.5 percent of the total
market value of the index, a level not seen since 1980. The technology sector,
returning approximately 75 percent for the year, contributed roughly 70 percent
of total performance of the S&P 500 Index.
The narrowing of the market hindered the Portfolio's performance. Large-cap
growth companies such as Microsoft, Lucent, Wal-Mart, Cisco, Qualcomm and Nortel
were the market leaders, and although the Portfolio includes all these
companies, their weighting in the S&P 500 is much higher than in the Portfolio.
As 1999 came to a close, the narrowing trend began to reverse itself as the
market experienced increased breadth, which benefited small caps and cyclical
stocks.
LOOKING AHEAD
We believe the global economic recovery will continue into the next year.
However, the early part of 2000 could see some concerns related to excess
inventories that may have been built up for Y2K-related reasons. Continued
strength in the U.S. economy could lead the Federal Reserve to raise interest
rates further. Rising rates could pressure valuations in the first half of 2000.
By the second half of the year, interest rates should subside and economic
growth decelerate to more sustainable levels, positioning the markets for a nice
rebound.
We appreciate your ongoing support of Morgan Stanley Dean Witter Select
Dimensions Investment Series and look forward to continuing to serve your
investment needs and objectives.
Very truly yours,
<TABLE>
<S> <C>
[SIGNATURE] [SIGNATURE]
CHARLES A. FIUMEFREDDO MITCHELL M. MERIN
CHAIRMAN OF THE BOARD PRESIDENT
</TABLE>
21
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
<C> <S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER (73.1%)
BANKING (12.6%)
$ 6,240 Bank of America Corp............................. 6.08-6.13% 01/05/00-05/08/00 $ 6,163,147
1,965 Citicorp......................................... 5.90 01/26/00 1,957,031
5,220 Morgan (J.P.) & Co. Inc.......................... 6.06-6.09 01/14/00-01/27/00 5,203,764
1,725 Northern Trust Corp.............................. 6.05 02/18/00 1,711,246
2,090 Wells Fargo & Co................................. 6.08 02/02/00 2,078,890
------------
17,114,078
------------
CONSUMER SUNDRIES (4.2%)
5,825 Procter & Gamble Co.............................. 5.92-5.93 02/16/00-02/29/00 5,776,622
------------
DIVERSIFIED FINANCIAL SERVICES (7.3%)
3,500 Associates Corp. of North America................ 5.83 01/10/00-01/11/00 3,494,715
2,000 Associates First Capital Corp.................... 6.04 03/09/00 1,977,522
4,500 General Electric Capital Corp.................... 5.67-6.13 01/25/00-02/07/00 4,479,346
------------
9,951,583
------------
DIVERSIFIED MANUFACTURING (1.5%)
2,000 General Electric Co.............................. 5.90 02/01/00 1,989,977
------------
FINANCE - AUTOMOTIVE (5.3%)
750 BMW U.S. Capital Corp............................ 6.41 01/04/00 749,600
6,500 DaimlerChrysler North America Holding Corp....... 5.90-6.01 01/20/00-03/10/00 6,446,069
------------
7,195,669
------------
FINANCE - CONSUMER (9.0%)
3,725 American Express Credit Corp..................... 6.07-6.31 01/06/00-01/19/00 3,717,574
6,530 New Center Asset Trust........................... 5.88-6.04 02/08/00-02/15/00 6,487,209
2,000 Norwest Financial Inc............................ 5.96 02/17/00 1,984,777
------------
12,189,560
------------
FINANCE - CORPORATE (2.3%)
3,135 Ciesco, L.P...................................... 5.89-5.93 02/03/00-02/14/00 3,115,934
------------
INSURANCE (5.4%)
2,000 American General Finance Corp.................... 6.01 03/08/00 1,978,002
1,355 MetLife Funding Inc.............................. 5.89 01/27/00 1,349,295
3,950 Prudential Funding Corp.......................... 5.92-6.28 01/10/00-01/13/00 3,943,163
------------
7,270,460
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
INTERNATIONAL BANKS (17.1%)
$ 2,000 ANZ (Del) Inc.................................... 6.07% 01/12/00 $ 1,996,339
2,590 Barclays U.S. Funding Corp....................... 5.85 01/07/00 2,587,524
2,300 Canadian Imperial Holdings Inc................... 6.50 01/03/00 2,299,171
1,630 CBA (Del) Finance Inc............................ 6.01 03/01/00 1,613,917
2,950 Cregem North America Inc......................... 5.98 01/19/00 2,941,268
4,545 Deutsche Bank Financial Inc...................... 5.78-5.80 01/04/00-04/07/00 4,503,472
1,980 Dresdner U.S. Finance Inc........................ 5.88 02/14/00 1,965,988
1,585 Internationale Nederlanden (U.S.) Funding
Corp........................................... 5.88 02/04/00 1,576,393
2,000 National Australia Funding (Del) Inc............. 5.87 01/31/00 1,990,450
1,800 UBS Finance (Del) LLC............................ 6.07 05/19/00 1,758,856
------------
23,233,378
------------
INVESTMENT BANKERS/BROKERS/SERVICES (4.8%)
6,570 Goldman Sachs Group Inc.......................... 6.08-6.23 01/21/00-03/29/00 6,494,574
------------
OFFICE EQUIPMENT & SUPPLIES (1.8%)
2,400 Pitney Bowes Inc................................. 6.41 01/06/00 2,397,867
------------
UTILITIES (1.8%)
2,500 National Rural Utilities Cooperative Finance
Corp........................................... 5.99 03/13/00 2,470,500
------------
TOTAL COMMERCIAL PAPER
(AMORTIZED COST $99,200,202)............................................................. 99,200,202
------------
CERTIFICATES OF DEPOSIT (10.0%)
MAJOR BANKS (10.0%)
4,900 Chase Manhattan Bank (USA) N.A................... 5.60-5.90 01/20/00-02/09/00 4,900,000
5,190 Fleet National Bank.............................. 6.07-6.09 02/22/00-02/24/00 5,190,000
3,500 U.S. Bank, N.A................................... 6.00-6.07 01/28/00-02/25/00 3,500,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(AMORTIZED COST $13,590,000)............................................................. 13,590,000
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
23
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SHORT-TERM BANK NOTE (1.5%)
MAJOR BANKS
$ 2,000 First USA Bank, N.A. (AMORTIZED COST
$2,000,000).................................... 5.88% 02/11/00 $ 2,000,000
------------
U.S. GOVERNMENT AGENCIES (15.6%)
1,000 Federal Farm Credit Bank......................... 4.99 03/17/00 989,972
4,170 Federal Home Loan Banks.......................... 4.99-5.86 03/03/00-06/09/00 4,098,323
5,306 Federal Home Loan Mortgage Corp.................. 5.55-5.80 06/13/00-07/06/00 5,155,473
11,245 Federal National Mortgage Assoc.................. 4.93-5.95 03/15/00-08/07/00 10,947,654
------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $21,191,422)............................................................. 21,191,422
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(AMORTIZED COST $135,981,624) (A)......................................................... 100.2% 135,981,624
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS............................................ (0.2) (306,384)
----- -------------
NET ASSETS................................................................................ 100.0% $ 135,675,240
----- -------------
----- -------------
</TABLE>
- ---------------------
(a) Cost is the same for federal income tax purposes.
SEE NOTES TO FINANCIAL STATEMENTS
24
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
<C> <S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY & OBLIGATIONS (33.2%)
$ 1,500 Federal Home Loan Banks........................... 7.05 % 04/03/00 $1,503,765
U.S. Treasury Notes
500 .................................................. 5.375 06/30/03 484,995
150 .................................................. 5.50 04/15/00 150,018
500 .................................................. 5.625 12/31/02 490,755
500 .................................................. 5.875 10/31/01 496,915
----------
TOTAL U.S. GOVERNMENT AGENCY & OBLIGATIONS
(IDENTIFIED COST $3,170,844)..................................................... 3,126,448
----------
MORTGAGE-BACKED SECURITIES (45.6%)
Federal Home Loan Mortgage Corp.
423 .................................................. 6.892 04/01/26 427,709
74 .................................................. 7.50 06/01/11 74,142
Federal Home Loan Mortgage Corp. PC Gold
32 .................................................. 5.50 11/01/00 31,213
2 .................................................. 7.00 07/01/00 1,944
183 .................................................. 7.00 09/01/17 178,904
340 .................................................. 7.00 02/01/28 329,261
97 .................................................. 7.50 05/01/11-08/01/11 97,730
Federal National Mortgage Assoc.
33 .................................................. 6.00 09/01/00 32,665
30 .................................................. 6.50 07/01/02 29,047
92 .................................................. 6.582 12/01/26 93,436
61 .................................................. 6.75 01/01/22 61,159
119 .................................................. 6.893 03/01/27 121,224
6 .................................................. 6.95 07/01/24 6,477
4 .................................................. 6.975 04/01/27 4,420
8 .................................................. 6.988 09/01/26 8,066
81 .................................................. 7.00 06/01/02-01/01/03 80,344
596 .................................................. 7.00 07/01/03 594,026
5 .................................................. 7.10 05/01/27 5,551
554 .................................................. 7.149 12/01/27 557,202
733 .................................................. 7.447 11/01/25 748,318
Government National Mortgage Assoc. II
66 .................................................. 6.375 02/20/23 66,896
31 .................................................. 6.375 06/20/25 30,819
28 .................................................. 6.375 01/20/26 27,895
24 .................................................. 6.375 05/20/26 24,662
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
25
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 124 .................................................. 6.75 % 07/20/27 $ 124,576
124 .................................................. 6.75 08/20/27 124,230
417 .................................................. 7.50 12/20/28 411,065
----------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $4,350,746)..................................................... 4,292,981
----------
SHORT-TERM INVESTMENTS (20.5%)
U.S. GOVERNMENT AGENCIES (a) (15.9%)
500 Federal Farm Credit Bank.......................... 5.14 01/28/00 498,073
1,000 Federal Home Loan Mortgage Corp................... 5.75 01/10/00 998,562
----------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $1,496,635)...................................................... 1,496,635
----------
REPURCHASE AGREEMENT (4.6%)
437 The Bank of New York (dated 12/31/99; proceeds
$437,191) (b) (IDENTIFIED COST $437,136)........ 1.50 01/03/00 437,136
----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $1,933,771)..................................................... 1,933,771
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $9,455,361) (c)............................................................ 99.3% 9,353,200
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.............................................. 0.7 67,442
----- -----------
NET ASSETS.................................................................................. 100.0% $ 9,420,642
----- -----------
----- -----------
</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 $306,619 U.S. Treasury Note 11.25% due 02/15/15 valued at
$446,227.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $2,633 and the
aggregate gross unrealized depreciation is $104,794, resulting in net
unrealized depreciation of $102,161.
SEE NOTES TO FINANCIAL STATEMENTS
26
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
<C> <S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
GOVERNMENT & CORPORATE BONDS (93.0%)
FOREIGN (24.0%)
AUSTRALIA (0.0%)
CABLE TELEVISION
$ 1,300 Australis Holdings Property Ltd. (a).............. 15.00++% 11/01/02 $ 19,500
3 Australis Media Ltd. (a).......................... 15.75++ 05/15/03 16
-----------
TOTAL AUSTRALIA............................................................... 19,516
-----------
BERMUDA (0.2%)
OTHER TELECOMMUNICATIONS
200 Globenet Communications Group, Ltd. - 144A*....... 13.00 07/15/07 203,000
-----------
CANADA (1.2%)
BEVERAGES - NON-ALCOHOLIC (0.6%)
500 Sparkling Spring Water............................ 11.50 11/15/07 395,000
-----------
CELLULAR TELEPHONE (0.2%)
200 Clearnet Communications Inc....................... 14.75++ 12/15/05 197,000
-----------
CONSUMER/BUSINESS SERVICES (0.2%)
200 MDC Communications Corp........................... 10.50 12/01/06 197,500
-----------
CONSUMER ELECTRONICS/APPLIANCES (0.0%)
750 International Semi-Tech Microelectronics (a)...... 11.50++ 08/15/03 37,500
-----------
OTHER TELECOMMUNICATIONS (0.2%)
200 Worldwide Fiber Inc. - 144A*...................... 12.00 08/01/09 206,500
-----------
TOTAL CANADA.................................................................. 1,033,500
-----------
DENMARK (4.2%)
FOREIGN GOVERNMENT OBLIGATIONS
DKK 10,000 Kingdom of Denmark (b)............................ 8.00 11/15/01 1,431,139
16,000 Kingdom of Denmark................................ 6.00 11/15/02 2,223,658
-----------
TOTAL DENMARK................................................................. 3,654,797
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
27
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
GERMANY (4.0%)
FOREIGN GOVERNMENT OBLIGATIONS
EUR 1,700 Germany (Federal Republic of)..................... 4.50% 05/17/02 $ 1,714,477
1,750 Germany (Federal Republic of)..................... 4.50 08/19/02 1,762,790
-----------
TOTAL GERMANY................................................................. 3,477,267
-----------
NETHERLANDS (4.8%)
FOREIGN GOVERNMENT OBLIGATIONS (4.5%)
1,500 Netherlands Government Bond....................... 8.50 03/15/01 1,587,152
2,250 Netherlands Government Bond....................... 5.75 09/15/02 2,332,073
-----------
3,919,225
-----------
OTHER TELECOMMUNICATIONS (0.3%)
$ 200 Versatel Telecommunications BV.................... 13.25 05/15/08 213,000
-----------
TOTAL NETHERLANDS............................................................. 4,132,225
-----------
NEW ZEALAND (1.9%)
EXTRA GOVERNMENTAL INSTITUTIONS - BANKS
NZD 3,000 International Bank for Reconstruction &
Development (b)................................. 7.25 04/09/01 1,579,992
-----------
NORWAY (4.1%)
CONTRACT DRILLING (0.3%)
$ 400 Northern Offshore ASA............................. 10.00 05/15/05 244,000
-----------
FOREIGN GOVERNMENT OBLIGATION (3.8%)
NOK 26,060 Norway Government Bond (b)........................ 7.00 05/31/01 3,293,654
-----------
TOTAL NORWAY.................................................................. 3,537,654
-----------
UNITED KINGDOM (3.6%)
CELLULAR TELEPHONE (0.2%)
$ 300 Dolphin Telecom PLC............................... 14.00++ 05/15/09 138,000
-----------
FOREIGN GOVERNMENT OBLIGATION (2.5%)
GBP 1,300 U.K. Treasury Bond................................ 7.00 06/07/02 2,122,592
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
28
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
INTERNATIONAL BANKS (0.7%)
GBP 400 Abbey National Treasury Service (b)............... 7.125% 03/14/01 $ 647,517
-----------
OTHER TELECOMMUNICATIONS (0.2%)
$ 200 Esprit Telecom Group PLC.......................... 10.875 06/15/08 198,000
-----------
TOTAL UNITED KINGDOM.......................................................... 3,106,109
-----------
TOTAL FOREIGN
(IDENTIFIED COST $22,717,358)................................................. 20,744,060
-----------
UNITED STATES (69.0%)
CORPORATE BONDS (29.1%)
ADVERTISING (0.3%)
300 Interep National Radio Sales...................... 10.00 07/01/08 291,000
-----------
AEROSPACE (0.3%)
300 Sabreliner Corp. - 144A*.......................... 11.00 06/15/08 237,000
-----------
BROADCAST/MEDIA (0.5%)
400 Tri-State Outdoor Media Group, Inc................ 11.00 05/15/08 394,000
-----------
CABLE TELEVISION (1.7%)
400 21st Century Telecom Group, Inc................... 12.25++ 02/15/08 268,000
300 Knology Holdings Inc.............................. 11.875++ 10/15/07 201,000
400 Optel, Inc. (a)................................... 13.00 02/15/05 296,000
1,000 Optel, Inc. (Series B) (a)........................ 11.50 07/01/08 720,000
-----------
1,485,000
-----------
CASINO/GAMBLING (1.2%)
1,200 Aladdin Gaming/Capital Corp. LLC (Series B)....... 13.50++ 03/01/10 486,000
850 Fitzgeralds Gaming Corp. (Series B) (c)........... 12.25 12/15/04 467,500
115 Lady Luck Gaming Financial Corp. (Series SA)...... 11.875 03/01/01 116,150
-----------
1,069,650
-----------
CELLULAR TELEPHONE (1.8%)
200 American Cellular Corp............................ 10.50 05/15/08 220,500
200 Dobson/Sygnet Communications...................... 12.25 12/15/08 220,000
500 McCaw International Ltd........................... 13.00++ 04/15/07 349,480
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
29
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 300 Nextel Communications, Inc........................ 10.65++% 09/15/07 $ 226,500
300 Tritel PCS Inc. - 144A*........................... 12.75++ 05/15/09 189,000
500 Triton PCS Inc.................................... 11.00++ 05/01/08 355,000
-----------
1,560,480
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (0.2%)
200 J.B. Poindexter & Co., Inc........................ 12.50 05/15/04 191,000
-----------
CONSUMER/BUSINESS SERVICES (1.3%)
200 Anacomp, Inc. (Series B).......................... 10.875 04/01/04 199,500
500 Comforce Operating, Inc........................... 12.00 12/01/07 325,000
700 Entex Information Services, Inc................... 12.50 08/01/06 315,000
300 Muzak LLC......................................... 9.875 03/15/09 289,500
-----------
1,129,000
-----------
CONSUMER ELECTRONICS/APPLIANCES (0.4%)
310 Windmere-Durable Holdings, Inc.................... 10.00 07/31/08 302,250
-----------
CONSUMER SPECIALTIES (0.7%)
700 Samsonite Corp.................................... 10.75 06/15/08 612,500
-----------
CONTAINERS/PACKAGING (1.1%)
325 Berry Plastics Corp............................... 12.25 04/15/04 333,125
735 Envirodyne Industries, Inc........................ 10.25 12/01/01 411,600
200 Impac Group Inc. (Series B)....................... 10.125 03/15/08 182,000
-----------
926,725
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (0.3%)
300 High Voltage Engineering, Inc..................... 10.75 08/15/04 256,500
-----------
DIVERSIFIED FINANCIAL SERVICES (1.5%)
GBP 800 General Electric Capital Corp. (b)................ 6.625 03/16/01 1,287,146
-----------
DIVERSIFIED MANUFACTURING (0.7%)
$ 200 Eagle-Picher Industries, Inc...................... 9.375 03/01/08 175,000
200 Jordan Industries, Inc. (Series D)................ 10.375 08/01/07 200,000
325 Jordan Industries, Inc. (Series B)................ 11.75++ 04/01/09 217,750
-----------
592,750
-----------
ELECTRONIC DISTRIBUTORS (0.1%)
400 CHS Electronics, Inc.............................. 9.875 04/15/05 48,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
30
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FOOD CHAINS (0.6%)
$ 250 Big V Supermarkets, Inc. (Series B)............... 11.00% 02/15/04 $ 245,000
500 Pueblo Xtra International, Inc. (Series C)........ 9.50 08/01/03 300,000
-----------
545,000
-----------
FOOD DISTRIBUTORS (0.5%)
300 Fleming Companies, Inc. (Series B)................ 10.625 07/31/07 270,750
200 Volume Services of America Inc.................... 11.25 03/01/09 197,000
-----------
467,750
-----------
HOTELS/RESORTS (0.5%)
300 Epic Resorts LLC (Series B)....................... 13.00 06/15/05 240,000
299 Resort At Summerlin (Series B).................... 13.00 12/15/07 209,487
-----------
449,487
-----------
INDUSTRIAL SPECIALTIES (1.0%)
200 Cabot Safety Corp................................. 12.50 07/15/05 204,000
200 Indesco International Inc......................... 9.75 04/15/08 90,000
350 International Wire Group, Inc. (Series B)......... 11.75 06/01/05 361,375
250 Outsourcing Services Group, Inc. (Series B)....... 10.875 03/01/06 222,500
-----------
877,875
-----------
MEDICAL SPECIALTIES (0.8%)
600 Mediq Inc./PRN Life Support Services Inc.......... 11.00 06/01/08 240,000
600 Universal Hospital Services, Inc.................. 10.25 03/01/08 409,500
-----------
649,500
-----------
MEDICAL/NURSING SERVICES (0.3%)
500 Pediatric Services of America, Inc. (Series A).... 10.00 04/15/08 230,000
-----------
MILITARY/GOV'T/TECHNICAL (0.2%)
200 Loral Space & Communications Ltd.................. 9.50 01/15/06 182,000
-----------
OFFICE EQUIPMENT/SUPPLIES (0.5%)
700 Mosler, Inc....................................... 11.00 04/15/03 413,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
31
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
OIL REFINING/MARKETING (0.0%)
$ 500 Transamerican Refining Corp. (Series B) (a) (c)... 16.00% 06/30/03 $ 7,500
-----------
OTHER TELECOMMUNICATIONS (3.9%)
600 Birch Telecom Inc................................. 14.00 06/15/08 606,000
300 DTI Holdings Inc. (Series B)...................... 12.50++ 03/01/08 111,000
1,700 Firstworld Communications, Inc.................... 13.00++ 04/15/08 1,020,000
300 Pac-West Telecomm Inc. (Series B)................. 13.50 02/01/09 310,500
300 Primus Telecommunication Group, Inc............... 11.75 08/01/04 303,000
300 Primus Telecommunication Group, Inc.
(Series B)...................................... 9.875 05/15/08 276,000
200 Viatel Inc........................................ 11.25 04/15/08 201,000
600 World Access, Inc. (d)............................ 13.25 01/15/08 540,000
-----------
3,367,500
-----------
PRINTING/FORMS (0.2%)
300 Premier Graphics Inc.............................. 11.50 12/01/05 210,000
-----------
RESTAURANTS (0.5%)
550 FRD Acquisition Corp. (Series B).................. 12.50 07/15/04 280,500
200 Friendly Ice Cream Corp........................... 10.50 12/01/07 172,000
-----------
452,500
-----------
RETAIL - SPECIALTY (0.6%)
200 Pantry, Inc....................................... 10.25 10/15/07 195,000
300 Petro Stopping Centers............................ 10.50 02/01/07 278,250
-----------
473,250
-----------
SPECIALTY FOODS/CANDY (0.3%)
1,839 SFAC New Holdings Inc. (d)........................ 13.00++ 06/15/09 275,862
-----------
TELECOMMUNICATIONS (3.6%)
200 CapRock Communications Corp. (Series B)........... 12.00 07/15/08 207,000
400 Covad Communications Group, Inc................... 12.50 02/15/09 416,000
600 e. Spire Communications, Inc...................... 13.75 07/15/07 426,000
300 Focal Communications Corp. (Series B)............. 12.125++ 02/15/08 198,000
250 GST Equipment Funding............................. 13.25 05/01/07 247,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
32
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 200 Hyperion Telecommunication, Inc. (Series B)....... 12.25% 09/01/04 $ 216,500
400 In-Flight Phone Corp. (Series B) (a) (c).......... 14.00 05/15/02 44,000
200 Level 3 Communications, Inc....................... 9.125 05/01/08 189,250
150 NextLink Communications, Inc...................... 12.50 04/15/06 160,500
250 NextLink Communications, Inc...................... 10.75 06/01/09 259,375
500 Rhythms Netconnections............................ 12.75 04/15/09 482,500
300 Talton Holdings, Inc. (Series B).................. 11.00 06/30/07 285,000
-----------
3,131,625
-----------
TELECOMMUNICATION EQUIPMENT (0.2%)
1,900 FWT, Inc. (a) (c)................................. 9.875 11/15/07 152,000
-----------
WIRELESS COMMUNICATIONS (3.3%)
1,000 Advanced Radio Telecom Corp....................... 14.00 02/15/07 910,000
100 Arch Escrow Corp.................................. 13.75 04/15/08 81,000
100 CellNet Data Systems, Inc. - 144A*................ 15.00 01/07/00 100,000
1,800 CellNet Data Systems, Inc......................... 14.00++ 10/01/07 216,000
250 Globalstar LP/Capital Corp........................ 11.375 02/15/04 167,500
150 Globalstar LP/Capital Corp........................ 11.50 06/01/05 100,500
300 Orbcomm Global LP/Capital Corp.................... 14.00 08/15/04 207,000
300 Paging Network, Inc............................... 10.125 08/01/07 93,000
1,050 Paging Network, Inc............................... 10.00 10/15/08 325,500
400 USA Mobile Communications Holdings, Inc........... 14.00 11/01/04 364,000
250 Winstar Equipment Corp............................ 12.50 03/15/04 270,000
-----------
2,834,500
-----------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $31,094,082)................................................. 25,102,350
-----------
MORTGAGE-BACKED SECURITIES (24.0%)
377 Federal Home Loan Mortgage Corp. (0.4%)........... 7.00 06/01/04 376,275
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
33
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Federal National Mortgage Assoc. (7.9%)
$ 2,602 .................................................. 6.00% 02/01/11-03/01/28 $ 2,403,687
2,354 .................................................. 6.50 04/01/12-04/01/26 2,240,698
2,031 .................................................. 7.00 07/01/25 1,963,296
175 .................................................. 8.00 07/01/26 176,659
-----------
6,784,340
-----------
Government National Mortgage Assoc. (15.7%)
4,820 .................................................. 6.00 11/15/28 4,387,817
5,805 .................................................. 6.50 01/15/24-04/20/28 5,448,727
1,622 .................................................. 7.00 09/15/22 1,566,760
1,666 .................................................. 7.50 07/15/26 1,650,064
437 .................................................. 8.00 06/15/26 441,351
-----------
13,494,719
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $21,585,402)................................................. 20,655,334
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (15.9%)
500 Federal Home Loan Banks (0.6%).................... 5.53 01/15/03 482,345
-----------
500 Federal National Mortgage Assoc. (0.6%)........... 5.60 02/02/01 495,425
-----------
6,000 Resolution Funding Corp. (b) (4.3%)............... 0.00 01/15/05-10/15/07 3,695,320
-----------
1,000 Tennessee Valley Authority (b) (1.1%)............. 0.00 07/15/00 967,770
-----------
U.S. Treasury Notes (b) (9.3%)
1,000 .................................................. 6.375 09/30/01 1,001,970
3,300 .................................................. 5.875 11/30/01 3,278,880
2,000 .................................................. 6.25 01/31/02 1,999,820
500 .................................................. 6.25 08/31/02 499,415
1,300 .................................................. 5.75 11/30/02 1,280,656
-----------
8,060,741
-----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(IDENTIFIED COST $14,021,466)................................................. 13,701,601
-----------
TOTAL UNITED STATES
(IDENTIFIED COST $66,700,950)................................................. 59,459,285
-----------
TOTAL GOVERNMENT & CORPORATE BONDS
(IDENTIFIED COST $89,418,308)................................................. 80,203,345
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
34
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (e) (0.0%)
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)........................................................... 31,399
-----------
OTHER TELECOMMUNICATIONS (0.0%)
1,885 World Access, Inc. (d).................................................................. 36,522
-----------
SPECIALTY FOODS/CANDY (0.0%)
100 SFAC New Holdings Inc. (d)*............................................................. 25
-----------
TEXTILES (0.0%)
11,192 United States Leather, Inc. (d)......................................................... 101
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $945,854).............................................................. 68,499
-----------
CONVERTIBLE PREFERRED STOCKS (e) (0.0%)
OIL REFINING/MARKETING
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
2,633 TCR Holding Corp. (Class E) (Non-Voting)................................................ 26
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $313).................................................................. 53
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE
<C> <S> <C> <C>
- --------- ----------
WARRANTS (e) (0.4%)
BROADCASTING (0.0%)
300 UIH Australia/Pacific Inc..................................................... 05/15/06 9,000
-----------
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 4,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
35
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
HOTELS/RESORTS (0.0%)
300 Epic Resorts LLC/Capital - 144A*.............................................. 06/15/05 $ 3
250 Resort At Summerlin - 144A*................................................... 12/15/07 2
-----------
5
-----------
OIL REFINING/MARKETING (0.0%)
500 Transamerican Refining Corp. - 144A*.......................................... 06/30/03 1
-----------
OTHER TELECOMMUNICATIONS (0.4%)
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*....................................... 04/15/08 204,000
200 Versatel Telecom - 144A* (Netherlands)........................................ 05/15/08 80,000
-----------
311,515
-----------
TOTAL WARRANTS
(IDENTIFIED COST $1,782).................................................................. 324,611
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
<C> <S> <C> <C> <C>
- ------------ ----- ------------------
SHORT-TERM INVESTMENTS (4.7%)
UNITED STATES
TIME DEPOSIT (f) (0.5%)
EUR 396 Chase Manhattan Bank
(IDENTIFIED COST $403,197)...................... 3.00% 01/21/00 397,977
-----------
U.S. GOVERNMENT AGENCY (g) (4.2%)
$ 3,650 Federal Home Loan Mortgage Corp. (AMORTIZED COST
$3,649,696)..................................... 1.50 01/03/00 3,649,696
-----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $4,052,893).................................................. 4,047,673
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
36
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
VALUE
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $94,419,150) (h).......................................................... 98.1% $ 84,644,181
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................. 1.9 1,626,237
----- ------------
NET ASSETS................................................................................. 100.0% $ 86,270,418
----- ------------
----- ------------
</TABLE>
- ---------------------
* Resale is restricted to qualified institutional investors.
++ Currently a zero coupon bond and will pay interest at the rate shown at a
future specified date.
(a) Issuer in bankruptcy.
(b) Some or all of these securities are segregated in connection with open
forward foreign currency contracts.
(c) Non-income producing securities; issuer in default.
(d) Acquired through exchange offer.
(e) Non-income producing securities.
(f) Subject to withdrawal restrictions until maturity.
(g) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(h) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $1,175,279 and the
aggregate gross unrealized depreciation is $10,950,248, resulting in net
unrealized depreciation of $9,774,969.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 1999:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS IN EXCHANGE DELIVERY APPRECIATION
TO DELIVER FOR DATE (DEPRECIATION)
- -------------------------------------------------------------------
<S> <C> <C> <C>
GBP 646,100 $1,043,871 02/28/00 $ 933
NZD 2,058,666 $1,052,802 02/29/00 (25,322)
NZD 871,237 $ 445,877 02/29/00 (10,390)
GBP 1,359,000 $2,172,253 03/03/00 (21,445)
------------
Net unrealized depreciation.................. $ (56,224)
============
</TABLE>
CURRENCY ABBREVIATIONS:
<TABLE>
<S> <C>
GBP British Pound.
DKK Danish Krone.
EUR Euro.
NZD New Zealand Dollar.
NOK Norwegian Krone.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
37
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (62.9%)
AEROSPACE (2.5%)
50,000 United Technologies Corp............................................................... $ 3,250,000
------------
ALUMINUM (2.5%)
38,500 Alcoa Inc.............................................................................. 3,195,500
------------
AUTO PARTS: O.E.M. (2.3%)
190,000 Delphi Automotive Systems Corp......................................................... 2,992,500
------------
BEVERAGES - NON-ALCOHOLIC (2.3%)
82,500 PepsiCo, Inc........................................................................... 2,908,125
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.5%)
74,000 Deere & Co............................................................................. 3,209,750
------------
DEPARTMENT STORES (2.4%)
95,500 May Department Stores Co............................................................... 3,079,875
------------
DISCOUNT CHAINS (2.3%)
39,500 Dayton Hudson Corp..................................................................... 2,900,781
------------
DIVERSIFIED MANUFACTURING (2.4%)
31,000 Minnesota Mining & Manufacturing Co.................................................... 3,034,125
------------
ELECTRIC UTILITIES (4.4%)
92,000 GPU, Inc............................................................................... 2,754,250
88,000 Unicom Corp............................................................................ 2,948,000
------------
5,702,250
------------
ELECTRONIC DATA PROCESSING (2.3%)
27,000 International Business Machines Corp................................................... 2,916,000
------------
FINANCE COMPANIES (2.1%)
100,500 Associates First Capital Corp. (Class A)............................................... 2,757,469
------------
FOREST PRODUCTS (2.4%)
43,500 Weyerhaeuser Co........................................................................ 3,123,844
------------
MAJOR BANKS (4.4%)
55,500 Bank of America Corp................................................................... 2,785,406
127,500 KeyCorp................................................................................ 2,820,938
------------
5,606,344
------------
MAJOR CHEMICALS (2.4%)
46,000 Du Pont (E.I.) de Nemours & Co., Inc................................................... 3,030,250
------------
MAJOR PHARMACEUTICALS (2.3%)
45,000 Bristol-Myers Squibb Co................................................................ 2,888,438
------------
MAJOR U.S. TELECOMMUNICATIONS (2.1%)
53,000 AT&T Corp.............................................................................. 2,689,750
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MEAT/POULTRY/FISH (2.4%)
136,500 ConAgra, Inc........................................................................... $ 3,079,781
------------
MOTOR VEHICLES (4.6%)
56,000 Ford Motor Co.......................................................................... 2,992,500
40,000 General Motors Corp.................................................................... 2,907,500
------------
5,900,000
------------
MULTI-SECTOR COMPANIES (2.2%)
18,500 General Electric Co.................................................................... 2,862,875
------------
OIL/GAS TRANSMISSION (2.6%)
74,000 Enron Corp............................................................................. 3,283,750
------------
OTHER METALS/MINERALS (2.6%)
50,000 Phelps Dodge Corp...................................................................... 3,356,250
------------
PACKAGE GOODS/COSMETICS (2.3%)
27,000 Procter & Gamble Co.................................................................... 2,958,187
------------
RAILROADS (2.4%)
97,500 CSX Corp............................................................................... 3,059,062
------------
SEMICONDUCTORS (2.2%)
35,000 Intel Corp............................................................................. 2,878,750
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $74,731,551).......................................................... 80,663,656
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
-------
CORPORATE BONDS (1.1%)
ELECTRONIC DATA PROCESSING (0.4%)
$ 500 IBM Corp.
7.00% due 10/30/25................................................................... 469,190
------------
INTERNATIONAL BANKS (0.1%)
100 Abbey National PLC (United Kingdom)
6.69% due 10/17/05................................................................... 96,537
------------
MAJOR PHARMACEUTICALS (0.0%)
45 Lilly (Eli) & Co.
8.375% due 12/01/06.................................................................. 47,772
------------
MAJOR U.S. TELECOMMUNICATIONS (0.3%)
400 MCI Communication Corp.
6.95% due 08/15/06................................................................... 389,372
------------
PAPER (0.2%)
200 Willamette Industries, Inc. 7.85% due 07/01/26......................................... 195,768
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
38
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SPECIALTY CHEMICALS (0.1%)
$ 200 Praxair, Inc.
6.90% due 11/01/06................................................................... $ 190,138
------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $1,460,071)........................................................... 1,388,777
------------
MORTGAGE-BACKED SECURITIES (22.6%)
1,084 Federal Home Loan Mortgage Corp.
6.00% due 04/01/03................................................................... 1,044,117
547 Federal Home Loan Mortgage Corp.
7.00% due 08/01/12................................................................... 541,035
730 Federal Home Loan Mortgage Corp.
7.00% due 04/01/26................................................................... 706,433
350 Federal National Mortgage Assoc.
6.00% due 04/01/04................................................................... 337,253
3,885 Federal National Mortgage Assoc.
6.00% due 04/01/06................................................................... 3,739,376
1,518 Federal National Mortgage Assoc.
6.50% due 07/01/06................................................................... 1,487,863
1,643 Federal National Mortgage Assoc.
6.50% due 01/01/13................................................................... 1,593,877
3,489 Federal National Mortgage Assoc.
6.00% due 06/01/13................................................................... 3,311,306
755 Federal National Mortgage Assoc.
6.50% due 10/01/17................................................................... 720,587
946 Federal National Mortgage Assoc.
7.50% due 06/01/27................................................................... 936,073
906 Federal National Mortgage Assoc.
6.50% due 06/01/28................................................................... 853,641
2,304 Government National Mortgage Assoc.
7.50% due 08/15/23................................................................... 2,278,573
1,924 Government National Mortgage Assoc.
6.50% due 09/15/28................................................................... 1,807,096
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$ 2,848 Government National Mortgage Assoc.
6.00% due 11/15/28................................................................... $ 2,592,259
7,553 Government National Mortgage Assoc. II
% due 6.5004/20/28................................................................... 7,068,894
------------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $30,378,753).......................................................... 29,018,383
------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (9.6%)
1,100 Federal Home Loan Banks
5.65% due 02/06/03................................................................... 1,062,886
1,500 Federal Home Loan Banks
5.96% due 02/05/08................................................................... 1,384,785
500 Resolution Funding Corp.
0.00% due 10/15/04................................................................... 364,585
1,705 U.S. Treasury Bond
7.50% due 11/15/24................................................................... 1,859,950
1,065 U.S. Treasury Bond
6.00% due 02/15/26................................................................... 973,602
550 U.S. Treasury Note
7.75% due 01/31/00................................................................... 551,056
385 U.S. Treasury Note
6.625% due 06/30/01.................................................................. 387,206
1,400 U.S. Treasury Note
6.625% due 04/30/02.................................................................. 1,410,654
500 U.S. Treasury Note
5.50% due 05/31/03................................................................... 486,750
80 U.S. Treasury Note
7.875% due 11/15/04.................................................................. 84,557
1,300 U.S. Treasury Note
5.875% due 11/15/05.................................................................. 1,261,728
500 U.S. Treasury Note
6.25% due 02/15/07................................................................... 491,745
2,000 U.S. Treasury Note
6.125% due 08/15/07.................................................................. 1,949,080
------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(IDENTIFIED COST $12,754,575).......................................................... 12,268,584
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
39
<PAGE>
BALANCED GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (a) (3.4%)
U.S. GOVERNMENT AGENCY
$ 4,400 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST $4,399,633)........ $ 4,399,633
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $123,724,583) (b)........................................................ 99.6% 127,739,033
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................ 0.4 560,193
----- -------------
NET ASSETS................................................................................ 100.0% $ 128,299,226
----- -------------
----- -------------
</TABLE>
- ---------------------
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $11,131,142 and the
aggregate gross unrealized depreciation is $7,116,692, resulting in net
unrealized appreciation of $4,014,450.
SEE NOTES TO FINANCIAL STATEMENTS
40
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (91.8%)
ELECTRIC UTILITIES (21.7%)
21,000 AES Corp. (The)*....................................................................... $ 1,569,750
14,000 Allegheny Energy, Inc.................................................................. 377,125
25,000 Alliant Energy Co...................................................................... 687,500
15,000 Ameren Corp............................................................................ 491,250
10,000 American Electric Power Co............................................................. 321,250
30,000 Calpine Corp.*......................................................................... 1,920,000
27,081 Carolina Power & Light Co.............................................................. 824,278
10,000 Central & South West Corp.............................................................. 200,000
13,500 Cinergy Corp........................................................................... 325,687
15,000 CLECO Corp............................................................................. 480,937
25,000 CMS Energy Corp........................................................................ 779,687
19,000 Consolidated Edison, Inc............................................................... 655,500
20,000 Constellation Energy Group, Inc........................................................ 580,000
15,000 Dominion Resources, Inc................................................................ 588,750
32,500 DQE, Inc............................................................................... 1,125,312
35,000 DTE Energy Co.......................................................................... 1,098,125
13,355 Duke Energy Corp....................................................................... 669,419
28,000 Edison International................................................................... 733,250
27,500 Entergy Corp........................................................................... 708,125
10,000 Florida Progress Corp.................................................................. 423,125
25,000 FPL Group, Inc......................................................................... 1,070,312
14,000 GPU, Inc............................................................................... 419,125
7,500 Illinova Corp.......................................................................... 260,625
30,000 Independent Energy Holdings PLC (ADR) (United Kingdom)*................................ 986,250
30,000 IPALCO Enterprises, Inc................................................................ 511,875
10,000 Kansas City Power & Light Co........................................................... 220,625
31,700 LG&E Energy Corp....................................................................... 552,769
35,000 MidAmerican Energy Holdings Co.*....................................................... 1,179,062
20,000 Minnesota Power, Inc................................................................... 338,750
40,000 Montana Power Co....................................................................... 1,442,500
11,000 New Century Energies, Inc.............................................................. 334,125
10,000 New England Electric System............................................................ 517,500
25,000 Niagara Mohawk Holdings Inc.*.......................................................... 348,437
24,000 NiSource Inc........................................................................... 429,000
30,000 Northeast Utilities.................................................................... 616,875
20,000 Northern States Power Co............................................................... 390,000
20,000 Northwestern Corp...................................................................... 440,000
22,000 NSTAR.................................................................................. 891,000
24,000 OGE Energy Corp........................................................................ 456,000
30,500 PECO Energy Co......................................................................... 1,059,875
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
14,500 PG & E Corp............................................................................ $ 297,250
10,500 Pinnacle West Capital Corp............................................................. 320,906
40,000 Plug Power Inc.*....................................................................... 1,110,000
12,500 Public Service Company of New Mexico................................................... 203,125
19,000 Public Service Enterprise Group, Inc................................................... 661,437
20,000 Reliant Energy, Inc.................................................................... 457,500
27,000 SCANA Corp............................................................................. 725,625
45,040 Sierra Pacific Resources............................................................... 779,755
20,000 Southern Co............................................................................ 470,000
22,000 TECO Energy, Inc....................................................................... 408,375
12,000 Texas Utilities Co..................................................................... 426,750
31,000 TNP Enterprises, Inc................................................................... 1,278,750
21,000 Unicom Corp............................................................................ 703,500
15,000 United Illuminating Co................................................................. 770,625
16,000 Wisconsin Energy Corp.................................................................. 308,000
------------
35,945,373
------------
ENERGY (8.4%)
20,000 AGL Resources, Inc..................................................................... 340,000
10,000 Columbia Energy Group.................................................................. 632,500
6,000 Consolidated Natural Gas Co............................................................ 389,625
17,622 El Paso Energy Corp.................................................................... 683,954
31,824 Enron Corp............................................................................. 1,412,190
7,000 Ente Nazionale Idrocarburi - ENI SpA (ADR) (Italy)..................................... 385,875
15,000 Exxon Mobil Corp....................................................................... 1,208,437
16,000 Indiana Energy Inc..................................................................... 284,000
51,600 KeySpan Corp........................................................................... 1,196,475
30,000 Kinder Morgan, Inc..................................................................... 605,625
29,000 MCN Energy Group Inc................................................................... 688,750
25,000 MDU Resources Group, Inc............................................................... 500,000
14,000 New Jersey Resources Corp.............................................................. 546,875
15,000 Nicor Inc.............................................................................. 487,500
13,750 Northwest Natural Gas Co............................................................... 299,063
29,000 Questar Corp........................................................................... 435,000
12,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 725,250
14,541 Sempra Energy.......................................................................... 252,650
10,000 South Jersey Industries, Inc........................................................... 284,375
36,000 UtiliCorp United Inc................................................................... 699,750
22,000 Washington Gas Light Co................................................................ 605,000
15,000 Williams Companies, Inc................................................................ 458,438
16,000 YPF Sociedad Anomina (ADR) (Argentina)................................................. 591,000
------------
13,712,332
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
41
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (61.1%)
10,000 ADC Telecommunications, Inc.*.......................................................... $ 725,000
15,000 Advanced Fibre Communications, Inc.*................................................... 671,250
19,000 Alcatel Alsthom (ADR) (France)......................................................... 855,000
14,160 ALLTEL Corp............................................................................ 1,170,855
25,000 Amdocs Ltd.*........................................................................... 862,500
25,000 American Tower Corp. (Class A)*........................................................ 764,063
15,000 Antec Corp.*........................................................................... 547,500
38,000 AT&T Canada, Inc. (Canada)*............................................................ 1,524,750
35,462 AT&T Corp.............................................................................. 1,799,697
15,000 BCE, Inc. (Canada)..................................................................... 1,352,813
14,144 Bell Atlantic Corp..................................................................... 870,740
10,000 BellSouth Corp......................................................................... 468,125
34,000 Broadwing Inc.......................................................................... 1,253,750
20,625 CenturyTel, Inc........................................................................ 977,109
12,000 China Telecom Ltd. (ADR)
(Hong Kong)*......................................................................... 1,542,750
22,000 Cisco Systems, Inc.*................................................................... 2,355,375
11,000 COLT Telecom Group PLC (ADR) (United Kingdom)*......................................... 2,242,625
15,000 Comcast Corp. (Class A Special)........................................................ 757,500
15,000 Commonwealth Telephone Enterprises, Inc.*.............................................. 787,500
10,000 Corning Inc............................................................................ 1,289,375
35,000 Crown Castle International Corp.*...................................................... 1,120,000
25,000 CTC Communication Group, Inc.*......................................................... 975,000
12,000 Deutsche Telekom AG (ADR) (Germany).................................................... 852,000
22,500 Dycom Industries, Inc.*................................................................ 991,406
10,000 Equant N.V. (Netherlands)*............................................................. 1,120,000
11,900 Esat Telecom Group PLC (ADR) (Ireland)*................................................ 1,088,850
7,200 France Telecom S.A. (ADR) (France)..................................................... 961,200
15,000 General Instrument Corp.*.............................................................. 1,275,000
10,000 General Motors Corp. (Class H) (Hughes Electronics)*................................... 960,000
48,405 Global Crossing Ltd. (Bermuda)*........................................................ 2,417,225
42,000 Global Telesystems Group, Inc.*........................................................ 1,454,250
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
12,500 GTE Corp............................................................................... $ 882,031
10,000 Harmonic, Inc.*........................................................................ 947,500
50,000 Hellenic Telecommunication Organization S.A. (OTE) (ADR) (Greece)...................... 596,875
14,000 ICG Communications, Inc.*.............................................................. 261,625
50,200 Infonet Services Corp. (Class B)*...................................................... 1,317,750
40,000 Intermedia Communications Inc.*........................................................ 1,545,000
25,000 ITC DeltaCom, Inc.*.................................................................... 689,063
25,000 IXnet, Inc.*........................................................................... 751,563
10,000 Koninklijke (Royal) Philips Electronics NV (Netherlands)............................... 1,350,000
28,000 Level 3 Communications, Inc.*.......................................................... 2,289,000
14,584 Lucent Technologies Inc................................................................ 1,091,066
10,000 Magyar Tavkozlesi RT (MATAV) (ADR) (Hungary)........................................... 360,000
28,290 MCI WorldCom, Inc.*.................................................................... 1,499,370
40,000 McLeodUSA, Inc. (Class A)*............................................................. 2,350,000
14,000 MediaOne Group, Inc.*.................................................................. 1,075,375
25,000 Metromedia Fiber Network, Inc. (Class A)*.............................................. 1,196,875
25,000 MGC Communication, Inc.*............................................................... 1,254,688
10,000 Motorola, Inc.......................................................................... 1,472,500
10,000 Nextel Communications, Inc. (Class A)*................................................. 1,030,625
30,000 NEXTLINK Communications, Inc. (Class A)*............................................... 2,490,000
13,000 Nippon Telegraph & Telephone Corp. (ADR) (Japan)....................................... 1,119,625
10,000 Nokia Corp. (ADR) (Finland)............................................................ 1,900,000
16,000 Nortel Networks Corp. (Canada)......................................................... 1,616,000
20,000 NorthEast Optic Network, Inc.*......................................................... 1,250,000
70,000 Portugal Telecom S.A. (ADR) (Portugal)................................................. 761,250
15,000 Primus Telecommunications Group, Inc.*................................................. 573,750
12,000 QUALCOMM Inc.*......................................................................... 2,112,750
45,650 Qwest Communications International, Inc.*.............................................. 1,960,097
26,000 RCN Corp.*............................................................................. 1,259,375
25,000 Rhythms NetConnections Inc............................................................. 775,000
8,000 Royal PTT Nederland NV (ADR) (KPN) (Netherlands)....................................... 769,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
42
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
12,000 RSL Communications, Ltd. (Class A) (Bermuda)*.......................................... $ 204,750
60,000 SBA Communications Corp.*.............................................................. 1,091,250
29,272 SBC Communications, Inc................................................................ 1,427,010
15,000 Scientific-Atlanta, Inc................................................................ 834,375
14,000 Sprint Corp. (FON Group)............................................................... 942,375
10,500 Sprint Corp. (PCS Group)*.............................................................. 1,076,250
20,000 Tele Danmark AS (ADR) (Denmark)........................................................ 755,000
8,000 Telecom Italia SpA (ADR) (Italy)....................................................... 1,120,000
4,800 TeleCorp PCS, Inc.*.................................................................... 183,000
15,918 Telefonica Espana S.A. (ADR) (Spain)*.................................................. 1,254,537
15,000 Teleglobe Inc.......................................................................... 340,313
13,000 Telephone & Data Systems, Inc.......................................................... 1,638,000
15,000 Teligent, Inc. (Class A)*.............................................................. 908,438
20,000 Tellabs, Inc.*......................................................................... 1,282,500
20,000 Telstra Corp. Ltd. (ADR) (Australia)................................................... 545,000
50,000 Time Warner Telecom Inc. (Class A)*.................................................... 2,481,250
5,327 U.S. West, Inc......................................................................... 383,544
7,000 United States Cellular Corp.*.......................................................... 706,563
27,000 Viatel, Inc.*.......................................................................... 1,444,500
25,000 Vodafone Group PLC (ADR) (United Kingdom).............................................. 1,237,500
21,000 VoiceStream Wireless Corp.*............................................................ 2,979,375
20,000 Western Wireless Corp. (Class A)*...................................................... 1,332,500
20,000 Williams Communications Group, Inc.*................................................... 578,750
24,000 WinStar Communications, Inc.*.......................................................... 1,803,000
------------
101,130,741
------------
WATER SUPPLY (0.6%)
11,000 E'Town Corp............................................................................ 684,750
16,000 Philadelphia Suburban Corp............................................................. 331,000
------------
1,015,750
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $95,233,073).......................................................... 151,804,196
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PREFERRED STOCKS (0.2%)
ELECTRIC UTILITIES (0.2%)
6,000 Alabama Power Capital Trust I (Series Q) $1.84......................................... $ 123,000
1,000 Duquesne Capital LP (Series A) $2.094.................................................. 22,063
2,500 Public Service Electric & Gas Capital (Series B) $2.00................................. 53,906
1,000 Tennessee Valley Authority (Series 95-A) $2.00......................................... 24,562
5,000 Virginia Power Capital $2.013.......................................................... 108,125
------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $388,687)............................................................. 331,656
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
------
CORPORATE BONDS (3.6%)
ELECTRIC UTILITIES (0.7%)
$ 500 Niagara Mohawk Power Corp. 8.00% due 06/01/04.......................................... 509,965
249 Niagara Mohawk Power Corp. 8.77% due 01/01/18.......................................... 260,113
500 Salton Sea Funding Corp. - 144A** 7.475% due 11/30/18.................................. 468,055
------------
1,238,133
------------
ENERGY (1.1%)
1,000 CMS Panhandle Holding Co. 7.00% due 07/15/29........................................... 877,720
1,000 Sonat Inc. 7.625% due 07/15/11......................................................... 979,810
------------
1,857,530
------------
TELECOMMUNICATIONS (1.8%)
500 Aliant Communications, Inc. 6.75% due 04/01/28......................................... 436,095
1,000 AT&T Canada Inc. - 144A** (Canada) 7.65% due 09/15/06.................................. 999,590
500 Electric Lightwave, Inc. 6.05% due 05/15/04............................................ 471,495
500 GTE Corp. 7.51% due 04/01/09........................................................... 500,100
500 LCI International, Inc. 7.25% due 06/15/07............................................. 481,545
------------
2,888,825
------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $6,320,215)........................................................... 5,984,488
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
43
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (4.1%)
U.S. GOVERNMENT AGENCY (a) (4.0%)
$6,600 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST $6,599,450)........ $ 6,599,450
------------
REPURCHASE AGREEMENT (0.1%)
229 The Bank of New York 1.50% due 01/03/00 (dated 12/31/99; proceeds $229,456) (b)
(IDENTIFIED COST $229,427)........................................................... 229,427
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $6,828,877)........................................................... 6,828,877
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
VALUE
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $108,770,852) (c)........................................................ 99.7% $ 164,949,217
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 0.3 419,197
----- -------------
NET ASSETS................................................................................ 100.0% $ 165,368,414
----- -------------
----- -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) Collateralized by $160,927 U.S. Treasury Note 11.25% due 02/15/15 valued at
$234,198.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $60,539,705 and the
aggregate gross unrealized depreciation is $4,361,340, resulting in net
unrealized appreciation of $56,178,365.
SEE NOTES TO FINANCIAL STATEMENTS
44
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (95.8%)
AEROSPACE (3.3%)
295,000 Goodrich (B.F.) Co. (The).............................................................. $ 8,112,500
375,000 Lockheed Martin Corp................................................................... 8,203,125
120,000 United Technologies Corp............................................................... 7,800,000
------------
24,115,625
------------
ALUMINUM (2.2%)
195,000 Alcan Aluminium, Ltd. (Canada)......................................................... 8,031,562
99,000 Alcoa, Inc............................................................................. 8,217,000
------------
16,248,562
------------
APPAREL (1.0%)
250,000 VF Corp................................................................................ 7,500,000
------------
AUTO PARTS: O.E.M. (4.2%)
268,000 Dana Corp.............................................................................. 8,023,250
485,000 Delphi Automotive Systems Corp......................................................... 7,638,750
135,000 Johnson Controls, Inc.................................................................. 7,678,125
147,000 TRW Inc................................................................................ 7,634,812
------------
30,974,937
------------
AUTOMOTIVE AFTERMARKET (1.1%)
280,000 Goodyear Tire & Rubber Co.............................................................. 7,892,500
------------
BEVERAGES - NON-ALCOHOLIC (2.0%)
127,000 Coca Cola Co........................................................................... 7,397,750
205,000 PepsiCo, Inc........................................................................... 7,226,250
------------
14,624,000
------------
BUILDING PRODUCTS (1.1%)
245,000 Armstrong World Industries, Inc........................................................ 8,176,875
------------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (2.1%)
160,000 Caterpillar, Inc....................................................................... 7,530,000
185,000 Deere & Co............................................................................. 8,024,375
------------
15,554,375
------------
CONSUMER ELECTRONICS/APPLIANCES (1.0%)
115,000 Whirlpool Corp......................................................................... 7,482,187
------------
CONTAINERS/PACKAGING (1.1%)
365,000 Crown Cork & Seal Co., Inc............................................................. 8,166,875
------------
DEPARTMENT STORES (2.0%)
240,000 May Department Stores Co............................................................... 7,740,000
245,000 Sears, Roebuck & Co.................................................................... 7,457,187
------------
15,197,187
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DISCOUNT CHAINS (0.9%)
95,000 Dayton Hudson Corp..................................................................... $ 6,976,562
------------
DIVERSIFIED FINANCIAL SERVICES (0.9%)
77,000 Providian Financial Corp............................................................... 7,011,812
------------
DIVERSIFIED MANUFACTURING (3.3%)
126,000 Honeywell International Inc............................................................ 7,268,625
75,000 Minnesota Mining & Manufacturing Co.................................................... 7,340,625
255,000 Tyco International Ltd. (Bermuda)...................................................... 9,913,125
------------
24,522,375
------------
ELECTRIC UTILITIES (4.8%)
170,500 Dominion Resources, Inc................................................................ 6,692,125
170,000 FPL Group, Inc......................................................................... 7,278,125
238,000 GPU, Inc............................................................................... 7,125,125
305,000 Reliant Energy, Inc.................................................................... 6,976,875
220,000 Unicom Corp............................................................................ 7,370,000
------------
35,442,250
------------
ELECTRONIC DATA PROCESSING (2.0%)
66,000 Hewlett-Packard Co..................................................................... 7,519,875
70,000 International Business Machines Corp................................................... 7,560,000
------------
15,079,875
------------
ENGINEERING & CONSTRUCTION (1.1%)
175,000 Fluor Corp............................................................................. 8,028,125
------------
FINANCE COMPANIES (2.9%)
247,000 Associates First Capital Corp. (Class A)............................................... 6,777,062
122,000 Fannie Mae............................................................................. 7,617,375
200,000 Household International, Inc........................................................... 7,450,000
------------
21,844,437
------------
FOOD CHAINS (2.0%)
230,000 Albertson's, Inc....................................................................... 7,417,500
307,000 Winn-Dixie Stores, Inc................................................................. 7,348,812
------------
14,766,312
------------
FOOD DISTRIBUTORS (2.2%)
410,000 Supervalu, Inc......................................................................... 8,200,000
205,000 SYSCO Corp............................................................................. 8,110,312
------------
16,310,312
------------
FOREST PRODUCTS (1.0%)
108,000 Weyerhaeuser Co........................................................................ 7,755,750
------------
HOME FURNISHINGS (1.0%)
245,000 Newell Rubbermaid, Inc................................................................. 7,105,000
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
45
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INTEGRATED OIL COMPANIES (4.0%)
125,000 BP Amoco PLC (ADR) (United Kingdom).................................................... $ 7,414,062
91,000 Exxon Mobil Corp....................................................................... 7,331,187
120,000 Kerr-McGee Corp........................................................................ 7,440,000
125,000 Royal Dutch Petroleum Co. (ADR) (Netherlands).......................................... 7,554,687
------------
29,739,936
------------
LIFE INSURANCE (3.1%)
78,500 Aegon N.V. (ARS) (Netherlands)......................................................... 7,496,750
112,400 Jefferson-Pilot Corp................................................................... 7,671,300
197,000 Lincoln National Corp.................................................................. 7,880,000
------------
23,048,050
------------
MAJOR BANKS (2.9%)
144,000 Bank of America Corp................................................................... 7,227,000
330,000 KeyCorp................................................................................ 7,301,250
56,000 Morgan (J.P.) & Co., Inc............................................................... 7,091,000
------------
21,619,250
------------
MAJOR CHEMICALS (4.1%)
57,000 Dow Chemical Co........................................................................ 7,616,625
113,000 Du Pont (E.I.) de Nemours & Co., Inc................................................... 7,443,875
295,000 Hercules Inc........................................................................... 8,223,125
195,000 Monsanto Co............................................................................ 6,946,875
------------
30,230,500
------------
MAJOR PHARMACEUTICALS (3.9%)
205,000 Abbott Laboratories.................................................................... 7,444,062
178,000 American Home Products Corp............................................................ 7,019,875
115,000 Bristol-Myers Squibb Co................................................................ 7,381,563
170,000 Schering-Plough Corp................................................................... 7,171,875
------------
29,017,375
------------
MAJOR U.S. TELECOMMUNICATIONS (1.9%)
114,500 Bell Atlantic Corp..................................................................... 7,048,906
97,500 GTE Corp............................................................................... 6,879,844
------------
13,928,750
------------
MANAGED HEALTH CARE (1.0%)
139,000 Aetna Inc.............................................................................. 7,757,938
------------
MEAT/POULTRY/FISH (1.0%)
345,000 ConAgra, Inc........................................................................... 7,784,063
------------
MILITARY/GOV'T/TECHNICAL (1.0%)
267,000 Raytheon Co. (Class B)................................................................. 7,092,188
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MOTOR VEHICLES (3.0%)
100,000 DaimlerChrysler AG (Germany)........................................................... $ 7,825,000
141,000 Ford Motor Co.......................................................................... 7,534,688
100,000 General Motors Corp.................................................................... 7,268,750
------------
22,628,438
------------
MULTI-SECTOR COMPANIES (0.9%)
45,000 General Electric Co.................................................................... 6,963,750
------------
NATURAL GAS (1.1%)
131,000 Consolidated Natural Gas Co............................................................ 8,506,813
------------
OFFICE EQUIPMENT/SUPPLIES (2.1%)
165,000 Pitney Bowes, Inc...................................................................... 7,971,563
340,000 Xerox Corp............................................................................. 7,713,750
------------
15,685,313
------------
OIL & GAS PRODUCTION (1.1%)
244,000 Burlington Resources, Inc.............................................................. 8,067,250
------------
OIL REFINING/MARKETING (1.9%)
305,000 Sunoco, Inc............................................................................ 7,167,500
285,000 USX-Marathon Group..................................................................... 7,035,938
------------
14,203,438
------------
OIL/GAS TRANSMISSION (2.1%)
190,000 El Paso Energy Corp.................................................................... 7,374,375
183,000 Enron Corp............................................................................. 8,120,625
------------
15,495,000
------------
OTHER METALS/MINERALS (1.1%)
123,000 Phelps Dodge Corp...................................................................... 8,256,375
------------
PACKAGE GOODS/COSMETICS (5.1%)
232,000 Avon Products, Inc..................................................................... 7,656,000
174,000 Gillette Co............................................................................ 7,166,625
210,000 International Flavors & Fragrances, Inc................................................ 7,927,500
116,000 Kimberly-Clark Corp.................................................................... 7,569,000
65,000 Procter & Gamble Co.................................................................... 7,121,563
------------
37,440,688
------------
PACKAGED FOODS (1.0%)
115,000 Quaker Oats Company (The).............................................................. 7,546,875
------------
PAINTS/COATINGS (1.0%)
123,000 PPG Industries, Inc.................................................................... 7,695,188
------------
PAPER (2.2%)
140,000 International Paper Co................................................................. 7,901,250
185,000 Mead Corp.............................................................................. 8,035,938
------------
15,937,188
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
46
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PHOTOGRAPHIC PRODUCTS (1.1%)
119,000 Eastman Kodak Co....................................................................... $ 7,883,750
------------
RAILROADS (2.0%)
285,000 Burlington Northern Santa Fe Corp...................................................... 6,911,250
245,000 CSX Corp............................................................................... 7,686,875
------------
14,598,125
------------
RECREATIONAL PRODUCTS/TOYS (1.1%)
357,000 Brunswick Corp......................................................................... 7,943,250
------------
RENTAL/LEASING COMPANIES (1.0%)
305,000 Ryder System, Inc...................................................................... 7,453,438
------------
SEMICONDUCTORS (0.9%)
85,000 Intel Corp............................................................................. 6,991,250
------------
TOBACCO (1.0%)
288,000 UST, Inc............................................................................... 7,254,000
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $749,988,876)......................................................... 711,544,112
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
- --------
SHORT-TERM INVESTMENTS (4.1%)
U.S. GOVERNMENT AGENCY (a) (4.1%)
$ 30,400 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST 30,397,467)........ 30,397,467
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (0.0%)
$ 210 The Bank of New York 1.50% due 01/03/00 (dated 12/31/99; proceeds $209,787) (b)
(IDENTIFIED COST $209,761)........................................................... $ 209,761
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $30,607,228).......................................................... 30,607,228
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $780,596,104) (c)........................................................ 99.9% 742,151,340
OTHER ASSETS IN EXCESS OF LIABILITIES..................................................... 0.1 660,156
----- -------------
NET ASSETS................................................................................ 100.0% $ 742,811,496
----- -------------
----- -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
ARS American Regulatory Share.
(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 $147,132 U.S Treasury Bond 11.25% due 02/15/15 valued at
$214,123.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $54,537,763 and the
aggregate gross unrealized depreciation is $92,982,527, resulting in net
unrealized depreciation of $38,444,764.
SEE NOTES TO FINANCIAL STATEMENTS
47
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (97.5%)
ACCIDENT & HEALTH INSURANCE (0.6%)
7,500 AFLAC, Inc.............................................................................. $ 353,906
12,800 Torchmark Corp.......................................................................... 372,000
12,570 UNUMProvident Corp...................................................................... 403,026
-----------
1,128,932
-----------
ADVERTISING (0.5%)
8,000 Interpublic Group of Companies, Inc..................................................... 461,500
4,000 Omnicom Group, Inc...................................................................... 400,000
-----------
861,500
-----------
AEROSPACE (1.0%)
9,400 Boeing Co............................................................................... 390,687
12,500 Goodrich (B.F.) Co. (The)............................................................... 343,750
16,000 Lockheed Martin Corp.................................................................... 350,000
6,300 Northrop Grumman Corp................................................................... 340,594
6,200 United Technologies Corp................................................................ 403,000
-----------
1,828,031
-----------
AIR FREIGHT/DELIVERY SERVICES (0.2%)
8,700 FDX Corp.*.............................................................................. 356,156
-----------
AIRLINES (0.8%)
5,900 AMR Corp.*.............................................................................. 395,300
6,800 Delta Air Lines, Inc.................................................................... 338,725
19,950 Southwest Airlines Co................................................................... 322,941
12,500 US Airways Group Inc.*.................................................................. 400,781
-----------
1,457,747
-----------
ALCOHOLIC BEVERAGES (0.6%)
5,400 Anheuser-Busch Companies, Inc........................................................... 382,725
5,400 Brown-Forman Corp. (Class B)............................................................ 309,150
7,100 Coors (Adolph) Co. (Class B)............................................................ 372,750
-----------
1,064,625
-----------
ALUMINUM (0.7%)
11,200 Alcan Aluminum Ltd. (Canada)............................................................ 461,300
5,500 Alcoa, Inc.............................................................................. 456,500
5,800 Reynolds Metals Co...................................................................... 444,425
-----------
1,362,225
-----------
APPAREL (0.6%)
10,000 Liz Claiborne, Inc...................................................................... 376,250
22,500 Russell Corp............................................................................ 376,875
10,900 VF Corp................................................................................. 327,000
-----------
1,080,125
-----------
AUTO PARTS: O.E.M. (0.9%)
11,400 Dana Corp............................................................................... 341,287
21,200 Delphi Automotive Systems Corp.......................................................... 333,900
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
4,500 Eaton Corp.............................................................................. $ 326,812
5,700 Johnson Controls, Inc................................................................... 324,187
6,800 TRW Inc................................................................................. 353,175
-----------
1,679,361
-----------
AUTOMOTIVE AFTERMARKET (0.5%)
22,500 Cooper Tire & Rubber Co................................................................. 350,156
13,100 Genuine Parts Co........................................................................ 325,044
11,600 Goodyear Tire & Rubber Co............................................................... 326,975
-----------
1,002,175
-----------
BEVERAGES - NON-ALCOHOLIC (0.6%)
6,200 Coca Cola Co............................................................................ 361,150
16,900 Coca-Cola Enterprises Inc............................................................... 340,112
9,900 PepsiCo, Inc............................................................................ 348,975
-----------
1,050,237
-----------
BIOTECHNOLOGY (0.2%)
7,900 Amgen Inc.*............................................................................. 474,000
-----------
BOOKS/MAGAZINES (0.4%)
8,000 Harcourt General, Inc................................................................... 322,000
9,900 Meredith Corp........................................................................... 412,706
-----------
734,706
-----------
BROADCASTING (0.5%)
7,000 CBS Corp.*.............................................................................. 447,562
4,800 Clear Channel Communications, Inc.*..................................................... 428,400
-----------
875,962
-----------
BUILDING MATERIALS (0.4%)
20,600 Owens Corning........................................................................... 397,837
8,500 Vulcan Materials Co..................................................................... 339,469
-----------
737,306
-----------
BUILDING MATERIALS/DIY CHAINS (0.4%)
6,300 Home Depot, Inc. (The).................................................................. 431,944
6,800 Lowe's Companies, Inc................................................................... 406,300
-----------
838,244
-----------
BUILDING PRODUCTS (0.4%)
10,400 Armstrong World Industries, Inc......................................................... 347,100
13,300 Masco Corp.............................................................................. 337,487
-----------
684,587
-----------
CABLE TELEVISION (0.4%)
7,500 Comcast Corp. (Class A Special)*........................................................ 378,750
5,400 MediaOne Group, Inc.*................................................................... 414,787
-----------
793,537
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
48
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CASINO/GAMBLING (0.4%)
15,200 Harrah's Entertainment, Inc.*........................................................... $ 401,850
22,500 Mirage Resorts, Inc.*................................................................... 344,531
-----------
746,381
-----------
CELLULAR TELEPHONE (0.4%)
4,000 Nextel Communications, Inc. (Class A)*.................................................. 412,250
4,100 Sprint Corp. (PCS Group)*............................................................... 420,250
-----------
832,500
-----------
CLOTHING/SHOE/ACCESSORY STORES (0.8%)
9,750 Gap, Inc. (The)......................................................................... 448,500
9,700 Limited (The), Inc...................................................................... 420,131
12,900 Nordstrom, Inc.......................................................................... 337,819
16,900 TJX Companies, Inc...................................................................... 345,394
-----------
1,551,844
-----------
COMPUTER COMMUNICATIONS (0.8%)
8,500 3Com Corp.*............................................................................. 398,969
5,700 Adaptec, Inc.*.......................................................................... 283,931
16,000 Cabletron Systems, Inc.*................................................................ 416,000
4,000 Cisco Systems, Inc.*.................................................................... 428,250
-----------
1,527,150
-----------
COMPUTER SOFTWARE (2.4%)
6,200 Adobe Systems, Inc...................................................................... 416,950
13,100 Autodesk, Inc........................................................................... 441,306
5,400 BMC Software, Inc.*..................................................................... 431,325
2,500 Citrix Systems, Inc.*................................................................... 307,344
6,200 Computer Associates International, Inc.................................................. 433,612
11,200 Compuware Corp.*........................................................................ 416,500
3,500 Microsoft Corp.*........................................................................ 408,406
13,000 Novell, Inc.*........................................................................... 518,375
4,000 Oracle Corp.*........................................................................... 448,000
14,700 Parametric Technology Corp.*............................................................ 396,900
17,700 PeopleSoft, Inc.*....................................................................... 376,125
-----------
4,594,843
-----------
COMPUTER/VIDEO CHAINS (0.6%)
7,100 Best Buy Co., Inc.*..................................................................... 356,331
9,800 Circuit City Stores, Inc. - Circuit City Group.......................................... 441,612
8,200 Tandy Corp.............................................................................. 403,337
-----------
1,201,280
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS (1.2%)
7,300 Caterpillar, Inc........................................................................ 343,556
7,600 Cummins Engine Co., Inc................................................................. 367,175
10,100 Deere & Co.............................................................................. 438,087
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
6,400 NACCO Industries, Inc. (Class A)........................................................ $ 355,600
8,600 Navistar International Corp.*........................................................... 407,425
8,000 PACCAR, Inc............................................................................. 354,000
-----------
2,265,843
-----------
CONSUMER ELECTRONICS/APPLIANCES (0.4%)
8,600 Maytag Corp............................................................................. 412,800
6,000 Whirlpool Corp.......................................................................... 390,375
-----------
803,175
-----------
CONSUMER SPECIALTIES (0.2%)
17,900 Jostens, Inc............................................................................ 435,194
-----------
CONSUMER SUNDRIES (0.2%)
13,700 American Greetings Corp. (Class A)...................................................... 323,662
-----------
CONTAINERS/PACKAGING (1.3%)
8,800 Ball Corp............................................................................... 346,500
9,600 Bemis Company, Inc...................................................................... 334,800
15,600 Crown Cork & Seal Co., Inc.............................................................. 349,050
16,400 Owens-Illinois, Inc.*................................................................... 411,025
29,800 Pactiv Corp............................................................................. 316,625
6,900 Sealed Air Corp.*....................................................................... 357,506
6,200 Temple-Inland, Inc...................................................................... 408,812
-----------
2,524,318
-----------
CONTRACT DRILLING (0.4%)
16,700 Helmerich & Payne, Inc.................................................................. 364,269
20,800 Rowan Companies, Inc.*.................................................................. 451,100
-----------
815,369
-----------
DEPARTMENT STORES (1.1%)
16,000 Dillard's, Inc. (Class A)............................................................... 323,000
8,000 Federated Department Stores, Inc.*...................................................... 404,500
5,500 Kohl's Corp.*........................................................................... 397,031
10,200 May Department Stores Co................................................................ 328,950
17,400 Penney (J.C.) Co., Inc.................................................................. 346,912
10,500 Sears, Roebuck & Co..................................................................... 319,594
-----------
2,119,987
-----------
DISCOUNT CHAINS (1.2%)
22,400 Consolidated Stores Corp.*.............................................................. 364,000
4,400 Costco Wholesale Corp.*................................................................. 401,225
5,800 Dayton Hudson Corp...................................................................... 425,937
14,000 Dollar General Corp..................................................................... 318,500
29,100 Kmart Corp.*............................................................................ 292,819
6,300 Wal-Mart Stores, Inc.................................................................... 435,487
-----------
2,237,968
-----------
DIVERSIFIED COMMERCIAL SERVICES (0.2%)
9,900 Paychex, Inc............................................................................ 395,381
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
49
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED ELECTRONIC PRODUCTS (0.2%)
7,100 Rockwell International Corp............................................................. $ 339,912
-----------
DIVERSIFIED FINANCIAL SERVICES (0.7%)
2,700 American Express Co..................................................................... 448,875
7,650 Citigroup Inc........................................................................... 425,053
4,100 Providian Financial Corp................................................................ 373,356
-----------
1,247,284
-----------
DIVERSIFIED MANUFACTURING (1.6%)
7,900 Cooper Industries, Inc.................................................................. 319,456
7,000 Danaher Corp............................................................................ 337,750
9,200 Dover Corp.............................................................................. 417,450
7,600 Honeywell International Inc............................................................. 438,425
10,100 ITT Industries, Inc..................................................................... 337,719
4,300 Minnesota Mining & Manufacturing Co..................................................... 420,862
23,400 Thermo Electron Corp.*.................................................................. 351,000
11,000 Tyco International Ltd. (Bermuda)....................................................... 427,625
-----------
3,050,287
-----------
DRUGSTORE CHAINS (0.8%)
10,100 CVS Corp................................................................................ 403,369
13,500 Longs Drug Stores Corp.................................................................. 348,469
26,500 Rite Aid Corp........................................................................... 296,469
13,200 Walgreen Co............................................................................. 386,100
-----------
1,434,407
-----------
E.D.P. PERIPHERALS (0.9%)
4,100 EMC Corp.*.............................................................................. 447,925
3,800 Lexmark International Group, Inc. (Class A)*............................................ 343,900
4,900 Network Appliance, Inc.*................................................................ 406,700
8,900 Seagate Technology, Inc.*............................................................... 414,406
-----------
1,612,931
-----------
E.D.P. SERVICES (1.1%)
8,100 Automatic Data Processing, Inc.......................................................... 436,387
14,900 Ceridian Corp.*......................................................................... 321,281
4,800 Computer Sciences Corp.*................................................................ 454,200
6,300 Electronic Data Systems Corp............................................................ 421,706
8,300 First Data Corp......................................................................... 409,294
-----------
2,042,868
-----------
ELECTRIC UTILITIES (5.3%)
6,100 AES Corp. (The)*........................................................................ 455,975
9,500 Ameren Corp............................................................................. 311,125
9,700 American Electric Power Co., Inc........................................................ 311,612
10,300 Carolina Power & Light Co............................................................... 313,506
15,600 Central & South West Corp............................................................... 312,000
13,100 Cinergy Corp............................................................................ 316,037
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
10,200 CMS Energy Corp......................................................................... $ 318,112
9,000 Consolidated Edison, Inc................................................................ 310,500
12,000 Constellation Energy Group, Inc......................................................... 348,000
7,700 Dominion Resources, Inc................................................................. 302,225
9,900 DTE Energy Co........................................................................... 310,612
6,300 Duke Energy Corp........................................................................ 315,787
13,500 Edison International.................................................................... 353,531
12,300 Entergy Corp............................................................................ 316,725
13,500 FirstEnergy Corp........................................................................ 306,281
8,000 Florida Progress Corp................................................................... 338,500
7,500 FPL Group, Inc.......................................................................... 321,094
9,700 GPU, Inc................................................................................ 290,394
10,200 New Century Energies, Inc............................................................... 309,825
23,400 Niagara Mohawk Holdings Inc............................................................. 326,137
15,800 Northern States Power Co................................................................ 308,100
9,100 PECO Energy Co.......................................................................... 316,225
15,300 PG & E Corp............................................................................. 313,650
10,000 Pinnacle West Capital Corp.............................................................. 305,625
14,300 PP&L Resources, Inc..................................................................... 327,112
9,300 Public Service Enterprise Group, Inc.................................................... 323,756
13,500 Reliant Energy, Inc..................................................................... 308,812
10,730 Scottish Power PLC (ADR) (United Kingdom)............................................... 300,440
13,300 Southern Co............................................................................. 312,550
9,300 Texas Utilities Co...................................................................... 330,731
9,900 Unicom Corp............................................................................. 331,650
-----------
9,966,629
-----------
ELECTRICAL PRODUCTS (0.5%)
5,500 Emerson Electric Co..................................................................... 315,562
5,600 Molex Inc............................................................................... 317,100
10,200 Thomas & Betts Corp..................................................................... 325,125
-----------
957,787
-----------
ELECTRONIC COMPONENTS (0.5%)
22,700 Andrew Corp.*........................................................................... 428,462
4,700 Solectron Corp.*........................................................................ 447,087
-----------
875,549
-----------
ELECTRONIC DATA PROCESSING (1.9%)
4,200 Apple Computer, Inc.*................................................................... 431,550
15,200 COMPAQ Computer Corp.................................................................... 411,350
8,300 Dell Computer Corp.*.................................................................... 422,781
5,700 Gateway, Inc............................................................................ 410,756
3,900 Hewlett-Packard Co...................................................................... 444,356
3,300 International Business Machines Corp.................................................... 356,400
31,700 Silicon Graphics, Inc.*................................................................. 311,056
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
50
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
5,600 Sun Microsystems, Inc.*................................................................. $ 433,300
10,200 Unisys Corp.*........................................................................... 325,762
-----------
3,547,311
-----------
ELECTRONIC PRODUCTION EQUIPMENT (0.7%)
3,400 Applied Materials, Inc.*................................................................ 430,525
4,100 KLA-Tencor Corp.*....................................................................... 456,381
7,000 Teradyne, Inc.*......................................................................... 462,000
-----------
1,348,906
-----------
ENGINEERING & CONSTRUCTION (0.4%)
10,100 Fluor Corp.............................................................................. 463,337
31,700 Foster Wheeler Corp..................................................................... 281,337
-----------
744,674
-----------
ENVIRONMENTAL SERVICES (0.4%)
44,900 Allied Waste Industries, Inc.*.......................................................... 395,681
21,200 Waste Management, Inc................................................................... 364,375
-----------
760,056
-----------
FARMING/SEEDS/MILLING (0.2%)
26,400 Archer-Daniels-Midland Co............................................................... 321,750
-----------
FINANCE COMPANIES (1.4%)
11,100 Associates First Capital Corp. (Class A)................................................ 304,556
8,100 Capital One Financial Corp.............................................................. 390,319
12,500 Countrywide Credit Industries, Inc...................................................... 315,625
5,100 Fannie Mae.............................................................................. 318,431
6,700 Freddie Mac............................................................................. 315,319
8,800 Household International, Inc............................................................ 327,800
14,100 MBNA Corp............................................................................... 384,225
7,500 SLM Holding Corp........................................................................ 316,875
-----------
2,673,150
-----------
FINANCIAL PUBLISHING/SERVICES (0.6%)
10,900 Dun & Bradstreet Corp................................................................... 321,550
14,100 Equifax, Inc............................................................................ 332,231
6,900 McGraw-Hill Companies, Inc.............................................................. 425,212
-----------
1,078,993
-----------
FLUID CONTROLS (0.2%)
9,100 Parker-Hannifin Corp.................................................................... 466,944
-----------
FOOD CHAINS (0.9%)
10,000 Albertson's, Inc........................................................................ 322,500
12,000 Great Atlantic & Pacific Tea Co., Inc................................................... 334,500
18,900 Kroger Co.*............................................................................. 356,737
9,600 Safeway Inc.*........................................................................... 341,400
12,800 Winn-Dixie Stores, Inc.................................................................. 306,400
-----------
1,661,537
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
FOOD DISTRIBUTORS (0.4%)
17,700 Supervalu, Inc.......................................................................... $ 354,000
11,200 SYSCO Corp.............................................................................. 443,100
-----------
797,100
-----------
FOREST PRODUCTS (0.7%)
9,000 Georgia-Pacific Corp.................................................................... 456,750
24,800 Louisiana-Pacific Corp.................................................................. 353,400
6,200 Weyerhaeuser Co......................................................................... 445,237
-----------
1,255,387
-----------
GENERIC DRUGS (0.2%)
10,700 Watson Pharmaceuticals, Inc.*........................................................... 383,194
-----------
HOME BUILDING (0.7%)
13,700 Centex Corp............................................................................. 338,219
16,100 Fleetwood Enterprises, Inc.............................................................. 332,062
17,000 Kaufman & Broad Home Corp............................................................... 411,187
15,000 Pulte Corp.............................................................................. 337,500
-----------
1,418,968
-----------
HOME FURNISHINGS (0.5%)
14,700 Leggett & Platt, Inc.................................................................... 315,131
11,000 Newell Rubbermaid, Inc.................................................................. 319,000
19,400 Tupperware Corp......................................................................... 328,587
-----------
962,718
-----------
HOSPITAL/NURSING MANAGEMENT (0.6%)
14,800 Columbia/HCA Healthcare Corp............................................................ 433,825
22,000 Manor Care, Inc......................................................................... 352,000
18,400 Tenet Healthcare Corp.*................................................................. 432,400
-----------
1,218,225
-----------
HOTELS/RESORTS (0.5%)
7,400 Carnival Corp........................................................................... 353,812
34,800 Hilton Hotels Corp...................................................................... 334,950
10,500 Marriott International, Inc. (Class A).................................................. 331,406
-----------
1,020,168
-----------
INDUSTRIAL MACHINERY/COMPONENTS (0.6%)
5,000 Illinois Tool Works Inc................................................................. 337,812
6,800 Ingersoll-Rand Co....................................................................... 374,425
21,900 Milacron Inc............................................................................ 336,712
-----------
1,048,949
-----------
INDUSTRIAL SPECIALTIES (0.6%)
10,300 Ecolab, Inc............................................................................. 402,987
10,800 Millipore Corp.......................................................................... 417,150
17,300 Pall Corp............................................................................... 373,031
-----------
1,193,168
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
51
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INSURANCE BROKERS/SERVICES (0.4%)
10,500 AON Corp................................................................................ $ 420,000
4,400 Marsh & McLennan Companies, Inc......................................................... 421,025
-----------
841,025
-----------
INTEGRATED OIL COMPANIES (1.9%)
6,200 Amerada Hess Corp....................................................................... 351,850
4,600 Atlantic Richfield Co................................................................... 397,900
3,800 Chevron Corp............................................................................ 329,175
14,200 Conoco, Inc. (Class B).................................................................. 353,225
5,100 Exxon Mobil Corp........................................................................ 410,869
7,100 Kerr-McGee Corp......................................................................... 440,200
7,000 Phillips Petroleum Co................................................................... 329,000
6,000 Royal Dutch Petroleum Co. (ADR) (Netherlands)........................................... 362,625
6,000 Texaco, Inc............................................................................. 325,875
10,300 Unocal Corp............................................................................. 345,694
-----------
3,646,413
-----------
INTERNET SERVICES (0.2%)
4,800 America Online, Inc.*................................................................... 362,100
-----------
INVESTMENT BANKERS/BROKERS/SERVICES (1.2%)
8,820 Bear Stearns Companies, Inc............................................................. 377,055
5,000 Lehman Brothers Holdings, Inc........................................................... 423,437
4,700 Merrill Lynch & Co., Inc................................................................ 392,450
3,200 Morgan Stanley Dean Witter & Co. (Note 3)............................................... 456,800
9,000 Paine Webber Group, Inc................................................................. 349,312
9,700 Schwab (Charles) Corp................................................................... 372,237
-----------
2,371,291
-----------
INVESTMENT MANAGERS (0.3%)
10,500 Franklin Resources, Inc................................................................. 336,656
8,800 Price (T.) Rowe Associates, Inc......................................................... 323,950
-----------
660,606
-----------
LIFE INSURANCE (0.7%)
4,800 American General Corp................................................................... 364,200
18,500 Conseco, Inc............................................................................ 330,687
5,100 Jefferson-Pilot Corp.................................................................... 348,075
8,500 Lincoln National Corp................................................................... 340,000
-----------
1,382,962
-----------
MAJOR BANKS (4.0%)
6,400 Bank of America Corp.................................................................... 321,200
10,000 Bank of New York Co., Inc............................................................... 400,000
10,600 Bank One Corp........................................................................... 339,862
11,500 BB&T Corp............................................................................... 314,812
4,900 Chase Manhattan Corp. (The)............................................................. 380,669
7,000 Comerica, Inc........................................................................... 326,813
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
9,500 First Union Corp........................................................................ $ 311,719
12,000 FleetBoston Financial Corp.............................................................. 417,750
14,300 Huntington Bancshares, Inc.............................................................. 340,519
14,500 KeyCorp................................................................................. 320,813
9,600 Mellon Financial Corp................................................................... 327,000
2,900 Morgan (J.P.) & Co., Inc................................................................ 367,213
14,000 National City Corp...................................................................... 331,625
7,200 PNC Bank Corp........................................................................... 320,400
5,800 Republic New York Corp.................................................................. 417,600
9,400 SouthTrust Corp......................................................................... 354,850
4,900 State Street Corp....................................................................... 358,006
10,700 Summit Bancorp.......................................................................... 327,688
5,100 SunTrust Banks, Inc..................................................................... 350,944
14,000 U.S. Bancorp............................................................................ 333,375
4,600 Wachovia Corp........................................................................... 312,800
9,900 Wells Fargo & Co........................................................................ 400,331
-----------
7,675,989
-----------
MAJOR CHEMICALS (1.4%)
3,400 Dow Chemical Co......................................................................... 454,325
5,400 DuPont (E.I.) de Nemours & Co., Inc..................................................... 355,725
7,900 Eastman Chemical Co..................................................................... 376,731
12,500 Hercules Inc............................................................................ 348,438
9,000 Monsanto Co............................................................................. 320,625
9,700 Rohm & Haas Co.......................................................................... 394,669
6,900 Union Carbide Corp...................................................................... 460,575
-----------
2,711,088
-----------
MAJOR PHARMACEUTICALS (1.8%)
8,400 Abbott Laboratories..................................................................... 305,025
8,200 American Home Products Corp............................................................. 323,388
5,800 Bristol-Myers Squibb Co................................................................. 372,288
4,100 Johnson & Johnson....................................................................... 381,813
5,400 Lilly (Eli) & Co........................................................................ 359,100
4,900 Merck & Co., Inc.*...................................................................... 328,606
10,500 Pfizer, Inc............................................................................. 340,594
6,800 Pharmacia & Upjohn, Inc................................................................. 306,000
7,400 Schering-Plough Corp.................................................................... 312,188
5,000 Warner-Lambert Co....................................................................... 409,688
-----------
3,438,690
-----------
MAJOR U.S. TELECOMMUNICATIONS (1.8%)
4,900 ALLTEL Corp............................................................................. 405,169
7,350 AT&T Corp............................................................................... 373,013
6,100 Bell Atlantic Corp...................................................................... 375,531
8,000 BellSouth Corp.......................................................................... 374,500
5,300 GTE Corp................................................................................ 373,981
6,600 MCI WorldCom, Inc.*..................................................................... 349,800
8,300 SBC Communications, Inc................................................................. 404,625
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
52
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
6,200 Sprint Corp. (FON Group)................................................................ $ 417,338
5,800 U.S. West, Inc.......................................................................... 417,600
-----------
3,491,557
-----------
MANAGED HEALTH CARE (0.7%)
6,200 Aetna, Inc.............................................................................. 346,038
43,100 Humana, Inc.*........................................................................... 352,881
6,800 United HealthCare Corp.................................................................. 361,250
5,400 Wellpoint Health Networks, Inc.*........................................................ 356,063
-----------
1,416,232
-----------
MEAT/POULTRY/FISH (0.2%)
14,800 ConAgra, Inc............................................................................ 333,925
-----------
MEDIA CONGLOMERATES (0.6%)
11,900 Disney (Walt) Co........................................................................ 348,075
5,800 Time Warner Inc......................................................................... 420,138
7,200 Viacom, Inc. (Class B)*................................................................. 435,150
-----------
1,203,363
-----------
MEDICAL EQUIPMENT & SUPPLIES (0.2%)
10,200 Medtronic, Inc.......................................................................... 371,663
-----------
MEDICAL SPECIALTIES (2.0%)
9,800 ALZA Corp. (Class A)*................................................................... 339,325
7,400 Bard (C.R.), Inc........................................................................ 392,200
5,900 Bausch & Lomb, Inc...................................................................... 403,781
5,800 Baxter International, Inc............................................................... 364,313
12,700 Becton, Dickinson & Co.................................................................. 339,725
11,300 Biomet, Inc............................................................................. 451,294
15,600 Boston Scientific Corp.*................................................................ 341,250
7,000 Guidant Corp............................................................................ 329,000
11,900 Mallinckrodt, Inc....................................................................... 378,569
12,600 St. Jude Medical, Inc.*................................................................. 386,663
-----------
3,726,120
-----------
MEDICAL/DENTAL DISTRIBUTORS (0.4%)
7,000 Cardinal Health, Inc.................................................................... 335,125
15,100 McKesson HBOC, Inc...................................................................... 340,694
-----------
675,819
-----------
MEDICAL/NURSING SERVICES (0.1%)
48,800 HEALTHSOUTH Corp.*...................................................................... 262,300
-----------
METALS FABRICATIONS (0.2%)
19,500 Timken Co. (The)........................................................................ 398,531
-----------
MID-SIZED BANKS (1.5%)
16,300 AmSouth Bancorporation.................................................................. 314,794
5,362 Fifth Third Bancorp..................................................................... 393,102
17,200 Firstar Corp............................................................................ 363,350
8,500 Northern Trust Corp..................................................................... 453,688
9,000 Old Kent Financial Corp................................................................. 318,375
12,900 Regions Financial Corp.................................................................. 323,306
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
17,800 Synovus Financial Corp.................................................................. $ 353,775
8,300 Union Planters Corp..................................................................... 327,331
-----------
2,847,721
-----------
MILITARY/GOV'T/TECHNICAL (0.6%)
6,400 General Dynamics Corp................................................................... 337,600
10,600 PerkinElmer, Inc........................................................................ 441,888
11,900 Raytheon Co. (Class B).................................................................. 316,094
-----------
1,095,582
-----------
MOTOR VEHICLES (0.4%)
6,500 Ford Motor Co........................................................................... 347,344
5,600 General Motors Corp..................................................................... 407,050
-----------
754,394
-----------
MOVIES/ENTERTAINMENT (0.2%)
8,400 Seagram Co. Ltd. (Canada)............................................................... 377,475
-----------
MULTI-LINE INSURANCE (0.9%)
12,800 Allstate Corp........................................................................... 307,200
3,900 American International Group, Inc....................................................... 421,688
4,500 CIGNA Corp.............................................................................. 362,531
7,500 Hartford Financial Services Group Inc. (Note 3)......................................... 355,313
13,600 Safeco Corp............................................................................. 337,450
-----------
1,784,182
-----------
MULTI-SECTOR COMPANIES (1.1%)
17,600 Crane Co................................................................................ 349,800
9,900 Fortune Brands, Inc..................................................................... 327,319
2,700 General Electric Co..................................................................... 417,830
40,900 McDermott International, Inc............................................................ 370,656
11,100 National Service Industries, Inc........................................................ 327,450
4,500 Textron, Inc............................................................................ 345,094
-----------
2,138,149
-----------
NATURAL GAS (1.1%)
5,900 Consolidated Natural Gas Co............................................................. 383,131
7,400 Eastern Enterprises..................................................................... 425,038
9,800 Nicor Inc............................................................................... 318,500
12,000 ONEOK, Inc.............................................................................. 301,500
9,000 Peoples Energy Corp..................................................................... 301,500
17,400 Sempra Energy........................................................................... 302,325
-----------
2,031,994
-----------
NEWSPAPERS (1.3%)
6,200 Dow Jones & Co., Inc.................................................................... 421,600
4,600 Gannett Co., Inc........................................................................ 375,188
6,100 Knight-Ridder, Inc...................................................................... 362,950
8,900 New York Times Co. (The) (Class A)...................................................... 437,213
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
53
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
5,500 Times Mirror Co. (Class A).............................................................. $ 368,500
8,000 Tribune Co.............................................................................. 440,500
-----------
2,405,951
-----------
OFFICE EQUIPMENT/SUPPLIES (0.6%)
6,100 Avery Dennison Corp..................................................................... 444,538
7,100 Pitney Bowes, Inc....................................................................... 343,019
14,500 Xerox Corp.............................................................................. 328,969
-----------
1,116,526
-----------
OIL & GAS PRODUCTION (0.9%)
10,900 Anardarko Petroleum Corp................................................................ 371,963
10,100 Apache Corp............................................................................. 373,069
10,100 Burlington Resources, Inc............................................................... 333,931
17,800 Occidental Petroleum Corp............................................................... 384,925
26,400 Union Pacific Resources Group, Inc...................................................... 336,600
-----------
1,800,488
-----------
OIL REFINING/MARKETING (0.7%)
9,700 Ashland, Inc............................................................................ 319,494
13,400 Sunoco, Inc............................................................................. 314,900
12,500 Tosco Corp.............................................................................. 339,844
12,400 USX-Marathon Group...................................................................... 306,125
-----------
1,280,363
-----------
OIL/GAS TRANSMISSION (1.0%)
10,000 Coastal Corp............................................................................ 354,375
5,900 Columbia Energy Group................................................................... 373,175
10,300 El Paso Energy Corp..................................................................... 399,769
10,400 Enron Corp.............................................................................. 461,500
11,200 Williams Companies, Inc................................................................. 342,300
-----------
1,931,119
-----------
OILFIELD SERVICES/EQUIPMENT (0.6%)
16,700 Baker Hughes Inc........................................................................ 351,744
9,700 Halliburton Co.......................................................................... 390,425
6,500 Schlumberger, Ltd....................................................................... 365,625
1,258 Transocean Sedco Forex Inc.............................................................. 42,392
-----------
1,150,186
-----------
OTHER CONSUMER SERVICES (0.6%)
7,900 Block (H.&R.), Inc...................................................................... 345,625
17,100 Cendant Corp.*.......................................................................... 454,219
47,500 Service Corp. International............................................................. 329,531
-----------
1,129,375
-----------
OTHER METALS/MINERALS (0.7%)
15,200 Allegheny Technologies Inc.............................................................. 341,050
18,200 Inco Ltd. (Canada)...................................................................... 427,700
7,200 Phelps Dodge Corp....................................................................... 483,300
-----------
1,252,050
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER PHARMACEUTICALS (0.2%)
7,400 Allergan, Inc........................................................................... $ 368,150
-----------
OTHER SPECIALTY STORES (1.1%)
12,000 AutoZone, Inc.*......................................................................... 387,750
10,000 Bed Bath & Beyond Inc.*................................................................. 346,250
31,300 Office Depot, Inc.*..................................................................... 342,344
35,500 Pep Boys-Manny, Moe & Jack.............................................................. 323,938
15,500 Staples, Inc.*.......................................................................... 319,688
23,300 Toys 'R' Us, Inc.*...................................................................... 333,481
-----------
2,053,451
-----------
OTHER TELECOMMUNICATIONS (0.4%)
8,700 CenturyTel, Inc......................................................................... 412,163
7,900 Global Crossing Ltd. (Bermuda)*......................................................... 394,506
-----------
806,669
-----------
OTHER TRANSPORTATION (0.1%)
30,600 Laidlaw, Inc. (Canada).................................................................. 160,650
-----------
PACKAGE GOODS/COSMETICS (1.6%)
12,700 Alberto-Culver Co. (Class B)............................................................ 327,819
12,000 Avon Products, Inc...................................................................... 396,000
7,700 Clorox Co............................................................................... 387,888
6,700 Colgate-Palmolive Co.................................................................... 435,500
9,100 Gillette Co............................................................................. 374,806
9,100 International Flavors & Fragrances, Inc................................................. 343,525
6,300 Kimberly-Clark Corp..................................................................... 411,075
3,800 Procter & Gamble Co..................................................................... 416,338
-----------
3,092,951
-----------
PACKAGED FOODS (1.6%)
7,100 Bestfoods............................................................................... 373,194
8,100 Campbell Soup Co........................................................................ 313,369
9,500 General Mills, Inc...................................................................... 339,625
7,700 Heinz (H.J.) Co......................................................................... 306,556
10,500 Kellogg Co.............................................................................. 323,531
5,700 Quaker Oats Company (The)............................................................... 374,063
11,700 Ralston-Ralston Purina Group............................................................ 326,138
15,500 Sara Lee Corp........................................................................... 341,969
6,000 Unilever N.V. (Netherlands)............................................................. 326,625
-----------
3,025,070
-----------
PAINTS/COATINGS (0.4%)
6,000 PPG Industries, Inc..................................................................... 375,375
16,500 Sherwin-Williams Co..................................................................... 346,500
-----------
721,875
-----------
PAPER (1.8%)
10,000 Boise Cascade Corp...................................................................... 405,000
7,100 Champion International Corp............................................................. 439,756
11,800 Fort James Corp......................................................................... 323,025
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
54
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
7,800 International Paper Co.................................................................. $ 440,213
10,300 Mead Corp............................................................................... 447,406
9,300 Potlatch Corp........................................................................... 415,013
13,300 Westvaco Corp........................................................................... 433,913
9,200 Willamette Industries, Inc.............................................................. 427,225
-----------
3,331,551
-----------
PHOTOGRAPHIC PRODUCTS (0.3%)
5,100 Eastman Kodak Co........................................................................ 337,875
17,100 Polaroid Corp........................................................................... 321,694
-----------
659,569
-----------
PRECIOUS METALS (1.1%)
18,900 Barrick Gold Corp. (Canada)............................................................. 334,294
71,000 Battle Mountain Gold Co................................................................. 146,438
24,700 Freeport-McMoran Copper & Gold, Inc. (Class B).......................................... 521,788
42,000 Homestake Mining Co..................................................................... 328,125
17,400 Newmont Mining Corp..................................................................... 426,300
30,000 Placer Dome Inc. (Canada)............................................................... 322,500
-----------
2,079,445
-----------
PRECISION INSTRUMENTS (0.5%)
3,900 PE Corporation-PE Biosystems Group...................................................... 469,219
11,600 Tektronix, Inc.......................................................................... 450,950
-----------
920,169
-----------
PRINTING/FORMS (0.4%)
11,900 Deluxe Corp............................................................................. 326,506
13,200 Donnelley (R.R.) & Sons Co.............................................................. 327,525
29,000 Moore Corp. Ltd. (Canada)............................................................... 175,813
-----------
829,844
-----------
PROPERTY - CASUALTY INSURERS (0.9%)
6,300 Chubb Corp.............................................................................. 354,769
9,900 Cincinnati Financial Corp............................................................... 306,900
5,100 Loews Corp.............................................................................. 309,506
4,300 Progressive Corp........................................................................ 314,438
10,800 St. Paul Companies, Inc................................................................. 363,825
-----------
1,649,438
-----------
RAILROADS (1.0%)
13,100 Burlington Northern Santa Fe Corp....................................................... 317,675
10,800 CSX Corp................................................................................ 338,850
6,500 Kansas City Southern Industries, Inc.................................................... 485,063
15,900 Norfolk Southern Corp................................................................... 325,950
7,800 Union Pacific Corp...................................................................... 340,275
-----------
1,807,813
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
RECREATIONAL PRODUCTS/TOYS (0.5%)
15,600 Brunswick Corp.......................................................................... $ 347,100
18,350 Hasbro, Inc............................................................................. 349,797
25,600 Mattel, Inc............................................................................. 336,000
-----------
1,032,897
-----------
RENTAL/LEASING COMPANIES (0.2%)
13,700 Ryder System, Inc....................................................................... 334,794
-----------
RESTAURANTS (0.7%)
18,300 Darden Restaurants, Inc................................................................. 331,688
9,100 McDonald's Corp......................................................................... 366,844
8,200 Tricon Global Restaurants, Inc.*........................................................ 316,725
15,700 Wendy's International, Inc.............................................................. 323,813
-----------
1,339,070
-----------
SAVINGS & LOAN ASSOCIATIONS (0.4%)
10,500 Golden West Financial Corp.............................................................. 351,750
12,100 Washington Mutual, Inc.................................................................. 314,600
-----------
666,350
-----------
SEMICONDUCTORS (1.7%)
14,200 Advanced Micro Devices, Inc.*........................................................... 410,913
3,800 Analog Devices, Inc.*................................................................... 353,400
5,100 Intel Corp.............................................................................. 419,475
6,300 LSI Logic Corp.*........................................................................ 425,250
5,100 Micron Technology, Inc.*................................................................ 396,525
9,300 National Semiconductor Corp.*........................................................... 398,156
3,900 Texas Instruments, Inc.................................................................. 377,813
8,000 Xilinx, Inc.*........................................................................... 363,500
-----------
3,145,032
-----------
SERVICES TO THE HEALTH INDUSTRY (0.5%)
13,600 IMS Health Inc.......................................................................... 369,750
17,600 Quintiles Transnational Corp.*.......................................................... 327,800
6,700 Shared Medical Systems Corp............................................................. 341,281
-----------
1,038,831
-----------
SHOE MANUFACTURING (0.3%)
6,800 Nike, Inc. (Class B).................................................................... 337,025
37,500 Reebok International Ltd.*.............................................................. 307,031
-----------
644,056
-----------
SPECIALTY CHEMICALS (1.3%)
10,800 Air Products & Chemicals, Inc........................................................... 362,475
18,200 Engelhard Corp.......................................................................... 343,525
6,800 FMC Corp.*.............................................................................. 389,725
23,500 Grace (W. R.) & Co...................................................................... 326,063
8,700 Great Lakes Chemical Corp............................................................... 332,231
8,800 Praxair, Inc............................................................................ 442,750
11,000 Sigma-Aldrich Corp...................................................................... 330,000
-----------
2,526,769
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
55
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SPECIALTY FOODS/CANDY (0.4%)
6,400 Hershey Foods Corp...................................................................... $ 304,000
4,500 Wrigley (Wm.) Jr. Co. (Class A)......................................................... 373,219
-----------
677,219
-----------
SPECIALTY INSURERS (0.4%)
6,800 MBIA, Inc............................................................................... 359,125
6,800 MGIC Investment Corp.................................................................... 409,275
-----------
768,400
-----------
SPECIALTY STEELS (0.2%)
7,100 Nucor Corp.............................................................................. 389,169
-----------
STEEL/IRON ORE (0.7%)
45,000 Bethlehem Steel Corp.*.................................................................. 376,875
13,500 USX-U.S. Steel Group.................................................................... 445,500
26,400 Worthington Industries, Inc............................................................. 435,600
-----------
1,257,975
-----------
TELECOMMUNICATION EQUIPMENT (2.3%)
5,800 ADC Telecommunications, Inc.*........................................................... 420,500
2,400 Comverse Technology, Inc.*.............................................................. 347,250
3,500 Corning Inc............................................................................. 451,281
5,200 General Instrument Corp.*............................................................... 442,000
5,000 Lucent Technologies Inc................................................................. 374,063
2,900 Motorola, Inc........................................................................... 427,025
4,300 Nortel Networks Corp. (Canada).......................................................... 434,300
3,600 QUALCOMM Inc.*.......................................................................... 633,825
7,300 Scientific-Atlanta, Inc................................................................. 406,063
6,600 Tellabs, Inc.*.......................................................................... 423,225
-----------
4,359,532
-----------
TEXTILES (0.2%)
10,100 Springs Industries, Inc. (Class A)...................................................... 403,369
-----------
TOBACCO (0.5%)
27,700 Nabisco Group Holdings Corp............................................................. 294,313
13,700 Philip Morris Companies, Inc............................................................ 317,669
12,700 UST, Inc................................................................................ 319,881
-----------
931,863
-----------
TOOLS/HARDWARE (0.8%)
6,900 Black & Decker Corp..................................................................... 360,525
7,200 Briggs & Stratton Corp.................................................................. 386,100
11,400 Snap-On, Inc............................................................................ 302,813
12,600 Stanley Works........................................................................... 379,575
-----------
1,429,013
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
WHOLESALE DISTRIBUTORS (0.3%)
7,400 Grainger (W.W.), Inc.................................................................... $ 353,813
30,300 IKON Office Solutions, Inc.............................................................. 206,419
-----------
560,232
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $145,265,618).......................................................... 184,889,648
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
- -----------
SHORT-TERM INVESTMENT (a) (2.3%)
U.S. GOVERNMENT AGENCY
$ 4,500 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST $4,499,625)...... 4,499,625
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $149,765,243) (b)........................................................ 99.8% 189,389,273
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................ 0.2 318,755
----- -------------
NET ASSETS................................................................................ 100.0% $ 189,708,028
----- -------------
----- -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $53,733,449 and the
aggregate gross unrealized depreciation is $14,109,419, resulting in net
unrealized appreciation of $39,624,030.
SEE NOTES TO FINANCIAL STATEMENTS
56
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (96.4%)
ADVERTISING (1.2%)
11,500 Omnicom Group, Inc...................................................................... $ 1,150,000
-----------
AEROSPACE (3.3%)
49,200 United Technologies Corp................................................................ 3,198,000
-----------
ALCOHOLIC BEVERAGES (0.8%)
11,500 Anheuser-Busch Companies, Inc........................................................... 815,062
-----------
BIOTECHNOLOGY (0.7%)
10,900 Amgen Inc.*............................................................................. 654,000
1,600 Tularik Inc.*........................................................................... 51,800
-----------
705,800
-----------
BROADCASTING (5.6%)
15,700 AMFM, Inc.*............................................................................. 1,228,525
11,800 CBS Corp.*.............................................................................. 754,462
38,300 Clear Channel Communications, Inc.*..................................................... 3,418,275
-----------
5,401,262
-----------
BUILDING MATERIALS/DIY CHAINS (3.6%)
50,550 Home Depot, Inc. (The)*................................................................. 3,465,834
-----------
CABLE TELEVISION (6.0%)
35,100 AT&T Corp. - Liberty Media Group (Class A)*............................................. 1,991,925
16,100 Charter Communications, Inc. (Class A)*................................................. 352,187
28,900 Comcast Corp. (Class A Special)*........................................................ 1,459,450
4,600 Comcast Corp. (Class A)................................................................. 220,225
19,400 MediaOne Group, Inc.*................................................................... 1,490,162
4,300 Tivo Inc.*.............................................................................. 142,975
2,800 TV Guide, Inc. (Class A)*............................................................... 119,525
-----------
5,776,449
-----------
CLOTHING/SHOE/ACCESSORY STORES (0.7%)
16,005 Intimate Brands, Inc.................................................................... 690,216
-----------
COMPUTER COMMUNICATIONS (5.6%)
44,950 Cisco Systems, Inc.*.................................................................... 4,812,459
1,600 Cobalt Networks, Inc.*.................................................................. 171,200
1,400 Finisar Corp.*.......................................................................... 124,775
900 Juniper Networks, Inc.*................................................................. 305,325
-----------
5,413,759
-----------
COMPUTER SOFTWARE (6.5%)
43,100 Microsoft Corp.*........................................................................ 5,029,231
8,000 Novell, Inc.*........................................................................... 319,000
1,500 OpenTV Corp.*........................................................................... 120,375
5,850 Oracle Corp.*........................................................................... 655,200
800 Va Linux Systems, Inc.*................................................................. 165,300
-----------
6,289,106
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DISCOUNT CHAINS (3.6%)
22,600 Costco Wholesale Corp.*................................................................. $ 2,060,837
20,300 Wal-Mart Stores, Inc.................................................................... 1,403,237
-----------
3,464,074
-----------
DIVERSIFIED ELECTRONIC PRODUCTS (1.0%)
6,200 JDS Uniphase Corp.*..................................................................... 999,750
-----------
DIVERSIFIED FINANCIAL SERVICES (3.4%)
10,300 American Express Co..................................................................... 1,712,375
28,400 Citigroup, Inc.......................................................................... 1,577,975
-----------
3,290,350
-----------
DIVERSIFIED MANUFACTURING (5.1%)
125,900 Tyco International Ltd. (Bermuda)....................................................... 4,894,362
-----------
ELECTRIC UTILITIES (0.3%)
6,900 Montana Power Co........................................................................ 248,831
-----------
ELECTRONIC COMPONENTS (0.6%)
6,000 Solectron Corp.*........................................................................ 570,750
-----------
ELECTRONIC DATA PROCESSING (1.0%)
12,800 Sun Microsystems, Inc.*................................................................. 990,400
-----------
ELECTRONIC PRODUCTION EQUIPMENT (1.4%)
9,800 Applied Materials, Inc.*................................................................ 1,240,925
1,000 KLA-Tencor Corp.*....................................................................... 111,312
-----------
1,352,237
-----------
FOOD CHAINS (0.3%)
7,300 Safeway Inc.*........................................................................... 259,606
-----------
INTERNET SERVICES (2.8%)
17,800 America Online, Inc.*................................................................... 1,342,787
3,400 Inktomi Corp.*.......................................................................... 301,325
1,900 Internet Capital Group, Inc.*........................................................... 322,169
1,700 Yahoo! Inc.*............................................................................ 735,569
-----------
2,701,850
-----------
MAJOR BANKS (1.2%)
28,200 Bank of New York Co., Inc............................................................... 1,128,000
-----------
MAJOR CHEMICALS (0.2%)
5,600 Monsanto Co............................................................................. 199,500
-----------
MAJOR PHARMACEUTICALS (10.2%)
22,100 American Home Products Corp............................................................. 871,569
31,700 Bristol-Myers Squibb Co................................................................. 2,034,744
14,400 Johnson & Johnson....................................................................... 1,341,000
4,600 Lilly (Eli) & Co........................................................................ 305,900
19,000 Merck & Co., Inc.*...................................................................... 1,274,187
49,200 Pfizer, Inc............................................................................. 1,595,925
30,400 Warner-Lambert Co....................................................................... 2,490,900
-----------
9,914,225
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
57
<PAGE>
GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MAJOR U.S. TELECOMMUNICATIONS (4.1%)
23,000 Bell Atlantic Corp...................................................................... $ 1,415,937
3,000 BellSouth Corp.......................................................................... 140,438
42,300 MCI WorldCom, Inc.*..................................................................... 2,241,900
3,800 SBC Communications, Inc................................................................. 185,250
-----------
3,983,525
-----------
MEDIA CONGLOMERATES (2.1%)
28,700 Time Warner Inc......................................................................... 2,078,956
-----------
MEDICAL EQUIPMENT & SUPPLIES (0.5%)
12,500 Medtronic, Inc.......................................................................... 455,469
-----------
MILITARY/GOV'T/TECHNICAL (2.0%)
22,200 General Dynamics Corp.*................................................................. 1,171,050
5,200 General Motors Corp. (Class H)*......................................................... 499,200
4,600 Litton Industries, Inc.*................................................................ 229,425
-----------
1,899,675
-----------
MULTI-LINE INSURANCE (0.6%)
5,600 American International Group, Inc....................................................... 605,500
-----------
MULTI-SECTOR COMPANIES (5.8%)
30,100 General Electric Co..................................................................... 4,657,975
12,600 Textron, Inc............................................................................ 966,263
-----------
5,624,238
-----------
OFFICE EQUIPMENT/SUPPLIES (1.2%)
23,100 Pitney Bowes, Inc....................................................................... 1,116,019
-----------
OTHER PHARMACEUTICALS (0.2%)
3,400 Forest Laboratories, Inc.*.............................................................. 208,888
-----------
OTHER SPECIALTY STORES (0.3%)
3,300 Tiffany & Co............................................................................ 294,525
-----------
OTHER TELECOMMUNICATIONS (0.6%)
13,200 IXnet, Inc.*............................................................................ 396,825
4,500 Pinnacle Holdings Inc.*................................................................. 191,813
-----------
588,638
-----------
PACKAGE GOODS/COSMETICS (1.7%)
2,200 Estee Lauder Companies, Inc. (Class A).................................................. 110,963
13,900 Procter & Gamble Co..................................................................... 1,522,919
-----------
1,633,882
-----------
PACKAGED FOODS (0.4%)
5,900 Quaker Oats Company (The)............................................................... 387,188
-----------
RESTAURANTS (0.2%)
7,700 Brinker International, Inc.*............................................................ 184,800
-----------
SEMICONDUCTORS (4.5%)
33,200 Intel Corp.............................................................................. 2,730,700
16,600 Maxim Integrated Products, Inc.*........................................................ 782,275
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
8,700 Texas Instruments, Inc.................................................................. $ 842,813
-----------
4,355,788
-----------
SPECIALTY FOODS/CANDY (0.4%)
12,900 Keebler Foods Co.*...................................................................... 362,813
-----------
TELECOMMUNICATION EQUIPMENT (6.3%)
28,600 American Tower Corp. (Class A)*......................................................... 874,088
8,600 CIENA Corp.*............................................................................ 494,500
15,800 Lucent Technologies Inc................................................................. 1,182,038
19,100 Motorola, Inc........................................................................... 2,812,475
8,100 Nortel Networks Corp. (Canada).......................................................... 818,100
-----------
6,181,201
-----------
TOBACCO (0.4%)
15,700 Philip Morris Companies, Inc............................................................ 364,044
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $69,175,939)........................................................... 93,244,572
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
- --------
SHORT-TERM INVESTMENT (3.5%)
REPURCHASE AGREEMENT
$ 3,394 The Bank of New York 1.50% due 01/03/00 (dated 12/31/99; proceeds $3,393,945) (a)
(IDENTIFIED COST $3,393,520).......................................................... 3,393,520
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $72,569,459) (b).......................................................... 99.9% 96,638,092
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 0.1 60,805
----- ------------
NET ASSETS................................................................................. 100.0% $ 96,698,897
----- ------------
----- ------------
</TABLE>
- ---------------------
* Non-income producing security.
(a) Collateralized by $2,380,308 U.S. Treasury Bond 11.25% due 02/15/15 valued
at $3,464,091.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $25,671,018 and the
aggregate gross unrealized depreciation is $1,602,385, resulting in net
unrealized appreciation of $24,068,633.
SEE NOTES TO FINANCIAL STATEMENTS
58
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (94.7%)
ADVERTISING (2.7%)
18,000 DoubleClick Inc.*...................................................................... $ 4,555,125
24,000 Interpublic Group of Companies, Inc.................................................... 1,384,500
23,700 Lamar Advertising Co.*................................................................. 1,430,887
100,000 Omnicom Group, Inc..................................................................... 10,000,000
19,300 True North Communications, Inc......................................................... 862,469
177,000 WPP Group, PLC (United Kingdom)........................................................ 2,802,848
------------
21,035,829
------------
ALCOHOLIC BEVERAGES (1.1%)
48,800 Anheuser-Busch Companies, Inc.......................................................... 3,458,700
12,190 LVMH-Moet Hennessy Louis Vuitton (France).............................................. 5,452,334
------------
8,911,034
------------
ALUMINUM (1.5%)
90,000 Alcan Aluminium, Ltd. (Canada)......................................................... 3,706,875
100,000 Alcoa, Inc............................................................................. 8,300,000
------------
12,006,875
------------
BIOTECHNOLOGY (2.5%)
120,000 Amgen Inc.*............................................................................ 7,200,000
25,000 COR Therapeutics, Inc.*................................................................ 671,875
58,200 Genentech, Inc.*....................................................................... 7,827,900
10,000 Human Genome Sciences, Inc.*........................................................... 1,525,000
15,000 MedImmune, Inc.*....................................................................... 2,486,250
------------
19,711,025
------------
BROADCASTING (4.5%)
110,000 CBS Corp.*............................................................................. 7,033,125
61,300 Citadel Communications Corp.*.......................................................... 3,969,175
90,000 Clear Channel Communications, Inc.*.................................................... 8,032,500
41,100 Entercom Communications Corp.*......................................................... 2,712,600
40,000 Hispanic Broadcasting Corp.*........................................................... 3,680,000
33,200 Infinity Broadcasting Corp. (Series A)*................................................ 1,201,425
13,600 Radio One, Inc.*....................................................................... 1,251,200
30,000 Univision Communications, Inc. (Class A)*.............................................. 3,065,625
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
70,000 USA Networks, Inc.*.................................................................... $ 3,863,125
------------
34,808,775
------------
BUILDING MATERIALS/DIY CHAINS (1.0%)
108,000 Home Depot, Inc. (The)................................................................. 7,404,750
------------
CABLE TELEVISION (3.8%)
123,700 AT&T Corp. - Liberty Media Group (Class A)*............................................ 7,019,975
5,500 Canal Plus (France).................................................................... 799,360
132,700 Comcast Corp. (Class A Special)*....................................................... 6,701,350
117,900 Cox Communications, Inc. (Class A)*.................................................... 6,071,850
86,000 EchoStar Communications Corp. (Class A)*............................................... 8,363,500
5,300 Sogecable, S.A. (Spain)*............................................................... 337,969
------------
29,294,004
------------
CASINO/GAMBLING (0.7%)
30,000 MGM Grand, Inc.*....................................................................... 1,509,375
150,000 Mirage Resorts, Inc.*.................................................................. 2,296,875
120,000 Park Place Entertainment Corp.*........................................................ 1,500,000
------------
5,306,250
------------
CELLULAR TELEPHONE (3.6%)
65,000 Nextel Communications, Inc. (Class A)*................................................. 6,699,062
30,000 Sprint Corp. (PCS Group)*.............................................................. 3,075,000
18,000 United States Cellular Corp.*.......................................................... 1,816,875
25,000 Vodafone AirTouch PLC (ADR) (United Kingdom)........................................... 1,237,500
421,310 Vodafone AirTouch PLC (United Kingdom)................................................. 2,086,141
75,000 Voicestream Wireless Corp.*............................................................ 10,640,625
30,000 Western Wireless Corp. (Class A)*...................................................... 1,998,750
------------
27,553,953
------------
CLOTHING/SHOE/ACCESSORY STORES (0.7%)
76,300 Gap, Inc. (The)........................................................................ 3,509,800
40,000 Talbot's, Inc. (The)................................................................... 1,785,000
------------
5,294,800
------------
COMPUTER COMMUNICATIONS (2.5%)
5,000 Brocade Communications Systems, Inc.*.................................................. 878,750
3,400 CacheFlow Inc.*........................................................................ 444,337
72,000 Cisco Systems, Inc.*................................................................... 7,708,500
3,600 Cobalt Networks, Inc.*................................................................. 385,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
59
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
18,800 Emulex Corp.*.......................................................................... $ 2,123,225
6,800 Finisar Corp.*......................................................................... 606,050
4,400 Foundry Networks, Inc.*................................................................ 1,326,600
10,000 Juniper Networks, Inc.*................................................................ 3,392,500
12,000 Redback Networks, Inc.*................................................................ 2,120,250
------------
18,985,412
------------
COMPUTER SOFTWARE (10.0%)
3,500 Bottomline Technologies, Inc.*......................................................... 126,000
23,000 Check Point Software Technologies Ltd. (Israel)*....................................... 4,568,375
15,000 Citrix Systems, Inc.*.................................................................. 1,844,062
1,800 Digimarc Corp.*........................................................................ 90,000
13,900 E.piphany, Inc.*....................................................................... 3,092,750
11,300 i2 Technologies, Inc.*................................................................. 2,199,262
32,600 Intuit Inc.*........................................................................... 1,951,925
20,000 Legato Systems, Inc.*.................................................................. 1,375,000
45,000 Macromedia, Inc.*...................................................................... 3,290,625
36,000 Mercury Interactive Corp.*............................................................. 3,885,750
2,100 Metasolv Software, Inc.*............................................................... 172,725
100,000 Microsoft Corp.*....................................................................... 11,668,750
10,000 MicroStrategy Inc.*.................................................................... 2,100,000
15,700 OpenTV Corp.*.......................................................................... 1,259,925
160,000 Oracle Corp.*.......................................................................... 17,920,000
104,200 Parametric Technology Corp.*........................................................... 2,813,400
58,800 Rational Software Corp.*............................................................... 2,888,550
2,600 Red Hat, Inc.*......................................................................... 548,762
15,500 Remedy Corp.*.......................................................................... 736,250
35,000 Sapient Corp.*......................................................................... 4,930,625
25,000 TSI International Software Ltd.*....................................................... 1,412,500
55,000 Veritas Software Corp.*................................................................ 7,868,437
------------
76,743,673
------------
CONSUMER ELECTRONICS/APPLIANCES (1.3%)
34,500 Sony Corp. (Japan)..................................................................... 10,226,472
------------
CONTRACT DRILLING (1.7%)
135,000 ENSCO International Inc................................................................ 3,088,125
60,200 Nabors Industries, Inc.*............................................................... 1,862,437
50,000 Noble Drilling Corp.*.................................................................. 1,637,500
158,500 R&B Falcon Corp.*...................................................................... 2,100,125
60,300 Rowan Companies, Inc.*................................................................. 1,307,756
19,200 Santa Fe International Corp............................................................ 496,800
72,904 Transocean Sedco Forex Inc............................................................. 2,455,953
------------
12,948,696
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DISCOUNT CHAINS (3.6%)
75,000 Costco Wholesale Corp.*................................................................ $ 6,839,062
95,000 Dayton Hudson Corp..................................................................... 6,976,562
202,700 Wal-Mart Stores, Inc................................................................... 14,011,637
------------
27,827,261
------------
DIVERSIFIED COMMERCIAL SERVICES (0.7%)
15,000 CheckFree Holdings Corp.*.............................................................. 1,567,500
64,000 Concord EFS, Inc.*..................................................................... 1,644,000
3,200 Freemarkets Inc.*...................................................................... 1,092,200
2,500 Freenet.De AG*......................................................................... 276,092
8,100 Jupiter Communications, Inc.*.......................................................... 244,012
6,700 Wireless Facilities, Inc.*............................................................. 291,450
------------
5,115,254
------------
DIVERSIFIED ELECTRONIC PRODUCTS (1.2%)
36,000 JDS Uniphase Corp.*.................................................................... 5,805,000
25,000 Koninklijke (Royal) Philips Electronics NV (Netherlands)............................... 3,394,575
------------
9,199,575
------------
DIVERSIFIED FINANCIAL SERVICES (2.3%)
41,000 American Express Co.**................................................................. 6,816,250
59,200 AXA Financial, Inc..................................................................... 2,005,400
165,000 Citigroup Inc.**....................................................................... 9,167,812
------------
17,989,462
------------
E.D.P. PERIPHERALS (0.6%)
30,000 Network Appliance, Inc.*............................................................... 2,490,000
5,300 QLogic Corp.*.......................................................................... 847,337
30,000 Seagate Technology, Inc.*.............................................................. 1,396,875
------------
4,734,212
------------
E.D.P. SERVICES (1.2%)
20,500 Amdocs Ltd.*........................................................................... 707,250
77,400 BEA Systems, Inc.*..................................................................... 5,418,000
7,000 Razorfish, Inc.*....................................................................... 665,000
41,000 Whittman-Hart, Inc.*................................................................... 2,198,625
------------
8,988,875
------------
ELECTRIC UTILITIES (0.3%)
42,000 Calpine Corp.*......................................................................... 2,688,000
------------
ELECTRONIC COMPONENTS (0.0%)
1,400 E-Tek Dynamics, Inc.*.................................................................. 187,950
------------
ELECTRONIC DATA PROCESSING (1.6%)
14,000 Apple Computer, Inc.*.................................................................. 1,438,500
140,000 Sun Microsystems, Inc.*................................................................ 10,832,500
------------
12,271,000
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
60
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONIC PRODUCTION EQUIPMENT (1.5%)
42,100 Applied Materials, Inc.*............................................................... $ 5,330,912
55,700 ASM Lithography Holding N.V. (Netherlands)*............................................ 6,287,137
8,100 Rudolph Technologies, Inc.*............................................................ 267,300
------------
11,885,349
------------
FLUID CONTROLS (0.1%)
16,400 Parker-Hannifin Corp................................................................... 841,525
------------
FOREST PRODUCTS (0.4%)
40,000 Weyerhaeuser Co........................................................................ 2,872,500
------------
HOTELS/RESORTS (0.3%)
39,000 Royal Caribbean Cruises Ltd............................................................ 1,923,187
------------
INSURANCE BROKERS/SERVICES (0.1%)
10,900 Marsh & McLennan Companies, Inc........................................................ 1,042,994
------------
INTEGRATED OIL COMPANIES (0.5%)
40,000 Exxon Mobil Corp....................................................................... 3,222,500
6,200 Kerr-McGee Corp........................................................................ 384,400
------------
3,606,900
------------
INTERNATIONAL BANKS (0.8%)
350,000 Asahi Bank Ltd. (The) (Japan).......................................................... 2,157,112
180,000 Fuji Bank, Ltd. (The) (Japan).......................................................... 1,748,581
372,000 Sakura Bank, Ltd. (The) (Japan)........................................................ 2,154,412
------------
6,060,105
------------
INTERNET SERVICES (11.7%)
7,300 Agency.com, Inc.*...................................................................... 375,037
8,000 Akamai Technologies, Inc.*............................................................. 2,621,000
11,000 Allaire Corp.*......................................................................... 1,609,438
80,000 America Online, Inc.*.................................................................. 6,035,000
20,000 Ariba, Inc.*........................................................................... 3,540,000
20,000 Art Technology Group, Inc.*............................................................ 2,601,250
15,000 Broadbase Software, Inc.*.............................................................. 1,665,000
40,000 BroadVision, Inc.*..................................................................... 6,802,500
5,800 C-Bridge Internet Solutions, Inc.*..................................................... 287,100
14,500 Calico Commerce, Inc.*................................................................. 766,688
9,600 iManage, Inc.*......................................................................... 313,200
20,000 Inktomi Corp.*......................................................................... 1,772,500
1,600 Internet Capital Group, Inc.*.......................................................... 271,300
14,500 Kana Communications, Inc.*............................................................. 2,962,531
4,000 Liberate Technologies, Inc.*........................................................... 1,025,000
41,300 Lycos, Inc.*........................................................................... 3,285,931
10,000 OnDisplay, Inc.*....................................................................... 905,000
26,000 Portal Software, Inc.*................................................................. 2,665,000
10,500 Preview Systems, Inc.*................................................................. 672,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
18,000 Quest Software, Inc.*.................................................................. $ 1,793,250
15,000 RealNetworks, Inc.*.................................................................... 1,804,688
20,000 Scient Corp.*.......................................................................... 1,715,000
70,000 USWeb Corp.*........................................................................... 3,110,625
86,200 VeriSign, Inc.*........................................................................ 16,474,975
55,100 Vignette Corp.*........................................................................ 8,977,856
36,000 Yahoo! Inc.*........................................................................... 15,576,750
------------
89,628,619
------------
INVESTMENT
BANKERS/BROKERS/SERVICES (2.4%)
35,000 Donaldson, Lufkin & Jenrette, Inc...................................................... 1,693,125
65,000 Goldman Sachs Group, Inc. (The)........................................................ 6,122,188
77,400 Lehman Brothers Holdings, Inc.......................................................... 6,554,813
26,800 Merrill Lynch & Co., Inc............................................................... 2,237,800
40,000 Paine Webber Group, Inc................................................................ 1,552,500
------------
18,160,426
------------
MAJOR BANKS (0.7%)
65,000 Chase Manhattan Corp. (The)............................................................ 5,049,688
------------
MAJOR PHARMACEUTICALS (2.0%)
73,000 American Home Products Corp............................................................ 2,878,938
35,000 Johnson & Johnson...................................................................... 3,259,375
35,000 Merck & Co., Inc....................................................................... 2,347,188
82,600 Warner-Lambert Co...................................................................... 6,768,038
------------
15,253,539
------------
MAJOR U.S. TELECOMMUNICATIONS (0.3%)
48,600 MCI WorldCom, Inc.*.................................................................... 2,575,800
------------
MARINE TRANSPORTATION (0.2%)
34,200 Tidewater, Inc......................................................................... 1,231,200
------------
MEDIA CONGLOMERATES (0.8%)
55,000 News Corporation Ltd. (The) (ADR) (Australia).......................................... 2,103,750
65,000 Viacom, Inc. (Class B)*................................................................ 3,928,438
------------
6,032,188
------------
MEDICAL SPECIALTIES (0.2%)
30,000 Cytyc Corp.*........................................................................... 1,833,750
------------
MEDICAL/DENTAL DISTRIBUTORS (0.1%)
8,000 SciQuest.Com Inc.*..................................................................... 636,000
------------
MID - SIZED BANKS (0.4%)
51,800 Northern Trust Corp.................................................................... 2,764,825
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
61
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MILITARY/GOV'T/TECHNICAL (1.0%)
79,800 General Motors Corp. (Class H)*........................................................ $ 7,660,800
------------
MULTI-LINE INSURANCE (0.7%)
50,000 American International Group, Inc...................................................... 5,406,250
------------
MULTI-SECTOR COMPANIES (1.7%)
84,500 General Electric Co.**................................................................. 13,076,375
------------
NEWSPAPERS (0.5%)
30,000 New York Times Co. (The) (Class A)..................................................... 1,473,750
48,400 Tribune Co............................................................................. 2,665,025
------------
4,138,775
------------
OFFICE EQUIPMENT/SUPPLIES (0.1%)
9,700 Avery Dennison Corp.................................................................... 706,888
------------
OIL & GAS PRODUCTION (0.4%)
44,900 Devon Energy Corp...................................................................... 1,476,088
72,400 EOG Resources, Inc..................................................................... 1,271,525
------------
2,747,613
------------
OIL/GAS TRANSMISSION (0.3%)
58,100 Enron Corp............................................................................. 2,578,188
------------
OILFIELD SERVICES/EQUIPMENT (1.8%)
100,000 BJ Services Co.*....................................................................... 4,181,250
20,000 Cooper Cameron Corp.*.................................................................. 978,750
96,000 Halliburton Co......................................................................... 3,864,000
15,000 Schlumberger Ltd....................................................................... 843,750
46,000 Smith International, Inc.*............................................................. 2,285,625
38,100 Weatherford International, Inc.*....................................................... 1,521,619
------------
13,674,994
------------
OTHER CONSUMER SERVICES (0.5%)
45,000 Preview Travel, lnc.*.................................................................. 2,345,625
37,000 Ticketmaster Online-CitySearch, Inc. (Series B)*....................................... 1,422,188
------------
3,767,813
------------
OTHER METALS/MINERALS (0.4%)
126,000 Inco Ltd. (Canada)*.................................................................... 2,961,000
------------
OTHER SPECIALTY STORES (0.4%)
25,000 Tiffany & Co........................................................................... 2,231,250
21,800 Zale Corp.*............................................................................ 1,054,575
------------
3,285,825
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER TELECOMMUNICATIONS (3.4%)
40,000 Covad Communications Group, Inc.*...................................................... $ 2,225,000
45 Japan Telecom Co., Ltd. (Japan)........................................................ 1,804,931
8,500 KDD Corp. (Japan)...................................................................... 1,177,460
15,000 Mannesmann AG (Germany)................................................................ 3,613,337
125,000 McLeodUSA, Inc. (Class A)*............................................................. 7,343,750
343 Nippon Telegraph & Telephone Corp. (Japan)............................................. 5,872,139
36,100 PanAmSat Corp.*........................................................................ 2,132,156
35,000 RCN Corp.*............................................................................. 1,695,313
------------
25,864,086
------------
PACKAGE GOODS/COSMETICS (0.6%)
67,600 Colgate-Palmolive Co................................................................... 4,394,000
------------
PAPER (0.4%)
45,000 Champion International Corp............................................................ 2,787,188
------------
PRECISION INSTRUMENTS (0.2%)
15,000 PE Corporation-PE Biosystems Group..................................................... 1,804,688
------------
RECREATIONAL PRODUCTS/TOYS (0.4%)
35,600 Electronic Arts Inc.*.................................................................. 2,990,400
------------
SEMICONDUCTORS (1.3%)
15,000 Broadcom Corp. (Class A)*.............................................................. 4,084,688
45,000 Conexant Systems, Inc.*................................................................ 2,972,813
10,000 SDL, Inc.*............................................................................. 2,180,000
5,200 STMicroelectronics NV (Netherlands).................................................... 787,475
------------
10,024,976
------------
TELECOMMUNICATION EQUIPMENT (7.9%)
47,000 Alcatel (ADR) (France)................................................................. 2,115,000
11,900 CIENA Corp.*........................................................................... 684,250
35,000 Comverse Technology, Inc.*............................................................. 5,064,063
70,000 Corning Inc............................................................................ 9,025,625
133,178 Ericsson (L.M.) Telefonaktiebolaqet (ADR) (Sweden)..................................... 8,739,806
27,900 General Instrument Corp.*.............................................................. 2,371,500
24,000 Harmonic, Inc.*........................................................................ 2,274,000
54,100 Motorola, Inc.......................................................................... 7,966,225
6,100 Next Level Communications, Inc.*....................................................... 457,119
45,000 Nokia Corp. (ADR) (Finland)............................................................ 8,550,000
35,700 Nortel Networks Corp. (Canada)......................................................... 3,605,700
79,300 RF Micro Devices, Inc.*................................................................ 5,412,225
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
62
<PAGE>
AMERICAN OPPORTUNITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
58,000 Scientific-Atlanta, Inc................................................................ $ 3,226,250
5,000 Sycamore Networks, Inc.*............................................................... 1,518,125
------------
61,009,888
------------
TELECOMMUNICATIONS (1.1%)
215 DDI Corp. (Japan)...................................................................... 2,944,629
21,300 Pt Multimedia - Servicos de Telecomunicacoes e Multimedia SGPS SA (Portugal)*.......... 1,209,787
50,000 Sonera Oyj (Finland)................................................................... 3,422,235
11,000 Telefonos de Mexico S.A. (Series L) (ADR) (Mexico)..................................... 1,237,500
------------
8,814,151
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $481,565,655)......................................................... 728,325,630
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
<C> <S> <C>
SHORT-TERM INVESTMENT (a) (5.1%)
U.S. GOVERNMENT AGENCY
$ 39,100 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST $39,096,742)....... 39,096,742
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
VALUE
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $520,662,397) (b)........................................................ 99.8% $ 767,422,372
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................ 0.2 1,328,177
----- -------------
NET ASSETS................................................................................ 100.0% $ 768,750,549
----- -------------
----- -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
** Some or all of these securities are segregated in connection with open
futures contracts.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $251,369,259 and the
aggregate gross unrealized depreciation is $4,609,284, resulting in net
unrealized appreciation of $246,759,975.
FUTURES CONTRACTS OPEN AT DECEMBER 31, 1999:
<TABLE>
<CAPTION>
DESCRIPTION, UNDERLYING
NUMBER OF DELIVERY YEAR, FACE AMOUNT UNREALIZED
CONTRACTS AND MONTH AT VALUE DEPRECIATION
- ---------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index
March/2000
(97) $35,991,850 $ (1,560,742)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
63
<PAGE>
MID-CAP EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (94.3%)
ADVERTISING (1.5%)
5,000 DoubleClick Inc.*...................................................................... $ 1,265,312
-----------
BIOTECHNOLOGY (3.9%)
20,300 Biogen, Inc.*.......................................................................... 1,714,081
8,600 Genentech, Inc.*....................................................................... 1,156,700
7,800 Gilead Sciences, Inc.*................................................................. 421,200
-----------
3,291,981
-----------
BROADCASTING (6.0%)
23,299 Clear Channel Communications, Inc.*.................................................... 2,079,436
11,600 Hispanic Broadcasting Corp.*........................................................... 1,067,200
19,200 Univision Communications, Inc. (Class A)*.............................................. 1,962,000
-----------
5,108,636
-----------
CABLE TELEVISION (5.5%)
26,600 Cablevision Systems Corp. (Class A)*................................................... 2,008,300
27,000 EchoStar Communications Corp. (Class A)*............................................... 2,625,750
-----------
4,634,050
-----------
CATALOG/SPECIALTY DISTRIBUTION (2.0%)
18,600 Amazon.com, Inc.*...................................................................... 1,415,925
8,900 Drugstore.com, Inc.*................................................................... 322,069
-----------
1,737,994
-----------
CLOTHING/SHOE/ACCESSORY STORES (0.9%)
16,700 Talbot's, Inc. (The)................................................................... 745,237
-----------
COMPUTER COMMUNICATIONS (3.4%)
1,800 Foundry Networks, Inc.*................................................................ 542,700
6,900 Juniper Networks, Inc.*................................................................ 2,340,825
-----------
2,883,525
-----------
COMPUTER SOFTWARE (8.3%)
5,000 Phone.com, Inc.*....................................................................... 579,687
14,100 Rational Software Corp.*............................................................... 692,662
68,800 Siebel Systems, Inc.*.................................................................. 5,796,400
-----------
7,068,749
-----------
DIVERSIFIED COMMERCIAL SERVICES (1.9%)
9,000 CheckFree Holdings Corp.*.............................................................. 940,500
17,500 Paychex, Inc........................................................................... 698,906
-----------
1,639,406
-----------
ENGINEERING & CONSTRUCTION (1.0%)
17,900 Metromedia Fiber Network, Inc. (Class A)*.............................................. 856,962
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
GENERIC DRUGS (0.7%)
13,200 Andrx Corp.*........................................................................... $ 552,750
-----------
INTERNET SERVICES (30.0%)
12,200 Ariba, Inc.*........................................................................... 2,159,400
15,500 Exodus Communications, Inc.*........................................................... 1,376,594
11,800 Portal Software, Inc.*................................................................. 1,209,500
18,300 Scient Corp.*.......................................................................... 1,569,225
10,800 StarMedia Network, Inc.*............................................................... 431,325
38,400 VeriSign, Inc.*........................................................................ 7,339,200
11,900 Viant Corp.*........................................................................... 1,157,275
20,300 Vignette Corp.*........................................................................ 3,307,631
16,100 Yahoo! Inc.*........................................................................... 6,966,269
-----------
25,516,419
-----------
INVESTMENT
BANKERS/BROKERS/SERVICES (2.3%)
75,700 E*TRADE Group, Inc.*................................................................... 1,977,662
-----------
INVESTMENT MANAGERS (1.5%)
34,900 Price (T.) Rowe Associates, Inc........................................................ 1,284,756
-----------
LIFE INSURANCE (1.3%)
24,800 Hartford Life, Inc. (Class A) (Note 3)................................................. 1,091,200
-----------
MEDICAL EQUIPMENT & SUPPLIES (0.4%)
6,300 VISX, Inc.*............................................................................ 326,025
-----------
MEDICAL SPECIALTIES (0.8%)
8,800 Minimed, Inc.*......................................................................... 644,600
-----------
MOVIES/ENTERTAINMENT (2.0%)
22,200 Westwood One, Inc.*.................................................................... 1,687,200
-----------
OTHER CONSUMER SERVICES (3.7%)
17,200 eBay, Inc.*............................................................................ 2,153,225
12,900 homestore.com, Inc.*................................................................... 954,600
-----------
3,107,825
-----------
OTHER PHARMACEUTICALS (0.7%)
6,300 Sepracor, Inc.*........................................................................ 624,881
-----------
OTHER SPECIALTY STORES (1.3%)
32,500 Bed Bath & Beyond Inc.*................................................................ 1,125,313
-----------
OTHER TELECOMMUNICATIONS (5.3%)
52,900 AT&T Canada, Inc. (Canada)*............................................................ 2,122,613
23,000 Global Crossing Ltd. (Bermuda)*........................................................ 1,148,563
20,600 McLeodUSA, Inc. (Class A)*............................................................. 1,210,250
-----------
4,481,426
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
64
<PAGE>
MID-CAP EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS (7.7%)
22,700 Altera Corp.*.......................................................................... $ 1,125,069
51,600 Maxim Integrated Products, Inc.*....................................................... 2,431,650
65,800 Xilinx, Inc.*.......................................................................... 2,989,788
-----------
6,546,507
-----------
SERVICES TO THE HEALTH INDUSTRY (0.6%)
20,900 MedQuist Inc.*......................................................................... 535,563
-----------
TELECOMMUNICATION EQUIPMENT (1.6%)
33,400 American Tower Corp. (Class A)*........................................................ 1,020,788
1,100 Sycamore Networks, Inc.*............................................................... 333,988
-----------
1,354,776
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $54,907,702).......................................................... 80,088,755
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
- ----------
SHORT-TERM INVESTMENTS (4.7%)
U.S. GOVERNMENT AGENCY (a) (1.1%)
$ 1,000 Federal Home Loan Banks 5.72% due 01/12/00 (AMORTIZED COST $998,252)................... 998,252
-----------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (3.6%)
$ 3,046 The Bank of New York 1.50% due 01/03/00 (dated 12/31/99; proceeds $3,046,814) (b)
(IDENTIFIED COST $3,046,433)......................................................... $ 3,046,433
-----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $4,044,685)........................................................... 4,044,685
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $58,952,387) (c).......................................................... 99.0% 84,133,440
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 1.0 815,084
----- ------------
NET ASSETS................................................................................. 100.0% $ 84,948,524
----- ------------
----- ------------
</TABLE>
- ---------------------
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) Collateralized by $2,136,851 U.S. Treasury Bond 11.25% due 02/15/15 valued
at $3,109,787.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $26,655,243 and the
aggregate gross unrealized depreciation is $1,474,190, resulting in net
unrealized appreciation of $25,181,053.
SEE NOTES TO FINANCIAL STATEMENTS
65
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON AND PREFERRED STOCKS (94.7%)
ARGENTINA (0.3%)
TELECOMMUNICATIONS
20,000 Telefonica de Argentina S.A. (ADR).................................................... $ 617,500
------------
AUSTRALIA (2.1%)
CABLE TELEVISION
300,000 Austar United Communications Ltd.*.................................................... 1,200,480
------------
INTERNATIONAL BANKS
78,000 Commonwealth Bank of Australia........................................................ 1,342,137
------------
OTHER METALS/MINERALS
200,000 WMC Limited........................................................................... 1,102,080
------------
TOTAL AUSTRALIA....................................................................... 3,644,697
------------
BRAZIL (0.7%)
TELECOMMUNICATIONS
10,000 Telecomunicacoes Brasileiras S.A.- Telebras (ADR) (Pref.)............................. 1,285,000
------------
CANADA (1.8%)
BIOTECHNOLOGY
32,900 BioChem Pharma, Inc.*................................................................. 711,463
------------
CABLE TELEVISION
60,000 Videotron Group Ltd................................................................... 1,016,035
------------
INTERNATIONAL BANKS
45,000 Bank of Montreal...................................................................... 1,533,384
------------
TOTAL CANADA.......................................................................... 3,260,882
------------
FINLAND (3.0%)
PAPER
54,000 UPM-Kymmene Oyj....................................................................... 2,172,528
------------
TELECOMMUNICATION EQUIPMENT
16,000 Nokia Corp. (ADR) (Class A)........................................................... 3,040,000
------------
TOTAL FINLAND......................................................................... 5,212,528
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
FRANCE (6.9%)
DIVERSIFIED MANUFACTURING
6,000 Compagnie de Saint Gobain............................................................. $ 1,126,697
------------
ELECTRONIC DATA PROCESSING
152,000 Bull SA*.............................................................................. 1,221,524
------------
INTERNATIONAL BANKS
7,200 Societe Generale...................................................................... 1,672,847
------------
MILITARY/GOV'T/TECHNICAL
24,000 Thomson CSF........................................................................... 791,524
------------
MULTI-SECTOR COMPANIES
40,000 Lagardere S.C.A....................................................................... 2,172,528
------------
OIL REFINING/MARKETING
19,121 TotalFina S.A. (B Shares)............................................................. 2,548,360
------------
TELECOMMUNICATION EQUIPMENT
11,000 Alcatel............................................................................... 2,522,547
------------
TOTAL FRANCE.......................................................................... 12,056,027
------------
GERMANY (4.0%)
DIVERSIFIED ELECTRONIC PRODUCTS
15,000 Siemens AG (Registered Shares)........................................................ 1,905,488
------------
INTERNATIONAL BANKS
22,000 Bayerische Hypo-Und Vereinsbank AG.................................................... 1,500,251
------------
MAJOR CHEMICALS
38,000 Bayer AG.............................................................................. 1,796,359
------------
OTHER TELECOMMUNICATIONS
7,500 Mannesmann AG......................................................................... 1,806,668
------------
TOTAL GERMANY......................................................................... 7,008,766
------------
GREECE (0.4%)
TELECOMMUNICATIONS
65,000 Hellenic Telecommunication Organization S.A. (OTE) (ADR).............................. 775,938
------------
HONG KONG (1.5%)
INTERNATIONAL BANKS
100,000 Dao Heng Bank Group Ltd............................................................... 515,822
------------
MULTI-SECTOR COMPANIES
75,000 Hutchison Whampoa, Ltd................................................................ 1,090,172
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
66
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
NATURAL GAS
292,820 Hong Kong & China Gas Co., Ltd........................................................ $ 401,149
------------
UTILITIES
123,000 CLP Holdings Ltd...................................................................... 566,427
------------
TOTAL HONG KONG....................................................................... 2,573,570
------------
IRELAND (0.8%)
OTHER TELECOMMUNICATIONS
300,000 Eircom PLC............................................................................ 1,306,534
------------
ITALY (1.6%)
ELECTRIC UTILITIES
350,000 Enel SpA*............................................................................. 1,464,445
------------
INTEGRATED OIL COMPANIES
22,500 ENI SpA (ADR)......................................................................... 1,240,312
------------
TOTAL ITALY........................................................................... 2,704,757
------------
JAPAN (15.7%)
CONSUMER ELECTRONICS/APPLIANCES
65,000 Pioneer Electronic Corp............................................................... 1,716,885
11,000 Sony Corp............................................................................. 3,260,614
------------
4,977,499
------------
DIVERSIFIED ELECTRONIC PRODUCTS
110,000 Hitachi Ltd........................................................................... 1,764,821
------------
ELECTRONIC COMPONENTS
14,000 TDK Corp.............................................................................. 1,932,499
------------
ELECTRONIC DATA PROCESSING
35,000 Fujitsu Ltd........................................................................... 1,595,578
------------
ELECTRONIC PRODUCTION EQUIPMENT
10,000 Tokyo Electron Ltd.................................................................... 1,369,595
------------
INDUSTRIAL MACHINERY/COMPONENTS
22,000 Fanuc Ltd............................................................................. 2,800,039
------------
INTERNATIONAL BANKS
80,000 Sanwa Bank Ltd........................................................................ 972,804
------------
INVESTMENT BANKERS/BROKERS/SERVICES
80,000 Nomura Securities Co., Ltd............................................................ 1,443,944
------------
MOTOR VEHICLES
90,000 Suzuki Motor Corp..................................................................... 1,312,757
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER PHARMACEUTICALS
27,000 Yamanouchi Pharmaceutical Co., Ltd.................................................... $ 942,966
------------
OTHER TELECOMMUNICATIONS
120 Nippon Telegraph & Telephone Corp..................................................... 2,054,393
------------
PACKAGE GOODS/COSMETICS
10,000 Uni-Charm Corp........................................................................ 576,208
------------
RAILROADS
200 East Japan Railway Co................................................................. 1,078,067
------------
SEMICONDUCTORS
8,000 Rohm Co., Ltd......................................................................... 3,287,028
------------
STEEL/IRON ORE
500,000 Nippon Steel Co....................................................................... 1,169,047
------------
TOTAL JAPAN........................................................................... 27,277,245
------------
NETHERLANDS (3.7%)
DIVERSIFIED ELECTRONIC PRODUCTS
12,000 Philips Electronics NV................................................................ 1,629,396
------------
DIVERSIFIED FINANCIAL SERVICES
26,000 ING Groep NV.......................................................................... 1,567,479
------------
LIFE INSURANCE
15,000 Aegon N.V............................................................................. 1,446,843
------------
MAJOR PHARMACEUTICALS
35,000 Akzo Nobel N.V........................................................................ 1,753,110
------------
TOTAL NETHERLANDS..................................................................... 6,396,828
------------
NEW ZEALAND (0.8%)
ELECTRIC UTILITIES
750,000 Contact Energy Ltd.................................................................... 1,314,540
------------
SINGAPORE (1.1%)
BANKING
219,835 Overseas Union Bank Ltd............................................................... 1,285,778
------------
REAL ESTATE
100,000 City Developments Ltd................................................................. 584,883
------------
TOTAL SINGAPORE....................................................................... 1,870,661
------------
SOUTH AFRICA (0.4%)
PAPER
70,000 Sappi Ltd. (ADR)...................................................................... 673,750
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
67
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SOUTH KOREA (1.0%)
CELLULAR TELEPHONE
45,000 SK Telecom Co., Ltd. (ADR)............................................................ $ 1,726,875
------------
SPAIN (2.1%)
TELECOMMUNICATIONS
38,984 Telefonica de Espana S.A. (ADR)....................................................... 3,072,426
------------
UTILITIES
26,800 Endesa S.A............................................................................ 531,292
------------
TOTAL SPAIN........................................................................... 3,603,718
------------
SWEDEN (1.1%)
MULTI-SECTOR COMPANIES
130,000 Investor AB (B Shares)................................................................ 1,830,857
------------
SWITZERLAND (2.3%)
BUILDING MATERIALS
1,340 Holderbank Financiere Glarus AG (B Shares)............................................ 1,833,773
------------
INTERNATIONAL BANKS
4,300 UBS AG (Registered Shares)............................................................ 1,160,703
------------
MAJOR PHARMACEUTICALS
80 Roche Holdings AG..................................................................... 949,152
------------
TOTAL SWITZERLAND..................................................................... 3,943,628
------------
UNITED KINGDOM (9.8%)
ADVERTISING
80,000 WPP Group, PLC........................................................................ 1,266,824
------------
AEROSPACE
185,000 British Aerospace PLC................................................................. 1,224,371
240,543 Rolls-Royce PLC....................................................................... 830,929
------------
2,055,300
------------
CLOTHING/SHOE/ACCESSORY STORES
70,000 Next PLC.............................................................................. 671,184
------------
COMPUTER/VIDEO CHAINS
40,000 Dixons Group PLC...................................................................... 961,417
------------
DIVERSIFIED FINANCIAL SERVICES
32,000 Abbey National PLC.................................................................... 511,379
49,824 HSBC Holdings PLC..................................................................... 698,587
350,000 Old Mutual PLC........................................................................ 951,974
------------
2,161,940
------------
E.D.P. SERVICES
72,000 SEMA Group PLC........................................................................ 1,294,718
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MAJOR PHARMACEUTICALS
15,000 AstraZenca Group PLC.................................................................. $ 621,790
65,000 SmithKline Beecham PLC................................................................ 828,892
------------
1,450,682
------------
MOVIES/ENTERTAINMENT
210,000 Carlton Communications PLC............................................................ 2,044,061
------------
NEWSPAPERS
102,000 United News & Media PLC............................................................... 1,299,076
------------
TELECOMMUNICATION EQUIPMENT
180,000 Racal Electronics PLC................................................................. 1,612,586
------------
TELECOMMUNICATIONS
90,000 British Telecommunications PLC........................................................ 2,198,056
------------
TOTAL UNITED KINGDOM.................................................................. 17,015,844
------------
UNITED STATES (33.6%)
ALUMINUM
20,000 Alcoa, Inc............................................................................ 1,660,000
------------
CLOTHING/SHOE/ACCESSORY STORES
45,300 Gap, Inc. (The)....................................................................... 2,083,800
------------
COMPUTER COMMUNICATIONS
38,350 Cisco Systems, Inc.*.................................................................. 4,105,847
------------
DIVERSIFIED ELECTRONIC PRODUCTS
25,000 Rockwell International Corp........................................................... 1,196,875
------------
DIVERSIFIED FINANCIAL SERVICES
12,000 American Express Co................................................................... 1,995,000
23,450 Citigroup Inc......................................................................... 1,302,941
------------
3,297,941
------------
DIVERSIFIED MANUFACTURING
35,062 Honeywell International Inc........................................................... 2,022,639
------------
ELECTRONIC DATA PROCESSING
43,800 Gateway, Inc.*........................................................................ 3,156,337
20,000 Hewlett-Packard Co.................................................................... 2,278,750
38,000 Sun Microsystems, Inc.*............................................................... 2,940,250
------------
8,375,337
------------
FINANCE COMPANIES
16,100 Fannie Mae............................................................................ 1,005,244
------------
INTEGRATED OIL COMPANIES
15,400 Atlantic Richfield Co................................................................. 1,332,100
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
68
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
17,200 Chevron Corp.......................................................................... $ 1,489,950
34,627 Exxon Mobil Corp...................................................................... 2,789,620
------------
5,611,670
------------
INTERNET SERVICES
21,400 America Online, Inc.*................................................................. 1,614,362
40,000 At Home Corp. (Series A)*............................................................. 1,717,500
------------
3,331,862
------------
MAJOR BANKS
20,600 Chase Manhattan Corp. (The)........................................................... 1,600,362
------------
MAJOR CHEMICALS
11,800 Dow Chemical Co....................................................................... 1,576,775
72,000 Monsanto Co........................................................................... 2,565,000
------------
4,141,775
------------
MAJOR PHARMACEUTICALS
25,600 Abbott Laboratories................................................................... 929,600
22,800 American Home Products Corp........................................................... 899,175
22,600 Bristol-Myers Squibb Co............................................................... 1,450,637
------------
3,279,412
------------
MANAGED HEALTH CARE
95,000 Oxford Health Plans, Inc.*............................................................ 1,205,313
------------
MEDIA CONGLOMERATES
45,000 Disney (Walt) Co...................................................................... 1,316,250
------------
MILITARY/GOV'T/TECHNICAL
27,600 General Motors Corp. (Class H)*....................................................... 2,649,600
------------
MOTOR VEHICLES
18,500 Ford Motor Co......................................................................... 988,594
------------
OTHER SPECIALTY STORES
50,200 Bed Bath & Beyond Inc.*............................................................... 1,738,175
------------
PACKAGE GOODS/COSMETICS
24,600 Colgate-Palmolive Co.................................................................. 1,599,000
------------
PACKAGED FOODS
33,600 General Mills, Inc.................................................................... 1,201,200
------------
PAPER
28,200 Champion International Corp........................................................... 1,746,638
------------
SAVINGS & LOAN ASSOCIATIONS
43,800 Golden West Financial Corp............................................................ 1,467,300
35,180 Washington Mutual, Inc................................................................ 914,680
------------
2,381,980
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS
23,200 Intel Corp............................................................................ $ 1,908,200
------------
TOTAL UNITED STATES................................................................... 58,447,714
------------
TOTAL COMMON AND PREFERRED STOCKS
(IDENTIFIED COST $112,119,136)........................................................ 164,547,859
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
- ----------
SHORT-TERM INVESTMENT (a) (5.2%)
U.S. GOVERNMENT AGENCY
$ 9,050 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST $9,049,246)....... 9,049,246
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $121,168,382) (b)........................................................ 99.9% 173,597,105
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................................ 0.1 145,901
----- -------------
NET ASSETS................................................................................ 100.0% $ 173,743,006
----- -------------
----- -------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $55,691,080 and the
aggregate gross unrealized depreciation is $3,262,357, resulting in net
unrealized appreciation of $52,428,723.
SEE NOTES TO FINANCIAL STATEMENTS
69
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Advertising....................................................................... $ 1,266,824 0.7%
Aerospace......................................................................... 2,055,300 1.2
Aluminum.......................................................................... 1,660,000 1.0
Banking........................................................................... 1,285,778 0.7
Biotechnology..................................................................... 711,462 0.4
Building Materials................................................................ 1,833,773 1.1
Cable Television.................................................................. 2,216,515 1.3
Cellular Telephone................................................................ 1,726,875 1.0
Clothing/Shoe/Accessory Stores.................................................... 2,754,984 1.6
Computer Communications........................................................... 4,105,847 2.4
Computer/Video Chains............................................................. 961,418 0.6
Consumer Electronics/Appliances................................................... 4,977,500 2.9
Diversified Electronic Products................................................... 6,496,580 3.7
Diversified Financial Services.................................................... 7,027,360 4.0
Diversified Manufacturing......................................................... 3,149,336 1.8
E.D.P. Services................................................................... 1,294,718 0.7
Electric Utilities................................................................ 2,778,985 1.6
Electronic Components............................................................. 1,932,499 1.1
Electronic Data Processing........................................................ 11,192,440 6.5
Electronic Production Equipment................................................... 1,369,595 0.8
Finance Companies................................................................. 1,005,244 0.6
Industrial Machinery/Components................................................... 2,800,039 1.6
Integrated Oil Companies.......................................................... 6,851,982 3.9
International Banks............................................................... 8,697,947 5.0
Internet Services................................................................. 3,331,862 1.9
Investment Bankers/Brokers/Services............................................... 1,443,944 0.8
Life Insurance.................................................................... 1,446,843 0.8
Major Banks....................................................................... 1,600,363 0.9
Major Chemicals................................................................... 5,938,134 3.4
Major Pharmaceuticals............................................................. 7,432,356 4.3
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Managed Health Care............................................................... $ 1,205,313 0.7%
Media Conglomerates............................................................... 1,316,250 0.8
Military/Gov't/Technical.......................................................... 3,441,124 2.0
Motor Vehicles.................................................................... 2,301,351 1.3
Movies/Entertainment.............................................................. 2,044,061 1.2
Multi-Sector Companies............................................................ 5,093,557 3.0
Natural Gas....................................................................... 401,149 0.2
Newspapers........................................................................ 1,299,076 0.7
Oil Refining/Marketing............................................................ 2,548,360 1.5
Other Metals/Minerals............................................................. 1,102,080 0.6
Other Pharmaceuticals............................................................. 942,966 0.5
Other Specialty Stores............................................................ 1,738,175 1.0
Other Telecommunications.......................................................... 5,167,595 3.0
Package Goods/Cosmetics........................................................... 2,175,208 1.3
Packaged Foods.................................................................... 1,201,200 0.7
Paper............................................................................. 4,592,916 2.6
Railroads......................................................................... 1,078,067 0.6
Real Estate....................................................................... 584,883 0.3
Savings & Loan Associations....................................................... 2,381,980 1.4
Semiconductors.................................................................... 5,195,228 3.0
Steel/Iron Ore.................................................................... 1,169,047 0.7
Telecommunication Equipment....................................................... 7,175,132 4.1
Telecommunications................................................................ 7,948,920 4.6
U.S. Government Agency............................................................ 9,049,246 5.2
Utilities......................................................................... 1,097,718 0.6
------------ ----
$173,597,105 99.9%
------------ ----
------------ ----
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Common Stocks..................................................................... $163,262,859 94.0%
Preferred Stock................................................................... 1,285,000 0.7
Short-Term Investment............................................................. 9,049,246 5.2
------------ ----
$173,597,105 99.9%
------------ ----
------------ ----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
70
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON STOCKS (91.0%)
ADVERTISING (2.5%)
1,300 Digital Impact, Inc.*.................................................................. $ 65,162
30,000 FreeShop.com, Inc.*.................................................................... 1,410,000
32,600 Getty Images, Inc.*.................................................................... 1,595,362
5,200 Harris Interactive Inc.*............................................................... 67,925
12,900 Mediaplex, Inc.*....................................................................... 803,025
1,800 Netratings, Inc.*...................................................................... 86,512
------------
4,027,986
------------
AIR FREIGHT/DELIVERY SERVICES (1.1%)
25,000 C.H. Robinson Worldwide, Inc........................................................... 993,750
18,600 Expeditors International of Washington, Inc............................................ 806,775
------------
1,800,525
------------
APPAREL (0.6%)
60,000 Quiksilver, Inc.*...................................................................... 930,000
------------
AUTO PARTS: O.E.M. (0.6%)
33,000 Gentex Corp.*.......................................................................... 915,750
------------
BIOTECHNOLOGY (3.2%)
20,100 Alkermes, Inc.*........................................................................ 984,900
30,000 Gene Logic, Inc.*...................................................................... 795,000
24,000 Medco Research, Inc.*.................................................................. 721,500
10,000 Millennium Pharmaceuticals, Inc.*...................................................... 1,218,750
25,000 QLT Phototherapeutics, Inc.*........................................................... 1,462,500
------------
5,182,650
------------
BROADCASTING (1.3%)
18,700 Citadel Communications Corp.*.......................................................... 1,210,825
29,000 Radio Unica Communications Corp.*...................................................... 837,375
------------
2,048,200
------------
CABLE TELEVISION (2.1%)
30,000 Charter Communications, Inc. (Class A)*................................................ 656,250
5,200 Classic Communications, Inc. (Class A)*................................................ 191,100
31,200 Insight Communications Co., Inc.*...................................................... 924,300
4,000 NDS Group PLC (ADR) (United Kingdom)*.................................................. 121,500
15,000 Pegasus Communications Corp.*.......................................................... 1,440,000
------------
3,333,150
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CELLULAR TELEPHONE (1.9%)
15,000 Powertel, Inc.*........................................................................ $ 1,500,000
20,000 TeleCorp PCS, Inc.*.................................................................... 762,500
26,200 Tritel, Inc.*.......................................................................... 828,575
------------
3,091,075
------------
CLOTHING/SHOE/ACCESSORY STORES (1.2%)
25,000 Pacific Sunwear of California, Inc.*................................................... 795,312
40,000 Urban Outfitters, Inc.*................................................................ 1,165,000
------------
1,960,312
------------
COMPUTER COMMUNICATIONS (1.5%)
700 Cobalt Networks, Inc.*................................................................. 74,900
20,000 Emulex Corp.*.......................................................................... 2,258,750
------------
2,333,650
------------
COMPUTER SOFTWARE (12.0%)
25,300 BSQUARE Corporation*................................................................... 1,061,019
30,000 CBT Group PLC (ADR) (Ireland)*......................................................... 993,750
28,700 Dalleen Technologies, Inc.*............................................................ 624,225
25,000 Entrust Technologies Inc.*............................................................. 1,496,875
30,000 eSoft, Inc.*........................................................................... 870,000
45,700 FileNET Corp.*......................................................................... 1,171,062
20,000 Inet Technologies, Inc.*............................................................... 1,397,500
16,000 Mercury Interactive Corp.*............................................................. 1,727,000
400 Metasolv Software, Inc.*............................................................... 32,900
14,000 Micromuse Inc.*........................................................................ 2,380,000
24,000 NetIQ Corp.*........................................................................... 1,266,000
15,000 Packeteer, Inc.*....................................................................... 1,035,000
21,000 Peregrine Systems, Inc.*............................................................... 1,764,000
45,600 Project Software & Development, Inc.*.................................................. 2,519,400
20,000 Remedy Corp.*.......................................................................... 950,000
------------
19,288,731
------------
COMPUTER/VIDEO CHAINS (0.5%)
25,000 REX Stores Corp.*...................................................................... 875,000
------------
CONTAINERS/PACKAGING (0.4%)
100,000 Gaylord Container Corp. (Series A)*.................................................... 681,250
------------
CONTRACT DRILLING (1.0%)
63,000 R&B Falcon Corp.*...................................................................... 834,750
30,000 Santa Fe International Corp............................................................ 776,250
------------
1,611,000
------------
DISCOUNT CHAINS (0.5%)
20,000 BJ's Wholesale Club, Inc.*............................................................. 730,000
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
71
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED COMMERCIAL SERVICES (0.1%)
3,900 eCollege.Com*.......................................................................... $ 42,656
4,000 Management Network Group, Inc. (The)*.................................................. 130,500
------------
173,156
------------
DIVERSIFIED ELECTRONIC PRODUCTS (0.6%)
1,300 Caliper Technologies Corp.*............................................................ 86,612
50,000 Sensormatic Electronics Corp.*......................................................... 871,875
------------
958,487
------------
E.D.P. PERIPHERALS (0.9%)
15,000 DSP Group, Inc.*....................................................................... 1,393,125
------------
E.D.P. SERVICES (3.7%)
15,000 Concord Communications, Inc.*.......................................................... 664,687
40,000 Harbinger Corp.*....................................................................... 1,270,000
20,000 Lightbridge, Inc.*..................................................................... 557,500
3,100 McAfee.Com Corp.*...................................................................... 141,825
30,000 Netsolve, Inc.*........................................................................ 941,250
17,000 Pegasus Systems, Inc.*................................................................. 1,024,250
4,400 Predictive Systems, Inc.*.............................................................. 288,200
2,100 Rainmaker Systems, Inc.*............................................................... 42,525
10,000 ReSourcePhoenix.com, Inc............................................................... 192,500
20,000 U.S. Interactive, Inc.*................................................................ 845,000
------------
5,967,737
------------
ELECTRICAL PRODUCTS (0.5%)
38,000 Belden Inc............................................................................. 798,000
------------
ELECTRONIC COMPONENTS (0.7%)
22,000 Power Integrations, Inc.*.............................................................. 1,034,000
5,000 Sage, Inc.*............................................................................ 95,625
------------
1,129,625
------------
ELECTRONIC DISTRIBUTORS (2.3%)
25,000 Intraware, Inc.*....................................................................... 1,992,187
6,000 Metron Technology N.V.*................................................................ 95,250
10,000 Safeguard Scientifics, Inc.*........................................................... 1,620,625
------------
3,708,062
------------
ELECTRONIC PRODUCTION EQUIPMENT (5.0%)
20,000 Advanced Energy Industries, Inc.*...................................................... 983,750
19,500 Asyst Technologies, Inc.*.............................................................. 1,277,250
22,000 ATMI, Inc.*............................................................................ 724,625
39,000 EMCORE Corp.*.......................................................................... 1,296,750
77,500 MEMC Electronic Materials, Inc.*....................................................... 949,375
29,200 MKS Instruments, Inc.*................................................................. 1,054,850
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
10,500 Orbotech, Ltd.*........................................................................ $ 813,750
30,000 Rudolph Technologies, Inc.*............................................................ 990,000
------------
8,090,350
------------
FINANCE COMPANIES (0.9%)
41,000 Advanta Corp. (Class A)................................................................ 745,687
23,000 NextCard, Inc.*........................................................................ 661,250
------------
1,406,937
------------
FINANCIAL PUBLISHING/SERVICES (0.5%)
30,000 Telescan, Inc.*........................................................................ 738,750
------------
FOREST PRODUCTS (0.7%)
23,400 Rayonier Inc........................................................................... 1,130,512
------------
INDUSTRIAL SPECIALTIES (0.1%)
6,000 Symyx Technologies, Inc.*.............................................................. 178,500
------------
INTEGRATED OIL COMPANIES (0.5%)
13,000 Murphy Oil Corp........................................................................ 745,875
------------
INTERNET SERVICES (12.7%)
1,400 Agency.com, Inc.*...................................................................... 71,925
29,400 AppNet, Inc.*.......................................................................... 1,284,412
26,000 Art Technology Group, Inc.*............................................................ 3,381,625
1,800 ASD Systems, Inc.*..................................................................... 31,500
12,000 Bluestone Software, Inc.*.............................................................. 1,374,000
1,100 C-Bridge Internet Solutions, Inc.*..................................................... 54,450
57,200 Circle.Com*............................................................................ 700,700
17,000 CNet Inc.*............................................................................. 962,625
20,000 Concentric Network Corp.*.............................................................. 613,750
25,000 Digex, Inc.*........................................................................... 1,700,000
1,000 El Sitio, Inc.*........................................................................ 36,750
6,000 Intertrust Technologies Corp.*......................................................... 705,750
15,000 InterVU Inc.*.......................................................................... 1,561,875
37,000 Jacada Ltd.*........................................................................... 1,026,750
2,100 Metalink Ltd.*......................................................................... 41,738
30,000 National Information Consortium, Inc.*................................................. 960,000
36,700 Netzero, Inc.*......................................................................... 988,606
900 OnDisplay, Inc.*....................................................................... 81,450
20,000 Optio Software, Inc.*.................................................................. 470,000
1,300 Pfsweb Inc.*........................................................................... 48,588
900 Preview Systems, Inc.*................................................................. 57,600
16,000 PSINet, Inc.*.......................................................................... 988,000
6,000 PurchasePro.com Inc.*.................................................................. 824,625
13,000 Quest Software, Inc.*.................................................................. 1,295,125
35,000 Rare Medium Group, Inc.*............................................................... 1,181,250
1,000 Xpedior Inc.*.......................................................................... 28,750
------------
20,471,844
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
72
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
INVESTMENT BANKERS/BROKERS/SERVICES (0.9%)
35,000 AmeriTrade Holding Corp. (Class A)*.................................................... $ 759,063
17,000 eSPEED, Inc (Class A)*................................................................. 607,750
------------
1,366,813
------------
MEDICAL EQUIPMENT & SUPPLIES (0.8%)
23,500 LaserSight, Inc.*...................................................................... 232,063
20,000 VISX, Inc.*............................................................................ 1,035,000
------------
1,267,063
------------
MEDICAL SPECIALTIES (2.9%)
15,000 ABIOMED, Inc.*......................................................................... 540,000
20,000 ArthroCare Corp.*...................................................................... 1,220,000
22,000 Cytyc Corp.*........................................................................... 1,344,750
28,800 Orthofix International N.V.*........................................................... 403,200
35,500 SonoSite, Inc.*........................................................................ 1,136,000
------------
4,643,950
------------
MEDICAL/DENTAL DISTRIBUTORS (1.5%)
27,000 Priority Healthcare Corp.*............................................................. 781,313
21,000 SciQuest.Com Inc.*..................................................................... 1,669,500
------------
2,450,813
------------
MEDICAL/NURSING SERVICES (1.0%)
53,000 InfoCure Corp.*........................................................................ 1,652,938
------------
METALS FABRICATIONS (1.0%)
20,000 CommScope, Inc.*....................................................................... 806,250
35,000 Maverick Tube Corp.*................................................................... 853,125
------------
1,659,375
------------
MILITARY/GOV'T/TECHNICAL (1.5%)
50,000 Titan Corp. (The)*..................................................................... 2,356,250
------------
MOVIES/ENTERTAINMENT (1.5%)
39,000 CINAR Corp. (Class B) (Canada)*........................................................ 965,250
19,000 Westwood One, Inc.*.................................................................... 1,444,000
------------
2,409,250
------------
OFFICE/PLANT AUTOMATION (0.6%)
16,000 Kronos, Inc.*.......................................................................... 972,000
------------
OIL & GAS PRODUCTION (0.6%)
51,500 Nuevo Energy Co.*...................................................................... 965,625
------------
OILFIELD SERVICES/EQUIPMENT (1.1%)
26,000 BJ Services Co.*....................................................................... 1,087,125
48,500 Veritas DGC Inc.*...................................................................... 679,000
------------
1,766,125
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER CONSUMER SERVICES (0.6%)
51,700 Edison Schools Inc.*................................................................... $ 801,350
3,100 Expedia, Inc. (Class A)*............................................................... 108,500
15,000 Healthcentral.Com*..................................................................... 109,688
------------
1,019,538
------------
OTHER PHARMACEUTICALS (0.4%)
21,500 Shire Pharmaceuticals Group PLC (ADR) (United Kingdom)*................................ 620,813
------------
OTHER SPECIALTY STORES (1.1%)
24,000 Cost Plus, Inc.*....................................................................... 852,000
32,700 Linens 'N Things, Inc.*................................................................ 968,738
------------
1,820,738
------------
OTHER TELECOMMUNICATIONS (5.5%)
48,500 Allied Riser Communications Corporation*............................................... 982,125
9,000 Clarent Corp.*......................................................................... 698,625
40,000 Clearnet Communications Inc. (Class A)*................................................ 1,375,000
3,400 Deltathree.Com Inc.*................................................................... 86,700
12,000 Efficient Networks, Inc.*.............................................................. 815,250
29,000 ITC DeltaCom, Inc.*.................................................................... 799,313
1,000 Pac-West Telecomm, Inc.*............................................................... 26,250
27,800 Pinnacle Holdings Inc.*................................................................ 1,184,975
25,040 Primus Telecommunications Group, Inc.*................................................. 957,780
16,000 Viatel, Inc.*.......................................................................... 856,000
13,000 WinStar Communications, Inc.*.......................................................... 976,625
------------
8,758,643
------------
PAPER (0.5%)
82,000 Sappi Ltd. (ADR) (South Africa)*....................................................... 789,250
------------
PRECISION INSTRUMENTS (0.6%)
25,000 Mettler-Toledo International Inc.*..................................................... 954,688
------------
RECREATIONAL PRODUCTS/TOYS (0.6%)
40,000 THQ, Inc.*............................................................................. 927,500
------------
RENTAL/LEASING COMPANIES (0.7%)
30,000 Comdisco, Inc.......................................................................... 1,117,500
------------
RESTAURANTS (0.5%)
37,000 Jack in the Box Inc.*.................................................................. 765,438
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
73
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS (2.6%)
22,000 Exar Corp.*............................................................................ $ 1,295,250
28,500 Fairchild Semiconductor Corp. (Class A)*............................................... 847,875
30,000 Integrated Device Technology, Inc.*.................................................... 868,125
10,000 QuickLogic Corporation*................................................................ 165,000
15,000 Silicon Image, Inc.*................................................................... 1,046,250
------------
4,222,500
------------
SERVICES TO THE HEALTH INDUSTRY (0.5%)
4,100 MedicaLogic Inc.*...................................................................... 86,356
25,000 Quest Diagnostics Inc.*................................................................ 764,063
------------
850,419
------------
SHOE MANUFACTURING (0.6%)
50,000 Madden (Steven), Ltd.*................................................................. 937,500
------------
SPECIALTY CHEMICALS (2.3%)
40,000 Celgene Corp.*......................................................................... 2,800,000
30,000 Georgia Gulf Corp...................................................................... 913,125
------------
3,713,125
------------
TELECOMMUNICATION EQUIPMENT (1.5%)
4,600 Airnet Communications Corp.*........................................................... 167,325
22,500 Antec Corp.*........................................................................... 821,250
33,400 MCK Communications, Inc.*.............................................................. 734,800
25,000 Paradyne Networks, Inc.*............................................................... 671,874
------------
2,395,249
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $83,151,316).......................................................... 146,103,342
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
<C> <S> <C>
- --------
SHORT-TERM INVESTMENTS (9.0%)
U.S. GOVERNMENT AGENCY (a) (8.9%)
$ 14,400 Federal Home Loan Mortgage Corp. 1.50% due 01/03/00 (AMORTIZED COST $14,398,800)....... 14,398,800
------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (0.1%)
$ 143 The Bank of New York 1.50% due 01/03/00 (dated 12/31/99; proceeds $143,468) (b)
(IDENTIFIED COST $143,450)........................................................... $ 143,450
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $14,542,250).......................................................... 14,542,250
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $97,693,566) (C)......................................................... 100.0% 160,645,592
LIABILITIES IN EXCESS OF OTHER ASSETS..................................................... 0.0 (50,549)
----- -------------
NET ASSETS................................................................................ 100.0% $ 160,595,043
----- -------------
----- -------------
</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 $100,620 U.S. Treasury Bond 11.25% due 02/15/15 valued at
$146,433.
(c) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $64,944,375 and the
aggregate gross unrealized depreciation is $1,992,349, resulting in net
unrealized appreciation of $62,952,026.
SEE NOTES TO FINANCIAL STATEMENTS
74
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------------------------------------------
COMMON AND PREFERRED STOCKS AND RIGHTS (100.0%)
ARGENTINA (2.5%)
DIVERSIFIED FINANCIAL SERVICES
15,670 CEI Citicorp Holdings S.A.*...................................................... $ 57,202
-----------
INTERNATIONAL BANKS
4,537 Banco de Galicia y Buenos Aires S.A. de C.V. (Class B) (ADR)..................... 89,889
2,610 Banco Frances del Rio de La Plato S.A. (ADR)..................................... 61,824
-----------
151,713
-----------
OIL & GAS PRODUCTION
22,310 Perez Companc S.A. (Class B)..................................................... 114,241
-----------
STEEL/IRON ORE
33,330 Siderca S.A.I.C. (Class A)....................................................... 70,002
-----------
TELECOMMUNICATIONS
2,270 Telecom Argentina Stet - France Telecom S.A. (Class B) (ADR)..................... 77,748
3,335 Telefonica de Argentina S.A. (ADR)............................................... 102,968
-----------
180,716
-----------
TOTAL ARGENTINA.................................................................. 573,874
-----------
BRAZIL (11.0%)
ALCOHOLIC BEVERAGES
7,265 Companhia Cervejaria Brahma (ADR)................................................ 101,710
-----------
CABLE TELEVISION
4,600 Globo Cabo S.A. (ADR)*........................................................... 81,075
-----------
CELLULAR TELEPHONE
2,800 Tele Celular Sul Participacoes S.A. (ADR)........................................ 88,900
1,200 Telemig Celular S.A. (Class B) (Pref.)........................................... 55,425
-----------
144,325
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
ELECTRIC UTILITIES
2,930,000 Centrais Eletricas Brasileiras S.A. (Class B) (Pref.)............................ $ 69,808
2,302 Companhia Energetica de Minas Gerais S.A. (ADR) (Pref.).......................... 51,148
-----------
120,956
-----------
INTEGRATED OIL COMPANIES
1,602,000 Petroleo Brasileiro S.A. (Pref.)................................................. 407,363
-----------
INTERNATIONAL BANKS
17,370,000 Banco Bradesco S.A. (Pref.)...................................................... 136,060
1,127,905 Banco Bradesco S.A. (Rights)*.................................................... 4,470
1,171,000 Banco Itau S.A. (Pref.).......................................................... 100,334
-----------
240,864
-----------
OTHER METALS/MINERALS
5,000 Companhia Vale do Rio Doce S.A. (Debentures)*++.................................. --
5,740 Companhia Vale do Rio Doce S.A. (Pref.).......................................... 158,651
-----------
158,651
-----------
OTHER TELECOMMUNICATIONS
1,234 Tele Centro Sul Participacoes S.A. (ADR)......................................... 111,986
9,790 Tele Norte Leste Participacoes S.A. (Pref.)...................................... 249,645
-----------
361,631
-----------
PAPER
1,110,000 Votorantim Celulose Papel S.A. (Pref.)........................................... 50,315
-----------
SPECIALTY STEELS
3,500 Gerdau S.A. (ADR)................................................................ 92,094
-----------
TELECOMMUNICATIONS
6,792 Embratel Participacoes S.A. (ADR)................................................ 185,082
2,715 Telecomunicacoes Brasileiras S.A. - Telebras (ADR)............................... 348,878
6,862 Telesp Participacoes S.A. (ADR).................................................. 167,690
-----------
701,650
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
75
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
TOBACCO
7,600 Souza Cruz S.A................................................................... $ 56,128
-----------
TOTAL BRAZIL..................................................................... 2,516,762
-----------
CAYMAN ISLANDS (0.9%)
MUTUAL FUNDS
8,093 Formosa Growth Fund Ltd.*........................................................ 207,343
-----------
CHILE (2.2%)
AGRICULTURAL CHEMICALS
1,020 Sociedad Quimica y Minera de Chile S.A. (ADR).................................... 32,194
-----------
ALCOHOLIC BEVERAGES
2,760 Compania Cervecerias Unidas S.A. (ADR)........................................... 88,492
3,620 Vina Concha Y Toro (ADR)......................................................... 136,655
-----------
225,147
-----------
FOOD CHAINS
3,850 Distribucion Y Servicio D&S S.A. (ADR)........................................... 74,594
-----------
INTERNATIONAL BANKS
3,130 Banco Santander Chile (ADR)...................................................... 47,732
-----------
NON - U.S. UTILITIES
2,270 Chilectra S.A. (ADR) - 144A...................................................... 45,258
-----------
OTHER PHARMACEUTICALS
1,560 Laboratorio Chile S.A. (ADR)..................................................... 28,080
-----------
TELECOMMUNICATIONS
2,738 Cia de Telecommunicaciones de Chile S.A. (ADR)................................... 49,969
-----------
TOTAL CHILE...................................................................... 502,974
-----------
CHINA (0.9%)
ELECTRIC UTILITIES
438,000 Huaneng Power International, Inc. (Class H)...................................... 104,232
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
TEXTILES
368,000 Yizheng Chemical Fibre Co., Ltd. (Class H)....................................... $ 102,959
-----------
TOTAL CHINA...................................................................... 207,191
-----------
GREECE (5.1%)
BUILDING MATERIALS
1,380 Titan Cement Co. S.A............................................................. 81,583
-----------
CELLULAR TELEPHONE
4,440 Panafon Hellenic Telecom S.A..................................................... 59,788
-----------
INTERNATIONAL BANKS
4,010 Alpha Credit Bank................................................................ 314,946
2,740 National Bank of Greece S.A...................................................... 202,011
-----------
516,957
-----------
OIL & GAS PRODUCTION
7,200 Hellenic Petroleum S.A........................................................... 117,901
-----------
TELECOMMUNICATION EQUIPMENT
3,080 Intracom S.A..................................................................... 141,079
-----------
TELECOMMUNICATIONS
10,282 Hellenic Telecommunication Organization S.A...................................... 244,176
-----------
TOTAL GREECE..................................................................... 1,161,484
-----------
HONG KONG (2.5%)
ELECTRONIC DATA PROCESSING
192,000 Legend Holdings Ltd.............................................................. 475,431
-----------
MARINE TRANSPORTATION
112,500 Cosco Pacific Ltd................................................................ 93,340
-----------
TOTAL HONG KONG.................................................................. 568,771
-----------
HUNGARY (2.0%)
INTEGRATED OIL COMPANIES
3,500 MOL Magyar Olaj-es Gazipari RT (GDR) - 144A**.................................... 73,500
-----------
INTERNATIONAL BANKS
2,400 OTP Bank RT...................................................................... 140,350
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
76
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
OTHER TELECOMMUNICATIONS
17,250 Magyar Tavkozlesi RT............................................................. $ 120,725
3,700 Magyar Tavkozlesi RT (ADR)....................................................... 133,200
-----------
253,925
-----------
TOTAL HUNGARY.................................................................... 467,775
-----------
INDIA (6.1%)
E.D.P. SERVICES
3,250 Infosys Technologies Ltd. (ADR).................................................. 1,046,500
-----------
OTHER TELECOMMUNICATIONS
12,100 Videsh Sanchar Nigam Ltd. (GDR).................................................. 300,080
-----------
TEXTILES
4,084 Reliance Industries Ltd. (GDR)................................................... 59,218
-----------
TOTAL INDIA...................................................................... 1,405,798
-----------
ISRAEL (3.3%)
FOOD CHAINS
3,215 Blue Square Chain Investments & Properties Ltd................................... 48,293
-----------
INTERNATIONAL BANKS
34,650 Bank Hapoalim Ltd................................................................ 107,761
28,800 Bank Leumi Le-Israel............................................................. 60,496
-----------
168,257
-----------
MILITARY/GOV'T/TECHNICAL
7,735 Elbit Systems Ltd................................................................ 120,836
-----------
OTHER PHARMACEUTICALS
2,030 Teva Pharmaceutical Industries Ltd. (ADR)........................................ 145,145
-----------
TELECOMMUNICATION EQUIPMENT
3,900 ECI Telecom Ltd. (ADR)........................................................... 123,337
1,530 NICE-Systems Ltd. (ADR)*......................................................... 75,257
-----------
198,594
-----------
TELECOMMUNICATIONS
14,200 Bezeq Israeli Telecommunication Corp., Ltd.*..................................... 70,645
-----------
TOTAL ISRAEL..................................................................... 751,770
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
MEXICO (12.2%)
ALCOHOLIC BEVERAGES
55,400 Grupo Modelo S.A. de C.V. (Series C)............................................. $ 151,781
-----------
BEVERAGES - NON-ALCOHOLIC
2,420 Coca-Cola Femsa S.A. de C.V. (ADR)............................................... 42,501
4,595 Fomento Economico Mexicano, S.A. de C.V. (ADR)................................... 204,477
-----------
246,978
-----------
BROADCASTING
5,790 Grupo Televisa S.A. de C.V. (GDR)*............................................... 395,168
-----------
BUILDING MATERIALS
10,100 Apasco S.A. de C.V............................................................... 62,792
6,500 Cemex S.A. de C.V. (ADR)*........................................................ 181,188
-----------
243,980
-----------
DIVERSIFIED MANUFACTURING
12,500 ALFA S.A. (Class A).............................................................. 58,614
-----------
MULTI-SECTOR COMPANIES
34,000 DESC S.A. de C.V. (Series B)..................................................... 27,945
-----------
OTHER METALS/MINERALS
10,600 Grupo Mexico S.A. (Series B)..................................................... 52,442
-----------
OTHER SPECIALTY STORES
158,500 Cifra S.A. de C.V. (Series C).................................................... 301,300
28,800 Organizacion Soriana S.A. de C.V. (Series B)..................................... 132,013
-----------
433,313
-----------
PACKAGE GOODS/COSMETICS
37,300 Kimberly-Clark de Mexico S.A. de C.V. (A Shares)................................. 145,427
-----------
SPECIALTY FOODS/CANDY
59,709 Grupo Industrial Bimbo S.A. de C.V. (Series A)*.................................. 133,071
-----------
TELECOMMUNICATIONS
7,630 Telefonos de Mexico S.A. de C.V. (Series L) (ADR)................................ 858,375
-----------
TEXTILES
9,000 Grupo Carso S.A. de C.V. (Series A1)............................................. 44,763
-----------
TOTAL MEXICO..................................................................... 2,791,857
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
77
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
PERU (0.7%)
BUILDING MATERIALS
25,472 Cementos Lima, S.A............................................................... $ 29,028
-----------
INTERNATIONAL BANKS
2,600 Credicorp Ltd. (ADR)............................................................. 31,200
-----------
OTHER TELECOMMUNICATIONS
3,700 Telefonica del Peru S.A. (ADR)................................................... 49,487
-----------
PRECIOUS METALS
2,750 Compania de Minas Buenaventura S.A. (ADR)........................................ 44,172
-----------
TOTAL PERU....................................................................... 153,887
-----------
PHILIPPINES (1.4%)
ALCOHOLIC BEVERAGES
32,340 San Miguel Corp. (Class B)....................................................... 45,628
-----------
INTERNATIONAL BANKS
12,738 Metropolitan Bank & Trust Co..................................................... 91,436
-----------
NON - U.S. UTILITIES
8,400 Manila Electric Co. (B Shares)................................................... 23,911
-----------
REAL ESTATE
306,100 SM Prime Holdings Inc............................................................ 57,583
-----------
TELECOMMUNICATIONS
3,820 Philippine Long Distance Telephone Co............................................ 96,919
-----------
TOTAL PHILIPPINES................................................................ 315,477
-----------
POLAND (1.9%)
INTERNATIONAL BANKS
2,000 Bank Slaski S.A.................................................................. 135,749
1,538 BRE Bank S.A..................................................................... 48,666
-----------
184,415
-----------
TELECOMMUNICATIONS
15,300 Telekomunikacja Polska S.A. (GDR)* **............................................ 97,537
-----------
WHOLESALE DISTRIBUTORS
15,900 Elektrim Spolka Akcyjna S.A...................................................... 157,464
-----------
TOTAL POLAND..................................................................... 439,416
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
SOUTH AFRICA (11.6%)
ALCOHOLIC BEVERAGES
17,992 South African Breweries Ltd...................................................... $ 183,064
-----------
CLOTHING/SHOE/ACCESSORY STORES
522 Edgars Consolidated Stores Ltd................................................... 6,669
-----------
DIVERSIFIED FINANCIAL SERVICES
187,000 Sanlam Ltd.*..................................................................... 261,390
-----------
INTERNATIONAL BANKS
13,880 Nedcor Investment Bank Holdings.................................................. 8,685
14,038 Nedcor Ltd.*..................................................................... 312,589
-----------
321,274
-----------
LIFE INSURANCE
20,360 Liberty Life Association of Africa Ltd........................................... 234,955
-----------
MULTI-SECTOR COMPANIES
28,000 Johnnies Industrial Corp., Ltd................................................... 327,672
-----------
OTHER METALS/MINERALS
11,400 De Beers Consolidated Mines Ltd. (Units) =/=..................................... 331,670
-----------
PRECIOUS METALS
9,045 Anglo American Platinum Corporation Ltd.......................................... 274,915
7,410 Anglo American PLC............................................................... 478,142
3,116 Anglogold Ltd.................................................................... 160,345
-----------
913,402
-----------
REAL ESTATE
8,327 Liberty International PLC........................................................ 62,597
-----------
TOTAL SOUTH AFRICA............................................................... 2,642,693
-----------
SOUTH KOREA (15.2%)
DIVERSIFIED ELECTRONIC PRODUCTS
5,388 Samsung Electronics Co. - 144A**................................................. 1,261,627
-----------
ELECTRIC UTILITIES
6,500 Korea Electric Power Corp........................................................ 201,409
-----------
INTERNATIONAL BANKS
3,422 Kookmin Bank..................................................................... 53,619
-----------
SPECIALTY CHEMICALS
7,001 L.G. Chemical Ltd................................................................ 221,246
-----------
SPECIALTY FOODS/CANDY
600 Cheil Jedang Corp................................................................ 69,190
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
78
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
STEEL/IRON ORE
5,610 Pohang Iron & Steel Co., Ltd..................................................... $ 654,335
-----------
TELECOMMUNICATIONS
4,800 Korea Telecom Corp............................................................... 756,338
3,570 Korea Telecom Corp. (ADR)........................................................ 266,858
-----------
1,023,196
-----------
TOTAL SOUTH KOREA................................................................ 3,484,622
-----------
TAIWAN (12.3%)
COMPUTER/VIDEO CHAINS
1,200 Synnex Technology International Corp. (GDR)...................................... 31,560
-----------
DIVERSIFIED COMMERCIAL SERVICES
9,296 ASE Test Ltd. (ADR)*............................................................. 219,618
-----------
ELECTRONIC DATA PROCESSING
30,287 Acer Inc. (GDR).................................................................. 431,590
33,272 Asustek Computer Inc. (GDR)...................................................... 463,312
143 Asustek Computer Inc. (GDR) - 144A**............................................. 1,986
-----------
896,888
-----------
ELECTRONIC PRODUCTION EQUIPMENT
15,830 Taiwan Semiconductor Manufacturing Co., Ltd. (ADR)*.............................. 712,350
-----------
SEMICONDUCTORS
15,350 Winbond Electronics Corp. (GDR)*................................................. 354,969
15,122 Winbond Electronics Corp. (GDR) - 144A**......................................... 349,696
-----------
704,665
-----------
STEEL/IRON ORE
17,238 China Steel Corp. (GDR).......................................................... 258,139
-----------
TOTAL TAIWAN..................................................................... 2,823,220
-----------
THAILAND (0.7%)
INTERNATIONAL BANKS
64,700 Bangkok Bank PCL*................................................................ 163,471
-----------
TURKEY (7.5%)
BUILDING MATERIALS
7,141,600 Akcansa Cimento A.S.............................................................. 161,203
-----------
CONSUMER ELECTRONICS/APPLIANCES
4,320,000 Arcelik A.S...................................................................... 282,587
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
FOOD CHAINS
461,100 Migros Turk T.A.S................................................................ $ 297,374
-----------
INTERNATIONAL BANKS
8,501,000 Akbank T.A.S..................................................................... 250,628
8,276,400 Turkiye Is Bankasi (C Shares).................................................... 396,511
10,400,000 Yapi ve Kredi Bankasi A.S........................................................ 320,988
-----------
968,127
-----------
TOTAL TURKEY..................................................................... 1,709,291
-----------
VIETNAM (0.0%)
MUTUAL FUNDS
1,800 Lazard Vietnam Fund Ltd.*........................................................ --
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(IDENTIFIED COST $13,996,921) (a).......................................................... 100.0% 22,887,676
OTHER ASSETS IN EXCESS OF LIABILITIES...................................................... 0.0 1,141
----- ------------
NET ASSETS................................................................................. 100.0% $ 22,888,817
----- ------------
----- ------------
</TABLE>
- ---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
=/= Consists of one or more classes of securities traded together as a unit;
stocks or bonds with attached warrants.
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $9,238,747 and the
aggregate gross unrealized depreciation is $347,992, resulting in net
unrealized appreciation of $8,890,755.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 1999:
<TABLE>
<CAPTION>
CONTRACTS TO IN EXCHANGE DELIVERY UNREALIZED
DELIVER FOR DATE DEPRECIATION
- ---------------------------------------------------
<S> <C> <C> <C>
MXN 95,542 $10,062 01/04/00 $ (5)
</TABLE>
CURRENCY ABBREVIATION:
MXN Mexican Peso.
SEE NOTES TO FINANCIAL STATEMENTS
79
<PAGE>
EMERGING MARKETS
SUMMARY OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Agricultural Chemicals............................................................. $ 32,194 0.1%
Alcoholic Beverages................................................................ 707,330 3.1
Beverages - Non-Alcoholic.......................................................... 246,979 1.1
Broadcasting....................................................................... 395,167 1.7
Building Materials................................................................. 515,794 2.3
Cable Television................................................................... 81,075 0.4
Cellular Telephone................................................................. 204,113 0.9
Clothing/Shoe/Accessory Stores..................................................... 6,669 0.0
Computer/Video Chains.............................................................. 31,560 0.1
Consumer Electronics/Appliances.................................................... 282,587 1.2
Diversified Commercial Services.................................................... 219,618 1.0
Diversified Electronic Products.................................................... 1,261,627 5.5
Diversified Financial Services..................................................... 318,592 1.4
Diversified Manufacturing.......................................................... 58,614 0.3
E.D.P. Services.................................................................... 1,046,500 4.6
Electric Utilities................................................................. 426,596 1.9
Electronic Data Processing......................................................... 1,372,319 6.0
Electronic Production Equipment.................................................... 712,350 3.1
Food Chains........................................................................ 420,261 1.8
Integrated Oil Companies........................................................... 480,863 2.1
International Banks................................................................ 3,079,418 13.4
Life Insurance..................................................................... 234,955 1.0
Marine Transportation.............................................................. 93,340 0.4
Military/Gov't/Technical........................................................... 120,836 0.5
Multi-Sector Companies............................................................. 355,617 1.6
Mutual Funds....................................................................... 207,343 0.9
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Non - U.S. Utilities............................................................... $ 69,169 0.3%
Oil & Gas Production............................................................... 232,142 1.0
Other Metals/Minerals.............................................................. 542,763 2.4
Other Pharmaceuticals.............................................................. 173,225 0.8
Other Specialty Stores............................................................. 433,313 1.9
Other Telecommunications........................................................... 965,123 4.2
Package Goods/Cosmetics............................................................ 145,427 0.6
Paper.............................................................................. 50,315 0.2
Precious Metals.................................................................... 957,575 4.2
Real Estate........................................................................ 120,180 0.5
Semiconductors..................................................................... 704,665 3.1
Specialty Chemicals................................................................ 221,246 1.0
Specialty Foods/Candy.............................................................. 202,261 0.9
Specialty Steels................................................................... 92,094 0.4
Steel/Iron Ore..................................................................... 982,476 4.3
Telecommunication Equipment........................................................ 339,673 1.5
Telecommunications................................................................. 3,323,181 14.5
Textiles........................................................................... 206,939 0.9
Tobacco............................................................................ 56,128 0.2
Wholesale Distributors............................................................. 157,464 0.7
----------- -----
$$22,887,676 100.0%
----------- -----
----------- -----
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Common Stocks...................................................................... $21,703,377 94.8%
Preferred Stocks................................................................... 1,179,829 5.2
Rights............................................................................. 4,470 0.0
----------- -----
$22,887,676 100.0%
----------- -----
----------- -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
80
<PAGE>
(This page has been intentionally left blank.)
81
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<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*................. $135,981,624 $9,353,200 $84,644,181 $127,739,033 $164,949,217
Cash..................... 5,981 27,500 115,630** 71,637 --
Receivable for:
Investments sold..... -- -- -- -- --
Shares of beneficial
interest sold...... 52,135 -- 47,078 90,957 238,316
Dividends............ -- -- -- 96,998 163,909
Interest............. 254,707 61,522 1,571,455 398,571 130,528
Foreign withholding
taxes reclaimed.... -- -- -- -- 10,050
Unrealized appreciation
on open forward foreign
currency contracts..... -- -- 933 -- --
Prepaid expenses and
other assets........... 1,834 850 2,831 6,447 10,021
------------ ---------- ----------- ------------ ------------
TOTAL ASSETS........ 136,296,281 9,443,072 86,382,108 128,403,643 165,502,041
------------ ---------- ----------- ------------ ------------
LIABILITIES:
Payable for:
Investments
purchased.......... -- -- -- -- --
Shares of beneficial
interest
repurchased........ 542,556 1,695 -- 9,817 31,408
Investment management
fees............... 57,101 5,244 29,367 64,181 85,373
Payable to bank.......... -- -- -- -- --
Unrealized depreciation
on open forward foreign
currency contracts..... -- -- 57,157 -- --
Accrued expenses and
other payables......... 21,384 15,491 25,166 30,419 16,846
------------ ---------- ----------- ------------ ------------
TOTAL LIABILITIES... 621,041 22,430 111,690 104,417 133,627
------------ ---------- ----------- ------------ ------------
NET ASSETS:
Paid-in-capital.......... 135,675,221 9,493,284 97,683,138 124,019,174 98,586,970
Accumulated undistributed
net investment income
(loss)................. 19 49,165 (197,032) 328,440 156,036
Accumulated undistributed
net realized gain
(loss)................. -- (19,646) (1,372,526) (62,838) 10,447,043
Net unrealized
appreciation
(depreciation)......... -- (102,161) (9,843,162) 4,014,450 56,178,365
------------ ---------- ----------- ------------ ------------
NET ASSETS.......... $135,675,240 $9,420,642 $86,270,418 $128,299,226 $165,368,414
============ ========== =========== ============ ============
*IDENTIFIED COST.... $135,981,624 $9,455,361 $94,419,150 $123,724,583 $108,770,852
============ ========== =========== ============ ============
SHARES OF BENEFICIAL
INTEREST
OUTSTANDING......... 135,675,221 938,953 9,627,702 8,772,505 6,299,489
============ ========== =========== ============ ============
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED
SHARES OF $.01 PAR
VALUE)................... $1.00 $10.03 $8.96 $14.63 $26.25
============ ========== =========== ============ ============
</TABLE>
- ------------------
** Including $89,171 in foreign currency.
SEE NOTES TO FINANCIAL STATEMENTS
82
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN MID-CAP GLOBAL DEVELOPING EMERGING
GROWTH MARKET GROWTH OPPORTUNITIES EQUITY EQUITY GROWTH MARKETS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in
securities, at
value*........ $742,151,340 $189,389,273 $96,638,092 $767,422,372 $84,133,440 $173,597,105 $160,645,592 $22,887,676
Cash............ -- 40,436 -- 87,250 -- 34,967 -- --
Receivable for:
Investments
sold...... -- -- -- 998,594 676,477 936 -- 84,037
Shares of
beneficial
interest
sold...... 292,930 152,073 158,676 653,157 179,319 111,209 113,589 --
Dividends... 1,175,640 258,646 36,339 118,303 5,953 100,748 31,715 48,529
Interest.... -- -- 141 -- -- -- -- 3,635
Foreign
withholding
taxes
reclaimed... 2,399 -- -- 30,121 -- 97,517 -- --
Unrealized
appreciation
on open
forward
foreign
currency
contracts..... -- -- -- -- -- -- -- --
Prepaid expenses
and other
assets........ 25,839 7,978 3,325 18,415 36,695 10,770 6,060 1,288
------------ ------------ ----------- ------------ ----------- ------------ ------------ -----------
TOTAL
ASSETS..... 743,648,148 189,848,406 96,836,573 769,328,212 85,031,884 173,953,252 160,796,956 23,025,165
------------ ------------ ----------- ------------ ----------- ------------ ------------ -----------
LIABILITIES:
Payable for:
Investments
purchased... -- -- -- -- -- -- 80,397 --
Shares of
beneficial
interest
repurchased... 415,691 14,307 45,846 77,176 6,214 26,971 29,974 42,809
Investment
management
fees...... 364,439 78,013 61,542 367,483 46,713 139,924 61,136 22,785
Payable to
bank.......... -- -- -- -- -- -- -- 47,774
Unrealized
depreciation
on open
forward
foreign
currency
contracts..... -- -- -- -- -- -- -- --
Accrued expenses
and other
payables...... 56,522 48,058 30,288 133,004 30,433 43,351 30,406 22,980
------------ ------------ ----------- ------------ ----------- ------------ ------------ -----------
TOTAL
LIABILITIES... 836,652 140,378 137,676 577,663 83,360 210,246 201,913 136,348
------------ ------------ ----------- ------------ ----------- ------------ ------------ -----------
NET ASSETS:
Paid-in-capital... 655,208,436 133,632,128 65,650,194 456,210,925 49,995,867 109,590,259 67,200,481 18,403,601
Accumulated
undistributed
net investment
income
(loss)........ 1,046,212 199,606 -- -- -- (8,590) 3,982 (38,786)
Accumulated
undistributed
net realized
gain (loss)... 125,001,612 16,252,264 6,980,070 67,341,429 9,771,604 11,727,148 30,438,554 (4,367,396)
Net unrealized
appreciation
(depreciation)... (38,444,764) 39,624,030 24,068,633 245,198,195 25,181,053 52,434,189 62,952,026 8,891,398
------------ ------------ ----------- ------------ ----------- ------------ ------------ -----------
NET
ASSETS..... $742,811,496 $189,708,028 $96,698,897 $768,750,549 $84,948,524 $173,743,006 $160,595,043 $22,888,817
============ ============ =========== ============ =========== ============ ============ ===========
*IDENTIFIED
COST....... $780,596,104 $149,765,243 $72,569,459 $520,662,397 $58,952,387 $121,168,382 $ 97,693,566 $13,996,921
============ ============ =========== ============ =========== ============ ============ ===========
SHARES OF
BENEFICIAL
INTEREST
OUTSTANDING... 37,296,682 9,234,638 4,156,217 23,578,121 3,748,826 8,853,044 4,010,824 1,579,239
============ ============ =========== ============ =========== ============ ============ ===========
NET ASSET VALUE
PER SHARE
(UNLIMITED
AUTHORIZED
SHARES OF $.01
PAR VALUE)...... $19.92 $20.54 $23.27 $32.60 $22.66 $19.63 $40.04 $14.49
============ ============ =========== ============ =========== ============ ============ ===========
</TABLE>
83
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED BALANCED
MARKET SECURITIES INCOME GROWTH UTILITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
INVESTMENT INCOME (LOSS):
INCOME
Interest................. $6,740,393 $ 534,298 $ 7,978,491 $ 2,792,665 $ 565,826
Dividends................ -- -- -- 1,809,801 2,084,761*
---------- --------- ----------- ----------- -----------
TOTAL INCOME........ 6,740,393 534,298 7,978,491 4,602,466 2,650,587
---------- --------- ----------- ----------- -----------
EXPENSES
Investment management
fee.................... 646,809 61,901 363,139 738,566 739,430
Professional fees........ 22,155 18,175 20,979 12,910 24,224
Custodian fees........... 10,487 9,594 30,355 15,224 11,798
Shareholder reports and
notices................ 9,536 1,432 10,238 11,001 18,295
Trustees' fees and
expenses............... -- -- 523 721 636
Transfer agent fees and
expenses............... 500 500 500 500 500
Organizational
expenses............... 1,374 1,374 1,374 1,374 1,374
Other.................... 1,895 2,792 10,182 4,383 2,406
---------- --------- ----------- ----------- -----------
TOTAL EXPENSES...... 692,756 95,768 437,290 784,679 798,663
Less: amounts
reimbursed/waived...... -- -- -- -- --
---------- --------- ----------- ----------- -----------
NET EXPENSES........ 692,756 95,768 437,290 784,679 798,663
---------- --------- ----------- ----------- -----------
NET INVESTMENT
INCOME (LOSS)....... 6,047,637 438,530 7,541,201 3,817,787 1,851,924
---------- --------- ----------- ----------- -----------
NET REALIZED AND
UNREALIZED GAIN (LOSS):
Net realized gain (loss)
on:
Investments.......... 454 (1,587) (2,316,553) 1,175,402 10,576,744
Futures contracts.... -- -- -- -- --
Foreign exchange
transactions....... -- -- 46,227 -- --
---------- --------- ----------- ----------- -----------
NET GAIN (LOSS)..... 454 (1,587) (2,270,326) 1,175,402 10,576,744
---------- --------- ----------- ----------- -----------
Net change in unrealized
appreciation/depreciation
on:
Investments.......... -- (117,223) (6,915,682) (1,416,501) 33,678,427
Future contracts..... -- -- -- -- --
Translation of
forward foreign
currency contracts,
other assets and
liabilities
denominated in
foreign
currencies......... -- -- (70,223) -- --
---------- --------- ----------- ----------- -----------
NET APPRECIATION
(DEPRECIATION)...... -- (117,223) (6,985,905) (1,416,501) 33,678,427
---------- --------- ----------- ----------- -----------
NET GAIN (LOSS)..... 454 (118,810) (9,256,231) (241,099) 44,255,171
---------- --------- ----------- ----------- -----------
NET INCREASE
(DECREASE)............... $6,048,091 $ 319,720 $(1,715,030) $ 3,576,688 $46,107,095
========== ========= =========== =========== ===========
</TABLE>
- ------------------
* Net of foreign withholding tax of $22,617, $100,506, $12,543, $40, $50,993,
$132,075, $200 and $27,455, respectively.
SEE NOTES TO FINANCIAL STATEMENTS
84
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN MID-CAP GLOBAL DEVELOPING EMERGING
GROWTH MARKET GROWTH OPPORTUNITIES EQUITY EQUITY GROWTH MARKETS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT
INCOME (LOSS):
INCOME
Interest........ $ 778,588 $ 105,003 $ 155,716 $ 2,014,507 $ 128,006 $ 365,445 $ 426,799 $ 27,353
Dividends....... 18,462,601* 2,927,153* 369,197* 2,737,979* 85,430 1,608,207* 187,437* 276,394*
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
TOTAL
INCOME..... 19,241,189 3,032,156 524,913 4,752,486 213,436 1,973,652 614,236 303,747
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
EXPENSES
Investment
management
fee........... 4,543,040 913,168 527,496 3,136,439 281,211 1,362,346 483,503 209,834
Professional
fees.......... 25,062 22,659 20,938 25,590 22,398 26,283 22,092 32,002
Custodian
fees.......... 49,693 19,057 32,404 90,034 20,917 61,473 34,201 52,031
Shareholder
reports and
notices....... 59,492 18,605 12,090 41,092 19,808 8,747 15,519 5,905
Trustees' fees
and
expenses...... 4,256 1,022 182 2,683 -- 641 467 --
Transfer agent
fees and
expenses...... 500 500 500 500 500 500 500 500
Organizational
expenses...... 1,374 1,374 1,374 1,374 -- 1,374 1,374 1,374
Other........... 8,142 36,886 1,674 6,381 693 15,952 1,682 7,671
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
TOTAL
EXPENSES... 4,691,559 1,013,271 596,658 3,304,093 345,527 1,477,316 559,338 309,317
Less: amounts
reimbursed/waived... -- -- -- -- (271,774) -- -- --
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET
EXPENSES... 4,691,559 1,013,271 596,658 3,304,093 73,753 1,477,316 559,338 309,317
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET
INVESTMENT
INCOME
(LOSS)..... 14,549,630 2,018,885 (71,745) 1,448,393 139,683 496,336 54,898 (5,570)
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET REALIZED AND
UNREALIZED GAIN
(LOSS):
Net realized
gain (loss)
on:
Investments... 129,094,274 16,263,318 8,668,664 80,409,969 12,556,428 16,222,505 31,720,580 908,948
Futures
contracts... -- -- -- (6,364,911) -- -- -- --
Foreign
exchange
transactions... -- -- -- (2,549) -- (56,653) -- (75,719)
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET GAIN
(LOSS)..... 129,094,274 16,263,318 8,668,664 74,042,509 12,556,428 16,165,852 31,720,580 833,229
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
Net change in
unrealized
appreciation/depreciation
on:
Investments... (142,695,765) 2,356,309 15,446,798 181,507,210 20,188,222 26,405,023 42,343,872 9,794,674
Future
contracts... -- -- -- (1,560,742) -- -- -- --
Translation
of forward
foreign
currency
contracts,
other
assets and
liabilities
denominated
in foreign
currencies... -- -- -- (1,588) -- (851) -- 1,106
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET
APPRECIATION
(DEPRECIATION)... (142,695,765) 2,356,309 15,446,798 179,944,880 20,188,222 26,404,172 42,343,872 9,795,780
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET GAIN
(LOSS)..... (13,601,491) 18,619,627 24,115,462 253,987,389 32,744,650 42,570,024 74,064,452 10,629,009
------------- ----------- ----------- ------------ ----------- ----------- ----------- -----------
NET INCREASE
(DECREASE)...... $ 948,139 $20,638,512 $24,043,717 $255,435,782 $32,884,333 $43,066,360 $74,119,350 $10,623,439
============= =========== =========== ============ =========== =========== =========== ===========
</TABLE>
85
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
NORTH AMERICAN
MONEY MARKET GOVERNMENT SECURITIES
------------------------------------ ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998
<S> <C> <C> <C> <C>
- --------------------------------------------------------------- ------------------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ 6,047,637 $ 4,946,059 $ 438,530 $ 285,399
Net realized gain
(loss)................. 454 96 (1,587) 1,246
Net change in unrealized
appreciation/
depreciation........... -- -- (117,223) (24,395)
------------- ------------- ----------- -----------
NET INCREASE
(DECREASE).......... 6,048,091 4,946,155 319,720 262,250
------------- ------------- ----------- -----------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (6,047,731) (4,946,009) (429,137) (270,457)
Net realized gain........ (454) (96) -- --
Paid-in-
capital................ -- -- -- --
------------- ------------- ----------- -----------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (6,048,185) (4,946,105) (429,137) (270,457)
------------- ------------- ----------- -----------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 144,516,778 160,543,866 3,768,903 5,217,638
Reinvestment of dividends
and distributions...... 6,048,185 4,946,105 429,137 270,457
Cost of shares
repurchased............ (135,074,457) (129,350,587) (3,057,203) (2,182,113)
------------- ------------- ----------- -----------
NET INCREASE........ 15,490,506 36,139,384 1,140,837 3,305,982
------------- ------------- ----------- -----------
TOTAL INCREASE
(DECREASE).......... 15,490,412 36,139,434 1,031,420 3,297,775
NET ASSETS:
Beginning of period...... 120,184,828 84,045,394 8,389,222 5,091,447
------------- ------------- ----------- -----------
END OF PERIOD....... $ 135,675,240 $ 120,184,828 $ 9,420,642 $ 8,389,222
============= ============= =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
(LOSS)................... $ 19 $ 113 $ 49,165 $ 30,818
============= ============= =========== ===========
SHARES ISSUED AND
REPURCHASED:
Sold..................... 144,516,778 160,543,866 373,179 513,927
Issued in reinvestment of
dividends and
distributions.......... 6,048,185 4,946,105 42,656 26,678
Repurchased.............. (135,074,457) (129,350,587) (303,201) (214,966)
------------- ------------- ----------- -----------
NET INCREASE............. 15,490,506 36,139,384 112,634 325,639
============= ============= =========== ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
86
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
DIVERSIFIED INCOME BALANCED GROWTH UTILITIES
----------------------------------- ----------------------------------- -----------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------- -----------------------------------
INCREASE
(DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment
income
(loss)........ $ 7,541,201 $ 6,202,641 $ 3,817,787 $ 2,564,019 $ 1,851,924 $ 1,400,655
Net realized
gain (loss)... (2,270,326) 108,452 1,175,402 12,637,891 10,576,744 648,615
Net change in
unrealized
appreciation/
depreciation... (6,985,905) (3,240,386) (1,416,501) (3,521,872) 33,678,427 11,747,508
------------ ------------ ------------ ------------ ------------ ------------
NET
INCREASE... (1,715,030) 3,070,707 3,576,688 11,680,038 46,107,095 13,796,778
------------ ------------ ------------ ------------ ------------ ------------
DIVIDENDS AND
DISTRIBUTIONS
FROM:
Net investment
income........ (7,407,990) (5,803,603) (3,740,026) (2,431,401) (1,813,042) (1,364,710)
Net realized
gain.......... -- (99,333) (13,846,314) (1,884,145) (778,316) (698,541)
Paid-in-
capital....... (231,544) -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
TOTAL
DIVIDENDS
AND
DISTRIBUTIONS... (7,639,534) (5,902,936) (17,586,340) (4,315,546) (2,591,358) (2,063,251)
------------ ------------ ------------ ------------ ------------ ------------
TRANSACTIONS IN
SHARES OF
BENEFICIAL
INTEREST:
Net proceeds
from sales.... 25,140,484 43,957,759 38,151,616 38,742,816 53,847,696 34,192,413
Reinvestment of
dividends and
distributions... 7,639,534 5,902,936 17,586,340 4,315,546 2,591,358 2,063,251
Cost of shares
repurchased... (31,146,173) (15,324,330) (21,281,195) (13,894,173) (20,269,562) (13,071,951)
------------ ------------ ------------ ------------ ------------ ------------
NET
INCREASE... 1,633,845 34,536,365 34,456,761 29,164,189 36,169,492 23,183,713
------------ ------------ ------------ ------------ ------------ ------------
TOTAL
INCREASE... (7,720,719) 31,704,136 20,447,109 36,528,681 79,685,229 34,917,240
NET ASSETS:
Beginning of
period........ 93,991,137 62,287,001 107,852,117 71,323,436 85,683,185 50,765,945
------------ ------------ ------------ ------------ ------------ ------------
END OF
PERIOD..... $ 86,270,418 $ 93,991,137 $128,299,226 $107,852,117 $165,368,414 $ 85,683,185
============ ============ ============ ============ ============ ============
UNDISTRIBUTED
NET INVESTMENT
INCOME (LOSS)... $ (197,032) $ 740,817 $ 328,440 $ 250,069 $ 156,036 $ 117,223
============ ============ ============ ============ ============ ============
SHARES ISSUED
AND REPURCHASED:
Sold............ 2,660,408 4,342,229 3,333,509 2,464,618 2,571,246 2,031,983
Issued in
reinvestment
of dividends
and
distributions... 813,366 583,849 241,749 273,422 126,805 122,896
Repurchased..... (3,307,173) (1,515,732) (1,387,082) (898,886) (978,171) (781,200)
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE.... 166,601 3,410,346 2,188,176 1,839,154 1,719,880 1,373,679
============ ============ ============ ============ ============ ============
</TABLE>
87
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
DIVIDEND GROWTH VALUE-ADDED MARKET
----------------------------------- ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998
<S> <C> <C> <C> <C>
- ------------------------------------------------------------- ------------------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income
(loss)................. $ 14,549,630 $ 11,747,567 $ 2,018,885 $ 1,916,238
Net realized gain
(loss)................. 129,094,274 65,404,292 16,263,318 6,592,408
Net change in unrealized
appreciation/
depreciation........... (142,695,765) 31,880,861 2,356,309 9,340,718
------------- ------------ ------------ ------------
NET INCREASE........ 948,139 109,032,720 20,638,512 17,849,364
------------- ------------ ------------ ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (14,356,475) (11,679,096) (2,002,626) (1,902,826)
Net realized gain........ (68,998,640) (26,160,355) (6,492,085) (2,322,935)
------------- ------------ ------------ ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (83,355,115) (37,839,451) (8,494,711) (4,225,761)
------------- ------------ ------------ ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 184,490,155 192,533,628 32,832,745 42,071,121
Reinvestment of dividends
and distributions...... 83,355,115 37,839,451 8,494,711 4,225,761
Cost of shares
repurchased............ (165,911,876) (96,700,375) (38,587,051) (26,412,836)
------------- ------------ ------------ ------------
NET INCREASE........ 101,933,394 133,672,704 2,740,405 19,884,046
------------- ------------ ------------ ------------
TOTAL INCREASE...... 19,526,418 204,865,973 14,884,206 33,507,649
NET ASSETS:
Beginning of period...... 723,285,078 518,419,105 174,823,822 141,316,173
------------- ------------ ------------ ------------
END OF PERIOD....... $ 742,811,496 $723,285,078 $189,708,028 $174,823,822
============= ============ ============ ============
UNDISTRIBUTED NET
INVESTMENT INCOME
(LOSS)................... $ 1,046,212 $ 853,057 $ 199,606 $ 183,347
============= ============ ============ ============
SHARES ISSUED AND
REPURCHASED:
Sold..................... 8,484,915 9,213,959 1,641,753 2,296,136
Issued in reinvestment of
dividends and
distributions.......... 3,815,098 1,805,072 422,129 228,033
Repurchased.............. (7,808,848) (4,697,895) (1,941,093) (1,458,807)
------------- ------------ ------------ ------------
NET INCREASE............. 4,491,165 6,321,136 122,789 1,065,362
============= ============ ============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
88
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GROWTH AMERICAN OPPORTUNITIES MID-CAP EQUITY
------------------------------------ ----------------------------------- -----------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE
(DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment
income
(loss)........ $ (71,745) $ 3,871 $ 1,448,393 $ 1,787,674 $ 139,683 $ 138,956
Net realized
gain (loss)... 8,668,664 3,308,989 74,042,509 40,392,380 12,556,428 (2,490,436)
Net change in
unrealized
appreciation/
depreciation... 15,446,798 2,556,804 179,944,880 37,572,830 20,188,222 3,446,115
------------ ------------ ------------ ------------ ----------- -----------
NET
INCREASE... 24,043,717 5,869,664 255,435,782 79,752,884 32,884,333 1,094,635
------------ ------------ ------------ ------------ ----------- -----------
DIVIDENDS AND
DISTRIBUTIONS
FROM:
Net investment
income........ (3,871) -- (1,445,841) (1,947,082) (146,978) (152,597)
Net realized
gain.......... (4,876,846) (1,299,815) (46,008,369) (24,723,150) (27,244) (224,094)
------------ ------------ ------------ ------------ ----------- -----------
TOTAL
DIVIDENDS
AND
DISTRIBUTIONS... (4,880,717) (1,299,815) (47,454,210) (26,670,232) (174,222) (376,691)
------------ ------------ ------------ ------------ ----------- -----------
TRANSACTIONS IN
SHARES OF
BENEFICIAL
INTEREST:
Net proceeds
from sales.... 33,517,947 17,430,665 223,047,289 112,225,756 32,535,587 14,883,943
Reinvestment of
dividends and
distributions... 4,880,717 1,299,815 47,454,210 26,670,232 174,222 376,691
Cost of shares
repurchased... (14,366,545) (10,107,664) (81,365,431) (50,359,365) (8,669,033) (7,016,976)
------------ ------------ ------------ ------------ ----------- -----------
NET
INCREASE... 24,032,119 8,622,816 189,136,068 88,536,623 24,040,776 8,243,658
------------ ------------ ------------ ------------ ----------- -----------
TOTAL
INCREASE... 43,195,119 13,192,665 397,117,640 141,619,275 56,750,887 8,961,602
NET ASSETS:
Beginning of
period........ 53,503,778 40,311,113 371,632,909 230,013,634 28,197,637 19,236,035
------------ ------------ ------------ ------------ ----------- -----------
END OF
PERIOD..... $ 96,698,897 $ 53,503,778 $768,750,549 $371,632,909 $84,948,524 $28,197,637
============ ============ ============ ============ =========== ===========
UNDISTRIBUTED
NET INVESTMENT
INCOME (LOSS)... $ -- $ 3,871 $ -- $ 7,077 $ -- $ 7,295
============ ============ ============ ============ =========== ===========
SHARES ISSUED
AND REPURCHASED:
Sold............ 1,668,923 1,021,903 8,757,084 5,366,406 1,991,794 1,315,016
Issued in
reinvestment
of dividends
and
distributions... 275,120 75,659 2,113,992 1,333,903 13,119 33,289
Repurchased..... (722,403) (597,280) (3,237,660) (2,436,239) (633,054) (658,565)
------------ ------------ ------------ ------------ ----------- -----------
NET INCREASE.... 1,221,640 500,282 7,633,416 4,264,070 1,371,859 689,740
============ ============ ============ ============ =========== ===========
<CAPTION>
GLOBAL EQUITY
-----------------------------------
FOR THE YEAR FOR THE YEAR
ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
<S> <C> <C>
- ---------------- -----------------------------------
INCREASE
(DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment
income
(loss)........ $ 496,336 $ 1,164,734
Net realized
gain (loss)... 16,165,852 (3,070,604)
Net change in
unrealized
appreciation/
depreciation... 26,404,172 16,931,102
------------ ------------
NET
INCREASE... 43,066,360 15,025,232
------------ ------------
DIVIDENDS AND
DISTRIBUTIONS
FROM:
Net investment
income........ (497,530) (1,517,727)
Net realized
gain.......... -- (422,276)
------------ ------------
TOTAL
DIVIDENDS
AND
DISTRIBUTIONS... (497,530) (1,940,003)
------------ ------------
TRANSACTIONS IN
SHARES OF
BENEFICIAL
INTEREST:
Net proceeds
from sales.... 29,681,396 38,348,277
Reinvestment of
dividends and
distributions... 497,530 1,940,003
Cost of shares
repurchased... (24,526,962) (30,080,763)
------------ ------------
NET
INCREASE... 5,651,964 10,207,517
------------ ------------
TOTAL
INCREASE... 48,220,794 23,292,746
NET ASSETS:
Beginning of
period........ 125,522,212 102,229,466
------------ ------------
END OF
PERIOD..... $173,743,006 $125,522,212
============ ============
UNDISTRIBUTED
NET INVESTMENT
INCOME (LOSS)... $ (8,590) $ 28,138
============ ============
SHARES ISSUED
AND REPURCHASED:
Sold............ 1,823,137 2,738,834
Issued in
reinvestment
of dividends
and
distributions... 31,851 135,036
Repurchased..... (1,548,072) (2,210,444)
------------ ------------
NET INCREASE.... 306,916 663,426
============ ============
</TABLE>
89
<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 YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1999 DECEMBER 31, 1998
<S> <C> <C> <C> <C>
- ------------------------------------------------------------- -----------------------------------
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income
(loss)................. $ 54,898 $ 151,770 $ (5,570) $ 126,142
Net realized gain
(loss)................. 31,720,580 (1,185,922) 833,229 (4,347,772)
Net change in unrealized
appreciation/
depreciation........... 42,343,872 7,288,857 9,795,780 (2,116,653)
------------ ------------ ----------- ------------
NET INCREASE
(DECREASE).......... 74,119,350 6,254,705 10,623,439 (6,338,283)
------------ ------------ ----------- ------------
DIVIDENDS AND
DISTRIBUTIONS FROM:
Net investment income.... (52,628) (180,742) -- (146,105)
Net realized gain........ -- (120,681) -- (48,814)
Paid-in-capital.......... -- -- (29,513) (70,872)
------------ ------------ ----------- ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (52,628) (301,423) (29,513) (265,791)
------------ ------------ ----------- ------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST:
Net proceeds from
sales.................. 27,643,051 16,665,137 4,228,591 3,482,891
Reinvestment of dividends
and distributions...... 52,628 301,423 29,513 265,791
Cost of shares
repurchased............ (22,792,517) (23,985,095) (5,235,518) (7,686,938)
------------ ------------ ----------- ------------
NET INCREASE
(DECREASE).......... 4,903,162 (7,018,535) (977,414) (3,938,256)
------------ ------------ ----------- ------------
TOTAL INCREASE
(DECREASE).......... 78,969,884 (1,065,253) 9,616,512 (10,542,330)
NET ASSETS:
Beginning of period...... 81,625,159 82,690,412 13,272,305 23,814,635
------------ ------------ ----------- ------------
END OF PERIOD....... $160,595,043 $ 81,625,159 $22,888,817 $ 13,272,305
============ ============ =========== ============
UNDISTRIBUTED NET
INVESTMENT INCOME
(LOSS)................... $ 3,982 $ 7,110 $ (38,786) $ (2,344)
============ ============ =========== ============
SHARES ISSUED AND
REPURCHASED:
Sold..................... 1,021,132 861,579 421,932 368,627
Issued in reinvestment of
dividends and
distributions.......... 2,217 16,369 3,047 27,733
Repurchased.............. (934,031) (1,272,373) (524,322) (823,654)
------------ ------------ ----------- ------------
NET INCREASE
(DECREASE)............... 89,318 (394,425) (99,343) (427,294)
============ ============ =========== ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
90
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
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.
The investment objectives of each Portfolio are as follows:
<TABLE>
<CAPTION>
PORTFOLIO INVESTMENT OBJECTIVE
<C> <S>
Money Market Seeks high current income, preservation of capital and
liquidity by investing in short-term money market
instruments.
North American Seeks to earn a high level of current income while
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 Growth Seeks to achieve capital growth with reasonable current
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. Prior to August 5, 1999, the
investment objective was to provide current income and
long-term growth of income and capital by investing in
equity and fixed income securities of companies in the
public utilities industry.
Dividend Seeks to provide reasonable current income and long-term
Growth 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>
91
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
<TABLE>
<CAPTION>
PORTFOLIO INVESTMENT OBJECTIVE
<C> <S>
Growth Seeks long-term growth of capital by investing primarily in
common stocks and securities convertible into common stocks
issued by domestic and foreign companies.
American Opportunities Seeks long-term capital growth consistent with an effort to
(formerly American reduce volatility by investing principally in common stock
Value) of companies in industries which, at the time of the
investment, are believed to be undervalued in the
marketplace.
Mid-Cap Equity Seeks long-term capital appreciation by investing primarily
(formerly Mid-Cap in equity securities of mid-cap companies (that is,
Growth) companies whose equity market capitalization falls within
the range of approximately $200 million to $12 billion).
Global Equity Seeks a high level of total return on its assets primarily
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>
* On August 4, 1999, shareholders approved a change in the investment objective.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual results could differ from
those estimates.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- Money Market: securities are valued at amortized
cost which approximates market value. All remaining Portfolios: (1) an equity
security listed or traded on the New York, American or other domestic or foreign
stock exchange is valued at its latest sale price on that exchange prior to the
time when assets are valued; if there were no sales that day, the security is
valued at the latest bid price (in cases where securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market pursuant to procedures adopted by the Trustees); (2) all other
portfolio securities for which over-the-counter market quotations are readily
available are valued at the latest available bid price prior to the time of
valuation; (3) when market quotations are not readily available, including
circumstances under which
92
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
it is determined by Morgan Stanley Dean Witter Advisors Inc. (the "Investment
Manager"), or (in the case of Growth) by Morgan Stanley Dean Witter Investment
Management Inc. ("MSDWIM"), or (in the case of the North American Government
Securities, 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
93
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
unrealized gain/loss on foreign exchange transactions. Pursuant to U.S. Federal
income tax regulations, certain exchange gains/losses included in realized and
unrealized gain/loss are included in or are a reduction of ordinary income for
federal income tax purposes. The Portfolios do not isolate that portion of the
results of operations arising as a result of changes in the foreign exchange
rates from the changes in the market prices of the securities.
D. FORWARD FOREIGN CURRENCY CONTRACTS -- Some of the Portfolios may enter into
forward foreign currency contracts which are valued daily at the appropriate
exchange rates. The resultant unrealized exchange gains and losses are included
in the Statement of Operations as unrealized gain/loss on foreign exchange
transactions. The Portfolios record realized gains or losses on delivery of the
currency or at the time the forward contract is extinguished (compensated) by
entering into a closing transaction prior to delivery.
E. FEDERAL INCOME TAX STATUS -- It is the Fund's policy to comply individually
for each Portfolio with the requirements of the Internal Revenue Code applicable
to regulated investment companies and to distribute all of its taxable income to
its shareholders. Accordingly, no federal income tax provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund records dividends and
distributions to its shareholders on the record date. The amount of dividends
and distributions from net investment income and net realized capital gains are
determined in accordance with federal income tax regulations which may differ
from generally accepted accounting principles. These "book/tax" differences are
either considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within the
capital accounts based on their federal tax-basis treatment; temporary
differences do not require reclassification. Dividends and distributions which
exceed net investment income and net realized capital gains for financial
reporting purposes but not for tax purposes are reported as dividends in excess
of net investment income or distributions in excess of net realized capital
gains. To the extent they exceed net investment income and net realized capital
gains for tax purposes, they are reported as distributions of paid-in-capital.
G. ORGANIZATIONAL EXPENSES -- The Investment Manager paid the organizational
expenses of approximately $96,000 ($8,000 for each respective Portfolio,
excluding Mid-Cap Equity) which have
94
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
been reimbursed for the full amount thereof, exclusive of amounts waived of
approximately $22,000 ($1,833 for each respective Portfolio, excluding Mid-Cap
Equity). Such expenses were deferred and fully amortized as of November 8, 1999.
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
and 0.50% to the portion of daily net assets in excess of $500 million.
Effective May 1, 1999, the agreement was amended to reduce the annual rate
to 0.475% of the portion of daily net assets exceeding $1 billion.
** Effective May 1, 1999, the Agreement was amended to reduce the annual rate
from 0.625% of daily net assets to 0.625% of the portion of the daily net
assets not exceeding $500 million and 0.60% of the portion to daily net
assets in excess of $500 million.
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities, equipment,
clerical, bookkeeping and certain legal services and pays the salaries of all
personnel, including officers of the Fund who are employees of the Investment
Manager. The Investment Manager also bears the cost of telephone services, heat,
light, power and other utilities provided to the Fund.
Under Sub-Advisory Agreements between MSDWIM and the Investment Manager and TCW
and the Investment Manager, MSDWIM provides Growth and TCW provides North
American Government Securities, 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
95
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
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.
For the period January 1, 1999 through November 8, 1999, the Investment Manager
reimbursed all operating expenses and waived the compensation provided for in
its Investment Management Agreement with Mid-Cap Equity.
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 year ended
December 31, 1999 were as follows:
<TABLE>
<CAPTION>
U.S.GOVERNMENT SECURITIES OTHER
------------------------------- ----------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- -------------- ----------------
<S> <C> <C> <C> <C>
Money Market............................ $61,239,664 $70,484,730 $ 756,934,843 $ 738,736,843
North American Government Securities.... 4,964,204 3,015,612 -- --
Diversified Income...................... 13,664,047 17,507,560 45,089,695 42,364,270
Balanced Growth......................... 16,018,452 4,670,232 45,234,628 39,041,325
Utilities............................... 745,859 237,773 65,896,982 33,857,990
Dividend Growth......................... -- -- 758,744,091 756,296,143
Value-Added Market...................... -- -- 38,507,409 39,303,777
Growth.................................. -- -- 73,372,684 56,641,818
American Opportunities.................. 19,504,688 19,442,344 1,753,296,251 1,650,717,259
Mid-Cap Equity.......................... -- -- 136,407,017 115,722,768
Global Equity........................... -- -- 104,876,287 101,451,004
Developing Growth....................... -- -- 161,764,427 168,001,684
Emerging Markets........................ -- -- 13,004,272 13,097,359
</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 $228,264, as well as realized gain of $154,854.
Included in the aforementioned purchases of portfolio securities of Value-Added
Market are purchases of Hartford Financial Services Group, an affiliate of the
Fund, of $61,920.
Included in the aforementioned purchases of portfolio securities of Mid-Cap
Equity are purchases of Hartford Life Inc., an affiliate of the Fund, of
$1,189,003.
96
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
For the year ended December 31, 1999, the following Portfolios incurred
brokerage commissions with Dean Witter Reynolds Inc. ("DWR"), an affiliate of
the Investment Manager, for executed portfolio transactions:
<TABLE>
<CAPTION>
DIVERSIFIED BALANCED DIVIDEND AMERICAN MID-CAP GLOBAL DEVELOPING
INCOME GROWTH UTILITIES GROWTH OPPORTUNITIES EQUITY EQUITY GROWTH
- ----------- -------- --------- -------- ------------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
$525 $31,733 $21,517 $119,495 $59,078 $22,769 $7,932 $38,648
==== ======= ======= ======== ======= ======= ====== =======
</TABLE>
For the year ended December 31, 1999, the following Portfolios incurred
brokerage commissions with Morgan Stanley & Co., Inc., an affililiate of the
Investment Manager, for executed portfolio transactions:
<TABLE>
<CAPTION>
BALANCED DIVIDEND AMERICAN MID-CAP GLOBAL DEVELOPING EMERGING
GROWTH GROWTH GROWTH OPPORTUNITIES EQUITY EQUITY GROWTH MARKETS
- -------- -------- -------- ------------- -------- -------- ---------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$8,985 $103,820 $11,475 $272,223 $8,365 $25,287 $9,645 $1,878
====== ======== ======= ======== ====== ======= ====== ======
</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>
During the year ended December 31, 1999, the following Portfolios utilized
approximate net capital loss carryovers: Mid-Cap Equity -- $2,391,000; Global
Equity -- $3,935,000; Developing Growth -- $1,203,000; Emerging Markets --
$545,000.
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 Portfolios' 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.
97
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
At December 31, 1999, the primary reason(s) for significant temporary/permanent
book/tax differences were as follows:
<TABLE>
<CAPTION>
PERMANENT DIFFERENCES
TEMPORARY DIFFERENCES -----------------------------
----------------------------- FOREIGN NET
POST-OCTOBER LOSS DEFERRALS CURRENCY OPERATING
LOSSES FROM WASH SALES GAINS/LOSSES LOSS
------------ --------------- ------------ ---------------
<S> <C> <C> <C> <C>
Diversified Income...................... - -
Balanced Growth......................... -
Dividend Growth......................... -
Value-Added............................. -
Growth.................................. - -
American Opportunities.................. - -
Mid-Cap Equity.......................... -
Global Equity........................... - - -
Developing Growth....................... -
Emerging Markets........................ - - - -
</TABLE>
Additionally, Diversified Income had temporary differences attributable to the
mark-to-market of open forward foreign currency exchange contracts and interest
on bonds in default and American Opportunities had temporary differences
attributable to the mark-to-market of open futures contracts.
To reflect reclassifications arising from the permanent differences, the
following accounts were (charged) credited:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED
NET INVESTMENT NET REALIZED PAID-IN
INCOME (LOSS) GAIN (LOSS) CAPITAL
-------------- --------------- ------------
<S> <C> <C> <C>
North American Government Securities.... $ 8,954 $ (8,954) --
Diversified Income...................... (1,071,060) 1,071,060 --
Balanced Growth......................... 610 (610) --
Utilities............................... (69) 69 --
Growth.................................. 71,745 (71,745) --
American Opportunities.................. (9,629) 9,629 --
Global Equity........................... (35,534) 35,534 --
Developing Growth....................... (5,398) 9,555 $ (4,157)
Emerging Markets........................ (30,872) 75,850 (44,978)
</TABLE>
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.
98
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999, CONTINUED
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 December 31, 1999, Diversified Income and Emerging Markets 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 December 31, 1999, Emerging Markets' cash balance consisted principally of
interest bearing deposits with Chase Manhattan Bank N.A., the Portfolio's
custodian.
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.
99
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET 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)
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)
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)
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)
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)
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)
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)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
100
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS RATIOS TO AVERAGE NET ASSETS
(BEFORE EXPENSES WERE ASSUMED) (AFTER EXPENSES WERE ASSUMED)
NET ASSET NET ASSETS ------------------------------- ------------------------------
VALUE END OF NET NET PORTFOLIO
YEAR ENDED END OF TOTAL PERIOD INVESTMENT INVESTMENT TURNOVER
DECEMBER 31 PERIOD RETURN+ (000'S) EXPENSES INCOME EXPENSES INCOME RATE
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET
1995 $ 1.00 6.10 % $ 42,089 0.81% 5.11% -- 5.92% N/A
1996 1.00 5.07 87,002 0.59 4.94 0.57% 4.96 N/A
1997 1.00 5.21 84,045 0.55 5.08 0.55 5.08 N/A
1998 1.00 5.16 120,185 0.55 5.02 0.55 5.02 N/A
1999 1.00 4.78 135,675 0.54 4.67 0.54 4.67 N/A
NORTH AMERICAN
GOVERNMENT
SECURITIES
1995 10.18 6.40 1,288 2.50* 3.24* -- 5.74 18%
1996 10.09 4.35 4,172 1.45 4.55 0.50 5.50 48
1997 10.17 5.91 5,091 1.26 4.75 1.26 4.75 27
1998 10.15 4.28 8,389 1.15 4.52 1.15 4.52 51
1999 10.03 3.40 9,421 1.01 4.60 1.01 4.60 53
DIVERSIFIED
INCOME
1995 10.22 6.96 8,972 1.33 5.95 -- 7.28 33
1996 10.32 9.54 32,119 0.71 8.26 0.50 8.47 69
1997 10.29 8.32 62,287 0.55 8.09 0.55 8.09 110
1998 9.93 4.22 93,991 0.49 7.92 0.49 7.92 111
1999 8.96 (1.83) 86,270 0.48 8.31 0.48 8.31 69
BALANCED GROWTH
1995 11.89 22.86 16,311 1.39 2.45 -- 3.84 99
1996 13.07 13.54 38,893 0.90 2.35 0.50 2.75 88
1997 15.03 17.87 71,323 0.86 2.13 0.86 2.13 64
1998 16.38 14.41 107,852 0.71 2.87 0.71 2.87 93
1999 14.63 3.52 128,299 0.64 3.10 0.64 3.10 37
UTILITIES
1995 12.35 28.05 17,959 1.43 3.01 -- 4.44 3
1996 12.94 8.48 35,686 0.80 3.16 0.50 3.46 15
1997 15.84 26.45 50,766 0.76 2.83 0.76 2.83 34
1998 18.71 22.23 85,683 0.71 2.21 0.71 2.21 19
1999 26.25 43.71 165,368 0.70 1.63 0.70 1.63 31
DIVIDEND GROWTH
1995 13.54 40.13 78,694 0.83 2.80 -- 3.63 4
1996 16.45 24.49 258,101 0.67 2.44 0.67 2.44 39
1997 19.57 26.12 518,419 0.65 2.11 0.65 2.11 26
1998 22.05 19.73 723,285 0.63 1.87 0.63 1.87 39
1999 19.92 0.53 742,811 0.60 1.86 0.60 1.86 101
VALUE-ADDED
MARKET
1995 12.24 27.14 23,970 1.46 1.64 -- 3.10 4
1996 14.16 17.78 73,516 0.64 1.69 0.56 1.77 4
1997 17.56 26.12 141,316 0.58 1.49 0.58 1.49 8
1998 19.19 12.19 174,824 0.55 1.20 0.55 1.20 14
1999 20.54 12.15 189,708 0.55 1.11 0.55 1.11 21
</TABLE>
<TABLE>
<C> <S>
- -------------------------------------------------------------------
</TABLE>
EMPTY FOOTNOTE
101
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS, CONTINUED
<TABLE>
<CAPTION>
NET ASSET NET TOTAL
VALUE INVESTMENT NET REALIZED TOTAL FROM DISTRIBUTIONS DIVIDENDS
YEAR ENDED BEGINNING INCOME AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
GROWTH
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)
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)
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)
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)
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)
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)
</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.
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
102
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS RATIOS TO AVERAGE NET ASSETS
(BEFORE EXPENSES WERE ASSUMED) (AFTER EXPENSES WERE ASSUMED)
NET ASSET NET ASSETS ------------------------------- ------------------------------
VALUE END OF NET NET PORTFOLIO
YEAR ENDED END OF TOTAL PERIOD INVESTMENT INVESTMENT TURNOVER
DECEMBER 31 PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) EXPENSES INCOME (LOSS) RATE
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH
1995 $11.07 13.29 % $ 3,956 2.50% (0.64)% -- 1.86 % 39%
1996 13.55 23.56 18,215 1.22 (0.03) 0.50% 0.69 47
1997 16.56 23.07 40,311 1.01 0.13 1.01 0.13 55
1998 18.23 13.22 53,504 1.06 0.01 1.06 0.01 223
1999 23.27 39.10 96,699 0.90 (0.11) 0.90 (0.11) 88
AMERICAN
OPPORTUNITIES
1995 13.71 38.95 38,235 0.96 1.11 -- 2.07 174
1996 15.30 12.95 120,904 0.71 0.52 0.69 0.54 232
1997 19.69 31.93 230,014 0.68 0.42 0.68 0.42 262
1998 23.31 30.78 371,633 0.66 0.62 0.66 0.62 325
1999 32.60 55.81 768,751 0.66 0.29 0.66 0.29 360
MID-CAP EQUITY
1997 (a) 11.40 15.84 (1) 19,236 1.12 (2) 0.65 (2) -- 1.77 (2) 104 (1)
1998 11.86 5.67 28,198 0.98 (0.40) -- 0.58 323
1999 22.66 92.10 84,949 0.92 (0.35) 0.20 0.37 318
GLOBAL EQUITY
1995 10.99 13.76 17,074 1.69 1.09 -- 2.78 74
1996 12.06 11.43 59,246 1.25 0.69 0.72 1.22 62
1997 12.97 8.66 102,229 1.13 0.91 1.13 0.91 87
1998 14.69 15.11 125,522 1.10 1.01 1.10 1.01 80
1999 19.63 34.14 173,743 1.08 0.36 1.08 0.36 79
DEVELOPING
GROWTH
1995 15.00 51.26 17,412 1.24 0.86 -- 2.10 80
1996 16.88 12.95 61,120 0.68 (0.04) 0.58 0.06 146
1997 19.16 13.77 82,690 0.60 0.26 0.60 0.26 149
1998 20.81 9.04 81,625 0.59 0.19 0.59 0.19 193
1999 40.04 92.52 160,595 0.58 0.06 0.58 0.06 178
EMERGING
MARKETS
1995 9.69 (0.57) 4,092 2.50 * 0.18 * -- 2.68 36
1996 11.20 17.69 17,240 2.02 (0.10) 0.50 1.42 46
1997 11.31 1.27 23,815 1.71 0.49 1.71 0.49 91
1998 7.91 (29.03) 13,272 1.73 0.72 1.73 0.72 116
1999 14.49 83.53 22,889 1.84 (0.03) 1.84 (0.03) 82
</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.
=/=
* After application of the Fund's expense limitation.
(1) Not annualized.
(2) Annualized.
</TABLE>
EMPTY FOOTNOTE
103
<PAGE>
MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES
OF MORGAN STANLEY DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Money Market Portfolio, North
American Government Securities Portfolio, Diversified Income Portfolio, Balanced
Growth Portfolio, Utilities Portfolio, Dividend Growth Portfolio, Value-Added
Market Portfolio, Growth Portfolio, American Opportunities Portfolio (formerly
American Value Portfolio), Mid-Cap Equity Portfolio (formerly Mid-Cap Growth
Portfolio), Global Equity Portfolio, Developing Growth Portfolio and Emerging
Markets Portfolio (constituting Morgan Stanley Dean Witter Select Dimensions
Investment Series, hereafter referred to as the "Fund") at December 31, 1999,
the results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the periods presented, in conformity with
accounting principles generally accepted in the United States. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
1177 AVENUE OF THE AMERICAS
NEW YORK, NEW YORK 10036
FEBRUARY 16, 2000
104
<PAGE>
Trustees
------------------------------------------------------------
<TABLE>
<S> <C>
Michael Bozic Dr. Manuel H. Johnson
Charles A. Fiumefreddo Michael E. Nugent
Edwin J. Garn Philip J. Purcell
Wayne E. Hedien John L. Schroeder
</TABLE>
Officers
------------------------------------------------------------
Charles A. Fiumefreddo
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
Mitchell M. Merin
PRESIDENT
Barry Fink
VICE PRESIDENT, SECRETARY AND GENERAL COUNSEL
Thomas F. Caloia
TREASURER
<TABLE>
<S> <C>
Transfer Agent Independent Accountants
------------------------------------------------ ------------------------------------------------
Morgan Stanley Dean Witter Trust FSB PricewaterhouseCoopers LLP
Harborside Financial Center--Plaza Two 1177 Avenue of the Americas
Jersey City, New Jersey 07311 New York, New York 10036
</TABLE>
Investment Manager
------------------------------------------------------------
Morgan Stanley Dean Witter Advisors Inc.
Two World Trade Center
New York, New York 10048
Sub-Advisors
------------------------------------------------------------
North American Government Securities, Mid-Cap Equity
and Emerging Markets Portfolios
----------------------------------
TCW Investment Management Company
Growth Portfolio
--------------
Morgan Stanley Dean Witter Investment Management Inc.
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and trustees,
fees, expenses and other pertinent information, please see the prospectus of the
Fund.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective prospectus. Read the
prospectus carefully before investing.
<PAGE>
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